Merrill Lynch Edge Select Aggressive vs US Stocks Momentum Portfolio Comparison

Period: January 1985 - October 2024 (~40 years)
Consolidated Returns as of 31 October 2024
Rebalancing: at every Jan 1st
Currency: USD
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Merrill Lynch Edge Select Aggressive Portfolio
1.00$
Initial Capital
November 1994
11.97$
Final Capital
October 2024
8.63%
Yearly Return
13.25
Std Deviation
-45.65%
Max Drawdown
41months
Recovery Period
US Stocks Momentum Portfolio
1.00$
Initial Capital
November 1994
39.14$
Final Capital
October 2024
13.00%
Yearly Return
15.41
Std Deviation
-53.85%
Max Drawdown
63months
Recovery Period
Merrill Lynch Edge Select Aggressive Portfolio
1.00$
Initial Capital
January 1985
54.34$
Final Capital
October 2024
10.55%
Yearly Return
13.31
Std Deviation
-45.65%
Max Drawdown
41months
Recovery Period
US Stocks Momentum Portfolio
1.00$
Initial Capital
January 1985
167.40$
Final Capital
October 2024
13.72%
Yearly Return
15.42
Std Deviation
-53.85%
Max Drawdown
63months
Recovery Period

The Merrill Lynch Edge Select Aggressive Portfolio obtained a 8.63% compound annual return, with a 13.25% standard deviation, in the last 30 Years.

The US Stocks Momentum Portfolio obtained a 13.00% compound annual return, with a 15.41% standard deviation, in the last 30 Years.

Returns as of Oct 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 31 October 2024 (~40 years)
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Return (%) as of Oct 31, 2024
YTD
(10M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Edge Select Aggressive
Merrill Lynch 		13.77 -2.00 10.58 29.35 10.27 8.88 8.63 10.55
US Stocks Momentum 29.54 -0.17 14.65 48.22 12.31 13.17 13.00 13.72
Return over 1 year are annualized.

Capital Growth as of Oct 31, 2024

Merrill Lynch Edge Select Aggressive Portfolio: an investment of 1$, since November 1994, now would be worth 11.97$, with a total return of 1096.93% (8.63% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since November 1994, now would be worth 39.14$, with a total return of 3813.68% (13.00% annualized).


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Merrill Lynch Edge Select Aggressive Portfolio: an investment of 1$, since January 1985, now would be worth 54.34$, with a total return of 5334.06% (10.55% annualized).

US Stocks Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 167.40$, with a total return of 16639.60% (13.72% annualized).


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Metrics as of Oct 31, 2024

The following metrics, updated as of 31 October 2024, provide an overview of performance and risk.

METRIC COMPARISON
Period: 1 November 2023 - 31 October 2024 (1 year)
Period: 1 November 2019 - 31 October 2024 (5 years)
Period: 1 November 2014 - 31 October 2024 (10 years)
Period: 1 November 1994 - 31 October 2024 (30 years)
Period: 1 January 1985 - 31 October 2024 (~40 years)
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Edge Select Aggressive US Stocks Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 100%
Fixed Income 16% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 29.35 48.22
Infl. Adjusted Return (%) 26.10 44.50
DRAWDOWN
Deepest Drawdown Depth (%) -3.19 -5.47
Start to Recovery (months) 2 3
Longest Drawdown Depth (%) -0.21 -5.47
Start to Recovery (months) 2 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 10.24 14.50
Sharpe Ratio 2.35 2.96
Sortino Ratio 3.30 3.89
Ulcer Index 1.05 1.62
Ratio: Return / Standard Deviation 2.87 3.33
Ratio: Return / Deepest Drawdown 9.20 8.82
Metrics calculated over the period 1 November 2023 - 31 October 2024
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Edge Select Aggressive US Stocks Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 100%
Fixed Income 16% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.27 12.31
Infl. Adjusted Return (%) 5.86 7.82
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -30.16
Start to Recovery (months) 26 29
Longest Drawdown Depth (%) -23.81 -30.16
Start to Recovery (months) 26 29
Longest Negative Period (months) 32 38
RISK INDICATORS
Standard Deviation (%) 15.21 19.17
Sharpe Ratio 0.53 0.53
Sortino Ratio 0.70 0.73
Ulcer Index 8.49 14.42
Ratio: Return / Standard Deviation 0.68 0.64
Ratio: Return / Deepest Drawdown 0.43 0.41
Metrics calculated over the period 1 November 2019 - 31 October 2024
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Edge Select Aggressive US Stocks Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 100%
Fixed Income 16% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.88 13.17
Infl. Adjusted Return (%) 5.83 10.00
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -30.16
Start to Recovery (months) 26 29
Longest Drawdown Depth (%) -23.81 -30.16
Start to Recovery (months) 26 29
Longest Negative Period (months) 32 38
RISK INDICATORS
Standard Deviation (%) 12.91 15.84
Sharpe Ratio 0.57 0.73
Sortino Ratio 0.76 1.00
Ulcer Index 6.57 10.58
Ratio: Return / Standard Deviation 0.69 0.83
Ratio: Return / Deepest Drawdown 0.37 0.44
Metrics calculated over the period 1 November 2014 - 31 October 2024
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Edge Select Aggressive US Stocks Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 100%
Fixed Income 16% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.63 13.00
Infl. Adjusted Return (%) 5.95 10.22
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -53.85
Start to Recovery (months) 41 63
Longest Drawdown Depth (%) -33.96 -53.85
Start to Recovery (months) 56 63
Longest Negative Period (months) 118 126
RISK INDICATORS
Standard Deviation (%) 13.25 15.41
Sharpe Ratio 0.48 0.69
Sortino Ratio 0.63 0.92
Ulcer Index 11.10 16.18
Ratio: Return / Standard Deviation 0.65 0.84
Ratio: Return / Deepest Drawdown 0.19 0.24
Metrics calculated over the period 1 November 1994 - 31 October 2024
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Edge Select Aggressive US Stocks Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 100%
Fixed Income 16% 0%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.55 13.72
Infl. Adjusted Return (%) 7.55 10.63
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -53.85
Start to Recovery (months) 41 63
Longest Drawdown Depth (%) -33.96 -53.85
Start to Recovery (months) 56 63
Longest Negative Period (months) 118 126
RISK INDICATORS
Standard Deviation (%) 13.31 15.42
Sharpe Ratio 0.56 0.69
Sortino Ratio 0.73 0.90
Ulcer Index 10.03 14.71
Ratio: Return / Standard Deviation 0.79 0.89
Ratio: Return / Deepest Drawdown 0.23 0.25
Metrics calculated over the period 1 January 1985 - 31 October 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 November 1994 - 31 October 2024 (30 years)
Period: 1 January 1985 - 31 October 2024 (~40 years)

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Edge Select Aggressive US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-45.65 41 Nov 2007
Mar 2011
-43.19 59 Sep 2000
Jul 2005
-33.96 56 Apr 2000
Nov 2004
-30.16 29 Nov 2021
Mar 2024
-23.81 26 Jan 2022
Feb 2024
-17.90 5 Feb 2020
Jun 2020
-17.64 7 Jan 2020
Jul 2020
-16.85 11 May 2011
Mar 2012
-15.44 9 Oct 2018
Jun 2019
-13.97 7 May 1998
Nov 1998
-11.51 3 Aug 1998
Oct 1998
-11.27 7 Oct 2018
Apr 2019
-10.51 14 Jun 2015
Jul 2016
-7.82 3 Sep 2020
Nov 2020

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Edge Select Aggressive US Stocks Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-53.85 63 Nov 2007
Jan 2013
-45.65 41 Nov 2007
Mar 2011
-43.19 59 Sep 2000
Jul 2005
-33.96 56 Apr 2000
Nov 2004
-30.55 23 Sep 1987
Jul 1989
-30.16 29 Nov 2021
Mar 2024
-23.81 26 Jan 2022
Feb 2024
-22.86 17 Sep 1987
Jan 1989
-17.90 5 Feb 2020
Jun 2020
-17.64 7 Jan 2020
Jul 2020
-16.85 11 May 2011
Mar 2012
-15.96 7 Aug 1990
Feb 1991
-15.44 9 Oct 2018
Jun 2019
-13.97 7 May 1998
Nov 1998
-12.56 8 Jun 1990
Jan 1991

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 - 31 October 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 US Stocks Momentum
Year Return Drawdown Return Drawdown
2024
 13.77% -3.19% 29.54% -5.47%
2023
 21.47% -8.85% 9.15% -6.59%
2022
 -17.87% -23.81% -18.26% -26.94%
2021
 15.74% -3.70% 13.37% -4.41%
2020
 17.62% -17.64% 29.85% -17.90%
2019
 24.61% -5.32% 27.26% -2.20%
2018
 -6.88% -11.27% -1.66% -15.44%
2017
 21.70% 0.00% 37.50% 0.00%
2016
 9.21% -4.97% 5.00% -5.03%
2015
 -1.81% -9.34% 8.93% -7.78%
2014
 6.27% -3.59% 14.61% -4.38%
2013
 20.62% -2.29% 34.58% -2.81%
2012
 15.28% -7.41% 14.94% -6.80%
2011
 -2.72% -16.85% 5.93% -14.50%
2010
 14.37% -10.38% 18.02% -12.13%
2009
 30.72% -15.46% 17.45% -19.56%
2008
 -32.45% -35.23% -40.96% -41.23%
2007
 10.67% -4.82% 17.64% -2.82%
2006
 16.89% -3.81% 10.56% -3.64%
2005
 9.86% -4.16% 19.14% -1.25%
2004
 13.59% -3.69% 16.70% -2.66%
2003
 30.43% -3.69% 25.99% -4.14%
2002
 -14.01% -20.65% -12.28% -22.85%
2001
 -9.00% -19.93% -17.35% -26.75%
2000
 -8.67% -12.07% -9.61% -13.35%
1999
 23.19% -2.88% 40.42% -1.57%
1998
 18.05% -13.97% 48.76% -11.51%
1997
 17.27% -6.20% 36.86% -4.89%
1996
 15.00% -3.98% 29.83% -3.81%
1995
 23.68% -0.91% 42.32% -0.02%
1994
 0.50% -7.08% -1.09% -7.23%
1993
 21.88% -3.14% 13.22% -2.14%
1992
 3.09% -3.48% 4.32% -3.35%
1991
 34.86% -4.62% 36.90% -4.00%
1990
 -6.03% -15.96% 1.49% -12.56%
1989
 30.19% -2.36% 42.76% -1.57%
1988
 18.97% -3.56% 7.07% -5.33%
1987
 4.52% -22.86% 2.34% -30.55%
1986
 25.81% -5.82% 22.70% -7.79%
1985
 34.45% -2.58% 32.38% -3.74%