Asset Allocation
Performance
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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The earliest data available for this chart is Mar 1, 2007, corresponding to the inception date of PDP
Returns By Period
As of Apr 11, 2026, the Alpha Architect Robust Portfolio returned 10.39% Year-To-Date and 9.19% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 2.78% | -0.42% | 4.03% | 27.10% | 18.38% | 10.55% | 12.70% |
Portfolio Alpha Architect Robust Portfolio | -0.13% | 4.62% | 10.39% | 13.30% | 29.90% | 14.62% | 8.27% | 9.19% |
| Portfolio components: | ||||||||
PDP Invesco Dorsey Wright Momentum ETF | 0.08% | 8.34% | 12.19% | 12.38% | 36.81% | 20.53% | 8.62% | 12.76% |
VNQ Vanguard Real Estate ETF | 0.22% | 1.97% | 6.20% | 7.60% | 15.60% | 8.09% | 3.71% | 5.16% |
VTV Vanguard Value ETF | -0.81% | 2.61% | 5.99% | 11.27% | 27.06% | 15.55% | 11.18% | 12.13% |
IEI iShares 3-7 Year Treasury Bond ETF | -0.08% | 0.03% | 0.11% | 0.66% | 4.88% | 3.38% | 0.47% | 1.35% |
DLS WisdomTree International SmallCap Dividend | 0.35% | 6.02% | 6.26% | 12.26% | 38.49% | 16.83% | 7.48% | 7.82% |
IJS iShares S&P SmallCap 600 Value ETF | -0.30% | 6.18% | 8.25% | 16.77% | 43.48% | 11.46% | 5.60% | 9.92% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -1.40% | -0.51% | 34.26% | 37.91% | 46.59% | 14.16% | 17.09% | 7.93% |
EFV iShares MSCI EAFE Value ETF | 0.23% | 6.93% | 8.85% | 19.13% | 43.51% | 21.72% | 13.17% | 9.93% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 2, 2007, Alpha Architect Robust Portfolio's average daily return is +0.03%, while the average monthly return is +0.61%. At this rate, an investment would double in approximately 9.5 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 55% 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% | 3.86% | 10.39% | ||||||||
| 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 0.25%, beta of 0.73, and R² of 0.89 versus S&P 500 Index. Calculated based on daily prices since March 02, 2007.
- This portfolio participated in 81.03% of S&P 500 Index downside but only 74.07% of its upside — more exposed to losses than it benefited from rallies.
- Alpha
- 0.25%
- Beta
- 0.73
- R²
- 0.89
- Upside Capture
- 74.07%
- Downside Capture
- 81.03%
Expense Ratio
Alpha Architect Robust Portfolio has an expense ratio of 0.40%, 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 89 for risk / return — in the top 89% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.15 | 2.23 | +0.92 |
Sortino ratioReturn per unit of downside risk | 4.39 | 3.12 | +1.27 |
Omega ratioGain probability vs. loss probability | 1.58 | 1.42 | +0.16 |
Calmar ratioReturn relative to maximum drawdown | 6.52 | 4.05 | +2.47 |
Martin ratioReturn relative to average drawdown | 28.22 | 17.91 | +10.31 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
PDP Invesco Dorsey Wright Momentum ETF | 45 | 1.80 | 2.39 | 1.31 | 3.89 | 13.90 |
VNQ Vanguard Real Estate ETF | 28 | 1.26 | 1.77 | 1.23 | 2.54 | 8.05 |
VTV Vanguard Value ETF | 76 | 2.62 | 3.77 | 1.47 | 5.32 | 19.85 |
IEI iShares 3-7 Year Treasury Bond ETF | 26 | 1.37 | 2.05 | 1.25 | 1.73 | 5.59 |
DLS WisdomTree International SmallCap Dividend | 80 | 3.25 | 4.42 | 1.60 | 4.45 | 17.44 |
IJS iShares S&P SmallCap 600 Value ETF | 66 | 2.33 | 3.31 | 1.40 | 5.32 | 16.74 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 68 | 2.35 | 3.04 | 1.43 | 6.98 | 16.94 |
EFV iShares MSCI EAFE Value ETF | 85 | 3.46 | 4.61 | 1.63 | 5.05 | 20.29 |
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Dividends
Dividend yield
Alpha Architect Robust Portfolio provided a 1.93% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.93% | 2.02% | 2.07% | 1.93% | 1.78% | 1.23% | 1.29% | 1.73% | 1.87% | 1.56% | 1.76% | 1.57% |
| Portfolio components: | ||||||||||||
PDP Invesco Dorsey Wright Momentum ETF | 0.12% | 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 | 3.75% | 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 | 1.97% | 2.05% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.57% | 3.48% | 3.18% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% |
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% |
IJS iShares S&P SmallCap 600 Value ETF | 1.37% | 1.62% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% |
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% |
EFV iShares MSCI EAFE Value ETF | 3.82% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
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 0.13%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -48.58% | May 19, 2008 | 203 | Mar 9, 2009 | 522 | Apr 1, 2011 | 725 |
| -28.81% | Feb 20, 2020 | 23 | Mar 23, 2020 | 161 | Nov 9, 2020 | 184 |
| -20.3% | Nov 9, 2021 | 222 | Sep 27, 2022 | 358 | Mar 1, 2024 | 580 |
| -16.89% | May 2, 2011 | 108 | Oct 3, 2011 | 111 | Mar 13, 2012 | 219 |
| -15.99% | Aug 30, 2018 | 80 | Dec 24, 2018 | 121 | Jun 19, 2019 | 201 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
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. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | IEI | GSG | VNQ | DLS | PDP | EFV | IJS | VTV | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.26 | 0.32 | 0.67 | 0.78 | 0.88 | 0.79 | 0.81 | 0.91 | 0.91 |
| IEI | -0.26 | 1.00 | -0.18 | -0.06 | -0.17 | -0.22 | -0.21 | -0.26 | -0.28 | -0.18 |
| GSG | 0.32 | -0.18 | 1.00 | 0.17 | 0.36 | 0.30 | 0.38 | 0.31 | 0.34 | 0.46 |
| VNQ | 0.67 | -0.06 | 0.17 | 1.00 | 0.57 | 0.62 | 0.57 | 0.68 | 0.69 | 0.74 |
| DLS | 0.78 | -0.17 | 0.36 | 0.57 | 1.00 | 0.71 | 0.91 | 0.70 | 0.76 | 0.83 |
| PDP | 0.88 | -0.22 | 0.30 | 0.62 | 0.71 | 1.00 | 0.69 | 0.76 | 0.78 | 0.92 |
| EFV | 0.79 | -0.21 | 0.38 | 0.57 | 0.91 | 0.69 | 1.00 | 0.72 | 0.80 | 0.83 |
| IJS | 0.81 | -0.26 | 0.31 | 0.68 | 0.70 | 0.76 | 0.72 | 1.00 | 0.85 | 0.86 |
| VTV | 0.91 | -0.28 | 0.34 | 0.69 | 0.76 | 0.78 | 0.80 | 0.85 | 1.00 | 0.88 |
| Portfolio | 0.91 | -0.18 | 0.46 | 0.74 | 0.83 | 0.92 | 0.83 | 0.86 | 0.88 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of asset classes showing varying degrees of correlation. Several positions exhibit high correlations with each other, particularly among the equity-related holdings: PDP, DLS, EFV, IJS, and VTV all have correlations above 0.7 with one another, with some as high as 0.91 (DLS and EFV) and 0.85 (IJS and VTV). This clustering suggests a concentration in similar equity factors or styles, which may limit diversification benefits within that segment of the portfolio.
Conversely, the portfolio benefits from lower correlations between certain positions that enhance diversification. For example, IEI, a bond ETF, has negative correlations ranging from -0.06 to -0.28 with the equity and commodity positions, indicating its role as a diversifier and potential risk reducer. GSG, a commodity ETF, also shows relatively low or slightly negative correlations with IEI and moderate correlations with equities, contributing to diversification across asset classes.
Examining the portfolio's correlation with individual positions reveals that it is most closely aligned with PDP (0.92), followed by VTV (0.88), IJS (0.86), and EFV (0.83). This indicates that these positions have the greatest influence on the portfolio's overall behavior, suggesting that the portfolio's performance is heavily driven by these equity exposures. IEI has the lowest correlation with the portfolio (-0.18), reinforcing its role as a diversifier.
Overall, while the inclusion of bonds and commodities adds diversification, the portfolio is somewhat concentrated in equity positions with high inter-correlations. This concentration could expose the portfolio to sector or style-specific risks. Therefore, the portfolio is moderately diversified but leans toward concentration in correlated equity factors, which may limit the full benefits of diversification during market stress.