Asset Allocation
Performance
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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The earliest data available for this chart is Jul 26, 2007, corresponding to the inception date of VEA
Returns By Period
As of Apr 2, 2026, the David Swensen Yale Endowment Portfolio returned 0.65% Year-To-Date and 7.49% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio David Swensen Yale Endowment Portfolio | 0.29% | -2.90% | 0.65% | 1.47% | 12.24% | 10.25% | 4.82% | 7.49% |
| Portfolio components: | ||||||||
VNQ Vanguard Real Estate ETF | 1.36% | -4.43% | 3.06% | 1.04% | 2.95% | 7.33% | 3.14% | 4.85% |
EEM iShares MSCI Emerging Markets ETF | -1.12% | -3.13% | 3.44% | 6.16% | 32.02% | 15.51% | 3.38% | 7.67% |
TLT iShares 20+ Year Treasury Bond ETF | 0.61% | -2.56% | 0.69% | -0.91% | -0.77% | -2.76% | -5.75% | -1.34% |
VTI Vanguard Total Stock Market ETF | 0.16% | -3.26% | -3.13% | -1.24% | 17.86% | 18.10% | 10.66% | 13.75% |
TIP iShares TIPS Bond ETF | 0.41% | -0.62% | 0.82% | 0.60% | 3.34% | 3.06% | 1.33% | 2.52% |
VEA Vanguard FTSE Developed Markets ETF | -0.77% | -2.79% | 3.65% | 8.84% | 30.37% | 16.09% | 8.76% | 9.49% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 27, 2007, David Swensen Yale Endowment Portfolio's average daily return is +0.03%, while the average monthly return is +0.63%. At this rate, your investment would double in approximately 9.2 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 54% 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% | 0.87% | 0.65% | ||||||||
| 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 1.24%, beta of 0.66, and R² of 0.84 versus S&P 500 Index. Calculated based on daily prices since July 27, 2007.
- This portfolio participated in 74.18% of S&P 500 Index downside but only 70.30% 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
- 1.24%
- Beta
- 0.66
- R²
- 0.84
- Upside Capture
- 70.30%
- Downside Capture
- 74.18%
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 29 for risk / return — below 29% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.01 | 0.88 | +0.13 |
Sortino ratioReturn per unit of downside risk | 1.49 | 1.37 | +0.12 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.21 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.39 | 1.39 | 0.00 |
Martin ratioReturn relative to average drawdown | 6.07 | 6.43 | -0.37 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VNQ Vanguard Real Estate ETF | 16 | 0.18 | 0.36 | 1.05 | 0.29 | 1.11 |
EEM iShares MSCI Emerging Markets ETF | 77 | 1.59 | 2.16 | 1.32 | 2.38 | 8.92 |
TLT iShares 20+ Year Treasury Bond ETF | 10 | -0.07 | -0.01 | 1.00 | -0.09 | -0.19 |
VTI Vanguard Total Stock Market ETF | 54 | 0.94 | 1.47 | 1.22 | 1.53 | 7.16 |
TIP iShares TIPS Bond ETF | 35 | 0.80 | 1.11 | 1.14 | 1.16 | 3.36 |
VEA Vanguard FTSE Developed Markets ETF | 83 | 1.73 | 2.36 | 1.35 | 2.64 | 10.14 |
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Dividends
Dividend yield
David Swensen Yale Endowment Portfolio provided a 2.76% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.76% | 2.90% | 2.80% | 2.74% | 3.29% | 2.32% | 1.99% | 2.41% | 2.97% | 2.54% | 2.70% | 2.38% |
| Portfolio components: | ||||||||||||
VNQ Vanguard Real Estate ETF | 3.86% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
EEM iShares MSCI Emerging Markets ETF | 2.15% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
TLT iShares 20+ Year Treasury Bond ETF | 4.51% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VTI Vanguard Total Stock Market ETF | 1.16% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
TIP iShares TIPS Bond ETF | 2.79% | 3.46% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% |
VEA Vanguard FTSE Developed Markets ETF | 2.90% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
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 4.89%.
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 | -0.27 | 0.67 | 0.75 | 0.83 | 0.99 | 0.88 |
| TIP | -0.12 | 1.00 | 0.74 | 0.03 | -0.06 | -0.04 | -0.11 | 0.14 |
| TLT | -0.27 | 0.74 | 1.00 | -0.07 | -0.23 | -0.23 | -0.27 | 0.01 |
| VNQ | 0.67 | 0.03 | -0.07 | 1.00 | 0.52 | 0.59 | 0.68 | 0.84 |
| EEM | 0.75 | -0.06 | -0.23 | 0.52 | 1.00 | 0.82 | 0.75 | 0.76 |
| VEA | 0.83 | -0.04 | -0.23 | 0.59 | 0.82 | 1.00 | 0.83 | 0.84 |
| VTI | 0.99 | -0.11 | -0.27 | 0.68 | 0.75 | 0.83 | 1.00 | 0.89 |
| Portfolio | 0.88 | 0.14 | 0.01 | 0.84 | 0.76 | 0.84 | 0.89 | 1.00 |