Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.
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The earliest data available for this chart is Sep 2, 2015, corresponding to the inception date of XCEM
Returns By Period
As of Apr 3, 2026, the Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH returned 4.38% Year-To-Date and 11.10% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH | -0.73% | -2.23% | 4.38% | 10.36% | 34.01% | 20.53% | 11.48% | 11.10% |
| Portfolio components: | ||||||||
XCEM Columbia EM Core ex-China ETF | -1.19% | -4.19% | 6.10% | 14.71% | 40.94% | 17.28% | 7.28% | 9.88% |
IDMO Invesco S&P International Developed Momentum ETF | -0.89% | -1.97% | 1.06% | 6.02% | 29.40% | 22.78% | 14.31% | 11.76% |
PXF Invesco FTSE RAFI Developed Markets ex-U.S. ETF | -0.69% | -1.65% | 7.96% | 16.30% | 39.82% | 20.79% | 12.65% | 11.09% |
PXH Invesco FTSE RAFI Emerging Markets ETF | 0.00% | -1.51% | 4.17% | 6.66% | 28.06% | 18.44% | 8.55% | 9.92% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 3, 2015, Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH's average daily return is +0.05%, while the average monthly return is +0.93%. At this rate, your investment would double in approximately 6.2 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +13.8%, while the worst month was Mar 2020 at -16.2%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +8.3%, while the worst single day was Mar 12, 2020 at -10.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.20% | 5.97% | -7.86% | 0.66% | 4.38% | ||||||||
| 2025 | 3.55% | 1.91% | 1.31% | 3.09% | 5.37% | 4.75% | -0.16% | 3.29% | 3.88% | 2.08% | 0.62% | 3.55% | 38.60% |
| 2024 | -0.51% | 3.58% | 4.55% | -2.51% | 3.22% | 0.43% | 1.94% | 1.85% | 1.42% | -3.30% | 0.41% | -2.66% | 8.37% |
| 2023 | 6.84% | -3.41% | 1.90% | 1.83% | -3.17% | 4.97% | 4.13% | -3.54% | -1.84% | -3.05% | 8.63% | 4.85% | 18.51% |
| 2022 | -0.90% | -4.10% | 0.42% | -6.43% | 2.89% | -9.74% | 3.03% | -2.68% | -9.16% | 5.21% | 11.51% | -1.88% | -13.04% |
| 2021 | 0.23% | 2.21% | 1.63% | 2.17% | 2.45% | 0.05% | -0.72% | 3.18% | -2.54% | 2.76% | -3.98% | 4.65% | 12.41% |
Benchmark Metrics
Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH has an annualized alpha of 1.53%, beta of 0.76, and R² of 0.65 versus S&P 500 Index. Calculated based on daily prices since September 03, 2015.
- This portfolio participated in 83.06% of S&P 500 Index downside but only 79.78% of its upside — more exposed to losses than it benefited from rallies.
- Alpha
- 1.53%
- Beta
- 0.76
- R²
- 0.65
- Upside Capture
- 79.78%
- Downside Capture
- 83.06%
Expense Ratio
Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH has an expense ratio of 0.33%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH ranks 84 for risk / return — in the top 84% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.93 | 0.88 | +1.04 |
Sortino ratioReturn per unit of downside risk | 2.58 | 1.37 | +1.21 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.21 | +0.20 |
Calmar ratioReturn relative to maximum drawdown | 2.92 | 1.39 | +1.53 |
Martin ratioReturn relative to average drawdown | 11.42 | 6.43 | +4.99 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
XCEM Columbia EM Core ex-China ETF | 88 | 2.03 | 2.70 | 1.39 | 2.86 | 11.56 |
IDMO Invesco S&P International Developed Momentum ETF | 79 | 1.54 | 2.14 | 1.32 | 2.48 | 9.91 |
PXF Invesco FTSE RAFI Developed Markets ex-U.S. ETF | 92 | 2.28 | 2.97 | 1.46 | 3.48 | 13.53 |
PXH Invesco FTSE RAFI Emerging Markets ETF | 75 | 1.52 | 2.12 | 1.31 | 2.04 | 8.93 |
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Dividends
Dividend yield
Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH provided a 3.55% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.55% | 3.66% | 3.08% | 3.11% | 3.73% | 2.87% | 1.98% | 2.92% | 3.19% | 4.24% | 2.20% | 2.86% |
| Portfolio components: | ||||||||||||
XCEM Columbia EM Core ex-China ETF | 3.07% | 3.25% | 2.76% | 1.22% | 2.42% | 1.94% | 1.63% | 2.11% | 2.70% | 9.56% | 1.24% | 2.63% |
IDMO Invesco S&P International Developed Momentum ETF | 3.77% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
PXF Invesco FTSE RAFI Developed Markets ex-U.S. ETF | 3.43% | 3.64% | 3.48% | 3.55% | 3.58% | 3.74% | 2.11% | 3.50% | 3.38% | 2.78% | 3.21% | 3.10% |
PXH Invesco FTSE RAFI Emerging Markets ETF | 3.78% | 4.02% | 4.43% | 4.84% | 5.33% | 4.69% | 2.79% | 3.28% | 3.30% | 2.74% | 1.97% | 3.44% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH was 36.65%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.
The current Developed/Emerging Markets - 237.72 - 60/40 - IDMO PXF/XCEM PXH drawdown is 7.75%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.65% | Jan 29, 2018 | 541 | Mar 23, 2020 | 172 | Nov 24, 2020 | 713 |
| -26.76% | Jan 13, 2022 | 180 | Sep 30, 2022 | 335 | Feb 1, 2024 | 515 |
| -22.33% | Oct 12, 2015 | 69 | Jan 20, 2016 | 137 | Aug 4, 2016 | 206 |
| -13.42% | Mar 20, 2025 | 14 | Apr 8, 2025 | 14 | Apr 29, 2025 | 28 |
| -11.51% | Feb 26, 2026 | 17 | Mar 20, 2026 | — | — | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 4 assets, with an effective number of assets of 3.74, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | IDMO | XCEM | PXH | PXF | Portfolio | |
|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.59 | 0.62 | 0.64 | 0.75 | 0.74 |
| IDMO | 0.59 | 1.00 | 0.56 | 0.51 | 0.68 | 0.81 |
| XCEM | 0.62 | 0.56 | 1.00 | 0.77 | 0.70 | 0.84 |
| PXH | 0.64 | 0.51 | 0.77 | 1.00 | 0.77 | 0.86 |
| PXF | 0.75 | 0.68 | 0.70 | 0.77 | 1.00 | 0.90 |
| Portfolio | 0.74 | 0.81 | 0.84 | 0.86 | 0.90 | 1.00 |