STIP

iShares 0-5 Year TIPS Bond ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-04

Executive Summary

The quantitative backtest for STIP (iShares 0-5 Year TIPS Bond ETF) using the Excess Return MMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.3% (compared to the benchmark's drawdown of -5.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.3%, compared to a Buy-and-Hold benchmark return of 2.2%. The strategy executed 24 total trades.

* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for STIP:

Excess Return MMA Active Model

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)

Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.

🎯 Trading Horizon

Select risk profile & execution style for STIP:

🛡️ Long-Term Investing Active Horizon

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.

🛡️ STIP Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-5.3% (vs -5.5% B&H)

+0.2% shallower drawdown

Downside Efficiency

1.30 Sortino

+0.07 vs 1.23 B&H

Capital Sheltered from Risk

41.8% of Time

Earning Treasury yield during downturns

* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.

📊 STIP Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-0.48%	-0.72%	-3.16%	-5.50%	-5.29%	-5.50%	-5.29%	-5.50%
Sharpe Ratio	2.26	1.60	1.87	1.12	1.72	1.26	1.36	0.97
Sortino Ratio	3.19	2.27	2.01	1.57	1.64	1.54	1.30	1.23
CAGR	2.37%	2.33%	3.49%	3.08%	3.37%	3.14%	2.32%	2.23%
% Time Invested	71.9%	100.0%	59.0%	100.0%	65.1%	100.0%	58.2%	100.0%
Trades / Year	1.0	0.0	1.2	0.0	1.3	0.0	1.7	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of STIP under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 2.3% CAGR with a -5.3% Max Drawdown across 24 trade signals (compared to Buy & Hold's 2.2% CAGR and -5.5% Max Drawdown).

Histogram of monthly return distribution for STIP under Excess Return MMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **STIP** under **Excess Return MMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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Top Diversifiers for STIP

Explore Correlation Across Horizons →

Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.

Diversifier Asset	Category	1Y Correlation (r)	Action
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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
2025-12-29	2026-04-30	Interest (CASH)	33.33%	$1.00	$1.01	1.22%	Interest Income
2024-04-25	2026-04-09	Completed	33.33%	$89.59	$100.02	11.59%	Signal
2025-02-28	2025-12-29	Completed	33.33%	$95.06	$98.83	3.91%	Signal
2025-01-02	2025-02-28	Interest (CASH)	33.33%	$1.00	$1.01	0.64%	Interest Income
2024-07-29	2025-01-02	Completed	33.33%	$91.55	$93.28	1.84%	Signal
2022-10-27	2024-08-05	Interest (CASH)	33.33%	$1.00	$1.09	9.40%	Interest Income
2024-05-01	2024-07-29	Interest (CASH)	33.33%	$1.00	$1.01	1.27%	Interest Income
2024-01-17	2024-05-01	Completed	33.33%	$88.98	$89.65	0.71%	Signal
2022-07-07	2024-04-25	Interest (CASH)	33.33%	$1.00	$1.09	8.83%	Interest Income
2023-07-12	2024-01-17	Interest (CASH)	33.33%	$1.00	$1.03	2.82%	Interest Income
2023-04-14	2023-07-12	Completed	33.33%	$86.90	$86.39	-0.63%	Signal
2022-06-17	2023-04-14	Interest (CASH)	33.33%	$1.00	$1.03	3.12%	Interest Income
2019-03-15	2022-10-27	Completed	33.33%	$76.21	$85.05	11.54%	Signal
2019-03-15	2022-07-07	Completed	33.33%	$76.21	$86.33	13.22%	Signal
2020-06-25	2022-06-17	Completed	33.33%	$80.44	$86.63	7.64%	Signal
2020-06-03	2020-06-25	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2019-03-15	2020-06-03	Completed	33.33%	$76.21	$80.06	5.00%	Signal
2018-09-06	2019-03-15	Interest (CASH)	33.33%	$1.00	$1.01	1.21%	Interest Income
2018-01-12	2019-03-15	Interest (CASH)	33.33%	$1.00	$1.02	2.41%	Interest Income
2017-08-15	2019-03-15	Interest (CASH)	33.33%	$1.00	$1.03	2.90%	Interest Income
2018-08-08	2018-09-06	Completed	33.33%	$75.28	$75.55	0.31%	Signal
2017-12-22	2018-08-08	Interest (CASH)	33.33%	$1.00	$1.01	1.09%	Interest Income
2016-08-25	2018-01-12	Completed	33.33%	$74.03	$74.78	0.96%	Signal
2017-10-30	2017-12-22	Completed	33.33%	$74.65	$74.66	-0.05%	Signal
2017-07-05	2017-10-30	Interest (CASH)	33.33%	$1.00	$1.00	0.34%	Interest Income
2016-05-10	2017-08-15	Completed	33.33%	$73.59	$74.50	1.19%	Signal
2017-03-03	2017-07-05	Completed	33.33%	$74.47	$74.35	-0.22%	Signal
2017-02-08	2017-03-03	Interest (CASH)	33.33%	$1.00	$1.00	0.03%	Interest Income
2016-03-23	2017-02-08	Completed	33.33%	$73.24	$74.61	1.82%	Signal
2013-10-22	2016-08-25	Interest (CASH)	33.33%	$1.00	$1.00	0.28%	Interest Income
2015-11-06	2016-05-10	Interest (CASH)	33.33%	$1.00	$1.00	0.12%	Interest Income
2015-09-01	2016-03-23	Interest (CASH)	33.33%	$1.00	$1.00	0.10%	Interest Income
2015-10-27	2015-11-06	Completed	33.33%	$72.69	$72.26	-0.63%	Signal
2014-12-19	2015-10-27	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2015-05-27	2015-09-01	Completed	33.33%	$72.88	$72.63	-0.39%	Signal
2014-10-15	2015-05-27	Interest (CASH)	33.33%	$1.00	$1.00	0.01%	Interest Income
2014-04-11	2014-12-19	Completed	33.33%	$73.62	$72.41	-1.70%	Signal
2014-04-16	2014-10-15	Completed	33.33%	$73.56	$73.78	0.25%	Signal
2014-03-10	2014-04-16	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2013-06-21	2014-04-11	Interest (CASH)	33.33%	$1.00	$1.00	0.04%	Interest Income
2013-11-27	2014-03-10	Completed	33.33%	$73.56	$73.64	0.07%	Signal
2013-05-22	2013-11-27	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2012-11-29	2013-10-22	Completed	33.33%	$74.47	$73.69	-1.09%	Signal
2012-11-29	2013-06-21	Completed	33.33%	$74.47	$72.95	-2.08%	Signal
2012-11-29	2013-05-22	Completed	33.33%	$74.47	$74.13	-0.51%	Signal
2012-11-27	2012-11-29	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2012-11-27	2012-11-29	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2012-11-27	2012-11-29	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income