The highest Sharpe ratio in the Peregrine lineup
The Growth is Peregrine's most aggressive regime strategy. It reads four macro indicators — credit stress, term structure, real yields, and price trend — to determine how much capital belongs in risk assets at any given time, then allocates across a five-asset universe anchored by SPY and QQQ.
The result is a strategy that has compounded at 11.5% annually since 2007 — growing $100,000 into $782,000 — while cutting the S&P 500's maximum drawdown by more than half. Growth owns the highest Sharpe ratio in the Peregrine lineup at 1.19, meaning it delivers more return per unit of risk than any other strategy we offer.
"I want to beat the market over full cycles while cutting drawdowns in half."
Growth is built for investors who want to outperform the S&P 500 over complete market cycles. It beat SPY's total return (11.5% vs 10.7%) while halving its worst drawdown (−20% vs −55%) — and its Sharpe of 1.19 is nearly double the index's 0.61.
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The chart below shows the growth of $100,000 invested in Growth, 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) |
|---|---|---|---|---|
| Growth | 11.5% | 1.19 | −20.0% | $782,000 |
| SPY (S&P 500) | 10.7% | 0.61 | −55.2% | $691,000 |
| Static 60/40 | 8.2% | 0.71 | −34.7% | $443,000 |
Growth outperforms the S&P 500 in both total return and risk-adjusted return. Its Sharpe ratio of 1.19 is the highest in the Peregrine lineup and nearly double SPY's 0.61. The regime signal kept the strategy largely defensive during the 2008 financial crisis and the 2022 bear market — cutting maximum drawdown from 55% to 20%.
How Growth works
Growth belongs to the Macro School — a fundamentally different approach from the Momentum School strategies (SRM+ and Core Momentum). Instead of ranking assets by price momentum, Growth reads four macro indicators that track global liquidity conditions: credit stress, term structure, real yields, and price trend. The composite regime score determines how aggressively the portfolio is positioned in risk assets.
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 — indicating favourable liquidity conditions — produce more aggressive equity positioning through SPY and QQQ. Lower scores shift capital toward GLD, TLT, and SHV. 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 Growth 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 1.19 held through the out-of-sample period — an unusually strong result that argues against curve-fitting. The regime signal correctly identified the 2020 COVID crash and the 2022 bear market as defensive environments.
The 5 assets in the Growth universe
Growth uses a focused five-asset universe designed to capture the full range of macro regimes. Two equity ETFs provide growth-oriented market exposure, two defensive assets offer protection during contractions, and the safe-haven asset parks capital when the regime score signals maximum caution.
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.
What makes Growth different from other tactical strategies
Most tactical allocation strategies rely on momentum or trend-following alone. Growth adds a structural advantage: it reads the macro regime directly, using the same signals that drive central bank policy and institutional capital flows. This gives it earlier positioning changes than price-based systems.
Shallowest drawdown of all four strategies
At 1.19, Growth delivers more return per unit of risk than any other Peregrine strategy. This is nearly double the S&P 500's 0.61 — meaning the regime signal is not just reducing risk, it is actively improving the efficiency of every dollar invested.
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 Growth subscribers say
Is Growth right for you?
Growth is a strong fit for investors who want to outperform the market with managed risk, but like any systematic strategy it works best when you understand what you own and why you own it.
- ✓You want to beat the S&P 500 over full market cycles while cutting its drawdown by more than half.
- ✓You believe macro conditions — credit stress, yield curves, real rates — matter for asset allocation, and you want a systematic way to act on them.
- ✓You have an IRA, Roth IRA, or taxable account with access to SPY, QQQ, 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 over the Momentum School — reading the environment rather than following price trends.
- ✗You want the absolute highest returns available. SRM+ has a higher CAGR (12.8%) at the cost of a deeper drawdown (−17.2%).
- ✗You want the smoothest possible equity curve. Fortress has a shallower drawdown (−16.8%) at the cost of lower returns (7.6%).
Start following Growth 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 Growth.
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, QQQ, 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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