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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.

Expense Ratio

Rank 51 of 53

0.40%
0.00%0.94%
Dividend Yield

Rank 43 of 53

1.10%
0.00%2.74%
10Y Annualized Return

Rank 33 of 53

9.02%
4.75%40.27%
Sharpe Ratio

Rank 15 of 53

2.35
0.522.76
Maximum Drawdown

Rank 41 of 53

-28.81%
-38.24%-10.21%

Alpha Architect Robust PortfolioAsset Allocation


S&P 500

Alpha Architect Robust PortfolioPerformance

The chart shows the growth of $10,000 invested in Alpha Architect Robust Portfolio on Jan 5, 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $27,244 for a total return of roughly 172.44%. All prices are adjusted for splits and dividends. The portfolio is rebalanced Quarterly


Alpha Architect Robust Portfolio
Benchmark (S&P 500)
Portfolio components

Alpha Architect Robust PortfolioReturns

As of Sep 18, 2021, the Alpha Architect Robust Portfolio returned 12.61% Year-To-Date and 9.02% of annualized return in the last 10 years.


1M6MYTD1Y5Y10Y
Alpha Architect Robust Portfolio0.91%7.97%12.61%25.89%10.67%9.02%
PDP
Invesco DWA Momentum ETF
2.34%11.57%6.36%24.31%17.66%14.94%
VNQ
Vanguard Real Estate ETF
-0.11%17.49%26.91%31.95%8.82%11.03%
VTV
Vanguard Value ETF
-2.76%6.27%17.30%31.27%12.81%13.69%
IEI
iShares 3-7 Year Treasury Bond ETF
-0.34%0.90%-1.17%-1.33%2.25%2.04%
DLS
WisdomTree International SmallCap Dividend
2.06%7.93%15.39%29.83%8.59%8.98%
IJS
iShares S&P SmallCap 600 Value ETF
-0.46%-3.79%22.98%56.46%12.01%13.77%
GSG
iShares S&P GSCI Commodity-Indexed Trust
4.56%17.53%32.12%50.28%2.79%-6.75%
EFV
iShares MSCI EAFE Value ETF
-1.00%1.86%11.03%26.00%6.57%5.89%

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 2.35. A Sharpe ratio higher than 2.0 is considered very good.

The chart below displays rolling 12-month Sharpe Ratio.


Alpha Architect Robust Portfolio
Benchmark (S&P 500)
Portfolio components

Alpha Architect Robust PortfolioDividends

Alpha Architect Robust Portfolio granted a 1.10% dividend yield in the last twelve months, as of Sep 18, 2021.


PeriodTTM20202019201820172016201520142013201220112010

Dividend yield

1.10%1.29%1.73%1.87%1.56%1.76%1.57%1.56%1.46%1.67%1.68%1.56%

Alpha Architect Robust PortfolioDrawdowns Chart

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


Alpha Architect Robust Portfolio
Benchmark (S&P 500)
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
-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
-6.85%Jul 2, 201472Oct 13, 201489Feb 20, 2015161

Alpha Architect Robust PortfolioVolatility Chart

Current Alpha Architect Robust Portfolio volatility is 9.91%. 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.


Alpha Architect Robust Portfolio
Benchmark (S&P 500)
Portfolio components

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