Craig Israelsen 7Twelve Portfolio: ETF allocation and returns

Last Update: 30 November 2019

The Craig Israelsen 7Twelve Portfolio is exposed for 50% on the Stock Market and for 16.66% on Commodities.

It's a High Risk portfolio and it can be replicated with 9 ETFs.

In the last 10 years, the portfolio obtained a 5.05% compound annual return, with a 8.49% standard deviation.

Asset Allocation and ETFs

The Craig Israelsen 7Twelve Portfolio has the following asset allocation:

        50% Stocks
      
        33.34% Fixed Income
      
        16.66% Commodities

The Craig Israelsen 7Twelve Portfolio can be replicated with the following ETFs:

Weight	Ticker	ETF Name	Investment Themes
8.34 %	VNQ	Vanguard Real Estate	Real Estate, U.S.
8.34 %	VV	Vanguard Large-Cap	Equity, U.S., Large Cap
8.33 %	EEM	iShares MSCI Emerging Markets	Equity, Emerging Markets, Large Cap
8.33 %	EFA	iShares MSCI EAFE	Equity, EAFE, Large Cap
8.33 %	IJR	iShares Core S&P Small-Cap	Equity, U.S., Small Cap
8.33 %	VO	Vanguard Mid-Cap	Equity, U.S., Mid Cap
25.00 %	IEI	iShares 3-7 Year Treasury Bond	Bond, U.S., Intermediate-Term
8.34 %	BIL	SPDR Blmbg Barclays 1-3 Mth T-Bill	Bond, U.S., Ultra Short-Term
16.66 %	GSG	iShares S&P GSCI Commodity Indexed Trust	Commodity, Broad Diversified

Historical Returns

Craig Israelsen 7Twelve Portfolio - Historical returns and stats.

Returns, capital growth, stats are calculated assuming a rebalancing of the portfolio at the beginning of each year (i.e. at every January 1st).

CRAIG ISRAELSEN 7TWELVE PORTFOLIO

Last Update: 30 November 2019

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Period	Returns Nov 2019	Standard Deviation *	Max Drawdown	Months Pos - Neg
1M	+0.84%		0.00%	1 - 0
3M	+3.62%		0.00%	3 - 0
6M	+6.36%		-1.24% Aug 2019 - Aug 2019	5 - 1
YTD	+13.97%		-3.93% May 2019 - May 2019	9 - 2
1Y	+8.58%	10.06%	-4.73% Dec 2018 - Dec 2018	9 - 3
3Y	+6.46% annualized	7.27%	-9.82% Oct 2018 - Dec 2018	29 - 7
5Y	+3.13% annualized	7.26%	-12.11% May 2015 - Feb 2016	40 - 20
10Y	+5.05% annualized	8.49%	-14.55% Jul 2014 - Feb 2016	78 - 42
MAX Dec 2006	+3.82% annualized	10.41%	-37.97% Jun 2008 - Feb 2009	99 - 56

* Annualized St.Dev. of monthly returns

Best High Risk Porftolios, ordered by 10Y annualized return.

Portfolio	10Y Return ▾	#ETF	Stocks	Bonds
Simple Path to Wealth JL Collins	+11.05%	2	75	25
Talmud Portfolio Roger Gibson	+10.05%	3	66.67	33.33
Stocks/Bonds 60/40	+9.59%	2	60	40
Yale Endowment David Swensen	+9.42%	6	70	30
Family Taxable Portfolio Ted Aronson	+8.77%	11	70	30

See all portfolios

Capital Growth

Time Range:

Drawdowns

Time Range:

Worst drawdowns since November 2009.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-14.55%	Jul 2014	Feb 2016	20	Jul 2017	17	37
-13.51%	May 2011	Sep 2011	5	Dec 2012	15	20
-9.82%	Oct 2018	Dec 2018	3	Apr 2019	4	7
-7.69%	May 2010	Jun 2010	2	Sep 2010	3	5
-3.93%	May 2019	May 2019	1	Oct 2019	5	6
-3.30%	Jan 2010	Jan 2010	1	Mar 2010	2	3
-3.22%	Feb 2018	Feb 2018	1	Jul 2018	5	6
-2.35%	May 2013	Jun 2013	2	Jul 2013	1	3
-1.63%	Jan 2014	Jan 2014	1	Feb 2014	1	2
-1.38%	Aug 2013	Aug 2013	1	Sep 2013	1	2
-0.57%	Feb 2013	Feb 2013	1	Mar 2013	1	2
-0.34%	Nov 2010	Nov 2010	1	Dec 2010	1	2

Worst drawdowns since December 2006.

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	Drawdown period			Recovery period		Total
Drawdown	Start	Bottom	#Months	End	#Months	#Months
-37.97%	Jun 2008	Feb 2009	9	Feb 2011	24	33
-14.55%	Jul 2014	Feb 2016	20	Jul 2017	17	37
-13.51%	May 2011	Sep 2011	5	Dec 2012	15	20
-9.82%	Oct 2018	Dec 2018	3	Apr 2019	4	7
-4.35%	Nov 2007	Jan 2008	3	Apr 2008	3	6
-3.93%	May 2019	May 2019	1	Oct 2019	5	6
-3.22%	Feb 2018	Feb 2018	1	Jul 2018	5	6
-2.35%	May 2013	Jun 2013	2	Jul 2013	1	3
-1.63%	Jan 2014	Jan 2014	1	Feb 2014	1	2
-1.38%	Aug 2013	Aug 2013	1	Sep 2013	1	2
-0.99%	Jun 2007	Jul 2007	2	Sep 2007	2	4
-0.57%	Feb 2013	Feb 2013	1	Mar 2013	1	2

Rolling Returns

Craig Israelsen 7Twelve Portfolio: annualized rolling and average returns

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	*Return ()**			Negative Periods
Rolling Period	Average	Best	Worst	Negative Periods
1 Year	+4.02%	+37.90% Mar 2009 - Feb 2010	-33.99% Mar 2008 - Feb 2009	29.86%
2 Years	+3.77%	+27.20% Mar 2009 - Feb 2011	-15.17% Mar 2007 - Feb 2009	27.27%
3 Years	+4.35%	+18.54% Mar 2009 - Feb 2012	-2.25% Jul 2007 - Jun 2010	12.50%
5 Years	+4.22%	+13.74% Mar 2009 - Feb 2014	+0.79% Mar 2011 - Feb 2016	0.00%
7 Years	+4.37%	+7.72% Mar 2009 - Feb 2016	+2.43% Jun 2008 - May 2015	0.00%
10 Years	+4.29%	+7.76% Mar 2009 - Feb 2019	+2.73% Nov 2007 - Oct 2017	0.00%

* Annualized rolling and average returns over full calendar month periods

Yearly Returns - Monthly Returns Heatmap

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		Months
Year	Return	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	+13.97%	6.4	1.7	1.2	1.9	-3.9	3.9	0.0	-1.2	1.3	1.4	0.8
2018	-6.60%	2.1	-3.2	0.8	0.7	1.3	0.3	0.6	1.0	0.0	-4.9	-0.5	-4.7
2017	+11.15%	1.0	1.4	-0.2	0.4	0.5	0.3	2.0	0.0	1.5	1.4	1.2	1.2
2016	+7.88%	-3.1	-0.4	5.1	1.8	0.5	1.4	0.5	0.1	1.0	-2.0	1.0	2.0
2015	-6.71%	-1.0	2.6	-0.6	1.6	-0.4	-1.3	-1.8	-3.3	-1.8	3.1	-1.4	-2.3
2014	-0.27%	-1.6	3.3	0.2	0.5	1.1	1.6	-1.9	1.6	-3.5	1.4	-0.7	-2.1
2013	+9.98%	2.7	-0.6	1.6	0.8	-1.0	-1.4	3.2	-1.4	2.5	2.0	0.5	0.8
2012	+9.05%	4.0	2.6	0.2	-0.1	-5.9	2.5	1.3	2.3	0.7	-1.2	1.0	1.7
2011	-0.33%	1.2	2.0	1.1	3.0	-1.3	-2.0	0.1	-3.5	-7.4	7.7	-0.4	-0.1
2010	+12.87%	-3.3	2.7	3.7	2.1	-5.9	-1.9	5.4	-2.5	6.0	2.6	-0.3	4.4
2009	+19.77%	-7.6	-6.6	5.3	7.0	6.8	-0.7	5.2	2.6	3.1	-1.3	3.6	2.2
2008	-24.01%	-2.3	1.6	0.1	3.8	2.5	-1.9	-3.5	-1.3	-5.7	-15.3	-5.6	2.0
2007	+11.31%	1.0	0.4	1.2	1.7	1.2	-0.4	-0.6	0.8	4.3	3.4	-2.4	0.3

* Note:
Portofolio Returns, up to December 2007, are simulated. They have been calculated using the historical series of equivalent ETFs / Assets, instead of the actual ETFs of the portfolio.

In particular, it has been used:

IEI - iShares 3-7 Year Treasury Bond: simulated historical serie, up to December 2007

BIL - SPDR Blmbg Barclays 1-3 Mth T-Bill: simulated historical serie, up to December 2007