The old $10k-growth quote graphing from M*, which is not up to date tonight yet for many of these, shows that since 2/21 CAPE is right in the middle of, well, not its peers, but other ones I follow and think 'I should have done instead' ... NOBL, OUSA, DVY, VIG, SCHD, SPLV.
So there seems no particular or new reason to jettison CAPE, whether you understand it or not.
Certainly the DSE_X bond sauce has failed to add value for some time now.
It is remarkable to see (for this short, monthlong span) DVY do a full ~9% worse than VIG and OUSA, since the first two are so widely touted.
Of course it is mindblowing to see everything down like 26% in ~31 days, even after today's pop.
Wait'll this new state gets really serious. I just had a college friend die last night of covid19, healthy, 72, took ill 2w ago, on ventilator 12 days in a highly regarded NJ hospital, best care, seemed to be rallying, cardiac arrest in the middle of the night. One of the 780 US deaths thus far. His family and friends are stupefied and (of course) worse. Alan Finder helped me unpack my cartons of LPs and whiskey 55y ago into our freshman dorm.
Wait till we are discussing all this in a month or three or six, following the "president"'s Easter goal and back-to-work order.

Anybody get an accurate price in DSENX/DSEEX today? My sources show -3.99%, but CAPE gained 7.79%, a real disconnect. Seem to remember that DL funds can be late reporting MF NAVs.

yes, you can always graph it against CAPE and what the bond sauce has provided --- nothing for some time, to the contrary
brutal, brutal time, even if, as everyone points out now, you went heavily into bond funds of all types for safety and near-future cashflow needs

This post has been edited to correct my description of the fund's implementation of its strategy. I should have gone directly to DoubleLine to begin with. My apologies for being lazy.
It is a value play, if I understand the methodology correctly. M* calls it a blend. Lipper calls it a value. Value has been hit pretty hard lately.
I don't really think of it as a quant fund. More of a sector rotation strategy. From their description:

Each month the index ranks 11 sectors based on a modified CAPE® ratio and 12-month price momentum factor. The index selects five US sectors with the lowest modified CAPE® ratio or undervalued based on the ratio. The sector with the least favorable 12-month price momentum is rejected and the Index is comprised of the remaining four sectors for the given month.

Their holdings as of February 29:

Communication Services 25.77%
Industrials 24.67%
Materials 24.87%
Technology 25.01%
Total 100.00%

I added to the position in my IRA on the 18th when Treasuries were going haywire. But I'm pretty much fully invested there now. I would add it to my taxable if I could. I really like reinvesting those monthly dividends.

Hi Mark,
I'm sure you know all this already, but... It uses derivatives to get exposure to both the stock and bond market with the same money, so it's leveraged, in a way -- and when both the stock and bond markets get hit, it will take a hit on both sides and fall more than just the stock market alone.
So it's poor performance now makes sense to me. We're paying the price today for the benefits this leverage gave us (I own it) before.
What I don't know is what to think of it going forward. Presumably Grundlach will add value over the long term to the bond side, as he's always done, but I wonder if its super-simple quant model (rebalancing based on CAPE) will make any sense in the future?
I think a lot of quant models will need to be completely rejiggered, as historical patterns will matter less in a coronavirus world.
But like you, I'd love to hear more from others on this fund.

In this stressful time, which cries for serious and thoughtful information exchange, why MFO is being cluttered with garbage like this is completely beyond my comprehension. It echoes the performance from the very top of the present administration: let's keep on chattering about how everything will be just fine very soon, and keep up all of the ridiculous happy-talk. Unbelievable.

I've mentioned in the past I don't hang out on MFO that much any more because I used to come here to escape the nonsense. Now, all nonsense is a link to a post on this board. Matter of fact, the more links one posts, the more that person seems to be lauded. It should be about quality not quantity. Unfortunately, everything is a matter of opinion, so WTF do i know?

Here's the Fed PR release:
https://www.federalreserve.gov/newsevents/pressreleases/files/monetary20200318a1.pdf
I'm surely in the minority here, but my reaction is: how dare they!
The federal government bailed out MMFs a decade ago and swore it would never do it again. Investors were warned that they were taking risks by investing in prime MMFs. Those who did use these MMFs were told clearly and pointedly that they risked redemption fees and/or delays on withdrawals that could be imposed to preserve the value of their funds.
At the very least, require the funds to pull these triggers before getting more nonrecourse loans, i.e. more guarantees from the Treasury.
Now we're being told that these Obama administration regulations were all a lie, all for show? Meanwhile, Congressional Republicans have worked repeatedly to get rid of Dodd-Frank.
Note that this lending program applies only to prime MMFs. That is, the ones that the new MMF regulations were supposed to safeguard.

As of this morning, the Shiller CAPE was 24.46 and falling.
Good news: that's probably a five-year low.
Bad news: that 50 year average looks to be 15-20.
So "the market" isn't classically cheap.
Sensible grown-ups, El-Erian most recently, are anticipating a 30% drop in the market. That's good news in a way, since we're already down by the low- to mid-20s.
Bought some cabarnet sauvignon (aged in bourbon barrels, good reviews, $10) at Aldi's yesterday, which represents my big purchases this week. Other than that, I continue to doggedly add my monthly pittance to RiverPark, Grandeur Peak, Seafarer and T. Rowe Price Spectrum Income. Don't see a lot of reason to change, though I know that my allocation is underweight US stocks so I'll need to buy some more BIAWX sooner than later.
For what that's worth,
David

@msf - I don't argue with the paper. What I will say is that if the fund is managed that way then the shareholders should know that upfront. Although in real life it's probably unavoidable to escape political biases I'd prefer not to see them as a factor in investment decisions.

https://www.morningstar.com/articles/970581/did-mutual-funds-perform-as-expected-during-the-mini-crash
Did Mutual Funds Perform as Expected During the Mini-Crash?
For the most part, yes.
John Rekenthaler
Mar 6, 2020
Open Questions
It’s no secret that the S&P 500 dropped 11% last week. Less discussed has been how that downturn affected funds. Did any stock fund categories escape the damage? Did bond funds and alternative funds protect against the carnage? Should 401(k) investors be pleased with their target-date funds? Finally, how did active equity funds fare?

Structurally they're all pretty much the same but I have found PTY to be the most exposed to volatility in it's pricing. I use selloffs to buy more in bulk but generally just reinvest the distributions. You might find further information in the linked M* community discussion along with a lot of flotsam as well. I used to have a table laying out the various differences but I can't locate it at the moment. I'll post it if I find it.
PTY v. Other PIMCO CEF's
Edit: You can also dig out differences by examining the 'Portfolio' of each fund on M* or similar. Not the 'Portfolio Holdings' - hardly anyone can figure that out besides probably capecod but rather just the 'Portfolio'.

I did just that @msf in purchasing BIAWX and I also use the $5 automatic buy program but that doesn't allow me to escape the $49.95 fee when considering or attempting to take advantage of opportunistic "buys" on massive down days as we've been experiencing lately. I can't manage $20K on each purchase. Such is life. However that also allows the fund company to somewhat control the money flow into or out of the fund which may be beneficial.

Welcome to the “It’s not the Super Bowl without the Steelers, but it’s great that Troy was recognized as a first-ballot Hall of Famer” edition of the Mutual Fund Observer which is posted at https://www.mutualfundobserver.com/issue/february-2020/. Highlights include:

• my publisher's letter takes a swipe at robo-writers, and reports on an unusually fervent hug between Rob Arnott and Cliff Asness. Good news: the long-time sparring partners have agreed on something important. Bad news: it’s that 10-year returns look uniformly low. Both point you toward the long-unloved emerging markets, while Mr. Asness offers a version of “it’s time to be a bit grown-up” financial advice.


• a long-overdue profile of FAM Dividend Focus (FAMEX). Over the past year, we’ve done a series of data-driven articles that focused on equity-oriented funds that thrive when all others falter, but that still make decent returns. FAM Dividend Focus has earned its way into more of those articles than any other single fund. It was time to say just a bit more about it.


• Edward Studzinski has been meeting with, and sparring with, some very fine independent fund managers. He shares what he's learned about researching management strategies, the changing landscape, hubris and managers' insistence on tripping themselves up.


• “Getting More Bang” explores high capture / low downside capture equity funds. Capture ratio is a sort of “bang for the buck” measure: funds with a capture ratio over 1.0 are delivering more of the market’s upside than its downside. By picking a downside target (“I’m willing to take 90% of the market’s losses, but no more”), you can use the capture ratio to identify the funds which offer the greatest return for the risk you endure. It’s a simple and intuitive way to create your due diligence list. We offer the top 20 domestic and international funds.


• Lynn Bolin continues to explore the six rules of successful investing. This month: knowing your investment environment.


• Charles Boccadoro has responded to user requests for more fund portfolio data at MFO Premium; traditionally, we were analytics-rich but portfolio-poor. As he explains, that changed on February 1st.


• on a bright note, several first-rate funds have reopened to new investors, including RiverPark Short-term High Yield (RPHYX). RPHYX seems forever maligned because its portfolio doesn’t fit neatly in any box. RPHYX had the distinction of having the highest Sharpe ratio of any fund in existence for years. It's a low volatility / low-risk fund that's best used as a strategic cash fund. (I've owned it for a long time and use it in lieu of a savings account.) It has averaged 3.1% annually with a maximum drawdown, lifetime, of 0.6%. David Sherman's current reading of the market, bond as much as equity, is that it's time to maximize caution and his funds are positioned commensurately.

Liquidations, 74 manager changes, a dozen new names, two retirements and more …
The long scroll version is available at https://www.mutualfundobserver.com/2020/2/.
As ever,
David

4% after the year we just had. Sheesh. I am totally out of indexes in my IRA. Well. I did invest some of the proceeds in the Doubline Shiller/Cape fund DSEEX. So I guess I'm not totally out. But I'm not nearly as FAANGed as I used to be.
Vanguard's indexes in the small and mid space are hard to beat in taxable accounts.

Yeah. Akre is just remarkable and one hopes he does not turn into Bill Miller. His fund has outperformed such other superior small-number-of-holdings vehicles YAFFX, FAMEX, and FTQGX, and also even CAPE.

There was a thread not that long ago linking a paper that claimed M* understated credit risks of bond fund holdings. M* and the authors had some back and forth.
That MFO thread wound up in the bullpen. Here's a M* discussion community thread on the paper.
One fact I got out of the paper was that M* treats nonrated bonds as junk. In contrast, funds themselves use their internal ratings for those bonds when calculating average credit quality. So while M* doesn't even give a style box value for this fund, if it did the credit rating would be low quality (junk), regardless of whether that made sense for the unrated portfolio.
You are correct that M* equates risk with volatility (giving more weight to downside volatility) and disregards the underlying portfolio. Its rationale, according to its methodology, is that such attributes are implicitly accounted for when it classifies the fund:

A style profile may be considered a summary of a fund’s risk-factor exposures. Fund categories define groups of funds whose members are similar enough in their risk-factor exposures that return comparisons between them are useful.

That's certainly suspect with junk munis. My "classic" example is BCHYX, a California junk bond fund that M* lumps together with California longs.
This is more than a random example. M* classifies HICOX as a single state intermediate muni. The manager describes its peers as being "in the High Yield Municipal Debt Fund category." (Annual statement).
Most people seem to take "risk" (really volatility) adjusted returns at face value. You're going further - questioning not only whether volatility is a good metric for risk, but why aren't obvious risk attributes like credit quality explicitly incorporated? Good question!
Just looking superficially at the fund, I can offer a good news/bad news reason for buying/not buying it. It's been managed by the same manager for three decades. One's got to figure that if it hasn't had a major blowup in that period of time (I haven't checked), then he knows what he's doing with all these bonds. (Though as you point out, they're very narrowly focused and the landscape may be changing.)
But any fund, not just this one, with a single manager for that period of time has significant management risk, especially when virtually its whole portfolio consists of unrated securities. In the Annual Statement, he describes himself as "new to Medicare", i.e. mid-to-late 60s.
Since you asked about pricing, see Note 2 in the Annual Statement. It's pretty much boilerplate but goes to describe how bonds are priced. The fund has no level 1 bonds, meaning bonds that trade frequently (so that you can quote the market price directly). Most of the bonds are level 2, meaning that while these particular bonds may not be trading frequently, there are enough "comps" to get a good estimate. Level 3 is divining prices from unobservable data.
"Securities for which there is no last sales price are valued by an independent pricing service based on evaluated prices which considers such factors as transactions in bonds, quotations from bond dealers, market transactions in comparable securities and various relationships between securities, or are fair valued by management. "

I may be slow, so help me out. LDVAX aims to replicate an index by taking positions in companies not in the index. I get CAPE and MOAT, which I own, because they invest in stocks that are part of their relative indices. CAPE does it indirectly through instruments I don't fully understand, but MOAT defines its index members quarterly and buys equal weights of the components. Both CAPE and MOAT do really well matched against SPY and I sometimes trade in and out of these ETFs depending on market conditions. I don't understand how LDVAX's managers can examine VC/PE activity for the previous quarter and translate those findings into buys or sells of companies not the subject of the activity. I recognize that existing listed companies might be receiving new infusions of capital though VC/PE, thereby making them candidates for purchase. However, for start-ups or brand new ideas, there won't be a listed stock and, more importantly, if the newby has some truly revolutionary idea or technology, there won't be a similar stock to buy. I can't argue with LDVAX's results, but they need to be put in the context of a perfect recent market environment for growth and an apparent need to trade furiously. S/T CG have risen over the fund's three-year history, so there are tax consequences. I'm hoping a board member understands better than I what the secret sauce is that juices the returns. My problem may be that I'm like the HS football team I played on: we were small, but we were slow.

DoubleLine has an international Shiller/CAPE strategy that may be of interest to value investors. The tickers are DLEUX/DSEUX.
dinky linky

Maintain a core portfolio of debt instruments that focuses on global fixed income rotation while simultaneously obtaining exposure to the European Equity sector rotation strategy via The Shiller Barclays CAPE® Europe Sector Net TR USD Index. The Index 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. By using both a value indicator and a momentum indicator, the Index aims to provide more stable and improved risk adjusted returns. The CAPE® Ratio is used to assess equity markets valuations and averages ten years of reported earnings to account for earnings and market cycles. European sectors are equal-weighted notional long exposure to four European sectors that are undervalued. Each European sector is represented by a sector index. Each month, the Index ranks ten European sectors based on a modified CAPE® Ratio (a “value” factor) and a twelve-month price momentum factor (a “momentum” factor). The Index selects the five European sectors with the lowest modified CAPE® Ratio — the sectors that are the most undervalued according to the CAPE® Ratio. Only four of these five undervalued sectors, however, end up in the Index for a given month, as the sector with the worst 12-month price momentum among the five selected sectors is eliminated. The sectors are typically comprised of issuers represented in the MSCI Europe Index, which captures large and mid cap stocks across 15 developed market countries in Europe.

I believe they will Lewis because that's the way the world is moving. Progress might be slow and measured but I think we might be shocked by the investing landscape 10 years from now compared to today. Just in energy related issues alone we'll see more alt-energy adopted, batteries, electric vehicles even if just hybrid types and the list goes on. Changes are coming, at least I hope so.

Hi @Gary1952,
Welocme to MFO.
Thank you for your question.
This should help provide an understanding of how I govern my portfolio along with how the pieces fit into a master portfolio. The hybrid income sleeve is a big part of my portfolio and is detailed below.
Consolidated Master Portfolio & Sleeve Management System ... Last Revised on 12/31/2019
Now being in retirement here is a brief description of my sleeve management system which I organized to better manage the investments held within mine and my wife's portfolios. The consolidated master portfolio is comprised of two taxable investment accounts, two self directed retirement accounts, a health savings account plus two bank savings accounts. With this, I came up with four investment areas. They are a Cash Area which consist of two sleeves ... an investment cash sleeve and a demand cash sleeve. The next area is the Income Area which consist of two sleeves ... an income sleeve and a hybrid income sleeve. Then there is the Growth & Income Area which has more risk associated with it than the Income Area and it consist of four sleeves ... a global equity sleeve, a global hybrid sleeve, a domestic equity sleeve and a domestic hybrid sleeve. Then there is the Growth Area where the most risk in the portfolio is found and it consist of five sleeves ... a global growth sleeve, a large/mid cap sleeve, a small/mid cap sleeve, an other investment sleeve plus a special investment (spiff) sleeve. The size of each sleeve can easily be adjusted, from time-to-time, by adjusting the number of funds held and their amounts. By using the sleeve management system I can get a better picture of my overall investment landscape. I have found it beneficial to Xray each fund, each sleeve, each investment area, and the portfolio as a whole quarterly for analysis. All my funds with the exception of those in my health savings account pay their distributions to the Cash Area of the portfolio. This automatically builds cash in the Cash Area to meet the portfolio's disbursement needs (when necessary) with the residual being left for new investment opportunity. Generally, in any one year, I take no more than a sum equal to one half of my portfolio's five year average return. In this way principal builds over time. In addition, most buy/sell transactions settle from, or to, the Cash Area with some net asset exchanges between funds taking place. My rebalance threshold is + (or -) 2% of my neutral allocation for my Income Area, Growth & Income Area and Growth Area while I generally let the Cash Area float. However, at times, I can tactically position by setting a target allocation that is different from the neutral weighting to overweight (or underweight) an area without having to do a forced rebalance. I do an Instant Xray analysis of the portfolio quarterly and make asset weighting adjustments as I feel warranted based upon my assessment of the market(s), my goals, my risk tolerance, my cash needs, etc. I have the portfolio set up in Morningstar's portfolio manager by sleeve, by each area and the portfolio as a whole for easy monitoring plus I use brokerage account statements, Morningstar fund reports, fund fact sheets along with their annual reports to follow my investments. In addition, I use my market barometer and equity weighting matrix system as a guide to assist me in throttling my equity allocation through the use of equity ballast, or a spiff position, when desired. I also maintain a list of positions to add (A) to, to buy (B), to reduce (R), or to sell (S). Generally, funds are assigned to a sleeve based upon a best fit basis. Currently, my investment focus is to position new money into income generating assets. The last major rebalanced process was started during the 4th Quarter of 2018 and was completed in the 1st Quarter of 2019 along some sleeves being reconfigured along with the movement to a new asset allocation.
Portfolio Asset Allocation: Balanced Towards Income ... 20% Cash, 40% Income, 30% Gr & Inc and 10% Growth
CASH AREA: (Weighting Range 15% to 25%, Neutral 20%, Target 15%, Actual 14%)
Demand Cash Sleeve ... Cash Distribution Accrual & Future Investment Accrual
Investment Cash Sleeve ... MMK Funds: AMAXX, TTOXX, PCOXX, CD Ladder & Savings
INCOME AREA: (Weighting Range 35% to 45%, Neutral 40%, Target 40%, Actual 39%)
Income Sleeve: BLADX(A), FLAAX(B), GIFAX, JGIAX(A), LBNDX, NEFZX, PGBAX, PONAX & TSIAX
Hybrid Income Sleeve: APIUX(A), AZNAX(A), BAICX, CTFAX, DIFAX, FBLAX, FISCX, FKINX, FRINX(A), ISFAX, JNBAX & PMAIX
GROWTH & INCOME AREA: (Weighting Range 25% to 35%, Neutral 30%, Target 30%, Actual 32%)
Domestic Equity Sleeve: ANCFX, FDSAX, INUTX(A) & SVAAX
Domestic Hybrid Sleeve: ABALX, AMECX, HWIAX & LABFX
Global Equity Sleeve: CWGIX, DEQAX, DWGAX(A) & EADIX
Global Hybrid Sleeve: CAIBX, TEQIX & TIBAX
GROWTH & OTHER ASSET AREA: (Weighting Range 5% to 15%, Neutral 10%, Target 15%, Actual 15%)
Large/Mid Cap Sleeve: AGTHX, AMCPX & SPECX
Small/Mid Cap Sleeve: AOFAX, NDVAX & PMDAX
Global Growth Sleeve: ANWPX, NEWFX & SMCWX
Other Investment Sleeve: KAUAX(A), LPEFX & PGUAX
Equity Ballast & Spiff Sleeve: No position held at this time.
In addition, my all weather asset allocation might be of some interest to you as well. Below is my blurb arbout it.
Old_Skeet's All Weather Asset Allocation.
My all weather asset allocation of 20% cash, 40% income and 40% equity affords me everything necessary to meet my needs now being in the distribution phase of investing. The benefit of this asset allocation is that it provides sufficient income, maximizes diversification, minimizes volatility, and provides long-term returns.
The 20% held in cash area provides me ample cash should I need a cash draw over and above what my portfolio generates plus it can provide the capital necessary to fund a special investment position (spiff) should I choose to open one during a stock market pullback. In addition, cash helps stabilize a portfolio during stock market volatility. Example of investments held in this area are cash, money market mutual funds and CD's.
The 40% held in the income area provides me ample income generation to meet my income needs in retirement. It is a well diversified area that incorporates a good number of income generating type funds. Some examples of investments held in this area are ISFAX, PONAX & PGBAX.
The 40% held in the equity area provides me some dividend income along with some growth, that equities generally provide, that offsets the effects of inflation over time. Some examples of investments held in this area are NEWFX, SVAAX, SPECX
Generally, for my income distributions, I take no more than a sum equal to what one half of my five year average total return has been. In this way principal grows over time.
@Gary1952 ... Thanks again for your question. I'm thinking the above information will provide the answer(s) you seek (or might seek) about me (going forward) as to how I govern.
Old_Skeet