Elm Wealth: Dynamic Index Investing

Allocation Summary

Elm’s asset allocation is dynamic. We start from a diversified Baseline Portfolio and regularly adjust each asset weight in line with its expected returns, generated from a rules-based combination of Valuation signals (long-term) and Momentum signals (medium-term). The result is a robust, highly diversified portfolio designed to hold large fractions of wealth.

Strategy Type

Dynamic Global Asset Allocation

Styles

Rules Based Algorithmic

Constraints

No leverage, No shorting, No stock-picking

Minimum Investment

$500K

Our Fee

0.12% p.a.

Liquidity

Daily

12.3%

Money Market

27%

Us Equities

15%

US Fixed Income

5%

US High Yield Bonds

11.9%

Broad Europe Equities

5%

US REITS

12.1%

Broad Emerging Market Equities

4.6%

Broad Dev. Asia Equities

1.8%

Broad Canada Equities

Swipe for allocation %

Custody

Separately Managed Account at Fidelity

No ETF commissions, no custody fees

Account Types

Individual, Joint, IRA, 401(k), Trust, LLC, LP

Underlying Assets

Low-cost ETFs and Index mutual funds

-0.1% weighted-average expense ratio

Investor Tax Domicile

Blank copy goes here United States

Account Tax Status

Private Fund, Joint Fund, Words & Stuff

Download this strategy information as a PDF

Fidelity Investments (“Fidelity”) is an independent company, unaffiliated with Elm Partners (“Elm”). Fidelity is a service provider to Elm. There is no form of legal partnership, agency affiliation, or similar relationship between your financial advisor and Fidelity, nor is such a relationship created or implied by the information herein. Fidelity has not been involved with the preparation of the content supplied by Elm and does not guarantee, or assume any responsibility for, its content. Fidelity Investments is a registered trademark of FMR LLC. Fidelity InstitutionalSM provides clearing, custody, and other brokerage services through National Financial Services LLC or Fidelity Brokerage Services LLC, Members NYSE, SIPC. 830247.3.0

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Baseline Weights: The Baseline defines the strategy's 'average' asset allocation over a long period of time, and serves as the reference point for Long-Term and Trend deviations. The Baseline represents the asset-allocation that a prospective investor would choose were they seeking a static strategy. See here for more information about the Baseline construction methodology.

Target Weights:The target weights used in the periodic portfolio rebalancing. Portfolios may not be rebalanced exactly to target, as Elm's execution engine tries to find a parsimonious set of trades which get as close as possible to target weights while also minimizing transaction costs, tax costs, etc.

Target Weight Breakdown:

Expected Return: The target weight resulting only from the Expected return-based metric. We want target weights to be proportional to the Expected excess returns, while staying within 2/3 above or below the bucket's Baseline Weight.
Risk: The deviation caused by the Risk Metric. We want a positive Deviation in lower-risk environments, and vice versa. The size of Risk-based deviation can be at most 1/3 of the bucket's Baseline Weight.
The Target Weight is equal to the Return + Risk components in the Breakdown.

Expected Return Metric:

Equities: 1 / CAPE - 10y TIPS Real Yield (Excess Expected Return in excess of the long-term risk-free rate)
Fixed Income: 10y TIPS Real Yield
For a small number of asset buckets we use slightly different signals than described above, and a few buckets use secondary metrics as well. Please contact us for details if you're interested.

Risk Metric:

We use a momentum signal as a proxy for the risk-environment: positive momentum indicates a low-risk environment, negative momentum indictse a higher-risk environment.
Balanced: Spot Asset Class Total Return Index / 1y-Avg Total Return Index
(All indexes adjusted for inflation and risk-premia)
All-Equity: [Spot Asset Class Total Return Index / 1y-Avg Asset Class Total Return Index] - [Spot Baseline Total Return Index / 1y-Avg Baseline Total Return Index]
(All indexes adjusted for inflation and risk-premia)

Disclaimer

Elm Partners’ Funds are available only to accredited investors. The content of this website and related materials are not intended to solicit investment, but rather to elicit discussion and exploration of better ways to invest. The contents of this website do not comprise an offering document. Neither historical simulations nor past return performance are necessarily indicative of future returns. Elm Partners Management LLC is an investment advisor registered with the SEC. Here are the most recent copies of our Form ADV Part 1, ADV Part 2A2B and Form CRS.

Fidelity Investments (“Fidelity”) is an independent company, unaffiliated with Elm Partners (“Elm”). Fidelity is a service provider to Elm. There is no form of legal partnership, agency affiliation, or similar relationship between your financial advisor and Fidelity, nor is such a relationship created or implied by the information herein. Fidelity has not been involved with the preparation of the content supplied by Elm and does not guarantee, or assume any responsibility for, its content. Fidelity Investments is a registered trademark of FMR LLC. Fidelity InstitutionalSM provides clearing, custody, and other brokerage services through National Financial Services LLC or Fidelity Brokerage Services LLC, Members NYSE, SIPC. 830247.3.0

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