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David Swensen Lazy Portfolio

Last updated Feb 24, 2024

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


TIP 15%VGSH 15%VTI 30%VEA 15%EEM 5%VNQ 20%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

15%

VGSH
Vanguard Short-Term Treasury ETF
Government Bonds

15%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

30%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

15%

EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

5%

VNQ
Vanguard Real Estate ETF
REIT

20%

S&P 500

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


150.00%200.00%250.00%300.00%350.00%SeptemberOctoberNovemberDecember2024February
184.63%
360.01%
David Swensen Lazy Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 23, 2009, corresponding to the inception date of VGSH

Returns

As of Feb 24, 2024, the David Swensen Lazy Portfolio returned 1.19% Year-To-Date and 6.44% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
David Swensen Lazy Portfolio1.19%1.76%9.06%12.67%6.90%6.41%
VTI
Vanguard Total Stock Market ETF
6.23%4.08%16.20%28.34%13.77%11.99%
VNQ
Vanguard Real Estate ETF
-4.02%-0.15%7.11%3.31%3.93%6.08%
TIP
iShares TIPS Bond ETF
-1.18%-0.48%1.92%2.46%2.36%1.89%
EEM
iShares MSCI Emerging Markets ETF
0.97%4.40%6.32%8.86%0.97%2.43%
VGSH
Vanguard Short-Term Treasury ETF
-0.21%-0.28%2.69%4.17%1.13%0.94%
VEA
Vanguard FTSE Developed Markets ETF
1.98%2.99%11.08%14.75%6.68%4.69%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.95%
20232.33%-2.25%-3.91%-2.25%7.47%5.12%

Sharpe Ratio

The current David Swensen Lazy Portfolio Sharpe ratio is 1.23. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.23

The Sharpe ratio of David Swensen Lazy Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.23
2.23
David Swensen Lazy Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

David Swensen Lazy Portfolio granted a 2.76% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
David Swensen Lazy Portfolio2.76%2.73%3.06%2.19%2.03%2.41%2.85%2.34%2.44%2.10%2.23%2.10%
VTI
Vanguard Total Stock Market ETF
1.35%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VNQ
Vanguard Real Estate ETF
4.12%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
TIP
iShares TIPS Bond ETF
2.76%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
EEM
iShares MSCI Emerging Markets ETF
2.61%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
VGSH
Vanguard Short-Term Treasury ETF
3.46%3.31%1.15%0.66%1.74%2.28%1.79%1.10%0.82%0.71%0.46%0.34%
VEA
Vanguard FTSE Developed Markets ETF
3.09%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

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.


0.68%
0.00%2.15%
0.19%
0.00%2.15%
0.12%
0.00%2.15%
0.05%
0.00%2.15%
0.04%
0.00%2.15%
0.03%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
David Swensen Lazy Portfolio
1.23
VTI
Vanguard Total Stock Market ETF
2.15
VNQ
Vanguard Real Estate ETF
0.12
TIP
iShares TIPS Bond ETF
0.31
EEM
iShares MSCI Emerging Markets ETF
0.46
VGSH
Vanguard Short-Term Treasury ETF
1.48
VEA
Vanguard FTSE Developed Markets ETF
1.00

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

TIPVGSHVNQEEMVEAVTI
TIP1.000.530.08-0.04-0.05-0.10
VGSH0.531.000.02-0.11-0.11-0.17
VNQ0.080.021.000.500.580.67
EEM-0.04-0.110.501.000.820.74
VEA-0.05-0.110.580.821.000.83
VTI-0.10-0.170.670.740.831.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-3.62%
0
David Swensen Lazy Portfolio
Benchmark (^GSPC)
Portfolio components

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 3.62%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.66%Feb 18, 202025Mar 23, 2020111Aug 28, 2020136
-22.69%Dec 31, 2021199Oct 14, 2022
-14.98%Jul 8, 201161Oct 3, 201185Feb 3, 2012146
-11.65%Aug 30, 201880Dec 24, 201855Mar 15, 2019135
-11.46%Apr 27, 2015202Feb 11, 201681Jun 8, 2016283

Volatility Chart

The current David Swensen Lazy Portfolio volatility is 2.81%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2024February
2.81%
3.90%
David Swensen Lazy Portfolio
Benchmark (^GSPC)
Portfolio components
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