Shiller PE Timing Model Update

It has been some time since I updated my Shiller PE timing model. I am pleased to say that the model was able to participate in the recent uptick and has gone to cash as of the 26th June. As you can see the Sharpe Ratio (risk adjusted return) of this model far outperforms the buy and hold of the S&P500 .

2015-07-22_1218 Rplot Rplot24

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s