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Core Bond Composite

Investment Strategy

  • Identify opportunities through a bottom-up approach to active investment management and disciplined risk control.
  • Perform risk/reward analysis to evaluate credit risk, interest rate risk, prepayment risk, and security structure.
  • Invest in securities we believe offer attractive prospects for income and/or capital appreciation relative to the risk borne.

Team

Mark Jackson, CFA

Portfolio Manager

Henry Song, CFA

Portfolio Manager

Douglas Gimple

Senior Portfolio Specialist

Documents

Composite Fact Sheet

Composite Commentary

Returns

Quarterly

 Period and Annualized Total Returns as of 12/31/2020
Since Inception
(7/31/2016)		 3-YR 1-YR YTD 4Q20
Gross of Fees 4.71 6.28 8.34 8.34 0.48
Net of Fees 4.43 6.01 8.13 8.13 0.43
Bloomberg Barclays U.S. Aggregate Index 3.66 5.34 7.51 7.51 0.67
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Past performance is not a guarantee of future results. To view a compliant presentation for all composites, click here.

Calendar Year Returns1

Year Gross of Fees Net of FeesBloomberg Barclays U.S. Aggregate Index
2020 8.34 8.13 7.51
2019 8.56 8.28 8.72
2018 2.06 1.76 0.01
2017 4.64 4.33 3.54
2016 -2.45 -2.56 -3.14

Peer Group Quartile Rankings2 as of December 31, 2020

  Since
Inception		3-YR1-YR
Diamond Hill Percentile 16th24th64th

2 This is presented as supplemental information. Source: eVestment Analytics. Ranking within eVestment U.S. Core Fixed Income universe based on monthly returns gross of fees. Ranking data calculated on 1/20/21 (as of 12/31/20) and is subject to change as additional firms within the category submit data.

Statistics

Portfolio Characteristics as of December 31, 2020

Since Inception Bloomberg Barclays U.S. Aggregate Index
Inception July 31, 2016 —
Status Open —
Number of Holdings 1,409 11,984
Yield To Maturity 1.75% 1.14%
Yield to Worst 1.34% 1.12%
Effective Duration 5.86 6.22
Weighted Average Life 7.89 8.28
Convexity 0.55 0.34
Option-Adjusted Spread 113 42

This is presented as supplemental information.

Since Inception Risk Statistics3 as of December 31, 2020

Core Bond Composite
Standard Deviation 3.47%
Beta 1.02%
Sharpe Ratio 0.99
R-Squared 89.22%
Information Ratio 0.92

This is presented as supplemental information.

Portfolio

Portfolio Guidelines

The Fund 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 Fund will typically maintain an average portfolio duration within 20% of the duration of the Bloomberg Barclays U.S. Aggregate Index.

Vehicles Available

Sector Allocation4 as of December 31, 2020

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Agency RMBS/CMBS 31.0 27.8
Treasury 18.3 37.0
Asset-Backed Securities 18.3 0.3
Corporate Credit 17.3 27.4
Non-Agency RMBS/CMBS 13.2 1.2
Agency 0.6 1.7
Non-Corporate Credit (includes covered) 0.0 4.6
Cash & Other 1.3 0.0

This is presented as supplemental information.

Duration Breakdown as of December 31, 2020

Core Bond Composite Bloomberg Barclays U.S. Aggregate Index
Less than one 18.7 10.3
1-3 20.5 36.1
3-5 17.5 16.4
5-7 11.0 10.9
7-10 14.0 7.3
10-20 12.6 14.4
20+ 5.6 4.6

This is presented as supplemental information.

Credit Quality5 as of December 31, 2020

Quality Rating % of Portfolio
AAA 57.8
AA 8.1
A 15.6
BBB 16.6
BB 0.3
B 0.0
CCC & Lower 0.0
Not Rated 1.6

This is presented as supplemental information.

Key Rate Duration6 as of December 31, 2020

This is presented as supplemental information.

Documents

1 2016 returns represent the time period 7/31/16-12/31/16.

3 Relative to the Bloomberg Barclays U.S. Aggregate Index.

4 Residential Mortgage-Backed securities/Commercial Mortgage-Backed Securities. Cash & Other may include cash, money market funds, and short duration fixed income funds.

5 Security quality ratings are derived from underlying portfolio securities by using the middle rating of Standard & Poor’s, Moody’s, and Fitch. If only two of Standard & Poor’s, Moody’s, and Fitch rates a security the higher of the two is selected. If only one of Standard & Poor’s, Moody’s, and Fitch rates a security the available rating is used. For securities that are not rated by Standard & Poor’s, Moody’s, or Fitch a rating from a secondary Nationally Recognized Statistical Rating Organization (“NRSRO”) 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 agencies are reflected as Not Rated “NR.”

6 Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

Index data source: Bloomberg Index Services Limited. See diamond-hill.com/disclosures for a full copy of the disclaimer.