The smallest drawdown in the Peregrine lineup
The Core Momentum is Peregrine's streamlined momentum strategy. It applies the same systematic, rules-based mechanism as SRM+ — trend filtering and momentum ranking — to a compact universe of seven broadly diversified ETFs that mirror the fund options available in most employer-sponsored retirement plans.
The result is a strategy that delivered 10.0% annualised returns since 2007 — growing $100,000 into $604,000 — while never drawing down more than 13.7%. That is the shallowest maximum drawdown of any strategy in the Peregrine lineup. Over the same period, a buy-and-hold of the S&P 500 fell 55% in 2008 and a static 60/40 portfolio lost nearly 35%.
"I want market-like returns without market-sized drawdowns."
Core Momentum is built for investors who prioritise capital preservation alongside growth. It matches the S&P 500's long-run return neighbourhood while cutting its maximum drawdown by three quarters — delivering more return per unit of risk (Sharpe 0.93 vs 0.61).
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The chart below shows the growth of $100,000 invested in the Core Momentum model, the S&P 500 (SPY), and a static 60/40 portfolio from January 2007 through December 2025 — a period that includes the 2008 financial crisis, the 2020 COVID crash, the 2022 bond and equity bear market, and two full bull cycles. Source: Peregrine_Canonical_Numbers.ipynb, single yfinance session.
Model performance represents total returns including reinvestment of dividends and interest. No management fees, transaction costs, or taxes included. Backtested performance is not a guarantee of future results. Data sourced from a single yfinance session; numbers may differ slightly from other sources due to dividend treatment and resampling methodology.
Performance Metrics (2007–2025)
| Strategy | Annual Return | Sharpe Ratio | Max Drawdown | Final Value ($100K) |
|---|---|---|---|---|
| Core Momentum | 10.0% | 0.93 | −13.7% | $604,000 |
| SPY (S&P 500) | 10.7% | 0.61 | −55.2% | $691,000 |
| Static 60/40 | 8.2% | 0.71 | −34.7% | $443,000 |
The S&P 500 finishes with a higher dollar total — but the path to get there included a 55% drawdown that forced millions of real investors to sell at the bottom and lock in permanent losses. The Core Momentum model's edge is not in beating SPY's final number; it is in dramatically reducing the likelihood that you capitulate during the journey. A Sharpe ratio of 0.93 versus 0.61 means 52% more return earned per unit of volatility accepted.
How the Core Momentum model works
The Core Momentum model shares the same intellectual foundation as SRM+ — built on Faber (2006) on trend-following and Moskowitz, Ooi & Pedersen (2011) on time-series momentum. The mechanism is identical; the difference is the asset universe and the parameter configuration, which are tuned for the fund types available in most employer-sponsored plans.
Screen the 7-asset universe for trend
On the last trading day of each month, each of the seven ETFs is evaluated against a proprietary medium-term moving average. Assets failing this trend test are disqualified from consideration — this is the filter that kept the Core Momentum model largely in safe-haven assets during the 2008 equity collapse and the 2022 bear market. It is the primary mechanism behind the strategy's record-low drawdown.
Rank trend-eligible assets by recent momentum
Among assets that pass the trend filter, each is ranked by its recent price momentum over a proprietary lookback period. The highest-ranking assets by momentum advance to portfolio allocation. With a smaller universe than SRM+, the Core Momentum model produces a more concentrated bet on the strongest broad market themes — U.S. large cap, small cap, growth, value, or international.
Allocate with discipline and hold until next month
Selected assets receive tiered weightings based on their momentum rank. A proprietary rebalancing band prevents unnecessary trading when positions drift only slightly from their targets. Any asset failing the trend test is replaced with SHV (T-bills) at its allocated weight, keeping capital working even in defensive posture.
Rigorously validated out-of-sample
Like SRM+, the Core Momentum configuration was finalised against development-period data through 2018, then validated on a completely separate out-of-sample period from 2019 through 2025. The out-of-sample performance confirmed the strategy's ability to manage drawdowns while maintaining competitive returns — providing meaningful evidence against overfitting.
The 7 ETFs in the Core Momentum universe
The Core Momentum universe is intentionally compact — seven broadly diversified ETFs that correspond to the fund categories available in virtually every employer-sponsored retirement plan. Five represent distinct equity exposures across size, style, and geography. One provides fixed-income diversification. The safe-haven asset protects capital when equities and bonds both fail the trend filter.
Gold border indicates defensive/non-equity asset. SHV holds the weight of any asset failing the trend filter. Most 401(k) plans offer index fund equivalents to each of these ETFs — check your plan's fund lineup for S&P 500, small cap, growth, value, international, and bond index options.
Why this model exists alongside SRM+
SRM+ uses twelve granular sector ETFs that most 401(k) plans don't offer. The Core Momentum model solves that constraint with a universe designed around the funds you actually have access to — and in doing so, discovers a different kind of edge.
Shallowest drawdown of all four strategies
At −13.7%, Core Momentum's maximum drawdown is the smallest in the Peregrine lineup. For context: the S&P 500 drew down 55% over the same period. Smaller drawdowns mean less emotional pressure to sell at the worst possible time — the single biggest destroyer of long-term returns for real investors.
Works in any account, not just 401(k) plans
The name reflects its origin — designed for the fund constraints of employer plans. But the ETFs in this universe trade freely in any brokerage account. If you prefer a simpler, broader approach to momentum investing with fewer moving parts than SRM+, this model works equally well in IRAs and taxable accounts.
Diversified across size, style, and geography
The equity universe spans U.S. large cap, small cap, growth, value, and international developed markets. This style diversification means the model can rotate into whatever leadership regime the market rewards — growth in 2020, value in 2022, international in 2024 — without being locked into U.S. sectors alone.
Simpler to implement
Seven assets instead of twelve. The monthly rebalancing update takes roughly five to ten minutes. Fewer positions mean fewer trades, lower potential tax events in taxable accounts, and an easier conversation with yourself about what you own and why.
What Core Momentum subscribers say
Is the Core Momentum model right for you?
Core Momentum is a strong fit for a wide range of investors, but like any systematic strategy it works best when you understand what you own and why you own it.
- ✓Your 401(k) or employer plan offers broad index funds (S&P 500, small cap, growth, value, international, bond index) but not individual sector ETFs.
- ✓You value drawdown protection over absolute maximum returns — you would rather avoid a 55% loss than chase an extra point of annual return.
- ✓You want a simpler portfolio with fewer positions and fewer monthly trades than SRM+.
- ✓You can rebalance once a month — approximately 5–10 minutes at month-end following the dashboard update.
- ✓You also have an IRA or taxable account and prefer broad market diversification over sector granularity.
- ✗You want the absolute highest returns in the Peregrine lineup. SRM+ has a higher CAGR (12.8%) at the cost of a deeper maximum drawdown (−17.2%).
- ✗You want exposure to gold or long-duration Treasuries as part of the momentum rotation. Those assets are in SRM+, not this model.
Start following the Core Momentum model in three steps
Start your free trial
Visit the pricing page and begin your 30-day free trial. No commitment, no upfront charge. Immediate access to all four strategies including the Core Momentum model.
Match your plan's funds
Check which index funds in your employer plan correspond to our seven ETFs. Most plans offer equivalents for S&P 500, small cap, growth, value, international, and bond index. The dashboard shows current target allocations.
Rebalance monthly
On the last trading day of each month the dashboard updates. Log in, check the target weights, and adjust your holdings to match. Five to ten minutes, once a month.
30-day free trial · $29/month after · All four strategies included
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