Shiller Enhanced CAPE – Statistics

Portfolio Holdings

Portfolio Composition – As of August 31, 2022


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.

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Mutual fund investing involves risk; Principal loss is possible. The DoubleLine Shiller Enhanced CAPE® Fund may invest in foreign securities which involve greater volatility and political, economic and currency risks and differences in accounting methods. These risks are greater for investments in emerging markets. In order to achieve its investment objectives, the Fund may use certain types of exchange traded funds or 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 risks 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. ETF investments involve additional risks such as the market price trading at a discount to its net asset value, an active secondary trading market may not develop or be maintained, or trading may be halted by the exchange in which they trade, which may impact a fund’s ability to sell its shares. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer-term debt securities. Investments in Asset-Backed and Mortgage-Backed securities include additional risks that investors should be aware of including credit risk, prepayment risk, possible illiquidity and default, as well as increase susceptibility to adverse economic developments. Investments in lower-rated and non-rated securities present a greater risk of loss to principal and interest than higher-rated securities. 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. Equities may decline in value due to both real and perceived general market, economic and industry conditions. The fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested.

The fund's investment objectives, risks, charges and expenses must be considered carefully before investing. The statutory prospectus and summary prospectus (if available) contain this and other important information about the investment company and may be obtained by clicking here. In addition, a free hard-copy is available by calling 1 (877) 354-6311/1 (877) DLINE11. Please read the prospectuses carefully before investing.


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