Whitepapers and Publications Archives

Whitepapers and Publications

How Elm Invests

July 10, 2024 — This paper is meant to provide a comprehensive overview of Elm’s investment process for Separately Managed Account clients.

Whitepapers and Publications

Introducing P-CAPE: Incorporating the Dividend Payout Ratio Improves Our Favorite Estimator of Stock Market Returns

June 19, 2024 — The Cyclically-Adjusted Price Earnings ratio, also known as CAPE, has served many investors well - but here at Elm, we think it might be time for an update.

Whitepapers and Publications

Tax Efficiency and Dynamic Asset Allocation: Can We Have Our Cake and Eat It Too?

April 20, 2018 — We are frequently asked about the tax efficiency of our dynamic value-and-momentum investment approach. The concern is often that with estimated turnover of 50% - 100% per year, returns might be less tax-efficient than a simple static, buy-and-hold type of approach, which is generally recognized as the gold-standard of tax-efficient investing.1

Whitepapers and Publications

A Case Study for Using Value and Momentum at the Asset Class Level

April 19, 2016 — This article explores a globally diversified asset allocation strategy driven by value and momentum factors. The authors find that adjusting for value and momentum yields higher and better quality returns that are statistically and economically significant.

Whitepapers and Publications

Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences

January 19, 2016 — A thriving investment manager started his presentation to a roomful of potential investors saying: ‘Before I tell you what I do, I’m going to ask and answer the most important question you should put to me. “Who is losing the money that I’m going to make for you?”