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DoubleLine Schiller Enhanced CAPE (DSEEX/DSENX)

Obviously there has been a lot of discussion regarding this fund and rightfully so given its performance, albeit just 3 years.

I am a recent investor in DSEEX/DSENX and like the price action vs the S&P500. I have read on this and other forums that some feel this fund is NOT a "core" holding unlike an S&P500 idx fund.

Maybe this comparision is not exactly "apples-to-apples" but it does seem to be a fair correlation.

What are your thoughts on this fund as a "core" holding and what percentage-range of your stock holdings should a fund like DSEEX be?

Of course, I recognize everybody's risk tolerance and objectives are different. I am just looking for some guidance and opinions; I am still in the growth stage.

Thank you for any input and thoughts,



  • DSENX is not a core fund. It is large cap value.
  • You will find a lot of differing opinions on what is a "core" holding. What is your definition? Personally I don't pay much attention to the word core. DSENX is ~15% of my self managed portfolio FWIW.
  • Thanks guys for your thoughts!

    DavidV, I, like Mike, was not trying to define a "core" holding as a "style (i.e. blend)" but more as a percentage of your portfolio and conviction. I certainly understand and appreciate your comment.

    What I was really asking, is this fund worth 15%-20% of your portfolio and a long-term position?

    I have been trying to condense my holdings and take larger stakes in them; my rule-of-thumb (pardon the cliche') is no more than 15%-20% in a given fund and no less than 5%.

    Currently I have almost 8% in DSEEX and I am trying to get some thoughts and opinions from more seasoned investors on this forum.

    Any further thoughts, opinions or suggestions are very welcome!!!


  • Matt, I think that you're on the right track with your rule of thumb. You may remember this prior discussion, which might help:
  • It's 55% of my entire investment net.

    To some degree I understand on paper what it does. What I am still trying to get my mind around are worst-case scenarios and how it would compare with some combo of conventional LV and broad bonds. The leverage explanations are interesting but the msf conclusion

    >> think this as a 2x leveraged fund.

    and the downside capture ratios that M* lists are confusing to me in terms of its actual performance.

    I have begun analysis of every 2-week or longer dip since inception as compared w/ CAPE and w/ SP500. I am through 2014 and into the beginning of 2015, with the more recent years tk.

    Thus far all that I see, from a sample of seven such dips, is as follows:

    - no delta to speak of, though leveler (smoother) performance than SP500
    - smooth outperformance, small, marginal
    - smooth underperformance, small, marginal (only one of these valleys thus far)
    - first one and then the other, smooth underperformance followed by smooth outperformance, with the result, at the end of the recovery point, higher than CAPE, which is higher than SP500.

    Now, since its inception, 4.5y ago, it is true that we have not had long or deep dips ("drawdowns"), so this investigation of mine may not speak to what one can comparatively anticipate in a plummet of length. But thus far I see no increase in volatility, and depth or speed of drop (insofar as one can tell from M* data).
    Maybe it would be the case that during a bad set of months and years it would be better to hold TWEIX [or insert your favored broad index here] with some mysterious bond portion.

    But I ain't seein' it, and thus far I ain't finding it either.

    Will report further results later, for dips the last two years.
  • Okay, for all valleys from mid-2015 on to the present, the performance and tracking of DSENX are as above: usually better than CAPE, a little, occasionally worse, a little, while always the same as or better than SP500. EXCEPT for October and November of last year, when performance consistently was marginally worse than CAPE and also worse than or equal to SP500.

    All of this investigation is of growth of $10k.
  • I didn't try to analyze this too much because, as you noted, there are only a few data points. There are a lot of variables - how the bond portion moves, the overhead of the leverage (the cash payments that need to be made on the swaps), to what extent (0-100%) the fund has exposure on the CAPE side and on the bond side.

    Trying to infer all these values is likely going to overfit the data - in plain English, tell you nothing. It's like trying to solve for two variables with one equation (x + y = 10). You can come up with any number of solutions that "work", but you don't know what the real values are.

    The problem is made worse, again as you noted, by having little downside data.

    FWIW, Doubleline claims that the bond side returns have been fairly steady, at 2.87%, according to their Feb 7th webcast summary.

    If you assume that the fund has 100% exposure to CAPE, and a constant annual leverage cost of N%, then the return for a given month should be:

    CAPE (mo) + 2.87%/12 - N%/12

    I don't think this fits that well. So either the leverage cost is changing (given fairly stable interest rates, that's not where I'd look), or the equity exposure is less than 100% (and possibly varying), or the bond return isn't as stable as Doubleline said, or ...

    You begin to see what all the variables are and why it's impossible to figure all of them without a lot more data points to work with.
  • @davidrmoran

    This linked chart is CAPE and SPY and DSEEX back to October 2013.

    Total returns for this period are:
    CAPE = 61.9%
    SPY = 44.7%
    DSEEX = 70.4%

    What else are you attempting to compare?,SPY,DSEEX&n=870&O=011000
  • edited April 2017

    I already posted that my curiosity is for worst cases and dip intervals and how it compares with better-understood entities. You might even say known-stabler entities, depending on how one sees SP500 vol and general bond vol.

    We all can see how it has done over time the last 3.5y, yes.
    Maybe not the best period for comparison, a bull market, but it's all there is.
    I have read (from others' posts here) that CAPE has been seriously backtested.


    >> If you assume that the fund has 100% exposure to CAPE

    a safe assumption, right?

    >> impossible to figure all of them without a lot more data points to work with

    Well, for this timespan it is a fair number of datapoints, a dozen or more market gyrations, as that phrase goes. And it's all there is to look at; I did not leave anything out.

    So au fond I am not seeing that it has any more dynamic range and slope steepness than conventional investments. I do not see how M* calculates its downside capture figure. I do not see how the funds' evidently successful and exact derivatives' deployment really has much to do with its potential problems.

    >> equity exposure is less than 100% (and possibly varying),

    how likely is this, given goal of tracking CAPE?

    >> or the bond return isn't as stable as Doubleline said,

    and how likely is it they are fudging that?

    Obvs all I am trying here is to address the 'if it sounds too good to be true it must be yada yada '. DSENX / DSEEX have consistently and seriously outperformed both SP500 and CAPE, and use a recipe that simply appears too good to be true. That's all. I ain't complaining. With more than half my nut in it, I am trying to be wary and plan in advance.

    I figured this place of all places might be able to discuss worst cases vs, and potential worse situations than, some conventional and comprehensible concoction of LV blend + broad bonds.
  • edited April 2017
    Here is a similar chart link to the one I posted, but this is for a 124 day/6 month time frame starting at the end of October, 2013.
    Under the graphic, you will find a "slider" with the number"124 days". Place and hold the pointer/cursor (onto the 124 days area) with whatever electronic device you're using to "drag" this 6 month time frame to the right to view whatever 6 month time frame you choose to review. Hopefully, this graphic may help visualize the relationships of returns for CAPE, SPY and DSEEX.
    Just another way to view, eh? My brain reacts positively to this type of display.
    Agreed that this type of study is important to help one understand and "see" an investment path; and especially when it may affect a large portion of one's investment portfolio.
    Hope this helps with your study.,SPY,DSEEX&l=0&r=123&O=011000

  • @catch22: What do the % on the far right tell me? Not a chart, man.
  • @catch22,

    Thanks much, very cool indeed, even cooler than your first link. Tracking closeness with overshoot / undershoot. But this is not a $10k-growth chart, correct ?
  • Great information, discussion and analysis!!

    Please keep it going; the more information, opinions, etc. the better investor we all have a chance to be!
  • edited April 2017
    @davidrmoran- No, appears to be a percentage gained or lost over a certain period of time. That period is determined by changing the number of days in the moveable box, and the box itself may be moved anywhere on the date line. The arrows at the ends of the dateline will move the dateline extremes.

    For example, leave the days at 124 and move the box over to the far right on the dateline, and you will see that the Barclays Schiller and the DoubleLine Schiller performance is much closer over that period of time. Change the days to "400" and the performance is even closer, both well above the S&P for that particular period.

    Neat chart!
  • edited April 2017
    You are correct, this is not a $10K chart like at M*. This is performance based charting.
    @Derf, some of the below may answer your question. If not, let me know here.

    The below link describes a bit about how stockcharts adjusts their performance data. I have not read through this link for some time; but recall either from this site or at another info piece somewhere; that the performance is adjusted for any distribution type, including splits; so cap. gains, etc are part of the total return performance numbers. I have used prior data from Vanguard to check a total return for whatever fund for year "x" and the numbers match with what I have found at StockCharts. There may be other sites for this, but I am not aware of such sites.
    Additionally, I see @Old_Joe has added some other details, too. Wait there's more.....
    Using the 6 month graph and move the days box to somewhere in the middle of the graphic and then you may also "right click and hold" onto either end of the "days slider" and move the right end or the left end to "stretch" the days forward or backward.
    I'll probably think of something else, but outside I must go to finish a few chores before the sun leaves my time zone.

    Lastly, all of what we are doing with this chart is FREE! And this chart, as you know is active (as has been linked). You may replace any of the tickers in the box below the graph and work with other stock, etf or fund ticker symbols. Just place the cursor at the right of an existing ticker and backspace to remove. One may enter up to 10 tickers separated by a comma. If you have not, save this particular graph page to return to and play with other tickers, too.

    NOTES: This site has a "chart school" and here is a video show and tell video link.

    OPPS, did forget one item that I generally don't use; but one may "right click" onto the "day" box and a few other default time frames appear to choose. Keep in mind that if one is viewing, say 3 funds, as with our working example, the looking backward date for all 3 funds will stop at the date of the "youngest" fund. So, if one ticker is only 4 years old, this is as far backward one may view comparisons, although the other 2 funds may be older. ALSO, I recall graph data will not be available backward past 1999.

  • Hi @Derf
    This most recent chart (6 months) and the chart (Oct. 2013 to present) I posted a couple of posts above/back (Apr. 24) both show the far right %'s you ask about.
    These percentage numbers reflect the "time period" selected for "total return" during this time period; as stockcharts includes all distributions for whatever one is viewing.

    EXAMPLE: The 6 month chart spans from October 31, 2013 through April 30, 2014. So, with these start and stop date points, the % returns during this period are what you see.
    You may also place your device cursor/pointer onto any of the graph lines to "view" a % return at a different date, without having to move the "slider day box".

    NOTE: stock charts may not let you use a "ticker" that is less than two years old; as my understanding is, that they do not consider enough data is available for a short time frame.

    You may also want to read a reply to davidrmoran above for other details.

  • >> [not] performance-based charting.

    This chart program's nifty merits aside, for many of us compounded / reinvested charting is all that matters, though --- the only performance.
  • @davidrmoran
    Agree. I have always pushed those I've know over the years to invest early (compounding) and continuous, and let the distributions be reinvested.
  • There is no way I'm going to be able to explain how to build regression models. What I tried to do was just offer the simplest model (100% CAPE + static bond return - static expenses).

    I rattled off a few of the many simplifying assumptions inherent in this model. Since the model does not fit the actual performance figures, some of those assumptions must be wrong. One way to figure out which ones is to relax (weaken or remove) some of the assumptions and try fitting the resulting, more complex model to the data.

    While it may look like you've got lots of data points to work with (each day's performance), there's lots of noise inherent in that data, especially since you've no real idea what's going on with the bond portion (more below). There are various standard filtering/smoothing techniques that can be tried to deal with this. The end result, while cleaner, would leave you with too sparse a data set to fit to most models. (Call that intuition from experience, I haven't worked the numbers.)

    While DoubleLine may say that the bond portion has returned a fairly steady 2.87% annually, it's not clear whether that is net or gross, or what portion of the portfolio the bonds represent ("up to 100%"). One sees, e.g. at least 7% of the fund in cash (so add that to the model). One doesn't even need M* to see the cash. In the latest (semi) annual report, the fund had 7.8% invested in three MMFs (Blackrock Liquidity FedFund, Fidelity Institutional MM, Morgan Stanley Institutional).

    Nor is the bond return all that steady. In that same semiannual report, the six month contribution of the bond portion is reported to be 2.3% (not annualized). Annualized, that's 4.65%, a far cry from 2.87%. How likely is it that they're fudging 2.87%? I'm sure that this is a reasonably accurate number. It's the "steady" part that's dubious. Not from a 100,000 foot level, i.e. the bond returns are not bouncing around like some EM bond funds. But it's hardly constant, certainly not close enough to build a model around that assumption.

    Personally, I'm comfortable with my prior posts - that the fund should approximate CAPE (for better or worse; I didn't comment on how that might behave) less overhead (leveraging costs, management costs, administrative costs, trading costs, clawback costs) plus bond portfolio returns (as much or as little a black box as one regards all of DoubleLine's bond funds).

    Read the fund reports - they give the contributions from the CAPE side and the bond side. Add these numbers, subtract the fund's ER, subtract a bit more for the stuff that isn't reflected in the ER, and you get the total return of the fund. That much is easy to confirm.
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