I was one of the grandfathered age groups, @Catch, here in MI, so escaped the effect of the original legislation. I’m still proud to have been union, but my state is certainly no longer pro-worker. Indiana eliminated collective bargaining for public employees by gubernatorial fiat; Wisconsin went to the dogs funded by Ménard money, and we are also a “right to freeload” state. Hard to fathom, at times.

I never got into DLEUX, but I am a fan of DSENX and CAPE. It's hard to make a case for international stocks. CAPE has gained 96% over the past five years while VXUS has lost 1.27%. The highly touted FMIJX has a yearly return of about 5% for the same time period. I own some SMID global/international and some MIOPX, but the days when I owned a big chunk of international either in my TIAA retirement account or my actively managed portfolio are long gone. Foreign under performance is quite long standing as typified by the demise of Harbor International, a former kingpin. On the other hand, I am a fan of global funds (MGGPX, ADPFX, ARTRX).

The reason to write about it now, responding to the OP, is that for almost 6y it has consistently behaved differently from (similar to but better than) SP500 vehicles, ditto for CAPE, and also differently from actively managed (stockpicker) LV funds.
Presumably, weasel word, if past is any guideline. in a bear market it will do similarly.
In other words, when you graph ($10k growth) of it vs CAPE and VFINX for the six months from last Sept 20 to last March 20, it tracks that sharp decline exactly but slightly worse, meaning the Christmas low point is down almost $2k to $8k (20 bucks short), whereas the CAPE loss was slightly less and VFINX went to $8124 only, not quite as bad.
Then for the comeback it lagged slightly until February, and by March 20 both DSEEX and CAPE pull ahead of VFINX, a little, with DSEEX slightly ahead of CAPE.
Breakeven for all back to $10k was around April 4.

DSEEX up 2.9% above SP500 the first half of this year, in a crazy-strong period thus far (over 18.5%);
1.6% above CAPE alone;
and even a percent or so above TRBCX and FCNTX.
A hair under FLVCX, of all things, which is otherwise not good at all, and even a hair over QQQ.
So again wow, so far.

Interesting link, @davidmoran, to 2013 MFO commentary. The link to Sam Lee's M* article on CAPE is worthwhile, particularly where he says he'd prefer more history than just back to 2002. He was also very prescient in saying he'd feel more comfortable if CAPE were shown to work in overseas markets. As members have said here, DEULX has not really shown much until this year.
My re-reading also reminded me that the Oakseed Boys were announced with some fanfare in that issue of MFO and RPHYX appeared to be a world-beater. History was not kind to SEEDX (liquidated in 2017) and RPHYX tested shareholders' patience when Mr. Sherman seemed to stumble in trying to explain a period of severe under performance. I previously in this thread noted (obliquely) that Ryan Caldwell's Chiron Capital Allocation (CCAPX) fund benefited from a nice write up in MFO and then promptly showed it couldn't keep up with its M* bogey. The success of CAPE really stands out against a backdrop of a several failed efforts to invent a new mousetrap.

Some interesting things I found tonight:
- boilerplate from DoubleLine which somehow I missed before:
'The 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 be more volatile than if leverage was not used.'
- smartguy FD1001 on M* forums has done extensive crunching on managing volatility.
https://community.morningstar.com/t5/Exchange-Traded-Funds/Low-Volatility-ETFs/m-p/9630
shoutout to DSEEX
similar more recently here:
https://community.morningstar.com/t5/Allocation-Balanced-Funds/DoubleLine-Shiller-Enhanced-CAPE-I-DSEEX/td-p/7228
Q&A not by him (which a look at CAPE could've partly answered):
Q - One thing that's confusing: is it DSEEX's bond sleeve that's been responsible for its 3% annual outperformance over SPY? Or is it the Shiller sector selection methodology that favors the cheapest sectors? Does anyone know? Have the fund managers commented on this point?
A - Last webcast covered this. Over last 5-1/2 years of fund existence, the fixed income portfolio annualized return was 296 bps. Over the same timeframe, DSEEX outperformed the S&P500 Index by 340 bps per year, NET of expenses (trading costs and expense ratios). Note: The fixed income portfolio is designed to be low volatility with the objective of outperforming cash. It is used as collateral to fund the total return swap on the Schiller Barclay CAPE Index.
FD1001 MFO-type profile:
https://community.morningstar.com/t5/user/viewprofilepage/user-id/3408 ;
more:
http://socialize.morningstar.com/NewSocialize/blogs/fd1000/archive/2014/05/14/investing-and-my-basic-system.aspx
Historical shoutouts:
DSnowball (https://www.mutualfundobserver.com/2013/11/november-1-2013/) alerted us all to Lee's kickoff analysis almost 7y ago:
https://www.morningstar.com/articles/583010/cape-crusader.html

>> Barclays calculated the index values at least as far back as 2012
You mean 2002, correct?
That is odd he would make such a bald volatility claim, as I study this graph, yes.
https://s.yimg.com/ny/api/res/1.2/VZJ_aAz5A0gSKHXbVIpZZg--~A/YXBwaWQ9aGlnaGxhbmRlcjtzbT0xO3c9NDgwO2g9MzY3O2lsPXBsYW5l/http://globalfinance.zenfs.com/en_us/Finance/US_AHTTP_SeekingAlpha_ETF_H_LIVE/saupload_cape-hypo_thumb1.jpg
To my eye it does not show 'that volatility has changed significantly between the 2002-2013 period'. Yours?
MFOP's 5y UI for DSEEX is slightly higher than for CAPE (which is slightly higher than for VFINX, yes), indicating the Gundlach bond sauce does not modulate anything, by my grokking anyway.

\\\ ... pointing to the fact that using CAPE as an investment strategy has shown lower volatility and a higher rate of return over time
>> I don't know what he was looking at.
Well, he's speaking after CAPE has been in operation only 54 weeks, right?

Sure, but he wasn't talking about literally buying the CAPE ETN as an investment strategy. (CAPE doesn't appear in the DoubleLine fund, to state the obvious). The index on which both DSENX and CAPE are based was launched by Barclays in 2012. However, Barclays calculated the index values at least as far back as 2012. (See CAPE prospectus, p. PS-33, pdf p. 36).
Take your pick: Gundlach was not aware of the available data as he promoted his fund, representing volatility figures of those 54 weeks as being "over time"; he was aware of the available data going back a decade but chose to disregard it in representing the investment strategy as having low volatility; or he did consider that data, it confirmed his claim of lower relative volatility, and that volatility has changed significantly between the 2002-2013 period and the 2012-2019 (present) period.
Any better alternatives that might make one more comfortable?
https://finance.yahoo.com/news/barclays-shiller-cape-sector-rotation-123731560.html

\\\ ... pointing to the fact that using CAPE as an investment strategy has shown lower volatility and a higher rate of return over time
>> I don't know what he was looking at.
Well, he's speaking after CAPE has been in operation only 54 weeks, right?
Outperforming VFINX 2.4% in that year-plus, with both up >30%.
It does look like the peaks and dips are very slightly greater than SP500 in that timeframe, hard to tell from the graphs, but I think so.

Seeing as DSENX invests in those sectors that are the cheapest, I would it expect it to be less volatile than the market and that it would resist downdrafts better. Why don't the numbers play out this way? The downside capture ratios are all slightly greater than 100%.

Apparently Gundlach also thinks so:

“We think [DSENX/DSEEX is] a better mousetrap,” he said, pointing to the fact that using CAPE as an investment strategy has shown lower volatility and a higher rate of return over time. Hopefully, the fixed-income expert says, it will result in “a tastes great, less filling type of investment experience.”

https://www.thinkadvisor.com/2013/11/22/gundlach-on-shiller-cape-fund-a-better-mousetrap/
I don't know what he was looking at. According to Porfolio Visualizer, over the lifetime of CAPE, VVIAX and VFINX have been similarly volatile (std. dev about 11) based on monthly returns, while CAPE's std dev was nearly 12.
There's greater separation in maximum drawdowns: about 11% for the value index, 13½% for the 500 index, and 15¼% for CAPE.

@BenWP,
What brokerage do you use for CAPE?
Bid-ask of 16 cents on $134 (if I am reading the Fidelity listing right) does not sound so wide, and it tracks its NAV pretty closely. Am I missing something?

The Barclay's article linked by @msf helped me a lot in grasping how the CAPE sector rotation works. It's illuminating to see what sectors never made it in at all and that energy was in for only one month. If CAPE had a "value" tilt, sectors such as utilities, real estate, financials, and materials might be selected, but they were not. Sherman's comment as cited above by @davidmoran, makes it clear why investors should not expect the fund to act like a bulwark against market downturns.
I am happy with my holdings in DSENX because the strategy and implementation are way beyond what I could replicate on my own. Over my investing years I've read explanations by several smart-seeming managers (anyone remember Ryan Caldwell?) whose funds never produced anything worthwhile. The CAPE and DoubleLine people strike me as being really smart and they are producing returns for me and others on this board.
I have also owned the CAPE ETN at times because I like to trade certain CEFs or ETFs when I see a possible market inefficiency. As I have said before, CAPE is a tough fund to trade because the spreads are so wide. Only occasionally is there an advantage to exploit.

... managers ... look at 11 US stock sectors and select 5 undervalued sectors, then take 4 sectors out of 5 with the best momentum.

A couple of clarifications:
The five candidate sectors are the most undervalued not relative to the market, but to themselves. This allows for the inclusion of traditionally overvalued sectors that may still be overvalued relative to the market, albeit somewhat less so than historically. People seem to think that the methodology is designed to select sectors that are undervalued relative to the market. That is not the case.
Edit: @LLJB - I composed this before seeing your better post on relative valuations. One sometimes sees 20 year lookback periods (as you described for the CAPE values used) and sometimes 10 year periods. Each of the CAPE values itself is computed with a 10 year lookback, so the raw data that feeds into this index could extend as far back as 30 years!
Here's a paper that shows for the 11 sectors, in which months during 2018 they were included in the Shiller Barclays CAPE® US Sector RC 10% USD TR Index. That index picks the same four sectors as the Shiller Barclays CAPE® US Core Sector Index. The only difference is that the former adjusts its market exposure up or down to temper volatility.
https://indices.barclays/IM/33/en/efsdocument.app?documentId=374&filename=Shiller10PerformancAnalysis.pdf
Two sectors were included in all twelve months: technology and healthcare. IMHO, a fund that maintains a steady 50% exposure to technology and healthcare (combined) is no value fund. The sectors may have had low valuations relative to their historical norms, but they were not low relative to the market. See, e.g. US News, The Most Overvalued and Undervalued Stock Market Sectors of 2019, Jan 11, 2019.
Based on forward looking P/Es (I believe Shiller uses retrospective figures), technology and healthcare were smack in the middle of the pack. Compared to their historical P/Es, they're undervalued (as are several sectors according to the article).
Regarding momentum, that's based on a one year look back, as opposed to the ten year look back for Relative CAPE® Indicator (historical valuation).

>> That's as clear as mud. It says that there's a fee to "buy into" DSEEX, but doesn't say whether converting shares counts as "buying into" the fund.
I find it clear, but that may be because I have executed it so often; also, I've known for years that our reading comprehension differs.

If it was even possible that your experience influenced your read, regardless of whether it actually did, then the text was not without objective ambiguity. Either that, or you sometimes read things differently than the plain text on the page. As might I.

Sometimes the custodian will issue a trade confirmation on the swap, which makes it look like we sold one share class and bought into another. Though technically that is true, it is essentially a non-taxable swap into a different share class of the same mutual fund, albeit one with a lower expense ratio.

Emphasis added . ParsecFinancial, What is a Mutual Fund Share Class Exchange

Where does DSENX FUND fall in your buckets? Large Value, Allocation, or ?

Seeing as DSENX invests in those sectors that are the cheapest, I would it expect it to be less volatile than the market and that it would resist downdrafts better. Why don't the numbers play out this way? The downside capture ratios are all slightly greater than 100%.

As for buckets its not a simple answer and it can change every month. According to M*'s definition of the "buckets" the equity exposure is currently 39% large cap growth, 22% large cap blend and 30% large cap value plus 8% mid cap spread across the buckets.
The fund's definition of "value" is very different than M*'s. The fund buys 4 of the 5 "cheapest" sectors based on Shiller's CAPE ratio RELATIVE TO THAT SECTOR's 20 year history. That means Technology can have the highest current sector P/E ratio AND the highest CAPE ratio out there but if its CAPE ratio is relatively lower than other sectors compared to what its been over the last 20 years then its in the fund. This is why you can't "expect" the fund to be less volatile. It is not just a "value" fund according to M*'s definitions.
As @Carefree alluded to, the effective exposure of the fund is 50% equity and 50% bonds so suggesting its an Allocation fund with 50-70% equity makes some sense too.
When I want to "X-ray" the buckets my portfolio falls into I use the SPDR Select Sector etfs to represent the value of my holding because M* isn't able to do that. I forget about the bonds because my reason for holding DSEEX isn't for the bonds, its just an added bonus.
The derivatives, the swaps they use to get exposure to the sectors they want, have two main benefits as far as I can figure out.
The fund currently has $6.7 billion in AUM. That means if one of the sectors in the portfolio changes they would need to sell roughly $1.7 billion of one sector and invest it in the new sector at month-end. The SPDR Select Technology etf trades a little over $1 billion daily. They wouldn't be able to do that without impacting the market or spreading out their trades over a week or more, I don't think. AND, most of the calculations behind the choices are public information, so their moves could and likely would be arbitraged.
The swaps allow them to get all the exposure they want at the month-end price in a private transaction, quite frequently with Barclay's the last I checked. You'd have to assume Barclay's doesn't want to be short those sectors but they have the flexibility to hedge their "bet" with futures, options or actual share purchases over a more flexible time frame and that makes arbitraging the transactions more complicated.
The second benefit is that there's no cash outflow to "bet" using a swap. Six months from now, or whenever the swap expires, one party or the other will have to "pay" the other. In the meantime, though, they can use all that cash to buy bonds, which in my view helps to pay the "cost" of the swaps, reduces the expense ratio and can also increase the return of the fund if things go well.

@CareFree,
From a year and a half ago:
https://www.marketwatch.com/story/doubleline-fund-doubles-the-returns-of-rivals-by-uncovering-a-curious-strategy-2017-11-30
The fund is not specifically defensive in nature, [Jeffrey] Sherman explained, because it is not designed to outperform during a market pullback. Instead, it seeks to outperform the S&P 500 over the long term through the sector rotation of the Shiller Barclays CAPE US Sector Index, augmented by the returns on the fixed-income portfolio. ...
... the fund’s management style mitigates the danger of chasing performance, because the index it invests in can change its sector focus each month.
It’s also interesting to note that during 2015, when large-value strategies fared poorly against the S&P 500, the fund outperformed both. And when the large-value category beat the S&P 500 in 2016, the fund again outperformed both.
@msf,
>> That's as clear as mud. It says that there's a fee to "buy into" DSEEX, but doesn't say whether converting shares counts as "buying into" the fund.
I find it clear, but that may be because I have executed it so often; also, I've known for years that our reading comprehension differs.

Whaddaya mean what's it doing there? How do you think the web works? It assumes you might want to know more ....
Looking at the last 4y of performance (and parsing sub-periods) it's hard to see exactly why you would take SCHD over OUSA, NOBL, VIG, DVY (maybe the consistent laggard), SDY, even QUAL; and the sim-equity CAPE trounces them all longterm, but not shorter always.

@Old_Skeet,
>> I'm thinking you are taking on more risk than you realise ...
may be
>> and, for what? Inorder to beat the 500 Index.
sure
The last 5y, if I had been 50-50 (or whatever) in IVV and FTBFX instead of DSEEX and PONAX (also a bit of a derivatives black box, arguably), I would be behind >10% of where we now are, which to us is a significant difference. Would be 10% behind having been in JABAX all that time.
Seemed worth it.
>> So what! If it is beating the Index then is it not taking on more risk? Yes, for it is indeed levered up.
Perhaps, you are short of assets and need to be aggressive? Or, are you just being cavalier? What is your underline reason for owning this high risk fund? If it blows up will you still be around?
There is no little negative press about it and CAPE. This from 10/13:
https://www.etf.com/sections/blog/20177-inside-professor-shillers-cape-etn.html
and this from just last fall, CAPE, Seeking Alpha:
ETNs do not own any of the underlying assets, instead, it's merely an IOU from the bank or issuer saying "we agree to pay you the starting value of this note + any changes in the index tracked". An ETN is considered an unsecured debt obligation, meaning that if the issuer ends up bankrupt, you could lose your investment.
The issuer of the CAPE ETN is Barclays Bank PLC (BCSPRD), who have had their credit rating cut this year from Baa2 (equivalent to BBB) to Baa3 (equivalent to BBB-) by Moody's, which is the lowest investment grade rating, ...
Lipper otoh gives CAPE a 5 on everything, but no holdings info. Their info listed on DSEEX is as layman-unhelpful as M*, style G&I, category LCV, holdings 93% bonds+cash, so you would have to delve to comprehend, and read msf's excellent analyses.
@msf
>> Preferably without appealing to alternate facts, like saying that the fund owns equity.
It is not I but the non-misleading, non-confusing, non-unclear M* which indicates this alternate fact, in the AA and Details sections on the page I linked, DSENX going reportedly from 30% equity 3y ago to just under half equity today, while passing through SCV style last year.

It is interesting to compare DGRO, DGRW, OUSA, QUAL, NOBL, SCHD, and VIG over the last 3, 2, and 1 years and see which ones move ahead of the others. (All outperforming CAPE for the 1- and 2y periods but not longer.)

I buy DSENX and then convert asap to DSEEX, which Fidelity now does promptly (always done for free). A reclassification worth knowing about there. Merrill does not offer.

In order to provide the service of a tax-free, fee-free exchange of shares, a brokerage would have to offer two different share classes of the same fund. Obviously Merrill can't do this with the Doubleline Shiller Enhanced CAPE Fund, as Merrill sells only one share class of the fund to retail DIY investors.
Are you saying that Merrill won't exchange share classes for funds where it does offer multiple classes, or just that it won't exchange DSENX with DSEEX (which it doesn't sell)? Have you tried asking them to exchange between two share classes that they do carry?
For example, will Merrill do a free exchange from $50K worth of MWHYX shares to MWHIX shares (which it sells so long as you meet a $50K min)?

FYI: Following another year of strong flows from investors, assets in target-date mutual funds and target-date collective investment trusts totaled more than $1.7 trillion at the end of 2018. The persistent growth and massive amount of assets mean that target-date funds play a key role in helping more and more investors meet their retirement goals.
Here's a few highlights on the competitive landscape from Morningstar's recently released 2019 Target-Date Fund Landscape report.
Regards,
Ted
https://www.morningstar.com/articles/929906/price-continues-to-rule-the-targetdate-fund-landsc.html