Swensen Yale Endowment — Fixed Allocation Portfolio
Simplified Yale endowment for individuals: 50% stocks, 30% bonds (treasuries + TIPS), 20% REITs.
Backtest Performance (1991-11-29 to 2026-04-07)
| Metric | Swensen Yale Endowment |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.4% |
| Maximum Drawdown | -43.6% |
| Sharpe Ratio | 0.71 |
| Sortino Ratio | 0.87 |
| Annualized Volatility | 12.4% |
| Calmar Ratio | 0.19 |
| Total Return | 1487.9% |
| Backtest Period | 34.3 years |
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- annual
- Risk Level
- moderate
- Variants
- 1
- Author
- David Swensen
Categories
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