Live Webcast Hosted By: Smart lpha - ValueWalk · 2016-02-09 · Jeffrey Sherman, CFA ... To Receive Presentation Slides: You can email [email protected]. DoubleLine CAPE®

Live Webcast Hosted By:

Jeffrey Sherman, CFA Portfolio Manager

Shiller Enhanced CAPE®(DSEEX/DSENX)

February 9, 2016

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DoubleLine CAPE® Webcast 2-9-2016 1

Fund Offerings

Retail and Institutional ClassNo Load Mutual Fund

Retail Inst.N-share I-share

Ticker DSENX DSEEXMin Investment $2,000 $100,000Min IRA Investment $500 $5,000Gross Expense Ratio 1.09% 0.84%Net Expense Ratio* 0.92% 0.67%Expense Cap* 0.90% 0.65%

Shiller Enhanced CAPE®

The funds’ investment objectives, risks, charges and expenses must be considered carefully before investing. The statutory and summary prospectuses contain this and other important information about the investment company, and may be obtained by calling 1 (877) 354-6311/1 (877) DLine11, or visiting www.doublelinefunds.com. Read carefully before investing.Mutual fund investing involves risk; Principal loss is possible. Investments in debt securities typically decrease when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher rated securities. Investments in asset-backed and mortgage-backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible liquidity and default as well as increased susceptibility to adverse economic developments. Investments in foreign securities, which involve political, economic, and currency risks, greater volatility, and differences in accounting methods. These risks are greater for investments in emerging markets. 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. The Fund may use leverage which may cause the effect of an increase or decrease in the value of the portfolio securities to be magnified and the fund to be more volatile than if leverage was not used.Opinions expressed are subject to change at any time, are not forecasts and should not be considered investment advice.Fund holdings and sector allocations are subject to change and are not a recommendation to buy or sell any security.*The Advisor has contractually agreed to waive its investment advisory fee and to reimburse the Fund for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 0.65% for Class I shares and 0.90% for Class N shares. Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, Acquired Fund Fees and Expenses, and any extraordinary expenses. These expense limitations are expected to apply until at least July 31, 2016, except that they may be terminated by the Board of Trustees at any time.Diversification does not assure a profit or protect against loss in a declining market.DoubleLine Funds are distributed by Quasar Distributors, LLC.While the Funds are no-load, management fees and other expenses still apply. Please refer to the prospectus for further details.


PerformanceAs of December 31, 2015

Quarter End4Q

20151-Year

Since InceptionAnnualized

(10-31-13 to 12-31-15)

I-share 8.81% 4.65% 12.27%

N-share 8.76% 4.32% 11.97%

S&P 500® 7.04% 1.38% 9.52%

I-Share N-ShareGross SEC 30-Day Yield 3.30% 3.05%

Net SEC 30-Day Yield 3.30% 3.05%

I-Share N-Share

Gross Expense Ratio 0.84% 1.09%Net Expense Ratio* 0.67% 0.92%

Expense Cap* 0.65% 0.90%

Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 213-633-8200 or by visiting www.doublelinefunds.com. The performance information shown assumes the reinvestment of all dividends and distributions.*The Advisor has contractually agreed to waive its investment advisory fee and to reimburse the Fund for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 0.65% for Class I shares and 0.90% for Class N shares. Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, Acquired Fund Fees and Expenses, and any extraordinary expenses. These expense limitations are expected to apply until at least July 31, 2016, except that they may be terminated by the Board of Trustees at any time.

http://www.doublelinefunds.com/


PerformanceAs of January 31, 2016

Month End January Last 3 Months 1-YearSince Inception

Annualized(10-31-13 to 1-31-16)

I-share -4.16% -4.56% 1.86% 9.70%

N-share -4.18% -4.62% 1.62% 9.40%

S&P 500® -4.96% -6.18% -0.67% 6.71%

I-Share N-ShareGross SEC 30-Day Yield 3.31% 3.06%

Net SEC 30-Day Yield 3.31% 3.06%

I-Share N-Share

Gross Expense Ratio 0.84% 1.09%Net Expense Ratio* 0.67% 0.92%

Expense Cap* 0.65% 0.90%

Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 213-633-8200 or by visiting www.doublelinefunds.com. The performance information shown assumes the reinvestment of all dividends and distributions.*The Advisor has contractually agreed to waive its investment advisory fee and to reimburse the Fund for other ordinary operating expenses to the extent necessary to limit ordinary operating expenses to an amount not to exceed 0.65% for Class I shares and 0.90% for Class N shares. Ordinary operating expenses exclude taxes, commissions, mark-ups, litigation expenses, indemnification expenses, interest expenses, Acquired Fund Fees and Expenses, and any extraordinary expenses. These expense limitations are expected to apply until at least July 31, 2016, except that they may be terminated by the Board of Trustees at any time.



Announcements

Joseph Galligan – February 23, 2016Long Duration Total Return Fund WebcastGo to www.doublelinefunds.com, Home page under “Events”2016 Webcast Schedule to register1:15 pm PDT/4:15 pm EDT

Jeffrey Gundlach – March 8, 2016Total Return Bond Fund WebcastGo to www.doublelinefunds.com, Home page under “Events”2016 Webcast Schedule to register1:15 pm PDT/4:15 pm EDT

To Receive Presentation Slides:You can email [email protected]



mailto:[email protected]


TAB IDoubleLine Shiller Enhanced CAPE® Strategy


A + B = C

• The DoubleLine Shiller Enhanced CAPE® Strategy creates the “Complete” solution for investors by combining Smart “Alpha” and Smart “Beta”

• Alpha: DoubleLine’s Fixed Income strategy strives to shift its exposures to the cheapest sectors of the fixed income markets creating a potential source of alpha

+

• Beta: The Shiller Barclays CAPE® U.S. Sector Index attempts to shift portfolio exposures to the cheapest sectors of the large cap equity market using a smart beta approach

=

• Complete: Combining the alpha and beta strategies can offer investors the complete solution to equity market investments


Complete: DoubleLine Shiller Enhanced CAPE® Structure

DoubleLine ShillerEnhanced CAPE®

Smart AlphaDoubleLine

Actively Managed Fixed Income

Portfolio

Smart BetaShiller Barclays

CAPE® US Sector TR USD Index

Initial Investment

* A portion of the Initial Investment may be pledged as collateral under the swap** Market fluctuations may preclude full $1 for $1 exposure between the swaps and the fixed income portfolio

• The distinct structure of the DoubleLine Shiller Enhanced CAPE® Strategy allows investors to simultaneously access returns of the equity markets and fixed income markets. By using an equity index swap, $1 invested in the strategy provides approximately $1 of exposure to each market.


TAB IIDoubleLine Shiller Enhanced CAPE® Performance Metrics


DoubleLine Shiller Enhanced CAPE® Structure




Portfolio



Initial Investment



Complete PerformanceOctober 31, 2013 through January 29, 2016

DoubleLine Shiller Enhanced CAPE® Total

Return

Shiller Barclays CAPE® US Sector Total Return

6 Sectors not in CAPE® Total Return

S&P 500® Total Return

Geometric Return 9.72% 8.63% 4.56% 6.71%

Standard Deviation 13.54% 13.63% 13.04% 13.79%

Sharpe Ratio 0.75 0.67 0.40 0.54

$0.90

$0.95

$1.00

$1.05

$1.10

$1.15

$1.20

$1.25

$1.30

$1.35

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1, 2

01

3 –

Jan

uar

y 2

9,

20

16

DoubleLine Shiller Enhanced CAPE® Total Return


6 Sectors not in CAPE® Total Return

S&P 500 Total Return

Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 213-633-8200 or by visiting www.doublelinefunds.com. The performance information shown assumes the reinvestment of all dividends and distributions.Past performance is no guarantee of future results. This chart illustrates the performance od a hypothetical growth of $1 made in the Fund on October 31, 2013. Assumes the reinvestment of dividends and capital gain, but does not reflect the effect of any applicable sales charge or redemption fees. This chart does not imply future performance.



DoubleLine Shiller Enhanced CAPE® PerformanceOctober 31, 2013 through January 29, 2016

DoubleLine Shiller Enhanced CAPE®

Total Return

S&P 500®Total Return

Russell 1000 Value® Total Return

Russell 1000 Growth® Total Return

Geometric Return 9.72% 6.71% 3.93% 8.16%Standard Deviation 13.54% 13.79% 13.75% 14.19%Sharpe Ratio 0.75 0.54 0.35 0.62

$0.90

$0.95

$1.00

$1.05

$1.10

$1.15

$1.20

$1.25

$1.30

$1.35

Gro

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1, 2

01

3 -

Jan

uar

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9, 2

01

6

DoubleLine Shiller Enhanced CAPE® Total Return




Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 213-633-8200 or by visiting www.doublelinefunds.com. The performance information shown assumes the reinvestment of all dividends and distributions. Past performance is no guarantee of future results. This chart illustrates the performance od a hypothetical growth of $1 made in the Fund on October 31, 2013. Assumes the reinvestment of dividends and capital gain, but does not reflect the effect of any applicable sales charge or redemption fees. This chart does not imply future performance.



Performance StatisticsOctober 31, 2013 through January 29, 2016

DoubleLine Shiller Enhanced CAPE®

Total Return

S&P 500® Total Return

Russell 1000 Value® Total

Return

Russell 1000 Growth® Total

Return

Geometric Return 9.72% 6.71% 3.93% 8.16%Standard Deviation 13.54% 13.79% 13.75% 14.19%Sharpe Ratio 0.75 0.54 0.35 0.62Up/Down Ratio 1.17 1.13 1.16 1.27Average Up % 0.67% 0.62% 0.61% 0.62%Average Down % -0.69% -0.64% -0.66% -0.70%Maximum Gain 3.72% 3.91% 3.46% 4.02%Maximum Loss -3.62% -3.94% -4.18% -3.73%Maximum Drawdown -11.78% -12.04% -15.35% -11.80%Correlation to S&P 500® TR 0.97 1.00 0.98 0.98Correlation to Russell 1000 Value® TR 0.95 0.98 1.00 0.94Correlation to Russell 1000 Growth® TR 0.97 0.98 0.94 1.00Beta to S&P 500® TR 0.96 1.00 0.98 1.01Beta to Russell 1000 Value® TR 0.93 0.99 1.00 0.97Beta to Russell 1000 Growth® TR 0.92 0.96 0.91 1.00Alpha to S&P 500® TR 3.09% 0.00% -2.52% 1.32%Alpha to Russell 1000 Value® TR 5.73% 2.72% 0.00% 4.20%Alpha to Russell 1000 Growth® TR 2.03% -1.04% -3.32% 0.00%

Source: DoubleLine Capital. Daily data periodicity used in calculations. October 31, 2013 – January 29, 2016.Past performance is no guarantee of future results.


DoubleLine Shiller Enhanced CAPE® PerformanceRelative to Morningstar UniverseNovember 1, 2013 – December 31, 2015

Source: Morningstar, Zephyr

Past performance is no guarantee of future results.

Zephyr StyleADVISORZephyr StyleADVISOR: DoubleLine Group, LP

Manager vs Morningstar Large Value: ReturnNovember 2013 - December 2015 (not annualized if less than 1 year)

Retu

rn

-10

-5

0

5

10

15

1 year 1 year 1 quarter 1 year 2 quarters 1 year 3 quarters 2 years

DoubleLine Shiller Enhanced CAPE® I

Morningstar Large Value

Russell 1000 Value

S&P 500

5th to 25th Percentile

25th Percentile to Median

Median to 75th Percentile


Manager vs Morningstar Large Value: Return RankNovember 2013 - December 2015 (not annualized if less than 1 year)



Russell 1000 Value

S&P 500

1 year

1432 mng

1 year 1 quarter

1415 mng

1 year 2 quarters

1406 mng

1 year 3 quarters

1390 mng

2 years

1382 mng

0% 0% 0% 0% 0%

56% 57% 59% 59% 59%

52% 38% 39% 32% 25%

4% 4% 2% 2% 2%


DoubleLine Shiller Enhanced CAPE® Sharpe RatioRelative to Morningstar UniverseNovember 1, 2013 – December 31, 2015




Manager vs Morningstar Large Value: Sharpe RatioNovember 2013 - December 2015 (not annualized if less than 1 year)

Sharp

e R

atio

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

1




Russell 1000 Value

S&P 500





Manager vs Morningstar Large Value: Sharpe Ratio RankNovember 2013 - December 2015 (not annualized if less than 1 year)



Russell 1000 Value

S&P 500

1 year

1432 mng

1 year 1 quarter

1415 mng

1 year 2 quarters

1406 mng

1 year 3 quarters

1390 mng

2 years

1382 mng

1% 2% 2% 1% 1%

57% 57% 59% 58% 58%

53% 38% 40% 32% 25%

5% 5% 2% 3% 4%


DoubleLine Shiller Enhanced CAPE® AlphaRelative to Morningstar UniverseNovember 1, 2013 – December 31, 2015




Manager vs Morningstar Large Value: AlphaNovember 2013 - December 2015 (not annualized if less than 1 year)

Alp

ha

-12%

-10%

-8%

-6%

-4%

-2%

0%

2%

4%




Russell 1000 Value

S&P 500





Manager vs Morningstar Large Value: Alpha RankNovember 2013 - December 2015 (not annualized if less than 1 year)



Russell 1000 Value

1 year

1432 mng

1 year 1 quarter

1415 mng

1 year 2 quarters

1406 mng

1 year 3 quarters

1390 mng

2 years

1382 mng

0% 1% 1% 1% 1%

57% 58% 59% 59% 57%

53% 37% 39% 33% 26%

S&P 500 5% 5% 3% 4% 5%


Smart Alpha: Fixed Income Portfolio Sector Allocation• Broadly diversified across fixed income sectors

Source: DoubleLine Capital. Representative portfolio sector allocation is as of January 31, 2016 and is subject to change without notice.WAL = Weighted Average Life

Duration 1.5

WAL* 3.2

Cash11.5%

U.S. Treasury15.0%

Agency MBS5.2%

Non-Agency RMBS11.8%Investment

Grade Credit9.3%

Commercial MBS

16.2%

Collateralized Loan

Obligations16.7%

Bank Loans2.6%

International Emerging

11.8%


Smart Alpha: Fixed Income Portfolio Ratings Distribution

Source: DoubleLine Capital. Representative portfolio ratings distribution is as of January 31, 2016 and is subject to change without notice.Investment Grade = Refers to a bond considered investment grade if its credit rating is BBB– of higher by Standard & Poor’s or Baa3 or higher by Moody’s. Ratings are based on a corporate bond model. The higher the rating the more likely the bond will pay back par/100 cents on the dollar.Below Investment Grade = Refers to a security that is rated below investment grade. These securities are seen as having higher default risk or other adverse credit events, but typically pay higher yields than better quality bonds in order to make them attractive. They are less likely to pay back 100 cents on the dollar.

Cash11.5%

U.S. Government

15.0%

Agency5.2%

Investment Grade48.7%

Below Investment

Grade16.7%

Unrated2.8%


11.5%

34.9% 34.8%

14.7%

1.7%2.5%

0%

5%

10%

15%

20%

25%

30%

35%

40%

Cash < 1 Year 1 - 3 Years 3 to 5 years 5 to 7 years 7+ years

Po

rtfo

lio D

ura

tio

n E

xpo

sure

Smart Alpha: Fixed Income PortfolioDuration Buckets

• Portfolio duration is 1.5 years

Source: DoubleLine Capital. Representative portfolio duration allocation and overall duration is as of January 31, 2016 and is subject to change without notice.


TAB IIIDefining the CAPE® Ratio


What is the CAPE® Ratio?

Inflation = the rate of change of prices calculated on a monthly or annual basis.P/E = Price Earnings Ratio is the valuation ratio of a company’s market value per share divided by the company’s earnings per share (EPS).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. You cannot invest directly in an index.

• Acclaimed value investors Benjamin Graham and David Dodd noted in Security Analysis that equity valuations tend to follow a business cycle of 3-7 years

• The CAPE® Ratio was formulated in the seminal 1988 piece1 from Professor Robert Shiller and John Campbell.

• CAPE® = Cyclically Adjusted P/E (Price-to-Earnings)

• The CAPE® ratio seeks to assess longer term equity valuation by using an inflation adjusted earnings horizon that is 10 times longer than the traditional P/E measure

• Similar to the traditional P/E the CAPE® can be applied to a single equity, a portfolio of equities, a sector or a broad based index

1. Campbell, J. Y., and R. J. Shiller, “Stock Prices, Earnings, and Expected Dividends,” Journal of Finance, 43:3, 661-76, 1988


Relative CAPE® Ratio

Source: Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2012, Oliver D. Bunn and Robert J. Shiller, September 4, 2012Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. See Historical Index Performance Disclaimer.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. You cannot invest directly in an index.Please see the Appendix for Historical Index Performance Disclaimer.

• To account for idiosyncratic differences between sectors where CAPE® ratios have historically been of different magnitudes one can construct a Relative CAPE® ratio

• This may allow investors to compare sector valuations on a level playing field

• The Relative CAPE® ratio is used to compare relative valuation among equity sectors

0.0

0.3

0.6

0.9

1.2

1.5

1.8

2.1

2002 2004 2006 2008 2010 2012

Relative CAPE® Ratio

Technology

Utilities0

10

20

30

40

50

60

2002 2004 2006 2008 2010 2012

CAPE® Ratio

Technology

Utilities


TAB IVSmart Beta: Shiller Barclays CAPE® U.S. Sector Index


Complete: DoubleLine Shiller Enhanced CAPE® Structure




Portfolio



Initial Investment




Shiller Barclays CAPE® U.S. Sector Index Sector Selection Rules

Source: Barclays, DoubleLine CapitalCAPE® = Cyclically Adjusted Price Earnings Shiller Barclays CAPE® U.S. Sector Index = 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. You cannot invest directly in an index.

10 U.S. Sectors (per table to the right)

Examine 30 years worth of index values and earnings for 10 U.S. sectors

Relative CAPE® Indicator for Each Sector

Select 5 most undervalued sectors based on Relative CAPE® indicator

Momentum

Remove the sector with the lowest 12-month Total Return for selected sectors

Portfolio Allocation

Equal weight in 4 favored, undervalued sectors with most positive price momentum Utilities

Consumer Discretionary

Technology

Shiller Barclays CAPE® U.S. Sectors

Healthcare

Industrial

Materials

Real Estate

Consumer Staples

Energy

Financials


0.20

0.40

0.60

0.80

1.00

1.20

1.40

1.60

1.80

2.00

Re

lati

ve C

AP

E® R

atio

Sep

tem

be

r 2

00

2 -

Feb

ruar

y 2

01

6

Energy Materials Industrials Consumer Discretionary

Consumer Staples Health Care Financials Utilities

Technology Real Estate

Real Estate

Discretionary

Utilities

Materials

Financials

Industrials

Staples

Energy

Technology

Healthcare

Relative CAPE® Ratio for Value Investing – SectorsThe Shiller Barclays CAPE® U.S. Sector Index uses the Relative CAPE® Ratio to select the most undervalued sectors in the market

Source: Barclays, DoubleLine Capital. Data Range: September 2002 – February 2016In the chart, the vertical axis represents the Relative CAPE® Ratio. For definitions, please see the Appendix section of thispresentation. For illustrative purposes only. Any data on past performance, modeling or back-testing contained herein is noindication as to future performance. See Historical Index Performance Disclaimer in the Appendix section of this presentation.


• Portfolio weights are reconstituted on a monthly basis using the Relative CAPE® ratio

Historical Sector Rotation of Shiller Barclays CAPE® U.S. Sector Total Return Index

Source: Barclays, DoubleLine Capital.

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. You cannot invest directly in an index. Please see the Appendix for index definitions.


Consumer Staples

Energy

Financials

Healthcare

Industrials

Materials

Technology

Utilities

Real Estate

Shill

er B

arcl

ays

CA

PE®

Se

cto

r Ex

po

sure

sSe

pte

mb

er

20

02

-Fe

bru

ary

20

16


Shiller Barclays CAPE® US Sector Index ExposuresNovember 2013 – February 2016

Source: Barclays, DoubleLine CapitalFund holdings and sector allocations are subject to change and not a recommendation to buy or sell any security.


Consumer Staples

Energy Financial Healthcare Industrial Materials Technology Utilities Real Estate

Nov-13 Staples Energy Healthcare Industrials

Dec-13 Staples Energy Healthcare Industrials

Jan-14 Staples Energy Healthcare Industrials

Feb-14 Staples Healthcare Industrials Technology

Mar-14 Energy Financial Healthcare Technology

Apr-14 Energy Healthcare Industrials Technology

May-14 Energy Healthcare Industrials Technology

Jun-14 Energy Healthcare Industrials Technology

Jul-14 Energy Healthcare Industrials Technology

Aug-14 Energy Healthcare Industrials Technology

Sep-14 Energy Healthcare Industrials Technology

Oct-14 Staples Healthcare Industrials Technology

Nov-14 Staples Healthcare Industrials Technology

Dec-14 Staples Healthcare Industrials Technology

Jan-15 Staples Healthcare Industrials Technology

Feb-15 Staples Healthcare Industrials Technology

Mar-15 Staples Healthcare Industrials Technology

Apr-15 Staples Healthcare Industrials Technology

May-15 Staples Healthcare Industrials Technology

Jun-15 Staples Healthcare Industrials Technology

Jul-15 Staples Healthcare Industrials Technology

Aug-15 Staples Healthcare Industrials Technology

Sep-15 Staples Healthcare Industrials Technology

Oct-15 Healthcare Industrials Materials Technology

Nov-15 Staples Healthcare Industrials Technology

Dec-15 Staples Healthcare Industrials Technology

Jan-16 Staples Healthcare Industrials Technology

Feb-16 Healthcare Industrials Materials Technology


Why Shiller Barclays CAPE® U.S. Sector Total Return Index as Smart Beta choice?

• Identifies and invests in relatively undervalued equity sectors

• Does not rely on subjective forecasts

• Uses a long term estimate of value, avoiding short term bias

• Is based on the rigorous research of Professor Robert Shiller and John Campbell

– Which in turn is based upon the value investing principles of Benjamin Graham & David Dodd

• We believe it is an intelligent alternative to capitalization weighted portfolios (S&P 500®)



S&P 500® Total ReturnRussell 1000 Value®

Total ReturnRussell 1000 Growth®

Total Return

Geometric Return 8.63% 6.71% 3.93% 8.16%

Standard Deviation 13.63% 13.79% 13.75% 14.19%

Sharpe Ratio 0.67 0.54 0.35 0.62

Smart Beta:Shiller Barclays CAPE® U.S. Sector PerformanceOctober 31, 2013 through January 29, 2016

Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 213-633-8200 or by visiting www.doublelinefunds.com. The performance information shown assumes the reinvestment of all dividends and distributions.Past performance is no guarantee of future results. This chart illustrates the performance od a hypothetical growth of $1 made in the Fund on October 31, 2013. Assumes the reinvestment of dividends and capital gains, but does not reflect the effect of any applicable sales charge or redemption fees. This chart does not imply future performance.

$0.90

$0.95

$1.00

$1.05

$1.10

$1.15

$1.20

$1.25

$1.30

$1.35

Gro

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31

, 20

13

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29

, 20

16







TAB VSmart Alpha: Fixed Income Portfolio


DoubleLine Shiller Enhanced CAPE® Structure




Portfolio



Initial Investment




Fixed Income Investment Process

Investment Outlook

ImplementationEconomic Discussions

• Asset Allocation Committee holds a monthly meeting. Account review and market sector chartbook are evaluated.

• Fixed Income Asset Allocation Chart Book reviews portfolio characteristics, return analysis, and risk measures.

• Fixed Income Asset Allocation Chartbook graphically depicts historical asset class spreads and relative growth trends in the global fixed income market place.

• Macro economic group discussion of interest rates, currencies, commodities, yield curve, spread and general fixed income market analysis.

• Sectors with opportunities are identified based on the portfolio manager’s assessment of their respective sector’s outlook and sector attractiveness relative to other asset classes.

• Strategy risks are reviewed.

• The Committee proposes asset allocation changes. The Committee Chairman makes the final asset allocation decision.

• Sector teams review client guidelines and are responsible for security selection.

• The Asset Allocation Fixed Income team monitors implementation and performs portfolio analytics.


Smart Alpha Sector Rotation

• Fixed income portfolio sector rotation:

Source: DoubleLine Capital, as of January 31, 2016

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Bank Loans

International Emerging

High Yield Credit

Municipal

Collateralized Loan Obligations

Commercial MBS

Non-Agency RMBS

Agency MBS

Investment Grade Credit

U.S. Treasury

Cash


Smart Alpha PerformanceOctober 31, 2013 through January 31, 2016

• The fixed income portfolio has generated a relatively consistent return in addition to the returns derived from the Shiller Barclays CAPE index.

• This consistent source of alpha is what distinguishes the DoubleLine Complete Solution.DoubleLine Shiller

Enhanced CAPE® Fixed Income Portfolio

Barclays U.S. Aggregate1-3 Years

Geometric Return 2.42% 0.90%

Standard Deviation 1.23% 0.68%

Sharpe Ratio 1.92 1.27

Source: Barclays, DoubleLine Capital

Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Current performance of the fund may be lower or higher than the performance quoted. Performance data current to the most recent month-end may be obtained by calling 213-633-8200 or by visiting www.doublelinefunds.com. The performance information shown assumes the reinvestment of all dividends and distributions.Past performance is no guarantee of future results. This chart illustrates the performance od a hypothetical growth of $1 made in the Fund on October 31, 2013. Assumes the reinvestment of dividends and capital gain, but does not reflect the effect of any applicable sales charge or redemption fees. This chart does not imply future performance.

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DoubleLine Shiller Enhanced CAPE Fixed Income Portfolio

Barclays U.S. Aggregate 1-3 Years



TAB VIPortfolio Management Team


DoubleLine Shiller Enhanced CAPE® Management Team

Equity Derivatives Management/Trading

Jeffrey Sherman

Eric Dhall

Samuel Lau

Jeffrey MayberryCollateralized Loan

ObligationsSamuel Garza

CMBSMorris Chen

MortgagesJeffrey Gundlach

Philip BarachJoel Damiani

Joseph Galligan Government/Municipals

Gregory Whiteley

International Developed Sovereign

DebtJeffrey Gundlach

Emerging MarketsLuz Padilla

Mark ChristensenSu Fei Koo

Global Developed Credit

Bonnie BahaRobert Cohen

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February 9, 2016

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DefinitionsAlpha - A measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a mutual fund and compares its risk-adjusted performance to a benchmark index.Beta - Beta is the measure of a mutual funds' volatility in relation to the market. By definitions, the market has a beta of 1.0, and individual mutual funds are raked according to how much they deviate from the market. A beta of above 1.0 means the fund swings more than the market. If the fund moves less than the market, the beta is less than 1.0.Standard Deviation - A measure of the variation or dispersion of a set of data from its mean or expected/budgeted value. A low standard deviation indicates that the data points tend to be very close to the mean, whereas a high standard deviation indicates that the data is spread out over a large range of values. A measure of an investment's volatility.Up/Down Ratio – The number of positive return days divided by the number of negative return days. Geometric Return - The average of a set of products, the calculation of which is commonly used to determine the performance results of an investment or portfolio. Technically defined as "the 'n'th root product of 'n' numbers.”Drawdown - The peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough.Duration - A measure of the sensitivity of the price of a fixed income investment to a change in interest rates, expressed as a number of years. Weighted-Average life (WAL) - The average number of years for which each dollar of unpaid principal on a loan or mortgage remains outstanding.S&P 500®® = The S&P 500® is a free-float capitalization-weighted index published since 1957 of the prices of 500 large-cap common stocks actively traded in the United States.Shiller Barclays CAPE® US Sector Index (Total Return)= Shiller Barclays CAPE US Sector Index (Total Return) was launched on September 2012 (“Index”). Any provided performance information relating to a period prior to that date is hypothetical. The Index methodology is available for review upon request. Barclays Bank PLC ("Barclays") or an affiliate of Barclays prepared the provided performance information (including the hypothetical performance information), is the index sponsor for the Index and potentially is the counterparty to a transaction referencing the Index. It is in Barclays interest to demonstrate positive pre-inception index performance. The pre-inception index performance is included from the period from Feb 1988 to September 2012. The index data reflects a cost of 0.28% per annum that is incorporated into the Index formula. The performance information, however, does not reflect any additional fees that may be paid by counterparty to a transaction referencing the Index that may be agreed between the parties thereto. Fees are not reflected in the provided Index performance information. Shiller Barclays CAPE® Ratio= CAPE® stands for Cyclically Adjusted Price-Earnings. The CAPE® Ratio is a valuation metric that takes the current price of an equity or index divided by its inflation adjusted average of ten years of earnings. Russell 1000® Value Index The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 represents approximately 92% of the U.S. market.Russell 1000® Growth Index - An index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.FTSE RAFI US 1000 Total Return Index The PowerShares FTSE RAFI US 1000 Index designed to track the performance of the largest US equities, selected based on the following four fundamental measures of firm size: book value, cash flow, sales and dividends. The 1000 equities with the highest fundamental strength are weighted by their fundamental scores.Dow Jones Industrial Average “The Dow” is a price-weighted average of 30 actively traded blue-chip stocks, primarily industrials including stocks athat trade on the New York Stock Exchange. Sharpe Ratio Sharpe ratio is calculated by subtracting the risk-free rate - such as that of the 10-year U.S. Treasury bond - from the rate of return for a portfolio and dividing the result by the standard deviation of the portfolio returns.Correlation A correlation coefficient is a measure of the interdependence of two random variables that ranges in value from -1 to +1, indicating perfect negative-correlation at -1, absence of correlation at zero and perfect positive-correlation at +1.You cannot invest directly in an index.Barclays U.S. Aggregate Bond Index - The Barclays U.S. Aggregate Index represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis.


Barclays Inc. and its affiliates ("Barclays") is not the issuer or producer of DoubleLine’s Shiller Enhanced CAPE ® (the “Strategy”) and Barclays has no responsibilities, obligations or duties to investors in the strategy. The Shiller Barclays CAPE® US Sector USD Index (the “Index”) is a trademark owned by Barclays Bank PLC and licensed for use by the Strategy. While the Strategy may execute transaction(s) with Barclays in or relating to the Index, Strategy investors acquire interests solely using the strategy and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in the Strategy. The Strategy is not sponsored, endorsed, sold or promoted by Barclays and Barclays makes no representation regarding the advisability or use of the Index or any data included therein. Barclays shall not be liable in any way to 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® US 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.

Barclays Disclaimer


Disclaimer

Important Information Regarding This ReportThis report was prepared as a private communication and was not intended for public circulation. Clients or prospects may authorize distribution to their consultants or other agents.

Issue selection processes and tools illustrated throughout this presentation are samples and may be modified periodically. Such charts are not the only tools used by the investment teams, are extremely sophisticated, may not always produce the intended results and are not intended for use by non-professionals.

DoubleLine has no obligation to provide revised assessments in the event of changed circumstances. While we have gathered this information from sources believed to be reliable, DoubleLine cannot guarantee the accuracy of the information provided. Securities discussed are not recommendations and are presented as examples of issue selection or portfolio management processes. They have been picked for comparison or illustration purposes only. No security presented within is either offered for sale or purchase. DoubleLine reserves the right to change its investment perspective and outlook without notice as market conditions dictate or as additional information becomes available. This material may include statements that constitute “forward-looking statements” under the U.S. securities laws. Forward-looking statements include, among other things, projections, estimates, and information about possible or future results related to a client’s account, or market or regulatory developments.

Important Information Regarding Risk FactorsInvestment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors. The views and forecasts expressed in this material are as of the date indicated, are subject to change without notice, may not come to pass and do not represent a recommendation or offer of any particular security, strategy, or investment. Past performance is no guarantee of future results.

Important Information Regarding DoubleLineIn preparing the client reports (and in managing the portfolios), DoubleLine and its vendors price separate account portfolio securities using various sources, including independent pricing services and fair value processes such as benchmarking.

To receive a complimentary copy of DoubleLine’s current Form ADV (which contains important additional disclosure information), a copy of the DoubleLine’sproxy voting policies and procedures, or to obtain additional information on DoubleLine’s proxy voting decisions, please contact DoubleLine’s Client Services.


Important Information Regarding DoubleLine’s Investment StyleDoubleLine seeks to maximize investment results consistent with our interpretation of client guidelines and investment mandate. While DoubleLine seeks to maximize returns for our clients consistent with guidelines, DoubleLine cannot guarantee that DoubleLine will outperform a client's specified benchmark or the market or that DoubleLine’s risk management techniques will successfully mitigate losses. Additionally, the nature of portfolio diversification implies that certain holdings and sectors in a client's portfolio may be rising in price while others are falling; or, that some issues and sectors are outperforming while others are underperforming. Such out or underperformance can be the result of many factors, such as but not limited to duration/interest rate exposure, yield curve exposure, bond sector exposure, or news or rumors specific to a single name.DoubleLine is an active manager and will adjust the composition of client’s portfolios consistent with our investment team’s judgment concerning market conditions and any particular sector or security. The construction of DoubleLine portfolios may differ substantially from the construction of any of a variety of bond market indices. As such, a DoubleLine portfolio has the potential to underperform or outperform a bond market index. Since markets can remain inefficiently priced for long periods, DoubleLine’s performance is properly assessed over a full multi-year market cycle.

Important Information Regarding Client ResponsibilitiesClients are requested to carefully review all portfolio holdings and strategies, including by comparing the custodial statement to any statements received from DoubleLine. Clients should promptly inform DoubleLine of any potential or perceived policy or guideline inconsistencies. In particular, DoubleLine understands that guideline enabling language is subject to interpretation and DoubleLine strongly encourages clients to express any contrasting interpretation as soon as practical. Clients are also requested to notify DoubleLine of any updates to Client’s organization, such as (but not limited to) adding affiliates (including broker dealer affiliates), issuing additional securities, name changes, mergers or other alterations to Client’s legal structure.

Morningstar DisclosuresMorningstar rankings represent a fund's total-return percentile rank relative to all funds that have the same Morningstar category. The highest percentile rank is 1 and the lowest is 100. It is based on Morningstar total return, which includes both income and capital gains or losses and is not adjusted for sales charges or redemption fees. Morningstar Rankings (Absolute) represent a fund's total-return rank relative to all funds that have the same Morningstar Category. The highest rank is 1 and the lowest is based on the total number of funds ranked in the category. Past performance is not a guarantee of future results.

DoubleLine® is a registered trademark of DoubleLine Capital LP.

© 2016 DoubleLine Capital LP

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Live Webcast Hosted By: Smart lpha - ValueWalk · 2016-02-09 · Jeffrey Sherman, CFA ... To Receive Presentation Slides: You can email [email protected]. DoubleLine CAPE®