Swensen Yale Endowment
StaticPromoderateBased on research by David Swensen · Swensen, D. Unconventional Success (2005)
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2005About this Strategy
Simplified Yale endowment for individuals: 50% stocks, 30% bonds (treasuries + TIPS), 20% REITs..
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Allocate 30% to VTI, 15% to VEA, 5% to VWO
- 2Allocate 15% to IEI, 15% to TIP
- 3Allocate 20% to VNQ (US REITs)
- 4Rebalance annually or when drift exceeds threshold
Key Differentiators
Research Source
Based on research by David Swensen
Swensen, D. Unconventional Success (2005)
Strategy Info
- Type
- Fixed / Strategic
- Frequency
- annual
- Next Rebalance
- Jan 409:30 ET (227d)
- Variants
- 1
- Risk Category
- moderate
- Tags
- static
- Type
- Fixed/Strategic Asset Allocation
- Trading Frequency
- Annual or on-drift rebalancing
- Number Of Holdings
- 6 ETFs
- Equity Allocation
- 50% (30% US + 15% Developed + 5% EM)
- Bond Allocation
- 30% (15% Intermediate Treasuries + 15% TIPS)
- Reit Allocation
- 20%
- Risk Level
- Moderate
Asset Classes
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 2026-05-20 (38.4 years): 8.9% CAGR, 0.77 Sharpe, -43.7% max drawdown, 11.9% volatility.
- Type
- Fixed Allocation
- Author
- David Swensen
- Rebalancing
- Annual
- Risk
- Moderate
- Period
- 1987-12-31 to 2026-05-20
- CAGR
- 8.9%
- Sharpe
- 0.77
- Max Drawdown
- -43.7%
- Volatility
- 11.9%
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.
Backtest Performance (1987-12-31 to 2026-05-20)
| Metric | Swensen Yale Endowment |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.9% |
| Maximum Drawdown | -43.7% |
| Sharpe Ratio | 0.77 |
| Sortino Ratio | 0.93 |
| Annualized Volatility | 11.9% |
| Calmar Ratio | 0.20 |
| Total Return | 2509.1% |
| Backtest Period | 38.4 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
Categories
Track Swensen Yale Endowment in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.