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( DISCLAIMER: I AM JSUT ONE OF THE ROBER SHILLER (ACPE) FANS ,
因美股退稅的不確定性, SO I DON'T HAVE USA STOCKS,資訊只供學術研究,個人投資,須獨立判斷)
有關 shiller pe 可參考
http://allanlin998.blogspot.tw/2013/02/mebane-faber-cape-relative-strength-1.html
Shiller pe strategy (from www.myplaniq.com)
因美股退稅的不確定性, SO I DON'T HAVE USA STOCKS,資訊只供學術研究,個人投資,須獨立判斷)
有關 shiller pe 可參考
http://allanlin998.blogspot.tw/2013/02/mebane-faber-cape-relative-strength-1.html
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Shiller pe strategy (from www.myplaniq.com)
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based on the ratio of the current CAPE10 to the long term average CAPE10:
§ Significantly Overvalued (SO): such as if the ratio >=150%
§ Modestly Overvalued (MO): such as if 117%<= ratio < 150%
§ Fairly Valued (FV): such as if 83% <= ratio < 117%
§ Modestly Undervalued (MU): such as if 67% <= ratio< 83%
§ Significantly Undervalued (SU): such as if ratio < 67%
based on the ratio of the current CAPE10 to the long term average CAPE10:
§ Significantly Overvalued (SO): such as if the ratio >=150%
§ Modestly Overvalued (MO): such as if 117%<= ratio < 150%
§ Fairly Valued (FV): such as if 83% <= ratio < 117%
§ Modestly Undervalued (MU): such as if 67% <= ratio< 83%
§ Significantly Undervalued (SU): such as if ratio < 67%
These five categories are determined by four valuation parameters (such as 150%,117%, 83% and 67% in the above). At each rebalancing (adjusting) period (suchas weekly or monthly), the strategy decides at what region the US stock market valuation is and then does the following rebalancing:
§ SO: 0% in stock, 100% in cash.
§ MO: 25% in stock, 75% in cash.
§ FV: 50% in stock, 50% in cash
§ MU: 75% in stock, 25% in cash
§ SU: 100% in stock, 0% in cash
§ SO: 0% in stock, 100% in cash.
§ MO: 25% in stock, 75% in cash.
§ FV: 50% in stock, 50% in cash
§ MU: 75% in stock, 25% in cash
§ SU: 100% in stock, 0% in cash
喜歡美股 ETF 的朋友, 可用SHILLER PE 策略, 投資 S&P500 ETF(SPY ,IVV,VOO)
利用本網站
最下方 SHILLER PE (update every day)
最下方 SHILLER PE (update every day)
2013-3-1 37.6% HIGHER THAN AVERAGE SHILLER PE ===137.6%, 屬Modestly Overvalued (MO):
SO YOU BUY 25% in stock, 75% in cash.
依據 myplaniq.com, buy wfvk =Wilshire 5000 total return index etf
rebalance weekly
to 2013-2-28 , back test return
rebalance weekly
to 2013-2-28 , back test return
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