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Intermediate Bond Strategy

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

Team

Group Item Count: 3
set at runtime

Henry Song, CFA

Portfolio Manager

Group Item Count: 3
set at runtime

Mark Jackson, 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 31 Jan 2024
Since Inception
(31 Jul 2021)
1YYTD3MOJan
Gross of Fees -0.94 4.56 0.41 6.54 0.41
Net of Fees -1.23 4.26 0.39 6.47 0.39
Bloomberg US Intermediate Aggregate Bond Index -2.41 2.76 0.00 6.55 0.00
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Period and Annualized Total Returns (%) As of 31 Dec 2023
Since Inception
(31 Jul 2021)
1YYTD4Q23
Gross of Fees -1.14 6.60 6.60 5.13
Net of Fees -1.43 6.29 6.29 5.06
Bloomberg US Intermediate Aggregate Bond Index -2.50 5.18 5.18 5.50
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 Intermediate Aggregate Bond Index
2023 6.60 6.29 5.18
2022 -7.83 -8.09 -9.51
2021 -1.02 -1.14 -1.17

Peer Group Quartile Rankings2 As of 31 Dec 2023

Diamond
Hill
Percentile
6th
7th

Statistics

Portfolio Characteristics As of 31 Dec 2023

Intermediate Bond Composite Bloomberg US Intermediate Aggregate Bond Index
Inception 31 Jul 2021
Status Open
Number of Holdings 285 9,949
Yield To Maturity 5.99% 4.53%
Yield to Worst 5.94% 4.53%
Effective Duration 4.09 4.47
Weighted Average Life (years) 4.99 5.31
Convexity 0.04 0.08
Option-Adjusted Spread 180 37

Risk Statistics3 As of 31 Dec 2023

Intermediate Bond Composite Bloomberg US Intermediate Aggregate Bond Index
Standard Deviation 5.21% 6.19%
Beta 0.65%
Sharpe Ratio -0.75 -0.85
R-Squared 96.56%
Information Ratio 0.93

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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 Intermediate Aggregate Bond Index.

Sector Allocation4 (%) As of 31 Dec 2023

Bloomberg US Intermediate Aggregate Bond Index

Duration Breakdown (%)As of 31 Dec 2023

Intermediate Bond Composite Bloomberg US Intermediate Aggregate Bond Index
Less than one 14.4 1.3
1-3 18.5 30.7
3-5 32.0 28.3
5-7 24.8 29.5
7-10 8.6 10.1
10-20 1.7 0.0
20+ 0.0 0.0

Credit Quality Rating5 (%) As of 31 Dec 2023

AAA 34.0
AA 32.6
A 13.6
BBB 16.2
BB 0.2
B 0.0
CCC & Below 0.0
Not Rated 3.3

Key Rate Duration (%) As of 31 Dec 2023

Intermediate Bond Composite Bloomberg US Intermediate Aggregate Bond Index
1Y 0.11 0.14
2Y 0.17 0.30
3Y 0.56 0.59
5Y 1.48 1.51
10Y 1.43 1.33
20Y 0.32 0.37
30Y 0.02 0.04

Documents

2021 returns represent the time period 31 Jul 2021 - 31 Dec 2021.

2 Source: eVestment. Ranking within eVestment US Intermediate Duration – Gov/Cred Fixed Income universe based on monthly returns gross of fees. Ranking data calculated on 19 January 2024 (as of 30 June 2023) 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 Intermediate Aggregate Bond Index.

Cash & Other may include cash and money market funds. RMBS: Residential Mortgage-Backed Securities, CMBS: Commercial Mortgage-Backed Securities.

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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