Smart Beta: Trick or Treat In his Oct. 25, 2022, webcast “Smart Beta: Trick or Treat,” Portfolio Manager Jeff Mayberry covers the prevailing macroeconomic context, then discusses the DoubleLine Shiller Enhanced CAPE and DoubleLine Shiller Enhanced International CAPE mutual funds. He starts with a read of the U.S. economy (2:57), finding “a decent chance of recession in the next 12 to 18 months.” This is followed by a review of core consumer price inflation (7:16) and labor market conditions. Both, he says, explain why the Federal Reserve is still intent on raising official short-term interests even after having raised the Federal Funds rate by 300 basis points. Mr. Mayberry examines bond yields (10:06) and fixed income returns (12:10) in the wake of that tightening.
Then Mr. Mayberry opens the presentation on the DoubleLine Shiller Enhanced CAPE (17:56). He starts with an observation that the CAPE Ratio for the S&P 500 is well off its highs and, at 26.45 as of the end of September, is close to its 40-year average of 24.3. He describes the mechanics (20:11) of the Relative CAPE Ratio and its use in allocating the mutual fund to the most attractively valued sectors of the large-cap stock universe on the basis of their Relative CAPE Ratios. Next he turns to the fund’s fixed income portfolio (28:29), including it asset mix, credit quality, duration and allocations over time. Then he discusses the historical returns of the fund.
The DoubleLine Shiller Enhanced International CAPE (35:57) gets a similar overview. In noting the relative valuations of the S&P 500 Index and the MSCI Europe index, Mr. Mayberry suggests the idea of investors rotating some of their equity exposure out of the U.S. and into Europe. He explains the mechanics of the Shiller Barclays CAPE Europe Sector Net Index (41:47) and its use in allocating to the most attractively valued sectors of the European large-cap equity universe on the basis of their Relative CAPE Ratios. Mr. Mayberry covers the portfolio characteristics and historical allocations of the fund’s fixed income portfolio (44:24) before discussing the fund’s historical performance.
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Mr. Mayberry joined DoubleLine in 2009. He is a Portfolio Manager on DoubleLine’s strategic commodity strategy while working in portfolio management and trading for derivatives‐based and multi‐asset strategies. Mr. Mayberry is a Strategist on the Fixed Income Asset Allocation (FIAA) committee and a contributing member on our Global Asset Allocation and Macro committees. He also co-hosts DoubleLine’s weekly Monday Morning Minutes (Twitter @DLineMinutes, Minutes@Doubleline.com) podcast. Prior to DoubleLine, Mr. Mayberry was a Senior Vice President at TCW for nine years within the Mortgage Group, where he specialized in portfolio and fund monitoring and analytics. He holds a B.S. in Engineering from Harvey Mudd College and an M.S. in Financial Engineering from the Peter F. Drucker Graduate School of Management at Claremont Graduate University.