DoubleLine Shiller Enhanced CAPE Fund Reaches 3-Year Anniversary

LOS ANGELES, Nov. 21, 2016 /PRNewswire/ -- The DoubleLine Shiller Enhanced CAPE® fund ("the Fund") now has a three-year track record and a five-star Morningstar rating for past risk-adjusted performance. The Fund is distributed via two share classes: I shares (DSEEX) and N shares (DSENX).

The $1.4 billion Fund has two sources of return. For the three years since the Fund's inception on October 31, 2013, the primary source of return has been the Shiller Barclays CAPE® US Sector Total Return USD Index, a rules-based or "smart-beta" index targeting value sectors of the large-cap segment of the U.S. stock market. An actively managed fixed income portfolio provides a secondary source of return. Jeffrey Gundlach, CEO and chief investment officer of DoubleLine Capital, and Jeffrey Sherman, deputy chief investment officer, are the portfolio managers of the Fund.

Three-Year Total Return

For the three years ended October 31, the Fund I shares delivered an annualized total return of 13.08%, versus 8.84% for its benchmark, the S&P 500 Index. Morningstar categorizes the Fund as a Large Value stock fund. The average annualized total return for the Large Value category was 12.79% for same three-year period. The Fund I share, DSEEX, was ranked #18 and #1 based upon total return out of 1371 and 1184 Funds in the Large Value Category over the one year and three year time periods, respectively.

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.

Risk-Adjusted Return

For the three years ended October 31, the Fund's I share class delivered a Sharpe ratio of 1.11, one of the top Sharpe ratios of all funds in the Morningstar Large Value stock fund category. The Sharpe ratio is a measure of the excess return per unit of risk (as measured by volatility) for an investment asset or a portfolio. A higher Sharpe ratio indicates better risk-adjusted performance than a lower Sharpe ratio. By comparison, the S&P 500 had a Sharpe ratio of 0.82 over the same period. The average Sharpe ratio for the Large Value stock fund category was 0.54.

Maximum Drawdown

Over the same three-year period, the Fund had a maximum drawdown of -8.90 %. Maximum drawdown is an asset or fund's largest peak-to-trough decline over a given time period, calculated as the percentage from peak to trough. A less negative drawdown indicates better risk-adjusted performance than a more negative drawdown. By comparison, S&P 500 had a maximum drawdown of -8.36% while the Large Value fund category averaged a maximum drawdown -11.14%.

"The DoubleLine Shiller Enhanced CAPE fund not only outperformed the S&P 500 over the three years since its inception," said Ron Redell, president of the DoubleLine Funds Trust. "The Fund did so while the Large Value fund category on average lagged the benchmark. So I think DoubleLine Shiller Enhanced CAPE merits consideration as a possible diversifier in investors' passive equity portfolios."

Process

DoubleLine's investment team actively invests in a diversified portfolio of bonds and floating rate loans. The fixed income portfolio is both a source of return and collateralizes derivatives contracts tracking the Shiller Barclays CAPE® US Sector Total Return Index ("the Shiller Barclays Index"), the Fund's primary source of return.

The Shiller Barclays Index first identifies the five deepest-value sectors of the S&P 500 Index as measured by each sector's Relative CAPE Ratio. Then the Shiller Barclays index implements a defensive filter to help avoid value traps. Observing the five value sectors, the filter removes the sector with the worst trailing 12-month total return. The Shiller Barclays Index then is constituted of equal 25% exposures to the four remaining value sectors. The Shiller Barclays Index reconstitutes and rebalances at the beginning of each month.

Robert Shiller, Sterling Professor of Economics at Yale University and author of Irrational Exuberance, the New York Times best-seller on crowd behavior and market bubbles, is co-creator of the CAPE ® ratio and Shiller Barclays CAPE® US Sector Total Return Index.

"I am happy to see that the concept of combining the CAPE ® ratio, to identify undervalued sectors in the large-cap stock universe, with the DoubleLine strategy, to improve fixed income returns, has been such a success since it was launched," Professor Shiller said. "It makes sense to include this fund as part of a diversified portfolio, since it is likely to be sufficiently different in its generation of alpha as to augment the portfolio's long-term performance."

For more information on the DoubleLine Shiller Enhanced CAPE Fund's portfolio composition and characteristics, please access the Fund's Statistics page at following web address:

http://www.doublelinefunds.com/wp-content/uploads/shiller-enhanced-cape-fact-sheet.pdf?c=1477937855

Share Class Information

DSEEX (I shares): Minimum initial investment is $100,000 for regular accounts and $5,000 for Individual Retirement Accounts (IRAs). There is no annual 12b-1 fee.

DSENX (N shares): Minimum initial investment is $2,000 for regular accounts and $500 for IRAs. There is an annual 12b-1 fee of 0.25%.

Terms and Definitions

The Cyclically Adjusted Price-to-Earnings ratio (CAPE ratio) is a measure of the price of a company's stock or of a stock index relative to average inflation-adjusted earnings over the past 10 years.

The Relative CAPE Ratio for each sector of the S&P 500 is calculated monthly by dividing each sector's 10-year cyclically adjusted price-earnings (CAPE) ratio relative to that sector's 20-year average CAPE ratio. The resulting value for each sector provides an estimate of how cheap or expensive that sector is priced relative to its own history.

Sharpe Ratio A reward-to-variability ratio and a measure of the excess return (or Risk Premium) per unit of risk in an investment asset or a trading strategy.

Maximum 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.

Smart beta stock indexation is defined by DoubleLine and some others as a passive investing strategy which deviates from market capitalization-weighting or stock price-weighting.

The S&P 500® is a widely followed gauge of large cap U.S. equities. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.

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.

Standard Deviation is a statistical measure that is used by investors as a gauge for the amount of expected volatility.

Morningstar's Large Value fund category includes mutual funds that invest primarily in big U.S. companies that are less expensive or growing more slowly than other large-cap stocks. Stocks in the top 70% of the capitalization of the U.S. stock market are defined as large market capitalization. Morningstar defines value as companies whose stocks are trading at low valuations (low price ratios and high dividend yields) and slow growth (low growth rates for earnings, sales, book value, and cash flow). One may not directly invest in an index.

About DoubleLine Capital LP

DoubleLine Capital LP, a registered investment adviser under the Investment Advisers Act of 1940, acts as the investment adviser for the Fund. DoubleLine Capital and its related companies ("DoubleLine") managed $106 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 September 30, 2016 end of the third quarter.  DoubleLine's offices in Los Angeles can be reached by telephone at (213) 633-8200 or by e-mail at [email protected]. Media can reach DoubleLine by e-mail at [email protected]. DoubleLine® is a registered trademark of DoubleLine Capital LP.

Disclosures:
The fund's investment objectives, risks, charges and expenses must be considered carefully before investing. The statutory and summary prospectus contains this and other important information about the fund and may be obtained by calling 1 (877) 354-6311 / 1 (877) DLINE11 or visiting www.doublelinefunds.com. Please read the prospectus carefully before investing. 
Mutual fund investing involves risk; Principal loss is possible. Investments in debt securities typically decrease in value 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 such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. 
The Fund may use certain types of 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 risk 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. The Fund may also invest in securities related to real estate, which may decline in value as a result of factors affecting the real estate industry. 
The DoubleLine Total Return Bond Fund intends to invest more than 50% of its net assets in mortgage-backed securities of any maturity or type. The Fund therefore, potentially is more likely to react to any volatility or changes in the mortgage-backed securities marketplace. These risks are greater for investments in emerging markets.  
Morningstar 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 Capital, LP is the Advisor to the DoubleLine Funds which are distributed by Quasar Distributors, LLC.

SOURCE DoubleLine