Business

CAPE: It Goes To 11

DoubleLine Shiller Enhanced CAPE webcast slides for the month of October 2018.

TAB I – DoubleLine Shiller Enhanced CAPE® Strategies

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 markets. By using an equity index swap, $1 invested in the strategy provides approximately $1 of exposure to each market.

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CAPE It Goes To 11

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 markets. By using an equity index swap, $1 invested in the strategy provides approximately $1 of exposure to each market.

Doubleline Shiller Enhanced CAPE It Goes To 11

TAB II - From 10 to 11: Redefining Telecommunications

New GICS Sector

CAPE It Goes To 11

Evolution of Telecom to Communications Services

CAPE It Goes To 11

S&P 500 GICS Sector Weights

CAPE It Goes To 11

Relative CAPE® Old versus New: Communications Sector

CAPE It Goes To 11

Relative CAPE® Old versus New: Information Technology

CAPE It Goes To 11

Relative CAPE® Old versus New: Consumer Discretionary

CAPE It Goes To 11

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

Shiller Barclays CAPE® U.S. Sector Index

CAPE It Goes To 11

What is the CAPE® Ratio?

  • 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)

CAPE It Goes To 11

  • 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

Relative CAPE® Indicator

  • 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

CAPE It Goes To 11

See the full slides below.