Asset Allocation
Benchmark: S&P 500 Index · Rebalance: Every 3 months
Find the right asset allocation for David Swensen Yale Endowment Portfolio
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in David Swensen Yale Endowment Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.
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Returns By Period
As of Aug 3, 2026, the David Swensen Yale Endowment Portfolio returned 8.56% Year-To-Date and 7.69% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.70% | 0.09% | 7.36% | 9.41% | 20.07% | 17.84% | 11.25% | 13.26% | 8.09% |
Portfolio David Swensen Yale Endowment Portfolio | -0.12% | -0.68% | 6.10% | 8.56% | 15.60% | 11.64% | 4.75% | 7.69% | 7.23% |
| Portfolio components: | |||||||||
EEM iShares MSCI Emerging Markets ETF | 0.79% | -2.45% | 9.01% | 17.75% | 35.57% | 18.45% | 6.91% | 8.32% | 9.87% |
TIP iShares TIPS Bond ETF | -0.10% | -0.65% | 0.02% | 0.54% | 1.79% | 3.73% | 0.16% | 2.37% | 3.46% |
TLT iShares 20+ Year Treasury Bond ETF | -0.66% | -3.81% | -3.46% | -3.49% | -2.45% | -1.80% | -8.18% | -2.38% | 3.47% |
VEA Vanguard FTSE Developed Markets ETF | -0.66% | -0.27% | 7.42% | 13.84% | 29.71% | 18.08% | 9.76% | 10.05% | 5.13% |
VNQ Vanguard Real Estate ETF | -0.54% | 0.95% | 11.11% | 14.01% | 15.59% | 9.39% | 2.44% | 4.90% | 7.72% |
VTI Vanguard Total Stock Market ETF | 0.53% | -0.15% | 8.77% | 10.49% | 21.84% | 18.92% | 11.74% | 14.63% | 9.58% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 26, 2007, David Swensen Yale Endowment Portfolio's average daily return is +0.03%, while the average monthly return is +0.65%. At this rate, an investment would double in approximately 8.9 years.
Historically, 65% of months were positive and 35% were negative. The best month was Apr 2009 with a return of +11.0%, while the worst month was Oct 2008 at -17.8%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.
On a daily basis, David Swensen Yale Endowment Portfolio closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +7.6%, while the worst single day was Mar 16, 2020 at -7.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.37% | 3.05% | -5.41% | 6.67% | 2.64% | 0.24% | -0.86% | 8.56% | |||||
| 2025 | 2.29% | 1.73% | -2.25% | -0.30% | 2.51% | 3.14% | 0.36% | 2.44% | 2.37% | 0.87% | 0.68% | -0.35% | 14.23% |
| 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% |
Benchmark Metrics
David Swensen Yale Endowment Portfolio has an annualized alpha of 1.18%, beta of 0.66, and R2 of 0.84 versus S&P 500 Index. Calculated based on daily prices since July 26, 2007.
- This portfolio participated in 73.97% of S&P 500 Index downside but only 69.69% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.66 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.18%
- Beta
- 0.66
- R²
- 0.84
- Upside Capture
- 69.69%
- Downside Capture
- 73.97%
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.
Return for Risk
Risk / Return Rank
David Swensen Yale Endowment Portfolio ranks 48 for risk / return — above 48% of Portfolios peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.
Risk / Return Metrics
The table below presents risk-adjusted performance metrics for David Swensen Yale Endowment Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.61 | 1.42 | +0.20 |
| Sortino ratioReturn per unit of downside risk | 2.29 | 1.98 | +0.31 |
| Omega ratioGain probability vs. loss probability | 1.30 | 1.25 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.08 | 2.00 | +0.08 |
| Martin ratioReturn relative to average drawdown | 8.74 | 8.49 | +0.24 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
EEM iShares MSCI Emerging Markets ETF | 61 | 1.42 | 1.93 | 1.27 | 2.44 | 7.49 |
TIP iShares TIPS Bond ETF | 32 | 0.74 | 1.10 | 1.13 | 1.27 | 3.39 |
TLT iShares 20+ Year Treasury Bond ETF | 9 | -0.11 | -0.10 | 0.99 | -0.14 | -0.30 |
VEA Vanguard FTSE Developed Markets ETF | 73 | 1.71 | 2.37 | 1.31 | 2.53 | 9.44 |
VNQ Vanguard Real Estate ETF | 46 | 1.11 | 1.62 | 1.20 | 1.84 | 5.97 |
VTI Vanguard Total Stock Market ETF | 65 | 1.52 | 2.12 | 1.27 | 2.23 | 9.62 |
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Dividends
Dividend yield
David Swensen Yale Endowment Portfolio provided a 2.78% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.78% | 2.90% | 2.80% | 2.74% | 3.29% | 2.32% | 1.99% | 2.41% | 2.97% | 2.54% | 2.70% | 2.38% |
| Portfolio components: | ||||||||||||
EEM iShares MSCI Emerging Markets ETF | 1.74% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
TIP iShares TIPS Bond ETF | 4.22% | 3.46% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% |
TLT iShares 20+ Year Treasury Bond ETF | 4.34% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VEA Vanguard FTSE Developed Markets ETF | 2.57% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
VNQ Vanguard Real Estate ETF | 3.51% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTI Vanguard Total Stock Market ETF | 1.06% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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 1.33%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-43.81%Mar 2009 | 1y 4mo | 1y 7mo | 2y 11moNov 2007 - Oct 2010 | Financial crisis2007–2009 |
-26.64%Oct 2022 | 9mo 17d | 1y 11mo | 2y 8moDec 2021 - Sep 2024 | Bear market2022 |
-24.30%Mar 2020 | 29d | 4mo 19d | 5mo 18dFeb 2020 - Aug 2020 | COVID crash2020 |
-11.54%Dec 2018 | 3mo 26d | 2mo 21d | 6mo 17dAug 2018 - Mar 2019 | Rate-hike selloffLate 2018 |
-11.47%Aug 2011 | 14d | 5mo 12d | 5mo 26dJul 2011 - Jan 2012 | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a balanced multi-asset allocation: 70% equities and REITs, 30% bonds, with the bond sleeve designed to respond differently to inflation and growth shocks.
The numbers
- Diversification ratio: 1.29–1.34, around the platform median, rising to the 64th percentile over 10 years.
- Effective asset count: 5.0 of 6, indicating weights are broadly distributed rather than concentrated.
- Correlations range from -0.26 to 0.83, with a mean of 0.26. The diversification benefit is real, though not theatrical.
The good
- Long-term Treasury bonds (TLT) have near-zero portfolio correlation at 0.02 and negative correlation with VTI, VEA, and EEM, providing the portfolio’s clearest ballast.
- Treasury Inflation-Protected Securities (TIP) add a separate inflation-sensitive bond cluster rather than simply repeating TLT.
- The equity exposure spans U.S., developed foreign, emerging markets, and real estate.
The bad
- Vanguard Total Stock Market ETF (VTI), Vanguard FTSE Developed Markets ETF (VEA), and Vanguard FTSE Emerging Markets ETF (EEM) form a highly correlated equity cluster, with pairwise correlations up to 0.83.
- Vanguard Real Estate ETF (VNQ) is still 0.83 correlated with the portfolio, so its diversification is less independent than its label suggests.
The ugly
- A global equity selloff could pull VTI, VEA, EEM, and VNQ together, leaving TLT and TIP to carry most of the diversification burden.
Next steps
- Portfolios with this structure are typically complemented by exposures whose drivers sit outside both equity risk and interest-rate risk.
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. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.32 | 1.29 | 1.30 | 1.32 | 1.34 |
The portfolio has a diversification ratio of 1.34, in line with the typical range across portfolios.
David Swensen Yale Endowment Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.83 |
Correlation (3Y) Balances recent behavior with more history. | 0.82 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.86 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.85 |
Correlation (All Time) Calculated using the full available price history since Jul 26, 2007 | 0.88 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while TLT has the lowest at -0.26.
Asset Correlations Table
Find what David Swensen Yale Endowment Portfolio is missing
See which holdings overlap, where David Swensen Yale Endowment Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification