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
Performance Chart
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The earliest data available for this chart is Jul 26, 2007, corresponding to the inception date of VEA
Returns By Period
As of Jun 21, 2025, the David Swensen Yale Endowment Portfolio returned 4.58% Year-To-Date and 6.63% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.47% | 2.11% | 0.62% | 9.04% | 14.01% | 10.88% |
| David Swensen Yale Endowment Portfolio | 4.58% | 2.02% | 4.30% | 8.54% | 6.47% | 6.63% |
| Portfolio components: | ||||||
VNQ Vanguard Real Estate ETF | 1.88% | 2.78% | 2.57% | 11.69% | 6.30% | 5.68% |
EEM iShares MSCI Emerging Markets ETF | 11.86% | 1.27% | 10.67% | 11.09% | 5.37% | 3.58% |
TLT iShares 20+ Year Treasury Bond ETF | 0.80% | 3.38% | -0.31% | -4.07% | -9.37% | -0.34% |
VTI Vanguard Total Stock Market ETF | 1.61% | 2.32% | 0.73% | 10.66% | 15.01% | 12.14% |
TIP iShares TIPS Bond ETF | 3.99% | 1.32% | 4.00% | 4.52% | 1.31% | 2.47% |
VEA Vanguard FTSE Developed Markets ETF | 15.55% | 0.18% | 16.15% | 13.79% | 10.37% | 5.91% |
Monthly Returns
The table below presents the monthly returns of David Swensen Yale Endowment Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.29% | 1.73% | -2.25% | -0.30% | 2.51% | 0.59% | 4.58% | ||||||
| 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% |
| 2020 | 0.93% | -3.89% | -9.78% | 7.77% | 2.87% | 2.24% | 4.28% | 2.56% | -1.94% | -2.25% | 8.51% | 3.25% | 13.93% |
| 2019 | 6.84% | 1.29% | 2.51% | 1.43% | -1.88% | 3.82% | 0.41% | 1.66% | 0.84% | 1.38% | 1.07% | 1.54% | 22.76% |
| 2018 | 1.22% | -4.32% | 0.62% | 0.01% | 1.56% | 0.81% | 1.34% | 1.39% | -0.95% | -5.19% | 2.21% | -4.35% | -5.87% |
| 2017 | 1.65% | 2.35% | 0.10% | 1.09% | 1.10% | 0.86% | 1.51% | 0.77% | 0.63% | 0.90% | 1.68% | 1.18% | 14.68% |
| 2016 | -2.39% | 0.14% | 5.97% | 0.01% | 0.76% | 2.75% | 3.35% | -0.79% | -0.04% | -2.94% | -0.93% | 1.86% | 7.66% |
| 2015 | 2.58% | 0.80% | -0.17% | -0.48% | -0.40% | -2.75% | 2.32% | -4.85% | -0.68% | 4.87% | -0.33% | -0.98% | -0.40% |
| 2014 | -0.07% | 3.63% | 0.42% | 1.46% | 2.27% | 1.30% | -0.78% | 2.84% | -3.55% | 3.38% | 1.55% | 0.04% | 12.98% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of David Swensen Yale Endowment Portfolio is 51, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VNQ Vanguard Real Estate ETF | 0.65 | 0.99 | 1.13 | 0.54 | 1.95 |
EEM iShares MSCI Emerging Markets ETF | 0.58 | 1.01 | 1.13 | 0.44 | 1.97 |
TLT iShares 20+ Year Treasury Bond ETF | -0.29 | -0.28 | 0.97 | -0.09 | -0.43 |
VTI Vanguard Total Stock Market ETF | 0.53 | 0.88 | 1.13 | 0.55 | 2.05 |
TIP iShares TIPS Bond ETF | 0.97 | 1.45 | 1.18 | 0.55 | 3.02 |
VEA Vanguard FTSE Developed Markets ETF | 0.81 | 1.28 | 1.17 | 1.06 | 3.24 |
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Dividends
Dividend yield
David Swensen Yale Endowment Portfolio provided a 2.78% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.78% | 2.80% | 2.74% | 3.29% | 2.32% | 1.99% | 2.41% | 2.97% | 2.55% | 2.70% | 2.38% | 2.56% |
| Portfolio components: | ||||||||||||
VNQ Vanguard Real Estate ETF | 4.04% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
EEM iShares MSCI Emerging Markets ETF | 2.54% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% | 2.23% |
TLT iShares 20+ Year Treasury Bond ETF | 4.39% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% |
VTI Vanguard Total Stock Market ETF | 1.28% | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
TIP iShares TIPS Bond ETF | 2.49% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% |
VEA Vanguard FTSE Developed Markets ETF | 2.84% | 3.36% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
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 1.25%.
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 | 479 | Sep 12, 2024 | 678 |
| -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 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
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. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | TIP | TLT | VNQ | EEM | VEA | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.12 | -0.28 | 0.68 | 0.75 | 0.83 | 0.99 | 0.88 |
| TIP | -0.12 | 1.00 | 0.73 | 0.02 | -0.07 | -0.06 | -0.12 | 0.13 |
| TLT | -0.28 | 0.73 | 1.00 | -0.08 | -0.24 | -0.25 | -0.28 | -0.01 |
| VNQ | 0.68 | 0.02 | -0.08 | 1.00 | 0.53 | 0.59 | 0.69 | 0.85 |
| EEM | 0.75 | -0.07 | -0.24 | 0.53 | 1.00 | 0.82 | 0.75 | 0.76 |
| VEA | 0.83 | -0.06 | -0.25 | 0.59 | 0.82 | 1.00 | 0.83 | 0.84 |
| VTI | 0.99 | -0.12 | -0.28 | 0.69 | 0.75 | 0.83 | 1.00 | 0.89 |
| Portfolio | 0.88 | 0.13 | -0.01 | 0.85 | 0.76 | 0.84 | 0.89 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that certain positions, particularly VNQ (real estate), VEA (developed international equities), and EEM (emerging markets equities), have relatively high positive correlations with each other (ranging from 0.53 to 0.82) and also show strong correlations with the portfolio overall (0.76 to 0.85). This clustering suggests these equity-related positions collectively dominate the portfolio’s behavior, potentially reducing diversification benefits within the equity segment.
Conversely, TIP (Treasury Inflation-Protected Securities) and TLT (long-term US Treasuries) show low to negative correlations with the equity positions and the portfolio itself, with correlations often near zero or negative (e.g., TIP with VNQ at 0.02, TLT with EEM at -0.24). These fixed income positions provide valuable diversification by behaving differently from the equity holdings, helping to mitigate portfolio volatility.
The portfolio’s correlation with VTI (total US equities) is high at 0.89, indicating that despite the inclusion of international and fixed income assets, the portfolio’s overall performance is still closely tied to broad US equity market movements. This suggests that the equity component, especially VNQ, VEA, and EEM, heavily influences the portfolio’s returns.
In summary, while the portfolio includes asset classes that enhance diversification (notably TIP and TLT), the strong inter-correlations among the equity positions and their dominance in the portfolio imply a moderate concentration in equities. The portfolio is not overly concentrated but leans toward equity risk, with fixed income assets providing some counterbalance. This structure aligns with a strategy seeking growth through equities while managing risk through inflation-protected and long-duration bonds.