David Swensen Lazy Portfolio: ETF allocation and returns

Data Source: from January 1985 to May 2024 (~39 years)
Consolidated Returns as of 31 May 2024
Live Update: Jun 13 2024, 04:00PM Eastern Time Currency: USD
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.05%
1 Day
Jun 13 2024, 04:00PM Eastern Time
1.22%
Current Month
June 2024

The David Swensen Lazy Portfolio can be implemented with 6 ETFs. This portfolio has a high risk, indicating it can undergo considerable value changes. It is appropriate for investors with a high risk tolerance who are aiming for higher returns and can handle notable drawdowns.

It's exposed for 70% on the Stock Market.

In the last 30 Years, the David Swensen Lazy Portfolio obtained a 7.98% compound annual return, with a 10.88% standard deviation.

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Asset Allocation and ETFs

The David Swensen Lazy Portfolio has the following asset allocation:

70% Stocks
30% Fixed Income
0% Commodities

The David Swensen Lazy Portfolio can be implemented with the following ETFs:

Weight
(%)
ETF
Ticker
ETF
Currency
ETF Name Investment Themes (Orig.Currency)
30.00
VTI
USD Vanguard Total Stock Market Equity, U.S., Large Cap (USD)
20.00
VNQ
USD Vanguard Real Estate Real Estate, U.S. (USD)
15.00
VEU
USD Vanguard FTSE All-World ex-US Equity, Global ex-US, Large Cap (USD)
5.00
EEM
USD iShares MSCI Emerging Markets Equity, Emerging Markets, Large Cap (USD)
15.00
IEI
USD iShares 3-7 Year Treasury Bond Bond, U.S., Intermediate-Term (USD)
15.00
TIP
USD iShares TIPS Bond Bond, U.S., All-Term (USD)

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

Portfolio and ETF Returns as of May 31, 2024

The David Swensen Lazy Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: June 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
DAVID SWENSEN LAZY PORTFOLIO
Consolidated returns as of 31 May 2024
Live Update: Jun 13 2024, 04:00PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of May 31, 2024
  1 Day Time ET(*) Jun 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
David Swensen Lazy Portfolio 0.05 1.22 3.51 8.29 13.43 6.80 6.07 7.98 9.40
US Inflation Adjusted return 3.50 6.50 9.86 2.52 3.15 5.30 6.42
Components
VTI
USD Vanguard Total Stock Market 0.04 04:00PM, Jun 13 2024 2.48 4.76 16.01 27.64 14.92 12.05 10.44 11.27
VNQ
USD Vanguard Real Estate 0.41 04:00PM, Jun 13 2024 0.94 4.56 3.98 8.46 2.88 5.20 8.66 9.07
VEU
USD Vanguard FTSE All-World ex-US -1.04 04:00PM, Jun 13 2024 -0.59 3.95 11.48 17.06 7.27 4.39 4.95 7.83
EEM
USD iShares MSCI Emerging Markets -0.24 04:00PM, Jun 13 2024 1.63 1.95 7.63 12.37 2.85 2.03 4.81 8.72
IEI
USD iShares 3-7 Year Treasury Bond 0.41 04:00PM, Jun 13 2024 1.22 1.31 1.20 0.85 -0.16 0.92 4.27 5.68
TIP
USD iShares TIPS Bond 0.39 04:00PM, Jun 13 2024 0.75 1.78 2.42 1.36 1.58 1.56 5.24 6.66
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to May 2024. Current inflation (annualized) is 1Y: 3.25% , 5Y: 4.17% , 10Y: 2.83% , 30Y: 2.54%

In 2023, the David Swensen Lazy Portfolio granted a 2.89% dividend yield. If you are interested in getting periodic income, please refer to the David Swensen Lazy Portfolio: Dividend Yield page.

Capital Growth as of May 31, 2024

An investment of 1$, since June 1994, now would be worth 10.00$, with a total return of 900.38% (7.98% annualized).

The Inflation Adjusted Capital now would be 4.71$, with a net total return of 371.08% (5.30% annualized).
An investment of 1$, since January 1985, now would be worth 34.54$, with a total return of 3354.24% (9.40% annualized).

The Inflation Adjusted Capital now would be 11.63$, with a net total return of 1063.45% (6.42% annualized).

Portfolio Metrics as of May 31, 2024

Metrics of David Swensen Lazy Portfolio, updated as of 31 May 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
DAVID SWENSEN LAZY PORTFOLIO
Advanced Metrics
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Swipe left to see all data
Metrics as of May 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 3.51 1.77 8.29 13.43 1.26 6.80 6.07 7.31 7.98 9.40
Infl. Adjusted Return (%) details 3.50 1.07 6.50 9.86 -3.81 2.52 3.15 4.61 5.30 6.42
US Inflation (%) 0.01 0.70 1.69 3.25 5.28 4.17 2.83 2.58 2.54 2.80
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -8.59 -22.43 -22.43 -22.43 -40.89 -40.89 -40.89
Start to Recovery (# months) details 5 29* 29* 29* 38 38 38
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 9 9 9 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 20 20 20 22 22 22
End (yyyy mm) 2023 12 - - - 2010 12 2010 12 2010 12
Longest Drawdown Depth (%)
same

same

same

same

same

same

same
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 9 9 9 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 20 20 20 22 22 22
End (yyyy mm) 2023 12 - - - 2010 12 2010 12 2010 12
Longest negative period (# months) details 5 34 34 34 57 62 62
Period Start (yyyy mm) 2023 06 2021 07 2021 01 2021 01 2004 06 2004 01 2004 01
Period End (yyyy mm) 2023 10 2024 04 2023 10 2023 10 2009 02 2009 02 2009 02
Annualized Return (%) -6.42 -0.37 -1.00 -1.00 -0.81 -0.47 -0.47
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -9.46 -26.58 -26.58 -26.58 -41.86 -41.86 -41.86
Start to Recovery (# months) details 5 33* 33* 33* 40 40 40
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 13 13 13 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 20 20 20 24 24 24
End (yyyy mm) 2023 12 - - - 2011 02 2011 02 2011 02
Longest Drawdown Depth (%)
same

same

same

same

same

same

same
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2021 09 2021 09 2021 09 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 13 13 13 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 20 20 20 24 24 24
End (yyyy mm) 2023 12 - - - 2011 02 2011 02 2011 02
Longest negative period (# months) details 5 36* 53 71 71 110 110
Period Start (yyyy mm) 2023 06 2021 06 2019 06 2017 12 2017 12 2000 01 2000 01
Period End (yyyy mm) 2023 10 2024 05 2023 10 2023 10 2023 10 2009 02 2009 02
Annualized Return (%) -9.43 -3.81 -0.25 -0.03 -0.03 -0.42 -0.42
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 12.53 13.67 13.30 10.94 11.76 10.88 10.80
Sharpe Ratio 0.64 -0.11 0.36 0.44 0.50 0.52 0.50
Sortino Ratio 0.90 -0.16 0.48 0.58 0.65 0.68 0.65
Ulcer Index 3.26 11.12 9.01 6.66 8.74 7.44 6.80
Ratio: Return / Standard Deviation 1.07 0.09 0.51 0.55 0.62 0.73 0.87
Ratio: Return / Deepest Drawdown 1.56 0.06 0.30 0.27 0.18 0.20 0.23
Positive Months (%) details 58.33 52.77 65.00 65.83 66.66 66.94 67.86
Positive Months 7 19 39 79 160 241 321
Negative Months 5 17 21 41 80 119 152
95% VaR - Value at Risk (%) 4.33 6.48 7.75 8.16 0.61 --- --- ---
95% CVaR - Conditional Value at Risk (%) 5.62 8.72 10.92 19.01 2.94 --- --- ---
99% VaR - Value at Risk (%) 6.45 10.15 12.95 28.41 5.28 --- --- ---
99% CVaR - Conditional Value at Risk (%) 7.80 12.50 16.26 32.19 8.11 0.21 --- ---
VaRs calculated from all the available data | Short term VaRs: analytical | 1+ years VaRs: annualized, based on historical rolling returns
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 6.07 11.76 11.76 13.27
Worst 10 Years Return (%) - Annualized 5.16 3.38 3.38
Best 10 Years Return (%) - Annualized 3.15 9.82 9.82 10.25
Worst 10 Years Return (%) - Annualized 2.31 0.76 0.76
TIME FRAME ANALYSIS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 48.80 23.62 17.95 11.76 9.29 7.98
Worst Rolling Return (%) - Annualized -35.77 -9.56 -1.29 3.38 6.35
Positive Periods (%) 81.0 92.0 99.3 100.0 100.0 100.0
Safe Withdrawal Rate (%) - 100% Success - Annualized 78.38 27.16 17.60 10.34 7.22 7.38
Perpetual Withdrawal Rate (%) - 100% Success - Annualized --- --- --- 0.93 4.04 5.82
Withdrawal Rates based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 45.67 20.74 15.57 9.82 6.85 5.30
Worst Rolling Return (%) - Annualized -35.78 -11.49 -3.83 0.76 4.18
Positive Periods (%) 76.2 82.4 97.6 100.0 100.0 100.0
Safe Withdrawal Rate (%) - 100% Success - Annualized 78.38 27.16 17.60 10.34 7.22 7.38
Perpetual Withdrawal Rate (%) - 100% Success - Annualized --- --- --- 0.93 4.04 5.82
Withdrawal Rates based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
From all available data (Jan 1985 - May 2024)
Best Rolling Return (%) - Annualized 48.80 23.62 18.06 13.27 11.99 10.47
Worst Rolling Return (%) - Annualized -35.77 -9.56 -1.29 3.38 6.35 7.31
Positive Periods (%) 81.8 94.0 99.5 100.0 100.0 100.0
Safe Withdrawal Rate (%) - 100% Success - Annualized 78.38 27.16 17.60 10.34 7.22 6.76
Perpetual Withdrawal Rate (%) - 100% Success - Annualized --- --- --- 0.93 4.04 5.10
Withdrawal Rates based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 45.67 20.74 15.57 10.25 8.70 7.54
Worst Rolling Return (%) - Annualized -35.78 -11.49 -3.83 0.76 4.18 4.67
Positive Periods (%) 76.1 86.5 98.3 100.0 100.0 100.0
Safe Withdrawal Rate (%) - 100% Success - Annualized 78.38 27.16 17.60 10.34 7.22 6.76
Perpetual Withdrawal Rate (%) - 100% Success - Annualized --- --- --- 0.93 4.04 5.10
Withdrawal Rates based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Value at Risk (VaR): it represents a worst-case return, associated with a probability (95%-99%) and a time horizon. It's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed. It's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 May 2024
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If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DAVID SWENSEN LAZY PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Inflation Adjusted:
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Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

DAVID SWENSEN LAZY PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the David Swensen Lazy Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in David Swensen Lazy Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the David Swensen Lazy Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

DAVID SWENSEN LAZY PORTFOLIO
Monthly Returns Distribution
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
241 Positive Months (67%) - 119 Negative Months (33%)
321 Positive Months (68%) - 152 Negative Months (32%)
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Investment Returns, up to December 2007, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • Vanguard Total Stock Market (VTI), up to December 2001
  • Vanguard Real Estate (VNQ), up to December 2004
  • Vanguard FTSE All-World ex-US (VEU), up to December 2007
  • iShares MSCI Emerging Markets (EEM), up to December 2003
  • iShares 3-7 Year Treasury Bond (IEI), up to December 2007
  • iShares TIPS Bond (TIP), up to December 2003

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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