Merrill Lynch Edge Select Aggressive vs Stocks/Bonds 80/20 Momentum 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
Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
September 1994
26.47$
Final Capital
August 2024
11.54%
Yearly Return
12.46
Std Deviation
-43.61%
Max Drawdown
52 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
Stocks/Bonds 80/20 Momentum Portfolio
1.00$
Initial Capital
January 1985
102.63$
Final Capital
August 2024
12.38%
Yearly Return
12.61
Std Deviation
-43.61%
Max Drawdown
52 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 Stocks/Bonds 80/20 Momentum Portfolio obtained a 11.54% compound annual return, with a 12.46% 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
Stocks/Bonds 80/20 Momentum 21.48 3.02 7.88 29.38 9.34 10.84 11.54 12.38
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).

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since September 1994, now would be worth 26.47$, with a total return of 2546.96% (11.54% 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).

Stocks/Bonds 80/20 Momentum Portfolio: an investment of 1$, since January 1985, now would be worth 102.63$, with a total return of 10163.07% (12.38% 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 Stocks/Bonds 80/20 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 80%
Fixed Income 16% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 20.71 29.38
Infl. Adjusted Return (%) 17.88 26.35
DRAWDOWN
Deepest Drawdown Depth (%) -6.47 -5.89
Start to Recovery (months) 3 3
Longest Drawdown Depth (%) -6.47 -5.89
Start to Recovery (months) 3 3
Longest Negative Period (months) 2 2
RISK INDICATORS
Standard Deviation (%) 12.04 14.47
Sharpe Ratio 1.28 1.66
Sortino Ratio 1.76 2.17
Ulcer Index 2.30 2.48
Ratio: Return / Standard Deviation 1.72 2.03
Ratio: Return / Deepest Drawdown 3.20 4.99
Metrics calculated over the period 1 September 2023 - 31 August 2024
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Edge Select Aggressive Stocks/Bonds 80/20 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 80%
Fixed Income 16% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 11.09 9.34
Infl. Adjusted Return (%) 6.68 5.00
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -27.23
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.81 -27.23
Start to Recovery (months) 26 32
Longest Negative Period (months) 32 39
RISK INDICATORS
Standard Deviation (%) 15.16 15.95
Sharpe Ratio 0.59 0.45
Sortino Ratio 0.78 0.62
Ulcer Index 8.48 12.99
Ratio: Return / Standard Deviation 0.73 0.59
Ratio: Return / Deepest Drawdown 0.47 0.34
Metrics calculated over the period 1 September 2019 - 31 August 2024
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Edge Select Aggressive Stocks/Bonds 80/20 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 80%
Fixed Income 16% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.75 10.84
Infl. Adjusted Return (%) 5.77 7.80
DRAWDOWN
Deepest Drawdown Depth (%) -23.81 -27.23
Start to Recovery (months) 26 32
Longest Drawdown Depth (%) -23.81 -27.23
Start to Recovery (months) 26 32
Longest Negative Period (months) 32 39
RISK INDICATORS
Standard Deviation (%) 12.93 13.10
Sharpe Ratio 0.56 0.72
Sortino Ratio 0.76 0.97
Ulcer Index 6.58 9.46
Ratio: Return / Standard Deviation 0.68 0.83
Ratio: Return / Deepest Drawdown 0.37 0.40
Metrics calculated over the period 1 September 2014 - 31 August 2024
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Edge Select Aggressive Stocks/Bonds 80/20 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 80%
Fixed Income 16% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 8.60 11.54
Infl. Adjusted Return (%) 5.94 8.81
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -43.61
Start to Recovery (months) 41 52
Longest Drawdown Depth (%) -33.96 -32.75
Start to Recovery (months) 56 52
Longest Negative Period (months) 118 112
RISK INDICATORS
Standard Deviation (%) 13.25 12.46
Sharpe Ratio 0.48 0.74
Sortino Ratio 0.62 0.98
Ulcer Index 11.10 11.97
Ratio: Return / Standard Deviation 0.65 0.93
Ratio: Return / Deepest Drawdown 0.19 0.26
Metrics calculated over the period 1 September 1994 - 31 August 2024
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Edge Select Aggressive Stocks/Bonds 80/20 Momentum
Author Merrill Lynch
ASSET ALLOCATION
Stocks 84% 80%
Fixed Income 16% 20%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 10.59 12.38
Infl. Adjusted Return (%) 7.60 9.34
DRAWDOWN
Deepest Drawdown Depth (%) -45.65 -43.61
Start to Recovery (months) 41 52
Longest Drawdown Depth (%) -33.96 -32.75
Start to Recovery (months) 56 52
Longest Negative Period (months) 118 112
RISK INDICATORS
Standard Deviation (%) 13.33 12.61
Sharpe Ratio 0.56 0.73
Sortino Ratio 0.73 0.97
Ulcer Index 10.05 10.98
Ratio: Return / Standard Deviation 0.79 0.98
Ratio: Return / Deepest Drawdown 0.23 0.28
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 Stocks/Bonds 80/20 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-45.65 41 Nov 2007
Mar 2011
-43.61 52 Nov 2007
Feb 2012
-33.96 56 Apr 2000
Nov 2004
-32.75 52 Sep 2000
Dec 2004
-27.23 32 Nov 2021
Jun 2024
-23.81 26 Jan 2022
Feb 2024
-17.64 7 Jan 2020
Jul 2020
-16.85 11 May 2011
Mar 2012
-14.33 5 Feb 2020
Jun 2020
-13.97 7 May 1998
Nov 1998
-12.46 9 Oct 2018
Jun 2019
-11.27 7 Oct 2018
Apr 2019
-10.51 14 Jun 2015
Jul 2016
-9.24 3 Aug 1998
Oct 1998
-7.41 6 Apr 2012
Sep 2012

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Edge Select Aggressive Stocks/Bonds 80/20 Momentum
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-45.65 41 Nov 2007
Mar 2011
-43.61 52 Nov 2007
Feb 2012
-33.96 56 Apr 2000
Nov 2004
-32.75 52 Sep 2000
Dec 2004
-27.23 32 Nov 2021
Jun 2024
-25.63 21 Sep 1987
May 1989
-23.81 26 Jan 2022
Feb 2024
-22.86 17 Sep 1987
Jan 1989
-17.64 7 Jan 2020
Jul 2020
-16.85 11 May 2011
Mar 2012
-15.96 7 Aug 1990
Feb 1991
-14.33 5 Feb 2020
Jun 2020
-13.97 7 May 1998
Nov 1998
-12.46 9 Oct 2018
Jun 2019
-11.27 7 Oct 2018
Apr 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 Stocks/Bonds 80/20 Momentum
Year Return Drawdown Return Drawdown
2024
 13.52% -3.19% 21.48% -4.94%
2023
 21.47% -8.85% 8.40% -5.89%
2022
 -17.87% -23.81% -17.23% -24.45%
2021
 15.74% -3.70% 10.32% -3.67%
2020
 17.62% -17.64% 25.42% -14.33%
2019
 24.61% -5.32% 23.57% -1.46%
2018
 -6.88% -11.27% -1.35% -12.46%
2017
 21.70% 0.00% 30.71% 0.00%
2016
 9.21% -4.97% 4.51% -3.62%
2015
 -1.81% -9.34% 7.25% -6.22%
2014
 6.27% -3.59% 12.86% -3.39%
2013
 20.62% -2.29% 27.24% -2.48%
2012
 15.28% -7.41% 12.58% -5.19%
2011
 -2.72% -16.85% 6.33% -10.88%
2010
 14.37% -10.38% 15.66% -9.31%
2009
 30.72% -15.46% 14.68% -16.18%
2008
 -32.45% -35.23% -31.40% -32.66%
2007
 10.67% -4.82% 15.50% -1.97%
2006
 16.89% -3.81% 9.30% -2.94%
2005
 9.86% -4.16% 15.79% -1.04%
2004
 13.59% -3.69% 14.21% -2.13%
2003
 30.43% -3.69% 21.59% -3.04%
2002
 -14.01% -20.65% -8.17% -17.08%
2001
 -9.00% -19.93% -12.19% -20.18%
2000
 -8.67% -12.07% -5.41% -9.70%
1999
 23.19% -2.88% 32.18% -1.61%
1998
 18.05% -13.97% 40.72% -9.24%
1997
 17.27% -6.20% 31.37% -4.22%
1996
 15.00% -3.98% 24.58% -3.09%
1995
 23.68% -0.91% 37.49% 0.00%
1994
 0.50% -7.08% -1.40% -6.80%
1993
 21.88% -3.14% 12.52% -1.57%
1992
 3.09% -3.48% 4.88% -2.94%
1991
 34.86% -4.62% 32.57% -3.31%
1990
 -6.03% -15.96% 2.93% -10.02%
1989
 30.19% -2.36% 36.94% -1.39%
1988
 18.97% -3.56% 7.13% -4.35%
1987
 4.52% -22.86% 2.18% -25.63%
1986
 25.81% -5.82% 21.18% -6.69%
1985
 34.45% -2.58% 30.36% -2.61%