DoubleLine Shiller Enhanced CAPE
U.S. bond index fund · tracks Shiller Barclays CAPE US Sector TR USD Index
As of its 2026 Q2 report, DoubleLine Shiller Enhanced CAPE held 736 positions with $2.73B in net assets. Its ten largest holdings made up 24.9% of the fund. The DSEEX share class costs 0.56% a year. Over the 12 months to May 2026, DSEEX returned 4.8%, with dividends reinvested. In 2026 Q2 it added 141 new positions and exited 183.
The Funds investment objective is to seek total return which exceeds the total return of its benchmark index over a full market cycle.
The fund seeks to track the Shiller Barclays CAPE US Sector TR USD Index, which selects four undervalued U.S. sectors monthly using a cyclically adjusted price-earnings ratio and momentum screening, using derivatives to gain notional exposure while investing an amount equal to its net assets in debt securities, creating approximately 200% total leverage. Day-to-day management of the debt portfolio is delegated to DoubleLine Capital LP. The fund may lose money on both its debt holdings and its index exposure simultaneously, and if derivatives become unavailable, the fund may invest directly in sector ETFs, reducing assets available for debt securities and potentially limiting its ability to pursue its full strategy.
What you own
| Company | Weight | Value | Shares |
|---|---|---|---|
UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 0.75% · due 2028-01-31 | 7.30% | $199.10M | — |
UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 3.50% · due 2027-10-31 | 6.72% | $183.42M | — |
UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 0.88% · due 2030-11-15 | 3.57% | $97.27M | — |
UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 0.13% · due 2027-04-15 | 1.22% | $33.19M | — |
UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 0.63% · due 2027-03-31 | 1.12% | $30.57M | — |
UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 1.63% · due 2027-10-15 | 1.05% | $28.65M | — |
UNITED STATES OF AMERICA - BUREAU OF THE PUBLIC DEBT 2.38% · due 2027-01-15 | 1.04% | $28.50M | — |
OCTAGON INVESTMENT PARTNERS 20-R LTD 5.04% floating · due 2037-08-12 | 1.01% | $27.56M | — |
DGCXXDREYFUS GOVERNMENT CASH MANAGEMENT FUNDS | 0.94% | $25.65M | — |
SOUND POINT CLO XXIII LTD 5.10% floating · due 2034-07-17 | 0.92% | $25.02M | — |
The 200 largest of 736 holdings, with the share counts as filed, open with a free account.
What the fund is made of
Percentages are of fund net assets. Rounding, liabilities and short positions can make totals differ from 100%.
| Securitized | 56.63% |
| Bonds | 41.57% |
| Cash & short-term | 2.77% |
| Loans | 2.16% |
| Derivatives | -1.51% |
The outer band is exposure held short — written against the portfolio rather than part of it, which is why it sits outside the ring and why the two are never netted into one figure.
Derivatives are shown at market value, not notional exposure.
How it has done
DSEEX share class · total returns with dividends reinvested
Volatility over the last 12 months: 12.69%. Past returns are a record, not a forecast.
Jun 2026 has been filed since the trailing figures were struck, so it is not in the table above or the curve — every figure here shares one cut-off, which is what makes them comparable with other funds.
The 4 share classes hold the same portfolio
| Share class | Expense ratio | 1 year | 3 years | 5 years | Worst fall |
|---|---|---|---|---|---|
| 0.56% | +4.78% | +44.91% | +30.40% | -9.21% | |
| 0.81% | +4.57% | +43.85% | +28.81% | -9.26% | |
| 0.50% | +4.84% | +45.29% | +30.80% | -9.18% | |
| 0.62% | — | — | — | — |
Fees & fund details
DoubleLine Shiller Enhanced CAPE is a U.S. bond index fund that tracks the Shiller Barclays CAPE US Sector TR USD Index.
- Asset class
- Bonds
- Region
- United States
- Management
- Index (passive)
- Fund type
- Open-end fund
- Credit quality
- Investment grade
- Rate sensitivity
- Short duration
- Expense ratio, by class
- 0.50% – 0.81%· DSEEX 0.56%
- Portfolio turnover
- 85.00% a year · as of 2025 Q4
Turnover is how much of the portfolio was replaced in a year.
Classified from what the fund holds, not from its name · 2026 Q2. The summary is a paraphrase of the prospectus; the objective is verbatim.
What changed this quarter
Positions that entered or left the fund since its previous filing. Positions that were only resized are not listed.
141 new· the largest 8
183 exited· the largest 8
Debt profile
What this fund holds — value-weighted across its bond and securitized long positions · as of 2026-06-30
Share of the fund's debt by how its coupon behaves — the fact that decides whether a rate move reaches this portfolio at all.
| Fixed rate | 55.8% |
| Floating rate | 44.1% |
Share of the fund's debt value in each maturity band, shortest first.
| <1y | 4.4% |
| 1-3y | 21.5% |
| 3-5y | 17.2% |
| 5-10y | 11.2% |
| 10y+ | 45.7% |
| Unknown | 0.0% |
These three overlap — one holding can be in arrears and paying in kind at once — so they are shown separately and never summed.
Risk profile
Interest-rate and credit-spread sensitivity, both in years · as of 2026Q2
More of this fund’s sensitivity sits in credit spreads than in interest rates — a rate rally that comes with a credit selloff works against it.
Where the loss would come from. The two shocks are the same size, so this is the balance of the fund's two sensitivities rather than a bet on one moving more.
| Credit spreads | 58% |
| Interest rates | 42% |
Filers report the impact of a 0.01% move only, so the total is our own scaling of that one number and overstates the loss on most bonds — read it as approximate, never as precise. The two sensitivities overlap rather than add up: they measure the same positions against different shocks, which is why the durations above are shown side by side and never summed.
Share of the fund's spread duration carried by each credit tier.
| Investment grade | +1.99 yr |
| High yield | +0.31 yr |
Share of duration at each point, shortest first. A positive figure loses value when spreads widen; a negative one offsets — a credit hedge.
| 3 mo | 0.02 yr | 1% |
| 1 yr | 0.63 yr | 37% |
| 5 yr | 0.93 yr | 55% |
| 10 yr | 0.12 yr | 7% |
| 30 yr | 0.00 yr | 0% |
| 3 mo | 0.02 yr | 1% |
| 1 yr | 0.56 yr | 24% |
| 5 yr | 1.51 yr | 65% |
| 10 yr | 0.21 yr | 9% |
| 30 yr | 0.00 yr | 0% |
The two bands measure the same positions against different shocks and do not add — a Treasury carries rate duration and no spread duration, a floating-rate credit the reverse. Rate tenors are also summed across every currency the fund discloses.
Show the numbers
| Tenor | Rate yrs | IG yrs | HY yrs | IG $/bp | HY $/bp |
|---|---|---|---|---|---|
| 3 mo | +0.02 | +0.02 | +0.00 | $4.7k | $593 |
| 1 yr | +0.63 | +0.52 | +0.04 | $141.9k | $12.0k |
| 5 yr | +0.93 | +1.33 | +0.18 | $362.8k | $48.9k |
| 10 yr | +0.12 | +0.13 | +0.08 | $34.8k | $22.8k |
| 30 yr | +0.00 | +0.00 | +0.00 | $0 | $107 |
Dollar change per 1bp of spread movement, as filed and sign-anchored. A blank cell was not filed; a zero was.
Understand how this fund fits with the rest.
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