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
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.
The earliest data available for this chart is Mar 1, 2007, corresponding to the inception date of PDP
Returns By Period
As of May 10, 2025, the Alpha Architect Robust Portfolio returned 0.25% Year-To-Date and 6.34% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 3.72% | -5.60% | 8.55% | 14.11% | 10.45% |
| Alpha Architect Robust Portfolio | 0.25% | 4.41% | -2.81% | 6.50% | 10.28% | 6.34% |
| Portfolio components: | ||||||
PDP Invesco DWA Momentum ETF | -5.18% | 5.50% | -9.95% | 5.79% | 10.48% | 9.39% |
VNQ Vanguard Real Estate ETF | 1.12% | 5.45% | -5.15% | 11.71% | 7.57% | 5.32% |
VTV Vanguard Value ETF | -0.17% | 2.54% | -4.89% | 6.85% | 14.36% | 9.82% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.07% | 0.37% | 2.93% | 6.20% | -0.63% | 1.33% |
DLS WisdomTree International SmallCap Dividend | 12.21% | 10.76% | 10.27% | 11.40% | 10.41% | 4.83% |
IJS iShares S&P SmallCap 600 Value ETF | -12.66% | 4.21% | -17.33% | -4.66% | 12.74% | 6.55% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -1.93% | 0.99% | 0.61% | -3.52% | 18.95% | -0.09% |
EFV iShares MSCI EAFE Value ETF | 17.65% | 10.25% | 14.58% | 16.62% | 15.04% | 5.01% |
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% | 1.24% | 0.25% | |||||||
| 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% | 1.35% | 1.25% | 1.34% | -2.57% | 4.77% | -3.28% | 2.90% | 15.42% |
| 2020 | -1.16% | -5.89% | -13.42% | 6.55% | 5.89% | 1.78% | 4.14% | 3.83% | -2.06% | -1.47% | 9.99% | 4.16% | 10.56% |
| 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 36, 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 | 0.25 | 0.54 | 1.07 | 0.28 | 0.87 |
VNQ Vanguard Real Estate ETF | 0.66 | 1.09 | 1.14 | 0.54 | 2.35 |
VTV Vanguard Value ETF | 0.45 | 0.82 | 1.11 | 0.55 | 2.00 |
IEI iShares 3-7 Year Treasury Bond ETF | 1.53 | 2.33 | 1.28 | 0.63 | 3.82 |
DLS WisdomTree International SmallCap Dividend | 0.69 | 1.10 | 1.15 | 0.95 | 2.54 |
IJS iShares S&P SmallCap 600 Value ETF | -0.20 | -0.04 | 1.00 | -0.12 | -0.35 |
GSG iShares S&P GSCI Commodity-Indexed Trust | -0.20 | -0.12 | 0.99 | -0.04 | -0.52 |
EFV iShares MSCI EAFE Value ETF | 1.00 | 1.49 | 1.21 | 1.26 | 4.20 |
Dividends
Dividend yield
Alpha Architect Robust Portfolio provided a 2.02% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.02% | 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 | 0.18% | 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 | 2.33% | 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 | 3.24% | 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 | 3.84% | 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 | 2.04% | 1.78% | 1.42% | 1.47% | 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 | 3.97% | 4.67% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.27% | 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.
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 4.47%.
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 current Alpha Architect Robust Portfolio volatility is 3.75%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
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 | 0.80 | 0.82 | 0.92 | 0.92 |
| IEI | -0.28 | 1.00 | -0.18 | -0.08 | -0.19 | -0.24 | -0.23 | -0.28 | -0.30 | -0.20 |
| GSG | 0.34 | -0.18 | 1.00 | 0.18 | 0.37 | 0.32 | 0.40 | 0.33 | 0.35 | 0.48 |
| VNQ | 0.68 | -0.08 | 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 | -0.24 | 0.32 | 0.64 | 0.72 | 1.00 | 0.70 | 0.77 | 0.79 | 0.92 |
| EFV | 0.80 | -0.23 | 0.40 | 0.57 | 0.92 | 0.70 | 1.00 | 0.73 | 0.81 | 0.83 |
| IJS | 0.82 | -0.28 | 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 | -0.20 | 0.48 | 0.75 | 0.84 | 0.92 | 0.83 | 0.87 | 0.88 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified with a mix of positions that show varying degrees of correlation. Several positions exhibit high correlations with each other, particularly among the equity-related assets such as IJS, VTV, EFV, PDP, and DLS, with correlations often above 0.7 and reaching as high as 0.92 (PDP and Portfolio). This clustering of highly correlated equity positions suggests some concentration risk within the equity segment, which could reduce the benefits of diversification within that part of the portfolio.
Conversely, the portfolio benefits from the inclusion of assets with low or negative correlations relative to others, notably IEI (a bond ETF) and GSG (a commodity ETF). IEI has negative correlations with most other positions, ranging from about -0.08 to -0.3, and a portfolio correlation of -0.2, indicating it provides meaningful diversification and potential downside protection during equity market downturns. GSG also shows relatively low correlations with equity positions (around 0.18 to 0.4) and a moderate portfolio correlation of 0.48, contributing to diversification through exposure to commodities.
The portfolio's correlation with individual positions ranges from -0.2 (IEI) to as high as 0.92 (PDP), indicating that some positions, particularly PDP, have a dominant influence on the portfolio’s overall behavior. The strong correlation between the portfolio and PDP, as well as other equity positions like VTV (0.88) and IJS (0.87), suggests that the portfolio’s returns are heavily driven by equity market movements.
In summary, while the portfolio includes assets that enhance diversification through low or negative correlations (notably IEI and GSG), the strong inter-correlations among the equity holdings indicate a level of concentration risk. The portfolio is not fully diversified across uncorrelated asset classes but rather leans toward equity exposure with some diversification benefits from fixed income and commodities. This structure may offer balanced growth potential with some risk mitigation, but it is important to recognize the dominant influence of the equity positions on overall portfolio performance.