Data Source: from January 1995 to September 2021
Last Update: 30 September 2021
The Alpha Architect Robust Portfolio is exposed for 70% on the Stock Market and for 10% on Commodities.
It's a Very High Risk portfolio and it can be replicated with 8 ETFs.
In the last 10 years, the portfolio obtained a 9.41% compound annual return, with a 10.27% standard deviation.
In the last 25 years, a 8.03% compound annual return, with a 11.43% standard deviation.
In 2020, the portfolio granted a 1.27% dividend yield. If you are interested in getting periodic income, please refer to the Alpha Architect Robust Portfolio: Dividend Yield page.
Asset Allocation and ETFs
The Alpha Architect Robust Portfolio has the following asset allocation:
The Alpha Architect Robust Portfolio can be replicated with the following ETFs:
| Weight | Ticker | ETF Name | Investment Themes | |
|---|---|---|---|---|
| 30.00 % | PDP | Invesco DWA Momentum ETF | Equity, U.S., Growth | |
| 10.00 % | VNQ | Vanguard Real Estate | Real Estate, U.S. | |
| 7.50 % | DLS | WisdomTree International SmallCp Div | Equity, Developed Markets, Small Cap, Value | |
| 7.50 % | IJS | iShares S&P Small-Cap 600 Value | Equity, U.S., Small Cap, Value | |
| 7.50 % | VTV | Vanguard Value | Equity, U.S., Large Cap, Value | |
| 7.50 % | EFV | iShares MSCI EAFE Value | Equity, EAFE, Large Cap, Value | |
| 20.00 % | IEI | iShares 3-7 Year Treasury Bond | Bond, U.S., Intermediate-Term | |
| 10.00 % | GSG | iShares S&P GSCI Commodity Indexed Trust | Commodity, Broad Diversified |
Portfolio and ETF Returns
The Alpha Architect Robust Portfolio guaranteed the following returns.
| 1M | 3M | 6M | 1Y | 3Y(*) | 5Y(*) | 10Y(*) | 20Y(*) | 25Y(*) | |
|---|---|---|---|---|---|---|---|---|---|
| Alpha Architect Robust Portfolio | -2.43 | 0.00 | +5.91 | +24.39 | +8.95 | +9.70 | +9.41 | +7.96 | +8.03 |
| Components | |||||||||
|
PDP Invesco DWA Momentum ETF |
-5.09 | -0.18 | +5.09 | +17.02 | +14.71 | +16.42 | +15.49 | +8.76 | +9.04 |
|
VNQ Vanguard Real Estate |
-5.68 | +0.62 | +12.29 | +33.49 | +11.96 | +7.52 | +11.52 | +10.37 | +10.07 |
|
DLS WisdomTree International SmallCp Div |
-3.63 | +0.05 | +4.92 | +27.79 | +4.78 | +7.24 | +9.06 | +10.62 | +7.72 |
|
IJS iShares S&P Small-Cap 600 Value |
-1.46 | -4.03 | +0.66 | +66.24 | +8.16 | +11.74 | +14.78 | +10.60 | +10.64 |
|
VTV Vanguard Value |
-3.94 | -0.95 | +4.14 | +32.59 | +9.86 | +12.14 | +14.05 | +8.41 | +8.67 |
|
EFV iShares MSCI EAFE Value |
-2.14 | -1.76 | +1.40 | +29.84 | +2.80 | +5.65 | +5.92 | +6.26 | +5.25 |
|
IEI iShares 3-7 Year Treasury Bond |
-0.82 | -0.10 | +0.57 | -1.82 | +4.52 | +2.09 | +2.02 | +3.87 | +4.74 |
|
GSG iShares S&P GSCI Commodity Indexed Trust |
+5.97 | +4.79 | +20.69 | +56.84 | -2.36 | +2.61 | -5.66 | -0.31 | -0.35 |
- a rebalancing of the components at the beginning of each year (i.e. at every January 1st)
- the reinvestment of dividends
If you are interested in getting periodic income, please refer to the Alpha Architect Robust Portfolio: Dividend Yield page.
Historical Returns
Alpha Architect Robust Portfolio - Historical returns and stats.
| Period | Returns Sep 2021 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
-2.43%
|
-2.43%
Sep 2021 - Sep 2021
|
0 - 1 | |
|
3M
|
0.00%
|
-2.43%
Sep 2021 - Sep 2021
|
2 - 1 | |
|
6M
|
+5.91%
|
-2.43%
Sep 2021 - Sep 2021
|
5 - 1 | |
|
YTD
|
+10.79%
|
-2.43%
Sep 2021 - Sep 2021
|
7 - 2 | |
|
1Y
|
+24.39%
|
10.15%
|
-2.43%
Sep 2021 - Sep 2021
|
9 - 3 |
|
3Y
|
+8.95%
annualized
|
14.65%
|
-19.46%
Jan 2020 - Mar 2020
|
25 - 11 |
|
5Y
|
+9.70%
annualized
|
11.79%
|
-19.46%
Jan 2020 - Mar 2020
|
45 - 15 |
|
10Y
|
+9.41%
annualized
|
10.27%
|
-19.46%
Jan 2020 - Mar 2020
|
83 - 37 |
|
20Y
|
+7.96%
annualized
|
11.69%
|
-45.15%
Nov 2007 - Feb 2009
|
162 - 78 |
|
25Y
|
+8.03%
annualized
|
11.43%
|
-45.15%
Nov 2007 - Feb 2009
|
197 - 103 |
|
MAX
01 Jan 1995
|
+8.76%
annualized
|
11.15%
|
-45.15%
Nov 2007 - Feb 2009
|
216 - 105 |
Best Classic Portfolios, with Very High Risk, ordered by 25 Years annualized return.
25 Years Stats |
% Allocation |
||||||
|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Drawdown | Stocks | Bonds | Comm. | ||
| Technology |
+13.30% | -81.08% | 100 | 0 | 0 | Compare | |
| US Stocks |
+9.79% | -50.84% | 100 | 0 | 0 | Compare | |
| Warren Buffett |
+9.32% | -45.53% | 90 | 10 | 0 | Compare | |
| Aggressive Global Income |
+9.18% | -52.62% | 80 | 20 | 0 | Compare | |
| Stocks/Bonds 80/20 |
+9.12% | -41.09% | 80 | 20 | 0 | Compare | |
Capital Growth
Drawdowns
Rolling Returns ( more details)
Alpha Architect Robust Portfolio: annualized rolling and average returns
| Return (*) | Negative Periods |
|||
|---|---|---|---|---|
| Rolling Period | Average | Best | Worst | |
| 1 Year |
+9.26% |
+46.11% Mar 2009 - Feb 2010 |
-40.87% Mar 2008 - Feb 2009 |
19.03% |
| 2 Years |
+8.33% |
+33.95% Mar 2009 - Feb 2011 |
-22.91% Mar 2007 - Feb 2009 |
14.77% |
| 3 Years |
+7.87% |
+22.83% Mar 2009 - Feb 2012 |
-12.22% Mar 2006 - Feb 2009 |
9.79% |
| 5 Years |
+7.54% |
+18.90% Mar 2009 - Feb 2014 |
-3.35% Mar 2004 - Feb 2009 |
1.53% |
| 7 Years |
+7.35% |
+12.17% Mar 2009 - Feb 2016 |
+1.74% Mar 2002 - Feb 2009 |
0.00% |
| 10 Years |
+7.41% |
+12.18% Jan 1995 - Dec 2004 |
+3.04% Mar 1999 - Feb 2009 |
0.00% |
| 15 Years |
+7.14% |
+8.76% May 1995 - Apr 2010 |
+4.69% Apr 2005 - Mar 2020 |
0.00% |
| 20 Years |
+7.31% |
+9.17% Jan 1995 - Dec 2014 |
+5.57% Apr 2000 - Mar 2020 |
0.00% |
* Annualized rolling and average returns over full calendar month periods
If you need a deeper detail about rolling returns, please refer to the Alpha Architect Robust Portfolio: Rolling Returns page.
Seasonality and Yearly/Monthly Returns
Alpha Architect Robust Portfolio Seasonality: in which months is it better to invest?
In the table below, the average monthly return is represented.
Below each return, it's also mentioned the probability of obtaining a positive monthly result (Win %).
Both the Average Return and the Gain Frequency are useful to get an idea of what happened in the past.
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Win % |
0.28 56% |
0.50 63% |
1.01 70% |
2.07 85% |
0.69 70% |
0.49 70% |
0.74 59% |
0.18 63% |
0.08 59% |
0.30 62% |
1.44 77% |
1.31 73% |
| Best Year |
7.1 2019 |
4.3 2014 |
5.6 2009 |
8.4 2009 |
6.4 2003 |
4.4 2019 |
7.0 2009 |
4.6 2000 |
7.4 2010 |
8.1 2011 |
9.5 2020 |
4.8 2010 |
| Worst Year |
-9.2 2009 |
-8.9 2009 |
-13.4 2020 |
-4.3 2004 |
-6.8 2010 |
-3.9 2008 |
-4.9 2002 |
-9.7 1998 |
-8.4 2008 |
-17.4 2008 |
-7.1 2008 |
-6.5 2018 |
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Returns of Alpha Architect Robust Portfolio
| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2021 |
+10.79% | 0.0 | 3.5 | 1.1 | 3.4 | 1.2 | 1.3 | 1.2 | 1.3 | -2.4 | |||
| 2020 |
+9.55% | -1.2 | -5.9 | -13.4 | 6.5 | 5.5 | 1.5 | 4.3 | 3.7 | -1.9 | -1.4 | 9.5 | 4.0 |
| 2019 |
+22.11% | 7.1 | 2.7 | 1.5 | 2.4 | -3.6 | 4.4 | 0.6 | -0.5 | 0.8 | 1.2 | 1.8 | 2.2 |
| 2018 |
-7.40% | 2.8 | -3.7 | 0.4 | 0.7 | 2.3 | 0.3 | 0.9 | 2.5 | -0.2 | -6.7 | 0.1 | -6.5 |
| 2017 |
+14.23% | 1.0 | 2.6 | -0.2 | 0.8 | 0.8 | 0.6 | 2.0 | 0.2 | 1.5 | 2.0 | 1.7 | 0.5 |
| 2016 |
+7.34% | -4.3 | 0.0 | 5.4 | 1.1 | 1.3 | 1.0 | 1.4 | -0.3 | 0.4 | -2.3 | 1.6 | 2.1 |
| 2015 |
-2.97% | -0.5 | 3.4 | -0.3 | 0.3 | 0.5 | -1.3 | 0.0 | -4.2 | -2.1 | 4.4 | -1.0 | -2.0 |
| 2014 |
+4.41% | -1.2 | 4.3 | -0.5 | 0.3 | 1.9 | 1.4 | -2.1 | 2.6 | -3.3 | 2.1 | 0.4 | -1.4 |
| 2013 |
+18.23% | 3.7 | 0.2 | 2.5 | 2.1 | -0.9 | -1.6 | 4.1 | -1.9 | 4.0 | 2.4 | 1.2 | 1.3 |
| 2012 |
+13.25% | 4.3 | 3.2 | 1.7 | 0.5 | -5.9 | 2.4 | 0.9 | 2.8 | 0.7 | -0.6 | 1.3 | 1.7 |
| 2011 |
+0.76% | 2.2 | 2.7 | 0.8 | 3.5 | -1.2 | -1.7 | -0.4 | -4.2 | -7.8 | 8.1 | -0.3 | 0.0 |
| 2010 |
+17.52% | -3.5 | 4.1 | 5.0 | 3.1 | -6.8 | -3.5 | 6.6 | -3.2 | 7.4 | 3.6 | -0.2 | 4.8 |
| 2009 |
+20.28% | -9.2 | -8.9 | 5.6 | 8.4 | 5.0 | 0.1 | 7.0 | 4.5 | 4.0 | -2.8 | 3.9 | 2.7 |
| 2008 |
-30.92% | -4.0 | 0.6 | 0.5 | 3.8 | 2.4 | -3.9 | -3.5 | -1.2 | -8.4 | -17.4 | -7.1 | 3.8 |
| 2007 |
+5.28% | 1.5 | -0.2 | 1.1 | 2.6 | 1.6 | -1.6 | -2.0 | 0.9 | 3.3 | 2.4 | -3.1 | -0.9 |
| 2006 |
+16.14% | 3.4 | -0.2 | 1.9 | 1.5 | -2.4 | 0.4 | 1.2 | 1.9 | 1.0 | 3.5 | 2.9 | 0.2 |
| 2005 |
+9.03% | -1.6 | 2.5 | -1.0 | -1.0 | 2.0 | 1.5 | 3.1 | 1.0 | 1.1 | -2.8 | 2.7 | 1.4 |
| 2004 |
+16.21% | 2.4 | 2.5 | 1.3 | -4.3 | 1.6 | 1.7 | -1.5 | 1.7 | 1.9 | 2.2 | 3.6 | 2.4 |
| 2003 |
+29.60% | -1.1 | 0.3 | -1.2 | 5.7 | 6.4 | 1.2 | 1.1 | 2.5 | 1.4 | 4.2 | 1.5 | 4.6 |
| 2002 |
-1.83% | -0.8 | 0.6 | 4.4 | -0.5 | 0.2 | -2.2 | -4.9 | 1.6 | -4.2 | 1.5 | 3.1 | -0.3 |
| 2001 |
-5.48% | 2.2 | -4.0 | -3.4 | 4.9 | 0.1 | -1.0 | -0.4 | -1.2 | -6.8 | 0.7 | 3.1 | 0.7 |
| 2000 |
+9.35% | -2.1 | -0.2 | 5.1 | -1.2 | 1.1 | 3.2 | -0.6 | 4.6 | -1.7 | -0.7 | -1.0 | 2.9 |
| 1999 |
+12.94% | 0.8 | -3.3 | 4.1 | 5.1 | -1.7 | 3.7 | -0.8 | 0.1 | -0.7 | 1.1 | 0.8 | 3.3 |
| 1998 |
+7.93% | 1.2 | 3.6 | 3.0 | 0.0 | -1.4 | 1.0 | -2.5 | -9.7 | 4.3 | 3.9 | 2.4 | 2.7 |
| 1997 |
+15.26% | 1.8 | -0.2 | -2.0 | 2.3 | 4.7 | 2.7 | 4.7 | -2.8 | 4.2 | -1.7 | 0.2 | 0.7 |
| 1996 |
+17.80% | 1.8 | 0.5 | 1.6 | 1.8 | 1.1 | 0.9 | -3.1 | 1.8 | 3.3 | 1.8 | 5.4 | -0.1 |
| 1995 |
+24.75% | 0.7 | 2.5 | 2.2 | 2.3 | 2.8 | 1.0 | 2.6 | 0.5 | 2.1 | -0.7 | 3.2 | 3.3 |
* Note: Portofolio Returns, up to December 2007, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
In particular, it has been used:
- PDP - Invesco DWA Momentum ETF: simulated historical serie, up to December 2007
- VNQ - Vanguard Real Estate: simulated historical serie, up to December 2004
- DLS - WisdomTree International SmallCp Div: simulated historical serie, up to December 2006
- IJS - iShares S&P Small-Cap 600 Value: simulated historical serie, up to December 2000
- VTV - Vanguard Value: simulated historical serie, up to December 2004
- EFV - iShares MSCI EAFE Value: simulated historical serie, up to December 2005
- IEI - iShares 3-7 Year Treasury Bond: simulated historical serie, up to December 2007
- GSG - iShares S&P GSCI Commodity Indexed Trust: simulated historical serie, up to December 2006