CAPE® Ratio for Value Investing U.S. Sectors

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TAB I – DoubleLine Shiller Enhanced CAPE®

DoubleLine Shiller Enhanced CAPE® Structure

The distinct structure of the DoubleLine Shiller Enhanced CAPE® Strategy allows investors to simultaneously access returns of the equity markets and fixed income markets By using an equity index swap, 1 invested in the strategy provides approximately 1 of exposure to each market

* A portion of the Initial Investment may be pledged as collateral under the swap

** Market fluctuations may preclude full $1 for $1 exposure between the swaps and the fixed income portfolio

Shiller Barclays CAPE® U.S. Sector Index – Sector Selection Rules

Source: DoubleLine, Barclays

CAPE = Cyclically Adjusted Price Earnings Shiller

Barclays CAPE U S Sector Index Shiller Barclays CAPE 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 (the “CAPE® Ratio”) It aims to identify undervalued sectors based on a modified CAPE® Ratio, and then uses a momentum factor to seek to mitigate the effects of potential value traps You cannot invest directly in an index

Relative CAPE® Ratio for Value Investing U.S. Sectors

The Shiller Barclays CAPE® U.S. Sector Index uses the Relative CAPE® Ratio to select the most undervalued sectors in the market

Source: Barclays, DoubleLine

In the chart, the vertical axis represents the Relative CAPE® Ratio. For definitions, please see the Appendix section of this presentation . For illustrative purposes

Historical Sector Rotation of Shiller Barclays CAPE® U.S. Sector Total Return Index

Portfolio weights are reconstituted on a monthly basis using the Relative CAPE® Ratio

Source: Barclays, DoubleLine.

Shiller Barclays CAPE ®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 (the “CAPE® Ratio”). It aims to identify undervalued sectors based on a modified CAPE® Ratio, and then uses a momentum factor to seek to mitigate the effects of potential value traps. You cannot invest directly in an index. Please see the Appendix for index definitions