ROBUST-style
Risk-weighted sleeves with a blended trend rule.
Published versions of this model differ in the details. This implementation is still being checked against the original paper, so treat its numbers as provisional.
Holding now
Signal from Aug 2026 close- BIL52%
- VTI13%
- VNQ12%
- VEU9.6%
- DBC8.0%
- GLD5.6%
- BILT-Bills52.4%
- VTIUS Total Market12.5%
- VNQUS REITs11.9%
- VEUIntl ex-US9.6%
- DBCCommodities8.0%
- GLDGold5.6%
Signal preview: if the month ended today
- BIL67%
- VTI13%
- VEU9.6%
- DBC8.0%
- GLD2.8%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
-0.2%
YTD
+8.3%
1Y
+10.8%
3Y
+10.5%
5Y
+6.2%
10Y
+4.7%
Growth of $100
Backtest from Mar 1, 2007 to Sep 25, 2026 (19.5 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+4.9%
Volatility
5.6%
Max drawdown
-9.1%
Sharpe
0.63
Sortino
0.89
Calmar
0.53
Best year
+13.0%
Worst year
-3.5%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 65% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
In the spirit of Alpha Architect's Robust Asset Allocation: diversified sleeves weighted by inverse volatility, each governed half by a 12-month moving average and half by 12-month time-series momentum versus T-bills, so exposure steps down in halves.
The rules
- 1Sleeves: US stocks, international stocks, REITs, commodities, gold, 10-year and 30-year Treasuries.
- 2Base weights ∝ 1 / volatility (1 year of daily returns).
- 3Each sleeve: ½ exposure if above its 12-month SMA, ½ if its 12-month return beats T-bills.
Funds used
- BIL T-Bills
- DBC Commodities
- GLD Gold
- IEF 7-10Y Treasuries
- TLT 20+Y Treasuries
- VEU Intl ex-US
- VNQ US REITs
- VTI US Total Market
Early history uses proxy funds: EFA, SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025