- Victor Haghani, Founder Elm. Watch the full talk here

Transcription

1 "After more than 20 years in finance, from the LSE to Salomon Brothers to LTCM, you d have thought that I d have figured out how to invest my family s savings. Well, it was 2002, I just turned 40, and I hadn t." - Victor Haghani, Founder Elm Watch the full talk here

2 Combining the Best of Passive and Active Investing

3 Our Dynamic Asset Allocation Philosophy Return chasing is one of several behavioral biases that leads to short-term momentum and long-term mean reversion in asset prices. We use simple measures of value and momentum to efficiently adjust your portfolio, which we believe will result in better long-term risk-adjusted returns, and give you greater confidence in how your portfolio is managed. See our research on return chasing here, and our research on value and momentum applied at the asset class level in our paper in the Journal of Portfolio Management here.

4 Elm s simple algorithmic approach has improved portfolio returns over every decade for 90 years Annual outperformance of Elm s dynamic asset allocation strategy vs. a static weight portfolio % p.a. outperformance +3.44% +3.58% +2.62% +2.83% +2.64% +2.54% +2.28% +2.22% 1926 to to to to to to to to to 2013 Source: Elm Research. See our research on value and momentum applied at the asset class level in our paper in the Journal of Portfolio Management here. 4

5 Elm s portfolios are dynamic 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Dec 05 Jun 06 Dec 06 Jun 07 Dec 07 Jun 08 Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 Dec 11 Jun 12 Dec 12 Jun 13 Dec 13 Jun 14 Dec 14 Jun 15 Dec 15 Jun 16 Dec 16 Jun 17 US Equities Non-US Equities REITs High Yield Fixed Income Short Term Fixed Income Note: The asset allocation shown represents Elm s dynamic asset allocation strategy as designed for a US taxable investor, who is invested via our Fidelity SMAs. Each of our strategies follows our rules-based asset allocation methodology, an approach we call Active Index Investing. Please click here for a note that describes in detail the three main components of this approach: the construction of the Baseline portfolio and the value and momentum overlays to that Baseline portfolio which make the portfolio responsive to changing market conditions. 5

6 Elm s Regional Weighting Scheme: more representative than simple market cap weights Our more inclusive and forward-looking approach combines a range of metrics which leads to a more diversified and representative portfolio. 100% 90% 80% 70% 60% 50% Emerging Markets Japan Dev Asia xjapan UK Europe xuk Canada 40% 30% 20% US 10% 0% MSCI FTSE Earnings Elm Unadjusted Market Cap GDP Population To read more about Elm s regional weighting scheme, check out our blog post. Sources: Bloomberg, IMF, Elm Partners research. 6

7 and helps avoid the tendency of market cap indexing to over-expose passive investors to bubbles such as the late 80s Japanese equity bubble Source: MSCI, Bloomberg. 7

8 Returns of Elm Partners Fund for US investors that follows a largely similar investment approach as in Separately Managed Accounts at Fidelity Delaware Fund for US Qualified Purchasers Audited Returns through 2016 Contact Elm Partners to discuss differences between Elm s Delaware Fund for Qualified Purchasers and SMAs* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual Ltd Index % 2.33% 0.58% -0.23% -5.02% 2.66% 0.91% 1.60% 1.90% -0.11% 1.01% 2.40% 11.38% % -0.32% 1.50% 2.24% -1.15% -2.23% 3.64% -1.56% 3.66% 2.33% 0.22% 1.12% 13.12% % 3.48% 0.19% 0.73% 1.40% 1.60% -1.34% 1.64% -3.34% 0.82% 0.07% -1.10% 1.71% % 2.67% -0.79% 1.63% -0.23% -1.67% -0.58% -3.76% -1.40% 2.71% -0.66% -1.25% -3.62% % -0.11% 4.25% 1.27% -0.27% 0.86% 2.67% 0.37% 0.87% -1.77% -0.26% 1.31% 6.84% % 1.73% 1.09% 1.33% 1.42% 0.43% 2.62% 11.37% Return Since Fund Inception per annum 7.14% StDev of Monthly Returns per annum 6.54% Past Performance is not indicative of future returns * and see this link for some differences between Elm s private Delaware fund for US Qualified Purchasers and Elm s SMA offering at Fidelity 8

9 Portfolio Value Elm --- Fidelity SMA Global Balanced Program Simulated Performance $2.4mm $2.2mm $2.0mm Annualized Returns Elm Market Cap Advisor Index Last 1 year 12.1% 11.1% 10.4% Last 5 years 7.8% 7.7% 6.3% Last 10 years 6.7% 4.2% 3.0% Elm Simulated Strategy $1.8mm Market Cap Weighted 65/35 Index Portfolio (1) $1.6mm $1.4mm $1.2mm Index of Investment Advisors (2) $1.0mm $0.8mm $0.6mm Note: Performance is based on a historically simulated portfolio of $1m invested in Elm s dynamic asset allocation strategy designed for a US taxable investor, who is invested via our Fidelity SMAs, at the end of Past performance is not indicative of future returns. Elm simulated performance is calculated using generic asset class indexes and adjusted for Elm s management fees (0.12% per annum) and an estimation of vehicle costs and withholding tax on non-us equities (0.35% per annum). 1. Traditional static portfolio is a monthly rebalanced portfolio consisting 65% Global Equities (ishares ACWI from March 2008, and MSCI AC World Index Net TR before that), 20% US Fixed Income (Vanguard s VBTLX) and 15% US T-bills. 2. Peer Group Average is based on ARC Private Client Indices, which provides performance numbers delivered to private clients by participating investment managers. Index used is USD Steady Growth, which is comprised of portfolios with 60%-80% equity risk. 9

10 Number of Investors (orange) AUM (green) Growth 180 $600 mm 160 $500 mm $400 mm 100 $300 mm $200 mm 40 $100 mm /12 01/13 01/14 01/15 01/16 01/17 $0 mm Elm's Global Balanced funds for US and non-us investors and Separately Managed Accounts at Fidelity 10

11 Term Sheet Term sheet for Strategy Risk Target Elm --- Separately Managed Accounts held at Fidelity Active Index Investing --- Global, balanced, dynamic Risk equivalent to traditional 65% global risk assets and 35% fixed income portfolio # of Asset Buckets 15 asset class buckets. Expect line items in the account at any one time Minimum Investment $300,000 Management Fee Liquidity Leverage/Shorting Custodian Transparency Commissions Tax Aware Expected Turnover Investor Protection Elm AUM Also offered as 0.12% per annum Daily None Fidelity Online client portal with full position reporting and trade confirms from Fidelity $4.95 on ETFs (zero on selected ETFs) and $35 on mutual funds Yes, tax sensitive with tax loss harvesting 100% per annum Fidelity protected by SIPC $520mm ($150mm in SMAs at Fidelity) Delaware Fund for qualified US Investors ($2mm min) or Cayman Fund for non-us ($1mm min) 11

12 Elm Get in touch You can invest online or if you have questions, request a call-back by completing the form at elmfunds.com/invest Victor Haghani Founder & CEO victor@elmfunds.com (307) Bruce Lafranchi Investor Relations bruce@elmfunds.com (646)