Asset Allocation
Find the right asset allocation for 7Twelve Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in 7Twelve Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.
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Returns By Period
As of Jun 23, 2026, the 7Twelve Portfolio returned 10.27% Year-To-Date and 8.40% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.37% | -0.01% | 9.16% | 8.64% | 25.22% | 19.78% | 11.99% | 13.88% |
Portfolio 7Twelve Portfolio | 0.01% | -0.04% | 10.27% | 9.65% | 20.10% | 14.43% | 7.79% | 8.40% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.00% | 0.27% | 1.66% | 1.75% | 3.85% | 4.60% | 3.45% | 2.20% |
BND Vanguard Total Bond Market ETF | -0.27% | 0.53% | 0.38% | 0.45% | 4.37% | 3.92% | 0.04% | 1.55% |
BNDX Vanguard Total International Bond ETF | -0.17% | 0.67% | 1.04% | 1.23% | 2.08% | 4.14% | 0.42% | 1.72% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -0.95% | -12.03% | 26.84% | 26.40% | 23.99% | 14.41% | 13.07% | 6.69% |
IAU iShares Gold Trust | -0.67% | -7.09% | -2.92% | -5.73% | 24.19% | 29.42% | 18.45% | 11.97% |
IJH iShares Core S&P Mid-Cap ETF | 0.38% | 3.76% | 15.82% | 13.38% | 27.53% | 16.50% | 8.90% | 11.74% |
VEA Vanguard FTSE Developed Markets ETF | 0.11% | 3.28% | 16.69% | 17.33% | 35.42% | 20.72% | 10.37% | 11.06% |
VIOO Vanguard S&P Small-Cap 600 ETF | 0.05% | 4.59% | 19.73% | 16.79% | 36.99% | 16.33% | 6.65% | 11.35% |
VNQ Vanguard Real Estate ETF | 1.08% | -0.19% | 10.32% | 10.63% | 11.80% | 10.81% | 2.52% | 5.31% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | -0.18% | -0.24% | 1.34% | 1.46% | 3.64% | 5.00% | 3.26% | 3.03% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 4, 2013, 7Twelve Portfolio's average daily return is +0.03%, while the average monthly return is +0.58%. At this rate, an investment would double in approximately 10.0 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +7.1%, while the worst month was Mar 2020 at -11.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, 7Twelve Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +4.4%, while the worst single day was Mar 16, 2020 at -6.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.07% | 2.88% | -2.16% | 5.06% | 0.64% | -0.44% | 10.27% | ||||||
| 2025 | 2.41% | 0.01% | -0.46% | -0.52% | 2.38% | 2.48% | 0.63% | 2.64% | 2.33% | 0.72% | 1.14% | 0.24% | 14.84% |
| 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% | 4.34% | 11.18% |
| 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% | 3.28% | 13.51% |
Benchmark Metrics
7Twelve Portfolio has an annualized alpha of 0.56%, beta of 0.50, and R2 of 0.78 versus S&P 500 Index. Calculated based on daily prices since June 04, 2013.
- This portfolio participated in 58.86% of S&P 500 Index downside but only 50.14% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.50 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.56%
- Beta
- 0.50
- R²
- 0.78
- Upside Capture
- 50.14%
- Downside Capture
- 58.86%
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.
Top 10 holdings
Return for Risk
Risk / Return Rank
7Twelve Portfolio ranks 80 for risk / return — in the top 80% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 7Twelve Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.53 | 2.03 | +0.50 |
| Sortino ratioReturn per unit of downside risk | 3.48 | 2.75 | +0.73 |
| Omega ratioGain probability vs. loss probability | 1.48 | 1.37 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 4.74 | 2.78 | +1.96 |
| Martin ratioReturn relative to average drawdown | 19.01 | 12.44 | +6.57 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.37 | 173.17 | 87.41 | 353.28 | 2,801.35 |
BND Vanguard Total Bond Market ETF | 33 | 1.18 | 1.76 | 1.21 | 1.64 | 4.69 |
BNDX Vanguard Total International Bond ETF | 17 | 0.61 | 0.88 | 1.11 | 0.71 | 1.97 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 32 | 1.04 | 1.51 | 1.20 | 1.52 | 6.22 |
IAU iShares Gold Trust | 24 | 0.89 | 1.25 | 1.19 | 1.00 | 2.71 |
IJH iShares Core S&P Mid-Cap ETF | 57 | 1.75 | 2.53 | 1.31 | 3.13 | 11.45 |
VEA Vanguard FTSE Developed Markets ETF | 67 | 2.16 | 2.93 | 1.39 | 3.06 | 11.80 |
VIOO Vanguard S&P Small-Cap 600 ETF | 71 | 2.09 | 3.00 | 1.36 | 4.24 | 14.31 |
VNQ Vanguard Real Estate ETF | 26 | 0.86 | 1.25 | 1.16 | 1.42 | 4.45 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 84 | 2.32 | 3.64 | 1.47 | 5.12 | 18.66 |
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Dividends
Dividend yield
7Twelve Portfolio provided a 2.30% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.30% | 2.49% | 2.50% | 2.52% | 2.34% | 1.87% | 1.39% | 2.05% | 2.17% | 1.69% | 1.69% | 1.59% |
| Portfolio components: | ||||||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 3.85% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
BND Vanguard Total Bond Market ETF | 3.96% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
BNDX Vanguard Total International Bond ETF | 4.47% | 4.39% | 4.18% | 4.42% | 1.51% | 3.74% | 1.11% | 3.40% | 3.01% | 2.23% | 1.89% | 1.63% |
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% |
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% |
IJH iShares Core S&P Mid-Cap ETF | 1.17% | 1.36% | 1.33% | 1.46% | 1.68% | 1.18% | 1.28% | 1.63% | 1.72% | 1.19% | 1.60% | 1.56% |
VEA Vanguard FTSE Developed Markets ETF | 2.50% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
VIOO Vanguard S&P Small-Cap 600 ETF | 1.13% | 1.36% | 1.48% | 1.47% | 1.51% | 1.16% | 1.09% | 1.37% | 1.32% | 1.11% | 1.06% | 1.26% |
VNQ Vanguard Real Estate ETF | 3.61% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.61% | 3.81% | 2.70% | 2.86% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% |
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 0.87%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -22.46%Mar 2020 | 2mo 2d | 5mo 13d | 7mo 15dJan 2020 - Sep 2020 |
Bear market2022 | -15.35%Sep 2022 | 10mo 15d | 1y 3mo | 2y 1moNov 2021 - Dec 2023 |
2016 correction2016 | -13.82%Jan 2016 | 1y 6mo | 6mo 28d | 2y 1moJul 2014 - Aug 2016 |
Rate-hike selloffLate 2018 | -10.52%Dec 2018 | 10mo 29d | 3mo 8d | 1y 2moJan 2018 - Apr 2019 |
2025 selloff2025 | -9.00%Apr 2025 | 1mo 18d | 1mo 8d | 2mo 26dFeb 2025 - May 2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a near-equal-weight bet on broad risk assets, with a few diversifiers — bonds, gold, commodities, and T-bills — that keep it from being just an equity sleeve in costume. The math says the diversification is real, though the equity block still does most of the moving.
The numbers
- Diversification ratio is 1.61 over 1Y and 1.40 incept, placing it around the 67th–76th percentile on the platform; that is meaningful diversification, not decorative diversification.
- Effective asset count is 12.0 of 12, so the weights are genuinely spread out rather than hiding a single dominant position.
- Mean pairwise correlation is 0.25, but the equity cluster still runs hot: IJH (Mid Cap Blend Equities) and VIOO (Small Cap Blend Equities) at 0.95, with VV (Large Cap Blend Equities) and VEA (Foreign Large Cap Equities) also tightly linked.
The good
- The portfolio has exposures across equity, rates, inflation, real assets, and cash-like instruments, which is the basic shape of a diversified object that knows what diversification is.
- The low-correlation sleeves — BIL (Government Bonds, Ultrashort Bond), BNDX (Global Bonds), IAU (Gold, Precious Metals), GSG (Commodities) — do real work, especially when equity and inflation shocks are not the same shock.
- The position weights are even, so no single line item gets to impersonate the whole portfolio.
The bad
- The equity block is still a cluster, not a collection: IJH, VIOO, VV, VEA, and VWO move together enough that one macro equity regime can dominate the whole sleeve.
- VNQ (REIT) sits closer to equities than to true ballast, so it behaves more like a cousin of stocks than a separate diversification engine.
- The portfolio’s diversification is better in the cross-section than in the stress case; in calm markets, many things coexist, and in equity drawdowns, many of them remember each other.
The ugly
- If inflation arrives with growth weakness, the usual bond-plus-equity offset can get awkward: BND, BNDX, and even VTIP (Inflation-Protected Bonds) may not fully cushion a broad equity selloff while GSG and IAU do the heavy lifting.
- If global equities de-rate together, the large, mid, and small-cap sleeves can behave like one trade, which is convenient for narrative coherence and less so for variance reduction.
Next steps
- Portfolios with this correlation profile are often understood as a core equity allocation wrapped in a modest multi-asset hedge book.
- The short-window
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. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.61 | 1.47 | 1.44 | 1.38 | 1.40 |
The portfolio has a diversification ratio of 1.40, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
7Twelve Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Jun 4, 2013 | 0.84 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VV has the highest benchmark correlation at 1.00, while BND has the lowest at -0.00.
Asset Correlations Table
Find what 7Twelve Portfolio is missing
See which holdings overlap, where 7Twelve Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification