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I'm confused about the TIPs Rolling Return graph - why are they sharply negative, worse than 5% loss?

It's a rolling total retun (price change along with coupon payments). The default rolling return period in the chart is 5 years, and the longer maturities (10+ years) are negative over this period due to price decrease from increasing long term real rates.

For comparison, here is a Koyfin graph of total return on the PIMCO LTPZ etf which is TIPS with about 20 years maturity, and Koyfin shows that at -3.01% cagr (annualized loss) vs. my site's calc of -2.86% for 20 year TIPS. I am calculating it on my site in a very theoretical fashion using daily PAR real yields from Treasury and assumed continuous rolling among other things but if you add the Pimco ETF expenses of 0'.20% to my number you would get -3.06% which is pretty close.

Hope that helps!

Statistics: Posted by samsoes — Sun Jan 05, 2025 4:18 pm — Replies 6 — Views 325