It is the internal testing website that you are visiting. Please go to our official customer website (www.myplaniq.com).

Find A Portfolio/Ticker

Comparison Box

MyPlanIQ Advanced Investors Advanced Strategies P David Swensen Yale Individual Investor Portfolio Annual Rebalancing

P David Swensen Yale Individual Investor Portfolio Annual Rebalancing

live (public) 0.22% August 29

David Swensen, the Yale Endowment Manager, proposed this one size fit in all model portfolio for individual investors. The major difference between this portfolio and other conventional portfolios is that it emphasizes international equities (including emerging market equities) as well as real estate investment. Compared with various diversified portfolios, an interesting asset class missing is the commodities, which has been considered to be an excellent anti-inflation diversifier.  This is complemented with its emphasis on the inflation-protected treasury bonds. We assume annual rebalance although Swensen actually pointed out that in Yale’s institutional portfolio, they rebalanced daily, which, by his estimate, gave about 1-2% of excessive returns vs. annual rebalancing.

Compared with the Simpler Is Better (SIB) portfolios discussed in an article, one can see that Swensen's six assets exclude the commodities while putting emphasis on using fixed income for the purpose of inflation protection and hedging.

Note: it has been confusing whether Swensen advocated using long term treasury bonds or just an average duration treasury bonds. In his book Unconventional Success: A Fundamental Approach to Personal Investment, he wrote "The purity of noncallable, long-term, default-free Treasury bonds provides the most powerful diversification to investor portfolios".  Based on this sentence, it has been interpreted that he meant to use the long term treasury bond. However, recently, a reader posted a reply from David Swensen on this question in morningstar.com, which indicates the average duration of treasury bonds.

The portfolio consists of the following:

- 30% in Vanguard Total Stock Market Index (VTSMX)

- 20% in Vanguard REIT Index (VGSIX)

- 20% in Vanguard Total International Stock (VGTSX) or (15% in VGTSX and 5% in VEIEX)

- 15% in Vanguard Inflation Protected Securities (VIPSX)

- 15% in Vanguard Long Term Treasury Index (VUSTX)

Holdings (As of 08/29/2014)
Asset Fund in this portfolio Price change* Percentage
US Equity VTSMX (Vanguard Total Stock Mkt Idx Inv) 0.40% 29.18%
International Equity VGTSX (Vanguard Total Intl Stock Index Inv) 0.0% 14.11%
REIT VGSIX (Vanguard REIT Index Inv) 0.55% 21.76%
EmergingMarket VEIEX (Vanguard Emerging Mkts Stock Idx) 0.03% 4.98%
TIPS VIPSX (Vanguard Inflation-Protected Secs Inv) 0.15% 14.22%
LongTreasury VUSTX (Vanguard Long-Term Treasury Inv) 0.0% 15.75%

* Day change on 08/29/2014.

Monthly Holding Date: Total Transaction Times So Far:
Previous Next
| | | | |

Holdings

Transactions

Performance (As of 08/29/2014)

Inception Date: 12/31/2000

Name 1Wk
Return
YTD*
Return
1Yr
AR**
3Yr
AR**
5Yr
AR**
10Yr
AR**
P David Swensen Yale Individual Investor Portfolio Annual Rebalancing 0.7% 12.1% 19.5% 12.6% 12.7% 9.0%
VFINX (Vanguard (S&P 500) Index) 0.3% 9.7% 25.0% 20.7% 16.5% 8.2%
VBINX (Vanguard Balance (60% stocks/40% bonds) 0.1% 7.2% 16.4% 14.0% 12.4% 7.4%

*   YTD: Year to Date
**  AR: Annualized Return
Last 1 Week* YTD*(2014) 1 Yr 3 Yr 5 Yr 10 Yr Inception** 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001
AR(%) 0.7 12.1 19.5 12.6 12.7 9.0 8.3 9.0 13.1 5.1 15.6 23.6 -24.8 5.8 17.4 9.5 16.6 27.2 -3.8 -1.7
SR NA 2.06 2.85 1.36 1.11 0.54 0.53 1.01 1.61 0.34 1.15 0.96 -0.93 0.23 1.68 0.97 1.97 3.28 -0.48 -0.4
DD(%) NA 2.4 3.3 9.5 11.7 43.6 43.6 9.5 5.6 11.7 8.8 22.4 39.0 7.4 6.9 4.8 9.3 5.9 14.0 14.1
SD(%) NA 5.9 6.8 9.2 11.4 14.9 13.7 8.8 8.1 14.8 13.5 24.5 27.7 12.1 8.4 7.6 7.9 8.1 10.3 10.0
TR NA 0.25 0.34 0.21 0.2 0.12 0.12 0.13 0.22 0.08 0.22 0.27 -0.4 0.04 0.19 0.12 0.29 0.63 -0.14 -0.09
Alpha(%) NA 0.04 0.03 0.01 0.01 0.02 0.02 -0.04 0.02 0.02 0.02 0.01 0.0 0.01 0.02 0.03 0.04 0.05 0.02 0.0
Beta(%) NA 0.49 0.57 0.59 0.65 0.68 0.61 0.68 0.58 0.6 0.71 0.86 0.65 0.71 0.75 0.63 0.54 0.42 0.36 0.42
RS NA 0.75 0.72 0.81 0.85 0.87 0.82 0.74 0.84 0.88 0.9 0.91 0.92 0.89 0.79 0.73 0.57 0.79 0.84 0.82
SR NA 3.03 4.53 1.98 1.6 0.75 0.74 1.43 2.47 0.47 1.66 1.39 -1.23 0.3 2.62 1.42 2.84 5.19 -0.67 -0.54
Yield(%) N/A 1.33 2.79 3.15 3.12 3.43 3.56 2.74 3.01 3.48 3.18 3.7 3.4 3.59 3.42 4.09 3.93 4.03 3.07 3.36

*: NOT annualized;YTD: Year to Date
**Inception: starting from 02/01/1993

Commission Fee ($ per transaction)      Long Term Tax Rate (%)
Short Term Tax Rate (%)      Monthly Withdraw ($)
Monthly Deposit ($)      Tax on Withdraw (%)
Initial Amount ($)      Estimation Method
Strategies
Asset Allocation Strategy    David Swensen Yale Individual Investor's Portfolio
Rebalancing Strategy    Fixed Time Interval Rebalancing

comments powered by Disqus
Register for FREE No Credit Card Required
Or Start FREE 30-day trial now >>
Community Comments

Members enjoy Free features

  • Customize and follow a diversified strategic allocation portfolio for your 401k, IRA and brokerage investments within minutes
  • Receive monthly or quarterly re-balance emails
  • Enter funds and percentages in your portfolio, see its historical performance and receive ongoing rebalance emails
  • Real time fund ranking and selection for your plans
  • Quality retirement investing newsletter emails
  • Fund ranking and selection for your plans

Tens of thousands of users have signed up!

Join Now (Free)
No Credit Card Required

User names can only consist of alphabetic and
numeric characters.(eg: 0-9a-zA-Z)
I agree to the Terms of use

Login With Facebook:

You have created an account on MyPlanIQ.com by using this email "", please login MyPlanIQ account or reset your password.