7Twelve Portfolio
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
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
Returns
As of Sep 23, 2023, the 7Twelve Portfolio returned 3.97% Year-To-Date and 4.60% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.94% | 8.79% | 12.52% | 16.97% | 8.21% | 9.81% |
| 7Twelve Portfolio | -0.73% | 2.74% | 3.97% | 8.94% | 4.91% | 4.59% |
| Portfolio components: | ||||||
IJH iShares Core S&P Mid-Cap ETF | -3.08% | 4.65% | 3.95% | 13.36% | 5.85% | 8.82% |
BNDX Vanguard Total International Bond ETF | -0.52% | -1.26% | 2.74% | 2.20% | 0.15% | 1.87% |
VNQ Vanguard Real Estate ETF | -4.32% | -0.60% | -4.10% | -3.86% | 2.85% | 5.50% |
IAU iShares Gold Trust | 0.55% | -2.67% | 5.41% | 16.93% | 9.74% | 3.62% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.40% | 2.42% | 3.46% | 4.38% | 1.55% | 0.95% |
BND Vanguard Total Bond Market ETF | -0.60% | -3.51% | 0.08% | 0.78% | 0.34% | 1.19% |
VEA Vanguard FTSE Developed Markets ETF | -0.35% | 3.81% | 7.92% | 23.85% | 3.34% | 4.09% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 5.02% | 17.36% | 6.36% | 9.99% | 4.96% | -3.49% |
VV Vanguard Large-Cap ETF | -1.63% | 10.07% | 14.51% | 19.13% | 9.97% | 11.73% |
VWO Vanguard FTSE Emerging Markets ETF | -0.64% | 1.22% | 3.19% | 8.96% | 2.18% | 2.42% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 0.32% | 0.02% | 2.18% | 2.63% | 2.83% | 1.66% |
VIOO Vanguard S&P Small-Cap 600 ETF | -4.02% | 1.51% | 0.35% | 7.97% | 2.98% | 8.07% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| BIL | IAU | BNDX | VTIP | BND | GSG | VNQ | VWO | VIOO | VV | VEA | IJH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.03 | 0.01 | 0.01 | 0.01 | 0.00 | -0.01 | 0.03 | -0.01 | 0.01 | 0.01 | 0.00 |
| IAU | 0.03 | 1.00 | 0.27 | 0.37 | 0.39 | 0.15 | 0.10 | 0.13 | -0.03 | -0.02 | 0.11 | -0.02 |
| BNDX | 0.01 | 0.27 | 1.00 | 0.35 | 0.70 | -0.09 | 0.15 | -0.02 | -0.08 | -0.04 | -0.04 | -0.07 |
| VTIP | 0.01 | 0.37 | 0.35 | 1.00 | 0.53 | 0.26 | 0.18 | 0.11 | 0.06 | 0.07 | 0.13 | 0.07 |
| BND | 0.01 | 0.39 | 0.70 | 0.53 | 1.00 | -0.09 | 0.18 | -0.02 | -0.12 | -0.07 | -0.04 | -0.10 |
| GSG | 0.00 | 0.15 | -0.09 | 0.26 | -0.09 | 1.00 | 0.14 | 0.34 | 0.32 | 0.31 | 0.36 | 0.33 |
| VNQ | -0.01 | 0.10 | 0.15 | 0.18 | 0.18 | 0.14 | 1.00 | 0.43 | 0.58 | 0.61 | 0.53 | 0.64 |
| VWO | 0.03 | 0.13 | -0.02 | 0.11 | -0.02 | 0.34 | 0.43 | 1.00 | 0.59 | 0.69 | 0.80 | 0.64 |
| VIOO | -0.01 | -0.03 | -0.08 | 0.06 | -0.12 | 0.32 | 0.58 | 0.59 | 1.00 | 0.81 | 0.72 | 0.95 |
| VV | 0.01 | -0.02 | -0.04 | 0.07 | -0.07 | 0.31 | 0.61 | 0.69 | 0.81 | 1.00 | 0.82 | 0.88 |
| VEA | 0.01 | 0.11 | -0.04 | 0.13 | -0.04 | 0.36 | 0.53 | 0.80 | 0.72 | 0.82 | 1.00 | 0.77 |
| IJH | 0.00 | -0.02 | -0.07 | 0.07 | -0.10 | 0.33 | 0.64 | 0.64 | 0.95 | 0.88 | 0.77 | 1.00 |
Dividend yield
7Twelve Portfolio granted a 2.39% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 7Twelve Portfolio | 2.39% | 2.37% | 1.95% | 1.48% | 2.24% | 2.44% | 1.97% | 2.01% | 1.95% | 2.04% | 1.88% | 1.89% |
| Portfolio components: | ||||||||||||
IJH iShares Core S&P Mid-Cap ETF | 1.66% | 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 | 3.69% | 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 | 3.01% | 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 | 3.13% | 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 | 1.52% | 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 | 3.07% | 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 | 1.51% | 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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
IJH iShares Core S&P Mid-Cap ETF | 0.43 | ||||
BNDX Vanguard Total International Bond ETF | 0.21 | ||||
VNQ Vanguard Real Estate ETF | -0.29 | ||||
IAU iShares Gold Trust | 1.04 | ||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 14.90 | ||||
BND Vanguard Total Bond Market ETF | -0.07 | ||||
VEA Vanguard FTSE Developed Markets ETF | 1.11 | ||||
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.27 | ||||
VV Vanguard Large-Cap ETF | 0.91 | ||||
VWO Vanguard FTSE Emerging Markets ETF | 0.36 | ||||
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 0.48 | ||||
VIOO Vanguard S&P Small-Cap 600 ETF | 0.15 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
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, 2020 | 44 | Mar 23, 2020 | 114 | Sep 2, 2020 | 158 |
| -15.36% | Nov 16, 2021 | 217 | Sep 27, 2022 | — | — | — |
| -13.82% | Jul 2, 2014 | 391 | Jan 20, 2016 | 144 | Aug 15, 2016 | 535 |
| -10.52% | Jan 29, 2018 | 229 | Dec 24, 2018 | 66 | Apr 1, 2019 | 295 |
| -4.79% | Sep 3, 2020 | 14 | Sep 23, 2020 | 13 | Oct 12, 2020 | 27 |
Volatility Chart
The current 7Twelve Portfolio volatility is 2.12%, 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.