Research
FilterInvestment Theory
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.
Investment Theory
TIPS Do Offer Valuable Inflation Protection - But You Need to Decide What You’re Protecting
May 7, 2024 — TIPS are a seemingly attractive counter to inflation-related worries, but do they really offer the protection investors are hoping for?
Investment Theory
Merton Share Derivations: What's in your denominator?
May 2, 2024 — Balancing one's portfolio between risky and risk-less assets is no small feat, but there's one rule of thumb that we've found to be largely reliable: the Merton Share.
Investment Theory
Thinking Outside the BOXX
February 27, 2024 — There’s been a lot of excitement about BOXX, a new ETF designed to give investors short-term returns with the tax character of long-term capital gains...but is there a catch?
Elm News
Elm Article in Bloomberg Magazine
February 16, 2024 — Getting the size of a trade wrong can turn even a good trade into a bad bet. That’s the subject of our new article published in this month’s Bloomberg magazine.
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Reading Lists
Publications
Elm Original Research
Tax Efficiency and Dynamic Asset Allocation: Can We Have Our Cake and Eat It Too?
Victor Haghani & James White — 2018
Elm Original Research
A Case Study for Using Value and Momentum at the Asset Class Level
Victor Haghani & Richard Dewey — 2016
Elm Original Research
Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences
Victor Haghani & Samantha McBride — 2016
Clifford Asness, Antti Ilmanen & Thomas Maloney — 2015
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