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 April 30, 2018

Popular, Inc. 7.00% 07/01/19 7.1%
Alliance Data Systems Corp. 5.38% 08/01/22 4.5
Cimpress N.V. 7.00% 06/28/18 4.3
Welltec A/S 9.50% 12/01/22 3.3
Cogent Communications, Inc. 5.63% 04/15/21 3.1
Century Communities, Inc. 6.88% 05/15/22 2.9
Nathan's Famous, Inc. 6.63% 11/01/25 2.4
Energen Corp. 7.13% 02/15/28 2.3
Nationstar Mortgage/Capital Corp. 6.50% 07/01/21 2.3
Mueller Industries, Inc. 6.00% 03/01/27 2.2
Total As % Of Net Assets 34.3%

Sector Allocation1
As Of June 30, 2018

Corporate Credit
Composite
ICE BofAML U.S. Corporate
& High Yield Index
Corporate Bonds 89.7% 100.0%
Financial Services 13.5 2.6
Media 11.6 4.8
Basic Industry 9.3 5.6
Energy 8.9 11.9
Banking 7.7 19.0
Retail 7.0 3.8
Telecom 6.6 5.6
Consumer Goods 5.0 5.7
Insurance 3.8 3.8
Real Estate 3.7 2.0
Leisure 2.9 0.9
Healthcare 2.7 8.9
Services 2.4 1.8
Technology & Electronics 2.2 7.4
Automotive 1.6 2.7
Transportation 0.9 1.9
Utility 0.0 6.9
Capital Goods 0.0 4.8
Cash & Other 10.3 0.0

Portfolio Characteristics
As Of June 30, 2018

Number of Issues 83
Number of Issuers 70
Option-Adjusted Spread 331
Effective Duration 3.32
Spread Duration 3.21
Weighted Average Maturity (bonds only) 5.54
Yield to Maturity (%) 5.99
Current Yield (%) 5.94

Ten-Year Risk Statistics
As Of June 30, 2018

Standard Deviation (%) 6.35
Beta (%)2 0.85
Sharpe Ratio 1.10

Credit Quality3
As Of June 30, 2018

Quality Rating % of Portfolio
Investment Grade 7.1%
BB 34.1
B 44.3
CCC & Lower 1.5
Not Rated 13.1

Duration Breakdown
As Of June 30, 2018

% of Bonds Held
Less than one 14.8%
1-3 22.1
3-5 17.6
5-7 32.9
7-10 10.8
10-20 1.9

1 Cash & Other may include cash, treasuries, money market funds, collateralized debt 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.

back to top