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 (%)
Peer Group Quartile Rankings2 As of
31 Dec 2022
Diamond
Hill
Percentile |
50th 26th 24th 21st
|
Statistics
Portfolio Characteristics
As of
31 Dec 2022
Five-Year Risk Statistics3 As of
31 Dec 2022
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Portfolio
Portfolio Guidelines
The portfolio generally invests at least 80% of its assets in securitized bond investments. The portfolio may invest up to 15% of its assets in below-investment grade securities at the time of purchase and will typically maintain an average portfolio duration of one to two, with a maximum of three.
Sector Allocation4 (%) As of
31 Dec 2022
Bloomberg US 1-3 Yr. Gov./Credit Index
Duration Breakdown (%)As of
31 Dec 2022
|
Short Duration Securitized Bond Composite |
Bloomberg US 1-3 Yr. Gov./Credit Index |
| Less than one |
40.4 |
4.1 |
| 1-3 |
49.5 |
95.9 |
| 3-5 |
10.0 |
0.0 |
| 10-20 |
0.1 |
0.0 |
| 20+ |
0.0 |
0.0 |
Credit Quality Rating5 (%) As of
31 Dec 2022
| AAA |
14.9 |
| AA |
7.4 |
| A |
15.7 |
| BBB |
32.6 |
| BB |
10.2 |
| B |
1.5 |
| CCC & Below |
0.0 |
| Not Rated |
17.7 |
Key Rate Duration (%) As of
31 Dec 2022
|
Short Duration Securitized Bond Composite |
Bloomberg US 1-3 Yr. Gov./Credit Index |
| 1Y |
0.22 |
0.36 |
| 2Y |
0.39 |
0.92 |
| 3Y |
0.46 |
0.54 |
| 5Y |
0.24 |
0.00 |
| 10Y |
0.03 |
0.00 |
| 20Y |
0.01 |
0.00 |
| 30Y |
0.00 |
0.00 |
Disclosure
1 2016 returns represent the time period 31 July 2016 - 31 Dec 2016.
2 Source: eVestment Analytics. Ranking within eVestment US Securitized Fixed Income - Non-Traditional universe based on monthly returns gross of fees. Ranking data calculated on 20 Jan 2023 (as of 31 Dec 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.
3 Relative to the Bloomberg US 1-3 Yr. Gov./Credit Index.
4 Residential Mortgage-Backed Securities/Commercial Mortgage-Backed Securities. Cash & Other may include cash and money market 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.”
Index data source: Bloomberg Index Services Limited. See diamond-hill.com/disclosures for a full copy of the disclaimer.
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