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7Twelve Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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 14, 2025, the 7Twelve Portfolio returned 3.79% Year-To-Date and 5.86% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.08%9.75%-1.63%12.74%15.66%10.77%
7Twelve Portfolio3.79%5.40%2.57%9.38%10.28%5.86%
IJH
iShares Core S&P Mid-Cap ETF
-1.50%12.58%-6.35%3.77%16.11%8.85%
BNDX
Vanguard Total International Bond ETF
0.59%0.27%1.28%4.91%-0.07%1.98%
VNQ
Vanguard Real Estate ETF
0.32%5.78%-4.09%10.78%9.20%5.03%
IAU
iShares Gold Trust
23.77%0.52%24.86%38.64%13.14%10.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
1.51%0.33%2.14%4.76%2.57%1.78%
BND
Vanguard Total Bond Market ETF
1.82%0.70%1.61%5.03%-1.00%1.41%
VEA
Vanguard FTSE Developed Markets ETF
13.51%9.35%11.50%10.74%12.56%5.59%
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.00%3.08%4.51%-1.58%19.35%-0.03%
VV
Vanguard Large-Cap ETF
0.66%10.23%-0.85%14.67%17.28%12.68%
VWO
Vanguard FTSE Emerging Markets ETF
7.67%9.91%6.19%11.63%8.85%3.67%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
2.99%0.40%3.41%6.55%3.90%2.78%
VIOO
Vanguard S&P Small-Cap 600 ETF
-5.90%13.44%-12.05%1.01%15.21%7.91%
*Annualized

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.41%0.01%-0.46%-0.52%2.35%3.79%
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%
20235.44%-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%
20210.82%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%
20196.02%1.55%0.79%1.63%-3.18%4.18%0.24%-0.28%0.93%1.43%0.59%2.59%17.47%
20182.09%-3.07%0.74%0.26%1.20%-0.06%0.79%0.68%-0.40%-4.27%0.59%-3.80%-5.36%
20171.31%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%
20150.39%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 71, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of 7Twelve Portfolio is 7171
Overall Rank
The Sharpe Ratio Rank of 7Twelve Portfolio is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of 7Twelve Portfolio is 6666
Sortino Ratio Rank
The Omega Ratio Rank of 7Twelve Portfolio is 6868
Omega Ratio Rank
The Calmar Ratio Rank of 7Twelve Portfolio is 7171
Calmar Ratio Rank
The Martin Ratio Rank of 7Twelve Portfolio is 7878
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IJH
iShares Core S&P Mid-Cap ETF
0.170.401.050.150.48
BNDX
Vanguard Total International Bond ETF
1.321.801.220.535.62
VNQ
Vanguard Real Estate ETF
0.600.931.120.451.93
IAU
iShares Gold Trust
2.212.911.374.7012.43
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.77247.18141.43436.224,016.45
BND
Vanguard Total Bond Market ETF
0.961.331.160.382.33
VEA
Vanguard FTSE Developed Markets ETF
0.631.001.130.802.42
GSG
iShares S&P GSCI Commodity-Indexed Trust
-0.09-0.011.00-0.04-0.27
VV
Vanguard Large-Cap ETF
0.741.161.170.793.02
VWO
Vanguard FTSE Emerging Markets ETF
0.631.091.140.662.16
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.244.821.716.6121.36
VIOO
Vanguard S&P Small-Cap 600 ETF
0.040.221.030.020.07

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

7Twelve Portfolio Sharpe ratios as of May 14, 2025 (values are recalculated daily):

  • 1-Year: 0.94
  • 5-Year: 1.01
  • 10-Year: 0.57
  • All Time: 0.59

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.59 to 1.09, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of 7Twelve Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

7Twelve Portfolio provided a 2.48% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.48%2.50%2.56%2.34%1.86%1.38%2.05%2.17%1.69%1.68%1.59%1.62%
IJH
iShares Core S&P Mid-Cap ETF
1.36%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
4.31%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
4.11%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
4.69%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
3.77%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
2.89%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
1.26%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
2.99%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
2.77%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
1.58%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 0.13%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.46%Jan 21, 202044Mar 23, 2020114Sep 2, 2020158
-15.36%Nov 16, 2021217Sep 27, 2022313Dec 26, 2023530
-13.82%Jul 2, 2014391Jan 20, 2016144Aug 15, 2016535
-10.52%Jan 29, 2018229Dec 24, 201866Apr 1, 2019295
-9%Feb 19, 202535Apr 8, 2025

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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCBILBNDXIAUBNDVTIPGSGVNQVWOVIOOVEAVVIJHPortfolio
^GSPC1.000.01-0.01-0.00-0.030.070.290.600.680.800.811.000.870.84
BIL0.011.000.010.040.020.04-0.00-0.010.03-0.020.010.01-0.010.02
BNDX-0.010.011.000.260.720.39-0.100.18-0.00-0.040.01-0.00-0.030.10
IAU-0.000.040.261.000.370.360.170.110.15-0.010.140.000.000.27
BND-0.030.020.720.371.000.56-0.090.220.01-0.060.02-0.02-0.050.12
VTIP0.070.040.390.360.561.000.240.200.120.070.150.080.080.26
GSG0.29-0.00-0.100.17-0.090.241.000.120.330.290.340.280.300.50
VNQ0.60-0.010.180.110.220.200.121.000.420.590.540.600.640.68
VWO0.680.03-0.000.150.010.120.330.421.000.580.790.680.630.78
VIOO0.80-0.02-0.04-0.01-0.060.070.290.590.581.000.710.800.950.84
VEA0.810.010.010.140.020.150.340.540.790.711.000.810.770.86
VV1.000.01-0.000.00-0.020.080.280.600.680.800.811.000.870.84
IJH0.87-0.01-0.030.00-0.050.080.300.640.630.950.770.871.000.88
Portfolio0.840.020.100.270.120.260.500.680.780.840.860.840.881.00
The correlation results are calculated based on daily price changes starting from Jun 5, 2013

AI Insight on Diversification


The portfolio is moderately diversified, exhibiting a mix of asset classes with varying degrees of correlation that both support and limit diversification benefits.

Several positions show high correlations with each other, particularly among equity-focused ETFs. For example, IJH (a mid-cap US equity ETF), VIOO (an S&P Small-Cap 600 ETF), VV (a total US stock market ETF), VEA (developed international equities), and VWO (emerging markets equities) all have correlations above 0.6 with one another, with some pairs exceeding 0.8 or 0.9. This cluster of equities is tightly correlated, which suggests that these positions may move similarly in many market environments, potentially reducing diversification benefits within the equity sleeve of the portfolio.

On the other hand, the portfolio includes several lowly correlated or even slightly negatively correlated positions that enhance diversification. For instance, BIL (a short-term Treasury ETF) has near-zero or negative correlations with most equity ETFs and commodities (GSG), which helps reduce overall portfolio volatility. Similarly, GSG (a broad commodities ETF) has low or negative correlations with bonds (BND, BNDX) and some equities, providing a diversification buffer against equity and fixed income risks.

Looking at correlations between the portfolio as a whole and individual positions, the highest correlations are with equity ETFs such as IJH (0.88), VV (0.84), VEA (0.86), and VWO (0.78), indicating that equities dominate the portfolio’s overall behavior. Fixed income ETFs like BND (0.12) and BNDX (0.1) show much lower correlations with the portfolio, reflecting their smaller influence or weighting. The moderate correlation of IAU (gold, 0.27) and VTIP (inflation-protected bonds, 0.26) suggests these assets contribute some diversification but are not dominant.

No single position overwhelmingly dominates the portfolio, but the strong correlations and relatively high correlation coefficients with multiple equity ETFs imply that equity exposure is the primary driver of portfolio returns and risk. Fixed income and alternative assets like commodities and gold play a supporting role in diversification but are less influential in the portfolio’s aggregate movements.

In summary, the portfolio is well diversified across asset classes, including equities, fixed income, inflation-protected securities, commodities, and cash equivalents. However, within the equity allocation, there is a high degree of correlation that somewhat limits diversification benefits. The inclusion of lowly correlated assets like short-term Treasuries, commodities, and gold helps mitigate risk and enhance overall portfolio stability.

Last updated May 14, 2025