First, the joints to be compared:

The material is 0.365" diameter aluminum rod of unknown composition, purchased at my local Ace Hardware store. I used a carbide circular saw to slice the rod into short pieces, which I then fastened back together again using butt joints of two different types.
The epoxy joint at top was done by sanding the outer surface of the rod, cleaning all the cut surfaces with a paper towel soaked in xylene, then agitating the pieces in fresh xylene for 10 minutes, changing the xylene for fresh and agitating for another 10 minutes, then draining the pieces, washing them in acetone that had passed the evaporate-on-glass test for cleanliness, and finally allowing them to airdry. The epoxy was a fresh package of http://www.loctiteproducts.com/p/epxy_w ... mpound.htm, from which I carefully weighed equal parts of resin and hardener (1.67 gm of each, using an Ohaus balance). I mixed the two components on a paper index card using a piece of thick copper wire that had again been cleaned in xylene and acetone. Then I applied a layer of epoxy to both cut surfaces, pressed the two ends together to squeeze out excess epoxy, formed a small bead over the joint, placed the parts in a grooved jig to keep the parts centered and prevent movement, and left the parts to cure.
I'm telling you all this gory detail because I took great care to try to do a proper job forming the epoxy joint. If I have somehow screwed up any of the prep or application, I would be very happy to know how.
The screw joint, at the bottom, was formed by drilling and tapping both pieces (#23 drill, 10x32 thread, hand-tapped), then inserting a 3/4" long piece of 10x32 steel machine screw.
After letting the epoxy cure at room temperature (~72F) for 8 days, I tested the joints by clamping one end in a vice, hanging a 10 pound weight on the other end, and progressively moving the weight farther away from the joint until something interesting happened.
Here are some illustrative pictures of what happened.
First, one of the epoxy joints:

It's holding here at 1.5 inches from joint. It also held at 1.75 inches, but failed catastrophically (brittle break with no warning) at 2 inches. Another one held at 2 but failed at 2.5 inches.
Here are the broken surfaces:

In contrast, here is one of the threaded joints under load. I'll skip the early tests, since those were quite boring. Things started to get interesting around 9-1/2 inches, and here's the view at 10 inches.

It's pretty clear from the above that the joint is overloaded at 10 inches.
Nonetheless, I continued pushing the exercise. Here it is at 12 inches:

Bottom line, the epoxy joint in this test was about 4X weaker than the joint with threaded insert, and the epoxy failed without warning while the threaded insert gave ample indication of impending failure.
When I write that my experiences with epoxy have been less than completely satisfying, this is part of the behavior that I'm talking about.
--Rik
Edit: typo