Alpha Architect Robust Portfolio
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
Performance
Performance Chart
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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 May 30, 2025, the Alpha Architect Robust Portfolio returned 1.88% Year-To-Date and 6.47% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.51% | 6.15% | -2.00% | 12.92% | 14.19% | 10.85% |
| Alpha Architect Robust Portfolio | 2.05% | 3.06% | -2.56% | 8.93% | 9.67% | 6.48% |
| Portfolio components: | ||||||
PDP Invesco DWA Momentum ETF | -1.93% | 5.37% | -9.49% | 9.64% | 9.89% | 9.64% |
VNQ Vanguard Real Estate ETF | 1.30% | 1.12% | -7.18% | 13.84% | 6.90% | 5.35% |
VTV Vanguard Value ETF | 1.83% | 2.95% | -4.66% | 10.52% | 13.90% | 9.97% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.43% | -0.73% | 2.60% | 6.84% | -0.59% | 1.36% |
DLS WisdomTree International SmallCap Dividend | 15.97% | 5.32% | 13.58% | 14.54% | 9.94% | 5.11% |
IJS iShares S&P SmallCap 600 Value ETF | -11.53% | 4.27% | -17.60% | -1.56% | 12.12% | 6.55% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -2.76% | 2.02% | 0.14% | -4.12% | 16.61% | -0.13% |
EFV iShares MSCI EAFE Value ETF | 21.29% | 4.40% | 18.23% | 19.74% | 14.62% | 5.44% |
Monthly Returns
The table below presents the monthly returns of Alpha Architect Robust Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.87% | -0.65% | -2.17% | -0.95% | 3.06% | 2.05% | |||||||
| 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% |
| 2020 | -1.16% | -5.89% | -13.42% | 6.55% | 5.89% | 1.72% | 4.14% | 3.83% | -2.06% | -1.47% | 9.99% | 4.12% | 10.46% |
| 2019 | 7.11% | 2.66% | 1.49% | 2.33% | -3.54% | 4.28% | 0.53% | -0.51% | 0.90% | 1.20% | 1.72% | 2.22% | 22.02% |
| 2018 | 2.82% | -3.65% | 0.35% | 0.72% | 2.31% | 0.29% | 0.95% | 2.39% | -0.17% | -6.52% | 0.12% | -6.26% | -6.98% |
| 2017 | 1.02% | 2.56% | -0.20% | 0.72% | 0.73% | 0.58% | 2.03% | 0.11% | 1.56% | 1.90% | 1.68% | 0.57% | 14.04% |
| 2016 | -4.32% | -0.03% | 5.42% | 1.15% | 1.27% | 1.01% | 1.52% | -0.24% | 0.39% | -2.24% | 1.49% | 2.07% | 7.44% |
| 2015 | -0.50% | 3.36% | -0.31% | 0.44% | 0.49% | -1.28% | -0.03% | -4.17% | -2.04% | 4.38% | -1.08% | -2.04% | -3.04% |
| 2014 | -1.19% | 4.32% | -0.47% | 0.29% | 1.86% | 1.38% | -2.15% | 2.59% | -3.24% | 1.97% | 0.27% | -1.52% | 3.92% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Alpha Architect Robust Portfolio is 30, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
PDP Invesco DWA Momentum ETF | 0.41 | 0.62 | 1.08 | 0.34 | 1.01 |
VNQ Vanguard Real Estate ETF | 0.77 | 1.17 | 1.15 | 0.60 | 2.46 |
VTV Vanguard Value ETF | 0.67 | 0.97 | 1.13 | 0.68 | 2.41 |
IEI iShares 3-7 Year Treasury Bond ETF | 1.68 | 2.53 | 1.31 | 0.70 | 4.14 |
DLS WisdomTree International SmallCap Dividend | 0.89 | 1.29 | 1.18 | 1.14 | 3.04 |
IJS iShares S&P SmallCap 600 Value ETF | -0.06 | 0.08 | 1.01 | -0.06 | -0.16 |
GSG iShares S&P GSCI Commodity-Indexed Trust | -0.24 | -0.42 | 0.95 | -0.09 | -1.11 |
EFV iShares MSCI EAFE Value ETF | 1.19 | 1.62 | 1.23 | 1.38 | 4.63 |
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Dividends
Dividend yield
Alpha Architect Robust Portfolio provided a 1.99% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.99% | 2.07% | 1.93% | 1.78% | 1.23% | 1.29% | 1.73% | 1.87% | 1.56% | 1.76% | 1.57% | 1.56% |
| Portfolio components: | ||||||||||||
PDP Invesco DWA Momentum ETF | 0.17% | 0.15% | 0.42% | 0.45% | 0.00% | 0.11% | 0.25% | 0.18% | 0.28% | 0.81% | 0.39% | 0.15% |
VNQ Vanguard Real Estate ETF | 4.07% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
VTV Vanguard Value ETF | 2.29% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% | 2.22% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.23% | 3.18% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% | 1.23% |
DLS WisdomTree International SmallCap Dividend | 3.71% | 4.56% | 4.29% | 4.96% | 3.29% | 2.50% | 3.37% | 3.66% | 2.79% | 3.29% | 2.72% | 3.61% |
IJS iShares S&P SmallCap 600 Value ETF | 2.01% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% | 1.41% |
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 | 3.85% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% | 4.87% |
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 2.93%.
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
| ^GSPC | IEI | GSG | VNQ | DLS | PDP | EFV | IJS | VTV | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.28 | 0.34 | 0.68 | 0.79 | 0.89 | 0.79 | 0.82 | 0.92 | 0.92 |
| IEI | -0.28 | 1.00 | -0.18 | -0.07 | -0.19 | -0.23 | -0.23 | -0.27 | -0.30 | -0.19 |
| GSG | 0.34 | -0.18 | 1.00 | 0.18 | 0.37 | 0.32 | 0.40 | 0.33 | 0.35 | 0.47 |
| VNQ | 0.68 | -0.07 | 0.18 | 1.00 | 0.58 | 0.64 | 0.57 | 0.69 | 0.70 | 0.75 |
| DLS | 0.79 | -0.19 | 0.37 | 0.58 | 1.00 | 0.72 | 0.92 | 0.71 | 0.77 | 0.84 |
| PDP | 0.89 | -0.23 | 0.32 | 0.64 | 0.72 | 1.00 | 0.70 | 0.77 | 0.79 | 0.92 |
| EFV | 0.79 | -0.23 | 0.40 | 0.57 | 0.92 | 0.70 | 1.00 | 0.73 | 0.81 | 0.83 |
| IJS | 0.82 | -0.27 | 0.33 | 0.69 | 0.71 | 0.77 | 0.73 | 1.00 | 0.85 | 0.87 |
| VTV | 0.92 | -0.30 | 0.35 | 0.70 | 0.77 | 0.79 | 0.81 | 0.85 | 1.00 | 0.88 |
| Portfolio | 0.92 | -0.19 | 0.47 | 0.75 | 0.84 | 0.92 | 0.83 | 0.87 | 0.88 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified but shows signs of concentration in certain correlated asset groups. The correlation matrix reveals that several positions have high positive correlations with each other, particularly among equity-related assets such as PDP, DLS, EFV, IJS, and VTV, with correlations ranging from about 0.7 to 0.9. This cluster indicates that these holdings tend to move in tandem, which can reduce the diversification benefits within the equity portion of the portfolio.
Conversely, some positions exhibit low or negative correlations that enhance diversification. Notably, IEI (likely a Treasury or bond ETF) has negative correlations with most other assets, ranging from approximately -0.19 to -0.3, which provides a valuable hedge against equity risk. GSG, presumably a commodity-related asset, also shows low or slightly negative correlations with fixed income and moderate correlations with equities, contributing to diversification.
The portfolio’s correlation with individual positions is highest with PDP (0.92), followed closely by IJS (0.87), VTV (0.88), and EFV (0.83), suggesting these holdings have a dominant influence on the portfolio’s overall behavior. IEI has the lowest correlation with the portfolio at -0.19, indicating it acts as a diversifier and risk reducer.
Given the strong correlations among several equity positions, the portfolio leans towards concentration within certain market segments, which could amplify risk during market downturns affecting those sectors. However, the inclusion of negatively correlated assets like IEI and moderately correlated commodities like GSG helps mitigate some of this concentration risk.
In summary, the portfolio is somewhat diversified but leans toward concentration in correlated equity assets. The presence of negatively correlated fixed income and commodity positions provides important diversification benefits, but the high inter-correlations among several holdings suggest that the portfolio’s risk profile is influenced heavily by a subset of dominant positions.