7Twelve Portfolio
7Twelve is a broadly diversified portfolio developed by Craig Israelsen in 2008. The portfolio consists of 7 asset classes and 12 equally weighted ETFs that invest in those asset classes.
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX
Returns By Period
As of May 30, 2025, the 7Twelve Portfolio returned 4.04% Year-To-Date and 6.01% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.51% | 6.15% | -2.00% | 12.92% | 14.19% | 10.85% |
| 7Twelve Portfolio | 3.82% | 2.38% | 1.05% | 9.85% | 9.05% | 5.98% |
| Portfolio components: | ||||||
IJH iShares Core S&P Mid-Cap ETF | -3.38% | 5.50% | -10.31% | 3.29% | 12.88% | 8.63% |
BNDX Vanguard Total International Bond ETF | 1.66% | 0.01% | 0.88% | 6.64% | 0.05% | 2.09% |
VNQ Vanguard Real Estate ETF | 1.30% | 1.12% | -7.18% | 13.84% | 6.90% | 5.35% |
IAU iShares Gold Trust | 25.55% | -0.02% | 23.70% | 40.51% | 13.46% | 10.41% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.72% | 0.36% | 2.13% | 4.73% | 2.61% | 1.79% |
BND Vanguard Total Bond Market ETF | 2.49% | -0.67% | 0.77% | 5.82% | -1.00% | 1.54% |
VEA Vanguard FTSE Developed Markets ETF | 16.76% | 5.13% | 12.67% | 14.08% | 11.40% | 6.14% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -2.76% | 2.02% | 0.14% | -4.12% | 16.61% | -0.13% |
VV Vanguard Large-Cap ETF | 1.11% | 6.46% | -1.36% | 14.82% | 15.76% | 12.75% |
VWO Vanguard FTSE Emerging Markets ETF | 6.83% | 3.87% | 5.73% | 11.65% | 7.97% | 4.03% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.51% | -0.38% | 3.40% | 6.78% | 3.88% | 2.85% |
VIOO Vanguard S&P Small-Cap 600 ETF | -8.22% | 5.40% | -15.55% | -0.68% | 11.56% | 7.57% |
Monthly Returns
The table below presents the monthly returns of 7Twelve Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.41% | 0.01% | -0.46% | -0.52% | 2.38% | 3.82% | |||||||
| 2024 | -0.88% | 1.84% | 2.97% | -2.12% | 2.40% | 0.43% | 3.23% | 1.09% | 2.07% | -1.06% | 2.34% | -2.67% | 9.81% |
| 2023 | 5.44% | -2.98% | 1.04% | 0.13% | -1.97% | 3.39% | 3.15% | -1.89% | -2.81% | -1.74% | 5.11% | 4.38% | 11.23% |
| 2022 | -2.22% | 0.40% | 1.30% | -3.81% | 0.27% | -5.03% | 3.97% | -3.16% | -6.82% | 3.55% | 5.18% | -2.57% | -9.31% |
| 2021 | 0.82% | 2.23% | 1.36% | 3.13% | 1.67% | 0.25% | 0.59% | 0.78% | -1.93% | 2.96% | -2.21% | 3.26% | 13.49% |
| 2020 | -1.26% | -4.16% | -11.20% | 5.64% | 3.90% | 2.52% | 3.97% | 2.27% | -2.20% | -0.59% | 7.13% | 4.07% | 8.98% |
| 2019 | 6.02% | 1.55% | 0.79% | 1.63% | -3.18% | 4.18% | 0.24% | -0.28% | 0.93% | 1.43% | 0.59% | 2.59% | 17.47% |
| 2018 | 2.09% | -3.07% | 0.74% | 0.26% | 1.20% | -0.06% | 0.79% | 0.68% | -0.40% | -4.27% | 0.59% | -3.80% | -5.36% |
| 2017 | 1.31% | 1.67% | -0.07% | 0.60% | 0.23% | 0.37% | 1.74% | 0.35% | 1.18% | 1.05% | 1.27% | 1.10% | 11.35% |
| 2016 | -2.39% | 0.92% | 4.83% | 1.57% | 0.01% | 2.10% | 1.71% | -0.21% | 0.58% | -1.97% | 0.56% | 1.58% | 9.48% |
| 2015 | 0.39% | 1.74% | -0.64% | 1.03% | -0.22% | -1.37% | -1.41% | -3.20% | -1.48% | 3.39% | -1.24% | -1.91% | -4.99% |
| 2014 | -1.23% | 3.39% | 0.21% | 0.44% | 0.91% | 2.14% | -1.80% | 1.80% | -3.54% | 1.42% | -0.20% | -1.09% | 2.27% |
Expense Ratio
7Twelve Portfolio has an expense ratio of 0.14%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 7Twelve Portfolio is 72, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
IJH iShares Core S&P Mid-Cap ETF | 0.15 | 0.35 | 1.05 | 0.12 | 0.36 |
BNDX Vanguard Total International Bond ETF | 1.80 | 2.49 | 1.31 | 0.74 | 7.84 |
VNQ Vanguard Real Estate ETF | 0.77 | 1.17 | 1.15 | 0.60 | 2.46 |
IAU iShares Gold Trust | 2.29 | 2.98 | 1.38 | 4.85 | 13.25 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.88 | 301.00 | 208.79 | 435.17 | 4,890.74 |
BND Vanguard Total Bond Market ETF | 1.10 | 1.60 | 1.19 | 0.47 | 2.79 |
VEA Vanguard FTSE Developed Markets ETF | 0.83 | 1.18 | 1.16 | 0.98 | 2.96 |
GSG iShares S&P GSCI Commodity-Indexed Trust | -0.24 | -0.42 | 0.95 | -0.16 | -1.11 |
VV Vanguard Large-Cap ETF | 0.74 | 1.04 | 1.15 | 0.69 | 2.62 |
VWO Vanguard FTSE Emerging Markets ETF | 0.63 | 0.89 | 1.12 | 0.52 | 1.72 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.36 | 5.08 | 1.75 | 6.99 | 20.77 |
VIOO Vanguard S&P Small-Cap 600 ETF | -0.03 | 0.13 | 1.02 | -0.03 | -0.07 |
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Dividends
Dividend yield
7Twelve Portfolio provided a 2.47% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.47% | 2.50% | 2.56% | 2.34% | 1.86% | 1.38% | 2.05% | 2.17% | 1.69% | 1.68% | 1.59% | 1.62% |
| Portfolio components: | ||||||||||||
IJH iShares Core S&P Mid-Cap ETF | 1.38% | 1.33% | 1.46% | 1.68% | 1.18% | 1.28% | 1.63% | 1.72% | 1.19% | 1.60% | 1.56% | 1.34% |
BNDX Vanguard Total International Bond ETF | 4.26% | 4.18% | 4.42% | 1.52% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% | 1.54% |
VNQ Vanguard Real Estate ETF | 4.07% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
IAU iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.68% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% |
BND Vanguard Total Bond Market ETF | 3.74% | 3.67% | 3.09% | 2.60% | 1.97% | 2.22% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% | 2.79% |
VEA Vanguard FTSE Developed Markets ETF | 2.81% | 3.36% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VV Vanguard Large-Cap ETF | 1.25% | 1.24% | 1.41% | 1.66% | 1.19% | 1.46% | 1.81% | 2.09% | 1.75% | 1.98% | 1.96% | 1.77% |
VWO Vanguard FTSE Emerging Markets ETF | 3.01% | 3.20% | 3.52% | 4.11% | 2.63% | 1.91% | 3.24% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 2.76% | 2.70% | 3.36% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% | 0.82% |
VIOO Vanguard S&P Small-Cap 600 ETF | 1.62% | 1.48% | 1.47% | 1.51% | 1.16% | 1.09% | 1.37% | 1.32% | 1.11% | 0.95% | 1.26% | 1.06% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the 7Twelve Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the 7Twelve Portfolio was 22.46%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.
The current 7Twelve Portfolio drawdown is 0.36%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.46% | Jan 21, 2020 | 44 | Mar 23, 2020 | 114 | Sep 2, 2020 | 158 |
| -15.36% | Nov 16, 2021 | 217 | Sep 27, 2022 | 313 | Dec 26, 2023 | 530 |
| -13.82% | Jul 2, 2014 | 391 | Jan 20, 2016 | 144 | Aug 15, 2016 | 535 |
| -10.52% | Jan 29, 2018 | 229 | Dec 24, 2018 | 66 | Apr 1, 2019 | 295 |
| -9% | Feb 19, 2025 | 35 | Apr 8, 2025 | 27 | May 16, 2025 | 62 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 12 assets, with an effective number of assets of 12.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
| ^GSPC | BIL | BNDX | IAU | BND | VTIP | GSG | VNQ | VWO | VIOO | VEA | VV | IJH | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.00 | -0.01 | -0.01 | -0.03 | 0.08 | 0.29 | 0.60 | 0.68 | 0.80 | 0.81 | 1.00 | 0.87 | 0.84 |
| BIL | 0.00 | 1.00 | 0.02 | 0.04 | 0.02 | 0.04 | -0.00 | -0.01 | 0.02 | -0.02 | 0.01 | 0.01 | -0.01 | 0.02 |
| BNDX | -0.01 | 0.02 | 1.00 | 0.26 | 0.72 | 0.39 | -0.10 | 0.18 | -0.00 | -0.03 | 0.01 | -0.00 | -0.02 | 0.10 |
| IAU | -0.01 | 0.04 | 0.26 | 1.00 | 0.36 | 0.36 | 0.18 | 0.11 | 0.15 | -0.01 | 0.14 | 0.00 | 0.00 | 0.27 |
| BND | -0.03 | 0.02 | 0.72 | 0.36 | 1.00 | 0.56 | -0.09 | 0.23 | 0.01 | -0.06 | 0.02 | -0.02 | -0.04 | 0.12 |
| VTIP | 0.08 | 0.04 | 0.39 | 0.36 | 0.56 | 1.00 | 0.24 | 0.20 | 0.11 | 0.07 | 0.15 | 0.08 | 0.08 | 0.26 |
| GSG | 0.29 | -0.00 | -0.10 | 0.18 | -0.09 | 0.24 | 1.00 | 0.11 | 0.33 | 0.29 | 0.33 | 0.28 | 0.30 | 0.50 |
| VNQ | 0.60 | -0.01 | 0.18 | 0.11 | 0.23 | 0.20 | 0.11 | 1.00 | 0.42 | 0.59 | 0.54 | 0.60 | 0.64 | 0.68 |
| VWO | 0.68 | 0.02 | -0.00 | 0.15 | 0.01 | 0.11 | 0.33 | 0.42 | 1.00 | 0.58 | 0.79 | 0.68 | 0.63 | 0.78 |
| VIOO | 0.80 | -0.02 | -0.03 | -0.01 | -0.06 | 0.07 | 0.29 | 0.59 | 0.58 | 1.00 | 0.71 | 0.80 | 0.95 | 0.84 |
| VEA | 0.81 | 0.01 | 0.01 | 0.14 | 0.02 | 0.15 | 0.33 | 0.54 | 0.79 | 0.71 | 1.00 | 0.81 | 0.77 | 0.86 |
| VV | 1.00 | 0.01 | -0.00 | 0.00 | -0.02 | 0.08 | 0.28 | 0.60 | 0.68 | 0.80 | 0.81 | 1.00 | 0.87 | 0.84 |
| IJH | 0.87 | -0.01 | -0.02 | 0.00 | -0.04 | 0.08 | 0.30 | 0.64 | 0.63 | 0.95 | 0.77 | 0.87 | 1.00 | 0.88 |
| Portfolio | 0.84 | 0.02 | 0.10 | 0.27 | 0.12 | 0.26 | 0.50 | 0.68 | 0.78 | 0.84 | 0.86 | 0.84 | 0.88 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified, exhibiting a blend of asset classes with varying degrees of correlation that both support and limit diversification benefits.
Several positions show high correlations with each other, which can reduce diversification. For example, the U.S. equity-related ETFs—VIOO (small-cap), VV (total market), IJH (mid-cap), and VEA (developed international equities)—have correlations ranging from about 0.77 to 0.95 among themselves. This tight clustering suggests these equity holdings move closely together, potentially concentrating equity risk within the portfolio.
Conversely, some positions have notably low or even slightly negative correlations, enhancing diversification. The short-term Treasury ETF (BIL) has near-zero or negative correlations with many other assets, including commodities (GSG) and equities, indicating it can act as a stabilizer during market stress. Similarly, the commodity ETF (GSG) shows low or negative correlations with core bond holdings (BND, BNDX) and some equities, providing a diversification buffer against traditional asset classes.
The portfolio’s correlation with individual positions varies, with the highest correlations observed with equity ETFs like IJH (0.88), VEA (0.86), and VV (0.84), indicating these holdings heavily influence the portfolio’s overall movement. The relatively lower correlations with bonds (BND at 0.12, BNDX at 0.10) and cash equivalents (BIL at 0.02) suggest these assets contribute to risk reduction.
No single position overwhelmingly dominates the portfolio, but the strong correlations with multiple equity ETFs imply that equity risk is a significant driver of portfolio behavior. The moderate correlation with commodities (0.50) and low correlations with cash and bonds indicate some balance but not a complete offset of equity risk.
In summary, the portfolio is well diversified across asset classes such as equities, bonds, commodities, and cash, but the clustering of equity positions with high inter-correlations points to a concentration in equity risk. The inclusion of lowly correlated assets like short-term Treasuries and commodities helps mitigate this concentration, supporting a balanced risk profile overall.