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.
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 % | 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 % | IJS | iShares S&P Small-Cap 600 Value | Equity, U.S., Micro Cap | |
| 7.50 % | DLS | WisdomTree International SmallCp Div | Equity, Developed Markets | |
| 7.50 % | VTV | Vanguard Value | Equity, U.S., Large Cap | |
| 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 |
Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).
Historical Returns
Alpha Architect Robust Portfolio - Historical returns and stats:
| Range | Returns Aug 2019 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
-0.68%
|
-0.68%
Aug 2019 - Aug 2019
|
0 - 1 | |
|
YTD
|
+13.08%
|
-3.33%
May 2019 - May 2019
|
6 - 2 | |
|
1Y
|
+0.09%
|
12.65%
|
-11.72%
Oct 2018 - Dec 2018
|
8 - 4 |
|
3Y
|
+8.60%
annualized
|
8.44%
|
-11.72%
Oct 2018 - Dec 2018
|
29 - 7 |
|
5Y
|
+5.90%
annualized
|
8.25%
|
-11.72%
Oct 2018 - Dec 2018
|
41 - 19 |
|
MAX
Dec 2013
|
+6.40%
annualized
|
8.11%
|
-11.72%
Oct 2018 - Dec 2018
|
46 - 22 |
* Annualized St.Dev. of monthly returns
Best Very High Risk Porftolios, ordered by 5Y annualized return.
| Portfolio | 5Y Return ▾ | #ETF | Stocks | Bonds | Comm. | |
|---|---|---|---|---|---|---|
| US Stocks |
+9.58% | 1 | 100 | 0 | 0 | |
| Warren Buffett |
+9.11% | 2 | 90 | 10 | 0 | |
| Edge Select Aggressive Merrill Lynch |
+6.49% | 12 | 84 | 16 | 0 | |
| Core Four Rick Ferri |
+6.45% | 4 | 80 | 20 | 0 | |
| Three Funds Bogleheads |
+6.05% | 3 | 80 | 20 | 0 |
Capital Growth
Drawdowns
Rolling Returns
Alpha Architect Robust Portfolio: annualized rolling and average returns
| Return (*) | |||
|---|---|---|---|
| Rolling Period | Average | Best | Worst |
| 1 Year |
+6.33% |
+20.89% Feb 2017 - Jan 2018 |
-7.09% Mar 2015 - Feb 2016 |
| 2 Years |
+7.30% |
+17.04% Feb 2016 - Jan 2018 |
-1.38% Mar 2014 - Feb 2016 |
| 3 Years |
+7.63% |
+11.91% Oct 2015 - Sep 2018 |
+4.15% Jan 2014 - Dec 2016 |
| 5 Years |
+5.96% |
+6.60% May 2014 - Apr 2019 |
+4.68% Jan 2014 - Dec 2018 |
* 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 |
| 2019 |
+13.08% | 6.6 | 2.2 | 1.2 | 1.9 | -3.3 | 4.4 | 0.4 | -0.7 | ||||
| 2018 |
-6.10% | 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% | 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% | -3.3 | -0.7 | 5.5 | 1.1 | 1.2 | 1.5 | 1.6 | -0.5 | 0.8 | -2.0 | 0.9 | 2.2 |
| 2015 |
-0.63% | -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% | -1.3 | 4.5 | -0.8 | 0.3 | 1.9 | 1.5 | -1.7 | 2.3 | -2.9 | 2.0 | 0.7 | -1.3 |