Alpha Architect Robust Portfolio: ETF allocation and returns

Data Source: from January 1982 to June 2024 (~43 years)
Consolidated Returns as of 30 June 2024
Live Update: Jul 12 2024
Currency: USD
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.39%
1 Day
Jul 12 2024
2.55%
Current Month
July 2024

The Alpha Architect Robust Portfolio can be implemented with 8 ETFs. This portfolio has a very high risk, meaning it can experience significant fluctuations in value. It is suitable for investors with a high risk tolerance who are seeking substantial returns and can withstand large drawdowns.

The asset allocation is the following: 70% on the Stock Market, 20% on Fixed Income, 10% on Commodities. In general, bonds are useful for mitigating overall portfolio risk, especially if they are issued by national entities or highly reliable companies. This portfolio has a 20% allocation to bonds, leading to its classification as very high risk.

In the last 30 Years, the Alpha Architect Robust Portfolio obtained a 9.18% compound annual return, with a 11.11% standard deviation. It suffered a maximum drawdown of -44.20% that required 42 months to be recovered.

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Asset Allocation and ETFs

The Alpha Architect Robust Portfolio has the following asset allocation:

70% Stocks
20% Fixed Income
10% Commodities

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The Alpha Architect Robust Portfolio can be implemented with the following ETFs:

Weight
(%)
ETF
Ticker
ETF
Currency
ETF Name Investment Themes (Orig.Currency)
30.00
MTUM
USD iShares Edge MSCI USA Momentum Fctr Equity, U.S., Large Cap, Growth (USD)
10.00
VNQ
USD Vanguard Real Estate Real Estate, U.S. (USD)
7.50
DLS
USD WisdomTree International SmallCp Div Equity, Developed Markets, Small Cap, Value (USD)
7.50
IJS
USD iShares S&P Small-Cap 600 Value Equity, U.S., Small Cap, Value (USD)
7.50
VTV
USD Vanguard Value Equity, U.S., Large Cap, Value (USD)
7.50
EFV
USD iShares MSCI EAFE Value Equity, EAFE, Large Cap, Value (USD)
20.00
IEI
USD iShares 3-7 Year Treasury Bond Bond, U.S., Intermediate-Term (USD)
10.00
GSG
USD iShares S&P GSCI Commodity Indexed Trust Commodity, Broad Diversified (USD)

Most of Lazy Portfolios are made of common components (asset classes), very simple and well defined. For a more complete view, find out the most common ETFs you can use to build your portfolio.

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Portfolio and ETF Returns as of Jun 30, 2024

The Alpha Architect Robust Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: July 2024 return is calculated on the hypothesis of a newly built portfolio, with the starting asset allocation.
ALPHA ARCHITECT ROBUST PORTFOLIO
Consolidated returns as of 30 June 2024
Live Update: Jul 12 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jun 30, 2024
  1 Day Time ET(*) Jul 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~43Y)
Alpha Architect Robust Portfolio 0.39 2.55 1.31 8.80 16.44 7.26 6.66 9.18 10.92
US Inflation Adjusted return 1.37 7.30 13.08 2.96 3.75 6.48 7.83
Components
MTUM
USD iShares Edge MSCI USA Momentum Fctr 0.30 Jul 12 2024 2.29 4.54 24.44 36.05 11.76 13.29 13.10 13.80
VNQ
USD Vanguard Real Estate 0.76 Jul 12 2024 4.42 1.88 -3.21 4.62 2.95 5.28 8.82 10.11
DLS
USD WisdomTree International SmallCp Div 0.93 Jul 12 2024 4.70 -3.09 1.80 10.09 3.33 3.29 6.59 9.34
IJS
USD iShares S&P Small-Cap 600 Value 0.71 Jul 12 2024 4.32 -2.71 -4.82 3.99 7.22 6.99 10.32 12.67
VTV
USD Vanguard Value 0.57 Jul 12 2024 2.43 0.15 8.66 15.85 10.51 9.88 9.63 11.57
EFV
USD iShares MSCI EAFE Value 0.80 Jul 12 2024 4.17 -3.06 4.70 13.54 6.08 2.88 5.53 8.91
IEI
USD iShares 3-7 Year Treasury Bond 0.19 Jul 12 2024 1.24 0.94 -0.16 3.04 -0.15 1.04 4.32 6.43
GSG
USD iShares S&P GSCI Commodity Indexed Trust -0.40 Jul 12 2024 0.05 0.91 10.42 13.65 7.19 -4.17 1.74 4.57
Returns over 1 year are annualized | Available data source: since Jan 1982
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jun 2024. Current inflation (annualized) is 1Y: 2.98% , 5Y: 4.17% , 10Y: 2.81% , 30Y: 2.53%
Need other portfolios? Select your currency here

In 2023, the Alpha Architect Robust Portfolio granted a 2.35% dividend yield. If you are interested in getting periodic income, please refer to the Alpha Architect Robust Portfolio: Dividend Yield page.

Capital Growth as of Jun 30, 2024

An investment of 1$, since July 1994, now would be worth 13.93$, with a total return of 1293.48% (9.18% annualized).

The Inflation Adjusted Capital now would be 6.58$, with a net total return of 558.35% (6.48% annualized).

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An investment of 1$, since January 1982, now would be worth 81.91$, with a total return of 8091.07% (10.92% annualized).

The Inflation Adjusted Capital now would be 24.62$, with a net total return of 2362.17% (7.83% annualized).

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Portfolio Metrics as of Jun 30, 2024

Metrics of Alpha Architect Robust Portfolio, updated as of 30 June 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
ALPHA ARCHITECT ROBUST PORTFOLIO
Advanced Metrics
Data Source: 1 January 1982 - 30 June 2024 (~43 years)
Swipe left to see all data
Metrics as of Jun 30, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~43Y)
Investment Return (%) 1.31 0.87 8.80 16.44 3.41 7.26 6.66 7.36 9.18 10.92
Infl. Adjusted Return (%)
1.37 0.60 7.30 13.08 -1.48 2.96 3.75 4.68 6.48 7.83
US Inflation (%) -0.06 0.26 1.40 2.98 4.97 4.17 2.81 2.56 2.53 2.87
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -6.88 -17.99 -19.09 -19.09 -44.20 -44.20 -44.20
Start to Recovery (# months)
5 28 8 8 42 42 42
Start (yyyy mm) 2023 08 2021 11 2020 01 2020 01 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 11 3 3 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2020 03 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 5 5 26 26 26
End (yyyy mm) 2023 12 2024 02 2020 08 2020 08 2011 04 2011 04 2011 04
Longest Drawdown Depth (%)
same

same
-17.99 -17.99
same

same

same
Start to Recovery (# months)
28 28
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 11 11 11 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 17 17 17 26 26 26
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2011 04 2011 04 2011 04
Longest negative period (# months)
4 29 32 32 60 62 62
Period Start (yyyy mm) 2023 07 2021 07 2021 03 2017 08 2007 06 2004 01 2004 01
Period End (yyyy mm) 2023 10 2023 11 2023 10 2020 03 2012 05 2009 02 2009 02
Annualized Return (%) -11.50 -1.31 -0.56 -0.59 -0.07 -0.71 -0.71
Deepest Drawdown Depth (%) -7.76 -23.50 -23.50 -23.50 -45.12 -45.12 -45.12
Start to Recovery (# months)
5 32* 32* 32* 65 65 65
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 11 11 11 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 21 21 21 49 49 49
End (yyyy mm) 2023 12 - - - 2013 03 2013 03 2013 03
Longest Drawdown Depth (%)
same

same

same

same

same

same

same
Start to Recovery (# months)
Start (yyyy mm) 2023 08 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 11 11 11 16 16 16
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 21 21 21 49 49 49
End (yyyy mm) 2023 12 - - - 2013 03 2013 03 2013 03
Longest negative period (# months)
4 36* 52 69 73 107 107
Period Start (yyyy mm) 2023 07 2021 07 2019 07 2018 02 2005 09 2000 04 2000 04
Period End (yyyy mm) 2023 10 2024 06 2023 10 2023 10 2011 09 2009 02 2009 02
Annualized Return (%) -14.51 -1.48 -0.67 -0.44 -0.01 -0.02 -0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 11.02 12.85 13.76 11.38 11.96 11.11 10.89
Sharpe Ratio 1.01 0.04 0.38 0.47 0.50 0.62 0.64
Sortino Ratio 1.35 0.05 0.49 0.61 0.63 0.79 0.82
Ulcer Index 2.55 7.99 7.24 5.58 9.82 8.38 7.33
Ratio: Return / Standard Deviation 1.49 0.27 0.53 0.59 0.62 0.83 1.00
Ratio: Return / Deepest Drawdown 2.39 0.19 0.38 0.35 0.17 0.21 0.25
Positive Months (%)
66.66 55.55 63.33 65.83 65.41 66.38 67.84
Positive Months 8 20 38 79 157 239 346
Negative Months 4 16 22 41 83 121 164
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 6.66 11.90 14.04 17.98
Worst 10 Years Return (%) - Annualized 4.58 4.41 4.41
Best 10 Years Return (%) - Annualized 3.75 9.96 11.28 13.75
Worst 10 Years Return (%) - Annualized 2.66 1.77 1.77
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· Over the latest 30Y
Best Rolling Return (%) - Annualized 43.03 22.70 18.97 14.04 10.53 9.18
Worst Rolling Return (%) - Annualized -40.18 -11.22 -1.74 4.41 6.34
Positive Periods (%) 81.3 91.3 99.0 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 40.02 19.37 16.21 11.28 8.02 6.48
Worst Rolling Return (%) - Annualized -40.19 -13.11 -4.27 1.77 4.17
Positive Periods (%) 74.7 82.1 92.0 100.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
4.49 6.78 8.20 9.78 12.73 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 5.82 9.09 11.47 24.50 19.61 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
6.68 10.56 13.56 34.04 26.84 0.37 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 8.07 12.97 16.97 38.60 35.40 6.76 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 75.16 25.73 16.33 9.56 7.32 9.15
Perpetual Withdrawal Rate (%) --- --- --- 2.27 4.23 7.76
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1982 - Jun 2024)
Best Rolling Return (%) - Annualized 48.51 31.02 26.57 17.98 14.68 12.46
Worst Rolling Return (%) - Annualized -40.18 -11.22 -1.74 4.41 6.34 8.38
Positive Periods (%) 83.3 94.1 99.3 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 44.92 27.19 22.72 13.75 11.10 9.23
Worst Rolling Return (%) - Annualized -40.19 -13.11 -4.27 1.77 4.17 5.71
Positive Periods (%) 76.9 87.7 94.6 100.0 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
4.25 6.20 7.16 7.74 9.13 0.00 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 5.56 8.46 10.35 19.34 16.69 0.00 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
6.39 9.91 12.40 31.58 20.92 0.00 0.00 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 7.76 12.27 15.74 36.23 30.73 2.75 0.00 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 75.16 25.73 16.33 9.56 7.32 7.65
Perpetual Withdrawal Rate (%) --- --- --- 2.27 4.23 6.60
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.
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Portfolio Components Correlation

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 June 2024
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Terms and Definitions
Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.
Learn about historical correlations here: see how the main asset classes relate to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

ALPHA ARCHITECT ROBUST PORTFOLIO
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 July 1994 - 30 June 2024 (30 Years)
Data Source: 1 January 1982 - 30 June 2024 (~43 years)
Inflation Adjusted:

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Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

ALPHA ARCHITECT ROBUST PORTFOLIO
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 July 1994 - 30 June 2024 (30 Years)
Data Source: 1 January 1982 - 30 June 2024 (~43 years)
Inflation Adjusted:

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If you need a deeper detail about rolling returns, please refer to the Alpha Architect Robust Portfolio: Rolling Returns page.

Seasonality

In which months is it better to invest in Alpha Architect Robust Portfolio?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

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For further information about the seasonality, check the Asset Class Seasonality page.

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Alpha Architect Robust Portfolio over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

ALPHA ARCHITECT ROBUST PORTFOLIO
Monthly Returns Distribution
Data Source: 1 July 1994 - 30 June 2024 (30 Years)
Data Source: 1 January 1982 - 30 June 2024 (~43 years)
239 Positive Months (66%) - 121 Negative Months (34%)
346 Positive Months (68%) - 164 Negative Months (32%)

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Investment Returns, up to December 2013, have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.
You can find additional information on extended Data Sources here.

In particular, the series derived from equivalent datasets are:
  • iShares Edge MSCI USA Momentum Fctr (MTUM), up to December 2013
  • Vanguard Real Estate (VNQ), up to December 2004
  • WisdomTree International SmallCp Div (DLS), up to December 2006
  • iShares S&P Small-Cap 600 Value (IJS), up to December 2000
  • Vanguard Value (VTV), up to December 2004
  • iShares MSCI EAFE Value (EFV), up to December 2005
  • iShares 3-7 Year Treasury Bond (IEI), up to December 2007
  • iShares S&P GSCI Commodity Indexed Trust (GSG), up to December 2006

Portfolio efficiency

The following portfolios granted a higher return over 30 Years and a less severe drawdown at the same time.

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In the following table, you can compare the current portfolio with a list of famous portfolios. Metrics are calculated over the last 30 Years.

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The first official book of
Build wealth
with Lazy Portfolios and Passive Investing