Alpha Architect Robust Portfolio: ETF allocation and returns

Data Source: from January 1982 to November 2023 (~42 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 01 2023
PORTFOLIO • LIVE PERFORMANCE (USD currency)
0.84%
1 Day
Dec 01 2023
0.84%
Current Month
December 2023

The Alpha Architect Robust Portfolio is a Very High Risk portfolio and can be implemented with 8 ETFs.

It's exposed for 70% on the Stock Market and for 10% on Commodities.

In the last 30 Years, the Alpha Architect Robust Portfolio obtained a 8.67% compound annual return, with a 11.09% standard deviation.

Table of contents

Asset Allocation and ETFs

The Alpha Architect Robust Portfolio has the following asset allocation:

70% Stocks
20% Fixed Income
10% Commodities

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

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

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.

Portfolio and ETF Returns as of Nov 30, 2023

The Alpha Architect Robust Portfolio guaranteed the following returns.

Returns are calculated in USD, assuming: December 2023 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 November 2023
Live Update: Dec 01 2023
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Nov 30, 2023
  1 Day Time ET(*) Dec 2023 1M 6M 1Y 5Y 10Y 30Y MAX
(~42Y)
Alpha Architect Robust Portfolio 0.84 0.84 6.24 6.60 0.67 5.80 6.04 8.67 10.73
US Inflation Adjusted return 6.24 5.37 -2.58 1.66 3.13 6.00 7.64
Components
MTUM
USD iShares Edge MSCI USA Momentum Fctr 0.27 Dec 01 2023 0.27 9.23 11.55 0.11 8.09 11.25 12.01 13.29
VNQ
USD Vanguard Real Estate 2.46 Dec 01 2023 2.46 12.08 4.30 -2.99 3.66 6.41 8.34 10.11
DLS
USD WisdomTree International SmallCp Div 1.21 Dec 01 2023 1.21 7.79 3.59 5.64 1.97 3.06 6.19 9.23
IJS
USD iShares S&P Small-Cap 600 Value 3.28 Dec 01 2023 3.28 9.07 4.59 -5.38 5.50 6.78 10.07 12.66
VTV
USD Vanguard Value 0.89 Dec 01 2023 0.89 6.68 7.69 0.61 8.52 9.41 9.12 11.39
EFV
USD iShares MSCI EAFE Value 1.13 Dec 01 2023 1.13 6.94 9.04 12.93 4.80 2.65 5.54 8.79
IEI
USD iShares 3-7 Year Treasury Bond 0.60 Dec 01 2023 0.60 2.70 -0.34 1.33 0.67 0.89 4.10 6.47
GSG
USD iShares S&P GSCI Commodity Indexed Trust -0.92 Dec 01 2023 -0.92 -4.39 10.77 -4.21 6.48 -4.20 1.82 4.47
Returns over 1 year are annualized | Available data source: since Jan 1982
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Oct 2023. Waiting for updates, inflation of Nov 2023 is set to 0%. Current inflation (annualized) is 1Y: 3.35% , 5Y: 4.07% , 10Y: 2.82% , 30Y: 2.52%
Live update: World Markets and Indexes

In 2022, the Alpha Architect Robust Portfolio granted a 1.83% 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 Nov 30, 2023

An investment of 1$, since December 1993, now would be worth 12.13$, with a total return of 1112.83% (8.67% annualized).

The Inflation Adjusted Capital now would be 5.75$, with a net total return of 474.74% (6.00% annualized).
An investment of 1$, since January 1982, now would be worth 71.75$, with a total return of 7075.31% (10.73% annualized).

The Inflation Adjusted Capital now would be 21.92$, with a net total return of 2092.21% (7.64% annualized).
Readings that may interest you

Portfolio Metrics as of Nov 30, 2023

Metrics of Alpha Architect Robust Portfolio, updated as of 30 November 2023.

Metrics are calculated based on monthly returns, assuming:
ALPHA ARCHITECT ROBUST PORTFOLIO
Advanced Metrics
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
Swipe left to see all data
Metrics as of Nov 30, 2023
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~42Y)
Investment Return (%) 6.24 0.23 6.60 0.67 4.06 5.80 6.04 7.20 8.67 10.73
Infl. Adjusted Return (%) details 6.24 0.02 5.37 -2.58 -1.59 1.66 3.13 4.50 6.00 7.64
US Inflation (%) 0.00 0.21 1.17 3.35 5.74 4.07 2.82 2.59 2.52 2.87
Waiting for updates, inflation of Nov 2023 is temporarily set to 0%. 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) details 4* 25* 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) 1 14 5 5 26 26 26
End (yyyy mm) - - 2020 08 2020 08 2011 04 2011 04 2011 04
Longest Drawdown Depth (%) -6.38
same as
deepest		 -17.99 -17.99
same as
deepest
same as
deepest
same as
deepest
Start to Recovery (# months) details 6 25* 25*
Start (yyyy mm) 2023 02 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 4 11 11 11 16 16 16
Bottom (yyyy mm) 2023 05 2022 09 2022 09 2022 09 2009 02 2009 02 2009 02
Bottom to End (# months) 2 14 14 14 26 26 26
End (yyyy mm) 2023 07 - - - 2011 04 2011 04 2011 04
Longest negative period (# months) details 11 32 32 32 62 62 62
Period Start (yyyy mm) 2022 12 2021 03 2021 03 2017 08 2004 01 2004 01 2004 01
Period End (yyyy mm) 2023 10 2023 10 2023 10 2020 03 2009 02 2009 02 2009 02
Annualized Return (%) -5.70 -0.56 -0.56 -0.59 -0.71 -0.71 -0.71
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -8.66 -23.57 -23.57 -23.57 -45.06 -45.06 -45.06
Start to Recovery (# months) details 10* 25* 25* 25* 65 65 65
Start (yyyy mm) 2023 02 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 9 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) 1 14 14 14 49 49 49
End (yyyy mm) - - - - 2013 03 2013 03 2013 03
Longest Drawdown Depth (%)
same as
deepest
same as
deepest
same as
deepest
same as
deepest
same as
deepest
same as
deepest
same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 02 2021 11 2021 11 2021 11 2007 11 2007 11 2007 11
Start to Bottom (# months) 9 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) 1 14 14 14 49 49 49
End (yyyy mm) - - - - 2013 03 2013 03 2013 03
Longest negative period (# months) details 12* 36* 55 70 73 104 104
Period Start (yyyy mm) 2022 12 2020 12 2019 04 2018 01 2005 09 2000 07 2000 07
Period End (yyyy mm) 2023 11 2023 11 2023 10 2023 10 2011 09 2009 02 2009 02
Annualized Return (%) -2.58 -1.59 -0.12 -0.03 -0.01 -0.24 -0.24
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 11.68 12.44 14.13 11.21 11.93 11.09 10.90
Sharpe Ratio -0.36 0.17 0.29 0.45 0.50 0.58 0.62
Sortino Ratio -0.56 0.23 0.38 0.58 0.63 0.74 0.80
Ulcer Index 3.42 7.94 7.25 5.56 9.82 8.41 7.38
Ratio: Return / Standard Deviation 0.06 0.33 0.41 0.54 0.60 0.78 0.98
Ratio: Return / Deepest Drawdown 0.10 0.23 0.30 0.32 0.16 0.20 0.24
% Positive Months details 41% 58% 61% 65% 65% 65% 67%
Positive Months 5 21 37 78 157 237 340
Negative Months 7 15 23 42 83 123 163
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
 1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 6.04 11.90 14.04 17.98
Worst 10 Years Return (%) - Annualized 4.58 4.41 4.41
Best 10 Years Return (%) - Annualized 3.13 9.96 11.33 13.75
Worst 10 Years Return (%) - Annualized 2.65 1.79 1.79
ROLLING PERIOD RETURNS
Inflation Adjusted:
Inflation Adjusted:
 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 8.67
Worst Rolling Return (%) - Annualized -40.18 -11.22 -1.74 4.41 6.34
% Positive Periods 80% 91% 99% 100% 100% 100%
Best Rolling Return (%) - Annualized 40.03 19.42 16.22 11.33 8.04 6.00
Worst Rolling Return (%) - Annualized -40.32 -13.14 -4.27 1.79 4.18
% Positive Periods 73% 84% 91% 100% 100% 100%
Over all the available data source (Jan 1982 - Nov 2023)
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% 94% 99% 100% 100% 100%
Best Rolling Return (%) - Annualized 44.77 27.19 22.72 13.75 11.08 9.22
Worst Rolling Return (%) - Annualized -40.32 -13.14 -4.27 1.79 4.18 5.71
% Positive Periods 76% 89% 94% 100% 100% 100%
WITHDRAWAL RATES (WR)
1Y 3Y 5Y 10Y 20Y 30Y MAX
Safe WR (%) 34.55 22.13 12.25 8.11 8.43 12.13
Perpetual WR (%) 0.00 1.63 3.04 4.30 5.66 7.10
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.
  • Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
  • Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
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Portfolio Components Correlation

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
COMPONENTS MONTHLY CORRELATIONS
Monthly correlations as of 30 November 2023
Swipe left to see all data
Asset
MTUM
VNQ
DLS
IJS
VTV
EFV
IEI
GSG
MTUM
-
0.79
0.72
0.65
0.92
0.71
0.50
0.21
VNQ
0.79
-
0.93
0.91
0.90
0.88
0.63
0.11
DLS
0.72
0.93
-
0.87
0.88
0.97
0.64
0.27
IJS
0.65
0.91
0.87
-
0.85
0.86
0.33
0.30
VTV
0.92
0.90
0.88
0.85
-
0.90
0.50
0.37
EFV
0.71
0.88
0.97
0.86
0.90
-
0.53
0.39
IEI
0.50
0.63
0.64
0.33
0.50
0.53
-
-0.06
GSG
0.21
0.11
0.27
0.30
0.37
0.39
-0.06
-
Asset
MTUM
VNQ
DLS
IJS
VTV
EFV
IEI
GSG
MTUM
-
0.77
0.74
0.74
0.83
0.70
0.15
0.41
VNQ
0.77
-
0.83
0.78
0.82
0.75
0.22
0.46
DLS
0.74
0.83
-
0.86
0.89
0.93
0.12
0.61
IJS
0.74
0.78
0.86
-
0.91
0.87
-0.07
0.62
VTV
0.83
0.82
0.89
0.91
-
0.90
-0.02
0.60
EFV
0.70
0.75
0.93
0.87
0.90
-
0.06
0.67
IEI
0.15
0.22
0.12
-0.07
-0.02
0.06
-
-0.32
GSG
0.41
0.46
0.61
0.62
0.60
0.67
-0.32
-
Asset
MTUM
VNQ
DLS
IJS
VTV
EFV
IEI
GSG
MTUM
-
0.66
0.71
0.69
0.80
0.68
0.09
0.33
VNQ
0.66
-
0.67
0.68
0.70
0.59
0.28
0.24
DLS
0.71
0.67
-
0.78
0.84
0.92
0.03
0.53
IJS
0.69
0.68
0.78
-
0.88
0.77
-0.13
0.52
VTV
0.80
0.70
0.84
0.88
-
0.86
-0.11
0.51
EFV
0.68
0.59
0.92
0.77
0.86
-
-0.04
0.59
IEI
0.09
0.28
0.03
-0.13
-0.11
-0.04
-
-0.32
GSG
0.33
0.24
0.53
0.52
0.51
0.59
-0.32
-
Asset
MTUM
VNQ
DLS
IJS
VTV
EFV
IEI
GSG
MTUM
-
0.58
0.68
0.75
0.89
0.74
-0.08
0.32
VNQ
0.58
-
0.61
0.69
0.64
0.61
0.03
0.26
DLS
0.68
0.61
-
0.72
0.73
0.91
-0.10
0.48
IJS
0.75
0.69
0.72
-
0.85
0.75
-0.19
0.38
VTV
0.89
0.64
0.73
0.85
-
0.82
-0.14
0.36
EFV
0.74
0.61
0.91
0.75
0.82
-
-0.14
0.46
IEI
-0.08
0.03
-0.10
-0.19
-0.14
-0.14
-
-0.08
GSG
0.32
0.26
0.48
0.38
0.36
0.46
-0.08
-
Asset
MTUM
VNQ
DLS
IJS
VTV
EFV
IEI
GSG
MTUM
-
0.57
0.75
0.78
0.91
0.78
0.07
0.23
VNQ
0.57
-
0.60
0.69
0.63
0.60
0.10
0.19
DLS
0.75
0.60
-
0.75
0.78
0.92
0.04
0.34
IJS
0.78
0.69
0.75
-
0.86
0.77
-0.05
0.28
VTV
0.91
0.63
0.78
0.86
-
0.84
0.03
0.27
EFV
0.78
0.60
0.92
0.77
0.84
-
0.02
0.34
IEI
0.07
0.10
0.04
-0.05
0.03
0.02
-
-0.09
GSG
0.23
0.19
0.34
0.28
0.27
0.34
-0.09
-

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated 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 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-44.20% Nov 2007 Feb 2009 16 Apr 2011 26 42 21.00
-19.09% Jan 2020 Mar 2020 3 Aug 2020 5 8 9.42
-17.99% Nov 2021 Sep 2022 11 in progress 14 25 9.46
-13.76% May 2011 Sep 2011 5 Feb 2012 5 10 6.03
-12.58% Feb 2001 Sep 2002 20 May 2003 8 28 7.94
-11.72% Oct 2018 Dec 2018 3 Jun 2019 6 9 5.38
-10.75% Jul 1998 Aug 1998 2 Nov 1998 3 5 5.33
-7.83% Jun 2015 Feb 2016 9 Jun 2016 4 13 4.03
-6.68% Feb 1994 Nov 1994 10 Mar 1995 4 14 4.15
-6.42% Apr 2012 May 2012 2 Aug 2012 3 5 3.05
-5.05% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.86
-4.18% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.01
-3.55% Feb 2018 Mar 2018 2 Jul 2018 4 6 2.07
-3.34% Sep 2000 Nov 2000 3 Jan 2001 2 5 1.81
-2.93% Jul 1996 Jul 1996 1 Sep 1996 2 3 1.55
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-45.06% Nov 2007 Feb 2009 16 Mar 2013 49 65 19.50
-23.57% Nov 2021 Sep 2022 11 in progress 14 25 15.66
-19.45% Jan 2020 Mar 2020 3 Nov 2020 8 11 8.56
-15.43% Feb 2001 Sep 2002 20 Aug 2003 11 31 9.57
-11.29% Oct 2018 Dec 2018 3 Oct 2019 10 13 4.67
-10.96% Jul 1998 Aug 1998 2 Dec 1998 4 6 5.13
-8.86% Feb 1994 Nov 1994 10 May 1995 6 16 5.34
-8.02% Mar 2015 Feb 2016 12 Jul 2016 5 17 3.89
-4.48% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.57
-4.20% Feb 2018 Mar 2018 2 Aug 2018 5 7 2.66
-4.06% Sep 2000 Nov 2000 3 Jan 2001 2 5 2.30
-3.18% Jan 2000 Feb 2000 2 Mar 2000 1 3 2.00
-3.11% Jul 1996 Jul 1996 1 Sep 1996 2 3 1.71
-3.06% Jun 2007 Jul 2007 2 Sep 2007 2 4 1.71
-2.98% May 2006 May 2006 1 Sep 2006 4 5 1.93
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-44.20% Nov 2007 Feb 2009 16 Apr 2011 26 42 21.00
-19.09% Jan 2020 Mar 2020 3 Aug 2020 5 8 9.42
-18.97% Sep 1987 Nov 1987 3 Jan 1989 14 17 9.16
-17.99% Nov 2021 Sep 2022 11 in progress 14 25 9.46
-13.76% May 2011 Sep 2011 5 Feb 2012 5 10 6.03
-12.58% Feb 2001 Sep 2002 20 May 2003 8 28 7.94
-11.72% Oct 2018 Dec 2018 3 Jun 2019 6 9 5.38
-10.75% Jul 1998 Aug 1998 2 Nov 1998 3 5 5.33
-7.83% Jun 2015 Feb 2016 9 Jun 2016 4 13 4.03
-6.78% Aug 1990 Oct 1990 3 Jan 1991 3 6 4.02
-6.68% Feb 1994 Nov 1994 10 Mar 1995 4 14 4.15
-6.42% Apr 2012 May 2012 2 Aug 2012 3 5 3.05
-5.23% Feb 1984 Jul 1984 6 Aug 1984 1 7 3.06
-5.07% Jan 1990 Apr 1990 4 May 1990 1 5 3.56
-5.05% Sep 2020 Oct 2020 2 Nov 2020 1 3 2.86
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-45.06% Nov 2007 Feb 2009 16 Mar 2013 49 65 19.50
-23.57% Nov 2021 Sep 2022 11 in progress 14 25 15.66
-19.67% Sep 1987 Nov 1987 3 Apr 1989 17 20 10.19
-19.45% Jan 2020 Mar 2020 3 Nov 2020 8 11 8.56
-15.43% Feb 2001 Sep 2002 20 Aug 2003 11 31 9.57
-11.53% Jan 1990 Oct 1990 10 Mar 1991 5 15 6.16
-11.29% Oct 2018 Dec 2018 3 Oct 2019 10 13 4.67
-10.96% Jul 1998 Aug 1998 2 Dec 1998 4 6 5.13
-8.86% Feb 1994 Nov 1994 10 May 1995 6 16 5.34
-8.02% Mar 2015 Feb 2016 12 Jul 2016 5 17 3.89
-7.24% Feb 1984 Jul 1984 6 Sep 1984 2 8 3.95
-6.08% Jan 1982 Jul 1982 7 Aug 1982 1 8 3.28
-5.07% Sep 1986 Sep 1986 1 Nov 1986 2 3 2.61
-4.48% Apr 2004 Apr 2004 1 Sep 2004 5 6 2.57
-4.20% Feb 2018 Mar 2018 2 Aug 2018 5 7 2.66

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 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
 Latest Negative
Periods
Ann.
Return		 From
To		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 From
To		 Growth
of 1$
1Y -40.18 03/2008
02/2009 		0.59$ -1.52 0.98$ 11.58 1.11$ 20.35 1.20$ 43.03 03/2009
02/2010 		1.43$ 0.67 19.48%
2Y -21.39 03/2007
02/2009 		0.61$ 0.78 1.01$ 11.34 1.23$ 17.28 1.37$ 31.57 03/2009
02/2011 		1.73$ -2.08 14.24%
3Y -11.22 03/2006
02/2009 		0.69$ 2.53 1.07$ 9.80 1.32$ 16.45 1.57$ 22.70 04/2003
03/2006 		1.84$ 4.06 8.62%
5Y -1.74 03/2004
02/2009 		0.91$ 3.53 1.18$ 8.84 1.52$ 14.77 1.99$ 18.97 01/1995
12/1999 		2.38$ 5.80 1.00%
7Y 3.26 03/2002
02/2009 		1.25$ 5.20 1.42$ 8.52 1.77$ 11.09 2.08$ 14.49 05/1994
04/2001 		2.57$ 6.98 0.00%
10Y 4.41 03/1999
02/2009 		1.53$ 5.68 1.73$ 8.10 2.17$ 12.31 3.19$ 14.04 01/1995
12/2004 		3.71$ 6.04 0.00%
15Y 4.84 10/2007
09/2022 		2.03$ 6.44 2.55$ 8.01 3.17$ 9.20 3.74$ 10.32 12/1994
11/2009 		4.36$ 8.38 0.00%
20Y 6.34 04/2000
03/2020 		3.41$ 7.56 4.29$ 8.36 4.98$ 9.83 6.51$ 10.53 12/1994
11/2014 		7.40$ 7.20 0.00%
30Y 8.67 12/1993
11/2023 		12.12$ 8.67 12.12$ 8.67 12.12$ 8.67 12.12$ 8.67 12/1993
11/2023 		12.12$ 8.67 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
 Latest Negative
Periods
Ann.
Return		 From
To		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 From
To		 Growth
of 1$
1Y -40.32 03/2008
02/2009 		0.59$ -3.47 0.96$ 8.96 1.08$ 17.67 1.17$ 40.03 03/2009
02/2010 		1.40$ -2.58 26.36%
2Y -23.02 03/2007
02/2009 		0.59$ -1.86 0.96$ 8.77 1.18$ 14.43 1.30$ 28.83 03/2009
02/2011 		1.65$ -6.93 19.29%
3Y -13.14 03/2006
02/2009 		0.65$ -0.38 0.98$ 7.23 1.23$ 13.18 1.44$ 19.42 04/2003
03/2006 		1.70$ -1.59 15.69%
5Y -4.27 03/2004
02/2009 		0.80$ 1.12 1.05$ 6.62 1.37$ 11.88 1.75$ 16.22 01/1995
12/1999 		2.12$ 1.66 8.31%
7Y 0.68 03/2002
02/2009 		1.04$ 3.03 1.23$ 6.58 1.56$ 8.45 1.76$ 11.55 01/1994
12/2000 		2.14$ 3.33 0.00%
10Y 1.79 03/1999
02/2009 		1.19$ 3.52 1.41$ 5.64 1.73$ 9.62 2.50$ 11.33 01/1995
12/2004 		2.92$ 3.13 0.00%
15Y 2.40 10/2007
09/2022 		1.42$ 4.24 1.86$ 5.53 2.24$ 6.87 2.70$ 7.65 01/1995
12/2009 		3.01$ 5.73 0.00%
20Y 4.18 04/2000
03/2020 		2.26$ 5.31 2.81$ 6.02 3.21$ 7.40 4.16$ 8.04 12/1994
11/2014 		4.69$ 4.50 0.00%
30Y 6.00 12/1993
11/2023 		5.74$ 6.00 5.74$ 6.00 5.74$ 6.00 5.74$ 6.00 12/1993
11/2023 		5.74$ 6.00 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
 Latest Negative
Periods
Ann.
Return		 From
To		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 From
To		 Growth
of 1$
1Y -40.18 03/2008
02/2009 		0.59$ -0.46 0.99$ 12.63 1.12$ 23.44 1.23$ 48.51 07/1982
06/1983 		1.48$ 0.67 16.87%
2Y -21.39 03/2007
02/2009 		0.61$ 2.31 1.04$ 12.20 1.25$ 19.04 1.41$ 32.49 09/1985
08/1987 		1.75$ -2.08 10.00%
3Y -11.22 03/2006
02/2009 		0.69$ 4.92 1.15$ 11.13 1.37$ 17.82 1.63$ 31.02 08/1984
07/1987 		2.24$ 4.06 5.98%
5Y -1.74 03/2004
02/2009 		0.91$ 4.69 1.25$ 10.58 1.65$ 16.07 2.10$ 26.57 08/1982
07/1987 		3.24$ 5.80 0.68%
7Y 3.26 03/2002
02/2009 		1.25$ 6.28 1.53$ 10.49 2.00$ 14.65 2.60$ 21.62 08/1982
07/1989 		3.93$ 6.98 0.00%
10Y 4.41 03/1999
02/2009 		1.53$ 6.38 1.85$ 10.67 2.75$ 14.08 3.73$ 17.98 08/1982
07/1992 		5.22$ 6.04 0.00%
15Y 4.84 10/2007
09/2022 		2.03$ 7.11 2.80$ 9.47 3.88$ 14.03 7.16$ 17.05 08/1982
07/1997 		10.60$ 8.38 0.00%
20Y 6.34 04/2000
03/2020 		3.41$ 8.10 4.74$ 9.82 6.50$ 13.20 11.94$ 14.68 04/1982
03/2002 		15.47$ 7.20 0.00%
30Y 8.38 11/1993
10/2023 		11.16$ 9.22 14.08$ 10.01 17.50$ 11.68 27.51$ 12.46 04/1982
03/2012 		33.88$ 8.67 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
 Latest Negative
Periods
Ann.
Return		 From
To		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 Growth
of 1$		 Ann.
Return		 From
To		 Growth
of 1$
1Y -40.32 03/2008
02/2009 		0.59$ -2.64 0.97$ 9.72 1.09$ 19.73 1.19$ 44.77 07/1982
06/1983 		1.44$ -2.58 23.37%
2Y -23.02 03/2007
02/2009 		0.59$ 0.86 1.01$ 8.84 1.18$ 15.67 1.33$ 28.83 03/2009
02/2011 		1.65$ -6.93 13.54%
3Y -13.14 03/2006
02/2009 		0.65$ 1.50 1.04$ 8.11 1.26$ 14.33 1.49$ 27.19 08/1984
07/1987 		2.05$ -1.59 10.90%
5Y -4.27 03/2004
02/2009 		0.80$ 1.77 1.09$ 7.82 1.45$ 12.64 1.81$ 22.72 08/1982
07/1987 		2.78$ 1.66 5.63%
7Y 0.68 03/2002
02/2009 		1.04$ 3.55 1.27$ 7.78 1.68$ 11.46 2.13$ 17.46 08/1982
07/1989 		3.08$ 3.33 0.00%
10Y 1.79 03/1999
02/2009 		1.19$ 4.00 1.48$ 8.00 2.15$ 10.56 2.72$ 13.75 08/1982
07/1992 		3.62$ 3.13 0.00%
15Y 2.40 10/2007
09/2022 		1.42$ 4.95 2.06$ 6.96 2.74$ 10.37 4.39$ 13.23 08/1982
07/1997 		6.44$ 5.73 0.00%
20Y 4.18 04/2000
03/2020 		2.26$ 5.62 2.98$ 7.15 3.97$ 9.81 6.50$ 11.08 04/1982
03/2002 		8.17$ 4.50 0.00%
30Y 5.71 11/1993
10/2023 		5.28$ 6.69 6.98$ 7.33 8.33$ 8.62 11.93$ 9.22 08/1982
07/2012 		14.09$ 6.00 0.00%
Annualized rolling and percentiles/median 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

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.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.48
60%
-0.96
40%
-1.65
60%
1.72
80%
-0.19
60%
1.21
80%
2.37
100%
0.28
40%
-2.77
20%
1.62
60%
3.47
80%
0.07
60%
Best 6.6
2019 		2.9
2021 		2.6
2022 		6.3
2020 		4.2
2020 		4.5
2023 		3.9
2022 		5.0
2020 		1.2
2019 		7.0
2022 		9.4
2020 		3.4
2020
Worst -3.2
2022 		-6.0
2020 		-13.2
2020 		-5.4
2022 		-4.0
2023 		-6.2
2022 		0.4
2019 		-3.3
2022 		-7.2
2022 		-2.6
2023 		-4.0
2021 		-6.0
2018
Monthly Seasonality over the period Feb 1982 - Nov 2023
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.69
50%
0.16
50%
-0.47
50%
1.28
90%
0.66
80%
0.86
80%
1.56
90%
0.15
50%
-1.51
40%
0.86
60%
2.05
80%
0.24
60%
Best 6.6
2019 		4.5
2014 		5.5
2016 		6.3
2020 		4.2
2020 		4.5
2023 		3.9
2022 		5.0
2020 		2.3
2017 		7.0
2022 		9.4
2020 		3.4
2020
Worst -3.3
2016 		-6.0
2020 		-13.2
2020 		-5.4
2022 		-4.0
2023 		-6.2
2022 		-1.7
2014 		-4.3
2015 		-7.2
2022 		-6.4
2018 		-4.0
2021 		-6.0
2018
Monthly Seasonality over the period Feb 1982 - Nov 2023
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.10
67%
0.53
62%
1.12
71%
1.63
79%
0.87
69%
0.55
64%
1.00
62%
0.72
64%
-0.11
57%
0.60
62%
1.22
71%
1.62
83%
Best 9.2
1987 		5.7
1986 		5.9
2009 		8.9
2009 		6.4
2003 		4.5
2023 		6.3
2010 		8.3
1982 		6.7
2010 		8.6
1982 		9.4
2020 		7.4
1991
Worst -9.6
2009 		-9.7
2009 		-13.2
2020 		-5.4
2022 		-6.9
2010 		-6.2
2022 		-4.6
2002 		-9.0
1998 		-7.2
2022 		-16.7
2008 		-6.7
2008 		-6.0
2018
Monthly Seasonality over the period Feb 1982 - Nov 2023

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 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1982 - 30 November 2023 (~42 years)
237 Positive Months (66%) - 123 Negative Months (34%)
340 Positive Months (68%) - 163 Negative Months (32%)
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(Scroll down to see all data)
Investment Returns, up to December 2013, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, the series derived from equivalent datasets are:
  • MTUM - iShares Edge MSCI USA Momentum Fctr, up to December 2013
  • VNQ - Vanguard Real Estate, up to December 2004
  • DLS - WisdomTree International SmallCp Div, up to December 2006
  • IJS - iShares S&P Small-Cap 600 Value, up to December 2000
  • VTV - Vanguard Value, up to December 2004
  • EFV - iShares MSCI EAFE Value, up to December 2005
  • IEI - iShares 3-7 Year Treasury Bond, up to December 2007
  • GSG - iShares S&P GSCI Commodity Indexed Trust, 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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30 Years Stats (%)
% Allocation
Portfolio Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Stocks/Bonds 80/20 Momentum +10.76 12.35 -43.61 80 20 0
US Stocks Minimum Volatility +9.58 13.72 -43.27 100 0 0
Stocks/Bonds 60/40 Momentum +9.34 9.56 -32.52 60 40 0
Stocks/Bonds 80/20 +9.02 12.49 -41.09 80 20 0
Simple Path to Wealth JL Collins +8.78 11.75 -38.53 75 25 0
Robust Alpha Architect +8.67 11.09 -44.20 70 20 10

Here's a list containing the Best Classic Portfolios, with the highest returns over 30 Years and Very High Risk categorization.

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30 Years Stats (%)
% Allocation
Portfolio Author Return▾ Dev.Std Drawdown Stocks Bonds Comm
Technology +13.75 24.01 -81.08 100 0 0
US Stocks Momentum +12.01 15.28 -53.85 100 0 0
Stocks/Bonds 80/20 Momentum +10.76 12.35 -43.61 80 20 0
US Stocks +9.90 15.52 -50.84 100 0 0
US Stocks Value +9.71 15.36 -55.41 100 0 0
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