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7Twelve Portfolio

Last updated Sep 21, 2023

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 Market8.33%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds8.33%
BND
Vanguard Total Bond Market ETF
Total Bond Market8.33%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
Inflation-Protected Bonds8.33%
IAU
iShares Gold Trust
Precious Metals, Gold8.33%
GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities8.33%
IJH
iShares Core S&P Mid-Cap ETF
Small Cap Growth Equities8.34%
VV
Vanguard Large-Cap ETF
Large Cap Growth Equities8.34%
VIOO
Vanguard S&P Small-Cap 600 ETF
Small Cap Blend Equities8.34%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities8.33%
VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities8.33%
VNQ
Vanguard Real Estate ETF
REIT8.34%

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
4.07%
11.49%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the 7Twelve Portfolio returned 5.02% Year-To-Date and 4.68% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.06%11.82%14.66%14.17%8.51%9.93%
7Twelve Portfolio0.86%4.24%5.02%6.67%5.08%4.68%
IJH
iShares Core S&P Mid-Cap ETF
-1.22%7.14%6.01%9.23%6.17%9.06%
BNDX
Vanguard Total International Bond ETF
0.41%-0.64%2.79%1.48%0.11%1.92%
VNQ
Vanguard Real Estate ETF
1.36%5.67%0.04%-3.85%3.35%5.89%
IAU
iShares Gold Trust
2.06%-2.16%5.84%15.82%9.88%3.64%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.42%2.42%3.39%4.38%1.54%0.94%
BND
Vanguard Total Bond Market ETF
0.40%-2.89%0.29%-0.05%0.34%1.25%
VEA
Vanguard FTSE Developed Markets ETF
1.42%5.15%9.62%19.57%3.67%4.28%
GSG
iShares S&P GSCI Commodity-Indexed Trust
6.46%17.36%6.36%5.22%5.34%-3.57%
VV
Vanguard Large-Cap ETF
0.27%13.00%16.60%16.05%10.26%11.87%
VWO
Vanguard FTSE Emerging Markets ETF
0.61%2.72%3.66%4.87%2.14%2.38%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
0.42%0.15%2.14%1.68%2.82%1.65%
VIOO
Vanguard S&P Small-Cap 600 ETF
-2.31%3.51%2.15%4.01%3.22%8.28%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

BILIAUBNDXVTIPBNDGSGVNQVWOVIOOVVVEAIJH
BIL1.000.030.010.010.010.00-0.010.03-0.010.010.010.00
IAU0.031.000.270.370.390.150.100.12-0.03-0.020.11-0.02
BNDX0.010.271.000.350.70-0.090.15-0.03-0.08-0.04-0.04-0.07
VTIP0.010.370.351.000.530.260.180.110.060.070.130.07
BND0.010.390.700.531.00-0.090.18-0.02-0.12-0.07-0.04-0.10
GSG0.000.15-0.090.26-0.091.000.140.340.320.310.360.33
VNQ-0.010.100.150.180.180.141.000.430.570.610.530.63
VWO0.030.12-0.030.11-0.020.340.431.000.590.690.800.64
VIOO-0.01-0.03-0.080.06-0.120.320.570.591.000.810.720.95
VV0.01-0.02-0.040.07-0.070.310.610.690.811.000.820.88
VEA0.010.11-0.040.13-0.040.360.530.800.720.821.000.77
IJH0.00-0.02-0.070.07-0.100.330.630.640.950.880.771.00

Sharpe Ratio

The current 7Twelve Portfolio Sharpe ratio is 0.63. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.63

The Sharpe ratio of 7Twelve Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.63
0.82
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

7Twelve Portfolio granted a 2.49% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
7Twelve Portfolio2.49%2.37%1.95%1.48%2.24%2.44%1.97%2.01%1.95%2.04%1.88%1.89%
IJH
iShares Core S&P Mid-Cap ETF
1.62%1.69%1.21%1.33%1.71%1.84%1.30%1.76%1.75%1.53%1.49%1.67%
BNDX
Vanguard Total International Bond ETF
1.98%1.53%3.84%1.18%3.67%3.35%2.56%2.22%1.94%1.87%1.07%0.00%
VNQ
Vanguard Real Estate ETF
4.68%4.00%2.71%4.28%3.85%5.57%5.21%6.19%5.28%5.05%6.30%5.41%
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
4.09%1.39%0.00%0.31%2.15%1.78%0.74%0.07%0.00%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.00%2.65%2.06%2.36%2.97%3.15%2.93%2.97%3.12%3.46%3.56%4.26%
VEA
Vanguard FTSE Developed Markets ETF
3.08%2.97%3.32%2.22%3.38%3.84%3.27%3.71%3.66%4.75%3.47%4.08%
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
1.85%1.68%1.22%1.52%1.92%2.25%1.93%2.22%2.25%2.07%2.09%2.57%
VWO
Vanguard FTSE Emerging Markets ETF
3.06%4.17%2.77%2.06%3.58%3.30%2.71%3.03%4.03%3.64%3.58%2.95%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
5.07%6.89%5.04%1.35%2.23%2.85%1.81%0.92%0.00%1.00%0.06%0.13%
VIOO
Vanguard S&P Small-Cap 600 ETF
1.48%1.51%1.18%1.12%1.42%1.39%1.18%1.03%1.37%1.17%0.95%1.63%

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
IJH
iShares Core S&P Mid-Cap ETF
0.37
BNDX
Vanguard Total International Bond ETF
0.14
VNQ
Vanguard Real Estate ETF
-0.28
IAU
iShares Gold Trust
1.06
BIL
SPDR Barclays 1-3 Month T-Bill ETF
14.76
BND
Vanguard Total Bond Market ETF
-0.07
VEA
Vanguard FTSE Developed Markets ETF
1.01
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.24
VV
Vanguard Large-Cap ETF
0.91
VWO
Vanguard FTSE Emerging Markets ETF
0.26
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
0.44
VIOO
Vanguard S&P Small-Cap 600 ETF
0.12

Drawdowns Chart

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


-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-5.47%
-8.22%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the 7Twelve Portfolio. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the 7Twelve Portfolio is 22.46%, recorded on Mar 23, 2020. It took 114 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.46%Jan 21, 202044Mar 23, 2020114Sep 2, 2020158
-15.36%Nov 16, 2021217Sep 27, 2022
-13.82%Jul 2, 2014391Jan 20, 2016144Aug 15, 2016535
-10.52%Jan 29, 2018229Dec 24, 201866Apr 1, 2019295
-4.79%Sep 3, 202014Sep 23, 202013Oct 12, 202027

Volatility Chart

The current 7Twelve Portfolio volatility is 1.85%, 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.


2.00%3.00%4.00%5.00%AprilMayJuneJulyAugustSeptember
1.85%
3.27%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components