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 Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -10.8% (compared to the benchmark's drawdown of -14.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 1.8%. The strategy executed 10 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
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% | 1.85% | 0.36% | 2.56% | 2.44% | 1.95% | 1.77% |
| Sharpe Ratio | 0.57 | 0.57 | 0.48 | 0.06 | 0.58 | 0.43 | 0.47 | 0.32 |
| Max Drawdown | -1.93% | -1.93% | -5.00% | -14.26% | -10.85% | -14.26% | -10.85% | -14.26% |
| % Time Invested | 100.0% | 100.0% | 70.1% | 100.0% | 77.2% | 100.0% | 69.9% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.4 | 0.0 | 0.7 | 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 | ||||||||
| 2023-08-22 | 2024-01-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.07% | Interest Income | |
| 2023-04-06 | 2023-08-22 | Completed | 100% | $23.76 | $22.77 | -4.22% | Signal | |
| 2022-02-25 | 2023-04-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.28% | Interest Income | |
| 2019-02-20 | 2022-02-25 | Completed | 100% | $20.61 | $25.11 | 21.79% | Signal | |
| 2018-10-31 | 2019-02-20 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2018-07-02 | 2018-10-31 | Completed | 100% | $20.61 | $20.12 | -2.42% | Signal | |
| 2018-03-07 | 2018-07-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.59% | Interest Income | |
| 2017-02-27 | 2018-03-07 | Completed | 100% | $20.42 | $20.28 | -0.71% | Signal | |
| 2016-12-22 | 2017-02-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2016-03-09 | 2016-12-22 | Completed | 100% | $19.55 | $19.76 | 1.02% | Signal | |
| 2015-06-18 | 2016-03-09 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.09% | Interest Income | |
| 2015-05-06 | 2015-06-18 | Completed | 100% | $19.62 | $19.47 | -0.82% | Signal | |
| 2015-04-14 | 2015-05-06 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-20 | 2015-04-14 | Completed | 100% | $19.73 | $19.83 | 0.48% | Signal | |
| 2014-12-26 | 2015-03-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-03-14 | 2014-12-26 | Completed | 100% | $19.25 | $19.39 | 0.67% | Signal | |
| 2013-05-23 | 2014-03-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-04-30 | 2013-05-23 | Completed | 100% | $20.64 | $20.02 | -3.03% | Signal | |
| 2013-03-18 | 2013-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2012-07-30 | 2013-03-18 | Completed | 100% | $20.25 | $20.38 | 0.58% | Signal | |
| 2012-07-26 | 2012-07-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |