AEGIS Investment Portfolio

Institutional-grade, high-performance
investment portfolio. For the retail investor.

Systematic macro investing, democratized.

AEGIS is a macro-aware, systematic investment portfolio — built on the same academic and institutional principles and frameworks that drive the most sophisticated investment strategies on global Wall Street.

For the period 2018 to April 21, 2026

14.4% Total Return CAGR vs 9.4% for 60/40
−11.5% Max Drawdown vs −22.1% for 60/40
1.343 Sharpe Ratio vs 0.821 for 60/40
+5.0pp Alpha vs 60/40 annualised vs 60/40
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The Model

AEGIS

Adaptive Evidence-Governed Investment System

A macro-aware, systematic investment portfolio — regime-sensitive, signal-driven, and designed to compound wealth across every market environment. Grounded in the same academic and institutional framework that drives the most sophisticated investment strategies in the world.

The Problem
The 60/40 portfolio was built for a world that no longer exists.

For four decades, bonds provided meaningful diversification against equity drawdowns. That relationship has broken down. The retail investor is left holding a static allocation — one with no mechanism to detect regime change, no ability to adapt, and no defence when conditions deteriorate. The result is symmetric exposure to both the upside and the downside.

The Solution
Asymmetric participation.
A positively skewed return distribution.

AEGIS is designed to maximise upside capture in favourable environments and minimise downside capture when stress is elevated. The result is a return distribution that is fundamentally different from passive investing — one that compounds more in rising markets and loses less when they fall. Systematic. Evidence-based. Not discretionary.

Proprietary Technology
Two engines. Working in concert.
Engine 01 — Regime Detection
PRISM
Probabilistic Regime & Integrated Stress Monitor

PRISM continuously monitors three structurally independent market signals — price momentum, credit spreads, and realised downside volatility — and synthesises them into a single, continuous stress probability measure. It classifies the current market regime and drives the core allocation of the portfolio.

Three independent signals  ·  Continuous probability  ·  Regime classification
Engine 02 — Alpha Generation
VAMS
Volatility-Adjusted Momentum Signal

VAMS is the alpha-generating rider — active exclusively when PRISM confirms a low-stress regime. It deploys a tactical sector position when statistically significant, risk-adjusted excess return is confirmed. VAMS is how AEGIS extends the right tail of the return distribution beyond what the core portfolio alone can achieve.

Low-stress activation  ·  Statistical confirmation  ·  Tactical sector rider
Portfolio Construction
Three core assets. One alpha-generating rider.
SPY
US Equity
Growth engine. Full allocation in low-stress regimes.
+
GLD
Gold
Permanent anchor. Held across all regimes.
+
BIL
T-Bills
Capital preservation. Dominant in elevated stress.
+
Rider
VAMS Alpha Overlay
Active in low-stress only. Tactical sector momentum.

The entire model resolves to a single signal and a single allocation decision per rebalancing period — three low-cost ETFs and one tactical position. Institutionally sophisticated, radically simple to implement. The portfolio is dynamically updated daily.

15
Years Back-Tested
Fully validated across fifteen years of live market history — including every major stress event since 2011.
31
Quality Tests Passed
Institutional-grade validation across 31 independent quality tests. No cherry-picking. No curve-fitting.
GIPS
CTA Conforming
Performance reported in conformance with GIPS standards and BarclayHedge CTA performance reporting requirements.
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Performance

The numbers speak
for themselves

Performance Highlights
14.4%
CAGR
vs 9.4% for 60/40
−11.5%
Max Drawdown
vs −22.1% for 60/40
2.721
Calmar Ratio
3-yr trailing · vs 1.252 for 60/40
+204.4%
Cumulative Return
vs +110.4% for 60/40

KPI Comparison

MetricAEGIS60/40Edge
CAGR14.4%9.4%+5.0pp
Sharpe1.3430.821+0.524
Sortino1.8011.025+0.685
Max DD−11.5%−22.1%+10.6pp
Calmar2.7211.252+1.433
Beta0.2000.309−0.109
Omega1.2621.166+0.096

Annual Returns

YearAEGIS60/40Diff
2026 YTD+6.3%+3.1%+3.5pp
2025+21.7%+9.1%+12.6pp
2024+15.2%+10.4%+4.8pp
2023+25.7%+14.2%+11.5pp
2022−4.5%−16.1%+11.6pp
2021+20.8%+10.3%+10.5pp
2020+24.6%+12.4%+12.2pp
2019+14.6%+16.8%−2.2pp
2018−1.6%−4.2%+2.6pp
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Brendan P. Smyth — Founder, BLACK KNOT ANALYTICS
Brendan P. Smyth
Founder, BLACK KNOT ANALYTICS
About

The mission is
democratisation

“The institutional investor has always had an advantage — deeper research, better tools, and the infrastructure to act on both. The retail investor gets a mutual fund, a robo-advisor with a fee on top, or worse — bad information from market pundits promoting their book. BLACK KNOT ANALYTICS exists to change that.”

AEGIS is the proof — a high-performing, macro-aware portfolio grounded in peer-reviewed academic research and institutional leading practice, validated across fifteen years of market history, and delivered free.

Independent. No affiliates. No referrals.

Join the Mission