DoubleLine Shiller CAPE U.S. Equities ETF (CAPE US) – Portfolio Construction Methodology

The investment strategy guiding the actively managed DoubleLine Shiller CAPE U.S. Equities ETF rotates U.S. large-cap sector exposure using a valuation-plus-momentum framework anchored to a modified CAPE ratio. The portfolio systematically identifies the five most undervalued sectors by long-horizon earnings-adjusted valuation, removes the weakest by recent total return to mitigate value-trap risk, and equally weights the remaining four sectors. Implementation emphasizes liquid U.S. large-cap equities within the selected sectors; the fund is non-diversified and typically holds a representative basket rather than a full-market replication. Rebalancing occurs monthly per the rules, with constituent turnover driven primarily by sector selection changes and corporate actions. Sell/trim discipline is rules-based through the recurring sector re-rank and momentum filter. Capacity is supported by the use of broad, liquid U.S. sector constituents and a capped number of concurrent sector allocations.

To explore CAPE in more depth, visit our ETF analytics platform for institutional-grade insights — including performance and risk metrics, correlations, sensitivities, and factor exposure: https://www.etfstrategy.com/etf/CAPE_US