Last Update: 31 January 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 8.6% compound annual return, with a 9.80% standard deviation.
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 % | IJS | iShares S&P Small-Cap 600 Value | Equity, U.S., Small Cap, Value | |
| 7.50 % | DLS | WisdomTree International SmallCp Div | Equity, Developed Markets, 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 |
Historical Returns
Alpha Architect Robust Portfolio - Historical returns and stats.
Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).
| Period | Returns Jan 2020 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
-1.16%
|
-1.16%
Jan 2020 - Jan 2020
|
0 - 1 | |
|
3M
|
+2.80%
|
-1.16%
Jan 2020 - Jan 2020
|
2 - 1 | |
|
6M
|
+4.37%
|
-1.16%
Jan 2020 - Jan 2020
|
4 - 2 | |
|
YTD
|
-1.16%
|
-1.16%
Jan 2020 - Jan 2020
|
0 - 1 | |
|
1Y
|
+12.68%
|
6.81%
|
-3.60%
May 2019 - May 2019
|
9 - 3 |
|
3Y
|
+8.12%
annualized
|
8.87%
|
-12.88%
Sep 2018 - Dec 2018
|
28 - 8 |
|
5Y
|
+5.97%
annualized
|
8.53%
|
-12.88%
Sep 2018 - Dec 2018
|
42 - 18 |
|
10Y
|
+8.60%
annualized
|
9.80%
|
-14.59%
May 2011 - Sep 2011
|
80 - 40 |
|
MAX
01 Jan 2008
|
+5.12%
annualized
|
12.58%
|
-44.65%
Jun 2008 - Feb 2009
|
94 - 51 |
* Annualized St.Dev. of monthly returns
Best Very High Risk Porftolios, ordered by 10Y annualized return.
| Portfolio | 10Y Return ▾ | #ETF | Stocks | Bonds | Comm. | |
|---|---|---|---|---|---|---|
| Technology |
+18.98% | 1 | 100 | 0 | 0 | |
| US Stocks |
+13.83% | 1 | 100 | 0 | 0 | |
| Warren Buffett |
+12.70% | 2 | 90 | 10 | 0 | |
| Second Grader's Starter Paul Farrell |
+10.41% | 3 | 90 | 10 | 0 | |
| Ultimate Buy and Hold Strategy Paul Merriman |
+9.99% | 10 | 100 | 0 | 0 |
Capital Growth
Drawdowns
Rolling Returns
Alpha Architect Robust Portfolio: annualized rolling and average returns
| Return (*) | Negative Periods |
|||
|---|---|---|---|---|
| Rolling Period | Average | Best | Worst | |
| 1 Year |
+7.04% |
+46.11% Mar 2009 - Feb 2010 |
-40.87% Mar 2008 - Feb 2009 |
19.40% |
| 2 Years |
+7.97% |
+33.95% Mar 2009 - Feb 2011 |
-9.66% Jun 2008 - May 2010 |
12.30% |
| 3 Years |
+8.01% |
+22.83% Mar 2009 - Feb 2012 |
-0.79% Jan 2008 - Dec 2010 |
0.91% |
| 5 Years |
+7.82% |
+18.90% Mar 2009 - Feb 2014 |
+2.18% Jan 2008 - Dec 2012 |
0.00% |
| 7 Years |
+7.79% |
+12.17% Mar 2009 - Feb 2016 |
+4.66% Jan 2008 - Dec 2014 |
0.00% |
| 10 Years |
+7.82% |
+11.30% Mar 2009 - Feb 2019 |
+4.97% Jun 2008 - May 2018 |
0.00% |
* Annualized rolling and average returns over full calendar month periods
Yearly Returns - Monthly Returns Heatmap
| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2020 |
-1.16% | -1.2 | |||||||||||
| 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 |