Data Source: from January 1995 to December 2021
Last Update: 31 December 2021
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 9.08% compound annual return, with a 10.20% standard deviation.
In the last 25 years, a 7.91% compound annual return, with a 11.46% 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 % | 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(*) | 20Y(*) | 25Y(*) | |
|---|---|---|---|---|---|---|---|---|---|
| Alpha Architect Robust Portfolio | +3.25 | +4.43 | +4.44 | +15.71 | +15.68 | +10.36 | +9.08 | +7.96 | +7.91 |
| --- Inflation Adjusted return | +2.77 | +2.18 | +1.00 | +8.01 | +11.73 | +7.23 | +6.81 | +5.52 | +5.50 |
| Components | |||||||||
|
PDP Invesco DWA Momentum ETF |
-0.91 | +5.66 | +5.47 | +7.72 | +25.12 | +17.83 | +15.17 | +8.55 | +8.94 |
|
VNQ Vanguard Real Estate |
+9.69 | +15.03 | +15.74 | +40.52 | +19.96 | +11.22 | +11.50 | +10.89 | +9.94 |
|
DLS WisdomTree International SmallCp Div |
+5.39 | +0.07 | +0.12 | +11.70 | +10.44 | +7.56 | +8.95 | +10.52 | +7.85 |
|
IJS iShares S&P Small-Cap 600 Value |
+4.12 | +4.30 | +0.09 | +30.53 | +18.47 | +10.04 | +13.33 | +9.82 | +10.48 |
|
VTV Vanguard Value |
+6.95 | +9.34 | +8.31 | +26.51 | +17.58 | +12.48 | +13.74 | +8.48 | +8.66 |
|
EFV iShares MSCI EAFE Value |
+5.23 | +1.26 | -0.52 | +10.87 | +7.59 | +5.21 | +5.57 | +6.09 | +5.22 |
|
IEI iShares 3-7 Year Treasury Bond |
-0.40 | -0.91 | -1.01 | -2.54 | +3.28 | +2.48 | +1.84 | +3.90 | +4.58 |
|
GSG iShares S&P GSCI Commodity Indexed Trust |
+7.21 | +1.48 | +6.34 | +38.77 | +6.86 | +1.77 | -6.35 | +0.36 | -0.64 |
- a rebalancing of the components at the beginning of each year (i.e. at every January 1st)
- the reinvestment of dividends
Inflation is updated to Dec 2021. Current inflation (annualized) is 1Y: 7.12% , 3Y: 3.53% , 5Y: 2.92% , 10Y: 2.12% , 20Y: 2.31% , 25Y: 2.29%
In 2021, the 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
Historical returns and stats of Alpha Architect Robust Portfolio. Total Returns and Inflation Adjusted Returns are both mentioned.
| Period | Return Dec 2021 update |
Return Inflation Adjusted |
Standard Deviation(*) |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|---|
|
1M
Dec 2021
|
+3.25%
|
+2.77%
|
0.00%
|
1 - 0
|
|
|
3M
|
+4.43%
|
+2.18%
|
-3.52%
Nov 2021 - Nov 2021
|
2 - 1
|
|
|
6M
|
+4.44%
|
+1.00%
|
-3.52%
Nov 2021 - Nov 2021
|
4 - 2
|
|
|
YTD
|
+15.71%
|
+8.01%
|
8.04%
|
-3.52%
Nov 2021 - Nov 2021
|
9 - 3
75% pos
|
|
1Y
|
+15.71%
|
+8.01%
|
8.04%
|
-3.52%
Nov 2021 - Nov 2021
|
9 - 3
75% pos
|
|
3Y
|
+15.68%
annualized
|
+11.73%
annualized
|
13.73%
|
-19.45%
Jan 2020 - Mar 2020
|
26 - 10
72% pos
|
|
5Y
|
+10.36%
annualized
|
+7.23%
annualized
|
12.03%
|
-19.45%
Jan 2020 - Mar 2020
|
45 - 15
75% pos
|
|
10Y
|
+9.08%
annualized
|
+6.81%
annualized
|
10.20%
|
-19.45%
Jan 2020 - Mar 2020
|
84 - 36
70% pos
|
|
20Y
|
+7.96%
annualized
|
+5.52%
annualized
|
11.76%
|
-45.15%
Nov 2007 - Feb 2009
|
161 - 79
67% pos
|
|
25Y
|
+7.91%
annualized
|
+5.50%
annualized
|
11.46%
|
-45.15%
Nov 2007 - Feb 2009
|
196 - 104
65% pos
|
|
MAX
01 Jan 1995
|
+8.85%
annualized
|
+6.36%
annualized
|
11.16%
|
-45.15%
Nov 2007 - Feb 2009
|
217 - 107
67% pos
|
Portfolio efficiency
Is the Alpha Architect Robust Portfolio actually efficient, compared to other Lazy Portfolios?
Best Classic Portfolios, with Very High Risk, ordered by 25 Years annualized return.
25 Years Stats |
% Allocation |
||||||
|---|---|---|---|---|---|---|---|
| Portfolio | Return▾ | Drawdown | Stocks | Bonds | Comm. | ||
| Technology |
+13.30% | -81.08% | 100 | 0 | 0 | Compare | |
| US Stocks |
+9.88% | -50.84% | 100 | 0 | 0 | Compare | |
| Warren Buffett Portfolio Warren Buffett |
+9.38% | -45.53% | 90 | 10 | 0 | Compare | |
| Aggressive Global Income |
+9.25% | -52.62% | 80 | 20 | 0 | Compare | |
| Stocks/Bonds 80/20 |
+9.17% | -41.09% | 80 | 20 | 0 | Compare | |
Our overall ratings, assigned to the Alpha Architect Robust Portfolio. The 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) |
+7.91%
(+5.50%) |
Average : 2 / 5
|
Good : 3.5 / 5
|
| Standard Deviation over 25 Years |
11.46% |
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 |
Capital Growth
An investment of 1000$, since January 1997, now would be worth 6714.01$, with a total return of 571.40% (7.91% annualized).
The Inflation Adjusted Capital now would be 3812.38$, with a net total return of 281.24% (5.50% annualized).
Drawdowns
Worst drawdowns since January 1997 - Chart and Data
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 |
| -12.38% | Apr 1998 | Aug 1998 | 5 | Jan 1999 | 5 | 10 |
| -10.26% | Jun 2015 | Feb 2016 | 9 | Dec 2016 | 10 | 19 |
| -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% | Nov 2021 | Nov 2021 | 1 | in progress | 1 | 2 |
| -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 |
| -2.78% | Oct 2005 | Oct 2005 | 1 | Dec 2005 | 2 | 3 |
| -2.76% | Aug 1997 | Aug 1997 | 1 | Sep 1997 | 1 | 2 |
| -2.50% | May 2013 | Jun 2013 | 2 | Jul 2013 | 1 | 3 |
| -2.43% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
| -2.36% | May 2006 | May 2006 | 1 | Aug 2006 | 3 | 4 |
Rolling Returns ( more details)
Alpha Architect Robust Portfolio: annualized rolling and average returns
| Return (*) | Negative Periods |
|||
|---|---|---|---|---|
| Rolling Period | Average | Best | Worst | |
| 1 Year |
+9.38% |
+46.11% Mar 2009 - Feb 2010 |
-40.87% Mar 2008 - Feb 2009 |
18.85% |
| 2 Years |
+8.37% |
+33.95% Mar 2009 - Feb 2011 |
-22.91% Mar 2007 - Feb 2009 |
14.62% |
| 3 Years |
+7.93% |
+22.83% Mar 2009 - Feb 2012 |
-12.22% Mar 2006 - Feb 2009 |
9.69% |
| 5 Years |
+7.58% |
+18.90% Mar 2009 - Feb 2014 |
-3.35% Mar 2004 - Feb 2009 |
1.51% |
| 7 Years |
+7.35% |
+12.17% Mar 2009 - Feb 2016 |
+1.74% Mar 2002 - Feb 2009 |
0.00% |
| 10 Years |
+7.43% |
+12.18% Jan 1995 - Dec 2004 |
+3.04% Mar 1999 - Feb 2009 |
0.00% |
| 15 Years |
+7.13% |
+8.76% May 1995 - Apr 2010 |
+4.69% Apr 2005 - Mar 2020 |
0.00% |
| 20 Years |
+7.34% |
+9.17% Jan 1995 - Dec 2014 |
+5.57% Apr 2000 - Mar 2020 |
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
Alpha Architect Robust Portfolio Seasonality: in which months is it better to invest?
In the table below, the average monthly return is represented.
Below each return, it's also mentioned the probability of obtaining a positive monthly result (Win %).
Both the Average Return and the Gain Frequency are useful to get an idea of what happened in the past.
| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Win % |
0.28 56% |
0.50 63% |
1.01 70% |
2.07 81% |
0.69 70% |
0.49 70% |
0.74 59% |
0.18 63% |
0.08 59% |
0.47 63% |
1.26 74% |
1.39 74% |
| 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 |
-3.9 2008 |
-4.9 2002 |
-9.7 1998 |
-8.4 2008 |
-17.4 2008 |
-7.1 2008 |
-6.5 2018 |
For further information about the seasonality, check the Asset Class Seasonality page.
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 |
| 2021 |
+15.71 | +8.01 | 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 | +8.15 | -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 | +11.88 | 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 |
* Note: 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