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

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 Conservative Portfolio
1.00$
Initial Capital
December 2014
1.44$
Final Capital
November 2024
3.68%
Yearly Return
4.86
Std Deviation
-12.44%
Max Drawdown
27months
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 Conservative Portfolio
1.00$
Initial Capital
August 2009
1.97$
Final Capital
November 2024
4.52%
Yearly Return
4.43
Std Deviation
-12.44%
Max Drawdown
27months
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 Conservative Portfolio obtained a 3.68% compound annual return, with a 4.86% 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)
Developed World ex-US 40/60 Momentum 8.99 1.48 3.47 12.64 3.42 3.93 5.22
Edge Select Conservative
Merrill Lynch 		7.58 1.87 5.94 11.00 3.43 3.68 4.52
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 Conservative Portfolio: an investment of 1$, since December 2014, now would be worth 1.44$, with a total return of 43.54% (3.68% 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 Conservative Portfolio: an investment of 1$, since August 2009, now would be worth 1.97$, with a total return of 96.99% (4.52% 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 Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 21%
Fixed Income 60% 79%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 12.64 11.00
Infl. Adjusted Return (%) 9.99 8.39
DRAWDOWN
Deepest Drawdown Depth (%) -2.55 -1.86
Start to Recovery (months) 4 3
Longest Drawdown Depth (%) -2.55 -1.86
Start to Recovery (months) 4 3
Longest Negative Period (months) 3 4
RISK INDICATORS
Standard Deviation (%) 6.04 4.81
Sharpe Ratio 1.23 1.20
Sortino Ratio 1.53 1.53
Ulcer Index 0.96 0.66
Ratio: Return / Standard Deviation 2.09 2.29
Ratio: Return / Deepest Drawdown 4.96 5.92
Metrics calculated over the period 1 December 2023 - 30 November 2024
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Developed World ex-US 40/60 Momentum Edge Select Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 21%
Fixed Income 60% 79%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.42 3.43
Infl. Adjusted Return (%) -0.67 -0.66
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -12.44
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -12.44
Start to Recovery (months) 35 27
Longest Negative Period (months) 47 39
RISK INDICATORS
Standard Deviation (%) 8.70 6.23
Sharpe Ratio 0.13 0.18
Sortino Ratio 0.17 0.25
Ulcer Index 7.52 4.58
Ratio: Return / Standard Deviation 0.39 0.55
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 Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 21%
Fixed Income 60% 79%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 3.93 3.68
Infl. Adjusted Return (%) 1.00 0.76
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -12.44
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -12.44
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.96 4.86
Sharpe Ratio 0.34 0.43
Sortino Ratio 0.45 0.59
Ulcer Index 5.55 3.31
Ratio: Return / Standard Deviation 0.56 0.76
Ratio: Return / Deepest Drawdown 0.20 0.30
Metrics calculated over the period 1 December 2014 - 30 November 2024
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Developed World ex-US 40/60 Momentum Edge Select Conservative
Author Merrill Lynch
ASSET ALLOCATION
Stocks 40% 21%
Fixed Income 60% 79%
Commodities 0% 0%
PERFORMANCES
Annualized Return (%) 5.22 4.52
Infl. Adjusted Return (%) 2.61 1.93
DRAWDOWN
Deepest Drawdown Depth (%) -19.40 -12.44
Start to Recovery (months) 35 27
Longest Drawdown Depth (%) -19.40 -12.44
Start to Recovery (months) 35 27
Longest Negative Period (months) 56 39
RISK INDICATORS
Standard Deviation (%) 6.93 4.43
Sharpe Ratio 0.61 0.79
Sortino Ratio 0.80 1.07
Ulcer Index 4.70 2.71
Ratio: Return / Standard Deviation 0.75 1.02
Ratio: Return / Deepest Drawdown 0.27 0.36
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 Conservative
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-12.44 27 Jan 2022
Mar 2024
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-4.57 5 Feb 2020
Jun 2020
-4.27 8 Aug 2016
Mar 2017
-2.46 11 May 2015
Mar 2016
-2.26 5 Sep 2018
Jan 2019
-2.15 2* Oct 2024
In progress
-1.86 3 Apr 2024
Jun 2024
-1.62 5 Jan 2021
May 2021
-1.49 2 Oct 2024
Nov 2024
-1.47 6 Feb 2018
Jul 2018
-1.41 4 Sep 2021
Dec 2021

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Developed World ex-US 40/60 Momentum Edge Select Conservative
Drawdown
(%) 		Recovery
(#Months)		 From
To		 Drawdown
(%) 		Recovery
(#Months)		 From
To
-19.40 35 Sep 2021
Jul 2024
-12.44 27 Jan 2022
Mar 2024
-8.94 15 May 2011
Jul 2012
-7.72 5 Feb 2020
Jun 2020
-6.00 14 Feb 2018
Mar 2019
-5.38 14 May 2015
Jun 2016
-5.17 6 May 2013
Oct 2013
-4.57 5 Feb 2020
Jun 2020
-4.27 8 Aug 2016
Mar 2017
-4.04 3 May 2010
Jul 2010
-2.88 7 Jun 2011
Dec 2011
-2.46 11 May 2015
Mar 2016
-2.30 6 May 2013
Oct 2013
-2.26 5 Sep 2018
Jan 2019
-2.15 2* Oct 2024
In progress

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 Conservative
Year Return Drawdown Return Drawdown
2024
 8.99% -2.55% 7.58% -1.86%
2023
 10.83% -4.47% 9.20% -3.89%
2022
 -14.37% -19.07% -9.59% -12.44%
2021
 1.27% -2.17% 3.46% -1.41%
2020
 11.65% -7.72% 6.74% -4.57%
2019
 14.52% -0.27% 11.07% -0.76%
2018
 -4.03% -6.00% -1.01% -2.26%
2017
 11.62% -0.20% 6.67% 0.00%
2016
 2.96% -4.27% 4.67% -1.32%
2015
 0.07% -5.38% -0.16% -2.46%
2014
 1.57% -1.52% 4.82% -1.01%
2013
 8.39% -5.17% 5.12% -2.30%
2012
 12.90% -3.09% 6.74% -1.52%
2011
 -0.59% -8.94% 3.69% -2.88%
2010
 10.77% -4.04% 7.47% -1.66%