VIX and age
Thanks balbrec2. Your formula would have had me 44% in equities for September 2007, compared to 40% for V-Wave.
I have an alternative idea: 100 minus the Shiller PE10 percentile for the proportion in equities. For Sept 2007 this said 7% equities, but at the market bottom in March 2009 it said 65% equities. Your age plus VIX system said 68% - very similar, but the PE system had a much lower percentage during the large fall preceding the bottom, which would presumably mean a much smaller drawdown, but still providing the opportunity to put a lot in at the bottom. The PE system was still only 22% equities in October 2008 and went to 45% for November 2008.
I have to say though, that the PE system specified a very low % in equities from the mid 90s onwards, including only 14% at the other cyclical bear bottom in March 2003.
Best wishes.
