PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Paul Merriman Ultimate Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


VTV 10%VIOV 10%VV 10%VEU 10%VIOO 10%VWO 10%EFV 10%DLS 10%VSS 10%VNQ 10%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
DLS
WisdomTree International SmallCap Dividend
Foreign Small & Mid Cap Equities, Dividend

10%

EFV
iShares MSCI EAFE Value ETF
Foreign Large Cap Equities

10%

VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities

10%

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

10%

VIOV
Vanguard S&P Small-Cap 600 Value ETF
Small Cap Blend Equities

10%

VNQ
Vanguard Real Estate ETF
REIT

10%

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

10%

VTV
Vanguard Value ETF
Large Cap Value Equities

10%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

10%

VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities

10%

S&P 500

Performance

Performance Chart

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


200.00%250.00%300.00%350.00%400.00%FebruaryMarchAprilMayJuneJuly
215.65%
398.56%
Paul Merriman Ultimate Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 9, 2010, corresponding to the inception date of VIOV

Returns By Period

As of Jul 22, 2024, the Paul Merriman Ultimate Portfolio returned 7.24% Year-To-Date and 6.58% of annualized return in the last 10 years.


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%
Paul Merriman Ultimate Portfolio7.24%3.88%9.57%11.65%7.79%6.63%
VTV
Vanguard Value ETF
11.81%2.58%11.29%15.10%10.88%10.08%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
2.09%8.41%5.68%7.03%8.97%8.22%
VV
Vanguard Large-Cap ETF
16.17%0.85%13.67%22.85%14.65%12.75%
VEU
Vanguard FTSE All-World ex-US ETF
7.21%1.87%10.01%10.26%6.33%4.27%
VIOO
Vanguard S&P Small-Cap 600 ETF
5.59%7.76%8.09%11.20%9.42%9.27%
VWO
Vanguard FTSE Emerging Markets ETF
7.40%-0.05%11.63%8.52%3.77%2.65%
EFV
iShares MSCI EAFE Value ETF
7.86%4.02%10.08%12.95%6.98%3.26%
DLS
WisdomTree International SmallCap Dividend
5.84%4.25%8.80%12.09%4.46%3.79%
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
4.83%2.12%8.92%7.76%5.51%3.59%
VNQ
Vanguard Real Estate ETF
2.61%7.05%6.26%6.66%4.08%5.76%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.30%2.69%3.33%-3.53%4.22%-0.52%7.24%
20238.38%-3.28%-0.51%0.70%-3.34%5.76%4.32%-3.69%-4.19%-3.92%8.51%7.28%15.59%
2022-3.68%-1.75%0.98%-6.30%0.88%-8.06%5.76%-4.06%-10.02%6.35%8.67%-3.47%-15.45%
20211.24%4.61%3.56%3.40%2.38%0.11%-0.45%1.97%-3.48%3.65%-3.47%4.93%19.54%
2020-3.29%-8.06%-18.63%9.91%4.16%3.11%3.97%4.59%-2.76%-1.07%13.34%5.66%7.00%
20198.86%2.25%0.23%2.80%-6.02%5.57%-0.47%-2.55%3.13%2.81%1.81%3.75%23.59%
20183.90%-4.77%-0.08%0.47%0.91%-0.62%2.66%0.15%-0.83%-7.71%2.07%-7.63%-11.63%
20172.25%2.19%1.00%1.49%0.74%1.54%2.56%-0.15%3.00%1.26%1.85%1.47%20.95%
2016-5.69%-0.40%8.63%1.31%0.29%0.18%4.62%0.31%1.03%-2.38%2.38%2.45%12.78%
2015-0.98%4.94%-0.58%1.90%0.03%-2.10%-0.32%-6.37%-2.67%6.23%0.08%-2.00%-2.42%
2014-3.46%5.11%0.99%0.44%1.64%2.22%-2.02%2.50%-4.88%2.75%0.18%-0.91%4.21%
20134.10%0.11%2.19%2.92%-1.05%-2.43%4.68%-2.66%6.13%3.96%0.78%1.61%21.82%

Expense Ratio

Paul Merriman Ultimate Portfolio has an expense ratio of 0.16%, 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 DLS: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for EFV: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
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 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 VEU: 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 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 VTV: 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 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Paul Merriman Ultimate Portfolio is 16, indicating that it is in the bottom 16% 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 Paul Merriman Ultimate Portfolio is 1616
Paul Merriman Ultimate Portfolio
The Sharpe Ratio Rank of Paul Merriman Ultimate Portfolio is 1616Sharpe Ratio Rank
The Sortino Ratio Rank of Paul Merriman Ultimate Portfolio is 1616Sortino Ratio Rank
The Omega Ratio Rank of Paul Merriman Ultimate Portfolio is 1616Omega Ratio Rank
The Calmar Ratio Rank of Paul Merriman Ultimate Portfolio is 1717Calmar Ratio Rank
The Martin Ratio Rank of Paul Merriman Ultimate Portfolio is 1616Martin 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.


Paul Merriman Ultimate Portfolio
Sharpe ratio
The chart of Sharpe ratio for Paul Merriman Ultimate Portfolio, currently valued at 0.94, compared to the broader market-1.000.001.002.003.004.000.94
Sortino ratio
The chart of Sortino ratio for Paul Merriman Ultimate Portfolio, currently valued at 1.44, compared to the broader market-2.000.002.004.006.001.44
Omega ratio
The chart of Omega ratio for Paul Merriman Ultimate Portfolio, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for Paul Merriman Ultimate Portfolio, currently valued at 0.64, compared to the broader market0.002.004.006.008.0010.000.64
Martin ratio
The chart of Martin ratio for Paul Merriman Ultimate Portfolio, currently valued at 2.68, compared to the broader market0.0010.0020.0030.0040.002.68
^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
VTV
Vanguard Value ETF
1.732.491.301.735.45
VIOV
Vanguard S&P Small-Cap 600 Value ETF
0.320.631.070.280.86
VV
Vanguard Large-Cap ETF
1.972.781.351.757.82
VEU
Vanguard FTSE All-World ex-US ETF
0.861.281.150.562.44
VIOO
Vanguard S&P Small-Cap 600 ETF
0.570.981.110.431.68
VWO
Vanguard FTSE Emerging Markets ETF
0.701.081.130.331.89
EFV
iShares MSCI EAFE Value ETF
1.121.621.191.524.48
DLS
WisdomTree International SmallCap Dividend
0.811.251.140.432.66
VSS
Vanguard FTSE All-World ex-US Small-Cap ETF
0.550.881.100.281.49
VNQ
Vanguard Real Estate ETF
0.420.741.090.221.05

Sharpe Ratio

The current Paul Merriman Ultimate Portfolio Sharpe ratio is 0.94. 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 2.07, 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 Paul Merriman Ultimate 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 Ratio0.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.94
1.82
Paul Merriman Ultimate Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Paul Merriman Ultimate Portfolio granted a 2.89% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Paul Merriman Ultimate Portfolio2.89%3.01%3.01%2.44%2.12%2.82%2.98%2.50%2.63%2.62%2.75%2.52%
VTV
Vanguard Value ETF
2.39%2.46%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%
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%
VV
Vanguard Large-Cap ETF
1.32%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%
VEU
Vanguard FTSE All-World ex-US ETF
3.05%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
VIOO
Vanguard S&P Small-Cap 600 ETF
1.39%1.47%1.51%1.16%1.09%1.37%1.32%1.11%0.95%1.26%1.06%0.86%
VWO
Vanguard FTSE Emerging Markets ETF
3.19%3.52%4.11%2.63%1.91%3.23%2.88%2.30%2.52%3.26%2.86%2.73%
EFV
iShares MSCI EAFE Value ETF
4.56%4.36%4.17%4.07%2.42%4.62%4.56%3.56%3.28%3.59%4.87%3.19%
DLS
WisdomTree International SmallCap Dividend
3.75%4.29%4.96%3.29%2.50%3.37%3.66%2.79%3.29%2.72%3.61%3.89%
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%
VNQ
Vanguard Real Estate ETF
4.01%3.95%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%

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
-1.95%
-2.86%
Paul Merriman Ultimate Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Paul Merriman Ultimate 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 Paul Merriman Ultimate Portfolio was 38.24%, occurring on Mar 23, 2020. Recovery took 171 trading sessions.

The current Paul Merriman Ultimate Portfolio drawdown is 1.95%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.24%Jan 21, 202044Mar 23, 2020171Nov 23, 2020215
-25.31%Nov 9, 2021233Oct 12, 2022365Mar 27, 2024598
-24.64%May 2, 2011108Oct 3, 2011304Dec 18, 2012412
-20.07%Jan 29, 2018229Dec 24, 2018234Nov 27, 2019463
-19.7%May 18, 2015187Feb 11, 2016142Sep 2, 2016329

Volatility

Volatility Chart

The current Paul Merriman Ultimate Portfolio volatility is 2.88%, 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
2.88%
2.76%
Paul Merriman Ultimate 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.

VNQVIOVVWOVIOOVTVVVDLSEFVVSSVEU
VNQ1.000.580.480.610.650.640.550.540.550.56
VIOV0.581.000.580.920.790.740.650.680.670.67
VWO0.480.581.000.600.670.720.780.770.850.88
VIOO0.610.920.601.000.810.800.690.700.710.71
VTV0.650.790.670.811.000.900.760.810.770.80
VV0.640.740.720.800.901.000.780.780.800.83
DLS0.550.650.780.690.760.781.000.920.940.93
EFV0.540.680.770.700.810.780.921.000.900.95
VSS0.550.670.850.710.770.800.940.901.000.95
VEU0.560.670.880.710.800.830.930.950.951.00
The correlation results are calculated based on daily price changes starting from Sep 10, 2010