Asset Allocation
Benchmark: S&P 500 Index · Rebalance: Every 3 months
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 Aug 4, 2026, the Paul Merriman Ultimate Portfolio returned 14.49% Year-To-Date and 10.00% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.48% | 1.57% | 8.95% | 11.03% | 21.84% | 19.28% | 11.54% | 13.29% | 8.11% |
Portfolio Paul Merriman Ultimate Portfolio | 0.83% | 1.13% | 8.75% | 14.49% | 26.91% | 16.91% | 8.83% | 10.00% | 9.89% |
| Portfolio components: | |||||||||
DLS WisdomTree International SmallCap Dividend Fund | 0.38% | 1.63% | 3.76% | 8.83% | 18.81% | 17.23% | 7.14% | 7.86% | 6.45% |
EFV iShares MSCI EAFE Value ETF | 0.26% | 4.16% | 9.61% | 16.57% | 34.58% | 23.11% | 14.34% | 10.51% | 6.15% |
VEU Vanguard FTSE All-World ex-US ETF | 0.45% | 0.29% | 7.13% | 13.83% | 28.98% | 18.48% | 9.01% | 9.63% | 5.48% |
VIOO Vanguard S&P Small-Cap 600 ETF | 1.70% | 1.13% | 15.75% | 23.60% | 38.11% | 14.55% | 8.09% | 10.84% | 12.57% |
VIOV Vanguard S&P Small-Cap 600 Value ETF | 1.61% | 2.10% | 13.55% | 22.35% | 41.74% | 13.82% | 8.93% | 10.31% | 11.95% |
VNQ Vanguard Real Estate ETF | 0.12% | 1.07% | 12.41% | 14.15% | 15.73% | 10.35% | 2.55% | 5.01% | 7.73% |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 1.28% | -1.71% | 0.47% | 6.94% | 18.10% | 14.19% | 5.11% | 7.57% | 9.69% |
VTV Vanguard Value ETF | 0.48% | 0.83% | 10.86% | 16.93% | 28.55% | 17.83% | 12.43% | 12.46% | 9.69% |
VV Vanguard Large-Cap ETF | 1.54% | 1.73% | 9.64% | 11.47% | 22.84% | 21.03% | 12.67% | 15.17% | 11.04% |
VWO Vanguard FTSE Emerging Markets ETF | 0.53% | 0.03% | 4.14% | 9.99% | 22.33% | 15.67% | 5.92% | 7.69% | 6.83% |
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, 65% of months were positive and 35% 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% | 0.43% | 0.83% | 14.49% | ||||
| 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 -1.61%, 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 100.01% of S&P 500 Index downside but only 87.47% 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
- -1.61%
- Beta
- 0.92
- R²
- 0.86
- Upside Capture
- 87.47%
- Downside Capture
- 100.01%
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 77 for risk / return — above 77% of Portfolios peers on PortfoliosLab. Its historical combined result is above most peers.
Risk / Return 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 | 2.11 | 1.71 | +0.40 |
| Sortino ratioReturn per unit of downside risk | 2.95 | 2.36 | +0.59 |
| Omega ratioGain probability vs. loss probability | 1.38 | 1.31 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.01 | 2.41 | +0.59 |
| Martin ratioReturn relative to average drawdown | 12.00 | 10.22 | +1.78 |
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 Fund | 52 | 1.36 | 1.99 | 1.25 | 1.71 | 5.78 |
EFV iShares MSCI EAFE Value ETF | 88 | 2.42 | 3.32 | 1.43 | 3.19 | 11.90 |
VEU Vanguard FTSE All-World ex-US ETF | 73 | 1.72 | 2.38 | 1.32 | 2.55 | 9.31 |
VIOO Vanguard S&P Small-Cap 600 ETF | 89 | 2.21 | 3.19 | 1.38 | 4.37 | 14.95 |
VIOV Vanguard S&P Small-Cap 600 Value ETF | 91 | 2.37 | 3.39 | 1.41 | 4.50 | 15.40 |
VNQ Vanguard Real Estate ETF | 47 | 1.15 | 1.66 | 1.20 | 1.89 | 6.13 |
VSS Vanguard FTSE All-World ex-US Small-Cap ETF | 43 | 1.12 | 1.59 | 1.21 | 1.57 | 4.95 |
VTV Vanguard Value ETF | 94 | 2.79 | 3.98 | 1.51 | 4.52 | 17.46 |
VV Vanguard Large-Cap ETF | 75 | 1.77 | 2.45 | 1.32 | 2.49 | 10.49 |
VWO Vanguard FTSE Emerging Markets ETF | 52 | 1.28 | 1.81 | 1.23 | 2.01 | 6.52 |
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Dividends
Dividend yield
Paul Merriman Ultimate Portfolio provided a 2.53% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.53% | 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 Fund | 3.49% | 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 | 4.51% | 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 | 2.54% | 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 | 1.10% | 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 | 1.65% | 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 | 3.51% | 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 | 3.26% | 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 | 1.85% | 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 | 1.01% | 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 | 2.34% | 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.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-38.24%Mar 2020 | 2mo 2d | 8mo 5d | 10mo 7dJan 2020 - Nov 2020 | COVID crash2020 |
-25.31%Oct 2022 | 11mo 7d | 1y 5mo | 2y 4moNov 2021 - Mar 2024 | Bear market2022 |
-24.64%Oct 2011 | 5mo 4d | 1y 2mo | 1y 7moMay 2011 - Dec 2012 | — |
-20.07%Dec 2018 | 10mo 29d | 11mo 8d | 1y 10moJan 2018 - Nov 2019 | Rate-hike selloffLate 2018 |
-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 globally diversified equity allocation, split evenly across style, size, geography, and real estate; the thesis is broad ownership, though the correlations say “many funds, fewer independent bets.”
The numbers
- Diversification ratio: 1.18 over one year and 1.11 since inception, around the 23rd–32nd percentiles of platform portfolios: modest benefit, below average.
- Mean pairwise correlation is 0.73, with portfolio correlations reaching 0.93 for Vanguard FTSE Europe (VEU) and 0.92 for Vanguard Global ex-U.S. Small-Cap (VSS).
- Effective asset count is 10.0 of 10. The weights are admirably even; the assets are less independent than the menu suggests.
The good
- Equal exposure spans U.S. value, blend, small caps, developed international, emerging markets, and REITs.
- Vanguard Real Estate ETF (VNQ) is the clearest diversifier, with correlations as low as 0.45 against Vanguard FTSE Emerging Markets (VWO).
The bad
- Vanguard Value ETF (VTV), Vanguard Large-Cap ETF (VV), Vanguard Small-Cap Value (VIOV), and Vanguard Small-Cap (VIOO) form one U.S. equity cluster.
- International funds overlap heavily: Vanguard FTSE Europe (VEU), iShares MSCI EAFE Value (EFV), and foreign small-cap funds move together.
The ugly
- A global equity selloff could make most sleeves converge, leaving VNQ as the portfolio’s unusually lonely room.
Next steps
- Portfolios with this correlation profile are typically complemented by assets whose risk drivers sit outside global equity markets.
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 | 1.18 | 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. The holdings provided limited volatility reduction when combined.
Paul Merriman Ultimate Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.83 |
Correlation (3Y) Balances recent behavior with more history. | 0.81 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.85 |
Correlation (10Y) Provides a long-term view across more market conditions. | 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 0.60.
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 | 0.60 | 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 | 0.60 | 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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