DoubleLine Shiller Enhanced CAPE©
The DoubleLine Shiller Enhanced CAPE© Strategy enjoyed a strong 2014 with the since inception performance ranking in the top percentile of the Morningstar Large Cap Value category. Since inception, the portfolio earned 23.73% equating to an excess return of more than 3% relative to the broad based market as measured by the S&P 500. The portfolio can be decomposed into two main components - the Shiller Barclays CAPE© US Sector TR USD Index and the collateral fixed income portfolio managed by DoubleLine.
Over the year 2014, the Shiller Barclays CAPE© US Sector TR USD Index was invested in six of the ten S&P sectors generating a total return of 14.53%. The index has outperformed the S&P 500 on a year-to-date basis by extracting value from industries such as healthcare, industrials, and technology. It is currently invested in healthcare, industrials, technology, and consumer staples after the CAPE model removed the exposure to the energy sector in September 2014 following weak 12-month price momentum. This change illustrates what DoubleLine means when it talks about "smart beta."
The second source of value added came from the low-volatility fixed income portfolio. The goal of the fixed income portfolio is to try and outperform cash over a full market cycle to generate incremental return (alpha) over the Shiller Barclays CAPE© US Sector TR USD Index. The fixed income portfolio had strong performance over the year 2014, posting gains north of 4%. The portfolio is overseen by the Fixed Income Asset Allocation (FIAA) Committee, chaired by Jeffrey Gundlach, and is allocated across many sectors of the global fixed income market as seen below.
Source: Bloomberg, DoubleLine Capital
Gross returns do not reflect the deduction of management fees, custodial fees and other administrative expenses. Including these costs would reduce the shown returns. Net returns reflect the deduction of the maximum standard fee charged US institutional clients without taking into account breakpoints. Certain clients could pay a significantly higher or lower fee which would result in different net returns. By way of example a fee which is 0.5%% higher than the standard US institutional fee will result in the total return being reduced, over five years, by 2.53% on a compound basis. Net returns do not include the deduction of custodial fees or other administrative expenses, which will also reduce the returns shown.
Past performance is no guarantee of future results. It is possible to lose money when investing in this strategy.
Fixed Income Portfolio – Sector Allocation
Source: DoubleLine Capital
Sector allocations are subject to change at any time and should not be considered recommendations to buy or sell any security.
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Barclays Capital Inc. and its affiliates ("Barclays") is not the issuer or producer of DoubleLine’s Shiller Enhanced CAPE ® (the “Strategy”) and Barclays has no responsibilities, obligations or duties to investors in the strategy. The Shiller Barclays CAPE® US Sector USD Index (the “Index”) is a trademark owned by Barclays Bank PLC and licensed for use by the Strategy. While the Strategy may execute transaction(s) with Barclays in or relating to the Index, Strategy investors acquire interests solely using the strategy and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in the Strategy. The Strategy is not sponsored, endorsed, sold or promoted by Barclays and Barclays makes no representation regarding the advisability or use of the Index or any data included therein. Barclays shall not be liable in any way to investors or to other third parties in respect of the use or accuracy of the Index or any data included therein.
The Shiller Barclays CAPE® US Index Family (the “Index Family”) has been developed in part by RSBB-I, LLC, the research principal of which is Robert J. Shiller. RSBB-I, LLC is not an investment advisor and does not guarantee the accuracy and completeness of the Index Family or any data or methodology either included therein or upon which it is based. RSBB-I, LLC shall have no liability for any errors, omissions or interruptions therein and makes no warranties expressed or implied, as to the performance or results experienced by any party from the use of any information included therein or upon which it is based, and expressly disclaims all warranties of the merchantability or fitness for a particular purpose with respect thereto, and shall not be liable for any claims or losses of any nature in connection with the use of such information, including but not limited to, lost profits or punitive or consequential damages even, if RSBB-I, LLC is advised of the possibility of same.
Historical Index Performance Disclaimer
The following communication includes historical performance data related to select indices developed and published by Barclays Bank PLC (“Barclays”). This disclaimer intended to highlight the risks inherent in assessing such performance data.
Historical index performance can be assessed with respect to the index inception date:
Pre-inception index performance
Pre-inception index performance refers to the period prior to the index inception date (defined as the period from the “Index Base Date” to the “Index Live Date”). This performance is hypothetical and back-tested using criteria applied retroactively. It benefits from hindsight and knowledge of factors that may have favorably affected the performance and cannot account for all financial risk that may affect the actual performance of the index. It is in Barclays’ interest to demonstrate favorable pre-inception index performance. The actual performance of the index may vary significantly from the pre-inception index performance. You should not rely on hypothetical index performance information.
Post-inception index performance
Post-inception index performance refers to the period after the index inception date (defined as the period from the “Index Live Date” to the date of this presentation, unless otherwise stated). This performance is actual historical performance of the index. Historical performance is not indicative of future performance.
All index performance data included in this communication are accompanied by a footnote specifying the relevant Index Base Date and Index Live Date. The Index Live date is defined as the date on which the index rules were established and the index was first published. Actual historical perfromance is highlighted in blue. Hypothetical performance is not highlighted.
Historical index performance is provided for a period of at least 10 years, unless the instruments underlying the index were only available or sufficiently liquid for a lesser period. In that case, historical index performance is provided from the time when the instruments underlying the index were available or sufficiently liquid. Performance, volatility, Sharpe ratio and correlation data are calculated using monthly returns and maximum drawdown data are calculated using daily returns.
The index methodology is available for review upon request, subject to the execution of a non-disclosure agreement.
Barclays or an affiliate of Barclays prepared the provided performance information (including the hypothetical performance information), may be the index sponsor and potentially is the counterparty to a transaction referencing the index.
The performance data reflect all costs, charges and fees that are incorporated into the Index formula. The performance data, however, do not reflect any additional fees that may be paid by a counterparty to a transaction referencing the index, and which may be agreed between Barclays and the counterparty.
DoubleLine has no obligation to provide revised assessments in the event of changed circumstances. While we have gathered this information from sources believed to be reliable, DoubleLine cannot guarantee the accuracy of the information provided. Securities and sectors discussed are not recommendations and are presented as examples of issue selection or portfolio management processes. They have been picked for comparison or illustration purposes only. No security sector presented within is either offered for sale or purchase. DoubleLine reserves the right to change its investment perspective and outlook without notice as market conditions dictate or as additional information becomes available and assumes no duty to update the recipients of this presentation.
Important Information Regarding Risk Factors
Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors. The views and forecasts expressed in this material are as of the date indicated, are subject to change without notice, may not come to pass and do not represent a recommendation or offer of any particular security, strategy, or investment. All Investments involve risks. Please request a copy of DoubleLine’s Form ADV 2A to review the material risks involved in DoubleLine’s strategies. Past performance is no guarantee of future results.
Important Information Regarding DoubleLine’s Investment Style
DoubleLine seeks to maximize investment results consistent with our interpretation of client guidelines and investment mandate. While DoubleLine seeks to maximize returns for our clients consistent with guidelines, DoubleLine cannot guarantee that DoubleLine will outperform a client's specified benchmark or the market or that DoubleLine’s risk management techniques will successfully mitigate losses. Additionally, the nature of portfolio diversification implies that certain holdings and sectors in a client's portfolio may be rising in price while others are falling; or, that some issues and sectors are outperforming while others are underperforming. Such out or underperformance can be the result of many factors, such as but not limited to duration/interest rate exposure, yield curve exposure, bond sector exposure, or news or rumors specific to a single name.
DoubleLine is an active manager and will adjust the composition of client’s portfolios consistent with our investment team’s judgment concerning market conditions and any particular sector or security. The construction of DoubleLine portfolios may differ substantially from the construction of any of a variety of bond market indices. As such, a DoubleLine portfolio has the potential to underperform or outperform a bond market index. Since markets can remain inefficiently priced for long periods, DoubleLine’s performance is properly assessed over a full multi-year market cycle.
Jeffrey Gundlach - DoubleLine Overview
Fixed Income Asset Allocation
Global Developed Credit - Floating Rate
Low Duration Emerging Markets
Mortgage-Backed Securities - Total Return
Shiller Enhanced CAPE®
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1-27-15 CNBC Jeffrey Gundlach discusses the markets Click here to view video
8-15-14 CNBC "DoubleLine's Gundlach: Could see U.S. 10-year yields go to 2.2%"
Click here to view video
02-12-14 "Gundlach: QE will not end in 2014"
02-12-14 "Gundlach: Market has discounted tapering" http://video.cnbc.com/gallery/?video=3000245506
4-9-14 The Street "Bank Loans vs. High Yield"
04-14-14 "Housing Finance Reform"
Information presented was current as of the date the material was prepared by an outside party. DoubleLine assumes no duty to update this information.
Documents and Commentary
- 4Q Economic Update – Multi-Asset Growth Strategy
- Jeffrey Gundlach Discusses Total Return Strategy
- The Smart Beta (R)evolution
- 3Q Economic Update – Multi-Asset Growth Strategy
- The Sherman Ratio: A Different Way to Assess Your Portfolio
Thursday, September 11, 2014 at 1:15 pm PT / 4:15 pm ET
"Opportunistic CMBS/CRE Strategy Launch"
No replay available.