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Alpha Architect Robust Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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.


150.00%200.00%250.00%300.00%December2025FebruaryMarchAprilMay
181.53%
303.65%
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 May 9, 2025, the Alpha Architect Robust Portfolio returned 0.05% Year-To-Date and 6.32% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.70%13.67%-5.18%9.18%14.14%10.43%
Alpha Architect Robust Portfolio0.05%9.78%-2.52%7.22%10.24%6.32%
PDP
Invesco DWA Momentum ETF
-5.00%14.24%-7.94%7.14%10.53%9.37%
VNQ
Vanguard Real Estate ETF
0.45%11.00%-4.37%13.24%7.43%5.28%
VTV
Vanguard Value ETF
0.00%9.53%-4.18%7.95%14.41%9.81%
IEI
iShares 3-7 Year Treasury Bond ETF
3.01%-0.13%2.83%6.31%-0.64%1.33%
DLS
WisdomTree International SmallCap Dividend
11.44%16.62%7.92%11.48%10.26%4.79%
IJS
iShares S&P SmallCap 600 Value ETF
-12.63%13.18%-16.91%-3.50%12.75%6.51%
GSG
iShares S&P GSCI Commodity-Indexed Trust
-2.85%4.75%-1.86%-3.95%18.75%-0.03%
EFV
iShares MSCI EAFE Value ETF
16.75%16.91%12.02%16.66%14.87%4.93%
*Annualized

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
20252.87%-0.65%-2.17%-0.95%1.03%0.05%
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%1.35%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%

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.


The Risk-Adjusted Performance Rank of Alpha Architect Robust Portfolio is 3636
Overall Rank
The Sharpe Ratio Rank of Alpha Architect Robust Portfolio is 3838
Sharpe Ratio Rank
The Sortino Ratio Rank of Alpha Architect Robust Portfolio is 3333
Sortino Ratio Rank
The Omega Ratio Rank of Alpha Architect Robust Portfolio is 3131
Omega Ratio Rank
The Calmar Ratio Rank of Alpha Architect Robust Portfolio is 3939
Calmar Ratio Rank
The Martin Ratio Rank of Alpha Architect Robust Portfolio is 4141
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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PDP
Invesco DWA Momentum ETF
0.300.541.070.280.88
VNQ
Vanguard Real Estate ETF
0.741.111.150.552.41
VTV
Vanguard Value ETF
0.520.861.120.582.15
IEI
iShares 3-7 Year Treasury Bond ETF
1.552.351.280.643.85
DLS
WisdomTree International SmallCap Dividend
0.701.061.150.912.44
IJS
iShares S&P SmallCap 600 Value ETF
-0.15-0.041.00-0.12-0.36
GSG
iShares S&P GSCI Commodity-Indexed Trust
-0.22-0.200.98-0.05-0.68
EFV
iShares MSCI EAFE Value ETF
1.001.441.201.214.03

The current Alpha Architect Robust Portfolio Sharpe ratio is 0.54. 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 0.44 to 0.96, 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 Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.54
0.48
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Alpha Architect Robust Portfolio provided a 2.03% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.03%2.07%1.93%1.78%1.23%1.29%1.73%1.87%1.56%1.76%1.57%1.56%
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
4.10%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
3.25%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
3.86%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
4.00%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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-4.67%
-7.82%
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 4.67%.


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 6.26%, 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%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
6.26%
11.21%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

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

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

^GSPCIEIGSGVNQDLSPDPEFVIJSVTVPortfolio
^GSPC1.00-0.280.340.680.790.890.800.820.920.92
IEI-0.281.00-0.18-0.08-0.19-0.24-0.23-0.28-0.30-0.20
GSG0.34-0.181.000.180.370.320.400.330.350.48
VNQ0.68-0.080.181.000.580.640.570.690.700.75
DLS0.79-0.190.370.581.000.720.920.710.770.84
PDP0.89-0.240.320.640.721.000.700.770.790.92
EFV0.80-0.230.400.570.920.701.000.730.810.83
IJS0.82-0.280.330.690.710.770.731.000.850.87
VTV0.92-0.300.350.700.770.790.810.851.000.88
Portfolio0.92-0.200.480.750.840.920.830.870.881.00
The correlation results are calculated based on daily price changes starting from Mar 2, 2007