DoubleLine Debuts Shiller-Inspired Fund

The DoubleLine Shiller Enhanced CAPE Fund uses the long-term stock valuation principles of Nobel Prize-winning Yale economics professor Robert Shiller.


The mutual fund combines Shiller’s stock market strategy with active fixed-income investment management by DoubleLine Capital LP. The no-load, open-end fund is available in two share classes, institutional (DSEEX) and N shares (DSENX).

The fund seeks to deliver a total return in excess of the Shiller Barclays CAPE U.S. Sector TR USD Index. DoubleLine will seek to invest 100% of the fund’s net assets in debt instruments. Part of those holdings will be pledged as collateral against derivatives, exposing the fund to the four least-valued sectors in the U.S. stock market as measured by the Cyclically Adjusted Price Earnings ratio (the CAPE Ratio). The fund seeks to have simultaneous exposures both to the index and to debt securities, each in an amount potentially up to the value of the fund’s net assets.

The Index and the CAPE Ratio incorporate Shiller’s principles of long-term stock investing. To the extent the derivatives strategy leaves enough of the fund’s assets available for other investment, DoubleLine will seek to manage the unreserved debt instruments to generate a supplemental source of long-term return.

The fund’s holdings of debt instruments may resemble those of the DoubleLine Core Fixed Income Fund, although the two portfolios are likely to differ in several respects (such as the amount of cash or short-term holdings). DoubleLine may determine to invest a portion of assets directly in the DoubleLine Core Fixed Income Fund in lieu of investing directly in a portfolio of debt instruments.

Shiller has conducted research on financial markets, asset prices and macroeconomics. His work includes findings on the relationship of stock price volatility to long-term returns. In 1981, Shiller set the stage for the Cyclically Adjusted Price Earnings ratio (the CAPE Ratio) in his paper, “Do Stock Prices Move Too Much to Be Justified by Subsequent Movements in Dividends?”

Portfolio managers of the fund are Jeffrey Gundlach, chief executive and chief investment officer of DoubleLine, and Jeffrey Sherman, an asset-allocation specialist at DoubleLine.

According to Gundlach, the investment strategy is an opportunity based on discipline and value. The fund gives investors access to two complementary value-orientated approaches across both equity and fixed-income markets, Shiller said in a release.