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Alpha Architect Robust Portfolio
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500 Index

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Performance

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.


Position1D1MYTD6M1Y3Y*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%
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%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20264.41%3.89%-2.00%7.40%1.18%1.40%17.13%
20252.87%-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%
20235.70%-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
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.


Alpha Architect Robust Portfolio Risk / Return Rank: 8585
Overall Rank
Alpha Architect Robust Portfolio Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
Alpha Architect Robust Portfolio Sortino Ratio Rank: 8484
Sortino Ratio Rank
Alpha Architect Robust Portfolio Omega Ratio Rank: 8181
Omega Ratio Rank
Alpha Architect Robust Portfolio Calmar Ratio Rank: 8787
Calmar Ratio Rank
Alpha Architect Robust Portfolio Martin Ratio Rank: 9090
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.


PortfolioBenchmarkDifference
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.

PositionRisk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DLS
WisdomTree International SmallCap Dividend
46
1.602.311.292.007.17
EFV
iShares MSCI EAFE Value ETF
61
2.052.841.372.7210.04
GSG
iShares S&P GSCI Commodity-Indexed Trust
33
1.111.591.211.685.89
IEI
iShares 3-7 Year Treasury Bond ETF
26
0.991.481.171.193.25
IJS
iShares S&P SmallCap 600 Value ETF
73
2.173.081.374.2814.11
PDP
Invesco Dorsey Wright Momentum ETF
64
1.962.571.343.7613.27
VNQ
Vanguard Real Estate ETF
24
0.771.131.141.273.97
VTV
Vanguard Value ETF
86
2.703.841.484.4016.57

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk. Learn how to interpret the Sharpe ratio.

The current Alpha Architect Robust Portfolio Sharpe ratio is 2.64 as of Jun 20, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.66 to 2.57, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Alpha Architect Robust Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Dividends

Dividend yield

Alpha Architect Robust Portfolio provided a 1.98% dividend yield over the last twelve months.


PositionTTM20252024202320222021202020192018201720162015
Portfolio1.98%2.02%2.07%1.93%1.78%1.23%1.29%1.73%1.87%1.56%1.76%1.57%
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 24d2y 23d
2y 10moMay 2008 - Apr 2011
COVID crash2020
-28.81%Mar 2020
1mo 2d7mo 21d
8mo 23dFeb 2020 - Nov 2020
Bear market2022
-20.30%Sep 2022
10mo 22d1y 5mo
2y 3moNov 2021 - Mar 2024
2011 correction2011
-16.89%Oct 2011
5mo 4d5mo 12d
10mo 16dMay 2011 - Mar 2012
Rate-hike selloffLate 2018
-15.99%Dec 2018
3mo 26d5mo 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.
AI-generated analysis. Not investment advice. Verify key facts independently.
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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

Alpha Architect Robust Portfolio has a 0.80 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

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.

IEI
-0.26
GSG
0.31
VNQ
0.66
DLS
0.78
EFV
0.79
IJS
0.81
PDP
0.88
VTV
0.91

Portfolio Correlations

Correlation vs. Alpha Architect Robust Portfolio. PDP has the highest portfolio correlation at 0.92, while IEI has the lowest at -0.17.

IEI
-0.17
GSG
0.45
VNQ
0.74
EFV
0.83
DLS
0.83
IJS
0.86
VTV
0.88
PDP
0.92

Asset Correlations Table

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

The correlation results are calculated based on daily price changes starting from Mar 1, 2007
Diversification Analysis

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.

Analyze Diversification