Developed World ex-US 40/60 Momentum vs Alpha Architect Robust Portfolio Comparison

Last Update: 29 February 2024

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.47% compound annual return, with a 6.79% standard deviation, in the last 10 Years.

The Alpha Architect Robust Portfolio obtained a 6.57% compound annual return, with a 11.25% 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 +3.47% +6.57%
Std Dev 6.79% 11.25%
Max Drawdown -19.40% -19.09%
All time Stats
(Since Aug 2009)
Return +5.07% +8.75%
Std Dev 6.96% 11.25%
Max Drawdown -19.40% -19.09%
Last Update: 29 February 2024

Historical Returns as of Feb 29, 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 +1.89 +8.24 +12.20 +3.85 +3.47 +5.07
Alpha Architect Robust Portfolio +3.72 +10.30 +13.68 +7.33 +6.57 +8.75
Return over 1 year are annualized.

Capital Growth as of Feb 29, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since March 2014, now would be worth 1.41$, with a total return of 40.59% (3.47% annualized).

Alpha Architect Robust Portfolio: an investment of 1$, since March 2014, now would be worth 1.89$, with a total return of 89.02% (6.57% annualized).

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.06$, with a total return of 105.72% (5.07% annualized).

Alpha Architect Robust Portfolio: an investment of 1$, since August 2009, now would be worth 3.40$, with a total return of 239.79% (8.75% annualized).

Drawdowns

Drawdown comparison chart since March 2014.

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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 (30) 10.39
-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
-0.82% Mar 2014 Mar 2014 (1) May 2014 (3) 0.49

Drawdown comparison chart since August 2009.

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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 (30) 10.39
-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.
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Year Return Drawdown Return Drawdown
2024
+2.78%
0.00%
+4.88%
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%