PortfoliosLab logo

David Swensen Yale Endowment Portfolio

Last updated Nov 29, 2022
Expense Ratio

Rank 36 of 54

0.13%
0.00%0.94%
Dividend Yield

Rank 5 of 54

3.35%
0.00%4.59%
10Y Annualized Return

Rank 35 of 54

7.21%
3.43%53.98%
Sharpe Ratio

Rank 44 of 54

-0.87
-1.170.32
Maximum Drawdown

Rank 18 of 54

-27.67%
-91.88%-19.55%

David Swensen Yale Endowment PortfolioAsset Allocation


David Swensen Yale Endowment PortfolioPerformance

The chart shows the growth of $10,000 invested in David Swensen Yale Endowment Portfolio in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $26,270 for a total return of roughly 162.70%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovember
-7.93%
-5.25%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

David Swensen Yale Endowment PortfolioReturns

As of Nov 29, 2022, the David Swensen Yale Endowment Portfolio returned -19.84% Year-To-Date and 7.21% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark1.45%-4.82%-16.96%-13.86%8.56%10.84%
David Swensen Yale Endowment Portfolio3.76%-8.09%-19.71%-17.31%4.63%6.69%
VNQ
Vanguard Real Estate ETF
1.97%-14.08%-25.31%-19.02%3.94%6.96%
EEM
iShares MSCI Emerging Markets ETF
12.02%-7.88%-20.70%-19.28%-1.69%1.22%
TLT
iShares 20+ Year Treasury Bond ETF
5.61%-13.28%-29.90%-30.83%-2.08%0.34%
VTI
Vanguard Total Stock Market ETF
1.53%-3.92%-16.94%-14.72%9.81%12.59%
TIP
iShares TIPS Bond ETF
0.21%-7.33%-12.39%-12.16%2.02%0.87%
VEA
Vanguard FTSE Developed Markets ETF
9.57%-5.29%-15.05%-11.82%2.08%5.33%

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 -0.87. 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.


-1.50-1.00-0.500.00JulyAugustSeptemberOctoberNovember
-1.05
-0.63
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

David Swensen Yale Endowment PortfolioDividends

David Swensen Yale Endowment Portfolio granted a 3.36% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

3.36%2.38%2.09%2.59%3.29%2.91%3.18%2.88%3.18%3.26%3.43%4.05%3.69%

David Swensen Yale Endowment PortfolioDrawdowns Chart

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


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2022FebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovember
-19.76%
-17.49%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
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 26.64%, recorded on Oct 14, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-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
-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

David Swensen Yale Endowment PortfolioVolatility Chart

Current David Swensen Yale Endowment Portfolio volatility is 17.89%. 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.


10.00%15.00%20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovember
10.63%
13.39%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components