Every parameter in our models traces to a published paper. The studies below form the intellectual foundation of both schools and the broader principles behind systematic investing.
We cite these works not as decoration but as the engineering specifications behind our portfolio models. Decades of peer-reviewed research across momentum, regime detection, credit markets, and behavioral finance.
The foundation for SRM+ and Core Momentum — per-asset trend filters and cross-sectional momentum ranking.
The foundational trend-following paper. A simple moving average across asset classes delivers equity-like returns with bond-like volatility. The trend filter in our models comes directly from this work.
Significant momentum across 58 liquid instruments spanning equities, currencies, commodities, and bonds. A security’s own past returns predict its future returns for 1–12 months.
Independent validation of trend-following applied to sector rotation, confirming that the Faber mechanism works at the sector level with broad ETFs — the exact approach used in SRM+.
The composite regime signal behind Growth and Fortress — credit spreads, yield curve, real yields, and price trend.
The 10Y–3M spread outperforms all other indicators predicting recessions 2–6 quarters ahead. Every U.S. recession since 1955 was preceded by an inversion.
Credit spreads robustly predict economic activity. The “excess bond premium” measures the financial sector’s willingness to bear risk. This signal carries the most weight in our regime model.
The yield curve slope contains meaningful information about future rate movements and bond returns — the dynamics our regime model reads through Treasury yields.
Connected credit conditions, term structure, and real yields to global liquidity cycles. Our regime signal tracks these same conditions to determine risk positioning.
Why allocation decisions dominate returns, why investors make predictable mistakes, and why trend following persists across a century of data.
Asset allocation explains over 90% of portfolio return variation. Security selection and market timing contribute far less. The intellectual foundation for every Peregrine strategy.
Investors feel losses roughly twice as painfully as equivalent gains. This loss aversion is the behavioral failure systematic models prevent — removing the emotional override that causes panic-selling.
Over 100 years of data across asset classes show trend following has delivered consistent positive returns in every decade since 1903 — spanning world wars, depressions, and every conceivable market regime.
19 years of historical performance, Monte Carlo stress testing, and out-of-sample validation.
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