Annual
Report
September
30,
2023
DoubleLine
Opportunistic
Bond
ETF
NYSE:
DBND
DoubleLine
Shiller
CAPE®
U.S.
Equities
ETF
NYSE:
CAPE
DoubleLine
Commercial
Real
Estate
ETF
NYSE:
DCMB
DoubleLine
Mortgage
ETF
NYSE:
DMBS
DoubleLine
|
|
2002
North
Tampa
Street,
Suite
200
|
|
Tampa,
FL
33602
|
|
(813)
791-7333
[email protected]
|
|
www.doubleline.com
Annual
Report
|
September
30,
2023
3
Table
of
Contents
Page
President’s
Letter
4
Management’s
Discussion
of
Fund
Performance
6
Standardized
Performance
Summary
11
Growth
of
Investment
12
Schedules
of
Investments
16
Statements
of
Assets
and
Liabilities
39
Statements
of
Operations
40
Statements
of
Changes
in
Net
Assets
41
Financial
Highlights
43
Notes
to
Financial
Statements
47
Report
of
Independent
Registered
Public
Accounting
Firm
63
Shareholder
Expenses
65
Evaluation
of
Advisory
Agreement
by
the
Board
of
Trustees
66
Statement
Regarding
the
Funds’
Liquidity
Risk
Management
Program
68
Federal
Tax
Information
69
Trustees
and
Officers
70
Information
About
Proxy
Voting
73
Information
About
Portfolio
Holdings
73
Householding—Important
Notice
Regarding
Delivery
of
Shareholder
Documents
74
Privacy
Policy
75
President’s
Letter
4
DoubleLine
ETF
Trust
(Unaudited)
September
30,
2023
Dear
DoubleLine
Funds
Shareholder,
On
behalf
of
the
DoubleLine
Funds,
I
am
pleased
to
deliver
the
Annual
Report
for
the period
ended
September
30,
2023.
On
the
following
pages,
you
will
find
specific
information
regarding
each
Fund’s
operation
and
holdings.
In
addition,
we
discuss
each
Fund’s
investment
performance
and
the
main
drivers
of
that
performance
during
the
reporting
period.
Across
the
review
period,
financial
markets,
including
many
of
the
sectors
in
which
the
DoubleLine
Funds
invest,
faced
divergent
risks
and
fluctuating
risk
sentiment.
The
Federal
Reserve
tightened
monetary
policy
consistently
over
the
period,
which
was
marked
by
inflation
receding
from
multidecade
highs.
In
March,
Silicon
Valley
Bank
and
Signature
Bank,
two
regional
lenders,
were
taken
under
receivership
by
the
Federal
Deposit
Insurance
Corp.
In
an
effort
to
head
off
potential
contagion
throughout
the
banking
sector,
federal
regulators
unveiled
emergency
liquidity
measures,
including
the
creation
of
a
Bank
Term
Funding
Program,
which
offered
loans
of
up
to
one
year
to
banks
that
pledged
qualifying
collateral
such
as
U.S.
Treasuries
and
Agency
mortgage-backed
securities
(MBS),
among
other
assets.
Concerns
over
the
financial
stability
of
the
banking
sector,
which
were
ultimately
short-lived,
sent
shockwaves
of
volatility
through
the
Treasury
curve.
For
the
period,
stocks
broadly
rallied
while
bond
returns
were
muted
as
the
benchmark
S&P
500
Index
and
Bloomberg
US
Aggregate
Bond
Index
returned
21.62%
and
0.64%,
respectively.
Despite
elevated,
albeit
declining,
inflation
and
tightening
monetary
conditions,
economic
fundamentals
were
largely
resilient
during
the
reporting
period.
U.S.
gross
domestic
product
(GDP)
was
positive
on
a
year-over-year
(YoY)
and
quarter-over-quarter
(QoQ)
basis
each
quarter
from
September
30,
2022,
through
June
30,
2023,
with
the
strongest
YoY
print
at
a
2.4%
seasonally
adjusted
annualized
rate
as
of
June
30,
2023.
Domestic
growth
was
buoyed
by
a
robust
labor
market,
as
the
U-3
unemployment
rate
finished
the
period
at
3.8%,
near
the
measure’s
lowest
reading
in
over
50
years.
The
labor
market
still
appeared
tight
by
historical
standards,
as
the
Job
Openings
and
Labor
Turnover
Survey
data
for
August
showed
the
ratio
of
vacancies
per
unemployed
job
seeker
to
be
1.5.
A
strong
labor
market,
and
relatedly
strong
consumer
buying
power,
has
contributed
to
higher
growth
estimates,
with
third
quarter
real
GDP
forecast
to
grow
at
a
seasonally
adjusted
annualized
rate
of
2.0%
QoQ.
However,
other
indicators
such
as
the
ISM
Manufacturing
PMI
and
Leading
Economic
Index
have
been
weakening
for
some
time,
with
the
latter
at
a
level
historically
associated
with
recession.
The
Fed
increased
the
target
federal
funds
rate
in
the
12-month
period
by
225
basis
points
(bps)
to
an
upper-bound
rate
of
5.50%.
Two-year
Treasury
yields
rose
76
bps,
five-year
yields
rose
52
bps,
10-year
yields
rose
74
bps,
and
30-year
yields
rose
92
bps
in
the
period.
Traditional
fixed-income
sectors,
including
Treasuries,
Agency
MBS
and
investment
grade
corporate
bonds,
were
all
impacted
by
rising
interest
rates
across
the
Treasury
curve.
Disparate
returns
across
the
fixed
income
universe
were
largely
attributable
to
duration
risk,
as
Treasuries
and
Agency
MBS
experienced
negative
returns
while
corporate
bonds
posted
positive
returns
driven
by
spread
tightening
amid
strong
corporate
earnings.
Bifurcated
returns
in
fixed
income
were
not
confined
to
the
U.S.,
as
sovereign
bonds
from
developed
markets
posted
muted
returns
while
emerging
markets
sovereign
bonds
were
among
the
best-performing
sectors
in
the
global
fixed-income
landscape.
Global
central
banks
largely
tightened
policy
rates
in
the
period,
as
decades-high
inflation
proved
to
be
a
global
phenomenon.
The
European
Central
Bank
hiked
its
deposit
facility
rate
325
bps.
European
equities
returned
19.93%,
as
tracked
by
the
MSCI
Europe
Index,
despite
fallout
from
the
Russia-Ukraine
war.
In
China,
the
country’s
reopening
from
COVID-19
stoked
optimism
for
economic
growth,
which
was
ultimately
undercut
by
property
sector
concerns
and
lackluster
policy
support
from
the
central
bank.
In
the
12-month
period,
the
People’s
Bank
of
China
(Unaudited)
September
30,
2023
|
September
30,
2023
5
cut
the
borrowing
cost
of
its
medium-term
policy
loans
by
only
25
bps
to
2.50%
from
2.75%,
leaving
something
to
be
desired
for
investors
seeking
more
meaningful
stimulus
to
address
the
economy’s
fragility.
Investors
will
be
keeping
a
close
eye
on
Chinese
economic
growth
moving
forward,
as
the
world’s
second
largest
economy
might
need
a
governmental
fiscal
boost
to
reach
the
country’s
stated
2023
GDP
growth
target
of
5%.
The
DoubleLine
investment
team
strives
to
deliver
attractive
risk-adjusted
returns
to
our
investors
through
full
economic
cycles
and
variable
interest-rate
environments
using
a
time-tested
process.
Therefore,
while
the
challenging
conditions
of
the
last
year
have
muted
returns,
we
are
confident
in
our
ability
to
take
advantage
of
future
opportunities
by
drawing
upon
the
extensive
experience
of
our
team.
If
you
have
any
questions
regarding
the
DoubleLine
Funds,
please
don’t
hesitate
to
call
us
at
1
(855)
937-0772
or
visit
our
website
www.doubleline.com,
where
our
investment
management
team
offers
deeper
insights
and
analysis
on
relevant
capital
market
activity
impacting
investors
today.
Thank
you
for
your
continued
support
and
entrusting
DoubleLine
with
your
investments.
We
deeply
value
your
trust,
and
we
will
continue
to
work
diligently
to
meet
your
broad
investment
needs.
Sincerely,
Ronald
R.
Redell
,
CFA
President
DoubleLine
ETF
Trust
November
1,
2023
Management’s
Discussion
of
Fund
Performance
6
DoubleLine
ETF
Trust
(Unaudited)
September
30,
2023
DoubleLine
Opportunistic
Bond
ETF
For
the
12-month
period
ended
September
30,
2023,
the
DoubleLine
Opportunistic
Bond
ETF
outperformed
the
benchmark
Bloomberg
US
Aggregate
Bond
Index
return
of
0.64%.
The
period
was
characterized
by
declining
global
growth,
persistently
hawkish
policy
from
the
Federal
Reserve
and
an
increase
in
interest
rates
across
the
U.S.
Treasury
curve.
The
Fund’s
outperformance
was
driven
by
its
overweight
relative
to
the
index
to
fixed
income
credit
sectors
in
a
period
when
credit
spreads
generally
tightened.
The
biggest
contributors
to
the
Fund’s
performance
were
investment
grade
corporates,
domestic
high
yield
corporates
and
non-Agency
residential
mortgage-backed
securities.
All
three
sectors
generated
strong
interest
income
and
experienced
spread
tightening
en
route
to
outperforming
every
sector
in
the
index.
The
biggest
detractor
from
performance
was
Treasuries,
which
experienced
duration-related
price
declines
in
a
period
of
rising
interest
rates.
For
additional
performance
information,
please
refer
to
the
“Standardized
Performance
Summary.”
DoubleLine
Shiller
CAPE
®
U.S.
Equities
ETF
For
the
12-month
period
ended
September
30,
2023,
the
DoubleLine
Shiller
CAPE®
U.S.
Equities
ETF
posted
a
significant
positive
return
but
underperformed
the
S&P
500
Index’s
21.62%.
During
the
period,
the
Shiller
Barclays
CAPE®
U.S.
Sector
Total
Return
USD
Index,
which
the
Fund
is
guided
by,
was
allocated
to
eight
sectors:
consumer
discretionary,
consumer
staples,
communication
services,
financials,
healthcare,
materials,
technology
and
real
estate.
The
Fund
owned
U.S.
equity
securities
in
these
eight
sectors
during
the
period,
and
six
of
the
eight
allocations
appreciated
in
value.
The
technology
and
consumer
discretionary
allocations
were
the
biggest
contributors
to
Fund
performance;
consumer
staples
and
healthcare
were
the
biggest
detractors.
This
ETF
is
different
from
traditional
ETFs.
Traditional
ETFs
tell
the
public
what
assets
they
hold
each
day.
This
ETF
will
not.
This
may
create
additional
risks
for
your
investment.
For
example:  
• You
may
have
to
pay
more
money
to
trade
the
ETF’s
shares.
This
ETF
will
provide
less
information
to
traders,
who
tend
to
charge
more
for
trades
when
they
have
less
information.
• The
price
you
pay
to
buy
ETF
shares
on
an
exchange
may
not
match
the
value
of
the
ETF’s
portfolio.
The
same
is
true
when
you
sell
shares.
These
price
differences
may
be
greater
for
this
ETF
compared
to
other
ETFs
because
it
provides
less
information
to
traders.
• These
additional
risks
may
be
even
greater
in
bad
or
uncertain
market
conditions.
The
differences
between
this
ETF
and
other
ETFs
may
also
have
advantages.
By
keeping
certain
information
about
the
ETF
secret,
this
ETF
may
face
less
risk
that
other
traders
can
predict
or
copy
its
investment
strategy.
This
may
improve
the
ETF’s
performance.
If
other
traders
are
able
to
copy
or
predict
the
ETF’s
investment
strategy,
however,
this
may
hurt
the
ETF’s
performance.
For
additional
information
regarding
the
unique
attributes
and
risks
of
the
ETF,
see
the
Prospectus
and
SAI,
which
are
available
on
www.doubleline.
com.
For
additional
performance
information,
please
refer
to
the
“Standardized
Performance
Summary.”
12-Month
Period
Ended
9-30-23
12
months
Total
Return
based
on
NAV
0.84%
Total
Return
based
on
Market
Price
0.73%
Bloomberg
US
Aggregate
Bond
Index
*
0.64%
*
Reflects
no
deduction
for
fees,
expenses,
or
taxes.
12-Month
Period
Ended
9-30-23
12
months
Total
Return
based
on
NAV
19.54%
Total
Return
based
on
Market
Price
19.47%
S&P
500
Index
*
21.62%
*
Reflects
no
deduction
for
fees,
expenses,
or
taxes.
(Unaudited)
September
30,
2023
Annual
Report
|
September
30,
2023
7
DoubleLine
Commercial
Real
Estate
ETF
From
inception
until
September
30,
2023,
the
DoubleLine
Commercial
Real
Estate
ETF
significantly
outperformed
the
benchmark
Bloomberg
US
Aggregate
1-3
Year
Bond
Index
return
of
0.37%.
Yields
pushed
higher
across
the
U.S.
Treasury
curve
in
the
period,
with
the
two-year
yield
up
102
basis
points
(bps)
and
the
five-year
yield
up
104
bps.
A
shorter
duration
profile
relative
to
the
index
and
asset
allocation
contributed
to
the
Fund’s
performance.
The
Fund
benefited
from
maintaining
a
duration
roughly
one
year
shorter
than
the
index
during
a
period
of
rising
interest
rates.
While
the
Fund’s
Agency
commercial
mortgage-backed
securities
(CMBS)
exposure
detracted
from
performance,
the
Fund
benefited
from
its
allocation
to
non-Agency
CMBS.
The
Fund
was
predominantly
allocated
to
the
AAA-rated
portion
of
the
capital
structure,
which
protected
the
Fund
from
losses
and
spread
widening
exhibited
by
lower-rated
securities.
The
Fund
also
benefited
from
its
exposure
to
floating-rate
assets,
boosted
by
the
significant
rise
in
interest
rates.
In
addition,
the
Fund
tactically
added
a
diversified
mix
of
property
types
that
softened
headline
risk
impacts
throughout
the
period.
For
additional
performance
information,
please
refer
to
the
“Standardized
Performance
Summary.”
DoubleLine
Mortgage
ETF 
From
inception
until
September
30,
2023,
the
DoubleLine
Mortgage
ETF
performed
in
line
with
the
benchmark
Bloomberg
US
Mortgage-Backed
Securities
(MBS)
Index
return
of
negative
4.67%.
U.S.
Treasury
yields
pushed
higher
across
the
curve
in
the
period,
with
the
two-year
yield
up
102
basis
points
(bps),
10-year
yield
up
110
bps
and
30-year
yield
up
105
bps.
Out-of-index
exposures,
such
as
Agency
collateralized
mortgage
obligations
(CMOs)
and
non-Agency
MBS,
contributed
to
the
Fund’s
performance.
The
CMO
allocation
benefited
from
higher
carry
as
well
as
a
short
overall
duration;
the
non-Agency
MBS
allocation
benefited
from
spread
tightening
and
supply-demand
dynamics.
The
Fund
also
benefited
from
a
compositional
pass-through
makeup
that
is
weighted
more
toward
higher-coupon
securities
relative
to
the
index.
Treasury
exposures
detracted
from
Fund
performance,
hurt
by
their
long
duration
in
a
period
of
rising
interest
rates.
For
additional
performance
information,
please
refer
to
the
“Standardized
Performance
Summary.”
Past
Performance
is
not
a
guarantee
of
future
results. Fund
investing
involves
risk. 
Principal
loss
is
possible.
Diversification
does
not
assure
a
profit
or
protect
against
loss
in
a
declining
market.
Opinions
expressed
herein
are
as
of
September
30,
2023,
and
are
subject
to
change
at
any
time,
are
not
guaranteed
and
should
not
be
considered
investment
advice.
This
report
is
for
the
information
of
shareholders
of
the
Funds.
It
may
also
be
used
as
sales
literature
when
preceded
or
accompanied
by
the
current
prospectus.
Each
Fund's
investment
objectives,
risks,
charges
and
expenses
must
be
considered
carefully
before
investing.
The
statutory
prospectus
and
summary
prospectus
contain
this
and
other
important
information
about
the
investment
company,
and
may
be
obtained
by
calling
(855)
937-0772,
or
visiting
www.doubleline.com.
Read
them
carefully
before
investing.
The
performance
information
shown
assumes
the
reinvestment
of
all
dividends
and
distributions.
Investment
performance
reflects
management
fees
and
other
fund
expenses,
including
any
applicable
fee
waivers
that
are
in
effect
with
respect
to
a
particular
Fund.
In
the
absence
of
such
waivers,
total
return
would
be
reduced.
Returns
over
1
year
are
average
annual
returns.
Performance
data
quoted
represents
past
performance;
past
performance
does
not
guarantee
future
results
and
does
not
reflect
the
deduction
of
any
taxes
a
shareholder
would
pay
on
fund
distributions
or
the
sale
of
fund
shares.
The
investment
return
and
principal
value
of
an
investment
will
fluctuate
so
that
an
investor’s
shares,
when
redeemed,
may
be
worth
more
or
less
than
the
original
cost.
Current
performance
of
the
Fund
may
be
lower
or
higher
than
the
performance
quoted.
The
Funds’
gross
and
net
expense
ratios
also
include
“acquired
fund
fees
and
expenses,”
which
are
expenses
incurred
indirectly
as
a
result
of
a
Fund’s
investments
in
one
or
more
underlying
funds,
including
ETFs
and
money
market
funds.
Because
these
costs
are
indirect,
the
expense
ratios
will
not
correlate
to
the
expense
ratios
in
the
Funds’
financial
statements,
since
financial
statements
only
include
direct
costs
of
the
Funds
and
not
indirect
costs
of
investing
in
the
underlying
funds.
Performance
data
current
to
the
most
recent
month-end
may
be
obtained
by
calling
(855)
937-0772,
or
visiting
www.doubleline.com 
Since
Inception
Period
Ended
9-30-23
Since
Inception
(March
31,
2023)
Total
Return
based
on
NAV
2.69%
Total
Return
based
on
Market
Price
2.91%
Bloomberg
US
Aggregate
1-3
Year
Bond
Index
*
0.37%
*
Reflects
no
deduction
for
fees,
expenses,
or
taxes.
Since
Inception
Period
Ended
9-30-23
Since
Inception
(March
31,
2023)
Total
Return
based
on
NAV
-4.67%
Total
Return
based
on
Market
Price
-4.55%
Bloomberg
US
Agency
Mortgage-Backed
Securities
(MBS)
Index
*
-4.67%
*
Reflects
no
deduction
for
fees,
expenses,
or
taxes.
Management’s
Discussion
of
Fund
Performance
(Cont.)
8
DoubleLine
ETF
Trust
Fund
holdings
and
sector
allocations
are
subject
to
change
at
any
time
and
are
not
recommendations
to
buy
or
sell
any
security.
Please
refer
to
the
Schedules
of
Investments
for
a
complete
list
of
Fund
holdings
as
of
period
end. 
DoubleLine
Opportunistic
Bond
ETF
(DBND)
Disclosure
Investments
in
debt
securities
typically
decrease
in
value
when
interest
rates
rise.
This
risk
is
usually
greater
for
longer-term
debt
securities.
Investments
in
lower-rated
and
non-rated
securities
present
a
greater
risk
of
loss
to
principal
and
interest
than
higher-rated
securities.
Investments
in
ABS,
MBS,
and
floating
rate
securities
include
additional
risks
that
investors
should
be
aware
of
such
as
credit
risk,
prepayment
risk,
possible
illiquidity
and
default,
as
well
as
increased
susceptibility
to
adverse
economic
developments.
Investments
in
floating
rate
securities
include
additional
risks
that
investors
should
be
aware
of
such
as
credit
risk,
interest
rate
risk,
possible
illiquidity
and
default,
as
well
as
increased
susceptibility
to
adverse
economic
developments.
The
Fund
invests
in
foreign
securities
which
involve
greater
volatility
and
political,
economic
and
currency
risks
and
differences
in
accounting
methods.
These
risks
are
greater
for
investments
in
emerging
markets.
The
Fund
may
use
leverage
which
may
cause
the
effect
of
an
increase
or
decrease
in
the
value
of
the
portfolio
securities
to
be
magnified
and
the
Fund
to
be
more
volatile
than
if
leverage
was
not
used.
Derivatives
involve
special
risks
including
correlation,
counterparty,
liquidity,
operational,
accounting
and
tax
risks.
These
risks,
in
certain
cases,
may
be
greater
than
the
risks
presented
by
more
traditional
investments.
The
Fund
is
a
“non-diversified”
investment
company
and
therefore
may
invest
a
greater
percentage
of
its
assets
in
the
securities
of
a
single
issuer
or
a
limited
number
of
issuers
than
funds
that
are
“diversified.”
Accordingly,
the
Fund
is
more
susceptible
to
risks
associated
with
a
single
economic,
political
or
regulatory
occurrence
than
a
diversified
fund
might
be. 
Investing
in
ETFs
involve
additional
risks
such
as
the
market
price
of
the
shares
may
trade
at
a
discount
to
its
net
asset
value
("NAV"),
an
active
secondary
trading
market
may
not
develop
or
be
maintained,
or
trading
may
be
halted
by
the
exchange
in
which
they
trade,
which
may
impact
a
Funds
ability
to
sell
its
shares.
DoubleLine
Shiller
CAPE
®
U.S.
Equities
ETF
(CAPE)
Disclosure 
Equities
may
decline
in
value
due
to
both
real
and
perceived
general
market,
economic
and
industry
conditions.
The
Fund
is
a
“non-diversified”
investment
company
and
therefore
may
invest
a
greater
percentage
of
its
assets
in
the
securities
of
a
single
issuer
or
a
limited
number
of
issuers
than
funds
that
are
“diversified.”
Accordingly,
the
Fund
is
more
susceptible
to
risks
associated
with
a
single
economic,
political
or
regulatory
occurrence
than
a
diversified
fund
might
be.
ETF
investments
involve
additional
risks
such
as
the
market
price
trading
at
a
discount
to
its
net
asset
value,
an
active
secondary
trading
market
may
not
develop
or
be
maintained,
or
trading
may
be
halted
by
the
exchange
in
which
they
trade,
which
may
impact
a
fund’s
ability
to
sell
its
shares.
Barclays
Bank
PLC
and
its
affiliates
(“Barclays”)
is
not
the
developer
or
implementer
of
the
DoubleLine
Shiller
CAPE
®
U.S.
Equities
ETF
(the
“ETF”)
and
Barclays
has
no
responsibilities,
obligations
or
duties
to
investors
in
the
ETF.
The
Shiller
Barclays
CAPE
®
US
Sector
USD
Index
(the
“Index”)
is
a
trademark
owned
by
Barclays
Bank
PLC
and
licensed
for
use
by
DoubleLine.
While
DoubleLine
may
execute
transaction(s)
with
Barclays
in
or
relating
to
the
ETF
or
the
Index,
investors
acquire
interests
solely
in
their
account
and
investors
neither
acquire
any
interest
in
the
ETF
or
the
Index
nor
enter
into
any
relationship
of
any
kind
whatsoever
with
Barclays
upon
making
an
investment.
The
ETF
is
not
sponsored,
endorsed,
sold
or
promoted
by
Barclays
and
Barclays
makes
no
representation
regarding
the
advisability
of
investing
in
the
ETF
or
the
use
of
the
Index
or
any
data
included
therein.
Barclays
shall
not
be
liable
in
any
way
to
investors
or
to
other
third
parties
in
respect
of
the
use
or
accuracy
of
the
ETF,
the
Index
or
any
data
included
therein.
The
Shiller
Barclays
Indices
have
been
developed
in
part
by
RSBB-I,
LLC,
the
research
principal
of
which
is
Robert
J.
Shiller.
RSBB-I,
LLC
is
not
an
investment
advisor,
and
does
not
guarantee
the
accuracy
or
completeness
of
the
Shiller
Barclays
Indices
or
any
data
or
methodology
either
included
therein
or
upon
which
it
is
based.
Neither
RSBB-I,
LLC
nor
Robert
J.
Shiller
or
any
of
their
respective
partners,
employees,
subcontractors,
agents,
suppliers
and
vendors
(collectively,
the
“protected
parties”),
shall
have
any
liability,
whether
caused
by
the
negligence
of
a
protected
party
or
otherwise,
for
any
errors,
omissions,
or
interruptions
therein,
and
make
no
warranties,
express
or
implied,
as
to
performance
or
results
experienced
by
any
party
from
the
use
of
any
information
included
therein
or
upon
which
it
is
based,
and
expressly
disclaim
all
warranties
of
merchantability
or
fitness
for
a
particular
purpose
with
respect
thereto,
and
shall
not
be
liable
for
any
claims
or
losses
of
any
nature
in
connection
with
the
use
of
such
information,
including
but
not
limited
to,
lost
profits
or
punitive
or
consequential
damages,
even
if
RSBB-I,
LLC,
Robert
J.
Shiller
or
any
protected
party
is
advised
of
the
possibility
of
same.
Shiller
Barclays
CAPE
US
Sector
TR
USD
Index
incorporates
the
principles
of
long-term
investing
distilled
by
Dr.
Robert
Shiller
and
expressed
through
the
CAPE
®
(Cyclically
Adjusted
Price
Earnings)
ratio
(the
“CAPE
®
Ratio”).
It
aims
to
identify
undervalued
sectors
based
on
a
modified
CAPE
®
Ratio,
and
then
uses
a
momentum
factor
to
seek
to
mitigate
the
effects
of
potential
value
trap.
None
of
the
information
supplied
by
Barclays
Bank
PLC
and
used
in
this
publication
may
be
reproduced
in
any
manner
without
the
prior
written
permission
of
Barclays
Capital,
the
investment
banking
division
of
Barclays
Bank
PLC.
Barclays
Bank
PLC
is
registered
in
England
No.
1026167.
Registered
office
1
Churchill
Place
London
E14
5HP.
DoubleLine
Commercial
Real
Estate
ETF
(DCMB)
Disclosure
The
value
of
an
instrument
with
a
longer
duration
(whether
positive
or
negative)
will
be
more
sensitive
to
changes
in
interest
rates
than
a
similar
instrument
with
a
shorter
duration.
There
is
the
risk
that
the
Fund
may
be
unable
to
sell
a
portfolio
investment
at
a
desirable
time
or
at
the
value
the
Fund
has
placed
on
the
investment.
Illiquidity
may
be
the
result
of,
for
example,
low
trading
volume,
lack
of
a
market
maker,
or
contractual
or
legal
restrictions
that
limit
or
prevent
the
Fund
from
selling
securities
or
closing
derivative
positions.
Investments
in
debt
securities
typically
decrease
in
value
when
interest
rates
rise.
This
risk
is
usually
greater
for
longer-term
debt
securities.
There
is
risk
that
borrowers
may
default
on
their
mortgage
obligations
or
the
guarantees
underlying
the
mortgage-backed
securities
will
default
or
otherwise
fail
and
that,
during
periods
of
falling
interest
rates,
mortgage-backed
securities
will
be
called
or
prepaid,
which
may
result
in
the
Fund
having
to
reinvest
proceeds
in
other
investments
at
a
lower
interest
rate.
The
fund
is
a
“non-diversified”
investment
company
and
therefore
may
invest
a
greater
percentage
of
its
assets
in
the
securities
of
a
single
issuer
or
a
limited
number
of
issuers
than
funds
that
are
“diversified.”
Accordingly,
the
fund
is
more
susceptible
to
risks
associated
with
a
single
economic,
political
or
regulatory
occurrence
than
a
diversified
fund
might
be.
Derivatives
involve
special
risks
including
correlation,
counterparty,
liquidity,
operational,
accounting
and
tax
risks.
These
risks,
in
certain
cases,
may
be
greater
than
the
risks
presented
by
more
traditional
investments.   
(Unaudited)
September
30,
2023
Annual
Report
|
September
30,
2023
9
Investing
in
ETFs
involves
additional
risks
such
as
the
market
price
of
the
shares
may
trade
at
a
discount
to
its
net
asset
value
("NAV"),
an
active
secondary
trading
market
may
not
develop
or
be
maintained,
or
trading
may
be
halted
by
the
exchange
in
which
they
trade,
which
may
impact
a
fund's
ability
to
sell
its
shares.
DoubleLine
Mortgage
ETF
(DMBS)
Disclosure
Investments
in
debt
securities
typically
decrease
in
value
when
interest
rates
rise.
This
risk
is
usually
greater
for
longer-term
debt
securities.
The
value
of
an
instrument
with
a
longer
duration
(whether
positive
or
negative)
will
be
more
sensitive
to
changes
in
interest
rates
than
a
similar
instrument
with
a
shorter
duration.
There
is
the
risk
that
the
Fund
may
be
unable
to
sell
a
portfolio
investment
at
a
desirable
time
or
at
the
value
the
Fund
has
placed
on
the
investment.
Illiquidity
may
be
the
result
of,
for
example,
low
trading
volume,
lack
of
a
market
maker,
or
contractual
or
legal
restrictions
that
limit
or
prevent
the
Fund
from
selling
securities
or
closing
derivative
positions.
There
is
risk
that
borrowers
may
default
on
their
mortgage
obligations
or
the
guarantees
underlying
the
mortgage-backed
securities
will
default
or
otherwise
fail
and
that,
during
periods
of
falling
interest
rates,
mortgage-backed
securities
will
be
called
or
prepaid,
which
may
result
in
the
Fund
having
to
reinvest
proceeds
in
other
investments
at
a
lower
interest
rate.
Derivatives
involve
special
risks
including
correlation,
counterparty,
liquidity,
operational,
accounting
and
tax
risks.
These
risks,
in
certain
cases,
may
be
greater
than
the
risks
presented
by
more
traditional
investments.
The
Fund
is
a
“non-diversified”
investment
company
and
therefore
may
invest
a
greater
percentage
of
its
assets
in
the
securities
of
a
single
issuer
or
a
limited
number
of
issuers
than
funds
that
are
“diversified.”
Accordingly,
the
Fund
is
more
susceptible
to
risks
associated
with
a
single
economic,
political
or
regulatory
occurrence
than
a
diversified
fund
might
be. 
Investing
in
ETFs
involves
additional
risks
such
as
the
market
price
of
the
shares
may
trade
at
a
discount
to
its
net
asset
value
("NAV"),
an
active
secondary
trading
market
may
not
develop
or
be
maintained,
or
trading
may
be
halted
by
the
exchange
in
which
they
trade,
which
may
impact
a
fund's
ability
to
sell
its
shares.
Agency
Refers
to
mortgage-backed
securities
(MBS)
whose
principal
and
interest
are
guaranteed