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

Period: August 2009 - September 2024 (~15 years)
Consolidated Returns as of 30 September 2024
Rebalancing: at every Jan 1st
Currency: USD
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Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
October 2014
1.49$
Final Capital
September 2024
4.05%
Yearly Return
6.91
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Merrill Lynch Edge Select Moderately Conservative Portfolio
1.00$
Initial Capital
October 2014
1.71$
Final Capital
September 2024
5.53%
Yearly Return
7.56
Std Deviation
-18.53%
Max Drawdown
30 months
Recovery Period
Developed World ex-US 40/60 Momentum Portfolio
1.00$
Initial Capital
August 2009
2.20$
Final Capital
September 2024
5.33%
Yearly Return
6.93
Std Deviation
-19.40%
Max Drawdown
35 months
Recovery Period
Merrill Lynch Edge Select Moderately Conservative Portfolio
1.00$
Initial Capital
August 2009
2.61$
Final Capital
September 2024
6.54%
Yearly Return
7.02
Std Deviation
-18.53%
Max Drawdown
30 months
Recovery Period

The Developed World ex-US 40/60 Momentum Portfolio obtained a 4.05% compound annual return, with a 6.91% standard deviation, in the last 10 Years.

The Merrill Lynch Edge Select Moderately Conservative Portfolio obtained a 5.53% compound annual return, with a 7.56% standard deviation, in the last 10 Years.

Returns as of Sep 30, 2024

The portfolios guaranteed the following returns.

RETURN COMPARISON
Period: 1 August 2009 - 30 September 2024 (~15 years)
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Return (%) as of Sep 30, 2024
YTD
(9M) 		1M 6M 1Y 5Y 10Y MAX
(~15Y)
Developed World ex-US 40/60 Momentum 9.76 0.86 3.79 18.55 3.75 4.05 5.33
Edge Select Moderately Conservative
Merrill Lynch 		9.93 1.75 7.11 19.64 5.60 5.53 6.54
Return over 1 year are annualized.

Capital Growth as of Sep 30, 2024

Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since October 2014, now would be worth 1.49$, with a total return of 48.78% (4.05% annualized).

Merrill Lynch Edge Select Moderately Conservative Portfolio: an investment of 1$, since October 2014, now would be worth 1.71$, with a total return of 71.36% (5.53% annualized).


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Developed World ex-US 40/60 Momentum Portfolio: an investment of 1$, since August 2009, now would be worth 2.20$, with a total return of 119.69% (5.33% annualized).

Merrill Lynch Edge Select Moderately Conservative Portfolio: an investment of 1$, since August 2009, now would be worth 2.61$, with a total return of 161.35% (6.54% 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 August 2009 - 30 September 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 (%) 18.55 19.64
Infl. Adjusted Return (%) 15.76 16.83
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 (%) 6.69 8.05
Sharpe Ratio 1.97 1.77
Sortino Ratio 2.73 2.52
Ulcer Index 0.75 0.90
Ratio: Return / Standard Deviation 2.77 2.44
Ratio: Return / Deepest Drawdown 7.27 7.27
Metrics calculated over the period 1 October 2023 - 30 September 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 (%) 3.75 5.60
Infl. Adjusted Return (%) -0.41 1.36
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) 48 39
RISK INDICATORS
Standard Deviation (%) 8.62 9.48
Sharpe Ratio 0.18 0.36
Sortino Ratio 0.24 0.48
Ulcer Index 7.52 7.05
Ratio: Return / Standard Deviation 0.44 0.59
Ratio: Return / Deepest Drawdown 0.19 0.30
Metrics calculated over the period 1 October 2019 - 30 September 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 (%) 4.05 5.53
Infl. Adjusted Return (%) 1.16 2.60
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 (%) 6.91 7.56
Sharpe Ratio 0.37 0.54
Sortino Ratio 0.49 0.72
Ulcer Index 5.54 5.14
Ratio: Return / Standard Deviation 0.59 0.73
Ratio: Return / Deepest Drawdown 0.21 0.30
Metrics calculated over the period 1 October 2014 - 30 September 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 (%) 5.33 6.54
Infl. Adjusted Return (%) 2.71 3.89
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 7.02
Sharpe Ratio 0.63 0.79
Sortino Ratio 0.83 1.07
Ulcer Index 4.72 4.25
Ratio: Return / Standard Deviation 0.77 0.93
Ratio: Return / Deepest Drawdown 0.27 0.35
Metrics calculated over the period 1 August 2009 - 30 September 2024

Drawdowns

DRAWDOWN COMPARISON
Period: 1 October 2014 - 30 September 2024 (10 years)
Period: 1 August 2009 - 30 September 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
-2.08 3 Sep 2020
Nov 2020
-1.87 4 Oct 2016
Jan 2017
-1.82 2 May 2019
Jun 2019
-1.62 5 Jan 2021
May 2021

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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

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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 September 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
 9.76% -2.55% 9.93% -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%