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“Are Risky Assets Cheap Enough” bl l h d DoubleLine Multi‐Asset Growth Fund Live Webcast hosted by: Jeffrey Gundlach Chief Executive Officer Bonds October 11, 2011 Fund Offerings Multi‐Asset Growth Fund Multi Asset Growth Fund Retail and Institutional Class No Load Mutual Fund Retail Inst. A‐share A share I share I‐share Ticker DMLAX DMLIX Maximum Sales Charge 4.25%1 None Min Investment $2,000 $100,000 Min IRA Investment Mi IRA I t t $500 $5,000 $5 000 2 Net Expense Ratio 1.45% 1.20% 1. Breakpoints are available. Contingent deferred sales load of up to 0.75% applies in certain circumstances for A‐shares. Please see the prospectus for additional details. 2. Net Expense Ratio does not include Acquired Fund Fees and Expenses and reflects the inclusion of the Advisor’s commitment to waive a portion of its investment advisory fee to limit operating expenses. Please see the prospectus for additional details. The Funds’ investment objectives, risks, charges and expenses must be considered carefully before investing. The prospectus contains this and other important information about the Funds, and it may be obtained by calling 1 (877) 354‐6311/ 1 (877) DLINE11, or visiting www.doublelinefunds.com. Read it carefully before investing. 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 such as credit risk, prepayment risk, possible illiquidity and default, as well as increased susceptibility to adverse economic developments. The Fund invests in foreign securities which typically involve greater volatility and political, economic and currency risks then do investments in domestic securities and the issuers of which are typically subject to different accounting standards. These risks are greater for investments in emerging markets. 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 invest in securities related to real estate, which may decline in value as a result of factors affecting the real estate industry. 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. Commodity‐linked derivative instruments may involve additional costs and risks such as changes in commodity index volatility or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. Equities may decline in value due to both real and perceived general market, economic, and industry conditions. The Fund is non‐diversified, which means that it may concentrate its assets in a smaller number of issuers than a diversified fund. Past Performance does not guarantee future results. Index performance is not illustrative of fund performance. An investment cannot be made directly in an index. For standardized performance of the Multi‐Asset Growth Fund, current to the most recent quarter end, please call 1 (877) DLine11/1 (877) 354 ‐6311 or visit www.doublelinefunds.com. Opinions expressed as subject to change at any time, are not forecasts and should not be considered investment advice. DoubleLine Funds are distributed by Quasar Distributors, LLC. 1 While the I‐Shares are no‐load, management fees and other expenses still apply. Please refer to the prospectus for further details. Announcements Next Webcast – Introducing DoubleLine’s Low Duration Bond Fund g Friday, October 14, 2011 RiverNorth/DoubleLine Strategic Income Fund webcast RiverNorth/DoubleLine Strategic Income Fund webcast Tuesday, October 18, 2011 Visit www.rivernorthfunds.com to register To Receive Slides After Presentation: p y Click the drop down arrow and select “Today’s Slides” or email email@example.com References to other mutual Funds should not be interpreted as an offer of these securities. The RiverNorth/DoubleLine Strategic Income Fund is not 2 distributed by Quasar Distributors, LLC. Choice May Lead to More “Efficient” Portfolios • By multiple classes, potentially B choosing m ltiple asset classes one can potentiall create a more efficient portfolio than the traditional 60% equity / 40% fixed income mix Historical Index Performance 25% Efficient Frontier including Real Assets Efficient Frontier without Real Assets Efficient Frontier without Real Assets Gold Spot Price Gold Spot Price Non‐Agency MBS 20% ber 2011) ed Compound Reeturn 15% 2008 – Septemb EM Corporate Debt US High Yield CMBS EM Sovereign Debt EM Equities 10% US Corporate Debt Convertibles ABS Int’l Sovereign Debt Inflation (September 2 Municipals Annualize Linked Int’l Corporate Debt 5% Debt US Government Agency MBS 60% Equities / 40% Bonds Int’l Equities Trade‐Weighted Dollar S&P 500 Global Real Estate 0% 0% 5% 10% 15% 20% 25% 30% 35% DJ UBS Commodities ‐5% Annualized Standard Deviation of Return (September 2008 – September 2011) Source DoubleLine Research Barclays Capital JP Morgan Standard & Poor’s Bank of America Merrill Lynch Citigroup Bloomberg NAREIT Source: DoubleLine Research, Barclays Capital, JP Morgan, Standard & Poor’s, Bank of America Merrill Lynch, Citigroup, Bloomberg, NAREIT Efficient Frontier = An analysis of risk and return for a given set of assets that indicates how they might achieve the greatest return for a given level of risk. The chart includes most investment sectors including stocks, bonds , US Currency and real assets, including Global Real Estate, and Gold. 60% Equities/40% Bonds = Takes the S&P 500 Index (SPX) return x 60% and adds the Barclays US Aggregate Bond Index returns x 40%. Please see the Description page in the Appendix for sector definitions at the end of this presentation. 3 An investment cannot be made in an index. Past Performance does not guarantee future results. Choice May Lead to More “Efficient” Portfolios • By multiple classes, potentially B choosing m ltiple asset classes one can potentiall create a more efficient portfolio than the traditional 60% equity / 40% fixed income mix 25% Historical Index Performance Efficient Frontier including Real Assets Efficient Frontier without Real Assets 20% Gold Spot Price 001 – September 2011) EM Equities turn Int’l 15% Sovereign Sovereign d Compound Ret Debt Inflation EM Sovereign Debt Linked Debt 10% US High Yield Int’l Equities p EM Corporate Debt (September 20 Annualized Convertibles Global Real Estate Int’l Corporate Debt US Govt US DJ UBS Commodities 5% Corporate CMBS Agency S&P 500 Debt MBS ABS 60% Equities / 40% Bonds Municipals 0% 0% 5% 10% 15% 20% 25% 30% Trade‐Weighted Dollar ‐5% Annualized Standard Deviation of Return (September 2001 – September 2011) Source: DoubleLine Research, Barclays Capital, JP Morgan, Standard & Poor’s, Bank of America Merrill Lynch, Citigroup, Bloomberg, NAREIT Efficient Frontier = An analysis of risk and return for a given set of assets that indicates how they might achieve the greatest return for a given level of risk. The chart includes most investment sectors including stocks, bonds , US Currency and real assets, including Global Real Estate, and Gold. 60% Equities/40% Bonds = Takes the S&P 500 Index (SPX) return x 60% and adds the Barclays US Aggregate Bond Index returns x 40%. 4 Please see the Description page in the Appendix for sector definitions at the end of this presentation. An investment cannot be made in an index. Past Performance does not guarantee future results. Best and Worst Performing Asset Classes • Asset allocation is critical as there is no consistent winners and losers each calendar year Grey = Inflationary Blue = Deflationary 2002 2003 2004 2005 2006 Commodities 25.9% EM Equity 56.3% Global Real Estate 32.0% EM Equity 34.5% Global Real Estate 37.5% Gold 24.8% Int'l Equity 39.2% EM Equity 26.0% Commodities 21.4% EM Equity 32.6% Int'lSovereign Debt 21.9% Global Real Estate 33.5% Int'l Equity 20.7% Gold 17.9% Int'l Equity 26.9% Trade Wtd Dollar ‐12.8% Municipals 6.2% Municipals 5.5% Convertibles ‐0.3% Commodities 2.1% Int'l Equity ‐15.7% U.S. Bonds 4.1% U.S. Bonds 4.3% Int'l Corp Credit ‐6.4% Inflation‐Linked Bonds 0.4% U.S. Equity ‐23.4% Trade Wtd Dollar ‐14.7% Trade Wtd Dollar ‐7.0% Int'lSovereign Debt ‐8.8% Trade Wtd Dollar ‐8.2% 2007 2008 2009 2010 YTD ‐ 2011 EM Equity 39.8% Int'lSovereign Debt 9.4% EM Equity 79.0% Gold 29.5% Gold 14.3% Gold 31.0% Trade Wtd Dollar 6.0% U.S. High Yield 56.3% EM Equity 19.2% Inflation‐Linked Bonds 11.0% Commodities 16.2% Gold 5.8% Convertibles 47.2% Commodities 16.8% Municipals 8.9% U.S. High Yield 2.2% Int'l Equity ‐43.1% U.S. Bonds 5.9% Int'l Corp Credit 4.0% Int'l Equity ‐14.6% Trade Wtd Dollar ‐8.3% Global Real Estate ‐50.2% Int'lSovereign Debt 4.3% Municipals 2.3% Global Real Estate ‐14.8% Global Real Estate ‐10.0% EM Equity ‐53.2% Trade Wtd Dollar ‐4.2% Trade Wtd Dollar 1.5% EM Equity ‐21.7% Source: DoubleLine Research, Barclays Capital, JP Morgan, Standard & Poor’s, Bank of America Merrill Lynch, Citigroup, Bloomberg, NAREIT Inflationary = Those asset classes that have traditionally been used to protect against the loss of purchasing power from inflation or rising prices. Deflationary = Those asset classes that have traditionally been used to protect against falling prices or deflation. 5 Please see the Description page in the Appendix for sector definitions. An investment cannot be made in an index. YTD Data is through September 30, 2011 US and Global Leading Index Returns Blue= YTD ending 10/11/11 Grey = Year 2010 Brazil Bovespa (IBOV)1 ‐23.13% 5.95% Germany (DAX)1 ‐15.43% 7.35% ‐14 84% 14.84% Shanghai (SHCOMP)1,2 ‐11.03% S&P 500 (SPX) ‐3.39% 15.06% ‐2.30% g ( ) High Yield (JOAO) 15.24% 15 24% International‐Emerging (IGOV) 3.58% 12.50% 4.30% International‐Developed (NOGO) 4.18% 4.55% 4 55% Corporate (COAO) 9.52% 4.79% Mortgages (MOAO) 5.67% 7.69% Government (G0A0) Government (G0A0) 5 61% 5.61% Data Source: Merrill Lynch Indices, Bloomberg 1. Foreign indices returns are quoted in their own currencies. 2. Shanghai index is quoted as of September 30, 2011 because of a week long Chinese holiday. The stock market is closed 10‐1‐11 through 10‐8‐11. 6 Please see the Appendix for index definitions. An investment cannot be made directly in an index. Dow Jones UBS Excess Return Commodity Index September 19, 2008 through September 23, 2011 190 4/28/10 Bernanke announces 180 QE2 to end 6/30 Periodic Periodic Return 170 Last 3 Years ‐12.19% 11/3/10 QE1 12.72% QE2 purchases begin QE2 6.73% 160 8/27/10 Jackson Hole speech – J k H l h QE2 hinted 150 6/30/11 11/25/08 3/18/09 QE2 purchases end QE1 announced QE1 expanded 140 1/1/09 QE1 purchases begin 130 120 3/31/10 QE1 purchases end 110 100 Dec‐08 Mar‐09 Apr‐09 May‐09 Jun‐09 Aug‐09 Dec‐09 Mar‐10 Apr‐10 May‐10 Jun‐10 Aug‐10 Dec‐10 Mar‐11 Apr‐11 May‐11 Jun‐11 Aug‐11 Oct‐08 Nov‐08 Jan‐09 Feb‐09 Jul‐09 Sep‐09 Oct‐09 Nov‐09 Jan‐10 Feb‐10 Jul‐10 Sep‐10 Oct‐10 Nov‐10 Jan‐11 Feb‐11 Sep‐08 Jul‐11 Sep‐11 7 Source: Dow Jones, Bloomberg Financial Please see the appendix for index definition. An investment cannot be made directly in an index. Commodities Have Followed Stocks in Risk On / Risk Off Source: Bloomberg Financial 8 Please see the appendix for index definition. An investment cannot be made directly in an index. Copper Spot Prices – QE2 Stimulus Gains Erased Source: Bloomberg Financial 9 Please see the appendix for index definition. An investment cannot be made directly in an index. Gold Spot Prices Since the Announcement ‐ QE2 Will End Source: Bloomberg Financial 10 Please see the appendix for index definition. An investment cannot be made directly in an index. S&P GSCI Excess Return Performance by Sector December 31,2010 through October 6, 2011 140% S&P GSCI 130% Agriculture Industrial Metals Industrial Metals Precious Metals 120% Livestock Energy 110% 100% 90% 80% 70% 11 11 11 11 10 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 11 Aug‐1 Aug‐1 Aug‐1 Aug‐1 Dec‐1 Feb‐1 Feb‐1 Feb‐1 Feb‐1 Mar‐1 Mar‐1 Mar‐1 Mar‐1 Apr‐1 Apr‐1 Apr‐1 Apr‐1 Apr‐1 May‐1 May‐1 May‐1 May‐1 Jun‐1 Jun‐1 Jun‐1 Jun‐1 Sep‐1 Sep‐1 Sep‐1 Sep‐1 Sep‐1 Jan‐1 Jan‐1 Jan‐1 Jan‐1 Jul‐1 Jul‐1 Jul‐1 Jul‐1 Jul‐1 Source: S&P, Bloomberg Financial S&P GSCI is widely recognized as a leading measure of general price movements and inflation in the world economy. It provides investors with a reliable and publicly available benchmark for investment performance in the commodity markets. An investment cannot be made directly in an index. S&P GSCI Year‐to‐Date Excess Returns December 31,2010 through October 6, 2011 Unleaded 17.7% Gold 15.8% Brent Crude 12.0% Gas Oil 11.9% Heating Oil Heating Oil 9.4% 9 4% Feeder Cattle 6.5% Lean Hogs 3.2% Silver 3.1% Live Cattle 1.4% Corn C 3 9% ‐3.9% Sugar ‐6.9% Coffee ‐7.0% Cotton ‐12.7% Aluminium ‐13.3% Cocoa ‐13.4% WTI Crude ‐17.3% Soybeans ‐18.0% Lead ‐23.6% Nickel ‐23.7% Kansas Wheat ‐23.8% Natural Gas ‐24.9% Copper ‐25.4% Zinc ‐26.3% Wheat ‐35.3% ‐40% ‐30% ‐20% ‐10% 0% 10% 20% 30% Source: S&P, Bloomberg Financial S&P GSCI is widely recognized as a leading measure of general price movements and inflation in the world economy. It provides investors with a reliable and publicly available benchmark for investment performance in the commodity markets. An investment cannot be made directly in an index. Multi‐Asset Growth Fund Philosophy The DoubleLine Multi‐Asset Growth Fund provides a flexible global asset allocation framework that seeks long‐term capital appreciation while managing “tail risk” to exploit market volatility and avoid catastrophic principal losses. 13 Investment Process “Typical” Portfolio Market Timeliness Allocation Approx. 35% Top Down Secular Trends Long‐Term Economic and Business Economic and Business Approx. 50% Cycle Intermediate Market Micro Approx. 15% Structure Short‐Term 14 Investment Process Top Down Secular Trends Long‐Term Exploit long‐term global secular trends: • Standard of living convergence • Consumer deleveraging • Private sector debt transference • Demographic shifts 15 Investment Process Intermediate Economic and Business Economic Data Cycle Position in the business cycle • Position in the business cycle • Sector returns • Relative growth • Monetary and fiscal policy 16 Investment Process Short‐Term • Risk integration Market Micro • Market sentiment Structure • Behavioral analysis • Relative value • Market technicals Government and/or regulatory • Government and/or regulatory intervention 17 Multi‐Asset Growth Fund Investment Horizon Investment Horizon The Fund combines different investment horizons in an effort to capture long‐term secular trends, relative positioning in the economic and business cycles, as well as short‐term market p g y opportunities. Investment Hori on Investment Horizon Strategic Allocation Strategic Allocation Current Allocation Long‐Term 35% 48% Intermediate I di 50% 24% Short‐Term 15% 28% Source: DoubleLine Capital LP as of September 30, 2011 Portfolio allocations are subject to change at any time. 18 Multi‐Asset Growth Portfolio Breakdown By Asset Classes As of September 30, 2011 Cash 27.0% 27 0% US Fixed Income 50.3% Real Assets** 9.9% US Equity 5.8% 5 8% International Fixed Income 7.0% ** Net amount includes Short positions. ** N i l d Sh ii Source: DoubleLine Capital LP as of September 30, 2011 Fixed Income = Refers to investments which are not equity, that obligates the borrower/issuer to make payments on a fixed schedule. International Fixed Income = Refers to investments in international bonds. Equities = Equity investments refer to stocks or capital and growth equity in public companies that issue stock. 19 Real Assets = A non‐financial asset is an asset with a physical value such as land, property or some type of object. Portfolio allocations are subject to change at any time. Multi‐Asset Growth Portfolio Breakdown By Commodity Sector As of September 30, 2011 Livestock Agriculture 1.5% Energy** Energy 15.4% 36.7% Industrial Metals ** 6.3% ‐6 3% Precious Metals 52.7% **Net amounts include Short positions. Source: DoubleLine Capital LP as of September 30, 2011 Energy = Includes energy related commodities including crude oil, gas oil, heating oil, crude oil and natural gas. Precious Metals = Includes metals that are considered rare and/or have a high economic value including gold silver platinum and palladium They are highly resistant to corrosion Precious Metals = Includes metals that are considered rare and/or have a high economic value including gold, silver, platinum and palladium. They are highly resistant to corrosion. Industrial Metals = Includes metals that are used in industry or base metals including aluminum, lead, copper, zinc, iron, etc. Agriculture = Agriculture crops are derived from farming or th ecultivation of the soil. They include, soybeans, corn, wheat, sugar, coffee, etc. Livestock = Commodities that were or are derived from living animals including cattle, hogs, etc. Portfolio allocations are subject to change at any time. 20 “Efficient Portfolio” Definitions U S o ds a c ays Cap a US gg ega e de “U.S. Bonds” = Barclays Capital US Aggregate Index ‐ The Barclays Capital US Aggregate Index represents securities that are SEC‐registered,, taxable, and dollar y p gg g p g , denominated. The index covers the US investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass‐through securities, and asset‐backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. “Munis”= BofA Merrill Lynch U.S. Municipal Securities Index (UOA0) This index tracks the performance of US dollar denominated investment grade tax‐exempt debt publicly issued by US states and territories, and their political subdivisions, in the US domestic market. Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and an investment grade rating (based on Moody’s, S&P and Fitch). Minimum size vary based on the initial term to final maturity at time of issuance. S&P and Fitch) Minimum size vary based on the initial term to final maturity at time of issuance “Agency MBS” = Barclays Capital US Mortgage‐Backed Securities (MBS) Index ‐ This index is the US MBS component of the US Aggregate index. It covers the mortgage‐backed pass‐through securities of Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The MBS Index is formed by grouping the universe of over 600,00 individual fixed rate MBS pools into approximately 3,500 generic aggregates. They are defined according to the following parameters: Agency (GNMA, FNMA, FHLMC), Program (30‐year, 15‐year, balloon, GPM), Pass‐through coupon (6.0%, 6.5% etc.), Origination year (1987, 1988, etc.) l C i lC i l k dS i i (C S) d Barclays Capital Commercial Mortgage‐Backed Securities (CMBS) Index ‐ This index is the CMBS component of the US Aggregate Index. It includes investment grade securities that are ERISA eligible under the underwriter’s exemption and is the only CMBS sector that is included in the US Aggregate Index “Non‐Agency MBS” The DoubleLine Non‐Agency MBS index is comprised of mortgage‐backed securities issued by non‐agency entities/private labels. The loan data is supplied by LoanPerformance. ABS Barclays Capital Asset‐Backed Securities (ABS) Index ‐ This index is the ABS component of the US Aggregate Index. It includes securities whose value and “ABS” Barclays Capital Asset‐Backed Securities (ABS) Index ‐ This index is the ABS component of the US Aggregate Index It includes securities whose value and income payments are derived from and collateralized (‘or backed”) by a specified pool of underlying assets including credit cards, auto loans, etc. “U.S. High Yield”= Barclays Capital US High Yield Cash Pay Index (JOA0)‐ The Barclays Capital US High Yield Index covers the universe of fixed rate, non‐ investment grade debt. Eurobonds and debt issuer from countries designated as emerging markets (e.g. Argentina, Brazil, Venezuela, etc.) are excluded, but Canadian and global bonds (SEC registered) of issuers in non‐EMG countries are included. Original issue zereos, step‐up coupon structures, 144‐As and pay‐in‐kind (PIK, as of October 1, 2009) are also included. “Convertibles”= BofA Merrill Lynch US All Convertibles Index (VOSO) ‐ The Merrill Lynch All Convertible Index is a rule driven index. which includes all bonds and preferred stocks of U.S.‐registered companies, which have $50 million or more in aggregate market value and are convertibles in U.S. dollar‐denominated common stocks, ADRs or cash equivalents. Please note an investor cannot invest directly in an index. “EM Equities”= Emerging Equity (EAFE) Countries considered to be emerging economies whose public/private corporations issue stock to raise capital Countries considered to be emerging economies whose public/private corporations issue stock to raise capital. “International Sovereign”= Barclays Capital Global Treasury x US Total Return Index Value Unhedged USD (LGTITRUU) Includes Sovereign debt for Australia, Belgium, Brazil, Canada, Syprus, Czech Republic, Germany, Denmark, France, Hungary, Israel, Ireland, Italy, Japan, Luxembourg, Mexico, Malayasia, Morooco, Korean, Netherlands, Norway, New Zealand, Portugal, Poland, Austria, Finland, Russia, South Africa, Sweden, Singapore, Slovak Republic, Spain, and 21 Switzerland. “Efficient Portfolio” Definitions “EM Sovereign”= JP Morgan Emerging Markets Bond Index Global Diversified (EMBI GD) h l h f h l b l l h This index is uniquely‐weighted version of the EMBI Global. It limits the weights of those index countries with larger debt stocks by only including specified portions of these h f h hl b k b l l f f h countries’ eligible current face amounts of debt outstanding. The countries covered in the EMBI Global Diversified are identical to those covered by EMBI Global. “EM Corporate Debt”= JP Morgan Corporate Emerging Markets Bond Index Broad Diversifed (CEMBI BD) This index is a market capitalization weighted index consisting of US‐denominated Emerging Market corporate bonds. It is a liquid global corporate benchmark representing Asia, Latin America, Europe and the Middle East/Africa. This index also includes two subindices: J.P. Morgan Corporate Broad EMBI Diversified High Yield Index Level (JBCDNOIG) and the J.P. Morgan Corporate Broad EMBI Diversified High Grade Index Level (JBCDIGIG). “International Corp Debt” = Barclays Capital Global ex US (GDDUEAFE) For the developed markets, indices with dividends reinvested provide an estimate of total return that would be achieved by reinvesting one twelfth of the annual yield reported at every month‐end. The series with gross dividends takes into account actual dividends before withholding taxes, but excludes special tax credits declared by the companies. “Global Real Estate”= FTSE E/N Developed (UNGL) Index / p p The FTSE EPRA/NAREIT Developed Index is a composite of the existing FPRA Europe Index, EPRA/NAREIT North America Index and EPRA/NARREIT Asia Index. The index contains g p , / / publicly quoted real estate companies that meet the SPRA Rules in 21 countries throughout Europe, North America and Asia. “DJ UBS Commodities”= Dow Jones UBS Excess Return Commodity Index – (DJUBSTR) The index is composed of futures contracts on 19 physical commodities. It reflects the return on fully collateralized futures positions. It is quoted in USD. “Trade‐Weighted Dollar”= (DXY) DXY is the US Dollar Index (USDX) indicated the general international value of the US dollar. Average exchange rates between the US dollar and six major world currencies. DXY is the US Dollar Index (USDX) indicated the general international value of the US dollar Average exchange rates between the US dollar and six major world currencies “US Equities”= S&P 500 (SPX) Standard & Poor’s US 500 Index, a capitalized‐weighted index of 500 stocks. “International Equities”= (MSCI EAFE) MSCI Country index is a free float‐adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Fi l d F C d Th MSCI EAFE I d i t f th f ll i 22 d l d k t t i di A t li A t i B l i D G G H K k Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. “Copper”= Copper Spot Price (HGI) Copper is the world’s third most used metal behind iron and aluminum primarily used in highly cyclical industries including construction and industrial machinery manufacturing. Spot price quoted in USD/lb. “Gold”= Gold Spot Price (Golds) The Gold Spot price is quoted as US Dollar per Troy Ounce. “Inflation Linked”= Citigroup Inflation Linked Securities Local Currency Index (SBUSILSI) 22 Bonds where the principal is indexed to inflation. They are thus designed to cut out the inflation risk of an investment. The inflation linked market primarily consists of sovereign bonds with privately issued inflation‐linked bonds. U 1 .S. Aggr getIndexA Back to In IWS?requ Other Index Descriptions BofA Merrill Lynch US Treasury Index (G0Q0) – The Merrill Lynch US Treasury Index tracks the performance of US dollar denominated sovereign debt publicly issued by the US government in its domestic market. Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $1 billion. BofA Merrill Lynch US MBS Index (MOAO) – The Merrill Lynch US MBS tracks the performance of US dollar denominated fixed rate and hybrid residential mortgage pass‐through securities publically issued by US agencies in the US domestic market. 30 year, 20 year, 15 year and interest only fixed rate mortgage pools are included in the Index provided they have at least one year remaining term to final US domestic market 30‐year 20‐year 15‐year and interest only fixed rate mortgage pools are included in the Index provided they have at least one year remaining term to final maturity. BofA Merrill Lynch US Dollar Emerging Markets Sovereign Plus Index (IGOV) – The Merrill Lynch US Dollar Emerging Markets Sovereign Plus Index tracks the performance of US dollar denominated emerging market and cross‐over sovereign debt publicly issued in the eurobond or US domestic market. Qualifying countries must have a BBB1 or lower foreign currency long‐term sovereign debt rating (based on average of Moody’s, S&P, Fitch). y ( ) BofA Merrill Lynch International Government Index (NOGO) The Merrill Lynch International Index tracks the performance of Australia, Canadian, French, German, Japan, Dutch, Swiss and UK investment grade sovereign debt publicly issued and denominated in the issuer’s own domestic market and currency. Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding. BofA Merrill Lynch US Corporate Index (COAO) ‐ The Merrill Lynch Corporate Index tracks the performance of US dollar denominated investment grade corporate debt publicly issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch) and an investment grade rated country of risk (based on an average of Moody’s, S&P and Fitch foreign currency long term sovereign debt ratings). Securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of $250MM. BofA Merrill Lynch US Government Index (GOAO) ‐ The Merrill Lynch US Government Index tracks the performance of US government (i.e. securities in the Treasury and Agency indices.) Barclays Capital Global Emerging Markets Index ‐ The Barclays Capital Global Emerging Markets Index represents the union of the USD‐denominated US Emerging Markets index and the predominately EUR‐denominated Pan Euro Emerging Markets Index, covering emerging markets in the following regions: Americas, Europe, Middle East, Africa, and Asia. As with other fixed income benchmarks provided by Barclays Capital, the index is rules‐based, which allows for an unbiased view of the marketplace and easy replicability. Barclays Capital G‐7 Global Treasuries Index ‐ This index includes investment‐grade, local currency‐denominated sovereign debt from US, France, Germany, Italy, Japan, Canada and United Kingdom. Barclays Capital US Treasury Index ‐ This index is the US Treasury component of the US Government index. Public obligations of the US Treasury with a remaining maturity of one year or more. Barclays Capital Capital US Treasury 30 Year Index ‐ This index is the 30 year component of the US Government index. Barclays Capital Commercial Mortgage‐Backed Securities (CMBS) Index ‐ This index is the CMBS component of the US Aggregate Index. It includes 23 investment grade securities that are ERISA eligible under the underwriter’s exemption and is the only CMBS sector that is included in the US Aggregate Index Other Index Descriptions JP Morgan Emerging Markets Bond Index Global Diversified (EMBI GD) JP Morgan Emerging Markets Bond Index Global Diversified (EMBI GD) This index is uniquely‐weighted version of the EMBI Global. It limits the weights of those index countries with larger debt stocks by only including specified portions of these countries’ eligible current face amounts of debt outstanding. The countries covered in the EMBI Global Diversified are identical to those covered by EMBI Global. JP Morgan Emerging Markets Government/Soveriegn Bond Index (GBI‐EM) This index is the first comprehensive, global local Emerging Markets index, and consists of regularly traded, liquid fixed‐rate, domestic currency government bonds to which international investors can gain exposure. JP Morgan US Liquid Index (JULI) This index measures the performance of the Investment Grade dollar‐denominated corporate bond market. Morgan Stanley Capital International‐Emerging Markets USD Index (GDUEEGF) This index is the MSCI Emerging Markets Index, a free float‐adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of May , g g g g g y , 27, 2010 the MSCI Emerging Markets Index consisted of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, , , , p , gyp , g y, , Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Barclays Capital International Corporate Debt This index is the Index tracks the performance of G‐7 investment grade corporate debt publicly issued and denominated in the issuer’s own domestic market and currency. Qualifying securities must have at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding. Volatility Index (VIX) Volatility Index (VIX) The VIX shows the market's expectation of 30‐day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking and is calculated from both calls and puts. The VIX is a widely used measure of market risk and is often referred to as the "investor fear gauge". German Stock Index (DAX) The German Stock Index is a total return index of 30 selected German blue chip stocks traded on the Frankfurt Stock exchange. The equities use free float shares in the index calculation. The DAX has a base value of 1,000 as of December 31, 1987. Brazil Bovespa Index (IBOV) The Bovespa Idnex is a gross return index weighted by traded volume and is comprised of the most liquid stocks traded on the Sao Paulo Stock Exchange. The Bovespa Index has been divided 10 times by a factor of 10 since January 1, 1985. Shanghai Index (SHCOMP) The Shanghai Stock Exchange Composite Index is a capitalization-weighted index. The index tracks the daily performance of all A-shares and B-shares listed on the S Stock Exchange. The index was developed on December 19,1990 with a base value of 100. Shanghai S f An investment cannot be made in an index. 24 Additional Definitions Average Life Average life is the estimate of the number of terms to maturity, taking the possibility of early payments into account. Average life is calculated using the weighted average time to the receipt of all future cash flows. Basis Points A basis point (bps) is equal to 0.01%. A basis point (bps) is equal to 0.01%. Sharpe Ratio Measure or reward‐to‐variability ratio is a measure of the excess return (or Risk Premium) per unit of risk in an investment asset or a trading strategy, named after William Forsyth Sharpe. Standard Deviation The measure of dispersion of a set of data from its mean. A measure of an investment’s volatility. The more spread apart the data, the higher the deviation. Consumer Price Index Consumer Price Index This index is an indicator of inflation and measures the average change in the cost of a fixed set of consumer goods and services over time. Developed Markets The Developed Markets, as defined by JP Morgan, are Australia, Canada, France, Germany, Italy, Japan, New Zealand, Norway, Sweden, Switzerland, the United Kingdom, and the United States. Duration Duration is a commonly used measure of the potential volatility of the price of a debt security, or the aggregate market value of a portfolio of debt securities, prior to maturity. Securities with longer duration generally have more volatile prices than securities of comparable quality with a shorter duration. Emerging Markets Nations with developing financial markets, which are defined by JP Morgan as Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, Venezuela, China Hong Kong, India, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, Thailand, Bulgaria, Czech Republic, Hungary, Israel, Poland, Romania, Russia, South Africa, and Turkey. G3 G3 countries are the United States, Japan, and the European Union. G7 G7 countries are the United States, Canada, France, Germany, Italy, Japan, and the United Kingdom. Market Price Market price is the weighted average of the prices of the fund’s portfolio holdings. While a component of the fund’s Net Asset Value (NAV), it should not be confused with the fund’s NAV. 25 Disclaimer Important Information Regarding This Report This report was prepared as a private communication and was not intended for public circulation. Clients or prospects may authorize distribution to their consultants or other agents. Issue selection processes and tools illustrated throughout this presentation are samples and may be modified periodically. Such charts are not the only tools used b th i t tt t l hi ti t d t l by the investment teams, are extremely sophisticated, may not always produce the intended results and are not intended for use by non‐professionals. d th i t d d lt d ti t d df b f i l DoubleLine has no obligation to provide revised assessments in the event of changed circumstances. While we have gathered this information from sources believed to be reliable, DoubleLine cannot guarantee the accuracy of the information provided. Securities discussed are not recommendations and are presented as examples of issue selection or portfolio management processes. They have been picked for comparison or illustration purposes only. No security presented within is either offered for sale or purchase. DoubleLine reserves the right to change its investment perspective and outlook without notice as market conditions dictate or as additional information becomes available. dictate or as additional information becomes available. Important Information Regarding Risk Factors Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision‐making, economic or market conditions or other unanticipated factors. The views and forecasts expressed in this material are as of the date indicated, are subject to change without notice, may not come to pass and do not represent a recommendation or offer of any particular security, strategy, or investment. Past performance is no guarantee of future results. Important Information Regarding DoubleLine In preparing the client reports (and in managing the portfolios), DoubleLine and its vendors price separate account portfolio securities using various sources, including independent pricing services and fair value processes such as benchmarking. To receive a complimentary copy of DoubleLine’s current Form ADV Part II (which contains important additional disclosure information), a copy of the bl ’ l d d b DoubleLine’s proxy voting policies and procedures, or to obtain additional information on DoubleLine’s proxy voting decisions, please contact DoubleLine’s Client dd l f bl ’ d l bl ’ l Services. 26 Disclaimer Important Information Regarding DoubleLine’s Investment Style DoubleLine seeks to maximize investment results consistent with our interpretation of client guidelines and investment mandate. While DoubleLine seeks to maximize returns for our clients consistent with guidelines, DoubleLine cannot guarantee that DoubleLine will outperform a client's specified benchmark or the market. Additionally, the nature of portfolio diversification implies that certain holdings and sectors in a client's portfolio may be rising in price while others are falling; or, that some issues and sectors are outperforming while others are underperforming. Such out or underperformance can be the result of many factors, such as but not limited to duration/interest rate exposure, yield curve exposure, bond sector exposure, or news or rumors specific to a single name. DoubleLine is an active manager and will adjust the composition of client’s portfolios consistent with our investment team’s judgment concerning market conditions and any particular sector or security. The construction of DoubleLine portfolios may differ substantially from the construction of any of a variety of bond market indices. As such, a DoubleLine portfolio has the potential to underperform or outperform a bond market index. Since markets can remain inefficiently priced for long periods, DoubleLine’s performance is properly assessed over a full multi‐year market cycle. Important Information Regarding Client Responsibilities Important Information Regarding Client Responsibilities Clients are requested to carefully review all portfolio holdings and strategies, including by comparing the custodial statement to any statements received from DoubleLine. Clients should promptly inform DoubleLine of any potential or perceived policy or guideline inconsistencies. In particular, DoubleLine understands that guideline enabling language is subject to interpretation and DoubleLine strongly encourages clients to express any contrasting interpretation as soon as practical. Clients are also requested to notify DoubleLine of any updates to Client’s organization, such as (but not limited to) adding affiliates (including broker dealer affiliates), issuing additional securities, name changes, mergers or other alterations to Client’s legal structure. DoubleLine® is a registered trademark of DoubleLine Capital LP. © 2011 DoubleLine Capital LP © 2011 DoubleLine Capital LP 27
"Risky Assets Cheap Enough"