David Swensen Yale Endowment Portfolio
The Yale Endowment Portfolio is the investment strategy used by the Yale University endowment fund, managed by David Swensen. It is known for its long-term, risk-averse approach to investing and has achieved strong returns over the years.
The Yale Endowment Portfolio is a globally diversified portfolio that includes a mix of stocks, bonds, private equity, real estate, and other asset classes. The specific investments within each category can vary, but the overall allocation is periodically adjusted based on the market environment and the endowment's long-term investment objectives.
One of the fundamental principles of the Yale Endowment Portfolio is the idea of "alternative investments," which refers to asset classes that are not typically included in a traditional portfolio of stocks and bonds. These asset classes can consist of private equity, real estate, hedge funds, and other types of investments that may offer the potential for higher returns or lower correlations with other asset classes. The goal is to balance risk and return that can produce solid and long-term results.
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Jul 26, 2007, corresponding to the inception date of VEA
Returns By Period
As of May 18, 2025, the David Swensen Yale Endowment Portfolio returned 4.20% Year-To-Date and 6.47% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.30% | 12.79% | 1.49% | 12.35% | 15.12% | 10.89% |
| David Swensen Yale Endowment Portfolio | 4.20% | 6.17% | 2.78% | 8.88% | 7.54% | 6.47% |
| Portfolio components: | ||||||
VNQ Vanguard Real Estate ETF | 2.41% | 3.98% | -1.80% | 10.78% | 8.47% | 5.32% |
EEM iShares MSCI Emerging Markets ETF | 10.62% | 10.35% | 9.53% | 8.17% | 6.64% | 3.05% |
TLT iShares 20+ Year Treasury Bond ETF | 0.21% | -1.04% | -2.13% | -1.62% | -9.55% | -0.61% |
VTI Vanguard Total Stock Market ETF | 1.31% | 13.07% | 1.46% | 13.04% | 16.29% | 12.19% |
TIP iShares TIPS Bond ETF | 3.34% | 0.35% | 2.81% | 5.19% | 1.36% | 2.37% |
VEA Vanguard FTSE Developed Markets ETF | 14.50% | 7.39% | 13.34% | 10.07% | 11.86% | 5.73% |
Monthly Returns
The table below presents the monthly returns of David Swensen Yale Endowment Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.29% | 1.73% | -2.25% | -0.30% | 2.74% | 4.20% | |||||||
| 2024 | -1.35% | 2.13% | 2.31% | -4.64% | 3.82% | 1.57% | 3.46% | 2.64% | 2.24% | -2.91% | 3.21% | -4.40% | 7.82% |
| 2023 | 7.42% | -3.75% | 2.09% | 0.80% | -1.98% | 4.04% | 1.90% | -2.78% | -5.07% | -3.12% | 8.83% | 6.21% | 14.28% |
| 2022 | -4.98% | -2.15% | 0.96% | -6.62% | -1.25% | -6.25% | 6.30% | -4.36% | -9.62% | 3.27% | 6.78% | -3.85% | -20.94% |
| 2021 | -0.55% | 0.95% | 1.81% | 4.19% | 1.06% | 1.95% | 2.12% | 1.48% | -3.74% | 4.49% | -1.23% | 3.55% | 16.99% |
| 2020 | 0.93% | -3.89% | -9.78% | 7.77% | 2.87% | 2.24% | 4.28% | 2.56% | -1.94% | -2.25% | 8.51% | 3.25% | 13.93% |
| 2019 | 6.84% | 1.29% | 2.51% | 1.43% | -1.88% | 3.82% | 0.41% | 1.66% | 0.84% | 1.38% | 1.07% | 1.54% | 22.76% |
| 2018 | 1.22% | -4.32% | 0.62% | 0.01% | 1.56% | 0.81% | 1.34% | 1.39% | -0.95% | -5.19% | 2.21% | -4.35% | -5.87% |
| 2017 | 1.65% | 2.35% | 0.10% | 1.09% | 1.10% | 0.86% | 1.51% | 0.77% | 0.63% | 0.90% | 1.68% | 1.18% | 14.68% |
| 2016 | -2.39% | 0.14% | 5.97% | 0.01% | 0.76% | 2.75% | 3.35% | -0.79% | -0.04% | -2.94% | -0.93% | 1.86% | 7.66% |
| 2015 | 2.58% | 0.80% | -0.17% | -0.48% | -0.40% | -2.75% | 2.32% | -4.85% | -0.68% | 4.87% | -0.33% | -0.98% | -0.40% |
| 2014 | -0.07% | 3.63% | 0.42% | 1.46% | 2.27% | 1.30% | -0.78% | 2.84% | -3.55% | 3.38% | 1.55% | 0.04% | 12.98% |
Expense Ratio
David Swensen Yale Endowment Portfolio has an expense ratio of 0.13%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of David Swensen Yale Endowment Portfolio is 50, indicating average performance compared to other portfolios on our website. Hereβs a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VNQ Vanguard Real Estate ETF | 0.60 | 1.02 | 1.13 | 0.51 | 2.16 |
EEM iShares MSCI Emerging Markets ETF | 0.45 | 0.88 | 1.11 | 0.37 | 1.64 |
TLT iShares 20+ Year Treasury Bond ETF | -0.16 | -0.00 | 1.00 | -0.02 | -0.13 |
VTI Vanguard Total Stock Market ETF | 0.66 | 1.12 | 1.17 | 0.74 | 2.80 |
TIP iShares TIPS Bond ETF | 1.09 | 1.59 | 1.20 | 0.54 | 3.44 |
VEA Vanguard FTSE Developed Markets ETF | 0.61 | 1.01 | 1.14 | 0.81 | 2.46 |
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Dividends
Dividend yield
David Swensen Yale Endowment Portfolio provided a 2.82% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.82% | 2.80% | 2.74% | 3.29% | 2.32% | 1.99% | 2.41% | 2.97% | 2.54% | 2.70% | 2.38% | 2.56% |
| Portfolio components: | ||||||||||||
VNQ Vanguard Real Estate ETF | 4.02% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
EEM iShares MSCI Emerging Markets ETF | 2.20% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% | 2.23% |
TLT iShares 20+ Year Treasury Bond ETF | 4.39% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% |
VTI Vanguard Total Stock Market ETF | 1.28% | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
TIP iShares TIPS Bond ETF | 2.91% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% |
VEA Vanguard FTSE Developed Markets ETF | 2.86% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the David Swensen Yale Endowment Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the David Swensen Yale Endowment Portfolio was 43.81%, occurring on Mar 9, 2009. Recovery took 399 trading sessions.
The current David Swensen Yale Endowment Portfolio drawdown is 0.46%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -43.81% | Nov 1, 2007 | 339 | Mar 9, 2009 | 399 | Oct 6, 2010 | 738 |
| -26.64% | Dec 31, 2021 | 199 | Oct 14, 2022 | 479 | Sep 12, 2024 | 678 |
| -24.3% | Feb 18, 2020 | 22 | Mar 18, 2020 | 96 | Aug 4, 2020 | 118 |
| -11.54% | Aug 30, 2018 | 80 | Dec 24, 2018 | 55 | Mar 15, 2019 | 135 |
| -11.47% | Jul 25, 2011 | 11 | Aug 8, 2011 | 111 | Jan 17, 2012 | 122 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 6 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | TIP | TLT | VNQ | EEM | VEA | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.12 | -0.29 | 0.68 | 0.75 | 0.83 | 0.99 | 0.88 |
| TIP | -0.12 | 1.00 | 0.73 | 0.02 | -0.07 | -0.06 | -0.12 | 0.13 |
| TLT | -0.29 | 0.73 | 1.00 | -0.08 | -0.24 | -0.25 | -0.28 | -0.01 |
| VNQ | 0.68 | 0.02 | -0.08 | 1.00 | 0.53 | 0.59 | 0.69 | 0.85 |
| EEM | 0.75 | -0.07 | -0.24 | 0.53 | 1.00 | 0.83 | 0.75 | 0.76 |
| VEA | 0.83 | -0.06 | -0.25 | 0.59 | 0.83 | 1.00 | 0.83 | 0.84 |
| VTI | 0.99 | -0.12 | -0.28 | 0.69 | 0.75 | 0.83 | 1.00 | 0.89 |
| Portfolio | 0.88 | 0.13 | -0.01 | 0.85 | 0.76 | 0.84 | 0.89 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that certain positions, such as VNQ (real estate) and VEA (developed international equities), have high positive correlations with the portfolio (0.85 and 0.84 respectively), indicating these assets have a strong influence on the portfolioβs overall behavior. Similarly, VTI (total U.S. stock market) also shows a high correlation with the portfolio at 0.89, suggesting that U.S. equities play a dominant role in shaping portfolio returns.
On the other hand, fixed income positions like TIP (Treasury Inflation-Protected Securities) and TLT (long-term U.S. Treasuries) exhibit low or slightly negative correlations with the portfolio (-0.01 for TLT and 0.13 for TIP), which helps reduce overall portfolio volatility and enhances diversification. The negative correlations between TLT and equity positions (e.g., -0.24 with EEM and -0.25 with VEA) further support the role of bonds as a diversifier during equity market downturns.
Emerging markets equities (EEM) show moderate positive correlations with the portfolio (0.76) and with other equity positions, but their correlations with fixed income are negative or near zero, contributing to diversification benefits.
However, the high correlations among VNQ, VEA, and VTI (ranging from 0.59 to 0.83) suggest some concentration risk within the equity portion of the portfolio, as these assets tend to move in similar directions. This clustering reduces the diversification benefit within the equity sleeve.
In summary, the portfolio balances equity and fixed income exposures to achieve moderate diversification. Fixed income assets provide meaningful diversification through low or negative correlations with equities, while the equity holdings, although somewhat concentrated, cover different geographic and sector exposures. The portfolio is not overly concentrated but could improve diversification by reducing overlap among equity positions with high mutual correlations.