From the TSP site:
The Personal Investment Performance (PIP) number is a combined rate of return earned on all of the funds you held in your TSP account during the year covered by the annual statement. Your personal performance is based on the performance of your investments and on the timing and amount of your purchases (e.g., contributions) and redemptions (e.g., loans and withdrawals) as well as the effect of any interfund transfers. Therefore, your personal performance may differ substantially from the performance of the investments themselves.

TSP has really underperformed compared to my smaller E-trade Roth IRA. But, with 5% matching from the federal agency I still put money in a Lifecycle fund there.