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
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
Returns
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 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 1.46% | 4.90% | 10.43% | -11.97% | 8.82% | 9.89% |
| David Swensen Yale Endowment Portfolio | 0.38% | 3.52% | 9.52% | -12.66% | 5.29% | 6.20% |
| Portfolio components: | ||||||
VNQ Vanguard Real Estate ETF | -5.43% | -1.73% | 2.72% | -22.11% | 5.10% | 5.43% |
EEM iShares MSCI Emerging Markets ETF | 2.14% | 3.22% | 11.88% | -11.38% | -2.01% | 1.26% |
TLT iShares 20+ Year Treasury Bond ETF | 3.57% | 5.31% | 4.87% | -17.52% | -1.02% | 1.17% |
VTI Vanguard Total Stock Market ETF | 0.66% | 5.02% | 10.88% | -11.39% | 9.93% | 11.46% |
TIP iShares TIPS Bond ETF | 2.84% | 2.96% | 4.58% | -6.98% | 2.66% | 1.28% |
VEA Vanguard FTSE Developed Markets ETF | 1.31% | 6.21% | 24.62% | -4.56% | 3.07% | 5.09% |
| Returns over 1 year are annualized | ||||||
Dividends
David Swensen Yale Endowment Portfolio granted a 3.65% dividend yield in the last twelve months.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dividend yield | 3.65% | 3.30% | 2.41% | 2.12% | 2.62% | 3.34% | 2.95% | 3.23% | 2.92% | 3.23% | 3.32% | 3.47% |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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.
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 | — | — | — |
| -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 |
| -10.53% | Apr 27, 2015 | 202 | Feb 11, 2016 | 78 | Jun 3, 2016 | 280 |
| -9.38% | May 22, 2013 | 23 | Jun 24, 2013 | 87 | Oct 25, 2013 | 110 |
| -7.68% | Jan 29, 2018 | 9 | Feb 8, 2018 | 138 | Aug 27, 2018 | 147 |
| -6.13% | Sep 8, 2016 | 47 | Nov 11, 2016 | 67 | Feb 21, 2017 | 114 |
| -5.73% | Sep 3, 2020 | 41 | Oct 30, 2020 | 7 | Nov 10, 2020 | 48 |
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.