Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
EEM iShares MSCI Emerging Markets ETF | Asia Pacific Equities | 5% |
| iShares TIPS Bond ETF | Inflation-Protected Bonds | 15% |
VEA Vanguard FTSE Developed Markets ETF | Foreign Large Cap Equities | 15% |
VGSH Vanguard Short-Term Treasury ETF | Government Bonds | 15% |
VNQ Vanguard Real Estate ETF | REIT | 20% |
VTI Vanguard Total Stock Market ETF | Large Cap Growth Equities | 30% |
Quarterly
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 Quarterly
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 By Period
As of May 30, 2024, the David Swensen Lazy Portfolio returned 2.16% Year-To-Date and 6.13% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | 10.42% | 2.95% | 15.74% | 25.24% | 13.90% | 10.62% |
| David Swensen Lazy Portfolio | 2.16% | 1.14% | 7.65% | 12.41% | 7.03% | 6.13% |
| Portfolio components: | ||||||
VTI Vanguard Total Stock Market ETF | 9.87% | 2.75% | 16.16% | 26.52% | 14.90% | 12.04% |
VNQ Vanguard Real Estate ETF | -8.08% | -0.56% | 1.33% | 5.47% | 2.23% | 4.88% |
TIP iShares TIPS Bond ETF | -0.80% | 0.50% | 1.44% | 0.70% | 1.72% | 1.63% |
EEM iShares MSCI Emerging Markets ETF | 5.25% | 1.80% | 9.22% | 12.73% | 3.11% | 2.16% |
VGSH Vanguard Short-Term Treasury ETF | 0.33% | 0.38% | 1.44% | 3.18% | 0.92% | 0.99% |
VEA Vanguard FTSE Developed Markets ETF | 4.63% | 1.38% | 10.43% | 14.50% | 7.81% | 4.64% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.95% | 2.38% | 2.23% | -3.74% | 2.16% | ||||||||
| 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% | 7.47% |
| 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% |
| 2013 | 2.87% | 0.39% | 1.98% | 2.80% | -1.84% | -2.05% | 2.89% | -2.96% | 3.73% | 2.93% | -0.30% | 0.92% | 11.65% |
Expense Ratio
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.
EEM
iShares MSCI Emerging Markets ETF
TIP
iShares TIPS Bond ETF
VNQ
Vanguard Real Estate ETF
VEA
Vanguard FTSE Developed Markets ETF
VGSH
Vanguard Short-Term Treasury ETF
VTI
Vanguard Total Stock Market ETF
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of David Swensen Lazy Portfolio is 17, indicating that it is in the bottom 17% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
David Swensen Lazy Portfolio
Sharpe Ratio Rank
Sortino Ratio Rank
Omega Ratio Rank
Calmar Ratio Rank
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.
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.
David Swensen Lazy Portfolio
Sharpe ratio
Sortino ratio
Omega ratio
Calmar ratio
Martin ratio
^GSPC
Sharpe ratio
Sortino ratio
Omega ratio
Calmar ratio
Martin ratio
Portfolio components
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 2.25 | 3.18 | 1.39 | 1.89 | 8.33 |
VNQ Vanguard Real Estate ETF | 0.31 | 0.59 | 1.07 | 0.17 | 0.83 |
TIP iShares TIPS Bond ETF | 0.19 | 0.32 | 1.04 | 0.08 | 0.62 |
EEM iShares MSCI Emerging Markets ETF | 0.78 | 1.21 | 1.14 | 0.34 | 2.05 |
VGSH Vanguard Short-Term Treasury ETF | 1.78 | 2.84 | 1.34 | 0.90 | 10.33 |
VEA Vanguard FTSE Developed Markets ETF | 1.06 | 1.57 | 1.19 | 0.81 | 3.26 |
Sharpe Ratio
The current David Swensen Lazy Portfolio Sharpe ratio is 1.32. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.
Compared to the broad market, where average Sharpe ratios range from 1.55 to 2.38, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.
Use the chart below to compare the Sharpe ratio of David Swensen Lazy Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.
David Swensen Lazy Portfolio
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
David Swensen Lazy Portfolio granted a 2.88% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| David Swensen Lazy Portfolio | 2.88% | 2.73% | 3.06% | 2.19% | 2.03% | 2.41% | 2.85% | 2.34% | 2.44% | 2.10% | 2.23% | 2.10% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.36% | 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 | 4.29% | 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 | 2.83% | 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 | 2.50% | 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 | 3.79% | 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 | 3.29% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% | 2.60% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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 2.69%.
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
Volatility Chart
The current David Swensen Lazy Portfolio volatility is 2.71%, 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.
David Swensen Lazy Portfolio
Benchmark (^GSPC)
Portfolio components
Diversification
Asset Correlations Table
The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
| TIP | VGSH | VNQ | EEM | VEA | VTI | |
|---|---|---|---|---|---|---|
| TIP | 1.00 | 0.53 | 0.08 | -0.03 | -0.04 | -0.09 |
| VGSH | 0.53 | 1.00 | 0.03 | -0.10 | -0.10 | -0.16 |
| VNQ | 0.08 | 0.03 | 1.00 | 0.50 | 0.58 | 0.67 |
| EEM | -0.03 | -0.10 | 0.50 | 1.00 | 0.82 | 0.74 |
| VEA | -0.04 | -0.10 | 0.58 | 0.82 | 1.00 | 0.83 |
| VTI | -0.09 | -0.16 | 0.67 | 0.74 | 0.83 | 1.00 |
The correlation results are calculated based on daily price changes starting from Nov 24, 2009
