Robust Asset Allocation
Wes Gray, the author of 'DIY Financial Advisor' and the mind behind Alpha Architect, introduces a resilient asset allocation strategy that amalgamates elements from both traditional Dual Momentum and Faber's GTAA strategies, while also emphasizing value and momentum factors. This strategy trades monthly.
Strategy current allocation
| Asset | Allocation | Change |
|---|---|---|
| International Equities (EFA) | 10% | - |
| International Value (EFV) | 10% | - |
| US Large Cap Value (IWD) | 10% | - |
| US Momentum (MTUM) | 10% | - |
| Cash | 60% | - |
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Robust Asset Allocation Equity Curve
Robust Asset Allocation strategy statistics
| Annualized Return | 9.6% |
| Annualized Volatility | 6.7% |
| Sharpe Ratio | 0.79 |
| Maximum Drawdown | -10.5% (02/2023) |
| Ulcer Performance Index | 2 |
| Best Month Return | 6.4 |
| Worst Month Return | -10% |
| Average trades per year | 15.2 |
the trading rules for Robust Asset Allocation are:
- Allocate the portfolio across the following seven global asset classes: MTUM US Momentum 10% IWD US Large Cap Value 10% EFA International Equities 10% EFV International Value 10% VNQ US Real Estate 20% PDBC Commodities 20% IEF Int-Term US Treasuries 20%
- At the close on the last trading day of the month, compare the following for each asset class: (1) 12-month return versus the 12-month return of BIL (short-term US Treasuries), and (2) closing price versus the 12-month moving average.
- If both comparisons indicate a buy, allocate 100% of the portfolio's portion to that asset. If only one indicates a buy, allocate 50% to that asset, and if neither indicates a buy, keep that portion of the portfolio in cash. Maintain this allocation strategy until the end of the next month's last trading day.
- We assume all assets are rebalanced at the end of each month, regardless of whether there's a change in allocation.
Robust Asset Allocation returns
| retid | id | Year | January | February | March | April | May | June | July | August | September | October | November | December | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.375 | 29 | 1976 | 5,10 | 1,30 | 0,70 | 0,40 | -0,90 | 1,80 | -1,50 | 1,20 | 1,00 | -0,50 | 1,80 | 3,20 | 14,30 |
| 1.376 | 29 | 1977 | 0,10 | 0,10 | 0,50 | 1,10 | -0,10 | 2,40 | -1,50 | 0,50 | 0,80 | 0,30 | 1,90 | 2,40 | 8,70 |
| 1.377 | 29 | 1978 | 0,10 | 0,90 | 4,70 | 2,00 | 2,10 | -1,00 | 4,30 | 2,70 | 1,40 | -2,90 | -0,20 | 1,80 | 16,80 |
| 1.378 | 29 | 1979 | 3,30 | 0,80 | 2,60 | 1,40 | -1,60 | 3,80 | 0,50 | 6,20 | 1,30 | -6,30 | 3,90 | 1,90 | 18,70 |
| 1.379 | 29 | 1980 | 5,10 | 0,80 | -8,70 | 1,30 | 2,50 | 4,20 | 3,20 | 1,70 | 2,30 | 3,70 | 1,90 | -2,30 | 16,10 |
| 1.380 | 29 | 1981 | -1,30 | 0,90 | 2,90 | 1,20 | 0,00 | 0,60 | -0,60 | -0,70 | -0,10 | 1,20 | 1,70 | 0,00 | 6,00 |
| 1.381 | 29 | 1982 | 0,60 | 0,10 | 1,10 | 1,20 | 1,00 | -0,20 | 1,50 | 2,20 | 2,10 | 4,40 | 2,10 | 2,40 | 19,80 |
| 1.382 | 29 | 1983 | 1,30 | 1,50 | 3,00 | 4,80 | -0,20 | 1,80 | -1,50 | -0,20 | 0,70 | -0,30 | 1,40 | 2,20 | 15,20 |
| 1.383 | 29 | 1984 | 2,20 | 0,10 | 2,70 | 0,00 | -1,70 | -0,30 | -2,30 | 1,60 | 1,70 | 1,50 | 1,10 | 1,30 | 8,10 |
| 1.384 | 29 | 1985 | 2,60 | 0,30 | 1,80 | 0,70 | 4,10 | 1,70 | 1,00 | 1,00 | 0,40 | 4,40 | 2,90 | 2,90 | 26,40 |
| 1.385 | 29 | 1986 | 0,00 | 5,70 | 6,40 | 1,30 | -0,80 | 4,10 | 0,10 | 4,90 | -3,30 | 0,80 | 2,00 | 0,10 | 23,10 |
| 1.386 | 29 | 1987 | 6,10 | 0,70 | 3,30 | 1,70 | 1,20 | 2,00 | 2,00 | 1,20 | -0,20 | -10,00 | 0,50 | 0,40 | 8,40 |
| 1.387 | 29 | 1988 | 1,40 | 1,10 | 2,40 | 1,20 | 0,00 | 0,30 | 0,70 | -1,50 | 0,70 | 2,10 | 1,20 | 2,40 | 12,50 |
| 1.388 | 29 | 1989 | 2,60 | 0,50 | 1,70 | 2,50 | 0,30 | 1,50 | 3,80 | 0,00 | 1,80 | -1,20 | 1,50 | 1,90 | 18,10 |
| 1.389 | 29 | 1990 | -3,80 | -0,20 | 0,20 | -1,00 | 1,00 | 0,50 | 0,60 | 1,40 | 3,40 | -0,90 | -0,70 | 0,40 | 0,80 |
| 1.390 | 29 | 1991 | -0,50 | 1,60 | 1,00 | 0,90 | 1,30 | -1,90 | 1,70 | 1,10 | 1,60 | 0,50 | -1,80 | 5,20 | 10,90 |
| 1.391 | 29 | 1992 | -0,20 | -0,60 | -0,90 | 0,40 | 1,60 | -0,50 | 2,10 | -0,20 | 1,20 | -0,20 | 1,30 | 1,50 | 5,50 |
| 1.392 | 29 | 1993 | 2,60 | 2,30 | 3,60 | 0,80 | 0,60 | 1,50 | 1,40 | 3,20 | 0,90 | 0,40 | -3,80 | 2,10 | 16,50 |
| 1.393 | 29 | 1994 | 3,50 | -0,30 | -2,80 | 1,30 | 0,60 | -0,30 | 0,40 | 0,80 | -0,50 | 0,90 | -1,10 | 0,30 | 2,50 |
| 1.394 | 29 | 1995 | 0,30 | 0,50 | 1,00 | 2,40 | 1,70 | 0,20 | 1,60 | 0,10 | 1,90 | -0,40 | 2,10 | 3,80 | 16,10 |
| 1.395 | 29 | 1996 | 0,40 | 1,10 | 1,80 | 1,70 | 0,20 | 1,10 | -1,50 | 2,90 | 2,90 | 1,10 | 4,00 | 2,10 | 19,20 |
| 1.396 | 29 | 1997 | 0,40 | -1,00 | -0,70 | 0,80 | 2,10 | 2,80 | 3,30 | -2,80 | 4,40 | -2,10 | 1,20 | 1,50 | 10,20 |
| 1.397 | 29 | 1998 | 0,30 | 2,20 | 2,50 | -0,10 | -0,30 | 1,10 | -0,40 | -4,80 | 1,50 | 0,70 | 1,80 | 2,10 | 6,80 |
| 1.398 | 29 | 1999 | 0,70 | -1,50 | 1,50 | 2,80 | -2,20 | 2,40 | 0,10 | 0,40 | 0,80 | 1,20 | 1,10 | 4,10 | 11,70 |
| 1.399 | 29 | 2000 | -0,80 | 2,30 | 1,00 | -2,20 | 1,10 | 3,40 | -1,30 | 2,70 | -0,20 | -1,40 | 0,10 | 1,30 | 5,90 |
| 1.400 | 29 | 2001 | 0,70 | -0,50 | -0,20 | 0,80 | 0,50 | 0,70 | 0,30 | 0,70 | -0,20 | 0,00 | 0,70 | 0,30 | 3,90 |
| 1.401 | 29 | 2002 | 0,20 | 0,70 | 0,60 | -0,20 | 0,40 | 0,40 | -0,70 | 1,70 | -0,20 | -1,10 | 0,00 | 1,40 | 3,40 |
| 1.402 | 29 | 2003 | 1,20 | 1,20 | -1,70 | -1,00 | 2,60 | 1,10 | 0,90 | 2,20 | 0,90 | 3,60 | 2,30 | 4,60 | 19,20 |
| 1.403 | 29 | 2004 | 2,10 | 2,90 | 1,80 | -4,70 | 2,60 | 1,60 | 0,00 | 2,50 | 2,80 | 3,50 | 2,30 | 1,60 | 20,70 |
| 1.404 | 29 | 2005 | -1,30 | 3,70 | -0,20 | -0,80 | 1,50 | 3,20 | 3,50 | 1,30 | 1,00 | -3,30 | 1,90 | 2,20 | 13,30 |
| 1.405 | 29 | 2006 | 5,20 | -0,60 | 2,80 | 2,10 | -2,10 | 0,90 | 1,60 | 1,00 | 0,10 | 2,50 | 3,00 | -0,10 | 17,50 |
| 1.406 | 29 | 2007 | 1,80 | -0,50 | 0,50 | 1,60 | 0,90 | -2,30 | -1,30 | 0,60 | 3,70 | 3,30 | -1,00 | 1,00 | 8,50 |
| 1.407 | 29 | 2008 | -0,80 | 2,50 | 0,10 | 0,80 | 1,40 | 0,90 | -1,70 | -0,90 | -2,00 | -2,60 | 1,60 | 1,00 | 0,00 |
| 1.408 | 29 | 2009 | -0,80 | -0,10 | 0,70 | -0,50 | -0,40 | -0,20 | 1,10 | 1,10 | 1,60 | -0,70 | 3,80 | 1,10 | 6,80 |
| 1.409 | 29 | 2010 | -4,70 | 2,90 | 4,70 | 2,30 | -6,40 | -2,00 | 4,00 | -1,00 | 2,70 | 3,20 | -1,60 | 4,80 | 8,30 |
| 1.410 | 29 | 2011 | 2,30 | 3,20 | -0,20 | 3,90 | -1,20 | -2,20 | 0,80 | -3,50 | -6,40 | 2,40 | -0,70 | 0,70 | -1,30 |
| 1.411 | 29 | 2012 | 1,60 | 0,30 | 1,30 | 0,60 | -1,40 | 1,40 | 0,90 | 0,40 | 0,50 | -1,10 | 0,70 | 1,50 | 6,90 |
| 1.412 | 29 | 2013 | 2,50 | -0,70 | 1,80 | 3,00 | -2,20 | -1,40 | 2,40 | -2,50 | 2,50 | 2,20 | -0,40 | 0,90 | 8,10 |
| 1.413 | 29 | 2014 | -1,20 | 3,30 | -0,20 | 1,20 | 1,20 | 1,30 | -1,80 | 1,80 | -2,50 | 2,70 | 1,20 | 0,40 | 7,50 |
| 1.414 | 29 | 2015 | 1,80 | -0,20 | 0,20 | -1,30 | 0,30 | -1,80 | 1,20 | -3,20 | 0,10 | 0,80 | -0,10 | 0,10 | -2,30 |
| 1.415 | 29 | 2016 | -0,80 | 0,20 | 0,00 | -0,50 | 0,70 | 2,80 | 0,80 | -0,80 | 0,30 | -2,00 | -0,50 | 2,00 | 2,20 |
| 1.416 | 29 | 2017 | 0,90 | 1,60 | -0,40 | 0,20 | 0,80 | 0,60 | 1,20 | 0,20 | 1,20 | 1,50 | 1,40 | 1,00 | 10,50 |
| 1.417 | 29 | 2018 | 1,50 | -2,20 | -0,20 | 1,20 | 0,40 | -0,50 | 0,50 | 1,00 | 0,40 | -3,60 | -0,20 | -2,60 | -4,30 |
| 1.418 | 29 | 2019 | 0,20 | 0,10 | 1,60 | 0,50 | -0,70 | 1,20 | 0,40 | 1,20 | 0,40 | 0,80 | 0,40 | 1,00 | 7,50 |
| 1.419 | 29 | 2020 | -1,30 | -4,10 | -2,40 | 0,10 | 0,70 | 0,40 | 0,90 | 1,00 | -1,00 | -0,90 | 1,10 | 2,20 | -3,40 |
| 1.420 | 29 | 2021 | 0,10 | 3,40 | 2,00 | 4,70 | 1,80 | 0,90 | 1,40 | 0,90 | -1,50 | 4,50 | -4,00 | 4,30 | 19,60 |
| 1.421 | 29 | 2022 | -1,40 | -0,10 | 2,80 | -1,50 | 0,60 | -2,60 | -0,30 | -0,10 | -1,20 | 0,80 | 0,50 | -1,00 | -3,60 |
| 1.422 | 29 | 2023 | 0,80 | -0,70 | 0,50 | 0,70 | -1,20 | 0,90 | 1,40 | 2,40 |