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Merriman 4
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VOO 35%VIOV 35%VSS 18%VYMI 12%EquityEquity
PositionCategory/SectorWeight
VIOV
Vanguard S&P Small-Cap 600 Value ETF
Small Cap Blend Equities

35%

VOO
Vanguard S&P 500 ETF
Large Cap Growth Equities

35%

VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
Foreign Small & Mid Cap Equities

18%

VYMI
Vanguard International High Dividend Yield ETF
Foreign Large Cap Equities, Dividend

12%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Merriman 4, 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


120.00%140.00%160.00%180.00%FebruaryMarchAprilMayJuneJuly
143.36%
177.13%
Merriman 4
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 2, 2016, corresponding to the inception date of VYMI

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Merriman 48.37%4.01%9.82%14.03%10.40%N/A
VOO
Vanguard S&P 500 ETF
16.29%0.91%14.33%23.21%14.66%12.82%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
2.09%8.41%5.18%7.89%8.77%8.04%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
4.83%2.12%8.60%7.92%5.34%3.60%
VYMI
Vanguard International High Dividend Yield ETF
7.91%2.97%10.41%12.92%7.26%N/A

Monthly Returns

The table below presents the monthly returns of Merriman 4, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.04%3.21%3.39%-4.18%4.71%-0.10%8.37%
20239.00%-2.37%-0.97%0.43%-2.33%6.68%4.66%-3.50%-4.76%-4.24%8.89%8.06%19.50%
2022-4.15%-0.78%1.58%-7.28%1.43%-9.01%7.52%-4.18%-9.83%9.21%6.53%-4.92%-15.05%
20211.82%5.97%4.47%3.50%2.54%0.37%-0.64%2.18%-3.20%4.38%-2.54%4.37%25.28%
2020-3.44%-8.69%-19.14%12.20%4.15%3.09%4.19%5.73%-3.85%-0.45%14.79%5.96%10.17%
20199.29%3.20%-0.70%3.73%-7.32%6.68%0.26%-3.31%3.57%2.46%2.64%3.54%25.58%
20184.00%-4.04%-0.58%0.84%2.43%-0.09%2.77%1.51%-1.01%-8.48%1.23%-8.95%-10.81%
20171.55%2.26%0.64%1.24%0.36%1.69%1.97%-0.72%4.27%1.34%2.52%1.15%19.79%
20164.99%1.79%0.50%-0.28%4.51%0.51%1.09%-2.83%5.55%2.42%19.47%

Expense Ratio

Merriman 4 has an expense ratio of 0.10%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for VYMI: current value at 0.22% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.22%
Expense ratio chart for VIOV: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VSS: 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 VOO: 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 Merriman 4 is 19, indicating that it is in the bottom 19% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Merriman 4 is 1919
Merriman 4
The Sharpe Ratio Rank of Merriman 4 is 1818Sharpe Ratio Rank
The Sortino Ratio Rank of Merriman 4 is 1919Sortino Ratio Rank
The Omega Ratio Rank of Merriman 4 is 1717Omega Ratio Rank
The Calmar Ratio Rank of Merriman 4 is 2323Calmar Ratio Rank
The Martin Ratio Rank of Merriman 4 is 1818Martin 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.


Merriman 4
Sharpe ratio
The chart of Sharpe ratio for Merriman 4, currently valued at 1.00, compared to the broader market-1.000.001.002.003.004.001.00
Sortino ratio
The chart of Sortino ratio for Merriman 4, currently valued at 1.53, compared to the broader market-2.000.002.004.006.001.53
Omega ratio
The chart of Omega ratio for Merriman 4, currently valued at 1.18, compared to the broader market0.801.001.201.401.601.801.18
Calmar ratio
The chart of Calmar ratio for Merriman 4, currently valued at 0.79, compared to the broader market0.002.004.006.008.0010.000.79
Martin ratio
The chart of Martin ratio for Merriman 4, currently valued at 2.91, compared to the broader market0.0010.0020.0030.0040.002.91
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF
1.992.801.351.937.76
VIOV
Vanguard S&P Small-Cap 600 Value ETF
0.320.631.070.280.86
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
0.550.881.100.281.49
VYMI
Vanguard International High Dividend Yield ETF
1.141.641.201.404.00

Sharpe Ratio

The current Merriman 4 Sharpe ratio is 1.00. 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 1.31 to 2.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Merriman 4 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
1.00
1.82
Merriman 4
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Merriman 4 granted a 2.33% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Merriman 42.33%2.39%2.20%2.00%1.76%2.31%2.36%2.02%1.93%1.68%1.57%1.45%
VOO
Vanguard S&P 500 ETF
1.31%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
2.31%2.18%1.81%1.59%1.42%1.60%1.76%1.43%1.17%1.32%1.27%0.91%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
2.89%3.14%2.30%2.74%1.90%3.25%2.80%2.83%2.93%2.66%2.67%2.71%
VYMI
Vanguard International High Dividend Yield ETF
4.53%4.58%4.70%4.30%3.22%4.20%4.29%3.21%2.39%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.32%
-2.86%
Merriman 4
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Merriman 4. 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 Merriman 4 was 38.92%, occurring on Mar 23, 2020. Recovery took 166 trading sessions.

The current Merriman 4 drawdown is 2.32%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.92%Jan 21, 202044Mar 23, 2020166Nov 16, 2020210
-24.59%Nov 9, 2021225Sep 30, 2022311Dec 27, 2023536
-21.35%Aug 30, 201880Dec 24, 2018217Nov 4, 2019297
-9.39%Jan 29, 20189Feb 8, 2018134Aug 21, 2018143
-7.57%Jun 9, 201613Jun 27, 201610Jul 12, 201623

Volatility

Volatility Chart

The current Merriman 4 volatility is 3.05%, 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.


1.00%2.00%3.00%4.00%5.00%FebruaryMarchAprilMayJuneJuly
3.05%
2.76%
Merriman 4
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.

VIOVVOOVYMIVSS
VIOV1.000.730.700.68
VOO0.731.000.750.78
VYMI0.700.751.000.91
VSS0.680.780.911.00
The correlation results are calculated based on daily price changes starting from Mar 3, 2016