Last Update: 31 March 2024
The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.79% compound annual return, with a 6.84% standard deviation, in the last 10 Years.
The Alpha Architect Robust Portfolio obtained a 6.95% compound annual return, with a 11.26% standard deviation, in the last 10 Years.
Summary
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| Developed World ex-US 40/60 Momentum Portfolio | Alpha Architect Robust Portfolio | ||
|---|---|---|---|
| Portfolio Risk | Medium | Very High | |
| Asset Allocation | Stocks | 40% | 70% |
| Fixed Income | 60% | 20% | |
| Commodities | 0% | 10% | |
| 10 Years Stats | Return | +3.79% | +6.95% |
| Std Dev | 6.84% | 11.26% | |
| Max Drawdown | -19.40% | -19.09% | |
| All time Stats (Since Aug 2009) |
Return | +5.25% | +8.90% |
| Std Dev | 6.97% | 11.23% | |
| Max Drawdown | -19.40% | -19.09% | |
| Last Update: 31 March 2024 | |||
Historical Returns as of Mar 31, 2024
Comparison period starts from August 2009
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| 1M | 6M | 1Y | 5Y | 10Y | MAX | |
|---|---|---|---|---|---|---|
| Developed World ex-US 40/60 Momentum Portfolio | +2.89 | +14.22 | +12.73 | +4.08 | +3.79 | +5.25 |
| Alpha Architect Robust Portfolio | +2.71 | +16.98 | +16.96 | +7.65 | +6.95 | +8.90 |
| Return over 1 year are annualized. |
Capital Growth as of Mar 31, 2024
Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since April 2014,
now would be worth 1.45$, with a total return of 45.07%
(3.79% annualized).
Alpha Architect Robust Portfolio: an investment of 1$, since April 2014, now would be worth 1.96$, with a total return of 95.75% (6.95% annualized).
Alpha Architect Robust Portfolio: an investment of 1$, since April 2014, now would be worth 1.96$, with a total return of 95.75% (6.95% annualized).
Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009,
now would be worth 2.12$, with a total return of 111.67%
(5.25% annualized).
Alpha Architect Robust Portfolio: an investment of 1$, since August 2009, now would be worth 3.49$, with a total return of 249.01% (8.90% annualized).
Alpha Architect Robust Portfolio: an investment of 1$, since August 2009, now would be worth 3.49$, with a total return of 249.01% (8.90% annualized).
Drawdowns
Drawdown comparison chart since April 2014.
Swipe left to see all data
|
Developed World ex-US 40/60 Momentum Portfolio
|
Alpha Architect Robust Portfolio
|
||||||||
|---|---|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom Date (#Months) |
Recovery Date (#Months) |
Ulcer Index |
Drawdown | Start | Bottom Date (#Months) |
Recovery Date (#Months) |
Ulcer Index |
| -19.40% | Sep 2021 | Sep 2022 (13) | In progress (31) | 10.23 | |||||
| -19.09% | Jan 2020 | Mar 2020 (3) | Aug 2020 (8) | 9.42 | |||||
| -17.99% | Nov 2021 | Sep 2022 (11) | Feb 2024 (28) | 8.99 | |||||
| -11.72% | Oct 2018 | Dec 2018 (3) | Jun 2019 (9) | 5.38 | |||||
| -7.83% | Jun 2015 | Feb 2016 (9) | Jun 2016 (13) | 4.03 | |||||
| -7.72% | Feb 2020 | Mar 2020 (2) | Jun 2020 (5) | 3.78 | |||||
| -6.00% | Feb 2018 | Dec 2018 (11) | Mar 2019 (14) | 2.72 | |||||
| -5.38% | May 2015 | Sep 2015 (5) | Jun 2016 (14) | 2.83 | |||||
| -5.05% | Sep 2020 | Oct 2020 (2) | Nov 2020 (3) | 2.86 | |||||
| -4.27% | Aug 2016 | Nov 2016 (4) | Mar 2017 (8) | 2.09 | |||||
| -3.55% | Feb 2018 | Mar 2018 (2) | Jul 2018 (6) | 2.07 | |||||
| -2.85% | Sep 2014 | Sep 2014 (1) | Feb 2015 (6) | 1.49 | |||||
| -2.01% | Oct 2016 | Oct 2016 (1) | Dec 2016 (3) | 1.16 | |||||
| -1.99% | Sep 2021 | Sep 2021 (1) | Oct 2021 (2) | 1.15 | |||||
| -1.72% | Jul 2014 | Jul 2014 (1) | Aug 2014 (2) | 0.99 | |||||
| -1.62% | Jan 2021 | Feb 2021 (2) | May 2021 (5) | 0.94 | |||||
| -1.52% | Sep 2014 | Dec 2014 (4) | Feb 2015 (6) | 1.05 | |||||
| -1.33% | Oct 2020 | Oct 2020 (1) | Nov 2020 (2) | 0.77 | |||||
| -0.83% | Mar 2015 | Mar 2015 (1) | May 2015 (3) | 0.42 | |||||
| -0.78% | Jul 2014 | Jul 2014 (1) | Aug 2014 (2) | 0.45 | |||||
Drawdown comparison chart since August 2009.
Swipe left to see all data
|
Developed World ex-US 40/60 Momentum Portfolio
|
Alpha Architect Robust Portfolio
|
||||||||
|---|---|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom Date (#Months) |
Recovery Date (#Months) |
Ulcer Index |
Drawdown | Start | Bottom Date (#Months) |
Recovery Date (#Months) |
Ulcer Index |
| -19.40% | Sep 2021 | Sep 2022 (13) | In progress (31) | 10.23 | |||||
| -19.09% | Jan 2020 | Mar 2020 (3) | Aug 2020 (8) | 9.42 | |||||
| -17.99% | Nov 2021 | Sep 2022 (11) | Feb 2024 (28) | 8.99 | |||||
| -13.76% | May 2011 | Sep 2011 (5) | Feb 2012 (10) | 6.03 | |||||
| -11.72% | Oct 2018 | Dec 2018 (3) | Jun 2019 (9) | 5.38 | |||||
| -9.68% | May 2010 | Jun 2010 (2) | Oct 2010 (6) | 5.41 | |||||
| -8.94% | May 2011 | Sep 2011 (5) | Jul 2012 (15) | 3.88 | |||||
| -7.83% | Jun 2015 | Feb 2016 (9) | Jun 2016 (13) | 4.03 | |||||
| -7.72% | Feb 2020 | Mar 2020 (2) | Jun 2020 (5) | 3.78 | |||||
| -6.42% | Apr 2012 | May 2012 (2) | Aug 2012 (5) | 3.05 | |||||
| -6.00% | Feb 2018 | Dec 2018 (11) | Mar 2019 (14) | 2.72 | |||||
| -5.38% | May 2015 | Sep 2015 (5) | Jun 2016 (14) | 2.83 | |||||
| -5.17% | May 2013 | Jun 2013 (2) | Oct 2013 (6) | 3.27 | |||||
| -5.05% | Sep 2020 | Oct 2020 (2) | Nov 2020 (3) | 2.86 | |||||
| -4.27% | Aug 2016 | Nov 2016 (4) | Mar 2017 (8) | 2.09 | |||||
| -4.04% | May 2010 | May 2010 (1) | Jul 2010 (3) | 2.68 | |||||
| -3.55% | Feb 2018 | Mar 2018 (2) | Jul 2018 (6) | 2.07 | |||||
| -2.91% | Jan 2010 | Jan 2010 (1) | Mar 2010 (3) | 1.46 | |||||
| -2.85% | Sep 2014 | Sep 2014 (1) | Feb 2015 (6) | 1.49 | |||||
| -2.13% | Aug 2013 | Aug 2013 (1) | Sep 2013 (2) | 1.23 | |||||
Yearly Returns
For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
The highlighted returns represent the highest values for that specific year.
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| Year | Return | Drawdown | Return | Drawdown |
|---|---|---|---|---|
| 2024 |
+5.75%
|
0.00% |
+7.73%
|
0.00% |
| 2023 |
+10.84%
|
-4.47% |
+8.53%
|
-6.88% |
| 2022 |
-14.37%
|
-19.07% |
-10.29%
|
-17.33% |
| 2021 |
+1.27%
|
-2.17% |
+17.40%
|
-3.99% |
| 2020 |
+11.65%
|
-7.72% |
+7.53%
|
-19.09% |
| 2019 |
+14.52%
|
-0.27% |
+20.35%
|
-3.33% |
| 2018 |
-4.03%
|
-6.00% |
-6.10%
|
-11.72% |
| 2017 |
+11.62%
|
-0.20% |
+18.49%
|
0.00% |
| 2016 |
+2.96%
|
-4.27% |
+8.13%
|
-3.96% |
| 2015 |
+0.07%
|
-5.38% |
-0.63%
|
-6.68% |
| 2014 |
+1.57%
|
-1.52% |
+5.13%
|
-2.85% |
| 2013 |
+8.39%
|
-5.17% |
+19.10%
|
-2.13% |
| 2012 |
+12.90%
|
-3.09% |
+12.28%
|
-6.42% |
| 2011 |
-0.59%
|
-8.94% |
+2.08%
|
-13.76% |
| 2010 |
+10.77%
|
-4.04% |
+14.95%
|
-9.68% |
