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David Swensen Yale Endowment Portfolio

Last updated Sep 23, 2023

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


TIP 20%VTI 40%VEA 20%EEM 10%VNQ 10%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds20%
VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities40%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities20%
EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities10%
VNQ
Vanguard Real Estate ETF
REIT10%

Performance

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 Quarterly


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
3.78%
8.61%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 23, 2023, the David Swensen Yale Endowment Portfolio returned 6.61% Year-To-Date and 6.59% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.94%8.79%12.52%16.97%8.21%9.81%
David Swensen Yale Endowment Portfolio-1.46%3.84%6.61%12.23%5.42%6.58%
VNQ
Vanguard Real Estate ETF
-4.32%-0.60%-4.10%-3.86%2.85%5.50%
EEM
iShares MSCI Emerging Markets ETF
-1.13%0.26%2.30%9.40%0.02%1.29%
VTI
Vanguard Total Stock Market ETF
-1.91%9.30%13.03%17.85%9.19%11.21%
TIP
iShares TIPS Bond ETF
-0.46%-2.98%0.18%-0.41%2.14%1.69%
VEA
Vanguard FTSE Developed Markets ETF
-0.35%3.81%7.92%23.85%3.34%4.09%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

TIPVNQEEMVEAVTI
TIP1.00-0.02-0.09-0.09-0.15
VNQ-0.021.000.540.590.70
EEM-0.090.541.000.830.76
VEA-0.090.590.831.000.84
VTI-0.150.700.760.841.00

Sharpe Ratio

The current David Swensen Yale Endowment Portfolio Sharpe ratio is 0.65. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.65

The Sharpe ratio of David Swensen Yale Endowment Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.65
0.81
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

David Swensen Yale Endowment Portfolio granted a 2.34% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
David Swensen Yale Endowment Portfolio2.34%3.34%2.57%1.88%2.51%3.09%2.64%2.80%2.54%2.96%2.69%3.17%
VNQ
Vanguard Real Estate ETF
3.69%4.00%2.71%4.28%3.85%5.57%5.21%6.19%5.28%5.05%6.30%5.41%
EEM
iShares MSCI Emerging Markets ETF
2.33%2.52%2.06%1.53%2.95%2.45%2.11%2.15%2.89%2.65%2.49%2.08%
VTI
Vanguard Total Stock Market ETF
1.56%1.68%1.25%1.48%1.88%2.21%1.88%2.15%2.27%2.06%2.07%2.58%
TIP
iShares TIPS Bond ETF
2.42%7.09%4.64%1.32%2.01%3.16%2.49%1.81%0.42%2.08%1.45%2.84%
VEA
Vanguard FTSE Developed Markets ETF
3.13%2.97%3.32%2.22%3.38%3.84%3.27%3.71%3.66%4.75%3.47%4.08%

Expense Ratio

The David Swensen Yale Endowment Portfolio features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.68%
0.00%2.15%
0.19%
0.00%2.15%
0.12%
0.00%2.15%
0.05%
0.00%2.15%
0.03%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
VNQ
Vanguard Real Estate ETF
-0.29
EEM
iShares MSCI Emerging Markets ETF
0.33
VTI
Vanguard Total Stock Market ETF
0.82
TIP
iShares TIPS Bond ETF
-0.24
VEA
Vanguard FTSE Developed Markets ETF
1.11

Drawdowns Chart

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


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-12.64%
-9.93%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

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 49.74%, recorded on Mar 9, 2009. It took 493 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.74%Nov 1, 2007339Mar 9, 2009493Feb 18, 2011832
-28.33%Feb 13, 202027Mar 23, 2020102Aug 17, 2020129
-24.6%Jan 4, 2022197Oct 14, 2022
-17.5%May 2, 2011108Oct 3, 201199Feb 24, 2012207
-14.9%Apr 27, 2015202Feb 11, 2016116Jul 28, 2016318

Volatility Chart

The current David Swensen Yale Endowment Portfolio volatility is 2.83%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
2.83%
3.41%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components