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Alpha Architect Robust Portfolio

Last updated Apr 1, 2023

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 53 of 55

0.40%
0.00%0.94%
Dividend Yield

Rank 38 of 55

2.09%
0.00%4.33%
10Y Annualized Return

Rank 35 of 55

6.07%
2.63%52.97%
Sharpe Ratio

Rank 25 of 55

-0.43
-0.930.49
Maximum Drawdown

Rank 45 of 55

-48.58%
-82.98%-16.15%

Asset Allocation


Performance

The chart shows the growth of $10,000 invested in Alpha Architect Robust Portfolio in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $23,082 for a total return of roughly 130.82%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


100.00%120.00%140.00%160.00%180.00%200.00%NovemberDecember2023FebruaryMarch
130.82%
192.86%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Returns

As of Apr 1, 2023, the Alpha Architect Robust Portfolio returned 3.39% Year-To-Date and 6.07% of annualized return in the last 10 years.


1 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Benchmark3.51%7.03%12.88%-10.71%9.25%10.16%
Alpha Architect Robust Portfolio0.52%3.39%10.25%-7.34%5.78%6.07%
PDP
Invesco DWA Momentum ETF
2.52%7.11%12.34%-7.14%7.87%9.84%
VNQ
Vanguard Real Estate ETF
-2.16%1.69%7.29%-21.13%5.81%5.76%
VTV
Vanguard Value ETF
-0.46%-1.00%12.01%-5.42%8.84%10.55%
IEI
iShares 3-7 Year Treasury Bond ETF
2.92%2.73%3.68%-2.12%0.95%0.87%
DLS
WisdomTree International SmallCap Dividend
0.16%6.24%20.93%-7.24%-0.77%4.73%
IJS
iShares S&P SmallCap 600 Value ETF
-6.49%2.87%13.35%-8.05%6.04%9.34%
GSG
iShares S&P GSCI Commodity-Indexed Trust
-0.94%-5.23%-3.64%-14.09%4.11%-4.68%
EFV
iShares MSCI EAFE Value ETF
-0.04%5.78%26.41%-1.02%1.56%3.73%

Sharpe 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 -0.43. 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.


-1.00-0.80-0.60-0.40-0.200.00NovemberDecember2023FebruaryMarch
-0.43
-0.46
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Alpha Architect Robust Portfolio granted a 2.09% dividend yield in the last twelve months.


PeriodTTM20222021202020192018201720162015201420132012

Dividend yield

2.09%1.80%1.28%1.37%1.88%2.11%1.81%2.08%1.93%2.00%1.93%2.22%

Drawdowns Chart

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


-25.00%-20.00%-15.00%-10.00%NovemberDecember2023FebruaryMarch
-11.18%
-14.33%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Worst 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 48.58%, recorded on Mar 9, 2009. It took 522 trading sessions for the portfolio to recover.


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
-15.69%May 19, 2015186Feb 11, 2016212Dec 13, 2016398
-10.83%Nov 1, 200755Jan 22, 200880May 15, 2008135
-8.96%Jul 20, 200719Aug 15, 200732Oct 1, 200751
-8.32%Apr 30, 201225Jun 4, 201266Sep 6, 201291
-7.34%Jan 29, 20189Feb 8, 201884Jun 11, 201893

Volatility Chart

Current Alpha Architect Robust Portfolio volatility is 12.48%. 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%NovemberDecember2023FebruaryMarch
10.58%
15.42%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components