DoubleLine

CAPE® Ratio for Value Investing U.S. Sectors

Slide deck for DoubleLine Fund’s webcast, “DoubleLine’s 4Cs” hosted by Deputy CIO and Portfolio Manager Jeffrey Sherman, and Portfolio Manager Jeffrey Mayberry.

Q3 2019 hedge fund letters, conferences and more

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

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* 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

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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

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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

DoubleLine

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

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

October 31, 2013 September 30, 2019

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Source: Barclays, DoubleLine, Bloomberg

Past Performance is no guarantee of future results.

Please see the Appendix for definitions.

See the full slides below.


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