Swensen Portfolio
Jul 26, 2007 – Sep 23, 2026, Rebalanced annually
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Swensen | $36,567 | 7.00% | −43.69% | 0.56 |
| S&P 500 | $73,743 | 10.99% | −55.19% | 0.63 |
| Swensen | S&P 500 | |
|---|---|---|
| Final balance | $36,567 | $73,743 |
| CAGR | 7.00% | 10.99% |
| Max drawdown | −43.69% | −55.19% |
| Sharpe ratio | 0.56 | 0.63 |
Allocation
- VTIUS total stock market30%
- VEAInternational developed15%
- VWOEmerging markets5%
- VNQUS real estate20%
- TIPInflation-protected Treasuries15%
- IEFIntermediate Treasuries15%
Loading the growth chart…
Growth of $10,000
- Swensen
- S&P 500
Metrics
| Return | Swensen | S&P 500 |
|---|---|---|
| Final balance | $36,567 | $73,743 |
| Total return | 265.67% | 637.43% |
| CAGR | 7.00% | 10.99% |
| Calendar years | Swensen | S&P 500 |
| Best year | 22.99% | 32.31% |
| Worst year | −24.51% | −36.80% |
| Positive years | 14 of 18 | 15 of 18 |
| Risk | Swensen | S&P 500 |
| Max drawdown | −43.69% | −55.19% |
| Longest drawdown | 3 years | 4.9 years |
| Volatility (annualized) | 13.96% | 19.73% |
| Risk-adjusted | Swensen | S&P 500 |
| Sharpe ratio | 0.56 | 0.63 |
| Sortino ratio | 0.78 | 0.89 |
| Calmar ratio | 0.16 | 0.20 |
| Return | Swensen | S&P 500 |
|---|---|---|
| Final balance | $36,567 | $73,743 |
| Total return | 265.67% | 637.43% |
| CAGR | 7.00% | 10.99% |
| Calendar years | Swensen | S&P 500 |
| Best year | 22.99% | 32.31% |
| Worst year | −24.51% | −36.80% |
| Positive years | 14 of 18 | 15 of 18 |
| Risk | Swensen | S&P 500 |
|---|---|---|
| Max drawdown | −43.69% | −55.19% |
| Longest drawdown | 3 years | 4.9 years |
| Volatility (annualized) | 13.96% | 19.73% |
| Risk-adjusted | Swensen | S&P 500 |
| Sharpe ratio | 0.56 | 0.63 |
| Sortino ratio | 0.78 | 0.89 |
| Calmar ratio | 0.16 | 0.20 |
Worst drawdowns
| Decline | Peak | Bottom | Recovered |
|---|---|---|---|
| −43.7% | Oct 2007 | Mar 2009 | Oct 2010 |
| −24.8% | Feb 2020 | Mar 2020 | Aug 2020 |
| −24.1% | Dec 2021 | Oct 2022 | Jul 2024 |
| −13.4% | Jul 2011 | Oct 2011 | Feb 2012 |
| −11.8% | Aug 2018 | Dec 2018 | Mar 2019 |
Annual returns
| Year | Swensen | S&P 500 |
|---|---|---|
| 2007* | +2.48% | −0.23% |
| 2008 | −24.51% | −36.80% |
| 2009 | +22.99% | +26.35% |
| 2010 | +15.46% | +15.06% |
| 2011 | +3.57% | +1.89% |
| 2012 | +13.72% | +15.99% |
| 2013 | +11.33% | +32.31% |
| 2014 | +10.85% | +13.46% |
| 2015 | −0.29% | +1.23% |
| 2016 | +7.42% | +12.00% |
| 2017 | +13.70% | +21.71% |
| 2018 | −5.79% | −4.57% |
| 2019 | +21.87% | +31.22% |
| 2020 | +10.74% | +18.33% |
| 2021 | +17.98% | +28.73% |
| 2022 | −18.42% | −18.18% |
| 2023 | +14.45% | +26.18% |
| 2024 | +9.26% | +24.89% |
| 2025 | +14.55% | +17.72% |
| 2026* | +7.28% | +13.47% |
* Partial year
About the Swensen Portfolio
David Swensen ran Yale's endowment for 36 years. In his 2005 book Unconventional Success, he suggested this portfolio for individual investors.
Half is in stocks, spread across the US, developed markets and emerging markets. Real estate gets 20%. The other 30% is split between regular and inflation-protected Treasuries.
The Swensen Portfolio returned 7.0% a year from Jul 2007 to Sep 2026, against 11.0% for the S&P 500. Its biggest drop was 43.7%, against 55.2% for the S&P 500. It took 3 years to recover. It beat the S&P 500 in 3 of 18 full years.
Uses daily closing prices with dividends reinvested. Fund fees are included, but not taxes or trading costs. The backtest starts on Jul 26, 2007, the first day all six funds have prices. The S&P 500 is SPY.
Other portfolios
Ivy Portfolio
Meb Faber's portfolio, 20% each in US stocks, foreign stocks, bonds, real estate and commodities.
- VTI20%
- VEU20%
- VNQ20%
- IEF20%
- DBC20%
Three-Fund
The Bogleheads' portfolio, here 42% US stocks, 40% bonds, 18% international stocks.
- VTI42%
- VEU18%
- BND40%
All Weather
Ray Dalio's simplified portfolio, 55% bonds, 30% stocks, 15% gold and commodities.
- VTI30%
- TLT40%
- IEF15%
- DBC7.5%
- GLD7.5%