PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Alpha Architect Robust Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


IEI 20%GSG 10%PDP 30%VTV 7.5%DLS 7.5%IJS 7.5%EFV 7.5%VNQ 10%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
DLS
WisdomTree International SmallCap Dividend
Foreign Small & Mid Cap Equities, Dividend
7.50%
EFV
iShares MSCI EAFE Value ETF
Foreign Large Cap Equities
7.50%
GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities
10%
IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds
20%
IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities
7.50%
PDP
Invesco DWA Momentum ETF
All Cap Equities
30%
VNQ
Vanguard Real Estate ETF
REIT
10%
VTV
Vanguard Value ETF
Large Cap Value Equities
7.50%

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 Quarterly


200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
191.68%
331.37%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 1, 2007, corresponding to the inception date of PDP

Returns By Period

As of Dec 10, 2024, the Alpha Architect Robust Portfolio returned 16.12% Year-To-Date and 7.22% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
26.90%0.96%12.91%31.46%14.06%11.73%
Alpha Architect Robust Portfolio16.12%0.48%10.79%20.83%8.38%7.22%
PDP
Invesco DWA Momentum ETF
33.74%0.75%18.51%39.18%13.03%11.45%
VNQ
Vanguard Real Estate ETF
11.73%0.00%18.02%19.17%5.13%5.91%
VTV
Vanguard Value ETF
20.69%-0.83%12.07%24.87%11.16%10.82%
IEI
iShares 3-7 Year Treasury Bond ETF
2.78%0.81%3.44%4.86%0.30%1.18%
DLS
WisdomTree International SmallCap Dividend
6.08%1.16%3.77%12.66%2.68%5.47%
IJS
iShares S&P SmallCap 600 Value ETF
14.22%0.73%21.22%22.89%9.45%9.16%
GSG
iShares S&P GSCI Commodity-Indexed Trust
5.43%-0.33%-3.51%6.39%6.27%-0.64%
EFV
iShares MSCI EAFE Value ETF
8.91%0.68%3.74%12.96%6.05%4.74%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.09%3.53%3.14%-4.00%3.12%0.20%3.11%1.79%1.63%-1.57%5.61%16.12%
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%1.35%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%
20197.11%2.66%1.49%2.33%-3.54%4.28%0.53%-0.51%0.90%1.20%1.72%2.22%22.02%
20182.82%-3.65%0.35%0.72%2.31%0.29%0.95%2.39%-0.17%-6.52%0.12%-6.26%-6.98%
20171.02%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%
20133.74%0.20%2.53%2.07%-0.98%-1.59%4.04%-1.82%3.81%2.32%0.98%1.20%17.54%

Expense Ratio

Alpha Architect Robust Portfolio features an expense ratio of 0.40%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for GSG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for PDP: current value at 0.62% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.62%
Expense ratio chart for DLS: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for EFV: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
Expense ratio chart for IJS: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for IEI: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Alpha Architect Robust Portfolio is 44, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Alpha Architect Robust Portfolio is 4444
Overall Rank
The Sharpe Ratio Rank of Alpha Architect Robust Portfolio is 4242
Sharpe Ratio Rank
The Sortino Ratio Rank of Alpha Architect Robust Portfolio is 4848
Sortino Ratio Rank
The Omega Ratio Rank of Alpha Architect Robust Portfolio is 4040
Omega Ratio Rank
The Calmar Ratio Rank of Alpha Architect Robust Portfolio is 3636
Calmar Ratio Rank
The Martin Ratio Rank of Alpha Architect Robust Portfolio is 5353
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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
The chart of Sharpe ratio for Alpha Architect Robust Portfolio, currently valued at 2.23, compared to the broader market-6.00-4.00-2.000.002.004.006.002.232.62
The chart of Sortino ratio for Alpha Architect Robust Portfolio, currently valued at 3.18, compared to the broader market-6.00-4.00-2.000.002.004.006.003.183.48
The chart of Omega ratio for Alpha Architect Robust Portfolio, currently valued at 1.39, compared to the broader market0.501.001.501.391.48
The chart of Calmar ratio for Alpha Architect Robust Portfolio, currently valued at 2.87, compared to the broader market0.005.0010.0015.002.873.77
The chart of Martin ratio for Alpha Architect Robust Portfolio, currently valued at 14.34, compared to the broader market0.0010.0020.0030.0040.0050.0060.0014.3416.74
Alpha Architect Robust Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PDP
Invesco DWA Momentum ETF
2.433.251.412.2214.73
VNQ
Vanguard Real Estate ETF
1.201.721.210.744.26
VTV
Vanguard Value ETF
2.593.671.475.2216.47
IEI
iShares 3-7 Year Treasury Bond ETF
1.011.491.180.412.81
DLS
WisdomTree International SmallCap Dividend
0.931.351.170.823.92
IJS
iShares S&P SmallCap 600 Value ETF
1.161.781.212.085.25
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.460.751.090.101.40
EFV
iShares MSCI EAFE Value ETF
1.091.501.191.734.81

The current Alpha Architect Robust Portfolio Sharpe ratio is 2.23. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.87 to 2.71, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Alpha Architect Robust Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.23
2.62
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Alpha Architect Robust Portfolio provided a 1.93% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.93%1.93%1.78%1.23%1.29%1.73%1.87%1.56%1.76%1.57%1.56%1.46%
PDP
Invesco DWA Momentum ETF
0.11%0.42%0.45%0.00%0.11%0.25%0.18%0.28%0.81%0.39%0.15%0.28%
VNQ
Vanguard Real Estate ETF
3.80%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
VTV
Vanguard Value ETF
2.24%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%
IEI
iShares 3-7 Year Treasury Bond ETF
3.11%2.36%1.37%0.73%1.12%2.01%1.95%1.51%1.33%1.39%1.23%0.77%
DLS
WisdomTree International SmallCap Dividend
3.85%4.29%4.96%3.29%2.50%3.37%3.66%2.79%3.29%2.72%3.61%3.89%
IJS
iShares S&P SmallCap 600 Value ETF
1.39%1.42%1.47%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
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
4.52%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.27%3.59%4.87%3.19%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.03%
-0.61%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

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 1.03%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.58%May 19, 2008203Mar 9, 2009522Apr 1, 2011725
-28.81%Feb 20, 202023Mar 23, 2020161Nov 9, 2020184
-20.3%Nov 9, 2021222Sep 27, 2022358Mar 1, 2024580
-16.89%May 2, 2011108Oct 3, 2011111Mar 13, 2012219
-15.99%Aug 30, 201880Dec 24, 2018121Jun 19, 2019201

Volatility

Volatility Chart

The current Alpha Architect Robust Portfolio volatility is 2.23%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.23%
2.24%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

IEIGSGVNQPDPDLSIJSEFVVTV
IEI1.00-0.18-0.08-0.24-0.20-0.28-0.24-0.31
GSG-0.181.000.180.320.380.330.400.36
VNQ-0.080.181.000.640.580.690.570.69
PDP-0.240.320.641.000.720.770.710.79
DLS-0.200.380.580.721.000.710.920.77
IJS-0.280.330.690.770.711.000.730.85
EFV-0.240.400.570.710.920.731.000.82
VTV-0.310.360.690.790.770.850.821.00
The correlation results are calculated based on daily price changes starting from Mar 2, 2007
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab