tnx, v interesting
Most of my own large DSENX / DSEEX holding is in Roths, but not so for my kids.
Would probably be worth crunching the actual numbers for them vs TWEIX, PRBLX, also div etfs like NOBL, SPHD, DVY, etc.
Still can't discern whether CAPE etn risk is actual (may be a contradiction in terms).

@davidmoran: CAPE is not hard to trade if you are willing to pay/accept the bid/offer. If you count your pennies, however, it may be hard to get the price you think is fair. Low volume seems to create the wide spread.

@msf
>> DSENX or any of its ilk belongs strictly in a tax-sheltered account. Holding bonds in lieu of equity, their tax efficiency is horrendous.
Fido shows before- vs after-tax delta to be no worse than LV category (to the contrary, in fact), unless I misread. Incorrect?
See
https://fundresearch.fidelity.com/mutual-funds/summary/258620814
PSTKX slightly lags SP500 since Nov 2013 while DSENX outperforms handily.
Before 4y ago, though, PSTKX outperforms, as you noted. I wonder why the crossing for the last 4y. You anticipate that that outperformance should resume, sounds like.
Finally, is CAPE etn worry, and trading difficulty, actual?

@TSP_Transfer: thanks for posting the recap of the February webcast. The last line of that pdf reads, "DoubleLine believes the Fund would be a compliment to other large-cap value strategies." Whether it's a compliment or a complement, only the grammarian curmudgeons will say. These funds are "outliers" for me because I hardly grasp what they try to do and I certainly couldn't do it myself or buy another fund that appears to do it. Do agree that it's a large value strategy and I have replaced some LCV funds with DSENX and CAPE in my actively managed portfolio. CAPE is hard to trade, similar to some CEFs. Limit orders will usually be filled late in the trading day when the bid-ask spread narrows. May not be for everyone.

DSENX seems like the better deal at this time- beating the CAPE index since inception, eliminates dealing with bid/ask spreads and paying brokerage commissions every time a purchase is made. The liquidity with the CAPE ETN is also an issue at this time, this looks to be a very thinly traded fund.

So far, DSENX has done what it has promised. It is one of a class of funds typically offered by bond houses (e.g. MetWest, PIMCO, DoubleLine) where the sponsor tries to apply its bond expertise to the equity market via derivatives.
Looking at a funds like PSTKX, it seems that it is possible to add some value above an index. PSTKX long term (15 years) has added about 40 basis pts/year. According to its prospectus, DSENX has added about half that (per year) for its first 26 months of existence (through December 2015). It has done much better in 2016, though.
So the performance (relative to an index) may be sustainable, especially with a good bond fund manager. But there is risk in the technique, which can have short term blowups. In contrast, an ETN by design has no tracking risk (beyond bid/ask spread). But it does have credit risk (backed only by its sponsor, not with any real securities in a portfolio).
I'm no fan of ETNs, so on that basis alone I'd take DSENX over CAPE. But that's me.
DSENX or any of its ilk belongs strictly in a tax-sheltered account. Holding bonds in lieu of equity, their tax efficiency is horrendous. In contrast, stock and bond ETNs are supposed to be extremely tax efficient (more so than ETFs). So that could tip the balance the other way in a taxable account.
Have I equivocated sufficiently? :-)

>> the fund has beaten this index also since inception, but by a much smaller margin,
Yeah, ~3.6% and ~4.1% (DSEEX) in toto since Nov '13 is the value the bond sauce has added, by my calculation. So is it worth it over CAPE?
Interesting they do not do the factsheet indexing right.

The fact sheet and prospectus both state that "The Fund’s investment objective is to seek total return which exceeds the total return of its benchmark index."
The fact sheet goes further to claim that the benchmark is the S&P 500. (In case there's any doubt, the benchmark returns it gives are S&P 500 performance figures.) But that's not the index the fund's designed to beat.
The prospectus states clearly: "The Fund seeks total return (capital appreciation and current income) in excess of the Shiller Barclays CAPE® US Sector TR USD Index (the “Index")."
This is important because it means that if one is comparing performance with the S&P 500, one is making the wrong comparison. The prospectus gives comparisons against both the S&P 500 and the CAPE® index. The fact sheet's omission of CAPE® index figures strikes me as downright deceptive.
Similarly, the webcast page shows the fund handily beating the S&P 500 since inception, but doesn't give performance figures for the CAPE® index that it is tracking. It is true that the fund has beaten this index also since inception, but by a much smaller margin, and the fund fell short in 2015.
Beating the true index that a fund is "enhancing" is what's hard. It's why AlphaTrak for example is just slightly ahead of its benchmark index (which really is the S&P 500 for that fund) over five years, while slightly behind over 10 and 15 years.
The whole thing strikes me as similar to corporations reporting adjusted EBITDA instead of GAAP. If you want objective facts and figures, you need to go to the standardized, legal documents.
http://www.zerohedge.com/news/2015-01-08/wsj-looks-non-gaap-earnings-horrified-what-it-finds

Here is a 2 page recap of a Feb. webcast DSENX. A good overview and explanation of the methodology used in the DSENX strategy.
Jeffrey Sherman – Shiller Enhanced CAPE® webcast titled
“A + B = C”
Tuesday, February 9th, 2016
http://doublelinefunds.com/pdf/2-9-16_Webcast_Recap.pdf
Latest fact sheet dated July 31.2016
http://www.doublelinefunds.com/wp-content/uploads/shiller-enhanced-cape-fact-sheet.pdf

Yes, the fund clearly utilizes derivatives to achieve its goals. It's spelled out on the Doubleline website:
http://www.doublelinefunds.com/wp-content/uploads/Shiller_Enhanced_CAPE_Sum_Pro.pdf

\\ Using a total return index swap to gain the exposure to [CAPE]
a swap is a derivative, it says here
and yes, 4

I bought DSENX earlier this year, and I and remember nothing about swaps and derivatives. Maybe I misunderstood objectives but basically the fund is a value fund investing in sector indexes that are at the time the 5 cheapest s&p500 sectors to invest in. It throws out the sector with the poorest momentum.
Fom the double Line website:
Strategy
The Shiller Enhanced CAPE® strategy offers exposure to the “cheapest sectors” of the large cap equity markets using an “Index Overlay” technique while the remaining assets are invested in a fixed income portfolio. Both segments of the portfolio offer a value play in their respective markets. The Barclays Shiller CAPE® US Sector Index strives to outperform the S&P 500 Index, while the fixed income side strives to outperform cash, thus offering one diversified value product with two unique source of possible value.
Philosophy
The Barclays Shiller CAPE® US Sector Index shifts the exposure to the “cheapest” sectors of the large cap equity market by using Dr. Robert Shiller’s CAPE® Ratio which seeks to assess longer term equity valuations by using an inflation adjusted earnings horizon that is 10 times longer than the traditional Price Earnings or P/E measure. The Relative CAPE® Ratio subdivides the S&P 500 into 10 sectors, eliminating the 5 with the highest relative CAPE® ratios, leaving what we believe are the 5 better value proposition sectors. Index methodology eliminates the one sector with the worst one-year momentum, to try and avoid the value trap.
Index Overlay Process
Using a total return index swap to gain the exposure to the Barclays Shiller CAPE® US Sector Index, the remaining assets are then invested into, what we believe to be, a lower-risk bond portfolio with the goal of trying to outperform cash. This provides a double-value proposition, where we believe we can add value to both sides of the portfolio.

AUGUST 12, 2016
U.S. Fund-Flows Report: Equity Mutual Funds Suffer Twenty-Second Consecutive Week Of Outflows
by Patrick Keon lipperalpha.financial
Thomson Reuters Lipper’s fund macro-groups (including both mutual funds and exchange-traded funds [ETFs]) experienced net outflows just shy of $800 million for the fund-flows week ended Wednesday, August 10. Equity funds (-$3.8 billion) and money market funds (-$3.0 billion) were responsible for the net outflows, while taxable bond funds (+$5.2 billion) and municipal bond funds (+$871 million) each took in net new money.
Equity mutual funds continued their slump. The group suffered its twenty-second consecutive week of net outflows (-$4.4 billion this past week).
The inflows for taxable bond funds went mostly into ETFs (+$3.5 billion net), and mutual funds benefited from $1.7 billion of net new money. Within the ETF universe high-yield had positive funds flow (+$1.3 billion) and high-yield mutual funds took in $391 million of net new money.
The streak for municipal bond funds hit 45 weeks of positive flows, the third longest of all time,
http://lipperalpha.financial.thomsonreuters.com/2016/08/u-s-fund-flows-report-equity-mutual-funds-suffer-twenty-second-consecutive-week-of-outflows/
AUGUST 12, 2016
Fidelity Equity Funds Also Feel the Pain
by Patrick Keon
Equity mutual funds are in the midst of their worst run since the global financial crisis. The group has seen money leave its coffers for 22 consecutive weeks—to the tune of $87 billion of net outflows.
One of the name players in the mutual fund industry, Fidelity Management & Research Company, has not been able to escape the investor sentiment; their equity funds have shed $22.5 billion for the year to date. If this pace continues, Fidelity equity funds will record their largest annual net outflows since Thomson Reuters Lipper began tracking fund flows data in 1992,
The negative flows have been fairly widespread for the year to date, with 11 funds having net outflows of greater than one billion dollars each. Ten of these funds are diversified equity funds, while one is a sector equity fund (Fidelity Select Biotechnology Portfolio, -$1.5 billion). In the diversified equity fund group nine of the ten are domestic equity funds; the one nondomestic equity fund is Fidelity Diversified International Fund, which has shed $1.9 billion.
The largest net outflows for the year so far among Fidelity’s equity funds belong to Fidelity Contrafund (-$3.7 billion), Fidelity Growth Company Fund (-$2.9 billion), and Fidelity Strategic Advisers Core Fund (-$2.6 billion). These are all actively managed funds, with the Contrafund being run by William Danoff, Steven Rymer in charge of the Growth Company Fund, and John Stone and Niall Devitt leading the Strategic Advisors Core Fund. Interestingly, the largest net inflows for the year to date for Fidelity equity funds belongs to Fidelity 500 Index Fund (+$3.3 billion), offering ( more ) evidence that investors may prefer passively managed over actively managed funds for their U.S. equity fund investment choices.
http://lipperalpha.financial.thomsonreuters.com/2016/08/fidelity-equity-funds-also-feel-the-pain/

I have been in and out of Soviero's FLVCX, in a slump, though he is a wizard. Not sure what is being criteria'ed as alt. For RE I long ago switched from VNQ to FREAX.
@willmatt72, DSENX / DSEEX tracks etn CAPE w/ bond secret sauce. Algorithmically rotating LV, though you cannot tell that from the helpless M*. Snowball and msf and other smarties here (I think) have written cogently about it.

I own both DSENX and small positions in CAPE and GFMRX.

What does it own? Looks like mostly swaps?

I own both DSENX and small positions in CAPE and GFMRX.

PRSNX Global Multi-sector bonds. Monthly dividends is the reason. I'm still re-investing it all. If you want highly specialized, outlier stuff, look at Gundlach's Cape-Schiller thing. It's performing quite well, anyhow, I understand..... DSENX. Which one of us has invested in this one? I've forgotten. It's a frequent and trusted poster, though.

buy CAPE and let it cycle valuation for you

FYI: The DoubleLine Shiller Enhanced CAPE fund had a net inflow of $117.07 million in July, its largest ever.
Regards,
Ted
http://www.investmentnews.com/article/20160802/FREE/160809977?template=printart
M* Snapshot: DSENX:
http://www.morningstar.com/funds/XNAS/DSENX/quote.html
Lipper Snapshot DSENX:
http://www.marketwatch.com/investing/Fund/DSENX
DSENX Is Unranked In The (LCV) Fund Category By U.S. News & World Report:
http://money.usnews.com/funds/mutual-funds/large-value/doubleline-shiller-enhanced-cape/dsenx