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Short Duration Investment Grade 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
(30 Nov 2021)
YTD3Q22
Gross of Fees -4.55 -4.47 -0.98
Net of Fees -4.83 -4.72 -1.07
Bloomberg US 1-3 Yr. Gov./Credit Index -4.68 -4.54 -1.48
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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 1-3 Yr. Gov./Credit Index
2021 -0.09 -0.12 -0.15

Statistics

Portfolio Characteristics As of 30 Sep 2022

Short Duration Investment Grade Composite Bloomberg US 1-3 Yr. Gov./Credit Index
Inception 30 Nov 2021
Status Open
Number of Holdings 476 1,806
Yield To Maturity 6.30% 4.75%
Yield to Worst 6.16% 4.75%
Effective Duration 1.68 1.89
Weighted Average Life (years) 2.64 1.98
Convexity 0.03 0.04
Option-Adjusted Spread 226 20

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Portfolio

Portfolio Guidelines

The portfolio generally invests in a diversified portfolio of investment grade, fixed income securities. A significant portion of the portfolio may invest in securitized bond investments and will typically maintain an average portfolio duration of less than three.

Sector Allocation2 (%) As of 30 Sep 2022

Bloomberg US 1-3 Yr. Gov./Credit Index

Duration Breakdown (%)As of 30 Sep 2022

Short Duration Investment Grade Composite Bloomberg US 1-3 Yr. Gov./Credit Index
Less than one 35.5 4.9
1-3 47.6 95.1
3-5 14.9 0.0
5-7 1.3 0.0
7-10 0.6 0.0
10-20 0.1 0.0
20+ 0.1 0.0

Credit Quality Rating3 (%) As of 30 Sep 2022

AAA 37.3
AA 7.3
A 19.8
BBB 26.2
BB 0.0
B 0.0
CCC & Below 0.0
Not Rated 9.3

Key Rate Duration (%) As of 30 Sep 2022

Short Duration Investment Grade Composite Bloomberg US 1-3 Yr. Gov./Credit Index
1Y 0.20 0.35
2Y 0.46 0.91
3Y 0.44 0.58
5Y 0.36 0.00
10Y 0.16 0.00
20Y 0.04 0.00
30Y 0.00 0.00

Documents

1 2021 returns represent the time period 30 Nov 2021 - 31 Dec 2021.

2 Residential Mortgage-Backed Securities/Commercial Mortgage-Backed Securities. Cash & Other may include cash and money market funds.

3 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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