Asset Allocation
Find the right asset allocation for Paul Merriman Ultimate Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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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 Every 3 months.
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Returns By Period
As of Jul 14, 2026, the Paul Merriman Ultimate Portfolio returned 12.63% Year-To-Date and 9.96% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.79% | 1.13% | 7.71% | 9.79% | 20.06% | 18.60% | 11.43% | 13.27% |
Portfolio Paul Merriman Ultimate Portfolio | -0.73% | -0.14% | 8.82% | 12.63% | 23.11% | 16.12% | 8.42% | 9.96% |
| Portfolio components: | ||||||||
DLS WisdomTree International SmallCap Dividend | -1.14% | -1.87% | 2.52% | 5.55% | 14.86% | 15.43% | 6.64% | 7.77% |
EFV iShares MSCI EAFE Value ETF | -0.46% | 1.46% | 9.84% | 12.17% | 28.73% | 21.37% | 13.47% | 10.22% |
VEU Vanguard FTSE All-World ex-US ETF | -1.80% | -1.68% | 7.61% | 12.16% | 25.76% | 17.28% | 8.61% | 9.62% |
VIOO Vanguard S&P Small-Cap 600 ETF | -0.43% | 1.20% | 15.13% | 21.13% | 30.34% | 14.46% | 7.62% | 10.72% |
VIOV Vanguard S&P Small-Cap 600 Value ETF | 0.17% | 0.26% | 13.28% | 19.73% | 32.38% | 13.83% | 7.93% | 10.11% |
VNQ Vanguard Real Estate ETF | 0.52% | 0.19% | 11.34% | 12.72% | 13.21% | 8.55% | 2.42% | 4.90% |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | -1.60% | -2.98% | 2.77% | 6.76% | 17.03% | 13.72% | 5.19% | 7.86% |
VTV Vanguard Value ETF | 0.07% | 1.54% | 12.58% | 16.06% | 25.63% | 18.06% | 12.36% | 12.43% |
VV Vanguard Large-Cap ETF | -0.77% | 1.34% | 8.23% | 10.23% | 21.28% | 20.34% | 12.62% | 15.17% |
VWO Vanguard FTSE Emerging Markets ETF | -1.84% | -1.16% | 4.57% | 9.49% | 21.65% | 15.36% | 5.21% | 7.91% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 9, 2010, Paul Merriman Ultimate Portfolio's average daily return is +0.04%, while the average monthly return is +0.87%. At this rate, an investment would double in approximately 6.7 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +13.3%, while the worst month was Mar 2020 at -18.6%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Paul Merriman Ultimate Portfolio closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +8.5%, while the worst single day was Mar 16, 2020 at -12.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.83% | 3.54% | -6.28% | 7.96% | 2.02% | 0.92% | -0.39% | 12.63% | |||||
| 2025 | 2.49% | 0.07% | -1.53% | -0.23% | 4.46% | 4.06% | 0.45% | 4.78% | 2.22% | 0.07% | 1.54% | 1.15% | 21.11% |
| 2024 | -2.30% | 2.69% | 3.33% | -3.53% | 4.22% | -0.52% | 5.33% | 1.70% | 2.42% | -3.24% | 3.64% | -4.42% | 9.04% |
| 2023 | 8.38% | -3.28% | -0.51% | 0.70% | -3.34% | 5.75% | 4.32% | -3.69% | -4.19% | -3.92% | 8.51% | 7.28% | 15.58% |
| 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% | -15.44% |
| 2021 | 1.24% | 4.61% | 3.56% | 3.40% | 2.38% | 0.11% | -0.45% | 1.97% | -3.48% | 3.65% | -3.47% | 4.93% | 19.54% |
Benchmark Metrics
Paul Merriman Ultimate Portfolio has an annualized alpha of -1.66%, beta of 0.92, and R2 of 0.86 versus S&P 500 Index. Calculated based on daily prices since September 09, 2010.
- This portfolio participated in 100.22% of S&P 500 Index downside but only 87.45% of its upside - more exposed to losses than it benefited from rallies.
- With beta of 0.92 and R2 of 0.86, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- -1.66%
- Beta
- 0.92
- R²
- 0.86
- Upside Capture
- 87.45%
- Downside Capture
- 100.22%
Expense Ratio
Paul Merriman Ultimate Portfolio has an expense ratio of 0.15%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Paul Merriman Ultimate Portfolio ranks 53 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Paul Merriman Ultimate Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.81 | 1.61 | +0.21 |
| Sortino ratioReturn per unit of downside risk | 2.56 | 2.22 | +0.34 |
| Omega ratioGain probability vs. loss probability | 1.32 | 1.29 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.58 | 2.21 | +0.37 |
| Martin ratioReturn relative to average drawdown | 10.13 | 9.61 | +0.53 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
DLS WisdomTree International SmallCap Dividend | 36 | 1.08 | 1.61 | 1.20 | 1.35 | 4.64 |
EFV iShares MSCI EAFE Value ETF | 74 | 1.99 | 2.79 | 1.36 | 2.65 | 9.73 |
VEU Vanguard FTSE All-World ex-US ETF | 58 | 1.55 | 2.16 | 1.29 | 2.26 | 8.51 |
VIOO Vanguard S&P Small-Cap 600 ETF | 72 | 1.73 | 2.56 | 1.30 | 3.48 | 11.71 |
VIOV Vanguard S&P Small-Cap 600 Value ETF | 74 | 1.80 | 2.63 | 1.31 | 3.49 | 11.47 |
VNQ Vanguard Real Estate ETF | 34 | 0.95 | 1.38 | 1.17 | 1.59 | 4.99 |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 37 | 1.07 | 1.53 | 1.20 | 1.47 | 5.15 |
VTV Vanguard Value ETF | 90 | 2.49 | 3.57 | 1.45 | 4.05 | 15.35 |
VV Vanguard Large-Cap ETF | 64 | 1.69 | 2.33 | 1.30 | 2.32 | 10.00 |
VWO Vanguard FTSE Emerging Markets ETF | 46 | 1.27 | 1.79 | 1.24 | 1.95 | 6.67 |
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Dividends
Dividend yield
Paul Merriman Ultimate Portfolio provided a 2.57% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.57% | 2.74% | 2.98% | 3.01% | 3.01% | 2.44% | 2.12% | 2.82% | 2.98% | 2.50% | 2.64% | 2.62% |
| Portfolio components: | ||||||||||||
DLS WisdomTree International SmallCap Dividend | 3.60% | 3.87% | 4.56% | 4.29% | 4.96% | 3.29% | 2.50% | 3.37% | 3.66% | 2.79% | 3.29% | 2.72% |
EFV iShares MSCI EAFE Value ETF | 4.68% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
VEU Vanguard FTSE All-World ex-US ETF | 2.58% | 3.09% | 3.24% | 3.32% | 3.12% | 3.08% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% |
VIOO Vanguard S&P Small-Cap 600 ETF | 1.12% | 1.36% | 1.48% | 1.47% | 1.51% | 1.16% | 1.09% | 1.37% | 1.32% | 1.11% | 1.06% | 1.26% |
VIOV Vanguard S&P Small-Cap 600 Value ETF | 1.69% | 1.69% | 1.78% | 2.18% | 1.81% | 1.59% | 1.42% | 1.60% | 1.76% | 1.43% | 1.17% | 1.32% |
VNQ Vanguard Real Estate ETF | 3.55% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 3.27% | 3.39% | 3.44% | 3.14% | 2.30% | 2.74% | 1.90% | 3.25% | 2.80% | 2.83% | 2.93% | 2.66% |
VTV Vanguard Value ETF | 1.86% | 2.05% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% |
VV Vanguard Large-Cap ETF | 1.02% | 1.08% | 1.24% | 1.41% | 1.66% | 1.19% | 1.46% | 1.81% | 2.09% | 1.75% | 1.98% | 1.96% |
VWO Vanguard FTSE Emerging Markets ETF | 2.35% | 2.79% | 3.20% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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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 1.18%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -38.24%Mar 2020 | 2mo 2d | 8mo 5d | 10mo 7dJan 2020 - Nov 2020 |
Bear market2022 | -25.31%Oct 2022 | 11mo 7d | 1y 5mo | 2y 4moNov 2021 - Mar 2024 |
2011 bear market2011 | -24.64%Oct 2011 | 5mo 4d | 1y 2mo | 1y 7moMay 2011 - Dec 2012 |
Rate-hike selloffLate 2018 | -20.07%Dec 2018 | 10mo 29d | 11mo 8d | 1y 10moJan 2018 - Nov 2019 |
2016 correction2016 | -19.70%Feb 2016 | 8mo 29d | 6mo 24d | 1y 3moMay 2015 - Sep 2016 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a broad equity-and-REIT bet with a strong value tilt and very little true offsetting behavior; in some sense, it is a world-stock portfolio that has been carefully arranged into many labels without much change in the underlying risk.
The numbers
- Diversification ratio is 1.17 at 1Y and 1.11 incept, around the 24th–31st percentile on the platform: there is some diversification benefit, but not much.
- Effective asset count is 10.0 of 10, so concentration is not the issue; correlation is.
- Mean pairwise correlation is 0.73, with clusters forming around U.S. value (VTV, VV, VIOV, VIOO) and non-U.S. equities (VEU, EFV, DLS, VSS).
The good
- The portfolio is not pretending that one stock or one country is enough; it spreads across U.S., developed ex-U.S., emerging markets, small caps, and REITs.
- VNQ gives the portfolio its cleanest independent sleeve, with the lowest correlations to the rest.
The bad
- Several positions are near-substitutes. VEU and EFV at 0.94 correlation, and VIOV and VIOO at 0.93, mean a fair amount of duplication in practice.
- The portfolio is mostly one equity factor stack: value, small cap, and international cyclicality, which travel together more than the label count suggests.
- Position-to-portfolio correlations are high across the board, with VEU at 0.93 and VSS at 0.92; that is what low diversification looks like when it is wearing many tickers.
The ugly
- If global value and small-cap equities sell off together, the main clusters are likely to weaken in sync, leaving VNQ as only a partial counterweight.
- A regime where rates rise or credit conditions tighten can also make the REIT sleeve less helpful, which is the sort of thing portfolios like this learn about in real time.
Next steps
- Portfolios with this correlation structure are typically complemented by exposures whose earnings drivers sit outside the equity cycle, since the current sleeves mostly share it.
- The separation between VEU, EFV, DLS, and VSS is mostly geographical and stylistic, not statistical; the math is fairly calm about the distinction.
Diversification Metrics
Number of Effective Assets
The portfolio contains 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.17 | 1.16 | 1.14 | 1.11 | 1.11 |
The portfolio has a diversification ratio of 1.11, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Paul Merriman Ultimate Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.85 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2010 | 0.89 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VV has the highest benchmark correlation at 1.00, while VNQ has the lowest at 0.61.
Asset Correlations Table
| VNQ | VWO | VIOV | VIOO | DLS | EFV | VTV | VV | VSS | VEU | |
|---|---|---|---|---|---|---|---|---|---|---|
| VNQ | 1.00 | 0.45 | 0.58 | 0.60 | 0.54 | 0.53 | 0.65 | 0.61 | 0.54 | 0.54 |
| VWO | 0.45 | 1.00 | 0.57 | 0.60 | 0.77 | 0.76 | 0.65 | 0.71 | 0.85 | 0.88 |
| VIOV | 0.58 | 0.57 | 1.00 | 0.93 | 0.64 | 0.67 | 0.79 | 0.73 | 0.67 | 0.67 |
| VIOO | 0.60 | 0.60 | 0.93 | 1.00 | 0.67 | 0.69 | 0.81 | 0.79 | 0.70 | 0.70 |
| DLS | 0.54 | 0.77 | 0.64 | 0.67 | 1.00 | 0.91 | 0.74 | 0.76 | 0.93 | 0.92 |
| EFV | 0.53 | 0.76 | 0.67 | 0.69 | 0.91 | 1.00 | 0.79 | 0.75 | 0.89 | 0.94 |
| VTV | 0.65 | 0.65 | 0.79 | 0.81 | 0.74 | 0.79 | 1.00 | 0.88 | 0.75 | 0.78 |
| VV | 0.61 | 0.71 | 0.73 | 0.79 | 0.76 | 0.75 | 0.88 | 1.00 | 0.79 | 0.82 |
| VSS | 0.54 | 0.85 | 0.67 | 0.70 | 0.93 | 0.89 | 0.75 | 0.79 | 1.00 | 0.94 |
| VEU | 0.54 | 0.88 | 0.67 | 0.70 | 0.92 | 0.94 | 0.78 | 0.82 | 0.94 | 1.00 |
Find what Paul Merriman Ultimate Portfolio is missing
See which holdings overlap, where Paul Merriman Ultimate Portfolio is concentrated, and which low-correlation assets could fill the gaps.
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