The Alpha Architect Robust Portfolio is a Very High Risk portfolio and can be implemented with 8 ETFs.
It's exposed for 70% on the Stock Market and for 10% on Commodities.
In the last 30 Years, the Alpha Architect Robust Portfolio obtained a 8.23% compound annual return, with a 10.98% standard deviation.
Asset Allocation and ETFs
The Alpha Architect Robust Portfolio has the following asset allocation:
The Alpha Architect Robust Portfolio can be implemented 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.
Portfolio returns are calculated in USD, assuming:
- No fees or capital gain taxes
- a rebalancing of the components at the beginning of each year (at every January 1st). How do returns change with different rebalancing strategies?
- the reinvestment of dividends
Chg (%) | Return (%) | Return (%) as of Jun 30, 2022 |
|||||||
---|---|---|---|---|---|---|---|---|---|
1 Day | Time ET(*) | Jul 2022 | 1M | 6M | 1Y | 5Y(*) | 10Y(*) | 30Y(*) | |
Alpha Architect Robust Portfolio | -2.34 | -1.42 | -7.46 | -12.32 | -8.42 | 6.33 | 7.04 | 8.23 | |
US Inflation Adjusted return | -7.46 | -15.73 | -14.87 | 2.63 | 4.46 | 5.62 | |||
Components | |||||||||
PDP Invesco DWA Momentum ETF |
-2.31 |
01:59PM Jul 05 2022 |
-1.44 | -11.18 | -27.95 | -24.01 | 7.95 | 10.30 | 9.27 |
VNQ Vanguard Real Estate |
-1.65 |
01:59PM Jul 05 2022 |
0.12 | -7.46 | -20.54 | -8.02 | 5.69 | 7.49 | 9.57 |
DLS WisdomTree International SmallCp Div |
-2.73 |
01:59PM Jul 05 2022 |
-2.49 | -7.84 | -18.35 | -18.26 | -0.02 | 6.32 | 6.96 |
IJS iShares S&P Small-Cap 600 Value |
-1.71 |
02:00PM Jul 05 2022 |
-0.63 | -8.96 | -14.31 | -14.23 | 6.57 | 10.79 | 11.03 |
VTV Vanguard Value |
-2.33 |
01:59PM Jul 05 2022 |
-1.35 | -7.89 | -9.29 | -1.75 | 9.23 | 11.77 | 9.47 |
EFV iShares MSCI EAFE Value |
-3.82 |
01:59PM Jul 05 2022 |
-3.51 | -9.59 | -11.33 | -11.79 | 0.42 | 4.05 | 5.30 |
IEI iShares 3-7 Year Treasury Bond |
0.19 |
02:00PM Jul 05 2022 |
1.02 | -0.73 | -6.91 | -7.85 | 0.73 | 0.98 | 4.68 |
GSG iShares S&P GSCI Commodity Indexed Trust |
-7.23 |
02:00PM Jul 05 2022 |
-6.10 | -7.75 | 35.01 | 43.57 | 10.50 | -2.72 | 1.69 |
US Inflation is updated to May 2022. Waiting for updates, inflation of Jun 2022 is set to 0%. Current inflation (annualized) is 1Y: 7.57% , 5Y: 3.61% , 10Y: 2.46% , 30Y: 2.47%
Portfolio Dividends
In 2021, the Alpha Architect Robust Portfolio granted a 1.43% dividend yield. If you are interested in getting periodic income, please refer to the Alpha Architect Robust Portfolio: Dividend Yield page.
Historical Returns as of Jun 30, 2022
Historical returns and stats of Alpha Architect Robust Portfolio. Total Returns and Inflation Adjusted Returns are both mentioned.
Period | Return (%) as of Jun 2022 |
Return (%) Infl.Adj. |
Standard Deviation (%) |
Max Drawdown (%) |
Months Pos - Neg |
---|---|---|---|---|---|
1M
Jun 2022
|
-7.46
|
-7.46
|
-7.46
Jun 2022 - Jun 2022
|
0 - 1
|
|
3M
|
-9.40
|
-10.57
|
-9.40
Apr 2022 - Jun 2022
|
1 - 2
|
|
6M
|
-12.32
|
-15.73
|
-12.32
Jan 2022 - Jun 2022
|
2 - 4
|
|
YTD
|
-12.32
|
-15.73
|
-12.32
Jan 2022 - Jun 2022
|
2 - 4
|
|
1Y
|
-8.42
|
-14.87
|
12.27
|
-12.65
Nov 2021 - Jun 2022
|
6 - 6
50% pos
|
3Y(*)
|
5.70
|
1.14
|
14.36
|
-19.45
Jan 2020 - Mar 2020
|
23 - 13
64% pos
|
5Y(*)
|
6.33
|
2.63
|
12.98
|
-19.45
Jan 2020 - Mar 2020
|
42 - 18
70% pos
|
10Y(*)
|
7.04
|
4.46
|
10.46
|
-19.45
Jan 2020 - Mar 2020
|
81 - 39
68% pos
|
15Y(*)
|
4.95
|
2.59
|
13.05
|
-45.15
Nov 2007 - Feb 2009
|
115 - 65
64% pos
|
20Y(*)
|
7.16
|
4.60
|
11.96
|
-45.15
Nov 2007 - Feb 2009
|
160 - 80
67% pos
|
25Y(*)
|
6.96
|
4.42
|
11.61
|
-45.15
Nov 2007 - Feb 2009
|
194 - 106
65% pos
|
30Y(*)
|
8.23
|
5.62
|
10.98
|
-45.15
Nov 2007 - Feb 2009
|
241 - 119
67% pos
|
MAX(*)
01 Jan 1992
|
8.16
|
5.55
|
10.91
|
-45.15
Nov 2007 - Feb 2009
|
245 - 121
67% pos
|
Returns and stats are calculated assuming a yearly rebalancing of the components weight. How do returns change with different rebalancing strategies?
Capital Growth as of Jun 30, 2022
The Inflation Adjusted Capital now would be 5162.17$, with a net total return of 416.22% (5.62% annualized).
The Inflation Adjusted Capital now would be 5188.36$, with a net total return of 418.84% (5.55% annualized).
Drawdowns
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-45.15% | Nov 2007 | Feb 2009 | 16 | Apr 2011 | 26 | 42 |
-19.45% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 |
-14.59% | May 2011 | Sep 2011 | 5 | Mar 2012 | 6 | 11 |
-13.06% | Feb 2001 | Sep 2002 | 20 | May 2003 | 8 | 28 |
-12.88% | Sep 2018 | Dec 2018 | 4 | Jun 2019 | 6 | 10 |
-12.65% | Nov 2021 | Jun 2022 | 8 | in progress | 8 | |
-12.38% | Apr 1998 | Aug 1998 | 5 | Jan 1999 | 5 | 10 |
-10.26% | Jun 2015 | Feb 2016 | 9 | Dec 2016 | 10 | 19 |
-6.32% | Feb 1994 | Nov 1994 | 10 | Mar 1995 | 4 | 14 |
-5.92% | May 2012 | May 2012 | 1 | Sep 2012 | 4 | 5 |
-4.34% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
-3.65% | Feb 2018 | Feb 2018 | 1 | Jul 2018 | 5 | 6 |
-3.52% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 |
-3.34% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
-3.28% | Sep 2014 | Sep 2014 | 1 | Feb 2015 | 5 | 6 |
-3.25% | Feb 1999 | Feb 1999 | 1 | Mar 1999 | 1 | 2 |
-3.13% | Jul 1996 | Jul 1996 | 1 | Sep 1996 | 2 | 3 |
-2.96% | Nov 1993 | Nov 1993 | 1 | Jan 1994 | 2 | 3 |
-2.78% | Oct 2005 | Oct 2005 | 1 | Dec 2005 | 2 | 3 |
-2.76% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 |
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-45.15% | Nov 2007 | Feb 2009 | 16 | Apr 2011 | 26 | 42 |
-19.45% | Jan 2020 | Mar 2020 | 3 | Nov 2020 | 8 | 11 |
-14.59% | May 2011 | Sep 2011 | 5 | Mar 2012 | 6 | 11 |
-13.06% | Feb 2001 | Sep 2002 | 20 | May 2003 | 8 | 28 |
-12.88% | Sep 2018 | Dec 2018 | 4 | Jun 2019 | 6 | 10 |
-12.65% | Nov 2021 | Jun 2022 | 8 | in progress | 8 | |
-12.38% | Apr 1998 | Aug 1998 | 5 | Jan 1999 | 5 | 10 |
-10.26% | Jun 2015 | Feb 2016 | 9 | Dec 2016 | 10 | 19 |
-6.32% | Feb 1994 | Nov 1994 | 10 | Mar 1995 | 4 | 14 |
-5.92% | May 2012 | May 2012 | 1 | Sep 2012 | 4 | 5 |
-4.34% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
-3.65% | Feb 2018 | Feb 2018 | 1 | Jul 2018 | 5 | 6 |
-3.52% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 |
-3.34% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
-3.28% | Sep 2014 | Sep 2014 | 1 | Feb 2015 | 5 | 6 |
-3.25% | Feb 1999 | Feb 1999 | 1 | Mar 1999 | 1 | 2 |
-3.13% | Jul 1996 | Jul 1996 | 1 | Sep 1996 | 2 | 3 |
-2.96% | Nov 1993 | Nov 1993 | 1 | Jan 1994 | 2 | 3 |
-2.78% | Oct 2005 | Oct 2005 | 1 | Dec 2005 | 2 | 3 |
-2.76% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 |
Rolling Returns ( more details)
Alpha Architect Robust Portfolio: annualized rolling and average returns
Rolling Period |
Return (*) | Negative Periods |
||
---|---|---|---|---|
Average (%) | Best (%) | Worst (%) | ||
1 Year |
9.43 |
46.11 Mar 2009 - Feb 2010 |
-40.87 Mar 2008 - Feb 2009 |
18.59% |
2 Years |
8.80 |
33.95 Mar 2009 - Feb 2011 |
-22.91 Mar 2007 - Feb 2009 |
12.83% |
3 Years |
8.49 |
22.83 Mar 2009 - Feb 2012 |
-12.22 Mar 2006 - Feb 2009 |
8.46% |
5 Years |
8.30 |
18.90 Mar 2009 - Feb 2014 |
-3.35 Mar 2004 - Feb 2009 |
1.30% |
7 Years |
7.97 |
13.77 Jul 1992 - Jun 1999 |
1.74 Mar 2002 - Feb 2009 |
0.00% |
10 Years |
7.82 |
12.18 Jan 1995 - Dec 2004 |
3.04 Mar 1999 - Feb 2009 |
0.00% |
15 Years |
7.54 |
11.75 Nov 1992 - Oct 2007 |
4.69 Apr 2005 - Mar 2020 |
0.00% |
20 Years |
7.79 |
9.35 Dec 1994 - Nov 2014 |
5.57 Apr 2000 - Mar 2020 |
0.00% |
If you need a deeper detail about rolling returns, please refer to the Alpha Architect Robust Portfolio: Rolling Returns page.
Seasonality
Alpha Architect Robust Portfolio: in which months is it better to invest?
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Win % |
0.34 58% |
0.45 61% |
0.89 68% |
1.68 77% |
0.79 74% |
0.14 65% |
0.86 63% |
0.31 63% |
0.09 60% |
0.48 67% |
1.00 70% |
1.46 77% |
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 |
-7.5 2022 |
-4.9 2002 |
-9.7 1998 |
-8.4 2008 |
-17.4 2008 |
-7.1 2008 |
-6.5 2018 |
Monthly/Yearly Returns
Alpha Architect Robust Portfolio monthly and yearly returns: how is the distribution of the returns recorded so far?
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
2022 |
-12.32 | -15.73 | -4.6 | -0.4 | 1.9 | -4.0 | 2.0 | -7.5 | ||||||
2021 |
+15.71 | +8.04 | 0.0 | 3.5 | 1.1 | 3.4 | 1.2 | 1.3 | 1.2 | 1.3 | -2.4 | 4.8 | -3.5 | 3.3 |
2020 |
+9.55 | +8.17 | -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 | +19.41 | 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 | -9.14 | 2.8 | -3.7 | 0.4 | 0.7 | 2.3 | 0.3 | 0.9 | 2.5 | -0.2 | -6.7 | 0.0 | -6.5 |
2017 |
+14.23 | +11.85 | 1.0 | 2.6 | -0.2 | 0.8 | 0.8 | 0.6 | 2.0 | 0.1 | 1.5 | 1.9 | 1.7 | 0.5 |
2016 |
+7.34 | +5.18 | -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 | -3.59 | -0.5 | 3.4 | -0.3 | 0.3 | 0.5 | -1.3 | 0.0 | -4.2 | -2.1 | 4.4 | -1.0 | -1.9 |
2014 |
+4.41 | +3.73 | -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 | +16.47 | 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 | +11.29 | 4.3 | 3.1 | 1.7 | 0.5 | -5.9 | 2.4 | 0.9 | 2.8 | 0.7 | -0.6 | 1.3 | 1.7 |
2011 |
+0.76 | -2.24 | 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 | +15.86 | -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 | +16.99 | -9.2 | -8.9 | 5.6 | 8.4 | 5.0 | 0.1 | 7.0 | 4.5 | 4.0 | -2.7 | 3.9 | 2.7 |
2008 |
-30.92 | -30.91 | -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 | +1.12 | 1.5 | -0.2 | 1.1 | 2.6 | 1.6 | -1.6 | -2.0 | 0.8 | 3.3 | 2.3 | -3.1 | -0.9 |
2006 |
+16.14 | +13.28 | 3.4 | -0.2 | 1.9 | 1.5 | -2.4 | 0.4 | 1.2 | 1.9 | 1.0 | 3.4 | 2.9 | 0.2 |
2005 |
+9.03 | +5.51 | -1.6 | 2.5 | -1.0 | -1.0 | 2.0 | 1.5 | 3.0 | 1.0 | 1.1 | -2.8 | 2.7 | 1.4 |
2004 |
+16.21 | +12.45 | 2.4 | 2.5 | 1.3 | -4.3 | 1.6 | 1.7 | -1.5 | 1.6 | 1.9 | 2.2 | 3.6 | 2.4 |
2003 |
+29.60 | +27.02 | -1.1 | 0.3 | -1.2 | 5.7 | 6.4 | 1.1 | 1.1 | 2.5 | 1.4 | 4.2 | 1.5 | 4.6 |
2002 |
-1.83 | -4.21 | -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 | -6.97 | 2.2 | -4.0 | -3.3 | 4.9 | 0.1 | -1.0 | -0.4 | -1.2 | -6.8 | 0.7 | 3.1 | 0.7 |
2000 |
+9.35 | +5.72 | -2.1 | -0.2 | 5.1 | -1.2 | 1.1 | 3.1 | -0.6 | 4.6 | -1.7 | -0.7 | -1.0 | 2.9 |
1999 |
+12.94 | +10.00 | 0.7 | -3.3 | 4.1 | 5.1 | -1.6 | 3.7 | -0.8 | 0.1 | -0.7 | 1.1 | 0.8 | 3.3 |
1998 |
+7.93 | +6.22 | 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 | +13.34 | 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 | +13.95 | 1.7 | 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 | +21.67 | 0.7 | 2.5 | 2.2 | 2.3 | 2.8 | 1.0 | 2.6 | 0.5 | 2.1 | -0.7 | 3.2 | 3.3 |
1994 |
-1.20 | -3.70 | 3.7 | -2.2 | -3.6 | 0.9 | 0.6 | -1.4 | 2.4 | 1.7 | -2.2 | 0.8 | -3.2 | 1.7 |
1993 |
+16.81 | +13.62 | 3.0 | 2.1 | 3.7 | -1.6 | 1.4 | 1.3 | 1.0 | 3.8 | 1.4 | 0.4 | -3.0 | 2.2 |
1992 |
+9.58 | +6.43 | 0.9 | 1.2 | -1.6 | 0.8 | 2.1 | -1.5 | 2.4 | -1.3 | 1.3 | 0.3 | 2.3 | 2.3 |
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
Portfolio efficiency
Is the Alpha Architect Robust Portfolio actually efficient, compared to other Lazy Portfolios?
Overall Ratings
The Alpha Architect Robust Portfolio is classified as Very High Risk.
Less than 25%
25% - 49.99%
50% - 74.99%
At least 75%
Very High Risk Portfolios |
All Portfolios |
||
---|---|---|---|
25 Years Ann. Return (Inflation Adjusted) |
+6.96%
(+4.42%) |
Poor : 1 / 5
|
Average : 2.8 / 5
|
Standard Deviation over 25 Years |
11.61% |
Excellent : 5 / 5
|
Average : 3 / 5
|
Maximum Drawdown over 25 Years |
-45.15% |
Excellent : 5 / 5
|
Average : 2.1 / 5
|
Easy to manage | 8 ETFs |
Bad : 1.5 / 5
|
Bad : 1.5 / 5
|
Rating assigned considering all the Very High Risk Portfolios | Rating assigned considering all the Portfolios in the database |
Best Classic Portfolios, with Very High Risk
30 Years Stats (%) |
% Allocation |
|||||||
---|---|---|---|---|---|---|---|---|
Portfolio | Jul 2022 | Return▾ | Drawdown | Stocks | Bonds | Comm | ||
Technology |
+1.22 | +13.42 | -81.08 | 100 | 0 | 0 | ||
US Stocks |
+0.21 | +9.81 | -50.84 | 100 | 0 | 0 | ||
Warren Buffett Portfolio Warren Buffett |
+0.23 | +9.38 | -45.52 | 90 | 10 | 0 | ||
Aggressive Global Income |
-0.99 | +9.37 | -52.63 | 80 | 20 | 0 | ||
Stocks/Bonds 80/20 |
+0.38 | +9.06 | -41.09 | 80 | 20 | 0 |
Last update: Jul 05 2022, 02:00PM Eastern Time.