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Short Duration Securitized 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.

Learn more about our philosophy and process

Related insights

Returns

Period and Annualized Total Returns (%) As of 31 Oct 2023
Since Inception
(31 Jul 2016)		 5Y3Y1YYTD3MOOct
Gross of Fees 3.49 3.34 2.82 7.87 6.63 2.07 0.49
Net of Fees 3.02 2.88 2.36 7.39 6.23 1.95 0.46
Bloomberg US 1-3 Yr. Gov./Credit Index 1.00 1.25 -0.62 3.23 2.19 0.62 0.31
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Period and Annualized Total Returns (%) As of 30 Sep 2023
Since Inception
(31 Jul 2016)		 5Y3Y1YYTD3Q23
Gross of Fees 3.46 3.25 2.99 6.64 6.10 2.84
Net of Fees 2.99 2.78 2.53 6.16 5.74 2.72
Bloomberg US 1-3 Yr. Gov./Credit Index 0.97 1.21 -0.72 2.77 1.87 0.73
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 1-3 Yr. Gov./Credit Index
2022 -2.88 -3.31 -3.69
2021 3.27 2.80 -0.47
2020 3.65 3.18 3.33
2019 5.34 4.87 4.03
2018 3.77 3.31 1.60
2017 4.89 4.42 0.84
2016 0.87 0.68 -0.38

Peer Group Quartile Rankings2 As of 30 Sep 2023

Diamond
Hill
Percentile
43rd
24th
30th
31st

Statistics

Portfolio Characteristics As of 30 Sep 2023

Short Duration Securitized Bond Composite Bloomberg US 1-3 Yr. Gov./Credit Index
Inception 31 Jul 2016 —
Status Open —
Number of Holdings 389 2,005
Yield To Maturity 9.25% 5.36%
Yield to Worst 9.25% 5.35%
Effective Duration 1.13 1.85
Weighted Average Life (years) 2.27 1.96
Convexity 0.01 0.04
Option-Adjusted Spread 405 22

Five-Year Risk Statistics3 As of 30 Sep 2023

Short Duration Securitized Bond Composite Bloomberg US 1-3 Yr. Gov./Credit Index
Standard Deviation 4.92% 1.75%
Beta 0.52% —
Sharpe Ratio 0.31 -0.30
R-Squared 3.40% —
Information Ratio 0.41 —

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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 30 Sep 2023

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

Duration Breakdown (%)As of 30 Sep 2023

Short Duration Securitized Bond Composite Bloomberg US 1-3 Yr. Gov./Credit Index
Less than one 51.4 5.3
1-3 41.2 94.7
3-5 7.2 0.0
5-7 0.2 0.0
7-10 0.0 0.0
10-20 0.0 0.0
20+ 0.0 0.0

Credit Quality Rating5 (%) As of 30 Sep 2023

AAA 25.1
AA 11.8
A 15.6
BBB 22.5
BB 6.5
B 2.3
CCC & Below 0.0
Not Rated 16.2

Key Rate Duration (%) As of 30 Sep 2023

Short Duration Securitized Bond Composite Bloomberg US 1-3 Yr. Gov./Credit Index
1Y 0.26 0.36
2Y 0.29 0.90
3Y 0.30 0.55
5Y 0.18 0.00
10Y 0.06 0.00
20Y 0.02 0.00
30Y 0.00 0.00

Documents

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 19 October 2023 (as of 30 Sep 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.

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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