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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 '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.

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)