Cape: The “Value” Of Sector Rotation

0
Cape: The “Value” Of Sector Rotation

DoubleLine Shiller Enhanced CAPE/CAPE International webcast for the month of April 2018.

Get The Timeless Reading eBook in PDF

Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it on your tablet, or email to your colleagues.

See 2017 Hedge Fund Letters.

TAB I - DoubleLine Shiller Enhanced CAPE® Strategies

What is Double Value?

Seth Klarman Describes His Approach In Rare Harvard Interview

Seth KlarmanIn a rare interview with Harvard Business School that was published online earlier this month, (it has since been taken down) value investor Seth Klarman spoke at length about his investment process, philosophy and the changes value investors have had to overcome during the past decade. Klarman’s hedge fund, the Boston-based Baupost has one of Read More

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

DoubleLine Shiller Enhanced CAPE® Structure

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

What is Double Value?

  •  The DoubleLine Shiller 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’s Fixed Income strategy strives to shift its exposures to the “cheapest” sectors of the fixed income
  • As with the S. version both strategies offer a value play in their respective markets, and when combined investors receive “Double Value.”

DoubleLine Shiller Enhanced International CAPE®

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

Cape

TAB II - U.S. Equity Earnings

S&P 500 Earnings Estimates

Cape

Source: Bloomberg, DoubleLine

EPS: Earning Per Share

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

Shiller Barclays CAPE® U.S. Sector Index

Cape

* A portion of the Initial Investment may be pledged as collateral under the swap

See the full PDF below.

Updated on

Sheeraz is our COO (Chief - Operations), his primary duty is curating and editing of ValueWalk. He is main reason behind the rapid growth of the business. Sheeraz previously ran a taxation firm. He is an expert in technology, he has over 5.5 years of design, development and roll-out experience for SEO and SEM. - Email: sraza(at)www.valuewalk.com
Previous article Facebook Regulation Issue Seems To Be Perplexing Lawmakers
Next article Time To Grab My Pitchfork (AIM Edition)

No posts to display