Week of October 13, 2014 - Core Plus Fixed Income
The DoubleLine Core Plus Fixed Income Strategy ("the Strategy") maintains an objective to outperform the Barclays U.S. Aggregate Bond Index by blending bottom-up security selection with active sector allocation across fixed income securities. Allocation decisions are made by the DoubleLine Fixed Income Asset Allocation Committee (FIAA) led by Jeffrey Gundlach which includes senior portfolio managers from each asset class who on average have worked over 17 years together. The long-standing tenure of the committee members provides consistent managerial expertise which can be instrumental when navigating through different interest rate environments. The FIAA Committee seeks to manage the Strategy by adjusting asset weightings based on the analysis of sector fundamentals and relative valuation in fixed income markets. The result is a diversified, multi-sector Strategy that has generally been able to outperform the benchmark returns.
The Strategy does not use derivatives or futures and does not take unidirectional interest rate or credit bets, unlike many of its larger competitors in the Intermediate-term bond category. All securities have a CUSIP. Furthermore, the Strategy has a high Sherman Ratio1 which investors can use to measure return expectations per unit of interest rate risk. As of August 30, 2014 the Strategy had a Sherman Ratio of 0.94 which is more than twice that of the Barclays U.S. Aggregate Bond Index.
For more information about the DoubleLine Core Plus Fixed Income Strategy please click here
|Strategy||SEC Yield2||Duration3||Sharpe Ratio4||Sherman Ratio1|
|DoubleLine Core Plus Fixed Income||4.03%||4.3||2.32||0.94|
|Barclays U.S. Aggregate Bond Index5||2.22%||5.6||1.37||0.40|
DoubleLine Core Plus Fixed Income Strategy
Representative Account, as of September 30, 2014
1 Named after DoubleLine portfolio manager Jeff Sherman, the “Sherman Ratio” calculates the expected return (yield) per unit of interest rate risk (duration). Calculated by dividing the SEC Yield by Duration.
2 SEC Yield calculation is based on a 30-day period ending on the last day of the previous month. It is computed by dividing the net investment income per share earned during the period by the maximum offering price per share on the last day of the period.
3 Duration is a commonly used measure of the potential volatility of the price of a debt securities, prior to maturity. Securities with a longer duration generally have more volatile prices than securities of comparable quality with shorter duration.
4 Sharpe ratio is a reward-to-variability ratio and a measure of the excess return (or Risk Premium) per unit of risk in an investment asset or a trading strategy.
5 Barclays U.S. Aggregate yield metric represents the index Yield to Worst.
Jeffrey Gundlach - DoubleLine Overview
Bank Loans vs. High Yield
Fixed Income Asset Allocation
Global Developed Credit - Floating Rate
Low Duration Emerging Markets
Mortgage-Backed Securities - Total Return
Shiller Enhanced CAPE®
US Housing Market
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8-15-14 CNBC "DoubleLine's Gundlach: Could see U.S. 10-year yields go to 2.2%"
Click here to view video
02-12-14 "Gundlach: QE will not end in 2014"
02-12-14 "Gundlach: Market has discounted tapering" http://video.cnbc.com/gallery/?video=3000245506
04-14-14 "Housing Finance Reform"
Information presented was current as of the date the material was prepared by an outside party. DoubleLine assumes no duty to update this information.
Documents and Commentary
- Beyond the Mirage of Benchmarks: A Better Investment Framework for Emerging Markets Debt
- The Blind Leading the Blind – Multi-Asset Growth Strategy
- 10 Frequently Asked Questions about DoubeLine Shiller Enhanced CAPE®
- Taper, U.S. Rates and Emerging Market Currencies: Can U.S. Economic Growth Weather the Storm?
Thursday, September 11, 2014 at 1:15 pm PT / 4:15 pm ET
"Opportunistic CMBS/CRE Strategy Launch"
No replay available.
Tuesday, January 8, 2013
Jeffrey Gundlach "2013 Market Outlook: Year of the Snake"
Click here for Webcast Recap (pdf)