Get documents about "Risky Assets Cheap Enough
Document Sample
“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
fundinfo@doubleline.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
