Asset Allocation
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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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Returns By Period
As of Jun 20, 2026, the Alpha Architect Robust Portfolio returned 17.13% Year-To-Date and 9.51% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.00% | -0.71% | 8.39% | 8.57% | 24.33% | 18.94% | 12.24% | 13.54% |
Portfolio Alpha Architect Robust Portfolio | 0.60% | 1.87% | 17.13% | 16.92% | 27.32% | 16.38% | 9.24% | 9.51% |
| Portfolio components: | ||||||||
DLS WisdomTree International SmallCap Dividend | -0.25% | -0.66% | 6.67% | 8.32% | 22.65% | 16.44% | 7.43% | 7.69% |
EFV iShares MSCI EAFE Value ETF | -0.18% | 0.03% | 10.18% | 11.06% | 30.48% | 21.05% | 13.20% | 9.96% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.24% | -11.19% | 28.06% | 29.40% | 25.18% | 13.81% | 13.66% | 6.44% |
IEI iShares 3-7 Year Treasury Bond ETF | 0.25% | 0.36% | -0.32% | -0.31% | 2.86% | 3.72% | 0.32% | 1.26% |
IJS iShares S&P SmallCap 600 Value ETF | 1.61% | 3.41% | 17.91% | 16.18% | 39.72% | 14.18% | 7.18% | 10.25% |
PDP Invesco Dorsey Wright Momentum ETF | 1.27% | 7.75% | 29.62% | 27.67% | 44.44% | 24.57% | 12.37% | 14.10% |
VNQ Vanguard Real Estate ETF | -0.05% | -1.25% | 9.14% | 10.01% | 10.61% | 8.73% | 2.58% | 5.18% |
VTV Vanguard Value ETF | 0.19% | 2.66% | 13.98% | 14.39% | 27.58% | 17.73% | 12.66% | 12.66% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 1, 2007, Alpha Architect Robust Portfolio's average daily return is +0.03%, while the average monthly return is +0.64%. At this rate, an investment would double in approximately 9.1 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% | 7.40% | 1.18% | 1.40% | 17.13% | ||||||
| 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 01, 2007.
- This portfolio participated in 80.21% of S&P 500 Index downside but only 73.26% of its upside - more exposed to losses than it benefited from rallies.
- Alpha
- 0.25%
- Beta
- 0.73
- R²
- 0.89
- Upside Capture
- 73.26%
- Downside Capture
- 80.21%
Expense Ratio
Alpha Architect Robust Portfolio has an expense ratio of 0.39%, 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 85 for risk / return — in the top 85% 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
The table below presents risk-adjusted performance metrics for Alpha Architect Robust Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.64 | 1.94 | +0.70 |
| Sortino ratioReturn per unit of downside risk | 3.68 | 2.65 | +1.04 |
| Omega ratioGain probability vs. loss probability | 1.48 | 1.35 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 4.98 | 2.66 | +2.33 |
| Martin ratioReturn relative to average drawdown | 21.19 | 11.86 | +9.32 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
DLS WisdomTree International SmallCap Dividend | 46 | 1.60 | 2.31 | 1.29 | 2.00 | 7.17 |
EFV iShares MSCI EAFE Value ETF | 61 | 2.05 | 2.84 | 1.37 | 2.72 | 10.04 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 33 | 1.11 | 1.59 | 1.21 | 1.68 | 5.89 |
IEI iShares 3-7 Year Treasury Bond ETF | 26 | 0.99 | 1.48 | 1.17 | 1.19 | 3.25 |
IJS iShares S&P SmallCap 600 Value ETF | 73 | 2.17 | 3.08 | 1.37 | 4.28 | 14.11 |
PDP Invesco Dorsey Wright Momentum ETF | 64 | 1.96 | 2.57 | 1.34 | 3.76 | 13.27 |
VNQ Vanguard Real Estate ETF | 24 | 0.77 | 1.13 | 1.14 | 1.27 | 3.97 |
VTV Vanguard Value ETF | 86 | 2.70 | 3.84 | 1.48 | 4.40 | 16.57 |
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Dividends
Dividend yield
Alpha Architect Robust Portfolio provided a 1.98% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.98% | 2.02% | 2.07% | 1.93% | 1.78% | 1.23% | 1.29% | 1.73% | 1.87% | 1.56% | 1.76% | 1.57% |
| Portfolio components: | ||||||||||||
DLS WisdomTree International SmallCap Dividend | 3.50% | 3.87% | 4.56% | 4.29% | 4.96% | 3.29% | 2.50% | 3.37% | 3.66% | 2.79% | 3.29% | 2.72% |
EFV iShares MSCI EAFE Value ETF | 4.77% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
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% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.64% | 3.48% | 3.18% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% |
IJS iShares S&P SmallCap 600 Value ETF | 1.35% | 1.62% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% |
PDP Invesco Dorsey Wright Momentum ETF | 0.10% | 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 | 3.65% | 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 | 1.83% | 2.05% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% |
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 0.19%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -48.58%Mar 2009 | 9mo 24d | 2y 23d | 2y 10moMay 2008 - Apr 2011 |
COVID crash2020 | -28.81%Mar 2020 | 1mo 2d | 7mo 21d | 8mo 23dFeb 2020 - Nov 2020 |
Bear market2022 | -20.30%Sep 2022 | 10mo 22d | 1y 5mo | 2y 3moNov 2021 - Mar 2024 |
2011 correction2011 | -16.89%Oct 2011 | 5mo 4d | 5mo 12d | 10mo 16dMay 2011 - Mar 2012 |
Rate-hike selloffLate 2018 | -15.99%Dec 2018 | 3mo 26d | 5mo 27d | 9mo 23dAug 2018 - Jun 2019 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is mostly a diversified equity factor sleeve with a smaller bond and commodity ballast, which is a coherent bet on equity risk premia plus some rate and inflation sensitivity. In practice, the math says the equity sleeve behaves like one big cluster, with a few diversifiers hanging around the edges.
The numbers
- Diversification ratio is 1.25 incept, 47.1th percentile, rising to 1.50 over 1Y, 68.9th percentile; the portfolio has gotten more diversifying recently, not less.
- Effective asset count is 5.8 of 8, so the weights are reasonably spread; concentration is not the main issue here.
- Mean pairwise correlation is 0.40, with one large cluster and two standalones, which is respectable until the market decides all “equity-like” things are equity-like.
The good
- IEI (Government Bonds) sits at -0.17 correlation to the portfolio and has the cleanest offsetting behavior, so the portfolio does contain a real shock absorber.
- GSG (Commodities) is only 0.45 correlated to the portfolio and gives some non-equity cycle exposure.
- VNQ, PDP, DLS, EFV, VTV, and IJS are not just random names; they express a recognizable multi-factor equity thesis.
The bad
- The equity sleeve is highly redundant: DLS and EFV at 0.91, VTV and IJS at 0.85, PDP and VTV at 0.78. A lot of the portfolio is one trade wearing several tickers.
- PDP dominates at 30% and has portfolio correlation of 0.92, so the portfolio inherits a strong momentum-growth tilt even while appearing factor-diverse.
- Incept DR of 1.25 is only middling, because the long-run structure is more clustered than the headline eight positions suggest.
The ugly
- In an equity selloff driven by slowing growth or tightening financial conditions, the equity cluster can behave as a single block while VNQ and the higher-beta equity sleeves lose their separation.
- IEI helps most when rates rally or risk bleeds lower; it helps less when inflation and growth shock together, which is where GSG becomes useful but not dominant.
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. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.50 | 1.36 | 1.32 | 1.28 | 1.25 |
The portfolio has a diversification ratio of 1.25, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Alpha Architect Robust Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.80 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.83 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Mar 1, 2007 | 0.91 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTV has the highest benchmark correlation at 0.91, while IEI has the lowest at -0.26.
Asset Correlations Table
| IEI | GSG | VNQ | DLS | PDP | EFV | IJS | VTV | |
|---|---|---|---|---|---|---|---|---|
| IEI | 1.00 | -0.18 | -0.06 | -0.16 | -0.22 | -0.20 | -0.25 | -0.27 |
| GSG | -0.18 | 1.00 | 0.16 | 0.34 | 0.29 | 0.37 | 0.31 | 0.33 |
| VNQ | -0.06 | 0.16 | 1.00 | 0.57 | 0.62 | 0.57 | 0.68 | 0.69 |
| DLS | -0.16 | 0.34 | 0.57 | 1.00 | 0.71 | 0.91 | 0.70 | 0.76 |
| PDP | -0.22 | 0.29 | 0.62 | 0.71 | 1.00 | 0.69 | 0.76 | 0.78 |
| EFV | -0.20 | 0.37 | 0.57 | 0.91 | 0.69 | 1.00 | 0.72 | 0.80 |
| IJS | -0.25 | 0.31 | 0.68 | 0.70 | 0.76 | 0.72 | 1.00 | 0.85 |
| VTV | -0.27 | 0.33 | 0.69 | 0.76 | 0.78 | 0.80 | 0.85 | 1.00 |
Find what Alpha Architect Robust Portfolio is missing
See which holdings overlap, where Alpha Architect Robust Portfolio is concentrated, and which low-correlation assets could fill the gaps.
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