SCHP
Schwab U.S. TIPS ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-04
Executive Summary
The quantitative backtest for SCHP (Schwab U.S. TIPS ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -16.0% (compared to the benchmark's drawdown of -14.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 0.8%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 5 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA Active
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
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SCHP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 1.85% | 1.85% | -0.98% | 0.36% | 1.67% | 2.44% | 0.78% | 1.77% |
| Sharpe Ratio | 0.57 | 0.57 | -0.20 | 0.06 | 0.34 | 0.43 | 0.16 | 0.32 |
| Max Drawdown | -1.93% | -1.93% | -16.01% | -14.26% | -16.01% | -14.26% | -16.01% | -14.26% |
| % Time Invested | 100.0% | 100.0% | 72.6% | 100.0% | 75.7% | 100.0% | 76.2% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Subscribe to Unlock | ||||||||
| 2023-09-28 | 2024-08-05 | Interest (CASH) | 100% | $1.00 | $1.05 | 4.61% | Interest Income | |
| 2023-04-06 | 2023-09-28 | Completed | 100% | $23.76 | $22.51 | -5.31% | Stop | |
| 2022-09-28 | 2023-04-06 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2019-03-15 | 2022-09-28 | Completed | 100% | $20.74 | $22.57 | 8.76% | Signal | |
| 2018-02-20 | 2019-03-15 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.26% | Interest Income | |
| 2016-06-10 | 2018-02-20 | Completed | 100% | $20.16 | $20.15 | -0.13% | Signal | |
| 2015-12-24 | 2016-06-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.12% | Interest Income | |
| 2014-04-14 | 2015-12-24 | Completed | 100% | $19.27 | $19.09 | -0.94% | Signal | |
| 2013-11-04 | 2014-04-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2012-07-30 | 2013-11-04 | Completed | 100% | $20.25 | $19.13 | -5.61% | Signal | |
| 2012-07-26 | 2012-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |