David Swensen Lazy Portfolio
As the name implies, the David Swensen Portfolio comes from the CIO of Yale University and the author of Unconventional Success David Swensen. The distinguishable characteristics of this portfolio is that it allocates 20% to international equities and 20% to REITs.
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Nov 23, 2009, corresponding to the inception date of VGSH
Returns By Period
As of May 17, 2025, the David Swensen Lazy Portfolio returned 4.42% Year-To-Date and 6.68% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.30% | 12.79% | 1.49% | 12.35% | 15.12% | 10.89% |
| David Swensen Lazy Portfolio | 4.42% | 6.28% | 3.46% | 9.97% | 9.32% | 6.68% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 1.31% | 13.07% | 1.46% | 13.04% | 16.29% | 12.19% |
VNQ Vanguard Real Estate ETF | 2.41% | 3.98% | -1.80% | 10.78% | 8.47% | 5.32% |
TIP iShares TIPS Bond ETF | 3.34% | 0.35% | 2.81% | 5.19% | 1.36% | 2.37% |
EEM iShares MSCI Emerging Markets ETF | 10.62% | 10.35% | 9.53% | 8.17% | 6.64% | 3.05% |
VGSH Vanguard Short-Term Treasury ETF | 1.84% | -0.11% | 2.48% | 5.39% | 1.13% | 1.47% |
VEA Vanguard FTSE Developed Markets ETF | 14.50% | 7.39% | 13.34% | 10.07% | 11.86% | 5.73% |
Monthly Returns
The table below presents the monthly returns of David Swensen Lazy Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.28% | 1.00% | -2.01% | 0.04% | 3.12% | 4.42% | |||||||
| 2024 | -0.95% | 2.38% | 2.23% | -3.73% | 3.48% | 1.38% | 3.10% | 2.46% | 2.07% | -2.18% | 2.94% | -3.42% | 9.78% |
| 2023 | 6.38% | -3.16% | 1.62% | 0.78% | -1.59% | 3.92% | 2.33% | -2.25% | -3.91% | -2.25% | 7.47% | 5.12% | 14.54% |
| 2022 | -4.50% | -1.96% | 1.54% | -5.26% | -0.81% | -6.06% | 6.00% | -3.82% | -8.58% | 4.13% | 5.85% | -3.45% | -16.76% |
| 2021 | 0.00% | 1.77% | 2.49% | 3.82% | 1.08% | 1.29% | 1.59% | 1.54% | -3.33% | 4.07% | -1.65% | 3.86% | 17.53% |
| 2020 | -0.13% | -4.85% | -10.91% | 7.58% | 3.13% | 2.20% | 3.63% | 3.32% | -2.04% | -1.75% | 8.21% | 3.41% | 10.72% |
| 2019 | 6.82% | 1.50% | 1.82% | 1.76% | -2.74% | 3.75% | 0.37% | 0.14% | 1.27% | 1.60% | 1.12% | 2.04% | 20.95% |
| 2018 | 1.67% | -3.87% | 0.24% | 0.30% | 1.32% | 0.72% | 1.55% | 1.25% | -0.55% | -4.74% | 1.99% | -5.10% | -5.47% |
| 2017 | 1.50% | 2.12% | 0.20% | 0.87% | 0.83% | 0.73% | 1.63% | 0.30% | 0.95% | 0.89% | 1.54% | 0.91% | 13.20% |
| 2016 | -3.15% | -0.36% | 6.09% | 0.12% | 0.61% | 1.81% | 3.02% | -0.67% | 0.21% | -2.30% | 0.20% | 1.95% | 7.48% |
| 2015 | 1.17% | 1.79% | -0.31% | 0.05% | -0.04% | -2.14% | 1.66% | -4.78% | -0.97% | 4.90% | -0.24% | -0.95% | -0.15% |
| 2014 | -0.99% | 3.58% | 0.28% | 1.17% | 1.85% | 1.34% | -0.89% | 2.14% | -3.26% | 3.00% | 1.14% | -0.48% | 9.03% |
Expense Ratio
David Swensen Lazy Portfolio has an expense ratio of 0.11%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of David Swensen Lazy Portfolio is 68, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 0.66 | 1.12 | 1.17 | 0.74 | 2.80 |
VNQ Vanguard Real Estate ETF | 0.60 | 1.02 | 1.13 | 0.51 | 2.16 |
TIP iShares TIPS Bond ETF | 1.09 | 1.59 | 1.20 | 0.54 | 3.44 |
EEM iShares MSCI Emerging Markets ETF | 0.45 | 0.88 | 1.11 | 0.37 | 1.64 |
VGSH Vanguard Short-Term Treasury ETF | 3.18 | 5.31 | 1.70 | 5.64 | 15.70 |
VEA Vanguard FTSE Developed Markets ETF | 0.61 | 1.01 | 1.14 | 0.81 | 2.46 |
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Dividends
Dividend yield
David Swensen Lazy Portfolio provided a 2.79% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.79% | 2.78% | 2.73% | 3.06% | 2.19% | 2.03% | 2.41% | 2.85% | 2.34% | 2.44% | 2.10% | 2.23% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.28% | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
VNQ Vanguard Real Estate ETF | 4.02% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
TIP iShares TIPS Bond ETF | 2.91% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% |
EEM iShares MSCI Emerging Markets ETF | 2.20% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% | 2.23% |
VGSH Vanguard Short-Term Treasury ETF | 4.18% | 4.19% | 3.32% | 1.15% | 0.66% | 1.75% | 2.28% | 1.79% | 1.10% | 0.84% | 0.71% | 0.46% |
VEA Vanguard FTSE Developed Markets ETF | 2.86% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the David Swensen Lazy Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the David Swensen Lazy Portfolio was 25.66%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -25.66% | Feb 18, 2020 | 25 | Mar 23, 2020 | 111 | Aug 28, 2020 | 136 |
| -22.69% | Dec 31, 2021 | 199 | Oct 14, 2022 | 430 | Jul 3, 2024 | 629 |
| -14.98% | Jul 8, 2011 | 61 | Oct 3, 2011 | 85 | Feb 3, 2012 | 146 |
| -11.65% | Aug 30, 2018 | 80 | Dec 24, 2018 | 55 | Mar 15, 2019 | 135 |
| -11.46% | Apr 27, 2015 | 202 | Feb 11, 2016 | 81 | Jun 8, 2016 | 283 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 6 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | TIP | VGSH | VNQ | EEM | VEA | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.08 | -0.16 | 0.64 | 0.72 | 0.82 | 0.99 | 0.92 |
| TIP | -0.08 | 1.00 | 0.54 | 0.10 | -0.03 | -0.03 | -0.08 | 0.07 |
| VGSH | -0.16 | 0.54 | 1.00 | 0.04 | -0.09 | -0.09 | -0.16 | -0.03 |
| VNQ | 0.64 | 0.10 | 0.04 | 1.00 | 0.49 | 0.58 | 0.66 | 0.83 |
| EEM | 0.72 | -0.03 | -0.09 | 0.49 | 1.00 | 0.82 | 0.73 | 0.78 |
| VEA | 0.82 | -0.03 | -0.09 | 0.58 | 0.82 | 1.00 | 0.82 | 0.88 |
| VTI | 0.99 | -0.08 | -0.16 | 0.66 | 0.73 | 0.82 | 1.00 | 0.93 |
| Portfolio | 0.92 | 0.07 | -0.03 | 0.83 | 0.78 | 0.88 | 0.93 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. Positions such as VEA (developed international equities), VTI (total U.S. equities), and VNQ (real estate investment trusts) show relatively high correlations with each other (VEA-VTI: 0.82, VNQ-VTI: 0.66, VNQ-VEA: 0.58), indicating some overlap in market exposure that could reduce diversification benefits within the equity segment. Additionally, the portfolio's overall correlation with these positions is quite high (Portfolio-VTI: 0.93, Portfolio-VEA: 0.88, Portfolio-VNQ: 0.83), suggesting these holdings have a dominant influence on the portfolio's performance.
Conversely, positions like TIP (Treasury Inflation-Protected Securities) and VGSH (short-term government bonds) exhibit low or slightly negative correlations with the equity components and with each other (TIP-VTI: -0.08, VGSH-VTI: -0.16, TIP-EEM: -0.03, VGSH-EEM: -0.09). These lower correlations contribute positively to diversification by providing ballast against equity market fluctuations.
EEM (emerging markets equities) has moderate correlations with other equity positions (EEM-VTI: 0.73, EEM-VEA: 0.82, EEM-VNQ: 0.49) but is less correlated with fixed income assets, adding some diversification within the equity portion.
Overall, the portfolio leans toward equity exposure with a significant influence from broad U.S. and international equity ETFs, somewhat concentrated in correlated equity assets. The inclusion of TIP and VGSH adds valuable diversification through lower correlation fixed income holdings, but the portfolio’s risk and return profile will largely be driven by the equity components. This suggests a balanced but equity-focused portfolio rather than a highly diversified or bond-heavy one.