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 asset-backed, mortgage-related, and mortgage-backed securities. The portfolio may invest up to 20% of its assets in below-investment grade securities at the time of purchase and will typically maintain an average portfolio duration one to two, with a maximum of three.

Sector Allocation
As Of June 30, 2020

Short Duration Total Return Composite Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index
Treasury 0.0% 65.0%
Agency 0.0 3.8
Agency RMBS/CMBS1 2.5 0.0
Asset-Backed Securities 58.8 0.0
Non-Agency RMBS/CMBS1 26.8 0.0
Corporate Credit 1.8 24.1
Non-Corporate Credit 0.0 7.1
Cash & Other2 10.0 0.0

This is presented as supplemental information.

Portfolio Characteristics
As Of June 30, 2020

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Number of Holdings 332 1,635
Yield to Maturity (%) 5.37 0.40
Yield to Worst (%) 5.20 0.37
Effective Duration 1.22 1.91
Weighted Average Life (years) 2.31 2.00
Convexity 0.15 0.01
Option-Adjusted Spread 512 20

This is presented as supplemental information.

Since Inception Risk Statistics
As Of June 30, 2020

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Standard Deviation (%) 5.23 1.00
Sharpe Ratio 0.24 0.87
Beta (%)3 0.04 N/A
R-squared (%)3 0.01 N/A
Information Ratio3 0.05 N/A

This is presented as supplemental information.

Credit Quality4
As Of June 30, 2020

Quality Rating % of Portfolio
AAA 21.4%
AA 6.2
A 18.8
BBB 32.0
BB 12.1
B 2.3
CCC & Lower 0.0
Not Rated 7.2

This is presented as supplemental information.

Duration Breakdown
As Of June 30, 2020

Short Duration Total Return Composite Bloomberg Barclays
U.S. 1-3 Yr. Gov./Credit Index
Less than one 51.3% 1.6%
1-3 38.2 98.4
3-5 9.3 0.0
5-7 0.7 0.0
7-10 0.0 0.0
10-20 0.3 0.0
20+ 0.1 0.0

This is presented as supplemental information.

Key Rate Duration5
As Of June 30, 2020

1 Residential Mortgage-Backed securities/Commercial Mortgage-Backed Securities.

2 Cash & Other may include cash, money market funds, and short duration fixed income funds.

3 Relative to the Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index.

4Security 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.”

5 This is presented as supplemental information. Key Rate Duration (KRD) measures the contribution to duration to the entire portfolio from each part of the yield curve.

Index data source: Bloomberg Index Services Limited. See diamond-hill.com/disclosures for a full copy of the disclaimer.

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