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David Swensen Yale Endowment Portfolio

Last updated Mar 30, 2023

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.

Expense Ratio

Rank 37 of 55

Dividend Yield

Rank 6 of 55

10Y Annualized Return

Rank 30 of 55

Sharpe Ratio

Rank 52 of 55

Maximum Drawdown

Rank 35 of 55


Asset Allocation


The chart shows the growth of $10,000 invested in David Swensen Yale Endowment Portfolio in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $25,867 for a total return of roughly 158.67%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly

David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components


As of Mar 30, 2023, the David Swensen Yale Endowment Portfolio returned 3.52% Year-To-Date and 6.20% of annualized return in the last 10 years.

1 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
David Swensen Yale Endowment Portfolio0.38%3.52%9.52%-12.66%5.29%6.20%
Vanguard Real Estate ETF
iShares MSCI Emerging Markets ETF
iShares 20+ Year Treasury Bond ETF
Vanguard Total Stock Market ETF
iShares TIPS Bond ETF
Vanguard FTSE Developed Markets ETF

Sharpe 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 -0.75. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.

David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components


David Swensen Yale Endowment Portfolio granted a 3.65% dividend yield in the last twelve months.


Dividend yield


Drawdowns Chart

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

David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Worst 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 43.81%, recorded on Mar 9, 2009. It took 399 trading sessions for the portfolio to recover.



To Bottom


To Recover



-43.81%Nov 1, 2007339Mar 9, 2009399Oct 6, 2010738
-26.64%Dec 31, 2021199Oct 14, 2022
-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
-7.68%Jan 29, 20189Feb 8, 2018138Aug 27, 2018147
-6.13%Sep 8, 201647Nov 11, 201667Feb 21, 2017114
-5.73%Sep 3, 202041Oct 30, 20207Nov 10, 202048

Volatility Chart

Current David Swensen Yale Endowment Portfolio volatility is 12.03%. 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 (^GSPC)
Portfolio components