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 Quarterly
The earliest data available for this chart is Mar 1, 2007, corresponding to the inception date of PDP
Returns By Period
As of May 18, 2024, the Alpha Architect Robust Portfolio returned 6.56% Year-To-Date and 6.27% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 11.18% | 5.60% | 17.48% | 26.33% | 13.16% | 10.99% |
| Alpha Architect Robust Portfolio | 6.56% | 4.83% | 13.25% | 17.21% | 7.96% | 6.22% |
| Portfolio components: | ||||||
PDP Invesco DWA Momentum ETF | 13.78% | 5.65% | 21.10% | 28.89% | 11.47% | 10.46% |
VNQ Vanguard Real Estate ETF | -3.11% | 7.98% | 9.55% | 10.08% | 3.39% | 5.59% |
VTV Vanguard Value ETF | 10.15% | 5.71% | 17.63% | 22.05% | 11.56% | 10.44% |
IEI iShares 3-7 Year Treasury Bond ETF | -0.98% | 1.37% | 2.14% | 0.98% | 0.16% | 0.96% |
DLS WisdomTree International SmallCap Dividend | 4.96% | 6.31% | 14.15% | 13.33% | 4.66% | 4.03% |
IJS iShares S&P SmallCap 600 Value ETF | -0.80% | 7.79% | 12.69% | 15.24% | 8.60% | 8.12% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 11.81% | 0.63% | 7.84% | 16.52% | 6.80% | -3.85% |
EFV iShares MSCI EAFE Value ETF | 8.27% | 7.37% | 14.63% | 18.67% | 7.43% | 3.48% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.09% | 3.53% | 3.14% | -4.01% | 6.56% | ||||||||
| 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% |
| 2013 | 3.74% | 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 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
Risk-Adjusted Performance Rank
The current rank of Alpha Architect Robust Portfolio is 29, 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.
Alpha Architect Robust Portfolio
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 | 1.98 | 2.78 | 1.33 | 1.11 | 7.61 |
VNQ Vanguard Real Estate ETF | 0.50 | 0.85 | 1.10 | 0.27 | 1.34 |
VTV Vanguard Value ETF | 2.27 | 3.25 | 1.39 | 2.27 | 7.26 |
IEI iShares 3-7 Year Treasury Bond ETF | 0.05 | 0.12 | 1.01 | 0.02 | 0.15 |
DLS WisdomTree International SmallCap Dividend | 0.98 | 1.50 | 1.17 | 0.53 | 3.16 |
IJS iShares S&P SmallCap 600 Value ETF | 0.72 | 1.20 | 1.14 | 0.64 | 2.09 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.93 | 1.34 | 1.16 | 0.21 | 2.47 |
EFV iShares MSCI EAFE Value ETF | 1.52 | 2.18 | 1.26 | 2.14 | 6.39 |
Dividends
Dividend yield
Alpha Architect Robust Portfolio granted a 1.91% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Alpha Architect Robust Portfolio | 1.91% | 1.93% | 1.78% | 1.23% | 1.29% | 1.73% | 1.87% | 1.56% | 1.76% | 1.57% | 1.56% | 1.46% |
| Portfolio components: | ||||||||||||
PDP Invesco DWA Momentum ETF | 0.27% | 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 | 4.07% | 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 | 2.36% | 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 | 2.74% | 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 | 3.86% | 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 | 1.47% | 1.42% | 1.46% | 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 | 4.03% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% | 4.87% | 3.19% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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 0.25%.
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 2.82%, 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
Asset Correlations Table
| IEI | GSG | VNQ | PDP | DLS | IJS | EFV | VTV | |
|---|---|---|---|---|---|---|---|---|
| IEI | 1.00 | -0.18 | -0.10 | -0.25 | -0.21 | -0.29 | -0.25 | -0.32 |
| GSG | -0.18 | 1.00 | 0.18 | 0.32 | 0.38 | 0.34 | 0.41 | 0.36 |
| VNQ | -0.10 | 0.18 | 1.00 | 0.65 | 0.58 | 0.69 | 0.58 | 0.69 |
| PDP | -0.25 | 0.32 | 0.65 | 1.00 | 0.72 | 0.77 | 0.71 | 0.79 |
| DLS | -0.21 | 0.38 | 0.58 | 0.72 | 1.00 | 0.72 | 0.92 | 0.78 |
| IJS | -0.29 | 0.34 | 0.69 | 0.77 | 0.72 | 1.00 | 0.74 | 0.85 |
| EFV | -0.25 | 0.41 | 0.58 | 0.71 | 0.92 | 0.74 | 1.00 | 0.82 |
| VTV | -0.32 | 0.36 | 0.69 | 0.79 | 0.78 | 0.85 | 0.82 | 1.00 |