LOS ANGELES, March 7, 2017 /PRNewswire/ -- DoubleLine Capital has published on DoubleLine.com a research paper analyzing the performance of two non-market cap-weighted (aka "smart beta") large-cap U.S. stock strategies during rising and falling rate environments versus widely followed large-cap stock indices.
The research paper, written by DoubleLine's Cross-Asset investment team, is titled "Investing in Different Interest Rate Environments: DoubleLine Shiller Enhanced CAPE® Strategy as a Potential Solution to the Rising Rate Conundrum." The Cross-Asset team is headed by Jeffrey Sherman. Mr. Sherman also serves as deputy chief investment officer of DoubleLine Capital and co-portfolio manager, with DoubleLine CEO Jeffrey Gundlach, of the DoubleLine Shiller Enhanced CAPE® Strategy.
The paper can be accessed via the following link:
The potential for a rising-rate regime, the paper states, behooves investors to reconsider their equity allocations. The Cross-Asset team analyzed the returns of two strategies: (1) the Shiller Barclays CAPE® U.S. Sector Total Return Index ("Shiller Barclays CAPE®"), a non-market cap-weighted, rules-based (aka "smart beta") index, and (2) the DoubleLine Shiller Enhanced CAPE®, an investment strategy pairing Shiller Barclays CAPE® with a short-to-intermediate term fixed income strategy actively managed by DoubleLine. The returns of the two strategies were compared with the returns of three passive, large-cap equity indices – the S&P 500, Russell 1000 Value and Russell 100 Growth – over rising and falling interest rate periods.
From its October 31, 2013 inception through January 31, 2017, on average, DoubleLine Shiller Enhanced CAPE® outperformed, or "enhanced," its smart-beta component (Shiller Barclays CAPE®) and outperformed the three passive equity indices. Thus, the DoubleLine Shiller Enhanced CAPE® strategy merits consideration for investors seeking to position equity exposures for rising interest rates.
About DoubleLine Capital LP
DoubleLine Capital LP is a registered investment adviser under the Investment Advisers Act of 1940. DoubleLine Capital and its related companies ("DoubleLine") managed $101 billion in assets across all vehicles, including open-end mutual funds, closed-end funds, exchange-traded funds, hedge fund, variable annuities, UCITS and separate accounts, as of the December 31, 2016 end of the fourth quarter. DoubleLine's offices in Los Angeles can be reached by telephone at (213) 633-8200 or by e-mail at firstname.lastname@example.org. Media can reach DoubleLine by e-mail at email@example.com. DoubleLine® is a registered trademark of DoubleLine Capital LP.
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