DoubleLine Shiller CAPE Charts

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DoubleLine Shiller CAPE Charts

DoubleLine Shiller Enhanced CAPE webcast slides for the month of November 2017.

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TAB I - DoubleLine Shiller Enhanced CAPE® Strategies

What is Double Value?

  • The DoubleLine Shiller Enhanced CAPE® Strategy creates “Double Value” for investors when combining two unique sources of value:
    - The Shiller Barclays CAPE® U.S. Sector Index attempts to shift portfolio exposures to the “cheapest” sectors of the U.S. large cap equity market
    -DoubleLine’sFixed Income strategy strives to shift its exposures to the “cheapest” sectors of the fixed income markets.
  • Both strategies offer a value play in their respective markets, and when combined investors receive “Double Value.”

DoubleLine Shiller Enhanced CAPE® Structure

Seth Klarman’s 2021 Letter: Baupost’s “Never-Ending” Hunt For Information

Baupost's investment process involves "never-ending" gleaning of facts to help support investment ideas Seth Klarman writes in his end-of-year letter to investors. In the letter, a copy of which ValueWalk has been able to review, the value investor describes the Baupost Group's process to identify ideas and answer the most critical questions about its potential Read More

  • 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.

What is Double Value?

  • The DoubleLineShiller Enhanced International CAPE® Strategy creates “Double Value” for investors when combining two unique sources of value:
    - The Shiller Barclays CAPE® Europe Sector Net Index attempts to shift portfolio exposures to the “cheapest” sectors of the European large and mid cap equity market
    - DoubleLine’sFixed Income strategy strives to shift its exposures to the “cheapest” sectors of the fixed income markets.
    - As with the U.S. version both strategies offer a value play in their respective markets, and when combined investors receive “Double Value.”

DoubleLineShiller Enhanced International CAPE®

DoubleLine Shiller Enhanced CAPE

TAB II - U.S. Macroeconomic Landscape

U.S. Conference Board Leading Economic Indicators

December 31, 1986 to September 30, 2017

DoubleLine Shiller Enhanced CAPE

U.S. Unemployment Rate vs. 12mo Simple Moving Avg

January 1, 1948 to September 30, 2017

DoubleLine Shiller Enhanced CAPE

OECD Expansion Contraction Growth Indicator

January 1, 1997 –August 31, 2017

DoubleLine Shiller Enhanced CAPE

TAB III - Smart Beta: Shiller Barclays CAPE® U.S. Sector Index

Shiller Barclays CAPE® U.S. Sector Index

DoubleLine Shiller Enhanced CAPE

Country Exposure: Shiller Barclays CAPE® US Sector Index

  • The Shiller Barclays CAPE® US Sector Index captures large cap companies across the 10 S&P 500 sectors

What is the CAPE® Ratio?

  • Acclaimed value investors Benjamin Graham and David Dodd noted in Security Analysisthat equity valuations tend to follow a business cycle of 3-7 years
  • The CAPE® Ratio was formulated in the seminal 1988 piece1from Professor Robert Shiller and John Campbell.
  • CAPE® = Cyclically Adjusted P/E(Price-to-Earnings)

DoubleLine Shiller Enhanced CAPE

  • 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 portfolio of equities, a sector or a broad based index

See the full webcast slides below.

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