CAPE-Shifted Allocation
Rebalance VTI and BND monthly using five Shiller CAPE bands: 90% VTI below CAPE 15, falling to 25% VTI at CAPE 35 or above. This is a mechanical valuation example, not a market-timing recommendation.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, Bonds
- Backtest window: 2007-04-10 to 2026-09-21
- 1Y
- 2.1%
- 3Y
- 30.9%
- CAGR
- 8.6%
- Max DD
- -6.8%
- Sharpe
- 0.70
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 2026-09-21.