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7Twelve Portfolio

Last updated Feb 24, 2024

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


BNDX 8.33%BIL 8.33%BND 8.33%VTIP 8.33%IAU 8.33%GSG 8.33%IJH 8.34%VV 8.34%VIOO 8.34%VEA 8.33%VWO 8.33%VNQ 8.34%BondBondCommodityCommodityEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BNDX
Vanguard Total International Bond ETF
Total Bond Market

8.33%

BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

8.33%

BND
Vanguard Total Bond Market ETF
Total Bond Market

8.33%

VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
Inflation-Protected Bonds

8.33%

IAU
iShares Gold Trust
Precious Metals, Gold

8.33%

GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities

8.33%

IJH
iShares Core S&P Mid-Cap ETF
Small Cap Growth Equities

8.34%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

8.34%

VIOO
Vanguard S&P Small-Cap 600 ETF
Small Cap Blend Equities

8.34%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

8.33%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

8.33%

VNQ
Vanguard Real Estate ETF
REIT

8.34%

S&P 500

Performance

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 Quarterly


-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2024February
7.27%
15.50%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX

Returns

As of Feb 24, 2024, the 7Twelve Portfolio returned 0.70% Year-To-Date and 5.56% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.69%4.52%15.50%26.83%12.76%10.70%
7Twelve Portfolio0.70%1.21%7.26%10.25%7.03%5.55%
IJH
iShares Core S&P Mid-Cap ETF
2.90%3.61%15.77%19.08%17.12%16.28%
BNDX
Vanguard Total International Bond ETF
-1.01%0.13%4.25%6.50%0.42%2.12%
VNQ
Vanguard Real Estate ETF
-4.02%-0.43%7.11%3.31%3.86%6.05%
IAU
iShares Gold Trust
-1.31%0.76%6.23%12.21%8.76%4.16%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.80%0.41%2.65%5.14%1.82%1.17%
BND
Vanguard Total Bond Market ETF
-1.58%-0.57%3.28%3.61%0.48%1.38%
VEA
Vanguard FTSE Developed Markets ETF
1.98%3.43%11.08%14.75%6.77%4.74%
GSG
iShares S&P GSCI Commodity-Indexed Trust
3.99%-0.95%-2.98%3.17%6.38%-4.38%
VV
Vanguard Large-Cap ETF
7.00%4.11%16.90%31.04%14.56%12.63%
VWO
Vanguard FTSE Emerging Markets ETF
1.17%3.56%6.44%9.20%2.79%3.76%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
-0.04%-0.21%3.18%4.98%3.24%1.91%
VIOO
Vanguard S&P Small-Cap 600 ETF
-1.63%0.65%9.28%5.74%7.29%8.43%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.88%
20233.15%-1.89%-2.66%-1.74%5.11%4.54%

Sharpe Ratio

The current 7Twelve Portfolio Sharpe ratio is 1.21. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.21

The Sharpe ratio of 7Twelve Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00SeptemberOctoberNovemberDecember2024February
1.21
2.23
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

7Twelve Portfolio granted a 3.06% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
7Twelve Portfolio3.06%3.05%2.90%2.25%1.80%2.59%2.74%2.09%2.21%2.11%2.07%1.87%
IJH
iShares Core S&P Mid-Cap ETF
7.10%7.30%8.41%5.92%6.40%8.13%8.60%5.96%7.98%7.80%6.71%6.45%
BNDX
Vanguard Total International Bond ETF
4.52%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%
VNQ
Vanguard Real Estate ETF
4.12%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
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
4.98%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.19%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
VEA
Vanguard FTSE Developed Markets ETF
3.09%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
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
1.32%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%
VWO
Vanguard FTSE Emerging Markets ETF
3.48%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.36%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%
VIOO
Vanguard S&P Small-Cap 600 ETF
1.50%1.47%1.51%1.16%1.09%1.37%1.32%1.11%0.95%1.26%1.06%0.86%

Expense Ratio

The 7Twelve Portfolio features an expense ratio of 0.14%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.75%
0.00%2.15%
0.25%
0.00%2.15%
0.14%
0.00%2.15%
0.12%
0.00%2.15%
0.10%
0.00%2.15%
0.08%
0.00%2.15%
0.07%
0.00%2.15%
0.06%
0.00%2.15%
0.05%
0.00%2.15%
0.04%
0.00%2.15%
0.03%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.23
7Twelve Portfolio
1.21
IJH
iShares Core S&P Mid-Cap ETF
1.09
BNDX
Vanguard Total International Bond ETF
1.20
VNQ
Vanguard Real Estate ETF
0.12
IAU
iShares Gold Trust
0.89
BIL
SPDR Barclays 1-3 Month T-Bill ETF
18.82
BND
Vanguard Total Bond Market ETF
0.48
VEA
Vanguard FTSE Developed Markets ETF
1.00
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.23
VV
Vanguard Large-Cap ETF
2.42
VWO
Vanguard FTSE Emerging Markets ETF
0.52
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
1.56
VIOO
Vanguard S&P Small-Cap 600 ETF
0.28

Asset Correlations Table

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

BILIAUBNDXBNDVTIPGSGVNQVWOVIOOVVVEAIJH
BIL1.000.020.010.020.010.00-0.010.03-0.000.020.020.01
IAU0.021.000.270.390.370.150.100.13-0.03-0.020.12-0.02
BNDX0.010.271.000.720.37-0.090.16-0.01-0.06-0.02-0.02-0.05
BND0.020.390.721.000.54-0.090.20-0.01-0.10-0.05-0.02-0.08
VTIP0.010.370.370.541.000.260.190.120.060.080.140.08
GSG0.000.15-0.09-0.090.261.000.120.330.310.290.350.31
VNQ-0.010.100.160.200.190.121.000.430.590.610.540.63
VWO0.030.13-0.01-0.010.120.330.431.000.590.690.800.63
VIOO-0.00-0.03-0.06-0.100.060.310.590.591.000.810.720.93
VV0.02-0.02-0.02-0.050.080.290.610.690.811.000.820.86
VEA0.020.12-0.02-0.020.140.350.540.800.720.821.000.76
IJH0.01-0.02-0.05-0.080.080.310.630.630.930.860.761.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February00
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

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 111 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.46%Jan 21, 202044Mar 23, 2020111Aug 28, 2020155
-14.91%Nov 16, 2021217Sep 27, 2022306Dec 14, 2023523
-13.34%Apr 29, 2015184Jan 20, 2016122Jul 14, 2016306
-10.11%Aug 30, 201880Dec 24, 201858Mar 20, 2019138
-5.89%Jan 29, 20189Feb 8, 2018140Aug 29, 2018149

Volatility Chart

The current 7Twelve Portfolio volatility is 2.49%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%SeptemberOctoberNovemberDecember2024February
2.49%
3.90%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components
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