ThisTimeItsDifferent

FundOfferings
TotalReturnBondFund

CoreFixedIncomeFund

RetailandInstitutionalClass
NoLoadMutualFund

RetailandInstitutionalClass
NoLoadMutualFund
Retail Inst.
NshareIshare

Ticker
MinInvestment
MinIRAInvestment
GrossExpenseRatio

DLTNXDBLTX
$2,000
$500
0.72%

$100,000
$5,000
0.47%

Retail
Nshare
Ticker
MinInvestment
MinIRAInvestment
GrossExpenseRatio

Inst.
Ishare

DLFNX

DBLFX

$2,000
$500
0.77%

$100,000
$5,000
0.52%

TheFundsinvestmentobjectives,risks,chargesandexpensesmustbeconsideredcarefullybeforeinvesting.The
statutoryprospectusandsummaryprospectus(ifavailable)containsthisandotherimportantinformationaboutthe
Funds,anditmaybeobtainedbycalling1(877)3546311/1(877)DLINE11,orvisitingwww.doublelinefunds.com.
Readitcarefullybeforeinvesting.
Investmentsindebtsecuritiestypicallydecreaseinvaluewheninterestratesrise.Thisriskisusuallygreaterforlongertermdebtsecurities.Investmentsinlowerratedandnonrated
securitiespresentagreaterriskoflosstoprincipalandinterestthanhigherratedsecurities.InvestmentsinAssetBackedandMortgageBackedSecuritiesincludeadditionalrisksthat
investorsshouldbeawareofsuchascreditrisk,prepaymentrisk,possibleilliquidityanddefault,aswellasincreasedsusceptibilitytoadverseeconomicdevelopments.TheFundsmayuse
certaintypesofinvestmentderivatives.Derivativesinvolverisksdifferentfrom,andincertaincases,greaterthantheriskspresentedbymoretraditionalinvestments.Derivativesmay
involvecertaincostsandrisksuchasliquidity,interestrate,market,credit,managementandtheriskthatapositioncouldnotbeclosedwhenmostadvantageous.Investinginderivatives
couldlosemorethantheamountinvested.TheFundsmayalsoinvestinsecuritiesrelatedtorealestate,whichmaydeclineinvalueasaresultoffactorsaffectingtherealestateindustry
TheCoreFixedIncomeFundinvestsinforeignsecuritieswhichinvolvegreatervolatilityandpolitical,economicandcurrencyrisksanddifferencesinaccountingmethods.Theserisksare
greaterforinvestmentsinemergingmarkets.
TheTotalReturnBondFundintendstoinvestmorethan50%ofitsnetassetsinmortgagebackedsecuritiesofanymaturityortype.
Opinionsexpressedaresubjecttochangeatanytime,arenotforecastsandshouldnotbeconsideredinvestmentadvice.
DoubleLineFundsaredistributedbyQuasarDistributors,LLC.
WhiletheFundsarenoload,managementfeesandotherexpensesstillapply.Pleaserefertotheprospectusforfurtherdetails.
Fundholdingsandsectorallocationsaresubjecttochangeandarenotrecommendationstobuyorsellanysecurity.
AsofNovember30,2014DoubleLine TotalReturnBondFundandCoreFixedIncomeFundown0%inBearStearns,GoldmanSachs,MerrillLynch,LehmanBrothers,andMorganStanley.

Performance
DoubleLineTotalReturnBondFund QuarterEndingSeptember30,2014
QuarterEnd
September 30,2014

3Q
2014

1Year

Ishare

0.75%

Nshare
BarclaysU.S.
AggregateIndex

3Year

SinceInception

Annualized

Annualized
(4610to93014)

4.99%

4.96%

8.92%

0.59%

4.72%

4.68%

8.65%

0.17%

3.96%

2.43%

4.27%

Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturn
andprincipalvalueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthanthe
originalcost.Currentperformanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothe
mostrecentmonthendmaybeobtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
BarclaysUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.Theindexcoversthe USinvestmentgradefixedrate
bondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthroughsecurities,andassetbackedsecurities.Thesemajor
sectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.Itisnotpossibletoinvestinanindex.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.
*IfaFundinvestedinanaffiliateFundsponsoredbytheAdviserduringtheperiodcoveredbythisreporttheAdviseragreed to notchargeamanagementfeetotheFundinanamountequaltothe
investmentadvisoryfeespaidbytheaffiliatedFundinrespectoftheFundsinvestmentintheaffiliatedfundtoavoidduplicatechargeoftheinvestmentadvisoryfeestotheinvestors.

Performance
DoubleLineCoreFixedIncomeFund QuarterEndingSeptember30,2014

AsofSeptember30, 2014

IShare NShare

GrossExpenseRatio

0.52%

0.77%

Performancedataquotedrepresentspastperformance;pastperformancedoesnotguaranteefutureresults.Theinvestmentreturn
andprincipalvalueofaninvestmentwillfluctuatesothataninvestor'sshares,whenredeemed,maybeworthmoreorlessthanthe
originalcost.Currentperformanceofthefundmaybelowerorhigherthantheperformancequoted.Performancedatacurrenttothe
mostrecentmonthendmaybeobtainedbycalling2136338200orbyvisitingwww.doublelinefunds.com.
PastPerformancedoesnotguaranteefutureresults.Indexperformanceisnotillustrativeoffundperformance.
*IfaFundinvestedinanaffiliateFundsponsoredbytheAdviserduringtheperiodcoveredbythisreporttheAdviseragreed to notchargeamanagementfeetotheFundinanamountequaltothe
investmentadvisoryfeespaidbytheaffiliatedFundinrespectoftheFundsinvestmentintheaffiliatedfundtoavoidduplicatechargeoftheinvestmentadvisoryfeestotheinvestors.

Announcements
NewFund
LongDurationTotalReturn

Webcast
JeffreyGundlach January13,2015
MarketOutlook
Gotowww.doubleline.com,HomepageunderEvents
2015WebcastSchedulewillbeavailableshortly
1:15pmPDT/4:15pmEDT
ToReceivePresentationSlides:
Youcanemail
[email protected]

ThisTimeItsDifferent

PastFedTighteningCycles
December31,1992 December5,2014
7%
FederalFundsTargetRate

5%
March 25, 1997

4%

June 30,1999

June 30, 1999

3%
2%

February4,1994
February
4, 1994
CurrentTargetRange:
CurrentTargetRange:
0%to0.25%
0%to0.25%

1%
June 30, 2004

Source:ValueWalk,TakingaLessonFromTwoDecadesofFedRateHikesbyClaytonBrown,July1,2014

Jan14

Jan13

Jan12

Jan11

Jan09

Jan08

Jan07

Jan06

Jan04

Jan03

Jan02

Jan01

Jan00

Jan99

Jan98

Jan97

Jan96

Jan95

Jan94

Jan93

Jan05

June 30,2004

0%

Jan10

FederalFundsTargetRate(%)
December31,1992 December5,2014

6%

FedFundsTargetRateandUSRecessions

FedHikingCyclesandEconomicCycles
Asof10/31/14

*Note:June2015ratehikebasedonBloomberganalystsurveys.RecessionsaccordingtoNationalBureauofEconomicResearch(NBER).
Source:Bloomberg;DoubleLine;CreditSuisse
Bps=basispoints

CurrentEconomicCyclevs.PreviousCycles
Asof11/30/14
LengthofEconommicCycles
ContractionandExpansions
70

65months
andcounting

Conraction
Expansion

58.4

60

NumberofMonths

50
38.7

40

35.0

30

26.6
21.6

20

18.2

17.5

18.0
11.1

10
0
18542009
(33cycles)

18541919
(16cycles)

19191945
(6cycles)

19452009
(11cycles)

Note:EconomicexpansionsandcontractionsareaccordingtoNationalBureauofEconomicResearch(NBER).
Source:Bloomberg;DoubleLine

CurrentCycle

10

MarketImpliedRatesvs.FED

Source:Bloomberg

11

U.S.Rates:FedFundsForwardCurve
Anticipating a Fed rate hike is like waiting for a friend who
never shows up Dan Loeb

Source:StateStreet
FedFundprojectionsannually.EachcoloredlinerepresentstheconsensusopinionprojectionsgiveneachFedmeeting.

12

US,UKandEuroSeemFarFromHiking

Notes:Asof9/10/14
Source:GoldmanSachs,GlobalEconomicsWeekly
GDP=GrossDomesticProduct.Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersina specifictimeperiod,thoughGDPis
usuallycalculatedonanannualbasis

13

GDPForecasts
January1,2004through2016Estimates
5%
4%
USRealGDP(YoY %)

3%
2%

3.80%
3.30%
2.70%

3.00% 2.90%
2.30%
2.50%
2.20%
2.20%
1.60%

1.80%

1%
0%
1%

0.30%

2%
3%

2.80%

4%
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Source:DoubleLine,Bloomberg
GDP=GrossDomesticProduct.Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersina specifictimeperiod,thoughGDPisusuallycalculatedon
anannualbasis.GDPYOY=GDPYearOverYear.EHGDUSYIndex=USRealGDP.ECFC=EconomicForecasts.Youcannotinvestdirectlyinanindex.

14

MedianEconomistForecastsofU.S.Real
GDPAnnuallythroughDecember4,2014
MedianEconomistForecastforRealGDPatYearEnd

MedianEconomistForecastofUSRealGDPatYearEnd
3.5

(byyear)

3.3
2011

3.1

2012

2.9

2013

2.7

2014

2.5
2.3
2.1
1.9
1.7
1.5
520

480

440

400

360

320

280

240

200

160

120

80

40

Days LeadingUptoForecast
(TradingDays)
Source:DoubleLine,Bloomberg
GDP=GrossDomesticProduct.Themonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersina specifictimeperiod,thoughGDPisusuallycalculatedon
anannualbasis.ECGDUS14index=USGDPEconomicForecastsquarteroverquarterandyearoveryear.Youcannotinvestdirectlyinanindex.

15

RevisionstoChinaGrowthExpectations
January1,2010throughNovember19,2014
MedianForecastofChinaRealGDP
10.5

(byyear)
Thelast3 yearshave
beenastoryof
downwardrevisionsto
growthinChina.

MedianRealGDPForecast(%)

10
9.5
9

2010
2011

8.5

2012
2013

2014
7.5
7
520

480

440

400

360

320

280

240

200

160

120

80

40

Days LeadingUptoForecast
(TradingDays)
Source:Bloomberg
GDP=ThegrossdomesticproductisThemonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersinaspecifictimeperiod,thoughGDP
isusuallycalculatedonanannualbasis.Youcannotinvestdirectlyinanindex.

16

GlobalGDPForecasts

Source:DeutscheBank,GFD
GDP=ThegrossdomesticproductisThemonetaryvalueofallthefinishedgoodsandservicesproducedwithinacountry'sbordersinaspecifictimeperiod,thoughGDPis
usuallycalculatedonanannualbasis.Youcannotinvestdirectlyinanindex.CPB=NetherlandsBureauofEconomicPolicyAnalysis.IMF=InternationalMonetaryFund.
NBER=NationalBureauofEconomicResearch.

17

10yearU.S.TreasuryYieldForecastfor
YearEnd2014 July11,2013throughDecember4,2014
3.7

BloombergMedianEconomistForecastforYearEnd2014and
Actual10yUSTYields

3.5
3.3

3.1

MedianEconomist
Forecast2014

Median
Economist
Forecast2015

3.24%

2.9
2.7
2.5

10yUSTYield

2.50%

2.3
2.1

Notes:MedianeconomistforecastsarebasedonBloombergsurveydataasof11/14/14.
Source:Bloomberg;DoubleLine

2.23%

18

GlobalBondYieldChange
YearToDate(YTD)2014through12/4/14

ChangeinGlobal10yBondYTD(BPS)
300

267

BasisPoints

200
100
0
100

79 85

37

54
116

200

21 35 20

22
103

94

116
152

152
211 209

300

Source:Bloomberg;Doubleline
Bps=Basispoints.YTD=yeartodate

86
118

226

177
250

19

GermanBundsvs.U.S.Treasuries
December31,1999throughDecember5,2014
7%

Yield(%)
December31,1999 December5,2014

6%

10YearUSTreasuryYield
10YearGermanBundYield

5%

4%

3%

2%

1%

0%

Source:Bloomberg
USGG10YIndex=Generic10yearU.S.Treasury.GDBR10Index=GermanBund10yeargeneric10yrtreasuryrates.Youcannotinvestdirectlyinanindex.

20

30YearU.S.TreasuryTotalReturns
January1,1974throughNovember30,2014
30-Year Treasury Year-To-Date Total Returns
Every Year Since 1974
50%

50%

1989
1993
1995
2000
2008
2011
2014 YTD

40%

30%

Good Years
Return
Subsequent Year
20.07%
4.39%
20.01%
-11.99%
34.14%
-4.32%
20.22%
4.21%
41.85%
-25.91%
35.31%
2.69%
24.06%
???

1994
1999
2013

Bad Years
Return
Subsequent Year
-11.99%
34.14%
-14.78%
20.22%
-15.07%
25.21%

2008
40%
1985

1986

1995
30%

20%

20%

2014
10%

10%

0%

0%

-10%

-10%

-20%

2009

-30%

-20%

-30%
0

12

24

36

48

60

72

84

96 108 120 132 144 156 168 180 192 204 216 228 240 252 264
# Of Trading Days Since Jan 1

Source:Bianco Research

21

WhatHappenedto10yearU.S.Treasury
RatesDuringthe20042006RateHike
Cycle?August1,2003throughSeptember30,2007
Percent(%)

6%
5%
4%
3%
2%

10YearUSTreasuryYield

1%

FederalFundsTargetRate

0%

Source:Bloomberg;DoubleLine
USGG10YRIndex=Generic10yearUSTreasuryyields.FederalFundsTargetRates=federalfundsrateis"theinterestrate"[1] atwhichdepositoryinstitutions activelytradebalancesheldat
theFederalReserve,calledfederalfunds,witheachother,usuallyovernight,onanuncollateralized basis.Youcannotinvestdirectlyinanindex.

22

U.S.InterestRates:
U.S.Treasury2yearvs.10yearSpread
August8,2004throughDecember5,2014
10YearUSTreasuryYieldminus2YearUSTreasury
YieldAugust8,2004 December5,2014

3.5%
10YearUSTreasuryYield2YearUSTreasuryYield
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
0.5%

Source:Bloomberg;DoubleLine
USGG10YRIndex=Generic10yearUSTreasuryyields.Youcannotinvestdirectlyinanindex.

23

HighYieldSpreadsandFedHiking
CyclesAsof12/4/14
HighYieldSpreadsandFedHikingCycles

20

HikingCycles

BarclaysHYSpreadto10YUST%

18
16
14
12
10
8
6

Source:Bloomberg;DoubleLine
BarclaysHYIndex=trackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt.Youcannotinvestdirectlyinan
index.

1/4/2014

1/4/2013

1/4/2012

1/4/2011

1/4/2010

1/4/2009

1/4/2008

1/4/2007

1/4/2006

1/4/2005

1/4/2004

1/4/2003

1/4/2002

1/4/2001

1/4/2000

1/4/1999

1/4/1998

1/4/1997

1/4/1996

1/4/1995

1/4/1994

1/4/1993

1/4/1992

1/4/1991

1/4/1990

1/4/1989

1/4/1988

1/4/1987

1/4/1986

1/4/1985

24

U.S.CorePCE
12%

FEDLongTermGoal(2%)

Percent(%)
12/31/1964 10/31/2014

10%

CorePCEDeflator(YoY)

8%

6%

4%

2%

0%

CorePCE=PersonalConsumptionExpendituresmeasurespricespaidbyconsumersforgoodsandserviceswithoutthevolatilitycausedbymovementsinfoodand
energy.YoY =yearoveryear.Youcannotinvestdirectlyinanindex.

25

PriceStats vs.CPIforU.S.
AsofDecember4,2014

CPI=ConsumerPriceIndexproducesmonthlydataonchangesinthepricespaidbyurbanconsumersforarepresentativebasket of goodsandservices.
PriceStat Index=CPIdataavailableonline.YoY =yearoveryear.Youcannotinvestdirectlyinanindex.

26

U.S.CPIInflation

Source:Minack Advisors,GlobalOutllook Backtonormal?:October2014

CPI=ConsumerPriceIndexproducesmonthlydataonchangesinthepricespaidbyurbanconsumersforarepresentativebasket of goodsandservices.Inflation=A
generalincreaseinpricesandfallinthepurchasingvalueofmoney.
Youcannotinvestdirectlyinanindex.

27

NominalWages
10%

NominalHourlyWageGrowth(YoY%)
January31,1965 November30,2014

9%

NominalHourlyWageGrowth(YoY%)

8%
7%
6%
5%
4%
3%
2%
1%
0%

Source:Bloomberg,DoubleLine
YoY =Yearoveryear

28

FEDEconomicSlackIndicators
January1,1985throughJune30,2014

Source:WallStreetJournal

29

InflationAdjustedAverageHourlyEarnings
January1,2007throughJune30,2014

Source:EconomicPolicyInstitute,WallStreetJournal,Bianco Research
Inflation=Ageneralincreaseinpricesandfallinthepurchasingvalueofmoney.

30

MinimumWageHasDeclinedinRealTerms

31

Eurozone2yearYields
October1,2013throughDecember4,2014

Source:DoubleLine,Bloomberg

32

U.S.DollarIndexSpot
December31,2007throughDecember8,2014

Source:BloombergFinancialServices,DoubleLine CapitalLP
DXY=DXYistheUSDollarIndex(USDX)indicatesthegeneralvalueoftheUSdollar.AverageexchangeratesbetweentheUSdollarandsixmajorworldcurrencies.
Aninvestmentcannotbemadedirectlyinanindex.

33

InflationExpectations
April26,2007throughDecember3,2014
4
3.5
3

Percent(%)
4/26/2007 12/3/2014

2.5
2

1.5
1

0.5

FederalReserve5YearInflationExpectation
FiveYearFiveYearsForward

0
0.5
1

5YearBreakevens
10YearBreakevens

1.5

Source:Bloomberg,DoubleLine
Inflation=Ageneralincreaseinpricesandfallinthepurchasingvalueofmoney.Breakeven=Thedifferencebetweena5and10yearTreasurybondyieldsandthatofa5and10year
Treasuryinflationprotectedsecurity(TIPS).

34

U.S.BreakevenTreasuryRates
September1,2011throughDecember4,2014

Source:DoubleLine,Bloomberg
Breakeven=Thedifferencebetweena3.5.7,10,20and30yearTreasurybondyieldsandthatofa3,5,7,10,20and30yearTreasuryinflationprotectedsecurity(TIPS).

35

QEandInflationExpectations
January1,2008throughDecember4,2014

Source:DoubleLine,Bloomberg
Inflation=Ageneralincreaseinpricesandfallinthepurchasingvalueofmoney.QE=QuantitativeEasing.

36

U.S.CommoditiesLast5Years
December4,2009throughDecember8,2014

Source:Bloomberg
CRYIndex=CRBexcessreturnindexisanarithmeticaverageofcommodityfuturespriceswithmonthlyrebalancing.Youcannot investdirectlyinanindex.

37

Commodities:YTDPerformance
January1,2014throughDecember4,2014

Source:Bloomberg
DJUBS=DowJonesIndicesrepresentinggrainsector,energy,commoditiesasageneralbasket,andmetals.YTD=yeartodate.Youcannotinvestdirectlyinanindex.

38

U.S.CPIandWTI
October14,2004throughDecember4,2014

USCPIandWTI
6
5
4

USCPI

150

WTIYOY%(RHS)
100

2
1

50

WTIYoY%

CPIYoY%

0
1

50

2
3

100

Source:DoubleLine,Bloomberg
CPI=CorePriceIndexproducesmonthlydataonchangesinthepricespaidbyurbanconsumersforarepresentativebasketofgoodsandservices.WTI=West
TexasIntermediateisagradeofcrudeoildescribedaslightduetolowdensity.
RHS=RightHandSideofthechartaxis.YoY =yearoveryear.Youcannotinvestdirectlyinanindex.

39

EurozoneCPIandBrentCrude
November19,2004throughDecember4,2014
5

EurozoneCPIandBrentCrude

150

EZCPI
BrentCrudeYoY%(RHS)
100

BrentCrudeYoY%

CPIYoY%

3
50
2
0
1

Source:DoubleLine,Bloomberg
EZ=European.CPI=CorePriceIndexproducesmonthlydataonchangesinthepricespaidbyurbanconsumersforarepresentativebasketofgoodsand
services.RHS=Righthandsideofthechartaxis.YoY =yearoveryear.Youcannotinvestdirectlyinanindex.

50

100

40

U.S.Breakevens andOil
December31,2011throughDecember5,2014
$120

2.35%

1.85%
$100

$90

1.35%

$80
0.85%
$70

US2YearBreakevenRate(%)
12/31/2011 12/5/2014

WTICrudePrice
12/31/2011 12/5/2014

$110

WTICrudePrice(LHS)
US2YearBreakevenRate(RHS)

$60

Source:DoubleLine,Bloomberg
WTI=WestTexasIntermediateisagradeofcrudeoildescribedaslightduetolowdensity.2year=2yearU.S.Treasurybreakeven.
LHS=lefthandside.RHS=righthandside.Youcannotinvestdirectlyinanindex.

0.35%

41

BreakevenOilPrices

AsofJune30,2014
BrentCrude =NorthSeanbrent crudeisatypeofoilsourcedfortheNorthSea.Itsalightsweetcrude.

42

PrimaryOilImporters

Source:HellenicShippingNews,EIA:ChinaMarketOverview
http://www.hellenicshippingnews.com/d5bc7b9c66dc41518d48eb12e97dd716/

43

InterestingSlides

44

FederalReserveistheLargestHolderof
USDebt

http://www.ritholtz.com/blog/2013/10/allholdersofustreasurydebt/
Source:BarryRitholtz,TheBigPicture,AllHoldersofUSDebt,October11,2013

45

WhoOwnsUSGovernmentDebt

Source:FactCheck.org

46

Mandatoryvs.Discretionary
Spending2013
(Numbers in Billions of Dollars)

Source:CongressionalBudgetOffice

47

DriversofUSDebt

Source:CongressionalBudgetOffice

48

U.S.GovernmentRevenuevs.Expenditures

Source:Congressiona lBudget Office

49

DebtStormandGlobalRates

Source:DeutscheBank,GFD,Haver
G7=EconomicalliancebetweenCanada,France,Germany.GreatBritain,Italy,Japanand
theU.S.

50

BKLNSharesOutstanding

Source:Bloomberg
BKLN=Powershares SeniorLoanPortfolioSharesOutstandingIndexrepresentsthecurrentindexsharesoutstanding.

51

MajorU.S.FinancialInstitutions
LeverageRatios

52
Source:GrantWilliams;ThingsThatMakeyouGoHmmm.AsofSeptember30,2014
DoubleLine TotalReturnBondFundandCoreFixedIncomeFundown0%inBearStearns,GoldmanSachs,MerrillLynch,LehmanBrothers,andMorganStanleyasofNovember30,2014.

U.S.SingleAdultsRising
6/1/1975through9/30/2014

Years(6/1/1975 9/30/2014)

53

AnAgingPopulation

Source:AsofJune30,2014

54

WheretheWealthiestLive

Source:CreditSuisse,GlobalWealthReport2014,October2014

55

FundOverview

56

TotalReturnBondFundPortfolio
Statistics

Total Return
BondFund

BarclaysCapital
U.S.Aggregate
Index

$98.67

$106.01

Duration

3.0

5.6

Average Life

4.8

7.7

AveragePrice

PortfoliostatisticsasofNovember28,2014basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividingbythenumberofsecuritiesanddoesnotincludecash.
Averagepriceshouldnotbeconfusedwithnetassetvalue.
AverageDuration=Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterest ratemovements.
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Average lifeiscomputedastheweightedaveragetimeto
thereceiptofallfuturecashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP

57

TotalReturnBondFundPortfolio
Composition BySecurityType
CMBS
6.4%

CLO
4.8%

Other
0.6%

Cash
12.1%
Government
5.1%

NonAgency
25.5%

Agency
45.4%

PortfoliocompositionasofNovember28,2014.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash=Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.
Government U.S.treasurysecurities.
Agency=MortgagesecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).
NonAgency=ResidentialMortgagesBondSecuritiesareatypeofbondbackedbyresidentialmortgages.NonAgencymeanstheywereissuedbyaprivateissuer.
CMBS=CommercialMortgageBackedSecurities.Securitizedloansmadeoncommercialratherthanresidentialproperty.
CLO=CollateralizedMortgageObligations

58

TotalReturnBondFundPortfolio
Composition ByAgencyCollateralize
MortgageObligation(CMO)SecurityType
CMOLocked
9.0%

IOCurrent
0.8%

Cash
12.1%

InverseFloater
1.2%
CMOCurrent
10.3%

PassThrough
24.1%
PortfoliocompositionasofAugust31,2014.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.
Cash=Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds, banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.
PassThrough=MortgagepassthroughsecuritieswhoseprincipalandinterestguaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC)ornon
agencyprivateissuewithnogovernmentguarantee.
CMOCurrent=CollateralizedMortgageObligation(CMO)isafinancialdebtvehicle/specialpurposeentitycalledapool.Investorsbuybondsissuedbytheentityandreceivepayments
accordingtoadefinedsetofrules.Themortgagesthemselvesarethecollateral,thebondsarethetranches(alsocalledclasses),andthesetofrulesthatdictateshowmoneyisreceived
fromthecollateralwillbedistributediscalledthestructure.Thelegalentity,collateralandstructurearecollectivelyreferredtoasthedeal.
IO=InterestOnlymortgagepoolsinwhichtheborrowersmonthlypaymentisonlytowardtheinterestontheloan.Anonamortizedloan.
InverseFloater=Amortgagepoolthathasayieldthatisinverselyrelatedtointerestrates.
IOCurrentpay=Loansthatarecurrentlyreceivingprincipalpayments.
LockedOut/CMOLockedOut=Loansthatforasetperiodoftimewillnotreceiveprincipalpayments.

59

TotalReturnBondFundPortfolio
NonAgencyResidentialMortgageBackedSecurities
(RMBS)BreakdownByOriginalRating

BBB
2%

BB
1%

NR
16%

AAA
81%

Portfoliocompositionandcreditratingsasofsecurityorigination.Portfoliocompositionissubjecttochangewithoutnotice.TherearesomenonratedsecuritiesintheFundasshownin
thegraphabove.CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB areconsideredtobeinvestmentgrade.Abondisconsideredinvestmentgradeifitscredit ratingisBBB orhigherbyStandard&
PoorsorBaa3byMoodys.Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikelythebondistopayback atpar/$100centsonthedollar.AAAisconsideredthe
highestqualityandthelowestdegreeofrisk.Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=AlsoknownasjunkbondisasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenashavinghigherdefaultriskor
otheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.They arelesslikelytopaybackatpar/$100centsonthedollar.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
Source:DoubleLineCapitalLPasofNovember28,2014.

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TotalReturnBondFundPortfolio
NonAgencyRMBSBreakdownByCurrent
CreditQuality
NR
16%

AAA AA A+ A
1% 1% 1% 1%

BBB+
1%

BB
B+
1%
1%
B
BB
3%
1%
B CCC+
6%
5%

D
19%
CC
8%

CCC
19%
CCC
14%

PortfoliocompositionasofNovember28,2014.Portfoliocompositionissubjecttochangewithoutnotice.Therearesomenonratedsecuritiesintheportfolioasshowninthechart
above.CreditdistributionisdeterminedfromthehighestavailablecreditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
InvestmentGrade=SecuritiesratedAAAtoBBB (showninblueabove)areconsideredtobeinvestmentgrade.AbondisconsideredinvestmentgradeifitscreditratingisBBB of
higherbyStandard&PoorsorBaa3byMoodys.Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikely thebondistopaybackatpar/$100centsonthedollar.
AAAisconsideredthehighestqualityandthelowestdegreeofrisk.Theyareconsideredtobeextremelystableanddependable.
BelowInvestmentGrade=Alsoknownasjunkbond(showningreyabove)isasecurityratedbelowinvestmentgradehavingaratingofBBB orbelow.Thesebondsareseenas
havinghigherdefaultriskorotheradversecreditevents,buttypicallypayhigheryieldsthanbetterqualitybondsinorder to makethemattractive.Theyarelesslikelytopaybackat
par/$100centsonthedollar.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.RMBS=ResidentialMortgageBackedSecurities.
Source:DoubleLineCapitalLP

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TotalReturnBondFundPortfolio
NonAgencyRMBSBreakdownByPrice
6.0%
5.0%

4.0%
3.0%
2.0%
1.0%
0.0%

DollarPrice

PortfoliopricecompositionasofAugust31,2014.Subjecttochangewithoutnotice.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.

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CoreFixedIncomeFundPortfolio
Statistics

CoreFixedIncome
Fund

BarclaysCapital
U.SAggregate
Index

$101.55

$106.01

Duration

4.53

5.55

Average Life

6.87

7.69

AveragePrice

PortfoliostatisticsasofNovember30,2014basedonmarketweightedaverages.Subjecttochangewithoutnotice.
Averageprice=Ameasureoftheweightedaveragepricepaidforthesecuritiescalculatedbytakingthepricesanddividing by thenumberofsecuritiesanddoesnotincludecash.
Averagepriceshouldnotbeconfusedwithnetassetvalue.
AverageDuration=Durationisusedasariskmeasure.Itmeasuresthepricevolatilityofasecuritygivenachangeininterest ratemovements.
AverageLife=Theaveragenumberofyearsthateachdollarofunpaidprincipaldueonthemortgageremainsoutstanding.Average lifeiscomputedastheweightedaveragetimeto
thereceiptofallfuturecashflows,usingastheweightsthedollaramountsoftheprincipalpaydowns.
Source:DoubleLineCapitalLP

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CoreFixedIncomeFund
PortfolioComposition
HYCorporate,
4.46%
BankLoans,
5.02%

CLO,3.85%
Cash,
9.15%

CMBS,6.58%
Govt,17.73%

IGCorporate,
10.19%
EM,13.38%

MBS,29.65%

PortfoliocompositionasofNovember30,2014.Subjecttochangewithoutnotice.
BankLoans=Adebtfinancingobligationissuedbyabankorsimilarfinancialinstitutiontoacompany. CommercialMortgageBackedSecurities(CMBS)=CommercialMortgageBacked
Securities.Securitizedloansmadeoncommercialratherthanresidentialproperty.CollateralizedLoanObligations(CLOs)=Aformofsecuritizationwherepaymentsfrommultiplemiddle
sizedandlargebusinessloansarepooledtogetherandpassedontodifferentclassedofownersinvarioustranches.Cash=Cashholdingincludethevalueofassetsthatcanbeconverted
intocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentson balancesheetsthatmayincludesecuritiesthatmature
within90days.Government=Governmentdebt(alsoknownaspublicdebtornationaldebt)ismoney(orcredit)owedbyanylevelofgovernment;eithercentralgovernment,federal
government,municipalgovernmentorlocalgovernment. MortgageBackedSecurities(MBS)=Amortgagebackedsecurity(MBS)isanassetbackedsecurityordebtobligationthat
representsaclaimonthecashflowsfrommortgageloans,mostcommonlyonresidentialproperty.EmergingMarketsFixedIncome=Emergingmarketdebt(EMD)isatermusedto
encompassbondsissuedbylessdevelopedcountries.InvestmentGrade(IG)andHighYieldCorporates(HY)=Investmentgradeandnoninvestmentgradecorporatecredit.Bondsissuedby
corporationstoraisemoneyinordertoexpanditsbusiness.Creditdistributionisdeterminedfromthehighestavailablecredit ratingfromanyNationallyRecognizedStatisticalRating
Organization(S&P,Moodys,andFitch).AbondratedBBBorhigherwouldbeconsideredInvestmentGrade.AnybondratedBBBorbelowwouldbeHighYield.
Source:DoubleLineCapitalLP.Sectorallocationsaresubjecttochangeandshouldnotbeconsideredarecommendationtobuyorsellanysecurity.

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CoreFixedIncomeFund
PortfolioCreditQualityBreakdown
Unrated,
1.61%
Cash,
9.15%
BelowIG,
28.23%

Investment
Grade,
25.31%

Govt,17.73%

Agency,
17.98%

PortfoliocompositionandcreditratingsasofNovember28,2014.Portfoliocompositionissubjecttochangewithoutnotice.Creditdistributionisdeterminedfromthehighestavailable
creditratingfromanyNationallyRecognizedStatisticalRatingOrganization(S&P,Moodys,andFitch).
Cash=Thevalueofassetsthatcanbeconvertedintocashimmediately.Canincludemarketablesecurities,suchasgovernmentbonds,banker'sacceptances,cashequivalentsonbalance
sheetsthatmayincludesecuritiesthatmaturewithin90days.Government=Governmentdebt(alsoknownaspublicdebtornationaldebt)ismoney(orcredit)owedbyanylevelof
government;eithercentralgovernment,federalgovernment,municipalgovernmentorlocalgovernment.Agency=Mortgagesecuritieswhoseprincipalandinterestareeffectively
guaranteedbytheU.S.GovernmentagencyincludingFannieMae(FNMA)orFreddieMac(FHLMC).InvestmentGrade=AbondisconsideredinvestmentgradeifitscreditratingisBBB of
higherbyStandard&PoorsorBaa3byMoodys.Ratingsbasedoncorporatebondmodel.Thehighertherating,themorelikely thebondistopaybackatpar/$100centsonthedollar.
BelowInvestmentGrade(BelowIG)=Alsoknownasjunkbondisasecurityratedbelowinvestmentgrade.Thesebondsareseenashavinghigherdefaultriskorotheradversecredit
events,buttypicallypayhigheryieldsthanbetterqualitybondsinordertomakethemattractive.Theyarelesslikelytopaybackatpar/$100centsonthedollar.
CreditqualitymaybeassessedbydifferentagenciesfordifferentbondsforreasonsbeyondthecontroloftheFund.
NR=NotRated.Securitiesthatarenotratedbythethreeratingagencies.
Source:DoubleLineCapitalLP.

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ThisTimeItsDifferent

66

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IndexDescriptions

BarclaysCapitalUSAggregateIndex TheBarclaysCapitalUSAggregateIndexrepresentssecuritiesthatareSECregistered,taxable,anddollardenominated.
TheindexcoverstheUSinvestmentgradefixedratebondmarket,withindexcomponentsforgovernmentandcorporatesecurities,mortgagepassthrough
securities,andassetbackedsecurities.Thesemajorsectorsaresubdividedintomorespecificindicesthatarecalculatedandreportedonaregularbasis.
BarclaysCapitalUSTreasuryIndex ThisindexistheUSTreasurycomponentoftheUSGovernmentindex.PublicobligationsoftheUSTreasurywitharemaining
maturityofoneyearormore.
BarclaysCapitalUSTreasury10YearIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BarclaysCapitalCapitalUSTreasury30YearIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
BarclaysCapitalUSHighYieldIndex TheBarclaysCapitalUSHighYieldIndexcoverstheuniverseoffixedrate,noninvestmentgradedebt.Eurobondsanddebt
issuerfromcountriesdesignatedasemergingmarkets(e.g.Argentina,Brazil,Venezuela,etc.)areexcluded,butCanadianand globalbonds(SECregistered)of
issuersinnonEMGcountriesareincluded.Originalissuezereos,stepupcouponstructures,144Asandpayinkind(PIK,asofOctober1,2009)arealso
included.
BofAMerrillLynchUSGovernmentIndex(GOAO) TheMerrillLynchUSGovernmentIndextrackstheperformanceofUSgovernment(i.e.securitiesinthe
TreasuryandAgencyindices.)
BofAMerrillLynchUS15+YearTreasuryIndexLongTreasuries(G802) ThisindexisasubsetoftheBofAMerrillLynchUSTreasuryIndexincludingallsecurities
witharemainingtermoffinalmaturitygreaterthan15years..
BofAMerrillLynchUSCorporateIndex(COAO)InvestmentGrade TheMerrillLynchCorporateIndextrackstheperformanceofUSdollardenominated
investmentgradecorporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageof
Moodys,S&PandFitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereign
debtratings).Securitiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimum amountoutstandingof$250MM.
BofAMerrillLynchUSAllConvertiblesIndex(VOSO) TheMerrillLynchAllConvertibleIndexisaruledrivenindex.whichincludesallbondsandpreferredstocks
ofU.S.registeredcompanies,whichhave$50millionormoreinaggregatemarketvalueandareconvertiblesinU.S.dollardenominatedcommonstocks,ADRs
orcashequivalents.Pleasenoteaninvestorcannotinvestdirectlyinanindex.
CRBCommodityIndex(CRY) Anunweightedgeometricaverageofsomeimportantcommodities.Itaveragespricesacross17commoditiesandacrosstime.The
indextracksenergy,grains,industrials,livestock,preciousmetals,andagriculturals.
S&P500(SPX) S&P500isafreefloatcapitalizationweightedindexpublishedsince1957ofthepricesof500largecapcommonstocksactivelytradedinthe
UnitedStates.
StandardDeviation Sigma=standarddeviation.Itshowshowmuchvariationthereisfromtheaverage(mean,orexpected/budgetedvalue).Alowstandard
deviationindicatedthatthedatapointtendtobeveryclosetothemean,whereashighstandarddeviationindicatedthatthe dateisspreadoutoveralarge
rangeofvalues.
DowJones UBSDJCommodityIndex TheDowJonesUBS CommodityindexiscomposedofcommoditiestradedonU.S.exchanges,withtheexceptionof
aluminum,nickelandzinc,whichtradeontheLondonMetalExchange(LME).
Copper=CopperSpotPrice(HGI)Copperistheworldsthirdmostusedmetalbehindironandaluminumprimarilyusedinhighlycyclicalindustriesincluding
constructionandindustrialmachinerymanufacturing.SpotpricequotedinUSD/lb.
Gold=GoldSpotPrice(Golds)TheGoldSpotpriceisquotedasUSDollarperTroyOunce.
CrudeOil=Crudeoilvariesgreatlyinappearancedependingonitscomposition.WestTexasintermediate(WTI)=Texaslightsweetcrudeisusedasabenchmark
inoilpricing.Itslightbecauseofthelowdensityandsweetbecauseoflowsulfur.Brentcrude=Isamajortradingclassificationofsweetlightcrude.Brentis
theoilmakeralsoknownasBrentBlend.
VolatilityIndex(VIX)TheVIXshowsthemarket'sexpectationof30dayvolatility.ItisconstructedusingtheimpliedvolatilitiesofawiderangeofS&P500index
options. Thisvolatilityismeanttobeforwardlookingandiscalculatedfrombothcallsandputs. TheVIXisawidelyusedmeasureofmarketriskandisoften
67
referredtoas the"investorfeargauge".

IndexDescriptions
BofAMerrillLynchUSDollarEmergingMarketsSovereignPlusIndex(IGOV)
ThisindextrackstheperformanceofUSdollardenominatedemergingmarketandcrossoversovereigndebtpubliclyissuedintheeurobondorUSdomestic
market.QualifyingcountriesmusthaveaBB1orlowerforeigncurrencylongtermsovereigndebtrating(basedonanaverageofMoodys,S&P,andFitch).
BofAMerrillLynchU.S.HighYieldCashPayIndex(J0A0)BelowInvestmentGrade
TheMerrillLynchHighYieldIndextrackstheperformanceofUSdollardenominatedbelowinvestmentgradecorporatedebt,currentlyinacouponpayingperiod,
thatispubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveabelowinvestmentgraderating(basedonanaverageofMoodys,S&PandFirth
foreigncurrencylongtermsovereigndebtratings).Musthaveoneyearremainingtofinalmaturityandaminimumoutstandingamountof$100MM.
BofAMerrillLynchInternationalGovernmentIndex(NOGO)
TheMerrillLynchInternationalIndextrackstheperformanceofAustralia,Canadian,French,German,Japan,Dutch,SwissandUKinvestmentgradesovereigndebt
publiclyissuedanddenominatedintheissuersowndomesticmarketandcurrency.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinal
maturity,afixedcouponscheduleandaminimumamountoutstanding.
BofAMerrillLynchMortgageBackedSecuritiesIndex(MOA0)
ThisindextrackstheperformanceofUSdollardenominatedfixedrateandhybridresidentialmortgagepassthroughsecuritiespubliclyissuedbyUSagenciesinthe
USdomesticmarket.30year,20year,15yearandinterestonlyfixedratemortgagepoolsareincludedintheIndexprovidedtheyhaveatleastoneyearremaining
termtofinalmaturityandaminimumamountoutstandingofatleast$5billionpergenericcouponand$250MMperproductionyear withineachgenericcoupon.
BofAMerrillLynchU.S.MunicipalSecuritiesIndex(UOA0)
ThisindextrackstheperformanceofUSdollardenominatedinvestmentgradetaxexemptdebtpubliclyissuedbyUSstatesandterritories,andtheirpolitical
subdivisions,intheUSdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandan
investmentgraderating(basedonMoodys,S&PandFitch).Minimumsizevarybasedontheinitialtermtofinalmaturityattime ofissuance.
BarclaysCapitalGlobalEmergingMarketsIndex TheBarclaysCapitalGlobalEmergingMarketsIndexrepresentstheunionoftheUSDdenominatedUSEmerging
MarketsindexandthepredominatelyEURdenominatedPanEuroEmergingMarketsIndex,coveringemergingmarketsinthefollowingregions:Americas,Europe,
MiddleEast,Africa,andAsia.AswithotherfixedincomebenchmarksprovidedbyBarclaysCapital,theindexisrulesbased,whichallowsforanunbiasedviewof
themarketplaceandeasyreplicability.
JPMorganInvestmentGradeCorporateIndex JPMorganInvestmentGradeCorporateIndexincludesperformanceofUSdollardenominatedinvestmentgrade
corporatedebtpubliclyissuedintheUSdomesticmarket.Qualifyingsecuritiesmusthaveaninvestmentgraderating(basedonanaverageofMoodys,S&Pand
Fitch)andaninvestmentgraderatedcountryofrisk(basedonanaverageofMoodys,S&PandFitchforeigncurrencylongtermsovereigndebtratings).Securities
musthaveatleastoneyearremainingtermtofinalmaturity,afixedcouponscheduleandaminimumamountoutstandingof$250MM.
DrawDown Thepeaktotroughdeclineduringaspecificrecordperiodofaninvestment,fundorcommodity.Adrawdownisusuallyquotedasthepercentage
betweenthepeakandthetrough.
NAV Amutualfund'spricepershareorexchangetradedfund's(ETF)persharevalue.Inbothcases,thepersharedollaramountofthefundiscalculatedby
dividingthetotalvalueofallthesecuritiesinitsportfolio,lessanyliabilities,bythenumberoffundsharesoutstanding.
CMO Atypeofmortgagebackedsecuritythatcreatesseparatepoolsofpassthroughratesfordifferentclassesofbondholderswithvaryingmaturities,called
tranches.Therepaymentsfromthepoolofpassthroughsecuritiesareusedtoretirethebondsintheorderspecifiedbythebonds'prospectus
TIPS TreasuryInflationProtection.Atreasurysecuritythatisindexedtoinflationinordertoprotectinvestorsfromthenegativeeffectsofinflation.TIPSare
consideredanextremelylowriskinvestmentsincetheyarebackedbytheU.S.governmentandsincetheirparvalueriseswithinflation,asmeasuredbythe
ConsumerPriceIndex,whiletheirinterestrateremainsfixed.
CPI ConsumerPriceIndex.Ameasurethatexaminestheweightedaverageofpricesofabasketofconsumergoodsandservices,suchastransportation,foodand
68
medicalcare.
CashFlow Cashflowmeasuresthecashgeneratingcapabilityofacompanybyaddingnoncashcharges(e.g.depreciation)andinterestexpensetopretaxincome.

U.S. Aggr
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IndexDescriptions
BofA/MerrillLynchHighYieldCashPayCCCratedIndex(JOA3) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonCCCrated
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBBratedIndex(JOA1) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBBrated
HighYieldcreditonly.
BofA/MerrillLynchHighYieldCashPayBratedIndex(JOA2) .AcomponentoftheBofA/MerrillLynchHighYieldCashPayIndexconcentratingonBratedHigh
Yieldcreditonly.
BofA/MerrillLynchCreditIndexBBBratedIndex(COA4) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthelowerratedBBB
investmentgradecredits.
BofA/MerrillLynchCreditIndexAratedIndex(COA3) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthe Aratedinvestmentgrade
credits.
BofA/MerrillLynchCreditIndexAAAratedIndex(COA1) .AcomponentoftheBofA/MerrillLynchCreditIndexconcentratingonthehighestratedAAA
investmentgradecredits.
BofAMerrillLynchUSTreasuryIndex(G0Q0)TheMerrillLynchUSTreasuryIndextrackstheperformanceofUSdollardenominated sovereigndebtpublicly
issuedbytheUSgovernmentinitsdomesticmarket.Qualifyingsecuritiesmusthaveatleastoneyearremainingtermtofinal maturity,afixedcouponschedule
andaminimumamountoutstandingof$1billion.
BofAMerrillLynchUS1015YearTreasuryIndexLongTreasuryTheMerrillLynchUS1015TreasuryIndextrackstheperformance ofUSdollardenominated
1015yearsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.ItisasubsetoftheBofAMerrillLynchU.S.TreasuryIndex(GOQO).
BofAMerrillLynchMunicipalIndexTheMerrillLynchMunicipal
BofAMerrillLynchCurrent10yearUSTIndex Thisindexisthe10yearcomponentoftheUSGovernmentindex.
BofAMerrillLynchCurrent30yearUSTIndex Thisindexisthe30yearcomponentoftheUSGovernmentindex.
JPMorganCorporateEMBIBroadDiversifiedIndex(JBCDCOMP) Thisindextrackstheperformanceofinvestmentgradecorporatedebtpublicallyissuedacross
arangeofemergingmarketcountries.
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.
NASDAQ Acomputerizedsystemthatfacilitatestradingandprovidespricequotationsonmorethan5,000ofthemoreactivelytradedoverthecounterstocks.
Createdin1971,theNasdaqwastheworld'sfirstelectronicstockmarket.
Transports TheIndustrialsSectorincludescompanieswhosebusinessesaredominatedbyoneofthefollowingactivities:Themanufactureanddistributionof
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,eitherthroughpropertiesormortgages
Duration Durationisacommonlyusedmeasureofthepotentialvolatilityofthepriceofadebtsecurity,ortheaggregatemarketvalueofaportfolioofdebt
securities,priortomaturity.Securitieswithalongerdurationgenerallyhavemorevolatilepricesthansecuritiesofcomparablequalitywithashorterduration.
69

IndexDescriptions

BofA/MerrillLynchInflationLinkedIndex(G0Q1) TheBofAMerrillLynchUSInflationLinkedTreasuryIndextrackstheperformanceofUSdollardenominated
inflationlinkedsovereigndebtpubliclyissuedbytheUSgovernmentinitsdomesticmarket.
CitigroupTIPS(SBUSILSI) . Itmeasuresthereturnsoftheinflationlinkedbondswithfixedratecouponpaymentsthatarelinkedtoaninflationindex.The price
ofeachissueintheUSLSIisadjustedbyusinganindexratio.Theindexratioisdeterminedbydividingthecurrentinflationindexlevelbytheinflationindexlevel
atthetimeofissueofthesecurity.Theinflationindexispublishedonamonthlybasis,andtheintramonthindexratioiscalculatedusinglinear
interpolation.
BarclaysCapitalCMBSIndex trackstheperformanceofUSdollardenominatedsecuritizedcommercialmortgagebackedsecurities.
Russell2000 measurestheperformanceofthesmallcapsegmentoftheUSequityuniverse.Russell2000isasubsetoftheRussell3000indexrepresenting
approximately10%ofthetotalmarketcapitalizationofthatindex.
S&PGSCI isacompositeindexofcommoditysectorreturnrepresentinganunleveraged,longonlyinvestmentincommodityfuturesthatisbroadlydiversified
acrossthespectrumofcommodities.
S&PGSCIAgriculture isacompositeindexofagriculturecommodityfuturesunleveraged,longonlyinvestment.
BarclaysCapitalUS30YearTIPSIndex .BarclaysCapital30yearTIPSontherunindexquotedinUSDollarstradedintraday
CitigroupEconomicSurpriseIndex .TheCitigroupEconomicSurpriseIndicesareobjectiveandquantitativemeasuresofeconomicnews.Theyaredefinedas
weightedhistoricalstandarddeviationsofdatasurprises(actualreleasesvsBloombergsurveymedian).Apositivereadingof theEconomicSurpriseIndex
suggeststhateconomicreleaseshaveonbalancebeatingconsensus.Theindicesarecalculateddailyinarollingthreemonthwindow.Theweightsofeconomic
indicatorsarederivedfromrelativehighfrequencyspotFXimpactsof1standarddeviationdatasurprises.Theindicesalsoemployatimedecayfunctionto
replicatethelimitedmemoryofmarkets.
DAX ThisindexistheGermanStockIndexisatotalreturnindexof30selectedGermanbluechipstockstradedontheFrankfurtStockExchange.
CAC40 ThisindexthemostwidelyusedindicatoroftheParismarket,reflectstheperformanceofthe40largestequitieslistedinFrance,measuredbyfree
floatmarketcapitalizationandliquidity.
FTSE100 Isacapitalizationweightedindexofthe100mosthighlycapitalizedcompaniestradedontheLondonStockExchange.
MexicoIPC TheMexicanIPCindexisacapitalizationweightedindexoftheleadingstockstradedontheMexicanStockExchange.
HangSeng TheHangSengChinaEnterprisesIndexisafreefloatcapitalizationweightedindexcomprisedofHshareslistedontheHongKongStockExchange
andincludedintheHangSengMainlandCompositeIndex.
KOSPI ThisindexisacapitalizedweightedindexofallcommonsharesontheKoreanStockExchanges.
Nikkei225 TheNikkei225Stockaverageisapriceweightedaverageof225topratedJapanesecompanieslistedintheFirstSectionoftheTokyoStock
Exchange.
AustraliaAORD S&P/ASXAllOrdinariesrepresents500largestcompaniesintheAustralianequitiesmarket.Indexconstitutesaredrawnfromeligible
companieslistedontheAustralianStockExchange.
BrazilBovespaIndex(IBOV)TheBovespaIndexisagrossreturnindexweightedbytradedvolumeandiscomprisedofthemostliquidstockstradedontheSao
PauloStockExchange.TheBovespaIndexhasbeendivided10timesbyafactorof10sinceJanuary1,1985.
ShanghaiIndex(SHCOMP)TheShanghaiStockExchangeCompositeIndexisacapitalizationweightedindex.TheindextracksthedailyperformanceofallA
sharesandBshareslistedontheShanghaiStockExchange.TheindexwasdevelopedonDecember19,1990withabasevalueof100.
BSEIndiaSensitiveIndex(Sensex)TheSensexisacapweightedindex.Theselectionoftheindexmembershasbeenmadeonthebasisofliquidity,depthand
floatingstockadjustmentdepthandindustryrepresentation.
S&PLSTALevLoanIndex(BankLoans) CreatedbytheLeveragedCommentary&Data(LCD)teamatS&PCapitalIQ,thereviewprovides an overviewand
outlookoftheleveragedloanmarketaswellasanexpansivereviewoftheS&PLeveragedLoanIndexandsubindexes. Thereview consistsofindexgeneral
characteristics,results,riskreturnprofile,default/distressstatistics, andrepaymentanalysis.Itisnotpossibletoinvest directlyinanindex.
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Citigroup3MonthTBill(SBMMTB3) 3MonthUSTBillinUSdollars.

IndexDescriptions
iShares JPMUSDEmergingMarketsBnd ETF JPMorganUSDEmergingMarketsBondETFinanexchangetradedfundincorporatedintheUSA.Itseeks
investmentresultsthatcorrespondtothepriceandyieldoftheJPMorganEmergingMarketsBondIndex.
SPDRLehmanHighYieldBondFundETF(JNK) IsanexchangetradedfundincorporatedintheUSAseekingtoinvestmentresultsthatcorrespondtotheprice
andyieldoftheBarlcays HighYieldVeryLiquidBondIndex.
iSharesiBoxx InvestmentGradeCorporateBondFundETF(LQD) isanexchangetradedfundincorporatedintheUSA.Itseeksinvestmentresultsthattracksthe
investmentresultsofanindexcomposedofU.S.dollardenominated,investmentgradecorporatebonds.
PowerShares SeniorLoanPortfolioETF(BKLN) isanexchangetradedfundtradedintheUSA.Itseeksinvestmentresultsthatcorrespondgenerallytotheprice
andyieldoftheS&P/LSTAUSLeveragedLoan100Index..

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