David Swensen Yale Endowment To EUR Portfolio: Rebalancing Strategy

Data Source: from January 1985 to October 2024
Consolidated Returns as of 31 October 2024

Managing the David Swensen Yale Endowment To EUR Portfolio with a yearly rebalancing, you would have obtained a 8.44% compound annual return in the last 30 Years.

With a quarterly rebalancing, over the same period, the return would have been 8.36%.

How do returns and drawdowns change, implementing different rebalancing strategies?

Rebalancing Strategies

In order to keep risk under control, you should rebalance assets quotes from time to time, so to keep them at the original percentage of the asset allocation.

Rebalancing can be performed in several ways.

At fixed time intervals:
  • Yearly: Jan 1st
  • Half Yearly: Jan 1st, Jul 1st
  • Quarterly: Jan 1st, Apr 1st, Jul 1st, Oct 1st
When a component (at least one) diverges from its original weight beyond a certain threshold (e.g. 5% or 10%).

Portfolio Returns as of Oct 31, 2024

Implementing different rebalancing strategies, the David Swensen Yale Endowment To EUR Portfolio guaranteed the following returns.

According to the available data source, we assume we built the portfolio on January 1985.

Portfolio returns are calculated in EUR, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends, if existing
  • the adjustment for actual currency exchange rates (simulation derived from original US returns)
DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO RETURNS
Period: January 1985 - October 2024
Annualized Returns
Swipe left to see all data
Return (%) and number of rebalances as of Oct 31, 2024
Rebalancing Strategy 1Y 5Y 10Y 30Y MAX
(~40Y)
No Rebalancing 29.73 (0) 9.78 (0) 9.57 (0) 8.44 (0) 7.88 (0)
Yearly Rebalancing 24.22 (1) 7.92 (5) 8.20 (10) 8.51 (30) 7.99 (40)
Half Yearly Rebalancing 24.31 (2) 7.88 (10) 8.19 (20) 8.36 (60) 7.85 (80)
Quarterly Rebalancing 24.25 (4) 7.94 (20) 8.28 (40) 8.44 (120) 7.91 (160)
5% Tolerance per asset 24.72 (1) 8.08 (2) 8.36 (3) 8.51 (10) 7.96 (13)
10% Tolerance per asset 24.88 (0) 8.40 (1) 8.80 (1) 8.72 (3) 8.22 (5)

In order to have complete information about the portfolio, please refer to the David Swensen Yale Endowment To EUR Portfolio: ETF allocation and returns page.

Performances as of Oct 31, 2024

Historical returns and stats of David Swensen Yale Endowment To EUR Portfolio, after implementing different rebalancing strategies.

DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO PERFORMANCES
Period: January 1985 - October 2024
Swipe left to see all data
Standard Deviation
Max Drawdown (%)
Rebalancing Strategy Return % Std Dev(%) Ret. / Std Dev MaxDD(%) Ret. / MaxDD
No Rebalancing 7.88 (0) 12.89 0.61 -40.12 0.20
Yearly Rebalancing 7.99 (40) 12.00 0.67 -34.67 0.23
Half Yearly Rebalancing 7.85 (80) 11.99 0.65 -35.60 0.22
Quarterly Rebalancing 7.91 (160) 12.03 0.66 -35.77 0.22
5% Tolerance per asset 7.96 (13) 12.09 0.66 -36.40 0.22
10% Tolerance per asset 8.22 (5) 12.50 0.66 -40.94 0.20
(*) Since Jan 1985 (~40 yrs) | Annualized Returns (and number of rebalances)

Drawdowns as of Oct 31, 2024

Historical Drawdowns of David Swensen Yale Endowment To EUR Portfolio, after implementing different rebalancing strategies.

DAVID SWENSEN YALE ENDOWMENT TO EUR PORTFOLIO DRAWDOWNS
Period: January 1985 - October 2024
Swipe left to see all data
Rebalancing
Tolerance per asset
No Rebalancing Yearly Half Yearly Quarterly 5% 10%
-40.12
Jun 2007 - Dec 2011
-34.67
Jun 2007 - May 2010
-35.60
Jun 2007 - Nov 2010
-35.77
Jun 2007 - May 2010
-36.40
Jun 2007 - Nov 2010
-40.94
Jun 2007 - Dec 2011
-33.50
Sep 2000 - Jan 2006
-27.15
Jun 2001 - Jul 2005
-27.70
Jun 2001 - Jul 2005
-27.20
Jun 2001 - Jul 2005
-27.34
Jun 2001 - Jul 2005
-24.45
Aug 1987 - Jan 1989
-24.98
Aug 1987 - Jan 1989
-25.22
Jun 1986 - Jan 1989
-25.01
Jun 1986 - Jan 1989
-24.68
Jun 1986 - Jan 1989
-24.51
Jun 1986 - Jan 1989
-24.22
Sep 1989 - May 1991
-24.07
Sep 1989 - May 1991
-24.19
Sep 1989 - May 1991
-24.42
Sep 1989 - May 1991
-24.44
Sep 1989 - May 1991
-24.12
Sep 1989 - May 1991
-23.99
Jun 2001 - May 2005
-22.28
Feb 1994 - Apr 1996
-20.94
Feb 1994 - Jan 1996
-20.95
Feb 1994 - Apr 1996
-20.84
Feb 1994 - Jan 1996
-21.47
Feb 1994 - Apr 1996
-20.78
Feb 1994 - Jan 1996
5 Worst Drawdowns - Average
-28.99 -26.43 -26.74 -26.58 -26.77 -26.88
10 Worst Drawdowns - Average
-21.68 -19.52 -19.63 -19.55 -19.80 -20.40

For a deeper insight, please refer to the David Swensen Yale Endowment To EUR Portfolio: ETF allocation and returns page.