Professional Documents
Culture Documents
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
December8,2015
FundOfferings
TotalReturnBondFund
RetailandInstitutionalClass
NoLoadMutualFund
Retail
Nshare
Ticker
MinInvestment
MinIRAInvestment
GrossExpenseRatio
DLTNX
$2,000
$500
0.72%
Inst.
Ishare
DBLTX
$100,000
$5,000
0.47%
TheFundsinvestmentobjectives,risks,chargesandexpensesmustbeconsideredcarefullybeforeinvesting.The
statutoryprospectusandsummaryprospectus(ifavailable)containsthisandotherimportantinformationabout
theFunds,anditmaybeobtainedbycalling1(877)3546311/1(877)DLINE11,orvisiting
www.doublelinefunds.com.Readitcarefullybeforeinvesting.
Investmentsindebtsecuritiestypicallydecreaseinvaluewheninterestratesrise.Thisriskisusuallygreaterforlongertermdebtsecurities.Investmentsinlowerratedandnonratedsecuritiespresenta
greaterriskoflosstoprincipalandinterestthanhigherratedsecurities.InvestmentsinAssetBackedandMortgageBackedSecuritiesincludeadditionalrisksthatinvestorsshouldbeawareofsuchas
creditrisk,prepaymentrisk,possibleilliquidityanddefault,aswellasincreasedsusceptibilitytoadverseeconomicdevelopments.
TheFundmayusecertaintypesofinvestmentderivatives.Derivativesinvolverisksdifferentfrom,andincertaincases,greaterthantheriskspresentedbymoretraditionalinvestments.Derivativesmay
involvecertaincostsandrisksuchasliquidity,interestrate,market,credit,managementandtheriskthatapositioncouldnotbeclosedwhenmostadvantageous.Investinginderivativescouldlosemore
thantheamountinvested.TheFundmayalsoinvestinsecuritiesrelatedtorealestate,whichmaydeclineinvalueasaresultoffactorsaffectingtherealestateindustry.
TheDoubleLineTotalReturnBondFundintendstoinvestmorethan50%ofitsnetassetsinmortgagebackedsecuritiesofanymaturityortype.TheFundtherefore,potentiallyismorelikelytoreacttoany
volatilityorchangesinthemortgagebackedsecuritiesmarketplace.Theserisksaregreaterforinvestmentsinemergingmarkets.
Opinionsexpressedaresubjecttochangeatanytime,arenotforecastsandshouldnotbeconsideredinvestmentadvice.
DoubleLineFundsaredistributedbyQuasarDistributors,LLC.
WhiletheFundsarenoload,managementfeesandotherexpensesstillapply.Pleaserefertotheprospectusforfurtherdetails.
Fundholdingsandsectorallocationsaresubjecttochangeandarenotrecommendationstobuyorsellanysecurity.
Performance
DoubleLineTotalReturnBondFund QuarterEndingSeptember30,2015
QuarterEnd
September30,2015
3Q
2015
YeartoDate
2015
1Year
Ishare
1.68%
2.81%
Nshare
1.71%
BarclaysU.S.
AggregateIndex
SinceInception
3Year
5Year
Annualized
Annualized
Annualized
(4610to93015)
4.23%
3.42%
5.91%
8.05%
2.62%
4.07%
3.20%
5.66%
7.80%
1.23%
1.13%
2.94%
1.71%
3.10%
4.03%
Asof September30,2015
IShare NShare
BarclaysU.S.
AggregateIndex
1YrStd Deviation1
2.00%
2.07%
GrossExpenseRatio
0.47%
0.72%
3.06%
1.Standarddeviationisameasureofthevariationordispersionofasetofdatafromitsmeanorexpected/budgetedvalue.Alowstandarddeviationindicatesthatthedatapointstendtobeverycloseto
themean,whereasahighstandarddeviationindicatesthatthedataisspreadoutoveralargerangeofvalues.Ameasureofaninvestment'svolatility.
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipal
valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current
performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe
obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe USinvestmentgradefixedrate
bondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajorsectors
aresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.
UpcomingWebcastAnnouncements
JustMarkets January12,2016
JeffreyGundlachwilldiscuss
HisMarketOutlookfor2016
Gotowww.doubleline.com,HomepageunderEvents
2016WebcastScheduletoregister
1:15pmPDT/4:15pmEDT
2016WebcastSchedule Availableonwww.doublelinefunds.com
ToReceivePresentationSlides:
Youcanemailfundinfo@doubleline.com
Tick,Tick,Tick.
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
December8,2015
TABI TheFed
ProbabilityofRateHike
February2,2015throughDecember7,2015
ProbabilityofRateHike
*basedonFedFundFutures
100%
90%
80%
70%
60%
Dec
50%
Mar
Jun
40%
30%
20%
10%
0%
2/2/2015
3/17/2015
Source:DoubleLine,Bloomberg
Youcannotinvestdirectlyinanindex.
4/28/2015
6/10/2015
7/23/2015
9/3/2015
10/15/2015
11/26/2015
3MonthLIBOR
December31,2009throughDecember7,2015
Source:Bloomberg
LIBOR=LondonInterbankOfferedRaterepresentstheICEBenchmarkAdministrationFixingforUSDollar.Thefixingisconductedeachdayat11amandreleasedat11:45am.Youcannotinvestdirectly
inanindex.
PastFedHikeComparisons
Asof June17,2015
Source:WallStreetJournalFedFlagsSlowPaceforRateHikes
GDP=GrossDomesticProductistheamountofgoodsandservicesproducedwithinagivencountry.PCE=PersonalConsumption Expenditures..Youcannotinvestdirectlyinanindex.
Source:DoubleLine,Bloomberg,ReportedQuarterlyasofSeptember30,2015
GDPCURYIndex=U.S.GDPinNominalDollarsyearoveryear,seasonallyadjusted.GDP=theamountofgoodsandserviceproduced withinagivencountry/territory.Yoy =yearoveryear.Youcannot
investdirectlyinanindex.
GDPNowRevisedDown
Source:AtlantaFederalReserveasofDecember4,2015
GDP=GrossDomesticProductistheamountofgoodsandservicesproducedwithinagivencountry.Bluechipconsensus=IsamonthlysurveyandassociatedpublicationbytheBlueChipPublications
divisionofAspenPublisherscollectingmacroeconomicindicatorofthehealthoftheU.S.economy.SAAR=SeasonallyAdjustedAnnualRate.Youcannotinvestdirectlyinanindex.
10
AtlantaFedGDPForecastvs.ActualGDP
September3,2013toSeptember3,2015
Source:Bloomberg
GDDCAFJP=AtlantaFedGFPNow Forecaststhatprovidesanestimateofoveralleconomicactivityinaneconomy.GDPCQOQIndex=AtlantaFedGDPNow Forecasts.GDPUSChained2009DollarsQoQ.
GDP=GrossDomesticProductistheamountofgoodsandservicesproducedwithinagivencountry.Youcannotinvestdirectlyinanindex.
11
PastFedHikeComparisons
Asof September30,2015
GDP=GrossDomesticProductistheamountofgoodsandservicesproducedwithinagivencountry.Youcannotinvestdirectlyinanindex.
12
ISMManufacturingvs.NominalGDP
ISMManufacturingIndex(LHS)
ISMManufacturingIndex
December31,2003 November30,2015
60
YoYChangeinNominalUSGDP(RHS)
8%
6%
55
4%
50
2%
45
0%
40
35
30
YoYChangeinNominalUSGDP
December31,2003 September30,2015
65
2%
4%
Source:Bloomberg,DoubleLine
ISMManufacturingindexisbasedonsurveysofmorethan300manufacturingfirmsbytheinstituteofSupplyManagement.QE=quantitativeeasing.GDP=GrossDomesticProductistheamountof
goodsandservicesproducedwithinagivencountry.LHS=lefthandside,RHS=righthandside.YoY =yearoveryear.Youcannotinvestdirectlyinanindex.
13
ISMManufacturingvs.QuantitativeEasing
65
QE1
QE2
QE3
ISMManufacturingIndex
December31,2003 November30,2015
60
55
50
45
40
35
ISMManufacturingIndex
30
Source:Bloomberg,DoubleLine
ISMManufacturingindexisbasedonsurveysofmorethan300manufacturingfirmsbytheinstituteofSupplyManagement.QE=quantitativeeasing.Youcannotinvestdirectlyinanindex.
14
U.S.IndustrialProduction(YoY)
10.0%
USIndustrialProductionYoY
YearoverYear%Change
December31,1999 October31,2015
5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Source:DoubleLine,Bloomberg
YoY =yearoveryear.Youcannotinvestdirectlyinanindex.
15
TheDifferenceBetweenHikingandQEInfinity60bpsof
GDP?
USRealGDPYoY
3.5%
EURealGDPYoY
GDPYearoverYear%Change
December31,2010 September30,2015
3.0%
2.5%
2.20%
2.0%
1.5%
1.60%
1.0%
0.5%
0.0%
0.5%
1.0%
1.5%
Source:Bloomberg,DoubleLine
QE=QuantitativeEasing.bps=basispoints.GDP=grossdomesticproductorthenumberofgoodsandservicesproducedwithina givencountry.YoY =yearoveryear.EU=Eurozonewhichis
comprisedof27countriesacrossEurope.Youcannotinvestdirectlyinanindex.
16
GlobalInflationsUsingEurozoneMethod
January1,2005throughSeptember30,2015
Source:BiancoResearch
CPI=ConsumerPriceindexmeasurestheweightedaveragepricesofthebasketofconsumergoodsandservices.HICP=CommonmeasureofinflationacrosstheEurozone.YoY =yearoveryear.
Eurozonemethoddoesnotincludeshelter.Youcannotinvestdirectlyinanindex
17
WhyHikeNow?PCE
3.50%
HeadlinePCEYoY
CorePCEYoY
PCEYearoverYear%Change
December31,2010 October31,2015
3.00%
2.50%
QE3September2012
2.00%
1.50%
1.70%
1.28%
1.00%
0.50%
0.20%
0.00%
Source:DoubleLine,Bianco,Bloomberg
PCE=personalconsumptionexpenditures.CorePCEmeasuresthepricespaidbyconsumersforgoodsandserviceswithoutthevolatilitycausedbymovementsinfoodandenergy.HeadlinePCE
includesfoodandenergy.QE=QuantitativeEasing.YoY =yearoveryear.Youcannotinvestdirectlyinanindex..
18
GlobalQEDecember31,2008throughProjectedYearEnd2016
Source:DeutscheBankResearchNovember2015Report
USD=U.S.Dollar,Fed=FederalReserve,ECB=EuropeanCentralBank,BoJ =BankofJapan,bln =billion,QE=QuantitativeEasing.
19
NewHighsinNegativeYieldingAssetsinEurozone
July1,2014throughOctober31,2015
ECB=EuropeanCentralBank.EurozoneistheEuropeanUnionconsistingofAustria,Belgium,Cyprus,Estonia,Finland,France, Germany,Greece,Ireland,Italy,Latvia,Lithuania,Luxembourg,
Malta,theNetherlands,Portugal,Slovakia,SloveniaandSpain.bn =Eurobillion.ExchangerateasofDecember7,2015is$1U.S.dollar=0.92Euro.Youcannotinvestdirectlyinanindex.
20
NegativeRatesinEurozoneandBondFundFlows
January31,2015throughNovember30,2015
January31,2014throughSeptember30,2015
21
Sweden/Riksbank FlipFlop
January4,2008throughNovember30,2015
CentralBankBalanceSheet
Source:BloombergFinancialServices
SWBSATOTIndex=SwedenCentralBankBalanceSheetTotalAssetstrackstheaggregateassetsandliabilitiesofbankswithinaneconomy.SWRRATEIIndex=SwedensRepoRateatSveriges Riksbank.
Aninvestmentcannotbemadedirectlyinanindex.
22
GlobalRateHikes
AsofNovember30,2015
Median=Avalueorquantitylyingatthemidpointofafrequencydistributionofobservedvaluesorquantities.Youcannotinvestdirectlyinanindex
23
CentralBankPolicyRates
January1,2006throughMay31,2015
Source:Minack
NZ=NewZealand
Youcannotinvestdirectlyinanindex.
24
GSFinancialConditionsIndex
November28,2005toNovember30,2015
Source:DoubleLine,Bloomberg
GS=GoldmanSachsFinancialConditionsIndextrackschangesininterestrates,creditspreads,equityprices,andthevalueofthedollarinordertomeasuretheoveralleconomicstrengthorweakness
oftheU.S.economy.Youcannotinvestdirectlyinanindex.
25
S&P500NetProfitMargin
January1,1973throughMarch31,2015
26
WhyHikeNow? JunkBondsDecember8,2010toDecember7,2015
Source:DoubleLine,Bloomberg
JNK=SPDRBarclaysHighYieldBondETFinanexchangetradedincorporatedintheU.S.ItseeksinvestmentresultsthatcorrespondtothepriceandyieldoftheBarclaysHighYieldVeryLiquidBond
Index.Pleaseseetheappendixforprospectuslink,description,expenses,etc.forJNK.DoubleLine TotalReturnBondFundowns0%JNKasofSeptember8,2015.Youcannotinvestdirectlyinan
index.
27
HighYieldSpreadsWiderthanPriorFirstRateHikeinPast
CyclesFebruary1994,June1999,June2004andToday
Spreads=theSpreadbetweenHighYieldandTreasuryyields.
HYSpreadsreferstoCitigroupUSHighYieldMarketIndexwhichisU.S.dollardenominatedindexthatmeasurestheperformanceofhighyielddebtissuedbycorporationsdomiciledintheU.S.and
Canada.Youcannotinvestdirectlyinanindex.
28
LeveragedLoansAveragePrice
December3,2014throughDecember3,2015
Source:Bloomberg
SPBLDALBIndex=S&P/LSTALeveragedLoanIndexPriceisthemarketvalueweightedindexthatmeasuresperformanceofU.S.LeveragedLoanmarket.SPBDLLBindex=S&P/LSTAUSLeverageLoan
100IndexPriceisdesignedtoreflecttheperformanceofthelargestfacilitiesintheleveragedloanmarket.Youcannotinvest directlyinanindex.
29
TABII
DebtBurden
30
U.S.NationalDebt
December31,2004through2019Projections
Source:ForbesNationalDebtTops$18Trillion:GuessHowMuchYouOwe?,April24,2015
31
TotalDeficitsorSurplusesProjectionthrough2025
Source:CongressionalBudgetOfficeAnUpdatetotheBudgetandEconomicOutlook:2015to2025,August25,2015
32
U.S.FederalBudgetExpenditures
January1,1962projectedthrough2020
$3,500
Discretionary
Mandatory
USFederalBudgetExpenditures(BillionsUSD)
1962 2020
$3,000
NetInterest
$2,500
$2,000
$1,500
$1,000
$500
*Forecast
Source:Bloomberg,DoubleLine
33
SocialSecurityStabilityRevisedDown
December31,1998throughProjectedEstimates2038
Source:JustFacts,UnitedStatesSocialSecurityAdministration
OriginalEstimatesandreportcompletedJanuary27,2011andRevised April15,2015.
34
SocialSecurityWillRunaCumulativeCashDeficitof$2.8
trillionBetweenNowand2034
35
MedicareDependencyRatio
December31,1960throughProjected2080
Source:UnitedStatesSocialSecurityAdministration
Estimatesandreportcompletedyearend2013.
36
U.S.SpendingonHealthcare
Source:U.S.DepartmentofHealth&HumanServices,CentersforMedicareandMedicaidServices
GDP=GrossDomesticProductwhichmeasurestheamountsofgoodsandservicesproducedwithinagivencountry.
37
MaturityofFedU.S.TreasuryHoldings
$400
MaturityDistributionofFederalReserveUSTreasuryHoldings
asofDecember3,2015(BillionsUSD)
$373
$350
$329
$300
$250
$220
$216
$194
$200
$178
$177
$150
$122
$108
$101
$100
$88
$50
$23 $21 $19 $27
$17 $20
$0
$27
$9
$3
$12
$0
$0
$0
$0
$34
$94
$31
$3
$1
$0
Source:NYFederalReserve,DoubleLine
38
TABIII GlobalEconomy
39
ShanghaiComposite
December8,2005throughDecember7,2015
Source:Bloomberg
SHCOMP=Shanghaicompositeindexisacapitalizedweightedindex.TheindextracksthedailypriceperformanceofallAsharesandBshareslistedontheShanghaiStockExchange.
Youcannotinvestdirectlyinanindex.
40
ChinasBusinessActivity
October31,2011throughOctober31,2015
Source:Bloomberg
CNPRETLYIndex=ChinaIndustrialEnterprisesTotalProfitsyearoveryearprovidedbytheNationalBureauofStatisticsinChina.Ittracksthebusinessactivitiesoffirms,providingasummaryoftheir
financialcondition.Canincludeincomestatements,balancesheets,statementsofcashflows/retainedearnings,etc.Youcannotinvestdirectlyinanindex.
41
BrazilGDP
December31,1999throughSeptember30,2015
Source:Bloomberg
BZGDYOYIndex=BrazilGrossDomesticProduct(GDP)measuresthefinalmarketvalueofallgoodsandservicesproducedwithin acountry.Youcannotinvestdirectlyinanindex.
42
WhyHikeNow? EmergingMarketEquities
December8,2005throughDecember4,2015
882
883
918
910
831
468
Source:DoubleLine,Bloomberg
EMEquities(MXEFIndex)=TheMSCIEmergingMarketsIndexisafreefloatweightedequityindex.Youcannotinvestdirectlyinanindex.
43
WhyHikeNow? CommodityPrices
December31,1999toDecember8,2015
Source:Bloomberg
BCOMIndex=BloombergCommodityIndexiscalculatedonanexcessreturnbasisandreflectscommodityfuturespricemovements withmonthlyrebalancing.Youcannotinvestdirectlyinanindex..
44
WhyHikeNow? U.S.DollarIndexSpot
December31,2007throughDecember7,2015
Source:BloombergFinancialServices
DXY=DXYistheUSDollarIndex(USDX)indicatesthegeneralvalueoftheUSdollar.AverageexchangeratesbetweentheUSdollarandsixmajorworldcurrencies.
Aninvestmentcannotbemadedirectlyinanindex.
45
TABV
Energy
46
U.S.CrudeOilProductionvs.CrudeOilPrices
December10,2010throughDecember4,2015
Source:DoubleLine,Bloomberg
DOETCRUDIndex=DCECrudeOilTotalProductiondatatracksweeklybarrelsofpetroleumstatusreleasedbytheEnergyInformationAdministration.CL1Comdty =genericcrudeoilfuturescurrent
contract.Youcannotinvestdirectlyinanindex.
47
U.S.CrudeOilInventoriesbyYear
550,000
500,000
2005
450,000
2006
2007
2008
400,000
2009
2010
2011
350,000
2012
2013
2014
300,000
2015
250,000
1
11 13 15 17 19 21 23 25 27 29 31 33 35 37 39 41 43 45 47 49 51 53
Weeks
Source:Bloomberg.2015isthroughOctober31,2015
DOESCRUD=DOECrudeoiltotalinventorydataisupdatedeveryWednesday.InformationisprovidedbytheEnergyInformationAdministrationaspartoftheirweeklypetroleumstatusreport.
Youcannotinvestdirectlyinanindex.
48
TABVI
BloodlessVerdictoftheMarket
49
BofA/MerrillFixedIncomeIndexReturns
Grey=Year2014
Blue=YearToDate2015
9.97%
Convertibles(VOSO)
HighYield(JOAO)2.29%
0.98%
2.45%
7.31%
InternationalEmerging(IGOV)
1.36%
Corporate(COAO)
InternationalDeveloped(NOGO)
Mortgages(MOAO)
Government(G0A0)
0.05%
7.51%
8.11%
0.64%
1.36%
6.07%
5.88%
0.81%
DataSource:BofA/MerrillLynchIndicesthroughyearendDecember31,2014andDecember4,2015fortherespectiveyearsindicated.
PleaseseetheAppendixforindexdefinitions.Aninvestmentcannotbemadedirectlyinanindex.
50
BofA/MerrillFixedIncomeIndexReturns
Grey=Year2014
Blue=YearToDate2015
CCCRatedHighYield(JOA3)
3.36%
11.24%
5.34%
0.76%
BBRatedHighYieldCredit(JOA1)
BRatedHighYield(JOA2)
BBBRatedCredit(COA4)
ARatedCredit(COA3)
AAARatedCredit(COA1)
2.77%
1.28%
7.70%
1.16%
7.37%
0.93%
0.43%
9.43%
51
U.S.2YearTreasury
December7,2010throughDecember7,2015
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT02=US2YearTreasuryBond.Youcannotinvestdirectlyinanindex.Youcannotinvestdirectlyinanindex.
52
U.S.5YearTreasury
December8,2010throughDecember7,2015
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT5=US5YearTreasuryBond.Youcannotinvestdirectlyinanindex.Youcannotinvestdirectlyinanindex.
53
U.S.10YearTreasury
December8,2010throughDecember7,2015
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT10=US10YearTreasuryBond.Youcannotinvestdirectlyinanindex.
54
U.S.30YearTreasury
December8,2010throughDecember7,2015
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT30=US30YearTreasuryBond.Youcannotinvestdirectlyinanindex.
55
TABVII
DoubleLineTotalReturnBondFund
56
Duration:DBLTXvs.BarclaysU.S.AggregateIndex
April1,2010throughNovember30,2015
DBLTX
Durationvs.BarclaysAGG
6.00
5.00
Duration
4.00
3.00
2.00
1.00
0.00
Duration
BarclaysAGGDuration
Source:DoubleLine,Barclays
BarclaysAGGDuration=BarclaysUSAggregateIndexduration.Durationisameasureofsensitivityofthepriceofafixedincomeinvestmenttoachangeininterestrates.Itsexpressedinyears
57
DBLTXDurationvs.10YearU.S.TreasuryYield
May31,2010throughNovember30,2015
DBLTX
Durationvs.U.S.10yr
4.5
4.5
3.5
Duration
2.5
2.5
1.5
1.5
USTreasury10YrYield
3.5
0.5
0.5
Duration
US10yr
Source:DoubleLine,Bloomberg
Durationisameasureofsensitivityofthepriceofafixedincomeinvestmenttoachangeininterestrates.Itsexpressedinyears.
58
TotalReturnBondFundPortfolioStatistics
Total Return
BondFund
BarclaysCapitalU.S.
AggregateIndex
$98.50
$103.69
Duration
3.65
5.67
Average Life
5.37
7.94
AveragePrice
PortfoliostatisticsasofNovember30,2015basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividingbythenumberofsecuritiesanddoesnotincludecash.Averagepriceshouldnot
beconfusedwithnetassetvalue.
AverageDuration =Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterestratemovements.
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Averagelifeiscomputedastheweightedaveragetimetothereceiptofallfuture
cashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP
Youcannotinvestdirectlyinanindex.Pleaseseeindexdefinitionintheappendix.
59
TotalReturnBondFundPortfolioComposition
BySecurityType
CLO 4.4% ABS 2.3%
Cash 8.8%
Government
3.9%
CMBS
7.8%
NonAgency
22.2%
Agency
50.6%
PortfoliocompositionasofNovember30,2015.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalancesheetsthatmayinclude
securitiesthatmaturewithin90days.
Government U.S.treasurysecurities.
Agency=MortgagesecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).
NonAgency=ResidentialMortgagesBondSecuritiesareatypeofbondbackedbyresidentialmortgages.NonAgencymeanstheywereissuedby aprivateissuer.
CMBS =CommercialMortgageBackedSecurities.Securitizedloansmadeoncommercialratherthanresidentialproperty.
CLO =CollateralizedMortgageObligations
60
TotalReturnBondFundPortfolioComposition
ByAgencyCollateralizeMortgageObligation(CMO)
SecurityType
IOCurrent, IOLocked,
0.7%
0.0%
Cash,8.8%
CMO
Locked,
6.7%
CMOCurrent,
14.5%
Inverse
Floater,0.9%
Pass
Through,
27.8%
AgencyCMOComposition
Cash
InverseFloater
PassThrough
CMOCurrent
CMOLocked
IOCurrent
IOLocked
Subtotal
8.8%
0.9%
27.8%
14.5%
6.7%
0.7%
0.0%
59.39%
PortfoliocompositionasofNovember30,2015. Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.
PassThrough=MortgagepassthroughsecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC)ornon
agencyprivateissuewithnogovernmentguarantee.
CMOCurrent=CollateralizedMortgageObligation(CMO)isafinancialdebtvehicle/specialpurposeentitycalledapool.Investorsbuybondsissuedbytheentityandreceivepayments
accordingtoadefinedsetofrules.Themortgagesthemselvesarethecollateral,thebondsarethetranches(alsocalledclasses),andthesetofrulesthatdictateshowmoneyisreceived
fromthecollateralwillbedistributediscalledthestructure.Thelegalentity,collateralandstructurearecollectivelyreferredtoasthedeal.
IO =InterestOnlymortgagepoolsinwhichtheborrowersmonthlypaymentisonlytowardtheinterestontheloan.Anonamortized loan.
InverseFloater=Amortgagepoolthathasayieldthatisinverselyrelatedtointerestrates.
IOCurrentpay =Loansthatarecurrentlyreceivingprincipalpayments.
LockedOut/CMOLockedOut=Loansthatforasetperiodoftimewillnotreceiveprincipalpayments.
61
TotalReturnBondFundPortfolio
NonAgencyResidentialMortgageBackedSecurities
(RMBS)BreakdownByOriginalRating
BB
1%
CC
0%
NR
22%
BBB
A
1%
0%
AA
1%
AAA
75%
Portfoliocompositionandcreditratingsasofsecurityorigination.Portfoliocompositionissubjecttochangewithoutnotice.TherearesomenonratedsecuritiesintheFundasshowninthegraphabove.
CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB orhigherbyStandard&PoorsorBaa3byMoodys.
Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikelythebondistopaybackatpar/$100centsonthedollar.AAAisconsideredthehighestqualityandthelowestdegreeofrisk.
Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=AlsoknownasjunkbondisasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas havinghigherdefaultriskorotheradversecredit
events,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.Theyarelesslikelytopaybackatpar/$100centsonthedollar.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
Source:DoubleLineCapitalLPasofNovember30,2015
62
TotalReturnBondFundPortfolio
NonAgencyResidentialMortgageBackedSecurities
(RMBS)BreakdownByCurrentRating
AAA
11% AA
1%
NR
22%
D
14%
A BBB+
AA+ A
0%
0%
0% 0%
BBB
A+
0%
1%
BBB
0%
BB+
0%
BB
BB 2%
1%
B
CCC+ 1% B+
2%
5%
B
4%
CCC
14%
C
0%
CCC
13%
CC
10%
Portfoliocompositionandcreditratingsasofsecurityorigination.Portfoliocompositionissubjecttochangewithoutnotice.TherearesomenonratedsecuritiesintheFundasshowninthegraphabove.
CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB orhigherbyStandard&PoorsorBaa3byMoodys.
Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikelythebondistopaybackatpar/$100centsonthedollar.AAAisconsideredthehighestqualityandthelowestdegreeofrisk.
Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=AlsoknownasjunkbondisasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas havinghigherdefaultriskorotheradversecredit
events,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.Theyarelesslikelytopaybackatpar/$100centsonthedollar.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
Source:DoubleLineCapitalLPasofNovember30,2015
63
Tick,Tick,Tick.
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
December8,2015
SPDRBarclaysHighYieldBondETF(JNK)
InvestmentObjective&Summary
TheinvestmentobjectiveoftheSPDRBarclaysHighYieldBondETFseekstoprovideinvestmentresultsthat,beforefeesandexpenses,
correspondsgenerallytothepriceandyieldperformanceoftheBarclaysHighYieldVeryLiquidIndex.TheETFinvestsinU.S.highyield
bonds.
TheBarclaysHighYieldVeryLiquidIndexisdesignedtomeasuretheperformanceofpubliclyissuedU.S.dollardenominatedhighyieldcorporatebondswithaboveaverage
liquidity.Highyieldsecuritiesaregenerallyratedbelowinvestmentgradeandarecommonlyreferredtoas"junkbonds."The IndexincludespubliclyissuedU.S.dollar
denominated,noninvestmentgrade,fixedrate,taxablecorporatebondsthathavearemainingmaturityofatleastoneyear,regardlessofoptionality,areratedhighyield
(Ba1/BB+/BB+orbelow)usingthemiddleratingofMoody'sInvestorsService,Inc.,FitchInc.,orStandard&Poor's,Inc.Respectively,andhave$500millionormoreofoutstanding
facevalue
ImportantRiskInformation Ingeneral,ETFscanbeexpectedtomoveupordowninvaluewiththevalueoftheapplicableindex.AlthoughETFsharesmaybeboughtandsoldonthe
exchangethroughanybrokerageaccount,ETFsharesarenotindividuallyredeemablefromtheFund.InvestorsmayacquireETFsand tenderthemforredemptionthroughtheFundin
CreationUnitAggregationsonly.Pleaseseetheprospectusformoredetails.
Bondfundscontaininterestraterisk(asinterestratesrisebondpricesusuallyfall);theriskofissuerdefault;issuercreditrisk;liquidityrisk;andinflationrisk.
Investinginhighyieldfixedincomesecurities,otherwiseknownas"junkbonds"isconsideredspeculativeandinvolvesgreaterriskoflossofprincipalandinterestthaninvestingin
investmentgradefixedincomesecurities.Theselowerqualitydebtsecuritiesinvolvegreaterriskofdefaultorpricechangeduetopotentialchangesinthecreditqualityoftheissuer.
TheFundinvestsbysamplingtheIndex,holdingarangeofsecuritiesthat,intheaggregate,approximatesthefullIndexintermsofkeyriskfactorsandothercharacteristicswhichmay
causethefundtoexperiencetrackingerrorsrelativetoperformanceoftheIndex.
Distributor:StateStreetGlobalMarkets,LLC,memberFINRA,SIPC,awhollyownedsubsidiaryofStateStreetCorporation.ReferencestoStateStreetmayincludeStateStreet
Corporationanditsaffiliates.CertainStateStreetaffiliatesprovideservicesandreceivefeesfromtheSPDRETFs.
Beforeinvesting,considerthefunds'investmentobjectives,risks,chargesandexpenses.Toobtainaprospectusorsummaryprospectuswhich
containsthisandotherinformation,call18667872257ortalktoyourfinancialadvisor.Readitcarefullybeforeinvesting.
JNKisdistributedbyStateStreetGlobalMarkets,LLC
65
Definitions
BarclaysCapitalUSAggregateIndex TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.The
indexcoverstheUSinvestmentgradefixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,
andassetbackedsecurities.Thesemajorsectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedona regularbasis.
BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemaining
maturityofoneyearormore.
BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebt
issuerfromcountriesdesignatedasemergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianand globalbonds(SECregistered)of
issuersinnonEMGcountriesareincluded.Originalissuezereos,stepupcouponstructures,144Asandpayinkind(PIK,asofOctober1,2009)arealsoincluded.
BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesinthe
TreasuryandAgencyindices.)
BofAMerrillLynchUS15+YearTreasuryIndexLongTreasuries(G802) ThisindexisasubsetoftheBofAMerrillLynchUSTreasuryIndexincludingallsecurities
witharemainingtermoffinalmaturitygreaterthan15years..
BofAMerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominated
investmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageof
Moodys,S&PandFitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebt
ratings).Securitiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocks
ofU.S.registeredcompanies,whichhave$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRsor
cashequivalents.Pleasenoteaninvestorcannotinvestdirectlyinanindex.
CRBCommodityIndex(CRY) Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.The
indextracksenergy,grains,industrials,livestock,preciousmetals,andagriculturals.
S&P500(SPX) S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactively tradedinthe
UnitedStates.
StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alow standard
deviationindicatedthatthedatapointtendtobeveryclosetothemean,whereashighstandarddeviationindicatedthatthe dateisspreadoutoveralargerange
ofvalues.
DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionof
aluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME).
Copper=CopperSpotPrice(HGI)Copperistheworldsthirdmostusedmetalbehindironandaluminumprimarilyusedinhighlycyclicalindustriesincluding
constructionandindustrialmachinerymanufacturing.SpotpricequotedinUSD/lb.
Gold=GoldSpotPrice(Golds)TheGoldSpotpriceisquotedasUSDollarperTroyOunce.
CrudeOil=Crudeoilvariesgreatlyinappearancedependingonitscomposition.WestTexasintermediate(WTI)=Texaslightsweetcrudeisusedasabenchmarkin
oilpricing.Itslightbecauseofthelowdensityandsweetbecauseoflowsulfur.Brentcrude=Isamajortradingclassificationofsweetlightcrude.Brentistheoil
makeralsoknownasBrentBlend.
VolatilityIndex(VIX)TheVIXshowsthemarket'sexpectationof30dayvolatility.Itisconstructedusingtheimpliedvolatilitiesofawiderangeof S&P500index
options. Thisvolatilityismeanttobeforwardlookingandiscalculatedfrombothcallsandputs. TheVIXisawidelyusedmeasureofmarketriskandisoften
referredtoas the"investorfeargauge".
Spread Spreadisthepercentagepointdifferencebetweenyieldsofvariousclassesofbondscomparedtotreasurybonds.
66
IndexDescriptions
BofAMerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV)
ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpubliclyissuedintheeurobondorUSdomesticmarket.
QualifyingcountriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedonanaverageofMoodys,S&P,andFitch).
BofAMerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt,currentlyinacouponpayingperiod,
thatispubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveabelowinvestmentgraderating(basedonanaverageofMoodys,S&PandFirth
foreigncurrencylongtermsovereigndebtratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.
BofAMerrillLynchInternationalGovernmentIndex(NOGO)
TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUKinvestmentgradesovereigndebt
publiclyissuedanddenominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,
afixedcouponscheduleandaminimumamountoutstanding.
BofAMerrillLynchMortgageBackedSecuritiesIndex(MOA0)
ThisindextrackstheperformanceofUSdollardenominatedfixedrateandhybridresidentialmortgagepassthroughsecuritiespubliclyissuedbyUSagenciesinthe
USdomesticmarket.30year,20year,15yearandinterestonlyfixedratemortgagepoolsareincludedintheIndexprovidedtheyhaveatleastoneyearremaining
termtofinalmaturityandaminimumamountoutstandingofatleast$5billionpergenericcouponand$250MMperproductionyear withineachgenericcoupon.
BofAMerrillLynchU.S.MunicipalSecuritiesIndex(UOA0)
ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,andtheirpolitical
subdivisions,intheUSdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandan
investmentgraderating(basedonMoodys,S&PandFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattime ofissuance.
BarclaysCapitalGlobalEmergingMarketsIndex TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmerging
MarketsindexandthepredominatelyEURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas,Europe,
MiddleEast,Africa,andAsia.AswithotherfixedincomebenchmarksprovidedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewofthe
marketplaceandeasyreplicability.
JPMorganInvestmentGradeCorporateIndex JPMorganInvestmentGradeCorporateIndexincludesperformanceofUSdollardenominatedinvestmentgrade
corporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&Pand
Fitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securities
musthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
DrawDown Thepeaktotroughdeclineduringaspecificrecordperiodofaninvestment,fundorcommodity.Adrawdownisusuallyquotedasthepercentage
betweenthepeakandthetrough.
NAV Amutualfund'spricepershareorexchangetradedfund's(ETF)persharevalue.Inbothcases,thepersharedollaramountof thefundiscalculatedbydividing
thetotalvalueofallthesecuritiesinitsportfolio,lessanyliabilities,bythenumberoffundsharesoutstanding.
CMO Atypeofmortgagebackedsecuritythatcreatesseparatepoolsofpassthroughratesfordifferentclassesofbondholderswith varyingmaturities,called
tranches.Therepaymentsfromthepoolofpassthroughsecuritiesareusedtoretirethebondsintheorderspecifiedbythebonds'prospectus
TIPS TreasuryInflationProtection.Atreasurysecuritythatisindexedtoinflationinordertoprotectinvestorsfromthenegativeeffectsofinflation.TIPSare
consideredanextremelylowriskinvestmentsincetheyarebackedbytheU.S.governmentandsincetheirparvalueriseswithinflation,asmeasuredbythe
ConsumerPriceIndex,whiletheirinterestrateremainsfixed.
CPI ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,such astransportation,foodand
medicalcare.
CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome.
67
IndexDescriptions
BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCrated
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBBratedIndex(JOA1) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBBrated
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBratedIndex(JOA2) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBratedHigh
Yieldcreditonly.
BofA/MerrillLynchCreditIndexBBBratedIndex(COA4) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthelowerratedBBB
investmentgradecredits.
BofA/MerrillLynchCreditIndexAratedIndex(COA3) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingontheAratedinvestmentgrade
credits.
BofA/MerrillLynchCreditIndexAAAratedIndex(COA1) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthehighestratedAAA
investmentgradecredits.
BofAMerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpublicly
issuedbytheUSgovernmentinitsdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinal maturity,afixedcouponschedule
andaminimumamountoutstandingof$1billion.
BofAMerrillLynchUS1015YearTreasuryIndexLongTreasuryTheMerrillLynchUS1015TreasuryIndextrackstheperformanceofUSdollardenominated10
15yearsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
BofAMerrillLynchMunicipalIndexTheMerrillLynchMunicipal
BofAMerrillLynchCurrent10yearUSTIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BofAMerrillLynchCurrent30yearUSTIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
JPMorganCorporateEMBIBroadDiversifiedIndex(JBCDCOMP) Thisindextrackstheperformanceofinvestmentgradecorporatedebtpublicallyissuedacrossa
rangeofemergingmarketcountries.
ShanghaiIndex TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedonthe
ShanghaiStockExchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100.
S&P/CaseShillerCompositeHomePriceIndex TheCaseShillerHomePriceIndices,onecomprisedofpricechangeswithinall20metropolitanmarkets,and
anothercomprisedofpricechangeswithinthefollowingsubsetof10metropolitanmarkets:Boston,Chicago,Denver,LasVegas,LosAngeles,Miami,NewYork,
SanDiego,SanFranciscoandWashingtonDC.Inadditiontothose10markets,the20HomePriceindexreflectspricechangesforAtlanta,Charlotte,Dallas,Detroit,
Minneapolis,Phoenix,Portland,SeattleandTampa.
NASDAQ Acomputerizedsystemthatfacilitatestradingandprovidespricequotationsonmorethan5,000ofthemoreactivelytradedover thecounterstocks.
Createdin1971,theNasdaqwastheworld'sfirstelectronicstockmarket.
Transports TheIndustrialsSectorincludescompanieswhosebusinessesaredominatedbyoneofthefollowingactivities:Themanufactureand distributionof
capitalgoods,includingaerospace&defense,construction,engineering&buildingproducts,electricalequipmentandindustrial machinery
Utilities Apublicutilityisabusinessthatfurnishesaneverydaynecessitytothepublicatlarge.Publicutilitiesprovidewater,electricity,naturalgas,telephone
service,andotheressentials.Utilitiesmaybepubliclyorprivatelyowned,butmostareoperatedasprivatebusinesses.
BasisPoint Abasispointisaunitthatisequalto1/100th of1%,andisusedtodenotethechangeinafinancialinstrument.
REIT RealEstateTrust.Asecuritythatsellslikeastockonthemajorexchangesandinvestsinrealestatedirectly,eitherthrough propertiesormortgages
Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebt
securities,priortomaturity.Securitieswithalongerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.
68
IndexDescriptions
BofA/MerrillLynchInflationLinkedIndex(G0Q1) TheBofAMerrillLynchUSInflationLinkedTreasuryIndextrackstheperformanceofUSdollardenominated
inflationlinkedsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.
CitigroupTIPS(SBUSILSI) . Itmeasuresthereturnsoftheinflationlinkedbondswithfixedratecouponpaymentsthatarelinkedtoaninflationindex.The priceof
eachissueintheUSLSIisadjustedbyusinganindexratio.Theindexratioisdeterminedbydividingthecurrentinflationindexlevelbytheinflationindexlevelat
thetimeofissueofthesecurity.Theinflationindexispublishedonamonthlybasis,andtheintramonthindexratioiscalculatedusinglinear
interpolation.
BarclaysCapitalCMBSIndex trackstheperformanceofUSdollardenominatedsecuritizedcommercialmortgagebackedsecurities.
Russell2000 measurestheperformanceofthesmallcapsegmentoftheUSequityuniverse.Russell2000isasubsetoftheRussell3000indexrepresenting
approximately10%ofthetotalmarketcapitalizationofthatindex.
S&PGSCI isacompositeindexofcommoditysectorreturnrepresentinganunleveraged,longonlyinvestmentincommodityfuturesthatisbroadlydiversified
acrossthespectrumofcommodities.
S&PGSCIAgriculture isacompositeindexofagriculturecommodityfuturesunleveraged,longonlyinvestment.
BarclaysCapitalUS30YearTIPSIndex .BarclaysCapital30yearTIPSontherunindexquotedinUSDollarstradedintraday
CitigroupEconomicSurpriseIndex .TheCitigroupEconomicSurpriseIndicesareobjectiveandquantitativemeasuresofeconomicnews.Theyaredefinedas
weightedhistoricalstandarddeviationsofdatasurprises(actualreleasesvsBloombergsurveymedian).Apositivereadingof theEconomicSurpriseIndexsuggests
thateconomicreleaseshaveonbalancebeatingconsensus.Theindicesarecalculateddailyinarollingthreemonthwindow.Theweightsofeconomicindicators
arederivedfromrelativehighfrequencyspotFXimpactsof1standarddeviationdatasurprises.Theindicesalsoemployatimedecayfunctiontoreplicatethe
limitedmemoryofmarkets.
DAX ThisindexistheGermanStockIndexisatotalreturnindexof30selectedGermanbluechipstockstradedontheFrankfurtStockExchange.
CAC40 ThisindexthemostwidelyusedindicatoroftheParismarket,reflectstheperformanceofthe40largestequitieslistedinFrance,measuredbyfreefloat
marketcapitalizationandliquidity.
FTSE100 Isacapitalizationweightedindexofthe100mosthighlycapitalizedcompaniestradedontheLondonStockExchange.
MexicoIPC TheMexicanIPCindexisacapitalizationweightedindexoftheleadingstockstradedontheMexicanStockExchange.
HangSeng TheHangSengChinaEnterprisesIndexisafreefloatcapitalizationweightedindexcomprisedofHshareslistedontheHongKong StockExchangeand
includedintheHangSengMainlandCompositeIndex.
KOSPI ThisindexisacapitalizedweightedindexofallcommonsharesontheKoreanStockExchanges.
Nikkei225 TheNikkei225Stockaverageisapriceweightedaverageof225topratedJapanesecompanieslistedintheFirstSectionofthe TokyoStockExchange.
AustraliaAORD S&P/ASXAllOrdinariesrepresents500largestcompaniesintheAustralianequitiesmarket.Indexconstitutesaredrawnfromeligiblecompanies
listedontheAustralianStockExchange.
BrazilBovespaIndex(IBOV)TheBovespaIndexisagrossreturnindexweightedbytradedvolumeandiscomprisedofthemostliquidstockstradedontheSao
PauloStockExchange.TheBovespaIndexhasbeendivided10timesbyafactorof10sinceJanuary1,1985.
ShanghaiIndex(SHCOMP)TheShanghaiStockExchangeCompositeIndexisacapitalizationweightedindex.TheindextracksthedailyperformanceofallAshares
andBshareslistedontheShanghaiStockExchange.TheindexwasdevelopedonDecember19,1990withabasevalueof100.
BSEIndiaSensitiveIndex(Sensex)TheSensexisacapweightedindex.Theselectionoftheindexmembershasbeenmadeonthebasisofliquidity,depthand
floatingstockadjustmentdepthandindustryrepresentation.
S&PLSTALevLoanIndex(BankLoans) CreatedbytheLeveragedCommentary&Data(LCD)teamatS&PCapitalIQ,thereviewprovides an overviewandoutlook
oftheleveragedloanmarketaswellasanexpansivereviewoftheS&PLeveragedLoanIndexandsubindexes. Thereviewconsistsofindexgeneralcharacteristics,
results,riskreturnprofile,default/distressstatistics, andrepaymentanalysis.Itisnotpossibletoinvestdirectlyinanindex.
Citigroup3MonthTBill(SBMMTB3) 3MonthUSTBillinUSdollars.
69
Disclaimer
ImportantInformationRegardingThisReport
Thisreportwaspreparedasaprivatecommunicationandwasnotintendedforpubliccirculation.Clientsorprospectsmayauthorizedistributiontotheir
consultantsorotheragents.
Issueselectionprocessesandtoolsillustratedthroughoutthispresentationaresamplesandmaybemodifiedperiodically.Suchchartsarenottheonlytoolsused
bytheinvestmentteams,areextremelysophisticated,maynotalwaysproducetheintendedresultsandarenotintendedforusebynonprofessionals.
DoubleLinehasnoobligationtoproviderevisedassessmentsintheeventofchangedcircumstances.Whilewehavegatheredthisinformationfromsources
believedtobereliable,DoubleLinecannotguaranteetheaccuracyoftheinformationprovided.Securitiesdiscussedarenotrecommendationsandarepresented
asexamplesofissueselectionorportfoliomanagementprocesses.Theyhavebeenpickedforcomparisonorillustrationpurposesonly.Nosecuritypresented
withiniseitherofferedforsaleorpurchase.DoubleLinereservestherighttochangeitsinvestmentperspectiveandoutlook withoutnoticeasmarketconditions
dictateorasadditionalinformationbecomesavailable.ThismaterialmayincludestatementsthatconstituteforwardlookingstatementsundertheU.S.
securitieslaws.Forwardlookingstatementsinclude,amongotherthings,projections,estimates,andinformationaboutpossibleorfutureresultsrelatedtoa
clientsaccount,ormarketorregulatorydevelopments.
ImportantInformationRegardingRiskFactors
Investmentstrategiesmaynotachievethedesiredresultsduetoimplementationlag,othertimingfactors,portfoliomanagementdecisionmaking,economicor
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Disclaimer
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ImportantInformationRegardingClientResponsibilities
Clientsarerequestedtocarefullyreviewallportfolioholdingsandstrategies,includingbycomparingthecustodialstatementtoanystatementsreceivedfrom
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DoubleLineisaregisteredtrademarkofDoubleLineCapitalLP.
2015DoubleLineCapitalLP
71
Tick,Tick,Tick.
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
December8,2015