How to Make It
Preheat the oven to 275°. In a bowl, toss the shallots with 2 tablespoons of the olive oil and spread on a large, parchment paper–lined rimmed baking sheet. In the same bowl, toss the tomatoes with the remaining 2 tablespoons of olive oil and season with salt and pepper. Arrange the tomatoes over the shallots, cut sides up. Bake the tomatoes for 3 hours, until leathery but soft. Let cool.
In a large jar or glass bowl, layer the tomatoes and shallots with the anchovies and capers. Cover with olive oil and let stand for 30 minutes or refrigerate overnight. Serve with grilled bread.