David Swensen Portfolio: backtest, returns and drawdowns
The lazy portfolio Yale’s chief investment officer proposed for individual investors: equity-heavy, with real estate and inflation-protected bonds.
Data updated October 2026
Created by: David Swensen (Yale endowment)
Allocation
| Asset class | ETF used in the backtest | Weight |
|---|---|---|
| US stocks | VTI | 30% |
| International developed stocks | VEA | 15% |
| Emerging-market stocks | VWO | 5% |
| US real estate (REITs) | VNQ | 20% |
| Intermediate US Treasuries | IEF | 15% |
| Inflation-protected Treasuries (TIPS) | TIP | 15% |
From June 2020 to October 2026 the David Swensen Portfolio returned 8.8% a year on average, with annual volatility of 11.5%. Its deepest fall was 24.1%, from December 2021 to October 2022, recovered in about 31 months.
Its best year was 2021 (+18.0%) and its worst 2022 (−18.4%).
Over the same period 100% US stocks returned 16.8% a year with a maximum fall of 25.4%.
Key figures
- Annual return (CAGR)
- +8.8%
- Annual volatility
- 11.5%
- Maximum drawdown
- −24.1%
- Recovery time
- 31 months
- Sharpe
- 0.55
- Sortino
- 0.79
- Worst year
- 2022: −18.4%
- Positive years
- 4/5
Growth of $10,000
Drawdowns
Returns by calendar year
| Year | David Swensen Portfolio | 60/40 Portfolio | 100% Stocks |
|---|---|---|---|
| 2026(partial) | +7.3% | +8.0% | +14.7% |
| 2025 | +14.5% | +13.1% | +17.1% |
| 2024 | +9.3% | +14.8% | +23.8% |
| 2023 | +14.5% | +17.9% | +26.1% |
| 2022 | −18.4% | −17.0% | −19.5% |
| 2021 | +18.0% | +14.6% | +25.7% |
| 2020(partial) | +15.7% | +16.5% | +26.4% |
How it works
Diversified equity for growth, REITs as a separate asset class, and only Treasuries (nominal and inflation-linked) on the bond side.
Backtest with total-return ETF prices (dividends reinvested), rebalanced to target weights on the first trading day of each year. No fees, taxes or currency effects; first and last years are partial. Past results do not predict future returns.
Questions
What is the David Swensen Portfolio?
The lazy portfolio Yale’s chief investment officer proposed for individual investors: equity-heavy, with real estate and inflation-protected bonds. Allocation: 30% us stocks, 15% international developed stocks, 5% emerging-market stocks, 20% us real estate (reits), 15% intermediate us treasuries, 15% inflation-protected treasuries (tips). Created by: David Swensen (Yale endowment).
What is the David Swensen Portfolio return?
In the backtest from June 2020 to October 2026 it returned 8.8% a year on average, with a maximum drawdown of 24.1%. US dollars, before fees and taxes.
How often should it be rebalanced?
The backtest rebalances once a year back to the target weights. Rebalancing more often changes little and adds costs; some investors rebalance only when a weight drifts beyond a threshold.
What was the worst drawdown of the David Swensen Portfolio?
24.1%, from December 2021 to October 2022; it took about 31 months to get back to the previous high.
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- Versione italiana
Source: MarketStack end-of-day prices. Historical and educational content: not a forecast and not investment advice. MEDGE Capital does not recommend buying or selling any instrument. Risk disclaimer.