ToCatchAThief

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

December11,2012

FundOfferings
TotalReturnBondFund

CoreFixedIncomeFund

RetailandInstitutionalClass
NoLoadMutualFund

RetailandInstitutionalClass
NoLoadMutualFund

Retail
Inst.
Nshare Ishare
Ticker
MinInvestment
MinIRAInvestment
GrossExpenseRatio

DLTNX
$2,000
$500
0.76%

DBLTX
$100,000
$5,000
0.51%

Retail
Inst.
Nshare Ishare
Ticker
MinInvestment
MinIRAInvestment
Gross ExpenseRatio

DLFNX
$2,000
$500
0.80%

DBLFX
$100,000
$5,000
0.55%

TheFundsinvestmentobjectives,risks,chargesandexpensesmustbeconsideredcarefullybeforeinvesting.The
prospectuscontainsthisandotherimportantinformationabouttheFunds,anditmaybeobtainedbycalling1
(877)3546311/1(877)DLINE11,orvisitingwww.doublelinefunds.com.Readitcarefullybeforeinvesting.
Investmentsindebtsecuritiestypicallydecreaseinvaluewheninterestratesrise.Thisriskisusuallygreaterforlongertermdebtsecurities.
InvestmentsinAssetBackedandMortgageBackedSecuritiesincludeadditionalrisksthatinvestorsshouldbeawareofsuchascreditrisk,prepaymentrisk,
possibleilliquidityanddefault,aswellasincreasedsusceptibilitytoadverseeconomicdevelopments.Investmentsinlowerratedandnonratedsecurities
present a greater risk of loss to principal and interest than higherrated securities The Core Fund invests in foreign securities which involve greater volatility
presentagreaterriskoflosstoprincipalandinterestthanhigherratedsecurities.TheCoreFundinvestsinforeignsecuritieswhichinvolvegreatervolatility
andpolitical,economicandcurrencyrisksanddifferencesinaccountingmethods.
TheTotalReturnBondFundintendstoinvestmorethan50%ofitsnetassetsinmortgagebackedsecuritiesofanymaturityortype.
Opinionsexpressedaresubjecttochangeatanytime,arenotforecastsandshouldnotbeconsideredinvestmentadvice.
DoubleLineFundsaredistributedbyQuasarDistributors,LLC.
WhiletheFundsarenoload,managementfeesandotherexpensesstillapply.Pleaserefertotheprospectusforfurtherdetails.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.Aninvestmentcannotbemadeinanindex.

Performance
DoubleLineTotalReturnBondFund QuarterEndingSeptember30,2012

Ishare
Nshare
B l
BarclaysUSAggregateIndex
US A
t I d

September
1.00%
0.98%
0 14%
0.14%

3Q2012
3.48%
3.33%
1 58%
1.58%

AsofSeptember30,2012
GrossSEC30DayYield
NetSEC30DayYield

Ishare
4.98%
4.98%

Nshare
4.73%
4.73%

GrossExpenseRatio

Ishare
0.51%

Nshare
0.76%

SinceInception
1Year
Annualized
(Annualized) (4610to93012)
8.96%
13.92%
8.61%
13.63%
5 16%
5.16%
6 90%
6.90%

MorningstarIntermediateTermBondFundRankings*
AsofSeptember30,2012

Ishare

Nshare
378 of
378of
1Year(AbsoluteRank)
329of1,175
1,175
1Year(%Rank)
28%
32%
Fortheperiodending93012,MorningstarrankedtheTotalReturn
BondFundinthe28thand32ndpercentile(fortheIandNshareclasses,
respectively)amongthe1,175FundsintheIntermediateTermBondFund
categorybasedontotalreturns.

Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipal
valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current
performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe
obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
Barclays US Aggregate Index represents securities that are SEC registered taxable and dollar denominated The index covers the USinvestmentgradefixedrate
BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe
US investment grade fixed rate
bondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajorsectors
aresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.Aninvestmentcannotbemadeinanindex.
*Morningstarrankings(%Rank)representafund'stotalreturnpercentilerankrelativetoallfundsthathavethesameMorningstarcategory.Thehighest
percentilerankis1andthelowestis100.MorningstarRankings(Absolute)representafundstotalreturnrankrelativetoall fundsthathavethesameMorningstar
g y
g
g y
g
totalreturn,whichincludesboth
,
Category.Thehighestrankis1andthelowestisbasedonthetotalnumberoffundsinthecategory.ItisbasedonMorningstar
incomeandcapitalgainsorlossesandisnotadjustedforsaleschargesorredemptionfees.
2012MorningstarInc.AllRightReserved.Theinformationcontainedherein:(1)isproprietarytoMorningstar;(2)maynotbecopiedordistributed;and(3)isnot
warrantedtobeaccurate,completeortimely.NeitherMorningstarnoritscontentprovidersareresponsibleforanydamagesorlossesarisingfromanyuseofthis
2
information.

Performance

DoubleLineCoreFixedIncomeFund QuarterEndingSeptember30,2012

Ishare
Nshare
Barclays US Aggregate Index
BarclaysUSAggregateIndex

September
0.47%
0.37%
0.14%

3Q2012
2.94%
2.79%
1.58%

AsofSeptember30,2012
GrossSEC30DayYield
NetSEC30DayYield

Ishare
3.20%
3.20%

Nshare
2.96%
2.96%

GrossExpenseRatio

Ishare
0.55%

Nshare
0.80%

Si
SinceInception
I
i
1Year
Annualized
(Annualized) (6110to93012)
9.14%
11.34%
8.89%
11.06%
5.16%
6.25%

MorningstarIntermediateTermBondFundRankings*
AsofSeptember30,2012
Ishare
Nshare
1Year(AbsoluteRank)
308of1,175 342of1,175
1Year(%Rank)
26%
29%
Fortheperiodending93012,MorningstarrankedtheCoreFixedIncome
BondFundinthe26thand29thpercentile(fortheIandNshareclass,respectively)
amongthe1,175FundsintheIntermediateTermBondFundcategory
based on total returns
basedontotalreturns.

Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturnandprincipal
valueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthantheoriginalcost.Current
performanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothemostrecentmonthendmaybe
obtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe USinvestmentgradefixedrate
bondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajorsectors
aresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.Aninvestmentcannotbemadeinanindex.
*Morningstarrankings(%Rank)representafund'stotalreturnpercentilerankrelativetoallfundsthathavethesameMorningstarcategory.Thehighest
percentilerankis1andthelowestis100.MorningstarRankings(Absolute)representafundstotalreturnrankrelativetoall fundsthathavethesameMorningstar
Category.Thehighestrankis1andthelowestisbasedonthetotalnumberoffundsinthecategory.ItisbasedonMorningstar totalreturn,whichincludesboth
income and capital gains or losses and is not adjusted for sales charges or redemption fees
incomeandcapitalgainsorlossesandisnotadjustedforsaleschargesorredemptionfees.
2012MorningstarInc.AllRightReserved.Theinformationcontainedherein:(1)isproprietarytoMorningstar;(2)maynotbecopiedordistributed;and(3)isnot
warrantedtobeaccurate,completeortimely.NeitherMorningstarnoritscontentprovidersareresponsibleforanydamagesorlossesarisingfromanyuseofthis
information.
3

Announcements
WebcastNews
JeffreyGundlach
y
January8,2013
y
2013MarketOutlook
1:15pmPDT/4:15pmEDT

Philip Barach January22,2013

PhilipBarach
January 22, 2013
LowDurationBondFund
1:15pmPDT/4:15pmEDT

Luz Padilla February5,2013

LuzPadilla
February 5 2013
EmergingMarketsFixedIncome
1:15pmPDT/4:15pmEDT

ToReceivePresentationSlides:
Youcanemail
fundinfo@doubleline com
fundinfo@doubleline.com
4

ToCatchAThief

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

December11,2012

TAB I
TABI
GovernmentSpending

HistoricalSovereignDebtDefaulters,1800 2010
TheGreatProsperity:19471979

Greecehasspentalmosthalfofthepast210yearsindefaultorreschedulingdebt.
EvenGermanyhasspentover25yearsindebtdefaultorrescheduling.

Trade,ExchangeRates,BudgetsandInterestRates
AsofOctober20,2012

Germany

Source:http://www.economist.com/news/economicandfinancialindicators/21564865
TheEconomist,Trade,exchangerates,budgetbalancesandinterestrates,October20,2012
GDP=Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersinaspecifictimeperiod,thoughGDPisusuallycalculatedonanannual
basis.

DevelopedWorldQuantitativeEasing(QE)asa
PercentageofGDP

http://www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/102/20121029_CB5_1.png
H C
HowCentralBankPolicyImpactsAssetPricesPart5:HowFarCanTheyGo?TylerDurden,October29,2012.
l
k li I
A
i
H
C
h G ? l
d O b 29 2012
Fed USFederalReserve
BoJ =BankofJapan
ECB=EuropeanCentralBank
BoE=BankofEngland
GDP=GrossDomesticProduct.Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountrysbordersinaspecifictimeperiod,butcalculatedon
anannualbasis.

WhatdidtheaggregateQEprogramsgiveus?
March31,2009throughSeptember30,2012
Reflation ofequityprices,althoughhalflifeisdiminishingalongwiththemagnitudeoftherally

http://www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/102/20121029_CB1_1.png
HowCentralBankPolicyImpactsAssetPricesPart1:Equities,TylerDurden 10/29/2012.ChartasofSeptember30,2012.
QE=QuantitativeEasingprograms.

10

WhatDidtheAggregateQEProgramsGiveus?
December31,1999throughDecember31,2011
Aweakerfiatcurrencyasmeasuredbygoldprice($/oz).

http://www.zerohedge.com/sites/default/files/images/user3303/imageroot/2012/102/20121029_CB4_1.png
AsofJune30,2012.
,
Fed=USFederalReserve
BoJ =BankofJapan
ECB=EuropeanCentralBank
BoE=BankofEngland
SNB=SwissNationalBank
CBR=CentralBankofRussia
PBoC=PublicBankofChina
GDP=GrossDomesticProduct.Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountrysbordersinaspecifictimeperiod,butcalculatedonanannual
basis.
11
Lhs=Chainlinkedsums.Theuseoffixedweights(prices)whichinevitablybecomeoutdated.Fixedbaseyearchainlinkinginvolvesrevisingtheseweightsatregularintervalssothat
theyareabletomoreaccuratelyreflectthestructureoftheeconomy.

HowDoesQEEffectReturns?

http://www.forbes.com/sites/greatspeculations/2012/09/24/qe1andqe2provideinvestingplaybookforquantitativeeasing/
QE1AndQE2ProvideInvestingPlaybookforQE3byRockyWhite.SchaffersInvestmentResearch
KOL =MarketVectorCoalExchangeTradedFund(ETF).
XME =SPDRMetals&MiningETF.XRT =SPDRS&PRetailETF.XLB =MaterialsSelectSectorSPDRETFincludeschemicals,construction,materials,containersand
packaging. XLE =EnergySelectSectorSPDRFundincludescompaniesthatdevelop&producecrudeoil&naturalgas,providedrillingandotherenergyrelated
packaging.XLE
Energy Select Sector SPDR Fund includes companies that develop & produce crude oil & natural gas, provide drilling and other energy related
services.XHB =SPDRS&PHomebuildersETF.GLD =SPDRGoldTrust.Issuesbasketsinexchangefordepositsofgoldandtodistributegoldinconnectionwith
redemptionsofBaskets.DBA=PowerShares DBAgricultureFundisanETFthatreflectstheperformanceoftheDBIQDiversifiedAgricultureIndexExcessReturn.
S&P500=Standard&Poors500Indexisacapitalizationwweightedindexof500stocks. XLF=FinancialSelectsectorSPDRexchangetradedfund.IYR=iShares
DowJonesUSRealEstateexchangetradedindexFund.USO =USOilfundLimitedPartnership.UUP =PowerSharesDBUSDollarBullishexchangetradedfund.
TLT =iShares Barclays20+yearTreasuryBondexchangetradedfund.
Referencestoothermutualfundsshouldnotbeinterpretedasanofferofthesesecurities.

12

Eurovs.USDollarin2012
January1,2012throughOctober1,2012

Germany

CAC =CAC40TheFrenchstockmarketindexthattracksthe40largestFrenchstocksbasedonmarketcapitalizationontheParisBourse(stockexchange).ECB =EuropeanCentral

Bank.LTRO =LongTermRefinancingOperationwasintroducedbytheECB.ISDA =InternationalSwaps&DerivativesAssociation.IMF =InternationalMonetaryFund.EU =European
Unionconsistingof26EuropeanMembers.FOMC =BoardofGovernorsoftheUSFederalReserveSystem.ESM =EuropeanStabilityMechanismisaninternationalorganization
locatedinLuxembourg.QE3 =USFederalReservesQuantitativeEasingprogram.
Aninvestmentcannotbemadeinanindex.

13

IndustrialProduction Germany&Italy

Source:GaveKal DataResearch.
GermanyIndustrialProductionIndex(GRIPI)=IndustrialproductioninGermanyseasonallyadjustedandpublishedmonthlybytheBundsbank.Theindexincludes
mining,Electricityandgassupply,manufacturingandconstructionindices.
ItalyindustrialProductionIndex(ITPRSAN)=IndustrialproductionofItalyseasonallyadjustedandpublishedmonthlymeasuringrealoutputexpressedasa%ofreal
outputinabaseyear.
Aninvestmentcannotbemadedirectlyinanindex.

14

JapansGovernmentDebttoAnnualGDP
January1,2002throughNovember30,2012

%ofGDP
P

%ofGDP
%

Germany

Source:http://www.tradingeconomics.com/japan/gdpgrowthannual
GDP=Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersinaspecifictimeperiod,thoughGDPisusuallycalculatedonanannual
basis.

15

JapansGovernmentSpending
January1,2000throughNovember30,2012

InJPYBillion

InJPYBillion

Germany

Source:http://www.tradingeconomics.com/japan/gdpgrowthannual
JPY=JapaneseYen

16

JapaneseImports
January1,1980throughOctober31,2012

InBillion
nsJPY)

InBillio
onsJPY)

Germany

Source:http://www.tradingeconomics.com/japan/gdpgrowthannual
GDP=Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersinaspecifictimeperiod,thoughGDPisusuallycalculatedonanannual
basis.
JPY=JapaneseYen.

17

JapansBirthrate
January1,1967throughNovember30,2012

CrudePer1,0
000People

CrudePer1
1,000People

Germany

Source:http://www.tradingeconomics.com/japan/gdpgrowthannual
Crudebirthrateindicatesthenumberoflivebirthsoccurringduringtheyear,per1,000populationestimatedatmidyear.

18

JapansTradeBalance
March29,1985throughSeptember30,2012

Germany

Source:BloombergFinancialServices

19

RealRates:Japanvs.US
November30,2007throughNovember28,2012

Germany

Source:BloombergFinancialServices
RealRates=Therealinterestrateistherateofinterestaninvestorexpectstoreceiveafterallowingforinflation

20

Nikkeivs.S&P500 Last10Years
December3,2002throughNovember28,2012

Germany

Source:BloombergFinancialServices
Nikkei=Anindexshowingtheaverageclosingpricesof225stocksontheTokyoStockExchange.

21

NikkeiYields
January1,2000throughOctober31,2012
TheNikkeiisnowevenofferingyieldsaboveJapanesegovernmentbondsandtheUSS&P500yield

Yield(%)

Yield(%)
Germany
Year

Source:BloombergFinancialServices
Nikkei225IndexTotalReturn=Anindexshowingtheaverageclosingpricesof225stocksontheTokyoStockExchange.
Aninvestmentcannotbemadeinanindex.

22

Nikkeivs.JapaneseGovernmentBonds
SinceYearEnd2009
December31,2009throughNovember29,2012
$1.15
$1 10
$1.10

"Nikkei225IndexTotalReturn"
"Merrill
MerrillLynchJapaneseGovernmentTotalReturnIndex(G0Y0)
Lynch Japanese Government Total Return Index (G0Y0)"

IndexedGrow
wthof$1
(Decem
mber31,2009 N
November29,20
012)

$1.05
$1.00
$0.95
$0.90
$0.85
$0.80

Germany
$0.75

Source:BloombergFinancialServices,MerrillLynchIndices
Nikkei225IndexTotalReturn=Anindexshowingtheaverageclosingpricesof225stocksontheTokyoStockExchange.
Aninvestmentcannotbemadeinanindex.

23

RealFederalDebt

&ofTaxesPaid

January1,1913throughDecember31,2017Estimates

Source:AdvisorPerspectives.com,Debt,TaxesandPolitics:APerspectiveonFederalTaxHistory,November13,2012
http://advisorperspectives.com/dshort/updates/DebtTaxesandPolitics.php?federaldebt2011budgetlogreal
OMB=OfficeofBudgetandManagement.

Germany

24

USDebt&GDP
January1,2009throughJune30,2012

Germany

Source:AdvisorPerspectives.com,Strrettalklive.com
http://advisorperspectives.com/dshort/guest/LanceRoberts121118CeilingsCliffsandTAG.php
GDP=GrossDomesticProduct.Referstoallofthegoodsandservicesproducedinaneconomy.

25

USDebtCeiling
December10,2010throughJanuary4,2013Estimates

Germany

Source:Zerohedge.com

26

FiscalCliff

http://www.businessweek.com/articles/20120517/thefiscalcliffwilldrivetheudotsdotintorecession
BloombergBusinessweek GlobalEconomics,TheFiscalCliffWillDrivetheU.S.intoRecessionMay17th,2012
GDP=GrossDomesticProduct.Referstoallofthegoodsandservicesproducedinaneconomy.

27

WhatistheFiscalCliff?

28
http://advisorperspectives.com/dshort/guest/LanceRoberts121118CeilingsCliffsandTAG.php

FiscalCliffhanger

29
http://www.ritholtz.com/blog/wpcontent/uploads/2012/11/fiscalcliffhanger.jpg

U.S.JobLossesandRecovery

(Basedonwages
perhour)

($21$55)

($14$21)

($ $ )
($8$14)

http://www.ritholtz.com/blog/2012/09/americasminimumwagerecovery/

30

MedianHouseholdIncome
January1,2000throughOctober31,2012

NominalIncomeGrowth=Referstoincomeadjustedfortheeffectsofinflationordeflation.
RealGrowth=Growth,income,value,wage,yield,etc.expressedasaquantityfromwhichunreal(apparentandnominal)increase causedbyinflationhasbeensubtracted.
ConsumerPriceIndex=Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,suchastransportation,foodandmedicalcare.
Aninvestmentcannotbemadeinanindex.

31

OutofWork,RunningOutofBenefits

32
http://www.ritholtz.com/blog/2012/11/mondaypmreads15/

TheRealValueofConsumerSpending
January1,1999throughNovember15,2012

http://advisorperspectives.com/dshort/commentaries/GallupHolidaySpendingSurvey121121.php

33

WagesAs%oftheEconomy
January1,1947throughJune30,2012

WagessandSalary/NomiinalGDP

0.53

Wagesand
Wages
and
SalaryAccruals
OverGDP

0.51

0.49

0 47
0.47

0.45

0.43
Jan47

Jan57

Jan67

Jan77

Jan87

Jan97

Jan07

Source:http://www.businessinsider.com/corporateprofitsjusthitanalltimehighwagesjusthitanalltimelow2012
6?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+clusterstock+%28ClusterStock%29&utm_content=Google+Reader
GDP=Grossdomesticproduct(GDP)isthemonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountrysbordersinaspecifictimeperiod,thoughGDPisusually 34
calculatedonanannualbasis.
ShadedareasindicateU.S.Recessions.

CorporateProfitsHitAllTimeHighAs%ofGDP
January1,1947throughMarch31,2012
0.11

0.1

CorporateProfits/NominalGDP

0.09

0.08

0.07

0.06

0.05

0.04

0.03

0.02
Jan47

Jan57

Jan67

Jan77

Jan87

Jan97

Jan07

Source:http://www.businessinsider.com/corporateprofitsjusthitanalltimehighwagesjusthitanalltimelow2012
6?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+clusterstock+%28ClusterStock%29&utm_content=Google+Reader
GDP=Grossdomesticproduct(GDP)isthemonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountrysbordersinaspecifictimeperiod,thoughGDPisusually
35
calculatedonanannualbasis.
ShadedareasindicateU.S.Recessions.

LaborParticipationRatesbyAgeGroup
January1,1990through2020ProjectedEstimates

Source:CalculatedRiskBlog
http://www.calculatedriskblog.com/2012/10/understandingdeclineinparticipation.html

36

HouseholdIncomeGrowthByAge
June1965throughDecember31,2010

37
Source:AdvisorsPerspective,http://advisorperspectives.com/dshort/

55+YearOldsareIncreasinglyLookingforWork
Whilethose1624arebecomingmorediscouraged

http://si.wsj.net/public/resources/images/NABT254_OUTLOO_G_20121028175407.jpg
AsofJune30,2012.LaborForceParticipationchartincludesprojectionsthrough2020.

38

TotalDebtBalance
January1,2003throughSeptember30,2012

39

InflationComparison
January1,1978throughSeptember30,2012

http://globaleconomicanalysis.blogspot.com/2012/08/tradingcapsandgownsformopswhygo.html

40

%ofDebtBalance90+DaysDelinquent
January1,2003throughMarch31,2012

http://www.cnbc.com/id/49983471

41

%of90+DayDelinquentStudentLoans
December31,2002throughSeptember30,2012

42

StudentTuitionCostsvs.AverageGraduateEarnings
June30,2000throughJune30,2010

43

TAB II
TABII
BloodlessVerdictoftheMarket

MerrillFixedIncomeIndexReturns
Grey=YTDending12/10/12
Blue=Year2011
Convertibles(VOSO)
3.76%
High Yield (JOAO)
HighYield(JOAO)
InternationalEmerging(IGOV)
Corporate(COAO)
InternationalDeveloped(NOGO)
Mortgages(MOAO)
Government(G0A0)
DataSource:MerrillLynchIndices
PleaseseetheAppendixforindexdefinitions.Aninvestmentcannotbemadedirectlyinanindex.

12.24%

4 50%
4.50%

14.82%
18.03%

8.16%
10.52%
10
52%
7.51%
3.56%
5.60%
2.56%
6.14%
2.68%
9.19%
45

MerrillFixedIncomeIndexReturns
Grey=YTDending12/10/12
G
YTD di 12/10/12
Blue=Year2011
CCCRatedHighYield(JOA3)
BBRatedHighYieldCredit(JOA1)
BRatedHighYield(JOA2)
BBB R t d C dit (COA4)
BBBRatedCredit(COA4)
ARatedCredit(COA3)
AAARatedCredit(COA1)

18.29%
1.33%
14.08%
6.12%
4.72%

14.37%

11 94%
11.94%
8.12%
10.10%
7.39%
4.43%
9.11%

InvestmentGrade=IndicesratedAAAtoBBB (shownabove)areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB of
hi h b S d d & P
higherbyStandard&PoorsorBaa3byMoodys.Thehighertherating,themorelikelythebondistopaybackatpar/$100cents
B 3 b M d Th hi h h
i
h
lik l h b d i
b k
/$100
onthedollar.AAAisconsideredthehighest
h d ll AAA i
id d h hi h
qualityandthelowestdegreeofrisk.Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=Alsoknownasjunkbond(shownabove)isasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas
havinghigherdefaultriskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinorder to makethemattractive.Theyarelesslikelytopay
backatpar/$100centsonthedollar.
Source:MerrillLynchIndices.
Aninvestmentcannotbemadedirectlyinanindex.

46

Eurovs.S&P500Index
May23,2011throughDecember11,2012

Source:BloombergFinancialServices
S&P500indexisabasketof500stocksthatareconsideredtobewidelyheld.Itisweightedbymarketvalueanditsperformanceisthoughttoberepresentativeofthestockmarketas
awhole.
Euro=TheofficialcurrencyoftheEuropeanUnion(EU)memberswhohaveadopteditincluding:Austria,Belgium,Finland,France,Germany,Greece,Ireland,Italy,Luxembourg,the 47
Netherlands,NewZealand,Portugal,andSpain.
Aninvestmentcannotbemadedirectlyinanindex.

S&P500IndexandShanghaiIndex
July11,2011throughDecember11,2012

Source:BloombergFinancialServices,DoubleLineCapitalLP
S&P500indexisabasketof500stocksthatareconsideredtobewidelyheld.Itisweightedbymarketvalueanditsperformanceisthoughttoberepresentativeofthestock
marketasawhole.SPXTistheS&P500indexnettotalreturnindex.
SHCOMP=TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedontheShanghaiStock
Exchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100.
Aninvestmentcannotbemadedirectlyinanindex.

48

Source:WorldBank

Jul12

Jan11

Jul09

Jan08

Jul06

Jan05

Jul03

Jan02

Jul00

Jan99

Jul97

Jan96

Jul94

Jan93

Jul91

Jan90

Jul88

Jan87

Jul85

Jan84

Jul82

Jan81

Jul79

Jan78

Jul76

Jan75

Jul73

Jan72

Jul70

Jan69

Jul67

Jan66

Jul64

Jan63

Jul61

Jan60

US$
$

GlobalFoodPriceIndexatRecordHigh

January1,1960throughOctober31,2012
7

49

TABIII
HousingandMBSMarketTrends

NewHomeSales(AnnualizedRateinthousands)
January31,1963throughOctober31,2012

51
Source:BloombergFinancialServices

CaseShiller

Source:BloombergFinancialServices
http://www.calculatedriskblog.com/2012/11/case-shiller-house-price-comments-and.html

52

NonAgencyRMBS60++DelinquencyRate
January31,2005throughOctober31,2012
60%

50%

Prime

60++SeriousDelinquencies
Janu
uary2005throughO
October2012

AltA
40%

30%

40.9%

Subprime

24.6%

20%

11.4%
10%

0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO
status.
PrimedefinedasFICO>725andLTV<75
AltAdefinedasFICO675725;orFICO>725andLTV>=75
SubprimedefinedasFICO<675
Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

53

NonAgencyRMBSConditionalDefaultRate
January31,2005throughOctober31,2012
18%
16%

CDR
Janu
uary2005throughO
October2012

14%

Prime
AltA
l
Subprime

12%

8.7%

10%
8%

8.6%

6%
4%
2%

4.1%

0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO
i
li
i i d fi d b
h
d li
d fi d l
d
l
i
l d i f
l
status.
PrimedefinedasFICO>725andLTV<75
AltAdefinedasFICO675725;orFICO>725andLTV>=75
SubprimedefinedasFICO<675
Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

54

NonAgencyRMBSLossSeverity
January31,2005throughOctober31,2012
y ,
g
,
90%
80%

LossSeverity
Januarry2005throughOcttober2012

70%

Prime

73.0%

AltA
Subprime

60%

59.7%
50%
40%

48.1%

30%
20%
10%
0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO
status.
PrimedefinedasFICO>725andLTV<75
AltAdefinedasFICO675725;orFICO>725andLTV>=75
SubprimedefinedasFICO<675
Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

55

NonAgencyRMBSConditionalRepaymentRate
January31,2005throughOctober31,2012
45%
40%

Prime
CRR
Jan
nuary2005through
hOctober2012

35%
30%

AltA
Subprime

25%
20%

14.7%
15%
10%
5%

6.6%
2.2%

0%

SeriousDelinquenciesisdefinedbymortgagesthatare60++delinquencyratesdefinedasloans60or90dayslateinmortgagepayments,oralreadyinforeclosureorREO
status.
PrimedefinedasFICO>725andLTV<75
AltAdefinedasFICO675725;orFICO>725andLTV>=75
SubprimedefinedasFICO<675
Source:LoanPerformance,Vichara,DoubleLineCapitalasofOctober31,2012.

56

TABIV
DoubleLineFundsOverview
bl i
d
i

TotalReturnBondFundPortfolioStatistics

Total Return
BondFund

BarclaysCapitalU.S.
AggregateIndex

AveragePrice

99.25

$109.63

Duration

2.10

5.00

Average Life

3.65

6.92

PortfoliostatisticsasofNovember30,2012basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividingbythenumberofsecuritiesanddoesnotincludecash.
Averagepriceshouldnotbeconfusedwithnetassetvalue.
AverageDuration =Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterestratemovements.
g
g
y
p p
p
g g
g
g
p
g
g
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Averagelifeiscomputedastheweightedaveragetimeto
thereceiptofallfuturecashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP

58

TotalReturnBondFundPortfolioComposition
BySecurityType
CMBS
5%

Cash
17%

NonAgency
ResidentialMBS
29%
Agency
Passthroughs
30%
AgencyCMO
19%

PortfoliocompositionasofNovember30,2012.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.
sheets that may include securities that mature within 90 days
AgencyPassThroughs=MortgagepassthroughsecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).
AgencyCMO=CollateralizedMortgageObligation(CMO)isafinancialdebtvehicle/specialpurposeentitycalledapool.Investorsbuybondsissuedbytheentityandreceivepayments
accordingtoadefinedsetofrules.Themortgagesthemselvesarethecollateral,thebondsarethetranches(alsocalledclasses),andthesetofrulesthatdictateshowmoneyisreceived
fromthecollateralwillbedistributediscalledthestructure.Thelegalentity,collateralandstructurearecollectivelyreferredtoasthedeal.
59
NonAgencyRMBS=ResidentialMortgagesBondSecuritiesareatypeofbondbackedbyresidentialmortgages.NonAgencymeanstheywereissuedby aprivateissuer.
CMBS =CommercialMortgageBackedSecurities.Securitizedloansmadeoncommercialratherthanresidentialproperty.

TotalReturnBondFundPortfolioComposition
Agencyvs.NonAgencyResidentialMortgageBacked
Securities(RMBS)
Cash
17.39%
CMBS
5.13%

Agency
48.99%

NonAgency
28 49%
28.49%

PortfoliocompositionasofNovember30,2012.Subjecttochangewithoutnotice.
Source DoubleLine Capital LP Sector allocations are subject to change and should not be considered a recommendation to buy or sell any security
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
AgencyRMBS=ResidentialmortgageloansguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).
NonAgencyRMBS=Residentialmortgagebackedsecuritiesareatypeofbondbackedbyresidentialmortgages.Nonagencymeanstheywereissuedbyaprivateissuer.
CMBS =CommercialMortgageBackedSecurities.Securitizedloansmadeoncommercialratherthanresidentialproperty.
60
Cash=Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentson
balancesheetsthatmayincludesecuritiesthatmaturewithin90days.

TotalReturnBondFundPortfolioComposition
BySecurityType
IOCurrent,1.22%

IOLocked,0.06%

CMOLocked,
12.61%
CMOCurrent,
4.04%

Cash,17.39%

InverseFloater,
1.01%

PassThrough,
30.04%

PortfoliocompositionasofNovember30,2012.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.
AgencyPassThroughs=MortgagepassthroughsecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).
A
AgencyCMO=CollateralizedMortgageObligation(CMO)isafinancialdebtvehicle/specialpurposeentitycalledapool.Investorsbuybondsissuedbytheentityandreceivepayments
CMO C ll t li d M t
Obli ti (CMO) i fi
i l d bt hi l /
i l
tit
ll d
l I
t b b d i
d b th
tit
d
i
t
accordingtoadefinedsetofrules.Themortgagesthemselvesarethecollateral,thebondsarethetranches(alsocalledclasses),andthesetofrulesthatdictateshowmoneyisreceived
fromthecollateralwillbedistributediscalledthestructure.Thelegalentity,collateralandstructurearecollectivelyreferredtoasthedeal.
IO =InterestOnlymortgagepoolsinwhichtheborrowersmonthlypaymentisonlytowardtheinterestontheloan.Anonamortized loan.
61
InverseFloater=Amortgagepoolthathasayieldthatisinverselyrelatedtointerestrates.
Currentpay =Loansthatarecurrentlyreceivingprincipalpayments.
LockedOut=Loansthatforasetperiodoftimewillnotreceiveprincipalpayments.

TotalReturnBondFundPortfolio
NonAgencyRMBSBreakdownByOriginalRating
AA
1%
AA+
0%

BBB
A
3%
2%

NR
8%

AAA
86%

Portfoliocompositionandcreditratingsasofsecurityorigination.Portfoliocompositionissubjecttochangewithoutnotice.TherearesomenonratedsecuritiesintheFundasshown
inthegraphabove.CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognized StatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB orhigherbyStandard&
PoorsorBaa3byMoodys.Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikelythebondistopayback atpar/$100centsonthedollar.AAAisconsideredthe
$
highestqualityandthelowestdegreeofrisk.Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=AlsoknownasjunkbondisasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas havinghigherdefaultriskor
otheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.They arelesslikelytopaybackatpar/$100centsonthedollar.
62
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
Source:DoubleLineCapitalLPasofNovember30,2012.

TotalReturnBondFundPortfolio
NonAgencyRMBSBreakdownByCurrentCreditQuality
NR
8%

AAA
5% AA A+
1% 1% A
2%

A BBB+
1% 1%
BBB BBB
4% 0%
BB+
BB
2%

D
12%

BB
1%

CCC+
7%

CC
11%

B
4%

BB
1%

B+
2%

B
3%
CCC
13%
CCC
22%

PortfoliocompositionasofNovember30,2012.Portfoliocompositionissubjecttochangewithoutnotice.Therearesomenonratedsecuritiesintheportfolioasshowninthechart
above.CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB (showninblueabove)areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB of
higherbyStandard&PoorsorBaa3byMoodys.Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikely thebondistopaybackatpar/$100centsonthedollar.
AAA i
AAAisconsideredthehighestqualityandthelowestdegreeofrisk.Theyareconsideredtobeextremelystableanddependable.
id d h hi h
li
d h l
d
f i k Th
id d b
l
bl
dd
d bl
BelowInvestmentGrade=Alsoknownasjunkbond(showningreyabove)isasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas
havinghigherdefaultriskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinorder to makethemattractive.Theyarelesslikelytopaybackat
par/$100centsonthedollar.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
Source:DoubleLineCapitalLP

63

TotalReturnBondFundPortfolio
NonAgencyRMBSBreakdownByPrice
NonAgencyPriceBreakdown
7.0%

6.0%

%ofFund

5.0%

4.0%

3.0%

2.0%

1.0%

0.0%

DollarPrice
PortfoliopricecompositionasofNovember30,2012.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.

64

CoreFixedIncomeFundPortfolioStatistics

CoreFixedIncome
Fund

BarclaysCapitalU.S
AggregateIndex

$107.30

$109.63

Duration

4.86

5.00

Average Life

6.67

6.92

AveragePrice

PortfoliostatisticsasofNovember30,2012basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividing by thenumberofsecuritiesanddoesnotincludecash.
Averagepriceshouldnotbeconfusedwithnetassetvalue.
AverageDuration=Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterest ratemovements.
g
g
y
p p
p
g g
g
g lifeiscomputedastheweightedaveragetimeto
p
g
g
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Average
thereceiptofallfuturecashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP

65

CoreFixedIncomeFundPortfolioComposition
HYCorporate
0.14%

CMBS
7.08%

Cash
0.98%

Govt
19.45%

IGCorporate
21.63%

EM
10.64%

MBS
40.08%

PortfoliocompositionasofNovember30,2012.Subjecttochangewithoutnotice.
Cash =Cashholdingincludethevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cash
equivalentsonbalancesheetsthatmayincludesecuritiesthatmaturewithin90days.
Government=Governmentdebt(alsoknownaspublicdebtornationaldebt)ismoney(orcredit)owedbyanylevelofgovernment;eithercentralgovernment,federalgovernment,
municipalgovernmentorlocalgovernment.
MortgageBackedSecurities=Amortgagebackedsecurity(MBS)isanassetbackedsecurityordebtobligationthatrepresentsaclaimonthecashflowsfrom mortgageloans,most
commonlyonresidentialproperty
l
id i l
EmergingMarketsFixedIncome=Emergingmarketdebt(EMD)isatermusedtoencompassbondsissuedbylessdevelopedcountries.
InvestmentGradeandHighYieldCorporates=Investmentgradeandnoninvestmentgradecorporatecredit.Bondsissuedbycorporationstoraisemoneyinordertoexpandits business.
CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).AbondratedBBBor
66
higherwouldbeconsideredInvestmentGrade.AnybondratedBBBorbelowwouldbeHighYield.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.

CoreFixedIncomeFund
PortfolioCreditQualityBreakdown
BelowIG
13.47%

Unrated Cash
0.99% 0.98%
Govt
19.45%

Investment
Grade
39.20%

Agency
25.91%

PortfoliocompositionandcreditratingsasofNovember30,2012.Portfoliocompositionissubjecttochangewithoutnotice.Creditdistributionisdeterminedfromthehighestavailable
creditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
Cash =Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds, banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.
Government =Governmentdebt(alsoknownaspublicdebtornationaldebt)ismoney(orcredit)owedbyanylevelofgovernment;eithercentralgovernment,federalgovernment,
municipalgovernmentorlocalgovernment.
Agency =MortgagesecuritieswhoseprincipalandinterestareeffectivelyguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).
I
InvestmentGrade=AbondisconsideredinvestmentgradeifitscreditratingisBBB
t
tG d Ab di
id d i
t
t
d if it
dit ti i BBB ofhigherbyStandard&PoorsorBaa3byMoodys.Ratingsbasedoncorporatebondmodel.The
f hi h b St d d & P
B 3 b M d R ti
b d
t b d
d l Th
highertherating,themorelikelythebondistopaybackatpar/$100centsonthedollar.
BelowInvestmentGrade=Alsoknownasjunkbondisasecurityratedbelowinvestmentgrade.Thesebondsareseenashavinghigherdefaultriskor otheradversecreditevents,but
typicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.Theyarelesslikelytopaybackatpar/$100centsonthedollar.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
67
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
Source:DoubleLineCapitalLP.

ToCatchAThief

LiveWebcasthostedby:
JeffreyGundlach
ChiefExecutiveOfficer

December11,2012

U.S. Aggr
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getIndexA
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to In

IndexDescriptions
B l
BarclaysCapitalUSAggregateIndex
C it l US A
t I d
TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered, taxable,anddollardenominated.Theindex
coverstheUSinvestmentgradefixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbacked
securities.Thesemajorsectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.
BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemaining
maturityofoneyearormore.

BarclaysCapitalUSTreasury2YearIndex Thisindexisthe2yearcomponentoftheUSGovernmentindex.
Barclays Capital US Treasury 5 Year Index Thisindexisthe5yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSTreasury5YearIndex
Thi i d i th 5
t f th US G
ti d
BarclaysCapitalUSTreasury7YearIndex Thisindexisthe7yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebtissuer
fromcountriesdesignatedasemergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianandglobal bonds(SECregistered)ofissuersinnonEMGcountries
areincluded.Originalissuezereos,stepupcouponstructures,144Asandpayinkind(PIK,asofOctober1,2009)arealsoincluded.

BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesinthe
TreasuryandAgencyindices.)

BofAMerrillLynchUS15+YearTreasuryIndexLongTreasuries(G802) ThisindexisasubsetoftheBofAMerrillLynchUSTreasuryIndexincludingall
securitieswitharemainingtermoffinalmaturitygreaterthan15years..

BofAMerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominated
investmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&Pand
Fitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securitiesmusthaveatleast
oneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.

BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocks
ofU.S.registeredcompanies,whichhave$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRsorcashequivalents.
Pleasenoteaninvestorcannotinvestdirectlyinanindex.

CRB Commodity Index Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.The

CRBCommodityIndex
An unweighted geometric average of some important commodities. It averages prices across 17 commodities and across time. The
indextracksenergy,grains,industrials,livestock,preciousmetals,andagriculturals.
S&P500 S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactively tradedintheUnited
States.
StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alow
standarddeviationindicatedthatthedatapointtendtobeveryclosetothemean,whereashighstandarddeviationindicated thatthedateisspreadoutovera
large range of values.
largerangeofvalues.
DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withthe
exceptionofaluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME
69

U.S. Aggr
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getIndexA
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IWS?requ
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IndexDescriptions
B fA M ill L h US D ll E
BofAMerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV)
i M k t S
i Pl I d (IGOV)
ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpubliclyissuedintheeurobondorUSdomesticmarket.Qualifying
countriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedonanaverageofMoodys,S&P,andFitch).

BofAMerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt,currentlyinacouponpayingperiod,thatispubliclyissued
intheUSdomesticmarket.Qualifyingsecuritiesmusthaveabelowinvestmentgraderating(basedonanaverageofMoodys,S&PandFirthforeigncurrencylongtermsovereigndebt
ratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.
g)
y
g
y
g
$

BofAMerrillLynchInternationalGovernmentIndex(NOGO)
TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUKinvestmentgradesovereigndebtpubliclyissuedand
denominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleanda
minimumamountoutstanding.

BofAMerrillLynchMortgageBackedSecuritiesIndex(MOA0)
ThisindextrackstheperformanceofUSdollardenominatedfixedrateandhybridresidentialmortgagepassthroughsecuritiespubliclyissuedbyUSagenciesintheUSdomestic
market.30year,20year,15yearandinterestonlyfixedratemortgagepoolsareincludedintheIndexprovidedtheyhaveatleastoneyearremainingtermtofinalmaturityanda
k t 30
20
15
di t
t l fi d t
t
l
i l d d i th I d
id d th h
tl t
i i t
t fi l
t it
d
minimumamountoutstandingofatleast$5billionpergenericcouponand$250MMperproductionyearwithineachgenericcoupon.

BofAMerrillLynchU.S.MunicipalSecuritiesIndex(UOA0)
ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,andtheirpoliticalsubdivisions,intheUS
domesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleand aninvestmentgraderating(basedonMoodys,S&P
andFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattimeofissuance.

BarclaysCapitalGlobalEmergingMarketsIndex
y
p
g g
TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmerging
y
p
g g
p
g g
MarketsindexandthepredominatelyEURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas,Europe,MiddleEast,Africa,
andAsia.AswithotherfixedincomebenchmarksprovidedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewofthemarketplaceandeasyreplicability.

JPMorganInvestmentGradeCorporateIndex JPMorganInvestmentGradeCorporateIndexincludesperformanceofUSdollardenominatedinvestmentgrade
corporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&PandFitch)andan
investmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securitiesmusthaveatleastoneyear
remainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
DrawDown Thepeaktotroughdeclineduringaspecificrecordperiodofaninvestment,fundorcommodity.Adrawdownisusuallyquotedas thepercentagebetweenthepeak
andthetrough.

NAV Amutualfund'spricepershareorexchangetradedfund's(ETF)persharevalue.Inbothcases,thepersharedollaramountofthefundiscalculatedbydividingthetotalvalue
ofallthesecuritiesinitsportfolio,lessanyliabilities,bythenumberoffundsharesoutstanding.

CMO Atypeofmortgagebackedsecuritythatcreatesseparatepoolsofpassthroughratesfordifferentclassesofbondholderswithvaryingmaturities,calledtranches.The
repaymentsfromthepoolofpassthroughsecuritiesareusedtoretirethebondsintheorderspecifiedbythebonds'prospectus
TIPS TreasuryInflationProtection.Atreasurysecuritythatisindexedtoinflationinordertoprotectinvestorsfromthenegativeeffectsofinflation.TIPSareconsideredanextremely
lowriskinvestmentsincetheyarebackedbytheU.S.governmentandsincetheirparvalueriseswithinflation,asmeasuredbytheConsumerPriceIndex,whiletheirinterestrate
remainsfixed.
CPI

ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,such astransportation,foodandmedicalcare.

CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome.

70

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IndexDescriptions
BofAMerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominatedsovereigndebtpublicly
issuedbytheUSgovernmentinitsdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinal
y
g
y g
y
g
maturity,afixedcouponschedule
y
p
andaminimumamountoutstandingof$1billion.
BofAMerrillLynchUS1015YearTreasuryIndexLongTreasuryTheMerrillLynchUS1015TreasuryIndextrackstheperformanceofUSdollardenominated10
15yearsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCrated
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBBratedIndex(JOA1) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBBrated
Hi h Yi ld dit l
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBratedIndex(JOA2) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBratedHigh
Yieldcreditonly.
BofA/MerrillLynchCreditIndexBBBratedIndex(COA4) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthelowerratedBBB
investmentgradecredits.
BofA/MerrillLynchCreditIndexAratedIndex(COA3) . AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingontheAratedinvestmentgrade
credits.
BofA/MerrillLynchCreditIndexAAAratedIndex(COA1) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthehighestratedAAA
investmentgradecredits.
DowJones UBSCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionof
aluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME).
ShanghaiIndex TheShanghaiStockExchangeCompositeisacapitalizationweightedindextrackingdailypriceperformanceofallAandBshareslistedonthe
ShanghaiStockExchange.ThisindexwasdevelopedDecember19,1990withabasevalueof100.
S&P/CaseShillerCompositeHomePriceIndex
/
TheCaseShillerHomePriceIndices,onecomprisedofpricechangeswithinall20metropolitanmarkets,and
anothercomprisedofpricechangeswithinthefollowingsubsetof10metropolitanmarkets:Boston,Chicago,Denver,LasVegas,LosAngeles,Miami,NewYork,
SanDiego,SanFranciscoandWashingtonDC.Inadditiontothose10markets,the20HomePriceindexreflectspricechangesforAtlanta,Charlotte,Dallas,Detroit,
Minneapolis,Phoenix,Portland,SeattleandTampa.
DowJonesIndustrialAverage AlsoknownastheDOWisastockmarketindexthatincludes30largepublicallyownedcompaniesbasedintheU.S.havetraded
duringastandardtradingsessioninthestockmarket.
NASDAQ Acomputerizedsystemthatfacilitatestradingandprovidespricequotationsonmorethan5,000ofthemoreactivelytradedover
NASDAQ
A computerized system that facilitates trading and provides price quotations on more than 5 000 of the more actively traded over thecounterstocks.
the counter stocks
Createdin1971,theNasdaqwastheworld'sfirstelectronicstockmarket.
Transports TheIndustrialsSectorincludescompanieswhosebusinessesaredominatedbyoneofthefollowingactivities:Themanufactureand distributionof
capitalgoods,includingaerospace&defense,construction,engineering&buildingproducts,electricalequipmentandindustrial machinery
Utilities Apublicutilityisabusinessthatfurnishesaneverydaynecessitytothepublicatlarge.Publicutilitiesprovidewater,electricity,naturalgas,telephone
service,andotheressentials.Utilitiesmaybepubliclyorprivatelyowned,butmostareoperatedasprivatebusinesses.
BasisPoint Abasispointisaunitthatisequalto1/100th of1%,andisusedtodenotethechangeinafinancialinstrument.
REIT RealEstateTrust.Asecuritythatsellslikeastockonthemajorexchangesandinvestsinrealestatedirectly,eitherthrough propertiesormortgages
Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebt
securities,priortomaturity.Securitieswithalongerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.
BookValue Bookvalueisthenetassetvalueofacompany,calculatedbysubtractingtotalliabilitiesformtotalassets.
71
PrimeXIndex PrimeXisanindexofferedbyMarkit.ItallowsinvestorstosyntheticallygainexposuretononagencyPrimeresidentialmortgagecollateral.An
investmentcannotbemadedirectlyinandindex.

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IndexDescriptions
BofAMerrillLynch10YearUSTreasuryIndex(G0Q0) TheMerrillLynchUS10yearTreasuryIndextrackstheperformanceofUSdollardenominated10year
sovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
BofAMerrillLynchUS30YearTreasuryIndexTheMerrillLynchUS30yearTreasuryIndextrackstheperformanceofUSdollardenominated30yearsovereign
debtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
DowJones,CreditSuisseIndex(DJCSIN10) .AimstoreflectchangesinthelongterminflationexpectationsembeddedintheUSgovernmentbondmarketby
trackingalongpositioninontherun10yearTIPSbonds,andadurationadjustedshortpositionintheclosestmaturityTreasurytotheOTRTIPS..
g
gp
y
j
p
y
y
CitigroupTIPS(SBUSILSI) . Itmeasuresthereturnsoftheinflationlinkedbondswithfixedratecouponpaymentsthatarelinkedtoaninflationindex.The priceof
eachissueintheUSLSIisadjustedbyusinganindexratio.Theindexratioisdeterminedbydividingthecurrentinflationindexlevelbytheinflationindexlevelat
thetimeofissueofthesecurity.Theinflationindexispublishedonamonthlybasis,andtheintramonthindexratioiscalculatedusinglinear
interpolation.
BarclaysCapital5YearTIPS(BXIIUL05) .BarclaysCapital5yearTIPSontherunindexquotedinUSDollarstradedintraday.
BarclaysCapital10YearTIPS(BXIIUL10) . BarclaysCapital10yearTIPSontherunindexquotedinUSDollarstradedintraday
B l
BarclaysCapital20YearTIPS(BXIIUL20)
C it l 20 Y
TIPS (BXIIUL20) .BarclaysCapital20yearTIPSontherunindexquotedinUSDollarstradedintraday
B l
C it l 20
TIPS
th
i d
t d i US D ll t d d i t d
BarclaysCapitalUSMBSIndex coversthemortgagebackedpassthroughsecuritiesofGinnieMae(GNMA),FannieMae(FNMA),andFreddieMac(FHLMC).The
MBSIndexisformedbygroupingtheuniverseofover600,000individualfixedrateMBSpoolsintoapproximately3,500generic aggregates.
BarclaysCapitalUS30YearTIPSIndex . BarclaysCapital30yearTIPSontherunindexquotedinUSDollarstradedintraday
CitigroupEconomicSurpriseIndex . TheCitigroupEconomicSurpriseIndicesareobjectiveandquantitativemeasuresofeconomicnews.Theyaredefinedas
weightedhistoricalstandarddeviationsofdatasurprises(actualreleasesvsBloombergsurveymedian).Apositivereadingof theEconomicSurpriseIndexsuggests
that economic releases have on balance beating consensus. The indices are calculated daily in a rolling threemonth
thateconomicreleaseshaveonbalancebeatingconsensus.Theindicesarecalculateddailyinarollingthree
monthwindow.Theweightsofeconomicindicators
window. The weights of economic indicators
arederivedfromrelativehighfrequencyspotFXimpactsof1standarddeviationdatasurprises.Theindicesalsoemployatimedecayfunctiontoreplicatethe
limitedmemoryofmarkets.

72

Disclaimer
ImportantInformationRegardingThisReport
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bytheinvestmentteams,areextremelysophisticated,maynotalwaysproducetheintendedresultsandarenotintendedforusebynonprofessionals.
DoubleLinehasnoobligationtoproviderevisedassessmentsintheeventofchangedcircumstances.Whilewehavegatheredthisinformationfromsources
believedtobereliable,DoubleLinecannotguaranteetheaccuracyoftheinformationprovided.Securitiesdiscussedarenotrecommendationsandarepresented
as examples of issue selection or portfolio management processes They have been picked for comparison or illustration purposes only No security presented
asexamplesofissueselectionorportfoliomanagementprocesses.Theyhavebeenpickedforcomparisonorillustrationpurposesonly.Nosecuritypresented
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dictateorasadditionalinformationbecomesavailable.

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, y
p
p
yp
y,
gy,
Pastperformanceisno
p
guaranteeoffutureresults.

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D bl Li i
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ti
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Opinionsexpressedaresubjecttochangeatanytime,arenotaguaranteeandshouldnotbeconsideredinvestmentadvice.
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