LOS ANGELES, Nov. 14, 2017 — Jeffrey Sherman, deputy chief investment officer of DoubleLine Capital, will hold a webcast today on the DoubleLine Shiller Enhanced CAPE® and DoubleLine Shiller Enhanced International CAPE® mutual funds.
The webcast will start at 4:15 pm Eastern today (Tuesday, November 14). To register for the webcast, please go to this page: https://event.webcasts.com/starthere.jsp?ei=1129221
Each fund has two sources of return. An actively managed fixed income portfolio provides a secondary source of return while collateralizing derivatives providing exposure to the primary source of return: a rules-based or “smart-beta” index targeting undervalued sectors of each fund's large-cap stock universe.
Jeffrey Gundlach, CEO and chief investment officer of DoubleLine Capital, and Mr. Sherman are portfolio managers of the two funds. The smart beta equity indexes implemented by the two funds were designed by Robert Shiller, Sterling Professor of Economics at Yale University, and Barclays Capital.
The DoubleLine Shiller Enhanced International CAPE® mutual fund recently opened to shareholders via two share classes: I shares (DSEUX) and N shares (DLEUX). The fund seeks to exceed the total return of the Morgan Stanley Capital International (MSCI) Europe Net Return Index over a full market cycle. The MSCI Europe index is an index of large market-capitalization stocks of European companies.
DoubleLine's first smart-beta equities fund is the $4.6 billion DoubleLine Shiller Enhanced CAPE® (I shares DSEEX; N shares DSENX), which seeks to outperform the Standard & Poor's 500 Index. The fund's primary source of return is the Shiller Barclays CAPE® US Sector Total Return USD Index (“the Shiller Barclays index”). The Shiller Barclays index identifies the five deepest-value sectors of the S&P 500 as measured by each sector's Relative CAPE® Ratio. Then the index implements a defensive filter to help avoid value traps: of the five value sectors, the filter removes the sector with the lowest trailing 12-month total return. The index then is constituted of equal 25% exposures to the four remaining value sectors. The index reconstitutes and rebalances at the beginning of each month.
For further information on the DoubleLine Shiller Enhanced CAPE®, please go to this page:
The DoubleLine Shiller Enhanced International CAPE®, which launched on December 23, 2016, has $123 million in total assets. The fund's primary source of return is the Shiller Barclays CAPE® Europe Net Total Return Index (“the Shiller Barclays Europe index”). The Shiller Barclays Europe index first identifies the five deepest-value sectors of the MSCI Europe Index as measured by each sector's Relative CAPE® Ratio. Then the index implements a defensive filter to help avoid value traps. Of the five value sectors, the filter removes the sector with the lowest trailing 12-month total return. The index then is constituted of equal 25% exposures to the four remaining value sectors. The index reconstitutes and rebalances at the beginning of each month.
DoubleLine Shiller Enhanced International CAPE® can use swaps denominated in euros or U.S. dollars to implement the Shiller Barclays Europe index.
For further information on the DoubleLine Shiller Enhanced International CAPE®, please go to this page:
Terms and Definitions
The Cyclically Adjusted Price-to-Earnings ratio (CAPE® ratio) is a measure of the price of a company's stock or of a stock index relative to average inflation-adjusted earnings over the past 10 years.
The Relative CAPE® Ratio for each sector of the S&P 500 (or each sector of the MSCI Europe Net Return U.S. Dollar Index) is calculated monthly by dividing each sector's 10-year cyclically adjusted price-earnings (CAPE®) ratio relative to that sector's 20-year average CAPE® ratio. The resulting value for each sector provides an estimate of how cheap or expensive that sector is priced relative to its own history.
Smart beta stock indexation is defined by DoubleLine and some others as a passive investing strategy which deviates from market capitalization-weighting or stock price-weighting.
The S&P 500® is a widely followed gauge of large cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.
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.
Morgan Stanley Capital International (MSCI) Europe Net Return Index captures large and mid-cap representation across 15 Developed Markets (DM) countries in Europe (DM countries in Europe include: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the UK). With 446 constituents, the index covers approximately 85% of the free float-adjusted market capitalization across the European Developed Markets equity universe.
About DoubleLine Capital LP
DoubleLine Capital LP, a registered investment adviser under the Investment Advisers Act of 1940, acts as the investment adviser for the DoubleLine Shiller Enhanced CAPE® and DoubleLine Shiller Enhanced International CAPE®. DoubleLine Capital and its related companies (“DoubleLine”) managed $115 billion in assets across all vehicles, including open-end mutual funds, closed-end funds, exchange-traded funds, hedge fund, variable annuities, UCITS and separate accounts as of the September 30, 2017 end of the third quarter. DoubleLine's offices in Los Angeles can be reached by telephone at (213) 633-8200 or by e-mail at [email protected]. Media can reach DoubleLine by e-mail at [email protected]. DoubleLine® is a registered trademark of DoubleLine Capital LP.
The fund's investment objectives, risks, charges and expenses must be considered carefully before investing. The statutory and summary prospectus contains this and other important information about the fund and may be obtained by calling 1 (877) 354-6311 / 1 (877) DLINE11 or visiting www.doublelinefunds.com. Please read the prospectus carefully before investing.
Mutual fund investing involves risk; Principal loss is possible. Investments in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater for investments in emerging markets. In order to achieve its investment objectives, the Fund may use certain types of exchange traded funds or investment derivatives. Derivatives involve risks different from, and in certain cases, greater than the risks presented by more traditional investments. Derivatives may involve certain costs and risks such as liquidity, interest rate, market, credit, management and the risk that a position could not be closed when most advantageous. Investing in derivatives could lose more than the amount invested. ETF investments involve additional risks such as the market price trading at a discount to its net asset value, an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund's ability to sell its shares. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increase susceptibility to adverse economic developments. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. The Fund may also invest in securities related to real estate, which may decline in value as a result of factors affecting the real estate industry. Equities may decline in value due to both real and perceived general market, economic and industry conditions. The fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested.
Barclays Bank PLC and its affiliates (“Barclays”) is not the issuer or producer of DoubleLine Shiller Enhanced International CAPE® or DoubleLine Shiller Enhanced CAPE® (the “Funds”) and Barclays has no responsibilities, obligations or duties to investors in the Funds. The Shiller Barclays CAPE® Europe Sector Net TR Index and the Shiller Barclays CAPE® US Sector USD Index (the “Indices”) are trademarks owned by Barclays Bank PLC and licensed for use by the Funds. While the Funds may execute transaction(s) with Barclays in or relating to the Indices, Fund investors acquire interests solely in the Fund and investors neither acquire any interest in the applicable Index nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in such Fund. The Funds are not sponsored, endorsed, sold or promoted by Barclays and Barclays makes no representation regarding the advisability of the Funds or use of the Indices or any data included therein. Barclays shall not be liable in any way to either Fund, 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® 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.
DoubleLine Capital, LP is the Advisor to the DoubleLine Funds which are distributed by Quasar Distributors, LLC.
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