DSENX/ DLEUX Shiller Enhanced CAPE® and Shiller Enhanced International CAPE® Webcast Tuesday,Feb 7th

Comments

• VintageFreak

  February 2017 edited February 2017

  Would you suppose there will be a recording of this available? I own DSENX and assuming its international cousin becomes available NTF, wanted to consider owning it too.
• TSP_Transfer

  February 2017 edited February 2017

  @ VF Mr Sherman did not discuss the International version@ length .Only includes Euro region. NOT hedged. Only uses performance data since the dawn of the common currency.Both funds bond duration around 1.8 %.DoubleLine opines that the US strategy can handle $20 bln in assets. DblL has 1st refusal for an E T F utilizing the strategy.Barclays has an E T N @ present.Didn't get the symbol.
  The biggest mystery to me is what happened to Mr Gundlach's "Just Markets" webby from January 10, 2017 The website has no link or mention of it.
  Edit/Add
  E T N http://etn.barclays.com/US/7/en/etnsnapshot.app?instrumentId=174066
  http://etn.barclays.com/US/7/en/details.app?instrumentId=174066
  The replay is under compliance review.
  http://www.doublelinefunds.com/webcasts/
• davidrmoran

  February 2017

  @TSP,
  
  Do you have thoughts why the DLEUX performance thus far (6w) has been worse than European indexes?
• TSP_Transfer

  February 2017 edited February 2017

  @davidmoran,Mr Sherman encouraged investors to contact DblL for any ???s concerning the funds.The slides were informative and the presentation gave me a better understanding of the Cape Enhanced Strategy.Mr Sherman did not address the under performance of the new fund but it was shown on a couple of the slides.The slides are probably available today, but without Mr Sherman's comments. I just became an investor in the domestic strategy within the past 6 month's ,thanks to you and other posters here.
  
  From DL this PM
  Shiller Enhanced CAPE® and Shiller Enhanced International CAPE® Webcast replay
  The replay will be available in 5-7 business days. I have added your email to our notification list and you will receive word when it posts to the site.
  
  Thank you,
  
  Leena Park
  Investor Services
  DoubleLine Capital LP || 333 S. Grand Avenue, 18th Floor || Los Angeles, CA 90071
  direct 213.633.8498 || main 213.633.8200 || [email protected]
  
  
  This might be an automated email link *
  [email protected]
  Hello,
  *Once the presentation begins, please send me a copy of the slides.
• MikeM

  February 2017 edited February 2017

  I hope the European version does well. If it looks better than say FMIJX after a couple years I may buy. But I just don't see the reason to be one of the first in. You are buying a concept, a process, an algorithm. If it works it will continue to work, so no need to be an early investor. Just my < humble opinion.
• TSP_Transfer

  February 2017 edited February 2017

  @davidmoran
  Attached is PDF of Recap of Gundlach on Jan 10th.You like politics !
  I said The biggest mystery to me is what happened to Mr Gundlach's "Just Markets" webby from January 10, 2017 The website has no link or mention of it.
  
  
  Greetings,
  
  Thank you for your email. Per your request, attached is the PDF of the Just Markets webcast presentation. Additionally, the replay has been approved and is now available online. http://doubleline.com/latest-webcasts/
  
  Kind regards,
  Leena
  
  http://doubleline.com/dl/wp-content/uploads/1-10-17_JustMarketsRecap.pdf
  
  
• VintageFreak

  February 2017

  @TSP_Transfer thanks for taking the time to answer all questions. I will definitely follow up on the webcast.
• Dennis Baran

  February 2017

  @davidmoran

  Do you have thoughts why the DLEUX performance thus far (6w) has been worse than European indexes?
  

  The underperformance mentioned was because the fund's four sectors lagged the MSCI Europe Net Return USD Index over such a short time period and can be expected to happen when the most undervalued sectors lag the broad market. The expectation is that the fund will outperform over time.
  
  As of 2/8/17, DSEUX is outperforming the MSCI Europe NET Return USD Index (the benchmark) by 49 bps. The benchmark has returned 2.12%, and DSEUX has returned 2.62%.
• davidrmoran

  February 2017

  Thanks; same thing w DSENX; took 2+ mos for it to pass SP500. Hope it is available at Fido soon, ntf.
• BenWP

  February 2017

  CAPE crossed the $100 share price mark this week. Not meaningful, but rewarding if you own it.
• DavidV

  February 2017

  Is there any historical back testing data for CAPE index? It would be interesting to see how it performed in 2007 -2009.
• Derf

  February 2017

  Good question.
  Derf
• MikeM

  February 2017

  http://doubleline.com/dl/wp-content/uploads/9-30-2015-CAPE-Strategy-10-FAQ-Sherman-Final.pdf
  
  Here is data from Doubleline. Looks like the max drawdown was around -44% during the 2007-2009 period, in contrast with -55% for the S&P 500.
• DavidV

  February 2017

  Thanks Mike. That will add to my confidence in DSENX.
• VintageFreak

  February 2017

  @MikeM, @DavidV
  Guys, but DSENX actually does not invest in the CAPE stocks right. It tries to mimic its return, so it is more "active" than "passive" at doing that I would think. I would like to hope DSENX can actually do less worse if CAPE rolls over. Or are would you say that's totally wishful thinking on my part?
• MikeM

  February 2017

  Although M* calls it an value equity fund, I see it more as a balanced fund. It uses the CAPE strategy in that it invests in the lowest valued sectors based on Schillers Cape ratio for determining value with a twist described by their web site. Below are a few pertinent points from the Doubline Site. If you believe in the axiom buy low sell high, value, this strategy does the work for you.
  
  From the Doubleline site:
  
  Strategy
  
  The Shiller Enhanced CAPE® strategy offers exposure to the “cheapest sectors” of the large cap equity markets using an “Index Overlay” technique while the remaining assets are invested in a fixed income portfolio...
  
  ...The Relative CAPE® Ratio subdivides the S&P 500 into 10 sectors, eliminating the 5 with the highest relative CAPE® ratios, leaving what we believe are the 5 better value proposition sectors. Index methodology eliminates the one sector with the worst one-year momentum, to try and avoid the value trap...
  
  Using a total return index swap to gain the exposure to the Barclays Shiller CAPE® US Sector Index, the remaining assets are then invested into, what we believe to be, a lower-risk bond portfolio with the goal of trying to outperform cash.
  
• davidrmoran

  February 2017

  Right, but it is not really a conventional balanced fund by any means, anymore than say AOA is. It does have that balancing bond component / secret sauce.
  
  @VF, no, not wishful thinking.
  
  It's interesting to me that if you diy and combined CAPE w PONDX and/or PDI, or indeed them with DVY, SPHD, NOBL, OUSA, SDOG, SCHD, or any of the other solid LC etfs, you would not do as well, not even close. Weird.
• VintageFreak

  February 2017

  M* will classify FVALX as Long/Short equity when it simply buys some puts for hedging. Just look at the Portfolio currently for FVALX as it shows now. 78% equities and no long/short break up listed, WHICH M* provides for other funds it does not classify as Long/Short.
  
  DSENX as per M* has 40% bonds. And its Large Value.
  
  Why doesn't a EveningMoon(Netflix) come around to whack Morningstar(Blockbuster)? I think Lipper is just a poor man's video store no one wants. So ridiculous.
• davidrmoran

  February 2017

  Read the fund lit in detail. Not 60-40.
• MikeM

  February 2017

  It does have that balancing bond component / secret sauce.

  @davidrmoran
  
  Not sure how you can say that. The Doubleine information says it has 2 components:
  - Barclays Shiller CAPE® US Sector Index
  - Doubleline actively managed fixed income portfolio
  
  The secret sauce may just be the fact it uses only 4 of the 5 under valued sectors leaving out the worst trending sector.
  
  Whatever it is, I treat it as a balanced fund and hold it equally along with PRWCX and ICMBX to make up 45% of my self managed portf.
  
• AndyJ

  February 2017 edited February 2017

  Quick note about treating it as a balanced fund: it has a higher 3y standard deviation than the S&P 500 (11.64 vs. 10.46), which doesn't really fit the profile of a balanced fund. (Look under "Volatility Measures" partway down the page.)
• MikeM

  February 2017

  Andy, I believe in the case of DSENX, the higher standard deviation is reflecting the steeper up-trend in the data. That is a good thing. The steeper the rise, the higher the standard deviation. As to higher ups and lesser downs (which it does appear to have just eye-balling the trend data), that can be reflected in the upside-downside capture ratio, or probably Charles' Ulcer rating which I haven't looked at.
  
  Point taken though about balanced funds typically having lower STD. The fund is unique and does have to be dissected to understand.
• AndyJ

  February 2017

  Mike, your point taken too; thanks. The 3y down-capture, per M*, is just two ticks above the S&P.
  
  The thing about it that's been most surprising to me is how persistent the sector allocations have been. The vast majority of the time since inception, it's been tech, industrials, health, and either staples or energy, per a Dbl slide from the webcast ~ late Q3 last year. Looks like it's shifted some lately, but overall, it's not been as variable as I would've thought.
• davidrmoran

  February 2017

  @MikeM
  
  >> Doubleline actively managed fixed income portfolio
  
  Yes, exactly, that's the secret bond sauce, as I was trying to explain. Courtesy Gundlach the pol prognosticator.
  
  But not 40% or anything close to it. Their own announced benchmark is SP500. Observe how closely it tracks CAPE, slightly surpassing it, and that extent accounted for by the FI portion.
  
• VintageFreak

  February 2017

  I was merely making the point M* lists it as 40% bonds, and not that I treat it as a balanced fund. Or I will admit, I was not going to lose opportunity to let everyone know I want what M* is smoking. If it is tracking DSENX holding 40% bonds then its category assignment is beyond ludicrous.
• MikeM

  February 2017

  I got a feeling the high bond allocation in M* might be how they designate these "index swaps" that the fund uses. I've tried to understand swaps, but always after a couple beers. By then it's too late. I just don't understand them.
• catch22

  February 2017 edited February 2017

  We may all view this type of data more easily in one format vs another. I currently like this layout from Fidelity. I use this Fido page for a quick look at funds. Is the "other" holdings percentage the swaps? Scroll down a tiny and the top 20% indicates "swaps", eh?
  DSENX composition:
  
  https://fundresearch.fidelity.com/mutual-funds/composition/258620814
  
• davidrmoran

  February 2017

  @VF
  >> merely making the point M* lists it as 40% bonds,
  
  Sorry, did not address that specifically. That is complete crap. M* has many weaknesses, increasing, it seems, but its inability to parse this fund is remarkable, and unfixed over >3y now. Wild. The piechart used to be even worse, for a while.
  Fido is as bad if not worse. You'd think some ed would assign a staffer to do a proper article on this, or they would solve the whole thing w what the derivatives' goals are.
  Note that for the Fido link you get foreign diversification w 11% Cayman Islands. Bwahaha. So not only is it a balanced fund, but international too! Woohoo!
• catch22

  February 2017

  Hi @davidrmoran
  
  The equity/bond percentage mix is unknown, yes?
  
  I'll leave it be, as I was hoping to be helpful with the apparent bad data for this fund at Fidelity; who probably pulls the data from M*.
  
  Pillow time at this house.
• davidrmoran

  February 2017

  yes, sir, it is unknown.