TIPS
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in TIPS, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Oct 16, 2012, corresponding to the inception date of VTIP
Returns By Period
As of Nov 13, 2024, the TIPS returned 4.15% Year-To-Date and 2.28% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.45% | 2.91% | 14.05% | 35.64% | 14.13% | 11.39% |
| TIPS | 4.15% | -0.49% | 2.77% | 5.96% | 3.35% | 2.28% |
| Portfolio components: | ||||||
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 4.31% | -0.39% | 2.80% | 6.42% | 3.50% | 2.38% |
STIP iShares 0-5 Year TIPS Bond ETF | 4.34% | -0.35% | 2.81% | 5.92% | 3.49% | 2.38% |
TDTT FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 3.89% | -0.65% | 2.74% | 5.81% | 3.35% | 2.28% |
STPZ PIMCO 1-5 Year US TIPS Index ETF | 4.05% | -0.55% | 2.74% | 5.68% | 3.08% | 2.09% |
Monthly Returns
The table below presents the monthly returns of TIPS, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.48% | -0.30% | 0.56% | -0.27% | 1.08% | 0.59% | 1.01% | 0.58% | 1.06% | -0.61% | 4.15% | ||
| 2023 | 0.84% | -0.53% | 2.14% | 0.17% | -0.77% | -0.31% | 0.44% | 0.10% | -0.35% | 0.35% | 1.18% | 1.29% | 4.61% |
| 2022 | -0.80% | 1.11% | -0.91% | -0.13% | 0.42% | -1.73% | 2.11% | -1.65% | -3.36% | 1.10% | 0.54% | -0.38% | -3.76% |
| 2021 | 0.59% | 0.05% | 0.50% | 0.95% | 0.73% | 0.00% | 1.43% | -0.01% | -0.07% | 0.67% | 0.06% | 0.52% | 5.54% |
| 2020 | 0.58% | 0.42% | -1.89% | 1.52% | 0.90% | 0.75% | 0.87% | 1.18% | -0.22% | -0.21% | 0.60% | 1.00% | 5.60% |
| 2019 | 0.84% | 0.07% | 0.86% | 0.46% | 0.64% | 0.66% | 0.03% | 0.61% | -0.26% | 0.18% | 0.10% | 0.78% | 5.08% |
| 2018 | -0.33% | -0.11% | 0.62% | -0.08% | 0.30% | 0.26% | -0.26% | 0.49% | -0.27% | -0.52% | 0.06% | 0.21% | 0.39% |
| 2017 | 0.50% | 0.06% | 0.20% | -0.13% | -0.02% | -0.53% | 0.30% | 0.28% | -0.16% | 0.19% | -0.20% | 0.13% | 0.62% |
| 2016 | 0.62% | 0.20% | 1.11% | -0.05% | -0.14% | 1.00% | -0.09% | -0.40% | 0.81% | -0.03% | -0.54% | 0.31% | 2.81% |
| 2015 | 1.08% | -0.28% | -0.41% | 0.78% | -0.13% | -0.05% | -0.27% | -0.40% | -0.03% | 0.03% | -0.23% | -0.22% | -0.15% |
| 2014 | 0.24% | 0.26% | -0.42% | 0.53% | 0.72% | 0.32% | -0.34% | -0.09% | -1.11% | 0.10% | -0.20% | -1.42% | -1.43% |
| 2013 | 0.16% | -0.03% | 0.23% | -0.56% | -1.03% | -1.08% | 0.79% | -0.55% | 0.37% | 0.22% | -0.05% | -0.34% | -1.88% |
Expense Ratio
TIPS has an expense ratio of 0.12%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of TIPS is 69, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.16 | 5.62 | 1.73 | 4.12 | 26.07 |
STIP iShares 0-5 Year TIPS Bond ETF | 3.10 | 5.21 | 1.68 | 3.86 | 24.75 |
TDTT FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 2.22 | 3.64 | 1.46 | 1.59 | 14.07 |
STPZ PIMCO 1-5 Year US TIPS Index ETF | 2.56 | 4.21 | 1.53 | 1.77 | 17.13 |
Dividends
Dividend yield
TIPS provided a 2.88% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.88% | 2.93% | 6.43% | 4.25% | 1.40% | 1.92% | 2.44% | 1.63% | 0.83% | 0.12% | 0.82% | 0.16% |
| Portfolio components: | ||||||||||||
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.39% | 3.36% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% | 0.82% | 0.05% |
STIP iShares 0-5 Year TIPS Bond ETF | 2.46% | 2.84% | 6.04% | 4.15% | 1.40% | 2.06% | 2.43% | 1.59% | 0.89% | 0.00% | 0.75% | 0.31% |
TDTT FlexShares iBoxx 3-Year Target Duration TIPS Index Fund | 3.84% | 3.88% | 6.97% | 4.53% | 1.15% | 1.91% | 2.48% | 1.88% | 1.01% | 0.00% | 0.85% | 0.19% |
STPZ PIMCO 1-5 Year US TIPS Index ETF | 1.83% | 1.63% | 5.88% | 3.65% | 1.86% | 1.76% | 2.39% | 1.51% | 0.65% | 0.49% | 0.86% | 0.09% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the TIPS. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the TIPS was 6.23%, occurring on Mar 18, 2020. Recovery took 55 trading sessions.
The current TIPS drawdown is 0.92%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -6.23% | Mar 6, 2020 | 9 | Mar 18, 2020 | 55 | Jun 5, 2020 | 64 |
| -6.17% | Mar 14, 2022 | 140 | Sep 30, 2022 | 360 | Mar 8, 2024 | 500 |
| -4.13% | Apr 2, 2013 | 685 | Dec 16, 2015 | 635 | Jun 26, 2018 | 1320 |
| -2.29% | Nov 18, 2021 | 58 | Feb 10, 2022 | 12 | Mar 1, 2022 | 70 |
| -1.04% | Aug 27, 2018 | 53 | Nov 8, 2018 | 54 | Jan 30, 2019 | 107 |
Volatility
Volatility Chart
The current TIPS volatility is 0.50%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| TDTT | VTIP | STPZ | STIP | |
|---|---|---|---|---|
| TDTT | 1.00 | 0.84 | 0.85 | 0.87 |
| VTIP | 0.84 | 1.00 | 0.87 | 0.90 |
| STPZ | 0.85 | 0.87 | 1.00 | 0.90 |
| STIP | 0.87 | 0.90 | 0.90 | 1.00 |