Robust Asset Allocation Aggressive (Alpha Architect RAA)

Wesley Gray's Robust Asset Allocation (Alpha Architect), Aggressive flavor: 80% stocks, 10% real assets, and 10% Treasuries. US and international stocks are held through value and momentum funds, alongside smaller REIT, commodity, and Treasury sleeves. Each month two trend rules, a 12-month return above Treasury bills and a price above its 12-month average, each control half of every asset class; a failing rule moves that half to Treasury bills.

Designed by Wesley Gray (Alpha Architect), 2014. Implemented and tracked by Tactfolio.

Open the live strategyCopy it to your account
1×2×3×201520192023
Growth of $1, log scale. Strategy SPY. Hypothetical results on daily ETF prices with trading costs, through Sep 2026.
Dec 2015 – Sep 2026StrategySPY
Annual return (CAGR)6.1%14.9%
Worst drawdown-24.4%-33.7%
Sharpe ratio0.590.87
Volatility11.0%17.7%
Annual return since publication (Dec 2015)6.1%14.9%

RAA Aggressive is the stock-heavy flavor of Robust Asset Allocation, the trend-following model Wesley Gray introduced at Alpha Architect in December 2014 and described in the 2015 book DIY Financial Advisor. It holds 80% stocks, split between US and international value and momentum funds, with 10% in real assets and 10% in Treasuries, and two trend rules decide each month how much of every asset class stays invested.

The idea#

RAA pairs a simple strategic mix with downside protection. The mix aims to capture the long-run returns of global markets, with value and momentum stocks in place of the broad market for a higher expected equity return. Two trend rules, a 12-month return above Treasury bills and a price above its 12-month average, each control half of every asset class. Gray's view is that the two rules usually agree, and splitting the bet between them is more robust than trusting either alone.

The Aggressive flavor is for investors who want mostly stock exposure but with a way out of long bear markets. It keeps only small positions in the diversifiers that make up most of the Balanced flavor.

How it works#

The portfolio holds:

  • US stocks, 40%: QVAL (value) and QMOM (momentum), 20% each
  • International stocks, 40%: IVAL (value) and IMOM (momentum), 20% each
  • Real estate, 5%: VNQ
  • Commodities, 5%: GSG
  • Intermediate Treasuries, 10%: IEF

At the close of the last trading day of each month, each asset class faces the two rules. Both passing keeps it fully invested; one passing moves half of it to Treasury bills (BIL); neither passing moves all of it. The stock rules read the broad markets, SPY and EFA, rather than the factor funds.

The 80/10/10 split comes from Alpha Architect. How each bucket divides is not published, so this version splits it evenly, as the source does for its Moderate flavor. The four factor funds are held equally here, where Alpha Architect's index weights them by volatility.

What the backtest shows#

The test begins at the end of 2015, when the last of the factor funds launched. Over those ten or so years RAA Aggressive compounded about 6% a year, less than half the S&P 500's return and below a 60/40 portfolio. Its worst drawdown, about 24%, was deeper than the 60/40's, and its risk-adjusted return was the lowest of the three.

It matched the S&P 500 in 2017, when international and momentum stocks were strong. From 2018 it fell behind: it lost 11% that year, gained 6% in 2019 against the S&P 500's 31%, and ended 2020 about flat while the index rose 18%. The worst drawdown ran from January 2018 to March 2020, and the portfolio did not regain its old high until November 2021.

The trend rules helped most in 2022, when it lost less than 4% while the S&P 500 fell 18%. Recent years have been better, with gains close to the S&P 500's in 2025 and slightly ahead of it in 2026 so far. Simulated history cannot extend the test, because Alpha Architect's funds have no reference history.

When it struggles#

  • Factor droughts. With 80% in value and momentum funds, a long stretch in which those styles lag the market weighs on every year.
  • Whipsaws after crashes. The 12-month rules cut stocks during the 2018 and 2020 sell-offs and restored them only after prices had rebounded.
  • Stock-driven declines. The small bond and real asset sleeves offer little cushion.

Using it on Tactfolio#

The live strategy above runs the trend rules on Alpha Architect's own funds with an even split inside each bucket. Copy it to try broad index funds in place of the factor funds, or to test a different stock weight.

Year by year

YearStrategySPY
2026*14.9%14.0%
202516.2%17.7%
20249.3%24.9%
20237.3%26.2%
2022-3.5%-18.2%
20217.4%28.7%
20201.0%18.3%
20196.4%31.2%
2018-10.8%-4.6%
201721.6%21.7%
2016-0.4%12.0%
2015*-0.1%-1.0%

* Partial year.

The rules as implemented

This is the exact tree Tactfolio runs, rebalanced monthly with signals and trades at the close. Open it to inspect or copy it.

  • StrategyRobust Asset Allocation Aggressive
    • WeightSpecified
      • IfAll of 2 conditions40%
        • 252d cumulative return of SPY is above 252d cumulative return of BIL
        • current price of SPY is above 252d moving average of SPY
        Then
        • WeightEqual
          • TickerQVAL
          • TickerQMOM
        Otherwise
        • WeightEqual
          • IfAny of 2 conditions
            • 252d cumulative return of SPY is above 252d cumulative return of BIL
            • current price of SPY is above 252d moving average of SPY
            Then
            • WeightSpecified
              • WeightEqual50%
                • TickerQVAL
                • TickerQMOM
              • TickerBIL50%
            Otherwise
            • WeightEqual
              • TickerBIL
      • IfAll of 2 conditions40%
        • 252d cumulative return of EFA is above 252d cumulative return of BIL
        • current price of EFA is above 252d moving average of EFA
        Then
        • WeightEqual
          • TickerIVAL
          • TickerIMOM
        Otherwise
        • WeightEqual
          • IfAny of 2 conditions
            • 252d cumulative return of EFA is above 252d cumulative return of BIL
            • current price of EFA is above 252d moving average of EFA
            Then
            • WeightSpecified
              • WeightEqual50%
                • TickerIVAL
                • TickerIMOM
              • TickerBIL50%
            Otherwise
            • WeightEqual
              • TickerBIL
      • IfAll of 2 conditions5%
        • 252d cumulative return of VNQ is above 252d cumulative return of BIL
        • current price of VNQ is above 252d moving average of VNQ
        Then
        • WeightEqual
          • TickerVNQ
        Otherwise
        • WeightEqual
          • IfAny of 2 conditions
            • 252d cumulative return of VNQ is above 252d cumulative return of BIL
            • current price of VNQ is above 252d moving average of VNQ
            Then
            • WeightSpecified
              • TickerVNQ50%
              • TickerBIL50%
            Otherwise
            • WeightEqual
              • TickerBIL
      • IfAll of 2 conditions5%
        • 252d cumulative return of GSG is above 252d cumulative return of BIL
        • current price of GSG is above 252d moving average of GSG
        Then
        • WeightEqual
          • TickerGSG
        Otherwise
        • WeightEqual
          • IfAny of 2 conditions
            • 252d cumulative return of GSG is above 252d cumulative return of BIL
            • current price of GSG is above 252d moving average of GSG
            Then
            • WeightSpecified
              • TickerGSG50%
              • TickerBIL50%
            Otherwise
            • WeightEqual
              • TickerBIL
      • IfAll of 2 conditions10%
        • 252d cumulative return of IEF is above 252d cumulative return of BIL
        • current price of IEF is above 252d moving average of IEF
        Then
        • WeightEqual
          • TickerIEF
        Otherwise
        • WeightEqual
          • IfAny of 2 conditions
            • 252d cumulative return of IEF is above 252d cumulative return of BIL
            • current price of IEF is above 252d moving average of IEF
            Then
            • WeightSpecified
              • TickerIEF50%
              • TickerBIL50%
            Otherwise
            • WeightEqual
              • TickerBIL

Sources and caveats

  • The 80% equities / 10% real assets / 10% bonds split of the Aggressive flavor is from the source; the split inside each bucket is not published and is inferred here as even: US and international stocks equally, each split equally between value and momentum, and real assets equally between REITs and commodities. The Moderate flavor, the only one the source details, uses the same pattern.
  • Alpha Architect's own funds QVAL, QMOM, IVAL, and IMOM hold its US and international value and momentum indexes. The source weights the four by volatility, rebalanced yearly; this version holds each region at half the equity weight, split equally between value and momentum, rebalanced monthly. Allocate Smartly instead uses IWD, MTUM, EFV, and EFA. IMOM and QMOM began trading in December 2015, which limits the backtest.
  • As in the source, the equity trend rules read the passive benchmarks, SPY for US stocks and EFA for international stocks. VNQ, GSG (the GSCI, as in the source), and IEF (7–10 year Treasuries) are the other asset classes; BIL is Treasury bills.
  • Each rule governs half of an asset class: with both passing it is fully held, with one passing half moves to Treasury bills, and with none all of it does. The moving average is the daily 252-session average rather than an average of 12 month-end prices.
  • Signals and trades use the close of the last trading day of each month, as in the source.

Common questions#

What is RAA Aggressive?#

It is the 80% stock flavor of Wesley Gray's Robust Asset Allocation. Each asset class is held fully, half, or not at all, depending on whether it passes two 12-month trend rules, with Treasury bills filling the rest.

What ETFs does Robust Asset Allocation Aggressive use?#

QVAL, QMOM, IVAL, and IMOM for stocks, VNQ, GSG, and IEF for the other sleeves, and BIL as cash. SPY and EFA supply the stock trend signals.

How does RAA Aggressive compare with RAA Balanced?#

Both use the same trend rules. Aggressive holds twice the stock weight of Balanced and much less in real assets and bonds, so it gains more in strong stock years and falls further in sell-offs.

Does Robust Asset Allocation still work?#

In this test, which covers only the years since publication, it limited losses in 2022 but returned far less than the S&P 500 and a 60/40 portfolio. The live record on Tactfolio shows how it is doing now.