Dynamic 40/60 Income vs Merrill Lynch Edge Select Moderate Portfolio Comparison

Period: January 1992 - September 2024 (~33 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
October 1994
8.39$
Final Capital
September 2024
7.35%
Yearly Return
8.12
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Merrill Lynch Edge Select Moderate Portfolio
1.00$
Initial Capital
October 1994
9.10$
Final Capital
September 2024
7.64%
Yearly Return
8.95
Std Deviation
-29.58%
Max Drawdown
30 months
Recovery Period
Dynamic 40/60 Income Portfolio
1.00$
Initial Capital
January 1992
10.62$
Final Capital
September 2024
7.48%
Yearly Return
7.86
Std Deviation
-29.84%
Max Drawdown
26 months
Recovery Period
Merrill Lynch Edge Select Moderate Portfolio
1.00$
Initial Capital
January 1992
11.24$
Final Capital
September 2024
7.67%
Yearly Return
8.75
Std Deviation
-29.58%
Max Drawdown
30 months
Recovery Period

The Dynamic 40/60 Income Portfolio obtained a 7.35% compound annual return, with a 8.12% standard deviation, in the last 30 Years.

The Merrill Lynch Edge Select Moderate Portfolio obtained a 7.64% compound annual return, with a 8.95% standard deviation, in the last 30 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1992 - 30 September 2024 (~33 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~33Y)
Dynamic 40/60 Income 10.58 2.05 6.79 18.95 4.84 5.05 7.35 7.48
Edge Select Moderate
Merrill Lynch 		12.05 1.95 7.94 22.87 7.57 6.86 7.64 7.67
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Dynamic 40/60 Income Portfolio: an investment of 1$, since October 1994, now would be worth 8.39$, with a total return of 739.29% (7.35% annualized).

Merrill Lynch Edge Select Moderate Portfolio: an investment of 1$, since October 1994, now would be worth 9.10$, with a total return of 809.79% (7.64% annualized).


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Dynamic 40/60 Income Portfolio: an investment of 1$, since January 1992, now would be worth 10.62$, with a total return of 961.65% (7.48% annualized).

Merrill Lynch Edge Select Moderate Portfolio: an investment of 1$, since January 1992, now would be worth 11.24$, with a total return of 1023.71% (7.67% 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 1992 - 30 September 2024 (~33 years)
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Dynamic 40/60 Income Edge Select Moderate
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 53%
Fixed Income 60% 47%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 18.95 22.87
Infl. Adjusted Return (%) 16.37 20.19
DRAWDOWN
Deepest Drawdown Depth (%) -2.45 -2.94
Start to Recovery (months) 2 2
Longest Drawdown Depth (%) -1.87 -2.13
Start to Recovery (months) 2 2
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 7.32 9.00
Sharpe Ratio 1.86 1.95
Sortino Ratio 2.58 2.74
Ulcer Index 0.85 1.01
Ratio: Return / Standard Deviation 2.59 2.54
Ratio: Return / Deepest Drawdown 7.75 7.79
Metrics calculated over the period 1 October 2023 - 30 September 2024
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Dynamic 40/60 Income Edge Select Moderate
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 53%
Fixed Income 60% 47%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 4.84 7.57
Infl. Adjusted Return (%) 0.67 3.29
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -20.56
Start to Recovery (months) 30 27
Longest Drawdown Depth (%) -17.33 -20.56
Start to Recovery (months) 30 27
Longest Negative Period (months) 38 35
RISK INDICATORS
Standard Deviation (%) 10.11 11.45
Sharpe Ratio 0.26 0.47
Sortino Ratio 0.34 0.62
Ulcer Index 7.24 7.56
Ratio: Return / Standard Deviation 0.48 0.66
Ratio: Return / Deepest Drawdown 0.28 0.37
Metrics calculated over the period 1 October 2019 - 30 September 2024
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Dynamic 40/60 Income Edge Select Moderate
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 53%
Fixed Income 60% 47%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.05 6.86
Infl. Adjusted Return (%) 2.15 3.91
DRAWDOWN
Deepest Drawdown Depth (%) -17.33 -20.56
Start to Recovery (months) 30 27
Longest Drawdown Depth (%) -17.33 -20.56
Start to Recovery (months) 30 27
Longest Negative Period (months) 38 35
RISK INDICATORS
Standard Deviation (%) 7.86 9.37
Sharpe Ratio 0.45 0.57
Sortino Ratio 0.60 0.77
Ulcer Index 5.24 5.62
Ratio: Return / Standard Deviation 0.64 0.73
Ratio: Return / Deepest Drawdown 0.29 0.33
Metrics calculated over the period 1 October 2014 - 30 September 2024
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Dynamic 40/60 Income Edge Select Moderate
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 53%
Fixed Income 60% 47%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 7.35 7.64
Infl. Adjusted Return (%) 4.72 5.00
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -29.58
Start to Recovery (months) 26 30
Longest Drawdown Depth (%) -17.33 -15.42
Start to Recovery (months) 30 38
Longest Negative Period (months) 69 52
RISK INDICATORS
Standard Deviation (%) 8.12 8.95
Sharpe Ratio 0.62 0.60
Sortino Ratio 0.81 0.78
Ulcer Index 4.85 5.96
Ratio: Return / Standard Deviation 0.90 0.85
Ratio: Return / Deepest Drawdown 0.25 0.26
Metrics calculated over the period 1 October 1994 - 30 September 2024
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Dynamic 40/60 Income Edge Select Moderate
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 53%
Fixed Income 60% 47%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 7.48 7.67
Infl. Adjusted Return (%) 4.82 5.00
DRAWDOWN
Deepest Drawdown Depth (%) -29.84 -29.58
Start to Recovery (months) 26 30
Longest Drawdown Depth (%) -17.33 -15.42
Start to Recovery (months) 30 38
Longest Negative Period (months) 69 52
RISK INDICATORS
Standard Deviation (%) 7.86 8.75
Sharpe Ratio 0.65 0.60
Sortino Ratio 0.85 0.79
Ulcer Index 4.70 5.75
Ratio: Return / Standard Deviation 0.95 0.88
Ratio: Return / Deepest Drawdown 0.25 0.26
Metrics calculated over the period 1 January 1992 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 1994 - 30 September 2024 (30 years)
Period: 1 January 1992 - 30 September 2024 (~33 years)

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Dynamic 40/60 Income Edge Select Moderate
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-29.58 30 Nov 2007
Apr 2010
-20.56 27 Jan 2022
Mar 2024
-17.33 30 Jan 2022
Jun 2024
-15.42 38 Sep 2000
Oct 2003
-12.42 6 Feb 2020
Jul 2020
-10.96 6 Feb 2020
Jul 2020
-9.65 10 May 2011
Feb 2012
-9.38 8 May 1998
Dec 1998
-7.97 5 Jul 1998
Nov 1998
-7.19 8 Jun 2011
Jan 2012
-7.17 7 Sep 2018
Mar 2019
-6.73 9 May 2002
Jan 2003
-6.44 14 May 2015
Jun 2016
-5.89 5 May 2010
Sep 2010

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Dynamic 40/60 Income Edge Select Moderate
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-29.84 26 Nov 2007
Dec 2009
-29.58 30 Nov 2007
Apr 2010
-20.56 27 Jan 2022
Mar 2024
-17.33 30 Jan 2022
Jun 2024
-15.42 38 Sep 2000
Oct 2003
-12.42 6 Feb 2020
Jul 2020
-10.96 6 Feb 2020
Jul 2020
-9.65 10 May 2011
Feb 2012
-9.38 8 May 1998
Dec 1998
-7.97 5 Jul 1998
Nov 1998
-7.19 8 Jun 2011
Jan 2012
-7.17 7 Sep 2018
Mar 2019
-6.73 9 May 2002
Jan 2003
-6.44 14 May 2015
Jun 2016
-5.89 5 May 2010
Sep 2010

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 1992 - 30 September 2024 (~33 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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Dynamic 40/60 Income Edge Select Moderate
Year Return Drawdown Return Drawdown
2024
 10.58% -2.45% 12.05% -2.94%
2023
 11.97% -5.00% 16.31% -7.35%
2022
 -14.37% -17.33% -16.06% -20.56%
2021
 6.72% -1.83% 9.66% -2.75%
2020
 8.28% -12.42% 13.88% -10.96%
2019
 15.91% -1.51% 19.44% -3.06%
2018
 -3.18% -5.09% -4.47% -7.17%
2017
 9.18% 0.00% 15.00% 0.00%
2016
 7.53% -1.95% 7.31% -2.51%
2015
 0.21% -4.06% -1.02% -6.05%
2014
 7.01% -1.44% 6.15% -2.15%
2013
 6.13% -3.06% 12.89% -2.80%
2012
 12.70% -2.72% 11.74% -4.35%
2011
 2.96% -7.19% 1.36% -9.65%
2010
 11.25% -3.72% 11.88% -5.89%
2009
 22.37% -15.04% 21.52% -11.06%
2008
 -14.80% -23.51% -18.62% -22.60%
2007
 0.88% -3.23% 8.20% -2.71%
2006
 9.18% -1.29% 12.10% -2.46%
2005
 5.23% -1.76% 6.80% -2.45%
2004
 8.41% -3.31% 10.27% -2.82%
2003
 21.64% -1.30% 21.24% -1.84%
2002
 1.03% -6.73% -5.21% -10.16%
2001
 8.71% -3.24% -2.83% -10.45%
2000
 3.43% -4.13% -1.46% -6.21%
1999
 11.02% -2.15% 14.10% -2.41%
1998
 6.04% -9.38% 14.87% -7.97%
1997
 16.36% -2.49% 14.53% -4.08%
1996
 16.81% -1.12% 10.99% -2.45%
1995
 23.17% 0.00% 22.46% -0.02%
1994
 -3.19% -5.36% -0.46% -5.84%
1993
 14.73% -0.57% 17.25% -2.24%
1992
 12.95% -0.70% 4.97% -2.63%