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Alpha Architect Robust Portfolio

Last updated Feb 24, 2024

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

Asset Allocation


IEI 20%GSG 10%PDP 30%VTV 7.5%DLS 7.5%IJS 7.5%EFV 7.5%VNQ 10%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds

20%

GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities

10%

PDP
Invesco DWA Momentum ETF
All Cap Equities

30%

VTV
Vanguard Value ETF
Large Cap Value Equities

7.50%

DLS
WisdomTree International SmallCap Dividend
Foreign Small & Mid Cap Equities, Dividend

7.50%

IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities

7.50%

EFV
iShares MSCI EAFE Value ETF
Foreign Large Cap Equities

7.50%

VNQ
Vanguard Real Estate ETF
REIT

10%

S&P 500

Performance

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 Quarterly


-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2024February
9.87%
15.50%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 1, 2007, corresponding to the inception date of PDP

Returns

As of Feb 24, 2024, the Alpha Architect Robust Portfolio returned 2.58% Year-To-Date and 5.86% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
Alpha Architect Robust Portfolio2.58%2.31%9.87%12.42%7.53%5.86%
PDP
Invesco DWA Momentum ETF
9.54%7.45%19.19%26.78%11.60%9.78%
VNQ
Vanguard Real Estate ETF
-4.02%-0.43%7.11%3.31%3.86%6.05%
VTV
Vanguard Value ETF
4.37%3.32%11.40%14.14%10.45%10.29%
IEI
iShares 3-7 Year Treasury Bond ETF
-1.26%-0.85%2.72%3.54%0.47%0.99%
DLS
WisdomTree International SmallCap Dividend
-0.67%1.07%9.72%8.84%3.10%3.40%
IJS
iShares S&P SmallCap 600 Value ETF
-4.00%-0.86%6.88%0.31%6.47%7.54%
GSG
iShares S&P GSCI Commodity-Indexed Trust
3.99%-0.95%-2.98%3.17%6.38%-4.38%
EFV
iShares MSCI EAFE Value ETF
0.40%1.67%9.83%13.49%5.52%2.97%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.08%
20232.78%-1.39%-3.12%-3.41%6.52%5.37%

Sharpe Ratio

The current Alpha Architect Robust Portfolio Sharpe ratio is 1.15. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.15

The Sharpe ratio of Alpha Architect Robust Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.15
2.23
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Alpha Architect Robust Portfolio granted a 1.96% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Alpha Architect Robust Portfolio1.96%1.93%1.78%1.23%1.29%1.73%1.87%1.56%1.76%1.57%1.56%1.46%
PDP
Invesco DWA Momentum ETF
0.38%0.42%0.45%0.00%0.11%0.25%0.18%0.28%0.81%0.39%0.15%0.28%
VNQ
Vanguard Real Estate ETF
4.12%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VTV
Vanguard Value ETF
2.35%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%
IEI
iShares 3-7 Year Treasury Bond ETF
2.49%2.36%1.37%0.73%1.12%2.01%1.95%1.51%1.33%1.39%1.23%0.77%
DLS
WisdomTree International SmallCap Dividend
4.32%4.29%4.96%3.29%2.50%3.37%3.66%2.79%3.29%2.72%3.61%3.89%
IJS
iShares S&P SmallCap 600 Value ETF
1.48%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
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
4.35%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.28%3.59%4.87%3.19%

Expense Ratio

The Alpha Architect Robust Portfolio has a high expense ratio of 0.40%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.75%
0.00%2.15%
0.62%
0.00%2.15%
0.58%
0.00%2.15%
0.39%
0.00%2.15%
0.25%
0.00%2.15%
0.15%
0.00%2.15%
0.12%
0.00%2.15%
0.04%
0.00%2.15%

Risk-Adjusted Performance

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
Alpha Architect Robust Portfolio
1.15
PDP
Invesco DWA Momentum ETF
1.70
VNQ
Vanguard Real Estate ETF
0.12
VTV
Vanguard Value ETF
1.22
IEI
iShares 3-7 Year Treasury Bond ETF
0.55
DLS
WisdomTree International SmallCap Dividend
0.63
IJS
iShares S&P SmallCap 600 Value ETF
-0.00
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.23
EFV
iShares MSCI EAFE Value ETF
0.91

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

IEIGSGVNQPDPDLSIJSEFVVTV
IEI1.00-0.18-0.10-0.26-0.22-0.30-0.26-0.33
GSG-0.181.000.190.330.390.340.410.37
VNQ-0.100.191.000.650.580.690.580.69
PDP-0.260.330.651.000.720.780.710.79
DLS-0.220.390.580.721.000.720.920.78
IJS-0.300.340.690.780.721.000.740.85
EFV-0.260.410.580.710.920.741.000.82
VTV-0.330.370.690.790.780.850.821.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-0.86%
0
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

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 0.86%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.58%May 19, 2008203Mar 9, 2009522Apr 1, 2011725
-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

Volatility Chart

The current Alpha Architect Robust Portfolio volatility is 3.03%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2024February
3.03%
3.90%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components
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