David Swensen's Yale lazy portfolio?

[GT]

Hi,

I am reading his book "Unconventional Success"  and was wondering if anyone is using this style portfolio in a VP account?

Anyone have the year over year results? or a way to back test by year?

I have found the 1 3 5 and 10 year avg. results but not the actual year by year results.

[Pointedstick]

I don't find it to be terribly impressive compared to the PP:

http://www.riskcog.com/portfolio-theme2 ... i5pa49d49b



Higher return, lots more volatility. But for any portfolio like his, I want to know how those particular allocations were arrived at. Why those numbers? Where's the deflation protection?  For that matter, where's the inflation protection? TIPS keep up with inflation but cannot be expected to explode in value like gold does. That portfolio reacts strongly to stock movements and small changes to inflation thanks to the stocks and TIPS, but weakly to interest rate movements and large changes to inflation due to the lack of gold and small quantity of treasury bonds.

If you wanted to beat the PP's return, you could do it better with a much simpler, safer, less volatile, more transparent allocation:

http://www.riskcog.com/portfolio-theme2.jsp#59h59hc9h8



Just get rid of cash and increase the volatility of your stocks, and you're primed for hyper growth. If you're worried by the low interest rates, you could replace the 30-year bonds with a medium-term ladder and still do fine.

[GT]

Thanks for the detailed reply Pointedstick!!

Also, thanks for the backtesting link.

I will use the back testing link and review some portfolio's including the one you detailed.

[dualstow]

@pointedstick: it looks like you have 5-year Treasurys up there, but every model I've read shows Swensen using long treasurys, 30-year ones. Doesn't he?

some links:
http://www.marketwatch.com/lazyportfoli ... -portfolio
http://madmoneymachine.com/professional ... ortfolios/

[Pointedstick]

@pointedstick: it looks like you have 5-year Treasurys up there, but every model I've read shows Swensen using long treasurys, 30-year ones. Doesn't he?

some links:
http://www.marketwatch.com/lazyportfoli ... -portfolio
http://madmoneymachine.com/professional ... ortfolios/

Oops, you're right. But believe it or not, it makes very little difference. The CAGR rises from 10.94% to 11.01%, and the max drawdown goes from -26.11% to -24.73%.

[dualstow]

Not only do I believe it, I almost appended the post with, "Probably won't matter much since it's not a huge share of the total."

[BP]

You can compare the Swensen portfolio, and others, against the PP at myplaniq.com.  Just make sure that you click the "green buttons" below the original results to get detailed performance metrics.  You can compare up to five portfolios at once.  I have given a head to head performance to the Swensen portfolio, Aronson family, "gone fishin" portfolio, 7Twelve, and PP.  If I recall correctly the max. drawdown on most were above 30% and none had better performance than the PP.

[GT]

Thanks BP - Nice back testing site!

I am reviewing several lazy portfolio's at the site now...