Been studying these to see if any performance match or advantage over CAPE, even projected ( :) ), but finding none

@Davidmoran,
HA. I don’t want to make it personal. Sorry if I got carried away. Defensive? Maybe.
Please know that I claim no expertise in financial affairs and don’t recommend my approach to others. I simply love following and discussing financial matters, along with science & astronomy, because in those disciplines a given input equals a given outcome. In other words, both disciplines rely on logic and provable facts. Compounding works. Buying low and selling high is demonstrably more profitable than the reverse. Management fees make a difference in the long-run, etc. etc. Contrast that type of intelligent commentary with most of the garbage that gets consumed daily in our media driven society. Thus reason to read the board and share ideas.
Dick Strong and some of his cohorts gave market timing a bad name back in the late 90s. (I dunno how he escaped prison.) And the fund companies than were more or less forced to tighten their regulations to prevent timing. Without going into detail, the practice (timing) can be profitable for a few smart (or shrewd) investors, but “dings” the fund returns for most so invested (a practice sometimes called skimming).
Anyway, my plan - scatterbrained though it is - was designed to keep me from shooting myself in the foot by trading frequently. Just about everybody here, including myself, seems to agree that frequent trading is detrimental to long term returns. That’s why 75% is essentially “locked away” in a diversified core portfolio. Except for annual distributions and rare rebalancing it’s hands off with that portion.
The 25% “Flexible” portion is a concession to my perceived need to be “hands on.” I can’t tell you whether the incremental adjustments to cash/equity holdings based on perceived market risk over the years have worked or not. My guess is it’s probably been a “draw.” I can say that in ‘98 when the tech-bubble burst, bringing down the whole market, and again in late ‘08 / early ‘09 when the last bear market ended I did have a sizable cash stash to put to work. It felt good anyway to be buying low. But maybe I’d been better off if I hadn’t carried the cash/equity equation over the preceding years.
I know your OP was “Why cash?” ... It’s highly liquid for one thing. It doesn’t pose the same downside risk as short selling does. It doesn’t carry the high expenses / fees that using various derivatives would. And most fund companies don’t put restrictions on your ability to move in and out of their cash / cash equivalency accounts - as they do with their other funds. As I said earlier, bonds pose some special risks in this low rate environment that might not ordinarily exist.

FYI: Rob Arnott discusses US CAPE ratios which are at levels previously reached only in 1929 and during the tech bubble. Should we fear the lofty valuation multiples, or should we fear the CAPE ratio itself because of its notorious unreliability in picking market peaks and troughs?
Regards,
Ted
http://ritholtz.com/2018/04/cape-naysayers-wrong/

Yes, sir, with perhaps a third or a little less 'edge' holdings --- cash for non-SS cashflow, DLEUX (unimpressive thus far, to put it nicely; typoed earlier entry corrected), FLPSX (which I have held for decades on and off), PDI and PTY (a little volatile), FRIFX (for nominal diversification), DGRW in lieu of ML-barred CAPE (trying to short-term-trade the recent volatility and of course have failed majorly), and also of course sundry loser spec stocks in oil, pharma, and tech.
So 70% of our total nut is split b/w DSEEX and PONDX. Turning 71 soon and looking at moving some moneys into some GO bond funds, though it's v hard to find ones preferable to PONDX (I missed, d'oh, the insane minimums for some earlier mentions).

Cites I have given in the past and recently from GS, PIIE, ML, and maybe one other have regularly indicated that CAPE is (and has been shown to be) on the conservative side, I believe.

FYI: To answer this question, investors have developed several alternative equity valuation models. Typically, each of these models compares the stock market’s current price level to a benchmark. Among practitioners, two of the leading equity valuation models are the Shiller CAPE model and the so-called Fed model. Thought leaders in the space debate the merits of the different approaches. For example, at the 70th Annual CFA Institute Conference in 2017, there was a heated debate between Robert Shiller and Jeremy Siegel on whether the US stock market is overvalued(1). On the one hand, Robert Shiller, the distinguished Yale economist and Nobel Laureate, claimed that the US stock market is highly overvalued judging by the current CAPE ratio. On the other hand, Jeremy Siegel, the author of “Stocks for the Long Run”, remarked that, given the extremely low-interest rates, the US stock market is not overvalued. Janet Yellen, the previous Fed Chair, held the same opinion as Jeremy Siegel. In particular, at the end of 2017, she said that “the low-rate environment is supportive of higher CAPE ratio.” Apparently, both Jeremy Siegel and Janet Yellen use the Fed model to determine whether the US stock market is overvalued.
Regards,
Ted
https://alphaarchitect.com/2018/03/15/graham-vs-shiller-us-stock-market-overvalued/

I've tried to describe the fund conceptually in terms of major building blocks. To come up with an explanation of its performance entails starting with a much more detailed model and then using trial and error to find a proxy bond fund that might adequately match the performance of the bonds in the portfolio.
I'm not going to go through that exercise. But I will give you some idea of other factors involved.
According to a page on DoubleLine's company website (I haven't found this detail on the DoubleLine fund site or in the fund's prospectus), the swaps used require collateral. (Generically speaking, some swaps do, others don't.) Here's the image from that site showing the need for collateral
Contrast that with the image on the fund's fact sheet that omits mentioning the need for collateral. Contrary to the image above the fact sheet states that 100% of the money invested (not just a remainder) goes into the fixed income portfolio. Since the prospectus also omits anything about using collateral, it obviously doesn't say how much collateral is needed.
So now there's a new factor (collateral) to include, one that comes alone with an unknown value (collateral percentage). FWIW, MWATX, which uses futures not swaps, typically puts up 4%-5% of the value of the derivatives as collateral (according to its prospectus). If DSEEX is using 5% collateral, then the remaining 95% of the amount invested is being invested in bonds. So one would multiply the performance of the proxy bond fund by 95%. In reality, we not only don't know an appropriate bond fund to use as proxy, but what scale factor should be used.
Then there are the carrying costs for simply holding the swaps. That appears to be the "financing rate", which is different for each swap, but tends to run in the 0.40% - 0.47% range. At least those are the rates shown for the swaps in the latest semiannual report, which is now almost six months old. So some average rate in that range needs to be subtracted from the CAPE (swap) rate of return.
Next up are the costs of acquiring the swaps. Some, like brokerage fees, can be extracted from the financial statements. Others, according to the prospectus, are simply not disclosed:

investment-related expenses not shown in the [fund expense] tables include brokerage commissions and undisclosed markups on principal transactions, which reduce the return on your investment in a Fund and may be significant. ... In cases where a Fund enters into a swap transaction or certain other transactions based on an index, the transaction pricing will typically reflect, among other things, compensation to the counterparty for providing the investment exposure. The transaction pricing also may reflect charges by the Index sponsor for the use of the Index sponsor’s intellectual property and/or index data (“Intellectual Property”) in connection with the transaction. These investment-related costs may be significant and will cause the return on a Fund’s investment in a swap transaction or other transaction based on the index to underperform the index. The terms of these transactions may change over time, potentially in response to market conditions, without notice to shareholders.

As with the carrying costs, simple subtraction is the best way to account for these other expenses. Say they totaled 2%/year, then 2% would be subtracted from the fund's expected return. I pulled that 2% figure out of the blue for a placeholder; I've no idea what these other costs total at any given point in time (the prospectus says they vary over time as well).
Finally, I'm not clear why you elected to use a PIMCO fund as a bond proxy; I might have tried out some DoubleLine funds first.
Personally, I'm content with my level of understanding of this fund, though I can appreciate the interest in proving out a model by getting numbers to match.

>> So DSEEX may not resemble balanced funds so much as equity funds with "a little extra"
Yes, this not-really-like-hybrid take is the nut I return to, and always underlies my original bond queries. To return, empirically, to performance: since DSEEX inception, it is close to impossible to find any period where a combo of any proportion of CAPE and PDI (to choose probably the most aggressive and successful of the opaque Pimco offerings, although it is CEF with a premium) does as well as DSEEX.
As puzzling, the last year-plus its bond portion has "detracted," meaning that since 4-5/17, CAPE has marginally outperformed DSEEX.
Also not seeing that it is truly more volatile; as I noted earlier, its swings do not to me appear to be more dynamic, and its UI per MFO Premium is the same as steady TWEIX.

However they trail Danoff's starship fund FCNTX which is up 8.4% YTD, has a lower ER and does not require an advisor to escape paying the front-end load. But to each their own.

CAPE cannot be traded at ML and maybe not at some other brokers, not sure, which irks me.

Looking at comments on other boards, it seems that Merrill Edge generally blocks online trades of any ETN. Nevertheless, you can trade ETNs there, or so says a poster in this M* thread.
The catch is that you have to call a Merrill broker to do it. Or you can go elsewhere to buy the ETN for a few bucks, such as $4.95 at Schwab or Fidelity. CAPE is available online at both.
Note that brokers often block sales of a few higher risk securities. Here's a 2016 article talking about restrictions imposed by Fidelity, Vanguard, and TD Ameritrade:
http://www.investmentnews.com/article/20160623/FREE/160629978/fidelity-blocks-opening-trades-on-several-etf-products-citing

I would think that investing in DSEEX would give similar diversification to a vanilla hybrid fund that had a roughly 50/50 stock/bond mix. The difference is one of magnitude of performance (i.e. getting hammered harder).
In DSEEX, you get full exposure to CAPE. That means that if $10,000 invested in CAPE were to drop 10%, losing $1,000, then you'd expect a $10,000 investment in DSEEX to similarly lose $1,000 before even looking at the gains or losses on the bond side.
That $10,000 investment in DSEEX, aside from getting you stock exposure, buys nearly $10,000 worth of bonds in the fund's portfolio. If bonds drop 4%, your $10,000 worth of bonds lose $400.
So the $10,000 investment loses $1,000 + $400 = $1400.
This is as one would expect:
100% stock exposure x $10,000 x 10% loss + 100% bond exposure x $10,000 x $4% loss
= $1,000 + $400
= $1400
= (10% + 4%) x $10,000 = 14% x $10,000.
In the vanilla 50/50 hybrid fund, that $10,000 invested buys $5,000 worth of "real" stock and $5,000 of bonds. When stocks decline by 10%, the $5,000 worth of stocks drops $500 in value. When bonds decline by 4%, the $5,000 worth of bonds drops $200 in value.
So the $10,000 investment loses $500 + 200 = $700.
This too is as one would expect:
50% stock exposure x $10,000 x 10% loss + 50% bond exposure x $10,000 x 4%
= $500 + $200
= $700
= (50% x 10% + 50% x 4%) x $10,000 = 7% x $10,000.
Note that DSEEX is likely not providing the full 200% exposure (100% to CAPE, 100% to bonds), but it's still a reasonable approximation. DoubleLine writes that while: "Each $1 investment seeks to obtain $1 of exposure to the CAPE® Index ... and $1 of exposure to the underlying portfolio of bonds ... market fluctuations likely will preclude full $1 for $1 exposure between the swaps and the fixed income portfolio.

Yes. For instance, while the S&P 500 was busy dropping 10% between Jan 26 and Feb 8, CAPE dropped 9.07% (from 125.85 to 114.44), AGG (pick your own proxy for DSEEX's bonds) fell 1.06% (using Yahoo's adjusted closing prices of 107.98 and 106.84).
In that same stretch, DSEEX fell 10.04% (using Yahoo's adjusted closing prices of 16.54 and 14.88). That's about as close to an exact sum of the two markets (using CAPE, not S&P 500) as you can get. Both markets dropped and DSEEX dropped accordingly.
Since the stock market has until recently gone straight up during DSEEX's lifetime, there aren't many stretches where both bonds and stocks have fallen together.

@LLJB has done a great job in describing DSEEX, both here and in earlier threads such as this one.
I agree that the use of swaps doesn't significantly affect the risk in and of itself. I believe that the swaps used by the fund involve only net performance. (See, e.g. equity swap into here.) That is, the fund gets an income stream equal to the performance of the index (if the index goes up 1% it gets 1% of the swap value) while it pays the counterparty a fixed rate.
So if the index goes up more than the cost of the swap (usually the case) the fund nets some income. If the index goes up less than the cost of the swap (or even goes down), then the fund owes the other side some money, net.
All that is at risk with the swaps is the net income since the last time the two sides settled their debts (called a "reset"). These resets happen periodically so there's just a limited amount of income at risk should the other side default.
IMHO the fund's added risk comes from its use of leverage. Not in the traditional sense of borrowing money to invest, but in using $1 of investor's cash to gain $1 of exposure to the index and $1 exposure to the bond market. That's where the derivatives come in. The risk is from the leverage, not the derivatives. The derivatives are simply a means to that leverage.
Almost no cash is needed to own or service the derivatives; the vast majority of the cash is used to invest in a bond portfolio. Should both equity and bond markets drop, this 2x exposure can hammer the fund. (Should both go up, the fund can soar.) As wxman123 noted, TANSTAAFL.
As DoubleLine writes:

Each $1 investment seeks to obtain $1 of exposure to the CAPE® Index via swaps and $1 of exposure to the underlying portfolio of bonds managed by DoubleLine. ... This portoflio has no financial leverage because no money is borrowed .... There is implicit economic leverage due to the use of unfunded swaps ....

https://doubleline.com/dl/wp-content/uploads/6-30-2016_CAPEStrategy-10FAQ_JSherman.pdf

CAPE cannot be traded at ML and maybe not at some other brokers, not sure, which irks me.
Fwiw, DSEEX / DSENX profile is interesting to compare w/ say TWEIX (MFO Premium), and they have the same UI....

This is very helpful @LLJB. There are two ways to invest in the CAPE strategy, through the OEF or through the Barclays ETN, CAPE. I don't think I understand fully why there are warnings about investing in ETNs; it seems to boil down to assessing the stability of the issuer of the debt instrument (Barclays). For the investor, there is an essential difference, in my opinion. ETNs pay no income or capital gains, but OEFs do. In the case of DSEEX/DSENX, distributions are monthly and there are annual CG payouts. I don't see any notable difference in the overall returns of the two instruments. The ETN acts like a growth stock that pays no dividend, but CAPE is not that. Trading CAPE can be a bit of a challenge as the spreads are wide and the bid/ask prices reflect current market sentiment and are often at variance with the last price quoted. Maybe others know more about the ETN structure as it pertains to this strategy. I like it for a taxable account if I don't need regular income from it.

Thank the Lord these factor articles never mention CAPE and the fund based thereon, which handily outperform all of the above (or appear to; could not find graphs for some).

But as you like to tutor us, averages can be so misleading. (And rates mean little.) The tax on my old 3ksf ranched-out cape worth a little over $1M in a town next to Weston Mass. is within a few percent of the average of the NJ towns listed above

You wrote that taxes in eastern Mass suburbs were very close to the NJ level. I'm fine discussing whatever metric you had in mind when observing that the levels of taxes were close.
Rates mean little when they're just the "official" figures. The state rates given in the USA Today article were "effective" rates, i.e. actual percentages after exemptions, abatements, whatever chicanery goes into one's tax bill. For example, the official rate for California is 1% (Prop 13), while the effective rate in the article is 0.77%. That's because Prop 13 caps annual increases, so the effective rate of each home is reduced over time. (California is the oddball state where property taxes are standardized.)
Geographically, you must be right on the Weston border: "Danoff my neighbor in Weston"
https://mutualfundobserver.com/discuss/discussion/comment/92578/#Comment_92578

Oh, I know; there are worse. But as you like to tutor us, averages can be so misleading. (And rates mean little.) The tax on my old 3ksf ranched-out cape worth a little over $1M in a town next to Weston Mass. is within a few percent of the average of the NJ towns listed above (just under $19k compared w/ just over $20k). Everything will be higher this year, of course. I must ask my NJ friends in some of the above towns about the reality of "losing their tax base as high income earners flee". One argument is that this will be a good thing in the long run.

FYI: The level of stock markets differs widely across countries. And right now the U.S. is leading the world. What everyone wants to know is why—and whether its stock market’s current level is justified.
We can get a simple intuitive measure of the differences between countries by looking at price/earnings ratios. I have long advocated the cyclically adjusted price/earnings ratio, or CAPE, that John Campbell, now at Harvard University, and I developed 30 years ago.
Regards,
Ted
https://www.barrons.com/articles/america-the-worlds-priciest-stock-market-1517019872

I looked at alternatives ( L/S, Merger, futures, even market neutral) a year or so ago, because I thought stocks and bonds were overpriced even then and cash paid so little. I came to the same conclusion about L/S funds as David but BPLSX was closed (somehow SFHYX escaped my radar) so I started a position in it's global cousin BGLSX/BGRSX. It has done pretty well and seems to be positioned to avoid huge draw downs.
All of the other alternatives are reasonable, ie more cash, options etc, although the performance of FPACX has not inspired confidence in the last three years ( it lost more than the SP500) in Jan 2016, making me wonder what was involved.
One of the problems with mutual funds is you are investing in someone else's ideas about returns, safety and risk. Usually they are consistent, and reliable but not always. Of course the farther away from "bread and butter" diversification ( major asset classes, cash as ballast etc ) the more of a black box.
Certainly a portfolio with 30 to 50% cash will be significantly less volatile, but your returns will lower. There is a greater argument to made for cash with a 25 return now than a year ago
The key is 1) know what return you need and be sure you won't stick your neck out and get burned and 2) know exactly what you will do when a crunch comes and the market is down 20 % . If you can't stand the heat...