I'm not doing timing, and regardless, the arguable appeal of the RG_ set is that they are the opposite of megacap, being equal weighting of the SP500.
RPG wins over the last decade, while MGV lags even SP500. Interesting.
Over 5y it's RPV, with all the others bunched.
So maybe a timing strategy would be the way to go. If only we knew how to do that.
Over its last 4.5y, CAPE beats all.
For all these spans, the performance of the two MG_ is inferior.

FYI: (Click On Article title At Top Of Google Search) "A Different Perspective on Global Income"
As a teen, Nick Clay earned money painting landscapes and selling them to American tourists from a store in London’s Covent Garden. He toyed with going to art school but decided it would be more financially prudent to study economics and philosophy at the University of Leeds. Although economics helped him launch his investment career, critical thinking and logic are the basis for most of the work he does today.
Regards,
Ted
https://www.google.com/#q=A+Different+Perspective+on+Global+Income
M* Snapshot DEQAX:
http://www.morningstar.com/funds/XNAS/DEQAX/quote.html
Lipper Snapshot DEQAX:
http://www.marketwatch.com/investing/fund/deqax
DEQAX Ranks #36 In The (WS) Fund Category By U.S. News & World Report:
http://money.usnews.com/funds/mutual-funds/world-stock/dreyfus-global-equity-income-fund/deqax

It appears worthwhile to track RPG vs RPV vs SP500 over various intervals the last 11y, since the RP_ inception. (Growth wins over that span.)
Being equal-weight, they also beat the cited Vanguard ones over the 11y span.
I did not check shorter spans in detail, though it looks as though the Vanguard ones outperform for some and maybe most spans.
Then compare all with CAPE, the last 4.5y of its existence.

I take its CAPE portion to be simply rules-based, so not active the way my other actively managed funds are. I also wouldn't call CAPE black-box. The bond sauce, maybe.

Hi VintageFreak,
Thanks so much for your informative and direct comments. Your comments leave little uncertainty about your position on the matter. That.'s goodness.
I have read several articles from the Pension Partners organization. In general, I found that those articles offered sound albeit rather conventional investment advice. Since I consider myself an amateur investor I learn from most articles of that type.
Awhile ago, I did briefly consider the Pemsion Partners' fund offerings for inclusion in my portfolio. I quickly rejected the idea because of high costs and a limited performance record. Reviewing the current Morningstarr data on these funds makes me either a minor genius or just lucky. Lucky is the likely answer.
Those funds are a double barreled disaster with continuing high fees and poor performance.
But that doesn't mean their articles are worthless. It is not uncommon for folks to properly talk the talk, but fail to walk the walk. Execution and planning are two distinct functions. Good execution includes a timing component that escapes even the most intelligent investor. Investor returns are not a good measure of investor IQ.
So I will continue to read the Pension Partners articles while I continue to not invest in their mutual fund products. That's not totally wacky!
Thanks again for your contribution to this discussion.
Best Wishes

There is no way I'm going to be able to explain how to build regression models. What I tried to do was just offer the simplest model (100% CAPE + static bond return - static expenses).
I rattled off a few of the many simplifying assumptions inherent in this model. Since the model does not fit the actual performance figures, some of those assumptions must be wrong. One way to figure out which ones is to relax (weaken or remove) some of the assumptions and try fitting the resulting, more complex model to the data.
While it may look like you've got lots of data points to work with (each day's performance), there's lots of noise inherent in that data, especially since you've no real idea what's going on with the bond portion (more below). There are various standard filtering/smoothing techniques that can be tried to deal with this. The end result, while cleaner, would leave you with too sparse a data set to fit to most models. (Call that intuition from experience, I haven't worked the numbers.)
While DoubleLine may say that the bond portion has returned a fairly steady 2.87% annually, it's not clear whether that is net or gross, or what portion of the portfolio the bonds represent ("up to 100%"). One sees, e.g. at least 7% of the fund in cash (so add that to the model). One doesn't even need M* to see the cash. In the latest (semi) annual report, the fund had 7.8% invested in three MMFs (Blackrock Liquidity FedFund, Fidelity Institutional MM, Morgan Stanley Institutional).
Nor is the bond return all that steady. In that same semiannual report, the six month contribution of the bond portion is reported to be 2.3% (not annualized). Annualized, that's 4.65%, a far cry from 2.87%. How likely is it that they're fudging 2.87%? I'm sure that this is a reasonably accurate number. It's the "steady" part that's dubious. Not from a 100,000 foot level, i.e. the bond returns are not bouncing around like some EM bond funds. But it's hardly constant, certainly not close enough to build a model around that assumption.
Personally, I'm comfortable with my prior posts - that the fund should approximate CAPE (for better or worse; I didn't comment on how that might behave) less overhead (leveraging costs, management costs, administrative costs, trading costs, clawback costs) plus bond portfolio returns (as much or as little a black box as one regards all of DoubleLine's bond funds).
Read the fund reports - they give the contributions from the CAPE side and the bond side. Add these numbers, subtract the fund's ER, subtract a bit more for the stuff that isn't reflected in the ER, and you get the total return of the fund. That much is easy to confirm.

@davidrmoran
Here is a similar chart link to the one I posted, but this is for a 124 day/6 month time frame starting at the end of October, 2013.
Under the graphic, you will find a "slider" with the number"124 days". Place and hold the pointer/cursor (onto the 124 days area) with whatever electronic device you're using to "drag" this 6 month time frame to the right to view whatever 6 month time frame you choose to review. Hopefully, this graphic may help visualize the relationships of returns for CAPE, SPY and DSEEX.
Just another way to view, eh? My brain reacts positively to this type of display.
Agreed that this type of study is important to help one understand and "see" an investment path; and especially when it may affect a large portion of one's investment portfolio.
Hope this helps with your study.
http://stockcharts.com/freecharts/perf.php?CAPE,SPY,DSEEX&l=0&r=123&O=011000
Regards,
Catch

Any index is a portfolio of stocks, selected by using some rules. I am wondering what is so special about S&P 500 index, that it is very difficult to beat its performance. It seems to me that, at least theoretically, it is possible to create another index that consistently beats S&P 500. One example is CAPE index that showed outperformance for the last 15 years. Probably some smart ETF try to accomplish that, but I am not sure whether they are successful.

@catch22
I already posted that my curiosity is for worst cases and dip intervals and how it compares with better-understood entities. You might even say known-stabler entities, depending on how one sees SP500 vol and general bond vol.
We all can see how it has done over time the last 3.5y, yes.
Maybe not the best period for comparison, a bull market, but it's all there is.
I have read (from others' posts here) that CAPE has been seriously backtested.
@msf
>> If you assume that the fund has 100% exposure to CAPE
a safe assumption, right?
>> impossible to figure all of them without a lot more data points to work with
Well, for this timespan it is a fair number of datapoints, a dozen or more market gyrations, as that phrase goes. And it's all there is to look at; I did not leave anything out.
So au fond I am not seeing that it has any more dynamic range and slope steepness than conventional investments. I do not see how M* calculates its downside capture figure. I do not see how the funds' evidently successful and exact derivatives' deployment really has much to do with its potential problems.
>> equity exposure is less than 100% (and possibly varying),
how likely is this, given goal of tracking CAPE?
>> or the bond return isn't as stable as Doubleline said,
and how likely is it they are fudging that?
Obvs all I am trying here is to address the 'if it sounds too good to be true it must be yada yada '. DSENX / DSEEX have consistently and seriously outperformed both SP500 and CAPE, and use a recipe that simply appears too good to be true. That's all. I ain't complaining. With more than half my nut in it, I am trying to be wary and plan in advance.
I figured this place of all places might be able to discuss worst cases vs, and potential worse situations than, some conventional and comprehensible concoction of LV blend + broad bonds.

@davidrmoran
This linked chart is CAPE and SPY and DSEEX back to October 2013.
Total returns for this period are:
CAPE = 61.9%
SPY = 44.7%
DSEEX = 70.4%
What else are you attempting to compare?
http://stockcharts.com/freecharts/perf.php?CAPE,SPY,DSEEX&n=870&O=011000

I didn't try to analyze this too much because, as you noted, there are only a few data points. There are a lot of variables - how the bond portion moves, the overhead of the leverage (the cash payments that need to be made on the swaps), to what extent (0-100%) the fund has exposure on the CAPE side and on the bond side.
Trying to infer all these values is likely going to overfit the data - in plain English, tell you nothing. It's like trying to solve for two variables with one equation (x + y = 10). You can come up with any number of solutions that "work", but you don't know what the real values are.
The problem is made worse, again as you noted, by having little downside data.
FWIW, Doubleline claims that the bond side returns have been fairly steady, at 2.87%, according to their Feb 7th webcast summary.
If you assume that the fund has 100% exposure to CAPE, and a constant annual leverage cost of N%, then the return for a given month should be:
CAPE (mo) + 2.87%/12 - N%/12
I don't think this fits that well. So either the leverage cost is changing (given fairly stable interest rates, that's not where I'd look), or the equity exposure is less than 100% (and possibly varying), or the bond return isn't as stable as Doubleline said, or ...
You begin to see what all the variables are and why it's impossible to figure all of them without a lot more data points to work with.

Okay, for all valleys from mid-2015 on to the present, the performance and tracking of DSENX are as above: usually better than CAPE, a little, occasionally worse, a little, while always the same as or better than SP500. EXCEPT for October and November of last year, when performance consistently was marginally worse than CAPE and also worse than or equal to SP500.
All of this investigation is of growth of $10k.

It's 55% of my entire investment net.
To some degree I understand on paper what it does. What I am still trying to get my mind around are worst-case scenarios and how it would compare with some combo of conventional LV and broad bonds. The leverage explanations are interesting but the msf conclusion
>> think this as a 2x leveraged fund.
and the downside capture ratios that M* lists are confusing to me in terms of its actual performance.
I have begun analysis of every 2-week or longer dip since inception as compared w/ CAPE and w/ SP500. I am through 2014 and into the beginning of 2015, with the more recent years tk.
Thus far all that I see, from a sample of seven such dips, is as follows:
- no delta to speak of, though leveler (smoother) performance than SP500
- smooth outperformance, small, marginal
- smooth underperformance, small, marginal (only one of these valleys thus far)
- first one and then the other, smooth underperformance followed by smooth outperformance, with the result, at the end of the recovery point, higher than CAPE, which is higher than SP500.
Now, since its inception, 4.5y ago, it is true that we have not had long or deep dips ("drawdowns"), so this investigation of mine may not speak to what one can comparatively anticipate in a plummet of length. But thus far I see no increase in volatility, and depth or speed of drop (insofar as one can tell from M* data).
Maybe it would be the case that during a bad set of months and years it would be better to hold TWEIX [or insert your favored broad index here] with some mysterious bond portion.
But I ain't seein' it, and thus far I ain't finding it either.
Will report further results later, for dips the last two years.

Assuming that Doubleline bond funds behave similarly to DODIX (far from a sure bet, they're more like black boxes), the difference between a 50/50 combo of TWEIX (or CAPE) and DODIX would be due primarily to leverage.
Effectively, $100 of DSENX buys you the movement of $100 of TWEIX and $100 of movement in DODIX. So when both are doing well, you add the two and do better. (BTW, I tried combining CAPE and various Doubleline bond funds to find a Doubleline bond fund that approximated the bond portion of DSENX, but none matched well on a year by year basis).
Likewise, when both TWEIX and DODIX are doing poorly, you add their returns and that's more or less what you'd expect to get from this fund. Suppose TWEIX dropped 20% and DODIX dropped 10%. Your $100 investment in DESNX would move like $100 in TWEIX (dropping $20) and also move like $100 in DODIX (dropping $10).
Because of 100% exposure to each of the funds (thanks to leverage) you'd lose $30, or 30% of your investment. 20% (TWEIX) + 10% (DODIX). If it helps, just think this as a 2x leveraged fund.
Of course there's always slop when leveraging, and the exposure is only up to 100% on the equity and fixed income sides. So this is just a crude approximation. But I think it shows how this fund can amplify simultaneous drops in equity and fixed income.
What you hope is that equity and bonds are out of sync, so that you get some protection. Since equity and bonds are closer to uncorrelated than negatively correlated, sometimes you get that protection, sometimes you don't.

Obviously there has been a lot of discussion regarding this fund and rightfully so given its performance, albeit just 3 years.
I am a recent investor in DSEEX/DSENX and like the price action vs the S&P500. I have read on this and other forums that some feel this fund is NOT a "core" holding unlike an S&P500 idx fund.
Maybe this comparision is not exactly "apples-to-apples" but it does seem to be a fair correlation.
What are your thoughts on this fund as a "core" holding and what percentage-range of your stock holdings should a fund like DSEEX be?
Of course, I recognize everybody's risk tolerance and objectives are different. I am just looking for some guidance and opinions; I am still in the growth stage.
Thank you for any input and thoughts,
Matt

I tend to agree with MikeM that the "black box" thesis is overblown, though with different details.
If you look at DSENX's portfolio, it has full exposure to the Schiller CAPE US sector index by buying total return equity swaps on the index. If you're spooked by all derivatives (including options like covered calls), then by all means stay away. As far as derivatives go, equity swaps seem pretty tame, especially as the counterparty can hedge away the equity risk on its side.
Basically, DSENX pays Barclays and BNP Paribas (two huge investment banks) a large enough cash stream to cover the cost of borrowing money to buy the index equities (should they choose to hedge). The banks can make a profit on their ability to actually raise that money at lower cost, on lending the securities, etc. In exchange for that cash stream, these banks pay DSENX the total return on those equities. (If the portfolio loses money, DSENX has to cover the loss). Alternatively, the banks can use this to reduce their exposure to equities they already have in their portfolio, while simultaneously pocketing that cash stream.
Pretty basic stuff as far as derivatives go. Since DSENX has to put up virtually $0 cash for its equity exposure, it can simultaneously be 100% long in bonds. It uses some of the fixed income to pay the cash stream to the banks, and holds the rest as profits for the fund's investors.
Therein lie the risks. The first risk is in the fact that this is a highly leveraged fund. Not in the traditional sense of investing, say 150% in the market by borrowing, but by investing 100% in equities and 100% in bonds. The prospectus even says this, emphatically (in italics) and explicitly:
The Fund uses investment leverage in seeking to provide both the Index return and the return on a portfolio of debt securities; it is likely that the Fund will have simultaneous exposures both to the Index and to debt securities, in each case in an amount potentially up to the value of the Fund’s assets.
Fidelity recognizes this, going so far as to require you to sign a declaration form before it allows you to invest in DSENX. You have to state that you're a sophisticated investor, that you know what you're doing, that you can afford losing 100% of your investment, etc.
The second risk is with Doubleline's style of bond investing. IMHO that's where the black box is. I can't tell you what's going on in their bond funds any more than I can tell you what PIMCO is doing. If you want to trust Gundlach with bonds that's fine, you're buying into his black box.
What I normally expect from this kind of strategy is 100% exposure to the index being tracked, plus a small alpha from a conservatively managed bond portfolio. But what this fund is doing is investing aggressively on the bond side. Hence the outsized returns since inception, a period when both equities and bonds have done well.
Unfortunately, if you buy into the CAPE sector index thesis, there's not a "safe" vehicle to get exposure. You've got this fund which has the risks above, and you have CAPE, which as an ETN has single creditor risk. (You risk your principal if an ETN defaults; you risk only your profits if a total return swap counterparty defaults.)

I'm not really following the "black box" concept being applied to DSENX. It's pretty straight forward it invest in the S&P 500 sectors deemed to have the most value and along with that a fixed income allotment that are swaps and/or derivatives. Heck, most PIMCO funds do that and possibly many other of your favorite fund families. I may not understand the exact formula for DSENX, but I can see the result over the past year+ that I've owned it. Apparently the concept is not for everyone, but that's ok by me. I'm good until the day it doesn't out-perform.
That said, I wouldn't touch the European version now. It would need some kind of track record for me. We can call it 'the same' and "should" have the same edge as the domestic version of CAPE if we want, but prove it first is my philosophy to any brand new fund.

I see @Charles's points. Other recent threads or at least posts speak of ETFs that "change stripes" or purport to follow an index no one has ever heard of. The same could be said of DSENX and DLEUX. Are these funds the equivalent of what in my field used to be called "the latest crazy idea from France"? Needless to say, France has declined in more ways than one and it certainly is not generating any new intellectual fervor. Marine Le Pen is a throwback to populist movements that have often shaken France. Will the CAPE/Schiller craze prove to be no more than the latest crazy idea from Wall Street?
As for investments I don't understand, which seem to be the brain children of financial engineering, I'm leery but fascinated. As for genetic engineering, I'm generally OK but my wife bombards me with links to anti-GMO sites and won't allow GMO food in the house. I mention this because I own DSENX even though I can't fathom the managers' methods and I think GMO products improve the world, all the while not understanding the science. What's a humanities guy to do in this world? Go around the neighborhood and buy shares in businesses I like à la Peter Lynch? I can hear the answer already: buy index funds and keep your nutty ideas to yourself (LOL).

Buy Cape!!

>> I'd prefer not to pay more than $10K for $10K worth of securities.
haha, there goes the system. I'd prefer not to pay any markup ever for anything, cars, groceries, furniture. Actually no, I don't mind; I know that's how the service gets provided. Everything in life should be like VFIAX.
CAPE is an etn. But to switch fruit, since it outperforms VFIAX so consistently, from inception and every interval since, again, who cares?