Howdy, Stranger!

It looks like you're new here. If you want to get involved, click one of these buttons!

In this Discussion

Here's a statement of the obvious: The opinions expressed here are those of the participants, not those of the Mutual Fund Observer. We cannot vouch for the accuracy or appropriateness of any of it, though we do encourage civility and good humor.

    Support MFO

  • Donate through PayPal

DSENX and CAPE in portfolio x-ray, how to emulate

I think this was discussed. Was there ever a conclusion about how to emulate (simulate) these with other, close-enough funds? M* is helpless, of course.


  • CAPE isn't difficult to emulate with etfs if you have the data to calculate their modified CAPE or you're willing to be off on your timing by about a month. It's just my guess, but because their version of CAPE looks at a sectors CAPE relative to its own history in order to determine whether its cheap or not, I think the chances of longer trends is higher and then being late by a month or so isn't as bad as if the turnover was higher. But that's just a guess.

    DSENX is a lot harder to emulate because of the swaps. You can certainly do the same deal with the etfs and buy another bond fund but most people won't be able to do that with the same money. I think the people who can come close to using the same money twice will have to use futures for the equity exposure and then hold a bond fund that you can access very easily if you end up needing to meet a margin call.
  • Right, but I meant in the M* portfolio x-ray
    I just stuck in VTV to get a rough sense.
  • Oh, sorry. What I've done is to use the SPDR etfs for the sectors the fund is in as of the most recent info I can get and I just allocate 25% to each even though that isn't completely accurate. For the bonds, I either use nothing because I'm reviewing something that is focused on equity or I just use DLSNX, their Low Duration Bond fund, because the bond information in the X-ray tool is pretty limited and it has a duration and credit quality that is close enough for my purposes (based simply on reviewing the statistics available on the Doubleline website). I allocate the same amount to the bonds as the equity and the total, if I'm using amounts rather than percentages, is double what I actually have invested in DSEEX. This gives me percentages that are based on a larger portfolio than I actually have, because the money in DSEEX is counted twice. I tried once to input a short money market position to reflect the effective leverage of the swaps but the X-ray tool wouldn't allow it.
  • This is a little off-topic of emulation, but if anyone would comment I would appreciate your thoughts and views.

    I am a fairly recent (2017) investor in DSEEX so I have not reaped the previous years benefits. I have no intention to liquidate or reduce my percentage invested but I am curious if anyone has thoughts on the recent meaningful "under-performance" of this fund to its benchmark, the S&P 500?

    The sectors it is/was invested in (according to its website) have done relatively well, excluding tech recently! So why the recent 2+ % under-performance?

    I am just trying to get a better understanding of DSEEX and what to expect under various scenarios, if that's possible!


  • It's only the last month, really; graph it (M* $10k growth) by bundles of recent days and weeks to see.
    If you do that going way back, short and long, you can get a sense of what to expect.
    It changes every month. Apparently sometimes it can underperform. I do not know what happened the last month specifically. I suppose it could continue, and surely repeat.
  • As for the last month, if we assume the same sectors continued from May into June, Technology was hit pretty hard (-5+%) and Consumer Discretionary was down roughly the same as Healthcare was up. Industrials were up a little but not much. I looked at the SPDR Select efts and admittedly I just looked at the 1 month performance from right now, so it's not completely precise, but that's at least some of the cause. In the last month VOO was down half a percent or so. That doesn't totally justify 2% underperformance, more like 1% or so, which means either the imperfections in my estimate are the rest or the bonds had a tough month too, or both.

    I think anytime you follow a system that mechanically rotates, regardless of whether it's among sectors, or in the market and out based on moving averages, or whatever, you're going to have periods where you're on the wrong side of things and you're hope is that you'll end up on the right side of things enough to do well. There's no question the fund has done well since its inception, but in some cases systems are designed to reduce volatility rather than specifically increase the return. In the case of this fund it seems the goal is increasing the return more than reducing volatility although at times I think it's been less volatile too.
  • Thanks for the insights! I was just curious and know there is an abundance of knowledge on this forum that would be able to give me a little more understanding!

    I'm not worried at all; I just thought the 2+% decline was a little steeper than what it was invested in during the month would indicate.

    I think this fund has (so far) proved itself to be a worthwhile investment. We will have to wait until it goes through a full market cycle to get a more definitive sample.

    I'm in it until it proves to be a fad or another FAIRX.

    Any further thoughts or comments are very welcome!!

    Thx Matt

Sign In or Register to comment.