Maximum capital protection in any macro environment
The Fortress is Peregrine's most conservative strategy. It reads the same four macro indicators as Growth — credit stress, term structure, real yields, and price trend — but maps them to a more defensive allocation table, anchored by SPY and IEF (intermediate Treasuries) rather than QQQ.
The result is a strategy that has compounded at 7.6% annually since 2007 — growing $100,000 into $405,000 — with a maximum drawdown of just 16.8% and a Sharpe ratio of 1.14, the second-highest in the Peregrine lineup. Fortress trades absolute return for the smoothest ride: less volatility, smaller drawdowns, and the confidence that the regime signal is protecting capital when it matters most.
"I want to protect what I have built and still grow steadily."
Fortress is built for investors who have accumulated meaningful wealth and want to protect it. It trades lower absolute returns for dramatically smaller drawdowns — its Sharpe ratio of 1.14 means the returns it does deliver are remarkably efficient relative to the risk taken.
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Start Free TrialThe smoothest ride in the Peregrine lineup
The chart below shows the growth of $100,000 invested in Fortress, 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) |
|---|---|---|---|---|
| Fortress | 7.6% | 1.14 | −16.8% | $405,000 |
| SPY (S&P 500) | 10.7% | 0.61 | −55.2% | $691,000 |
| Static 60/40 | 8.2% | 0.71 | −34.7% | $443,000 |
Fortress does not try to beat the S&P 500 in absolute return — its 7.6% trails SPY's 10.7%. The value is in the path: a maximum drawdown of 16.8% versus 55.2%, and a Sharpe ratio of 1.14 versus 0.61. For investors with significant accumulated wealth, the ability to compound steadily without catastrophic drawdowns is worth more than chasing the highest possible return.
How Fortress works
Fortress belongs to the Macro School and uses the same regime signal as Growth — reading credit stress, term structure, real yields, and price trend. The difference is what happens after the score is computed: Fortress maps it to a more conservative allocation table, holding less equity exposure at every regime level and favouring intermediate Treasuries (IEF) over Nasdaq (QQQ).
Read the four macro signals
Each month, the regime engine evaluates four conditions that drive global liquidity: credit stress (the spread between corporate and government borrowing costs), term structure (the slope of the yield curve), real yields (inflation-adjusted Treasury returns), and price trend (the broad equity market's position relative to its own history). Each signal contributes to a composite regime score.
Map the score to an allocation level
The composite score maps to one of several allocation levels in a proprietary lookup table. Higher scores produce moderate equity exposure through SPY, balanced with IEF for stability. Lower scores shift capital heavily toward GLD, TLT, and SHV. Even at the most favourable regime level, Fortress maintains a smaller equity allocation than Growth would at the same score. The allocation table was calibrated through historical analysis and validated out-of-sample.
Rebalance and hold until next month
On the last trading day of each month, the portfolio is adjusted to match the target allocation for the current regime level. In stable regimes, the allocation may not change for months at a time. During regime transitions — such as the shift from expansion to contraction in late 2007 or early 2020 — the model repositions decisively toward safety.
Rigorously validated out-of-sample
The Fortress configuration was finalised against development-period data through 2018, then validated on a completely separate out-of-sample period from 2019 through 2025. The Sharpe ratio of 1.14 held through the out-of-sample period. The strategy's conservative allocation table kept drawdowns contained through both the 2020 COVID crash and the 2022 bear market.
The 5 assets in the Fortress universe
Fortress uses the same five-asset structure as Growth but swaps QQQ for IEF, trading aggressive equity upside for bond stability. The result is a universe that tilts defensive at every regime level — even in expansion, part of the portfolio is earning yield from intermediate Treasuries.
Gold border indicates defensive/non-equity asset. The regime score determines how capital is distributed across these five assets each month. All trade commission-free at Fidelity, Schwab, IBKR, and most major brokers.
Why Fortress exists alongside Growth
Growth and Fortress read the same regime signal but serve different investors. Growth maximises return at the cost of a deeper drawdown. Fortress maximises the smoothness of the ride at the cost of lower absolute returns. Same intelligence, different risk appetite.
Shallowest drawdown of all four strategies
At 1.14, Fortress delivers exceptional return per unit of risk — nearly double the S&P 500's 0.61 — The slightly lower Sharpe than Growth (1.19) reflects the trade-off: Fortress accepts slightly less efficiency in exchange for an even shallower drawdown profile.
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 Fortress subscribers say
Is Fortress right for you?
Fortress is built for investors who prioritise capital preservation, but like any systematic strategy it works best when you understand what you own and why you own it.
- ✓You have accumulated meaningful wealth and want to protect it while still outpacing inflation and bonds.
- ✓You want the smoothest possible equity curve among the four Peregrine strategies.
- ✓You have an IRA, Roth IRA, or taxable account with access to SPY, IEF, GLD, TLT, and SHV.
- ✓You can rebalance once a month — approximately 5–10 minutes at month-end following the dashboard update.
- ✓You prefer the Macro School approach and want a conservative expression of it.
- ✗You want to maximise long-run returns. Growth (11.5%) and SRM+ (12.8%) both compound faster at the cost of deeper drawdowns.
- ✗Your account doesn't offer access to IEF or TLT. Consider Core Momentum, which uses funds available in most employer plans.
Start following Fortress 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 Fortress.
Get your first allocation
On the last trading day of each month the dashboard updates with the current regime score and target allocations across SPY, IEF, GLD, TLT, and SHV. Log in, check the weights, and update your holdings.
Stay the course
The regime signal handles the analysis. Your job is execution and discipline — following the monthly update without improvisation. The Saturday Briefing provides macro context between updates.
30-day free trial · $29/month after · All four strategies included
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