Portfolio Guidelines

The portfolio generally invests at least 80% of its assets in investment grade and below investment grade (high yield) corporate bonds, and will typically maintain an effective duration of less than five.

Top Ten Issues
As Of May 31, 2019

Alliance Data Systems Corp. 5.38% 08/01/19 5.1%
Cimpress N.V. 7.00% 06/15/26 4.6
Welltec A/S 9.50% 12/01/22 3.5
Cogent Communications, Inc. 5.63% 04/15/21 2.9
Nathan's Famous, Inc. 6.63% 11/01/25 2.9
Energen Corp. 7.13% 02/15/28 2.8
Century Communities, Inc. 5.88% 07/15/25 2.4
Popular, Inc. 6.13% 09/14/23 2.4
Credit Acceptance Corp. 7.38% 03/15/23 2.3
Credit Acceptance Corp. 6.13% 02/15/21 2.0
Total As % Of Net Assets 30.9%

This is presented as supplemental information.

Sector Allocation1
As Of June 30, 2019

Corporate Credit
Composite
ICE BofAML U.S. Corporate
& High Yield Index
Corporate Bonds 82.8% 100.0%
Financial Services 17.4 2.7
Energy 10.5 11.5
Basic Industry 10.0 5.4
Retail 6.5 3.5
Media 6.2 4.4
Healthcare 4.9 9.4
Telecom 4.8 5.1
Leisure 4.4 1.1
Insurance 3.3 3.6
Banking 2.3 19.4
Automotive 2.3 2.5
Consumer Goods 2.2 5.8
Capital Goods 2.1 4.8
Real Estate 2.1 2.3
Transportation 1.6 2.2
Technology & Electronics 1.5 7.2
Services 0.5 1.8
Utility 0.0 7.3
Cash & Other 17.2 0.0

This is presented as supplemental information.

Portfolio Characteristics
As Of June 30, 2019

Number of Issues 89
Number of Issuers 69
Option-Adjusted Spread 307
Effective Duration 2.98
Spread Duration 2.84
Weighted Average Maturity (bonds only) 6.40
Yield to Maturity (%) 5.12
Current Yield (%) 5.28

This is presented as supplemental information.

Risk Statistics
As Of June 30, 2019

Since Inception 5-YR
Standard Deviation (%) 5.86 3.70
Beta (%)2 0.84 0.70
Sharpe Ratio 0.98 1.36

This is presented as supplemental information.

Credit Quality3
As Of June 30, 2019

Quality Rating % of Portfolio
Investment Grade 21.1%
BB 30.5
B 31.9
CCC & Lower 3.3
Not Rated 13.1

This is presented as supplemental information.

Duration Breakdown
As Of June 30, 2019

% of Bonds Held
Less than one 24.5%
1-3 22.0
3-5 35.1
5-7 11.7
7-10 1.0
10-20 5.7

This is presented as supplemental information.

1 Cash & Other may include cash, treasuries, money market funds, collateralized debt/loan obligations, and short duration fixed income funds.

2 Relative to the ICE BofAML U.S. Corporate & High Yield Index.

3 Investment Grade is a Bond Quality Rating of AAA, AA, A or BBB. 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.”

Source ICE Data Indices, LLC (“ICE Data”), is used with permission. ICE Data, its affiliates and their respective third party suppliers disclaim any and all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE Data, its affiliates or their respective third party providers shall not be subject to any damages or liability with respect to the adequacy, accuracy, timeliness or completeness of the indices or the index data or any component thereof, and the indices and index data and all components thereof are provided on an “as is” basis and your use is at your own risk. ICE Data, its affiliates and their respective third party suppliers do not sponsor, endorse, or recommend Diamond Hill Capital Management, Inc., or any of its products or services.

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