DoubleLine: "Smart Beta, Meet Smart Alpha"
Transcript of DoubleLine: "Smart Beta, Meet Smart Alpha"
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
1/48
SmartBeta,
MeetSmartAlpha
LiveWebcastHostedBy:
JeffreySherman,CFA
PortfolioManager
October21,2014
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
2/48
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
3/48
102114 SmartBeta,SmartAlpha 2
FundOfferings
RetailandInstitutionalClass
Retail Inst.
Nshare Ishare
Ticker DSENX DSEEXMinInvestment1 $2,000 $100,000
MinIRAInvestment $500 $5,000
Gross ExpenseRatio 1.63% 1.38%
NetExpenseRatio2 1.24% 0.99%
ExpenseCap2 0.90% 0.65%
Shiller EnhancedCAPE
WhiletheFundisnoload,managementfeesandotherexpensesstillapply.Pleaserefertotheprospectusforfurtherdetails.
1. Subsequentinvestmentminimumsare$500,$250fortheIRA.A$100minimumsubsequentpurchaseamountappliesforautomaticinvestmentplans.Pleaseseetheprospectusfor
furtherdetails. Periodicinvestmentplansdonotassureaprofitanddonotprotectagainstlossindecliningmarkets.
2. The
Advisor
has
contractually
agreed
to
waive
its
investment
advisory
fee
and
to
reimburse
the
Fund
for
other
ordinary
operating expenses
to
the
extent
necessary
to
limit
ordinary
operatingexpensestoanamountnottoexceed0.65%forClassIsharesand0.90%forClassNshares.Ordinaryoperatingexpenses excludetaxes,commissions,markups,litigation
expenses,indemnificationexpenses,interestexpenses,AcquiredFundFeesandExpenses,andanyextraordinaryexpenses.These expenselimitationsareexpectedtoapplyuntilatleast
July31,2015,exceptthattheymaybeterminatedbytheBoardofTrusteesatanytime.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
4/48
102114 SmartBeta,SmartAlpha 3
ShillerEnhancedCAPE(DSEEX/DLSNX)Quarter
End
Returns
as
of
September
30,
2014
QuarterEnd
September30,2014
3Q
2014SinceInception
(103113to93014)
Ishare 0.41% 15.80%
Nshare
0.47% 15.57%
S&P500Index 1.13% 14.47%
AsofSeptember30,2014 IShare NShare
GrossSEC30DayYield 3.05% 2.78%
NetSEC30DayYield 3.31% 3.04%
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturn
andprincipalvalueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthan
originalcost.Currentperformanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothe
mostrecentmonthendmaybeobtainedbycalling213.633.8200orbyvisitingwww.doublelinefunds.com.QuarterEndReturnsofSeptember30,2014.Subjecttochangewithoutnotice.
Theperformanceinformationshownassumesthereinvestmentofalldividendsanddistributions.
*TheAdvisorhascontractuallyagreedtowaiveitsinvestmentadvisoryfeeandtoreimbursetheFundforotherordinaryoperatingexpensestotheextentnecessarytolimitordinary
operatingexpensestoanamountnottoexceed0.65%forClassIsharesand0.90%forClassNshares.Ordinaryoperatingexpenses excludetaxes,commissions,markups,litigation
expenses,indemnificationexpenses,interestexpenses,AcquiredFundFeesandExpenses,andanyextraordinaryexpenses.These expenselimitationsareexpectedtoapplyuntilat
leastJuly31,2015,exceptthattheymaybeterminatedbytheBoardofTrusteesatanytime.
S&P500Acapitalizedweightedindexof500stockschosenformarketsize,liquidityandindustrygrouping,amongotherfactors.Thisindexisdesignedtobealeadingindicatorof
U.S.equitiesandismeanttoreflecttherisk/returncharacteristicsofthelargecapuniverse. Youcannotinvestdirectlyinanindex.
Source:DoubleLine.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellany security.
AsofSeptember30,2014 IShare NShare
GrossExpenseRatio 1.38% 1.63%
NetExpenseRatio* 0.99% 1.24%
Expense Cap* 0.65% 0.90%
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
5/48
102114 SmartBeta,SmartAlpha 4
Announcements
WebcastNews
LuzPadilla November13,2014DoubleLine EmergingMarketsFixedIncomeFundandLowDurationEmergingMarketsFund
1:15pm
PDT/4:15
pm
EDT
PhilipBarach November25,2014DoubleLine LowDurationBondFund
1:15pmPDT/4:15pmEDT
JeffreyGundlach December9,2014DoubleLine TotalReturnBondFundandCoreFixedIncomeFund
1:15pmPDT/4:15pmEDT
ToReceivePresentationSlides,[email protected]
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
6/48
102114 SmartBeta,SmartAlpha 5
TABIDoubleLineShillerEnhancedCAPEStrategy
Source:
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
7/48
102114 SmartBeta,SmartAlpha 6
WhatisDoubleValue?
Fordefinitions,pleaseseetheAppendix.
TheDoubleLineShillerEnhancedCAPEStrategycreatesDoubleValuefor
investorswhencombiningtwouniquesourcesofvalue:
The
Shiller
Barclays
CAPE
U.S.
Sector
Index
attempts
to
shift
portfolio
exposurestothecheapestsectorsofthelargecapequitymarkets
DoubleLines FixedIncomestrategystrivestoshiftitsexposurestothe
cheapestsectorsofthefixedincomemarkets.
Bothstrategiesattempttoofferavalueplayintheirrespectivemarkets,and
when combinedinvestorshavethepotential toreceiveDoubleValue.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
8/48
102114 SmartBeta,SmartAlpha 7
ThedistinctstructureoftheDoubleLineShillerEnhancedCAPEStrategyallowsinvestorsto
simultaneouslyaccessreturnsoftheequitymarketsandfixedincomemarkets.Byusinganequity
indexswap,$1investedinthestrategyprovidesapproximately$1ofexposuretoeachmarket.
DoubleLineShillerCAPEStructure
DoubleLineShiller
EnhancedCAPE
DoubleLineActivelyManaged
FixedIncomePortfolio
ShillerBarclaysCAPEUSSector
TRUSDIndex
InitialInvestment
*AportionoftheInitialInvestmentmaybepledgedascollateralundertheswap
**Marketfluctuationsmayprecludefull$1for$1exposurebetweentheswapsandthefixedincomeportfolio
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
9/48
102114 SmartBeta,SmartAlpha 8
TABIIDefiningtheCAPERatio
Source:
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
10/48
102114 SmartBeta,SmartAlpha 9
WhatistheCAPE Ratio?
Inflation=therateofchangeofpricescalculatedonamonthlyorannualbasis.
P/E=PriceEarningsRatio isthevaluationratioofacompanysmarketvaluepersharedividedbythecompanysearningspershare(EPS).
Shiller BarclaysCAPE
US
Sector
TR
USD
Index
incorporates
the
principles
of
long
term
investing
distilled
by
Dr.
Robert
Shiller and
expressed
through
the
CAPE
(Cyclically
Adjusted
Price
Earnings)
ratio(theCAPERatio).ItaimstoidentifyundervaluedsectorsbasedonamodifiedCAPERatio,andthenusesamomentumfactortoseektomitigatetheeffectsofpotentialvaluetraps.You
cannotinvestdirectlyinanindex.
AcclaimedvalueinvestorsBenjaminGrahamandDavidDoddnotedinSecurity
Analysisthatequityvaluationstendtofollowabusinesscycleof37years
TheCAPERatiowasformulatedintheseminal1988piece1 fromProfessorRobert
ShillerandJohnCampbell.
CAPE=CyclicallyAdjustedP/E(PricetoEarnings)
TheCAPEratioseekstoassesslongertermequityvaluationbyusinganinflation
adjustedearnings
horizon
that
is
10
times
longer
than
the
traditional
P/E
measure
SimilartothetraditionalP/EtheCAPEcanbeappliedtoasingleequity,aportfolio
ofequities,asectororabroadbasedindex
EarningsAverageAdjustedInflationYear10
PriceShareEquityCurrent
CAPE
1. Campbell,J.Y.,andR.J.Shiller,StockPrices,Earnings,andExpectedDividends,JournalofFinance,43:3,66176,1988
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
11/48
102114 SmartBeta,SmartAlpha 10
CAPE RatioforValueInvestingSectors
Source:ChangingTimes,ChangingValues:AHistoricalAnalysisofSectorswithintheUSStockMarket18722012,OliverD.BunnandRobertJ.Shiller,September4,2012
Anydata
on
past
performance,
modelling
or
back
testing
contained
herein
is
no
indication
as
to
future
performance.
Youcannotinvestdirectlyinanindex.
PleaseseetheAppendixforindexdefinitions.
35%
25%
15%
5%
5%
15%
25%
35%
45%
10 15 20 25 30 35 40 45CAPERatio
SubsequentAnnualized
2
YearTotalReturn
InvestmentStart1983 1989
InvestmentStart1990 1996
InvestmentStart
1997
2003
InvestmentStart2004 2010
CAPEin Sept2012:
20.01
Byapplying
the
CAPE ratio,
equity
sectors
showing
alower
CAPE
ratio
have
tendedtohavehighersubsequentreturns
45%
35%
25%
15%
5%
5%
15%
25%
35%
45%
5 15 25 35 45 55CAPERatio
SubsequentAnnualized
2
YearTotalReturn
InvestmentStart1983 1989
InvestmentStart1990 1996
InvestmentStart
1997
2003
InvestmentStart2004 2010
CAPEin
Sept
2012:
20.43
CAPE ratioandsubsequentreturnforS&P500Industrialsector
(19832012)
CAPE ratioandsubsequentreturnforS&P500Utilitysector
(19832012)
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
12/48
102114 SmartBeta,SmartAlpha 11
RelativeCAPEIndicator
Source:ChangingTimes,ChangingValues:AHistoricalAnalysisofSectorswithintheUSStockMarket18722012,OliverD.BunnandRobertJ.Shiller,September4,2012
Anydataonpastperformance,modellingorbacktestingcontainedhereinisnoindicationastofutureperformance.SeeHistoricalIndexPerformanceDisclaimer.
Shiller BarclaysCAPE
US
Sector
TR
USD
Index
incorporates
the
principles
of
long
term
investing
distilled
by
Dr.
Robert
Shiller and
expressed
through
the
CAPE
(Cyclically
Adjusted
Price
Earnings)
ratio
(theCAPERatio).ItaimstoidentifyundervaluedsectorsbasedonamodifiedCAPERatio,andthenusesamomentumfactortoseektomitigatetheeffectsofpotentialvaluetraps.Youcannot
investdirectlyinanindex.
PleaseseetheAppendixforHistoricalIndexPerformanceDisclaimer.
ToaccountforidiosyncraticdifferencesbetweensectorswhereCAPEratioshave
historicallybeenofdifferentmagnitudesonecanconstructaRelativeCAPEratio
Thismayallowinvestorstocomparesectorvaluationsonalevelplayingfield
TheRelativeCAPEratioisusedtocomparerelativevaluationamongequitysectors
RatioCAPESectorofAverageRollingYear20RatioCAPESectorCurrent
RatioCAPERelative
0.0
0.3
0.6
0.9
1.2
1.5
1.8
2.1
2002 2004 2006 2008 2010 2012
RelativeCAPERatio
Technology
Utilities0
10
20
30
40
50
60
2002 2004 2006 2008 2010 2012
CAPERatio
Technology
Utilities
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
13/48
102114 SmartBeta,SmartAlpha 12
TABIIISmartBeta:ShillerBarclaysCAPEU.S.SectorIndex
Source:
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
14/48
102114 SmartBeta,SmartAlpha 13
ShillerBarclaysCAPEU.S.SectorIndex
DoubleLineShillerEnhancedCAPE
DoubleLineActivelyManaged
FixedIncomePortfolio
ShillerBarclaysCAPEUSSector
TRUSDIndex
InitialInvestment
*AportionoftheInitialInvestmentmaybepledgedascollateralundertheswap
**Marketfluctuationsmayprecludefull$1for$1exposurebetweentheswapsandthefixedincomeportfolio
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
15/48
102114 SmartBeta,SmartAlpha 14
ShillerBarclaysCAPEU.S.SectorIndexSectorSelectionRules
Source:DoubleLineCapital,BarclaysCapital
CAPE=CyclicallyAdjustedPriceEarnings
Shiller BarclaysCAPEU.S.SectorIndex=Shiller BarclaysCAPEUSSectorTRUSDIndexincorporatestheprinciplesoflongterminvestingdistilledbyDr.RobertShiller and
expressedthroughtheCAPE(CyclicallyAdjustedPriceEarnings)ratio(theCAPERatio).ItaimstoidentifyundervaluedsectorsbasedonamodifiedCAPERatio,andthen
usesamomentum
factor
to
seek
to
mitigate
the
effects
of
potential
value
traps.
You
cannot
invest
directly
in
an
index.
10
U.S.
Sectors
(as
per
table
to
the
right)
Examine
30
years
worth
of
index
values
and
earnings
for
10
U.S.
sectors
RelativeCAPEIndicatorforEachSector
Select5mostundervaluedsectorsbasedonRelativeCAPEindicator
Momentum
Remove
the
sector
with
the
lowest
12
month
price
momentum
for
selected
sectors
Ranking
Equalweightin4favored,undervaluedsectorswithmostpositivepricemomentum
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
16/48
102114 SmartBeta,SmartAlpha 15
0.20
0.40
0.60
0.80
1.00
1.20
1.40
1.60
1.80
2.00
RelativeCAPE
Ratio
September2002
September2014
Energy Materials Industrials ConsumerDiscretionaryConsumerStaples HealthCare Financials UtilitiesTechnology RealEstate
RealEstate
DiscretionaryUtilitiesMaterialsFinancials
IndustrialsStaplesEnergyTechnology
HealthCare
RelativeCAPERatioforValueInvesting Sectors
TheShiller
Barclays
CAPE
U.S.
Sector
Index
uses
the
Relative
CAPE
Ratio
to
select
the
most
undervaluedsectorsinthemarket
Source:BarclaysCapital,DoubleLine
Inthechart,theverticalaxisrepresentstheRelativeCAPERatio.Fordefinitions,pleaseseetheAppendixsectionofthis
presentation. Forillustrativepurposesonly.Anydataonpastperformance,modelingorbacktestingcontainedhereinisno
indicationastofutureperformance.SeeHistoricalIndexPerformanceDisclaimerintheAppendixsectionofthispresentation. DataRange:September2002 September2014
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
17/48
102114 SmartBeta,SmartAlpha 16
PortfolioweightsarereconstitutedonamonthlybasisusingtheRelativeCAPEratio
HistoricalSectorRotationofShillerBarclaysCAPE
U.S.SectorTotalReturnIndex
Source:BarclaysCapital,DoubleLine Capital.
Shiller BarclaysCAPE
US
Sector
TR
USD
Index
incorporates
the
principles
of
long
term
investing
distilled
by
Dr.
Robert
Shiller and
expressed
through
the
CAPE
(Cyclically
Adjusted
PriceEarnings)ratio(theCAPERatio).ItaimstoidentifyundervaluedsectorsbasedonamodifiedCAPERatio,andthenusesamomentumfactortoseektomitigatetheeffects
ofpotentialvaluetraps.Youcannotinvestdirectlyinanindex.PleasesetheAppendixforindexdefinitions.
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
Healthcare
Industrials
Materials
Technology
Utilities
RealEstate
BarclaysShillerCAPE
USSectorExposures
September2002
October2014
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
18/48
102114 SmartBeta,SmartAlpha 17
HistoricalSectorExposuresofShillerBarclaysCAPE
U.S.SectorTotalReturnIndex Overthepast146months,theindexwasprimarilyallocatedtofivesectors:
Industrial:93%ofthetime
HealthCare:76%ofthetime
Energy:70%ofthetime
Consumer
Staples:
68%
of
the
time
Financial:56%ofthetime
Source:Barclays,DoubleLine.PleaseseetheAppendixforfurtherdefinitions.InceptionoftheShiller BarclaysCAPEUSSectorTotalReturnIndexwasSeptember4,2002.
Shiller BarclaysCAPEUSSectorTRUSDIndexincorporatestheprinciplesoflongterminvestingdistilledbyDr.RobertShiller andexpressedthroughtheCAPE(CyclicallyAdjustedPriceEarnings)ratio(theCAPERatio).ItaimstoidentifyundervaluedsectorsbasedonamodifiedCAPERatio,andthenusesamomentumfactortoseektomitigatetheeffectsofpotentialvaluetraps.Youcannotinvest
directlyinanindex.
3
6
6
8
31
82
99
102
111
136
0 20 40 60 80 100 120 140 160
Materials
ConsumerDiscretionary
Real
Estate
Utilities
Technology
Financial
ConsumerStaples
Energy
Healthcare
Industrial
NumberofMonthsInvested
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
19/48
102114 SmartBeta,SmartAlpha 18
WhyDoubleLineChoosesShillerBarclaysCAPEU.S.
SectorTotalReturnIndexOverTraditionalEquityIndices?
Identifiesandinvestsinrelativelyundervaluedequitysectors
Doesnotrelyonsubjectiveforecasts
Usesalongtermestimateofvalue,avoidingshorttermbias
IsbasedontherigorousresearchofProfessorRobertShillerandJohnCampbell
Whichin
turn
is
based
upon
the
value
investing
principles
of
Benjamin
Graham
&
DavidDodd
WebelieveitisanIntelligentAlternativetoCapitalizationWeightedPortfolios(S&P500)
Source:BarclaysCapital,DoubleLine Capital
PleaseseetheAppendixfordefinitions.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
20/48
102114 SmartBeta,SmartAlpha 19
TABIVFixedIncomePortfolio
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
21/48
102114 SmartBeta,SmartAlpha 20
DoubleLineShillerEnhancedCAPE
DoubleLineActivelyManaged
FixedIncomePortfolio
ShillerBarclaysCAPEUSSector
TRUSDIndex
InitialInvestment
*AportionoftheInitialInvestmentmaybepledgedascollateralundertheswap
**Marketfluctuationsmayprecludefull$1for$1exposurebetweentheswapsandthefixedincomeportfolio
FixedIncomePortfolio
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
22/48
102114 SmartBeta,SmartAlpha 21
FixedIncomeInvestmentProcess
Investment
Outlook
ImplementationEconomic
Discussions
AssetAllocationCommitteeholdsamonthlymeeting. Account
reviewandmarketsector
chartbookareevaluated.
FixedIncomeAssetAllocation
ChartBookreviewsportfolio
characteristics, returnanalysis,
andriskmeasures.
FixedIncomeAssetAllocation
Chartbookgraphicallydepicts
historicalassetclassspreadsand
relativegrowthtrendsinthe
globalfixedincomemarketplace.
Macroeconomicgroupdiscussionofinterestrates,currencies,
commodities,yieldcurve,spread
andgeneralfixedincomemarket
analysis.
Sectorswithopportunitiesare
identifiedbasedontheportfolio
managersassessmentoftheir
respectivesectorsoutlookand
sectorattractivenessrelativeto
otherassetclasses.
Strategyrisksarereviewed.
TheCommitteeproposesassetallocationchanges. The
CommitteeChairmanmakesthe
finalassetallocationdecision.
Sectorteamsreviewclient
guidelinesandareresponsiblefor
securityselection.
TheAssetAllocationFixed
Incometeammonitors
implementationandperforms
portfolioanalytics.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
23/48
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
24/48
102114 SmartBeta,SmartAlpha 23
SmartAlpha
Thefixed
income
portfolio
has
generated
arelatively
consistent
return
in
addition
to
the
returns
derivedfromtheShillerBarclaysCAPEindex
Thisconsistency,asopposedtochunkysourcesofalpha,iswhatdistinguishestheDoubleLine
doublevalueproposition
0.17%
0.02%
0.73%
0.59%
0.19%
0.44%
0.76%
0.40%
0.05%
0.61%
0.25%
0.40%
0.20%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
Nov13 Dec13 Jan14 Feb14 Mar14 Apr14 May14 Jun14 Jul14 Aug14 Sep14
Fixed
IncomePortfolioCon
tributiontoReturn
Oc
tober31,2013Sept
ember30,2014
Pastperformanceisnoguaranteeoffutureresults. Indexperformanceisnotrepresentative offundperformance.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
25/48
102114 SmartBeta,SmartAlpha 24
FixedIncomePortfolio SectorAllocation
Strivesto
be
broadly
diversified
across
fixed
income
sectors
Source:DoubleLineCapital. RepresentativeportfoliosectorallocationisasofSeptember30,2014andissubjecttochangewithoutnotice.
Duration 1.8
Yield 3.9%
Weighted
Average Life 4.6Coupon 4.6%
Cash
2.1%U.S.Government
6.0% AgencyResidential
MortgageBacked
Securities
2.7%
NonAgency
Residentail
MortgageBacked
Securities
17.5%
InvestmentGrade
Credit
9.5%
HighYieldCredit
4.5%CommercialMortgage
BackedSecurities
13.6%
CollateralizedLoan
Obligations18.4%
BankLoan
4.9%
International
Emerging
20.9%
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
26/48
102114 SmartBeta,SmartAlpha 25
FixedIncomePortfolio RatingsDistribution
Averagecredit
quality
is
BBB
Source:DoubleLine
Capital.
Representative
portfolio
ratings
distribution
is
as
of
September
30,
2014
and
is
subject
to
change
without
notice.
AverageCreditRatingreferstotheaverageratingofthesecuritiesinthefixedincomeportfolioofthefund.Thefunditself,northefixedincomeportfolio,doesnothaveacreditrating.
Cash
2.1% Government
6.1%Agency
2.6%
Investment
Grade
47.9%
Below
Investment
Grade
39.8%
Unrated
1.5%
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
27/48
102114 SmartBeta,SmartAlpha 26
FixedIncomePortfolio DurationBuckets
Portfolioduration
is
1.8
years
Source:DoubleLineCapital.RepresentativeportfoliodurationallocationandoveralldurationisasofSeptember30,2014and is subjecttochangewithoutnotice.
2.1%
39.3%
28.7%
20.1%
7.0%
2.8%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
45.0%
Cash 7years
Percentageo
fFixedIncomePortfolio
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
28/48
102114 SmartBeta,SmartAlpha 27
TABVDoubleLineShiller EnhancedCAPEPerformanceMetrics
Source:
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
29/48
102114 SmartBeta,SmartAlpha 28
DoubleLineShillerEnhancedCAPE
DoubleLineActivelyManaged
FixedIncome
Portfolio
Shiller BarclaysCAPEUSSector
TRUSDIndex
InitialInvestment
*A
portion
of
the
Initial
Investment
may
be
pledged
as
collateral
under
the
swap
**Marketfluctuationsmayprecludefull$1for$1exposurebetweentheswapsandthefixedincomeportfolio
DoubleLineShillerEnhancedCAPE
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
30/48
102114 SmartBeta,SmartAlpha 29
Consumer
Discretionary
Consumer
Staples Energy Financial Healthcare Industrial Materials Technology Utilities RealEstate
Nov13 Staples Energy Healthcare Industrial
Dec13 Staples Energy Healthcare Industrial
Jan14 Staples Energy Healthcare Industrial
Feb14 Staples Healthcare Industrial Technology
Mar14 Energy Financial Healthcare TechnologyApr14 Energy Healthcare Industrial Technology
May14 Energy Healthcare Industrial Technology
June14 Energy Healthcare Industrial Technology
July14 Energy Healthcare Industrial Technology
Aug14 Energy Healthcare Industrial Technology
Sep14 Energy Healthcare Industrial Technology
Oct14 Staples Healthcare Industrial Technology
BarclaysShillerCAPEUSSectorIndexExposuresNovember2013throughOctober2014
Source:Barclays,
DoubleLine
Capital
Fundholdingsandsectorallocationsaresubjecttochangeandnotarecommendationtobuyorsellanysecurity.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
31/48
102114 SmartBeta,SmartAlpha 30
EnergySectorHadWorstPerformanceinthe3rd QuarterJune30,2014throughSeptember30,2014
Source:Bloomberg,
DoubleLine
Capital
*TotalReturn(notsumofsectorreturns)
Pastperformanceisnoguaranteeoffutureresults. Indexperformanceisnotrepresentative offundperformance.
0.26%
1.95%
8.62%
2.33%
5.46%
1.09%
0.22%
3.81%
3.96%
1.13%
10%
8%
6%
4%
2%
0%
2%
4%
6%
8%
S&P500SectorReturns
June30,20
14
September30,20
14
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
32/48
102114 SmartBeta,SmartAlpha 31
DSEEXContributiontoReturnJune30,2014throughSeptember30,2014
Source:Bloomberg,DoubleLine
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturn
andprincipalvalueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthan
original
cost.
Current
performance
of
the
fund
may
be
lower
or
higher
than
the
performance
quoted.
Performance
data
current
to
the
mostrecentmonthendmaybeobtainedbycalling213.633.8200orbyvisitingwww.doublelinefunds.com.Theperformanceinformationshownassumesthereinvestmentofalldividendsanddistributions.
3.84%
2.21%
0.47%
1.82%
0.28%0.13%0.41%
1.13%
5%
4%
3%
2%
1%
0%
1%
2%
3%
ContributiontoReturn
June30,2014
September30,2
014
CurrentlyinCAPEIndex
WasinCAPEIndexpreviously in2014
**TotalReturn,NotContributiontoReturn
DSEEX
Over/Under
Performance
1.54%
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
33/48
102114 SmartBeta,SmartAlpha 32
S&P500SectorPerformanceDecember31,2013throughSeptember30,2014
Source:Bloomberg,DoubleLineCapital
*TotalReturn(notsumofsectorreturns)
0.86%
7.23%
3.23%
7.42%
16.62%
2.87%
8.87%
14.11% 13.95%
8.34%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
S&
P500SectorReturns
December31,2013
September30,2014
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
34/48
102114 SmartBeta,SmartAlpha 33
DSEEXContributiontoReturnDecember31,2013throughSeptember30,2014
Source:Bloomberg,DoubleLine
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipalvalueofan
investmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthanoriginalcost.Currentperformanceofthefundmaybe
loweror
higher
than
the
performance
quoted.
Performance
data
current
to
the
most
recent
month
end
may
be
obtained
by
calling
213.633.8200
or
by
visiting
www.doublelinefunds.com.
Theperformanceinformationshownassumesthereinvestmentofalldividendsanddistributions.
0.26% 0.44%
0.47%
3.83%
0.42%
4.09%
8.12%
3.02%
11.13%
8.34%
2%
0%
2%
4%
6%
8%
10%
12%
ContributiontoRe
turn
Decem
ber31,2013
Septem
ber30,2014
CurrentlyinCAPEIndex
WasinCAPEIndexpreviously in2014
**TotalReturn,NotContributiontoReturn
DSEEX
Over/Under
Performance
2.79%
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
35/48
102114 SmartBeta,SmartAlpha 34
S&P500SectorPerformanceOctober31,2013throughSeptember30,2014
Source:
Bloomberg,
DoubleLine
Capital*TotalReturn(notsumofsectorreturns)
Pastperformanceisnoguaranteeoffutureresults. Indexperformanceisnotrepresentativeoffundperformance.
6.80%
9.56%
7.38%
14.73%
23.12%
11.06%
15.60%
22.38%
12.82%
14.46%
0%
5%
10%
15%
20%
25%
S&
P500SectorReturns
October3
1,2013
September3
0,2014
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
36/48
102114 SmartBeta,SmartAlpha 35
DSEEXContributiontoReturnOctober31,2013throughSeptember30,2014
Source:Bloomberg,DoubleLine
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturn
andprincipalvalueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthan
originalcost.
Current
performance
of
the
fund
may
be
lower
or
higher
than
the
performance
quoted.
Performance
data
current
to
themostrecentmonthendmaybeobtainedbycalling213.633.8200orbyvisitingwww.doublelinefunds.com.Theperformanceinformationshownassumesthereinvestmentofalldividendsanddistributions.
0.28% 0.26% 0.49%
5.38%
2.38%
4.32%
13.10%
2.70%
15.80%
14.46%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
ContributiontoRet
urn
October31,2013
Septemb
er30,2014
CurrentlyinCAPEIndex
WasinCAPEIndexpreviously duringsampleperiod
**TotalReturn,NotContributiontoReturn
DSEEX
Over/Under
Performance
1.34%
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
37/48
102114 SmartBeta,SmartAlpha 36
DSEEXPerformanceRelativetoMorningstarUniverseDecember31,2013throughSeptember30,2014
Source:Morningstar
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.
Theinvestmentreturnandprincipalvalueofaninvestmentwillfluctuatesothataninvestor'sshares,when
redeemed,maybeworthmoreorlessthanoriginalcost.Currentperformanceofthefundmaybeloweror
higherthan
the
performance
quoted.
Performance
data
current
to
the
most
recent
month
end
may
be
obtained
bycalling213.633.8200orbyvisitingwww.doublelinefunds.com.
1Month 1Q 2014 2Q 2014 3Q 2014 YeartoDate
MorningstarLargeValue Category
Fund 2.69% 3.49% 7.84% 0.41% 11.13%
ExcessReturn+/S&P500TRUSD 1.29% 1.68% 2.61% 1.54% 2.79%
ExcessReturn+/Category 0.52% 1.21% 3.32% 0.14% 4.81%
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
38/48
102114 SmartBeta,SmartAlpha 37
DSEEXPerformanceRelativetoMorningstarUniverse
November1,
2013
through
September
30,
2014
Source:Morningstar,Zephyr
Pastperformanceisnoguaranteeoffutureresults.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
39/48
102114 SmartBeta,SmartAlpha 38
DSEEXSharpeRatioRelativetoMorningstarUniverseNovember1,2013throughSeptember30,2014
Source:Morningstar,Zephyr
Pastperformanceisnoguaranteeoffutureresults.
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
40/48
102114 SmartBeta,SmartAlpha 39
TABVIPortfolioManagementTeam
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
41/48
102114 SmartBeta,SmartAlpha 40
Government/Municipals
GregoryWhiteley
Global DevelopedCredit
BonnieBaha
RobertCohen
EmergingMarkets
LuzPadilla
MarkChristensen
SuFeiKoo
Mortgages
JeffreyGundlach
PhilipBarach
JoelDamiani
JosephGalligan
SamuelGarza
InternationalDeveloped Sovereign
Debt
JeffreyGundlach
DoubleLineShillerEnhancedCAPEManagementTeam
EquityDerivativesManagement/Trading
JeffreyShermanSamuelLau
EricDhall
RobertHerron
JeffreyMayberry
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
42/48
SmartBeta,
MeetSmartAlpha
LiveWebcastHostedBy:
JeffreySherman,CFA
PortfolioManager
October21,2014
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
43/48
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
44/48
102114 SmartBeta,SmartAlpha 43
HistoricalIndexPerformanceDisclaimer
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
45/48
102114 SmartBeta,SmartAlpha 44
BarclaysCapitalInc.anditsaffiliates("Barclays")isnottheissuerorproducerofDoubleLines Shiller EnhancedCAPE (theStrategy)andBarclayshasno
responsibilities,obligationsordutiestoinvestorsinthestrategy.TheShiller BarclaysCAPE USSectorUSDIndex(theIndex)isatrademarkownedby
BarclaysBankPLCandlicensedforusebytheStrategy.WhiletheStrategymayexecutetransaction(s)withBarclaysinorrelatingtotheIndex,Strategy
investorsacquireinterestssolelyusingthestrategyandinvestorsneitheracquireanyinterestintheIndexnorenterintoany relationshipofanykind
whatsoeverwithBarclaysuponmakinganinvestmentintheStrategy.TheStrategyisnotsponsored,endorsed,soldorpromoted by BarclaysandBarclays
makesnorepresentation regardingtheadvisabilityoruseoftheIndexoranydataincludedtherein.Barclaysshallnotbeliableinanywaytoinvestorsorto
otherthirdpartiesinrespectoftheuseoraccuracyoftheIndexoranydataincludedtherein.
TheShiller BarclaysCAPE USIndexFamily(theIndexFamily)hasbeendevelopedinpartbyRSBBI,LLC,theresearchprincipalofwhichisRobertJ.Shiller.
RSBBI,LLCisnotaninvestmentadvisoranddoesnotguaranteetheaccuracyandcompletenessoftheIndexFamilyoranydataor methodologyeither
includedthereinoruponwhichitisbased.RSBBI,LLCshallhavenoliabilityforanyerrors,omissionsorinterruptionsthereinandmakesnowarranties
expressedorimplied,astotheperformanceorresultsexperiencedbyanypartyfromtheuseofanyinformationincludedtherein oruponwhichitisbased,
andexpresslydisclaimsallwarrantiesofthemerchantabilityorfitnessforaparticularpurposewithrespectthereto,andshallnotbeliableforanyclaimsor
lossesofanynatureinconnectionwiththeuseofsuchinformation,includingbutnotlimitedto,lostprofitsorpunitiveorconsequentialdamageseven,if
RSBBI,LLCisadvisedofthepossibilityofsame.
BarclaysDisclaimer
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
46/48
S t B t
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
47/48
SmartBeta,
MeetSmartAlpha
LiveWebcastHostedBy:
JeffreySherman,CFAPortfolioManager
October21,2014
-
8/10/2019 DoubleLine: "Smart Beta, Meet Smart Alpha"
48/48
102114 SmartBeta,SmartAlpha 47
Announcements
WebcastNews
LuzPadilla November13,2014DoubleLine EmergingMarketsFixedIncomeFundandLowDurationEmergingMarketsFund
1:15pmPDT/4:15pmEDT
PhilipBarach November25,2014DoubleLine LowDurationBondFund
1:15pmPDT/4:15pmEDT
JeffreyGundlach December9,2014DoubleLine TotalReturnBondFundandCoreFixedIncomeFund
1:15pmPDT/4:15pmEDT
ToReceivePresentationSlides,[email protected]