Asset Allocation
Performance
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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The earliest data available for this chart is Nov 23, 2009, corresponding to the inception date of VGSH
Returns By Period
As of Apr 17, 2026, the David Swensen Lazy Portfolio returned 6.52% Year-To-Date and 8.31% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.20% | 7.57% | 4.10% | 6.93% | 34.89% | 19.70% | 11.23% | 12.99% |
Portfolio David Swensen Lazy Portfolio | 1.11% | 5.60% | 6.52% | 7.82% | 23.95% | 13.31% | 6.79% | 8.31% |
| Portfolio components: | ||||||||
VTI Vanguard Total Stock Market ETF | 1.30% | 7.85% | 4.88% | 7.74% | 37.07% | 21.00% | 11.61% | 14.44% |
VNQ Vanguard Real Estate ETF | 1.60% | 6.26% | 10.42% | 8.15% | 15.76% | 9.69% | 4.00% | 5.54% |
TIP iShares TIPS Bond ETF | 0.26% | 0.22% | 1.43% | 0.75% | 5.15% | 3.54% | 1.30% | 2.61% |
EEM iShares MSCI Emerging Markets ETF | 1.91% | 10.56% | 16.32% | 19.14% | 55.48% | 19.82% | 5.64% | 8.46% |
VGSH Vanguard Short-Term Treasury ETF | 0.16% | 0.46% | 0.67% | 1.31% | 3.75% | 4.17% | 1.87% | 1.77% |
VEA Vanguard FTSE Developed Markets ETF | 1.46% | 8.51% | 11.65% | 16.83% | 41.55% | 18.26% | 9.68% | 9.67% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 24, 2009, David Swensen Lazy Portfolio's average daily return is +0.03%, while the average monthly return is +0.72%. At this rate, an investment would double in approximately 8.1 years.
Historically, 67% of months were positive and 33% 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% | 6.74% | 6.52% | ||||||||
| 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 0.41%, beta of 0.65, and R² of 0.89 versus S&P 500 Index. Calculated based on daily prices since November 24, 2009.
- This portfolio participated in 72.46% of S&P 500 Index downside but only 65.11% 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
- 0.41%
- Beta
- 0.65
- R²
- 0.89
- Upside Capture
- 65.11%
- Downside Capture
- 72.46%
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 57 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.81 | 2.69 | +0.11 |
Sortino ratioReturn per unit of downside risk | 3.96 | 3.73 | +0.23 |
Omega ratioGain probability vs. loss probability | 1.54 | 1.50 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 3.54 | 3.52 | +0.02 |
Martin ratioReturn relative to average drawdown | 15.63 | 16.15 | -0.53 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 77 | 2.79 | 3.86 | 1.52 | 3.87 | 17.70 |
VNQ Vanguard Real Estate ETF | 26 | 1.18 | 1.65 | 1.21 | 2.09 | 6.62 |
TIP iShares TIPS Bond ETF | 33 | 1.40 | 2.06 | 1.25 | 2.88 | 7.64 |
EEM iShares MSCI Emerging Markets ETF | 80 | 3.08 | 3.94 | 1.58 | 4.06 | 15.96 |
VGSH Vanguard Short-Term Treasury ETF | 82 | 2.80 | 4.50 | 1.60 | 4.42 | 16.22 |
VEA Vanguard FTSE Developed Markets ETF | 74 | 2.87 | 3.82 | 1.52 | 3.68 | 14.78 |
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Dividends
Dividend yield
David Swensen Lazy Portfolio provided a 2.55% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.55% | 2.83% | 2.78% | 2.73% | 3.06% | 2.19% | 2.03% | 2.41% | 2.85% | 2.34% | 2.44% | 2.09% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.08% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
VNQ Vanguard Real Estate ETF | 3.61% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
TIP iShares TIPS Bond ETF | 2.77% | 3.46% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% |
EEM iShares MSCI Emerging Markets ETF | 1.91% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
VGSH Vanguard Short-Term Treasury ETF | 3.91% | 4.00% | 4.18% | 3.31% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.84% | 0.69% |
VEA Vanguard FTSE Developed Markets ETF | 2.69% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
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
| Benchmark | TIP | VGSH | VNQ | EEM | VEA | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.07 | -0.15 | 0.63 | 0.72 | 0.82 | 0.99 | 0.91 |
| TIP | -0.07 | 1.00 | 0.55 | 0.11 | -0.02 | -0.01 | -0.07 | 0.08 |
| VGSH | -0.15 | 0.55 | 1.00 | 0.06 | -0.08 | -0.07 | -0.14 | -0.01 |
| VNQ | 0.63 | 0.11 | 0.06 | 1.00 | 0.48 | 0.57 | 0.64 | 0.82 |
| EEM | 0.72 | -0.02 | -0.08 | 0.48 | 1.00 | 0.82 | 0.73 | 0.78 |
| VEA | 0.82 | -0.01 | -0.07 | 0.57 | 0.82 | 1.00 | 0.82 | 0.88 |
| VTI | 0.99 | -0.07 | -0.14 | 0.64 | 0.73 | 0.82 | 1.00 | 0.92 |
| Portfolio | 0.91 | 0.08 | -0.01 | 0.82 | 0.78 | 0.88 | 0.92 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of asset classes that exhibit varying degrees of correlation. The highest correlations are observed among equity positions—VNQ (real estate), VEA (developed international equities), and VTI (U.S. total stock market)—with correlations ranging from 0.57 to 0.92. These strong positive correlations indicate that these equity components tend to move in tandem, which reduces diversification benefits within the equity sleeve of the portfolio.
Emerging markets equity (EEM) is somewhat less correlated with U.S. and developed international equities but still shows moderate positive correlations (0.73 with VTI and 0.82 with VEA), suggesting it provides some diversification but remains linked to global equity market trends.
Fixed income positions TIP (Treasury Inflation-Protected Securities) and VGSH (short-term government bonds) show low to slightly positive correlations with equities and with each other (0.55 between TIP and VGSH). Notably, VGSH has near-zero or slightly negative correlations with equities, which enhances diversification by potentially offsetting equity volatility.
The portfolio’s overall correlation with individual positions is highest with VTI (0.92), followed closely by VEA (0.88) and VNQ (0.82), indicating that U.S. equities and developed international equities dominate the portfolio’s behavior. TIP and VGSH have very low correlations with the portfolio (0.08 and -0.01 respectively), reflecting their role as diversifiers.
In summary, the portfolio leans toward equity concentration, especially U.S. and developed international stocks, which dominate its risk and return profile. While fixed income components provide some diversification, the relatively high correlations among equity holdings suggest that the portfolio is not fully diversified across uncorrelated assets. The presence of lowly correlated fixed income positions helps mitigate some risk, but the portfolio remains moderately concentrated in equities.