Swensen Portfolio
Jul 26, 2007 – Nov 12, 2026, Rebalanced annually, VEA starts Jul 26, 2007
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Swensen | $36,598 | +6.95% | −43.76% | 0.55 |
| S&P 500 | $72,716 | +10.83% | −55.19% | 0.62 |
| Final balance | CAGR | Max drawdown | Sharpe ratio | |
|---|---|---|---|---|
| Swensen | $36,598 | +6.95% | −43.76% | 0.55 |
| S&P 500 | $72,716 | +10.83% | −55.19% | 0.62 |
| Swensen | S&P 500 | |
|---|---|---|
| Final balance | $36,598 | $72,716 |
| CAGR | +6.95% | +10.83% |
| Max drawdown | −43.76% | −55.19% |
| Sharpe ratio | 0.55 | 0.62 |
Loading the growth chart…
Growth of $10,000
Key metrics
| Return | Swensen | S&P 500 |
|---|---|---|
| Final balance | $36,598 | $72,716 |
| Total return | +265.98% | +627.16% |
| CAGR | +6.95% | +10.83% |
| Calendar years | Swensen | S&P 500 |
|---|---|---|
| Best year | +22.99% | +32.31% |
| Worst year | −24.60% | −36.80% |
| Positive years | 14 of 18 | 15 of 18 |
| Risk | Swensen | S&P 500 |
|---|---|---|
| Max drawdown | −43.76% | −55.19% |
| Longest drawdown | 3 years | 4.9 years |
| Volatility (daily, annualized) | 13.94% | 19.72% |
| Risk-adjusted | Swensen | S&P 500 |
|---|---|---|
| Sharpe ratio | 0.55 | 0.62 |
| Sortino ratio | 0.77 | 0.88 |
| Calmar ratio | 0.16 | 0.20 |
Annual returns
| Year | Swensen | S&P 500 |
|---|---|---|
| 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 to Nov 12 | +7.50% | +11.89% |
Worst drawdowns
| Decline | Peak | Bottom | Recovered | Length |
|---|---|---|---|---|
| −43.8% | Oct 2007 | Mar 2009 | Oct 2010 | 3 years |
| −24.8% | Feb 2020 | Mar 2020 | Aug 2020 | 6 months |
| −24.1% | Dec 2021 | Oct 2022 | Jul 2024 | 2.5 years |
| −13.4% | Jul 2011 | Oct 2011 | Feb 2012 | 6 months |
| −11.8% | Aug 2018 | Dec 2018 | Mar 2019 | 7 months |
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.
Its worst fall took 3 years to recover, and it beat the S&P 500 in 3 of 18 full years.
Daily closes with dividends reinvested and fund fees included, before taxes and trading costs.