The Robust Portfolio was developed by the team at Alpha Architect and is a Buy and Hold version of their Robust Asset Allocation.
The portfolio holds 60% in equities, 20% in bonds, and 20% in REITs and commodities.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
30% | MTUM | iShares Edge MSCI USA Momentum Factor ETF | Equity, U.S., Large Cap, Momentum | |
20% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
10% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
10% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
7.5% | DLS | WisdomTree International SmallCap Dividend | Equity, Inter. Developed, Small Cap Value | |
7.5% | IWN | iShares Russell 2000 Value ETF | Equity, U.S., Small Cap, Value | |
7.5% | IVE | iShares S&P 500 Value ETF | Equity, U.S., Large Cap, Value | |
7.5% | EFV | iShares MSCI EAFE Value ETF | Equity, Inter. Developed, Value |
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Low | Average | High | |
|---|---|---|---|
1-Year | -39.2% | 8.2% | 45.5% |
3-Year | -10.5% | 7.8% | 23.5% |
5-Year | -1.8% | 7.6% | 19.1% |
10-Year | 3.5% | 7.6% | 11.6% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 7.5% | 9.3% | 10.3% |
10Y Annual Return | 6.1% | 7.9% | 12.2% |
Sharpe Ratio | 0.51 | 0.51 | 0.43 |
Max Drawdown | -43.1% | -29.7% | -50.97% |
Volatility (annualized) | 11.6% | 9.9% | 15.4% |
Dot Com Annual Return | 0.8% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | -2.7% | -0.3% | -5.66% |
Positive Periods | 64.2% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
