PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

David Swensen Yale Endowment Portfolio

Last updated Mar 2, 2024

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


TLT 15%TIP 15%VTI 30%VEA 15%EEM 5%VNQ 20%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

15%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

15%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

30%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

15%

EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

5%

VNQ
Vanguard Real Estate ETF
REIT

20%

S&P 500

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


140.00%160.00%180.00%200.00%220.00%240.00%OctoberNovemberDecember2024FebruaryMarch
190.29%
246.48%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 26, 2007, corresponding to the inception date of VEA

Returns

As of Mar 2, 2024, the David Swensen Yale Endowment Portfolio returned 1.66% Year-To-Date and 6.59% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
David Swensen Yale Endowment Portfolio1.66%3.04%8.16%12.35%6.77%6.59%
VNQ
Vanguard Real Estate ETF
-2.03%3.19%7.24%5.55%4.46%6.04%
EEM
iShares MSCI Emerging Markets ETF
0.67%5.44%4.08%6.07%1.32%2.48%
TLT
iShares 20+ Year Treasury Bond ETF
-3.85%-1.64%1.54%-1.61%-2.28%1.15%
VTI
Vanguard Total Stock Market ETF
7.45%6.27%14.35%29.27%13.89%11.99%
TIP
iShares TIPS Bond ETF
-0.34%-0.68%2.69%3.04%2.66%1.98%
VEA
Vanguard FTSE Developed Markets ETF
2.71%3.84%9.53%14.22%6.85%4.76%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.35%2.14%
2023-2.78%-5.07%-3.12%8.83%6.21%

Sharpe Ratio

The current David Swensen Yale Endowment Portfolio Sharpe ratio is 1.17. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.17

The Sharpe ratio of David Swensen Yale Endowment Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.17
2.44
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

David Swensen Yale Endowment Portfolio granted a 2.75% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
David Swensen Yale Endowment Portfolio2.75%2.74%3.29%2.32%1.99%2.41%2.97%2.54%2.70%2.38%2.56%2.54%
VNQ
Vanguard Real Estate ETF
4.03%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
EEM
iShares MSCI Emerging Markets ETF
2.61%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
TLT
iShares 20+ Year Treasury Bond ETF
3.62%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
VTI
Vanguard Total Stock Market ETF
1.34%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
TIP
iShares TIPS Bond ETF
2.74%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
VEA
Vanguard FTSE Developed Markets ETF
3.07%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Expense Ratio

The David Swensen Yale Endowment Portfolio features an expense ratio of 0.13%, 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%
0.15%
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
^GSPC
S&P 500
2.44
David Swensen Yale Endowment Portfolio
1.17
VNQ
Vanguard Real Estate ETF
0.35
EEM
iShares MSCI Emerging Markets ETF
0.43
TLT
iShares 20+ Year Treasury Bond ETF
-0.14
VTI
Vanguard Total Stock Market ETF
2.31
TIP
iShares TIPS Bond ETF
0.46
VEA
Vanguard FTSE Developed Markets ETF
1.07

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

TIPTLTVNQEEMVEAVTI
TIP1.000.73-0.01-0.08-0.08-0.14
TLT0.731.00-0.11-0.26-0.28-0.31
VNQ-0.01-0.111.000.540.590.70
EEM-0.08-0.260.541.000.830.76
VEA-0.08-0.280.590.831.000.84
VTI-0.14-0.310.700.760.841.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-8.20%
0
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components

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 8.20%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.81%Nov 1, 2007339Mar 9, 2009399Oct 6, 2010738
-26.64%Dec 31, 2021199Oct 14, 2022
-24.3%Feb 18, 202022Mar 18, 202096Aug 4, 2020118
-11.54%Aug 30, 201880Dec 24, 201855Mar 15, 2019135
-11.47%Jul 25, 201111Aug 8, 2011111Jan 17, 2012122

Volatility Chart

The current David Swensen Yale Endowment Portfolio volatility is 3.22%, 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%3.00%4.00%5.00%OctoberNovemberDecember2024FebruaryMarch
3.22%
3.47%
David Swensen Yale Endowment Portfolio
Benchmark (^GSPC)
Portfolio components
0 comments