Asset Allocation
Benchmark: S&P 500 Index · Rebalance: Every 3 months
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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Compare your portfolio against anything
Returns By Period
As of Aug 2, 2026, the 7Twelve Portfolio returned 10.65% Year-To-Date and 8.12% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.70% | 0.09% | 7.94% | 9.41% | 20.07% | 17.84% | 11.25% | 13.26% | 8.09% |
Portfolio 7Twelve Portfolio | -0.11% | 0.68% | 6.32% | 10.65% | 19.02% | 12.95% | 7.65% | 8.12% | 6.79% |
| Portfolio components: | |||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.03% | 0.26% | 1.78% | 2.08% | 3.76% | 4.56% | 3.54% | 2.24% | 1.37% |
BND Vanguard Total Bond Market ETF | -0.26% | -1.20% | -0.75% | -0.54% | 1.75% | 3.92% | -0.42% | 1.36% | 2.99% |
BNDX Vanguard Total International Bond ETF | -0.23% | -0.97% | -0.29% | 0.22% | 0.83% | 4.00% | -0.07% | 1.51% | 2.25% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.28% | 12.94% | 25.75% | 38.94% | 42.34% | 14.13% | 14.47% | 8.91% | -2.13% |
IAU iShares Gold Trust | -1.46% | -1.73% | -16.48% | -6.16% | 20.35% | 27.40% | 17.12% | 11.21% | 10.71% |
IJH iShares Core S&P Mid-Cap ETF | -0.11% | -1.08% | 10.14% | 14.60% | 22.81% | 13.01% | 8.44% | 11.03% | 9.85% |
VEA Vanguard FTSE Developed Markets ETF | -0.66% | -0.27% | 7.42% | 13.84% | 29.71% | 18.08% | 9.76% | 10.05% | 5.13% |
VIOO Vanguard S&P Small-Cap 600 ETF | -0.01% | -0.56% | 15.04% | 21.54% | 35.81% | 13.37% | 7.42% | 10.87% | 12.46% |
VNQ Vanguard Real Estate ETF | -0.54% | 0.95% | 11.11% | 14.01% | 15.59% | 9.39% | 2.44% | 4.90% | 7.72% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 0.00% | 0.16% | 1.28% | 1.83% | 3.09% | 5.11% | 3.06% | 3.10% | 2.21% |
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% | -0.65% | 0.56% | 10.65% | |||||
| 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 0.57%, 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 58.64% 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
- 0.57%
- Beta
- 0.50
- R²
- 0.78
- Upside Capture
- 50.14%
- Downside Capture
- 58.64%
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 89 for risk / return — above 89% of Portfolios peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return 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 | 2.33 | 1.42 | +0.92 |
| Sortino ratioReturn per unit of downside risk | 3.25 | 1.98 | +1.27 |
| Omega ratioGain probability vs. loss probability | 1.44 | 1.25 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 4.41 | 2.00 | +2.40 |
| Martin ratioReturn relative to average drawdown | 17.19 | 8.49 | +8.70 |
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 | 19.13 | 153.14 | 69.35 | 349.28 | 2,476.90 |
BND Vanguard Total Bond Market ETF | 29 | 0.72 | 1.06 | 1.12 | 0.99 | 2.48 |
BNDX Vanguard Total International Bond ETF | 18 | 0.34 | 0.50 | 1.06 | 0.41 | 1.04 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 66 | 1.68 | 2.28 | 1.29 | 2.16 | 6.99 |
IAU iShares Gold Trust | 30 | 0.82 | 1.18 | 1.17 | 0.87 | 1.88 |
IJH iShares Core S&P Mid-Cap ETF | 61 | 1.34 | 2.00 | 1.24 | 2.39 | 8.69 |
VEA Vanguard FTSE Developed Markets ETF | 73 | 1.71 | 2.37 | 1.31 | 2.53 | 9.44 |
VIOO Vanguard S&P Small-Cap 600 ETF | 85 | 1.95 | 2.85 | 1.34 | 3.85 | 13.20 |
VNQ Vanguard Real Estate ETF | 46 | 1.11 | 1.62 | 1.20 | 1.84 | 5.97 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 92 | 2.25 | 3.57 | 1.46 | 4.93 | 15.25 |
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Dividends
Dividend yield
7Twelve Portfolio provided a 2.28% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.28% | 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 | 3.46% | 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 | 3.69% | 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 | 4.31% | 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 | 1.18% | 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 | 2.57% | 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 | 3.51% | 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 0.53%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-22.46%Mar 2020 | 2mo 2d | 5mo 13d | 7mo 15dJan 2020 - Sep 2020 | COVID crash2020 |
-15.35%Sep 2022 | 10mo 15d | 1y 3mo | 2y 1moNov 2021 - Dec 2023 | Bear market2022 |
-13.82%Jan 2016 | 1y 6mo | 6mo 28d | 2y 1moJul 2014 - Aug 2016 | — |
-10.52%Dec 2018 | 10mo 29d | 3mo 8d | 1y 2moJan 2018 - Apr 2019 | Rate-hike selloffLate 2018 |
-9.00%Apr 2025 | 1mo 18d | 1mo 8d | 2mo 26dFeb 2025 - May 2025 | 2025 selloff2025 |
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 12-fund, equal-weight bet on a broad mix of asset classes, but the equity sleeve is doing most of the economic work while the rest mostly decorates the risk budget.
The numbers
- Effective asset count is 12.0 of 12, so concentration is not the issue; the issue is that several names share the same risk factor in different wrappers.
- Diversification ratio is 1.63 at 1Y, 1.49 at 3Y, 1.45 at 5Y, and 1.40 incept, all in the 67th-77th percentile range, which is decent diversification by platform standards.
- Average pairwise correlation is 0.25, but the equity cluster is tight: IJH (Mid Cap Blend Equities) and VIOO (Small Cap Blend Equities) are 0.95, and IJH and VV (Large Cap Blend Equities) are 0.86.
The good
- The portfolio mixes equities, nominal bonds, inflation-linked bonds, cash-like bills, gold, and commodities, so its return drivers are not all the same species.
- BNDX (Global Bonds), BND (Total Bond Market), BIL (Government Bonds, Ultrashort Bond), and VTIP (Inflation-Protected Bonds) give the portfolio several ways to express duration, inflation, and liquidity exposures.
- There are genuine low-correlation sleeves here, especially IAU (Gold, Precious Metals), BIL, and parts of the bond complex.
The bad
- The equity cluster of VV, VEA, VWO, IJH, and VIOO is highly redundant; in some sense it is one equity sleeve wearing five tickers.
- VNQ (REIT) behaves more like another equity-like risk asset than a true diversifier, with a 0.67 correlation to the portfolio.
- BNDX and BND are close enough that their separation is more geographic than mathematical.
The ugly
- If equity volatility rises together across U.S., foreign, and emerging markets, the portfolio’s correlation structure compresses fast, because the largest block of assets is already linked.
- Commodity and gold exposures help only when inflation or policy stress is the main shock; in a credit or growth scare, they can be less helpful than their label suggests.
Next steps
- Portfolios with this profile are usually judged less by the number of holdings than by how many independent return engines remain after the equity cluster is accounted for.
- The low-correlation sleeves are doing real work, but the bond stack and the equity stack each contain internal overlap that keeps the diversification ratio from looking more dramatic.
- The data fits a portfolio that is diversified across asset labels, and only moderately diversified across actual economic drivers.
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 | 1.63 | 1.49 | 1.45 | 1.38 | 1.40 |
The portfolio has a diversification ratio of 1.40, in line with the typical range across portfolios.
7Twelve Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.76 |
Correlation (3Y) Balances recent behavior with more history. | 0.76 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.81 |
Correlation (10Y) Provides a long-term view across more market conditions. | 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