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Macro, rates & cross-asset (ETF-based) · 2026-09-05

TIPS breakeven-inflation regime tilt

lean into inflation hedges when market-implied inflation is rising, into duration when it falls

expected Sharpe 0.5-1.0confidence: mediumfree daily data

The TIP-vs-IEF (real vs nominal Treasury) spread is a free, daily proxy for the breakeven-inflation rate — the market's own inflation expectation. David Varadi's "Inflation Compass" (CSSA / Allocate Smartly) uses breakeven momentum to rotate a multi-asset sleeve, reporting a strong Sharpe on a ~2.0% threshold and ~60-day momentum window. This is a distinct inflation-expectations angle, not price trend or credit.

Universe

TIP (TIPS) and IEF (nominal 7-10y) to derive the breakeven proxy; rotate among GLD/DBC (inflation-up sleeve) and IEF/TLT (inflation-down/duration sleeve), with SHY as neutral.

How it works

Monthly, measure the TIP/IEF ratio momentum (~60-day) as a rising/falling breakeven signal; when breakevens are rising hold real-asset/inflation hedges (GLD, DBC), when falling hold nominal duration (IEF/TLT), hold 1 month.

Expected performance

Research-derived Sharpe estimate: 0.5-1.0. Inflation Compass reports ~1.4 in-sample; heavily discounted for overfit risk around 2008/2020 TIPS liquidity dislocations and ETF-proxy breakevens).

Backtest this idea with SignalChain

This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:

/signalchain Monthly breakeven-inflation tilt: when TIP/IEF ratio 60-day momentum is positive hold GLD and DBC, else hold IEF, using SHY as neutral Get SignalChain — $49 →

Research & sources

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Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.