David Swensen Yale Endowment Portfolio
The Yale CIO's six-fund model for individuals - equity-heavy with REITs, Treasuries, and TIPS.
US Total Market Backfill (estimated to 1926)1926-07-31 → 2026-06-30Estimated from 1926 to VTI's 2001 inception using the US total-market return (Ken French Data Library), minus the fund's expense ratio, then chain-linked to the real VTI fund. The dashed part of the chart is estimated - an index proxy, not the fund's real record.
%
backfill estimated before VTI's 2001 inception, from the US total-market return (Ken French Data Library).
US Real Estate Backfill (estimated to 1926)1926-07-31 → 2026-06-30Estimated from 1926 to VNQ's 2004 inception using US real-estate industry returns (Ken French), minus the fund's expense ratio, then chain-linked to the real VNQ fund. The dashed part of the chart is estimated - an index proxy, not the fund's real record.
%
backfill estimated before VNQ's 2004 inception, from US real-estate industry returns (Ken French).
Developed ex-US Backfill (estimated to 1990)1990-07-31 → 2026-06-30Estimated from 1990 to EFA's 2005 inception using developed ex-US market returns (Ken French), minus the fund's expense ratio, then chain-linked to the real EFA fund. The dashed part of the chart is estimated - an index proxy, not the fund's real record.
%
backfill estimated before EFA's 2005 inception, from developed ex-US market returns (Ken French).
Emerging Markets Backfill (estimated to 1989)1989-07-31 → 2026-06-30Estimated from 1989 to EEM's 2003 inception using emerging-market returns (Ken French), minus the fund's expense ratio, then chain-linked to the real EEM fund. The dashed part of the chart is estimated - an index proxy, not the fund's real record.
%
backfill estimated before EEM's 2003 inception, from emerging-market returns (Ken French).
Intermediate Treasury Backfill (7-10yr, estimated to 1953)1953-05-31 → 2026-06-30Estimated from 1953 to IEF's 2002 inception using the 10-year Treasury yield (FRED), modeled as a constant-maturity bond, minus the fund's expense ratio, then chain-linked to the real IEF fund. The dashed part of the chart is estimated - an index proxy, not the fund's real record.
%
backfill estimated before IEF's 2002 inception, from the 10-year Treasury yield (FRED), modeled as a constant-maturity bond.
iShares TIPS Bond ETF2004-01-31 → 2026-06-30click to change
%
Total 100%
Data window David Swensen Yale Endowment Portfolio: 2004-01-31 → 2026-06-30 · start: TIP
Dashed = estimated before the fund existed (reconstructed from its tracked index): EMKTX from 1989-07-31 · IEFX from 1953-05-31 · INTLX from 1990-07-31 · REITX from 1926-07-31 · USTOTX from 1926-07-31
Portfolio growth
David Swensen Yale Endowment Portfolio
CAGR7.71%
Max Drawdown-40.84%
Volatility11.47%
Sharpe0.56
Final balance$53,220
Total return432.20%
Drawdown
Annual returns
More statistics
| David Swensen Yale Endowment Portfolio | |
|---|---|
| Total Return | 432.20% |
| Sortino | 0.69 |
| Best Year | 21.98% |
| Worst Year | -24.67% |
| Positive Months | 66.67% |
| Annualized Return (mean) | 8.12% |