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VTIP

Vanguard Short-term Inflation-protected Securities Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-18
Executive Summary
The quantitative backtest for VTIP (Vanguard Short-term Inflation-protected Securities Index Fund ETF) using the Excess Return MMA* strategy in a Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.5% (compared to the benchmark's drawdown of -6.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.8%, compared to a Buy-and-Hold benchmark return of 2.3%. The strategy executed 91 total trades.

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

🛡️ VTIP Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →
Peak Drawdown Defense
-5.5% (vs -6.3% B&H)
+0.8% shallower drawdown
Drawdown Shield
0.8% Cut
Protected capital vs -6.3% B&H
Capital Sheltered from Risk
43.9% 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.

📊 VTIP Quality Metrics & KPI Summary

Metric 1Y5Y10YFull
StrategyB&HStrategyB&HStrategyB&HStrategyB&H
Max Drawdown-0.48%-0.71%-3.04%-5.50%-5.49%-6.27%-5.49%-6.27%
Sharpe Ratio3.242.061.871.141.371.121.120.88
Sortino Ratio4.363.042.051.611.241.351.061.11
CAGR3.26%3.17%2.94%3.18%2.38%3.09%1.79%2.29%
% Time Invested50.0%100.0%50.0%100.0%58.1%100.0%56.1%100.0%
Trades / Year4.00.06.80.06.70.06.80.0

Cumulative Growth Performance

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Hydrating Performance Trajectory... Loading historical performance data
Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of VTIP under the Excess Return MMA strategy (Trading) versus Buy & Hold. The strategy produced a 1.8% CAGR with a -5.5% Max Drawdown across 91 trade signals (compared to Buy & Hold's 2.3% CAGR and -6.3% Max Drawdown).

Return Distribution Analysis

Histogram of monthly return distribution for VTIP under Excess Return MMA strategy in Trading context, illustrating downside risk mitigation and return skewness.
Figure 2: Monthly Return Distribution Profile. Monthly return distribution for VTIP under Excess Return MMA (Trading). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.
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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 DateExit DateTypeAllocationEntry PriceExit PriceNet 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.
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2026-02-26 2026-06-18 Completed 33.33% $49.09 $49.46 0.70% Signal
2026-04-27 2026-06-01 Completed 33.33% $49.66 $49.75 0.13% Signal
2026-01-02 2026-04-30 Interest (CASH) 33.33% $1.00 $1.01 1.17% Interest Income
2026-04-02 2026-04-27 Interest (CASH) 33.33% $1.00 $1.00 0.23% Interest Income
2026-02-11 2026-04-02 Completed 33.33% $49.00 $49.30 0.56% Signal
2025-10-27 2026-02-26 Interest (CASH) 33.33% $1.00 $1.01 1.22% Interest Income
2025-10-07 2026-02-11 Interest (CASH) 33.33% $1.00 $1.01 1.29% Interest Income
2025-02-28 2026-01-02 Completed 33.33% $46.86 $48.76 3.99% Signal
2025-07-22 2025-10-27 Completed 33.33% $48.08 $48.74 1.31% Signal
2025-07-03 2025-10-07 Completed 33.33% $47.82 $48.62 1.63% Signal
2025-06-09 2025-07-22 Interest (CASH) 33.33% $1.00 $1.00 0.50% Interest Income
2025-05-23 2025-07-03 Interest (CASH) 33.33% $1.00 $1.00 0.46% Interest Income
2025-02-07 2025-06-09 Completed 33.33% $46.46 $47.43 2.03% Signal
2025-01-29 2025-05-23 Completed 33.33% $46.36 $47.56 2.55% Signal
2025-01-07 2025-02-28 Interest (CASH) 33.33% $1.00 $1.01 0.59% Interest Income
2024-11-05 2025-02-07 Interest (CASH) 33.33% $1.00 $1.01 1.09% Interest Income
2024-12-26 2025-01-29 Interest (CASH) 33.33% $1.00 $1.00 0.36% Interest Income
2024-07-29 2025-01-07 Completed 33.33% $45.18 $46.02 1.81% Signal
2024-12-11 2024-12-26 Completed 33.33% $46.10 $45.86 -0.56% Signal
2024-10-22 2024-12-11 Interest (CASH) 33.33% $1.00 $1.01 0.63% Interest Income
2024-06-07 2024-11-05 Completed 33.33% $44.66 $45.77 2.43% Signal
2024-05-22 2024-10-22 Completed 33.33% $44.55 $45.90 2.98% Signal
2024-05-02 2024-07-29 Interest (CASH) 33.33% $1.00 $1.01 1.25% Interest Income
2024-04-16 2024-06-07 Interest (CASH) 33.33% $1.00 $1.01 0.78% Interest Income
2024-04-16 2024-05-22 Interest (CASH) 33.33% $1.00 $1.01 0.55% Interest Income
2024-01-17 2024-05-02 Completed 33.33% $43.89 $44.29 0.87% Signal
2024-04-10 2024-04-16 Completed 33.33% $44.21 $44.21 -0.05% Signal
2024-03-21 2024-04-16 Completed 33.33% $44.27 $44.21 -0.18% Signal
2024-02-16 2024-04-10 Interest (CASH) 33.33% $1.00 $1.01 0.76% Interest Income
2024-01-31 2024-03-21 Interest (CASH) 33.33% $1.00 $1.01 0.74% Interest Income
2023-11-28 2024-02-16 Completed 33.33% $43.27 $43.87 1.34% Signal
2023-11-06 2024-01-31 Completed 33.33% $43.22 $44.07 1.91% Signal
2023-07-07 2024-01-17 Interest (CASH) 33.33% $1.00 $1.03 2.88% Interest Income
2023-05-26 2023-11-28 Interest (CASH) 33.33% $1.00 $1.03 2.75% Interest Income
2023-05-05 2023-11-06 Interest (CASH) 33.33% $1.00 $1.03 2.73% Interest Income
2023-04-06 2023-07-07 Completed 33.33% $43.13 $42.50 -1.49% Signal
2023-04-04 2023-05-26 Completed 33.33% $43.00 $42.59 -1.01% Signal
2023-03-23 2023-05-05 Completed 33.33% $42.88 $43.14 0.56% Signal
2022-06-14 2023-04-06 Interest (CASH) 33.33% $1.00 $1.03 3.04% Interest Income
2022-12-21 2023-04-04 Interest (CASH) 33.33% $1.00 $1.01 1.30% Interest Income
2023-02-22 2023-03-23 Interest (CASH) 33.33% $1.00 $1.00 0.40% Interest Income
2023-01-31 2023-02-22 Completed 33.33% $42.27 $42.19 -0.24% Signal
2023-01-03 2023-01-31 Interest (CASH) 33.33% $1.00 $1.00 0.35% Interest Income
2022-12-14 2023-01-03 Completed 33.33% $42.11 $42.00 -0.33% Signal
2022-12-19 2022-12-21 Completed 33.33% $42.00 $42.10 0.18% Signal
2022-09-14 2022-12-19 Interest (CASH) 33.33% $1.00 $1.01 1.04% Interest Income
2022-11-21 2022-12-14 Interest (CASH) 33.33% $1.00 $1.00 0.27% Interest Income
2022-11-14 2022-11-21 Completed 33.33% $41.93 $41.68 -0.64% Signal
2022-09-02 2022-11-14 Interest (CASH) 33.33% $1.00 $1.01 0.72% Interest Income
2022-08-22 2022-09-14 Completed 33.33% $43.01 $42.44 -1.37% Signal
2022-08-03 2022-09-02 Completed 33.33% $43.07 $42.72 -0.85% Signal
2022-06-28 2022-08-22 Interest (CASH) 33.33% $1.00 $1.00 0.36% Interest Income
2022-06-27 2022-08-03 Interest (CASH) 33.33% $1.00 $1.00 0.23% Interest Income
2022-06-17 2022-06-28 Completed 33.33% $42.70 $42.69 -0.07% Signal
2022-06-02 2022-06-27 Completed 33.33% $43.20 $42.79 -0.99% Signal
2022-04-26 2022-06-17 Interest (CASH) 33.33% $1.00 $1.00 0.16% Interest Income
2022-05-18 2022-06-14 Completed 33.33% $43.06 $42.77 -0.72% Signal
2022-04-08 2022-06-02 Interest (CASH) 33.33% $1.00 $1.00 0.13% Interest Income
2022-04-14 2022-05-18 Interest (CASH) 33.33% $1.00 $1.00 0.08% Interest Income
2022-03-09 2022-04-26 Completed 33.33% $43.62 $43.08 -1.29% Signal
2020-06-18 2022-04-14 Completed 33.33% $39.71 $42.95 8.11% Signal
2022-03-03 2022-04-08 Completed 33.33% $43.53 $42.80 -1.72% Signal
2022-01-03 2022-03-09 Interest (CASH) 33.33% $1.00 $1.00 0.04% Interest Income
2022-01-25 2022-03-03 Interest (CASH) 33.33% $1.00 $1.00 0.03% Interest Income
2022-01-12 2022-01-25 Completed 33.33% $43.08 $42.95 -0.34% Signal
2021-12-15 2022-01-12 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2020-04-29 2022-01-03 Completed 33.33% $39.29 $43.16 9.81% Signal
2021-11-05 2021-12-15 Completed 33.33% $43.07 $42.91 -0.43% Signal
2021-10-14 2021-11-05 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2021-07-20 2021-10-14 Completed 33.33% $42.37 $42.91 1.23% Signal
2021-06-25 2021-07-20 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2020-12-02 2021-06-25 Completed 33.33% $40.60 $42.07 3.56% Signal
2020-11-09 2020-12-02 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2020-04-14 2020-11-09 Completed 33.33% $39.36 $40.40 2.59% Signal
2020-05-27 2020-06-18 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2020-04-06 2020-05-27 Completed 33.33% $39.23 $39.46 0.54% Signal
2020-03-13 2020-04-29 Interest (CASH) 33.33% $1.00 $1.00 0.02% Interest Income
2020-03-13 2020-04-14 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2020-03-13 2020-04-06 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2019-11-22 2020-03-13 Completed 33.33% $38.80 $37.88 -2.42% Stop
2019-11-21 2020-03-13 Completed 33.33% $38.81 $37.88 -2.44% Stop
2019-03-15 2020-03-13 Completed 33.33% $37.75 $37.88 0.30% Stop
2019-10-31 2019-11-22 Interest (CASH) 33.33% $1.00 $1.00 0.10% Interest Income
2019-09-30 2019-11-21 Interest (CASH) 33.33% $1.00 $1.00 0.25% Interest Income
2019-10-24 2019-10-31 Completed 33.33% $38.76 $38.72 -0.15% Signal
2019-09-18 2019-10-24 Interest (CASH) 33.33% $1.00 $1.00 0.18% Interest Income
2019-01-24 2019-09-30 Completed 33.33% $37.37 $38.63 3.32% Signal
2019-01-11 2019-09-18 Completed 33.33% $37.42 $38.64 3.19% Signal
2018-09-04 2019-03-15 Interest (CASH) 33.33% $1.00 $1.01 1.23% Interest Income
2018-09-24 2019-01-24 Interest (CASH) 33.33% $1.00 $1.01 0.77% Interest Income
2018-09-20 2019-01-11 Interest (CASH) 33.33% $1.00 $1.01 0.71% Interest Income
2018-09-20 2018-09-24 Completed 33.33% $37.30 $37.31 -0.02% Signal
2018-08-28 2018-09-20 Completed 33.33% $37.42 $37.30 -0.38% Signal
2018-08-10 2018-09-20 Interest (CASH) 33.33% $1.00 $1.00 0.23% Interest Income
2018-08-07 2018-09-04 Completed 33.33% $37.30 $37.44 0.32% Signal
2018-08-01 2018-08-28 Interest (CASH) 33.33% $1.00 $1.00 0.15% Interest Income
2018-06-28 2018-08-10 Completed 33.33% $37.33 $37.34 -0.03% Signal
2017-12-15 2018-08-07 Interest (CASH) 33.33% $1.00 $1.01 1.11% Interest Income
2018-07-19 2018-08-01 Completed 33.33% $37.27 $37.23 -0.15% Signal
2018-06-26 2018-07-19 Interest (CASH) 33.33% $1.00 $1.00 0.12% Interest Income
2018-05-17 2018-06-28 Interest (CASH) 33.33% $1.00 $1.00 0.22% Interest Income
2018-06-06 2018-06-26 Completed 33.33% $37.17 $37.25 0.16% Signal
2018-05-03 2018-06-06 Interest (CASH) 33.33% $1.00 $1.00 0.17% Interest Income
2018-04-04 2018-05-17 Completed 33.33% $37.16 $37.13 -0.13% Signal
2018-03-16 2018-05-03 Completed 33.33% $37.05 $37.11 0.13% Signal
2017-12-11 2018-04-04 Interest (CASH) 33.33% $1.00 $1.00 0.47% Interest Income
2017-12-06 2018-03-16 Interest (CASH) 33.33% $1.00 $1.00 0.40% Interest Income
2017-08-14 2017-12-15 Completed 33.33% $36.98 $36.98 -0.05% Signal
2017-12-07 2017-12-11 Completed 33.33% $37.01 $37.03 0.01% Signal
2017-10-20 2017-12-07 Interest (CASH) 33.33% $1.00 $1.00 0.16% Interest Income
2017-11-14 2017-12-06 Completed 33.33% $37.07 $37.01 -0.21% Signal
2017-10-09 2017-11-14 Interest (CASH) 33.33% $1.00 $1.00 0.12% Interest Income
2017-08-14 2017-10-20 Completed 33.33% $36.98 $36.98 -0.05% Signal
2017-08-02 2017-10-09 Completed 33.33% $36.91 $36.99 0.17% Signal
2017-07-03 2017-08-14 Interest (CASH) 33.33% $1.00 $1.00 0.12% Interest Income
2017-05-22 2017-08-14 Interest (CASH) 33.33% $1.00 $1.00 0.24% Interest Income
2017-06-20 2017-08-02 Interest (CASH) 33.33% $1.00 $1.00 0.13% Interest Income
2017-03-06 2017-07-03 Completed 33.33% $36.92 $36.83 -0.29% Signal
2017-06-12 2017-06-20 Completed 33.33% $36.96 $36.74 -0.64% Signal
2017-05-08 2017-06-12 Interest (CASH) 33.33% $1.00 $1.00 0.09% Interest Income
2017-04-26 2017-05-22 Completed 33.33% $37.01 $36.95 -0.19% Signal
2017-04-05 2017-05-08 Completed 33.33% $37.06 $36.88 -0.53% Signal
2017-04-03 2017-04-26 Interest (CASH) 33.33% $1.00 $1.00 0.05% Interest Income
2017-03-10 2017-04-05 Interest (CASH) 33.33% $1.00 $1.00 0.05% Interest Income
2017-01-25 2017-04-03 Completed 33.33% $36.83 $37.05 0.56% Signal
2016-12-08 2017-03-10 Completed 33.33% $36.73 $36.84 0.26% Signal
2017-01-26 2017-03-06 Interest (CASH) 33.33% $1.00 $1.00 0.06% Interest Income
2016-03-29 2017-01-26 Completed 33.33% $36.25 $36.85 1.60% Signal
2016-11-29 2017-01-25 Interest (CASH) 33.33% $1.00 $1.00 0.08% Interest Income
2016-11-15 2016-12-08 Interest (CASH) 33.33% $1.00 $1.00 0.03% Interest Income
2016-10-03 2016-11-29 Completed 33.33% $36.82 $36.58 -0.69% Signal
2016-09-28 2016-11-15 Completed 33.33% $36.82 $36.65 -0.49% Signal
2016-08-22 2016-10-03 Interest (CASH) 33.33% $1.00 $1.00 0.03% Interest Income
2016-08-04 2016-09-28 Interest (CASH) 33.33% $1.00 $1.00 0.05% Interest Income
2016-02-03 2016-08-22 Completed 33.33% $35.93 $36.70 2.10% Signal
2016-01-22 2016-08-04 Completed 33.33% $35.78 $36.69 2.50% Signal
2015-08-28 2016-03-29 Interest (CASH) 33.33% $1.00 $1.00 0.10% Interest Income
2015-11-20 2016-02-03 Interest (CASH) 33.33% $1.00 $1.00 0.05% Interest Income
2015-11-09 2016-01-22 Interest (CASH) 33.33% $1.00 $1.00 0.04% Interest Income
2015-10-12 2015-11-20 Completed 33.33% $36.07 $35.83 -0.71% Signal
2015-09-23 2015-11-09 Completed 33.33% $35.91 $35.79 -0.38% Signal
2015-07-29 2015-10-12 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2015-07-28 2015-09-23 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2015-05-28 2015-08-28 Completed 33.33% $36.11 $35.88 -0.69% Signal
2015-07-22 2015-07-29 Completed 33.33% $36.10 $36.01 -0.30% Signal
2015-07-07 2015-07-28 Completed 33.33% $36.20 $36.03 -0.52% Signal
2015-06-15 2015-07-22 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2015-05-26 2015-07-07 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2015-04-21 2015-06-15 Completed 33.33% $36.18 $36.12 -0.19% Signal
2014-10-14 2015-05-28 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2015-04-08 2015-05-26 Completed 33.33% $36.11 $36.12 -0.03% Signal
2015-03-18 2015-04-21 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2015-03-03 2015-04-08 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2015-02-18 2015-03-18 Completed 33.33% $35.89 $35.72 -0.53% Signal
2015-01-28 2015-03-03 Completed 33.33% $36.06 $36.02 -0.15% Signal
2014-08-22 2015-02-18 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2014-11-07 2015-01-28 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2014-10-30 2014-11-07 Completed 33.33% $36.35 $36.41 0.11% Signal
2014-07-31 2014-10-30 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2014-04-17 2014-10-14 Completed 33.33% $36.46 $36.47 -0.01% Signal
2014-05-07 2014-08-22 Completed 33.33% $36.54 $36.75 0.53% Signal
2014-04-25 2014-07-31 Completed 33.33% $36.56 $36.76 0.49% Signal
2014-04-10 2014-05-07 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2014-03-27 2014-04-25 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2014-03-07 2014-04-17 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2014-02-13 2014-04-10 Completed 33.33% $36.44 $36.43 -0.09% Signal
2014-01-28 2014-03-27 Completed 33.33% $36.33 $36.31 -0.09% Signal
2013-09-20 2014-03-07 Completed 33.33% $36.38 $36.47 0.18% Signal
2013-12-11 2014-02-13 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2013-11-27 2014-01-28 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2013-10-15 2013-12-11 Completed 33.33% $36.40 $36.34 -0.21% Signal
2013-09-20 2013-11-27 Completed 33.33% $36.38 $36.46 0.15% Signal
2013-09-11 2013-10-15 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2013-08-22 2013-09-20 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income
2013-06-03 2013-09-20 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2013-08-09 2013-09-11 Completed 33.33% $36.40 $36.13 -0.80% Signal
2013-07-24 2013-08-22 Completed 33.33% $36.40 $36.11 -0.86% Signal
2013-04-30 2013-08-09 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2013-04-30 2013-07-24 Interest (CASH) 33.33% $1.00 $1.00 0.01% Interest Income
2013-05-02 2013-06-03 Completed 33.33% $36.79 $36.51 -0.79% Signal
2013-04-30 2013-05-02 Interest (CASH) 33.33% $1.00 $1.00 0.00% Interest Income