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Alpha Architect Robust Portfolio

Last updated Aug 13, 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

1.53%
0.00%4.34%
10Y Annualized Return

Rank 33 of 54

8.44%
4.13%64.70%
Sharpe Ratio

Rank 42 of 54

-0.48
-0.980.14
Maximum Drawdown

Rank 40 of 54

-32.65%
-91.88%-17.74%

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 $26,207 for a total return of roughly 162.07%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-15.00%-10.00%-5.00%0.00%5.00%MarchAprilMayJuneJulyAugust
-1.03%
-2.76%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Alpha Architect Robust PortfolioReturns

As of Aug 13, 2022, the Alpha Architect Robust Portfolio returned -11.60% Year-To-Date and 8.44% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Benchmark12.08%-4.97%-10.20%-3.65%11.89%11.81%
Alpha Architect Robust Portfolio8.64%-2.15%-6.24%-4.00%7.82%7.52%
PDP
Invesco DWA Momentum ETF
13.91%-5.75%-17.87%-16.15%10.55%11.62%
VNQ
Vanguard Real Estate ETF
11.15%-1.24%-11.28%-1.33%8.37%8.67%
VTV
Vanguard Value ETF
8.29%-1.81%-1.93%2.78%10.86%12.36%
IEI
iShares 3-7 Year Treasury Bond ETF
0.41%-3.40%-6.38%-7.79%0.67%1.02%
DLS
WisdomTree International SmallCap Dividend
8.82%-10.57%-12.60%-14.71%0.87%6.86%
IJS
iShares S&P SmallCap 600 Value ETF
13.51%0.64%-3.34%-1.31%9.84%11.98%
GSG
iShares S&P GSCI Commodity-Indexed Trust
4.59%15.74%31.91%42.31%9.75%-3.71%
EFV
iShares MSCI EAFE Value ETF
7.25%-12.22%-7.62%-9.75%0.98%4.17%

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 -0.48. 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.


-0.500.000.501.00MarchAprilMayJuneJulyAugust
-0.27
-0.20
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Alpha Architect Robust PortfolioDividends

Alpha Architect Robust Portfolio granted a 1.53% dividend yield in the last twelve months.


PeriodTTM202120202019201820172016201520142013201220112010

Dividend yield

1.53%1.25%1.34%1.84%2.06%1.78%2.04%1.89%1.96%1.89%2.17%2.30%2.14%

Alpha Architect Robust PortfolioDrawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2022FebruaryMarchAprilMayJuneJulyAugust
-8.40%
-10.77%
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
-16.89%May 2, 2011108Oct 3, 2011111Mar 13, 2012219
-16.44%Nov 9, 2021170Jul 14, 2022
-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 20.27%. 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%40.00%MarchAprilMayJuneJulyAugust
11.17%
16.68%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

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