Академический Документы
Профессиональный Документы
Культура Документы
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
July12,2016
FundOfferings
CoreFixedIncomeFund
FlexibleIncomeFund
RetailandInstitutionalClass
NoLoadMutualFund
RetailandInstitutionalClass
NoLoadMutualFund
Retail
Nshare
Ticker
MinInvestment
MinIRAInvestment
GrossExpenseRatio
DLFNX
$2,000
$500
0.75%
Inst.
Ishare
DBLFX
$100,000
$5,000
0.50%
Retail
Nshare
Ticker
MinInvestment
MinIRAInvestment
GrossExpenseRatio
NetExpenseRatio*
DLINX
$2,000
$500
1.60%
1.09%
Inst.
Ishare
DFLEX
$100,000
$5,000
1.35%
0.84%
TheFundsinvestmentobjectives,risks,chargesandexpensesmustbeconsideredcarefullybeforeinvesting.The
statutoryprospectusandsummaryprospectus(ifavailable)containsthisandotherimportantinformationaboutthe
Funds,anditmaybeobtainedbycalling1(877)3546311/1(877)DLINE11,orvisitingwww.doublelinefunds.com.
Readitcarefullybeforeinvesting.
Mutualfundinvestinginvolvesrisk.LossofPrincipalispossible.Investmentsindebtsecuritiestypicallydecreaseinvaluewheninterestratesrise.Thisriskisusuallygreaterforlongertermdebtsecurities.
Investmentsinlowerratedandnonratedsecuritiespresentagreaterriskoflosstoprincipalandinterestthanhigherratedsecurities.InvestmentsinAssetBackedandMortgageBackedsecuritiesinclude
additionalrisksthatinvestorsshouldbeawareofincludingcreditrisk,prepaymentrisk,possibleilliquidityanddefault,aswellasincreasesusceptibilitytoadverseeconomicdevelopments.Investmentsin
foreignsecuritiesmayinvolvepolitical,economicandcurrencyrisks,greatervolatilityanddifferencesinaccountingmethods. Theserisksaregreaterforinvestmentsinemergingmarkets.Inordertoachieve
itsinvestmentobjectives,theFundmayusecertaintypesofexchangetradedfundsorinvestmentderivatives.Derivativesinvolverisksdifferentfrom,andincertaincases,greaterthantheriskspresentedby
moretraditionalinvestments.Derivativesmayinvolvecertaincostsandriskssuchasliquidity,interestrate,market,credit,managementandtheriskthatapositioncouldnotbeclosedwhenmore
advantageous.Investinginderivativescouldlosemorethantheamountinvested.ETFinvestmentsinvolveadditionalriskssuchasthemarketpricetradingatadiscounttoitsnetassetvalue,anactive
secondarytradingmarketmaynotdeveloporbemaintainedortradingmaybehaltedbytheexchangeinwhichtheytrade,which mayimpactthefundsabilitytosellitsshares.Fundmayuseleveragewhich
maycausetheeffectofanincreaseordecreaseinthevalueoftheportfoliosecuritiestobemagnifiedandthefundtomore volatilethanifleveragewasnotused.TheFundmaymakeshortsalesofsecurities,
whichinvolvestheriskthatlossesmayexceedtheoriginalamountinvested.Investmentsinrealestatesecuritiesmayinvolvegreaterriskandvolatilityincludinggreaterexposuretoeconomicdownturnsand
changesinrealestatevalues,rents,propertytaxes,interestrates,taxandotherlaws.AREITssharepricemaydeclinebecauseofadversedevelopmentsaffectingtherealestateindustry.
Opinionsexpressedaresubjecttochangeatanytime,arenotforecastsandshouldnotbeconsideredinvestmentadvice.
DoubleLine FundsaredistributedbyQuasarDistributors,LLC.
*TheAdvisorhascontractuallyagreedtowaivefeesandreimburseexpensesthroughJuly31,2016.
WhiletheFundsarenoload,managementfeesandotherexpensesstillapply.Pleaserefertotheprospectusforfurtherdetails.
71216AssetAllocationWebcast1
Fundholdingsandsectorallocationsaresubjecttochangeandarenotrecommendationstobuyorsellanysecurity.
Performance
DoubleLineCoreFixedIncomeFund QuarterEndingJune30,2016
QuarterEnd
June30,2016
2Q
2016
YeartoDate
2016
Ishare
2.68%
Nshare
BarclaysU.S.
AggregateIndex
GrossExpenseRatio
SinceInception
Annualized
1Year
3Year
Annualized
5Year
Annualized
(6110to63016)
5.39%
4.89%
4.51%
5.17%
6.32%
2.62%
5.17%
4.63%
4.25%
4.89%
6.05%
2.21%
5.31%
6.00%
4.06%
3.76%
4.0%
IShare
NShare
IShare
NShare
0.50%
0.75%
GrossSEC30DayYield
3.01%
2.76%
NetSEC30DayYield*
3.03%
2.78%
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipal
valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current
performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe
obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.
BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe USinvestmentgradefixedrate
bondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajorsectors
aresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.
*IfaFundinvestedinanaffiliateFundsponsoredbytheAdviserduringtheperiodcoveredbythisreporttheAdviseragreed to notchargeamanagementfeeto
theFundinanamountequaltotheinvestmentadvisoryfeespaidbytheaffiliatedFundinrespectoftheFundsinvestmentintheaffiliatedfundtoavoidduplicate
chargeoftheinvestmentadvisoryfeestotheinvestors.
71216AssetAllocationWebcast2
Performance
DoubleLineFlexibleIncomeFund QuarterEndingJune30,2016
QuarterEnd
June 30,2016
2Q
2016
YeartoDate
2016
1Year
SinceInception
Annualized
(4714to 63016)
Ishare
2.22%
2.78%
0.73%
2.52%
Nshare
2.15%
2.76%
0.48%
2.28%
LIBORUSD3Month
0.16%
0.32%
0.48%
0.36%
IShare
NShare
GrossExpenseRatio
1.35%
1.60%
NetExpense Ratio
0.84%
1.09%
IShare
NShare
GrossSEC30DayYield
3.99%
3.74%
NetSEC30DayYield*
4.09%
3.84%
Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipal
valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current
performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe
obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
LondonInterbankOfferingRate(LIBOR)isanindicativeaverageinterestrateatwhichaselectionofbanksknownasthepanelbanksarepreparedtolendone
anotherunsecuredfundsontheLondonmoneymarket.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.
*IfaFundinvestedinanaffiliateFundsponsoredbytheAdviserduringtheperiodcoveredbythisreporttheAdviseragreed to notchargeamanagementfeetotheFundinan
amountequaltotheinvestmentadvisoryfeespaidbytheaffiliatedFundinrespectoftheFundsinvestmentintheaffiliatedfundtoavoidduplicatechargeoftheinvestment
advisoryfeestotheinvestors.
71216AssetAllocationWebcast3
UpcomingWebcastAnnouncements
JeffreyGundlach September8,2016
TotalReturnBondFundWebcast
Gotowww.doublelinefunds.com,HomepageunderEvents
2016WebcastScheduletoregister
1:15pmPDT/4:15pmEDT
JeffreySherman September27,2016
ShillerEnhancedCAPEWebcast
Gotowww.doublelinefunds.com,HomepageunderEvents
2016WebcastScheduletoregister
1:15pmPDT/4:15pmEDT
ToReceivePresentationSlides:
Youcanemail
fundinfo@doubleline.com
71216AssetAllocationWebcast4
TABI
GlobalOverview
71216AssetAllocationWebcast5
AssetAllocationWebcast
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
July12,2016
BankofAmerica(20052009)vs.DeutscheBank(2013present)
Source:Bloomberg;DoubleLine
BACUSEquity=BankofAmericastockpricefromNovember15,2005throughNovember19,2009.DBUSEquity=DeutscheBankstockfuturesprice732013through772017.
TheDoubleLine CoreFixedIncomeFundandtheDoubleLine FlexibleIncomeFundown0%ofBankofAmericacommonstockorDeutscheBankcommonstockorfuturesasofJuly12,2016.
71216AssetAllocationWebcast7
0%
12/17/2015
12/23/2015
12/29/2015
1/4/2016
1/8/2016
1/14/2016
1/20/2016
1/26/2016
2/1/2016
2/5/2016
2/11/2016
2/17/2016
2/23/2016
2/29/2016
3/4/2016
3/10/2016
3/16/2016
3/22/2016
3/28/2016
4/1/2016
4/7/2016
4/13/2016
4/19/2016
4/25/2016
4/29/2016
5/5/2016
5/11/2016
5/17/2016
5/23/2016
5/27/2016
6/2/2016
6/8/2016
6/14/2016
6/20/2016
6/24/2016
6/30/2016
7/6/2016
ProbabilityofAnotherHikebyMarchandJune2016
December17,2015throughJuly8,2016
ProbabilityofAnotherHikebyJul,Sep,andDec2016andFeb2017
100%
90%
80%
70%
60%
50%
Jul16
40%
Sep16
Dec16
30%
Feb17
20%
10%
Source:Bloomberg;DoubleLine
71216AssetAllocationWebcast8
MarketImpliedCentralBankExpectationsOverview
Asof7/8/16
Source:DoubleLine;MorganStanley
Bps=basispoints.
71216AssetAllocationWebcast9
PriceStats U.S.CPI(YoY%)
July26,2012throughJuly5,2016
Source:DoubleLine,Bianco,Bloomberg
CPI=ConsumerPriceindexmeasurestheweightedaveragepricesofthebasketofconsumergoodsandservices.YoY =yearoveryear.Youcannotinvestdirectlyinanindex
71216AssetAllocationWebcast10
U.S.DollarIndexSpot
December31,2007throughJuly11,2016
Source:BloombergFinancialServices,DoubleLineCapitalLP
DXY=DXYistheUSDollarIndex(USDX)indicatesthegeneralvalueoftheUSdollar.AverageexchangeratesbetweentheUSdollarandsixmajorworldcurrencies.Aninvestmentcannotbemadedirectlyinan
index.
71216AssetAllocationWebcast11
KansasCityFedLaborMarketConditionsMomentumIndex
December31,1991throughJuly8,2016
Source:Bloomberg,DoubleLine reportedmonthlyasofMay31,2016
TheKansasCityFedLaborMarketConditionsIndicators(LMCI)aremonthlymeasuresoflabormarketconditionsbasedon24labormarketvariables.Apositivevalueindicatesthatlabormarket
conditionsareabovetheirlongrunaverage,whileanegativevaluesignifiesthatlabormarketconditionsarebelowtheirlongrunaverage.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast12
U.S.ConferenceBoardLeadingEconomicIndicator
June30,1986throughJuly8,2016
Source:Bloomberg,DoubleLine reportedquarterlyasof3312016
ThetencomponentsofTheConferenceBoardofLeadingEconomicIndexfortheU.S.include:averageweeklyhoursmanufacturing,averageweeklyinitialclaimsforunemploymentinsurance,manufacturers
neworders(consumergoodsandmaterials),ISMIndexofNewOrders,Manufacturers'neworders(nondefensecapitalgoodsexcludingaircraftorders),Buildingpermitsfornewprivatehousingunits,Stock
prices(500stocks),LeadingCreditIndex,Interestratespreads(10yr treasurybondslessFedFunds),andaverageconsumerexpectationsforbusinessconditions.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast13
RecessionIndicator:
U.S.UnemploymentRateandthe12MonthMovingAverage
March31,1949toJuly8,2016
Source:AtlantaFed,Bloomberg,DoubleLine reportedquarterlyasof3312016
USUnemploymentRate(USURTOT)=U3U.S.Unemploymentratetotalinlaborforceseasonallyadjustedtracksthenumberofunemployedpersonsasapercentageofthelaborforce.Thesefigures
71216AssetAllocationWebcast14
generallycomefromhouseholdlaborforcesurvey.SMAVG=12monthmovingaverage.Youcannotinvestdirectlyinanindex.
RecessionIndicator:
U.S.UnemploymentRateandthe3YearMovingAverage
March31,1949toJuly8,2016
Source:AtlantaFed,Bloomberg,DoubleLine reportedquarterlyasof3/31/16.
USUnemploymentRate(USURTOT)=U3U.S.Unemploymentratetotalinlaborforceseasonallyadjustedtracksthenumberofunemployedpersonsasapercentageofthelaborforce.Thesefigures
generallycomefromhouseholdlaborforcesurvey.SMAVG=12monthmovingaverage.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast15
U.S.NominalGDP(YoY)andRecessions
January1,1946throughJuly8,2016
Source:Bloomberg,DoubleLine reportedquarterlyasof3/31/2016.
GDP=GrossDomesticProductistheamountofgoodsandservicesproducedwithinagivencountry.YoY =yearoveryear.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast16
CommodityPrices
July7,2006toJuly11,2016
Source:DoubleLine,Bloomberg
CRY=Thompson/Rueters CRBExcessReturnIndexisanarithmeticaverageofcommodityfuturesprocesswithmonthlyrebalancing.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast17
S&P500EarningsExpectations
September30,2010toJune30,2016
S&P500=Standard&Poors500indexisbasedonthemarketcapitalizationsof500largecompanieslistedontheNewYorkStock ExchangeorNASDAQ.Theyarechosenformarketsize,liquidityand
industrygroupingsamongotherfactors.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast18
TABII
FixedIncomeOverview
71216AssetAllocationWebcast19
BofA/MerrillFixedIncomeIndexReturns
Grey=Year2015
Blue=YearToDate2016
Convertibles(VOSO)
HighYield(JOAO)
1.15%
2.57%
4.55%
0.63%
InternationalEmerging(IGOV)
Corporate(COAO)
11.48%
12.82%
0.63%
InternationalDeveloped(NOGO)
Mortgages(MOAO)
Government(G0A0)
DataSource:BofA/MerrillLynchIndicesthroughyearendDecember31,2015andJuly12,2016fortherespectiveyearsindicated.
PleaseseetheAppendixforindexdefinitions.Aninvestmentcannotbemadedirectlyinanindex.
8.88%
1.09%
8.20%
1.46%
3.21%
0.84%
6.06%
71216AssetAllocationWebcast20
BofA/MerrillFixedIncomeIndexReturns
Grey=Year2015
Blue=YearToDate2016
15.01%
CCCRatedHighYield(JOA3)
BBRatedHighYieldCredit(JOA1)
BRatedHighYield(JOA2)
BBBRatedCredit(COA4)
ARatedCredit(COA3)
AAARatedCredit(COA1)
20.49%
1.04%
9.97%
5.08%
10.51%
2.19%
10.23%
0.62%
7.89%
0.57%
9.56%
71216AssetAllocationWebcast21
U.S.2YearTreasury
July13,2010throughJuly11,2016
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT02=US2YearTreasuryBond.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast22
U.S.5YearTreasury
July13,2010throughJuly11,2016
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT5=US5YearTreasuryBond.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast23
U.S.10YearTreasury
July13,2010throughJuly11,2016
1.39
1.35
On7816
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT10=US10YearTreasuryBond.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast24
U.S.30YearTreasury
July13,2010throughJuly11,2016
2.22
NewLow
Source:BloombergFinancialServices,DoubleLineCapitalLP
GT30=US30YearTreasuryBond.Youcannotinvestdirectlyinanindex.Pastperformanceisnoguaranteeoffutureresults.
71216AssetAllocationWebcast25
RelativeGrowthofMerrillMortgageIndexto
MerrillTreasuryIndex
1.15
RelativeGrowthRate
(December31,1985 July08,2016)
1.10
1.05
1.00
0.95
Trend
1SigmaRelativetoTrend
2SigmasRelativetoTrend
Mortgage/Treasury
0.90
DataSource:MerrillLynch(M0A0;GOQO)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast26
RelativeGrowthofMerrillCMBSIndexto
MerrillTreasuryIndex
1.50
1.40
RelativeGrowthRate
(December31,1997 July08,2016)
1.30
1.20
1.10
1.00
0.90
0.80
0.70
0.60
Trend
1SigmaRelativetoTrend
2SigmasRelativetoTrend
CMBS/Treasury
0.50
DataSource:MerrillLynch(CMA0;G0Q0)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast27
RelativeGrowthofMerrillCorporateIndexto
MerrillTreasuryIndex
1.40
RelativeGrowthRate
(December31,1985 July08,2016)
1.30
1.20
1.10
1.00
0.90
Trend
1SigmaRelativetoTrend
2SigmasRelativetoTrend
Corporate/Treasury
0.80
DataSource:MerrillLynch(C0A0;G0Q0)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast28
RelativeGrowthofMerrillHighYieldCashPayIndex
toMerrill15+YearTreasuriesIndex
1.30
RelativeGrowthRate
(December31,1985 July08,2016)
1.20
1.10
1.00
0.90
0.80
0.70
0.60
0.50
Trend
1SigmaRelativetoTrend
2SigmasRelativetoTrend
HighYield/Treasury
DataSource:MerrillLynch(J0A0;G802)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast29
JunkBonds
July13,2010toJuly11,2016
Source:DoubleLine,Bloomberg
JNK=SPDRBarclaysHighYieldBondETFinanexchangetradedincorporatedintheU.S.ItseeksinvestmentresultsthatcorrespondtothepriceandyieldoftheBarclaysHighYieldVeryLiquidBondIndex.
Pleaseseetheappendixforprospectuslink,description,expenses,etc.forJNK.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast30
RelativeGrowthofS&P/LSTALeveragedLoanIndex
toMerrillTreasury13YearIndex
1.50
1.40
RelativeGrowthRate
(January01,1999 July08,2016)
1.30
1.20
1.10
1.00
0.90
0.80
0.70
0.60
0.50
Trend
1SigmaRelativetoTrend
2SigmasRelativetoTrend
S&P/LASTLeveragedLoan/MerrillLynch13
DataSource:S&P/LSTA(SPBDAL);MerrillLynch(G102)PleaseseedefinitionsintheAppendix.Weeklydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast31
LeveragedLoansAveragePrice
July7,2015throughJuly8,2016
DataSource:Bloomberg.SPBDLLBIndex=S&P/LSTAUSLeveragedLoan100Indexisdesignedtoreflecttheperformanceofthelargestfacilitiesintheleveragedloanmarket.SPBDALBIndexisthe
S&P/LSTALeveragedLoanIndexpriceismarketvalueweightedindexdesignedtomeasuretheperformanceoftheU.S.leveragedloanmarketbaseduponmarketweightings,spreadsandinterest
payments.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast32
Dec15
Dec14
Dec13
Dec12
Dec11
Dec10
Dec09
Dec08
Dec07
Dec06
Dec05
Dec04
Dec03
Dec02
Dec01
Dec00
Dec99
Dec98
Dec97
Dec96
Dec95
Dec94
Dec93
Dec92
Dec91
Dec90
Dec89
Dec88
Dec87
Dec86
Dec85
Dec84
Dec83
Dec82
Dec81
USHighYieldDefaultRate
(December31,1981 May31,2016)
16.00%
14.00%
DistressedRate
60.00%
10.00%
50.00%
8.00%
40.00%
6.00%
30.00%
2.00%
0.00%
DistressedRate
(December31,1996 May31,2016)
U.S.SpeculativeGradeDefaultRateandDistressedRate
90.00%
USSpecGradeDefaultRate
80.00%
12.00%
70.00%
4.00%
20.00%
10.00%
0.00%
DataSource:Moodys
Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast33
HighYieldLast12MonthsUpgradetoDowngradeRatio
December31,1996throughMarch30,2016
Source:JPMorgan
LTM=Lasttwelvemonths.Youcannotinvestdirectlyinanindex.Note chartincludesUSdollardenominateddebtfromdomestichighyieldissuers.
71216AssetAllocationWebcast34
RecoveryRatesHaveBeenMuchLowerPostCrisis
71216AssetAllocationWebcast35
RecoveryRatesLowestLevelin25Years
January1,1982throughMarch31,2016
Source:ZeroHedge.YTD=yeartodatethroughMarch31,2016..
71216AssetAllocationWebcast36
LeverageAtAllTimeHigh
December31,1998throughMarch31,2016
71216AssetAllocationWebcast37
U.S.Crude
July13,2005throughJuly11,2016
Source:Bloomberg
CLICOMBComdty =WestTexasIntermediate(WTI)generic1st futurescontractcrudeoilspotprice..Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast38
U.S.CrudeOilInventories
December31,1982throughJuly1,2016
Source:Bloomberg
SMAV=Movingaveragefortheperiodindicated:50,100or200days.DOESCRUD=DOECrudeoiltotalinventorydataisupdated everyWednesday.InformationisprovidedbytheEnergyInformation
Administrationaspartoftheirweeklypetroleumstatusreport.Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast39
U.S.CrudeOilInventoriesbyYear
Source:Bloomberg.2015isthroughMarch31,2016
DOESCRUD=DOECrudeoiltotalinventorydataisupdatedeveryWednesday.InformationisprovidedbytheEnergyInformationAdministrationaspartoftheirweeklypetroleumstatusreport.
Youcannotinvestdirectlyinanindex.
71216AssetAllocationWebcast40
RelativeGrowthofMerrillUSMunicipalIndextoMerrill
1015YearTreasuryIndex
1.10
Trend
1SigmaRelativetoTrend
2SigmasRelativetoTrend
Municipal/1015yr Treasury
RelativeGrowthRate
(December31,1996 July08,2016)
1.05
1.00
0.95
0.90
0.85
0.80
0.75
0.70
DataSource:MerrillLynch(UOAO;G7O2)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast41
RelativeGrowthofMerrillUSInflationLinkedTreasuries
IndextoMerrillTreasuryIndex
1.3
RelativeGrowthRate
(December31,1985 July08,2016)
1.2
1.1
1.0
0.9
0.8
Average
InflationLinked/Treasury
0.7
0.6
DataSource:MerrillLynch(GOQI;G0Q0)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast42
RelativeGrowthofMerrillEmergingMarketIndexto
MerrillTreasuryIndex
4.00
RelativeGrowthRate
(December31,1991 July08,2016)
3.50
3.00
2.50
2.00
1.50
1.00
0.50
0.00
Trend
1SigmaRelativetoTrend
2SigmasRelativetoTrend
EmergingMarket/Treasury
DataSource:MerrillLynch(IGOV;GOQO)PleaseseedefinitionsintheAppendix.Monthlydatawithmostrecentobservationappended.Youcannotinvestdirectlyinanindex.
Standarddeviation=Ameasureofthedispersionofasetofdatafromitsmean.Themorespreadapartthedata,thehigherthedeviation.Sigma=Mathematicalsum.
71216AssetAllocationWebcast43
USDDenominatedEmergingMarketsBondsvs.Local
CurrencyEmergingMarketsBonds
July7,2014throughJuly6,2016
EMSovereign
EMCorporates
EMLocal
Source:BloombergFinancialServices,DoubleLineCapitalLP.
BLCNTRUUIndex=BarclaysEmergingMarketLocalCurrencyCoreNetTotalReturnUnhedgedIndexisdesignedtoprovideabroadmeasureoftheperformanceoflocalcurrencyEmergingMarketsdebt.
Marketsizeandinvestability areusedtodetermineindexeligibility.BEMC=BloombergUSDEmergingMarketsCorporateIndexisarulesbased,marketweightedindexengineeredtomeasurecorporate
bondperformanceofUSDfixedratecorporatebondsofissuersinemergingmarketsasdefinedbyBloomberg.BEMS=BloombergUSDEmergingMarketsSovereignBondIndexisrulesbased,market
valueweightedindexengineeredtomeasureUSDfixedratesecuritiesofsovereignissuersinemergingmarketsasidentifiedbyBloomberg.Aninvestmentcannotbemadedirectlyinanindex.
71216AssetAllocationWebcast44
TABIII
DoubleLineFundsOverview
71216AssetAllocationWebcast45
CoreFixedIncomeFundPortfolioStatistics
CoreFixedIncome
Fund
BarclaysCapitalU.S
AggregateIndex
$103.91
$107.06
Duration
4.67
5.47
Average Life
6.90
7.77
AveragePrice
PortfoliostatisticsasofJune30,2016basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividingbythenumber of securitiesanddoesnotincludecash.Averagepriceshouldnot
beconfusedwithnetassetvalue.
AverageDuration=Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterestratemovements.
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Averagelifeiscomputedastheweightedaveragetimetothereceiptofallfuture
cashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
71216AssetAllocationWebcast46
Source:DoubleLineCapitalLP
CoreFixedIncomeFundPortfolioComposition
InternationalSovereign
1.2%
HighYield
Corporates
1.9%
Infrastructure
0.8%
BankLoan
2.3%
CommercialMBS
6.9%
AssetBacked
Securities CollateralizedLoan
Obligations
1.5%
3.6%
Cash
5.2%
Government
26.7%
InvestmentGrade
Corporates
14.1%
Municipals
1.0%
EmergingMarkets
10.1%
MortgageBacked
Securities
24.7%
PortfoliocompositionasofJune30,2016.Subjecttochangewithoutnotice.
BankLoans=Adebtfinancingobligationissuedbyabankorsimilarfinancialinstitutiontoacompany.
CommercialMortgageBackedSecurities(CMBS)=CommercialMortgageBackedSecurities.Securitizedloansmadeoncommercialratherthanresidentialproperty.
CollateralizedLoanObligations(CLOs)=Aformofsecuritizationwherepaymentsfrommultiplemiddlesizedandlargebusinessloansarepooledtogetherandpassedontodifferentclassedofownersin
varioustranches.Cash =Cashholdingincludethevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,such asgovernmentbonds,banker'sacceptances,cash
equivalentsonbalancesheetsthatmayincludesecuritiesthatmaturewithin90days.Government=Governmentdebt(alsoknownaspublicdebtornationaldebt)ismoney(orcredit)owedbyanylevelof
government;eithercentralgovernment,federalgovernment,municipalgovernmentorlocalgovernment.
MortgageBackedSecurities(MBS)=Amortgagebackedsecurity(MBS)isanassetbackedsecurityordebtobligationthatrepresentsaclaimonthecashflowsfrom mortgageloans,mostcommonlyon
residentialproperty.EmergingMarketsFixedIncome=Emergingmarketdebt(EMD)isatermusedtoencompassbondsissuedbylessdevelopedcountries.
InvestmentGrade(IG)andHighYieldCorporates(HY)=Investmentgradeandnoninvestmentgradecorporatecredit.Bondsissuedbycorporationstoraisemoneyinordertoexpandits business.Credit
distributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).AbondratedBBBorhigherwouldbeconsidered
InvestmentGrade.AnybondratedBBBorbelowwouldbeHighYield.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
71216AssetAllocationWebcast47
CoreFixedIncomeFund
PortfolioCreditQualityBreakdown
Below
Investment
Grade
11.4%
Unrated
3.6%
Cash
5.2%
Govt
26.7%
Investment
Grade
36.3%
Agency
16.7%
PortfoliocompositionandcreditratingsasofJune31,2016.Portfoliocompositionissubjecttochangewithoutnotice.Creditdistributionisdeterminedfromthehighestavailablecreditratingfromany
NationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds, banker'sacceptances,cashequivalentsonbalancesheetsthatmay
includesecuritiesthatmaturewithin90days.Government =Governmentdebt(alsoknownaspublicdebtornationaldebt)ismoney(orcredit)owedbyanylevelofgovernment;eithercentralgovernment,
federalgovernment,municipalgovernmentorlocalgovernment.Agency =MortgagesecuritieswhoseprincipalandinterestareeffectivelyguaranteedbytheU.S.GovernmentagencyincludingFannieMae
(FNMA)orFreddieMac(FHLMC).InvestmentGrade=AbondisconsideredinvestmentgradeifitscreditratingisBBB ofhigherbyStandard&PoorsorBaa3byMoodys.Ratingsbasedoncorporatebond
model.Thehighertherating,themorelikelythebondistopaybackatpar/$100centsonthedollar.
BelowInvestmentGrade(BelowIG)=Alsoknownasjunkbondisasecurityratedbelowinvestmentgrade.Thesebondsareseenashavinghigherdefaultriskor otheradversecreditevents,buttypically
payhigheryieldsthanbetterqualitybondsinordertomakethemattractive.Theyarelesslikelytopaybackatpar/$100cents onthedollar.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
Source:DoubleLineCapitalLP.
71216AssetAllocationWebcast48
FlexibleIncomeFundPortfolioStatistics
FlexibleIncome
Fund
BarclaysCapitalU.S.
AggregateIndex
$99.59
$107.06
Duration
1.87
5.47
Average Life
4.61
7.77
AveragePrice
PortfoliostatisticsasofJune30,2016basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividingbythenumberofsecuritiesanddoesnotincludecash.Averagepriceshouldnot
beconfusedwithnetassetvalue.
AverageDuration =Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterestratemovements.
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Averagelifeiscomputedastheweightedaveragetimetothereceiptofallfuture
cashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP
71216AssetAllocationWebcast49
FlexibleIncomeFundPortfolioComposition
BySecurityType
CollateralizedLoan
Obligations
17.7%
Cash
4.8%
Government,7.1%
AgencyMBS
1.8%
International
Sovereign
1.1%
HighYield
Corporates
5.3%
NonAgencyMBS,
23.2%
BankLoan
9.0%
CommercialMBS
12.0%
EmergingMarkets
16.2%
AssetBacked
securities
1.9%
PortfoliocompositionasofJune30,2016.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalancesheetsthatmay
includesecuritiesthatmaturewithin90days.Government U.S.treasurysecurities.Agency=MortgagesecuritieswhoseprincipalandinterestguaranteedbytheU.S.Governmentagencyincluding
FannieMae(FNMA)orFreddieMac(FHLMC).NonAgencyRMBS=ResidentialMortgagesBondSecuritiesareatypeofbondbackedbyresidentialmortgages.NonAgencymeanstheywereissuedby a
privateissuer.CMBS =CommercialMortgageBackedSecurities.Securitizedloansmadeoncommercialratherthanresidentialproperty.
CLO =CollateralizedMortgageObligations.BankLoans=Adebtfinancingobligationissuedbyabankorsimilarfinancialinstitutiontoacompany.InvestmentGrade(IG)andHighYieldCorporates(HY)=
Investmentgradeandnoninvestmentgradecorporatecredit.Bondsissuedbycorporationstoraisemoneyinordertoexpanditsbusiness.Creditdistributionisdeterminedfromthehighestavailable
creditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).AbondratedBBBorhigherwouldbeconsideredInvestmentGrade.AnybondratedBBBorbelow
wouldbeHighYield.
71216AssetAllocationWebcast50
FlexibleIncomeFundPortfolio
BreakdownByCurrentCreditQuality
Unrated
10.4%
Cash
4.8%
Government,7.1%
Agency
2.0%
BelowInvestment
Grade
32.7%
InvestmentGrade
42.9%
PortfoliocompositionasofJune30,2016.Portfoliocompositionissubjecttochangewithoutnotice.Therearesomenonratedsecuritiesintheportfolioasshowninthechartabove.Credit
distributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB (showninblueabove)areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB ofhigherbyStandard
&PoorsorBaa3byMoodys.Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikelythebondistopay backatpar/$100centsonthedollar.AAAisconsideredthehighest
qualityandthelowestdegreeofrisk.Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=Alsoknownasjunkbond(showningreyabove)isasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenashavinghigherdefault
riskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive. Theyarelesslikelytopaybackatpar/$100centsonthedollar.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
RMBS=ResidentialMortgageBackedSecurities.
Source:DoubleLineCapitalLP
71216AssetAllocationWebcast51
TABIV
Appendix
71216AssetAllocationWebcast52
AssetAllocationWebcast
LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer
July12,2016
SPDRBarclaysHighYieldBondETF(JNK)
InvestmentObjective&Summary
TheinvestmentobjectiveoftheSPDRBarclaysHighYieldBondETFseekstoprovideinvestmentresultsthat,beforefeesandexpenses,
correspondsgenerallytothepriceandyieldperformanceoftheBarclaysHighYieldVeryLiquidIndex.TheETFinvestsinU.S.highyield
bonds.
TheBarclaysHighYieldVeryLiquidIndexisdesignedtomeasuretheperformanceofpubliclyissuedU.S.dollardenominatedhighyieldcorporatebondswithaboveaverage
liquidity.Highyieldsecuritiesaregenerallyratedbelowinvestmentgradeandarecommonlyreferredtoas"junkbonds."The IndexincludespubliclyissuedU.S.dollar
denominated,noninvestmentgrade,fixedrate,taxablecorporatebondsthathavearemainingmaturityofatleastoneyear,regardlessofoptionality,areratedhighyield
(Ba1/BB+/BB+orbelow)usingthemiddleratingofMoody'sInvestorsService,Inc.,FitchInc.,orStandard&Poor's,Inc.Respectively,andhave$500millionormoreofoutstanding
facevalue
ImportantRiskInformation Ingeneral,ETFscanbeexpectedtomoveupordowninvaluewiththevalueoftheapplicableindex.AlthoughETFsharesmaybeboughtandsoldonthe
exchangethroughanybrokerageaccount,ETFsharesarenotindividuallyredeemablefromtheFund.InvestorsmayacquireETFsand tenderthemforredemptionthroughtheFundin
CreationUnitAggregationsonly.Pleaseseetheprospectusformoredetails.
Bondfundscontaininterestraterisk(asinterestratesrisebondpricesusuallyfall);theriskofissuerdefault;issuercreditrisk;liquidityrisk;andinflationrisk.
Investinginhighyieldfixedincomesecurities,otherwiseknownas"junkbonds"isconsideredspeculativeandinvolvesgreaterriskoflossofprincipalandinterestthaninvestingin
investmentgradefixedincomesecurities.Theselowerqualitydebtsecuritiesinvolvegreaterriskofdefaultorpricechangeduetopotentialchangesinthecreditqualityoftheissuer.
TheFundinvestsbysamplingtheIndex,holdingarangeofsecuritiesthat,intheaggregate,approximatesthefullIndexintermsofkeyriskfactorsandothercharacteristicswhichmay
causethefundtoexperiencetrackingerrorsrelativetoperformanceoftheIndex.
Distributor:StateStreetGlobalMarkets,LLC,memberFINRA,SIPC,awhollyownedsubsidiaryofStateStreetCorporation.ReferencestoStateStreetmayincludeStateStreet
Corporationanditsaffiliates.CertainStateStreetaffiliatesprovideservicesandreceivefeesfromtheSPDRETFs.
Beforeinvesting,considerthefunds'investmentobjectives,risks,chargesandexpenses.Toobtaina
prospectusorsummaryprospectuswhichcontainsthisandotherinformation,call18667872257or
talktoyourfinancialadvisor.Readitcarefullybeforeinvesting.
JNKisdistributedbyStateStreetGlobalMarkets,LLC
71216AssetAllocationWebcast54
IndexDescriptions
BarclaysCapitalUSAggregateIndex TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.TheindexcoverstheUSinvestmentgrade
fixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajorsectorsaresubdividedintomore
specificindicesthatarecalculatedandreportedonaregularbasis.
BarclaysCapitalEuropeanAggregateTotalReturnIndex TheBarclaysCapitalEuropeanAggregateTotalReturnIndexisafixedrate,rulesbasedindexincludesalldatedinvestmentgradesecurities
(treasuries,agencies,securitized,corporates,sovereignsandsupranationals)denominatedineurosandwithafinalmaturityofoneyearorgreater.
BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemainingmaturityofoneyearormore.
BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebtissuer fromcountriesdesignatedas
emergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianandglobalbonds(SECregistered)ofissuersinnonEMGcountriesareincluded.Originalissuezereos,stepupcoupon
structures,144Asandpayinkind(PIK,asofOctober1,2009)arealsoincluded.
BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesintheTreasuryandAgencyindices.)
BofAMerrillLynchUS15+YearTreasuryIndexLongTreasuries(G802) ThisindexisasubsetoftheBofAMerrillLynchUSTreasuryIndexincludingallsecuritieswitharemainingtermoffinalmaturity
greaterthan15years..
BofAMerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominatedinvestmentgradecorporatedebtpubliclyissued
intheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&PandFitch)andaninvestmentgraderatedcountryofrisk(basedonan
averageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securitiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimum
amountoutstandingof$250MM.
BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocksofU.S.registered companies,whichhave
$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRsorcashequivalents.Pleasenoteaninvestorcannotinvestdirectlyinanindex.
CRBCommodityIndex(CRY) Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.Theindextracksenergy,grains,industrials,
livestock,preciousmetals,andagriculturals.
S&P500(SPX) S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactively tradedintheUnitedStates.
StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alow standarddeviationindicatedthatthedatapoint
tendtobeveryclosetothemean,whereashighstandarddeviationindicatedthatthedateisspreadoutoveralargerangeofvalues.
DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionofaluminum,nickelandzinc,whichtradeon
theLondonMetalExchange(LME).
Copper=CopperSpotPrice(HGI)Copperistheworldsthirdmostusedmetalbehindironandaluminumprimarilyusedinhighlycyclicalindustriesincludingconstructionandindustrialmachinery
manufacturing.SpotpricequotedinUSD/lb.
Gold=GoldSpotPrice(Golds)TheGoldSpotpriceisquotedasUSDollarperTroyOunce.
CrudeOil=Crudeoilvariesgreatlyinappearancedependingonitscomposition.WestTexasintermediate(WTI)=Texaslightsweetcrudeisusedasabenchmarkinoilpricing.Itslightbecauseofthe
lowdensityandsweetbecauseoflowsulfur.Brentcrude=Isamajortradingclassificationofsweetlightcrude.BrentistheoilmakeralsoknownasBrentBlend.
VolatilityIndex(VIX)TheVIXshowsthemarket'sexpectationof30dayvolatility.Itisconstructedusingtheimpliedvolatilitiesofawiderangeof S&P500indexoptions. Thisvolatilityismeanttobe
forwardlookingandiscalculatedfrombothcallsandputs. TheVIXisawidelyusedmeasureofmarketriskandisoftenreferredtoas the"investorfeargauge.
BofA MerrillLynchU.S.CommercialMortgageBackedSecuritiesIndex(CMA0) TheBofA MerrillLynchUSFixedRateCMBSIndextrackstheperformanceofUSdollardenominatedinvestmentgrade
fixedratecommercialmortgagebackedsecuritiespubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&PandFitch),a
fixedcouponschedule,atleastoneyearremainingtermtofinalmaturityandatleastonemonthtothelastexpectedcashflow.
71216AssetAllocationWebcast55
IndexDescriptions
BofA MerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV) ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpublicly
issuedintheeurobond orUSdomesticmarket.QualifyingcountriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedon anaverageofMoodys,S&P,andFitch).
BofA MerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgrade
corporatedebt,currentlyinacouponpayingperiod,thatispubliclyissuedintheUSdomesticmarket.Qualifyingsecurities musthaveabelowinvestmentgraderating(basedonanaverageofMoodys,
S&PandFirthforeigncurrencylongtermsovereigndebtratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.
BofA MerrillLynchInternationalGovernmentIndex(NOGO) TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUK
investmentgradesovereigndebtpubliclyissuedanddenominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,a
fixedcouponscheduleandaminimumamountoutstanding.
BofAMerrillLynchMortgageBackedSecuritiesIndex(MOA0) ThisindextrackstheperformanceofUSdollardenominatedfixedrateandhybridresidentialmortgagepassthroughsecuritiespublicly
issuedbyUSagenciesintheUSdomesticmarket.30year,20year,15yearandinterestonlyfixedratemortgagepoolsareincludedintheIndexprovidedtheyhaveatleastoneyearremainingtermto
finalmaturityandaminimumamountoutstandingofatleast$5billionpergenericcouponand$250MMperproductionyearwithineachgenericcoupon.
BofAMerrillLynchU.S.MunicipalSecuritiesIndex(UOA0) ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,
andtheirpoliticalsubdivisions,intheUSdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingterm to finalmaturity,afixedcouponscheduleandaninvestmentgraderating
(basedonMoodys,S&PandFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattimeofissuance.
BarclaysCapitalGlobalEmergingMarketsIndex TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmergingMarketsindexandthe predominately
EURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas,Europe,MiddleEast,Africa,andAsia.Aswithotherfixedincomebenchmarks
providedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewofthemarketplaceandeasyreplicability.
JPMorganInvestmentGradeCorporateIndex JPMorganInvestmentGradeCorporateIndexincludesperformanceofUSdollardenominatedinvestmentgradecorporatedebtpubliclyissuedintheUS
domesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&PandFitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageof
Moodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securitiesmusthaveatleastoneyearremainingterm tofinalmaturity,afixedcouponscheduleandaminimumamount
outstandingof$250MM.
DrawDown Thepeaktotroughdeclineduringaspecificrecordperiodofaninvestment,fundorcommodity.Adrawdownisusuallyquotedasthepercentagebetweenthepeakandthetrough.
NAV Amutualfund'spricepershareorexchangetradedfund's(ETF)persharevalue.Inbothcases,thepersharedollaramountof thefundiscalculatedbydividingthetotalvalueofallthesecurities
initsportfolio,lessanyliabilities,bythenumberoffundsharesoutstanding.
CMO Atypeofmortgagebackedsecuritythatcreatesseparatepoolsofpassthroughratesfordifferentclassesofbondholderswith varyingmaturities,calledtranches.Therepaymentsfromthepool
ofpassthroughsecuritiesareusedtoretirethebondsintheorderspecifiedbythebonds'prospectus
TIPS TreasuryInflationProtection.Atreasurysecuritythatisindexedtoinflationinordertoprotectinvestorsfromthenegativeeffectsofinflation.TIPSareconsideredanextremelylowrisk
investmentsincetheyarebackedbytheU.S.governmentandsincetheirparvalueriseswithinflation,asmeasuredbytheConsumerPriceIndex,whiletheirinterestrateremainsfixed.
CPI ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,such astransportation,foodandmedicalcare.
CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome.
BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCratedHighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBBratedIndex(JOA1) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBBratedHighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBratedIndex(JOA2) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBratedHighYieldcreditonly.
BofA/MerrillLynchCreditIndexBBBratedIndex(COA4) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthelowerratedBBBinvestmentgradecredits.
BofA/MerrillLynchCreditIndexAratedIndex(COA3) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingontheAratedinvestmentgradecredits.
71216AssetAllocationWebcast56
IndexDescriptions
BofA/MerrillLynchCreditIndexAAAratedIndex(COA1) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthehighestratedAAAinvestmentgradecredits.
BofAMerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomestic
market.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$1billion.
BofA/MerrillLynch13YearTreasuryIndex(G1O2) isasubsetoftheBofA MerrillLunchUSReasury Indexincludingallsecuritieswitharemainingtermtofinalmaturitylessthan3years.TheBofA
MerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.
BofA MerrillLynchUS1015YearTreasuryIndexLongTreasury(G7O2)TheMerrillLynchUS1015TreasuryIndextrackstheperformanceofUSdollardenominated1015yearsovereigndebtpublicly
issuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
BofAMerrillLynchMunicipalIndexTheMerrillLynchMunicipal
BofAMerrillLynchCurrent10yearUSTIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BofAMerrillLynchCurrent30yearUSTIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
JPMorganCorporateEMBIBroadDiversifiedIndex(JBCDCOMP) Thisindextrackstheperformanceofinvestmentgradecorporatedebtpublicallyissuedacrossarangeofemergingmarketcountries.
ShanghaiIndex TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedontheShanghaiStockExchange.Thisindexwas
developedDecember19,1990withabasevalueof100.
S&P/CaseShillerCompositeHomePriceIndex TheCaseShillerHomePriceIndices,onecomprisedofpricechangeswithinall20metropolitanmarkets,andanothercomprisedof pricechangeswithin
thefollowingsubsetof10metropolitanmarkets:Boston,Chicago,Denver,LasVegas,LosAngeles,Miami,NewYork,SanDiego, SanFranciscoandWashingtonDC.Inadditiontothose10markets,the20
HomePriceindexreflectspricechangesforAtlanta,Charlotte,Dallas,Detroit,Minneapolis,Phoenix,Portland,SeattleandTampa.
NASDAQ Acomputerizedsystemthatfacilitatestradingandprovidespricequotationsonmorethan5,000ofthemoreactivelytradedover thecounterstocks.Createdin1971,theNasdaqwasthe
world'sfirstelectronicstockmarket.
Transports TheIndustrialsSectorincludescompanieswhosebusinessesaredominatedbyoneofthefollowingactivities:Themanufactureand distributionofcapitalgoods,includingaerospace&
defense,construction,engineering&buildingproducts,electricalequipmentandindustrialmachinery
Utilities Apublicutilityisabusinessthatfurnishesaneverydaynecessitytothepublicatlarge.Publicutilitiesprovidewater,electricity,naturalgas,telephoneservice,andotheressentials.Utilitiesmay
bepubliclyorprivatelyowned,butmostareoperatedasprivatebusinesses.
BasisPoint Abasispointisaunitthatisequalto1/100th of1%,andisusedtodenotethechangeinafinancialinstrument.
REIT RealEstateTrust.Asecuritythatsellslikeastockonthemajorexchangesandinvestsinrealestatedirectly,eitherthrough propertiesormortgages
Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebtsecurities,priortomaturity.Securitieswitha
longerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.
BofA/MerrillLynchInflationLinkedIndex(G0Q1) TheBofA MerrillLynchUSInflationLinkedTreasuryIndextrackstheperformanceofUSdollardenominatedinflationlinkedsovereigndebtpublicly
issuedbytheUSgovernmentinitsdomesticmarket.
CitigroupTIPS(SBUSILSI) . Itmeasuresthereturnsoftheinflationlinkedbondswithfixedratecouponpaymentsthatarelinkedtoaninflationindex.The priceofeachissueintheUSLSIisadjustedby
usinganindexratio.Theindexratioisdeterminedbydividingthecurrentinflationindexlevelbytheinflationindexlevelatthetimeofissueofthesecurity.Theinflationindexispublishedonamonthly
basis,andtheintramonthindexratioiscalculatedusinglinear
interpolation.
BarclaysCapitalCMBSIndex trackstheperformanceofUSdollardenominatedsecuritizedcommercialmortgagebackedsecurities.
Russell2000 measurestheperformanceofthesmallcapsegmentoftheUSequityuniverse.Russell2000isasubsetoftheRussell3000indexrepresentingapproximately10%ofthetotalmarket
capitalizationofthatindex.
S&PGSCI isacompositeindexofcommoditysectorreturnrepresentinganunleveraged,longonlyinvestmentincommodityfuturesthatisbroadlydiversifiedacrossthespectrumofcommodities.
TheBarclaysEuropeanAggregateIndextracksfixedrate,investmentgradesecuritiesissuedinthefollowingEuropeancurrencies:euro,Britishpounds,Norwegiankrone,Danishkrone,Swedishkrona,
Czechkoruna,Hungarianforint,PolishzlotyandSwissfranc.
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IndexDescriptions
S&PGSCIAgriculture isacompositeindexofagriculturecommodityfuturesunleveraged,longonlyinvestment.
BarclaysCapitalU.S.30YearTIPSIndex .BarclaysCapital30yearTIPSontherunindexquotedinUSDollarstradedintraday
CitigroupEconomicSurpriseIndex .TheCitigroupEconomicSurpriseIndicesareobjectiveandquantitativemeasuresofeconomicnews.Theyaredefinedasweightedhistoricalstandarddeviationsof
datasurprises(actualreleasesvsBloombergsurveymedian).ApositivereadingoftheEconomicSurpriseIndexsuggeststhateconomicreleaseshaveonbalancebeatingconsensus.Theindicesare
calculateddailyinarollingthreemonthwindow.TheweightsofeconomicindicatorsarederivedfromrelativehighfrequencyspotFXimpactsof1standarddeviationdatasurprises.Theindicesalso
employatimedecayfunctiontoreplicatethelimitedmemoryofmarkets.
DAX ThisindexistheGermanStockIndexisatotalreturnindexof30selectedGermanbluechipstockstradedontheFrankfurtStockExchange.
CAC40 ThisindexthemostwidelyusedindicatoroftheParismarket,reflectstheperformanceofthe40largestequitieslistedinFrance,measuredbyfreefloatmarketcapitalizationandliquidity.
FTSE100 Isacapitalizationweightedindexofthe100mosthighlycapitalizedcompaniestradedontheLondonStockExchange.
MexicoIPC TheMexicanIPCindexisacapitalizationweightedindexoftheleadingstockstradedontheMexicanStockExchange.
HangSeng TheHangSengChinaEnterprisesIndexisafreefloatcapitalizationweightedindexcomprisedofHshareslistedontheHongKong StockExchangeandincludedintheHangSengMainland
CompositeIndex.
KOSPI ThisindexisacapitalizedweightedindexofallcommonsharesontheKoreanStockExchanges.
Nikkei225 TheNikkei225Stockaverageisapriceweightedaverageof225topratedJapanesecompanieslistedintheFirstSectionofthe TokyoStockExchange.
AustraliaAORD S&P/ASXAllOrdinariesrepresents500largestcompaniesintheAustralianequitiesmarket.IndexconstitutesaredrawnfromeligiblecompanieslistedontheAustralianStockExchange.
BrazilBovespaIndex(IBOV)TheBovespaIndexisagrossreturnindexweightedbytradedvolumeandiscomprisedofthemostliquidstockstradedontheSao PauloStockExchange.TheBovespaIndex
hasbeendivided10timesbyafactorof10sinceJanuary1,1985.
ShanghaiIndex(SHCOMP)TheShanghaiStockExchangeCompositeIndexisacapitalizationweightedindex.TheindextracksthedailyperformanceofallAsharesandBshareslistedontheShanghai
StockExchange.TheindexwasdevelopedonDecember19,1990withabasevalueof100.
BSEIndiaSensitiveIndex(Sensex)TheSensexisacapweightedindex.Theselectionoftheindexmembershasbeenmadeonthebasisofliquidity,depthandfloatingstockadjustmentdepthand
industryrepresentation.
S&PLSTALevLoanIndex(BankLoans) CreatedbytheLeveragedCommentary&Data(LCD)teamatS&PCapitalIQ,thereviewprovides an overviewandoutlookoftheleveragedloanmarketaswellas
anexpansivereviewoftheS&PLeveragedLoanIndexandsubindexes. Thereviewconsistsofindexgeneralcharacteristics,results,riskreturnprofile,default/distressstatistics, andrepaymentanalysis.It
isnotpossibletoinvestdirectlyinanindex.
Citigroup3MonthTBill(SBMMTB3) 3MonthUSTBillinUSdollars.
MoodysU.S.SpeculativeGradeDefaultRate:Aspeculativegradedefaultoccursifadefaultingissuerheldanspeculativegraderating(Ba1orlower)atthestartoflatest12monthperiod.Therateis
establishedbydividingthenumberofSpecgradedefaultsbythenumberofSpecgradeissuersatthebeginningofthesampleperiod.
MoodysDistressedRate:PercentageofHighYieldIssuerswhosedebtistradingatdistressedlevels.Distressedissuersaredefinedashavingdebt withOASorCDSof1000bpsormore.
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Disclaimer
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July12,2016
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