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 Jul 13, 2026, the 7Twelve Portfolio returned 10.29% Year-To-Date and 8.04% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 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% |
| Portfolio components: | ||||||||
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% |
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% | 0.24% | 10.29% | |||||
| 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 0.50%, 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
- R²
- 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.
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 | 2.23 | 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.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.22 | 154.48 | 69.95 | 352.38 | 2,498.94 |
BND Vanguard Total Bond Market ETF | 31 | 0.96 | 1.42 | 1.17 | 1.33 | 3.71 |
BNDX Vanguard Total International Bond ETF | 20 | 0.60 | 0.87 | 1.11 | 0.72 | 1.95 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 46 | 1.37 | 1.91 | 1.25 | 1.69 | 5.80 |
IAU iShares Gold Trust | 26 | 0.85 | 1.21 | 1.18 | 0.89 | 2.21 |
IJH iShares Core S&P Mid-Cap ETF | 50 | 1.25 | 1.88 | 1.22 | 2.25 | 8.19 |
VEA Vanguard FTSE Developed Markets ETF | 61 | 1.63 | 2.25 | 1.30 | 2.36 | 9.00 |
VIOO Vanguard S&P Small-Cap 600 ETF | 69 | 1.68 | 2.48 | 1.29 | 3.37 | 11.35 |
VNQ Vanguard Real Estate ETF | 33 | 0.91 | 1.33 | 1.16 | 1.52 | 4.78 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 92 | 2.37 | 3.72 | 1.49 | 5.22 | 17.00 |
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Dividends
Dividend yield
7Twelve Portfolio provided a 2.35% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.35% | 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 | 3.81% | 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 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 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.
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
| 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.
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