>> the “Index Live Date” September 3, 2012
Interesting that M* appears to track CAPE from (only from) 10/10 of that year.

FWIW, and this is not advice, I'd consider it a hold or slight sell.
As I asked in a recent thread on PIMIX, have your reasons for holding it changed? It's a 2x fund, 100% stock exposure + 100% bond exposure. That's always been true, it hasn't changed. If that was an appealing concept, it should still be. That fact that the some risks recently manifested shouldn't change one's perceptions - the idea of risk is that sometimes bad things actually do happen.
If one bought it because one thought that an index-ish fund, a "smart beta" could beat market returns, then one should examine why one believes (or believed) that. Is this time really different, or is the market simply going through a different phase?
Note that I'm not the one calling the CAPE index smart beta - Doubleline is. Doubleline acknowledges that pre-2012 performance of the index is just backtesting; and that Barclays is motivated to use to that present the index in the best possible light:

Shiller Barclays CAPE® U.S. Sector Total Return Index..., a non-market cap-weighted, rules-based (aka “smart beta”) index.
...
Pre-inception index performance refers to the period prior to the index inception date (defined as the period from the “Index Base Date” (September 3, 2002) to the “Index Live Date” September 3, 2012)). This performance is hypothetical and back-tested using criteria applied retroactively. It benefits from hindsight and knowledge of factors that may have favorably affected the performance and cannot account for all financial risk that may affect the actual performance of the index. It is in Barclays’ interest to demonstrate favorable pre-inception index performance. The actual performance of the index may vary significantly from the pre-inception index performance.

From the same 2019 page as cited previously.
The reason I might consider selling the fund if I owned it is because something has fundamentally changed - interest rates. Even with the use of swaps, the leverage to get 100% bond exposure is not free. That presents a hurdle, small in a normal interest rate environment, but significant in a near ZIRP world.
Compare and contrast three large cap oriented 2x (equity + bond) funds: PXTIX, DSENX, and MWATX.
Historically, PXTIX has performed as promised, beating its benchmark, the Russell 1000 Value, by half a percent for the past five years (in a low interest environment), 2% over ten years, 3% over 15. But falling about 1% short YTD.
DSENX, excluding this year, beat CAPE by 2% in a couple of years, roughly matched CAPE in a couple, and then a -1% year followed by a +1% year. That's around a half percent a year, until this year, when it looks like it made a bad bond call. (To see the blow by blow comparisons, use this page, and then add CAPE as a fund to compare with.)
It's fair to compare CAPE with the S&P 500, since that's the universe from which it is choosing sectors. M* shows that CAPE and DSENX over their lifetimes, more or less (10/31/13 to present) to have done better than the S&P 500. Both have cumulative returns around 130% vs. 110% for the S&P 500. More recently (3 years or less), they've underperformed. Whether this is just a market phase and that their outperformance will resume is fodder for a broader discussion about smart beta.
MWATX is instructive because it doesn't use smart beta, just a 2x strategy. It significantly underperformed the S&P 500 in 2008, not catching up to the S&P 500 until the end of 2016. It took a much lighter hit this year, and is now within 1% of the index on performance since Feb 20. IMHO this shows that the leveraging works, but there's real risk and one needs to be patient. Also, it's an extremely tax-inefficient strategy.

The DoubleLine Shiller Enhanced CAPE®, [is] an investment strategy pairing Shiller Barclays CAPE® with an active fixed income strategy (DoubleLine Short-Intermediate Duration Fixed Income, or SHINT. ...

Introducing DoubleLine Short-Intermediate Fixed Income Strategy (“SHINT”)
To construct portfolios across multiple sectors of the fixed income universe, including SHINT portfolios, DoubleLine applies a macroeconomic framework, led by portfolio managers and analysts who look across the spectrum of different asset classes. ...
SHINT is a diversified fixed income strategy that, at present [April 2019], targets duration of one to three years while pursuing a yield of 3% to 4%. That yield target appears feasible in the current market environment, allowing the investment team to take a measured approach to both interest rate and credit risks. Freedom to allocate across multiple sectors of the fixed income universe also allows the team to construct a diversified fixed income portfolio with what DoubleLine believes to be the most attractive investments on a reward-to-risk basis. The two-pronged approach of coupling top-down macroeconomic views with bottom-up security selection provides potential benefits from both risk management as well as return-seeking opportunities.
Actively managing the credit risk [non-AGG bond sectors] and interest-rate risk [IG bonds] of the portfolio is a key element to the asset allocation process. DoubleLine tilts the portfolio in the direction of one risk versus another based on the investment team’s macroeconomic forecasts and views on return and risk prospects within the sectors. ...
Sector rotation of SHINT portfolios has tended to be gradual, due to the gradual shifts in the macroeconomic landscape.

https://doubleline.com/dl/wp-content/uploads/DoubleLine-CAPEinRisingRateEnvironments-March2019.pdf
That contains a lot more, including a graph of the bond sector allocations over time.
DSENX tracked CAPE until March, when it underperformed by about 6%. The gap has held steady since then. This suggests that the bond component was fairly flat (neither helping nor hurting) through February, and also after March. But that it dipped 6% in March.
We've seen funds that have not recovered well, notably junk securitized debt. But those also fell much harder than 6%. So without peeking, I'd guess that DoubleLine had a mix of low grade securitized bonds and enough higher grade bonds to temper the dip. Taking more credit risk would also be consistent with trying to maintain that 3%+ yield while keeping a short duration.. Strangely enough, the bond fund I find with the closest match for that 2020 performance is TPINX. The portfolio is consistent with my guess: BBB credit rating, 2 year duration.
Looking at the linked doc on the Enhanced CAPE strategy, it seems that DoubleLine missed a macro call in 2019. The doc is entitled: A Potential Solution for Investors in Rising-Rate Environments.

Given indications that yields on the 10- and 30-year Treasuries put in a durable bottom in 2016, ending of the 35-year bull market in government bonds, investors have good reason to think about how to position portfolios for the next regime in fixed income. The investment team at DoubleLine is not calling for the advent of a secular bear market in fixed income. ... However, DoubleLine sees numerous fundamental factors presaging a rise in interest rates over the long run. Investors should study strategies that may not need the tailwind of declining rates to provide positive returns and perhaps have the potential to outperform in the face of rising rates.

Finally (and why I was curious about this fund), M* started classifying it as a blend fund in 2019. Not all that surprising, since CAPE rotates among sectors that are most undervalued relative to their own prior valuations, not relative to the market. So it can easily rotate into more "growthy" sectors.

I regard this Blackrock page about two of its funds as a sales blurb. Still worth keeping posted here as it can serve as a starting point on how to examine these pitches and how to examine numbers.

I wasn’t going to read this just based on the blurb JohnN posted. Sounded terribly elementary. But after looking at msf’s excellent comments, I decided to read / skim it. There’s a lot of good sense in it. I suppose anything an investment house (including TRP) puts out has “sales pitch” in there somewhere - but largely the writer is on-target. The asset breakdown for that income focused ETF certainly qualifies as “diversified” - if nothing else. Reminds me somewhat of RPSIX (when all the funds it holds are broken down).
“The iShares Morningstar Multi-Asset Income ETF (IYLD) is designed to do just that. IYLD seeks to track the Morningstar® Multi-Asset High Income Index which seeks to optimize a combination of iShares ETFs to maximize yield per unit of risk. The index rebalances back to a 60% fixed income, 20% equity and 20% alternative allocation on a quarterly basis.”
Pick your own poison, but I find myself slowly tilting in the direction of equities, hedge-like instruments and hard assets and seeking to “escape” most types of bonds in any concentration. As a retired senior, I can’t exit bonds completely - but it’s a tough call whether I dislike bonds or equities more at this moment.
Nice visuals in article. I always loved color-coded pie charts. I guess the ones here are better termed donut charts. But I like them nonetheless.

https://www.google.com/search?sxsrf=ALeKk01srMZj2IX_eWzrfjWRskgbTPbnxw:1593454260683&source=hp&ei=tC76XvmbJ5b6-gS06oGQDg&q=Assessing+Opportunities+across+the+Risk+Spectrum+June+8,+2020&oq=Assessing+Opportunities+across+the+Risk+Spectrum+June+8,+2020&gs_lcp=ChFtb2JpbGUtZ3dzLXdpei1ocBAMOgcIIxDqAhAnUNsbWNsbYL4paAFwAHgAgAGpAogBqQKSAQMyLTGYAQCgAQKgAQGwAQ8&sclient=mobile-gws-wiz-hp
Assessing Opportunities across the Risk Spectrum
June 8, 2020
While recent market performance would suggest that investor optimism appears to be in full flower, there are still a great many uncertainties associated with how economies and markets will respond to pandemic-related developments in the months ahead. Long-term investors weighing their options for such an environment may be well served by employing an active manager offering a breadth of carefully constructed strategies to navigate the changed investment landscape of a post-coronavirus world.
After the March sell-off and the spring rally, where should investors focus their attention? Here, we outline four strategies that may align with different levels of risk tolerance in this uncertain environment.

I think a second significant peak is inevitable and this equity bounce will crash. The behavior of people last weekend is clear evidence that most covididiots will get infected and soon. There are already rising case and hospitalization rates in many states, mostly in the south and midwest where people seem deluded by Drump.
If Missouri is lucky and escaped the massive infections NYC suffered because they did not commute by subway, the people in Lake of the Ozarks just took a long NYC subway ride without protection. What do they think will happen? A church in Germany just had dozens of cases despite social distancing.
AS the second wave hits, it will be at least a year and probably two before people are comfortable going back out in force, and consequently at least two and maybe longer before our consumer driven economy is back to where it was in 2019, and I suspect at least 20% of those businesses will not return.
If we had massive testing and aggressive robust contact tracing we might cut isolated outbreaks off quickly but when many governors and a large number of people do not believe this is real I don't see this happening. The politicians in Georgia Florida and Texas are already trying to cover up the true case numbers and death rates
Consequently, I would not have any money in stocks that you need for the next five years. There will be buying opportunities along the way.
My cash allocation is 50% conservative bond funds 30% and equity 20% I am buying small positions in what seem to be safe dividend equities with some long shots in energy.

Using your "good until it wasn't" Pimco bond fund PONAX, one sees that DSEEX's performance since April 30th was roughly the sum of CAPE's and PONAX's. (Remember that DSEEX is leveraged for 200% exposure: 100% CAPE, 100% bond.)
See graph here. (Graph only shows CAPE through 5/21; it closed up 0.24% on 5/22)
The graph does show fairly clearly that the bond portion of DSEEX is not, however, mimicking PONAX. If it were, the spread between DSEEX and CAPE would have been microscopic until a week ago (since PONAX was roughly flat for the first couple of weeks in May).
DSEEX: +1.86%
PONAX: +1.20%
CAPE: +0.35% + 0.24% (Friday)
Total: +1.79%

Starting end April DSEEX pulled ahead of CAPE and then a week or so ago ahead of SP500. Maybe the bond sauce has been reformulated. (Some of the Pimco gogo vehicles have perked up also.)

Not seeing many bullish investment advisors / pundits across the media landscape. Droning Mohamed El-Erian drives me nuts on Bloomberg TV mornings. Makes you sorry you got out of bed some days. Stan Druckenmiller is one I’ve always respected. Smart investor. Serious bear now. Bill Fleckenstein’s been bearish on equities for long as I can remember - but likes gold. Barron’s is a mixed bag - but articles lean toward the bearish side now.
What’s the opposite of “pump and dump ”? Maybe “dump and pump ”? Or “dump and jump”? Might be some of that going on.

Oh, another one (@bee): SPY/TLT 50/50 and forget about it.

Why does anyone ever choose SPY over VOO?
For me TLT would be too jumpy for what I want a bond ETF for, but it sure does majorly outperform VGIT, and even BND.
I'm slowly deciding on 55-45 VONG (maybe w some CAPE) and VGIT (maybe w some BND) --- or so I claim today, anyway.

Thanks to @davidrmoran, just added ability to screen for ETNs, as a separate asset class, in MulitSearch. A lot are commodities-based trading only vehicles, many leveraged. But some are pretty sweet, like CAPE.

Since Feb 23, the start, CAPE has tracked VOO w only slight lag and at close today appears likely to match it, so by my read it is the bond sauce chiefly which has detracted. I too am holding though may go in part directly to CAPE.

Yesterday's new "Major Trend Analysis" from the Leuthold Group was accompanied by good news and bad news.
Good news: while bull rallies occur in bear markets, it's almost unheard of for a bull rally to exceed 30% gains and then pull back into a bear. Typical "trap rallies" are in the 20% range. The only (admittedly uncomfortable) other occurrence of 30% rallies that collapsed were during the 85% skyrocket early in the Great Depression.
Bad news: "The blue chips’ bounce has driven their valuations back to levels that exceed all but the March 2000 and February 2020 market tops. If our S&P 500 metrics were to eventually retreat to 'only' the new-era valuation low that accompanied the mild recession of 2001, losses from here would be on the order of 30-35%."
Today's Shiller 10-year CAPE is 26.88, with "normal" being about 16; a sort of mid-point between the average and median values. The 10-year CAPE hit 27 in early 1929, then not again until mid-1996. It stayed at or above 27 for about a decade, declined to the low 20s after the GFC then worked steadily back up. The recent unpleasantness whacked about six points off the average.
David

@Bitzer, it ain't been a plus, obvs, but as someone who also holds PONAX and PDVAX (and MINT and GSY, fer krissake, also VCSH, and PCI and PDI in the recent past), I am not seeing that Gundlach's recent work and decisions are any worse. This even though I think he's a putz politically and in other ways.
Others smarter here have delved the various gogo bond areas each of these funds works in. Regardless, I am willing to believe that CAPE will do as well as / better than DSE_X in the near term and perhaps beyond, and am looking forward to getting out of my Pimco holdings when back to breakeven and into less gogo.
@BenWP, ty for VONG mention, was looking at that, had been thinking that in retirement I would just stick with the varsity, but will continue to, or perhaps resume is better, mull and reconsider. Some days I remain in poky mode.

Roger all points; you just seemed focused on moderate and incremental outperformance and added value, and it is impossible to find any period in which VOOG has not outperformed since its inception. I understand about passivity vs various degrees of process and selection action (which might include the monthly auto-churning of CAPE).
I have been heeding the 'growth has got to end at some point' arg for over 40 years and have 'sacrificed' mucho dollars investing prudently in value funds, all the best ones.
Could hardly care less about pricing and spreads unless egregious.
DSE_X has suffered from the bond discombobulation, yes. I would not advise anyone to bail out of it tho unless they were simply going to shift to CAPE, which gives many investors fits, for extraneous reasons.
If you want to hold the equities and are eyeing VTI, don't forget about considering RSP.

@davidmoran: I understand that a fund such as VOOG could outperform, especially in a growth atmosphere as @expatsp pointed out. MOAT is not an index fund. It’s stocks are chosen according to a methodology, which includes the determination of the moat the company enjoys as well as a valuation metric that determines whether a stock is trading above or below its worth. Turnover is north of 50%, so it’s actively managed. With 47 stocks now, MOAT can be considered high-conviction. The Barron’s 400, the GAARP EFT (BFOR) has an identifiable stock-picking system, but it’s performance has been quite disappointing. It debuted at the same time as MOAT making a comparison valid since both funds have operated in the same bull market. I could still see CAPE as a trading holding, but it is tough to get good pricing. MOAT, however, trades in a very orderly fashion, with very small spreads. FWIIW, I don’t own any index funds in my accounts, even though I recognize that over time I probably won’t come out ahead of a passive portfolio.

For a while now growth has outperformed value or blend. If that continues, which is very possible, then sure, VOOG (1/3 tech) will outperform. If it doesn't, MOAT is more balanced, and CAPE (or DSENX) should maybe benefit when currently undervalued (or less richly valued) sectors make up for lost time?

Except for the last few days, VOOG has outperformed MOAT, going way back, so why not VOOG instead? (>5x as many holdings, fwiw.) That's what I'm replacing DSEEX with, along w CAPE.

Most of the MFOers who held the DoubleLine CAPE funds were displeased (shocked?) at their performance during market downturns, first in 2018, then this year. Almost since the inceptions of DSENX and MOAT (Morningstar Wide-Moat ETF),
I have held both funds and I periodically owned CAPE, the ETN. Up until the past few months, performance was quite similar, with both methodologies regularly besting SPY. This is no longer the case as MOAT has shown itself to be the superior fund. As I may have previously mentioned, I have exited all CAPE strategies while maintaining my MOAT positions. I won't quibble here about whether the CAPE approach is value or blend. MOAT is LCB without argument. My finding is that wide-moat investing works and that the CAPE strategy, dependent as it is on the bond "sauce," does not work as well. FWIIW, I have not found a member of this board who owns MOAT, although I have mentioned it before. Please come out of the woodwork because it's lonely at the head of the train (LOL).

The staying power of Covid-19 will impact the investing landscape until a vaccine is widely available.

Chinese scientists say the novel coronavirus will not be eradicated, adding to a growing consensus around the world that the pathogen will likely return in waves like the flu.
It’s unlikely the new virus will disappear the way its close cousin SARS did 17 years ago, as it infects some people without causing obvious symptoms like fever. This group of so-called asymptomatic carriers makes it hard to fully contain transmission as they can spread the virus undetected, a group of Chinese viral and medical researchers told reporters in Beijing at a briefing Monday.

https://time.com/5828325/coronavirus-covid19-seasonal-asymptomatic-carriers/