Andrew Tobias vs David Swensen Lazy Portfolio Comparison

Period: January 1985 - August 2024 (~40 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Andrew Tobias Portfolio
1.00$
Initial Capital
September 1994
6.96$
Final Capital
August 2024
6.68%
Yearly Return
9.97
Std Deviation
-36.42%
Max Drawdown
42 months
Recovery Period
David Swensen Lazy Portfolio
1.00$
Initial Capital
September 1994
10.40$
Final Capital
August 2024
8.12%
Yearly Return
10.88
Std Deviation
-40.89%
Max Drawdown
38 months
Recovery Period
Andrew Tobias Portfolio
1.00$
Initial Capital
January 1985
24.93$
Final Capital
August 2024
8.45%
Yearly Return
10.07
Std Deviation
-36.42%
Max Drawdown
42 months
Recovery Period
David Swensen Lazy Portfolio
1.00$
Initial Capital
January 1985
37.05$
Final Capital
August 2024
9.53%
Yearly Return
10.77
Std Deviation
-40.89%
Max Drawdown
38 months
Recovery Period

The Andrew Tobias Portfolio obtained a 6.68% compound annual return, with a 9.97% standard deviation, in the last 30 Years.

The David Swensen Lazy Portfolio obtained a 8.12% compound annual return, with a 10.88% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Andrew Tobias Portfolio
Andrew Tobias 		11.14 2.12 7.93 17.15 8.53 6.44 6.68 8.45
Lazy Portfolio
David Swensen 		10.52 2.41 9.17 17.17 7.35 6.50 8.12 9.53
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Andrew Tobias Portfolio: an investment of 1$, since September 1994, now would be worth 6.96$, with a total return of 595.73% (6.68% annualized).

David Swensen Lazy Portfolio: an investment of 1$, since September 1994, now would be worth 10.40$, with a total return of 940.32% (8.12% annualized).


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Andrew Tobias Portfolio: an investment of 1$, since January 1985, now would be worth 24.93$, with a total return of 2393.42% (8.45% annualized).

David Swensen Lazy Portfolio: an investment of 1$, since January 1985, now would be worth 37.05$, with a total return of 3605.40% (9.53% annualized).


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Metrics as of Aug 31, 2024

The following metrics, updated as of 31 August 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Andrew Tobias Portfolio Lazy Portfolio
Author Andrew Tobias David Swensen
ASSET ALLOCATION
Stocks 66.67% 70%
Fixed Income 33.33% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 17.15 17.17
Infl. Adjusted Return (%) 14.19 14.21
DRAWDOWN
Deepest Drawdown Depth (%) -4.70 -6.33
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -4.70 -6.33
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 4
RISK INDICATORS
Standard Deviation (%) 9.33 11.83
Sharpe Ratio 1.27 1.00
Sortino Ratio 1.72 1.35
Ulcer Index 1.72 2.36
Ratio: Return / Standard Deviation 1.84 1.45
Ratio: Return / Deepest Drawdown 3.65 2.71
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Andrew Tobias Portfolio Lazy Portfolio
Author Andrew Tobias David Swensen
ASSET ALLOCATION
Stocks 66.67% 70%
Fixed Income 33.33% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.53 7.35
Infl. Adjusted Return (%) 4.18 3.05
DRAWDOWN
Deepest Drawdown Depth (%) -18.85 -22.43
Start to Recovery (months) 24 31
Longest Drawdown Depth (%) -18.85 -22.43
Start to Recovery (months) 24 31
Longest Negative Period (months) 31 34
RISK INDICATORS
Standard Deviation (%) 11.63 13.30
Sharpe Ratio 0.55 0.39
Sortino Ratio 0.73 0.51
Ulcer Index 6.32 9.01
Ratio: Return / Standard Deviation 0.73 0.55
Ratio: Return / Deepest Drawdown 0.45 0.33
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Andrew Tobias Portfolio Lazy Portfolio
Author Andrew Tobias David Swensen
ASSET ALLOCATION
Stocks 66.67% 70%
Fixed Income 33.33% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 6.44 6.50
Infl. Adjusted Return (%) 3.50 3.56
DRAWDOWN
Deepest Drawdown Depth (%) -18.85 -22.43
Start to Recovery (months) 24 31
Longest Drawdown Depth (%) -18.85 -22.43
Start to Recovery (months) 24 31
Longest Negative Period (months) 31 34
RISK INDICATORS
Standard Deviation (%) 9.86 10.96
Sharpe Ratio 0.51 0.46
Sortino Ratio 0.68 0.61
Ulcer Index 4.97 6.66
Ratio: Return / Standard Deviation 0.65 0.59
Ratio: Return / Deepest Drawdown 0.34 0.29
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Andrew Tobias Portfolio Lazy Portfolio
Author Andrew Tobias David Swensen
ASSET ALLOCATION
Stocks 66.67% 70%
Fixed Income 33.33% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 6.68 8.12
Infl. Adjusted Return (%) 4.06 5.47
DRAWDOWN
Deepest Drawdown Depth (%) -36.42 -40.89
Start to Recovery (months) 42 38
Longest Drawdown Depth (%) -25.91 -40.89
Start to Recovery (months) 55 38
Longest Negative Period (months) 111 62
RISK INDICATORS
Standard Deviation (%) 9.97 10.88
Sharpe Ratio 0.44 0.54
Sortino Ratio 0.58 0.69
Ulcer Index 8.57 7.44
Ratio: Return / Standard Deviation 0.67 0.75
Ratio: Return / Deepest Drawdown 0.18 0.20
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Andrew Tobias Portfolio Lazy Portfolio
Author Andrew Tobias David Swensen
ASSET ALLOCATION
Stocks 66.67% 70%
Fixed Income 33.33% 30%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.45 9.53
Infl. Adjusted Return (%) 5.50 6.56
DRAWDOWN
Deepest Drawdown Depth (%) -36.42 -40.89
Start to Recovery (months) 42 38
Longest Drawdown Depth (%) -25.91 -40.89
Start to Recovery (months) 55 38
Longest Negative Period (months) 111 62
RISK INDICATORS
Standard Deviation (%) 10.07 10.77
Sharpe Ratio 0.53 0.59
Sortino Ratio 0.70 0.77
Ulcer Index 7.67 6.78
Ratio: Return / Standard Deviation 0.84 0.89
Ratio: Return / Deepest Drawdown 0.23 0.23
Metrics calculated over the period 1 January 1985 - 31 August 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)

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Andrew Tobias Portfolio Lazy Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-40.89 38 Nov 2007
Dec 2010
-36.42 42 Nov 2007
Apr 2011
-25.91 55 Apr 2000
Oct 2004
-22.43 31 Jan 2022
Jul 2024
-18.85 24 Jan 2022
Dec 2023
-14.66 7 Feb 2020
Aug 2020
-13.71 8 Jan 2020
Aug 2020
-13.69 20 May 2011
Dec 2012
-12.40 10 May 2011
Feb 2012
-11.28 9 Apr 1998
Dec 1998
-10.67 33 Sep 2000
May 2003
-9.73 5 Jul 1998
Nov 1998
-8.88 15 Feb 2018
Apr 2019
-8.81 19 Jun 2015
Dec 2016
-8.18 7 Sep 2018
Mar 2019

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Andrew Tobias Portfolio Lazy Portfolio
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-40.89 38 Nov 2007
Dec 2010
-36.42 42 Nov 2007
Apr 2011
-25.91 55 Apr 2000
Oct 2004
-22.43 31 Jan 2022
Jul 2024
-18.85 24 Jan 2022
Dec 2023
-16.20 16 Sep 1987
Dec 1988
-14.68 15 Sep 1987
Nov 1988
-14.66 7 Feb 2020
Aug 2020
-13.71 8 Jan 2020
Aug 2020
-13.69 20 May 2011
Dec 2012
-12.76 14 Jan 1990
Feb 1991
-12.63 14 Jan 1990
Feb 1991
-12.40 10 May 2011
Feb 2012
-11.28 9 Apr 1998
Dec 1998
-10.67 33 Sep 2000
May 2003

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1985 - 31 August 2024 (~40 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Andrew Tobias Portfolio Lazy Portfolio
Year Return Drawdown Return Drawdown
2024
 11.14% -2.74% 10.52% -3.79%
2023
 16.14% -6.53% 14.13% -8.59%
2022
 -12.58% -18.85% -17.86% -22.43%
2021
 12.14% -2.75% 17.34% -3.57%
2020
 10.55% -13.71% 10.56% -14.66%
2019
 18.69% -3.79% 21.27% -2.73%
2018
 -5.85% -8.88% -5.67% -8.18%
2017
 15.52% 0.00% 13.94% 0.00%
2016
 5.01% -4.55% 7.74% -3.13%
2015
 -0.07% -7.19% -0.95% -6.84%
2014
 2.26% -2.72% 9.97% -3.50%
2013
 18.36% -1.78% 10.89% -4.57%
2012
 11.85% -6.75% 13.49% -4.74%
2011
 -3.28% -13.69% 2.21% -12.40%
2010
 9.28% -8.62% 15.37% -7.79%
2009
 18.73% -13.67% 24.86% -16.73%
2008
 -23.80% -25.97% -25.53% -30.78%
2007
 7.55% -3.36% 5.59% -4.67%
2006
 15.13% -2.38% 17.84% -2.82%
2005
 7.05% -2.58% 8.97% -2.65%
2004
 10.80% -2.56% 16.10% -5.90%
2003
 24.42% -3.85% 26.85% -1.91%
2002
 -9.29% -13.73% -3.41% -9.34%
2001
 -8.37% -14.61% -1.71% -9.38%
2000
 -5.34% -8.80% 3.13% -5.95%
1999
 21.21% -2.27% 12.70% -3.25%
1998
 15.71% -9.73% 8.13% -11.28%
1997
 12.04% -3.41% 15.35% -3.79%
1996
 10.01% -2.86% 15.04% -2.41%
1995
 17.29% -0.92% 20.31% -1.03%
1994
 3.04% -3.64% -2.86% -8.21%
1993
 15.62% -4.17% 20.71% -3.68%
1992
 0.36% -4.79% 5.36% -3.21%
1991
 17.79% -3.72% 29.05% -3.46%
1990
 -6.98% -12.76% -6.06% -12.63%
1989
 17.49% -1.63% 21.59% -1.39%
1988
 16.22% -2.96% 15.34% -2.25%
1987
 12.63% -14.68% 2.49% -16.20%
1986
 29.43% -4.56% 23.31% -3.94%
1985
 33.71% -1.51% 29.41% -1.92%