Merriman 4
Asset Allocation
Performance
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
Returns
As of Sep 23, 2023, the Merriman 4 returned 6.64% Year-To-Date and 9.64% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.29% | 8.79% | 12.52% | 16.97% | 8.17% | 10.84% |
| Merriman 4 | -1.67% | 4.93% | 6.64% | 15.11% | 5.72% | 9.64% |
| Portfolio components: | ||||||
VOO Vanguard S&P 500 ETF | -1.14% | 9.62% | 13.90% | 18.91% | 10.04% | 12.86% |
VIOV Vanguard S&P Small-Cap 600 Value ETF | -4.19% | 0.06% | -0.95% | 7.60% | 3.03% | 8.84% |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | -0.64% | 3.18% | 6.01% | 16.70% | 1.71% | 5.26% |
VYMI Vanguard International High Dividend Yield ETF | 2.56% | 8.20% | 9.31% | 23.33% | 4.39% | 6.79% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| VIOV | VOO | VYMI | VSS | |
|---|---|---|---|---|
| VIOV | 1.00 | 0.75 | 0.69 | 0.67 |
| VOO | 0.75 | 1.00 | 0.76 | 0.78 |
| VYMI | 0.69 | 0.76 | 1.00 | 0.91 |
| VSS | 0.67 | 0.78 | 0.91 | 1.00 |
Dividend yield
Merriman 4 granted a 2.34% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Merriman 4 | 2.34% | 2.24% | 2.09% | 1.88% | 2.52% | 2.64% | 2.31% | 2.25% | 1.95% | 1.87% | 1.77% | 2.17% |
| Portfolio components: | ||||||||||||
VOO Vanguard S&P 500 ETF | 1.56% | 1.71% | 1.28% | 1.60% | 1.99% | 2.23% | 1.96% | 2.26% | 2.41% | 2.17% | 2.19% | 2.65% |
VIOV Vanguard S&P Small-Cap 600 Value ETF | 1.95% | 1.82% | 1.63% | 1.48% | 1.69% | 1.90% | 1.56% | 1.30% | 1.49% | 1.45% | 1.05% | 1.53% |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 3.15% | 2.33% | 2.84% | 2.02% | 3.54% | 3.15% | 3.27% | 3.48% | 3.25% | 3.36% | 3.50% | 3.95% |
VYMI Vanguard International High Dividend Yield ETF | 4.53% | 4.87% | 4.67% | 3.65% | 4.94% | 5.28% | 4.10% | 3.17% | 0.00% | 0.00% | 0.00% | 0.00% |
Expense Ratio
The Merriman 4 features an expense ratio of 0.10%, 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 | |
|---|---|---|---|---|---|
VOO Vanguard S&P 500 ETF | 0.92 | ||||
VIOV Vanguard S&P Small-Cap 600 Value ETF | 0.13 | ||||
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 0.70 | ||||
VYMI Vanguard International High Dividend Yield ETF | 1.23 |
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 Merriman 4. 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 Merriman 4 is 38.92%, recorded on Mar 23, 2020. It took 166 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -38.92% | Jan 21, 2020 | 44 | Mar 23, 2020 | 166 | Nov 16, 2020 | 210 |
| -24.59% | Nov 9, 2021 | 225 | Sep 30, 2022 | — | — | — |
| -21.35% | Aug 30, 2018 | 80 | Dec 24, 2018 | 217 | Nov 4, 2019 | 297 |
| -9.39% | Jan 29, 2018 | 9 | Feb 8, 2018 | 134 | Aug 21, 2018 | 143 |
| -7.57% | Jun 9, 2016 | 13 | Jun 27, 2016 | 10 | Jul 12, 2016 | 23 |
Volatility Chart
The current Merriman 4 volatility is 3.56%, 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.