{
  "schemaVersion": 1,
  "methodologyVersion": "merton-3.0.0",
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    "methodologyVersion": "merton-3.0.0",
    "reconstructionVersion": "merton-weekly-reconstruction-v1",
    "generatedAt": "2026-10-08T03:52:26.675Z",
    "recordKind": "reconstructed",
    "pointInTimeVerified": false,
    "baseline": {
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      "marketAsOf": "2026-10-06",
      "assumptionRevision": "2026-10-07.v3",
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    },
    "settings": {
      "gamma": 3,
      "minimumCashWeight": 0,
      "maxWeights": {
        "SPY": 1,
        "IEF": 1,
        "VTIP": 1,
        "GLDM": 1,
        "PDBC": 1,
        "FBTC": 1,
        "VXUS": 1,
        "SCHP": 1,
        "LTPZ": 1
      },
      "forecastDraws": 8192,
      "forecastSeed": 20261006,
      "robustStrength": 1,
      "forecastDependence": {
        "equityCorrelation": 0.75,
        "tipsCorrelation": 1
      }
    },
    "policy": {
      "elmLagDays": 30,
      "fedCurveLagDays": 7,
      "nominalYieldLagWeekdays": 1,
      "iefMaturityYears": 8.45,
      "vtipRealCurveMaturityYears": 2.5
    },
    "coverage": {
      "startWeek": "2025-01-06",
      "endWeek": "2026-09-28",
      "weeks": 91,
      "excluded": [
        {
          "week": "2024-10-07",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-10-14",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-10-21",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-10-28",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-11-04",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-11-11",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-11-18",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-11-25",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-12-02",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-12-09",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-12-16",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-12-23",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2024-12-30",
          "reason": "250-common-adjusted-price sample unavailable under deployed risk method"
        },
        {
          "week": "2026-10-05",
          "reason": "partial/current actual-publication week; never fabricate closed-week allocation"
        }
      ]
    },
    "assumptions": [
      "Retrospective application of the finally deployed nine-asset methodology and current underwriting; not allocations published or recommended in those earlier weeks.",
      "Week labels are Mondays; inputs use the last common ETF close on or before Friday. Only completed historical weeks are reconstructed; actual published records take precedence.",
      "IEF gross yield uses historical Treasury 7/10-year yields interpolated at the selected fixed 8.45-year mapping, not historical portfolio-average issuer YTM. Treasury observations are lagged one weekday.",
      "VTIP net real carry uses the trailing 30-calendar-day mean of Fed real par yields interpolated between 2 and 3 years at a selected 2.5-year mapping, less dated expenses. It is not historical issuer net real SEC yield; no yield-spread calibration to today is applied.",
      "Elm quarterly values are selected only after a 30-calendar-day assumed release lag; Fed fitted curves and Kim-Wright strategic cash use a 7-calendar-day assumed lag. Neither lag is verified historical availability.",
      "VTIP proxy expenses use 0.04% before 2025-02-03 and 0.03% from its explicit supplement date. Other net fee/maturity mappings remain the deployed fixed assumptions where complete historical effective ledgers are absent.",
      "Gold 7% and bitcoin 20% net geometric CAGR, futures 2% premium, risk floors, supports, dependence, gamma 3, caps and seeded 8192-draw Robust model are the deployed retrospective specification.",
      "Risk uses only prices through each cutoff; deployed actual/proxy covariance plus added-sleeve regression transport is retained unchanged. No future covariance fills the 13 ineligible late-2024 weeks."
    ],
    "caveats": [
      "Current revised adjusted prices, quarterly forecast levels and fitted Fed curves are not original historical vintages. This is best-effort reconstruction, not a strict point-in-time backtest or actual performance record.",
      "Treasury/real-yield proxies are not issuer fund yields; fixed maturities and expense mappings, unknown historical release dates and uncalibrated forecasts can materially change weights.",
      "Weights are model allocations, not realized returns. Taxes, execution costs, spreads, liquidity needs and liability matching are excluded."
    ],
    "sourceAttribution": [
      {
        "name": "Elm Wealth capital market assumptions",
        "url": "https://elmwealth.com/capital-market-assumptions/",
        "use": "Small attributed quarterly forecast facts; original release vintages unverified"
      },
      {
        "name": "Federal Reserve Kim-Wright estimates",
        "url": "https://www.federalreserve.gov/data/yield-curve-tables/feds200533.csv",
        "use": "Strategic cash and commodity collateral forecast; revised history"
      },
      {
        "name": "Federal Reserve fitted TIPS curves",
        "url": "https://www.federalreserve.gov/data/yield-curve-tables/feds200805.csv",
        "use": "Real par/zero yields and inflation compensation; revised history"
      },
      {
        "name": "FRED Treasury constant-maturity yields",
        "url": "https://fred.stlouisfed.org/series/DGS7",
        "use": "DGS7 and DGS10 nominal yield interpolation"
      },
      {
        "name": "Yahoo Finance adjusted histories",
        "url": "https://finance.yahoo.com/",
        "use": "Derived risk estimation; adjusted-price revisions and proxy mappings disclosed"
      },
      {
        "name": "Primary IEF factsheet",
        "url": "https://www.ishares.com/us/literature/fact-sheet/ief-ishares-7-10-year-treasury-bond-etf-fund-fact-sheet-en-us.pdf",
        "use": "June 2026 maturity anchor; SEC yield is not portfolio YTM"
      },
      {
        "name": "Primary VTIP factsheet",
        "url": "https://fund-docs.vanguard.com/F3365.pdf",
        "use": "June 2026 short-maturity evidence; no recovered historical real SEC series"
      }
    ],
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        "marketAsOf": "2026-10-02",
        "snapshotId": "reconstruction-639811d4b9942e5476e3507af455a8860e0a39c9519d0ba5d900eeb914556fef",
        "methodologyVersion": "merton-3.0.0",
        "assumptionRevision": "2026-10-07.v3",
        "riskyAssetOrder": [
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          "IEF",
          "VTIP",
          "GLDM",
          "PDBC",
          "FBTC",
          "VXUS",
          "SCHP",
          "LTPZ"
        ],
        "cashAsset": "SPAXX",
        "recordKind": "reconstructed",
        "weights": {
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          "VXUS": 0,
          "SCHP": 0,
          "LTPZ": 0.16873741935468586,
          "SPAXX": 1.1102230246251565e-16
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        "robustWeights": {
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          "SCHP": 0.02389081566082485,
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        "sourceDates": {
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          "VXUS": "2026-06-30",
          "IEF": "2026-10-01",
          "VTIP": "2026-09-25",
          "GLDM": "2026-10-02",
          "PDBC": "2026-09-25",
          "FBTC": "2026-10-02",
          "SPAXX": "2026-09-25",
          "SCHP": "2026-09-25",
          "LTPZ": "2026-09-25"
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        "sourceWindows": {
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        "inputMethods": {
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          "VTIP": "Fed2/3-year realpar interpolation at selected2.5years, trailing30-calendar-day mean minus dated fundexpense; not net realSEC",
          "Elm": "current archived quarterly levels,30-calendar-day assumed lag",
          "Fed": "latest revised estimates with7-calendar-day assumed lag"
        },
        "fees": {
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          "VTIP": 0.0003,
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          "LTPZ": 0.002
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            "feasibilityResidual": 0,
            "objective": 0.06139888700644036,
            "annualVolatility": 0.18925199230920955,
            "expectedCagr": 0.14366063592626455
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            "kktResidual": 1.4345874401605618e-10,
            "feasibilityResidual": 0,
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            "annualVolatility": 0.13806837058900534,
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        "methodologyVersion": "merton-3.0.0",
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        "riskyAssetOrder": [
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          "VTIP",
          "GLDM",
          "PDBC",
          "FBTC",
          "VXUS",
          "SCHP",
          "LTPZ"
        ],
        "cashAsset": "SPAXX",
        "recordKind": "reconstructed",
        "weights": {
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          "VTIP": 0,
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          "PDBC": 0.17248907969542465,
          "FBTC": 0.28198180913942167,
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          "LTPZ": 0.12590383753807174,
          "SPAXX": 3.3306690738754696e-16
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        "robustWeights": {
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          "VTIP": 0,
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          "PDBC": 0.2040702909077035,
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          "VXUS": 0.09634800603986654,
          "SCHP": 0,
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          "SPAXX": 0
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        "sourceDates": {
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          "VXUS": "2026-06-30",
          "IEF": "2026-09-24",
          "VTIP": "2026-09-18",
          "GLDM": "2026-09-25",
          "PDBC": "2026-09-18",
          "FBTC": "2026-09-25",
          "SPAXX": "2026-09-18",
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          "LTPZ": "2026-09-18"
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        },
        "inputMethods": {
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          "VTIP": "Fed2/3-year realpar interpolation at selected2.5years, trailing30-calendar-day mean minus dated fundexpense; not net realSEC",
          "Elm": "current archived quarterly levels,30-calendar-day assumed lag",
          "Fed": "latest revised estimates with7-calendar-day assumed lag"
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        "fees": {
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          "VTIP": "2026-09-11",
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          "VTIP": "Fed2/3-year realpar interpolation at selected2.5years, trailing30-calendar-day mean minus dated fundexpense; not net realSEC",
          "Elm": "current archived quarterly levels,30-calendar-day assumed lag",
          "Fed": "latest revised estimates with7-calendar-day assumed lag"
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