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Alpha Architect Robust Portfolio

Last updated Sep 22, 2023

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


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
IEI
iShares 3-7 Year Treasury Bond ETF
Government Bonds20%
GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities10%
PDP
Invesco DWA Momentum ETF
All Cap Equities30%
VTV
Vanguard Value ETF
Large Cap Value Equities7.5%
DLS
WisdomTree International SmallCap Dividend
Foreign Small & Mid Cap Equities, Dividend7.5%
IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities7.5%
EFV
iShares MSCI EAFE Value ETF
Foreign Large Cap Equities7.5%
VNQ
Vanguard Real Estate ETF
REIT10%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
3.34%
8.86%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 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%
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%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

IEIGSGVNQPDPDLSIJSEFVVTV
IEI1.00-0.18-0.12-0.27-0.24-0.32-0.28-0.34
GSG-0.181.000.190.330.390.350.420.37
VNQ-0.120.191.000.650.580.690.580.69
PDP-0.270.330.651.000.730.780.710.79
DLS-0.240.390.580.731.000.720.920.78
IJS-0.320.350.690.780.721.000.740.86
EFV-0.280.420.580.710.920.741.000.83
VTV-0.340.370.690.790.780.860.831.00

Sharpe Ratio

The current Alpha Architect Robust Portfolio Sharpe ratio is 0.41. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.41

The Sharpe ratio of Alpha Architect Robust Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.41
0.70
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Alpha Architect Robust Portfolio granted a 2.12% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Alpha Architect Robust Portfolio2.12%1.82%1.30%1.39%1.91%2.14%1.84%2.11%1.96%2.03%1.96%2.25%
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.


0.75%
0.00%2.15%
0.62%
0.00%2.15%
0.58%
0.00%2.15%
0.39%
0.00%2.15%
0.25%
0.00%2.15%
0.15%
0.00%2.15%
0.12%
0.00%2.15%
0.04%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-10.53%
-9.73%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components

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, 2008203Mar 9, 2009522Apr 1, 2011725
-28.81%Feb 20, 202023Mar 23, 2020161Nov 9, 2020184
-20.3%Nov 9, 2021222Sep 27, 2022
-16.89%May 2, 2011108Oct 3, 2011111Mar 13, 2012219
-15.99%Aug 30, 201880Dec 24, 2018121Jun 19, 2019201

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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
2.89%
3.66%
Alpha Architect Robust Portfolio
Benchmark (^GSPC)
Portfolio components