Portfolio Guidelines

The portfolio generally invests at least 80% of its assets in a diversified portfolio of investment grade, fixed income securities and may invest a significant portion or all of its assets in mortgage-related and mortgage-backed securities. The portfolio will typically maintain an average portfolio duration within 20% of the duration of the Bloomberg Barclays U.S. Aggregate Bond Index.

Sector Allocation As Of September 30, 2016

This is presented as supplemental information.

Diamond Hill makes its own sector and industry classifications. On occasion, these classifications may differ from those used by other sources, which could result in differences in contribution analysis.

Portfolio Statistics As Of September 30, 2016

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Number of Holdings 196 9,977
Yield to Maturity (%) 2.39 1.94
Yield to Worst (%) 2.21 1.94
Effective Duration 5.14 5.61
Spread Duration 4.44 3.59
Weighted Average Life (years) 6.89 7.74
Convexity 0.31 0.00
Option-Adjusted Spread 111 48

This is presented as supplemental information.

Credit Quality3 As Of September 30, 2016

Quality Rating % of Portfolio
AAA 60.1
AA 8.8
A 11.4
BBB 12.4
BB 0.0
B 0.0
CCC & Lower 0.0
Not Rated 7.3

This is presented as supplemental information.

Duration Breakdown As Of September 30, 2016

Core Bond Composite Bloomberg Barclays
U.S. Aggregate Index
Less than one 10.7% 0.1%
1-3 25.1 20.7
3-5 18.7 28.7
5-7 16.3 24.4
7-10 20.8 10.2
10-20 6.8 3.5
Greater than 20 1.6 12.3

This is presented as supplemental information.

Key Rate Duration As Of September 30, 2016

This is presented as supplemental information.

1 Residential Mortgage-Backed securities/Commercial Mortgage-Backed Securities.

2 Cash & Other may include cash, money market funds, and short duration fixed income funds.

3 Security quality ratings are derived from underlying portfolio securities by using the higher rating between Standard & Poor’s and Moody’s. If only one of Standard and Poor’s or Moody’s rates a security the available rating from Standard and Poor’s or Moody’s is selected. For securities that are not rated by Standard & Poor’s or Moody’s a rating by Fitch, DBSK, Morningstar, or Kroll may be used. Ratings by any agency represent an opinion only, not a recommendation to buy or sell. Securities that are not rated by any rating agencies are reflected as Not Rated “NR”.