David Swensen Lazy vs Stocks/Bonds 40/60 Momentum Portfolio Comparison

Last Update: 29 February 2024

The David Swensen Lazy Portfolio obtained a 7.78% compound annual return, with a 10.88% standard deviation, in the last 30 Years.

The Stocks/Bonds 40/60 Momentum Portfolio obtained a 8.06% compound annual return, with a 7.02% standard deviation, in the last 30 Years.

Summary

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David Swensen Lazy Portfolio Stocks/Bonds 40/60 Momentum Portfolio
Portfolio Risk High Medium
Asset Allocation Stocks 70% 40%
Fixed Income 30% 60%
Commodities 0% 0%
30 Years Stats Return +7.78% +8.06%
Std Dev 10.88% 7.02%
Max Drawdown -40.89% -21.11%
All time Stats
(Since Jan 1985)
Return +9.42% +9.27%
Std Dev 10.79% 7.34%
Max Drawdown -40.89% -21.11%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from January 1985

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1M 6M 1Y 5Y 10Y 30Y MAX
David Swensen Lazy Portfolio +2.31 +7.32 +12.41 +6.63 +6.26 +7.78 +9.42
Stocks/Bonds 40/60 Momentum Portfolio +3.33 +11.07 +14.70 +5.25 +6.03 +8.06 +9.27
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

David Swensen Lazy Portfolio: an investment of 1$, since March 1994, now would be worth 9.46$, with a total return of 846.33% (7.78% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since March 1994, now would be worth 10.24$, with a total return of 923.96% (8.06% annualized).

David Swensen Lazy Portfolio: an investment of 1$, since January 1985, now would be worth 33.94$, with a total return of 3293.96% (9.42% annualized).

Stocks/Bonds 40/60 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 32.23$, with a total return of 3122.88% (9.27% annualized).

Drawdowns

Drawdown comparison chart since March 1994.

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David Swensen Lazy Portfolio
Stocks/Bonds 40/60 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-40.89% Nov 2007 Feb 2009 (16) Dec 2010 (38) 17.98
-22.43% Jan 2022 Sep 2022 (9) In progress (26) 12.90
-21.11% Nov 2021 Sep 2022 (11) In progress (28) 14.51
-20.54% Nov 2007 Feb 2009 (16) Apr 2010 (30) 9.31
-14.66% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.73
-12.40% May 2011 Sep 2011 (5) Feb 2012 (10) 5.05
-11.28% Apr 1998 Aug 1998 (5) Dec 1998 (9) 4.62
-10.67% Sep 2000 Sep 2002 (25) May 2003 (33) 5.86
-8.48% Feb 2001 Sep 2002 (20) May 2003 (28) 4.78
-8.18% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.73
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-6.84% Mar 2015 Sep 2015 (7) Jun 2016 (16) 3.51
-6.06% Mar 1994 Nov 1994 (9) Apr 1995 (14) 3.55
-5.90% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.15
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-4.74% May 2012 May 2012 (1) Aug 2012 (4) 2.23
-4.57% May 2013 Aug 2013 (4) Oct 2013 (6) 2.56
-4.14% Jun 2007 Jul 2007 (2) Sep 2007 (4) 2.30
-4.13% Aug 1998 Aug 1998 (1) Oct 1998 (3) 2.07
-3.96% Feb 2018 Feb 2018 (1) Aug 2018 (7) 2.52

Drawdown comparison chart since January 1985.

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David Swensen Lazy Portfolio
Stocks/Bonds 40/60 Momentum Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-40.89% Nov 2007 Feb 2009 (16) Dec 2010 (38) 17.98
-22.43% Jan 2022 Sep 2022 (9) In progress (26) 12.90
-21.11% Nov 2021 Sep 2022 (11) In progress (28) 14.51
-20.54% Nov 2007 Feb 2009 (16) Apr 2010 (30) 9.31
-16.20% Sep 1987 Nov 1987 (3) Dec 1988 (16) 7.26
-14.66% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.73
-13.77% Sep 1987 Nov 1987 (3) Mar 1989 (19) 6.65
-12.63% Jan 1990 Sep 1990 (9) Feb 1991 (14) 6.15
-12.40% May 2011 Sep 2011 (5) Feb 2012 (10) 5.05
-11.28% Apr 1998 Aug 1998 (5) Dec 1998 (9) 4.62
-10.67% Sep 2000 Sep 2002 (25) May 2003 (33) 5.86
-8.48% Feb 2001 Sep 2002 (20) May 2003 (28) 4.78
-8.21% Feb 1994 Nov 1994 (10) May 1995 (16) 5.21
-8.18% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.73
-7.10% Feb 2020 Mar 2020 (2) May 2020 (4) 3.36
-6.84% Mar 2015 Sep 2015 (7) Jun 2016 (16) 3.51
-5.91% Feb 1994 Jun 1994 (5) Feb 1995 (13) 3.86
-5.90% Apr 2004 Apr 2004 (1) Sep 2004 (6) 3.15
-5.89% Oct 2018 Dec 2018 (3) Mar 2019 (6) 3.46
-5.29% Aug 1990 Sep 1990 (2) Dec 1990 (5) 3.29

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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Year Return Drawdown Return Drawdown
2024
+1.23%
-1.06%
+5.54%
0.00%
2023
+14.13%
-8.59%
+6.91%
-5.18%
2022
-17.86%
-22.43%
-15.17%
-19.48%
2021
+17.34%
-3.57%
+4.23%
-2.38%
2020
+10.56%
-14.66%
+16.57%
-7.10%
2019
+21.27%
-2.73%
+16.20%
-0.81%
2018
-5.67%
-8.18%
-0.73%
-5.89%
2017
+13.94%
0.00%
+17.14%
0.00%
2016
+7.74%
-3.13%
+3.51%
-3.61%
2015
-0.95%
-6.84%
+3.91%
-2.95%
2014
+9.97%
-3.50%
+9.34%
-1.49%
2013
+10.89%
-4.57%
+12.57%
-1.74%
2012
+13.49%
-4.74%
+7.87%
-2.05%
2011
+2.21%
-12.40%
+7.13%
-3.62%
2010
+15.37%
-7.79%
+10.93%
-3.48%
2009
+24.86%
-16.73%
+9.16%
-9.41%
2008
-25.53%
-30.78%
-12.27%
-15.80%
2007
+5.59%
-4.67%
+11.21%
-0.82%
2006
+17.84%
-2.82%
+6.78%
-1.50%
2005
+8.97%
-2.65%
+9.09%
-0.93%
2004
+16.10%
-5.90%
+9.22%
-2.12%
2003
+26.85%
-1.91%
+12.78%
-1.27%
2002
-3.41%
-9.34%
+0.04%
-5.36%
2001
-1.71%
-9.38%
-1.88%
-6.89%
2000
+3.13%
-5.95%
+2.99%
-3.33%
1999
+12.70%
-3.25%
+15.71%
-1.69%
1998
+8.13%
-11.28%
+24.65%
-4.13%
1997
+15.35%
-3.79%
+20.41%
-2.69%
1996
+15.04%
-2.41%
+14.08%
-1.52%
1995
+20.31%
-1.03%
+27.84%
0.00%
1994
-2.86%
-8.21%
-2.03%
-5.91%
1993
+20.71%
-3.68%
+11.10%
-0.87%
1992
+5.36%
-3.21%
+6.01%
-2.11%
1991
+29.05%
-3.46%
+23.91%
-1.79%
1990
-6.06%
-12.63%
+5.79%
-5.29%
1989
+21.59%
-1.39%
+25.29%
-1.01%
1988
+15.34%
-2.25%
+7.24%
-2.95%
1987
+2.49%
-16.20%
+1.86%
-13.77%
1986
+23.31%
-3.94%
+18.14%
-4.37%
1985
+29.41%
-1.92%
+26.30%
-0.74%