Developed World ex-US Stocks Momentum vs David Swensen Lazy Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US Stocks Momentum Portfolio obtained a 5.00% compound annual return, with a 13.60% standard deviation, in the last 10 Years.

The David Swensen Lazy Portfolio obtained a 6.26% compound annual return, with a 10.81% standard deviation, in the last 10 Years.

Summary

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Developed World ex-US Stocks Momentum Portfolio David Swensen Lazy Portfolio
Portfolio Risk Very High High
Asset Allocation Stocks 100% 70%
Fixed Income 0% 30%
Commodities 0% 0%
10 Years Stats Return +5.00% +6.26%
Std Dev 13.60% 10.81%
Max Drawdown -28.57% -22.43%
All time Stats
(Since Aug 2009)
Return +6.55% +8.30%
Std Dev 15.24% 10.80%
Max Drawdown -28.57% -22.43%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 2024

Comparison period starts from August 2009

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1M 6M 1Y 5Y 10Y MAX
Developed World ex-US Stocks Momentum Portfolio +5.40 +15.30 +20.62 +8.78 +5.00 +6.55
David Swensen Lazy Portfolio +2.31 +7.32 +12.41 +6.63 +6.26 +8.30
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.63$, with a total return of 62.90% (5.00% annualized).

David Swensen Lazy Portfolio: an investment of 1$, since March 2014, now would be worth 1.83$, with a total return of 83.49% (6.26% annualized).

Developed World ex-US Stocks Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.52$, with a total return of 152.39% (6.55% annualized).

David Swensen Lazy Portfolio: an investment of 1$, since August 2009, now would be worth 3.20$, with a total return of 219.77% (8.30% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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Developed World ex-US Stocks Momentum Portfolio
David Swensen Lazy Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-22.43% Jan 2022 Sep 2022 (9) In progress (26) 12.90
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-14.66% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.73
-8.18% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.73
-6.84% Mar 2015 Sep 2015 (7) Jun 2016 (16) 3.51
-3.96% Feb 2018 Feb 2018 (1) Aug 2018 (7) 2.52
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13
-3.57% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.06
-3.50% Sep 2014 Sep 2014 (1) Nov 2014 (3) 1.76
-3.44% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.97
-3.03% Aug 2016 Nov 2016 (4) Jan 2017 (6) 1.68
-2.73% May 2019 May 2019 (1) Jun 2019 (2) 1.58
-1.99% Mar 2014 Apr 2014 (2) May 2014 (3) 1.17
-1.80% Jun 2021 Jun 2021 (1) Aug 2021 (3) 0.96
-1.59% Nov 2021 Nov 2021 (1) Dec 2021 (2) 0.92
-1.01% Jan 2021 Jan 2021 (1) Apr 2021 (4) 0.54

Drawdown comparison chart since August 2009.

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Developed World ex-US Stocks Momentum Portfolio
David Swensen Lazy Portfolio
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
Drawdown Start Bottom
Date (#Months)
Recovery
Date (#Months)
Ulcer
Index
-28.57% Nov 2021 Sep 2022 (11) Feb 2024 (28) 13.63
-26.91% May 2011 Sep 2011 (5) Apr 2013 (24) 14.61
-22.43% Jan 2022 Sep 2022 (9) In progress (26) 12.90
-19.22% Feb 2018 Dec 2018 (11) Dec 2019 (23) 8.58
-16.18% Jul 2014 Feb 2016 (20) May 2017 (35) 8.46
-15.97% Feb 2020 Mar 2020 (2) Jun 2020 (5) 8.38
-14.66% Feb 2020 Mar 2020 (2) Aug 2020 (7) 6.73
-14.08% Apr 2010 Jun 2010 (3) Sep 2010 (6) 8.07
-12.40% May 2011 Sep 2011 (5) Feb 2012 (10) 5.05
-8.18% Sep 2018 Dec 2018 (4) Mar 2019 (7) 3.73
-7.79% May 2010 Jun 2010 (2) Sep 2010 (5) 4.25
-7.18% Jan 2010 Jan 2010 (1) Mar 2010 (3) 4.79
-6.84% Mar 2015 Sep 2015 (7) Jun 2016 (16) 3.51
-6.52% May 2013 Jun 2013 (2) Sep 2013 (5) 4.30
-5.15% Jan 2014 Jan 2014 (1) Jun 2014 (6) 2.47
-4.74% May 2012 May 2012 (1) Aug 2012 (4) 2.23
-4.57% May 2013 Aug 2013 (4) Oct 2013 (6) 2.56
-3.96% Feb 2018 Feb 2018 (1) Aug 2018 (7) 2.52
-3.90% Sep 2020 Oct 2020 (2) Nov 2020 (3) 1.96
-3.69% Sep 2021 Sep 2021 (1) Oct 2021 (2) 2.13

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
+8.63%
0.00%
+1.23%
-1.06%
2023
+13.91%
-8.35%
+14.13%
-8.59%
2022
-16.80%
-28.32%
-17.86%
-22.43%
2021
+6.60%
-4.63%
+17.34%
-3.57%
2020
+22.16%
-15.97%
+10.56%
-14.66%
2019
+24.51%
-2.38%
+21.27%
-2.73%
2018
-14.30%
-19.22%
-5.67%
-8.18%
2017
+25.46%
-0.73%
+13.94%
0.00%
2016
+0.47%
-7.09%
+7.74%
-3.13%
2015
-1.60%
-12.26%
-0.95%
-6.84%
2014
-9.19%
-9.77%
+9.97%
-3.50%
2013
+22.20%
-6.52%
+10.89%
-4.57%
2012
+17.94%
-8.24%
+13.49%
-4.74%
2011
-14.36%
-26.91%
+2.21%
-12.40%
2010
+14.14%
-14.08%
+15.37%
-7.79%