Merrill Lynch Edge Select Aggressive vs Stocks/Bonds 60/40 Momentum Portfolio Comparison

Period: January 1985 - September 2024 (~40 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Merrill Lynch Edge Select Aggressive Portfolio
1.00$
Initial Capital
October 1994
12.45$
Final Capital
September 2024
8.77%
Yearly Return
13.24
Std Deviation
-45.65%
Max Drawdown
41 months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
October 1994
18.24$
Final Capital
September 2024
10.16%
Yearly Return
9.63
Std Deviation
-32.52%
Max Drawdown
40 months
Recovery Period
Merrill Lynch Edge Select Aggressive Portfolio
1.00$
Initial Capital
January 1985
55.45$
Final Capital
September 2024
10.63%
Yearly Return
13.32
Std Deviation
-45.65%
Max Drawdown
41 months
Recovery Period
Stocks/Bonds 60/40 Momentum Portfolio
1.00$
Initial Capital
January 1985
62.47$
Final Capital
September 2024
10.96%
Yearly Return
9.88
Std Deviation
-32.52%
Max Drawdown
40 months
Recovery Period

The Merrill Lynch Edge Select Aggressive Portfolio obtained a 8.77% compound annual return, with a 13.24% standard deviation, in the last 30 Years.

The Stocks/Bonds 60/40 Momentum Portfolio obtained a 10.16% compound annual return, with a 9.63% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Edge Select Aggressive
Merrill Lynch 		16.11 2.28 9.25 28.75 11.24 9.32 8.77 10.63
Stocks/Bonds 60/40 Momentum 19.70 2.38 7.41 31.85 7.75 8.92 10.16 10.96
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Merrill Lynch Edge Select Aggressive Portfolio: an investment of 1$, since October 1994, now would be worth 12.45$, with a total return of 1144.80% (8.77% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since October 1994, now would be worth 18.24$, with a total return of 1723.56% (10.16% annualized).


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Merrill Lynch Edge Select Aggressive Portfolio: an investment of 1$, since January 1985, now would be worth 55.45$, with a total return of 5445.49% (10.63% annualized).

Stocks/Bonds 60/40 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 62.47$, with a total return of 6146.75% (10.96% annualized).


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Metrics as of Sep 30, 2024

The following metrics, updated as of 30 September 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 October 2023 - 30 September 2024 (1 year)
Period: 1 October 2019 - 30 September 2024 (5 years)
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)
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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 60%
Fixed Income 16% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 28.75 31.85
Infl. Adjusted Return (%) 25.72 28.75
DRAWDOWN
Deepest Drawdown Depth (%) -3.19 -4.38
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -2.47 -4.38
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 10.44 10.60
Sharpe Ratio 2.24 2.50
Sortino Ratio 3.12 3.18
Ulcer Index 1.12 1.31
Ratio: Return / Standard Deviation 2.75 3.00
Ratio: Return / Deepest Drawdown 9.01 7.28
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 60%
Fixed Income 16% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.24 7.75
Infl. Adjusted Return (%) 6.78 3.43
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -24.21
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.81 -24.21
Start to Recovery (months) 26 32
Longest Negative Period (months) 32 40
RISK INDICATORS
Standard Deviation (%) 15.17 12.88
Sharpe Ratio 0.60 0.43
Sortino Ratio 0.79 0.58
Ulcer Index 8.48 11.57
Ratio: Return / Standard Deviation 0.74 0.60
Ratio: Return / Deepest Drawdown 0.47 0.32
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 60%
Fixed Income 16% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 9.32 8.92
Infl. Adjusted Return (%) 6.28 5.90
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -24.21
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.81 -24.21
Start to Recovery (months) 26 32
Longest Negative Period (months) 32 40
RISK INDICATORS
Standard Deviation (%) 12.89 10.47
Sharpe Ratio 0.61 0.71
Sortino Ratio 0.81 0.95
Ulcer Index 6.57 8.37
Ratio: Return / Standard Deviation 0.72 0.85
Ratio: Return / Deepest Drawdown 0.39 0.37
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 60%
Fixed Income 16% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.77 10.16
Infl. Adjusted Return (%) 6.10 7.46
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -32.52
Start to Recovery (months) 41 40
Longest Drawdown Depth (%) -33.96 -21.14
Start to Recovery (months) 56 41
Longest Negative Period (months) 118 53
RISK INDICATORS
Standard Deviation (%) 13.24 9.63
Sharpe Ratio 0.49 0.82
Sortino Ratio 0.64 1.07
Ulcer Index 11.10 8.22
Ratio: Return / Standard Deviation 0.66 1.06
Ratio: Return / Deepest Drawdown 0.19 0.31
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 60%
Fixed Income 16% 40%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.63 10.96
Infl. Adjusted Return (%) 7.63 7.95
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -32.52
Start to Recovery (months) 41 40
Longest Drawdown Depth (%) -33.96 -21.14
Start to Recovery (months) 56 41
Longest Negative Period (months) 118 53
RISK INDICATORS
Standard Deviation (%) 13.32 9.88
Sharpe Ratio 0.56 0.79
Sortino Ratio 0.74 1.04
Ulcer Index 10.04 7.59
Ratio: Return / Standard Deviation 0.80 1.11
Ratio: Return / Deepest Drawdown 0.23 0.34
Metrics calculated over the period 1 January 1985 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1985 - 30 September 2024 (~40 years)

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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-45.65 41 Nov 2007
Mar 2011
-33.96 56 Apr 2000
Nov 2004
-32.52 40 Nov 2007
Feb 2011
-24.21 32 Nov 2021
Jun 2024
-23.81 26 Jan 2022
Feb 2024
-21.14 41 Sep 2000
Jan 2004
-17.64 7 Jan 2020
Jul 2020
-16.85 11 May 2011
Mar 2012
-13.97 7 May 1998
Nov 1998
-11.27 7 Oct 2018
Apr 2019
-10.73 5 Feb 2020
Jun 2020
-10.51 14 Jun 2015
Jul 2016
-9.29 9 Oct 2018
Jun 2019
-7.41 6 Apr 2012
Sep 2012
-7.14 9 May 2011
Jan 2012

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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-45.65 41 Nov 2007
Mar 2011
-33.96 56 Apr 2000
Nov 2004
-32.52 40 Nov 2007
Feb 2011
-24.21 32 Nov 2021
Jun 2024
-23.81 26 Jan 2022
Feb 2024
-22.86 17 Sep 1987
Jan 1989
-21.14 41 Sep 2000
Jan 2004
-20.08 21 Sep 1987
May 1989
-17.64 7 Jan 2020
Jul 2020
-16.85 11 May 2011
Mar 2012
-15.96 7 Aug 1990
Feb 1991
-13.97 7 May 1998
Nov 1998
-11.27 7 Oct 2018
Apr 2019
-10.73 5 Feb 2020
Jun 2020
-10.51 14 Jun 2015
Jul 2016

Rolling Returns

By selecting the 'Rolling Period', the chart and data will update. To study a different date range, change the simulation settings.

You can explore the Rolling Returns for a single portfolio, or check the return differential, by switching on "Head To Head" toggle.

Rolling Returns Comparison
Rolling Returns Chart
Rolling Returns Chart - Inflation Adjusted
Time Period: 1 January 1985 - 30 September 2024 (~40 years)


Head To Head (Ptf 1 vs Ptf 2):
US Inflation Adjusted:

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Yearly Returns

For each year, the following table provides the return and intra-year drawdown.
The highlighted returns represent the highest values for that specific year.
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Edge Select Aggressive Stocks/Bonds 60/40 Momentum
Year Return Drawdown Return Drawdown
2024
 16.11% -3.19% 19.70% -4.38%
2023
 21.47% -8.85% 7.65% -5.48%
2022
 -17.87% -23.81% -16.20% -21.97%
2021
 15.74% -3.70% 7.27% -2.88%
2020
 17.62% -17.64% 20.99% -10.73%
2019
 24.61% -5.32% 19.89% -0.92%
2018
 -6.88% -11.27% -1.04% -9.29%
2017
 21.70% 0.00% 23.93% 0.00%
2016
 9.21% -4.97% 4.01% -3.57%
2015
 -1.81% -9.34% 5.58% -4.61%
2014
 6.27% -3.59% 11.10% -2.40%
2013
 20.62% -2.29% 19.91% -2.13%
2012
 15.28% -7.41% 10.22% -3.51%
2011
 -2.72% -16.85% 6.73% -7.14%
2010
 14.37% -10.38% 13.29% -6.43%
2009
 30.72% -15.46% 11.92% -12.79%
2008
 -32.45% -35.23% -21.83% -24.08%
2007
 10.67% -4.82% 13.35% -1.41%
2006
 16.89% -3.81% 8.04% -2.23%
2005
 9.86% -4.16% 12.44% -0.99%
2004
 13.59% -3.69% 11.72% -2.06%
2003
 30.43% -3.69% 17.18% -1.95%
2002
 -14.01% -20.65% -4.07% -11.25%
2001
 -9.00% -19.93% -7.04% -13.57%
2000
 -8.67% -12.07% -1.21% -6.50%
1999
 23.19% -2.88% 23.95% -1.65%
1998
 18.05% -13.97% 32.69% -6.78%
1997
 17.27% -6.20% 25.89% -3.48%
1996
 15.00% -3.98% 19.33% -2.32%
1995
 23.68% -0.91% 32.67% 0.00%
1994
 0.50% -7.08% -1.72% -6.35%
1993
 21.88% -3.14% 11.81% -0.99%
1992
 3.09% -3.48% 5.45% -2.52%
1991
 34.86% -4.62% 28.24% -2.57%
1990
 -6.03% -15.96% 4.36% -7.66%
1989
 30.19% -2.36% 31.11% -1.20%
1988
 18.97% -3.56% 7.18% -3.36%
1987
 4.52% -22.86% 2.02% -20.08%
1986
 25.81% -5.82% 19.66% -5.55%
1985
 34.45% -2.58% 28.33% -1.52%