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Core Bond Strategy

We believe successful, long-term fixed income investing starts with small, individual security decisions.

Team

Group Item Count: 3
set at runtime

Mark Jackson, CFA

Portfolio Manager

Group Item Count: 3
set at runtime

Henry Song, CFA

Portfolio Manager

Group Item Count: 3
set at runtime

Douglas Gimple

Senior Portfolio Specialist

Philosophy and process highlights

We believe careful selection of undervalued securities and spread sectors offering incremental yield and total return relative to the index is the best way to generate successful long-term investment outcomes.

We focus on securitized products as we believe this differentiated approach provides more opportunities to achieve higher credit quality while maintaining a yield advantage as compared to those invested in government or corporate credit-focused strategies.

We constantly look for value-add opportunities, which can lead to allocations outside of the benchmark with a focus on the securitized market.

Related insights

Returns

Period and Annualized Total Returns (%) As of 30 Sep 2022
Since Inception
(31 Jul 2016)
5Y3Y1YYTD3Q22
Gross of Fees 1.12 1.08 -1.87 -12.06 -12.13 -3.86
Net of Fees 0.82 0.78 -2.15 -12.31 -12.33 -3.93
Bloomberg US Aggregate Bond Index -0.24 -0.27 -3.26 -14.60 -14.61 -4.75
Swipe or scroll right for more data

Past performance is not a guarantee of future results. Composite results reflect the reinvestment of dividends, capital gains and other earnings when appropriate. Net returns are calculated by reducing the gross returns by the highest stated fee in the composite fee schedule. Only transaction costs are deducted from gross of fees returns. Prior to 30 September 2022, actual fees were used in calculating net returns. All net returns were changed retroactively to reflect the highest fee in the composite fee schedule. To view a GIPS Report for all composites, click here.

Calendar Year Returns1 (%)

Year Gross of Fees Net of FeesBloomberg US Aggregate Bond Index
2021 -0.55 -0.84 -1.54
2020 8.34 8.03 7.51
2019 8.56 8.24 8.72
2018 2.06 1.77 0.01
2017 4.64 4.33 3.54
2016 -2.44 -2.56 -3.14

Peer Group Quartile Rankings2 As of 30 Sep 2022

Diamond
Hill
Percentile
3rd
3rd
9th
7th

Statistics

Portfolio Characteristics As of 30 Sep 2022

Core Bond Composite Bloomberg US Aggregate Bond Index
Inception 31 Jul 2016
Status Open
Number of Holdings 1,167 12,641
Yield To Maturity 6.05% 4.75%
Yield to Worst 5.96% 4.75%
Effective Duration 5.64 6.20
Weighted Average Life (years) 7.54 8.52
Convexity 0.45 0.64
Option-Adjusted Spread 192 62

Five-Year Risk Statistics3 As of 30 Sep 2022

Core Bond Composite Bloomberg US Aggregate Bond Index
Standard Deviation 4.50% 4.77%
Beta 0.91%
Sharpe Ratio -0.01 -0.29
R-Squared 92.67%
Information Ratio 1.04

Stay informed with regular portfolio updates, fact sheets and returns notifications

Portfolio

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 US Aggregate Bond Index.

Sector Allocation4 (%) As of 30 Sep 2022

Bloomberg US Aggregate Bond Index

Duration Breakdown (%)As of 30 Sep 2022

Core Bond Composite Bloomberg US Aggregate Bond Index
Less than one 18.0 1.1
1-3 17.6 22.9
3-5 20.9 23.5
5-7 14.0 25.9
7-10 11.7 11.6
10-20 15.6 14.7
20+ 2.2 0.3

Credit Quality Rating5 (%) As of 30 Sep 2022

AAA 51.5
AA 6.9
A 15.1
BBB 22.3
BB 0.0
B 0.0
CCC & Below 0.0
Not Rated 4.2

Key Rate Duration (%) As of 30 Sep 2022

Core Bond Composite Bloomberg US Aggregate Bond Index
1Y 0.08 0.09
2Y 0.15 0.24
3Y 0.37 0.50
5Y 1.01 1.35
10Y 1.70 1.38
20Y 1.70 1.45
30Y 0.62 1.10

Documents

2016 returns represent the time period 31 July 2016 - 31 Dec 2016.

2 Source: eVestment Analytics. Ranking within eVestment US Core Fixed Income universe based on monthly returns gross of fees. Ranking data calculated on 18 Oct 2022 (as of 30 Sep 2022) and is subject to change as additional firms within the category submit data. Diamond Hill pays an annual fee to eVestment to access their platform and to use their data, including peer group rankings, in marketing materials. Diamond Hill does not pay for the ranking.

Relative to the Bloomberg US Aggregate Bond Index.

Residential Mortgage-Backed Securities/Commercial Mortgage-Backed Securities. Cash & Other may include cash and money market funds. Non-Corporate Credit (includes covered) portfolio weight is 0.02%.

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.”

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

DIAMOND HILL® CAPITAL MANAGEMENT, INC. | DIAMOND-HILL.COM | 855.255.8955 | 325 JOHN H. MCCONNELL BLVD | SUITE 200 | COLUMBUS, OHIO 43215
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