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

Asset Allocation


S&P 500

Performance

Performance Chart


Loading data...

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

Returns By Period

As of May 30, 2025, the 7Twelve Portfolio returned 4.04% Year-To-Date and 6.01% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.51%6.15%-2.00%12.92%14.19%10.85%
7Twelve Portfolio3.82%2.38%1.05%9.85%9.05%5.98%
IJH
iShares Core S&P Mid-Cap ETF
-3.38%5.50%-10.31%3.29%12.88%8.63%
BNDX
Vanguard Total International Bond ETF
1.66%0.01%0.88%6.64%0.05%2.09%
VNQ
Vanguard Real Estate ETF
1.30%1.12%-7.18%13.84%6.90%5.35%
IAU
iShares Gold Trust
25.55%-0.02%23.70%40.51%13.46%10.41%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
1.72%0.36%2.13%4.73%2.61%1.79%
BND
Vanguard Total Bond Market ETF
2.49%-0.67%0.77%5.82%-1.00%1.54%
VEA
Vanguard FTSE Developed Markets ETF
16.76%5.13%12.67%14.08%11.40%6.14%
GSG
iShares S&P GSCI Commodity-Indexed Trust
-2.76%2.02%0.14%-4.12%16.61%-0.13%
VV
Vanguard Large-Cap ETF
1.11%6.46%-1.36%14.82%15.76%12.75%
VWO
Vanguard FTSE Emerging Markets ETF
6.83%3.87%5.73%11.65%7.97%4.03%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.51%-0.38%3.40%6.78%3.88%2.85%
VIOO
Vanguard S&P Small-Cap 600 ETF
-8.22%5.40%-15.55%-0.68%11.56%7.57%
*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%2.38%3.82%
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%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

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 72, 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 7272
Overall Rank
The Sharpe Ratio Rank of 7Twelve Portfolio is 7676
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
0.150.351.050.120.36
BNDX
Vanguard Total International Bond ETF
1.802.491.310.747.84
VNQ
Vanguard Real Estate ETF
0.771.171.150.602.46
IAU
iShares Gold Trust
2.292.981.384.8513.25
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.88301.00208.79435.174,890.74
BND
Vanguard Total Bond Market ETF
1.101.601.190.472.79
VEA
Vanguard FTSE Developed Markets ETF
0.831.181.160.982.96
GSG
iShares S&P GSCI Commodity-Indexed Trust
-0.24-0.420.95-0.16-1.11
VV
Vanguard Large-Cap ETF
0.741.041.150.692.62
VWO
Vanguard FTSE Emerging Markets ETF
0.630.891.120.521.72
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.365.081.756.9920.77
VIOO
Vanguard S&P Small-Cap 600 ETF
-0.030.131.02-0.03-0.07

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 30, 2025 (values are recalculated daily):

  • 1-Year: 0.99
  • 5-Year: 0.90
  • 10-Year: 0.59
  • 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 0.58 to 1.13, 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.


Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

7Twelve Portfolio provided a 2.47% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.47%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
1.38%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
4.26%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
4.07%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
4.68%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
3.74%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
2.81%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
1.25%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
3.01%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
2.76%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
1.62%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.


Loading data...

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 0.36%.


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, 202527May 16, 202562
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


Loading data...

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
^GSPC1.000.00-0.01-0.01-0.030.080.290.600.680.800.811.000.870.84
BIL0.001.000.020.040.020.04-0.00-0.010.02-0.020.010.01-0.010.02
BNDX-0.010.021.000.260.720.39-0.100.18-0.00-0.030.01-0.00-0.020.10
IAU-0.010.040.261.000.360.360.180.110.15-0.010.140.000.000.27
BND-0.030.020.720.361.000.56-0.090.230.01-0.060.02-0.02-0.040.12
VTIP0.080.040.390.360.561.000.240.200.110.070.150.080.080.26
GSG0.29-0.00-0.100.18-0.090.241.000.110.330.290.330.280.300.50
VNQ0.60-0.010.180.110.230.200.111.000.420.590.540.600.640.68
VWO0.680.02-0.000.150.010.110.330.421.000.580.790.680.630.78
VIOO0.80-0.02-0.03-0.01-0.060.070.290.590.581.000.710.800.950.84
VEA0.810.010.010.140.020.150.330.540.790.711.000.810.770.86
VV1.000.01-0.000.00-0.020.080.280.600.680.800.811.000.870.84
IJH0.87-0.01-0.020.00-0.040.080.300.640.630.950.770.871.000.88
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
Go to the full Correlations tool for more customization options

AI Insight on Diversification


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

Several positions show high correlations with each other, which can reduce diversification. For example, the U.S. equity-related ETFs—VIOO (small-cap), VV (total market), IJH (mid-cap), and VEA (developed international equities)—have correlations ranging from about 0.77 to 0.95 among themselves. This tight clustering suggests these equity holdings move closely together, potentially concentrating equity risk within the portfolio.

Conversely, some positions have notably low or even slightly negative correlations, enhancing diversification. The short-term Treasury ETF (BIL) has near-zero or negative correlations with many other assets, including commodities (GSG) and equities, indicating it can act as a stabilizer during market stress. Similarly, the commodity ETF (GSG) shows low or negative correlations with core bond holdings (BND, BNDX) and some equities, providing a diversification buffer against traditional asset classes.

The portfolio’s correlation with individual positions varies, with the highest correlations observed with equity ETFs like IJH (0.88), VEA (0.86), and VV (0.84), indicating these holdings heavily influence the portfolio’s overall movement. The relatively lower correlations with bonds (BND at 0.12, BNDX at 0.10) and cash equivalents (BIL at 0.02) suggest these assets contribute to risk reduction.

No single position overwhelmingly dominates the portfolio, but the strong correlations with multiple equity ETFs imply that equity risk is a significant driver of portfolio behavior. The moderate correlation with commodities (0.50) and low correlations with cash and bonds indicate some balance but not a complete offset of equity risk.

In summary, the portfolio is well diversified across asset classes such as equities, bonds, commodities, and cash, but the clustering of equity positions with high inter-correlations points to a concentration in equity risk. The inclusion of lowly correlated assets like short-term Treasuries and commodities helps mitigate this concentration, supporting a balanced risk profile overall.

Last updated May 30, 2025
Do you find this insight useful?