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
The chart shows the growth of an initial investment of $10,000 in David Swensen Lazy Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Nov 23, 2009, corresponding to the inception date of VGSH
Returns
As of Nov 28, 2023, the David Swensen Lazy Portfolio returned 8.18% Year-To-Date and 6.01% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| David Swensen Lazy Portfolio | 8.18% | 7.95% | 3.91% | 5.61% | 6.19% | 6.01% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 19.09% | 10.82% | 8.84% | 13.52% | 11.75% | 11.13% |
VNQ Vanguard Real Estate ETF | 0.10% | 12.35% | 3.08% | -3.81% | 3.48% | 6.22% |
TIP iShares TIPS Bond ETF | 0.72% | 1.74% | -1.11% | 0.20% | 2.56% | 1.80% |
EEM iShares MSCI Emerging Markets ETF | 4.72% | 7.80% | 1.77% | 6.68% | 1.17% | 1.37% |
VGSH Vanguard Short-Term Treasury ETF | 2.79% | 0.67% | 1.59% | 3.20% | 1.12% | 0.83% |
VEA Vanguard FTSE Developed Markets ETF | 11.30% | 10.13% | 2.37% | 9.65% | 5.79% | 4.11% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.78% | -1.59% | 3.92% | 2.33% | -2.25% | -3.91% | -2.24% |
Dividend yield
David Swensen Lazy Portfolio granted a 2.82% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| David Swensen Lazy Portfolio | 2.82% | 3.06% | 2.19% | 2.03% | 2.41% | 2.85% | 2.34% | 2.44% | 2.10% | 2.23% | 2.10% | 2.29% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.48% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% | 1.74% | 2.13% |
VNQ Vanguard Real Estate ETF | 4.48% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% | 3.56% |
TIP iShares TIPS Bond ETF | 3.02% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% | 1.15% | 2.22% |
EEM iShares MSCI Emerging Markets ETF | 2.27% | 2.50% | 1.99% | 1.45% | 2.76% | 2.22% | 1.87% | 1.88% | 2.48% | 2.22% | 2.04% | 1.67% |
VGSH Vanguard Short-Term Treasury ETF | 3.05% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.82% | 0.71% | 0.46% | 0.34% | 0.52% |
VEA Vanguard FTSE Developed Markets ETF | 3.04% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% | 2.60% | 2.97% |
Expense Ratio
The David Swensen Lazy Portfolio features an expense ratio of 0.11%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 0.93 | ||||
VNQ Vanguard Real Estate ETF | -0.16 | ||||
TIP iShares TIPS Bond ETF | 0.01 | ||||
EEM iShares MSCI Emerging Markets ETF | 0.39 | ||||
VGSH Vanguard Short-Term Treasury ETF | 1.20 | ||||
VEA Vanguard FTSE Developed Markets ETF | 0.71 |
Asset Correlations Table
| TIP | VGSH | VNQ | EEM | VEA | VTI | |
|---|---|---|---|---|---|---|
| TIP | 1.00 | 0.52 | 0.07 | -0.04 | -0.06 | -0.11 |
| VGSH | 0.52 | 1.00 | 0.01 | -0.11 | -0.12 | -0.18 |
| VNQ | 0.07 | 0.01 | 1.00 | 0.50 | 0.58 | 0.67 |
| EEM | -0.04 | -0.11 | 0.50 | 1.00 | 0.82 | 0.74 |
| VEA | -0.06 | -0.12 | 0.58 | 0.82 | 1.00 | 0.83 |
| VTI | -0.11 | -0.18 | 0.67 | 0.74 | 0.83 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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 | — | — | — |
| -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 Chart
The current David Swensen Lazy Portfolio volatility is 3.50%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.