I'm not confident the style dot means anything. I took sector etfs from a couple different companies and did an instant X-ray based on the sectors the fund currently holds. They all came out large blend and more on the growth side than value. I can't imagine any way the fund is on the border between small and mid cap ever, they'd have to be inverse market cap weighting the smallest X% of stocks in the sector or something crazy like that, and while I'm a little surprised at the growth leaning I guess I'd chalk it up to the difference between CAPE ratios and current statistics.

See
http://portfolios.morningstar.com/fund/summary?t=DSENX&region=usa&culture=en-US
Last year style was deemed LC b/w G and V, and this year MCV, deep value actually.
Is that because the lower SP500 holdings are typically 'smaller' companies?
M* category remains LV. Benchmark = Russell 1k Value.
fwiw, M* CAPE entry has almost no data. LV is category.

Andy, wouldn't you like to have lunch with her and CapeCod?

Ha! I think I'd prefer to be a fly on the wall - any closer, I could get buried by the fur flying ...

Andy, wouldn't you like to have lunch with her and CapeCod?

It would be very cool to see what CAPE held and when wrt being in and out of those 5

I'm more interested right now in timing overweighting small value. Using PVFIX as my barometer. If even PVFIX is going down, I'm not touching any other SV. While I will admit, like I've said before, small+energy is actually hitting PVFIX hard.
If it is one thing I've learnt it is to be patient. I did do some movement around S&P 500 in my IRAs. Overweighted international switching some money to target funds. Eliminated Mid Cap Value, and overweighted growth with TRP Inst LG Growth (symbol escapes me).
I have "Jennison Private Account" or some such fund. Thinking might be close to HACAX, but I don't like investing in funds without ticker.
In an IRA I'm overweighting using TRBCX. I still have some money in cash because my ANALysis says Mid/Small is rolling over. So not fully invested.
PS - 275 Pound New York ....WTF? Mail Chauvinist Pig OverTheHill (MCPO)? I really need to understand your Nick...

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.