Asset Allocation
Benchmark: S&P 500 Index · Rebalance: Every 3 months
Find the right asset allocation for David Swensen Lazy Portfolio
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Performance Chart
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 Every 3 months.
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Returns By Period
As of Jul 31, 2026, the David Swensen Lazy Portfolio returned 9.31% Year-To-Date and 8.17% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.66% | -0.61% | 7.19% | 8.65% | 17.32% | 17.46% | 11.09% | 13.10% | 8.07% |
Portfolio David Swensen Lazy Portfolio | 0.89% | 0.21% | 6.75% | 9.31% | 15.99% | 12.48% | 6.42% | 8.17% | 8.50% |
| Portfolio components: | |||||||||
EEM iShares MSCI Emerging Markets ETF | 4.13% | -7.05% | 5.76% | 16.83% | 32.75% | 17.64% | 6.75% | 8.16% | 9.84% |
TIP iShares TIPS Bond ETF | -0.03% | -0.58% | 0.08% | 0.64% | 2.44% | 3.56% | 0.18% | 2.33% | 3.46% |
VEA Vanguard FTSE Developed Markets ETF | 3.10% | -0.22% | 6.73% | 14.59% | 28.98% | 17.90% | 9.90% | 10.07% | 5.17% |
VGSH Vanguard Short-Term Treasury ETF | 0.02% | 0.19% | 0.67% | 0.83% | 3.14% | 4.29% | 1.88% | 1.75% | 1.41% |
VNQ Vanguard Real Estate ETF | -1.16% | 3.17% | 11.83% | 14.63% | 14.30% | 9.53% | 2.55% | 4.79% | 7.75% |
VTI Vanguard Total Stock Market ETF | 1.62% | -1.02% | 7.65% | 9.90% | 18.67% | 18.61% | 11.63% | 14.49% | 9.56% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 23, 2009, David Swensen Lazy Portfolio's average daily return is +0.04%, while the average monthly return is +0.73%. At this rate, an investment would double in approximately 7.9 years.
Historically, 68% of months were positive and 32% were negative. The best month was Oct 2011 with a return of +8.8%, while the worst month was Mar 2020 at -10.9%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.
On a daily basis, David Swensen Lazy Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +5.5%, while the worst single day was Mar 16, 2020 at -8.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.40% | 2.45% | -4.88% | 6.82% | 2.58% | 0.10% | -0.14% | 9.31% | |||||
| 2025 | 2.28% | 1.00% | -2.01% | 0.04% | 2.95% | 2.83% | 0.52% | 2.57% | 1.90% | 0.71% | 0.71% | 0.10% | 14.34% |
| 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% | 14.53% |
| 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% |
Benchmark Metrics
David Swensen Lazy Portfolio has an annualized alpha of 0.40%, beta of 0.65, and R2 of 0.89 versus S&P 500 Index. Calculated based on daily prices since November 23, 2009.
- This portfolio participated in 71.96% of S&P 500 Index downside but only 64.73% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.65 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.40%
- Beta
- 0.65
- R²
- 0.89
- Upside Capture
- 64.73%
- Downside Capture
- 71.96%
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.
Return for Risk
Risk / Return Rank
David Swensen Lazy Portfolio ranks 69 for risk / return — above 69% of Portfolios peers on PortfoliosLab. Its historical combined result is above most peers.
Risk / Return Metrics
The table below presents risk-adjusted performance metrics for David Swensen Lazy Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.71 | 1.32 | +0.39 |
| Sortino ratioReturn per unit of downside risk | 2.43 | 1.86 | +0.58 |
| Omega ratioGain probability vs. loss probability | 1.32 | 1.24 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.28 | 1.86 | +0.41 |
| Martin ratioReturn relative to average drawdown | 9.87 | 7.90 | +1.96 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
EEM iShares MSCI Emerging Markets ETF | 62 | 1.35 | 1.85 | 1.26 | 2.31 | 7.17 |
TIP iShares TIPS Bond ETF | 32 | 0.72 | 1.08 | 1.12 | 1.24 | 3.33 |
VEA Vanguard FTSE Developed Markets ETF | 76 | 1.69 | 2.35 | 1.31 | 2.50 | 9.37 |
VGSH Vanguard Short-Term Treasury ETF | 92 | 2.40 | 3.81 | 1.50 | 3.57 | 13.70 |
VNQ Vanguard Real Estate ETF | 47 | 1.04 | 1.52 | 1.19 | 1.72 | 5.59 |
VTI Vanguard Total Stock Market ETF | 66 | 1.43 | 2.01 | 1.26 | 2.10 | 9.06 |
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Dividends
Dividend yield
David Swensen Lazy Portfolio provided a 2.73% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.73% | 2.83% | 2.78% | 2.73% | 3.06% | 2.19% | 2.03% | 2.41% | 2.85% | 2.34% | 2.44% | 2.09% |
| Portfolio components: | ||||||||||||
EEM iShares MSCI Emerging Markets ETF | 1.75% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
TIP iShares TIPS Bond ETF | 4.46% | 3.46% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% |
VEA Vanguard FTSE Developed Markets ETF | 2.55% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
VGSH Vanguard Short-Term Treasury ETF | 3.84% | 4.00% | 4.18% | 3.31% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.84% | 0.69% |
VNQ Vanguard Real Estate ETF | 3.49% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTI Vanguard Total Stock Market ETF | 1.06% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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.
The current David Swensen Lazy Portfolio drawdown is 0.71%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-25.66%Mar 2020 | 1mo 4d | 5mo 8d | 6mo 12dFeb 2020 - Aug 2020 | COVID crash2020 |
-22.69%Oct 2022 | 9mo 17d | 1y 8mo | 2y 6moDec 2021 - Jul 2024 | Bear market2022 |
-14.98%Oct 2011 | 2mo 27d | 4mo 3d | 7moJul 2011 - Feb 2012 | — |
-11.65%Dec 2018 | 3mo 26d | 2mo 21d | 6mo 17dAug 2018 - Mar 2019 | Rate-hike selloffLate 2018 |
-11.46%Feb 2016 | 9mo 20d | 3mo 28d | 1y 1moApr 2015 - Jun 2016 | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is mostly a global equity sleeve wrapped around a smaller real-estate and bond hedge; it is a coherent macro bet, just not a very fragmented one.
The numbers
- Diversification ratio is 1.27 over 1Y and only 1.18–1.22 over 3Y to inception, putting the portfolio around the 36th–44th percentile on the platform: some diversification benefit, but not much.
- Effective number of assets is 5.0 of 6, which says the weights are not the problem; the correlations are.
- The tightest cluster is VTI (VTI), VEA (VEA), and EEM (EEM), with pairwise correlations up to 0.82; that is where most of the portfolio actually lives.
The good
- TIP (TIP) and VGSH (VGSH) sit close to the equity sleeve only weakly, which gives the portfolio a genuine rates/inflation offset.
- VNQ (VNQ) is not just another index fund here; it adds a different cash-flow driver, even if it still leans equity-like.
- To be fair, the weights are spread across six positions, so the portfolio is not pretending that six names automatically means six independent bets.
The bad
- VTI (VTI) and VEA (VEA) are close cousins, and EEM (EEM) is often a cousin with louder music; together they make the equity book feel more unified than diversified.
- VNQ (VNQ) correlates 0.63 with VTI and 0.56 with VEA, so the real estate sleeve behaves less like a separate engine and more like a mildly different equity factor.
The ugly
- In a broad risk-off move driven by growth, credit, and rates all tightening together, the equity cluster and VNQ can stop acting like separate sleeves at once, leaving TIP and VGSH to do most of the cushioning.
Next steps
- Portfolios with this correlation profile are usually most improved by exposures whose return drivers sit outside the equity and property cycle.
- The data also fits a portfolio that is cleaner as a macro allocation than as a six-way diversification exercise.
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. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.27 | 1.22 | 1.20 | 1.18 | 1.18 |
The portfolio has a diversification ratio of 1.18, placing it in the bottom quartile across portfolios. The holdings provided limited volatility reduction when combined.
David Swensen Lazy Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.87 |
Correlation (3Y) Balances recent behavior with more history. | 0.87 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.90 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.90 |
Correlation (All Time) Calculated using the full available price history since Nov 23, 2009 | 0.91 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while VGSH has the lowest at -0.13.
Asset Correlations Table
Find what David Swensen Lazy Portfolio is missing
See which holdings overlap, where David Swensen Lazy Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification