Asset Allocation
Benchmark: S&P 500 Index · Rebalance: Every 3 months
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Alpha Architect Robust Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.
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Returns By Period
As of Aug 1, 2026, the Alpha Architect Robust Portfolio returned 15.59% Year-To-Date and 9.27% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.70% | 0.09% | 7.94% | 9.41% | 18.15% | 17.84% | 11.25% | 13.26% | 8.09% |
Portfolio Alpha Architect Robust Portfolio | -0.03% | -0.57% | 10.71% | 15.59% | 21.53% | 14.68% | 8.14% | 9.27% | 6.89% |
| Portfolio components: | |||||||||
DLS WisdomTree International SmallCap Dividend | -0.16% | 2.40% | 3.30% | 8.42% | 18.58% | 16.62% | 7.13% | 7.86% | 6.44% |
EFV iShares MSCI EAFE Value ETF | -0.53% | 5.86% | 10.21% | 16.27% | 34.09% | 22.38% | 14.42% | 10.63% | 6.14% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.28% | 13.10% | 25.75% | 38.94% | 40.53% | 14.13% | 14.47% | 8.91% | -2.13% |
IEI iShares 3-7 Year Treasury Bond ETF | -0.14% | -0.40% | -0.62% | -0.62% | 2.06% | 3.83% | 0.05% | 1.16% | 2.82% |
IJS iShares S&P SmallCap 600 Value ETF | 0.09% | -0.40% | 12.92% | 20.25% | 36.85% | 12.47% | 7.91% | 10.17% | 9.94% |
PDP Invesco Dorsey Wright Momentum ETF | 0.32% | -9.12% | 9.33% | 14.75% | 18.03% | 18.14% | 8.11% | 12.35% | 9.66% |
VNQ Vanguard Real Estate ETF | -0.54% | 2.20% | 11.11% | 14.01% | 15.30% | 9.39% | 2.44% | 4.90% | 7.72% |
VTV Vanguard Value ETF | -0.27% | 1.18% | 11.27% | 16.37% | 26.83% | 17.12% | 12.29% | 12.57% | 9.67% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 1, 2007, Alpha Architect Robust Portfolio's average daily return is +0.03%, while the average monthly return is +0.63%. At this rate, an investment would double in approximately 9.2 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +10.0%, while the worst month was Oct 2008 at -18.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Alpha Architect Robust Portfolio closed higher 54% of trading days. The best single day was Oct 13, 2008 with a return of +6.9%, while the worst single day was Mar 16, 2020 at -8.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.41% | 3.89% | -2.00% | 7.40% | 1.18% | 1.70% | -1.60% | 15.59% | |||||
| 2025 | 2.87% | -0.65% | -2.17% | -0.95% | 3.06% | 2.74% | 1.70% | 1.77% | 2.42% | 0.73% | 0.12% | 0.01% | 12.11% |
| 2024 | -0.09% | 3.53% | 3.14% | -4.00% | 3.12% | 0.20% | 3.11% | 1.79% | 1.63% | -1.57% | 5.61% | -4.52% | 12.03% |
| 2023 | 5.70% | -2.69% | 0.49% | 0.13% | -3.07% | 5.37% | 2.78% | -1.39% | -3.12% | -3.41% | 6.52% | 5.37% | 12.51% |
| 2022 | -4.63% | -0.42% | 1.96% | -4.42% | 1.79% | -7.52% | 5.99% | -3.27% | -8.09% | 6.70% | 4.40% | -3.85% | -12.07% |
| 2021 | -0.01% | 3.53% | 1.13% | 3.30% | 1.03% | 1.32% | 1.25% | 1.34% | -2.57% | 4.77% | -3.28% | 2.90% | 15.39% |
Benchmark Metrics
Alpha Architect Robust Portfolio has an annualized alpha of 0.15%, beta of 0.73, and R2 of 0.89 versus S&P 500 Index. Calculated based on daily prices since March 01, 2007.
- This portfolio participated in 80.69% of S&P 500 Index downside but only 73.26% of its upside - more exposed to losses than it benefited from rallies.
- Alpha
- 0.15%
- Beta
- 0.73
- R²
- 0.89
- Upside Capture
- 73.26%
- Downside Capture
- 80.69%
Expense Ratio
Alpha Architect Robust Portfolio has an expense ratio of 0.39%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Alpha Architect Robust Portfolio ranks 82 for risk / return — above 82% of Portfolios peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return Metrics
The table below presents risk-adjusted performance metrics for Alpha Architect Robust Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.99 | 1.42 | +0.57 |
| Sortino ratioReturn per unit of downside risk | 2.84 | 1.98 | +0.86 |
| Omega ratioGain probability vs. loss probability | 1.35 | 1.25 | +0.10 |
| Calmar ratioReturn relative to maximum drawdown | 3.94 | 2.00 | +1.93 |
| Martin ratioReturn relative to average drawdown | 15.52 | 8.49 | +7.03 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
DLS WisdomTree International SmallCap Dividend | 53 | 1.34 | 1.96 | 1.25 | 1.69 | 5.71 |
EFV iShares MSCI EAFE Value ETF | 89 | 2.38 | 3.28 | 1.43 | 3.14 | 11.73 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 67 | 1.68 | 2.28 | 1.29 | 2.16 | 6.99 |
IEI iShares 3-7 Year Treasury Bond ETF | 26 | 0.69 | 1.03 | 1.12 | 0.83 | 1.90 |
IJS iShares S&P SmallCap 600 Value ETF | 88 | 2.09 | 3.02 | 1.37 | 3.99 | 13.67 |
PDP Invesco Dorsey Wright Momentum ETF | 31 | 0.70 | 1.10 | 1.14 | 1.03 | 4.02 |
VNQ Vanguard Real Estate ETF | 47 | 1.11 | 1.62 | 1.20 | 1.84 | 5.97 |
VTV Vanguard Value ETF | 93 | 2.62 | 3.74 | 1.47 | 4.24 | 16.42 |
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Dividends
Dividend yield
Alpha Architect Robust Portfolio provided a 1.95% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.95% | 2.02% | 2.07% | 1.93% | 1.78% | 1.23% | 1.29% | 1.73% | 1.87% | 1.56% | 1.76% | 1.57% |
| Portfolio components: | ||||||||||||
DLS WisdomTree International SmallCap Dividend | 3.51% | 3.87% | 4.56% | 4.29% | 4.96% | 3.29% | 2.50% | 3.37% | 3.66% | 2.79% | 3.29% | 2.72% |
EFV iShares MSCI EAFE Value ETF | 4.52% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.68% | 3.48% | 3.18% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% |
IJS iShares S&P SmallCap 600 Value ETF | 1.32% | 1.62% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% |
PDP Invesco Dorsey Wright Momentum ETF | 0.08% | 0.17% | 0.15% | 0.42% | 0.45% | 0.00% | 0.11% | 0.25% | 0.18% | 0.28% | 0.81% | 0.39% |
VNQ Vanguard Real Estate ETF | 3.51% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTV Vanguard Value ETF | 1.86% | 2.05% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Alpha Architect Robust Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Alpha Architect Robust Portfolio was 48.58%, occurring on Mar 9, 2009. Recovery took 522 trading sessions.
The current Alpha Architect Robust Portfolio drawdown is 1.89%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-48.58%Mar 2009 | 9mo 24d | 2y 23d | 2y 10moMay 2008 - Apr 2011 | Financial crisis2007–2009 |
-28.81%Mar 2020 | 1mo 2d | 7mo 21d | 8mo 23dFeb 2020 - Nov 2020 | COVID crash2020 |
-20.30%Sep 2022 | 10mo 22d | 1y 5mo | 2y 3moNov 2021 - Mar 2024 | Bear market2022 |
-16.89%Oct 2011 | 5mo 4d | 5mo 12d | 10mo 16dMay 2011 - Mar 2012 | — |
-15.99%Dec 2018 | 3mo 26d | 5mo 27d | 9mo 23dAug 2018 - Jun 2019 | Rate-hike selloffLate 2018 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is mostly a diversified equity factor sleeve wrapped around a bond and commodities hedge, so the real bet is not “the market” but growth, value, and dividend equities moving in a reasonably ordinary way while IEI and GSG do their separate jobs.
The numbers
- Diversification is modest to meaningful: DR is 1.25 incept, 1.33 over 5Y, and 1.51 over 1Y, with the recent window stronger than the long run.
- The effective asset count is 5.8 of 8, so the weights are spread, but the correlation structure still says “one broad equity complex plus two satellites.”
- Mean pairwise correlation is 0.40, with a high of 0.91 between DLS and EFV and a low of -0.27 between VTV and IEI.
The good
- IEI is doing real diversification work; its -0.17 to portfolio correlation gives the portfolio an asset that is not pretending to be equities with a different haircut.
- GSG and VNQ are distinct enough from the core equity cluster to matter, even if they are not immune to macro stress.
- The weights are not excessively concentrated in a single name, and the portfolio has enough sleeves to express more than one factor view.
The bad
- Most of the portfolio lives in one equity cluster: PDP (Momentum), VTV, DLS, EFV, and IJS are tightly tied together, so the factor story is more unified than the ticker list suggests.
- VTV and IJS at 0.85 correlation, plus DLS and EFV at 0.91, means several positions are mostly different labels on similar equity exposure.
- The incept DR of 1.25 is only middling, which is the polite way of saying the diversification is real but not heroic.
The ugly
- If equity style leadership narrows, the portfolio’s internal equity cluster will start behaving like a single trade, while IEI and GSG may be the only parts not participating in the same drawdown.
- In a reflation or rates-shock regime, VNQ and the value/growth equity cluster can lose their polite separateness at the same time, which is how “diversified” turns into “several correlated ways to have the same afternoon.”
Diversification Metrics
Number of Effective Assets
The portfolio contains 8 assets, with an effective number of assets of 5.80, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.51 | 1.38 | 1.33 | 1.29 | 1.25 |
The portfolio has a diversification ratio of 1.25, in line with the typical range across portfolios.
Alpha Architect Robust Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.79 |
Correlation (3Y) Balances recent behavior with more history. | 0.83 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.86 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.88 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.91 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTV has the highest benchmark correlation at 0.91, while IEI has the lowest at -0.25.
Asset Correlations Table
| IEI | GSG | VNQ | DLS | PDP | EFV | IJS | VTV | |
|---|---|---|---|---|---|---|---|---|
| IEI | 1.00 | -0.19 | -0.05 | -0.16 | -0.21 | -0.20 | -0.25 | -0.27 |
| GSG | -0.19 | 1.00 | 0.16 | 0.34 | 0.29 | 0.37 | 0.30 | 0.33 |
| VNQ | -0.05 | 0.16 | 1.00 | 0.57 | 0.61 | 0.56 | 0.68 | 0.69 |
| DLS | -0.16 | 0.34 | 0.57 | 1.00 | 0.70 | 0.91 | 0.70 | 0.76 |
| PDP | -0.21 | 0.29 | 0.61 | 0.70 | 1.00 | 0.69 | 0.75 | 0.77 |
| EFV | -0.20 | 0.37 | 0.56 | 0.91 | 0.69 | 1.00 | 0.72 | 0.80 |
| IJS | -0.25 | 0.30 | 0.68 | 0.70 | 0.75 | 0.72 | 1.00 | 0.85 |
| VTV | -0.27 | 0.33 | 0.69 | 0.76 | 0.77 | 0.80 | 0.85 | 1.00 |
Find what Alpha Architect Robust Portfolio is missing
See which holdings overlap, where Alpha Architect Robust Portfolio is concentrated, and which low-correlation assets could fill the gaps.
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