CAPE-Shifted Allocation
Valuation-aware allocator that shifts the equity/bond split by the Shiller CAPE (cyclically-adjusted P/E). When the market is cheap (low CAPE) it leans into equity; when expensive (high CAPE) it leans into bonds. Five first-match-wins bands run from 90/10 VTI/BND below CAPE 15 down to 25/75 at CAPE 35 and above. The monthly CAPE reading is forward-filled onto trading days with no lookahead, and the portfolio rebalances monthly. An educational illustration of mechanical valuation-based tilting, not a market-timing recommendation.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, Bonds
- Backtest window: 2007-04-10 to 2026-06-12
- 1Y
- 8.3%
- 3Y
- 30.2%
- CAGR
- 5.5%
- Max DD
- -14.9%
- Sharpe
- 0.20
Methodology
- Read the latest Shiller CAPE each month (monthly series, forward-filled, no lookahead).
- CAPE < 15: hold 90% VTI / 10% BND.
- 15 <= CAPE < 22: hold 70% VTI / 30% BND.
- 22 <= CAPE < 28: hold 55% VTI / 45% BND.
- 28 <= CAPE < 35: hold 40% VTI / 60% BND.
- CAPE >= 35: hold 25% VTI / 75% BND.
Source: Shiller, R. J. (2000, rev. 2015). Irrational Exuberance (cyclically-adjusted price/earnings, CAPE).
Headline backtest performance as of 2026-06-12.