Last Update: 30 September 2020
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 7.2% compound annual return, with a 10.41% standard deviation.
In 2019, the portfolio granted a 2.02% 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(*) | |
|---|---|---|---|---|---|---|---|
| Alpha Architect Robust Portfolio | -1.85 | +6.17 | +21.14 | +2.66 | +4.78 | +6.52 | +7.20 |
| Components | |||||||
| PDP - Invesco DWA Momentum ETF | -1.57 | +13.51 | +41.73 | +25.86 | +16.53 | +14.14 | +14.22 |
| VNQ - Vanguard Real Estate | -2.68 | +1.31 | +15.01 | -12.28 | +2.33 | +5.19 | +8.48 |
| DLS - WisdomTree International SmallCp Div | -0.35 | +8.24 | +26.75 | -2.64 | -3.69 | +4.96 | +5.92 |
| IJS - iShares S&P Small-Cap 600 Value | -5.18 | +2.19 | +23.62 | -16.76 | -4.57 | +4.83 | +8.70 |
| VTV - Vanguard Value | -2.22 | +5.67 | +19.09 | -3.46 | +4.35 | +9.25 | +10.79 |
| EFV - iShares MSCI EAFE Value | -3.93 | +0.95 | +14.47 | -12.15 | -6.05 | +0.90 | +1.94 |
| IEI - iShares 3-7 Year Treasury Bond | +0.08 | +0.19 | +0.75 | +6.89 | +4.51 | +3.06 | +2.68 |
| GSG - iShares S&P GSCI Commodity Indexed Trust | -4.44 | +3.66 | +15.59 | -28.57 | -10.31 | -8.84 | -9.76 |
- 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 2020 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
-1.85%
|
-1.85%
Sep 2020 - Sep 2020
|
0 - 1 | |
|
3M
|
+6.17%
|
-1.85%
Sep 2020 - Sep 2020
|
2 - 1 | |
|
6M
|
+21.14%
|
-1.85%
Sep 2020 - Sep 2020
|
5 - 1 | |
|
YTD
|
-2.42%
|
-19.46%
Jan 2020 - Mar 2020
|
5 - 4 | |
|
1Y
|
+2.66%
|
18.29%
|
-19.46%
Jan 2020 - Mar 2020
|
8 - 4 |
|
3Y
|
+4.78%
annualized
|
13.61%
|
-19.46%
Jan 2020 - Mar 2020
|
26 - 10 |
|
5Y
|
+6.52%
annualized
|
11.40%
|
-19.46%
Jan 2020 - Mar 2020
|
43 - 17 |
|
10Y
|
+7.20%
annualized
|
10.41%
|
-19.46%
Jan 2020 - Mar 2020
|
80 - 40 |
|
MAX
01 Jan 2008
|
+4.74%
annualized
|
13.25%
|
-44.65%
Jun 2008 - Feb 2009
|
99 - 54 |
* Annualized St.Dev. of monthly returns
Best Very High Risk Porftolios, ordered by 10Y annualized return.
| Portfolio | 10Y Return ▾ | Stocks | Bonds | Comm. | ||
|---|---|---|---|---|---|---|
| Technology |
+20.14% | 100 | 0 | 0 | Compare | |
| US Stocks |
+13.48% | 100 | 0 | 0 | Compare | |
| Warren Buffett |
+12.62% | 90 | 10 | 0 | Compare | |
| Second Grader's Starter Paul Farrell |
+9.82% | 90 | 10 | 0 | Compare | |
| Edge Select Aggressive Merrill Lynch |
+9.41% | 84 | 16 | 0 | Compare |
Capital Growth
Drawdowns
Rolling Returns
Alpha Architect Robust Portfolio: annualized rolling and average returns
| Return (*) | Negative Periods |
|||
|---|---|---|---|---|
| Rolling Period | Average | Best | Worst | |
| 1 Year |
+6.58% |
+46.11% Mar 2009 - Feb 2010 |
-40.87% Mar 2008 - Feb 2009 |
20.42% |
| 2 Years |
+7.51% |
+33.95% Mar 2009 - Feb 2011 |
-9.66% Jun 2008 - May 2010 |
13.85% |
| 3 Years |
+7.73% |
+22.83% Mar 2009 - Feb 2012 |
-0.79% Jan 2008 - Dec 2010 |
0.85% |
| 5 Years |
+7.50% |
+18.90% Mar 2009 - Feb 2014 |
+1.11% Apr 2015 - Mar 2020 |
0.00% |
| 7 Years |
+7.48% |
+12.17% Mar 2009 - Feb 2016 |
+3.30% Apr 2013 - Mar 2020 |
0.00% |
| 10 Years |
+7.64% |
+11.30% Mar 2009 - Feb 2019 |
+4.97% Jun 2008 - May 2018 |
0.00% |
* Annualized rolling and average returns over full calendar month periods
Seasonality and Yearly/Monthly Returns
Alpha Architect Robust Portfolio Seasonality
| Months | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average | -0.2 | 0.4 | 0.7 | 2.6 | 0.1 | 0.0 | 1.7 | 0.1 | -0.4 | -0.5 | 0.3 | 0.8 |
| Best |
7.1 2019 |
4.3 2014 |
5.6 2009 |
8.4 2009 |
5.5 2020 |
4.4 2019 |
7.0 2009 |
4.5 2009 |
7.4 2010 |
8.1 2011 |
3.9 2009 |
4.8 2010 |
| Worst |
-9.2 2009 |
-8.9 2009 |
-13.4 2020 |
0.3 2015 |
-6.8 2010 |
-3.9 2008 |
-3.5 2008 |
-4.2 2015 |
-8.4 2008 |
-17.4 2008 |
-7.1 2008 |
-6.5 2018 |
| Gain Frequency |
46 | 69 | 69 | 100 | 62 | 62 | 77 | 46 | 54 | 58 | 67 | 67 |
Detail of Monthly Returns
| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2020 |
-2.42% | -1.2 | -5.9 | -13.4 | 6.5 | 5.5 | 1.5 | 4.3 | 3.7 | -1.9 | |||
| 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 |