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Alpha Architect Robust Portfolio

Last updated Nov 30, 2022

The Alpha Architect Robust portfolio is a portfolio that implements Robust Asset Allocation (RAA). The portfolio shifts towards momentum, value, and small-cap stocks.

Expense Ratio

Rank 52 of 54

0.40%
0.00%0.94%
Dividend Yield

Rank 39 of 54

1.74%
0.00%4.60%
10Y Annualized Return

Rank 31 of 54

7.63%
3.45%54.48%
Sharpe Ratio

Rank 25 of 54

-0.71
-1.210.45
Maximum Drawdown

Rank 39 of 54

-32.65%
-91.88%-19.55%

Alpha Architect Robust PortfolioAsset Allocation


Alpha Architect Robust PortfolioPerformance

The chart shows the growth of $10,000 invested in Alpha Architect Robust Portfolio in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $25,077 for a total return of roughly 150.77%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovember
-5.84%
-5.25%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Alpha Architect Robust PortfolioReturns

As of Nov 30, 2022, the Alpha Architect Robust Portfolio returned -15.53% Year-To-Date and 7.63% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark1.45%-4.82%-16.96%-13.86%8.56%10.84%
Alpha Architect Robust Portfolio2.16%-5.58%-10.28%-8.78%5.58%6.73%
PDP
Invesco DWA Momentum ETF
0.24%-3.35%-20.70%-22.22%7.96%10.71%
VNQ
Vanguard Real Estate ETF
3.66%-12.66%-24.08%-17.68%4.29%7.14%
VTV
Vanguard Value ETF
3.62%0.14%-0.60%3.93%9.40%12.33%
IEI
iShares 3-7 Year Treasury Bond ETF
1.30%-4.09%-9.61%-9.86%0.15%0.59%
DLS
WisdomTree International SmallCap Dividend
9.04%-7.56%-17.98%-13.84%-1.55%5.25%
IJS
iShares S&P SmallCap 600 Value ETF
1.86%-2.21%-7.09%-5.91%6.04%11.03%
GSG
iShares S&P GSCI Commodity-Indexed Trust
-3.87%-16.32%23.50%27.98%6.30%-4.24%
EFV
iShares MSCI EAFE Value ETF
10.08%-5.42%-6.34%-1.98%0.23%3.60%

Alpha Architect Robust PortfolioSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Alpha Architect Robust Portfolio Sharpe ratio is -0.71. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.80-0.60-0.40-0.200.00JulyAugustSeptemberOctoberNovember
-0.54
-0.63
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Alpha Architect Robust PortfolioDividends

Alpha Architect Robust Portfolio granted a 1.74% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

1.74%1.26%1.35%1.85%2.08%1.79%2.05%1.90%1.97%1.90%2.19%2.31%2.15%

Alpha Architect Robust PortfolioDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%2022FebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovember
-12.35%
-17.49%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Alpha Architect Robust PortfolioWorst Drawdowns

The table below shows the maximum drawdowns of the Alpha Architect Robust Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Alpha Architect Robust Portfolio is 28.81%, recorded on Mar 23, 2020. It took 161 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.81%Feb 20, 202023Mar 23, 2020161Nov 9, 2020184
-20.3%Nov 9, 2021222Sep 27, 2022
-16.89%May 2, 2011108Oct 3, 2011111Mar 13, 2012219
-15.99%Aug 30, 201880Dec 24, 2018121Jun 19, 2019201
-15.69%May 19, 2015186Feb 11, 2016212Dec 13, 2016398
-12.62%Apr 26, 201049Jul 2, 201068Oct 8, 2010117
-8.32%Apr 30, 201225Jun 4, 201266Sep 6, 201291
-7.48%Jan 12, 201019Feb 8, 201018Mar 5, 201037
-7.34%Jan 29, 20189Feb 8, 201884Jun 11, 201893
-7.04%May 22, 201323Jun 24, 201358Sep 16, 201381

Alpha Architect Robust PortfolioVolatility Chart

Current Alpha Architect Robust Portfolio volatility is 15.15%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


10.00%15.00%20.00%25.00%30.00%35.00%JulyAugustSeptemberOctoberNovember
11.91%
13.39%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components