Shiller Enhanced CAPE – Statistics
Portfolio Composition – As of August 31, 2022
Statistics
| Ending Market Value | $6,192,225,937 |
| Fixed Income Statistics | |
| Duration | 1.16 |
| Weighted Average Life | 2.95 |
| Equity Statistics | |
| Median Market Cap | $23.73B |
| Average Market Cap | $67.12B |
SEC Yields
| I-share | N-share | |
| Gross SEC 30-Day Yield | 4.12% | 3.85% |
| Net SEC 30-Day Yield | 4.12% | 3.85% |
Click here for a PDF version of the latest All Funds Performance Summary.
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 their original cost. Current performance of the fund may be lower or higher than the performance quoted. The performance information shown assumes the reinvestment of all dividends and distributions.
Duration Breakdown
| (Percent of Portfolio) | ||
| Cash | 1.44% | |
| Less than 1 | 49.59% | |
| 1 to 3 years | 37.37% | |
| 3 to 5 years | 10.13% | |
| 5 to 7 years | 1.44% | |
| 7+ years | 0.01% | |
| N/A | 0.02% | |
| Total | 100.00% | |
Current Quality Credit Distribution
| (Percent of Portfolio) | ||
| Cash | 1.44% | |
| Government | 19.28% | |
| Agency | 2.35% | |
| Investment Grade | 55.08% | |
| Below Investment Grade | 11.14% | |
| Unrated Securities | 10.73% | |
| Total | 100.00% | |
Weighted Average Life Breakdown
| (Percent of Portfolio) | ||
| Cash | 1.44% | |
| 0 to 3 years | 58.93% | |
| 3 to 5 years | 21.40% | |
| 5 to 7 years | 15.88% | |
| 7+ years | 2.34% | |
| N/A | 0.02% | |
| Total | 100.00% | |
Fixed Income Sector Allocation
| Cash | 1.44% |
| U.S. Government | 19.27% |
| Agency RMBS | 1.11% |
| Non-Agency RMBS | 13.59% |
| Asset-Backed Securities | 7.28% |
| Commercial MBS | 14.39% |
| Collateralized Loan Obligations | 19.09% |
| Bank Loans | 8.46% |
| Investment Grade Corporate | 9.59% |
| Emerging Markets | 5.79% |
| Total | 100.00% |
CAPE® Sector Allocations
| Consumer Staples | 25.28% |
| Technology | 24.18% |
| Financials | 25.70% |
| Real Estate | 24.85% |
| Total | 100.00% |
The figures shown for the fixed income sector allocation represent the relative net assets invested in the displayed categories of fixed income and cash only. The figures shown for the CAPE® sector allocations reflect the four sectors selected by the CAPE® index for the time period and their allocations as of month end.
Sector Allocations are subject to change at any time and should not be considered a recommendation to buy or sell any security. Portfolio holdings generally are made available thirty days after month-end by calling (877) DLine11. The source for the information in this report is DoubleLine Capital, which maintains its data on a trade date basis.
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. You cannot invest directly in an index.
Barclays Bank PLC and its affiliates (“Barclays”) is not the issuer or producer of DoubleLine Shiller Enhanced International CAPE® or DoubleLine Shiller Enhanced CAPE® (the “Funds”) and Barclays has no responsibilities, obligations or duties to investors in the Funds. The Shiller Barclays CAPE® Europe Sector Net TR Index and the Shiller Barclays CAPE® US Sector USD Index (the “Indices”) are trademarks owned by Barclays Bank PLC and licensed for use by the Funds. While the Funds may execute transaction(s) with Barclays in or relating to the Indices, Fund investors acquire interests solely in the Fund and investors neither acquire any interest in the applicable Index nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in such Fund. The Funds are not sponsored, endorsed, sold or promoted by Barclays and Barclays makes no representation regarding the advisability of the Funds or use of the Indices or any data included therein. Barclays shall not be liable in any way to either Fund, investors or to other third parties in respect of the use or accuracy of the Index or any data included therein.
The Shiller Barclays CAPE® Index Family (the “Index Family”) has been developed in part by RSBB-I, LLC, the research principal of which is Robert J. Shiller. RSBB-I, LLC is not an investment advisor and does not guarantee the accuracy and completeness of the Index Family or any data or methodology either included therein or upon which it is based. RSBB-I, LLC shall have no liability for any errors, omissions or interruptions therein and makes no warranties expressed or implied, as to the performance or results experienced by any party from the use of any information included therein or upon which it is based, and expressly disclaims all warranties of the merchantability or fitness for a particular purpose with respect thereto, and shall not be liable for any claims or losses of any nature in connection with the use of such information, including but not limited to, lost profits or punitive or consequential damages even, if RSBB-I, LLC is advised of the possibility of same.
