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David Swensen Yale Endowment Portfolio

Expense Ratio

Rank 33 of 53

0.13%
0.00%0.94%
Dividend Yield

Rank 5 of 53

2.19%
0.00%2.74%
10Y Annualized Return

Rank 25 of 53

10.37%
4.75%40.27%
Sharpe Ratio

Rank 25 of 53

2.28
0.522.76
Maximum Drawdown

Rank 21 of 53

-24.30%
-38.24%-10.21%

David Swensen Yale Endowment PortfolioAsset Allocation


S&P 500

David Swensen Yale Endowment PortfolioPerformance

The chart shows the growth of $10,000 invested in David Swensen Yale Endowment Portfolio on Jan 5, 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $31,467 for a total return of roughly 214.67%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


David Swensen Yale Endowment Portfolio
Benchmark (S&P 500)
Portfolio components

David Swensen Yale Endowment PortfolioReturns

As of Sep 18, 2021, the David Swensen Yale Endowment Portfolio returned 12.54% Year-To-Date and 10.37% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
David Swensen Yale Endowment Portfolio0.34%10.83%12.54%21.10%11.16%10.37%
VNQ
Vanguard Real Estate ETF
-0.11%17.49%26.91%31.95%8.82%11.03%
EEM
iShares MSCI Emerging Markets ETF
2.09%-3.42%-0.15%15.71%9.27%4.83%
TLT
iShares 20+ Year Treasury Bond ETF
0.34%12.29%-4.44%-7.47%4.30%5.23%
VTI
Vanguard Total Stock Market ETF
0.22%12.44%18.43%34.98%17.92%16.17%
TIP
iShares TIPS Bond ETF
0.40%6.52%4.02%5.70%4.58%2.95%
VEA
Vanguard FTSE Developed Markets ETF
0.60%6.80%12.14%27.17%10.53%8.63%

David Swensen Yale Endowment PortfolioSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current David Swensen Yale Endowment Portfolio Sharpe ratio is 2.28. A Sharpe ratio higher than 2.0 is considered very good.

The chart below displays rolling 12-month Sharpe Ratio.


David Swensen Yale Endowment Portfolio
Benchmark (S&P 500)
Portfolio components

David Swensen Yale Endowment PortfolioDividends

David Swensen Yale Endowment Portfolio granted a 2.19% dividend yield in the last twelve months, as of Sep 18, 2021.


PeriodTTM20202019201820172016201520142013201220112010

Dividend yield

2.19%1.99%2.41%2.97%2.55%2.70%2.38%2.56%2.54%2.58%3.02%2.65%

David Swensen Yale Endowment PortfolioDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


David Swensen Yale Endowment Portfolio
Benchmark (S&P 500)
Portfolio components

David Swensen Yale Endowment PortfolioWorst Drawdowns

The table below shows the maximum drawdowns of the David Swensen Yale Endowment Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the David Swensen Yale Endowment Portfolio is 24.30%, recorded on Mar 18, 2020. It took 96 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.3%Feb 18, 202022Mar 18, 202096Aug 4, 2020118
-11.54%Aug 30, 201880Dec 24, 201855Mar 15, 2019135
-11.47%Jul 25, 201111Aug 8, 2011111Jan 17, 2012122
-10.53%Apr 27, 2015202Feb 11, 201678Jun 3, 2016280
-9.38%May 22, 201323Jun 24, 201387Oct 25, 2013110
-8.52%Apr 30, 201026Jun 7, 201068Sep 13, 201094
-7.68%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147
-6.58%Jan 20, 201014Feb 8, 201021Mar 10, 201035
-6.13%Sep 8, 201647Nov 11, 201667Feb 21, 2017114
-5.73%Sep 3, 202041Oct 30, 20207Nov 10, 202048

David Swensen Yale Endowment PortfolioVolatility Chart

Current David Swensen Yale Endowment Portfolio volatility is 15.27%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


David Swensen Yale Endowment Portfolio
Benchmark (S&P 500)
Portfolio components

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