The DoubleLine Shiller Enhanced International CAPE mutual fund recently opened to shareholders via two share classes: I shares (DSEUX) and N shares (DLEUX).
The fund, which launched on 23 December 2016, seeks to exceed the total return of the Morgan Stanley Capital International (MSCI) Europe Net Return Index over a full market cycle.
The MSCI Europe index is an index of large market-capitalization stocks of European companies.
The new fund builds upon the success of the DoubleLine's first smart-beta equities fund, the USD2.2 billion DoubleLine Shiller Enhanced CAPE (I shares DSEEX; N shares DSENX), which seeks to outperform the Standard & Poor's 500 Index of large-cap stocks of US companies.
Each fund – DoubleLine Shiller Enhanced CAPE and DoubleLine Shiller Enhanced International CAPE – has two sources of return. An actively managed fixed income portfolio provides a secondary source of return while collateralising derivatives providing exposure to the primary source of return: a rules-based or "smart-beta" index targeting undervalued sectors of each fund's large-cap stock universe.
Jeffrey Gundlach (pictured), CEO and chief investment officer of DoubleLine Capital, and Jeffrey Sherman, deputy chief investment officer of DoubleLine, are portfolio managers of DoubleLine Shiller Enhanced CAPE and DoubleLine Shiller Enhanced International CAPE.
The smart beta equity indexes implemented by the two funds were designed by co-creator Robert Shiller, Sterling Professor of Economics at Yale University, and Barclays Capital.
In the case of the DoubleLine Shiller Enhanced CAPE, the primary source of return is the Shiller Barclays CAPE US Sector Total Return USD Index (the Shiller Barclays index). The Shiller Barclays index first identifies the five deepest-value sectors of the S&P 500 Index as measured by each sector's Relative CAPE Ratio. Then the index implements a defensive filter to help avoid value traps. Of the five value sectors, the filter removes the sector with the lowest trailing 12-month total return. The index then is constituted of equal 25 per cent exposures to the four remaining value sectors. The index reconstitutes and rebalances at the beginning of each month.
The I share class of the DoubleLine Shiller Enhanced CAPE has returned 14.73 per cent annualised since its inception on 31 October 2013 through 31 December 2016.