The highest-returning strategy in the Peregrine lineup
The Sector Rotation Model Plus (SRM+) is Peregrine's flagship momentum strategy. It applies a systematic, rules-based mechanism to rotate monthly across twelve ETFs — nine U.S. equity sectors plus gold, aggregate bonds, and long-duration Treasuries — selecting only assets that are in an uptrend and showing the strongest recent momentum.
The result is a strategy that stays invested when markets are healthy, rotates into defensive positions when they are not, and has compounded at 12.8% annually since 2007 — growing $100,000 into $967,000 while never drawing down more than 17.2%. Over the same period, a buy-and-hold of the S&P 500 fell 55% in 2008 and finished with less capital despite a higher tolerance for pain.
"I want the best risk-adjusted returns my retirement accounts can deliver."
SRM+ is built for investors who want maximum long-run performance without maximum drawdown. It beats the S&P 500 in total return while cutting its maximum loss by more than two-thirds — delivering more per unit of risk (Sharpe 0.92 vs 0.61).
Start following SRM+ allocations this month — 30 days free.
Start Free TrialSRM+ has outperformed on every meaningful metric
The chart below shows the growth of $100,000 invested in SRM+, 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) |
|---|---|---|---|---|
| SRM+ | 12.8% | 0.92 | −17.2% | $967,000 |
| SPY (S&P 500) | 10.7% | 0.61 | −55.2% | $691,000 |
| Static 60/40 | 8.2% | 0.71 | −34.7% | $443,000 |
The Sharpe ratio measures return earned per unit of risk taken. SRM+'s 0.92 is 51% higher than the S&P 500's 0.61 — meaning subscribers received more return for each unit of volatility accepted. The max drawdown of −17.2% versus the index's −55.2% means an SRM+ investor who started in 2007 never saw more than roughly one dollar in six disappear — while buy-and-hold investors watched more than half their wealth vanish before the recovery.
How SRM+ works
SRM+ is built on two decades of peer-reviewed research — Faber (2006) on trend-following and Moskowitz, Ooi & Pedersen (2011) on time-series momentum. The rules are simple, systematic, and applied identically every month. No judgment calls, no discretionary overrides.
Screen the 12-asset universe for trend
On the last trading day of each month, each of the 12 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 SRM+ largely in T-bills during the 2008 equity collapse and during the 2022 bond and equity bear market. It is the single most important component of the strategy's drawdown protection.
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. Momentum is the most extensively documented predictor of near-term return continuation in the academic literature. The highest-ranking assets by momentum advance to portfolio allocation.
Allocate with discipline and hold until next month
Selected assets receive tiered weightings based on their momentum rank — concentrated toward the highest-scoring idea, with progressively smaller allocations to the others. 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
The SRM+ configuration was selected through systematic backtesting across a range of parameter combinations spanning different trend windows, momentum lookback periods, and rebalancing thresholds. It 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 Sharpe ratio (0.92) exceeds the development-period Sharpe — an unusually strong result that argues against overfitting. Subscribers access the exact monthly allocations through the dashboard.
The 12 ETFs in the SRM+ universe
SRM+ selects from a 12-asset universe built to give the trend and momentum signals meaningful material to work with across all market regimes. Nine equity sectors provide granular rotation within equities; the three defensive assets — GLD, AGG, TLT — give the model somewhere productive to rotate when equities broadly fail the trend filter.
Gold border indicates defensive/non-equity asset. Safe haven: SHV (1–3 month T-bills) holds the weight of any asset failing the trend filter. All 12 ETFs trade commission-free at Fidelity, Schwab, IBKR, and most other major brokers.
What makes SRM+ different from other rotation strategies
Most sector rotation models rotate among equities only and ignore the trend condition entirely — capping out around 8–9% CAGR because they stay fully invested in equities regardless of market conditions. SRM+ incorporates four improvements that transform a mediocre rotation approach into a compound-return engine.
Defensive assets in the universe
Adding GLD, AGG, and TLT to the universe gives the model somewhere productive to rotate during equity bear markets. Those assets frequently top the momentum rankings in exactly the periods you need protection — providing both capital preservation and continued compounding.
Per-asset trend filter
Each asset is evaluated against its own trend threshold independently — not a global market gate. This structural distinction allows the model to hold one sector while avoiding another in the same month. Global regime filters were tested and rejected across six consecutive iterations in our research process.
Validated out-of-sample
The development period ran through 2018. The out-of-sample period (2019–2025) delivered a Sharpe ratio that exceeds the in-sample Sharpe. This is an unusual result in systematic strategy research and provides meaningful evidence against curve-fitting.
Concentrated but controlled
Concentrating capital in the highest-momentum ideas is where the return comes from — and it is the most common point of failure in watered-down rotation systems that spread weight evenly. The trend filter and T-bill backstop ensure that concentration is never dangerous during broad market dislocations when all sectors fall simultaneously.
What SRM+ subscribers say
Is SRM+ right for you?
SRM+ is a strong fit for most long-term investors, but like any systematic strategy it works best when you understand what you own and why you own it.
- ✓You want the best absolute returns in the Peregrine lineup and accept that some years will lag the S&P 500 in exchange for far smaller drawdowns.
- ✓You have an IRA, Roth IRA, or taxable brokerage account with access to sector ETFs (XLK, XLE, XLF, XLV, XLY, XLP, XLI, XLU, XLB) plus GLD, AGG, and TLT.
- ✓You can rebalance once a month — approximately 10–20 minutes at month-end following the dashboard update.
- ✓You accept a rules-based, quantitative approach to investing and won't override the model when your intuition disagrees with the signal.
- ✗Your 401(k) plan doesn't offer individual sector ETFs. If that describes your situation, the 401(k) model uses a 7-fund universe designed for employer plans.
- ✗You need the absolute smoothest equity curve in all conditions. Fortress has a higher Sharpe ratio (1.14) and a softer ride — at the cost of lower long-run returns (7.6% CAGR).
Start following SRM+ 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 SRM+.
Get your first allocation
On the last trading day of each month the dashboard updates. Log in, check the three ETFs and their target weights, and update your holdings. Roughly 10–20 minutes.
Stay the course
The model handles the analysis. Your job is execution and discipline — following the monthly update without improvisation. The Saturday Briefing provides context between updates.
30-day free trial · $29/month after · All four strategies included
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