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

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
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

8.33%

BND
Vanguard Total Bond Market ETF
Total Bond Market

8.33%

BNDX
Vanguard Total International Bond ETF
Total Bond Market

8.33%

GSG
iShares S&P GSCI Commodity-Indexed Trust
Commodities

8.33%

IAU
iShares Gold Trust
Precious Metals, Gold

8.33%

IJH
iShares Core S&P Mid-Cap ETF
Small Cap Growth Equities

8.34%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

8.33%

VIOO
Vanguard S&P Small-Cap 600 ETF
Small Cap Blend Equities

8.34%

VNQ
Vanguard Real Estate ETF
REIT

8.34%

VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
Inflation-Protected Bonds

8.33%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

8.34%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

8.33%

S&P 500

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 Quarterly


100.00%150.00%200.00%250.00%FebruaryMarchAprilMayJuneJuly
82.67%
242.32%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Jul 12, 2024, the 7Twelve Portfolio returned 6.84% Year-To-Date and 5.24% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
17.08%3.89%16.83%24.87%13.16%10.96%
7Twelve Portfolio6.84%2.23%7.60%10.93%6.95%5.27%
IJH
iShares Core S&P Mid-Cap ETF
8.49%1.56%10.52%12.67%10.54%9.48%
BNDX
Vanguard Total International Bond ETF
0.25%0.81%0.79%5.25%-0.22%1.99%
VNQ
Vanguard Real Estate ETF
0.31%5.02%1.79%4.98%3.24%5.53%
IAU
iShares Gold Trust
16.91%3.99%17.75%22.86%11.12%6.23%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
2.77%0.41%2.56%5.29%2.04%1.37%
BND
Vanguard Total Bond Market ETF
0.75%1.09%0.87%3.36%0.07%1.46%
VEA
Vanguard FTSE Developed Markets ETF
8.07%1.59%8.81%11.18%7.26%4.97%
GSG
iShares S&P GSCI Commodity-Indexed Trust
10.92%1.04%9.66%8.38%6.90%-3.58%
VV
Vanguard Large-Cap ETF
17.85%3.15%17.36%25.88%14.89%12.94%
VWO
Vanguard FTSE Emerging Markets ETF
10.94%4.27%12.84%11.30%4.36%3.13%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
2.64%0.92%2.21%5.65%3.28%2.10%
VIOO
Vanguard S&P Small-Cap 600 ETF
2.42%2.66%6.37%9.36%8.74%8.84%

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
2024-0.88%1.84%2.97%-2.12%2.40%0.43%6.84%
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%0.28%0.59%0.78%-1.93%2.96%-2.21%3.26%13.53%
2020-1.26%-4.16%-11.20%5.64%3.90%2.58%3.97%2.27%-2.20%-0.59%7.13%4.11%9.09%
20196.02%1.55%0.79%1.63%-3.18%4.18%0.24%-0.28%0.94%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%
2013-2.56%3.31%-1.17%2.20%2.02%-0.27%0.47%3.94%

Expense Ratio

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.


Expense ratio chart for GSG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for IAU: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VIOO: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for BNDX: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for IJH: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for VV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for VTIP: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for BND: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 7Twelve Portfolio is 34, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of 7Twelve Portfolio is 3434
7Twelve Portfolio
The Sharpe Ratio Rank of 7Twelve Portfolio is 3131Sharpe Ratio Rank
The Sortino Ratio Rank of 7Twelve Portfolio is 3333Sortino Ratio Rank
The Omega Ratio Rank of 7Twelve Portfolio is 3333Omega Ratio Rank
The Calmar Ratio Rank of 7Twelve Portfolio is 3939Calmar Ratio Rank
The Martin Ratio Rank of 7Twelve Portfolio is 3131Martin 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.


7Twelve Portfolio
Sharpe ratio
The chart of Sharpe ratio for 7Twelve Portfolio, currently valued at 1.62, compared to the broader market-1.000.001.002.003.004.005.001.62
Sortino ratio
The chart of Sortino ratio for 7Twelve Portfolio, currently valued at 2.42, compared to the broader market-2.000.002.004.006.002.42
Omega ratio
The chart of Omega ratio for 7Twelve Portfolio, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for 7Twelve Portfolio, currently valued at 1.39, compared to the broader market0.002.004.006.008.0010.001.39
Martin ratio
The chart of Martin ratio for 7Twelve Portfolio, currently valued at 5.11, compared to the broader market0.0010.0020.0030.0040.005.11
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.31, compared to the broader market-1.000.001.002.003.004.005.002.31
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.002.004.006.008.0010.001.82
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.58, compared to the broader market0.0010.0020.0030.0040.008.58

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IJH
iShares Core S&P Mid-Cap ETF
0.921.391.160.802.77
BNDX
Vanguard Total International Bond ETF
1.342.061.230.464.74
VNQ
Vanguard Real Estate ETF
0.340.621.070.180.85
IAU
iShares Gold Trust
1.822.581.331.998.67
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.82338.06240.05487.755,508.25
BND
Vanguard Total Bond Market ETF
0.731.101.130.272.04
VEA
Vanguard FTSE Developed Markets ETF
1.221.791.220.903.63
GSG
iShares S&P GSCI Commodity-Indexed Trust
0.650.991.120.241.63
VV
Vanguard Large-Cap ETF
2.473.441.442.179.71
VWO
Vanguard FTSE Emerging Markets ETF
1.111.661.200.533.01
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
2.724.901.592.3524.97
VIOO
Vanguard S&P Small-Cap 600 ETF
0.611.031.120.451.78

Sharpe Ratio

The current 7Twelve Portfolio Sharpe ratio is 1.62. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.58 to 2.51, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of 7Twelve Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.62
2.31
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

7Twelve Portfolio granted a 2.61% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
7Twelve Portfolio2.61%2.56%2.34%1.86%1.38%2.05%2.17%1.69%1.68%1.59%1.62%1.44%
IJH
iShares Core S&P Mid-Cap ETF
1.32%1.46%1.68%1.18%1.28%1.62%1.72%1.19%1.60%1.56%1.34%1.29%
BNDX
Vanguard Total International Bond ETF
4.72%4.42%1.51%3.74%1.11%3.40%3.01%2.23%1.89%1.63%1.54%0.86%
VNQ
Vanguard Real Estate ETF
4.10%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%
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
5.23%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.41%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%2.78%
VEA
Vanguard FTSE Developed Markets ETF
3.27%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
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
1.30%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%
VWO
Vanguard FTSE Emerging Markets ETF
3.09%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF
3.49%3.36%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%0.82%0.05%
VIOO
Vanguard S&P Small-Cap 600 ETF
1.44%1.47%1.51%1.16%1.09%1.37%1.32%1.11%0.95%1.26%1.06%0.86%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly0
-0.88%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

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.


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
-4.79%Sep 3, 202014Sep 23, 202013Oct 12, 202027

Volatility

Volatility Chart

The current 7Twelve Portfolio volatility is 1.63%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
1.63%
2.07%
7Twelve Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

BILIAUBNDXBNDVTIPGSGVNQVWOVIOOVVVEAIJH
BIL1.000.030.010.020.020.00-0.010.03-0.000.020.020.01
IAU0.031.000.260.380.370.160.110.14-0.02-0.010.13-0.01
BNDX0.010.261.000.720.38-0.100.17-0.01-0.05-0.01-0.01-0.04
BND0.020.380.721.000.55-0.090.210.00-0.08-0.04-0.00-0.06
VTIP0.020.370.380.551.000.250.200.120.070.080.150.09
GSG0.000.16-0.10-0.090.251.000.120.330.300.290.340.31
VNQ-0.010.110.170.210.200.121.000.430.590.610.540.65
VWO0.030.14-0.010.000.120.330.431.000.590.690.790.63
VIOO-0.00-0.02-0.05-0.080.070.300.590.591.000.800.720.95
VV0.02-0.01-0.01-0.040.080.290.610.690.801.000.820.87
VEA0.020.13-0.01-0.000.150.340.540.790.720.821.000.77
IJH0.01-0.01-0.04-0.060.090.310.650.630.950.870.771.00
The correlation results are calculated based on daily price changes starting from Jun 5, 2013