VTIP
Vanguard Short-term Inflation-protected Securities Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-08-25
Executive Summary
The quantitative backtest for VTIP (Vanguard Short-term Inflation-protected Securities Index Fund ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -6.3% (compared to the benchmark's drawdown of -6.3%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.8%, compared to a Buy-and-Hold benchmark return of 2.7%. The strategy executed 6 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 VTIP:
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 VTIP:
🛡️ 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
🛡️ VTIP Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-6.3% (vs -6.3% B&H)
+0.0% shallower drawdown
Downside Efficiency
1.34 Sortino
+0.09 vs 1.25 B&H
Capital Sheltered from Risk
19.6% 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.
📊 VTIP Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -0.71% | -0.71% | -2.66% | -5.50% | -6.27% | -6.27% | -6.27% | -6.27% |
| Sharpe Ratio | 1.91 | 1.91 | 1.79 | 1.14 | 1.34 | 1.12 | 1.24 | 1.00 |
| Sortino Ratio | 2.81 | 2.81 | 2.43 | 1.61 | 1.51 | 1.36 | 1.34 | 1.25 |
| CAGR | 2.85% | 2.85% | 3.86% | 3.18% | 3.30% | 3.11% | 2.83% | 2.66% |
| % Time Invested | 100.0% | 100.0% | 84.1% | 100.0% | 89.6% | 100.0% | 80.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for VTIP... Top Diversifiers for VTIP
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 | ||||||||
| 2022-06-13 | 2023-03-29 | Interest (CASH) | 100% | $1.00 | $1.03 | 2.94% | Interest Income | |
| 2020-06-10 | 2022-06-13 | Completed | 100% | $39.72 | $42.99 | 8.19% | Signal | |
| 2020-05-18 | 2020-06-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2019-01-29 | 2020-05-18 | Completed | 100% | $37.34 | $39.38 | 5.42% | Signal | |
| 2018-12-13 | 2019-01-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2018-03-27 | 2018-12-13 | Completed | 100% | $37.11 | $37.14 | 0.01% | Signal | |
| 2018-03-05 | 2018-03-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.11% | Interest Income | |
| 2016-03-21 | 2018-03-05 | Completed | 100% | $36.25 | $37.04 | 2.12% | Signal | |
| 2015-08-12 | 2016-03-21 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.10% | Interest Income | |
| 2015-06-25 | 2015-08-12 | Completed | 100% | $36.12 | $36.01 | -0.36% | Signal | |
| 2014-10-21 | 2015-06-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2014-10-14 | 2014-10-21 | Completed | 100% | $36.47 | $36.46 | -0.09% | Signal | |
| 2014-10-10 | 2014-10-14 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |