5-8-18 Asset Allocation Webcast (FINAL)
5-8-18 Asset Allocation Webcast (FINAL)
Live Webcast hosted by:
Jeffrey Gundlach
Chief Executive Officer
May 8, 2018
The Funds’ investment objectives, risks, charges and expenses must be considered carefully before investing. The
statutory prospectus and summary prospectus (if available) 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.
Mutual fund investing involves risk. Loss of Principal is possible. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer‐term debt
securities. Investments in lower‐rated and non‐rated securities present a greater risk of loss to principal and interest than higher‐rated 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 foreign securities may involve political, economic and currency risks, greater volatility 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 more 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 the fund’s ability to
sell its shares. Fund may use leverage which may cause the effect of an increase or decrease in the value of the portfolio securities to be magnified and the fund to more volatile than if leverage was not
used. The Fund may make short sales of securities, which involves the risk that losses may exceed the original amount invested. Investments in real estate securities may involve greater risk and volatility
including greater exposure to economic downturns and changes in real estate values, rents, property taxes, interest rates, tax and other laws. A REIT’s share price may decline because of adverse
developments affecting the real estate industry.
Opinions expressed are subject to change at any time, are not forecasts and should not be considered investment advice.
DoubleLine Funds are distributed by Quasar Distributors, LLC.
While the Funds are no‐load, management fees and other expenses still apply. Please refer to the prospectus for further details.
5‐8‐18 Asset Allocation Webcast 1
Fund holdings and sector allocations are subject to change and are not recommendations to buy or sell any security.
Performance
DoubleLine Core Fixed Income Fund
Fund Performance
Month‐End Returns Annualized 1‐Yr Std
March 31, 2018 Mar YTD 1‐Year 3‐Year 5‐Year Since Inception Deviation
I‐share 0.54% ‐0.74% 2.51% 2.20% 2.73% 5.22% 1.94%
N‐share 0.52% ‐0.80% 2.26% 1.92% 2.47% 4.96% 1.94%
Benchmark* 0.64% ‐1.46% 1.20% 1.20% 1.82% 3.02% 2.37%
Quarter‐End Returns Annualized
March 31, 2018 1Q18 YTD 1‐Year 3‐Year 5‐Year Since Inception
I‐share ‐0.74% ‐0.74% 2.51% 2.20% 2.73% 5.22%
N‐share ‐0.80% ‐0.80% 2.26% 1.92% 2.47% 4.96%
Benchmark* ‐1.46% ‐1.46% 1.20% 1.20% 1.82% 3.02%
Calendar Year Returns 2017 2016 2015 2014 2013
I‐share 4.66% 4.11% 0.63% 6.86% ‐1.20%
N‐share 4.41% 3.76% 0.39% 6.60% ‐1.36%
Benchmark* 3.54% 2.65% 0.55% 5.97% ‐2.02%
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 the original cost. Current performance of the fund may
be lower or higher than the performance quoted. Performance data current to the most recent month‐end may be obtained by calling 213‐633‐8200 or by
visiting www.doublelinefunds.com.
*Bloomberg Barclays U.S. Aggregate Bond Index represents securities that are SEC‐registered, taxable, and dollar 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. It is not possible to invest in an index.
5‐8‐18 Asset Allocation Webcast 2
Performance
DoubleLine Flexible Income Fund
Fund Performance
Month‐End Returns Annualized 1‐Yr Std
March 31, 2018 Mar YTD 1‐Year 3‐Year Since Inception Deviation
I‐share 0.12% 0.23% 3.94% 3.29% 3.45% 0.99%
N‐share 0.10% 0.27% 3.69% 3.04% 3.21% 0.88%
BAML 1‐3 Year Eurodollar Index 0.10% ‐0.22% 0.76% 1.16% 1.18% 0.54%
LIBOR USD 3 Month 0.17% 0.46% 1.44% 0.89% 0.74%
Quarter‐End Returns Annualized
March 31, 2018 1Q18 YTD 1‐Year 3‐Year Since Inception
I‐share 0.23% 0.23% 3.94% 3.29% 3.45%
N‐share 0.27% 0.27% 3.69% 3.04% 3.21%
BAML 1‐3 Year Eurodollar Index ‐0.22% ‐0.22% 0.76% 1.16% 1.18%
LIBOR USD 3 Month 0.46% 0.46% 1.44% 0.89% 0.74%
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 the original cost. Current performance of the fund may
be lower or higher than the performance quoted. Performance data current to the most recent month‐end may be obtained by calling 213‐633‐8200 or by
visiting www.doublelinefunds.com.
London Interbank Offering Rate (LIBOR) is an indicative average interest rate at which a selection of banks known as the panel banks are prepared to lend one
another unsecured funds on the London money market.
BAML 1‐3 Year Eurodollar Index is a subset of the BAML Eurodollar Index including all securities with a remaining term to final maturity less than 3 years. The BAML
Eurodollar Index tracks the performance of US dollar‐denominated investment grade quasigovernment, corporate, securitized and collateralized debt publicly
issued in the eurobond markets. One cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 3
Upcoming Webcast Announcements
Jeffrey Gundlach – May 22, 2018
Closed End Funds Webcast
Go to www.doublelinefunds.com, Home page under “Events”
2018 Webcast Schedule to register
1:15 pm PDT/4:15 pm EDT
Jeffrey Gundlach – June 12, 2018
Total Return Webcast
Go to www.doublelinefunds.com, Home page under “Events”
2018 Webcast Schedule to register
1:15 pm PDT/4:15 pm EDT
Phil Barach and Robert Cohen – July 10, 2018
Rising Rates Webcast
Go to www.doublelinefunds.com, Home page under “Events”
2018 Webcast Schedule to register
1:15 pm PDT/4:15 pm EDT
To Receive Presentation Slides:
Email: [email protected]
5‐8‐18 Asset Allocation Webcast 4
Asset Allocation Webcast
Live Webcast hosted by:
Jeffrey Gundlach
Chief Executive Officer
May 8, 2018
5‐8‐18 Asset Allocation Webcast 6
Gross Domestic Product – Real and Nominal
Source: Bloomberg
YoY ‐ year‐over‐year; GDP = Gross Domestic Product includes the total amount of goods and services produced within a given country. Nominal GDP is adjusted for inflation.
You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 7
U.S. Economic Expansions: Cumulative Real GDP
Real GDP Cumulative Performance by Expansion
1.55
1.00 1981, 3.2%
0.95
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41
# of Months
Source: Bloomberg, DoubleLine
GDP = Gross Domestic Product is the measure of goods and services with in a given country. NSA = Non‐Seasonally Adjusted, YoY= year‐over‐year.
You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 8
LEI (YoY) Heading into Recessions
Since January 1968
LEI Leading Up to Recessions
10
0
YoY%
‐5
‐10
‐15
‐24 ‐22 ‐20 ‐18 ‐16 ‐14 ‐12 ‐10 ‐8 ‐6 ‐4 ‐2 0 2 4 6 8 10 12 14 16 18 20 22 24
Months Leading up to Recession
25th/75th %ile Current*
Source: Bloomberg, DoubleLine as of March 31, 2018
LEI = Leading Economic Indicators is a measurable economic factor that changes before the economy starts to follow a particular pattern or trend. YoY = year‐over‐year..
5‐8‐18 Asset Allocation Webcast 9
ISM PMI Leading Up to Recessions
December 31, 1947 to April 30, 2018
70
65
60
55
YoY%
50
45
40
35
30
‐24
‐22
‐20
‐18
‐16
‐14
‐12
‐10
‐8
‐6
‐4
‐2
0
2
4
6
8
10
12
14
16
18
20
22
24
Months Leading up to Recession
25th/75th %ile Current*
Source: Bloomberg, DoubleLine as of April 30, 2018
ISM = Institute of Supply Management. Purchase Manager’s Index (PMI) is an indicator of the economic health of the manufacturing sector and is based on: new orders, inventory levels, production,
supplier deliveries and the employment environment. YoY = year‐over year. You cannot invest directly in an index. 5‐8‐18 Asset Allocation Webcast 10
U.S. High Yield Spread Heading into Recession
US HY Spread Heading into Recession
20
2001
18
2007
16
14
Now (6mo to Recession)
12 Now (1yr to Recession)
10
0
‐521
‐492
‐463
‐434
‐405
‐376
‐347
‐318
‐289
‐260
‐231
‐202
‐173
‐144
‐115
‐86
‐57
‐28
1
117
146
175
204
233
262
291
320
349
378
407
436
465
494
523
30
59
88
Trading Days to Recession
Source: Bloomberg, DoubleLine as of May 1, 2018
US HY = Moody’s Bond Indices Corporate BAA Index are an average of the daily values for the corresponding month and weekly values are averages for the daily yields of the corresponding week. Spread =
the difference between the yields of two bonds with differing credit ratings. You cannot invest directly in an index. 5‐8‐18 Asset Allocation Webcast 11
Economic Surprise – Hard vs. Soft Data
Source: Bloomberg, DoubleLine
The Bloomberg ECO Surprise Index shows the degree to which economic analysts under‐or‐over estimate the trends in the business cycle. The surprise is the percentage difference between analyst forecasts
and the published value. Bloomberg ECO US Industrial Sector Surprise Index shows the degree of over and under estimation of the Industrial sector.
You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 12
U.S. Treasury 2s to 10s & Fed Hiking Cycles
Source: Bloomberg Financial Services, DoubleLine Capital LP
5‐8‐18 Asset Allocation Webcast 13
2s to 10s ‐ U.S. 2 –year Treasury vs. 10‐year U.S. Treasury. GT10 ‐ US 10 Year Treasury Bond. GT02 ‐ 2year U.S. Treasury bond. You cannot invest directly in an index.
CPI YoY and Economic Cycles
Headline CPI YoY and Recessions
20%
15
10
‐5
1945
1946
1948
1950
1951
1953
1955
1956
1958
1960
1961
1963
1965
1966
1968
1970
1971
1973
1975
1976
1978
1980
1981
1983
1985
1986
1988
1990
1991
1993
1995
1996
1998
2000
2001
2003
2005
2006
2008
2010
2011
2013
2015
2016
Recession CPI YoY
Source: Bloomberg, DoubleLine
CPI = Consumer Price Index is the weighted average of prices of a basket of consumer goods and services, like transportation, food and medical care. .YoY = year‐over year. You cannot invest directly in an
index.
5‐8‐18 Asset Allocation Webcast 14
Headline and Core CPI & PCE
Last Price
Source: Bloomberg, DoubleLine
US CPI Urban Consumer = consumer Price Index measures the weighted average basket of goods and services such as transportation, food and medical care. CPI Less Food and Energy is CPI Urban
Consumers minus what they paid for food and energy which tend to fluctuate more often. US Personal Consumption Expenditure Core Price Index (PCE) = Personal Consumption expenditures measures
consumer spending on goods and services in the U.S. economy. PCE Chain Type Price Index = PCE deflator track overall price changes for goods and services purchased by consumers. YoY = year‐over‐
year. NSA = Non‐seasonally adjusted. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 15
U.S. Inflation
Last Price
Source: Bloomberg, DoubleLine
CPI = Consumer Price index measures the average price for a basket of goods and services, such as transportation, food and medical care., Y/Y = year‐of‐year. You cannot invest
directly in an index. 5‐8‐18 Asset Allocation Webcast 16
Core CPI and NY Fed UIG (16 month lead)
Last Price
Source: Bloomberg, DoubleLine
Core CPI = An inflation measure which excludes transitory price volatility as in the case of some commodities such as food and energy. UIG = Underlying Inflation Gauge. YoY = year‐over year. Correlation is a
statistical measure that indicated the extent to which two or more variables fluctuate together. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 17
U.S. Wage Growth & Average Hourly Earnings
Median % change
Source: Atlanta Fed, DoubleLine
Hourly Wage Index is based on a survey of wages and wage‐related costs. You cannot invest directly in an index. 5‐8‐18 Asset Allocation Webcast 18
Employment Cost Index Hit 2.7% (YoY)
Source: JPMorgan as of April 30, 2018
Employment Cost Index is a quarterly economic series published by the Bureau of Labor Statistics that details the growth of total employee compensation YoY = year‐over‐year, QoQ=Quarter‐
over‐quarter. Chg = change, SA = seasonally adjusted, NSA= non‐seasonally adjusted. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 19
Richmond Fed Manufacturing Survey: Wages
Source: DoubleLine, Bloomberg
.
5‐8‐18 Asset Allocation Webcast 20
U.S. Producers Struggling to Keep Up
Number of Days Waiting for Materials
Source: Bloomberg, Institute for Supply Management 5‐8‐18 Asset Allocation Webcast 21
U.S. Dollar
Mid‐Price
Source: JPMorgan, Bloomberg, DoubleLine
US Dollar Index (USDX) indicates the general value of the US dollar. Average exchange rates between the US dollar and six major world currencies. An investment cannot be made directly in an index.
5‐8‐18 Asset Allocation Webcast 22
DXY Performance by Year
DXY Performance by Year
Since 1985
130
125
120
115
Last Price
110
105
2018
100
95
90
2017 2002
2003
85 1986
1985
80 1987
1
7
13
19
25
31
37
43
49
55
61
67
73
79
85
91
97
103
109
115
121
127
133
139
145
151
157
163
169
175
181
187
193
199
205
211
217
223
229
235
241
247
253
259
Trading Days
Source: Bloomberg Financial Services, DoubleLine Capital LP
DXY = DXY is the US Dollar Index (USDX) indicates the general value of the US dollar. Average exchange rates between the US dollar and six major world currencies. An investment cannot be made
directly in an index. 5‐8‐18 Asset Allocation Webcast 23
USD Net Speculative Positioning
5‐8‐18 Asset Allocation Webcast 24
3mo LIBOR‐OIS Spread vs. DXY (3mo Lag)
Source: Bloomberg, DoubleLine, Citi
LIBOR = London Inter‐Bank Offered Rate is the exchange rate/average exchange rates estimated b each of the leading banks in London that it would be charged to
borrow from other banks. OIS Spread= Is the Overnight Indexed Swap 9OIS) rate. DXY is the U.S. Dollar exchange‐traded fund used as a proxy for the U.S dollar in this 5‐8‐18 Asset Allocation Webcast 25
exhibit. You cannot invest directly in an index.
DXY, Trade Weighted USD and USD/EM Performance
Last Price
Last Price
Source: Bloomberg Financial Services, DoubleLine Capital LP
DXY = DXY is the US Dollar Index (USDX) indicates the general value of the US dollar. Average exchange rates between the US dollar and six major world currencies. USD/EM Currency Index =
The US Dollar spot price currency/EM Currency Index is the MSCI EM Currency Index that sets the weight of each currency equal to the relevant country weight in the MSCI EM Index. An
investment cannot be made directly in an index. 5‐8‐18 Asset Allocation Webcast 26
Emerging Markets vs. Developed Markets
and U.S. Dollar
Source: Datastream, Bloomberg
MSCI EM Index ‐ A float‐adjusted market capitalization index that consists of indices in 23 emerging economies: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea,
Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates. JP Morgan USD Tradeable Currency Index ‐ Is an index that is not investable. It
tracks the volatility in the U.S. dollar. DM ‐ Developed Market. USD ‐ U.S. Dollar. You cannot invest directly in an index. 5‐8‐18 Asset Allocation Webcast 27
Rising Deficits and Rising Rates
As of May 2, 2018
GDP = Gross Domestic Product is the amount of goods and services produced within a given country. LHS = left hand side, RHS = right hand side. CBO = Congressional Budget Office. SEP = September
projections. You cannot invest directly in an index
5‐8‐18 Asset Allocation Webcast 28
Government Investment as % of GDP
Source: TopdownCharts as of April 27, 2018
GDP = Gross Domestic Product is the amount of goods and services produced within a given country. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 29
Fed Treasury Holdings vs. 10‐Year Yield (Inverted)
Source: Bloomberg, DoubleLine
5‐8‐18 Asset Allocation Webcast 30
Fed Treasury Holdings vs. S&P 500
Source: Bloomberg, DoubleLine
S&P 500 Index is a capitalized‐weighted index of the 500 largest companies listed on the NYSE and NASDAQ. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 31
Fed Short‐Term Rates After New Fed Chair Starts
Source: Federal Reserve, Bloomberg data. Stifel format and estimates as of April 30, 2018
5‐8‐18 Asset Allocation Webcast 32
FED Implied Dot Plot
Source: Bloomberg
FOMC = Federal Open Market Committee 5‐8‐18 Asset Allocation Webcast 33
Taylor Rule vs. Fed Funds Rate
Source: Bloomberg
A Taylor rule is a reduced form approximation of the responsiveness of the nominal interest rate, as set by the central bank, to changes in inflation, output, or other economic
conditions. You cannot invest directly in an index. 5‐8‐18 Asset Allocation Webcast 34
Effective Fed Fund Rates
December 31, 1987 to December 31, 2017 Projected through December 2019
LS = left side 5‐8‐18 Asset Allocation Webcast 35
TAB II
Bloodless Verdict of the Market
5‐8‐18 Asset Allocation Webcast 36
Gold Spot
Source: Bloomberg, DoubleLine
Spot price of gold quoted in Troy ounces. SMAV = standard moving average. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 37
Bloomberg Commodity Index (BCOM)
Source: Bloomberg
BCOM Index= Bloomberg Commodity Index is calculated on an excess return basis and reflects commodity futures price movements with monthly rebalancing. SMAVG = Moving
5‐8‐18 Asset Allocation Webcast 38
average. You cannot invest directly in an index.
U.S. Dollar Index Spot (DXY) Long Term
Source: Bloomberg Financial Services
DXY = DXY is the US Dollar Index (USDX) indicates the general value of the US dollar. Average exchange rates between the US dollar and six major world currencies. An investment cannot be
made directly in an index.
5‐8‐18 Asset Allocation Webcast 39
Growth Rate of Bloomberg Commodity Index
5
(January 31, 1991 ‐ May 04, 2018)
4
Growth Rate
5‐8‐18 Asset Allocation Webcast 40
Data Source: Bloomberg (BCOMTR)
Can “Momentum” Stocks Continue to Run Higher?
Source: BAML as of March 6, 2018
M2 = Is the U.S. calculation of the money supply that includes all elements of M1 as well as “near money”. M1 includes cash and checking deposits, while near money refers to savings deposits, money
market securities, mutual funds and other time deposits. MSCI USA Momentum Index is based on MSCI USA Index, its parent index, which captures large and mid‐cap stocks of the U.S. stock market. It’s
designed to reflect the performance of an equity momentum strategy. SPX = SPDR is an exchange traded fund (ETF) that tracks the Standard & Poor’s 500 Index. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 41
S&P 500 vs. 1‐year U.S. Treasury
18%
1‐Year Treasury Bill Yield
16% S&P 500 Dividend Yield
14%
April 30, 1953 ‐ April 30, 2018
12%
Yield (%)
10%
8%
6%
4%
2%
0%
Dividend yield is represented as a percentage and can be calculated by dividing the dollar value of dividends paid in a given year per share held by the dollar value of one share of stock
You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 42
Duration: The Only Game In Town
Ticker Company Name Price Change YTD (%) Total Return YTD (%) Annualized Equivalent Duration
BKLN US Equity PowerShares Senior Loan Portfolio 0.17% 1.41% 4.04% 4.0
JNK US Equity SPDR Bloomberg Barclays High Yield Bond ETF ‐2.67% ‐0.93% ‐2.62% 4.1
MBB US Equity iShares MBS ETF ‐2.74% ‐1.80% ‐5.01% 5.5
LQD US Equity iShares iBoxx $ Investment Grade Corporate Bond ETF ‐5.77% ‐4.71% ‐12.75% 8.6
TLT US Equity iShares 20+ Year Treasury Bond ETF ‐6.35% ‐5.56% ‐14.94% 17.5
EMB US Equity iShares JP Morgan USD Emerging Markets Bond ETF ‐6.82% ‐5.62% ‐15.10% 7.2
Source: Bloomberg, As of 05/07/2018
Please see appendix for ETF descriptions: objective, standardized performance and fees. 5‐8‐18 Asset Allocation Webcast 43
LIBOR Curve
Source: Bloomberg
ICE LIBOR ‐ London Interbank Offered rate administered by ICE Benchmark Administration Fixing for U.S. Dollar. The fixing is conducted each date at 11 am. It’s an average derived from the quotations
provided by the banks determined by the ICE Benchmark Administration. 5‐8‐18 Asset Allocation Webcast 44
U.S. 10‐Year Treasury
Source: Bloomberg Financial Services, DoubleLine Capital LP
5‐8‐18 Asset Allocation Webcast 45
GT10 ‐ US 10 Year Treasury Bond.
History of 10‐Year U.S. Treasury Yield
December 31, 1790 to February 28, 2018
Source: Global Financial Data, Federal Reserve, Haver Analytics, Goldman Sachs Investment Research
5‐8‐18 Asset Allocation Webcast 46
German 10‐Year
Source: Bloomberg, DoubleLine
SMAV = Moving Average.
5‐8‐18 Asset Allocation Webcast 47
Copper/Gold Ratio vs. U.S. Treasury 10‐year Yield
(3‐year chart)
Source: Bloomberg Financial Services, DoubleLine Capital LP
5‐8‐18 Asset Allocation Webcast 48
GT10 ‐ US 10 Year Treasury Bond.
Record Short Positioning on U.S. 10‐year Treasury Futures
Source: Bloomberg as of April 24, 2018
10‐year UST Futures index trading is tracked by the CTFC = U.S. Commodity Futures Trading Commission measures the volume of puts/calls against the 10‐year UST. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 49
Relative Growth of ICE BofAML Corporate
Index to ICE BofAML Treasury Index
1.50
1.40
(December 31, 1985 ‐ April 27, 2018)
1.30
Relative Growth Rate
1.20
1.10
1.00
0.90
Trend 1 Sigma Relative to Trend 2 Sigmas Relative to Trend Corporate/Treasury
0.80
Data Source: ICE BofAML (C0A0; G0Q0) Please see definitions in the Appendix. Monthly data with most recent observation appended.
Standard deviation ‐ A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Sigma ‐ measure used to quantify the amount of variation or
dispersion of a set of data values. You cannot invest directly in an index.
You cannot invest directly in an index. 5‐8‐18 Asset Allocation Webcast 50
Relative Growth of ICE BofAML Mortgage
Index to ICE BofAML Treasury Index
1.15
1.10
(December 31, 1985 ‐ April 27, 2018)
Relative Growth Rate
1.05
1.00
0.95
0.90
Data Source: ICE BofAML (M0A0; GOQO) Please see definitions in the Appendix. Monthly data with most recent observation appended.
Standard deviation ‐ A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Sigma ‐ measure used to quantify the amount of variation or
dispersion of a set of data values. You cannot invest directly in an index. 5‐8‐18 Asset Allocation Webcast 51
Relative Growth of ICE BofAML Emerging
Market Index to ICE BofAML Treasury Index
4.00
3.50
(December 31, 1991 ‐ April 27, 2018)
3.00
Relative Growth Rate
2.50
2.00
1.50
1.00
0.50
Data Source: ICE BofAML (IGOV; GOQO) Please see definitions in the Appendix. Monthly data with most recent observation appended.
ICE BofAML BBB & Lower Sovereign USD External Debt Index measures EM sovereign debt.
Standard deviation ‐ A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Sigma ‐ measure used to quantify the amount of variation or
dispersion of a set of data values. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 52
Relative Growth of ICE BofAML High Yield Cash Pay
Index to ICE BofAML Treasury Index
2.30
2.10
1.90
(December 31, 1985 ‐ April 27, 2018)
1.70
Relative Growth Rate
1.50
1.30
1.10
0.90
0.70
Trend 1 Sigma Relative to Trend 2 Sigmas Relative to Trend High Yield/Treasury
0.50
Data Source: ICE BofAML (J0A0; G0Q0) Please see definitions in the Appendix. Monthly data with most recent observation appended.
Standard deviation ‐ A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Sigma ‐ measure used to quantify the amount of variation or
dispersion of a set of data values. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 53
You cannot invest directly in an index.
Relative Growth of ICE BofAML High Yield Cash Pay
Index to ICE BofAML 15+ Year Treasury Index
1.30
1.20
(December 31, 1985 ‐ April 27, 2018)
1.10
Relative Growth Rate
1.00
0.90
0.80
0.70
0.60
Data Source: ICE BofAML (J0A0; G802) Please see definitions in the Appendix. Monthly data with most recent observation appended.
Standard deviation ‐ A measure of the dispersion of a set of data from its mean. The more spread apart the data, the higher the deviation. Sigma ‐ measure used to quantify the amount of variation or
dispersion of a set of data values. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 54
You cannot invest directly in an index.
Junk Bonds (JNK) ‐ 5 years with 200‐day Moving Avg
Source: Bloomberg, DoubleLine
SPDR Bloomberg Barclays High Yield Bond ETF (JNK) is an exchange‐traded fund seeking investment results that correspond to the price and yield of the Bloomberg Barclays High Yield
Very Liquid Bond Index which Is a components of the U.S. Corporate Bond Index designed to track more liquid component of the USD‐denominated, high yield, fixed rate corporate bond
market. It is being used as a proxy. SMAV = standard moving average.
5‐8‐18 Asset Allocation Webcast 55
Bloomberg Barclays U.S. Aggregate Index
Yield vs. Duration
4.5 Yield / Duration2
3.5
3
Yield Per Unit of Duration
2.5
1.5
0.5
1. January 31, 1973 – March 31, 2018; Source: Barclays, DoubleLine
2. January 31, 1976 – March 31, 2018; Source: Barclays, DoubleLine
Duration is a measure of the sensitivity of the price, the value of principal to any change in interest rates. Yield is the income return on an investment, such as interest or dividends received from
holding a particular security. You cannot invest directly in an index.
5‐8‐18 Asset Allocation Webcast 56
TAB III
DoubleLine Funds Overview
5‐8‐18 Asset Allocation Webcast 57
Core Fixed Income Fund Portfolio Statistics
Bloomberg Barclays
Core Fixed Income Fund
U.S Aggregate Index
Average Price $100.88 $100.78
Duration 5.00 6.08
Average Life 7.12 8.42
Portfolio statistics as of March 31, 2018 based on market weighted averages. Subject to change without notice.
Average price ‐ A measure of the weighted average price paid for the securities calculated by taking the prices and dividing by the number of securities and does not include cash. Average price should not
be confused with net asset value.
Average Duration ‐ Duration is used as a risk measure. It measures the price volatility of a security given a change in interest rate movements.
Average Life ‐ The average number of years that each dollar of unpaid principal due on the mortgage remains outstanding. Average life is computed as the weighted average time to the receipt of all future
cash flows, using as the weights the dollar amounts of the principal paydowns.
Source: DoubleLine Capital LP 5‐8‐18 Asset Allocation Webcast 58
Core Fixed Income Fund Portfolio Composition
Asset‐Backed Collateralized Loan
International
Securities Obligations
Sovereign
2.0% 2.6%
3.6%
Infrastructure Cash
4.0% 4.5%
High Yield Corporates
3.5%
Government
Bank Loans
24.3%
3.5%
Commercial MBS
7.4%
Municipals
0.0%
Investment Grade
Corporates
12.6%
Mortgage‐Backed
Emerging Markets Securities
7.7% 24.2%
Portfolio composition as of March 31, 2018. Subject to change without notice. * Excludes U.S. Treasuries.
Bank Loans ‐ A debt financing obligation issued by a bank or similar financial institution to a company.
Commercial Mortgage‐Backed Securities (CMBS) ‐ Commercial Mortgage‐Backed Securities. Securitized loans made on commercial rather than residential property.
Collateralized Loan Obligations (CLOs) ‐ A form of securitization where payments from multiple middle sized and large business loans are pooled together and passed on to different classed of owners in
various tranches. Cash ‐ Cash holding include the value of assets that can be converted into cash immediately. Can include marketable securities, such as government bonds, banker's acceptances, cash
equivalents on balance sheets that may include securities that mature within 90 days. Government ‐ Government debt (also known as public debt or national debt) is money (or credit) owed by any level of
government; either central government, federal government, municipal government or local government.
Mortgage‐Backed Securities (MBS)‐ A mortgage‐backed security (MBS) is an asset‐backed security or debt obligation that represents a claim on the cash flows from mortgage loans, most commonly on
residential property. Emerging Markets Fixed Income ‐ Emerging market debt (EMD) is a term used to encompass bonds issued by less developed countries.
Investment Grade (IG) and High Yield Corporates (HY) ‐ Investment grade and non‐investment grade corporate credit. Bonds issued by corporations to raise money in order to expand its business. Credit
distribution is determined from the highest available credit rating from any Nationally Recognized Statistical Rating Organization (S&P, Moody’s, and Fitch). A bond rated BBB or higher would be considered
Investment Grade. Any bond rated BBB or below would be High Yield.
5‐8‐18 Asset Allocation Webcast 59
Source: DoubleLine Capital LP. Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
Core Fixed Income Fund
Portfolio Credit Quality Breakdown
Unrated
Below Securities Cash
Investment 5.6% 4.5%
Grade2
11.2%
Government
24.8%
Investment
Grade1 Agency
37.9% 16.0%
Portfolio composition and credit ratings as of March 31, 2018. Portfolio composition is subject to change without notice. Credit distribution is determined from the highest available credit rating from any
Nationally Recognized Statistical Rating Organization (S&P, Moody’s, and Fitch).
Cash ‐ The value of assets that can be converted into cash immediately. Can include marketable securities, such as government bonds, banker's acceptances, cash equivalents on balance sheets that may
include securities that mature within 90 days. Government ‐ Government debt (also known as public debt or national debt) is money (or credit) owed by any level of government; either central government,
federal government, municipal government or local government. Agency ‐ Mortgage securities whose principal and interest are effectively guaranteed by the U.S. Government agency including Fannie Mae
(FNMA) or Freddie‐Mac (FHLMC). 1Investment Grade ‐ A bond is considered investment grade if its credit rating is BBB‐ of higher by Standard & Poor’s or Baa3 by Moody’s. Ratings based on corporate bond
model. The higher the rating, the more likely the bond is to pay back at par/$100 cents on the dollar.
2Below Investment Grade (Below IG)‐ Also known as “junk bond” is a security rated below investment grade. These bonds are seen as having higher default risk or other adverse credit events, but typically pay
higher yields than better quality bonds in order to make them attractive. They are less likely to pay back at par/$100 cents on the dollar.
Credit quality may be assessed by different agencies for different bonds for reasons beyond the control of the Fund.
NR ‐ Not Rated . Securities that are not rated by the three rating agencies.
5‐8‐18 Asset Allocation Webcast 60
Source: DoubleLine Capital LP.
Flexible Income Fund Portfolio Statistics
Bank of America Merrill Lynch
Flexible Income Fund
1‐3 Year Eurodollar Index
Average Price $99.95 $99.80
Duration 1.38 1.91
Average Life 4.41 1.98
Portfolio statistics as of March 31, 2018 based on market weighted averages. Subject to change without notice.
Average price ‐ A measure of the weighted average price paid for the securities calculated by taking the prices and dividing by the number of securities and does not include cash. Average price should not
be confused with net asset value.
Average Duration ‐ Duration is used as a risk measure. It measures the price volatility of a security given a change in interest rate movements.
Average Life ‐ The average number of years that each dollar of unpaid principal due on the mortgage remains outstanding. Average life is computed as the weighted average time to the receipt of all future
cash flows, using as the weights the dollar amounts of the principal paydowns.
Source: DoubleLine Capital LP 5‐8‐18 Asset Allocation Webcast 61
Flexible Income Fund Portfolio Composition
International Sovereign
2.7% Cash
Emerging Markets 13.2%
15.3%
U.S. Government
5.2%
High Yield Corporates Agency MBS
5.7% 0.2%
Bank Loans Non‐Agency MBS
9.6% 19.1%
Asset‐Backed Securities
Collateralized Loan
3.7%
Obligations Commerical MBS
16.3% 9.0%
Portfolio composition as of March 31, 2018. Subject to change without notice.
Source: DoubleLine Capital LP. Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security.
Cash ‐ The value of assets that can be converted into cash immediately. Can include marketable securities, such as government bonds, banker's acceptances, cash equivalents on balance sheets that may
include securities that mature within 90 days. Government – U.S. treasury securities. Agency ‐ Mortgage securities whose principal and interest guaranteed by the U.S. Government agency including Fannie
Mae (FNMA) or Freddie Mac (FHLMC). Non‐Agency RMBS ‐ Residential Mortgages Bond Securities are a type of bond backed by residential mortgages. Non‐Agency means they were issued by a private
issuer. CMBS ‐ Commercial Mortgage‐Backed Securities. Securitized loans made on commercial rather than residential property.
CLO ‐ Collateralized Mortgage Obligations. Bank Loans ‐ A debt financing obligation issued by a bank or similar financial institution to a company. Investment Grade (IG) and High Yield Corporates (HY) ‐
Investment grade and non‐investment grade corporate credit. Bonds issued by corporations to raise money in order to expand its business. Credit distribution is determined from the highest available credit
rating from any Nationally Recognized Statistical Rating Organization (S&P, Moody’s, and Fitch). A bond rated BBB or higher would be considered Investment Grade. Any bond rated BBB or below would be
High Yield. 5‐8‐18 Asset Allocation Webcast 62
Flexible Income Fund
Portfolio Credit Quality Breakdown
Unrated
Securities3 Cash
13.3% 13.2%
Government
5.2%
Agency
0.3%
Below
Investment
Grade2
29.3%
Investment
Grade1
38.8%
Portfolio composition as of March 31, 2018. Portfolio composition is subject to change without notice. There are some non‐rated securities in the portfolio as shown in the chart above. Credit
distribution is determined from the highest available credit rating from any Nationally Recognized Statistical Rating Organization (S&P, Moody’s, and Fitch).
1Investment Grade ‐ Securities rated AAA to BBB‐ (shown in blue above) are considered to be investment grade. A bond is considered investment grade if its credit rating is BBB‐ of higher by Standard
& Poor’s or Baa3 by Moody’s. Ratings based on corporate bond model. The higher the rating, the more likely the bond is to pay back at par/$100 cents on the dollar. AAA is considered the highest
quality and the lowest degree of risk. They are considered to be extremely stable and dependable.
2Below Investment Grade ‐ Also known as “junk bond” (shown in grey above) is a security rated below investment grade having a rating of BBB‐ or below. These bonds are seen as having higher
default risk or other adverse credit events, but typically pay higher yields than better quality bonds in order to make them attractive. They are less likely to pay back at par/$100 cents on the dollar.
Credit quality may be assessed by different agencies for different bonds for reasons beyond the control of the Fund.
3NR ‐ Not Rated ‐ Securities that are not rated by the three rating agencies.
RMBS ‐ Residential Mortgage‐Backed Securities.
5‐8‐18 Asset Allocation Webcast 63
Source: DoubleLine Capital LP
TAB IV
Appendix
5‐8‐18 Asset Allocation Webcast 64
Asset Allocation Webcast
Live Webcast hosted by:
Jeffrey Gundlach
Deputy Chief Investment Officer
May 8, 2018
As of March 31, 2018
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have
a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. Visit spdrs.com for most recent month-end performance.
Performance of an index is not illustrative of any particular investment. It is not possible to invest directly in an index.
Important Risk Information ‐ In general, ETFs can be expected to move up or down in value with the value of the applicable index. Although ETF shares may be bought and sold on the
exchange through any brokerage account, ETF shares are not individually redeemable from the Fund. Investors may acquire ETFs and tender them for redemption through the Fund in
Creation Unit Aggregations only. Please see the prospectus for more details.
Bond funds contain interest rate risk (as interest rates rise bond prices usually fall); the risk of issuer default; issuer credit risk; liquidity risk; and inflation risk.
Investing in high yield fixed income securities, otherwise known as "junk bonds" is considered speculative and involves greater risk of loss of principal and interest than investing in
investment grade fixed income securities. These lower‐quality debt securities involve greater risk of default or price change due to potential changes in the credit quality of the issuer.
The Fund invests by sampling the Index, holding a range of securities that, in the aggregate, approximates the full Index in terms of key risk factors and other characteristics which may
cause the fund to experience tracking errors relative to performance of the Index.
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street
Corporation and its affiliates. Certain State Street affiliates provide services and receive fees from the SPDR ETFs.
Before investing, consider the funds' investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains
this and other information, call 1‐866‐787‐2257 or talk to your financial advisor. Read it carefully before investing.
JNK is distributed by State Street Global Markets, LLC 5‐8‐18 Asset Allocation Webcast 67
iShares 20+ Year Treasury ETF (TLT)
Investment Objective
The iShares 20+ Year Treasury Bond ETF seeks to track the investment results of an index composed of U.S. Treasury
bonds with remaining maturities greater than twenty years.
As of March 31, 2018
Benchmark is the ICE U.S. Treasury 20+ Year Bond Index (Index returns don’t’ reflect deductions for fees, expenses, or taxes). ICE BofAML US 20+ Year Treasury Index “Long
Treasury” ‐The BofAML US 20+ Treasury Index tracks the performance of US dollar denominated 20+ year sovereign debt publicly issued by the US government in its domestic
market. It is a subset of the BofAML U.S. Treasury Index (GOQO).
5‐8‐18 Asset Allocation Webcast 68
iShares 20+ Year Treasury ETF (TLT)
Important Risk Factors
5‐8‐18 Asset Allocation Webcast 69
iShares MBS ETF (MBB)
Investment Objective
The iShares MBS ETF (MBB) seeks to track the investment results of an index composed of investment-grade mortgage-backed pass-through securities
issued and/or guaranteed by U.S. government agencies
As of March 31, 2018
Benchmark = Bloomberg Barclays Mortgage‐Backed Securities
Index tracks agency mortgage‐backed pass‐through securities
(both fixed‐rate and hybrid ARM) guaranteed by Ginnie Mae
(GNMA), Fannie Mae (FNMA) and Freddie Mac (FHLMC).
Important Risk Information
5‐8‐18 Asset Allocation Webcast 70
iShares iBoxx Investment Grade ETF(LQD)
Investment Objective
The iShares iBoxx $ Investment Grade Corporate Bond ETF seeks to track the investment results of an index composed of
U.S. dollar-denominated, investment grade corporate bonds.
5‐8‐18 Asset Allocation Webcast 71
Invesco Powershares Senior Loan ETF(BKLN)
Investment Objective
The PowerShares Senior Loan Portfolio (Fund) is based on the S&P/LSTA U.S. Leveraged Loan 100 Index (Index). The Fund will
normally invest at least 80% of its total assets in the component securities that comprise the Index. The Index is designed to track the
market-weighted performance of the largest institutional leveraged loans based on market weightings, spreads and interest payments.
The Fund and the Index are rebalanced and reconstituted bi-annually, in June and December.
As of March 31, 2018
This information is intended for US residents.
The information on this site does not constitute a recommendation of any investment strategy or product for a particular investor. Investors should consult a financial
advisor/financial consultant before making any investment decisions.
Invesco Distributors, Inc., is the US distributor for Invesco Ltd.'s Retail Products and Collective Trust Funds.
PowerShares® is a registered trademark of Invesco PowerShares Capital Management LLC, investment adviser. Invesco PowerShares Capital Management LLC (PowerShares) and
Invesco Distributors, Inc., ETF distributor, are indirect, wholly owned subsidiaries of Invesco Ltd.
Shares are not individually redeemable and owners of the Shares may acquire those Shares from the Funds and tender those shares for redemption to the Funds in Creation Unit
aggregations only, typically consisting of 10,000, 50,000, 75,000, 80,000, 100,000, 150,000 or 200,000 Shares.
Institutional Separate Accounts and Separately Managed Accounts are offered by affiliated investment advisers, which provide investment advisory services and do not sell
securities. These firms, like Invesco Distributors, Inc., are indirect, wholly owned subsidiaries of Invesco Ltd.
©2018 Invesco Ltd. All rights reserved.
5‐8‐18 Asset Allocation Webcast 72
Invesco Powershares Senior Loan ETF(BKLN)
5‐8‐18 Asset Allocation Webcast 73
iShares JPMorgan USD Emerging Markets Bond Fund
ETF(EMB)
Investment Objective
The iShares J.P. Morgan USD Emerging Markets Bond ETF seeks to track the investment results of an index composed of
U.S. dollar-denominated, emerging market bonds.
Benchmark = JP Morgan EMBI Global Core Index is a broad,
diverse U.S. dollar denominated emerging markets debt
benchmark that tracks the total return of actively traded
debt instruments in emerging market countries.
5‐8‐18 Asset Allocation Webcast 74
iShares JPMorgan USD Emerging Markets Bond Fund
ETF(EMB)
5‐8‐18 Asset Allocation Webcast 75
Index Descriptions
Bloomberg Barclays Capital Global Emerging Markets Index ‐ The Bloomberg 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 Bloomberg Barclays Capital, the index is rules‐based, which allows for an unbiased view of the marketplace and easy replicability.
JP Morgan Investment Grade Corporate Index ‐ JP Morgan Investment Grade Corporate Index includes 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. NAV – A mutual fund's price per share or exchange‐traded fund's (ETF) per‐share value. In both cases, the per‐share dollar amount of the fund is calculated by dividing the total
value of all the securities in its portfolio, less any liabilities, by the number of fund shares outstanding.
CMO – A type of mortgage‐backed security that creates separate pools of pass‐through rates for different classes of bondholders with varying maturities, called tranches. The repayments from the pool of
pass‐through securities are used to retire the bonds in the order specified by the bonds' prospectus
TIPS– Treasury Inflation Protection. A treasury security that is indexed to inflation in order to protect investors from the negative effects of inflation. TIPS are considered an extremely low‐risk investment
since they are backed by the U.S. government and since their par value rises with inflation, as measured by the Consumer Price Index, while their interest rate remains fixed.
CPI– Consumer Price Index. A measure that examines the weighted average of prices of a basket of consumer goods and services, such as transportation, food and medical care.
ICE BofAML High Yield Index ‐ An index that tracks the performance of U.S. dollar denominated below investment grade corporate debt, currently in a coupon paying period, that is publicly issued in the
U.S. domestic market. Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Firth foreign currency long term sovereign debt ratings). Must have one
year remaining to final maturity and a minimum outstanding amount of $100MM.
ICE BofAML Investment Grade Index ‐ An index that tracks the performance of U.S. dollar denominated below investment grade corporate debt, currently in a coupon paying period, that is publicly issued in
the U.S. domestic market. Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Firth foreign currency long term sovereign debt ratings). Must have
one year remaining to final maturity and a minimum outstanding amount of $100MM.
ICE BofAML Investment Grade Index ‐ An index that tracks the performance of U.S. dollar denominated below investment grade corporate debt, currently in a coupon paying period, that is publicly issued in
the U.S. domestic market. Qualifying securities must have a below investment grade rating (based on an average of Moody’s, S&P and Firth foreign currency long term sovereign debt ratings). Must have
one year remaining to final maturity and a minimum outstanding amount of $100MM.
ICE BofAML Mortgage Index (MOAO) ‐ An index that tracks the performance of U.S. agency mortgages, issued by Fannine Mae and Freddie Mac.
ICE BofAML 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.
ICE BofAML 1‐3 Year Treasury Index (G1O2) – is a subset of the BofAML US Treasury Index including all securities with a remaining term to final maturity less than 3 years. The BofAML US Treasury Index
tracks the performance of US dollar denominated sovereign debt publicly issued by the US government in its domestic market.
ICE BofAML US 10‐15 Year Treasury Index “Long Treasury” (G7O2) ‐The BofAML US 10‐15 Treasury Index tracks the performance of US dollar denominated 10‐15 year sovereign debt publicly issued by the
US government in its domestic market. It is a subset of the BofAML U.S. Treasury Index (GOQO).
ICE BofAML US 10‐15 Year Treasury Index “Long Treasury” (G7O2) ‐The BofAML US 10‐15 Treasury Index tracks the performance of US dollar denominated 10‐15 year sovereign debt publicly issued by the
US government in its domestic market. It is a subset of the BofAML U.S. Treasury Index (GOQO).
ICE BofAML US 15+ Year Treasury Index “Long Treasury” (G8O2) ‐The BofAML US 15+ Treasury Index tracks the performance of US dollar denominated 15+ year sovereign debt publicly issued by the US
government in its domestic market. It is a subset of the BofAML U.S. Treasury Index (GOQO).
JPMorgan Corporate EMBI Broad Diversified Index (JBCDCOMP) – This index tracks the performance of investment grade corporate debt publically issued across a range of emerging market countries.
Shanghai Index ‐ The Shanghai Stock Exchange Composite is a capitalization‐weighted index tracking daily price performance of all A and B‐shares listed on the Shanghai Stock Exchange. This index was
developed December 19, 1990 with a base value of 100.
NASDAQ‐ A computerized system that facilitates trading and provides price quotations on more than 5,000 of the more actively traded over the counter stocks. Created in 1971, the Nasdaq was the world's
first electronic stock market.
5‐8‐18 Asset Allocation Webcast 76
Index Descriptions
Transports‐ The Industrials Sector includes companies whose businesses are dominated by one of the following activities: The manufacture and distribution of capital goods, including aerospace & defense,
construction, engineering & building products, electrical equipment and industrial machinery
Utilities‐ A public utility is a business that furnishes an everyday necessity to the public at large. Public utilities provide water, electricity, natural gas, telephone service, and other essentials. Utilities may be
publicly or privately owned, but most are operated as private businesses.
Basis Point‐ A basis point is a unit that is equal to 1/100th of 1%, and is used to denote the change in a financial instrument.
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 a
longer duration generally have more volatile prices than securities of comparable quality with a shorter duration.
Bloomberg Barclays Capital CMBS Index – tracks the performance of US dollar‐denominated securitized commercial mortgage‐backed securities.
Russell 2000 – measures the performance of the small‐cap segment of the US equity universe. Russell 2000 is a subset of the Russell 3000 index representing approximately 10% of the total market
capitalization of that index.
S&P GSCI – is a composite index of commodity sector return representing an unleveraged, long‐only investment in commodity futures that is broadly diversified across the spectrum of commodities.
S&P GSCI Agriculture – is a composite index of agriculture commodity futures unleveraged, long‐only investment.
Citigroup Economic Surprise Index ‐ The Citigroup Economic Surprise Indices are objective and quantitative measures of economic news. They are defined as weighted historical standard deviations of data
surprises (actual releases vs Bloomberg survey median). A positive reading of the Economic Surprise Index suggests that economic releases have on balance beating consensus. The indices are calculated daily
in a rolling three‐month window. The weights of economic indicators are derived from relative high‐frequency spot FX impacts of 1 standard deviation data surprises. The indices also employ a time decay
function to replicate the limited memory of markets.
S&P LSTA Lev Loan Index (Bank Loans)‐ Created by the Leveraged Commentary & Data (LCD) team at S&P Capital IQ, the review provides an overview and outlook of the leveraged loan market as well as an
expansive review of the S&P Leveraged Loan Index and sub‐indexes. The review consists of index general characteristics, results, risk‐return profile, default/distress statistics, and repayment analysis. It is not
possible to invest directly in an index.
Moody’s U.S. Speculative Grade Default Rate: A speculative‐grade default occurs if a defaulting issuer held an speculative‐grade rating (Ba1 or lower) at the start of latest 12 month period. The rate is
established by dividing the number of Spec‐grade defaults by the number of Spec‐grade issuers at the beginning of the sample period.
Moody’s Distressed Rate: Percentage of High Yield Issuers whose debt is trading at distressed levels. Distressed issuers are defined as having debt with OAS or CDS of 1000 bps or more.
5‐8‐18 Asset Allocation Webcast 77
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
by the investment teams, are extremely sophisticated, may not always produce the intended results and are not intended for use by non‐professionals.
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. This material may include statements that constitute “forward‐looking statements” under the U.S.
securities laws. Forward‐looking statements include, among other things, projections, estimates, and information about possible or future results related to a
client’s account, or market or regulatory developments.
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. All investments involve risks.
Please request a copy of DoubleLine’s Form ADV Part 2A to review the material risks involved in DoubleLine’s strategies. 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 Capital’s current Form ADV (which contains important additional disclosure information, including risk
disclosures), a copy of the DoubleLine’s proxy voting policies and procedures, or to obtain additional information on DoubleLine’s proxy voting decisions, please
contact DoubleLine’s Client Services.
5‐8‐18 Asset Allocation Webcast 78
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 or that DoubleLine’s risk management techniques will successfully mitigate losses. 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
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.
© 2018 DoubleLine Capital LP
5‐8‐18 Asset Allocation Webcast 79
Asset Allocation Webcast
Live Webcast hosted by:
Jeffrey Gundlach
Chief Executive Officer
May 8, 2018