Merrill Lynch Edge Select Aggressive vs Alpha Architect Robust Portfolio Comparison

Period: January 1985 - August 2024 (~40 years)
Consolidated Returns as of 31 August 2024
Rebalancing: at every Jan 1st
Currency: USD
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Merrill Lynch Edge Select Aggressive Portfolio
1.00$
Initial Capital
September 1994
11.90$
Final Capital
August 2024
8.60%
Yearly Return
13.25
Std Deviation
-45.65%
Max Drawdown
41 months
Recovery Period
Alpha Architect Robust Portfolio
1.00$
Initial Capital
September 1994
13.93$
Final Capital
August 2024
9.18%
Yearly Return
11.11
Std Deviation
-44.20%
Max Drawdown
42 months
Recovery Period
Merrill Lynch Edge Select Aggressive Portfolio
1.00$
Initial Capital
January 1985
54.22$
Final Capital
August 2024
10.59%
Yearly Return
13.33
Std Deviation
-45.65%
Max Drawdown
41 months
Recovery Period
Alpha Architect Robust Portfolio
1.00$
Initial Capital
January 1985
54.15$
Final Capital
August 2024
10.59%
Yearly Return
10.94
Std Deviation
-44.20%
Max Drawdown
42 months
Recovery Period

The Merrill Lynch Edge Select Aggressive Portfolio obtained a 8.60% compound annual return, with a 13.25% standard deviation, in the last 30 Years.

The Alpha Architect Robust Portfolio obtained a 9.18% compound annual return, with a 11.11% standard deviation, in the last 30 Years.

Returns as of Aug 31, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Return (%) as of Aug 31, 2024
YTD
(8M) 		1M 6M 1Y 5Y 10Y 30Y MAX
(~40Y)
Edge Select Aggressive
Merrill Lynch 		13.52 1.96 9.65 20.71 11.09 8.75 8.60 10.59
Robust
Alpha Architect 		13.18 2.06 7.91 19.02 8.16 7.02 9.18 10.59
Return over 1 year are annualized.

Capital Growth as of Aug 31, 2024

Merrill Lynch Edge Select Aggressive Portfolio: an investment of 1$, since September 1994, now would be worth 11.90$, with a total return of 1089.53% (8.60% annualized).

Alpha Architect Robust Portfolio: an investment of 1$, since September 1994, now would be worth 13.93$, with a total return of 1293.25% (9.18% annualized).


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Merrill Lynch Edge Select Aggressive Portfolio: an investment of 1$, since January 1985, now would be worth 54.22$, with a total return of 5321.82% (10.59% annualized).

Alpha Architect Robust Portfolio: an investment of 1$, since January 1985, now would be worth 54.15$, with a total return of 5314.85% (10.59% annualized).


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Metrics as of Aug 31, 2024

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

METRIC COMPARISON
Period: 1 September 2023 - 31 August 2024 (1 year)
Period: 1 September 2019 - 31 August 2024 (5 years)
Period: 1 September 2014 - 31 August 2024 (10 years)
Period: 1 September 1994 - 31 August 2024 (30 years)
Period: 1 January 1985 - 31 August 2024 (~40 years)
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Edge Select Aggressive Robust
Author Merrill Lynch Alpha Architect
ASSET ALLOCATION
Stocks 84% 70%
Fixed Income 16% 20%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 20.71 19.02
Infl. Adjusted Return (%) 17.88 16.24
DRAWDOWN
Deepest Drawdown Depth (%) -6.47 -5.66
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -6.47 -5.66
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 12.04 10.58
Sharpe Ratio 1.28 1.29
Sortino Ratio 1.76 1.67
Ulcer Index 2.30 2.09
Ratio: Return / Standard Deviation 1.72 1.80
Ratio: Return / Deepest Drawdown 3.20 3.36
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Edge Select Aggressive Robust
Author Merrill Lynch Alpha Architect
ASSET ALLOCATION
Stocks 84% 70%
Fixed Income 16% 20%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 11.09 8.16
Infl. Adjusted Return (%) 6.68 3.87
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -19.09
Start to Recovery (months) 26 8
Longest Drawdown Depth (%) -23.81 -17.99
Start to Recovery (months) 26 28
Longest Negative Period (months) 32 32
RISK INDICATORS
Standard Deviation (%) 15.16 13.77
Sharpe Ratio 0.59 0.44
Sortino Ratio 0.78 0.56
Ulcer Index 8.48 7.24
Ratio: Return / Standard Deviation 0.73 0.59
Ratio: Return / Deepest Drawdown 0.47 0.43
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Edge Select Aggressive Robust
Author Merrill Lynch Alpha Architect
ASSET ALLOCATION
Stocks 84% 70%
Fixed Income 16% 20%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 8.75 7.02
Infl. Adjusted Return (%) 5.77 4.09
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -19.09
Start to Recovery (months) 26 8
Longest Drawdown Depth (%) -23.81 -17.99
Start to Recovery (months) 26 28
Longest Negative Period (months) 32 32
RISK INDICATORS
Standard Deviation (%) 12.93 11.36
Sharpe Ratio 0.56 0.49
Sortino Ratio 0.76 0.64
Ulcer Index 6.58 5.58
Ratio: Return / Standard Deviation 0.68 0.62
Ratio: Return / Deepest Drawdown 0.37 0.37
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Edge Select Aggressive Robust
Author Merrill Lynch Alpha Architect
ASSET ALLOCATION
Stocks 84% 70%
Fixed Income 16% 20%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 8.60 9.18
Infl. Adjusted Return (%) 5.94 6.50
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -44.20
Start to Recovery (months) 41 42
Longest Drawdown Depth (%) -33.96 -44.20
Start to Recovery (months) 56 42
Longest Negative Period (months) 118 62
RISK INDICATORS
Standard Deviation (%) 13.25 11.11
Sharpe Ratio 0.48 0.62
Sortino Ratio 0.62 0.79
Ulcer Index 11.10 8.38
Ratio: Return / Standard Deviation 0.65 0.83
Ratio: Return / Deepest Drawdown 0.19 0.21
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Edge Select Aggressive Robust
Author Merrill Lynch Alpha Architect
ASSET ALLOCATION
Stocks 84% 70%
Fixed Income 16% 20%
Commodities 0% 10%
PERFORMANCES
Annualized Return (%) 10.59 10.59
Infl. Adjusted Return (%) 7.60 7.59
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -44.20
Start to Recovery (months) 41 42
Longest Drawdown Depth (%) -33.96 -44.20
Start to Recovery (months) 56 42
Longest Negative Period (months) 118 62
RISK INDICATORS
Standard Deviation (%) 13.33 10.94
Sharpe Ratio 0.56 0.68
Sortino Ratio 0.73 0.87
Ulcer Index 10.05 7.57
Ratio: Return / Standard Deviation 0.79 0.97
Ratio: Return / Deepest Drawdown 0.23 0.24
Metrics calculated over the period 1 January 1985 - 31 August 2024

Drawdowns

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

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Edge Select Aggressive Robust
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-45.65 41 Nov 2007
Mar 2011
-44.20 42 Nov 2007
Apr 2011
-33.96 56 Apr 2000
Nov 2004
-23.81 26 Jan 2022
Feb 2024
-19.09 8 Jan 2020
Aug 2020
-17.99 28 Nov 2021
Feb 2024
-17.64 7 Jan 2020
Jul 2020
-16.85 11 May 2011
Mar 2012
-13.97 7 May 1998
Nov 1998
-13.76 10 May 2011
Feb 2012
-12.58 28 Feb 2001
May 2003
-11.72 9 Oct 2018
Jun 2019
-11.27 7 Oct 2018
Apr 2019
-10.75 5 Jul 1998
Nov 1998
-10.51 14 Jun 2015
Jul 2016

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Edge Select Aggressive Robust
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-45.65 41 Nov 2007
Mar 2011
-44.20 42 Nov 2007
Apr 2011
-33.96 56 Apr 2000
Nov 2004
-23.81 26 Jan 2022
Feb 2024
-22.86 17 Sep 1987
Jan 1989
-19.09 8 Jan 2020
Aug 2020
-18.97 17 Sep 1987
Jan 1989
-17.99 28 Nov 2021
Feb 2024
-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
-13.76 10 May 2011
Feb 2012
-12.58 28 Feb 2001
May 2003
-11.72 9 Oct 2018
Jun 2019

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 August 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 Robust
Year Return Drawdown Return Drawdown
2024
 13.52% -3.19% 13.18% -3.80%
2023
 21.47% -8.85% 8.53% -6.88%
2022
 -17.87% -23.81% -10.29% -17.33%
2021
 15.74% -3.70% 17.40% -3.99%
2020
 17.62% -17.64% 7.53% -19.09%
2019
 24.61% -5.32% 20.35% -3.33%
2018
 -6.88% -11.27% -6.10% -11.72%
2017
 21.70% 0.00% 18.49% 0.00%
2016
 9.21% -4.97% 8.13% -3.96%
2015
 -1.81% -9.34% -0.63% -6.68%
2014
 6.27% -3.59% 5.13% -2.85%
2013
 20.62% -2.29% 19.10% -2.13%
2012
 15.28% -7.41% 12.28% -6.42%
2011
 -2.72% -16.85% 2.08% -13.76%
2010
 14.37% -10.38% 14.95% -9.68%
2009
 30.72% -15.46% 17.10% -18.31%
2008
 -32.45% -35.23% -29.35% -32.35%
2007
 10.67% -4.82% 9.03% -3.32%
2006
 16.89% -3.81% 14.56% -2.50%
2005
 9.86% -4.16% 13.33% -2.38%
2004
 13.59% -3.69% 18.01% -4.18%
2003
 30.43% -3.69% 28.95% -2.12%
2002
 -14.01% -20.65% 0.96% -8.47%
2001
 -9.00% -19.93% -7.16% -12.58%
2000
 -8.67% -12.07% 9.39% -3.34%
1999
 23.19% -2.88% 18.95% -2.74%
1998
 18.05% -13.97% 13.95% -10.75%
1997
 17.27% -6.20% 16.27% -2.68%
1996
 15.00% -3.98% 20.00% -2.93%
1995
 23.68% -0.91% 26.04% -0.64%
1994
 0.50% -7.08% -1.64% -6.68%
1993
 21.88% -3.14% 14.31% -2.17%
1992
 3.09% -3.48% 8.50% -1.40%
1991
 34.86% -4.62% 23.44% -3.45%
1990
 -6.03% -15.96% -1.58% -6.78%
1989
 30.19% -2.36% 26.71% -1.47%
1988
 18.97% -3.56% 15.37% -2.21%
1987
 4.52% -22.86% 7.28% -18.97%
1986
 25.81% -5.82% 23.86% -4.64%
1985
 34.45% -2.58% 30.79% -1.26%