TIP
iShares TIPS Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-25
Executive Summary
The quantitative backtest for TIP (iShares TIPS Bond ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -12.2% (compared to the benchmark's drawdown of -14.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.0%, compared to a Buy-and-Hold benchmark return of 3.4%. The strategy executed 14 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for TIP:
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 Model
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Trading Horizon
Select risk profile & execution style for TIP:
🛡️ 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.
Switch to MMA to enable
🛡️ TIP Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-12.2% (vs -14.5% B&H)
+2.3% shallower drawdown
Drawdown Shield
2.3% Cut
Protected capital vs -14.5% B&H
Capital Sheltered from Risk
23.6% 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.
📊 TIP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -1.98% | -1.98% | -5.00% | -14.51% | -11.20% | -14.51% | -12.22% | -14.51% |
| Sharpe Ratio | 0.62 | 0.62 | 0.57 | 0.07 | 0.62 | 0.41 | 0.58 | 0.54 |
| Sortino Ratio | 0.98 | 0.98 | 0.70 | 0.10 | 0.70 | 0.56 | 0.69 | 0.74 |
| CAGR | 2.05% | 2.05% | 2.24% | 0.43% | 2.80% | 2.36% | 3.03% | 3.37% |
| % Time Invested | 100.0% | 100.0% | 69.9% | 100.0% | 75.9% | 100.0% | 76.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.2 | 0.0 | 0.5 | 0.0 | 0.7 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for TIP... Top Diversifiers for TIP
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 |
|---|---|---|---|
| Loading top diversifier assets... | |||
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 | ||||||||
| 2023-08-18 | 2024-01-09 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.12% | Interest Income | |
| 2023-04-06 | 2023-08-18 | Completed | 100% | $98.56 | $94.58 | -4.09% | Signal | |
| 2022-02-24 | 2023-04-06 | Interest (CASH) | 100% | $1.00 | $1.03 | 3.29% | Interest Income | |
| 2021-05-20 | 2022-02-24 | Completed | 100% | $101.95 | $105.44 | 3.37% | Signal | |
| 2021-04-28 | 2021-05-20 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2018-12-10 | 2021-04-28 | Completed | 100% | $84.78 | $101.44 | 19.60% | Signal | |
| 2018-10-30 | 2018-12-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.25% | Interest Income | |
| 2018-07-02 | 2018-10-30 | Completed | 100% | $86.01 | $84.16 | -2.19% | Signal | |
| 2018-03-05 | 2018-07-02 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.60% | Interest Income | |
| 2017-05-19 | 2018-03-05 | Completed | 100% | $84.74 | $84.68 | -0.12% | Signal | |
| 2016-12-22 | 2017-05-19 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2016-03-10 | 2016-12-22 | Completed | 100% | $81.86 | $82.53 | 0.77% | Signal | |
| 2015-06-18 | 2016-03-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-04-28 | 2015-06-18 | Completed | 100% | $83.14 | $81.28 | -2.29% | Signal | |
| 2015-03-31 | 2015-04-28 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2015-03-27 | 2015-03-31 | Completed | 100% | $82.47 | $82.07 | -0.53% | Signal | |
| 2014-12-24 | 2015-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2014-03-14 | 2014-12-24 | Completed | 100% | $80.58 | $80.67 | 0.06% | Signal | |
| 2013-05-29 | 2014-03-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.04% | Interest Income | |
| 2013-04-18 | 2013-05-29 | Completed | 100% | $86.00 | $82.96 | -3.59% | Signal | |
| 2013-03-26 | 2013-04-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-03-11 | 2013-03-26 | Completed | 100% | $72.52 | $85.18 | 17.39% | Signal | |
| 2011-02-16 | 2011-03-11 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2008-12-05 | 2011-02-16 | Completed | 100% | $60.65 | $69.95 | 15.28% | Signal | |
| 2008-10-13 | 2008-12-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2006-08-14 | 2008-10-13 | Completed | 100% | $55.02 | $58.84 | 6.88% | Stop | |
| 2006-04-07 | 2006-08-14 | Interest (CASH) | 100% | $1.00 | $1.02 | 1.69% | Interest Income | |
| 2005-11-30 | 2006-04-07 | Completed | 100% | $54.16 | $53.27 | -1.69% | Signal | |
| 2005-11-28 | 2005-11-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |