The Alpha Architect Robust Portfolio is exposed for 70% on the Stock Market.
The Alpha Architect Robust Portfolio has the following asset allocation:
The Alpha Architect Robust Portfolio can be replicated with the following ETFs:
| Weight | ETF: Ticker - Name | Asset | |
|---|---|---|---|
| 30.00 % | MTUM - iShares Edge MSCI USA Momentum Fctr |
US Stock Market | |
| 10.00 % | VNQ - Vanguard Real Estate |
REIT | |
| 7.50 % | DLS - WisdomTree International SmallCp Div |
International ex-US Small Cap | |
| 7.50 % | IJS - iShares S&P Small-Cap 600 Value |
US Small Cap Value | |
| 7.50 % | VTV - Vanguard Value |
US Large Cap Value | |
| 7.50 % | EFV - iShares MSCI EAFE Value |
International ex-US Value | |
| 20.00 % | IEI - iShares 3-7 Year Treasury Bond |
Intermediate Term Treasury | |
| 10.00 % | GSG - iShares S&P GSCI Commodity Indexed Trust |
Commodities |
Capital growth, returns, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at each January 1st).
Last Update: April 2019.
Capital Growth and Historical Returns
An investment of 1000$, since January 2014, now would be worth 1412.00$, with a total return of 41.20% (6.68% annualized).
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| Range | Returns Apr 2019 |
Standard Deviation * |
Max Drawdown |
Months Pos - Neg |
|---|---|---|---|---|
|
1M
|
+1.91%
|
0.00%
|
1 - 0 | |
|
YTD
|
+12.35%
|
0.00%
|
4 - 0 | |
|
1Y
|
+4.88%
|
11.67%
|
-11.72%
Oct 2018 - Dec 2018
|
10 - 2 |
|
3Y
|
+9.69%
annualized
|
7.85%
|
-11.72%
Oct 2018 - Dec 2018
|
30 - 6 |
|
5Y
|
+6.60%
annualized
|
8.00%
|
-11.72%
Oct 2018 - Dec 2018
|
42 - 18 |
|
MAX
Dec 2013
|
+6.68%
annualized
|
8.00%
|
-11.72%
Oct 2018 - Dec 2018
|
44 - 20 |
* Annualized St.Dev. of monthly returns
Drawdowns
Rolling Returns
Alpha Architect Robust Portfolio: annualized rolling and average returns
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| Return (*) | |||
|---|---|---|---|
| Rolling Period | Average | Best | Worst |
| 1 Year |
+6.69% |
+20.89% Feb 2017 - Jan 2018 |
-7.09% Mar 2015 - Feb 2016 |
| 2 Years |
+7.32% |
+17.04% Feb 2016 - Jan 2018 |
-1.38% Mar 2014 - Feb 2016 |
| 3 Years |
+7.50% |
+11.91% Oct 2015 - Sep 2018 |
+4.15% Jan 2014 - Dec 2016 |
| 5 Years |
+5.93% |
+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
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| Months | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Year | Return | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2019 |
+12.35% | 6.6 | 2.2 | 1.2 | 1.9 | ||||||||
| 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 |