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
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 Quarterly
Returns
As of Sep 22, 2023, the Alpha Architect Robust Portfolio returned 4.15% Year-To-Date and 5.53% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.31% | 9.66% | 12.78% | 14.25% | 8.15% | 9.80% |
| Alpha Architect Robust Portfolio | -0.18% | 4.46% | 4.15% | 6.66% | 4.59% | 5.53% |
| Portfolio components: | ||||||
PDP Invesco DWA Momentum ETF | -1.70% | 5.62% | 8.36% | 8.79% | 5.64% | 8.90% |
VNQ Vanguard Real Estate ETF | -2.38% | 2.72% | -3.37% | -5.63% | 2.63% | 5.60% |
VTV Vanguard Value ETF | -0.19% | 7.46% | 1.78% | 10.97% | 7.31% | 9.88% |
IEI iShares 3-7 Year Treasury Bond ETF | -0.27% | -3.44% | -0.16% | -0.32% | 0.46% | 0.77% |
DLS WisdomTree International SmallCap Dividend | 0.27% | 0.83% | 4.38% | 12.21% | -0.37% | 3.22% |
IJS iShares S&P SmallCap 600 Value ETF | -3.49% | 1.70% | -0.71% | 3.40% | 2.78% | 7.44% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 6.52% | 17.65% | 6.12% | 5.38% | 5.29% | -3.45% |
EFV iShares MSCI EAFE Value ETF | 2.81% | 9.29% | 11.36% | 26.26% | 2.84% | 2.92% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| IEI | GSG | VNQ | PDP | DLS | IJS | EFV | VTV | |
|---|---|---|---|---|---|---|---|---|
| IEI | 1.00 | -0.18 | -0.12 | -0.27 | -0.24 | -0.32 | -0.28 | -0.34 |
| GSG | -0.18 | 1.00 | 0.19 | 0.33 | 0.39 | 0.35 | 0.42 | 0.37 |
| VNQ | -0.12 | 0.19 | 1.00 | 0.65 | 0.58 | 0.69 | 0.58 | 0.69 |
| PDP | -0.27 | 0.33 | 0.65 | 1.00 | 0.73 | 0.78 | 0.71 | 0.79 |
| DLS | -0.24 | 0.39 | 0.58 | 0.73 | 1.00 | 0.72 | 0.92 | 0.78 |
| IJS | -0.32 | 0.35 | 0.69 | 0.78 | 0.72 | 1.00 | 0.74 | 0.86 |
| EFV | -0.28 | 0.42 | 0.58 | 0.71 | 0.92 | 0.74 | 1.00 | 0.83 |
| VTV | -0.34 | 0.37 | 0.69 | 0.79 | 0.78 | 0.86 | 0.83 | 1.00 |
Dividend yield
Alpha Architect Robust Portfolio granted a 2.12% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Alpha Architect Robust Portfolio | 2.12% | 1.82% | 1.30% | 1.39% | 1.91% | 2.14% | 1.84% | 2.11% | 1.96% | 2.03% | 1.96% | 2.25% |
| Portfolio components: | ||||||||||||
PDP Invesco DWA Momentum ETF | 0.65% | 0.45% | 0.00% | 0.11% | 0.25% | 0.18% | 0.28% | 0.82% | 0.40% | 0.16% | 0.29% | 0.88% |
VNQ Vanguard Real Estate ETF | 4.84% | 4.00% | 2.71% | 4.28% | 3.85% | 5.57% | 5.21% | 6.19% | 5.28% | 5.05% | 6.30% | 5.41% |
VTV Vanguard Value ETF | 3.24% | 2.56% | 2.24% | 2.73% | 2.76% | 3.09% | 2.66% | 2.91% | 3.18% | 2.78% | 2.84% | 3.60% |
IEI iShares 3-7 Year Treasury Bond ETF | 2.11% | 1.39% | 0.75% | 1.16% | 2.11% | 2.09% | 1.65% | 1.47% | 1.56% | 1.40% | 0.89% | 1.01% |
DLS WisdomTree International SmallCap Dividend | 4.95% | 5.11% | 3.56% | 2.80% | 3.89% | 4.38% | 3.44% | 4.18% | 3.58% | 4.88% | 5.43% | 5.19% |
IJS iShares S&P SmallCap 600 Value ETF | 1.66% | 1.48% | 1.56% | 1.04% | 1.75% | 1.88% | 1.53% | 1.35% | 1.78% | 1.60% | 1.37% | 2.18% |
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 | 3.72% | 4.29% | 4.35% | 2.69% | 5.28% | 5.46% | 4.44% | 4.24% | 4.81% | 6.74% | 4.60% | 5.64% |
Expense Ratio
The Alpha Architect Robust Portfolio has a high expense ratio of 0.40%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
PDP Invesco DWA Momentum ETF | 0.37 | ||||
VNQ Vanguard Real Estate ETF | -0.32 | ||||
VTV Vanguard Value ETF | 0.63 | ||||
IEI iShares 3-7 Year Treasury Bond ETF | -0.04 | ||||
DLS WisdomTree International SmallCap Dividend | 0.66 | ||||
IJS iShares S&P SmallCap 600 Value ETF | 0.09 | ||||
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.24 | ||||
EFV iShares MSCI EAFE Value ETF | 1.43 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst 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 48.58%, recorded on Mar 9, 2009. It took 522 trading sessions for the portfolio to recover.
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 | — | — | — |
| -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 Chart
The current Alpha Architect Robust Portfolio volatility is 2.89%, 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.