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DISCLAIMER

This information is for reference purposes only. It should not be used as the sole or primary basis for a decision to use Elm as an Investment Advisor or to invest in an Elm-managed Fund. If you have an Elm-managed SMA, the source of record for account balance and performance information is your custodian (Fidelity, Schwab, JPM) and your custodian's statements. If you have an investment in an Elm-managed Fund, the source of record for value and performance information is the Fund's Administrator, Bolder Group, and the Fund statements which you receive monthly.

This information uses simulated model data and historical backtest data from periods prior to Elm's inception in 2012, and Elm's business of managing Separately Managing Accounts beginning in 2015. This tool is designed to help understand the relationship between different Elm Global Balanced settings and the risk and return of the resulting model portfolio.

The data displayed here are produced entirely using our current model design and parameters, and do not reflect the historical experience of an Elm client.

Past performance is not necessarily indicative of future performance.

Baseline Weights: The Baseline defines the strategy's asset allocation in the 'Baseline Environment' where all risk assets have a 4% Risk Premium and neutral Risk Level.

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.

Baseline Deviation Breakdown:

• Risk Premium: The Target's deviation from the Baseline resulting from current Risk Premia differing from the 4% assumed in the Baseline Environment.
• Risk: The Target's deviation from the Baseline resulting from current Risk Levels being in a High-risk or Low-risk state.

Risk Premium: Risk Premium is the excess expected return relative to the safe asset, which we take to by 10y TIPS. Risk Premium cannot be directly obesrved, but our proxy metric for broad equity markets is 1/CAPE - 10y TIPS Real Yield. For REITs, we use a long-term average of dividend yields instead of 1/CAPE - for High Yield Bonds, we use the credit spread as our Risk Premium proxy.

Risk Level: We use a momentum signal as a proxy for the risk-environment: positive momentum indicates a low-risk environment, negative momentum indicates a higher-risk environment.

Asset Allocation Table
	Elm Baseline Weights	Current Target Weights	Baseline Deviation Breakdown		Risk Premium	Risk Level
			Risk Premium	Risk Level