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7Twelve Portfolio
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500 Index

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Performance

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 Jul 13, 2026, the 7Twelve Portfolio returned 10.29% Year-To-Date and 8.04% of annualized return in the last 10 years.


Position1D1M6MYTD1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
0.42%1.94%8.74%10.66%21.02%19.50%11.63%13.41%
Portfolio
7Twelve Portfolio
0.10%-0.04%7.88%10.29%18.01%13.60%7.62%8.04%
BIL
SPDR Bloomberg 1-3 Month T-Bill ETF
0.04%0.28%1.78%1.88%3.82%4.60%3.49%2.22%
BND
Vanguard Total Bond Market ETF
-0.08%-0.31%-0.09%0.20%3.97%4.21%-0.15%1.44%
BNDX
Vanguard Total International Bond ETF
0.12%-0.14%0.42%0.87%2.34%4.46%0.27%1.55%
GSG
iShares S&P GSCI Commodity-Indexed Trust
-0.27%-3.66%24.99%27.75%29.89%13.48%12.99%6.90%
IAU
iShares Gold Trust
-0.32%-2.44%-8.99%-4.82%22.05%28.26%17.54%11.64%
IJH
iShares Core S&P Mid-Cap ETF
-0.04%-0.24%10.02%15.21%20.84%14.03%8.54%11.04%
VEA
Vanguard FTSE Developed Markets ETF
0.37%-0.26%10.78%14.43%28.44%19.32%9.84%10.22%
VIOO
Vanguard S&P Small-Cap 600 ETF
0.14%1.63%15.66%21.66%30.90%14.95%7.15%10.77%
VNQ
Vanguard Real Estate ETF
0.24%-0.34%10.91%12.13%12.62%8.72%2.34%4.82%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
-0.04%-0.06%1.71%1.79%3.63%5.30%3.27%3.05%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20264.07%2.88%-2.16%5.06%0.64%-0.65%0.24%10.29%
20252.41%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%
20235.44%-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%
20210.82%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 0.50%, 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 59.06% of S&P 500 Index downside but only 50.08% 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
0.50%
Beta
0.50
0.78
Upside Capture
50.08%
Downside Capture
59.06%

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 84 for risk / return — in the top 84% 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.


7Twelve Portfolio Risk / Return Rank: 8484
Overall Rank
7Twelve Portfolio Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
7Twelve Portfolio Sortino Ratio Rank: 8282
Sortino Ratio Rank
7Twelve Portfolio Omega Ratio Rank: 8484
Omega Ratio Rank
7Twelve Portfolio Calmar Ratio Rank: 8686
Calmar Ratio Rank
7Twelve Portfolio Martin Ratio Rank: 8888
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.


PortfolioBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

2.23

1.65

+0.58

Sortino ratioReturn per unit of downside risk

3.09

2.28

+0.80

Omega ratioGain probability vs. loss probability

1.42

1.30

+0.12

Calmar ratioReturn relative to maximum drawdown

4.21

2.28

+1.94

Martin ratioReturn relative to average drawdown

16.29

9.88

+6.41


How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Sharpe Ratio

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. Learn how to interpret the Sharpe ratio.

The current 7Twelve Portfolio Sharpe ratio is 2.23 as of Jul 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.37 to 2.14, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

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.


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Dividends

Dividend yield

7Twelve Portfolio provided a 2.35% dividend yield over the last twelve months.


PositionTTM20252024202320222021202020192018201720162015
Portfolio2.35%2.49%2.50%2.52%2.34%1.87%1.39%2.05%2.17%1.69%1.69%1.59%
BIL
SPDR Bloomberg 1-3 Month T-Bill ETF
3.81%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
4.00%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
4.50%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
2.55%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
1.12%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
3.57%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
4.15%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 0.85%.


Related event

Drawdown

Fall

Recovery

Underwater

COVID crash2020
-22.46%Mar 2020
2mo 2d5mo 13d
7mo 15dJan 2020 - Sep 2020
Bear market2022
-15.35%Sep 2022
10mo 15d1y 3mo
2y 1moNov 2021 - Dec 2023
2016 correction2016
-13.82%Jan 2016
1y 6mo6mo 28d
2y 1moJul 2014 - Aug 2016
Rate-hike selloffLate 2018
-10.52%Dec 2018
10mo 29d3mo 8d
1y 2moJan 2018 - Apr 2019
2025 selloff2025
-9.00%Apr 2025
1mo 18d1mo 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 policy mix of equity, rates, inflation, gold, and commodities, so the thesis is less “one bet” than “own the whole macro furniture.” The math says that is a real diversification trade, though the equity sleeve still behaves like one large, internally crowded block.

The numbers

  • 12 of 12 assets count in the effective basket, so the weights are actually doing what equal weights are supposed to do.
  • Diversification ratio is 1.62 at 1Y, 1.48 at 3Y, 1.44 at 5Y, and 1.38 at 10Y; that sits around the 67th–76th percentile on the platform, which is good, if not mystical.
  • Average correlation is 0.25, but the distribution is lumpy: equities cluster tightly, while bonds, gold, and commodities mostly stand apart.

The good

  • The portfolio mixes growth, duration, inflation sensitivity, and real assets, so stress does not have to come from one exact macro channel.
  • BNDX (Global Bonds), BND (Total Bond Market), BIL (Government Bonds, Ultrashort Bond), and VTIP (Inflation-Protected Bonds) give the fixed-income sleeve several different rate and inflation behaviors.
  • The 1Y diversification ratio improving to 1.62 suggests recent cross-asset mixing has held up reasonably well.

The bad

  • Vangaurd-esque equity diversification is only cosmetic here: IJH (Mid Cap Blend Equities), VV (Large Cap Blend Equities), VIOO (Small Cap Blend Equities), VEA (Foreign Large Cap Equities), and VWO (Emerging Markets Equities) still form one correlated risk block.
  • Position-to-portfolio correlations are high for IJH (0.87), VEA (0.86), VV (0.84), VIOO (0.83), and VWO (0.77), which means the portfolio still leans on equity beta more than the neat asset list suggests.

The ugly

  • If equities sell off alongside a rates shock, the portfolio’s cleaner diversifiers may not all help at once; VNQ (REIT) and the equity cluster can end up on the same side of the move.
  • The portfolio’s only truly oddball diversifier, GSG (Commodities), has modest portfolio correlation, but commodities are famously rude about behaving only when inflation is the problem.
AI-generated analysis. Not investment advice. Verify key facts independently.
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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

1.62

1.48

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

7Twelve Portfolio has a 0.75 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.75

Correlation (3Y)
Calculated over the trailing 3-year period

0.77

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.

BND
-0.00
BIL
0.01
IAU
0.02
BNDX
0.02
VTIP
0.07
GSG
0.25
VNQ
0.57
VWO
0.68
VIOO
0.79
VEA
0.80

Portfolio Correlations

Correlation vs. 7Twelve Portfolio. IJH has the highest portfolio correlation at 0.87, while BIL has the lowest at 0.02.

BIL
0.02
BNDX
0.13
BND
0.14
VTIP
0.26
IAU
0.30
GSG
0.46
VNQ
0.67
VWO
0.77
VIOO
0.83
VV
0.84

Asset Correlations Table

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

The correlation results are calculated based on daily price changes starting from Jun 4, 2013
Diversification Analysis

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