Robust Portfolio by Alpha Architect
The Robust Portfolio by Alpha Architect is a model portfolio published by Alpha Architect, the quantitative asset management firm co-founded by Wesley Gray and Jack Vogel. Alpha Architect, which focuses on evidence-based factor investing and publishes extensively on topics including value and momentum, designed this portfolio to embody their broader investment philosophy: own a diversified set of asset classes, tilt toward well-documented return factors, and apply systematic trend-following rules to manage downside risk. The firm's research and portfolio commentary are available at alphaarchitect.com.
Investment Philosophy
Alpha Architect's approach is grounded in the academic evidence for factor premiums — particularly value and momentum — and in the behavioural finance literature on why systematic rules outperform discretionary decision-making. The Robust Portfolio applies these principles by combining factor-tilted equity exposure with a trend-following overlay that adjusts the portfolio's defensive positioning based on market conditions. The goal is to deliver better risk-adjusted outcomes than either plain passive indexing or unconstrained active management.
Who It's For
This portfolio suits investors who believe in the factor investing thesis and want a systematic approach that incorporates both factor tilts and trend-following risk management. It requires a long time horizon, the discipline to follow rules mechanically, and an understanding that factor strategies can underperform for extended periods.
Pros
- Combines factor tilts (value, momentum) with trend-following risk management in a single systematic framework
- Grounded in peer-reviewed academic research from a firm with a strong quantitative research track record
- Systematic design removes emotional bias from investment decisions
Cons
- More complex than a standard passive index portfolio, requiring greater investor sophistication to understand and maintain
- Factor tilts and trend-following can each independently underperform in certain market environments; combining them does not eliminate this risk
- Factor-tilted and trend-following funds may carry higher costs than plain index funds
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Target Allocation
Performance Snapshot
Rolling Returns
| Period | Low | Average | High |
|---|---|---|---|
| 1 Year | -39.2% | +8.6% | +45.5% |
| 3 Year | -10.5% | +7.7% | +23.5% |
| 5 Year | -1.8% | +7.6% | +19.1% |
| 10 Year | +3.5% | +7.5% | +11.6% |
Growth of $10,000
Historical Drawdown
Percentage decline from the portfolio's peak value at each point in time.
Rolling Returns
Annualised return for each rolling period ending on that date.
Annualised return for each 1Y period ending on that date.