What is Swensen Yale Endowment?

Simplified Yale endowment for individuals: 50% stocks, 30% bonds (treasuries + TIPS), 20% REITs.

Who created the Swensen Yale Endowment strategy?

Swensen Yale Endowment was developed by David Swensen. It is based on Swensen, D. Unconventional Success (2005).

What is the historical return and maximum drawdown of Swensen Yale Endowment?

Backtested from 1987-12-31 to 2026-07-03, Swensen Yale Endowment returned 8.9% CAGR with a -43.7% maximum drawdown and a Sharpe ratio of 0.88. Past performance does not guarantee future results.

How often is Swensen Yale Endowment rebalanced?

Swensen Yale Endowment is rebalanced annual. BestFolio publishes the updated allocation signal each period.

Is Swensen Yale Endowment a fixed or tactical strategy?

Swensen Yale Endowment is a fixed-allocation (strategic) portfolio: it holds a set allocation and rebalances on schedule rather than rotating based on market signals.

Swensen Yale Endowment Strategy by David Swensen

Name: Swensen Yale Endowment, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

Swensen Yale Endowment at a glance

Swensen Yale Endowment is a fixed-allocation portfolio by David Swensen across US Equity, International Developed Equity, Emerging Markets, Intermediate Treasuries, rebalanced annual. Backtested 1987-12-31 to 2026-07-03 (38.5 years): 8.9% CAGR, 0.88 Sharpe, -43.7% max drawdown, 11.8% volatility.

Type: Fixed Allocation
Author: David Swensen
Rebalancing: Annual
Risk: Moderate
Period: 1987-12-31 to 2026-07-03
CAGR: 8.9%
Sharpe: 0.88
Max Drawdown: -43.7%
Volatility: 11.8%

Swensen Yale Endowment — Fixed Allocation Portfolio

David Swensen's simplified Yale Endowment portfolio for individual investors: 30% US stocks (VTI), 15% developed international (VEA), 5% emerging markets (VWO), 15% intermediate treasuries (IEI), 15% TIPS (TIP), and 20% REITs (VNQ). The heavy REIT and TIPS allocations are distinctive: Swensen valued real assets as inflation hedges.

Swensen Yale Endowment: frequently asked questions

What is Swensen Yale Endowment?: Simplified Yale endowment for individuals: 50% stocks, 30% bonds (treasuries + TIPS), 20% REITs.
Who created the Swensen Yale Endowment strategy?: Swensen Yale Endowment was developed by David Swensen. It is based on Swensen, D. Unconventional Success (2005).
What is the historical return and maximum drawdown of Swensen Yale Endowment?: Backtested from 1987-12-31 to 2026-07-03, Swensen Yale Endowment returned 8.9% CAGR with a -43.7% maximum drawdown and a Sharpe ratio of 0.88. Past performance does not guarantee future results.
How often is Swensen Yale Endowment rebalanced?: Swensen Yale Endowment is rebalanced annual. BestFolio publishes the updated allocation signal each period.
Is Swensen Yale Endowment a fixed or tactical strategy?: Swensen Yale Endowment is a fixed-allocation (strategic) portfolio: it holds a set allocation and rebalances on schedule rather than rotating based on market signals.

Backtest Performance (1987-12-31 to 2026-07-03)

Metric	Swensen Yale Endowment
Compound Annual Growth Rate (CAGR)	8.9%
Maximum Drawdown	-43.7%
Sharpe Ratio	0.88
Sortino Ratio	1.08
Annualized Volatility	11.8%
Calmar Ratio	0.20
Total Return	2535.8%
Backtest Period	38.5 years

Strategy Details

Type: Fixed / Strategic
Rebalancing: annual
Risk Level: moderate
Variants: 1
Author: David Swensen
Source: Swensen, D. Unconventional Success (2005)

Asset Classes

US Equity
International Developed Equity
Emerging Markets
Intermediate Treasuries
TIPS
REITs

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