{ "schemaVersion": 3, "publicationId": "f30c2d67-7615-4869-be02-b6810072d5e0", "generatedAt": "2026-10-09T22:45:41.675Z", "status": "current", "reasonCodes": [], "model": { "snapshotId": "0da8045e-4df5-41d6-9892-f2992e550c58", "computedAt": "2026-10-09T22:45:41.675Z", "marketAsOf": "2026-10-08", "methodologyVersion": "merton-3.0.0", "solverVersion": "merton-next-working-set-1", "solverSourceSha256": "a8ce5bad94e2bea9a336475e3b216d42479c243cd417aa57f9abc5bdd80c198b", "engineSourceHashes": { "solver.js": "a8ce5bad94e2bea9a336475e3b216d42479c243cd417aa57f9abc5bdd80c198b", "robust.js": "334d6f6c39abd074a7dc90e5e5ea44f100c4ba74562489fd614f90ce3219f639", "psd.js": "172b56d9d1e6f9a5a7034ca2318567b23c13abe357b25027ab9fbcb50921fdbd", "returns.js": "12000c1bb67b721cfa99501c94427a9dd2ccbbc71b5299900e6432b1407a7c17", "uncertainty.js": "d66aeada245264745151c32d6cede7eb607e6fb99e93edd6bd54fc614fa4e98a", "model.js": "941e5db9550f5996d6b01e9dddfb465ca388ec500767848c0fd6e79a934f2313" }, "assumptionRevision": "2026-10-07.v3", "returnConvention": "annualized-nominal-arithmetic-drift", "feeConvention": "net-fund-fees-before-investor-tax", "currency": "USD", "riskyAssetOrder": [ "SPY", "IEF", "VTIP", "GLDM", "PDBC", "FBTC", "VXUS", "SCHP", "LTPZ" ], "cashAsset": "SPAXX", "forecastConvention": "typed-per-asset", "forecastHorizonYears": 10, "equityMethod": "elm-arithmetic", "equityAlternatives": { "building-blocks": { "key": "SPY", "value": 0.04583675843632188, "definition": "geometric-cagr", "priceBasis": "nominal", "feeBasis": "net", "feeLog": 0, "inflationLog": 0, "currency": "USD", "asOf": "2026-10-06", "source": "TMD selected strategic scenario with dated public source dependencies", "range": { "low": 0.01583675843632188, "central": 0.04583675843632188, "high": 0.07583675843632187 } } }, "exposures": { "SPY": [ "us-equity" ], "IEF": [ "nominal-bond" ], "VTIP": [ "real-bond" ], "GLDM": [ "gold" ], "PDBC": [ "commodity" ], "FBTC": [ "bitcoin" ], "VXUS": [ "non-us-equity" ], "SCHP": [ "real-bond" ], "LTPZ": [ "real-bond" ] }, "observations": [ { "id": "spy-pe", "value": 20.69, "observedAt": "2026-10-08", "retrievedAt": "2026-10-09T22:45:41.675Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "State Street", "sourceUrl": "https://www.ssga.com/us/en/individual/etfs/state-street-spdr-sp-500-etf-trust-spy", "sourceConvention": "Weighted harmonic FY1 P/E, fund holdings", "unit": "multiple", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "provider" }, { "id": "spy-dividend", "value": 0.0109, "observedAt": "2026-10-08", "retrievedAt": "2026-10-09T22:45:41.675Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "State Street", "sourceUrl": "https://www.ssga.com/us/en/individual/etfs/state-street-spdr-sp-500-etf-trust-spy", "sourceConvention": "Indicated index dividend yield, gross annual flow approximation", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "provider" }, { "id": "spy-price", "value": 773.93, "observedAt": "2026-10-08", "retrievedAt": "2026-10-09T22:45:41.675Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "State Street", "sourceUrl": "https://www.ssga.com/us/en/individual/etfs/state-street-spdr-sp-500-etf-trust-spy", "sourceConvention": "Official ETF closing price, matched to valuation date; 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sensitivity, not maturity or a reinvestment cutoff.", "unit": "years", "required": false, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "provider" }, { "id": "elm-spy", "value": 0.053, "observedAt": "2026-09-30", "retrievedAt": "2026-10-09T22:45:41.675Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Elm Wealth", "sourceUrl": "https://elmwealth.com/capital-market-assumptions/", "sourceConvention": "Public quarterly nominal expected return; adopted effective annual arithmetic gross benchmark convention is conditional, not publisher-confirmed", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "provider", "sourceSha256": "4d340c3ca5d988f88f868584e6aa473e7301393ea42a0bf62a8ef42fcd15f8de" }, { "id": "elm-vxus", "value": 0.0815, "observedAt": "2026-09-30", "retrievedAt": "2026-10-09T22:45:41.675Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Elm Wealth", "sourceUrl": "https://elmwealth.com/capital-market-assumptions/", "sourceConvention": "Public quarterly nominal expected return; adopted effective annual arithmetic gross benchmark convention is conditional, not publisher-confirmed", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "provider", "sourceSha256": "4d340c3ca5d988f88f868584e6aa473e7301393ea42a0bf62a8ef42fcd15f8de" }, { "id": "vxus-fee", "value": 0.0005, "observedAt": "2026-10-07", "retrievedAt": "2026-10-08T02:14:21.618349Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Selected fee mapping", "sourceUrl": "https://investor.vanguard.com/investment-products/etfs/profile/vxus", "sourceConvention": "Adopted annual expense mapping; not a verified real-yield gross/net convention", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "cache" }, { "id": "schp-fee", "value": 0.0003, "observedAt": "2026-10-07", "retrievedAt": "2026-10-08T02:14:21.618349Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Selected fee mapping", "sourceUrl": "https://www.schwabassetmanagement.com/products/schp", "sourceConvention": "Adopted annual expense mapping; not a verified real-yield gross/net convention", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "cache" }, { "id": "ltpz-fee", "value": 0.002, "observedAt": "2026-10-07", "retrievedAt": "2026-10-08T02:14:21.618349Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Selected fee mapping", "sourceUrl": "https://www.pimco.com/us/en/investments/etf/pimco-15-year-u-s-tips-index-exchange-traded-fund/usetf-usd", "sourceConvention": "Adopted annual expense mapping; not a verified real-yield gross/net convention", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "cache" }, { "id": "schp-maturity-anchor", "value": 7.16, "observedAt": "2026-07-31", "retrievedAt": "2026-10-08T02:14:21.618349Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Schwab indexed issuer evidence", "sourceUrl": "https://www.schwabassetmanagement.com/products/schp", "sourceConvention": "Dated average maturity selected as fixed interpolation anchor; NOT current ETF maturity", "unit": "years", "required": false, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "cache" }, { "id": "ltpz-maturity-anchor", "value": 18.89, "observedAt": "2025-09-30", "retrievedAt": "2026-10-07T18:29:46.911880Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "SEC index maturity evidence", "sourceUrl": "https://www.sec.gov/Archives/edgar/data/1450011/000119312525249126/d25858d497k.htm", "sourceConvention": "Dated benchmark maturity selected as fixed interpolation anchor; NOT current ETF maturity", "unit": "years", "required": false, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "cache" }, { "id": "schp-real-curve", "value": 0.02772607984542851, "observedAt": "2026-10-02", "retrievedAt": "2026-10-09T22:45:41.675Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Federal Reserve", "sourceUrl": "https://www.federalreserve.gov/data/yield-curve-tables/feds200805.csv", "sourceConvention": "Continuously compounded real zero-curve interpolation at dated selected maturity anchor; NOT ETF YTM", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "provider", "sourceSha256": "13b0c7e2c736d6bed9cf2f8a7185f8da4d0b36e2f8f54cb7139386cce60bc79d" }, { "id": "ltpz-real-curve", "value": 0.033572119832038845, "observedAt": "2026-10-02", "retrievedAt": "2026-10-09T22:45:41.675Z", "checkedAt": "2026-10-09T22:45:41.675Z", "source": "Federal Reserve", "sourceUrl": "https://www.federalreserve.gov/data/yield-curve-tables/feds200805.csv", "sourceConvention": "Continuously compounded real zero-curve interpolation at dated selected maturity anchor; NOT ETF YTM", "unit": "fraction", "required": true, "effectiveFrom": null, "effectiveTo": null, "health": "current", "retrievalMode": "provider", "sourceSha256": "13b0c7e2c736d6bed9cf2f8a7185f8da4d0b36e2f8f54cb7139386cce60bc79d" } ], "returnEstimates": [ { "key": "SPY", "forecast": { "key": "SPY", "value": 0.053, "definition": "effective-arithmetic", "priceBasis": "nominal", "feeBasis": "gross", "feeLog": 0.000945, "inflationLog": 0, "currency": "USD", "asOf": "2026-09-30", "source": "Elm Wealth public quarterly CMA: adopted effective annual arithmetic/gross benchmark interpretation, not publisher-confirmed", "range": { "low": 0.023, "central": 0.053, "high": 0.08299999999999999 } }, "nominalDrift": 0.05069823315183845, "expectedCagr": 0.03510019950961414, "cagrRange": { "low": 0.005610165335551065, "central": 0.03510019950961414, "high": 0.06459023368367722 }, "horizonYears": 10, "basis": "external-equity-forecast", "conditional": true, "formula": "ln(1 + external nominal arithmetic rate) − annual fee; no half-variance addition", "observationIds": [ "elm-spy", "spy-fee" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Typed annual forecast; effective convention and ETF mapping are conditional", "conditionalConvention": "Effective annual arithmetic and gross benchmark fee interpretation are adopted assumptions, not publisher-confirmed." }, "approximation": "US broad-market → SPY and non-US aggregate → VXUS are adopted index mappings. Small public numeric facts with attribution only; no reuse license obtained.", "reviewedAt": "2026-10-07", "uncertainty": [ "Selected triangular forecast supports and dependence are uncalibrated, not confidence intervals." ] }, { "key": "IEF", "expectedCagr": 0.0504, "nominalDrift": 0.05162104400644938, "cagrRange": { "low": 0.0354, "central": 0.0504, "high": 0.0654 }, "horizonYears": 10, "basis": "yield-carry-proxy", "conditional": true, "formula": "starting portfolio YTM − fee", "observationIds": [ "ief-ytm", "ief-fee", "ief-duration", "ief-maturity" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Model-implied geometric growth; not the mathematical expectation of a finite-sample CAGR" }, "approximation": "Starting yield anchors ten-year CAGR. Rolling ETF duration, reinvestment, roll and convexity make this an approximation, not a locked maturity return.", "reviewedAt": "2026-10-07", "uncertainty": [ "Scenario support is judgmental, not a statistical confidence interval. Annual return volatility is separate from uncertainty about the expected CAGR." ], "forecast": { "key": "IEF", "value": 0.0504, "definition": "geometric-cagr", "priceBasis": "nominal", "feeBasis": "net", "feeLog": 0, "inflationLog": 0, "currency": "USD", "asOf": "2026-10-06", "source": "TMD selected strategic scenario with dated public source dependencies", "range": { "low": 0.0354, "central": 0.0504, "high": 0.0654 } } }, { "key": "VTIP", "expectedCagr": 0.04776552524607617, "nominalDrift": 0.04710982541412289, "cagrRange": { "low": 0.03276552524607617, "central": 0.04776552524607617, "high": 0.06276552524607618 }, "horizonYears": 10, "basis": "conditional-carry-scenario", "conditional": true, "formula": "expm1(ln(1 + net real SEC yield) + 10-year inflation compensation)", "observationIds": [ "vtip-sec", "inflation-10y" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Model-implied geometric growth; not the mathematical expectation of a finite-sample CAGR" }, "approximation": "Rolling short TIPS throughout ten years. Central scenario holds net real reinvestment yields at today’s carry proxy, with no expected real-yield repricing or extra roll premium. Inflation compensation proxies expected CPI but includes risk and liquidity premiums. The SEC yield is already net of fees. This is a conditional carry anchor, not a locked ten-year yield or a backtested forecast.", "reviewedAt": "2026-10-07", "uncertainty": [ "Scenario support is judgmental, not a statistical confidence interval. Annual return volatility is separate from uncertainty about the expected CAGR." ], "forecast": { "key": "VTIP", "value": 0.04776552524607617, "definition": "geometric-cagr", "priceBasis": "nominal", "feeBasis": "net", "feeLog": 0, "inflationLog": 0, "currency": "USD", "asOf": "2026-10-02", "source": "TMD selected strategic scenario with dated public source dependencies", "range": { "low": 0.03276552524607617, "central": 0.04776552524607617, "high": 0.06276552524607618 } } }, { "key": "GLDM", "expectedCagr": 0.07, "nominalDrift": 0.08670564636324951, "cagrRange": { "low": -0.03, "central": 0.07, "high": 0.15 }, "horizonYears": 10, "basis": "manual-drift-scenario", "conditional": true, "formula": "selected ten-year net geometric CAGR", "observationIds": [ "gold-scenario" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Model-implied geometric growth; not the mathematical expectation of a finite-sample CAGR" }, "approximation": "7% structural prior retained: 200WMA models did not improve walk-forward forecasts. This is a judgment, not a measured expected return.", "reviewedAt": "2026-10-07", "uncertainty": [ "Scenario support is judgmental, not a statistical confidence interval. Annual return volatility is separate from uncertainty about the expected CAGR." ], "forecast": { "key": "GLDM", "value": 0.07, "definition": "geometric-cagr", "priceBasis": "nominal", "feeBasis": "net", "feeLog": 0, "inflationLog": 0, "currency": "USD", "asOf": "2026-10-06", "source": "TMD selected strategic scenario with dated public source dependencies", "range": { "low": -0.03, "central": 0.07, "high": 0.15 } } }, { "key": "PDBC", "expectedCagr": 0.057390412630660734, "nominalDrift": 0.07200399785041808, "cagrRange": { "low": 0.017390412630660743, "central": 0.057390412630660734, "high": 0.09739041263066074 }, "horizonYears": 10, "basis": "income-plus-futures-scenario", "conditional": true, "formula": "expm1(strategic gross cash rate + selected futures premium − fee)", "observationIds": [ "strategic-cash", "pdbc-fee", "pdbc-waiver" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Model-implied geometric growth; not the mathematical expectation of a finite-sample CAGR" }, "approximation": "Selected geometric excess-growth premium, not arithmetic excess return. At 18% volatility, 2% implies 3.62% gross arithmetic excess drift. Collateral yield is added once; spot, roll and within-fund rebalancing are included in the premium, with no separate alpha. The current fee waiver is assumed to continue; trading costs and implementation can reduce returns.", "reviewedAt": "2026-10-07", "uncertainty": [ "Scenario support is judgmental, not a statistical confidence interval. Annual return volatility is separate from uncertainty about the expected CAGR." ], "forecast": { "key": "PDBC", "value": 0.05739041263066074, "definition": "geometric-cagr", "priceBasis": "nominal", "feeBasis": "net", "feeLog": 0, "inflationLog": 0, "currency": "USD", "asOf": "2026-02-27", "source": "TMD selected strategic scenario with dated public source dependencies", "range": { "low": 0.01739041263066074, "central": 0.05739041263066074, "high": 0.09739041263066074 } } }, { "key": "FBTC", "expectedCagr": 0.19999999999999998, "nominalDrift": 0.3623215567939546, "cagrRange": { "low": -0.1, "central": 0.19999999999999998, "high": 0.49999999999999994 }, "horizonYears": 10, "basis": "manual-drift-scenario", "conditional": true, "formula": "selected ten-year net geometric CAGR", "observationIds": [ "bitcoin-scenario" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Model-implied geometric growth; not the mathematical expectation of a finite-sample CAGR" }, "approximation": "20% structural prior retained. Terminal-multiple research is promising but lacks enough independent long-horizon observations to replace this prior.", "reviewedAt": "2026-10-07", "uncertainty": [ "Scenario support is judgmental, not a statistical confidence interval. Annual return volatility is separate from uncertainty about the expected CAGR." ], "forecast": { "key": "FBTC", "value": 0.2, "definition": "geometric-cagr", "priceBasis": "nominal", "feeBasis": "net", "feeLog": 0, "inflationLog": 0, "currency": "USD", "asOf": "2026-10-06", "source": "TMD selected strategic scenario with dated public source dependencies", "range": { "low": -0.1, "central": 0.2, "high": 0.5 } } }, { "key": "VXUS", "forecast": { "key": "VXUS", "value": 0.0815, "definition": "effective-arithmetic", "priceBasis": "nominal", "feeBasis": "gross", "feeLog": 0.0005, "inflationLog": 0, "currency": "USD", "asOf": "2026-09-30", "source": "Elm Wealth public quarterly CMA: adopted effective annual arithmetic/gross benchmark interpretation, not publisher-confirmed", "range": { "low": 0.051500000000000004, "central": 0.0815, "high": 0.1115 } }, "nominalDrift": 0.07784896641097641, "expectedCagr": 0.06358892375306492, "cagrRange": { "low": 0.0340857635934792, "central": 0.06358892375306492, "high": 0.09309208391265063 }, "horizonYears": 10, "basis": "external-equity-forecast", "conditional": true, "formula": "ln(1 + external nominal arithmetic rate) − annual fee; no half-variance addition", "observationIds": [ "elm-vxus", "vxus-fee" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Typed annual forecast; effective convention and ETF mapping are conditional", "conditionalConvention": "Effective annual arithmetic and gross benchmark fee interpretation are adopted assumptions, not publisher-confirmed." }, "approximation": "US broad-market → SPY and non-US aggregate → VXUS are adopted index mappings. Small public numeric facts with attribution only; no reuse license obtained.", "reviewedAt": "2026-10-07", "uncertainty": [ "Selected triangular forecast supports and dependence are uncalibrated, not confidence intervals." ] }, { "key": "SCHP", "forecast": { "key": "SCHP", "value": 0.05106007995605471, "definition": "log-growth", "priceBasis": "nominal", "feeBasis": "gross", "feeLog": 0.0003, "inflationLog": 0, "currency": "USD", "asOf": "2026-10-02", "source": "Federal Reserve real zero-curve proxy at dated maturity anchor; NOT current ETF real YTM", "range": { "low": 0.03606007995605471, "central": 0.05106007995605471, "high": 0.0660600799560547 } }, "nominalDrift": 0.05256007995605471, "expectedCagr": 0.052070450212689974, "cagrRange": { "low": 0.03640716180809039, "central": 0.052070450212689974, "high": 0.06797045890704291 }, "horizonYears": 10, "basis": "real-yield-curve-proxy", "conditional": true, "formula": "Interpolated continuous real zero yield + inflation compensation − fee + half variance", "observationIds": [ "schp-real-curve", "inflation-10y", "schp-maturity-anchor", "schp-fee" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Typed annual forecast; effective convention and ETF mapping are conditional", "maturityYears": 7.16, "maturityObservedAt": "2026-07-31", "curveObservedAt": "2026-10-02", "mappingConvention": "Dated average maturity selected as fixed interpolation anchor; NOT current ETF maturity" }, "approximation": "Conditional unchanged-real-yield rolling TIPS scenario. Curve-at-maturity is not a cashflow-weighted portfolio yield. Maturity anchors are dated fixed proxy mappings, not refreshed/current issuer fund statistics. Inflation compensation contains risk/liquidity premiums.", "reviewedAt": "2026-10-07", "uncertainty": [ "Selected triangular forecast supports and dependence are uncalibrated, not confidence intervals." ] }, { "key": "LTPZ", "forecast": { "key": "LTPZ", "value": 0.05690611994266505, "definition": "log-growth", "priceBasis": "nominal", "feeBasis": "gross", "feeLog": 0.002, "inflationLog": 0, "currency": "USD", "asOf": "2026-10-02", "source": "Federal Reserve real zero-curve proxy at dated maturity anchor; NOT current ETF real YTM", "range": { "low": 0.04190611994266505, "central": 0.05690611994266505, "high": 0.07190611994266505 } }, "nominalDrift": 0.06615611994266504, "expectedCagr": 0.0564414312377581, "cagrRange": { "low": 0.040713067403663435, "central": 0.0564414312377581, "high": 0.07240749885077698 }, "horizonYears": 10, "basis": "real-yield-curve-proxy", "conditional": true, "formula": "Interpolated continuous real zero yield + inflation compensation − fee + half variance", "observationIds": [ "ltpz-real-curve", "inflation-10y", "ltpz-maturity-anchor", "ltpz-fee" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Typed annual forecast; effective convention and ETF mapping are conditional", "maturityYears": 18.89, "maturityObservedAt": "2025-09-30", "curveObservedAt": "2026-10-02", "mappingConvention": "Dated benchmark maturity selected as fixed interpolation anchor; NOT current ETF maturity" }, "approximation": "Conditional unchanged-real-yield rolling TIPS scenario. Curve-at-maturity is not a cashflow-weighted portfolio yield. Maturity anchors are dated fixed proxy mappings, not refreshed/current issuer fund statistics. Inflation compensation contains risk/liquidity premiums.", "reviewedAt": "2026-10-07", "uncertainty": [ "Selected triangular forecast supports and dependence are uncalibrated, not confidence intervals." ] }, { "key": "SPAXX", "expectedCagr": 0.038216147706388454, "nominalDrift": 0.037503997850418094, "cagrRange": { "low": 0.023216147706388454, "central": 0.038216147706388454, "high": 0.05321614770638845 }, "horizonYears": 10, "basis": "yield-carry-proxy", "conditional": true, "formula": "expm1(10-year expected average short rate − fund fee)", "observationIds": [ "strategic-cash", "spaxx-fee" ], "assumptions": { "horizonYears": 10, "returnDefinition": "Model-implied geometric growth; not the mathematical expectation of a finite-sample CAGR" }, "approximation": "Fed Kim–Wright term-premium-adjusted rate anchors strategic reinvestment. Model estimates are revisable; this is not today’s seven-day yield or a guaranteed cash return.", "reviewedAt": "2026-10-07", "uncertainty": [ "Scenario support is judgmental, not a statistical confidence interval. Annual return volatility is separate from uncertainty about the expected CAGR." ], "forecast": { "key": "SPAXX", "value": 0.038216147706388454, "definition": "geometric-cagr", "priceBasis": "nominal", "feeBasis": "net", "feeLog": 0, "inflationLog": 0, "currency": "USD", "asOf": "2025-10-31", "source": "TMD selected strategic scenario with dated public source dependencies", "range": { "low": 0.023216147706388454, "central": 0.038216147706388454, "high": 0.05321614770638845 } } } ], "cashDrift": 0.037503997850418094, "covariance": { "annualizedMatrix": [ [ 0.0324, -0.0003139222152155769, 0.0006078079171335339, 0.004039994335379491, 0.005104430244333647, 0.028005175475025245, 0.023289038061243307, 0.0013493199518652057, 0.0036030150409113023 ], [ -0.00031392221521557687, 0.004900000000000001, 0.0009378596844450338, 0.002784816317644735, -0.0019361242876491012, -0.0003818372405036381, 0.0020818487890859453, 0.002999202237602765, 0.007964957464566614 ], [ 0.0006078079171335339, 0.0009378596844450338, 0.0009, 0.0011577948963926025, 0.0009433643796998004, 0.0011798901961758354, 0.0006598590034128013, 0.0012660654757966898, 0.001625673169024757 ], [ 0.004039994335379491, 0.002784816317644735, 0.0011577948963926025, 0.038093995778869405, 0.007489453015984669, 0.013038134781722492, 0.011096525410845038, 0.002202209227126262, 0.0036945410650691866 ], [ 0.005104430244333647, -0.001936124287649101, 0.0009433643796998005, 0.007489453015984669, 0.0324, 0.007233617146631262, 0.0024902537866773786, 0.000540108484114859, -0.0007207260385731204 ], [ 0.02800517547502524, -0.00038183724050363816, 0.0011798901961758352, 0.013038134781722492, 0.007233617146631262, 0.36, 0.024627814357302408, 0.001858586100557103, 0.0034580666449592974 ], [ 0.023289038061243307, 0.0020818487890859453, 0.0006598590034128013, 0.011096525410845038, 0.0024902537866773786, 0.024627814357302408, 0.0324, 0.002061893944971742, 0.005768230856234751 ], [ 0.0013493199518652057, 0.002999202237602765, 0.0012660654757966898, 0.002202209227126262, 0.000540108484114859, 0.001858586100557103, 0.002061893944971742, 0.0036, 0.005594875239168339 ], [ 0.0036030150409113023, 0.007964957464566614, 0.001625673169024757, 0.0036945410650691866, -0.0007207260385731204, 0.0034580666449592974, 0.005768230856234751, 0.005594875239168339, 0.0225 ] ], "estimatedAt": "2026-10-09T22:45:41.675Z", "throughDate": "2026-10-08", "methodology": "merton-risk-3.0.0-regression-transport", "parameters": { "annualization": 252, "actualWeight": 0.5, "proxyYears": 10, "correlationShrinkage": 0.2, "actualStart": "2024-01-11", "proxyStart": "2016-10-10", "actualReturns": 687, "proxyReturns": 2512, "extensionStart": "2024-01-11", "extensionReturns": 687, "residualShrinkage": 0.2 }, "proxyMappings": { "GLDM": "GLD", "FBTC": "BTC-USD" }, "forwardVolatilities": [ 0.18, 0.07, 0.03, 0.1951768320750939, 0.18, 0.6, 0.18, 0.06, 0.15 ], "diagnostics": { "minimumVariance": 0.0009, "maximumVariance": 0.36, "residualMinimumVariance": 0.0002070857604784901 }, "diagnosticLabels": { "alignment": "Complete common dates before log returns; weekend BTC moves aggregate to next shared session", "timing": "UTC spot BTC closes differ from ETF market closes", "volatility": "Blend historical covariance 50/50; shrink correlation 20%; apply declared marginal floors", "extension": "Multivariate common-date OLS transport into freshly estimated baseline covariance + PSD correlation-shrunk residual covariance + diagonal volatility-floor increments. Baseline block preserved exactly; floors and transport are selected uncalibrated assumptions." } }, "referenceSettings": { "gamma": 3, "maxWeights": { "SPY": 1, "IEF": 1, "VTIP": 1, "GLDM": 1, "PDBC": 1, "FBTC": 1, "VXUS": 1, "SCHP": 1, "LTPZ": 1 }, "minimumCashWeight": 0, "scenarioLabel": "TMD reference settings" }, "uncertainty": { "seed": 20261006, "draws": 8192, "strength": 1, "distribution": "gaussian-copula-typed-triangular", "correlationMatrix": [ [ 1, 0, 0, 0, 0, 0, 0.75, 0, 0, 0 ], [ 0, 1, 0, 0, 0, 0, 0, 0, 0, 0 ], [ 0, 0, 1, 0, 0, 0, 0, 0, 0, 0 ], [ 0, 0, 0, 1, 0, 0, 0, 0, 0, 0 ], [ 0, 0, 0, 0, 1, 0, 0, 0, 0, 0 ], [ 0, 0, 0, 0, 0, 1, 0, 0, 0, 0 ], [ 0.75, 0, 0, 0, 0, 0, 1, 0, 0, 0 ], [ 0, 0, 0, 0, 0, 0, 0, 1, 1, 0 ], [ 0, 0, 0, 0, 0, 0, 0, 1, 1, 0 ], [ 0, 0, 0, 0, 0, 0, 0, 0, 0, 1 ] ], "robustMethod": "mean-utility-minus-scenario-standard-deviation", "excessMeanOffsets": [ -0.00030911182017024676, 0.00007362312480282095, 0.0000066045160233008104, -0.006758419521054465, 0.000050246512222879014, -0.006173500171105573, -0.00014260696003083606, 0.00014696936017410435, 0.00014696936017419976 ], "excessMeanCovariance": [ [ 0.00017052910211440278, 0.000036555256731452197, 0.000036429305248502506, 0.000035989093238074356, 0.0000346041750257642, 0.00002277851899669428, 0.00013306153089364235, 0.000035419832765511464, 0.00003541983276551156 ], [ 0.000036555256731452197, 0.00006866139849417823, 0.00003519497590612765, 0.00003750834387220087, 0.00003516868546564941, 0.000033179013658646746, 0.000035730788296884866, 0.00003486129494413887, 0.00003486129494413885 ], [ 0.000036429305248502506, 0.00003519497590612765, 0.00007009943723157445, 0.00003967128993320312, 0.000035115236209996284, 0.00003646087428455399, 0.00003520390137415298, 0.00003600379442596314, 0.000036003794425963124 ], [ 0.000035989093238074356, 0.00003750834387220087, 0.00003967128993320312, 0.0012451989289193198, 0.00004090466130014552, 0.00004104738990589569, 0.000041888071524638896, 0.00003769799865870145, 0.000037697998658701357 ], [ 0.0000346041750257642, 0.00003516868546564941, 0.000035115236209996284, 0.00004090466130014552, 0.0002685749519138162, 0.000038564905817167176, 0.000036115964606414386, 0.00003527214173027354, 0.00003527214173027343 ], [ 0.00002277851899669428, 0.000033179013658646746, 0.00003646087428455399, 0.00004104738990589569, 0.000038564905817167176, 0.010406243870524285, 0.000025038047013366073, 0.0000262925087235579, 0.00002629250872355791 ], [ 0.00013306153089364235, 0.000035730788296884866, 0.00003520390137415298, 0.000041888071524638896, 0.000036115964606414386, 0.000025038047013366073, 0.00016342244950096657, 0.00003612363745366095, 0.000036123637453660894 ], [ 0.000035419832765511464, 0.00003486129494413887, 0.00003600379442596314, 0.00003769799865870145, 0.00003527214173027354, 0.0000262925087235579, 0.00003612363745366095, 0.00007267454299059018, 0.00007267454299059021 ], [ 0.00003541983276551156, 0.00003486129494413885, 0.000036003794425963124, 0.000037697998658701357, 0.00003527214173027343, 0.00002629250872355791, 0.000036123637453660894, 0.00007267454299059021, 0.00007267454299059029 ] ], "excessMeanRadii": [ 0.013058679187207364, 0.008286217381542572, 0.008372540667657247, 0.03528737633941237, 0.016388256524530492, 0.10201099877231026, 0.012783679028392671, 0.00852493653880134, 0.008524936538801348 ], "allocation": [ { "key": "SPY", "p10": 0, "median": 0, "p90": 0 }, { "key": "IEF", "p10": 0, "median": 0, "p90": 0.4225770018243901 }, { "key": "VTIP", "p10": 0, "median": 0, "p90": 0.2828872353128473 }, { "key": "GLDM", "p10": 0, "median": 0.11142977719291965, "p90": 0.5264543513696823 }, { "key": "PDBC", "p10": 0, "median": 0.12424437097117054, "p90": 0.3313197439812294 }, { "key": "FBTC", "p10": 0.13197896653235716, "median": 0.274267689153032, "p90": 0.3948702980547538 }, { "key": "VXUS", "p10": 0, "median": 0, "p90": 0.17411456327330554 }, { "key": "SCHP", "p10": 0, "median": 0, "p90": 0.27087319814164695 }, { "key": "LTPZ", "p10": 0, "median": 0.11963560358583511, "p90": 0.21907226138210012 }, { "key": "SPAXX", "p10": -4.440892098500626e-16, "median": 0, "p90": 4.440892098500626e-16 } ], "splitHalfMaxQuantileDifference": 0.014587677166595925, "robust": { "weights": [ 0, 0.12334519536744887, 0, 0.09562748267102095, 0.20055978795779072, 0.1851103224028762, 0.10154177295601388, 0.10796190749209156, 0.18585353115275763, 2.220446049250313e-16 ], "nominalPortfolioDrift": 0.12204397424662843, "expectedCagr": 0.11904334589316362, "annualVolatility": 0.1383460110793571, "objective": 0.033699727131800326, "kktResidual": 1.2163449154140027e-10, "feasibilityResidual": 0, "worstCaseDrift": 0.09991315315457282, "uncertaintyPenalty": 0.02038961163141386, "forecastUtilitySD": 0.02038961163141386, "meanUtility": 0.05408933876321419 } }, "caveats": [ "Initial research scenario: 5% compounded nominal per-share earnings growth represents roughly 2% long-run inflation plus 3% real per-share growth; these are underwriting judgments, not measured forecasts. Terminal weighted-harmonic FY1 P/E 18 (5.56% forward earnings yield) allows normalization from the issuer observation without fitting a desired return or allocation. Ten-year normalization is strategic, not the optimizer holding period. Futures premium 2% is a selected continuous geometric excess-growth scenario, equivalent to 3.62% gross arithmetic excess drift at 18% volatility. Long-run diversified futures evidence supports a positive but unstable premium; 2% is judgmental, not estimated for PDBC.", "Educational conditional model, not individualized investment advice or executable orders. Taxes, spreads, trading costs, liabilities and consumption needs are excluded.", "Elm values are small attributed facts from its public quarterly CMA, not a reconstructed P-CAEY model. Effective annual arithmetic, gross/net fees and ETF mappings are adopted conditional interpretations, not publisher-confirmed; no redistribution/reuse license has been obtained.", "Ten years is our disclosed strategic modeling horizon, not a promise of the provider forecast horizon or a locked holding return.", "SCHP/LTPZ real zero-curve proxies retain their original dated maturity anchors and are NOT current real ETF YTMs. Real reinvestment yields are assumed unchanged; no real-yield repricing premium is added.", "Risk floors, coherent regression extension, forecast supports and latent dependence are selected and uncalibrated. Forecast-error covariance is distinct from realized-return covariance.", "Robust maximizes mean cash-relative utility minus a selected multiple of scenario utility standard deviation. Cash remains residual; no spending reserve is inferred.", "Annual drift is not CAGR; diffusion expected log growth is drift minus half variance. Zero modeled cash volatility omits purchasing-power and reinvestment risk. Source refresh timestamps never refresh observation dates." ], "referenceResult": { "weights": { "SPY": 0, "IEF": 0.09160948439472827, "VTIP": 0, "GLDM": 0.20756702718423461, "PDBC": 0.17984960323293242, "FBTC": 0.2809222365610885, "VXUS": 0, "SCHP": 0.03442785862406128, "LTPZ": 0.20562379000295503, "SPAXX": 0 }, "nominalPortfolioDrift": 0.15287308613098868, "expectedCagr": 0.1443553930461016, "annualVolatility": 0.1899030445284418, "objective": 0.06127433879881358, "kktResidual": 3.382710778154774e-17, "feasibilityResidual": 0, "bindingConstraints": [ "SPY:lower", "VTIP:lower", "VXUS:lower", "cash:minimum" ] } } }