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 September 30, 2017

Popular, Inc. 7.00% 07/01/19 5.9%
Alliance Data Systems Co. 5.38% 08/01/22 4.9
Cimpress N.V. 7.00% 04/01/22 4.7
Century Communities, Inc. 6.88% 05/15/22 4.0
Conduent, Inc. 10.50% 12/15/24 3.5
Nationstar Mortgage Capital Corp. 9.63% 05/01/19 3.4
Cogent Communications Finance, Inc. 5.63% 04/15/21 3.1
Nationstar Mortgage Capital Corp. 7.88% 10/01/20 2.5
Cincinnati Bell, Inc. 7.00% 07/15/24 2.4
Arch Merger Sub, Inc. 8.50% 09/15/25 2.3
Total As % Of Net Assets 36.7%

This is presented as supplemental information.

Sector Allocation1
As Of September 30, 2017

Corporate Credit
Composite
ICE BofAML U.S. Corporate
& High Yield Index
Corporate Bonds 90.3% 100.0%
Financial Services 17.9 2.6
Basic Industry 10.1 5.6
Media 8.9 4.8
Telecom 8.4 5.6
Retail 7.8 3.8
Banking 7.3 19.0
Real Estate 5.9 2.0
Technology & Electronics 5.6 7.4
Healthcare 3.9 8.9
Leisure 3.5 0.9
Energy 3.5 11.9
Insurance 2.3 3.8
Services 2.2 1.8
Consumer Goods 1.9 5.7
Transportation 0.9 1.9
Utility 0.0 6.9
Capital Goods 0.0 4.8
Automotive 0.0 2.7
Cash & Other 9.7 0.0

This is presented as supplemental information.

Portfolio Characteristics
As Of September 30, 2017

Number of Issues 75
Number of Issuers 59
Option-Adjusted Spread 306
Effective Duration 2.85
Spread Duration 2.69
Weighted Average Maturity (bonds only) 5.85
Yield to Maturity (%) 5.57
Current Yield (%) 5.18

This is presented as supplemental information.

Five-Year Risk Statistics3
As Of September 30, 2017

Standard Deviation (%) 3.33
Beta (%)4 0.63
Sharpe Ratio 1.94

This is presented as supplemental information.

Credit Quality5
As Of September 30, 2017

Quality Rating % of Portfolio
Investment Grade 7.9%
BB 30.1
B 46.7
CCC & Below 3.9
Not Rated 11.4

This is presented as supplemental information.

Duration Breakdown
As Of September 30, 2017

% of Bonds Held
Less than one 14.3%
1-3 29.8
3-5 41.4
5-7 7.9
7-10 4.5
10-20 2.1

This is presented as supplemental information.

This is presented as supplemental information.

1 ICE BofAML is licensing the ICE BofAML indices “as is,” makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofAML indices or any data included in, related to, or derived therefrom, assumes no liability in connection with their use, and does not sponsor, endorse, or recommend Diamond Hill Capital Management, Inc., or any of its products or services.

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

3 Source: eVestment Analytics.

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

5 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”.

back to top