Developed World ex-US 40/60 Momentum vs Merrill Lynch Edge Select Moderately Conservative Portfolio Comparison

Simulation Settings
Period: August 2009 - November 2024 (~15 years)
Consolidated Returns as of 30 November 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
December 2014
1.47$
Final Capital
November 2024
3.93%
Yearly Return
6.96
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Merrill Lynch Edge Select Moderately Conservative Portfolio
1.00$
Initial Capital
December 2014
1.68$
Final Capital
November 2024
5.33%
Yearly Return
7.62
Std Deviation
-18.53%
Max Drawdown
30months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.18$
Final Capital
November 2024
5.22%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35months
Recovery Period
Merrill Lynch Edge Select Moderately Conservative Portfolio
1.00$
Initial Capital
August 2009
2.62$
Final Capital
November 2024
6.50%
Yearly Return
7.03
Std Deviation
-18.53%
Max Drawdown
30months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 3.93% compound annual return, with a 6.96% standard deviation, in the last 10 Years.

The Merrill Lynch Edge Select Moderately Conservative Portfolio obtained a 5.33% compound annual return, with a 7.62% standard deviation, in the last 10 Years.

Returns as of Nov 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 November 2024 (~15 years)
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Return (%) as of Nov 30, 2024
YTD
(11M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_world.webp Developed World ex-US 40/60 Momentum
-- Market Benchmark 		8.99 1.48 3.47 12.64 3.42 3.93 5.22
//www.lazyportfolioetf.com/wp-content/themes/dynamico-child/img/author/avatar_merrill_lynch.webp Edge Select Moderately Conservative
Merrill Lynch 		10.39 2.55 7.66 14.91 5.21 5.33 6.50
Return over 1 year are annualized.

Capital Growth as of Nov 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since December 2014, now would be worth 1.47$, with a total return of 47.03% (3.93% annualized).

Merrill Lynch Edge Select Moderately Conservative Portfolio: an investment of 1$, since December 2014, now would be worth 1.68$, with a total return of 68.07% (5.33% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.18$, with a total return of 118.15% (5.22% annualized).

Merrill Lynch Edge Select Moderately Conservative Portfolio: an investment of 1$, since August 2009, now would be worth 2.62$, with a total return of 162.46% (6.50% annualized).


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Metrics as of Nov 30, 2024

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

METRIC COMPARISON
Period: 1 December 2023 - 30 November 2024 (1 year)
Period: 1 December 2019 - 30 November 2024 (5 years)
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 August 2009 - 30 November 2024 (~15 years)
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Developed World ex-US 40/60 Momentum Edge Select Moderately Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 37%
Fixed Income 60% 63%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.64 14.91
Infl. Adjusted Return (%) 9.64 11.86
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -2.70
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -2.70
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 6.04 6.44
Sharpe Ratio 1.23 1.51
Sortino Ratio 1.53 1.86
Ulcer Index 0.96 0.94
Ratio: Return / Standard Deviation 2.09 2.32
Ratio: Return / Deepest Drawdown 4.96 5.52
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Developed World ex-US 40/60 Momentum Edge Select Moderately Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 37%
Fixed Income 60% 63%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.42 5.21
Infl. Adjusted Return (%) -0.73 0.99
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.53
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -18.53
Start to Recovery (months) 35 30
Longest Negative Period (months) 47 39
RISK INDICATORS
Standard Deviation (%) 8.70 9.59
Sharpe Ratio 0.13 0.30
Sortino Ratio 0.17 0.41
Ulcer Index 7.52 7.06
Ratio: Return / Standard Deviation 0.39 0.54
Ratio: Return / Deepest Drawdown 0.18 0.28
Metrics calculated over the period 1 December 2019 - 30 November 2024
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Developed World ex-US 40/60 Momentum Edge Select Moderately Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 37%
Fixed Income 60% 63%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.93 5.33
Infl. Adjusted Return (%) 0.97 2.33
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.53
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -18.53
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.96 7.62
Sharpe Ratio 0.34 0.49
Sortino Ratio 0.45 0.67
Ulcer Index 5.55 5.15
Ratio: Return / Standard Deviation 0.56 0.70
Ratio: Return / Deepest Drawdown 0.20 0.29
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Developed World ex-US 40/60 Momentum Edge Select Moderately Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 37%
Fixed Income 60% 63%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.22 6.50
Infl. Adjusted Return (%) 2.59 3.84
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -18.53
Start to Recovery (months) 35 30
Longest Drawdown Depth (%) -19.40 -18.53
Start to Recovery (months) 35 30
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.93 7.03
Sharpe Ratio 0.61 0.78
Sortino Ratio 0.80 1.05
Ulcer Index 4.70 4.23
Ratio: Return / Standard Deviation 0.75 0.92
Ratio: Return / Deepest Drawdown 0.27 0.35
Metrics calculated over the period 1 August 2009 - 30 November 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 December 2014 - 30 November 2024 (10 years)
Period: 1 August 2009 - 30 November 2024 (~15 years)

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Developed World ex-US 40/60 Momentum Edge Select Moderately Conservative
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.53 30 Jan 2022
Jun 2024
-7.78 5 Feb 2020
Jun 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.75 6 Sep 2018
Feb 2019
-4.35 13 May 2015
May 2016
-4.27 8 Aug 2016
Mar 2017
-2.69 7 Feb 2018
Aug 2018
-2.24 4 Sep 2021
Dec 2021
-2.15 2* Oct 2024
In progress
-2.08 3 Sep 2020
Nov 2020
-2.05 2 Oct 2024
Nov 2024
-1.87 4 Oct 2016
Jan 2017

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Developed World ex-US 40/60 Momentum Edge Select Moderately Conservative
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-18.53 30 Jan 2022
Jun 2024
-8.94 15 May 2011
Jul 2012
-7.78 5 Feb 2020
Jun 2020
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.80 8 Jun 2011
Jan 2012
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.75 6 Sep 2018
Feb 2019
-4.35 13 May 2015
May 2016
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-3.50 3 May 2010
Jul 2010
-3.06 5 May 2013
Sep 2013

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 August 2009 - 30 November 2024 (~15 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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Developed World ex-US 40/60 Momentum Edge Select Moderately Conservative
Year Return
(%)		 Drawdown
(%)		 Return
(%)		 Drawdown
(%)
2024
 8.99 -2.55 10.39 -2.70
2023
 10.83 -4.47 13.70 -6.23
2022
 -14.37 -19.07 -14.91 -18.53
2021
 1.27 -2.17 6.44 -2.24
2020
 11.65 -7.72 11.65 -7.78
2019
 14.52 -0.27 16.41 -1.82
2018
 -4.03 -6.00 -2.89 -4.75
2017
 11.62 -0.20 11.44 0.00
2016
 2.96 -4.27 6.14 -1.87
2015
 0.07 -5.38 -0.48 -4.33
2014
 1.57 -1.52 6.29 -1.64
2013
 8.39 -5.17 8.82 -3.06
2012
 12.90 -3.09 9.99 -2.86
2011
 -0.59 -8.94 3.41 -5.80
2010
 10.77 -4.04 10.48 -3.50