Data Source: from January 1982 to October 2022 (~41 years)
Consolidated Returns as of 31 October 2022
Live Update: Nov 29 2022, 03:00PM Eastern Time
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.37%
1 Day
Nov 29 2022, 03:00PM Eastern Time
2.81%
Current Month
November 2022
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 9.06% compound annual return, with a 10.90% 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 % | MTUM | iShares Edge MSCI USA Momentum Fctr | Equity, U.S., Large Cap, 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 |
Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.
Portfolio and ETF Returns as of Oct 31, 2022
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
ALPHA ARCHITECT ROBUST PORTFOLIO RETURNS
Consolidated returns as of 31 October 2022
Live Update: Nov 29 2022, 03:00PM Eastern Time
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Oct 31, 2022 |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Nov 2022 | 1M | 6M | 1Y | 5Y | 10Y | 30Y |
MAX
(~41Y) |
|
| Alpha Architect Robust Portfolio | 0.37 | 2.81 | 7.03 | -5.45 | -12.22 | 5.31 | 7.52 | 9.06 | 10.90 | |
| US Inflation Adjusted return | 6.60 | -8.27 | -18.53 | 1.40 | 4.83 | 6.39 | 7.81 | |||
| Components | ||||||||||
|
MTUM iShares Edge MSCI USA Momentum Fctr |
0.03 |
02:59PM Nov 29 2022 |
1.60 | 12.55 | 1.53 | -21.40 | 9.29 | 14.05 | 12.44 | 13.56 |
|
VNQ Vanguard Real Estate |
1.25 |
03:00PM Nov 29 2022 |
3.36 | 3.51 | -18.78 | -21.44 | 4.00 | 6.69 | 9.03 | 10.60 |
|
DLS WisdomTree International SmallCp Div |
0.14 |
02:55PM Nov 29 2022 |
10.06 | 2.29 | -15.64 | -26.54 | -3.46 | 4.44 | 6.63 | 6.40 |
|
IJS iShares S&P Small-Cap 600 Value |
0.45 |
02:57PM Nov 29 2022 |
1.68 | 14.40 | -0.71 | -7.38 | 6.48 | 11.01 | 11.05 | 13.63 |
|
VTV Vanguard Value |
0.18 |
02:59PM Nov 29 2022 |
3.91 | 11.73 | -0.64 | -0.92 | 9.10 | 11.78 | 9.62 | 11.17 |
|
EFV iShares MSCI EAFE Value |
0.87 |
02:59PM Nov 29 2022 |
11.08 | 7.16 | -10.71 | -16.44 | -1.80 | 2.69 | 5.43 | 5.15 |
|
IEI iShares 3-7 Year Treasury Bond |
-0.13 |
02:59PM Nov 29 2022 |
1.58 | -0.51 | -4.41 | -11.10 | -0.20 | 0.48 | 4.38 | 6.31 |
|
GSG iShares S&P GSCI Commodity Indexed Trust |
1.34 |
02:59PM Nov 29 2022 |
-3.30 | 6.17 | -7.73 | 22.41 | 7.14 | -3.87 | 1.58 | 7.10 |
Returns over 1 year are annualized | Available data source: since Jan 1982
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2022. Current inflation (annualized) is 1Y: 7.75% , 5Y: 3.85% , 10Y: 2.57% , 30Y: 2.51%
Live update: World Markets and Indexes
Portfolio Metrics as of Oct 31, 2022
Metrics of Alpha Architect Robust Portfolio, updated as of 31 October 2022.
Portfolio metrics are calculated based on monthly returns, 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
ALPHA ARCHITECT ROBUST PORTFOLIO
Portfolio Metrics
Data Source: 1 January 1982 - 31 October 2022 (~41 years)
Swipe left to see all data
| Metrics as of Oct 31, 2022 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y |
MAX
(~41Y) |
|
| Portfolio Return (%) |
7.03 | -3.94 | -5.45 | -12.22 | 5.06 | 5.31 | 7.52 | 8.24 | 9.06 | 10.90 |
| US Inflation (%) | 0.41 | 0.59 | 3.08 | 7.75 | 5.01 | 3.85 | 2.57 | 2.52 | 2.51 | 2.87 |
| Infl. Adjusted Return (%) |
6.60 | -4.50 | -8.27 | -18.53 | 0.05 | 1.40 | 4.83 | 5.59 | 6.39 | 7.81 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
| RISK INDICATORS | ||||||||||
| Standard Deviation (%) | 15.12 | 15.60 | 13.58 | 10.77 | 11.80 | 10.90 | 10.87 | |||
| Sharpe Ratio | -0.85 | 0.30 | 0.32 | 0.65 | 0.61 | 0.63 | 0.64 | |||
| Sortino Ratio | -1.26 | 0.38 | 0.41 | 0.84 | 0.77 | 0.80 | 0.82 | |||
| MAXIMUM DRAWDOWN | ||||||||||
| Drawdown Depth (%) | -17.99 | -19.09 | -19.09 | -19.09 | -44.20 | -44.20 | -44.20 | |||
| Start (yyyy mm) | 2021 11 | 2020 01 | 2020 01 | 2020 01 | 2007 11 | 2007 11 | 2007 11 | |||
| Bottom (yyyy mm) | 2022 09 | 2020 03 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | 2009 02 | |||
| Start to Bottom (# months) | 11 | 3 | 3 | 3 | 16 | 16 | 16 | |||
| Start to Recovery (# months) in progress |
> 12
|
8
|
8
|
8
|
42
|
42
|
42
|
|||
| ROLLING PERIOD RETURNS - Annualized | ||||||||||
| Best Return (%) | 48.51 | 31.02 | 26.57 | 17.98 | 14.68 | 12.46 | ||||
| Worst Return (%) | -40.18 | -11.22 | -1.74 | 4.41 | 6.34 | 8.79 | ||||
| % Positive Periods | 84% | 94% | 99% | 100% | 100% | 100% | ||||
| MONTHS | ||||||||||
| Positive | 1 | 1 | 3 | 5 | 23 | 41 | 82 | 161 | 242 | 334 |
| Negative | 0 | 2 | 3 | 7 | 13 | 19 | 38 | 79 | 118 | 156 |
| % Positive | 100% | 33% | 50% | 42% | 64% | 68% | 68% | 67% | 67% | 68% |
| WITHDRAWAL RATES (WR) | ||||||||||
| Safe WR (%) | 37.05 | 21.98 | 13.83 | 9.51 | 8.88 | 12.19 | ||||
| Perpetual WR (%) | 0.05 | 1.39 | 4.61 | 5.29 | 6.01 | 7.25 | ||||
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
- Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Portfolio Components Correlation
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 31 October 2022
Swipe left to see all data
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | MTUM | VNQ | DLS | IJS | VTV | EFV | IEI | GSG | |
| MTUM |
1.00
|
0.67
|
0.68
|
0.86
|
0.83
|
0.65
|
0.28
|
0.18
|
|
| VNQ |
0.67
|
1.00
|
0.87
|
0.76
|
0.80
|
0.66
|
0.38
|
0.34
|
|
| DLS |
0.68
|
0.87
|
1.00
|
0.88
|
0.91
|
0.88
|
0.55
|
0.56
|
|
| IJS |
0.86
|
0.76
|
0.88
|
1.00
|
0.95
|
0.84
|
0.55
|
0.44
|
|
| VTV |
0.83
|
0.80
|
0.91
|
0.95
|
1.00
|
0.94
|
0.39
|
0.55
|
|
| EFV |
0.65
|
0.66
|
0.88
|
0.84
|
0.94
|
1.00
|
0.38
|
0.71
|
|
| IEI |
0.28
|
0.38
|
0.55
|
0.55
|
0.39
|
0.38
|
1.00
|
-0.05
|
|
| GSG |
0.18
|
0.34
|
0.56
|
0.44
|
0.55
|
0.71
|
-0.05
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | MTUM | VNQ | DLS | IJS | VTV | EFV | IEI | GSG | |
| MTUM |
1.00
|
0.70
|
0.75
|
0.74
|
0.81
|
0.70
|
0.03
|
0.42
|
|
| VNQ |
0.70
|
1.00
|
0.77
|
0.74
|
0.78
|
0.67
|
0.10
|
0.48
|
|
| DLS |
0.75
|
0.77
|
1.00
|
0.87
|
0.90
|
0.92
|
-0.09
|
0.67
|
|
| IJS |
0.74
|
0.74
|
0.87
|
1.00
|
0.91
|
0.86
|
-0.18
|
0.64
|
|
| VTV |
0.81
|
0.78
|
0.90
|
0.91
|
1.00
|
0.90
|
-0.17
|
0.59
|
|
| EFV |
0.70
|
0.67
|
0.92
|
0.86
|
0.90
|
1.00
|
-0.16
|
0.72
|
|
| IEI |
0.03
|
0.10
|
-0.09
|
-0.18
|
-0.17
|
-0.16
|
1.00
|
-0.39
|
|
| GSG |
0.42
|
0.48
|
0.67
|
0.64
|
0.59
|
0.72
|
-0.39
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | MTUM | VNQ | DLS | IJS | VTV | EFV | IEI | GSG | |
| MTUM |
1.00
|
0.62
|
0.71
|
0.70
|
0.80
|
0.68
|
0.03
|
0.33
|
|
| VNQ |
0.62
|
1.00
|
0.63
|
0.61
|
0.66
|
0.57
|
0.23
|
0.23
|
|
| DLS |
0.71
|
0.63
|
1.00
|
0.77
|
0.81
|
0.91
|
-0.07
|
0.54
|
|
| IJS |
0.70
|
0.61
|
0.77
|
1.00
|
0.89
|
0.77
|
-0.22
|
0.53
|
|
| VTV |
0.80
|
0.66
|
0.81
|
0.89
|
1.00
|
0.84
|
-0.21
|
0.50
|
|
| EFV |
0.68
|
0.57
|
0.91
|
0.77
|
0.84
|
1.00
|
-0.14
|
0.60
|
|
| IEI |
0.03
|
0.23
|
-0.07
|
-0.22
|
-0.21
|
-0.14
|
1.00
|
-0.36
|
|
| GSG |
0.33
|
0.23
|
0.54
|
0.53
|
0.50
|
0.60
|
-0.36
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | MTUM | VNQ | DLS | IJS | VTV | EFV | IEI | GSG | |
| MTUM |
1.00
|
0.56
|
0.68
|
0.76
|
0.89
|
0.74
|
-0.10
|
0.33
|
|
| VNQ |
0.56
|
1.00
|
0.60
|
0.68
|
0.63
|
0.60
|
0.02
|
0.26
|
|
| DLS |
0.68
|
0.60
|
1.00
|
0.72
|
0.72
|
0.90
|
-0.13
|
0.48
|
|
| IJS |
0.76
|
0.68
|
0.72
|
1.00
|
0.85
|
0.75
|
-0.21
|
0.38
|
|
| VTV |
0.89
|
0.63
|
0.72
|
0.85
|
1.00
|
0.81
|
-0.16
|
0.36
|
|
| EFV |
0.74
|
0.60
|
0.90
|
0.75
|
0.81
|
1.00
|
-0.16
|
0.47
|
|
| IEI |
-0.10
|
0.02
|
-0.13
|
-0.21
|
-0.16
|
-0.16
|
1.00
|
-0.08
|
|
| GSG |
0.33
|
0.26
|
0.48
|
0.38
|
0.36
|
0.47
|
-0.08
|
1.00
|
|
|
|
|
|
|
|
|
|
||
|---|---|---|---|---|---|---|---|---|---|
| Asset | MTUM | VNQ | DLS | IJS | VTV | EFV | IEI | GSG | |
| MTUM |
1.00
|
0.56
|
0.75
|
0.78
|
0.91
|
0.79
|
0.06
|
0.23
|
|
| VNQ |
0.56
|
1.00
|
0.59
|
0.69
|
0.63
|
0.60
|
0.07
|
0.20
|
|
| DLS |
0.75
|
0.59
|
1.00
|
0.75
|
0.78
|
0.92
|
0.02
|
0.35
|
|
| IJS |
0.78
|
0.69
|
0.75
|
1.00
|
0.86
|
0.77
|
-0.07
|
0.28
|
|
| VTV |
0.91
|
0.63
|
0.78
|
0.86
|
1.00
|
0.84
|
0.01
|
0.27
|
|
| EFV |
0.79
|
0.60
|
0.92
|
0.77
|
0.84
|
1.00
|
0.00
|
0.34
|
|
| IEI |
0.06
|
0.07
|
0.02
|
-0.07
|
0.01
|
0.00
|
1.00
|
-0.09
|
|
| GSG |
0.23
|
0.20
|
0.35
|
0.28
|
0.27
|
0.34
|
-0.09
|
1.00
|
Portfolio Dividends
In 2021, the Alpha Architect Robust Portfolio granted a 1.61% dividend yield. If you are interested in getting periodic income, please refer to the Alpha Architect Robust Portfolio: Dividend Yield page.
Readings that may interest you
Capital Growth as of Oct 31, 2022
An investment of 1000$, since November 1992,
now would be worth 13482.18$, with a total return of 1248.22% (9.06% annualized).
The Inflation Adjusted Capital now would be 6415.09$, with a net total return of 541.51% (6.39% annualized).
The Inflation Adjusted Capital now would be 6415.09$, with a net total return of 541.51% (6.39% annualized).
An investment of 1000$, since January 1982,
now would be worth 68420.50$, with a total return of 6742.05% (10.90% annualized).
The Inflation Adjusted Capital now would be 21581.43$, with a net total return of 2058.14% (7.81% annualized).
The Inflation Adjusted Capital now would be 21581.43$, with a net total return of 2058.14% (7.81% annualized).
Drawdowns
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -44.20% | Nov 2007 | Feb 2009 | 16 | Apr 2011 | 26 | 42 |
| -19.09% | Jan 2020 | Mar 2020 | 3 | Aug 2020 | 5 | 8 |
| -17.99% | Nov 2021 | Sep 2022 | 11 | in progress | 1 | 12 |
| -13.76% | May 2011 | Sep 2011 | 5 | Feb 2012 | 5 | 10 |
| -12.58% | Feb 2001 | Sep 2002 | 20 | May 2003 | 8 | 28 |
| -11.72% | Oct 2018 | Dec 2018 | 3 | Jun 2019 | 6 | 9 |
| -10.75% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 |
| -7.83% | Jun 2015 | Feb 2016 | 9 | Jun 2016 | 4 | 13 |
| -6.68% | Feb 1994 | Nov 1994 | 10 | Mar 1995 | 4 | 14 |
| -6.42% | Apr 2012 | May 2012 | 2 | Aug 2012 | 3 | 5 |
| -5.05% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 |
| -4.18% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
| -3.55% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 |
| -3.34% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
| -2.93% | Jul 1996 | Jul 1996 | 1 | Sep 1996 | 2 | 3 |
| -2.89% | Jun 2007 | Jul 2007 | 2 | Sep 2007 | 2 | 4 |
| -2.85% | Sep 2014 | Sep 2014 | 1 | Feb 2015 | 5 | 6 |
| -2.74% | Feb 1999 | Feb 1999 | 1 | Mar 1999 | 1 | 2 |
| -2.68% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 |
| -2.50% | May 2006 | May 2006 | 1 | Aug 2006 | 3 | 4 |
Swipe left to see all data
Drawdown period |
Recovery period |
Total |
||||
|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months |
| -44.20% | Nov 2007 | Feb 2009 | 16 | Apr 2011 | 26 | 42 |
| -19.09% | Jan 2020 | Mar 2020 | 3 | Aug 2020 | 5 | 8 |
| -18.97% | Sep 1987 | Nov 1987 | 3 | Jan 1989 | 14 | 17 |
| -17.99% | Nov 2021 | Sep 2022 | 11 | in progress | 1 | 12 |
| -13.76% | May 2011 | Sep 2011 | 5 | Feb 2012 | 5 | 10 |
| -12.58% | Feb 2001 | Sep 2002 | 20 | May 2003 | 8 | 28 |
| -11.72% | Oct 2018 | Dec 2018 | 3 | Jun 2019 | 6 | 9 |
| -10.75% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 |
| -7.83% | Jun 2015 | Feb 2016 | 9 | Jun 2016 | 4 | 13 |
| -6.78% | Aug 1990 | Oct 1990 | 3 | Jan 1991 | 3 | 6 |
| -6.68% | Feb 1994 | Nov 1994 | 10 | Mar 1995 | 4 | 14 |
| -6.42% | Apr 2012 | May 2012 | 2 | Aug 2012 | 3 | 5 |
| -5.23% | Feb 1984 | Jul 1984 | 6 | Aug 1984 | 1 | 7 |
| -5.07% | Jan 1990 | Apr 1990 | 4 | May 1990 | 1 | 5 |
| -5.05% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 |
| -4.64% | Sep 1986 | Sep 1986 | 1 | Nov 1986 | 2 | 3 |
| -4.18% | Apr 2004 | Apr 2004 | 1 | Sep 2004 | 5 | 6 |
| -3.55% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 |
| -3.45% | Jun 1991 | Jun 1991 | 1 | Aug 1991 | 2 | 3 |
| -3.34% | Sep 2000 | Nov 2000 | 3 | Jan 2001 | 2 | 5 |
Rolling Returns ( more details)
Alpha Architect Robust Portfolio: annualized rolling and average returns
Swipe left to see all data
| Rolling Period |
Return (*) | Negative Periods |
||
|---|---|---|---|---|
| Average (%) | Best (%) | Worst (%) | ||
| 1 Year |
12.00 |
48.51 Jul 1982 - Jun 1983 |
-40.18 Mar 2008 - Feb 2009 |
15.66% |
| 2 Years |
11.44 |
32.49 Sep 1985 - Aug 1987 |
-21.39 Mar 2007 - Feb 2009 |
8.35% |
| 3 Years |
11.19 |
31.02 Aug 1984 - Jul 1987 |
-11.22 Mar 2006 - Feb 2009 |
6.15% |
| 5 Years |
10.95 |
26.57 Aug 1982 - Jul 1987 |
-1.74 Mar 2004 - Feb 2009 |
0.70% |
| 7 Years |
10.68 |
21.62 Aug 1982 - Jul 1989 |
3.26 Mar 2002 - Feb 2009 |
0.00% |
| 10 Years |
10.57 |
17.98 Aug 1982 - Jul 1992 |
4.41 Mar 1999 - Feb 2009 |
0.00% |
| 15 Years |
10.43 |
17.05 Aug 1982 - Jul 1997 |
4.84 Oct 2007 - Sep 2022 |
0.00% |
| 20 Years |
10.41 |
14.68 Apr 1982 - Mar 2002 |
6.34 Apr 2000 - Mar 2020 |
0.00% |
| 30 Years |
10.48 |
12.46 Apr 1982 - Mar 2012 |
8.79 Oct 1992 - Sep 2022 |
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
In which months is it better to invest in Alpha Architect Robust Portfolio?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
For further information about the seasonality, check the Asset Class Seasonality page.
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
1.43
60% |
-0.87
40% |
-1.74
60% |
1.67
80% |
0.98
80% |
0.36
80% |
1.95
100% |
1.00
60% |
-2.09
40% |
0.86
60% |
1.81
80% |
0.76
80% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
101.43
|
100.54
|
98.80
|
100.45
|
101.43
|
101.79
|
103.78
|
104.82
|
102.63
|
103.52
|
105.40
|
106.20
|
| Best |
6.6 2019 |
2.9 2021 |
2.6 2022 |
6.3 2020 |
4.2 2020 |
4.4 2019 |
3.9 2022 |
5.0 2020 |
1.2 2019 |
7.0 2022 |
9.4 2020 |
3.4 2020 |
| Worst |
-3.2 2022 |
-6.0 2020 |
-13.2 2020 |
-5.4 2022 |
-3.3 2019 |
-6.2 2022 |
0.4 2019 |
-3.3 2022 |
-7.2 2022 |
-6.4 2018 |
-4.0 2021 |
-6.0 2018 |
Monthly Seasonality over the period Nov 2017 - Oct 2022
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
0.71
50% |
0.52
60% |
-0.21
60% |
1.36
90% |
1.03
80% |
0.27
70% |
1.66
90% |
0.07
50% |
-0.87
50% |
1.44
70% |
1.19
80% |
0.69
70% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
100.71
|
101.24
|
101.02
|
102.39
|
103.45
|
103.73
|
105.45
|
105.53
|
104.61
|
106.12
|
107.38
|
108.12
|
| Best |
6.6 2019 |
4.5 2014 |
5.5 2016 |
6.3 2020 |
4.2 2020 |
4.4 2019 |
4.1 2013 |
5.0 2020 |
3.3 2013 |
7.0 2022 |
9.4 2020 |
3.4 2020 |
| Worst |
-3.3 2016 |
-6.0 2020 |
-13.2 2020 |
-5.4 2022 |
-3.3 2019 |
-6.2 2022 |
-1.7 2014 |
-4.3 2015 |
-7.2 2022 |
-6.4 2018 |
-4.0 2021 |
-6.0 2018 |
Monthly Seasonality over the period Nov 2012 - Oct 2022
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency |
1.04
66% |
0.62
63% |
1.16
73% |
1.64
78% |
0.99
71% |
0.45
63% |
0.95
61% |
0.77
66% |
-0.04
59% |
0.68
63% |
1.02
70% |
1.73
85% |
| Capital Growth on monthly avg returns | ||||||||||||
|
100
|
101.04
|
101.67
|
102.84
|
104.53
|
105.57
|
106.05
|
107.06
|
107.88
|
107.84
|
108.58
|
109.68
|
111.57
|
| Best |
9.2 1987 |
5.7 1986 |
5.9 2009 |
8.9 2009 |
6.4 2003 |
4.4 2019 |
6.3 2010 |
8.3 1982 |
6.7 2010 |
8.6 1982 |
9.4 2020 |
7.4 1991 |
| Worst |
-9.6 2009 |
-9.7 2009 |
-13.2 2020 |
-5.4 2022 |
-6.9 2010 |
-6.2 2022 |
-4.6 2002 |
-9.0 1998 |
-7.2 2022 |
-16.7 2008 |
-6.7 2008 |
-6.0 2018 |
Monthly Seasonality over the period Jan 1982 - Oct 2022
Monthly/Yearly Returns
Alpha Architect Robust Portfolio data source starts from January 1982: let's focus on monthly and yearly returns.
We are providing two different views:
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1982 - Oct 2022
334 Positive Months (68%) - 156 Negative Months (32%)
MONTHLY RETURNS TABLE
Jan 1982 - Oct 2022
(Scroll down to see all data)
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Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2022 |
-11.52 | -17.22 | -3.2 | -0.5 | 2.6 | -5.4 | 1.1 | -6.2 | 3.9 | -3.3 | -7.2 | 7.0 | ||
| 2021 |
+17.40 | +9.68 | 1.2 | 2.9 | 1.3 | 4.6 | 1.1 | 0.8 | 0.8 | 1.6 | -2.0 | 4.7 | -4.0 | 3.3 |
| 2020 |
+7.53 | +6.08 | -0.8 | -6.0 | -13.2 | 6.3 | 4.2 | 2.6 | 3.6 | 5.0 | -2.7 | -2.4 | 9.4 | 3.4 |
| 2019 |
+20.35 | +17.66 | 6.6 | 2.2 | 1.2 | 1.9 | -3.3 | 4.4 | 0.4 | -0.7 | 1.2 | 1.3 | 1.6 | 2.2 |
| 2018 |
-6.10 | -7.86 | 3.4 | -3.0 | -0.6 | 0.9 | 1.8 | 0.3 | 1.0 | 2.3 | 0.3 | -6.4 | 0.3 | -6.0 |
| 2017 |
+18.49 | +16.04 | 1.3 | 2.1 | 0.3 | 1.2 | 1.7 | 0.6 | 2.4 | 0.3 | 2.3 | 2.2 | 1.9 | 0.8 |
| 2016 |
+8.13 | +5.93 | -3.3 | -0.7 | 5.5 | 1.1 | 1.2 | 1.5 | 1.6 | -0.5 | 0.8 | -2.0 | 0.8 | 2.2 |
| 2015 |
-0.63 | -1.35 | -0.6 | 3.3 | -0.8 | 0.7 | 0.9 | -1.3 | 0.5 | -4.3 | -1.7 | 4.6 | -0.6 | -1.2 |
| 2014 |
+5.13 | +4.34 | -1.3 | 4.5 | -0.8 | 0.3 | 1.9 | 1.5 | -1.7 | 2.3 | -2.9 | 2.0 | 0.7 | -1.3 |
| 2013 |
+19.10 | +17.34 | 3.9 | 0.2 | 2.4 | 1.9 | -0.2 | -1.4 | 4.1 | -2.1 | 3.3 | 3.1 | 1.1 | 1.4 |
| 2012 |
+12.28 | +10.36 | 4.2 | 2.8 | 1.6 | -0.4 | -6.1 | 3.4 | 1.2 | 2.5 | 1.3 | -1.1 | 0.8 | 1.9 |
| 2011 |
+2.08 | -0.86 | 2.1 | 2.9 | 0.1 | 3.4 | -1.2 | -1.8 | -0.5 | -4.0 | -6.9 | 8.5 | -0.5 | 0.8 |
| 2010 |
+14.95 | +13.26 | -2.9 | 2.8 | 4.8 | 2.3 | -6.9 | -2.9 | 6.3 | -3.0 | 6.7 | 3.2 | -0.9 | 5.6 |
| 2009 |
+17.10 | +14.00 | -9.6 | -9.7 | 5.9 | 8.9 | 6.2 | -0.7 | 6.2 | 4.3 | 2.8 | -2.0 | 4.0 | 1.6 |
| 2008 |
-29.35 | -29.41 | -3.1 | -0.4 | 0.6 | 3.4 | 1.4 | -5.0 | -2.1 | -0.1 | -6.3 | -16.7 | -6.7 | 2.7 |
| 2007 |
+9.03 | +4.76 | 1.8 | 0.1 | 1.4 | 2.8 | 1.9 | -1.3 | -1.7 | 1.1 | 3.5 | 2.6 | -2.8 | -0.6 |
| 2006 |
+14.56 | +11.72 | 3.3 | -0.3 | 1.8 | 1.3 | -2.5 | 0.2 | 1.1 | 1.8 | 0.8 | 3.4 | 2.8 | 0.0 |
| 2005 |
+13.33 | +9.58 | -1.2 | 2.9 | -0.6 | -0.6 | 2.3 | 1.8 | 3.3 | 1.3 | 1.4 | -2.4 | 2.9 | 1.7 |
| 2004 |
+18.01 | +14.29 | 2.5 | 2.6 | 1.5 | -4.2 | 1.7 | 1.9 | -1.3 | 1.8 | 2.0 | 2.3 | 3.7 | 2.5 |
| 2003 |
+28.95 | +26.57 | -1.1 | 0.3 | -1.3 | 5.7 | 6.4 | 1.1 | 1.0 | 2.4 | 1.3 | 4.2 | 1.4 | 4.6 |
| 2002 |
+0.96 | -1.38 | -0.6 | 0.9 | 4.6 | -0.3 | 0.4 | -1.9 | -4.6 | 1.8 | -3.9 | 1.7 | 3.2 | 0.0 |
| 2001 |
-7.16 | -8.58 | 2.1 | -4.1 | -3.5 | 4.8 | 0.0 | -1.1 | -0.6 | -1.4 | -7.0 | 0.5 | 3.0 | 0.5 |
| 2000 |
+9.39 | +5.81 | -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 |
+18.95 | +15.84 | 1.2 | -2.7 | 4.6 | 5.5 | -1.2 | 4.1 | -0.3 | 0.6 | -0.2 | 1.5 | 1.2 | 3.6 |
| 1998 |
+13.95 | +12.14 | 1.7 | 4.1 | 3.5 | 0.5 | -0.9 | 1.4 | -2.0 | -9.0 | 4.6 | 4.3 | 2.8 | 3.0 |
| 1997 |
+16.27 | +14.33 | 1.9 | -0.1 | -1.9 | 2.4 | 4.7 | 2.7 | 4.7 | -2.7 | 4.2 | -1.7 | 0.3 | 0.8 |
| 1996 |
+20.00 | +16.15 | 1.9 | 0.7 | 1.7 | 1.9 | 1.2 | 1.1 | -2.9 | 2.0 | 3.5 | 1.9 | 5.5 | 0.1 |
| 1995 |
+26.04 | +22.92 | 0.8 | 2.6 | 2.3 | 2.4 | 2.9 | 1.1 | 2.6 | 0.6 | 2.2 | -0.6 | 3.3 | 3.3 |
| 1994 |
-1.64 | -4.21 | 3.6 | -2.2 | -3.7 | 0.9 | 0.5 | -1.4 | 2.3 | 1.7 | -2.3 | 0.8 | -3.3 | 1.7 |
| 1993 |
+14.31 | +11.25 | 2.3 | 2.2 | 3.1 | -1.2 | 1.1 | 0.7 | 0.7 | 3.3 | 0.8 | 0.9 | -2.2 | 1.8 |
| 1992 |
+8.50 | +5.45 | 0.7 | 0.7 | -1.4 | 1.8 | 1.7 | -1.0 | 2.2 | -1.0 | 1.2 | -0.5 | 2.0 | 1.8 |
| 1991 |
+23.44 | +19.77 | 3.1 | 4.8 | 2.9 | 0.9 | 2.7 | -3.5 | 3.5 | 2.0 | -0.2 | 1.2 | -3.0 | 7.4 |
| 1990 |
-1.58 | -7.24 | -4.9 | 0.7 | 1.4 | -2.3 | 5.7 | -0.3 | 0.5 | -4.7 | -0.6 | -1.5 | 3.5 | 1.5 |
| 1989 |
+26.71 | +21.09 | 4.7 | -0.8 | 2.3 | 4.2 | 2.9 | 1.0 | 5.6 | 1.4 | 0.4 | -1.5 | 1.6 | 2.3 |
| 1988 |
+15.37 | +10.49 | 4.1 | 3.4 | -1.1 | 1.0 | 0.4 | 3.4 | -0.2 | -2.0 | 2.5 | 2.2 | -0.9 | 2.0 |
| 1987 |
+7.28 | +2.72 | 9.2 | 2.5 | 2.6 | -0.7 | 1.0 | 4.1 | 3.6 | 2.1 | -1.5 | -14.4 | -3.9 | 4.5 |
| 1986 |
+23.86 | +22.52 | 0.7 | 5.7 | 5.3 | 0.4 | 2.9 | 2.9 | -2.6 | 6.5 | -4.6 | 4.1 | 2.2 | -1.3 |
| 1985 |
+30.79 | +26.01 | 6.0 | 1.1 | 1.3 | 0.6 | 5.2 | 1.4 | 0.1 | 0.2 | -1.3 | 4.2 | 4.9 | 3.6 |
| 1984 |
+6.69 | +2.63 | 0.7 | -2.2 | 1.0 | 0.1 | -3.9 | 1.0 | -1.3 | 7.5 | 1.2 | 1.1 | 0.1 | 1.6 |
| 1983 |
+19.86 | +15.49 | 2.6 | 2.1 | 3.7 | 5.9 | -0.2 | 2.4 | -1.9 | 1.1 | 1.1 | -0.7 | 2.0 | 0.5 |
| 1982 |
+23.06 | +18.52 | -0.2 | -2.7 | 0.1 | 3.6 | -1.2 | -2.1 | 0.0 | 8.3 | 2.0 | 8.6 | 3.8 | 1.4 |
Portofolio Returns, up to December 2013, 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:
- MTUM - iShares Edge MSCI USA Momentum Fctr: simulated historical serie, up to December 2013
- 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
Compared to the Alpha Architect Robust Portfolio, the following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Stocks/Bonds 80/20 Momentum |
+11.15 | 12.13 | -43.61 | 80 | 20 | 0 | ||
|
US Stocks Minimum Volatility |
+9.77 | 13.59 | -43.27 | 100 | 0 | 0 | ||
|
Stocks/Bonds 60/40 Momentum |
+9.67 | 9.35 | -32.52 | 60 | 40 | 0 | ||
|
Robust Alpha Architect |
+9.06 | 10.90 | -44.20 | 70 | 20 | 10 | ||
Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.
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30 Years Stats (%) |
% Allocation |
|||||||
|---|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Dev.Std | Drawdown | Stocks | Bonds | Comm | ||
|
Technology |
+13.06 | 23.81 | -81.08 | 100 | 0 | 0 | ||
|
US Stocks Momentum |
+12.44 | 15.06 | -53.85 | 100 | 0 | 0 | ||
|
Stocks/Bonds 80/20 Momentum |
+11.15 | 12.13 | -43.61 | 80 | 20 | 0 | ||
|
US Stocks |
+9.79 | 15.27 | -50.84 | 100 | 0 | 0 | ||
|
US Stocks Minimum Volatility |
+9.77 | 13.59 | -43.27 | 100 | 0 | 0 | ||