UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08061
Diamond Hill Funds
(Exact name of registrant as specified in charter)
325 John H. McConnell Boulevard, Suite 200, Columbus, Ohio 43215
(Address of principal executive offices) (Zip code)
Thomas E. Line
325 John H. McConnell Boulevard, Suite 200, Columbus, Ohio 43215
(Name and address of agent for service)
Registrant’s telephone number, including area code: 614-255-3333
Date of fiscal year end: December 31
Date of reporting period: December 31, 2022
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a)
Annual Report
December 31, 2022
Small Cap Fund | Select Fund (formerly All Cap Select Fund) |
Small-Mid Cap Fund | Long-Short Fund |
Mid Cap Fund | International Fund |
Large Cap Fund | Short Duration Securitized Bond Fund |
Large Cap Concentrated Fund | Core Bond Fund |
This material must be preceded or accompanied by a current prospectus.
Not FDIC insured | No bank guarantee | May lose value
| | |
Our Shared Investment Principles | 1 |
Management Discussion of Fund Performance (Unaudited) | |
Diamond Hill Small Cap Fund | 4 |
Diamond Hill Small-Mid Cap Fund | 6 |
Diamond Hill Mid Cap Fund | 8 |
Diamond Hill Large Cap Fund | 10 |
Diamond Hill Large Cap Concentrated Fund | 12 |
Diamond Hill Select Fund | 14 |
Diamond Hill Long-Short Fund | 16 |
Diamond Hill International Fund | 18 |
Diamond Hill Short Duration Securitized Bond Fund | 20 |
Diamond Hill Core Bond Fund | 22 |
Financial Statements | |
Schedules of Investments | 24 |
Statements of Assets & Liabilities | 86 |
Statements of Operations | 88 |
Statements of Changes in Net Assets | 90 |
Financial Highlights | 104 |
Notes to Financial Statements | 124 |
Report of Independent Registered Public Accounting Firm | 139 |
Other Items | 141 |
Schedule of Shareholder Expenses | 145 |
Management of the Trust | 147 |
Cautionary Statement: At Diamond Hill, we pledge that, “we will communicate with our clients about our investment performance in a manner that will allow them to properly assess whether we are deserving of their trust.” Our views and opinions regarding the investment prospects of our portfolio holdings and Funds are “forward looking statements” which may or may not be accurate over the long term. While we believe we have a reasonable basis for our opinions, actual results may differ materially from those we anticipate. Information provided in this report should not be considered a recommendation to purchase or sell any particular security.
You can identify forward looking statements by words like “believe,” “expect,” “anticipate,” or similar expressions when discussing prospects for particular portfolio holdings and/or one of the Funds. We cannot assure future results. You should not place undue reliance on forward-looking statements, which speak only as of the date of this report. We disclaim any obligation to update or alter any forward-looking statements, whether as a result of new information, future events, or otherwise.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a Prospectus. Carefully consider the Funds’ investment objectives, risks, and expenses. This and other important information are contained in the Funds’ prospectus and summary prospectus, which are available at diamond-hill.com or by calling 888.226.5595. Read carefully before investing. The Diamond Hill Funds are distributed by Foreside Financial Services, LLC (Member FINRA). Diamond Hill Capital Management, Inc., a registered investment adviser, serves as Investment Adviser to the Diamond Hill Funds and is paid a fee for its services. Not FDIC insured | No bank guarantee | May lose value
Our shared investment principles
Active, fundamental approach
An active, research-driven approach that capitalizes on our intellectual curiosity and unique insights is essential to deliver better returns than benchmarks or peers.
Ownership
Investing with an ownership mentality requires deep due diligence to build the conviction needed to invest over the long term.
Long term
Focusing on the long term allows us to look beyond near-term noise, allowing clients to realize the benefits of our deep, disciplined research process.
Valuation discipline
We believe the best way to compound returns is to take an ownership stake in an investment at a discount to its underlying value and have the discipline to wait for that value to be realized.
Strategic capacity management
Prudent capacity management protects our ability to generate competitive long-term investment results for our clients.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 1 |
Management Discussion of Fund Performance (Unaudited) |
Investing Environment
Global Equities
Global stocks bounced more than 9% (in USD terms as measured by the MSCI ACWI ex USA Index) in the final quarter of 2022, bringing year-to-date losses to -18% to conclude stocks’ worst year since the 2008 financial crisis. Given the strength in the US dollar relative to global currencies in 2022, USD-based investors experienced a greater decline as global stocks fell -15.6% in local terms. Developed markets ended the year down -18%, while emerging markets posted a -20% decline (in USD terms).
US stocks bounced just over 7% in the final quarter of 2022 (as measured by the Russell 3000 Index), bringing year-to-date losses to -19%. Mid-cap stocks held up the best in 2022, with a -17% decline, while large-cap stocks fell -19% and small-cap stocks fell -20% (as measured by the Russell indices). From a style perspective, value outperformed growth handily across the cap spectrum. The Russell 1000 Value Index fell -7%, while the Russell 1000 Growth Index declined nearly -30%. Meanwhile, the Russell Midcap Value Index was down -12% and its growth counterpart fell nearly -27%; the Russell 2000 Value Index lost -14% in 2022, while the Russell 2000 Growth Index posted a -26% decline.
Market action in the US for much of 2022, seemed heavily predicated on investors’ reading of the Federal Reserve (Fed) tea leaves — with any sign there may soon be reason for easing often accompanied by a market rally. Though December’s inflation reading — which, at 7.1% year over year, was the coolest it’s been since December 2021 — may have offered reason for such optimism, Fed Chairman Jerome Powell has not indicated he foresees rate cuts in 2023, nor have the major global central bank heads, including the European Central Bank’s Christine Lagarde. On the contrary, rates are expected to rise globally, albeit at a slower pace, in 2023.
In Europe, inflation, high energy prices and supply-chain challenges continued to cloud the economic environment and outlook. The European Central Bank reiterated its commitment to increasing rates as inflation remains high and is expected to stay elevated for some time. The Bank of England stated that it believes the UK is already in a recession that could last for a while. By many measures (employment, manufacturing, corporate profit growth, etc.), several major global economies seem healthy — but central banks’ determination to wrangle inflation could result in (or even require) overtightening and prompt recessions in the year ahead. Ideally, relative economic health will make any such recessions both short-lived and shallow.
2022’s disappointing market returns broadened the opportunity set for long term-focused investors able to identify compelling investments. Our dedicated focus on a five-year time horizon allows us to see beyond short-term volatility — both economic and market — and help position our clients to capitalize on dislocations like those introduced by 2022.
US Fixed Income
The most difficult year in the history of fixed income markets has ended — thankfully, with the markets closing out the year with some strength in Q4, the only quarter of positive returns in 2022. This brief period of relief in a turbulent year could not keep the fixed income markets
2 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
from posting the worst annual performance (-13.01% for the Bloomberg US Aggregate Bond Index) since the index’s inception in the early 1970s. Prior to this year, the worst calendar year performance was a loss of -2.92% in 1994.
The continued pressure on interest rates and spreads brought to light the stark reality that many may have forgotten: Bonds contain an inherent sensitivity to interest rate fluctuation, and the dramatic and consistent move higher in rates throughout the year brought unprecedented volatility.
Since the beginning of quantitative easing (2008) through the beginning of the current rate hiking cycle (March 2022), the average yield on the Bloomberg US Aggregate Bond Index was 2.63%, which trended higher as we approached the Federal Open Market Committee’s (FOMC) point of rate liftoff. Over the same period, the duration (bond/index sensitivity to interest rate movements) of the index continued to extend, from 4.33 years at the end of 2007 to 6.53 years on the day of the first FOMC rate hike (16 March 2022). This meant that investment grade fixed income was set for a perfect storm — low yields and peak duration levels — and what a storm it was. But now we are (hopefully) emerging from the worst of it, with higher interest rates and expectations for the Fed to slowly apply the brakes on this rate hiking cycle, which we saw in December as the FOMC dropped from a 75 basis points (bps) pace in the prior meetings to 50 bps.
But from the destruction of wealth that occurred in 2022 comes the opportunity to bring back some stability to the markets. If, as the Fed has indicated, we are much closer to the end of this rate hiking cycle, then fixed income should be well positioned to return to its place within an overall asset allocation as the ballast that provides an offset to the historic volatility of the overall markets. This isn’t to say that 2023 is going to be roses and unicorns, simply that the higher yield derived from investment grade fixed income is in its best position in years to mitigate any continued interest rate volatility going forward.
The Russell 1000 Growth Index measures the performance of US large-cap companies with higher price/book ratios and forecasted growth values.
The Russell 1000 Value Index measures the performance of US large-cap companies with lower price/book ratios and forecasted growth values.
The Russell Midcap Value Index measures the performance of US mid-cap companies with lower price/book ratios and forecasted growth values.
The Russell Midcap Growth Index measures the performance of US mid-cap companies with higher price/book ratios and forecasted growth values.
The Russell 2000 Value Index measures the performance of US small-cap companies with lower price/book ratios and forecasted growth values.
The Russell 2000 Growth Index measures the performance of US small-cap companies with higher price/book ratios and forecasted growth values.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 3 |
Diamond Hill Small Cap Fund |
Performance Discussion
Top contributors within the portfolio during the period included: fresh egg producer Cal-Maine Foods, Inc.; manufacturer of components and packaging for the medical market UFP Technologies, Inc.; New-Jersey based utility South Jersey Industries, Inc.; oil and gas exploration and production company Civitas Resources, Inc.; and medical device manufacturer Natus Medical Incorporated.
Bottom contributors during the period included: regional bank Live Oak Bancshares, Inc.; discount airline operator Allegiant Travel Company; rental and leasing services company PROG Holdings, Inc.; Las Vegas locals’ casino operator Red Rock Resorts, Inc.; and footwear and apparel company Wolverine World Wide, Inc.
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio, including: enterprise software services provider Rimini Street, Inc.; fabrication technology company ESAB Corporation; nutrition company BellRing Brands, Inc.; manufacturer of power transmission and fluid power solutions Gates Industrial Corporation plc; and background check and screening services provider First Advantage Corporation. Throughout the year, we closed positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: provider of liability insurance to medical professionals ProAssurance Corporation; provider of industrial process technologies SPX Flow, Inc.; packaged baked goods company Flowers Foods, Inc.; oil and gas exploration and production company Coterra Energy, Inc.; and medical waste services company Stericycle, Inc. Current and future portfolio holdings are subject to change and risk.
4 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Small Cap Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Ten
Years | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 12/29/2000 | (15.02)% | 3.83% | 2.89% | 7.43% | 1.26% |
Class I | 4/29/2005 | (14.77) | 4.13 | 3.19 | 7.73 | 0.97 |
Class Y | 12/30/2011 | (14.64) | 4.26 | 3.31 | 7.86 | 0.85 |
BENCHMARK |
Russell 2000 Index | | (20.44) | 3.10 | 4.13 | 9.01 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Small Cap Fund Class I(A) and the Russell 2000 Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Russell 2000 Index (“Index”). The Index measures the performance of roughly 2,000 US small-cap companies. The index is unmanaged, market capitalization weighted, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 5 |
Diamond Hill Small-Mid Cap Fund |
Performance Discussion
Top contributors within the portfolio during the period included: fresh egg producer Cal-Maine Foods, Inc.; oil and gas exploration and production company Coterra Energy, Inc.; New-Jersey based utility South Jersey Industries, Inc.; diversified foods manufacturer and retailer Lancaster Colony Corporation; and property and casualty reinsurance firm Alleghany Corporation.
Bottom contributors during the period included: discount airline operator Allegiant Travel Company; regional bank SVB Financial Group; apparel company Hanesbrands, Inc.; footwear and apparel company Wolverine World Wide, Inc.; and rental and leasing services company PROG Holdings, Inc.
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio including: fabrication technology company ESAB Corporation; financial services software provider SS&C Technologies Holdings, Inc.; designer and manufacturer of industrial powertrain solutions, power transmission components and other specialty electronics Regal Rexnord Corporation; regional bank Live Oak Bancshares, Inc.; and telecommunications networking equipment and software services supplier Ciena Corporation. Throughout the year, we closed positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: packaged baked goods company Flowers Foods, Inc.; automotive manufacturer Polaris, Inc.; property and casualty reinsurance firm Alleghany Corporation; provider of industrial process technologies SPX Flow, Inc.; and provider of liability insurance to medical professionals ProAssurance Corporation. Current and future portfolio holdings are subject to change and risk.
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Diamond Hill Small-Mid Cap Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Ten
Years | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 12/30/2005 | (13.86)% | 4.41% | 4.79% | 9.44% | 1.21% |
Class I | 12/30/2005 | (13.62) | 4.69 | 5.09 | 9.75 | 0.92 |
Class Y | 12/30/2011 | (13.51) | 4.83 | 5.22 | 9.90 | 0.80 |
BENCHMARK |
Russell 2500 Index | | (18.37) | 5.00 | 5.89 | 10.03 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Small-Mid Cap Fund Class I(A) and the Russell 2500 Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Russell 2500 Index (“Index”). The Index measures the performance of roughly 2,500 US small- to mid-cap companies. The index is unmanaged, market capitalization weighted, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 7 |
Diamond Hill Mid Cap Fund |
Performance Discussion
Top contributors within the portfolio during the period included: food processing and commodities trading corporation Archer-Daniels-Midland Company; diversified foods manufacturer and retailer Lancaster Colony Corporation; oil and gas exploration and production company Coterra Energy Inc.; New-Jersey based utility South Jersey Industries, Inc.; and property and casualty reinsurance firm Alleghany Corporation.
Bottom contributors during the period included: regional bank SVB Financial Group; regional bank First Republic Bank; apparel company Hanesbrands Inc.; self-storage company CubeSmart; and footwear and accessories company VF Corporation.
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio including: fabrication technology company ESAB Corporation; insurance advisor company Willis Towers Watson plc; designer and manufacturer of industrial powertrain solutions, power transmission components and other specialty electronics Regal Rexnord Corporation; financial services software provider SS&C Technologies Holdings, Inc.; and telecommunications networking equipment and software services supplier Ciena Corporation. Throughout the year, we closed positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: insurance advisor company Willis Towers Watson plc; property and casualty reinsurance firm Alleghany Corporation; automotive manufacturer Polaris, Inc.; rental and leasing services company PROG Holdings, Inc.; and packaged baked goods company Flowers Foods, Inc. Current and future portfolio holdings are subject to change and risk.
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Diamond Hill Mid Cap Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Since
Inception
(12/31/13) | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 12/31/2013 | (13.66)% | 3.45% | 4.42% | 6.40% | 1.06% |
Class I | 12/31/2013 | (13.39) | 3.76 | 4.74 | 6.71 | 0.77 |
Class Y | 12/31/2013 | (13.31) | 3.86 | 4.85 | 6.82 | 0.65 |
BENCHMARK |
Russell Midcap Index | | (17.32) | 5.88 | 7.10 | 8.59 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Mid Cap Fund Class I(A) and the Russell Midcap Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Russell Midcap Index (“Index”). The Index measures the performance of roughly 800 US mid-cap companies. The index is unmanaged, market capitalization weighted, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 9 |
Diamond Hill Large Cap Fund |
Performance Discussion
Top contributors within the portfolio during the period included: oil and gas producer ConocoPhillips; property and casualty insurance provider American International Group, Inc.; health care facilities operator HCA Healthcare, Inc.; integrated oil and gas company Chevron Corporation; and agricultural commodities and products manufacturer Archer-Daniels-Midland Company.
Bottom contributors during the period included: footwear and accessories company VF Corporation; diversified media and entertainment conglomerate Walt Disney Company; multinational technology company Meta Platforms, Inc.; auto manufacturer General Motors Company; and regional bank SVB Financial Group.
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio including: oil and gas producer ConocoPhillips; media and technology company Alphabet, Inc.; health care facilities operator HCA Healthcare, Inc.; software and IT services provider Microsoft Corporation; and global e-commerce company Amazon.com, Inc.
Throughout the year, we closed positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: consumer products manufacturer Procter & Gamble Company; consumer food and beverage products manufacturer Mondelez International, Inc.; multinational technology company Meta Platforms, Inc.; IT services provider Cognizant Technology Solutions Corporation; financial services technology company Fidelity National Information Services, Inc. Current and future portfolio holdings are subject to change and risk.
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Diamond Hill Large Cap Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Ten
Years | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 6/29/2001 | (13.66)% | 5.57% | 6.92% | 11.05% | 0.96% |
Class I | 1/31/2005 | (13.38) | 5.88 | 7.23 | 11.36 | 0.67 |
Class Y | 12/30/2011 | (13.27) | 6.00 | 7.35 | 11.49 | 0.55 |
BENCHMARK |
Russell 1000 Index | | (19.13) | 7.35 | 9.13 | 12.37 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Large Cap Fund Class I(A) and the Russell 1000 Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Russell 1000 Index (“Index”). The Index measures the performance of roughly 1,000 US large-cap companies. The index is unmanaged, market capitalization weighted, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 11 |
Diamond Hill Large Cap Concentrated Fund |
Performance Discussion
Top contributors within the portfolio during the period included: oil and gas producer ConocoPhillips; property and casualty insurance provider American International Group, Inc.; integrated oil and gas company Chevron Corporation; heavy construction machinery manufacturer Caterpillar, Inc.; and health insurance company Humana, Inc.
Bottom contributors during the period included: auto manufacturer General Motors Company; diversified media and entertainment conglomerate Walt Disney Company; media and technology company Alphabet, Inc.; private equity firm KKR & Co., Inc.; and multinational technology company Meta Platforms, Inc.
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio including: oil and gas producer ConocoPhillips; heavy construction machinery manufacturer Caterpillar, Inc.; media and technology company Alphabet, Inc.; home improvement retailer Home Depot, Inc.; and railroad operator Union Pacific Corporation.
Throughout the year, we closed positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: diversified holding company Berkshire Hathaway, Inc.; diversified media and entertainment conglomerate Walt Disney Company; consumer food and beverage products manufacturer Mondelez International, Inc.; integrated oil and gas company Chevron Corporation; and multinational technology company Meta Platforms, Inc. Current and future portfolio holdings are subject to change and risk.
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Diamond Hill Large Cap Concentrated Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Since
Inception
(2/26/21) | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 2/26/2021 | (12.93)% | 2.66% | 0.97% |
Class I | 2/26/2021 | (12.75) | 2.95 | 0.68 |
Class Y | 2/26/2021 | (12.62) | 3.06 | 0.56 |
BENCHMARK |
Russell 1000 Index | | (19.13) | 0.12 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Large Cap Concentrated Fund Class I(A) and the Russell 1000 Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Russell 1000 Index (“Index”). The Index measures the performance of roughly 1,000 US large-cap companies. The index is unmanaged, market capitalization weighted, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
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Performance Discussion
Top contributors within the portfolio during the period included: multinational food company SunOpta, Inc.; property and casualty insurance provider American International Group, Inc.; mobile game developer Zynga, Inc.; diversified foods manufacturer and retailer Lancaster Colony Corporation; and property and casualty insurance company Alleghany Corporation.
Bottom contributors during the period included: custom printing services provider Cimpress plc; apparel company Hanesbrands, Inc.; global e-commerce company Amazon.com, Inc.; regional bank SVB Financial Group; and media and technology company Alphabet, Inc.
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio including: global e-commerce company Amazon.com, Inc.; media and technology company Alphabet, Inc.; used car retailer CarMax, Inc.; auto manufacturer General Motors Company; and semiconductor manufacturer Texas Instruments, Inc.
Throughout the year, we closed positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: apparel company Hanesbrands, Inc.; multinational technology company Meta Platforms, Inc.; agriculture and transportation company Seaboard Corporation; footwear and accessories company VF Corporation; and food products manufacturer Post Holdings, Inc. Current and future portfolio holdings are subject to change and risk.
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Diamond Hill Select Fund (formerly Diamond Hill All Cap Select Fund) |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Ten
Years | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 12/30/2005 | (17.44)% | 7.84% | 7.48% | 11.51% | 1.16% |
Class I | 12/30/2005 | (17.20) | 8.16 | 7.80 | 11.82 | 0.87 |
Class Y | 12/30/2011 | (17.10) | 8.29 | 7.93 | 11.97 | 0.75 |
BENCHMARK |
Russell 3000 Index | | (19.21) | 7.07 | 8.79 | 12.13 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Select Fund Class I(A) and the Russell 3000 Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Russell 3000 Index (“Index”). The Index measures the performance of roughly 3,000 of the largest US companies. The index is unmanaged, market capitalization weighted, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 15 |
Diamond Hill Long-Short Fund |
Performance Discussion
Top contributors within the portfolio during the period included: integrated oil and gas company Chevron Corporation (long); health care facilities operator HCA Healthcare, Inc. (long); property and casualty insurance provider American International Group, Inc. (long); specialty chemicals company WD-40 Company (short); and human resources consulting firm Robert Half International, Inc. (short).
Bottom contributors during the period included: multinational technology company Meta Platforms, Inc. (long); media and technology company Alphabet, Inc. (long); regional bank SVB Financial Group (long); diversified media and entertainment conglomerate Walt Disney Company (long); and private equity firm KKR & Co., Inc. (long).
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio including: financial services software provider SS&C Technologies Holdings, Inc. (long); health care facilities operator HCA Healthcare, Inc. (long); telecommunications networking equipment and software services supplier Ciena Corporation (long); regional bank First Republic Bank (long); and cybersecurity company NetScout Systems, Inc. (short). Throughout the year, we eliminated positions in holdings that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger positions we exited : footwear and accessories company VF Corporation (long); insurance and employee benefits company MetLife, Inc. (long); regional bank Bank OZK (long); online used vehicle retailer CarMax, Inc. (short); and footwear and apparel company Wolverine World Wide, Inc. (long). Current and future portfolio holdings are subject to change and risk.
16 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Long-Short Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Ten
Years | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 6/30/2000 | (8.74)% | 2.61% | 4.21% | 6.38% | 1.78% |
Class I | 1/31/2005 | (8.45) | 2.92 | 4.52 | 6.68 | 1.49 |
Class Y | 12/30/2011 | (8.36) | 3.02 | 4.64 | 6.81 | 1.37 |
BENCHMARK |
Russell 1000 Index | | (19.13) | 7.35 | 9.13 | 12.37 | — |
60% Russell 1000 Index/40% Bloomberg US Treasury Bills 1-3 Month Index * | | (10.86) | 5.22 | 6.37 | 7.87 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Long-Short Fund Class I(A), the Russell 1000 Index and the Blended Index (60% Russell 1000 Index and 40% Bloomberg US Treasury Bills 1-3 Month Index *)
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Russell 1000 Index and the blended index. The Russell 1000 Index measures the performance of roughly 1,000 US large-cap companies. The Blended Index represents a 60/40 weighted blend of the Russell 1000® Index and the Bloomberg US Treasury Bills 1-3 Month Index. The Bloomberg US Treasury Bills 1-3 Month Index measures the performance of US Treasury bills with time to maturity between 1 and 3 months. The index(es) are unmanaged, market capitalization weighted, do not reflect fees or expenses (which would lower the return) and are not available for direct investment. |
* | Effective January 1, 2022, the Fund’s secondary benchmark is the 60% Russell 1000 Index/40% Bloomberg US Treasury Bills 1-3 Month Index. The Fund’s secondary benchmark is a blended index representing a 60% weighting of the Russell 1000 index and a 40% weighting of the Bloomberg US Treasury Bills 1-3 Month Index. The Fund’s new secondary benchmark was selected as the Adviser replaced the vendor of the treasury component of the blended benchmark due to a change in the licensing agreements. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 17 |
Diamond Hill International Fund |
Performance Discussion
Top contributors within the portfolio during the period included: Brazilian pharmaceutical company Hypera SA; Canadian property and casualty insurance company Fairfax Financial Holdings Limited; UK-based specialty insurer Beazley plc; Indian banking and financial services company HDFC Bank Limited; and Israel-based software provider Check Point Software Technologies Ltd.
Bottom contributors during the period included: French video game publisher Ubisoft Entertainment SA; Korea-based consumer electronics manufacturer Samsung Electronics Co., Limited; US-based diversified media and entertainment conglomerate Walt Disney Company; UK-based telecom services provider BT Group plc; and Swedish digital music-streaming services provider Spotify Technology SA.
Fund Changes
During the period, we identified new investment opportunities and added positions to the portfolio including: Italian investment holding company Exor NV; German multinational software company SAP SE; UK-based multinational medical equipment manufacturing company Smith & Nephew plc; US-based pressure exchanger manufacturer Energy Recovery, Inc.; and Japanese marketing services provider Hakuhodo DY Holdings, Inc.
Throughout the year, we closed positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: UK-based telecom services provider BT Group plc; Canadian telecom services provider Rogers Communications, Inc.; US-based multinational technology company Meta Platforms, Inc.; Canadian information security services provider Blackberry Limited; and Chinese internet search provider Baidu, Inc. Current and future portfolio holdings are subject to change and risk.
18 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill International Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years* | Five
Years* | Since
Inception*
(12/30/16) | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 6/28/2019 | (13.84)% | 1.04% | 2.50% | 6.69% | 1.15% |
Class I | 6/28/2019 | (13.51) | 1.34 | 2.80 | 7.01 | 0.86 |
Class Y | 6/28/2019 | (13.41) | 1.44 | 2.91 | 7.12 | 0.74 |
BENCHMARK |
MSCI ACWI ex USA Index** | | (16.00) | 0.07 | 0.88 | 4.85 | — |
Morningstar Global Markets ex-US Index | | (16.15) | 0.35 | 1.07 | 5.04 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill International Fund Class I(A), the MSCI ACWI ex USA Index** and the Morningstar Global Markets ex-US Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents the comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the MSCI ACWI ex USA Index and the Morningstar Global Markets ex-US. Index. |
** | Effective June 30, 2022, the Fund changed its primary benchmark to the MSCI ACWI ex USA Index, which is a more representative and widely recognized benchmark for non-US focused strategies. The MSCI ACWI ex USA Index measures the performance of large- and mid-cap stocks in developed (excluding the US) and emerging markets. The Morningstar Global Markets ex-US Index measures the performance of the stocks located in the developed and emerging countries (excluding the US) as defined by Morningstar. The indexes are unmanaged, market capitalization weighted, include net reinvested dividends, do not reflect fees or expenses (which would lower return), and are not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Diamond Hill International Fund (the “Fund”) is not sponsored, endorsed, sold or promoted by Morningstar, Inc. or any of its affiliates (all such entities, collectively, “Morningstar Entities”). The Morningstar Entities make no representation or warranty, express or implied, to the owners of the Fund or any member of the public regarding the advisability of investing in equity securities generally or in the Fund in particular or the ability of the Fund to track general equity market performance. THE MORNINGSTAR ENTITIES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE FUND OR ANY DATA INCLUDED THEREIN AND MORNINGSTAR ENTITIES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. |
* | The quoted performance of the Fund reflects the past performance of Diamond Hill International Fund L.P. (the “International Partnership”), a private fund managed with full investment authority by the Fund’s Adviser. The Fund is managed in all material respects in a manner equivalent to the management of the predecessor unregistered fund. The performance of the International Partnership has been restated to reflect the net expenses and maximum applicable sales charge of the Fund for its initial years of investment operation. The International Partnership was not registered under the Investment Company Act of 1940 and therefore was not subject to certain investment restrictions imposed by the 1940 Act. If the International Partnership had been registered under the 1940 Act, its performance may have been adversely affected. Performance is measured from December 30, 2016, the inception of the International Partnership and is not the performance of the Fund. The assets of the International Partnership were converted, based on their value on June 28, 2019, into assets of the Fund. The International Partnership’s past performance is not necessarily an indication of how the Fund will perform in the future either before or after taxes. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 19 |
Diamond Hill Short Duration Securitized Bond Fund |
Performance Discussion
The portfolio outperformed the Bloomberg US 1-3 Year Government/Credit Index in 2022. Fueled by the meteoric rise in short-term rates beginning in March and continuing through the end of 2022, the fixed income market experienced its most challenging year in history. The portfolio was able to offset the impact of rising rates by generating significant carry relative to the benchmark throughout the year.
The portfolio’s underweight to both the corporate and Treasury sectors contributed positively to performance as the shorter end of these sectors experienced a challenging environment. The portfolio’s overweight to the securitized sector held up well relative to the other sectors mentioned due to shorter overall duration as well as a significant yield advantage. Within the securitized market, credit card asset-backed securities (ABS) and small business ABS delivered the best relative return during the calendar year. Non-agency residential mortgage-backed securities (RMBS) detracted from performance as their longer duration felt the impact of rising rates more than shorter duration alternatives in the securitized market.
Fund Changes
The portfolio’s allocation to Treasury debt rose during the year and its allocation to corporate debt was relatively steady. A slight decrease in exposure to ABS reflects opportunities found in other areas of the market, such as commercial mortgage-backed securities (CMBS) and non-agency RMBS rather than any concerns regarding ABS. The portfolio’s yield continued to increase throughout the year, reflecting action in the Treasury market as rates across the curve climbed, while the portfolio’s duration held steady in the 1.3 to 1.4 years range.
20 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Since
Inception | Expense
Ratio |
PERFORMANCE AT NAV |
Investor Class | 7/5/2016 | (3.57)% | 0.53% | 1.77% | 2.16% | 0.81% |
Class I | 7/5/2016 | (3.38) | 0.77 | 2.05 | 2.44 | 0.52 |
Class Y | 7/5/2016 | (3.27) | 0.91 | 2.18 | 2.56 | 0.40 |
BENCHMARK |
Bloomberg US 1-3 Yr. Government/Credit Index | | (3.69) | (0.32) | 0.92 | 0.77 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Short Duration Securitized Bond Fund Class I(A) and Bloomberg US 1-3 Yr. Government/Credit Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Bloomberg US 1-3 Yr. Government/Credit Index (“Index”). The Index measures the performance of investment grade government and corporate bonds with maturities of one to three years. The index is unmanaged, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 21 |
Diamond Hill Core Bond Fund |
Performance Discussion
The portfolio has always been managed with a goal of generating excess returns relative to the Bloomberg US Aggregate Bond Index while working to protect against downside. Calendar year 2022 provided the perfect litmus test for our investment process — it was the worst year for investment grade fixed income in history as the Federal Reserve’s (Fed) aggressive tightening of interest rates combined with spread tightening pushed yields higher and bond prices lower.
Duration positioning during the year was a two-fold story — the portfolio benefitted during the first nine months of the year as the shorter duration posture helped mitigate the negative impact of rising rates, while duration was a hindrance in the final quarter as rates tightened and expectations grew for the Fed to slow or stop rate hikes. Portfolio duration is managed to a range of plus or minus 10% of the benchmark’s duration, but the historic shift in rates exacerbated the impact to the portfolio.
An underweight position relative to the benchmark in the credit sector as well as security selection — the result of our bottom-up approach — and portfolio construction contributed positively to relative performance during the year. The portfolio’s overweight to the securitized sector also contributed positively to relative performance in 2022, fueled by security selection in the asset-backed securities (ABS) sector as well as the portfolio’s allocation to non-agency commercial mortgage-backed securities (CMBS).
Within the ABS sector, allocations to non-benchmark market segments such as small business and unsecured consumer ABS were additive. The portfolio’s differentiation in the residential mortgage-backed securities (RMBS) market — achieved through investments in collateralized mortgage obligations in lieu of plain vanilla pass-through mortgages — essentially matched the benchmark’s performance in this sector but provided protection from duration extension as rates continued to rise throughout the year. The portfolio’s underweight to the Treasury sector contributed positively to performance as Treasuries felt the impact of the historic shift higher in rates.
Fund Changes
Sector changes to the portfolio are based on an investment philosophy focused on bottom-up security selection. The duration positioning (sensitivity to interest rate fluctuations) relative to the benchmark remained at the lower end of the +/- 10% range (vs. benchmark) due to the uncertain trajectory of rates throughout the year. Sector allocations in the portfolio remained steady over the year, reflecting the focus on security selection and our bottom-up investment philosophy.
The strategy experienced significant net inflows throughout the year and the deployment of those assets resulted in increases in various sectors such as agency and non-agency RMBS and CMBS. The allocation of cash to these sectors resulted in a decline in exposure to other sectors, not through active liquidation but due to incremental dollars being deployed in attractive sectors. The portfolio’s allocation to investment grade credit held steady year over year with marginal movement throughout 2022.
22 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund |
AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2022
| Inception
Date | One
Year | Three
Years | Five
Years | Since
Inception | Expense
Ratio |
PERFORMANCE AT NAV | |
Investor Class | 7/5/2016 | (12.05)% | (2.23)% | 0.37% | 0.52% | 0.76% |
Class I | 7/5/2016 | (11.84) | (1.97) | 0.65 | 0.80 | 0.47 |
Class Y | 7/5/2016 | (11.63) | (1.85) | 0.79 | 0.92 | 0.35 |
BENCHMARK | |
Bloomberg US Aggregate Bond Index | | (13.01) | (2.71) | 0.02 | 0.05 | — |
GROWTH OF $10,000
Comparison of the change in value of a $10,000 Investment in the Diamond Hill Core Bond Fund Class I(A) and Bloomberg US Aggregate Bond Index.
(A) | The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Investor Class and Class Y shares based on the difference in loads and fees paid by shareholders in the different classes. |
| The performance of the above Fund does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. |
| The chart above represents a comparison of a hypothetical $10,000 investment and the reinvestment of dividends and capital gains in the indicated share class versus a similar investment in the Bloomberg US Aggregate Bond Index (“Index”). The Index measures the performance of investment grade, fixed-rate taxable bond market and includes government and corporate bonds, agency mortgage-backed, asset-backed and commercial mortgage-backed securities (agency and non-agency). The index is unmanaged, includes net reinvested dividends, does not reflect fees or expenses (which would lower the return), and is not available for direct investment. The Fund’s performance reflects the deduction of fees for these services. |
| Past performance is not indicative of future results. Investment returns and principal values will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s current performance may be lower or higher than the performance quoted. For current to most recent month-end performance, visit diamond-hill.com. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 23 |
Diamond Hill Small Cap Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 99.0% |
Communication Services — 0.8% |
Live Nation Entertainment, Inc. (a)(b) | | | 33,019 | | | $ | 2,302,745 | |
| |
Consumer Discretionary — 14.9% |
Carter’s, Inc. (a) | | | 23,726 | | | | 1,770,197 | |
Century Communities, Inc. (a) | | | 23,116 | | | | 1,156,031 | |
Green Brick Partners, Inc. (a)(b) | | | 225,000 | | | | 5,451,750 | |
Hanesbrands, Inc. (a) | | | 254,892 | | | | 1,621,113 | |
Johnson Outdoors, Inc., Class A (a) | | | 9,594 | | | | 634,355 | |
PROG Holdings, Inc. (b) | | | 104,442 | | | | 1,764,025 | |
Red Rock Resorts, Inc., Class A | | | 457,994 | | | | 18,324,340 | |
Rocky Brands, Inc. (a) | | | 83,269 | | | | 1,966,814 | |
Vail Resorts, Inc. | | | 39,629 | | | | 9,445,572 | |
Wolverine World Wide, Inc. | | | 28,831 | | | | 315,123 | |
| | | | | | | | 42,449,320 | |
Consumer Staples — 11.5% |
BellRing Brands, Inc. (b) | | | 136,423 | | | | 3,497,886 | |
Cal-Maine Foods, Inc. | | | 168,008 | | | | 9,148,036 | |
Lancaster Colony Corp. | | | 22,768 | | | | 4,492,126 | |
Oil-Dri Corp. of America (a) | | | 26,978 | | | | 904,842 | |
Post Holdings, Inc. (b) | | | 103,566 | | | | 9,347,867 | |
Seaboard Corp. | | | 1,449 | | | | 5,470,279 | |
| | | | | | | | 32,861,036 | |
Energy — 3.5% |
Centrus Energy Corp., Class A (a)(b) | | | 38,314 | | | | 1,244,439 | |
Civitas Resources, Inc. (a) | | | 152,378 | | | | 8,827,258 | |
| | | | | | | | 10,071,697 | |
Financials — 23.6% |
Bank OZK | | | 317,691 | | | | 12,726,701 | |
BankUnited, Inc. | | | 36,010 | | | | 1,223,260 | |
BOK Financial Corp. | | | 64,438 | | | | 6,688,020 | |
Enstar Group Ltd. (b) | | | 33,054 | | | | 7,636,796 | |
First Interstate BancSystem, Inc., Class A | | | 138,302 | | | | 5,345,372 | |
Live Oak Bancshares, Inc. | | | 217,422 | | | | 6,566,144 | |
| | Shares | | | Fair
Value | |
Financials — 23.6% continued |
Mr. Cooper Group, Inc. (b) | | | 281,022 | | | $ | 11,277,413 | |
Triumph Financial, Inc. (a)(b) | | | 24,543 | | | | 1,199,416 | |
Webster Financial Corp. | | | 310,099 | | | | 14,680,087 | |
| | | | | | | | 67,343,209 | |
Health Care — 5.1% |
Enovis Corp. (b) | | | 122,968 | | | | 6,581,247 | |
Integer Holdings Corp. (b) | | | 31,492 | | | | 2,155,942 | |
UFP Technologies, Inc. (b) | | | 49,901 | | | | 5,882,829 | |
| | | | | | | | 14,620,018 | |
Industrials — 18.0% |
Allegiant Travel Co. (b) | | | 64,907 | | | | 4,413,027 | |
Allied Motion Technologies, Inc. | | | 159,376 | | | | 5,547,879 | |
Concrete Pumping Holdings, Inc. (b) | | | 770,000 | | | | 4,504,500 | |
Douglas Dynamics, Inc. (a) | | | 83,939 | | | | 3,035,234 | |
Energy Recovery, Inc. (b) | | | 175,283 | | | | 3,591,549 | |
ESAB Corp. | | | 116,307 | | | | 5,457,124 | |
First Advantage Corp. (b) | | | 124,636 | | | | 1,620,268 | |
FTAI Aviation Ltd. (a) | | | 91,653 | | | | 1,569,099 | |
Gates Industrial Corp. plc (b) | | | 154,013 | | | | 1,757,288 | |
Graham Corp. (a)(b) | | | 92,680 | | | | 891,582 | |
Kirby Corp. (b) | | | 44,765 | | | | 2,880,628 | |
WESCO International, Inc. (b) | | | 128,938 | | | | 16,143,038 | |
| | | | | | | | 51,411,216 | |
Information Technology — 7.8% |
Rimini Street, Inc. (a)(b) | | | 1,572,294 | | | | 5,990,440 | |
Sanmina Corp. (b) | | | 57,031 | | | | 3,267,306 | |
WNS Holdings Ltd. - ADR (b) | | | 161,287 | | | | 12,901,347 | |
| | | | | | | | 22,159,093 | |
Materials — 7.9% |
Ashland, Inc. | | | 75,585 | | | | 8,127,655 | |
Chase Corp. | | | 56,870 | | | | 4,905,606 | |
Taseko Mines Ltd. (a)(b) | | | 4,937,333 | | | | 7,257,880 | |
TriMas Corp. (a) | | | 29,842 | | | | 827,817 | |
United States Lime & Minerals, Inc. (a) | | | 11,334 | | | | 1,595,374 | |
| | | | | | | | 22,714,332 | |
24 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Small Cap Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 99.0% continued |
Real Estate — 4.5% |
CubeSmart | | | 89,996 | | | $ | 3,622,339 | |
Douglas Emmett, Inc. | | | 40,656 | | | | 637,486 | |
Jones Lang LaSalle, Inc. (b) | | | 7,605 | | | | 1,212,009 | |
Rayonier, Inc. | | | 117,895 | | | | 3,885,819 | |
Ryman Hospitality Properties, Inc. | | | 44,047 | | | | 3,602,164 | |
| | | | | | | | 12,959,817 | |
Utilities — 1.4% |
UGI Corp. | | | 108,834 | | | | 4,034,476 | |
| |
Total Common Stocks |
(Cost $167,962,579) | | $ | 282,926,959 | |
| |
Registered Investment Companies — 4.5% |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (c) | | | 3,381,967 | | | | 3,381,967 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (c)(d) | | | 9,523,866 | | | | 9,523,866 | |
Total Registered Investment Companies |
(Cost $12,905,833) | | $ | 12,905,833 | |
| |
Total Investment Securities — 103.5% |
(Cost $180,868,412) | | $ | 295,832,792 | |
| |
Liabilities in Excess of Other Assets — (3.5)% | | | (9,951,318 | ) |
| |
Net Assets — 100.0% | | $ | 285,881,474 | |
(a) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $14,738,257. |
(b) | Non-income producing security. |
(c) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(d) | This security was purchased using cash collateral held from securities on loan. |
ADR — American Depositary Receipt
plc — Public Limited Company
See accompanying Notes to Financial Statements.
Diamond Hill Small-Mid Cap Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 98.8% |
Communication Services — 1.3% |
Liberty Media Corp. - Liberty Formula One - Series C (a)(b) | | | 413,303 | | | $ | 24,707,253 | |
| |
Consumer Discretionary — 13.2% |
Advance Auto Parts, Inc. | | | 64,828 | | | | 9,531,661 | |
BorgWarner, Inc. | | | 356,680 | | | | 14,356,370 | |
CarMax, Inc. (b) | | | 177,996 | | | | 10,838,176 | |
Century Communities, Inc. (a) | | | 57,155 | | | | 2,858,322 | |
Hanesbrands, Inc. (a) | | | 2,700,294 | | | | 17,173,870 | |
NVR, Inc. (b) | | | 12,135 | | | | 55,973,658 | |
PROG Holdings, Inc. (b) | | | 763,269 | | | | 12,891,613 | |
Red Rock Resorts, Inc., Class A (a) | | | 2,070,041 | | | | 82,822,340 | |
Vail Resorts, Inc. | | | 123,325 | | | | 29,394,514 | |
Wolverine World Wide, Inc. (a) | | | 1,342,452 | | | | 14,673,000 | |
| | | | | | | | 250,513,524 | |
Consumer Staples — 10.3% |
BellRing Brands, Inc. (b) | | | 992,496 | | | | 25,447,597 | |
Cal-Maine Foods, Inc. (a) | | | 1,026,756 | | | | 55,906,864 | |
Lancaster Colony Corp. (a) | | | 231,745 | | | | 45,723,289 | |
Post Holdings, Inc. (b) | | | 760,421 | | | | 68,635,599 | |
| | | | | | | | 195,713,349 | |
Energy — 3.2% |
Civitas Resources, Inc. (a) | | | 278,418 | | | | 16,128,755 | |
Coterra Energy, Inc. | | | 1,873,827 | | | | 46,039,929 | |
| | | | | | | | 62,168,684 | |
Financials — 23.5% |
Bank OZK | | | 1,047,131 | | | | 41,948,068 | |
BankUnited, Inc. (a) | | | 782,407 | | | | 26,578,366 | |
BOK Financial Corp. | | | 502,069 | | | | 52,109,742 | |
Brighthouse Financial, Inc. (b) | | | 423,843 | | | | 21,730,431 | |
Brown & Brown, Inc. | | | 164,530 | | | | 9,373,274 | |
Enstar Group Ltd. (b) | | | 81,049 | | | | 18,725,561 | |
First Interstate BancSystem, Inc., Class A (a) | | | 788,162 | | | | 30,462,461 | |
First Republic Bank | | | 185,563 | | | | 22,618,274 | |
Live Oak Bancshares, Inc. (a) | | | 1,164,891 | | | | 35,179,708 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 25 |
Diamond Hill Small-Mid Cap Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 98.8% continued |
Financials — 23.5% continued |
Loews Corp. | | | 440,275 | | | $ | 25,681,241 | |
Mr. Cooper Group, Inc. (b) | | | 997,213 | | | | 40,018,158 | |
RenaissanceRe Holdings Ltd. | | | 136,911 | | | | 25,223,114 | |
SVB Financial Group (b) | | | 126,989 | | | | 29,225,248 | |
Webster Financial Corp. | | | 1,437,449 | | | | 68,048,836 | |
| | | | | | | | 446,922,482 | |
Health Care — 3.3% |
Boston Scientific Corp. (b) | | | 243,915 | | | | 11,285,947 | |
Enovis Corp. (b) | | | 761,925 | | | | 40,778,226 | |
Integer Holdings Corp. (a)(b) | | | 147,704 | | | | 10,111,816 | |
| | | | | | | | 62,175,989 | |
Industrials — 21.4% |
Alaska Air Group, Inc. (b) | | | 379,602 | | | | 16,300,110 | |
Allegiant Travel Co. (a)(b) | | | 431,327 | | | | 29,325,923 | |
Energy Recovery, Inc. (a)(b) | | | 998,606 | | | | 20,461,437 | |
ESAB Corp. | | | 1,009,392 | | | | 47,360,673 | |
First Advantage Corp. (a)(b) | | | 1,912,301 | | | | 24,859,913 | |
Gates Industrial Corp. plc (b) | | | 3,420,037 | | | | 39,022,622 | |
Kirby Corp. (b) | | | 450,522 | | | | 28,991,091 | |
Regal Rexnord Corp. (a) | | | 322,780 | | | | 38,727,144 | |
Sensata Technologies Holding plc | | | 991,522 | | | | 40,037,658 | |
Stericycle, Inc. (b) | | | 291,650 | | | | 14,550,419 | |
WESCO International, Inc. (b) | | | 854,347 | | | | 106,964,244 | |
| | | | | | | | 406,601,234 | |
Information Technology — 7.3% |
Broadridge Financial Solutions, Inc. | | | 65,306 | | | | 8,759,494 | |
Ciena Corp. (b) | | | 540,537 | | | | 27,556,576 | |
Sanmina Corp. (b) | | | 502,632 | | | | 28,795,787 | |
SS&C Technologies Holdings, Inc. | | | 772,328 | | | | 40,207,396 | |
WNS Holdings Ltd. - ADR (a)(b) | | | 421,287 | | | | 33,698,747 | |
| | | | | | | | 139,018,000 | |
| | Shares | | | Fair
Value | |
Materials — 2.8% |
Ashland, Inc. | | | 490,897 | | | $ | 52,786,154 | |
| |
Real Estate — 8.7% |
CubeSmart | | | 1,438,422 | | | | 57,896,485 | |
Douglas Emmett, Inc. | | | 908,014 | | | | 14,237,660 | |
Jones Lang LaSalle, Inc. (b) | | | 137,690 | | | | 21,943,655 | |
Rayonier, Inc. | | | 1,063,827 | | | | 35,063,738 | |
Ryman Hospitality Properties, Inc. | | | 351,084 | | | | 28,711,650 | |
UDR, Inc. | | | 212,309 | | | | 8,222,728 | |
| | | | | | | | 166,075,916 | |
Utilities — 3.8% |
South Jersey Industries, Inc. (a) | | | 805,092 | | | | 28,604,919 | |
UGI Corp. | | | 1,190,413 | | | | 44,128,610 | |
| | | | | | | | 72,733,529 | |
| |
Total Common Stocks |
(Cost $1,496,523,594) | | $ | 1,879,416,114 | |
| |
Registered Investment Companies — 5.7% |
Diamond Hill Short Duration Securitized Bond Fund - Class Y (c) | | | 933,525 | | | | 8,793,801 | |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (d) | | | 16,036,415 | | | | 16,036,415 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (d)(e) | | | 83,652,229 | | | | 83,652,229 | |
Total Registered Investment Companies |
(Cost $109,028,277) | | $ | 108,482,445 | |
| |
Total Investment Securities — 104.5% |
(Cost $1,605,551,871) | | $ | 1,987,898,559 | |
| |
Liabilities in Excess of Other Assets — (4.5)% | | | (85,581,122 | ) |
| |
Net Assets — 100.0% | | $ | 1,902,317,437 | |
(a) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $85,297,184. |
(b) | Non-income producing security. |
26 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Small-Mid Cap Fund
Schedule of Investments (Continued)
December 31, 2022
(d) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(e) | This security was purchased using cash collateral held from securities on loan. |
ADR — American Depositary Receipt
plc — Public Limited Company
See accompanying Notes to Financial Statements.
Diamond Hill Mid Cap Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 98.7% |
Communication Services — 1.3% |
Liberty Media Corp. - Liberty Formula One - Series C (a) | | | 40,994 | | | $ | 2,450,621 | |
| |
Consumer Discretionary — 12.2% |
Advance Auto Parts, Inc. | | | 6,420 | | | | 943,933 | |
BorgWarner, Inc. | | | 34,354 | | | | 1,382,749 | |
CarMax, Inc. (a) | | | 17,389 | | | | 1,058,816 | |
Hanesbrands, Inc. (b) | | | 245,644 | | | | 1,562,296 | |
NVR, Inc. (a) | | | 1,259 | | | | 5,807,238 | |
Red Rock Resorts, Inc., Class A | | | 203,007 | | | | 8,122,310 | |
Vail Resorts, Inc. | | | 11,598 | | | | 2,764,383 | |
VF Corp. | | | 42,738 | | | | 1,179,996 | |
| | | | | | | | 22,821,721 | |
Consumer Staples — 8.4% |
Archer-Daniels-Midland Co. | | | 25,220 | | | | 2,341,677 | |
BellRing Brands, Inc. (a) | | | 86,718 | | | | 2,223,450 | |
Lancaster Colony Corp. | | | 23,548 | | | | 4,646,020 | |
Post Holdings, Inc. (a) | | | 72,043 | | | | 6,502,601 | |
| | | | | | | | 15,713,748 | |
Energy — 2.3% |
Coterra Energy, Inc. | | | 170,406 | | | | 4,186,875 | |
| |
Financials — 24.8% |
American International Group, Inc. | | | 101,090 | | | | 6,392,932 | |
Bank OZK | | | 85,457 | | | | 3,423,408 | |
BankUnited, Inc. | | | 43,812 | | | | 1,488,294 | |
BOK Financial Corp. | | | 22,919 | | | | 2,378,763 | |
Brighthouse Financial, Inc. (a) | | | 36,894 | | | | 1,891,555 | |
Discover Financial Services | | | 14,059 | | | | 1,375,392 | |
Enstar Group Ltd. (a) | | | 6,332 | | | | 1,462,945 | |
First Republic Bank | | | 38,351 | | | | 4,674,603 | |
Hartford Financial Services Group, Inc. (The) | | | 43,621 | | | | 3,307,781 | |
Loews Corp. | | | 38,785 | | | | 2,262,329 | |
Mr. Cooper Group, Inc. (a) | | | 80,168 | | | | 3,217,142 | |
SVB Financial Group (a) | | | 23,677 | | | | 5,449,025 | |
Webster Financial Corp. | | | 108,461 | | | | 5,134,544 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 27 |
Diamond Hill Mid Cap Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 98.7% continued |
Financials — 24.8% continued |
Willis Towers Watson plc | | | 16,270 | | | $ | 3,979,317 | |
| | | | | | | | 46,438,030 | |
Health Care — 4.3% |
Boston Scientific Corp. (a) | | | 87,475 | | | | 4,047,468 | |
Enovis Corp. (a) | | | 75,237 | | | | 4,026,684 | |
| | | | | | | | 8,074,152 | |
Industrials — 17.8% |
Alaska Air Group, Inc. (a) | | | 65,101 | | | | 2,795,437 | |
Allegiant Travel Co. (a) | | | 13,788 | | | | 937,446 | |
ESAB Corp. | | | 88,962 | | | | 4,174,097 | |
Kirby Corp. (a) | | | 43,981 | | | | 2,830,177 | |
Parker-Hannifin Corp. | | | 18,998 | | | | 5,528,418 | |
Regal Rexnord Corp. | | | 31,905 | | | | 3,827,962 | |
Sensata Technologies Holding plc | | | 87,565 | | | | 3,535,875 | |
Stericycle, Inc. (a) | | | 26,434 | | | | 1,318,792 | |
WESCO International, Inc. (a) | | | 66,910 | | | | 8,377,132 | |
| | | | | | | | 33,325,336 | |
Information Technology — 8.5% |
Check Point Software Technologies Ltd. (a) | | | 43,349 | | | | 5,468,910 | |
Ciena Corp. (a) | | | 52,455 | | | | 2,674,156 | |
Cognizant Technology Solutions Corp., Class A | | | 39,903 | | | | 2,282,053 | |
NXP Semiconductors NV | | | 10,756 | | | | 1,699,771 | |
SS&C Technologies Holdings, Inc. | | | 73,021 | | | | 3,801,473 | |
| | | | | | | | 15,926,363 | |
Materials — 6.1% |
Ashland, Inc. | | | 50,049 | | | | 5,381,769 | |
Freeport-McMoRan, Inc. | | | 160,179 | | | | 6,086,802 | |
| | | | | | | | 11,468,571 | |
Real Estate — 9.1% |
CubeSmart | | | 139,572 | | | | 5,617,773 | |
Douglas Emmett, Inc. | | | 70,421 | | | | 1,104,201 | |
Jones Lang LaSalle, Inc. (a) | | | 12,868 | | | | 2,050,773 | |
Rayonier, Inc. | | | 73,348 | | | | 2,417,550 | |
| | Shares | | | Fair
Value | |
Real Estate — 9.1% continued |
Ryman Hospitality Properties, Inc. | | | 34,300 | | | $ | 2,805,054 | |
UDR, Inc. | | | 20,851 | | | | 807,559 | |
Weyerhaeuser Co. | | | 73,246 | | | | 2,270,626 | |
| | | | | | | | 17,073,536 | |
Utilities — 3.9% |
South Jersey Industries, Inc. | | | 79,762 | | | | 2,833,944 | |
UGI Corp. | | | 121,032 | | | | 4,486,656 | |
| | | | | | | | 7,320,600 | |
| |
Total Common Stocks |
(Cost $128,316,783) | | $ | 184,799,553 | |
| |
Registered Investment Companies — 2.2% |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (c) | | | 2,606,063 | | | | 2,606,063 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (c)(d) | | | 1,512,836 | | | | 1,512,836 | |
Total Registered Investment Companies |
(Cost $4,118,899) | | $ | 4,118,899 | |
| |
Total Investment Securities — 100.9% |
(Cost $132,435,682) | | $ | 188,918,452 | |
| |
Liabilities in Excess of Other Assets — (0.9)% | | | (1,685,500 | ) |
| |
Net Assets — 100.0% | | $ | 187,232,952 | |
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $1,480,252. |
(c) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(d) | This security was purchased using cash collateral held from securities on loan. |
NV — Naamloze Vennootschap
plc — Public Limited Company
See accompanying Notes to Financial Statements.
28 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Large Cap Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 99.2% |
Communication Services — 6.2% |
Alphabet, Inc., Class A (a) | | | 2,311,627 | | | $ | 203,954,850 | |
Take-Two Interactive Software, Inc. (a)(b) | | | 737,869 | | | | 76,834,299 | |
Verizon Communications, Inc. | | | 3,266,287 | | | | 128,691,708 | |
Walt Disney Co. (The) (a) | | | 1,292,302 | | | | 112,275,198 | |
| | | | | | | | 521,756,055 | |
Consumer Discretionary — 13.6% |
Amazon.com, Inc. (a) | | | 2,062,870 | | | | 173,281,080 | |
Booking Holdings, Inc. (a) | | | 65,542 | | | | 132,085,482 | |
BorgWarner, Inc. | | | 3,008,877 | | | | 121,107,299 | |
CarMax, Inc. (a)(b) | | | 2,481,548 | | | | 151,101,458 | |
General Motors Co. | | | 5,789,216 | | | | 194,749,226 | |
Home Depot, Inc. (The) | | | 533,995 | | | | 168,667,661 | |
NVR, Inc. (a)(b) | | | 45,548 | | | | 210,093,794 | |
| | | | | | | | 1,151,086,000 | |
Consumer Staples — 3.3% |
PepsiCo, Inc. | | | 1,552,788 | | | | 280,526,680 | |
| |
Energy — 5.1% |
Chevron Corp. | | | 481,396 | | | | 86,405,768 | |
ConocoPhillips (b) | | | 2,936,891 | | | | 346,553,138 | |
| | | | | | | | 432,958,906 | |
Financials — 23.0% |
American International Group, Inc. | | | 6,114,579 | | | | 386,685,976 | |
Bank of America Corp. | | | 7,987,260 | | | | 264,538,051 | |
Berkshire Hathaway, Inc., Class B (a) | | | 564,811 | | | | 174,470,118 | |
First Republic Bank | | | 798,417 | | | | 97,319,048 | |
Hartford Financial Services Group, Inc. (The) | | | 1,298,175 | | | | 98,440,610 | |
KKR & Co., Inc. (b) | | | 4,746,474 | | | | 220,331,323 | |
Marsh & McLennan Cos., Inc. | | | 895,313 | | | | 148,156,395 | |
Nasdaq, Inc. | | | 2,333,553 | | | | 143,163,476 | |
Truist Financial Corp. | | | 6,187,542 | | | | 266,249,932 | |
Wells Fargo & Co. | | | 3,665,406 | | | | 151,344,614 | |
| | | | | | | | 1,950,699,543 | |
Health Care — 16.2% |
Abbott Laboratories | | | 2,573,063 | | | | 282,496,587 | |
| | Shares | | | Fair
Value | |
Health Care — 16.2% continued |
AbbVie, Inc. | | | 678,231 | | | $ | 109,608,912 | |
Becton, Dickinson and Co. | | | 632,832 | | | | 160,929,178 | |
HCA Healthcare, Inc. | | | 790,601 | | | | 189,712,616 | |
Humana, Inc. (b) | | | 336,848 | | | | 172,530,177 | |
Medtronic plc | | | 1,678,289 | | | | 130,436,621 | |
Pfizer, Inc. | | | 3,325,603 | | | | 170,403,898 | |
Stryker Corp. (b) | | | 647,170 | | | | 158,226,593 | |
| | | | | | | | 1,374,344,582 | |
Industrials — 14.1% |
Carrier Global Corp. | | | 2,254,952 | | | | 93,016,770 | |
Caterpillar, Inc. | | | 902,736 | | | | 216,259,436 | |
Deere & Co. (b) | | | 351,714 | | | | 150,800,895 | |
Honeywell International, Inc. | | | 639,925 | | | | 137,135,927 | |
L3Harris Technologies, Inc. | | | 565,034 | | | | 117,645,729 | |
Parker-Hannifin Corp. | | | 612,094 | | | | 178,119,354 | |
Union Pacific Corp. | | | 821,300 | | | | 170,066,591 | |
Waste Management, Inc. | | | 832,893 | | | | 130,664,254 | |
| | | | | | | | 1,193,708,956 | |
Information Technology — 8.1% |
Microsoft Corp. | | | 730,618 | | | | 175,216,809 | |
SS&C Technologies Holdings, Inc. | | | 2,937,644 | | | | 152,933,747 | |
Texas Instruments, Inc. | | | 1,409,000 | | | | 232,794,980 | |
Visa, Inc., Class A (b) | | | 625,743 | | | | 130,004,366 | |
| | | | | | | | 690,949,902 | |
Materials — 5.9% |
Freeport-McMoRan, Inc. | | | 4,555,227 | | | | 173,098,626 | |
Linde plc | | | 396,200 | | | | 129,232,516 | |
Martin Marietta Materials, Inc. | | | 310,700 | | | | 105,007,279 | |
Sherwin-Williams Co. (The) | | | 403,250 | | | | 95,703,322 | |
| | | | | | | | 503,041,743 | |
Real Estate — 2.4% |
SBA Communications Corp. | | | 311,095 | | | | 87,203,039 | |
Weyerhaeuser Co. | | | 3,801,821 | | | | 117,856,451 | |
| | | | | | | | 205,059,490 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 29 |
Diamond Hill Large Cap Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 99.2% continued |
Utilities — 1.3% |
Dominion Energy, Inc. | | | 1,850,828 | | | $ | 113,492,773 | |
| |
Total Common Stocks |
(Cost $6,948,596,444) | | $ | 8,417,624,630 | |
| |
Registered Investment Companies — 3.4% |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (c) | | | 98,527,673 | | | | 98,527,673 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (c)(d) | | | 193,290,055 | | | | 193,290,055 | |
Total Registered Investment Companies |
(Cost $291,817,728) | | $ | 291,817,728 | |
| |
Total Investment Securities — 102.6% |
(Cost $7,240,414,172) | | $ | 8,709,442,358 | |
| |
Liabilities in Excess of Other Assets — (2.6)% | | | (219,449,701 | ) |
| |
Net Assets — 100.0% | | $ | 8,489,992,657 | |
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $216,175,869. |
(c) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(d) | This security was purchased using cash collateral held from securities on loan. |
plc — Public Limited Company
See accompanying Notes to Financial Statements.
Diamond Hill Large Cap
Concentrated Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 96.9% |
Communication Services — 5.0% |
Alphabet, Inc., Class A (a) | | | 13,140 | | | $ | 1,159,342 | |
| |
Consumer Discretionary — 17.1% |
Amazon.com, Inc. (a) | | | 10,135 | | | | 851,340 | |
General Motors Co. | | | 31,618 | | | | 1,063,630 | |
Home Depot, Inc. (The) | | | 3,002 | | | | 948,212 | |
NVR, Inc. (a)(b) | | | 236 | | | | 1,088,569 | |
| | | | | | | | 3,951,751 | |
Consumer Staples — 5.7% |
PepsiCo, Inc. | | | 7,338 | | | | 1,325,683 | |
| |
Energy — 6.0% |
ConocoPhillips | | | 11,837 | | | | 1,396,766 | |
| |
Financials — 22.7% |
American International Group, Inc. | | | 31,814 | | | | 2,011,917 | |
Bank of America Corp. | | | 31,202 | | | | 1,033,410 | |
KKR & Co., Inc. | | | 21,633 | | | | 1,004,204 | |
Truist Financial Corp. | | | 28,251 | | | | 1,215,641 | |
| | | | | | | | 5,265,172 | |
Health Care — 14.5% |
Abbott Laboratories | | | 13,903 | | | | 1,526,410 | |
Humana, Inc. | | | 1,818 | | | | 931,161 | |
Pfizer, Inc. | | | 17,530 | | | | 898,237 | |
| | | | | | | | 3,355,808 | |
Industrials — 13.0% |
Caterpillar, Inc. | | | 4,880 | | | | 1,169,053 | |
Parker-Hannifin Corp. | | | 3,100 | | | | 902,100 | |
Union Pacific Corp. | | | 4,488 | | | | 929,330 | |
| | | | | | | | 3,000,483 | |
Information Technology — 8.8% |
Microsoft Corp. | | | 3,800 | | | | 911,316 | |
Texas Instruments, Inc. | | | 6,776 | | | | 1,119,531 | |
| | | | | | | | 2,030,847 | |
Materials — 4.1% |
Freeport-McMoRan, Inc. | | | 24,715 | | | | 939,170 | |
| |
Total Common Stocks |
(Cost $22,170,705) | | $ | 22,425,022 | |
| |
30 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Large Cap
Concentrated Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Registered Investment Companies — 4.1% |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (c) | | | 713,754 | | | $ | 713,754 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (c)(d) | | | 227,580 | | | | 227,580 | |
Total Registered Investment Companies |
(Cost $941,334) | | $ | 941,334 | |
| |
Total Investment Securities — 101.0% |
(Cost $23,112,039) | | $ | 23,366,356 | |
| |
Liabilities in Excess of Other Assets — (1.0)% | | | (219,122 | ) |
| |
Net Assets — 100.0% | | $ | 23,147,234 | |
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $221,404. |
(c) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(d) | This security was purchased using cash collateral held from securities on loan. |
See accompanying Notes to Financial Statements.
Diamond Hill Select Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 100.7% |
Communication Services — 5.5% |
Alphabet, Inc., Class A (a) | | | 201,445 | | | $ | 17,773,492 | |
| |
Consumer Discretionary — 18.8% |
Amazon.com, Inc. (a) | | | 212,782 | | | | 17,873,688 | |
CarMax, Inc. (a) | | | 223,638 | | | | 13,617,318 | |
General Motors Co. | | | 286,874 | | | | 9,650,441 | |
Red Rock Resorts, Inc., Class A | | | 496,403 | | | | 19,861,084 | |
| | | | | | | | 61,002,531 | |
Consumer Staples — 5.7% |
Lancaster Colony Corp. | | | 37,945 | | | | 7,486,549 | |
SunOpta, Inc. (a)(b) | | | 1,317,576 | | | | 11,120,341 | |
| | | | | | | | 18,606,890 | |
Financials — 28.4% |
American International Group, Inc. | | | 316,113 | | | | 19,990,986 | |
Berkshire Hathaway, Inc., Class B (a) | | | 11,073 | | | | 3,420,450 | |
Cadence Bank | | | 195,559 | | | | 4,822,485 | |
KKR & Co., Inc. | | | 304,820 | | | | 14,149,744 | |
Live Oak Bancshares, Inc. | | | 222,160 | | | | 6,709,232 | |
Mr. Cooper Group, Inc. (a) | | | 662,610 | | | | 26,590,539 | |
Truist Financial Corp. | | | 201,202 | | | | 8,657,722 | |
Webster Financial Corp. | | | 160,962 | | | | 7,619,941 | |
| | | | | | | | 91,961,099 | |
Health Care — 3.1% |
Enovis Corp. (a) | | | 154,692 | | | | 8,279,116 | |
Humana, Inc. | | | 3,213 | | | | 1,645,667 | |
| | | | | | | | 9,924,783 | |
Industrials — 24.9% |
Cimpress plc (a)(b) | | | 494,393 | | | | 13,650,191 | |
Energy Recovery, Inc. (a) | | | 313,761 | | | | 6,428,963 | |
ESAB Corp. | | | 220,891 | | | | 10,364,206 | |
Kirby Corp. (a) | | | 103,930 | | | | 6,687,896 | |
Regal Rexnord Corp. | | | 71,538 | | | | 8,583,129 | |
Wabtec Corp. | | | 79,652 | | | | 7,950,066 | |
WESCO International, Inc. (a) | | | 215,232 | | | | 26,947,046 | |
| | | | | | | | 80,611,497 | |
Information Technology — 10.0% |
Microsoft Corp. | | | 33,824 | | | | 8,111,672 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 31 |
Diamond Hill Select Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 100.7% continued |
Information Technology — 10.0% continued |
Rimini Street, Inc. (a) | | | 1,310,895 | | | $ | 4,994,510 | |
SS&C Technologies Holdings, Inc. | | | 197,002 | | | | 10,255,924 | |
Texas Instruments, Inc. | | | 53,988 | | | | 8,919,897 | |
| | | | | | | | 32,282,003 | |
Materials — 4.3% |
Ashland, Inc. | | | 92,408 | | | | 9,936,632 | |
Freeport-McMoRan, Inc. | | | 109,474 | | | | 4,160,012 | |
| | | | | | | | 14,096,644 | |
| |
Total Common Stocks |
(Cost $280,863,855) | | $ | 326,258,939 | |
| |
Registered Investment Companies — 6.0% |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (c) | | | 4,928,266 | | | | 4,928,266 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (c)(d) | | | 14,571,422 | | | | 14,571,422 | |
Total Registered Investment Companies |
(Cost $19,499,688) | | $ | 19,499,688 | |
| |
Total Investment Securities — 106.7% |
(Cost $300,363,543) | | $ | 345,758,627 | |
| |
Liabilities in Excess of Other Assets — (6.7)% | | | (21,808,260 | ) |
| |
Net Assets — 100.0% | | $ | 323,950,367 | |
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $14,676,114. |
(c) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(d) | This security was purchased using cash collateral held from securities on loan. |
plc — Public Limited Company
See accompanying Notes to Financial Statements.
Diamond Hill Long-Short Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 86.1% |
Communication Services — 9.9% |
Alphabet, Inc., Class A (a) | | | 631,450 | | | $ | 55,712,834 | |
Comcast Corp., Class A (b) | | | 627,874 | | | | 21,956,754 | |
Meta Platforms, Inc., Class A (a) | | | 317,019 | | | | 38,150,066 | |
Verizon Communications, Inc. (b) | | | 655,990 | | | | 25,846,006 | |
Walt Disney Co. (The) (a)(b) | | | 372,044 | | | | 32,323,183 | |
| | | | | | | | 173,988,843 | |
Consumer Discretionary — 5.1% |
Booking Holdings, Inc. (a) | | | 14,110 | | | | 28,435,601 | |
BorgWarner, Inc. (b) | | | 543,693 | | | | 21,883,643 | |
Hanesbrands, Inc. (b) | | | 2,323,960 | | | | 14,780,386 | |
TJX Cos., Inc. (The) (b)(c) | | | 306,586 | | | | 24,404,246 | |
| | | | | | | | 89,503,876 | |
Consumer Staples — 3.2% |
Archer-Daniels-Midland Co. (b)(c) | | | 137,081 | | | | 12,727,971 | |
Constellation Brands, Inc., Class A (b)(c) | | | 105,094 | | | | 24,355,535 | |
Mondelez International, Inc., Class A (b)(c) | | | 267,630 | | | | 17,837,540 | |
| | | | | | | | 54,921,046 | |
Energy — 3.7% |
Chevron Corp. (b) | | | 199,544 | | | | 35,816,153 | |
Coterra Energy, Inc. (b) | | | 1,151,703 | | | | 28,297,343 | |
| | | | | | | | 64,113,496 | |
Financials — 21.7% |
American International Group, Inc. | | | 1,061,340 | | | | 67,119,142 | |
Bank of America Corp. (b)(c) | | | 705,875 | | | | 23,378,580 | |
Berkshire Hathaway, Inc., Class B (a)(b) | | | 137,559 | | | | 42,491,975 | |
Citigroup, Inc. (b)(c) | | | 922,731 | | | | 41,735,123 | |
First Republic Bank (c) | | | 215,660 | | | | 26,286,797 | |
Hartford Financial Services Group, Inc. (The) (b) | | | 309,776 | | | | 23,490,314 | |
KKR & Co., Inc. (b) | | | 1,028,958 | | | | 47,764,230 | |
Morgan Stanley (b) | | | 202,252 | | | | 17,195,465 | |
32 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Long-Short Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 86.1% continued |
Financials — 21.7% continued |
SVB Financial Group (a)(b)(c) | | | 96,690 | | | $ | 22,252,237 | |
Truist Financial Corp. (b)(c) | | | 892,209 | | | | 38,391,753 | |
Wells Fargo & Co. (c) | | | 714,918 | | | | 29,518,964 | |
| | | | | | | | 379,624,580 | |
Health Care — 14.5% |
Abbott Laboratories (b) | | | 269,012 | | | | 29,534,828 | |
Becton, Dickinson and Co. | | | 85,617 | | | | 21,772,403 | |
CVS Health Corp. (b) | | | 299,574 | | | | 27,917,301 | |
Enovis Corp. (a) | | | 334,395 | | | | 17,896,820 | |
HCA Healthcare, Inc. | | | 144,951 | | | | 34,782,442 | |
Humana, Inc. | | | 67,855 | | | | 34,754,652 | |
Medtronic plc | | | 408,744 | | | | 31,767,584 | |
Perrigo Co. plc | | | 921,874 | | | | 31,426,685 | |
Pfizer, Inc. (b) | | | 479,375 | | | | 24,563,175 | |
| | | | | | | | 254,415,890 | |
Industrials — 9.3% |
Alaska Air Group, Inc. (a)(b) | | | 478,533 | | | | 20,548,207 | |
ESAB Corp. | | | 391,380 | | | | 18,363,550 | |
Johnson Controls International plc | | | 359,095 | | | | 22,982,080 | |
Kirby Corp. (a)(b) | | | 322,783 | | | | 20,771,086 | |
L3Harris Technologies, Inc. (b) | | | 101,660 | | | | 21,166,629 | |
Parker-Hannifin Corp. (b) | | | 116,456 | | | | 33,888,696 | |
Sensata Technologies Holding plc | | | 631,398 | | | | 25,495,851 | |
| | | | | | | | 163,216,099 | |
Information Technology — 15.0% |
Ciena Corp. (a)(b)(c) | | | 583,985 | | | | 29,771,555 | |
Cognizant Technology Solutions Corp., Class A (b) | | | 519,270 | | | | 29,697,051 | |
Fidelity National Information Services, Inc. | | | 472,891 | | | | 32,085,654 | |
Microsoft Corp. | | | 223,242 | | | | 53,537,896 | |
SS&C Technologies Holdings, Inc. | | | 682,824 | | | | 35,547,817 | |
| | Shares | | | Fair
Value | |
Information Technology — 15.0% continued |
Texas Instruments, Inc. (b) | | | 159,916 | | | $ | 26,421,322 | |
Visa, Inc., Class A | | | 140,882 | | | | 29,269,644 | |
WNS Holdings Ltd. - ADR (a) | | | 334,426 | | | | 26,750,736 | |
| | | | | | | | 263,081,675 | |
Materials — 2.5% |
Ashland, Inc. (b) | | | 154,689 | | | | 16,633,708 | |
Freeport-McMoRan, Inc. (b) | | | 719,574 | | | | 27,343,812 | |
| | | | | | | | 43,977,520 | |
Utilities — 1.2% |
Dominion Energy, Inc. (b) | | | 347,370 | | | | 21,300,728 | |
| |
Total Common Stocks |
(Cost $1,078,940,367) | | $ | 1,508,143,753 | |
| |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Treasury — 6.6% |
U.S. Treasury Notes | | | 2.000 | % | | | 06/30/24 | | | $ | 40,000,000 | | | $ | 38,470,312 | |
U.S. Treasury Notes | | | 3.000 | % | | | 06/30/24 | | | | 40,000,000 | | | | 39,042,188 | |
U.S. Treasury Notes | | | 3.000 | % | | | 07/31/24 | | | | 40,000,000 | | | | 39,015,625 | |
Total Treasury |
(Cost $117,624,175) | | $ | 116,528,125 | |
| |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 33 |
Diamond Hill Long-Short Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Registered Investment Companies — 26.4% |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (d) | | | 109,829,026 | | | $ | 109,829,026 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (d)(e) | | | 353,268,810 | | | | 353,268,810 | |
Total Registered Investment Companies |
(Cost $463,097,836) | | $ | 463,097,836 | |
| |
Total Investment Securities — 119.1% |
(Cost $1,659,662,378) | | $ | 2,087,769,714 | |
| |
Segregated Cash With Custodian — 29.0% | | | 507,722,183 | |
| |
Investments Sold Short — (28.2)% |
(Proceeds $545,382,701) | | | (493,674,798 | ) |
| |
Liabilities in Excess of Other Assets — (19.9)% | | | (349,360,112 | ) |
| |
Net Assets — 100.0% | | $ | 1,752,456,987 | |
(a) | Non-income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $344,642,062. |
(c) | All or a portion of the shares have been pledged as collateral for open short positions. |
(d) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(e) | This security was purchased using cash collateral held from securities on loan. |
ADR — American Depositary Receipt
plc — Public Limited Company
See accompanying Notes to Financial Statements.
Diamond Hill Long-Short Fund
Schedule of Investments Sold Short
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 28.2% |
Communication Services — 0.2% |
Cogent Communications Holdings, Inc. | | | 75,895 | | | $ | 4,332,087 | |
| |
Consumer Discretionary — 5.2% |
Acushnet Holdings Corp. | | | 134,777 | | | | 5,722,631 | |
Best Buy Co., Inc. | | | 119,566 | | | | 9,590,389 | |
Dick’s Sporting Goods, Inc. | | | 130,271 | | | | 15,670,299 | |
Etsy, Inc. | | | 117,060 | | | | 14,021,447 | |
GameStop Corp., Class A | | | 397,995 | | | | 7,346,988 | |
Grand Canyon Education, Inc. | | | 246,547 | | | | 26,050,156 | |
Macy’s, Inc. | | | 162,520 | | | | 3,356,038 | |
Tesla, Inc. | | | 39,657 | | | | 4,884,949 | |
Whirlpool Corp. | | | 36,465 | | | | 5,158,339 | |
| | | | | | | | 91,801,236 | |
Consumer Staples — 4.7% |
Brown-Forman Corp., Class B | | | 388,695 | | | | 25,529,488 | |
Clorox Co. (The) | | | 55,535 | | | | 7,793,227 | |
e.l.f. Beauty, Inc. | | | 216,750 | | | | 11,986,275 | |
J.M. Smucker Co. (The) | | | 93,435 | | | | 14,805,710 | |
WD-40 Co. | | | 133,212 | | | | 21,475,106 | |
| | | | | | | | 81,589,806 | |
Energy — 0.1% |
RPC, Inc. | | | 300,513 | | | | 2,671,561 | |
| |
Financials — 3.7% |
Bank of Hawaii Corp. | | | 115,590 | | | | 8,965,160 | |
Blackstone Mortgage Trust, Inc., Class A | | | 121,445 | | | | 2,570,991 | |
Commerce Bancshares, Inc. | | | 398,895 | | | | 27,152,783 | |
First Financial Bankshares, Inc. | | | 384,718 | | | | 13,234,299 | |
Palomar Holdings, Inc. | | | 176,935 | | | | 7,990,385 | |
Westamerica BanCorp. | | | 77,420 | | | | 4,568,554 | |
| | | | | | | | 64,482,172 | |
Health Care — 2.6% |
AMN Healthcare Services, Inc. | | | 111,390 | | | | 11,453,120 | |
CONMED Corp. | | | 55,515 | | | | 4,920,850 | |
Penumbra, Inc. | | | 80,115 | | | | 17,822,383 | |
34 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Long-Short Fund
Schedule of Investments Sold Short (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 28.2% continued |
Health Care — 2.6% continued |
Waters Corp. | | | 30,955 | | | $ | 10,604,564 | |
| | | | | | | | 44,800,917 | |
Industrials — 3.8% |
Avis Budget Group, Inc. | | | 47,700 | | | | 7,819,461 | |
CBIZ, Inc. | | | 190,365 | | | | 8,918,600 | |
Cintas Corp. | | | 15,459 | | | | 6,981,594 | |
Robert Half International, Inc. | | | 181,533 | | | | 13,402,581 | |
United Parcel Service, Inc., Class B | | | 129,770 | | | | 22,559,217 | |
W.W. Grainger, Inc. | | | 10,970 | | | | 6,102,062 | |
| | | | | | | | 65,783,515 | |
Information Technology — 5.1% |
Asana, Inc., Class A | | | 319,350 | | | | 4,397,449 | |
Badger Meter, Inc. | | | 169,956 | | | | 18,530,303 | |
Cisco Systems, Inc. | | | 148,530 | | | | 7,075,969 | |
Consensus Cloud Solutions, Inc. | | | 95,763 | | | | 5,148,219 | |
F5, Inc. | | | 34,682 | | | | 4,977,214 | |
International Business Machines Corp. | | | 80,640 | | | | 11,361,370 | |
NetScout Systems, Inc. | | | 566,245 | | | | 18,408,625 | |
Oracle Corp. | | | 69,775 | | | | 5,703,408 | |
Teradata Corp. | | | 386,780 | | | | 13,019,015 | |
| | | | | | | | 88,621,572 | |
Materials — 0.7% |
Silgan Holdings, Inc. | | | 247,485 | | | | 12,829,622 | |
| |
Real Estate — 0.1% |
Boston Properties, Inc. | | | 27,630 | | | | 1,867,235 | |
| | | | | | | | | |
Utilities — 2.0% |
Consolidated Edison, Inc. | | | 82,950 | | | | 7,905,964 | |
Ormat Technologies, Inc. | | | 312,085 | | | | 26,989,111 | |
| | | | | | | | 34,895,075 | |
| |
Total Investments Sold Short — 28.2% |
(Proceeds $545,382,701) | | $ | 493,674,798 | |
Percentages disclosed are based on total net assets of the Fund at December 31, 2022.
See accompanying notes to Financial Statements.
Diamond Hill International Fund
Schedule of Investments
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 97.3% |
Brazil — 2.2% |
Ambev SA | | | 154,690 | | | $ | 424,866 | |
Hypera SA | | | 80,151 | | | | 685,285 | |
| | | | | | | | 1,110,151 | |
Canada — 6.0% |
Canadian Natural Resources Ltd. (a) | | | 10,689 | | | | 593,601 | |
Cenovus Energy, Inc. (a) | | | 13,015 | | | | 252,523 | |
Fairfax Financial Holdings Ltd. (a) | | | 3,610 | | | | 2,138,537 | |
Imperial Oil Ltd. | | | 2,655 | | | | 129,323 | |
| | | | | | | | 3,113,984 | |
China — 5.7% |
Alibaba Group Holding Ltd. (b) | | | 80,200 | | | | 880,014 | |
Fu Shou Yuan International Group Ltd. | | | 860,000 | | | | 734,730 | |
Tencent Holdings Ltd. | | | 31,500 | | | | 1,335,591 | |
| | | | | | | | 2,950,335 | |
France — 3.7% |
Safran SA | | | 9,558 | | | | 1,197,545 | |
Ubisoft Entertainment SA (b) | | | 25,840 | | | | 730,226 | |
| | | | | | | | 1,927,771 | |
Germany — 4.1% |
Fuchs Petrolub SE | | | 40,053 | | | | 1,188,724 | |
SAP SE | | | 9,076 | | | | 937,300 | |
| | | | | | | | 2,126,024 | |
India — 3.0% |
HDFC Bank Ltd. - ADR | | | 22,913 | | | | 1,567,478 | |
| |
Israel — 3.6% |
Check Point Software Technologies Ltd. (b) | | | 14,876 | | | | 1,876,756 | |
| |
Italy — 1.9% |
doValue SpA | | | 124,556 | | | | 954,792 | |
| |
Japan — 7.3% |
Astellas Pharma, Inc. | | | 87,400 | | | | 1,328,760 | |
Hakuhodo DY Holdings, Inc. | | | 59,800 | | | | 600,061 | |
Nintendo Co. Ltd. - ADR | | | 136,880 | | | | 1,426,290 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 35 |
Diamond Hill International Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Common Stocks — 97.3% continued |
Japan — 7.3% continued |
Shionogi & Co. Ltd. | | | 8,100 | | | $ | 404,070 | |
| | | | | | | | 3,759,181 | |
Mexico — 2.8% |
Fomento Economico Mexicano SAB de CV | | | 185,612 | | | | 1,451,076 | |
| |
Netherlands — 3.9% |
EXOR NV (b) | | | 18,576 | | | | 1,360,447 | |
Universal Music Group NV | | | 27,153 | | | | 656,834 | |
| | | | | | | | 2,017,281 | |
Peru — 1.2% |
Credicorp Ltd. | | | 4,676 | | | | 634,346 | |
| |
Poland — 2.5% |
Dino Polska SA (b) | | | 14,841 | | | | 1,275,613 | |
| |
South Korea — 3.3% |
Samsung Electronics Co. Ltd. | | | 38,077 | | | | 1,678,331 | |
| |
Spain — 1.2% |
Banco Bilbao Vizcaya Argentaria SA | | | 105,579 | | | | 636,126 | |
| |
Sweden — 2.5% |
Assa Abloy AB, Class B | | | 60,709 | | | | 1,305,970 | |
| |
Switzerland — 12.7% |
Compagnie Financière Richemont SA, Class A | | | 6,735 | | | | 873,317 | |
Nestlé SA | | | 9,944 | | | | 1,148,700 | |
Novartis AG - ADR (a) | | | 21,476 | | | | 1,948,303 | |
Roche Holdings AG | | | 3,565 | | | | 1,120,330 | |
Swatch Group AG (The) | | | 5,047 | | | | 1,434,555 | |
| | | | | | | | 6,525,205 | |
Taiwan Province of China — 0.8% |
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | | | 5,167 | | | | 384,890 | |
| |
| | Shares | | | Fair
Value | |
United Kingdom — 22.1% |
Ashmore Group plc | | | 511,602 | | | $ | 1,473,644 | |
Beazley plc | | | 105,579 | | | | 863,411 | |
Bunzl plc | | | 27,061 | | | | 900,263 | |
Compass Group plc | | | 50,031 | | | | 1,155,239 | |
Diageo plc | | | 28,311 | | | | 1,239,142 | |
GSK plc | | | 48,617 | | | | 840,202 | |
Haleon plc (b) | | | 60,772 | | | | 240,435 | |
Howden Joinery Group plc | | | 153,858 | | | | 1,038,837 | |
Smith & Nephew plc | | | 59,822 | | | | 798,859 | |
Tesco plc | | | 379,475 | | | | 1,022,566 | |
Unilever plc | | | 36,727 | | | | 1,843,409 | |
| | | | | | | | 11,416,007 | |
United States — 6.8% |
Aurinia Pharmaceuticals, Inc. (b) | | | 28,574 | | | | 123,440 | |
Energy Recovery, Inc. (a)(b) | | | 34,320 | | | | 703,217 | |
Freeport-McMoRan, Inc. | | | 26,560 | | | | 1,009,280 | |
Spotify Technology SA (b) | | | 12,599 | | | | 994,691 | |
Walt Disney Co. (The) (b) | | | 7,431 | | | | 645,605 | |
| | | | | | | | 3,476,233 | |
| |
Total Common Stocks |
(Cost $54,615,910) | | $ | 50,187,550 | |
| |
Warrants — 0.0% (c) |
Switzerland — 0.0% (c) |
Compagnie Financiere Richemont SA (Cost $0) (b) | | | 8,320 | | | | 6,929 | |
| |
Registered Investment Companies — 8.8% |
State Street Institutional US Government Money Market Fund - Premier Class, 4.10% (d) | | | 1,441,848 | | | | 1,441,848 | |
36 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill International Fund
Schedule of Investments (Continued)
December 31, 2022
| | Shares | | | Fair
Value | |
Registered Investment Companies — 8.8% continued |
State Street Navigator Securities Lending Portfolio I, 4.48% (d)(e) | | | 3,084,847 | | | $ | 3,084,847 | |
Total Registered Investment Companies |
(Cost $4,526,695) | | $ | 4,526,695 | |
| |
Total Investment Securities — 106.1% |
(Cost $59,142,605) | | $ | 54,721,174 | |
| |
Liabilities in Excess of Other Assets — (6.1)% | | | (3,122,139 | ) |
| |
Net Assets — 100.0% | | $ | 51,599,035 | |
(a) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $3,587,688. |
(b) | Non-income producing security. |
(c) | Percentage rounds to less than 0.1%. |
(d) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(e) | This security was purchased using cash collateral held from securities on loan. |
AB — Aktiebolag
ADR — American Depositary Receipt
AG — Aktiengesellschaft
NV — Naamloze Vennootschap
plc — Public Limited Company
SA — Societe Anonyme
SAB de CV— Societe Anonima Bursatil de Capital Variable
SE — Societe Europaea
SpA — Societa per Azioni
See accompanying Notes to Financial Statements.
Diamond Hill Short Duration
Securitized Bond Fund
Schedule of Investments
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 5.8% |
Banking — 3.3% |
Bank of America Corp. | | | 1.486 | % | | | 05/19/24 | | | $ | 4,514,000 | | | $ | 4,443,203 | |
Capital One Financial Corp. | | | 1.343 | % | | | 12/06/24 | | | | 1,700,000 | | | | 1,627,906 | |
Capital One Financial Corp. | | | 2.636 | % | | | 03/03/26 | | | | 1,000,000 | | | | 936,646 | |
Citigroup, Inc. (1* SOFR + 53) (a) | | | 1.281 | % | | | 11/03/25 | | | | 2,750,000 | | | | 2,533,949 | |
Discover Financial Services | | | 3.750 | % | | | 03/04/25 | | | | 2,750,000 | | | | 2,649,316 | |
Fifth Third Bancorp (b) | | | 1.707 | % | | | 11/01/27 | | | | 1,200,000 | | | | 1,064,368 | |
Goldman Sachs Group, Inc. | | | 1.217 | % | | | 12/06/23 | | | | 1,000,000 | | | | 965,314 | |
Goldman Sachs Group, Inc. | | | 0.925 | % | | | 10/21/24 | | | | 5,000,000 | | | | 4,790,001 | |
JPMorgan Chase & Co. (1* SOFR + 60) (a) | | | 0.653 | % | | | 09/16/24 | | | | 350,000 | | | | 337,522 | |
JPMorgan Chase & Co. (b) | | | 0.768 | % | | | 08/09/25 | | | | 3,000,000 | | | | 2,768,840 | |
JPMorgan Chase & Co. | | | 1.561 | % | | | 12/10/25 | | | | 2,000,000 | | | | 1,851,653 | |
JPMorgan Chase & Co. | | | 2.595 | % | | | 02/24/26 | | | | 1,700,000 | | | | 1,598,272 | |
JPMorgan Chase & Co. | | | 1.470 | % | | | 09/22/27 | | | | 1,600,000 | | | | 1,385,221 | |
Morgan Stanley | | | 0.791 | % | | | 01/22/25 | | | | 3,800,000 | | | | 3,594,988 | |
Royal Bank of Canada (b) | | | 0.750 | % | | | 10/07/24 | | | | 2,000,000 | | | | 1,859,601 | |
Royal Bank of Canada | | | 3.375 | % | | | 04/14/25 | | | | 900,000 | | | | 869,691 | |
Toronto-Dominion Bank (The) | | | 0.700 | % | | | 09/10/24 | | | | 900,000 | | | | 837,578 | |
Toronto-Dominion Bank (The) | | | 1.250 | % | | | 12/13/24 | | | | 500,000 | | | | 465,235 | |
Truist Financial Corp. | | | 4.218 | % | | | 06/09/25 | | | | 800,000 | | | | 783,214 | |
Wells Fargo & Co., Class MTN (1* SOFR + 160) (a) | | | 1.654 | % | | | 06/02/24 | | | | 1,000,000 | | | | 983,843 | |
Wells Fargo & Co. (1* SOFR + 200) (a) | | | 2.188 | % | | | 04/30/26 | | | | 1,675,000 | | | | 1,558,852 | |
| | | | | | | | | | | | | | | | 37,905,213 | |
Communications — 0.0% (c) |
Twenty-First Century Fox, Inc. (b) | | | 4.030 | % | | | 01/25/24 | | | | 450,000 | | | | 444,781 | |
| |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 37 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 5.8% continued |
Consumer Cyclical — 0.4% |
General Motors Financial Co. | | | 1.250 | % | | | 01/08/26 | | | $ | 3,700,000 | | | $ | 3,258,141 | |
Honda Motor Co. | | | 2.271 | % | | | 03/10/25 | | | | 900,000 | | | | 851,644 | |
| | | | | | | | | | | | | | | | 4,109,785 | |
Consumer Non-Cyclical — 0.4% |
Baxter International, Inc. (b) | | | 0.868 | % | | | 12/01/23 | | | | 1,800,000 | | | | 1,731,547 | |
Kroger Co. (The) | | | 4.000 | % | | | 02/01/24 | | | | 1,800,000 | | | | 1,774,802 | |
Mondelez International, Inc. (d) | | | 0.750 | % | | | 09/24/24 | | | | 300,000 | | | | 277,538 | |
| | | | | | | | | | | | | | | | 3,783,887 | |
Electric — 0.3% |
DTE Energy Co. | | | 1.050 | % | | | 06/01/25 | | | | 500,000 | | | | 452,882 | |
WEC Energy Group, Inc. | | | 0.800 | % | | | 03/15/24 | | | | 2,750,000 | | | | 2,605,320 | |
| | | | | | | | | | | | | | | | 3,058,202 | |
Energy — 0.2% |
Devon Energy Corp. | | | 5.250 | % | | | 09/15/24 | | | | 1,000,000 | | | | 1,000,883 | |
Energy Transfer Operating LP | | | 4.500 | % | | | 04/15/24 | | | | 925,000 | | | | 911,832 | |
TransCanada Pipeline Ltd. (b) | | | 1.000 | % | | | 10/12/24 | | | | 750,000 | | | | 694,144 | |
| | | | | | | | | | | | | | | | 2,606,859 | |
Insurance — 1.0% |
Athene Global Funding (d) | | | 2.500 | % | | | 01/14/25 | | | | 1,450,000 | | | | 1,357,926 | |
Equitable Financial Life (d) | | | 1.100 | % | | | 11/12/24 | | | | 3,050,000 | | | | 2,825,685 | |
Met Life Global Funding I (d) | | | 0.700 | % | | | 09/27/24 | | | | 1,200,000 | | | | 1,109,767 | |
New York Life Global Funding (d) | | | 0.900 | % | | | 10/29/24 | | | | 800,000 | | | | 740,994 | |
Principal Life Global Funding II (d) | | | 0.750 | % | | | 08/23/24 | | | | 1,265,000 | | | | 1,172,107 | |
Protective Life Global Funding (d) | | | 0.473 | % | | | 01/12/24 | | | | 2,945,000 | | | | 2,802,348 | |
Protective Life Global Funding (d) | | | 0.781 | % | | | 07/05/24 | | | | 1,700,000 | | | | 1,585,696 | |
| | | | | | | | | | | | | | | | 11,594,523 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Technology — 0.0% (c) |
Dell Technologies, Inc. | | | 4.900 | % | | | 10/01/26 | | | $ | 300,000 | | | $ | 295,290 | |
| |
Transportation — 0.2% |
Alaska Airlines Pass-Through Trust, Series 2020-1B, Class A (d) | | | 4.800 | % | | | 08/15/27 | | | | 421,612 | | | | 401,278 | |
American Airlines Pass-Through Trust, Series 2016-2, Class AA | | | 3.200 | % | | | 12/15/29 | | | | 1,439,000 | | | | 1,247,933 | |
United Airlines Pass-Through Trust, Series 2020-1, Class A | | | 5.875 | % | | | 04/15/29 | | | | 948,460 | | | | 935,130 | |
| | | | | | | | | | | | | | | | 2,584,341 | |
| |
Total Corporate Credit |
(Cost $70,078,262) | | $ | 66,382,881 | |
| |
Securitized — 86.7% |
ABS-Other — 6.9% |
BXG Receivables Note Trust, Series 2018-A, Class C (d) | | | 4.440 | % | | | 02/02/34 | | | | 667,333 | | | | 618,368 | |
Cascade Funding Mortgage Trust, Series 2021-GRN1, Class B (d) | | | 1.830 | % | | | 03/20/41 | | | | 3,588,000 | | | | 2,996,571 | |
Diamond Resorts Owner Trust, Series 2019-1, Class B (d) | | | 3.530 | % | | | 02/20/32 | | | | 260,833 | | | | 254,427 | |
Diamond Resorts Owner Trust, Series 2021-1A, Class B (d) | | | 2.050 | % | | | 11/21/33 | | | | 833,586 | | | | 755,957 | |
Diamond Resorts Owner Trust, Series 2021-1A, Class C (d) | | | 2.700 | % | | | 11/21/33 | | | | 783,571 | | | | 713,645 | |
FMC GMSR Issuer Trust, Series 2020-GT1, Class A (a)(d) | | | 4.450 | % | | | 01/25/26 | | | | 8,350,000 | | | | 7,294,107 | |
FMC GMSR Issuer Trust, Series 2021-GT1, Class A (a)(d) | | | 3.620 | % | | | 07/25/26 | | | | 9,000,000 | | | | 7,309,372 | |
38 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
ABS-Other — 6.9% continued |
FMC GMSR Issuer Trust, Series 2021-GT2, Class A (d) | | | 3.850 | % | | | 10/26/26 | | | $ | 11,500,000 | | | $ | 9,222,494 | |
FMC GMSR Issuer Trust, Series 2022-GT2, Class A (d) | | | 7.900 | % | | | 07/25/27 | | | | 4,850,000 | | | | 4,565,290 | |
Gold Key Resorts, LLC, Series 2014-A, Class A (d) | | | 3.220 | % | | | 03/17/31 | | | | 23,447 | | | | 23,042 | |
Helios Issuer, LLC, Series 2020-4, Class A (d) | | | 2.980 | % | | | 06/20/47 | | | | 1,584,783 | | | | 1,353,327 | |
Helios Issuer, LLC, Series 2021-A, Class A (d) | | | 1.800 | % | | | 02/20/48 | | | | 1,103,549 | | | | 898,059 | |
Hero Funding Trust, Series 2016-4B, Class B (d) | | | 4.990 | % | | | 09/20/47 | | | | 378,290 | | | | 362,855 | |
Holiday Inn Timeshare Trust, Series 2020-A, Class C (d) | | | 3.420 | % | | | 10/09/39 | | | | 977,980 | | | | 896,423 | |
Holiday Inn Timeshare Trust, Series 2020-A, Class D (d) | | | 5.500 | % | | | 10/09/39 | | | | 454,875 | | | | 418,801 | |
Holiday Inn Timeshare Trust, Series 2020-A, Class E (d) | | | 6.500 | % | | | 10/09/39 | | | | 2,592,785 | | | | 2,391,927 | |
Loanpal Solar Loan Ltd., Series 2021-1GS, Class A (d) | | | 2.290 | % | | | 01/20/48 | | | | 2,613,278 | | | | 1,987,442 | |
Loanpal Solar Loan Ltd., Series 2021-2GS, Class A (d) | | | 2.220 | % | | | 03/20/48 | | | | 1,984,817 | | | | 1,451,446 | |
Mosaic Solar Loans, LLC, Series 2017-2, Class B (d) | | | 4.770 | % | | | 06/22/43 | | | | 416,497 | | | | 387,141 | |
Mosaic Solar Loans, LLC, Series 2020-1, Class A (d) | | | 2.100 | % | | | 04/20/46 | | | | 1,537,000 | | | | 1,334,211 | |
Mosaic Solar Loans, LLC, Series 2020-1A, Class B (d) | | | 3.100 | % | | | 04/20/46 | | | | 1,229,600 | | | | 1,081,128 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
ABS-Other — 6.9% continued |
Mosaic Solar Loans, LLC, Series 2021-1, Class D (d) | | | 3.710 | % | | | 12/20/46 | | | $ | 693,185 | | | $ | 588,505 | |
MVW Own Trust, Series 2021-1W, Class D (d) | | | 3.170 | % | | | 06/22/41 | | | | 1,419,905 | | | | 1,250,714 | |
NRZ Excess Spread Collateralization, Series 2021-GNT1, Class A (d) | | | 3.474 | % | | | 11/25/26 | | | | 9,908,664 | | | | 8,723,411 | |
PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A (1* 1MO LIBOR + 285) (a)(d) | | | 7.239 | % | | | 02/25/23 | | | | 7,000,000 | | | | 6,841,376 | |
PNMAC GMSR Issuer Trust, Series 2018-GT2, Class NT (1* 1MO LIBOR + 265) (a)(d) | | | 7.039 | % | | | 08/25/23 | | | | 9,400,000 | | | | 9,226,257 | |
Renew Financial, LLC, Series 2017-1, Class A (d) | | | 3.670 | % | | | 09/20/52 | | | | 1,044,524 | | | | 944,437 | |
Renew Financial, LLC, Series 2017-1, Class B (d) | | | 5.750 | % | | | 09/20/52 | | | | 412,034 | | | | 383,213 | |
Sierra Receivables Funding, Series 2022-2A, Class D (d) | | | 9.220 | % | | | 06/20/40 | | | | 1,137,192 | | | | 1,106,940 | |
SPS Servicer Advance Receivables, Series 2020-T2, Class D (d) | | | 3.160 | % | | | 11/15/55 | | | | 3,000,000 | | | | 2,519,199 | |
Westgate Resorts, Series 2020-1A, Class C (d) | | | 6.213 | % | | | 03/20/34 | | | | 1,095,115 | | | | 1,078,424 | |
| | | | | | | | | | | | | | | | 78,978,509 | |
Agency MBS CMO — 1.1% |
FHLMC, Series 2979, Class FP (1* 1MO LIBOR + 45) (a) | | | 4.768 | % | | | 05/15/35 | | | | 282,584 | | | | 278,128 | |
FHLMC, Series 3121, Class FM (1* 1MO LIBOR + 40) (a) | | | 4.718 | % | | | 03/15/36 | | | | 262,529 | | | | 257,921 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 39 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Agency MBS CMO — 1.1% continued |
FHLMC, Series 4613, Class AF (1* 1MO LIBOR + 110) (a) | | | 5.418 | % | | | 11/15/37 | | | $ | 451,109 | | | $ | 449,743 | |
FHLMC, Series 3925, Class FL (1* 1MO LIBOR + 45) (a) | | | 4.768 | % | | | 01/15/41 | | | | 63,599 | | | | 63,176 | |
FHLMC, Series 3895, Class BF (1* 1MO LIBOR + 50) (a) | | | 4.818 | % | | | 07/15/41 | | | | 207,607 | | | | 203,702 | |
FHLMC, Series 4314, Class PF (1* 1MO LIBOR + 40) (a) | | | 4.718 | % | | | 07/15/43 | | | | 92,321 | | | | 91,307 | |
FHLMC, Series 5171, Class UK | | | 2.000 | % | | | 12/25/51 | | | | 1,163,171 | | | | 638,092 | |
FNMA, Series 2006-56, Class DC (1* 1MO LIBOR + 65) (a) | | | 5.039 | % | | | 07/25/36 | | | | 530,729 | | | | 535,788 | |
FNMA, Series 2006-108, Class FD (1* 1MO LIBOR + 38) (a) | | | 4.769 | % | | | 11/25/36 | | | | 221,297 | | | | 217,082 | |
FNMA, Series 2010-136, Class FA (1* 1MO LIBOR + 50) (a) | | | 4.889 | % | | | 12/25/40 | | | | 213,771 | | | | 209,172 | |
FNMA, Series 2011-86, Class KF (1* 1MO LIBOR + 55) (a) | | | 4.939 | % | | | 09/25/41 | | | | 356,101 | | | | 349,771 | |
FNMA, Series 2011-127, Class ZU | | | 3.500 | % | | | 12/25/41 | | | | 4,978,474 | | | | 4,555,706 | |
FNMA, Series 2012-9, Class FC (1* 1MO LIBOR + 40) (a) | | | 4.789 | % | | | 02/25/42 | | | | 155,899 | | | | 152,826 | |
FNMA, Series 2012-33, Class F (1* 1MO LIBOR + 52) (a) | | | 4.909 | % | | | 04/25/42 | | | | 108,204 | | | | 106,414 | |
FNMA, Series 2013-34, Class GP | | | 3.000 | % | | | 05/25/42 | | | | 2,462,000 | | | | 2,324,665 | |
FNMA, Series 2017-28, Class LK | | | 4.000 | % | | | 03/25/53 | | | | 1,230,530 | | | | 1,203,324 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS CMO — 1.1% continued |
GNMA, Series 2012-H29, Class SA (1* 1MO LIBOR + 52) (a) | | | 4.357 | % | | | 10/20/62 | | | $ | 503,564 | | | $ | 499,219 | |
GNMA, Series 2012-H23, Class SA (1* 1MO LIBOR + 53) (a) | | | 4.372 | % | | | 10/20/62 | | | | 579,008 | | | | 569,308 | |
GNMA, Series 2016-H11, Class FD (1* 12MO LIBOR + 40) (a) | | | 2.572 | % | | | 05/20/66 | | | | 80,007 | | | | 78,749 | |
| | | | | | | | | | | | | | | | 12,784,093 | |
Agency MBS CMO Derivatives — 0.1% |
FHLMC, Series 237, Class S14 (IO) (-1* 1MO LIBOR + 660) (a) | | | 2.282 | % | | | 05/15/36 | | | | 467,179 | | | | 53,548 | |
FNMA, Series 2012-148, Class IA (IO) | | | 4.000 | % | | | 01/25/28 | | | | 1,606,828 | | | | 92,424 | |
FNMA, Series 301, Class I (PO) | | | 0.000 | % | | | 04/25/29 | | | | 175,426 | | | | 157,646 | |
FNMA, Series 2010-44, Class CS (IO) (-1* 1MO LIBOR + 655) (a) | | | 2.161 | % | | | 05/25/40 | | | | 273,547 | | | | 25,907 | |
FNMA, Series 2014-45, Class IO (IO) | | | 4.000 | % | | | 08/25/44 | | | | 394,755 | | | | 49,622 | |
GNMA, Series 2015-16, Class IL (IO) | | | 4.000 | % | | | 03/20/42 | | | | 1,162,660 | | | | 43,743 | |
GNMA, Series 2013-H13, Class T1 (IO) (a) | | | 0.459 | % | | | 05/20/63 | | | | 20,020,098 | | | | 102,857 | |
GNMA, Series 2016-H20, Class GI (IO) (a) | | | 1.010 | % | | | 08/20/66 | | | | 15,611,853 | | | | 39,322 | |
GNMA, Series 2018-H08, Class NI (IO) (a) | | | 1.537 | % | | | 05/20/68 | | | | 10,484,222 | | | | 81,214 | |
GNMA, Series 2019-H04, Class IO (IO) (a) | | | 1.534 | % | | | 03/20/69 | | | | 17,113,825 | | | | 383,011 | |
| | | | | | | | | | | | | | | | 1,029,294 | |
Agency MBS Passthrough — 0.0% (c) |
FHLMC, Pool #FG G60257 | | | 5.500 | % | | | 06/01/41 | | | | 390,783 | | | | 405,657 | |
| |
40 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Auto Loan — 6.9% |
ACC Auto Trust, Series 2021-A, Class A (d) | | | 1.080 | % | | | 04/15/27 | | | $ | 476,725 | | | $ | 470,581 | |
American Credit Acceptance Receivables Trust, Series 2020-3, Class F (d) | | | 5.940 | % | | | 06/14/27 | | | | 6,750,000 | | | | 6,621,277 | |
American Credit Acceptance Receivables Trust, Series 2020-4, Class F (d) | | | 5.220 | % | | | 08/13/27 | | | | 2,800,000 | | | | 2,697,878 | |
Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class A (d) | | | 1.190 | % | | | 01/15/27 | | | | 3,492,674 | | | | 3,375,302 | |
Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class B (d) | | | 2.020 | % | | | 02/16/27 | | | | 2,223,000 | | | | 2,050,852 | |
Arivo Acceptance Auto Loan Receivables Trust, Series 2022-2A, Class C (d) | | | 8.710 | % | | | 03/15/29 | | | | 4,000,000 | | | | 4,050,935 | |
CarNow Auto Receivables Trust, Series 2021-1A, Class C (d) | | | 2.160 | % | | | 02/17/26 | | | | 500,000 | | | | 486,791 | |
CarNow Auto Receivables Trust, Series 2021-1A, Class D (d) | | | 3.640 | % | | | 02/17/26 | | | | 2,250,000 | | | | 2,129,998 | |
CarNow Auto Receivables Trust, Series 2021-1A, Class E (d) | | | 5.120 | % | | | 07/15/27 | | | | 2,500,000 | | | | 2,364,934 | |
Chase Credit Linked Notes, Series 2020-1, Class D (d) | | | 1.886 | % | | | 01/25/28 | | | | 333,341 | | | | 328,550 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Auto Loan — 6.9% continued |
Chase Credit Linked Notes, Series 2021-3, Class D (d) | | | 1.009 | % | | | 02/26/29 | | | $ | 1,499,788 | | | $ | 1,406,997 | |
Chase Credit Linked Notes, Series 2021-3, Class E (d) | | | 2.102 | % | | | 02/26/29 | | | | 1,249,823 | | | | 1,174,717 | |
CIG Auto Receivables Trust, Series 2020-1, Class D (d) | | | 2.350 | % | | | 01/12/26 | | | | 2,400,000 | | | | 2,347,925 | |
Credito RL USA, Series 2021-1, Class A (d) | | | 1.350 | % | | | 02/16/27 | | | | 1,906,906 | | | | 1,863,788 | |
FHF Trust, Series 2020-1, Class B (d) | | | 3.100 | % | | | 09/15/25 | | | | 3,291,483 | | | | 3,262,930 | |
FHF Trust, Series 2021-1, Class A (d) | | | 1.270 | % | | | 03/15/27 | | | | 1,167,087 | | | | 1,118,429 | |
First Help Financial, LLC, Series 2021-2A, Class A (d) | | | 0.830 | % | | | 12/15/26 | | | | 3,787,685 | | | | 3,600,677 | |
First Help Financial, LLC, Series 2021-2A, Class B (d) | | | 1.630 | % | | | 09/15/27 | | | | 6,500,000 | | | | 5,890,284 | |
Hertz Vehicle Finance, LLC, Series 2022-1A, Class D (d) | | | 4.850 | % | | | 06/25/26 | | | | 7,000,000 | | | | 6,181,479 | |
Hertz Vehicle Finance, LLC, Series 2021-2, Class D (d) | | | 4.340 | % | | | 12/25/27 | | | | 5,000,000 | | | | 4,162,459 | |
JPMorgan Chase Bank, NA, Series 2021-2, Class E (d) | | | 2.280 | % | | | 12/26/28 | | | | 862,051 | | | | 823,211 | |
OneMain Direct Auto Receivables, Series 2019-1, Class D (d) | | | 4.680 | % | | | 04/14/31 | | | | 5,500,000 | | | | 4,941,424 | |
Tesla Auto Lease Trust, Series 2021-B, Class D (d) | | | 1.320 | % | | | 09/22/25 | | | | 9,500,000 | | | | 8,750,262 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 41 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Auto Loan — 6.9% continued |
Veros Auto Receivables Trust, Series 2021-1, Class B (d) | | | 1.490 | % | | | 10/15/26 | | | $ | 4,500,000 | | | $ | 4,245,986 | |
Veros Auto Receivables Trust, Series 2021-1, Class C (d) | | | 3.640 | % | | | 08/15/28 | | | | 5,000,000 | | | | 4,597,828 | |
| | | | | | | | | | | | | | | | 78,945,494 | |
CRE/CLO — 9.8% |
A10 Securitization, Series 2021-D, Class D (d)(e) | | | 4.409 | % | | | 10/01/38 | | | | 7,546,818 | | | | 6,761,768 | |
A10 Securitization, Series 2021-D, Class E (d)(e) | | | 4.937 | % | | | 10/01/38 | | | | 3,575,985 | | | | 3,169,034 | |
A10 Securitization, Series 2020-C, Class B (d)(e) | | | 2.617 | % | | | 08/15/40 | | | | 1,255,769 | | | | 1,230,713 | |
A10 Securitization, Series 2020-C, Class C (d)(e) | | | 3.363 | % | | | 08/15/40 | | | | 2,800,000 | | | | 2,700,922 | |
A10 Securitization, Series 2020-C, Class D (d)(e) | | | 4.129 | % | | | 08/15/40 | | | | 1,950,000 | | | | 1,866,532 | |
A10 Securitization, Series 2020-C, Class E (d)(e) | | | 5.465 | % | | | 08/15/40 | | | | 1,050,000 | | | | 985,753 | |
Acre Mortgage Trust, Series 2021-FL4, Class D (1* 1MO LIBOR + 260) (a)(d) | | | 6.939 | % | | | 12/15/37 | | | | 6,000,000 | | | | 5,721,114 | |
Acre Mortgage Trust, Series 2021-FL4, Class E (1* 1MO LIBOR + 310) (a)(d) | | | 7.439 | % | | | 12/15/37 | | | | 2,000,000 | | | | 1,894,132 | |
Arbor Realty Collateralized Loan, Series 2022-FL1, Class D (1* SOFR30A + 300) (a)(d) | | | 6.807 | % | | | 01/15/37 | | | | 4,750,000 | | | | 4,412,194 | |
AREIT CRE Trust, Series 2022-CRE6, Class A (1* SOFR30A + 125) (a)(d) | | | 4.642 | % | | | 01/16/37 | | | | 5,575,299 | | | | 5,358,381 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
CRE/CLO — 9.8% continued |
AREIT CRE Trust, Series 2021-CRE5, Class A (1* 1MO LIBOR + 108) (a)(d) | | | 4.991 | % | | | 11/17/38 | | | $ | 1,212,652 | | | $ | 1,159,206 | |
Bancorp Commercial Mortgage Trust (The), Series 2017-CRE2, Class D (1* 1MO LIBOR + 375) (a)(d) | | | 7.625 | % | | | 08/17/32 | | | | 1,374,049 | | | | 1,362,730 | |
BDS Ltd., Series 2021-FL8, Class D (1* 1MO LIBOR + 300) (a)(d) | | | 6.239 | % | | | 01/18/36 | | | | 2,750,000 | | | | 2,518,741 | |
BDS Ltd., Series 2021-FL8, Class E (1* 1MO LIBOR + 225) (a)(d) | | | 6.589 | % | | | 01/18/36 | | | | 1,750,000 | | | | 1,615,558 | |
BXMT Ltd., Series 2020-FL2, Class D (1* 1MO LIBOR + 195) (a)(d) | | | 5.939 | % | | | 02/16/37 | | | | 4,725,000 | | | | 4,400,945 | |
BXMT Ltd., Series 2020-FL2, Class E (1* 1MO LIBOR + 205) (a)(d) | | | 6.039 | % | | | 02/16/37 | | | | 3,500,000 | | | | 3,201,040 | |
BXMT Ltd., Series 2021-FL4, Class D (1* 1MO LIBOR + 225) (a)(d) | | | 6.125 | % | | | 05/17/38 | | | | 8,250,000 | | | | 7,530,806 | |
LoanCore Issuer Ltd., Series 2019-CRE3, Class D (1* 1MO LIBOR + 250) (a)(d) | | | 6.375 | % | | | 05/15/36 | | | | 7,200,000 | | | | 7,066,238 | |
MF1 Multifamily Housing Mortgage Trust, Series 2021-FL5, Class A (1* TSFR1M + 96) (a)(d) | | | 5.300 | % | | | 07/15/36 | | | | 1,223,677 | | | | 1,185,061 | |
42 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
CRE/CLO — 9.8% continued |
MF1 Multifamily Housing Mortgage Trust, Series 2021-FL5, Class AS (1* TSFR1M + 131) (a)(d) | | | 5.650 | % | | | 07/15/36 | | | $ | 1,000,000 | | | $ | 964,201 | |
MF1 Multifamily Housing Mortgage Trust, Series 2021-FL7, Class AS (1* 1MO LIBOR + 145) (a)(d) | | | 5.389 | % | | | 10/16/36 | | | | 2,850,000 | | | | 2,689,933 | |
MF1 Multifamily Housing Mortgage Trust, Series 2021-FL7, Class C (1* 1MO LIBOR + 205) (a)(d) | | | 5.989 | % | | | 10/16/36 | | | | 2,000,000 | | | | 1,871,816 | |
MF1 Multifamily Housing Mortgage Trust, Series 2022-FL8, Class B (1* SOFR30A + 195) (a)(d) | | | 5.776 | % | | | 02/19/37 | | | | 3,500,000 | | | | 3,250,632 | |
MF1 Multifamily Housing Mortgage Trust, Series 2022-FL10, Class C (1* TSFR1M + 448) (d) | | | 8.804 | % | | | 09/07/37 | | | | 3,250,000 | | | | 3,209,121 | |
MF1 Multifamily Housing Mortgage Trust, Series 2022-FL10, Class D (1* TSFR1M + 573) (a)(d) | | | 10.050 | % | | | 09/17/37 | | | | 1,250,000 | | | | 1,204,117 | |
PFP Ltd., Series 2021-8, Class A (1* 1MO LIBOR + 100) (a)(d) | | | 4.904 | % | | | 08/16/37 | | | | 3,254,664 | | | | 3,125,170 | |
PFP Ltd., Series 2021-7, Class D (1* 1MO LIBOR + 240) (a)(d) | | | 6.304 | % | | | 04/14/38 | | | | 1,749,913 | | | | 1,597,336 | |
PFP Ltd., Series 2021-7, Class A (1* 1MO LIBOR + 85) (a)(d) | | | 4.725 | % | | | 04/16/38 | | | | 807,672 | | | | 789,315 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
CRE/CLO — 9.8% continued |
PFP Ltd., Series 2021-7, Class A-S (1* 1MO LIBOR + 115) (d) | | | 5.025 | % | | | 04/16/38 | | | $ | 2,999,850 | | | $ | 2,824,533 | |
ReadyCap Commercial Mortgage Trust, Series 2020-FL4, Class B (1* 1MO LIBOR + 385) (a)(d) | | | 8.239 | % | | | 02/25/35 | | | | 4,000,000 | | | | 3,976,673 | |
ReadyCap Commercial Mortgage Trust, Series 2021-1A, Class C (1* 1MO LIBOR + 190) (a)(d) | | | 6.289 | % | | | 07/25/36 | | | | 1,800,000 | | | | 1,683,220 | |
ReadyCap Commercial Mortgage Trust, Series 2021-1A, Class B (1* 1MO LIBOR + 240) (a)(d) | | | 6.789 | % | | | 07/25/36 | | | | 7,545,000 | | | | 6,946,146 | |
ReadyCap Commercial Mortgage Trust, Series 2021-1A, Class A (1* 1MO LIBOR + 290) (a)(d) | | | 7.289 | % | | | 07/25/36 | | | | 4,500,000 | | | | 4,081,433 | |
ReadyCap Commercial Mortgage Trust, Series 2021-FL7, Class A (1* 1MO LIBOR + 120) (a)(d) | | | 5.589 | % | | | 11/25/36 | | | | 2,161,489 | | | | 2,080,036 | |
ReadyCap Commercial Mortgage Trust, Series 2021-FL7, Class D (1* 1MO LIBOR + 295) (a)(d) | | | 7.339 | % | | | 11/25/36 | | | | 3,450,000 | | | | 3,179,465 | |
Shelter Growth Capital Partners, LLC, Series 2021-FL3, Class A (1* 1MO LIBOR + 108) (a)(d) | | | 5.398 | % | | | 09/15/36 | | | | 1,272,180 | | | | 1,232,886 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 43 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
CRE/CLO — 9.8% continued |
Shelter Growth Capital Partners, LLC, Series 2021-FL3, Class C (1* 1MO LIBOR + 215) (a)(d) | | | 6.468 | % | | | 09/15/36 | | | $ | 3,800,000 | | | $ | 3,606,086 | |
| | | | | | | | | | | | | | | | 112,452,987 | |
Credit Cards — 11.0% |
Brex Commercial Charge Card Master Trust, Series 2022-1, Class A (d) | | | 4.630 | % | | | 07/15/25 | | | | 5,000,000 | | | | 4,841,239 | |
Continental Credit Card, LLC, Series 2019-1, Class A (d) | | | 3.830 | % | | | 08/15/26 | | | | 4,359,154 | | | | 4,321,177 | |
Continental Credit Card, LLC, Series 2019-1, Class B (d) | | | 4.950 | % | | | 08/15/26 | | | | 7,450,000 | | | | 7,293,026 | |
Continental Credit Card, LLC, Series 2019-1, Class C (d) | | | 6.160 | % | | | 08/15/26 | | | | 3,000,000 | | | | 2,899,063 | |
Continental Credit Card, LLC, Series 2020-A, Class A (d) | | | 2.240 | % | | | 12/15/28 | | | | 3,600,000 | | | | 3,385,658 | |
Continental Credit Card, LLC, Series 2020-A, Class B (d) | | | 3.660 | % | | | 12/15/28 | | | | 6,800,000 | | | | 6,202,547 | |
Continental Credit Card, LLC, Series 2021-A, Class B (d) | | | 3.490 | % | | | 12/17/29 | | | | 6,700,000 | | | | 6,151,199 | |
Continental Credit Card, LLC, Series 2021-A, Class C (d) | | | 4.020 | % | | | 12/17/29 | | | | 6,900,000 | | | | 6,160,829 | |
Continental Credit Card, LLC, Series 2021-A, Class D (d) | | | 6.010 | % | | | 12/17/29 | | | | 16,210,000 | | | | 14,319,522 | |
Continental Credit Card, LLC, Series 2022-A, Class C (d) | | | 9.330 | % | | | 10/15/30 | | | | 4,100,000 | | | | 4,033,449 | |
Continental Credit Card, LLC, Series 2022-A, Class D (d) | | | 12.420 | % | | | 10/15/30 | | | | 5,000,000 | | | | 4,928,675 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Credit Cards — 11.0% continued |
Genesis Private Label Amortization Trust, Series 2020-1, Class D (d) | | | 6.630 | % | | | 07/20/26 | | | $ | 8,994,022 | | | $ | 8,934,823 | |
Genesis Private Label Amortization Trust, Series 2020-1, Class E (d) | | | 9.760 | % | | | 07/20/30 | | | | 2,625,000 | | | | 2,565,778 | |
Genesis Sales Finance Master Trust, Series 2021-AA, Class D (d) | | | 2.090 | % | | | 12/21/26 | | | | 2,350,000 | | | | 2,122,490 | |
Genesis Sales Finance Master Trust, Series 2021-AA, Class E (d) | | | 3.770 | % | | | 12/21/26 | | | | 6,000,000 | | | | 5,352,977 | |
Genesis Sales Finance Master Trust, Series 2021-AA, Class F (d) | | | 5.590 | % | | | 12/21/26 | | | | 4,000,000 | | | | 3,523,489 | |
Genesis Sales Finance Master Trust, Series 22-A, Class C (d) | | | 9.530 | % | | | 09/20/27 | | | | 5,000,000 | | | | 4,993,777 | |
Genesis Sales Finance Master Trust, Series 22-A, Class D (d) | | | 10.970 | % | | | 09/20/27 | | | | 4,350,000 | | | | 4,326,598 | |
Mercury Financial Credit Card, Series 2022-3A, Class D (d) | | | 17.760 | % | | | 06/21/27 | | | | 4,000,000 | | | | 4,007,826 | |
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class B (d) | | | 2.330 | % | | | 03/20/26 | | | | 12,200,000 | | | | 11,358,631 | |
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class D (d) | | | 6.260 | % | | | 03/20/26 | | | | 4,000,000 | | | | 3,601,690 | |
Mercury Financial Credit Card Master Trust, Series 2022-3A, Class B (d) | | | 10.680 | % | | | 06/21/27 | | | | 3,500,000 | | | | 3,507,369 | |
44 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Credit Cards — 11.0% continued |
Meridian Contrarian Fund, Series 2022-2A, Class C (d) | | | 10.830 | % | | | 03/20/27 | | | $ | 8,000,000 | | | $ | 7,716,214 | |
| | | | | | | | | | | | | | | | 126,548,046 | |
Equipment — 1.8% |
Business Jet Securities, LLC, Series 2020-1, Class B (d) | | | 3.967 | % | | | 11/15/35 | | | | 659,318 | | | | 586,278 | |
Business Jet Securities, LLC, Series 2020-1, Class C (d) | | | 7.142 | % | | | 11/15/35 | | | | 1,132,342 | | | | 1,063,860 | |
Business Jet Securities, LLC, Series 2021-1A, Class B (d) | | | 2.918 | % | | | 04/15/36 | | | | 1,118,904 | | | | 948,334 | |
Business Jet Securities, LLC, Series 2021-1A, Class C (d) | | | 5.067 | % | | | 04/15/36 | | | | 1,821,133 | | | | 1,598,117 | |
Encina Equipment Finance, Series 2021-1A, Class E (d) | | | 4.360 | % | | | 03/15/29 | | | | 1,340,000 | | | | 1,266,725 | |
Octana Receivables Trust, Series 2022-2A, Class D (d) | | | 7.700 | % | | | 09/20/30 | | | | 3,000,000 | | | | 2,936,032 | |
Octane Receivables Trust, Series 2020-1, Class C (d) | | | 2.890 | % | | | 03/20/26 | | | | 4,750,000 | | | | 4,479,168 | |
Octane Receivables Trust, Series 2021-1A, Class C (d) | | | 2.230 | % | | | 11/20/28 | | | | 1,800,000 | | | | 1,651,433 | |
Stellar Jay Ireland DAC, Series 2021-1, Class B (d)(e) | | | 5.926 | % | | | 03/15/28 | | | | 7,433,479 | | | | 6,114,859 | |
| | | | | | | | | | | | | | | | 20,644,806 | |
HECM — 4.9% |
Boston Lending Trust, Series 2022-1, Class M2 (d)(e) | | | 2.750 | % | | | 02/25/62 | | | | 1,024,870 | | | | 778,500 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
HECM — 4.9% continued |
Brean ABS Trust, Series 2021-RM2, Class A (d) | | | 1.750 | % | | | 10/25/61 | | | $ | 8,663,568 | | | $ | 7,562,360 | |
Brean ABS Trust, Series 2022-RM3, Class A (d) | | | 1.750 | % | | | 02/25/62 | | | | 1,386,638 | | | | 1,209,110 | |
Brean ABS Trust, Series 2022-RM4, Class M1 (d)(e) | | | 3.000 | % | | | 07/25/62 | | | | 1,413,732 | | | | 962,087 | |
Cascade Funding Mortgage Trust, Series 2022-HB8, Class A (d) | | | 3.750 | % | | | 04/25/25 | | | | 3,348,823 | | | | 3,215,714 | |
Cascade Funding Mortgage Trust, Series 2022-HB8, Class M3 (d) | | | 3.750 | % | | | 04/25/25 | | | | 3,000,000 | | | | 2,445,000 | |
Cascade Funding Mortgage Trust, Series 2021-HB7, Class M3 (d) | | | 3.849 | % | | | 10/27/31 | | | | 3,000,000 | | | | 2,725,995 | |
Finance of America HECM Buyout, Series 2022-HB1, Class M3 (d) | | | 5.084 | % | | | 11/25/25 | | | | 1,600,000 | | | | 1,487,909 | |
Finance of America HECM Buyout, Series 2022-HB1, Class M5 (d) | | | 7.870 | % | | | 11/25/26 | | | | 8,000,000 | | | | 7,355,923 | |
Finance of America HECM Buyout, Series 2022-HB2, Class M3 (d) | | | 6.000 | % | | | 09/25/27 | | | | 6,500,000 | | | | 6,153,270 | |
RMF Buyout Issuance Trust, Series 2021-HB1, Class M3 (d)(e)(f) | | | 3.690 | % | | | 11/25/31 | | | | 3,000,000 | | | | 2,625,000 | |
RMF Buyout Issuance Trust, Series 2021-HB1, Class M4 (d)(e)(f) | | | 4.704 | % | | | 11/25/31 | | | | 5,000,000 | | | | 4,220,000 | |
RMF Buyout Issuance Trust, Series 2020-HB1, Class M2 (d)(e)(f) | | | 3.630 | % | | | 10/25/50 | | | | 1,000,000 | | | | 865,000 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 45 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
HECM — 4.9% continued |
RMF Proprietary Issuance Trust, Series 2021-2, Class A (d)(e)(f) | | | 2.125 | % | | | 09/25/61 | | | $ | 7,723,772 | | | $ | 6,642,444 | |
RMF Proprietary Issuance Trust, Series 2021-2, Class M2 (d)(e) | | | 2.125 | % | | | 09/25/61 | | | | 2,566,782 | | | | 1,706,463 | |
RMF Proprietary Issuance Trust, Series 2022-1, Class A (d)(e) | | | 3.000 | % | | | 01/25/62 | | | | 961,516 | | | | 840,738 | |
RMF Proprietary Issuance Trust, Series 2022-2, Class M3 (d)(e) | | | 3.750 | % | | | 06/25/62 | | | | 2,600,000 | | | | 1,638,673 | |
RMF Proprietary Issuance Trust II, Series 2022-1, Class M1 (d)(e) | | | 3.000 | % | | | 01/25/62 | | | | 1,600,000 | | | | 1,246,839 | |
RMF Proprietary Issuance Trust III, Series 2022-1, Class M2 (d)(e) | | | 3.000 | % | | | 01/25/62 | | | | 4,000,000 | | | | 2,791,372 | |
| | | | | | | | | | | | | | | | 56,472,397 | |
Hospitality — 2.4% |
BHMS Mortgage Trust, Series 2018-ATLS, Class A (1* 1MO LIBOR + 125) (a)(d) | | | 5.568 | % | | | 07/16/35 | | | | 4,700,000 | | | | 4,512,324 | |
BX Trust, Series 2018-GW, Class D (1* 1MO LIBOR + 177) (a)(d) | | | 5.645 | % | | | 05/15/35 | | | | 1,685,000 | | | | 1,617,194 | |
BX Trust, Series 2021-ARIA, Class E (1* 1MO LIBOR + 224) (a)(d) | | | 6.120 | % | | | 10/15/36 | | | | 1,850,000 | | | | 1,678,352 | |
BX Trust, Series 2018-GW, Class C (1* 1MO LIBOR + 198) (a)(d) | | | 5.095 | % | | | 05/15/37 | | | | 2,500,000 | | | | 2,405,677 | |
BX Trust, Series 2018-GW, Class E (1* 1MO LIBOR + 197) (a)(d) | | | 5.845 | % | | | 05/15/37 | | | | 6,000,000 | | | | 5,743,481 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Hospitality — 2.4% continued |
Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class B (1* 1MO LIBOR + 125) (a)(d) | | | 5.125 | % | | | 07/15/25 | | | $ | 4,573,863 | | | $ | 4,424,350 | |
Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class C (1* 1MO LIBOR + 145) (a)(d) | | | 5.325 | % | | | 07/15/25 | | | | 3,476,136 | | | | 3,353,775 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A (1* 1MO LIBOR + 115) (a)(d) | | | 5.025 | % | | | 05/17/38 | | | | 3,850,000 | | | | 3,738,831 | |
| | | | | | | | | | | | | | | | 27,473,984 | |
Industrial — 1.8% |
BX Commercial Mortgage Trust, Series 2021-VOLT, Class B (1* 1MO LIBOR + 95) (a)(d) | | | 5.268 | % | | | 09/15/36 | | | | 1,470,000 | | | | 1,385,820 | |
BX Commercial Mortgage Trust, Series 2019-XL, Class F (1* 1MO LIBOR + 200) (a)(d) | | | 5.909 | % | | | 10/15/36 | | | | 3,825,000 | | | | 3,680,539 | |
BX Trust, Series 2021-VOLT, Class D (1* 1MO LIBOR + 165) (a)(d) | | | 5.968 | % | | | 09/15/36 | | | | 10,330,000 | | | | 9,664,469 | |
BX Trust, Series 2021-VOLT, Class E (1* 1MO LIBOR + 200) (a)(d) | | | 6.318 | % | | | 09/15/36 | | | | 2,702,000 | | | | 2,512,775 | |
Cold Storage Trust, Series 2020-ICE5, Class E (1* 1MO LIBOR + 277) (a)(d) | | | 6.641 | % | | | 11/16/37 | | | | 2,457,476 | | | | 2,355,675 | |
46 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Industrial — 1.8% continued |
SMR Mortgage Trust, Series 2022-IND, Class D (1* TSFR1M + 395) (a)(d) | | | 8.286 | % | | | 02/25/39 | | | $ | 1,736,263 | | | $ | 1,589,414 | |
| | | | | | | | | | | | | | | | 21,188,692 | |
Manufactured Housing — 0.1% |
Cascade Funding Mortgage Trust, Series 2019-MH1, Class M (a)(d) | | | 5.985 | % | | | 11/25/44 | | | | 1,100,000 | | | | 1,014,966 | |
| |
Multifamily — 10.0% |
BX Trust, Series 2021-MFM1, Class D (1* 1MO LIBOR + 150) (a)(d) | | | 5.375 | % | | | 01/15/34 | | | | 2,000,000 | | | | 1,880,146 | |
FREMF Mortgage Trust, Series 2017-KF39, Class B (1* 1MO LIBOR + 250) (a)(d) | | | 6.642 | % | | | 11/25/24 | | | | 3,844,388 | | | | 3,781,084 | |
FREMF Mortgage Trust, Series 2018-KF42, Class B (1* 1MO LIBOR + 220) (a)(d) | | | 6.342 | % | | | 12/25/24 | | | | 968,352 | | | | 940,515 | |
FREMF Mortgage Trust, Series 2018-KF44, Class B (1* 1MO LIBOR + 215) (a)(d) | | | 6.292 | % | | | 02/25/25 | | | | 1,494,342 | | | | 1,469,927 | |
FREMF Mortgage Trust, Series 2018-KF45, Class B (1* 1MO LIBOR + 195) (a)(d) | | | 6.092 | % | | | 03/25/25 | | | | 1,600,838 | | | | 1,552,410 | |
FREMF Mortgage Trust, Series 2018-KF53, Class B (1* 1MO LIBOR + 205) (a)(d) | | | 6.192 | % | | | 10/27/25 | | | | 2,133,604 | | | | 2,092,346 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Multifamily — 10.0% continued |
FREMF Mortgage Trust, Series 2019-KF62, Class B (1* 1MO LIBOR + 205) (a)(d) | | | 6.192 | % | | | 04/25/26 | | | $ | 2,035,953 | | | $ | 1,965,817 | |
FREMF Mortgage Trust, Series 2018-KF43, Class B (1* 1MO LIBOR + 215) (a)(d) | | | 6.292 | % | | | 01/25/28 | | | | 2,254,710 | | | | 2,142,951 | |
FREMF Mortgage Trust, Series 2018-KF50, Class B (1* 1MO LIBOR + 190) (a)(d) | | | 6.042 | % | | | 07/25/28 | | | | 2,503,081 | | | | 2,267,170 | |
FREMF Mortgage Trust, Series 2019-KF57, Class B (1* 1MO LIBOR + 225) (a)(d) | | | 6.392 | % | | | 01/25/29 | | | | 4,985,850 | | | | 4,658,718 | |
FREMF Mortgage Trust, Series 2019-KF59, Class B (1* 1MO LIBOR + 235) (a)(d) | | | 6.492 | % | | | 02/25/29 | | | | 1,059,748 | | | | 985,954 | |
FREMF Mortgage Trust, Series 2019-KF61, Class B (1* 1MO LIBOR + 220) (a)(d) | | | 6.342 | % | | | 03/25/29 | | | | 2,370,875 | | | | 2,199,085 | |
FREMF Mortgage Trust, Series 2019-KF67, Class B (1* 1MO LIBOR + 225) (a)(d) | | | 6.392 | % | | | 08/25/29 | | | | 5,617,013 | | | | 5,190,173 | |
Multi Family Connecticut Avenue, Series 2019-01, Class B-10 (1* 1MO LIBOR + 550) (a)(d) | | | 9.889 | % | | | 10/15/49 | | | | 3,000,000 | | | | 2,803,320 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 47 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Multifamily — 10.0% continued |
Multi Family Connecticut Avenue, Series 2020-01, Class M-7 (1* 1MO LIBOR + 195) (a)(d) | | | 6.339 | % | | | 03/25/50 | | | $ | 491,343 | | | $ | 481,217 | |
Multi Family Connecticut Avenue, Series 2020-01, Class M-10 (1* 1MO LIBOR + 375) (a)(d) | | | 8.139 | % | | | 03/25/50 | | | | 5,000,000 | | | | 4,617,718 | |
Multi Family Connecticut Avenue, Series 2020-01, Class CE (1* 1MO LIBOR + 750) (a)(d) | | | 11.889 | % | | | 03/25/50 | | | | 3,063,000 | | | | 2,824,692 | |
MultiFamily Structured Credit Risk, Series 2021-MN2, Class M-1 (1* SOFR30A + 180) (a)(d) | | | 5.728 | % | | | 07/25/41 | | | | 16,658,240 | | | | 15,156,394 | |
MultiFamily Structured Credit Risk, Series 2021-MN2, Class M2 (1* SOFR30A + 335) (d) | | | 7.278 | % | | | 07/25/41 | | | | 16,250,000 | | | | 14,031,930 | |
MultiFamily Structured Credit Risk, Series 2021-MN1, Class M-1 (1* SOFR30A + 200) (a)(d) | | | 5.547 | % | | | 01/25/51 | | | | 7,042,866 | | | | 6,590,992 | |
MultiFamily Structured Credit Risk, Series 2021-MN1, Class M2 (1* SOFR + 400) (a)(d) | | | 7.297 | % | | | 01/25/51 | | | | 6,050,000 | | | | 5,403,098 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Multifamily — 10.0% continued |
MultiFamily Structured Credit Risk, Series 2021-MN3, Class M1 (1* SOFR30A + 230) (a)(d) | | | 5.821 | % | | | 11/25/51 | | | $ | 22,213,108 | | | $ | 20,921,036 | |
MultiFamily Structured Credit Risk, Series 2021-MN3, Class M2 (1* SOFR + 400) (a)(d) | | | 7.521 | % | | | 11/25/51 | | | | 2,400,000 | | | | 2,106,417 | |
MultiFamily Structured Credit Risk, Series 2021-MN3, Class B1 (1* SOFR + 685) (a)(d) | | | 10.371 | % | | | 11/25/51 | | | | 2,500,000 | | | | 2,165,539 | |
MultiFamily Structured Credit Risk, Series 2022-MN4, Class M1 (1* SOFR30A + 425) (a)(d) | | | 8.178 | % | | | 05/25/52 | | | | 6,776,342 | | | | 6,708,579 | |
| | | | | | | | | | | | | | | | 114,937,228 | |
Non-Agency MBS 2.0 — 0.4% |
Chase Mortgage Finance Corp., Series 2021-CL1, Class M3 (1* SOFR30A + 155) (a) | | | 5.478 | % | | | 02/25/50 | | | | 2,316,677 | | | | 1,933,369 | |
J.P. Morgan Wealth Management, Series 2021-CL1, Class M1 (1* SOFR30A + 130) (a)(d) | | | 5.228 | % | | | 02/26/71 | | | | 1,977,421 | | | | 1,742,140 | |
J.P. Morgan Wealth Management, Series 2021-CL1, Class M3 (1* SOFR30A + 180) (a)(d) | | | 5.728 | % | | | 02/26/71 | | | | 1,492,469 | | | | 1,297,097 | |
| | | | | | | | | | | | | | | | 4,972,606 | |
48 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Non-Performing Loan — 0.1% |
Cascade Funding Mortgage Trust, Series 2021-EBO1, Class M3 (a)(d) | | | 3.086 | % | | | 11/25/50 | | | $ | 1,662,000 | | | $ | 1,463,649 | |
| |
Non-QM — 0.4% |
Angel Oak Mortgage Trust, Series 2019-1, Class B1 (d) | | | 5.400 | % | | | 11/25/48 | | | | 5,250,000 | | | | 4,836,871 | |
Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A3 (a) | | | 4.074 | % | | | 08/25/34 | | | | 4,399 | | | | 4,131 | |
| | | | | | | | | | | | | | | | 4,841,002 | |
Residential Transition Loan — 7.6% |
AlphaFlow Transitional Mortgage Co., Series 2021-WL1, Class A1 (d) | | | 3.280 | % | | | 03/25/25 | | | | 10,860,181 | | | | 10,337,105 | |
AlphaFlow Transitional Mortgage Co., Series 2021-WL1, Class A2 (d) | | | 5.610 | % | | | 03/25/25 | | | | 8,237,263 | | | | 7,883,501 | |
Antler Mortgage Trust, Series 2021-RTL1, Class M (a)(d) | | | 5.438 | % | | | 05/25/25 | | | | 16,188,000 | | | | 14,018,920 | |
Corevest American Finance Ltd., Series 2021-RTL1, Class A2 (d) | | | 3.104 | % | | | 03/28/29 | | | | 7,500,000 | | | | 6,732,036 | |
LHOME Mortgage Trust, Series 2021-RTL2, Class A2 (d) | | | 2.783 | % | | | 06/25/26 | | | | 1,500,000 | | | | 1,313,909 | |
LHOME Mortgage Trust, Series 2021-RTL3, Class A2 (d) | | | 3.228 | % | | | 09/25/26 | | | | 8,250,000 | | | | 7,197,866 | |
LHOME Mortgage Trust, Series 2021-RTL1, Class M (a)(d) | | | 4.458 | % | | | 09/25/26 | | | | 2,750,000 | | | | 2,395,051 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Residential Transition Loan — 7.6% continued |
LHOME Mortgage Trust, Series 2021-RTL2, Class M (d) | | | 4.458 | % | | | 09/25/26 | | | $ | 4,000,000 | | | $ | 3,306,781 | |
LHOME Mortgage Trust, Series 2021-RTL3, Class M (d) | | | 5.193 | % | | | 09/25/26 | | | | 5,000,000 | | | | 4,261,201 | |
LHOME Mortgage Trust, Series 2022-RTL1, Class M (d) | | | 6.900 | % | | | 02/25/27 | | | | 7,250,000 | | | | 6,453,838 | |
New York Mortgage Trust, Series 2022-BPL1, Class A2 (d) | | | 4.948 | % | | | 11/25/27 | | | | 5,500,000 | | | | 5,077,341 | |
ROC Securities Trust, Series 2021-RTL1, Class A2 (d) | | | 3.351 | % | | | 08/25/26 | | | | 5,700,000 | | | | 5,031,534 | |
ROC Securities Trust, Series 2021-RTL1, Class M (d) | | | 5.682 | % | | | 08/25/26 | | | | 6,745,000 | | | | 5,746,751 | |
Toorak Mortgage Corp., Series 2022-1, Class A2 (d) | | | 4.948 | % | | | 03/25/29 | | | | 8,000,000 | | | | 7,491,807 | |
| | | | | | | | | | | | | | | | 87,247,641 | |
Retail — 1.9% |
BX Trust, Series 2021-VIEW, Class E (1* 1MO LIBOR + 360) (a)(d) | | | 7.918 | % | | | 06/15/36 | | | | 7,640,500 | | | | 6,932,778 | |
BX Trust, Series 2018-EXCL, Class C (1* 1MO LIBOR + 198) (a)(d) | | | 5.851 | % | | | 09/15/37 | | | | 1,304,780 | | | | 1,267,958 | |
Credit Suisse First Boston, Series 2018-SITE, Class C (a)(d) | | | 4.941 | % | | | 04/17/36 | | | | 4,575,000 | | | | 4,289,701 | |
Wells Fargo Mortgage Trust, Series 2021-SAVE, Class C (1* 1MO LIBOR + 180) (a)(d) | | | 6.118 | % | | | 02/15/40 | | | | 2,318,006 | | | | 2,073,590 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 49 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Retail — 1.9% continued |
Wells Fargo Mortgage Trust, Series 2021-SAVE, Class D (1* 1MO LIBOR + 250) (a)(d) | | | 6.818 | % | | | 02/15/40 | | | $ | 1,958,033 | | | $ | 1,728,567 | |
Wells Fargo Mortgage Trust, Series 2021-SAVE, Class E (1* 1MO LIBOR + 365) (a)(d) | | | 7.968 | % | | | 02/15/40 | | | | 6,226,800 | | | | 5,447,372 | |
| | | | | | | | | | | | | | | | 21,739,966 | |
Single Family Rental — 1.7% |
AMSR Trust, Series 2020-SFR2, Class G (d) | | | 4.000 | % | | | 07/17/37 | | | | 500,000 | | | | 445,957 | |
Home Partners of America Trust, Series 2021-2, Class D (d) | | | 2.652 | % | | | 12/17/26 | | | | 6,319,491 | | | | 5,226,324 | |
Progress Residential Trust, Series 2020-SFR1, Class A (d) | | | 1.732 | % | | | 04/17/37 | | | | 6,987,435 | | | | 6,370,559 | |
Progress Residential Trust, Series 2021-SFR1, Class B (d) | | | 1.303 | % | | | 04/17/38 | | | | 3,000,000 | | | | 2,560,409 | |
Progress Residential Trust, Series 2021-SFR1, Class E (d) | | | 2.106 | % | | | 04/17/38 | | | | 1,900,000 | | | | 1,599,629 | |
Progress Residential Trust, Series 2021-SFR4, Class A (d) | | | 1.558 | % | | | 05/19/38 | | | | 4,250,000 | | | | 3,700,895 | |
| | | | | | | | | | | | | | | | 19,903,773 | |
Small Business — 4.8% |
Credibility Asset Securitization, Series 2021-1A, Class A (d) | | | 2.390 | % | | | 04/15/26 | | | | 8,000,000 | | | | 7,554,886 | |
Credibility Asset Securitization, Series 2021-1A, Class C (d) | | | 3.380 | % | | | 04/15/26 | | | | 3,650,000 | | | | 3,348,493 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Small Business — 4.8% continued |
Credibility Asset Securitization, Series 2021-1A, Class B (d) | | | 5.930 | % | | | 04/15/26 | | | $ | 2,676,000 | | | $ | 2,467,426 | |
FORA Financial Asset Securitization, Series 2021-1A, Class A (d) | | | 2.620 | % | | | 05/15/27 | | | | 11,000,000 | | | | 10,029,479 | |
FORA Financial Asset Securitization, Series 2021-1A, Class B (d) | | | 2.970 | % | | | 05/15/27 | | | | 2,600,000 | | | | 2,369,771 | |
FORA Financial Asset Securitization, Series 2021-1A, Class C (d) | | | 3.850 | % | | | 05/15/27 | | | | 3,000,000 | | | | 2,727,661 | |
Newtek Small Business Loan Trust, Series 2018-1, Class A (1* Prime - 55) (a)(d) | | | 6.950 | % | | | 02/25/44 | | | | 693,397 | | | | 681,731 | |
Newtek Small Business Loan Trust, Series 2018-1, Class B (1* Prime + 75) (a)(d) | | | 8.250 | % | | | 02/25/44 | | | | 1,525,472 | | | | 1,506,202 | |
Newtek Small Business Loan Trust, Series 2019-01, Class A (1* Prime - 90) (a)(d) | | | 6.600 | % | | | 12/25/44 | | | | 1,898,525 | | | | 1,883,483 | |
Newtek Small Business Loan Trust, Series 2022-1, Class B (1* SOFR + 375) (a)(d) | | | 7.750 | % | | | 10/25/49 | | | | 2,838,379 | | | | 2,797,127 | |
OnDeck Asset Securitization Trust, Series 2021-1A, Class B (d) | | | 2.280 | % | | | 05/17/27 | | | | 3,500,000 | | | | 3,148,526 | |
OnDeck Asset Securitization Trust, Series 2021-1A, Class C (d) | | | 2.970 | % | | | 05/17/27 | | | | 3,250,000 | | | | 2,888,815 | |
50 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Small Business — 4.8% continued |
OnDeck Asset Securitization Trust, Series 2021-1A, Class D (d) | | | 4.940 | % | | | 05/17/27 | | | $ | 5,000,000 | | | $ | 4,400,604 | |
Small Business Lending Trust, Series 2020-A, Class C (d) | | | 5.010 | % | | | 12/15/26 | | | | 9,125,634 | | | | 8,858,967 | |
| | | | | | | | | | | | | | | | 54,663,171 | |
Student Loan — 0.9% |
College Ave Student Loans, Series 2018-A, Class B (d) | | | 4.750 | % | | | 12/26/47 | | | | 914,072 | | | | 856,067 | |
College Ave Student Loans, Series 2018-A, Class C (d) | | | 5.500 | % | | | 12/26/47 | | | | 557,340 | | | | 529,603 | |
College Ave Student Loans, Series 2019-A, Class C (d) | | | 4.460 | % | | | 12/28/48 | | | | 2,902,084 | | | | 2,700,456 | |
College Ave Student Loans, Series 2021-A, Class B (d) | | | 2.320 | % | | | 07/25/51 | | | | 1,991,093 | | | | 1,746,481 | |
College Ave Student Loans, Series 2021-A, Class D (d) | | | 4.120 | % | | | 07/25/51 | | | | 1,250,000 | | | | 1,119,258 | |
CommonBond Student Loan Trust, Series 2017-BGS, Class C (d) | | | 4.440 | % | | | 09/25/42 | | | | 208,008 | | | | 183,249 | |
Earnest Student Loan Program, LLC, Series 2016-D, Class R (d)(e)(g) | | | 0.000 | % | | | 01/25/41 | | | | 5,000 | | | | 0 | |
Laurel Road Prime Student Loan, Series 2019-A, Class BFX (d) | | | 3.000 | % | | | 10/25/48 | | | | 1,842,377 | | | | 1,695,525 | |
Prodigy Finance, Series 2021-1A, Class A (1* 1MO LIBOR + 125) (a)(d) | | | 5.294 | % | | | 07/25/51 | | | | 1,348,621 | | | | 1,303,109 | |
| | | | | | | | | | | | | | | | 10,133,748 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Unsecured Consumer — 12.1% |
Affirm, Inc., Series 2022-Z1, Class A (d) | | | 4.550 | % | | | 06/15/27 | | | $ | 4,362,612 | | | $ | 4,252,207 | |
Affirm, Inc., Series 2022-Z1, Class B (d) | | | 6.490 | % | | | 06/15/27 | | | | 2,500,000 | | | | 2,364,694 | |
Avant Loans Funding Trust, Series 2021-REV1, Class C (d) | | | 2.300 | % | | | 07/15/30 | | | | 10,750,000 | | | | 9,659,923 | |
Conn Funding II, LP, Series 2022-A, Class B (d) | | | 9.520 | % | | | 12/15/26 | | | | 4,000,000 | | | | 3,966,754 | |
Freedom Financial Trust, Series 2021-3FP, Class C (d) | | | 1.600 | % | | | 11/20/28 | | | | 5,300,000 | | | | 5,095,185 | |
Freedom Financial Trust, Series 2022-3FP, Class D (d) | | | 7.360 | % | | | 08/20/29 | | | | 8,500,000 | | | | 8,199,023 | |
LendingPoint Asset Securitization, Series 2022-C, Class D (d) | | | 10.730 | % | | | 02/15/30 | | | | 4,920,000 | | | | 4,711,081 | |
Lendmark Funding Trust, Series 2020-2A, Class C (d) | | | 4.690 | % | | | 04/21/31 | | | | 1,000,000 | | | | 837,032 | |
Liberty Lending Services, Series 2021-1A, Class C (d) | | | 3.540 | % | | | 05/15/29 | | | | 6,700,000 | | | | 5,925,347 | |
Mariner Finance Issuance Trust, Series 2019-A, Class C (d) | | | 4.010 | % | | | 07/20/32 | | | | 2,120,000 | | | | 1,962,868 | |
Mariner Finance Issuance Trust, Series 2020-A, Class D (d) | | | 5.750 | % | | | 08/21/34 | | | | 8,230,000 | | | | 7,060,584 | |
Mariner Finance Issuance Trust, Series 2021-AA, Class D (d) | | | 4.340 | % | | | 03/20/36 | | | | 1,850,000 | | | | 1,461,119 | |
Oportun Funding XIII, LLC, Series 2019-13, Class B (d) | | | 3.870 | % | | | 08/08/25 | | | | 978,208 | | | | 943,356 | |
Oportun Funding XIV, LLC, Series 2021-A, Class C (d) | | | 3.440 | % | | | 03/08/28 | | | | 8,175,000 | | | | 7,530,271 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 51 |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Unsecured Consumer — 12.1% continued |
Oportun Funding, LLC, Series 2022-1, Class C (d) | | | 6.000 | % | | | 06/15/29 | | | $ | 9,000,000 | | | $ | 8,597,136 | |
Oportun Funding, LLC, Series 2021-B, Class A (d) | | | 1.470 | % | | | 05/08/31 | | | | 3,500,000 | | | | 3,056,990 | |
Oportun Funding, LLC, Series 2021-B, Class C (d) | | | 3.650 | % | | | 05/08/31 | | | | 8,350,000 | | | | 7,010,187 | |
Oportun Funding, LLC, Series 2021-B, Class D (d) | | | 5.410 | % | | | 05/08/31 | | | | 7,650,000 | | | | 5,895,556 | |
Oportun Funding, LLC, Series 2021-C, Class C (d) | | | 3.610 | % | | | 10/08/31 | | | | 3,750,000 | | | | 3,177,492 | |
Oportun Funding, LLC, Series 2021-C, Class D (d) | | | 5.570 | % | | | 10/08/31 | | | | 1,750,000 | | | | 1,434,600 | |
Opportunity Funding, LLC, Series 2022-A, Class C (d) | | | 7.400 | % | | | 06/09/31 | | | | 7,600,000 | | | | 6,925,049 | |
Opportunity Funding, LLC, Series 2022-A, Class D (d) | | | 8.500 | % | | | 06/09/31 | | | | 1,500,000 | | | | 1,193,218 | |
Prosper Marketplace Issuance Trust, Series 2019-3A, Class CERT (a)(d) | | | 0.000 | % | | | 07/15/25 | | | | 81,061,702 | | | | 400,040 | |
Reach Financial, LLC, Series 2021-1A, Class B (d) | | | 2.170 | % | | | 05/15/29 | | | | 3,800,000 | | | | 3,465,991 | |
Regional Management Issuance Trust, Series 2020-1, Class A (d) | | | 2.340 | % | | | 10/15/30 | | | | 2,000,000 | | | | 1,858,891 | |
Regional Management Issuance Trust, Series 2020-1, Class B (d) | | | 3.230 | % | | | 10/15/30 | | | | 2,500,000 | | | | 2,252,804 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Unsecured Consumer — 12.1% continued |
Regional Management Issuance Trust, Series 2021-1, Class B (d) | | | 2.420 | % | | | 03/17/31 | | | $ | 895,000 | | | $ | 770,270 | |
Regional Management Issuance Trust, Series 2021-1, Class C (d) | | | 3.040 | % | | | 03/17/31 | | | | 4,650,000 | | | | 3,905,866 | |
Regional Mortgage Issuance Trust, Series 2021-1, Class D (d) | | | 5.070 | % | | | 03/17/31 | | | | 1,300,000 | | | | 1,064,910 | |
Upgrade Master Pass-Through Trust, Series 2019-ST1, Class A (d) | | | 4.000 | % | | | 07/15/25 | | | | 95,995 | | | | 95,233 | |
Upgrade Master Pass-Through Trust, Series 2019-ST3, Class A (d) | | | 3.750 | % | | | 11/15/25 | | | | 107,527 | | | | 107,374 | |
Upstart Pass-Through Trust, Series 2020-ST5, Class A (d) | | | 3.000 | % | | | 12/20/26 | | | | 971,949 | | | | 928,504 | |
Upstart Pass-Through Trust, Series 2021-ST2, Class A (d) | | | 2.500 | % | | | 04/20/27 | | | | 3,544,669 | | | | 3,313,929 | |
Upstart Pass-Through Trust, Series 2021-ST4, Class A (d) | | | 2.000 | % | | | 07/20/27 | | | | 7,674,724 | | | | 7,096,867 | |
Upstart Pass-Through Trust, Series 2021-ST5, Class A (d) | | | 2.000 | % | | | 07/20/27 | | | | 3,901,377 | | | | 3,710,863 | |
Upstart Pass-Through Trust, Series 2022-ST1, Class A (d) | | | 2.600 | % | | | 03/20/30 | | | | 2,666,910 | | | | 2,498,361 | |
Upstart Securitization Trust, Series 2021-ST1, Class A (d) | | | 2.750 | % | | | 02/20/27 | | | | 1,073,674 | | | | 1,021,854 | |
52 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 86.7% continued |
Unsecured Consumer — 12.1% continued |
Upstart Structured Pass-Through Trust, Series 2022-2A, Class A | | | 4.250 | % | | | 02/15/46 | | | $ | 4,757,581 | | | $ | 4,554,863 | |
| | | | | | | | | | | | | | | | 138,306,292 | |
| |
Total Securitized |
(Cost $1,069,821,459) | | $ | 996,148,001 | |
| |
Treasury — 6.5% |
U.S. Treasury Inflation-Protected Notes | | | 0.125 | % | | | 01/15/23 | | | | 3,227,300 | | | | 3,223,140 | |
U.S. Treasury Notes | | | 0.125 | % | | | 10/15/23 | | | | 10,000,000 | | | | 9,647,266 | |
U.S. Treasury Notes | | | 2.750 | % | | | 11/15/23 | | | | 10,000,000 | | | | 9,829,688 | |
U.S. Treasury Notes | | | 2.625 | % | | | 12/31/23 | | | | 10,000,000 | | | | 9,794,638 | |
U.S. Treasury Notes | | | 1.750 | % | | | 06/30/24 | | | | 15,000,000 | | | | 14,374,219 | |
U.S. Treasury Notes | | | 0.375 | % | | | 09/15/24 | | | | 10,000,000 | | | | 9,319,922 | |
U.S. Treasury Notes | | | 0.625 | % | | | 10/15/24 | | | | 10,000,000 | | | | 9,338,672 | |
U.S. Treasury Notes | | | 0.750 | % | | | 11/15/24 | | | | 10,000,000 | | | | 9,333,594 | |
Total Treasury |
(Cost $78,719,449) | | $ | 74,861,139 | |
| |
| | Shares | | | Fair
Value | |
Registered Investment Companies — 1.8% |
State Street Institutional Liquid Reserves Fund - Premier Class, 4.41% (h) | | | 18,792,370 | | | | 18,798,008 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (h)(i) | | | 1,335,575 | | | | 1,335,575 | |
Total Registered Investment Companies |
(Cost $20,133,108) | | $ | 20,133,583 | |
| | | | | | | | | |
Total Investment Securities — 100.8% |
(Cost $1,238,752,278) | | $ | 1,157,525,604 | |
| |
Liabilities in Excess of Other Assets — (0.8)% | | | | | | | (9,288,596 | ) |
| | | | | | | | | |
Net Assets — 100.0% | | | | | | $ | 1,148,237,008 | |
| |
(a) | Variable rate security. The rate shown is the effective interest rate as of December 31, 2022. The benchmark on which the rate is calculated is shown parenthetically, if applicable. Certain variable rate securities are not based on a published rate and spread but are determined by the issuer or agent and may be based on index changes, prerepayment of underlying positions and/or other variables. These securities do not indicate a reference rate and spread in their description above. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $2,368,503. |
(c) | Percentage rounds to less than 0.1%. |
(d) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities have been deemed liquid under procedures approved by the Fund’s Board of Trustees and may normally be sold to qualified institutional buyers in transactions exempt from registration. The total fair value of these securities as of 12/31/2022 was $987,709,933, representing 86.0% of net assets. |
(e) | Illiquid security as determined under procedures approved by the Board of Trustees. The total fair value of these securities as of December 31, 2022 was $47,146,697, representing 4.1% of net assets. |
(f) | Security fair valued under procedures established by the Board of Trustees. The total value of these securities as of December 31, 2022 was $14,352,444, representing 1.2% of net assets. |
(g) | Security is fair valued under procedures established by the Board of Trustees. The security has received its final distribution and is valued at $0, which represents 0.0% of net assets. |
(h) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(i) | This security was purchased using cash collateral held from securities on loan. |
IO — Interest Only
LIBOR — London Interbank Offered Rate
NA — National Association
PO — Principal Only
Prime — Short-term interest rate in the banking system of the U.S.
SOFR — Secured Overnight Financing Rate
TSFR — CME Term SOFR
See accompanying notes to financial statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 53 |
Diamond Hill Core Bond Fund
Schedule of Investments
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 17.3% |
Banking — 6.5% |
American Express Co. | | | 2.250 | % | | | 03/04/25 | | | $ | 400,000 | | | $ | 377,549 | |
American Express Co. | | | 3.950 | % | | | 08/01/25 | | | | 525,000 | | | | 514,310 | |
American Express Co. | | | 5.850 | % | | | 11/05/27 | | | | 250,000 | | | | 260,258 | |
Bank of America Corp. | | | 1.486 | % | | | 05/19/24 | | | | 655,000 | | | | 644,727 | |
Bank of America Corp. (1* 3MO LIBOR + 97) (a) | | | 3.458 | % | | | 03/15/25 | | | | 975,000 | | | | 949,120 | |
Bank of America Corp. (1* 3MO LIBOR + 64) (a) | | | 2.015 | % | | | 02/13/26 | | | | 400,000 | | | | 371,288 | |
Bank of America Corp. (1* SOFR + 115) (a) | | | 1.319 | % | | | 06/19/26 | | | | 150,000 | | | | 135,074 | |
Bank of America Corp. (1* 3MO LIBOR + 158) (a) | | | 3.824 | % | | | 01/20/28 | | | | 100,000 | | | | 93,312 | |
Bank of America Corp. | | | 4.948 | % | | | 07/22/28 | | | | 175,000 | | | | 170,916 | |
Bank of America Corp. | | | 6.204 | % | | | 11/10/28 | | | | 250,000 | | | | 258,118 | |
Bank of America Corp. (1* 3MO LIBOR + 104) (a) | | | 3.419 | % | | | 12/20/28 | | | | 750,000 | | | | 679,203 | |
Bank of America Corp. (1* SOFR + 215) (a) | | | 2.592 | % | | | 04/29/31 | | | | 450,000 | | | | 366,496 | |
Bank of America Corp. | | | 4.571 | % | | | 04/27/33 | | | | 700,000 | | | | 640,292 | |
Bank of Montreal France (b) | | | 0.949 | % | | | 01/22/27 | | | | 630,000 | | | | 556,220 | |
Bank of Nova Scotia | | | 3.450 | % | | | 04/11/25 | | | | 200,000 | | | | 192,467 | |
Bank of NY Mellon Corp. | | | 2.050 | % | | | 01/26/27 | | | | 650,000 | | | | 583,655 | |
Bank of NY Mellon Corp. | | | 5.834 | % | | | 10/25/33 | | | | 500,000 | | | | 518,297 | |
Capital One Financial Corp. | | | 1.878 | % | | | 11/02/27 | | | | 1,000,000 | | | | 870,894 | |
Citigroup, Inc. (1* 3MO LIBOR + 90) (a) | | | 3.352 | % | | | 04/24/25 | | | | 200,000 | | | | 193,936 | |
Citigroup, Inc. | | | 3.300 | % | | | 04/27/25 | | | | 100,000 | | | | 96,826 | |
Citigroup, Inc. | | | 0.981 | % | | | 05/01/25 | | | | 500,000 | | | | 468,220 | |
Citigroup, Inc. (1* 3MO LIBOR + 125) (a)(b) | | | 4.993 | % | | | 07/01/26 | | | | 100,000 | | | | 99,575 | |
Citigroup, Inc. | | | 5.610 | % | | | 09/29/26 | | | | 700,000 | | | | 702,994 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Banking — 6.5% continued |
Citigroup, Inc. (1* 3MO LIBOR + 156) (a) | | | 3.887 | % | | | 01/10/28 | | | $ | 900,000 | | | $ | 841,021 | |
Citigroup, Inc. | | | 3.070 | % | | | 02/24/28 | | | | 800,000 | | | | 721,223 | |
Citigroup, Inc. | | | 4.125 | % | | | 07/25/28 | | | | 150,000 | | | | 139,612 | |
Citigroup, Inc. (1* SOFR + 142) (a) | | | 2.976 | % | | | 11/05/30 | | | | 180,000 | | | | 151,349 | |
Citizens Bank NA | | | 4.575 | % | | | 08/09/28 | | | | 1,350,000 | | | | 1,303,359 | |
Comerica Bank, Series BKNT | | | 2.500 | % | | | 07/23/24 | | | | 250,000 | | | | 240,185 | |
Cooperative Rabobank UA (b)(c) | | | 2.625 | % | | | 07/22/24 | | | | 250,000 | | | | 239,786 | |
Discover Bank (b) | | | 4.650 | % | | | 09/13/28 | | | | 700,000 | | | | 656,924 | |
Discover Bank | | | 2.700 | % | | | 02/06/30 | | | | 250,000 | | | | 200,120 | |
Discover Financial Services | | | 4.100 | % | | | 02/09/27 | | | | 100,000 | | | | 94,099 | |
Fifth Third Bancorp | | | 2.375 | % | | | 01/28/25 | | | | 275,000 | | | | 260,751 | |
Fifth Third Bancorp (b) | | | 1.707 | % | | | 11/01/27 | | | | 450,000 | | | | 399,138 | |
Fifth Third Bancorp | | | 6.361 | % | | | 10/27/28 | | | | 500,000 | | | | 514,447 | |
First Horizon Bank | | | 5.750 | % | | | 05/01/30 | | | | 250,000 | | | | 242,351 | |
Goldman Sachs Group, Inc. (b) | | | 0.657 | % | | | 09/10/24 | | | | 375,000 | | | | 360,764 | |
Goldman Sachs Group, Inc. | | | 3.500 | % | | | 11/16/26 | | | | 350,000 | | | | 328,084 | |
Goldman Sachs Group, Inc. (1* SOFR + 79) (a) | | | 1.093 | % | | | 12/09/26 | | | | 250,000 | | | | 220,382 | |
Goldman Sachs Group, Inc. (3MO LIBOR + 130) (a) | | | 4.223 | % | | | 05/01/29 | | | | 650,000 | | | | 605,552 | |
Goldman Sachs Group, Inc. | | | 3.800 | % | | | 03/15/30 | | | | 500,000 | | | | 449,487 | |
Goldman Sachs Group, Inc. (1* SOFR + 128) (a) | | | 2.615 | % | | | 04/22/32 | | | | 2,100,000 | | | | 1,674,731 | |
Huntington Bancshares, Inc. | | | 2.625 | % | | | 08/06/24 | | | | 125,000 | | | | 119,976 | |
Huntington Bancshares, Inc. | | | 4.443 | % | | | 08/04/28 | | | | 750,000 | | | | 714,392 | |
Huntington Bancshares, Inc. (b) | | | 5.023 | % | | | 05/17/33 | | | | 400,000 | | | | 379,768 | |
JPMorgan Chase & Co. | | | 2.595 | % | | | 02/24/26 | | | | 200,000 | | | | 188,032 | |
JPMorgan Chase & Co. (1* SOFR + 80) (a) | | | 1.045 | % | | | 11/19/26 | | | | 500,000 | | | | 441,018 | |
54 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 17.3% continued |
Banking — 6.5% continued |
JPMorgan Chase & Co. (1* SOFR + 89) (a) | | | 1.578 | % | | | 04/22/27 | | | $ | 400,000 | | | $ | 351,465 | |
JPMorgan Chase & Co. | | | 1.470 | % | | | 09/22/27 | | | | 1,200,000 | | | | 1,038,916 | |
JPMorgan Chase & Co. (1* 3MO LIBOR + 134) (a) | | | 3.782 | % | | | 02/01/28 | | | | 100,000 | | | | 93,430 | |
JPMorgan Chase & Co. (1* 3MO LIBOR + 95) (a) | | | 3.509 | % | | | 01/23/29 | | | | 425,000 | | | | 385,701 | |
JPMorgan Chase & Co. (1* SOFR + 151) (a) | | | 2.739 | % | | | 10/15/30 | | | | 450,000 | | | | 377,377 | |
JPMorgan Chase & Co. (1* SOFR + 204) (a) | | | 2.522 | % | | | 04/22/31 | | | | 750,000 | | | | 613,715 | |
JPMorgan Chase & Co. | | | 2.545 | % | | | 11/08/32 | | | | 475,000 | | | | 375,455 | |
KeyBank NA (1* SOFR + 34) (a)(b) | | | 0.423 | % | | | 01/03/24 | | | | 500,000 | | | | 499,921 | |
KeyBank NA | | | 4.150 | % | | | 08/08/25 | | | | 250,000 | | | | 244,246 | |
KeyCorp | | | 2.550 | % | | | 10/01/29 | | | | 385,000 | | | | 324,296 | |
KeyCorp | | | 4.789 | % | | | 06/01/33 | | | | 300,000 | | | | 283,257 | |
M&T Bank Trust Co. | | | 5.400 | % | | | 11/21/25 | | | | 600,000 | | | | 603,146 | |
Morgan Stanley (1* SOFR + 46) (a)(b) | | | 0.529 | % | | | 01/25/24 | | | | 500,000 | | | | 496,646 | |
Morgan Stanley (1* 3MO LIBOR + 85) (a) | | | 3.737 | % | | | 04/24/24 | | | | 100,000 | | | | 99,459 | |
Morgan Stanley | | | 3.620 | % | | | 04/17/25 | | | | 100,000 | | | | 97,580 | |
Morgan Stanley | | | 3.875 | % | | | 01/27/26 | | | | 500,000 | | | | 484,010 | |
Morgan Stanley (b) | | | 3.125 | % | | | 07/27/26 | | | | 100,000 | | | | 93,277 | |
Morgan Stanley | | | 3.625 | % | | | 01/20/27 | | | | 100,000 | | | | 94,302 | |
Morgan Stanley, Series GMTN (1* SOFR + 114) (a) | | | 2.699 | % | | | 01/22/31 | | | | 175,000 | | | | 144,611 | |
Morgan Stanley (1* SOFR + 103) (a) | | | 1.794 | % | | | 02/13/32 | | | | 1,000,000 | | | | 751,560 | |
Morgan Stanley | | | 4.889 | % | | | 07/20/33 | | | | 1,000,000 | | | | 939,521 | |
PNC Bank NA | | | 2.700 | % | | | 10/22/29 | | | | 250,000 | | | | 210,950 | |
PNC Financial Services Group, Inc. (b) | | | 2.600 | % | | | 07/23/26 | | | | 250,000 | | | | 231,418 | |
PNC Financial Services Group, Inc. | | | 6.037 | % | | | 10/28/33 | | | | 850,000 | | | | 884,935 | |
Regions Financial Corp. (b) | | | 2.250 | % | | | 05/18/25 | | | | 275,000 | | | | 256,990 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Banking — 6.5% continued |
Royal Bank of Canada (b) | | | 1.150 | % | | | 06/10/25 | | | $ | 365,000 | | | $ | 334,096 | |
Royal Bank of Canada | | | 1.150 | % | | | 07/14/26 | | | | 200,000 | | | | 176,104 | |
Royal Bank of Canada | | | 3.875 | % | | | 05/04/32 | | | | 300,000 | | | | 273,170 | |
State Street Corp. (1* SOFR + 94) (a) | | | 2.354 | % | | | 11/01/25 | | | | 175,000 | | | | 166,907 | |
State Street Corp. | | | 4.421 | % | | | 05/13/33 | | | | 200,000 | | | | 189,249 | |
State Street Corp. (b) | | | 4.164 | % | | | 08/04/33 | | | | 100,000 | | | | 92,373 | |
Toronto-Dominion Bank (The) (b) | | | 0.750 | % | | | 01/06/26 | | | | 350,000 | | | | 309,478 | |
Toronto-Dominion Bank (The) (b) | | | 1.200 | % | | | 06/03/26 | | | | 200,000 | | | | 176,354 | |
Toronto-Dominion Bank (The) (b) | | | 3.200 | % | | | 03/10/32 | | | | 236,000 | | | | 203,189 | |
Truist Financial Corp. (b) | | | 5.900 | % | | | 10/28/26 | | | | 250,000 | | | | 255,575 | |
Truist Financial Corp. (b) | | | 1.887 | % | | | 06/07/29 | | | | 1,000,000 | | | | 837,032 | |
US Bancorp | | | 2.400 | % | | | 07/30/24 | | | | 100,000 | | | | 96,134 | |
US Bancorp | | | 2.215 | % | | | 01/27/28 | | | | 800,000 | | | | 719,088 | |
US Bancorp | | | 4.548 | % | | | 07/22/28 | | | | 300,000 | | | | 292,983 | |
Wells Fargo & Co. | | | 2.164 | % | | | 02/11/26 | | | | 1,050,000 | | | | 978,845 | |
Wells Fargo & Co. | | | 3.908 | % | | | 04/25/26 | | | | 625,000 | | | | 607,442 | |
Wells Fargo & Co. (1* SOFR + 200) (a) | | | 2.188 | % | | | 04/30/26 | | | | 500,000 | | | | 465,329 | |
Wells Fargo & Co. (1* SOFR + 210) (a) | | | 2.393 | % | | | 06/02/28 | | | | 650,000 | | | | 573,683 | |
Wells Fargo & Co. (b) | | | 3.350 | % | | | 03/02/33 | | | | 250,000 | | | | 210,599 | |
| | | | | | | | | | | | | | | | 38,164,112 | |
Basic Industry — 0.3% |
FMC Corp. (b) | | | 3.450 | % | | | 10/01/29 | | | | 300,000 | | | | 264,425 | |
Nucor Corp., CV | | | 2.000 | % | | | 06/01/25 | | | | 250,000 | | | | 232,659 | |
Nucor Corp. | | | 3.125 | % | | | 04/01/32 | | | | 250,000 | | | | 211,907 | |
PPG Industries, Inc. | | | 2.400 | % | | | 08/15/24 | | | | 110,000 | | | | 105,232 | |
PPG Industries, Inc. | | | 2.550 | % | | | 06/15/30 | | | | 300,000 | | | | 251,913 | |
Sherwin Williams Co. | | | 3.300 | % | | | 02/01/25 | | | | 350,000 | | | | 337,301 | |
Sherwin-Williams Co. (b) | | | 2.300 | % | | | 05/15/30 | | | | 250,000 | | | | 205,524 | |
| | | | | | | | | | | | | | | | 1,608,961 | |
Brokerage Asset Managers Exchanges — 0.3% |
Ameriprise Financial, Inc. | | | 3.000 | % | | | 04/02/25 | | | | 250,000 | | | | 239,464 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 55 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 17.3% continued |
Brokerage Asset Managers Exchanges — 0.3% continued |
Ameriprise Financial, Inc. (b) | | | 4.500 | % | | | 05/13/32 | | | $ | 400,000 | | | $ | 387,363 | |
CBOE Global Markets, Inc. | | | 3.650 | % | | | 01/12/27 | | | | 100,000 | | | | 95,458 | |
Charles Schwab Corp. (The) | | | 0.900 | % | | | 03/11/26 | | | | 500,000 | | | | 443,488 | |
Intercontinental Exchange, Inc. | | | 4.950 | % | | | 06/15/52 | | | | 875,000 | | | | 810,694 | |
| | | | | | | | | | | | | | | | 1,976,467 | |
Capital Goods — 0.5% |
Carrier Global Corp. | | | 2.700 | % | | | 02/15/31 | | | | 250,000 | | | | 206,314 | |
John Deere Capital Corp. | | | 4.850 | % | | | 10/11/29 | | | | 350,000 | | | | 350,341 | |
John Deere Capital Corp. | | | 4.350 | % | | | 09/15/32 | | | | 400,000 | | | | 388,577 | |
Johnson Controls International plc | | | 2.000 | % | | | 09/16/31 | | | | 500,000 | | | | 394,673 | |
L3 Harris Technologies, Inc. | | | 3.850 | % | | | 12/15/26 | | | | 50,000 | | | | 47,684 | |
Lennox International, Inc. | | | 3.000 | % | | | 11/15/23 | | | | 100,000 | | | | 98,216 | |
Lockheed Martin Corp. | | | 5.250 | % | | | 01/15/33 | | | | 425,000 | | | | 438,186 | |
Republic Services, Inc. | | | 2.500 | % | | | 08/15/24 | | | | 200,000 | | | | 191,657 | |
Waste Management, Inc., Series 19-SFR4, Class A (b) | | | 3.125 | % | | | 03/01/25 | | | | 400,000 | | | | 386,528 | |
Waste Management, Inc. | | | 1.150 | % | | | 03/15/28 | | | | 300,000 | | | | 250,578 | |
| | | | | | | | | | | | | | | | 2,752,754 | |
Communications — 1.3% |
American Tower Corp. | | | 1.450 | % | | | 09/15/26 | | | | 300,000 | | | | 261,763 | |
American Tower Corp. | | | 3.800 | % | | | 08/15/29 | | | | 100,000 | | | | 90,717 | |
American Tower Corp. | | | 2.100 | % | | | 06/15/30 | | | | 100,000 | | | | 79,155 | |
AT&T, Inc. | | | 2.300 | % | | | 06/01/27 | | | | 650,000 | | | | 578,103 | |
AT&T, Inc. | | | 2.550 | % | | | 12/01/33 | | | | 114,000 | | | | 87,610 | |
AT&T, Inc. | | | 4.500 | % | | | 05/15/35 | | | | 100,000 | | | | 90,905 | |
AT&T, Inc. | | | 4.300 | % | | | 12/15/42 | | | | 500,000 | | | | 410,197 | |
British Telecommunications plc (b)(c) | | | 3.250 | % | | | 11/08/29 | | | | 275,000 | | | | 234,283 | |
Comcast Corp. | | | 5.350 | % | | | 11/15/27 | | | | 450,000 | | | | 459,575 | |
Comcast Corp. | | | 2.650 | % | | | 02/01/30 | | | | 100,000 | | | | 86,512 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Communications — 1.3% continued |
Comcast Corp. (b) | | | 1.950 | % | | | 01/15/31 | | | $ | 1,025,000 | | | $ | 828,490 | |
Comcast Corp. | | | 3.969 | % | | | 11/01/47 | | | | 144,000 | | | | 115,038 | |
Deutsche Telekom International Finance BV (c) | | | 4.750 | % | | | 06/21/38 | | | | 100,000 | | | | 90,532 | |
Magallanes, Inc. (c) | | | 4.054 | % | | | 03/15/29 | | | | 300,000 | | | | 259,537 | |
Netflix, Inc., Class B | | | 6.375 | % | | | 05/15/29 | | | | 350,000 | | | | 360,251 | |
T Mobile USA, Inc. | | | 5.650 | % | | | 01/15/53 | | | | 400,000 | | | | 387,156 | |
T-Mobile USA, Inc. | | | 3.375 | % | | | 04/15/29 | | | | 400,000 | | | | 352,308 | |
Twenty-First Century Fox, Inc. | | | 4.030 | % | | | 01/25/24 | | | | 50,000 | | | | 49,420 | |
Verizon Communications, Inc. (1* 3MO LIBOR + 110) (a) | | | 5.706 | % | | | 05/15/25 | | | | 100,000 | | | | 100,793 | |
Verizon Communications, Inc. | | | 4.125 | % | | | 03/16/27 | | | | 100,000 | | | | 97,394 | |
Verizon Communications, Inc. | | | 3.000 | % | | | 03/22/27 | | | | 120,000 | | | | 111,503 | |
Verizon Communications, Inc. | | | 1.750 | % | | | 01/20/31 | | | | 500,000 | | | | 387,919 | |
Verizon Communications, Inc. | | | 2.355 | % | | | 03/15/32 | | | | 1,237,000 | | | | 980,572 | |
Verizon Communications, Inc. | | | 4.500 | % | | | 08/10/33 | | | | 550,000 | | | | 514,627 | |
Walt Disney Co. (The) | | | 1.750 | % | | | 08/30/24 | | | | 175,000 | | | | 166,842 | |
Walt Disney Co. (The) (b) | | | 2.000 | % | | | 09/01/29 | | | | 550,000 | | | | 461,066 | |
Walt Disney Co. (The) (b) | | | 3.800 | % | | | 03/22/30 | | | | 100,000 | | | | 93,202 | |
| | | | | | | | | | | | | | | | 7,735,470 | |
Consumer Cyclical — 1.3% |
Amazon.com, Inc. | | | 3.450 | % | | | 04/13/29 | | | | 675,000 | | | | 630,495 | |
BMW US Capital, LLC (c) | | | 3.900 | % | | | 04/09/25 | | | | 300,000 | | | | 293,517 | |
CVS Health Corp. | | | 3.750 | % | | | 04/01/30 | | | | 500,000 | | | | 453,331 | |
CVS Health Corp. | | | 5.050 | % | | | 03/25/48 | | | | 250,000 | | | | 224,386 | |
Daimler Finance, LLC (c) | | | 1.750 | % | | | 03/10/23 | | | | 275,000 | | | | 273,358 | |
Expedia Group, Inc. | | | 3.250 | % | | | 02/15/30 | | | | 500,000 | | | | 424,148 | |
Ford Motor Co. | | | 4.346 | % | | | 12/08/26 | | | | 100,000 | | | | 94,834 | |
General Motors Company | | | 5.400 | % | | | 10/15/29 | | | | 1,150,000 | | | | 1,097,442 | |
Home Depot, Inc. (b) | | | 4.500 | % | | | 09/15/32 | | | | 400,000 | | | | 390,560 | |
56 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 17.3% continued |
Consumer Cyclical — 1.3% continued |
Honda Motor Co. | | | 2.534 | % | | | 03/10/27 | | | $ | 200,000 | | | $ | 182,724 | |
Lowes Cos., Inc. | | | 2.625 | % | | | 04/01/31 | | | | 950,000 | | | | 787,134 | |
Lowes Cos., Inc. | | | 5.500 | % | | | 10/15/35 | | | | 600,000 | | | | 594,738 | |
Ross Stores, Inc. | | | 1.875 | % | | | 04/15/31 | | | | 400,000 | | | | 313,945 | |
Toyota Motor Credit Corp. | | | 0.500 | % | | | 06/18/24 | | | | 500,000 | | | | 469,068 | |
Toyota Motor Credit Corp. | | | 0.800 | % | | | 01/09/26 | | | | 300,000 | | | | 267,281 | |
Toyota Motor Credit Corp. (b) | | | 4.450 | % | | | 06/29/29 | | | | 300,000 | | | | 293,719 | |
Walgreens Boots Alliance, Inc. (b) | | | 3.200 | % | | | 04/15/30 | | | | 250,000 | | | | 216,346 | |
Walmart, Inc. (b) | | | 4.150 | % | | | 09/09/32 | | | | 400,000 | | | | 389,658 | |
| | | | | | | | | | | | | | | | 7,396,684 | |
Consumer Non-Cyclical — 1.2% |
Abbott Laboratories | | | 4.750 | % | | | 11/30/36 | | | | 100,000 | | | | 98,984 | |
AbbVie, Inc. | | | 3.600 | % | | | 05/14/25 | | | | 500,000 | | | | 484,573 | |
AbbVie, Inc. | | | 2.950 | % | | | 11/21/26 | | | | 335,000 | | | | 311,545 | |
AbbVie, Inc. (b) | | | 3.200 | % | | | 11/21/29 | | | | 750,000 | | | | 676,105 | |
AbbVie, Inc. | | | 4.550 | % | | | 03/15/35 | | | | 100,000 | | | | 93,508 | |
Amgen, Inc. | | | 1.900 | % | | | 02/21/25 | | | | 310,000 | | | | 290,834 | |
Amgen, Inc. | | | 3.000 | % | | | 02/22/29 | | | | 500,000 | | | | 442,751 | |
Amgen, Inc. | | | 4.200 | % | | | 03/01/33 | | | | 400,000 | | | | 370,051 | |
Anheuser-Busch Cos., LLC | | | 4.700 | % | | | 02/01/36 | | | | 900,000 | | | | 849,999 | |
Anheuser-Busch InBev SA/NV | | | 3.500 | % | | | 06/01/30 | | | | 300,000 | | | | 273,098 | |
Baxter International, Inc. | | | 1.915 | % | | | 02/01/27 | | | | 300,000 | | | | 265,976 | |
Bristol-Myers Squibb Co. (b) | | | 2.950 | % | | | 03/15/32 | | | | 300,000 | | | | 260,991 | |
Constellation Brands, Inc. | | | 3.150 | % | | | 08/01/29 | | | | 525,000 | | | | 460,087 | |
Kroger Co. (The) (b) | | | 2.650 | % | | | 10/15/26 | | | | 100,000 | | | | 91,786 | |
Kroger Co. (The) | | | 2.200 | % | | | 05/01/30 | | | | 125,000 | | | | 101,433 | |
Kroger Co. (The) (b) | | | 1.700 | % | | | 01/15/31 | | | | 550,000 | | | | 424,028 | |
Laboratory Corp. of American Holdings | | | 1.550 | % | | | 06/01/26 | | | | 375,000 | | | | 332,126 | |
Mondelez International, Inc. (c) | | | 1.250 | % | | | 09/24/26 | | | | 300,000 | | | | 260,736 | |
Mondelez International, Inc. (b) | | | 3.000 | % | | | 03/17/32 | | | | 300,000 | | | | 256,615 | |
Zoetis, Inc., Series 4006 | | | 2.000 | % | | | 05/15/30 | | | | 525,000 | | | | 426,055 | |
Zoetis, Inc. | | | 5.600 | % | | | 11/16/32 | | | | 425,000 | | | | 440,566 | |
| | | | | | | | | | | | | | | | 7,211,847 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Electric — 1.4% |
Ameren Corp. | | | 2.500 | % | | | 09/15/24 | | | $ | 130,000 | | | $ | 124,340 | |
American Electric Power, Inc. | | | 1.000 | % | | | 11/01/25 | | | | 500,000 | | | | 446,547 | |
CMS Energy Corp. | | | 2.950 | % | | | 02/15/27 | | | | 100,000 | | | | 89,545 | |
Dominion Energy, Inc. | | | 1.450 | % | | | 04/15/26 | | | | 750,000 | | | | 667,697 | |
DTE Energy Co., Series C | | | 2.529 | % | | | 10/01/24 | | | | 150,000 | | | | 143,380 | |
DTE Energy Co., Series E | | | 2.850 | % | | | 10/01/26 | | | | 100,000 | | | | 92,130 | |
DTE Energy Co., Series H | | | 2.950 | % | | | 03/01/30 | | | | 125,000 | | | | 106,196 | |
Duke Energy Corp. | | | 4.300 | % | | | 03/15/28 | | | | 825,000 | | | | 793,835 | |
Duke Energy Indiana, LLC | | | 2.750 | % | | | 04/01/50 | | | | 370,000 | | | | 232,285 | |
Duke Energy Progress, Inc. | | | 2.000 | % | | | 08/15/31 | | | | 600,000 | | | | 474,109 | |
Georgia Power Co., Series 2020-A (b) | | | 2.100 | % | | | 07/30/23 | | | | 230,000 | | | | 226,000 | |
MidAmerican Energy Co. | | | 3.650 | % | | | 04/15/29 | | | | 350,000 | | | | 327,237 | |
NextEra Energy Cap Holdings, Inc. | | | 4.625 | % | | | 07/15/27 | | | | 1,535,000 | | | | 1,509,297 | |
Northern States Power Co. of Wisconsin | | | 2.250 | % | | | 04/01/31 | | | | 500,000 | | | | 415,136 | |
Oncor Electric Delivery Co., LLC | | | 3.750 | % | | | 04/01/45 | | | | 490,000 | | | | 393,919 | |
PECO Energy Co. | | | 3.000 | % | | | 09/15/49 | | | | 200,000 | | | | 136,500 | |
PPL Electric Utilities Corp. | | | 3.000 | % | | | 10/01/49 | | | | 160,000 | | | | 107,890 | |
Public Service Co. of Colorado | | | 4.500 | % | | | 06/01/52 | | | | 400,000 | | | | 358,978 | |
Public Service Electric & Gas Co. | | | 2.250 | % | | | 09/15/26 | | | | 100,000 | | | | 90,816 | |
Southwestern Electric Power Co. | | | 2.750 | % | | | 10/01/26 | | | | 100,000 | | | | 92,026 | |
WEC Energy Group, Inc. | | | 0.800 | % | | | 03/15/24 | | | | 700,000 | | | | 663,172 | |
Wisconsin Power & Light Co. (b) | | | 1.950 | % | | | 09/16/31 | | | | 800,000 | | | | 627,587 | |
| | | | | | | | | | | | | | | | 8,118,622 | |
Energy — 0.6% |
Coterra Energy, Inc. | | | 3.900 | % | | | 05/15/27 | | | | 100,000 | | | | 93,372 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 57 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 17.3% continued |
Energy — 0.6% continued |
Diamondback Energy, Inc. | | | 3.250 | % | | | 12/01/26 | | | $ | 200,000 | | | $ | 186,019 | |
Diamondback Energy, Inc. | | | 6.250 | % | | | 03/15/53 | | | | 500,000 | | | | 483,178 | |
Energy Transfer Operating LP | | | 4.500 | % | | | 04/15/24 | | | | 75,000 | | | | 73,932 | |
Exxon Mobil Corp. | | | 2.992 | % | | | 03/19/25 | | | | 240,000 | | | | 231,169 | |
Exxon Mobil Corp. | | | 3.043 | % | | | 03/01/26 | | | | 250,000 | | | | 238,441 | |
Helmerich & Payne, Inc. | | | 2.900 | % | | | 09/29/31 | | | | 650,000 | | | | 527,556 | |
Marathon Petroleum Corp. | | | 5.000 | % | | | 09/15/54 | | | | 750,000 | | | | 625,860 | |
Phillips 66 (c) | | | 2.450 | % | | | 12/15/24 | | | | 100,000 | | | | 93,927 | |
Phillips 66 (c) | | | 3.550 | % | | | 10/01/26 | | | | 100,000 | | | | 93,792 | |
Royal Dutch Shell plc | | | 2.375 | % | | | 11/07/29 | | | | 645,000 | | | | 557,438 | |
Shell International Finance BV | | | 6.375 | % | | | 12/15/38 | | | | 73,000 | | | | 80,261 | |
Total Capital International SA | | | 2.829 | % | | | 01/10/30 | | | | 120,000 | | | | 105,919 | |
| | | | | | | | | | | | | | | | 3,390,864 | |
Insurance — 1.7% |
Athene Global Funding (c) | | | 2.500 | % | | | 01/14/25 | | | | 225,000 | | | | 210,713 | |
Berkshire Hathaway Financial Corp. | | | 4.400 | % | | | 05/15/42 | | | | 135,000 | | | | 123,125 | |
Equitable Financial Life (c) | | | 1.800 | % | | | 03/08/28 | | | | 609,000 | | | | 506,575 | |
Lincoln National Corp. (b) | | | 3.625 | % | | | 12/12/26 | | | | 100,000 | | | | 93,673 | |
MassMutual Global Funding (c) | | | 1.200 | % | | | 07/16/26 | | | | 400,000 | | | | 352,057 | |
MassMutual Global Funding (c) | | | 2.150 | % | | | 03/09/31 | | | | 500,000 | | | | 397,523 | |
MassMutual Glocal Funding (c) | | | 4.150 | % | | | 08/26/25 | | | | 500,000 | | | | 489,104 | |
Met Life Global Funding I (c) | | | 4.300 | % | | | 08/25/29 | | | | 1,000,000 | | | | 949,928 | |
Met Life Global Funding I (b)(c) | | | 1.550 | % | | | 01/07/31 | | | | 900,000 | | | | 697,952 | |
Met Tower Global Funding (c) | | | 3.700 | % | | | 06/13/25 | | | | 350,000 | | | | 339,364 | |
New York Life Global Funding (c) | | | 2.900 | % | | | 01/17/24 | | | | 100,000 | | | | 97,791 | |
New York Life Global Funding (c) | | | 2.350 | % | | | 07/14/26 | | | | 50,000 | | | | 46,001 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Insurance — 1.7% continued |
New York Life Global Funding (b)(c) | | | 1.200 | % | | | 08/07/30 | | | $ | 1,250,000 | | | $ | 957,566 | |
Northwestern Mutual Global Funding (c) | | | 4.000 | % | | | 07/01/25 | | | | 400,000 | | | | 392,129 | |
Northwestern Mutual Global Funding (c) | | | 4.350 | % | | | 09/15/27 | | | | 400,000 | | | | 389,438 | |
Pacific Life Global Fund II (c) | | | 1.450 | % | | | 01/20/28 | | | | 500,000 | | | | 409,819 | |
Pricoa Global Funding (c) | | | 3.450 | % | | | 09/01/23 | | | | 160,000 | | | | 158,213 | |
Principal Life Global Funding II (c) | | | 1.250 | % | | | 06/23/25 | | | | 525,000 | | | | 477,461 | |
Principal Life Global Funding II (b)(c) | | | 0.875 | % | | | 01/12/26 | | | | 500,000 | | | | 440,337 | |
Progressive Corp. | | | 3.200 | % | | | 03/26/30 | | | | 240,000 | | | | 215,347 | |
Protective Life Global Funding (c) | | | 3.218 | % | | | 03/28/25 | | | | 285,000 | | | | 271,576 | |
Protective Life Global Funding (c) | | | 1.900 | % | | | 07/05/28 | | | | 650,000 | | | | 540,186 | |
Protective Life Global Funding (b)(c) | | | 1.737 | % | | | 09/21/30 | | | | 1,100,000 | | | | 837,320 | |
UnitedHealth Group, Inc. | | | 5.350 | % | | | 02/15/33 | | | | 250,000 | | | | 257,922 | |
UnitedHealth Group, Inc. | | | 4.750 | % | | | 05/15/52 | | | | 400,000 | | | | 369,195 | |
| | | | | | | | | | | | | | | | 10,020,315 | |
Natural Gas — 0.2% |
Atmos Energy Corp. | | | 2.625 | % | | | 09/15/29 | | | | 310,000 | | | | 268,907 | |
Atmos Energy Corp. | | | 4.125 | % | | | 03/15/49 | | | | 885,000 | | | | 723,758 | |
| | | | | | | | | | | | | | | | 992,665 | |
Other Utility — 0.2% |
American Water Capital Corp. | | | 2.800 | % | | | 05/01/30 | | | | 300,000 | | | | 259,390 | |
American Water Capital Corp. | | | 2.300 | % | | | 06/01/31 | | | | 825,000 | | | | 676,653 | |
| | | | | | | | | | | | | | | | 936,043 | |
REITS — 0.6% |
Alexandria Real Estate Equities, Inc. | | | 3.950 | % | | | 01/15/28 | | | | 100,000 | | | | 93,879 | |
58 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Corporate Credit — 17.3% continued |
REITS — 0.6% continued |
American Homes 4 Rent | | | 4.250 | % | | | 02/15/28 | | | $ | 100,000 | | | $ | 92,466 | |
Boston Properties LP | | | 2.750 | % | | | 10/01/26 | | | | 50,000 | | | | 45,029 | |
CubeSmart LP | | | 2.250 | % | | | 12/15/28 | | | | 1,600,000 | | | | 1,318,658 | |
ERP Operating LP | | | 2.850 | % | | | 11/01/26 | | | | 100,000 | | | | 92,652 | |
ERP Operating LP | | | 2.500 | % | | | 02/15/30 | | | | 150,000 | | | | 125,120 | |
Life Storage LP | | | 3.875 | % | | | 12/15/27 | | | | 100,000 | | | | 92,528 | |
Public Storage (b) | | | 1.850 | % | | | 05/01/28 | | | | 800,000 | | | | 686,285 | |
Realty Income Corp. | | | 3.875 | % | | | 04/15/25 | | | | 100,000 | | | | 97,970 | |
Realty Income Corp. | | | 0.750 | % | | | 03/15/26 | | | | 625,000 | | | | 543,222 | |
Realty Income Corp. | | | 3.000 | % | | | 01/15/27 | | | | 100,000 | | | | 92,445 | |
Spirit Realty LP | | | 4.450 | % | | | 09/15/26 | | | | 100,000 | | | | 95,491 | |
Spirit Realty LP | | | 2.100 | % | | | 03/15/28 | | | | 250,000 | | | | 203,835 | |
Spirit Realty LP | | | 4.000 | % | | | 07/15/29 | | | | 60,000 | | | | 52,074 | |
Spirit Realty LP | | | 3.200 | % | | | 02/15/31 | | | | 250,000 | | | | 199,595 | |
| | | | | | | | | | | | | | | | 3,831,249 | |
Technology — 0.6% |
Apple, Inc. | | | 2.200 | % | | | 09/11/29 | | | | 250,000 | | | | 216,139 | |
Apple, Inc. | | | 1.650 | % | | | 05/11/30 | | | | 300,000 | | | | 245,023 | |
Apple, Inc. | | | 4.100 | % | | | 08/08/62 | | | | 425,000 | | | | 353,265 | |
Dell International LLC / EMC Corp. | | | 5.300 | % | | | 10/01/29 | | | | 100,000 | | | | 97,800 | |
Fidelity National Information Services | | | 1.650 | % | | | 03/01/28 | | | | 300,000 | | | | 248,353 | |
HP, Inc. | | | 4.200 | % | | | 04/15/32 | | | | 400,000 | | | | 343,915 | |
Oracle Corp. | | | 3.250 | % | | | 05/15/30 | | | | 500,000 | | | | 434,134 | |
Oracle Corp. | | | 2.875 | % | | | 03/25/31 | | | | 500,000 | | | | 414,564 | |
Oracle Corp. | | | 6.900 | % | | | 11/09/52 | | | | 250,000 | | | | 267,456 | |
QUALCOMM, Inc. | | | 6.000 | % | | | 05/20/53 | | | | 425,000 | | | | 451,380 | |
Visa, Inc. | | | 3.150 | % | | | 12/14/25 | | | | 800,000 | | | | 771,258 | |
| | | | | | | | | | | | | | | | 3,843,287 | |
Transportation — 0.6% |
Alaska Airlines Pass-Through Trust, Series 2020-1B, Class A (c) | | | 4.800 | % | | | 08/15/27 | | | | 126,484 | | | | 120,383 | |
American Airlines Pass-Through Trust, Series 2016-2, Class AA | | | 3.200 | % | | | 12/15/29 | | | | 323,775 | | | | 280,785 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Transportation — 0.6% continued |
Burlington North Santa Fe, LLC | | | 5.050 | % | | | 03/01/41 | | | $ | 500,000 | | | $ | 487,873 | |
CSX Corp. | | | 4.250 | % | | | 11/01/66 | | | | 100,000 | | | | 78,416 | |
FedEx Corp. (b) | | | 2.400 | % | | | 05/15/31 | | | | 500,000 | | | | 404,367 | |
FedEx Corp., Series 2020-1, Class AA, CV | | | 1.875 | % | | | 02/20/34 | | | | 468,854 | | | | 384,259 | |
Kirby Corp. | | | 4.200 | % | | | 03/01/28 | | | | 100,000 | | | | 90,634 | |
Norfolk Southern Corp. (b) | | | 3.000 | % | | | 03/15/32 | | | | 600,000 | | | | 512,261 | |
Ryder System, Inc. | | | 2.850 | % | | | 03/01/27 | | | | 500,000 | | | | 451,352 | |
Southwest Airlines Co. (b) | | | 2.625 | % | | | 02/10/30 | | | | 400,000 | | | | 331,890 | |
U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | 7.125 | % | | | 04/22/25 | | | | 24,045 | | | | 24,163 | |
United Airlines Pass-Through Trust, Series 2020-1B, Class B | | | 4.875 | % | | | 07/15/27 | | | | 381,000 | | | | 362,478 | |
United Airlines Pass-Through Trust, Series 2020-1, Class A | | | 5.875 | % | | | 04/15/29 | | | | 237,115 | | | | 233,783 | |
| | | | | | | | | | | | | | | �� | 3,762,644 | |
| |
Total Corporate Credit |
(Cost $111,536,675) | | $ | 101,741,984 | |
| |
Government Related — 0.2% |
Government Owned, No Guarantee — 0.2% |
Tennessee Valley Authority | | | 4.250 | % | | | 09/15/52 | | | | 500,000 | | | | 442,343 | |
Tennessee Valley Authority | | | 4.625 | % | | | 09/15/60 | | | | 525,000 | | | | 490,725 | |
Total Government Related |
(Cost $1,250,475) | | $ | 933,068 | |
| |
Securitized — 65.7% |
ABS-Other — 3.5% |
BXG Receivables Note Trust, Series 2018-A, Class C (c) | | | 4.440 | % | | | 02/02/34 | | | | 217,100 | | | | 201,171 | |
Cascade Funding Mortgage Trust, Series 2021-GRN1, Class B (c) | | | 1.830 | % | | | 03/20/41 | | | | 1,000,000 | | | | 835,165 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 59 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
ABS-Other — 3.5% continued |
Diamond Resorts Owner Trust, Series 2019-1, Class B (c) | | | 3.530 | % | | | 02/20/32 | | | $ | 62,600 | | | $ | 61,063 | |
Diamond Resorts Owner Trust, Series 2021-1A, Class B (c) | | | 2.050 | % | | | 11/21/33 | | | | 312,595 | | | | 283,484 | |
Diamond Resorts Owner Trust, Series 2021-1A, Class C (c) | | | 2.700 | % | | | 11/21/33 | | | | 237,572 | | | | 216,371 | |
FMC GMSR Issuer Trust, Series 2020-GT1, Class A (a)(c) | | | 4.450 | % | | | 01/25/26 | | | | 1,750,000 | | | | 1,528,705 | |
FMC GMSR Issuer Trust, Series 2021-GT1, Class A (a)(c) | | | 3.620 | % | | | 07/25/26 | | | | 2,700,000 | | | | 2,192,811 | |
FMC GMSR Issuer Trust, Series 2021-GT2, Class A (c) | | | 3.850 | % | | | 10/26/26 | | | | 2,440,000 | | | | 1,956,773 | |
FMC GMSR Issuer Trust, Series 2022-GT2, Class A (c) | | | 7.900 | % | | | 07/25/27 | | | | 2,350,000 | | | | 2,212,048 | |
Gold Key Resorts, LLC, Series 2014-A, Class A (c) | | | 3.220 | % | | | 03/17/31 | | | | 8,441 | | | | 8,296 | |
GoodGreen Trust, Series 2017-1A, Class A (c) | | | 3.740 | % | | | 10/15/52 | | | | 175,097 | | | | 162,198 | |
GoodGreen Trust, Series 2017-2A, Class A (c) | | | 3.260 | % | | | 10/15/53 | | | | 648,805 | | | | 582,900 | |
GoodGreen Trust, Series 2020-1A, Class A (c) | | | 2.630 | % | | | 04/15/55 | | | | 282,159 | | | | 232,081 | |
Helios Issuer, LLC, Series 2019-AA, Class A (c) | | | 3.750 | % | | | 06/20/46 | | | | 93,676 | | | | 83,256 | |
Helios Issuer, LLC, Series 2020-4, Class A (c) | | | 2.980 | % | | | 06/20/47 | | | | 226,398 | | | | 193,333 | |
Helios Issuer, LLC, Series 2021-A, Class A (c) | | | 1.800 | % | | | 02/20/48 | | | | 530,553 | | | | 431,759 | |
Hero Funding Trust, Series 2016-2A, Class A (c) | | | 3.750 | % | | | 09/20/41 | | | | 91,439 | | | | 89,301 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
ABS-Other — 3.5% continued |
Hero Funding Trust, Series 2016-3A, Class A1 (c) | | | 3.080 | % | | | 09/20/42 | | | $ | 137,337 | | | $ | 128,391 | |
Hero Funding Trust, Series 2016-4A, Class A1 (c) | | | 3.570 | % | | | 09/20/47 | | | | 129,067 | | | | 122,104 | |
Hero Funding Trust, Series 2016-4B, Class B (c) | | | 4.990 | % | | | 09/20/47 | | | | 86,663 | | | | 83,127 | |
Hero Funding Trust, Series 2017-3A, Class A1 (c) | | | 3.190 | % | | | 09/20/48 | | | | 115,714 | | | | 105,453 | |
Hero Funding Trust, Series 2017-3A, Class A2 (c) | | | 3.950 | % | | | 09/20/48 | | | | 423,342 | | | | 390,968 | |
Hero Funding Trust, Series 2018-1A, Class A2 (c) | | | 4.670 | % | | | 09/20/48 | | | | 45,059 | | | | 42,770 | |
Holiday Inn Timeshare Trust, Series 2020-A, Class C (c) | | | 3.420 | % | | | 10/09/39 | | | | 329,784 | | | | 302,282 | |
Loanpal Solar Loan Ltd., Series 2020-3GS, Class B (c) | | | 3.450 | % | | | 12/20/47 | | | | 543,482 | | | | 407,308 | |
Loanpal Solar Loan Ltd., Series 2021-1GS, Class A (c) | | | 2.290 | % | | | 01/20/48 | | | | 515,779 | | | | 392,258 | |
Loanpal Solar Loan Ltd., Series 2021-1GS, Class B (c) | | | 2.840 | % | | | 01/20/48 | | | | 829,901 | | | | 615,927 | |
Loanpal Solar Loan Ltd., Series 2021-2GS, Class A (c) | | | 2.220 | % | | | 03/20/48 | | | | 763,391 | | | | 558,249 | |
Mill City Solar Loan Ltd., Series 2019-2GS, Class A (c) | | | 3.690 | % | | | 07/20/43 | | | | 129,514 | | | | 116,189 | |
Mosaic Solar Loans, LLC, Series 2018-1, Class A (c) | | | 4.010 | % | | | 06/22/43 | | | | 71,627 | | | | 66,064 | |
60 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
ABS-Other — 3.5% continued |
Mosaic Solar Loans, LLC, Series 2017-2, Class B (c) | | | 4.770 | % | | | 06/22/43 | | | $ | 41,650 | | | $ | 38,714 | |
Mosaic Solar Loans, LLC, Series 2020-1, Class A (c) | | | 2.100 | % | | | 04/20/46 | | | | 276,660 | | | | 240,158 | |
NRZ Excess Spread Collateralization, Series 2021-GNT1, Class A (c) | | | 3.474 | % | | | 11/25/26 | | | | 609,764 | | | | 536,825 | |
PNMAC GMSR Issuer Trust, Series 2018-GT2, Class NT (1* 1MO LIBOR + 265) (a)(c) | | | 7.039 | % | | | 08/25/23 | | | | 1,000,000 | | | | 981,517 | |
PNMAC GMSR Issuer Trust, Series 2022-GT1, Class A (1* SOFR30A + 425) (a)(c) | | | 8.178 | % | | | 05/25/27 | | | | 1,500,000 | | | | 1,417,750 | |
Renew Financial, LLC, Series 2017-1, Class A (c) | | | 3.670 | % | | | 09/20/52 | | | | 293,736 | | | | 265,590 | |
Renew Financial, LLC, Series 2017-1, Class B (c) | | | 5.750 | % | | | 09/20/52 | | | | 29,966 | | | | 27,870 | |
Renew Financial, LLC, Series 2017-2, Class A (c) | | | 3.220 | % | | | 09/22/53 | | | | 32,403 | | | | 28,416 | |
SPS Servicer Advance Receivables, Series 2020-T2, Class D (c) | | | 3.160 | % | | | 11/15/55 | | | | 994,000 | | | | 834,695 | |
Sunnova Solar Issuer, LLC, Series 2020-2A, Class A (c) | | | 2.730 | % | | | 11/01/55 | | | | 1,044,019 | | | | 818,936 | |
Westgate Resorts, Series 2020-1A, Class C (c) | | | 6.213 | % | | | 03/20/34 | | | | 555,982 | | | | 547,507 | |
| | | | | | | | | | | | | | | | 20,339,783 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency CMBS — 1.8% |
FARM Mortgage Trust, Series 2021-1, Class A (c) | | | 2.180 | % | | | 01/25/51 | | | $ | 5,582,152 | | | $ | 4,747,905 | |
Farmer Mac Agricultural Real Estate, Series 2022-1, Class A (c) | | | 2.540 | % | | | 07/25/51 | | | | 3,447,741 | | | | 2,918,843 | |
FNMA, Pool #FN BM6011 | | | 3.353 | % | | | 11/01/26 | | | | 596,605 | | | | 571,852 | |
FNMA, Pool #FN AN3598 | | | 2.550 | % | | | 12/01/28 | | | | 264,772 | | | | 240,463 | |
FNMA, Pool #FN BL4548 | | | 2.430 | % | | | 10/01/29 | | | | 187,262 | | | | 166,575 | |
FNMA, Pool #FN 464107 | | | 4.820 | % | | | 12/01/29 | | | | 107,040 | | | | 108,040 | |
FNMA, Pool #FN AM9491 | | | 3.550 | % | | | 08/01/30 | | | | 167,010 | | | | 156,303 | |
FNMA, Pool #FN AN6149 | | | 3.140 | % | | | 07/01/32 | | | | 750,000 | | | | 668,536 | |
FNMA, Pool #FN AN7612 | | | 3.280 | % | | | 12/01/32 | | | | 250,000 | | | | 226,023 | |
FNMA, Pool #FN 469130 | | | 4.870 | % | | | 10/01/41 | | | | 123,515 | | | | 119,125 | |
FNMA, Pool #FN AM5015 | | | 4.940 | % | | | 12/01/43 | | | | 738,295 | | | | 717,330 | |
| | | | | | | | | | | | | | | | 10,640,995 | |
Agency MBS CMO — 22.4% |
FHLMC, Series 306, Class F3, Pool #S2-0432 (1* 1MO LIBOR + 30) (a) | | | 4.618 | % | | | 05/15/28 | | | | 46,031 | | | | 45,848 | |
FHLMC, Series 4847, Class CV | | | 3.500 | % | | | 02/15/30 | | | | 374,761 | | | | 359,957 | |
FHLMC, Series 2646, Class ZH | | | 5.000 | % | | | 07/15/33 | | | | 131,741 | | | | 131,958 | |
FHLMC, Series 4265, Class FD (1* 1MO LIBOR + 40) (a) | | | 4.718 | % | | | 01/15/35 | | | | 216,569 | | | | 212,746 | |
FHLMC, Series 2006-71, Class ZH | | | 6.000 | % | | | 07/25/36 | | | | 252,029 | | | | 259,898 | |
FHLMC, Series 4613, Class AF (1* 1MO LIBOR + 110) (a) | | | 5.418 | % | | | 11/15/37 | | | | 322,221 | | | | 321,245 | |
FHLMC, Series 3605, Class PB | | | 4.500 | % | | | 11/15/39 | | | | 61,789 | | | | 59,802 | |
FHLMC, Series 3617, Class PC | | | 4.500 | % | | | 12/15/39 | | | | 76,930 | | | | 74,485 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 61 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Agency MBS CMO — 22.4% continued |
FHLMC, Series 3740, Class FC (1* 1MO LIBOR + 50) (a) | | | 4.818 | % | | | 10/15/40 | | | $ | 70,058 | | | $ | 68,451 | |
FHLMC, Series 3759, Class ME | | | 4.000 | % | | | 11/15/40 | | | | 499,243 | | | | 465,967 | |
FHLMC, Series 3811, Class TA | | | 5.000 | % | | | 02/15/41 | | | | 262,142 | | | | 262,589 | |
FHLMC, Series 3895, Class BF (1* 1MO LIBOR + 50) (a) | | | 4.818 | % | | | 07/15/41 | | | | 72,927 | | | | 71,555 | |
FHLMC, Series 3959, Class PZ | | | 4.500 | % | | | 11/15/41 | | | | 3,642,263 | | | | 3,473,288 | |
FHLMC, Series 4074, Class JY | | | 2.500 | % | | | 07/15/42 | | | | 475,000 | | | | 402,155 | |
FHLMC, Series 4116, Class YC | | | 2.500 | % | | | 10/15/42 | | | | 1,208,000 | | | | 930,582 | |
FHLMC, Series 5149, Class CA | | | 2.000 | % | | | 01/15/43 | | | | 1,049,335 | | | | 732,327 | |
FHLMC, Series 4165, Class ZT | | | 3.000 | % | | | 02/15/43 | | | | 6,697,564 | | | | 5,336,060 | |
FHLMC, Series 4183, Class NQ | | | 3.000 | % | | | 03/15/43 | | | | 2,920,000 | | | | 2,558,715 | |
FHLMC, Series 4180, Class ZB | | | 3.000 | % | | | 03/15/43 | | | | 168,240 | | | | 122,774 | |
FHLMC, Series 4210, Class Z | | | 3.000 | % | | | 05/15/43 | | | | 328,886 | | | | 260,835 | |
FHLMC, Series 4447, Class YZ | | | 4.000 | % | | | 08/15/43 | | | | 1,219,925 | | | | 1,163,548 | |
FHLMC, Series 4333, Class GL | | | 3.500 | % | | | 04/15/44 | | | | 250,000 | | | | 216,766 | |
FHLMC, Series 4408, Class BC | | | 3.000 | % | | | 11/15/44 | | | | 1,020,410 | | | | 805,217 | |
FHLMC, Series 4673, Class PH | | | 3.500 | % | | | 01/15/45 | | | | 242,347 | | | | 233,034 | |
FHLMC, Series 4473, Class Z | | | 3.000 | % | | | 05/15/45 | | | | 401,632 | | | | 311,032 | |
FHLMC, Series 4531, Class PZ | | | 3.500 | % | | | 11/15/45 | | | | 1,401,295 | | | | 1,241,659 | |
FHLMC, Series 4623, Class BZ | | | 3.500 | % | | | 10/15/46 | | | | 4,103,433 | | | | 3,775,136 | |
FHLMC, Series 4738, Class TW | | | 3.000 | % | | | 11/15/46 | | | | 1,385,000 | | | | 1,228,980 | |
FHLMC, Series 4857, Class H | | | 4.000 | % | | | 11/15/46 | | | | 227,635 | | | | 222,997 | |
FHLMC, Series 4710, Class GZ | | | 3.000 | % | | | 01/15/47 | | | | 4,341,123 | | | | 3,495,089 | |
FHLMC, Series 5099, Class CM | | | 2.000 | % | | | 07/25/47 | | | | 3,750,000 | | | | 2,615,810 | |
FHLMC, Series 4736, Class CL | | | 3.000 | % | | | 12/15/47 | | | | 441,240 | | | | 367,288 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS CMO — 22.4% continued |
FHLMC, Series 4753, Class EZ | | | 3.500 | % | | | 12/15/47 | | | $ | 2,088,726 | | | $ | 1,890,947 | |
FHLMC, Series 4750, Class KZ | | | 3.500 | % | | | 01/15/48 | | | | 1,548,226 | | | | 1,413,798 | |
FHLMC, Series 4745, Class CZ | | | 3.500 | % | | | 01/15/48 | | | | 1,190,943 | | | | 1,042,639 | |
FHLMC, Series 4768, Class ZH | | | 3.000 | % | | | 03/15/48 | | | | 1,535,242 | | | | 1,344,836 | |
FHLMC, Series 4801, Class ZN | | | 4.000 | % | | | 05/15/48 | | | | 901,541 | | | | 847,208 | |
FHLMC, Series 4941, Class NW | | | 2.500 | % | | | 05/25/49 | | | | 758,520 | | | | 506,792 | |
FHLMC, Series 4911, Class JM | | | 3.500 | % | | | 09/25/49 | | | | 1,000,000 | | | | 778,814 | |
FHLMC, Series 5159, Class WZ | | | 2.000 | % | | | 01/25/50 | | | | 657,143 | | | | 379,800 | |
FHLMC, Series 5057, Class DN | | | 2.000 | % | | | 03/25/50 | | | | 1,000,000 | | | | 826,203 | |
FHLMC, Series 5129, Class DM | | | 1.000 | % | | | 08/25/50 | | | | 1,525,689 | | | | 1,158,879 | |
FHLMC, Series 5011, Class DB | | | 2.000 | % | | | 09/25/50 | | | | 262,000 | | | | 148,826 | |
FHLMC, Series 5028, Class PW | | | 1.500 | % | | | 10/25/50 | | | | 684,000 | | | | 415,041 | |
FHLMC, Series 5039, Class JL | | | 1.250 | % | | | 11/25/50 | | | | 1,457,547 | | | | 1,109,121 | |
FHLMC, Series 5223, Class MZ | | | 4.500 | % | | | 12/25/50 | | | | 3,310,665 | | | | 2,928,078 | |
FHLMC, Series 5085, Class TY | | | 1.000 | % | | | 01/25/51 | | | | 1,263,612 | | | | 735,241 | |
FHLMC, Series 5072, Class DG | | | 1.000 | % | | | 02/25/51 | | | | 833,533 | | | | 642,503 | |
FHLMC, Series 5146, Class ZW | | | 2.000 | % | | | 07/25/51 | | | | 1,616,502 | | | | 792,023 | |
FHLMC, Series 5202, Class DZ | | | 3.000 | % | | | 07/25/51 | | | | 2,554,429 | | | | 1,579,208 | |
FHLMC, Series 5159, Class PL | | | 1.250 | % | | | 11/25/51 | | | | 1,659,946 | | | | 1,317,318 | |
FHLMC, Series 5162, Class AP | | | 2.000 | % | | | 11/25/51 | | | | 2,816,473 | | | | 2,373,317 | |
FHLMC, Series 5173, Class BZ | | | 2.500 | % | | | 12/25/51 | | | | 1,027,424 | | | | 589,238 | |
FHLMC, Series 4377, Class KZ | | | 3.500 | % | | | 02/15/52 | | | | 834,244 | | | | 729,820 | |
FHLMC, Series 5189, Class ZP | | | 3.000 | % | | | 02/25/52 | | | | 984,677 | | | | 760,481 | |
FHLMC, Series 5210, Class BZ | | | 3.000 | % | | | 02/25/52 | | | | 8,347,297 | | | | 5,645,819 | |
FHLMC, Series 5232, Class HL | | | 4.000 | % | | | 06/25/52 | | | | 4,120,792 | | | | 3,589,381 | |
FNMA, Series 2010-155, Class JH | | | 4.000 | % | | | 12/25/28 | | | | 120,000 | | | | 115,434 | |
62 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Agency MBS CMO — 22.4% continued |
FNMA, Series 2013-35, Class YT | | | 6.500 | % | | | 09/25/32 | | | $ | 150,466 | | | $ | 155,451 | |
FNMA, Series 2012-129, Class HT | | | 2.000 | % | | | 12/25/32 | | | | 57,272 | | | | 49,914 | |
FNMA, Series 2002-86, Class PG | | | 6.000 | % | | | 12/25/32 | | | | 45,053 | | | | 45,651 | |
FNMA, Series 2004-56, Class Z | | | 7.500 | % | | | 03/25/34 | | | | 97,437 | | | | 104,604 | |
FNMA, Series 2004-17, Class BA | | | 6.000 | % | | | 04/25/34 | | | | 244,941 | | | | 252,009 | |
FNMA, Series 2005-3, Class CG | | | 5.500 | % | | | 02/25/35 | | | | 125,824 | | | | 125,424 | |
FNMA, Series 2005-62, Class ZL | | | 5.500 | % | | | 07/25/35 | | | | 225,547 | | | | 228,024 | |
FNMA, Series 2006-56, Class DC (1* 1MO LIBOR + 65) (a) | | | 5.039 | % | | | 07/25/36 | | | | 408,253 | | | | 412,145 | |
FNMA, Series 2009-19, Class TD | | | 5.000 | % | | | 08/25/36 | | | | 73,790 | | | | 73,389 | |
FNMA, Series 2007-95, Class A3 (1* 1MO LIBOR + 25) (a) | | | 3.836 | % | | | 08/27/36 | | | | 1,600,000 | | | | 1,371,068 | |
FNMA, Series 2006-108, Class FD (1* 1MO LIBOR + 38) (a) | | | 4.769 | % | | | 11/25/36 | | | | 101,328 | | | | 99,398 | |
FNMA, Series 2007-39, Class NB | | | 4.250 | % | | | 05/25/37 | | | | 96,726 | | | | 95,332 | |
FNMA, Series 2008-60, Class JC | | | 5.000 | % | | | 07/25/38 | | | | 160,435 | | | | 158,004 | |
FNMA, Series 2009-103, Class MB (a) | | | 3.318 | % | | | 12/25/39 | | | | 102,429 | | | | 102,765 | |
FNMA, Series 2010-118, Class DZ | | | 4.750 | % | | | 10/25/40 | | | | 1,341,607 | | | | 1,291,370 | |
FNMA, Series 2011-14, Class PB | | | 5.000 | % | | | 03/25/41 | | | | 485,582 | | | | 484,595 | |
FNMA, Series 2011-57, Class PD | | | 4.000 | % | | | 07/25/41 | | | | 321,407 | | | | 306,415 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS CMO — 22.4% continued |
FNMA, Series 2011-62, Class UA | | | 4.500 | % | | | 07/25/41 | | | $ | 619,301 | | | $ | 597,864 | |
FNMA, Series 2012-9, Class FC (1* 1MO LIBOR + 40) (a) | | | 4.789 | % | | | 02/25/42 | | | | 102,194 | | | | 100,180 | |
FNMA, Series 2013-34, Class GP | | | 3.000 | % | | | 05/25/42 | | | | 335,727 | | | | 317,000 | |
FNMA, Series 2012-52, Class PQ | | | 3.500 | % | | | 05/25/42 | | | | 683,221 | | | | 581,820 | |
FNMA, Series 2012-56, Class WC | | | 3.500 | % | | | 05/25/42 | | | | 851,000 | | | | 749,769 | |
FNMA, Series 2012-79, Class QB | | | 2.000 | % | | | 07/25/42 | | | | 115,726 | | | | 101,443 | |
FNMA, Series 2003-W2, Class 1-1A | | | 6.500 | % | | | 07/25/42 | | | | 638,052 | | | | 648,587 | |
FNMA, Series 411, Class A3 | | | 3.000 | % | | | 08/25/42 | | | | 88,816 | | | | 79,766 | |
FNMA, Series 2012-99, Class UY | | | 2.500 | % | | | 09/25/42 | | | | 360,000 | | | | 281,291 | |
FNMA, Series 2013-35, Class LP | | | 3.000 | % | | | 01/25/43 | | | | 419,000 | | | | 390,598 | |
FNMA, Series 2013-35, Class CV | | | 3.000 | % | | | 02/25/43 | | | | 350,000 | | | | 312,823 | |
FNMA, Series 2013-13, Class WH | | | 3.500 | % | | | 03/25/43 | | | | 1,000,000 | | | | 823,482 | |
FNMA, Series 2013-31, Class NT | | | 3.000 | % | | | 04/25/43 | | | | 36,296 | | | | 33,840 | |
FNMA, Series 2003-W10, Class 3A-5 | | | 4.299 | % | | | 06/25/43 | | | | 526,782 | | | | 499,978 | |
FNMA, Series 2013-84, Class B | | | 4.000 | % | | | 08/25/43 | | | | 1,000,000 | | | | 906,628 | |
FNMA, Series 2013-104, Class CY | | | 5.000 | % | | | 10/25/43 | | | | 250,000 | | | | 247,701 | |
FNMA, Series 2013-115, Class PB | | | 4.500 | % | | | 11/25/43 | | | | 300,000 | | | | 274,240 | |
FNMA, Series 2015-11, Class MZ | | | 4.000 | % | | | 12/25/43 | | | | 4,975,477 | | | | 4,657,990 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 63 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Agency MBS CMO — 22.4% continued |
FNMA, Series 2014-2, Class PB | | | 4.000 | % | | | 02/25/44 | | | $ | 536,075 | | | $ | 484,522 | |
FNMA, Series 2017-16, Class UW | | | 3.000 | % | | | 07/25/45 | | | | 2,044,494 | | | | 1,738,513 | |
FNMA, Series 2016-68, Class AL | | | 3.000 | % | | | 10/25/46 | | | | 1,240,000 | | | | 1,100,793 | |
FNMA, Series 2016-80, Class CZ | | | 3.000 | % | | | 11/25/46 | | | | 607,485 | | | | 404,816 | |
FNMA, Series 2017-77, Class HZ | | | 3.500 | % | | | 10/25/47 | | | | 983,350 | | | | 883,222 | |
FNMA, Series 2018-08, Class DZ | | | 3.500 | % | | | 02/25/48 | | | | 671,805 | | | | 600,829 | |
FNMA, Series 2022-4, Class QM | | | 2.000 | % | | | 03/25/48 | | | | 1,602,020 | | | | 1,122,109 | |
FNMA, Series 2018-31, Class KB | | | 3.500 | % | | | 05/25/48 | | | | 219,951 | | | | 200,077 | |
FNMA, Series 2018-31, Class KQ | | | 3.500 | % | | | 05/25/48 | | | | 600,000 | | | | 530,747 | |
FNMA, Series 2018-37, Class CL | | | 4.000 | % | | | 06/25/48 | | | | 622,735 | | | | 526,186 | |
FNMA, Series 2018-66, Class PZ | | | 4.000 | % | | | 09/25/48 | | | | 569,917 | | | | 466,691 | |
FNMA, Series 2018-77, Class BY | | | 3.000 | % | | | 10/25/48 | | | | 2,738,639 | | | | 2,378,863 | |
FNMA, Series 2019-01, Class MH | | | 3.000 | % | | | 02/25/49 | | | | 223,288 | | | | 201,090 | |
FNMA, Series 2019-8, Class ZD | | | 3.500 | % | | | 03/25/49 | | | | 571,680 | | | | 529,423 | |
FNMA, Series 2019-038, Class MT | | | 3.000 | % | | | 07/25/49 | | | | 949,309 | | | | 822,536 | |
FNMA, Series 2019-40, Class PL | | | 4.000 | % | | | 07/25/49 | | | | 318,000 | | | | 260,232 | |
FNMA, Series 2019-60, Class WZ | | | 2.750 | % | | | 10/25/49 | | | | 572,640 | | | | 376,960 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS CMO — 22.4% continued |
FNMA, Series 2019-83, Class EB | | | 2.000 | % | | | 01/25/50 | | | $ | 171,000 | | | $ | 100,902 | |
FNMA, Series 2020-15, Class KY | | | 3.000 | % | | | 03/25/50 | | | | 2,077,414 | | | | 1,542,189 | |
FNMA, Series 2020-22, Class AY | | | 2.000 | % | | | 04/25/50 | | | | 1,254,000 | | | | 776,730 | |
FNMA, Series 2020-42, Class BY | | | 2.000 | % | | | 06/25/50 | | | | 935,000 | | | | 538,244 | |
FNMA, Series 2021-15, Class HD | | | 1.000 | % | | | 04/25/51 | | | | 998,831 | | | | 743,513 | |
FNMA, Series 2021-73, Class ZD | | | 2.000 | % | | | 11/25/51 | | | | 1,415,419 | | | | 685,083 | |
FNMA, Series 2022-49, Class GZ | | | 4.000 | % | | | 08/25/52 | | | | 4,636,489 | | | | 4,022,781 | |
GNMA, Series 2015-161, Class AV | | | 3.000 | % | | | 01/20/29 | | | | 320,946 | | | | 305,805 | |
GNMA, Series 2018-091, Class VL | | | 3.500 | % | | | 10/20/29 | | | | 1,340,033 | | | | 1,271,936 | |
GNMA, Series 2018-139, Class DV | | | 3.500 | % | | | 01/20/30 | | | | 404,301 | | | | 390,299 | |
GNMA, Series 2004-49, Class MZ | | | 6.000 | % | | | 06/20/34 | | | | 418,819 | | | | 428,096 | |
GNMA, Series 2005-13, Class BG | | | 5.000 | % | | | 02/20/35 | | | | 186,165 | | | | 186,862 | |
GNMA, Series 2015-123, Class VB | | | 3.500 | % | | | 09/20/35 | | | | 436,000 | | | | 417,908 | |
GNMA, Series 2006-17, Class JN | | | 6.000 | % | | | 04/20/36 | | | | 150,721 | | | | 154,173 | |
GNMA, Series 2008-51, Class PH | | | 5.250 | % | | | 06/20/38 | | | | 90,666 | | | | 90,416 | |
GNMA, Series 2009-2, Class PA | | | 5.000 | % | | | 12/20/38 | | | | 54,718 | | | | 54,491 | |
GNMA, Series 2014-79, Class HU | | | 3.000 | % | | | 02/16/40 | | | | 443,238 | | | | 383,983 | |
GNMA, Series 2012-74, Class LY | | | 2.500 | % | | | 06/20/42 | | | | 330,000 | | | | 253,749 | |
64 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Agency MBS CMO — 22.4% continued |
GNMA, Series 2012-134, Class KM | | | 2.000 | % | | | 09/20/42 | | | $ | 342,000 | | | $ | 267,360 | |
GNMA, Series 2012-113, Class NZ | | | 4.500 | % | | | 09/20/42 | | | | 288,413 | | | | 273,907 | |
GNMA, Series 2013-6, Class PE | | | 2.000 | % | | | 01/20/43 | | | | 100,000 | | | | 77,699 | |
GNMA, Series 2013-5, Class GY | | | 3.000 | % | | | 01/20/43 | | | | 532,000 | | | | 433,402 | |
GNMA, Series 2015-179, Class ZB | | | 2.500 | % | | | 02/20/45 | | | | 58,712 | | | | 46,293 | |
GNMA, Series 2016-37, Class YA | | | 3.000 | % | | | 12/20/45 | | | | 1,052,846 | | | | 925,890 | |
GNMA, Series 2016-38, Class ZP | | | 3.500 | % | | | 03/20/46 | | | | 75,963 | | | | 57,393 | |
GNMA, Series 2016-74, Class PL | | | 3.000 | % | | | 05/20/46 | | | | 1,024,221 | | | | 907,738 | |
GNMA, Series 2016-120, Class YZ | | | 3.000 | % | | | 09/20/46 | | | | 500,000 | | | | 425,971 | |
GNMA, Series 2016-118, Class LB | | | 3.000 | % | | | 09/20/46 | | | | 500,000 | | | | 431,486 | |
GNMA, Series 2017-080, Class BZ | | | 3.500 | % | | | 05/20/47 | | | | 425,415 | | | | 331,612 | |
GNMA, Series 2017-120, Class JZ | | | 4.000 | % | | | 08/20/47 | | | | 648,523 | | | | 569,819 | |
GNMA, Series 2018-006, Class JY | | | 2.750 | % | | | 01/20/48 | | | | 284,000 | | | | 245,591 | |
GNMA, Series 2018-14, Class MZ | | | 3.000 | % | | | 01/20/48 | | | | 399,758 | | | | 299,309 | |
GNMA, Series 2018-097, Class GY | | | 4.000 | % | | | 07/20/48 | | | | 1,162,000 | | | | 1,114,421 | |
GNMA, Series 2018-105, Class ZK | | | 4.000 | % | | | 08/20/48 | | | | 475,568 | | | | 422,986 | |
GNMA, Series 2018-120, Class PY | | | 3.500 | % | | | 09/20/48 | | | | 689,379 | | | | 637,453 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS CMO — 22.4% continued |
GNMA, Series 2018-154, Class ZU | | | 4.000 | % | | | 11/20/48 | | | $ | 507,334 | | | $ | 433,719 | |
GNMA, Series 2018-166, Class Z | | | 4.000 | % | | | 12/20/48 | | | | 485,302 | | | | 414,298 | |
GNMA, Series 2019-20, Class JK | | | 3.500 | % | | | 02/20/49 | | | | 163,431 | | | | 153,856 | |
GNMA, Series 2019-031, Class AZ | | | 5.000 | % | | | 03/20/49 | | | | 222,877 | | | | 220,342 | |
GNMA, Series 2019-052, Class HL | | | 4.000 | % | | | 04/20/49 | | | | 490,565 | | | | 432,709 | |
GNMA, Series 2019-99, Class EW | | | 3.000 | % | | | 08/20/49 | | | | 540,446 | | | | 451,686 | |
GNMA, Series 2019-99, Class GP | | | 3.500 | % | | | 08/20/49 | | | | 517,000 | | | | 421,756 | |
GNMA, Series 2020-093, Class AZ | | | 3.000 | % | | | 04/20/50 | | | | 837,438 | | | | 566,910 | |
GNMA, Series 2021-58, Class NA | | | 1.000 | % | | | 07/20/50 | | | | 618,576 | | | | 469,631 | |
GNMA, Series 2020-097, Class ML | | | 2.500 | % | | | 07/20/50 | | | | 1,975,000 | | | | 1,308,998 | |
GNMA, Series 2020-133, Class ZM | | | 1.000 | % | | | 09/20/50 | | | | 491,889 | | | | 179,756 | |
GNMA, Series 2020-165, Class BP | | | 1.000 | % | | | 11/20/50 | | | | 603,113 | | | | 504,588 | |
GNMA, Series 2020-183, Class AE | | | 1.250 | % | | | 12/20/50 | | | | 598,103 | | | | 347,926 | |
GNMA, Series 2021-86, Class MB | | | 1.000 | % | | | 05/20/51 | | | | 671,955 | | | | 509,793 | |
GNMA, Series 2021-121, Class JW | | | 1.500 | % | | | 07/20/51 | | | | 1,708,699 | | | | 963,566 | |
GNMA, Series 2021-149, Class ZB | | | 3.000 | % | | | 08/20/51 | | | | 296,213 | | | | 185,690 | |
GNMA, Series 2021-196, Class YZ | | | 1.500 | % | | | 11/20/51 | | | | 1,093,698 | | | | 469,285 | |
GNMA, Series 2021-216, Class QM | | | 1.500 | % | | | 12/20/51 | | | | 1,133,749 | | | | 620,638 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 65 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Agency MBS CMO — 22.4% continued |
GNMA, Series 2022-10, Class QJ | | | 1.750 | % | | | 01/20/52 | | | $ | 1,158,766 | | | $ | 778,429 | |
GNMA, Series 2022-84, Class AL | | | 3.500 | % | | | 05/20/52 | | | | 2,812,353 | | | | 2,342,912 | |
GNMA, Series 2022-129, Class PL | | | 4.000 | % | | | 07/20/52 | | | | 3,595,000 | | | | 3,077,861 | |
GNMA, Series 2022-197, Class JB | | | 6.000 | % | | | 11/20/52 | | | | 1,500,715 | | | | 1,536,542 | |
GNMA, Series 2017-H18, Class EB (a) | | | 4.739 | % | | | 06/20/63 | | | | 175,144 | | | | 173,473 | |
GNMA, Series 2014-H14, Class FA (1* 1MO LIBOR + 50) (a) | | | 3.643 | % | | | 07/20/64 | | | | 252,859 | | | | 250,345 | |
GNMA, Series 2014-H15, Class FA (1* 1MO LIBOR + 50) (a) | | | 4.342 | % | | | 07/20/64 | | | | 70,167 | | | | 69,405 | |
GNMA, Series 2016-H11, Class FD (1* 12MO LIBOR + 40) (a) | | | 2.572 | % | | | 05/20/66 | | | | 235,222 | | | | 231,521 | |
GNMA, Series 2017-H16, Class DB (a) | | | 4.428 | % | | | 08/20/67 | | | | 40,350 | | | | 39,531 | |
| | | | | | | | | | | | | | | | 132,047,381 | |
Agency MBS CMO Derivatives — 1.4% |
FHLMC, Series 3919, Class QS (IO) (-1* 1MO LIBOR + 670) (a) | | | 2.382 | % | | | 08/15/30 | | | | 1,260,395 | | | | 67,023 | |
FHLMC, Series 4214, Class CI (IO) | | | 3.000 | % | | | 06/15/31 | | | | 326,414 | | | | 8,684 | |
FHLMC, Series 4114, Class IM (IO) | | | 3.500 | % | | | 07/15/31 | | | | 419,533 | | | | 10,242 | |
FHLMC, Series 4169, Class SA (IO) (-1.2* 1MO LIBOR + 546) (a) | | | 0.939 | % | | | 02/15/33 | | | | 483,339 | | | | 380,611 | |
FHLMC, Series 226, Class PO (PO) | | | 0.000 | % | | | 02/01/34 | | | | 112,552 | | | | 95,361 | |
FHLMC, Series 3107, Class DC (IO) (-1* 1MO LIBOR + 670) (a) | | | 2.382 | % | | | 06/15/35 | | | | 517,531 | | | | 2,637 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS CMO Derivatives — 1.4% continued |
FHLMC, Series 3102, Class TA (IO) (-7.5* 1MO LIBOR + 5250) | | | 7.500 | % | | | 01/15/36 | | | $ | 198,829 | | | $ | 195,112 | |
FHLMC, Series 3607, Class AO (PO) | | | 0.000 | % | | | 04/15/36 | | | | 73,360 | | | | 59,931 | |
FHLMC, Series 237, Class S14 (IO) (-1* 1MO LIBOR + 660) (a) | | | 2.282 | % | | | 05/15/36 | | | | 289,651 | | | | 33,200 | |
FHLMC, Series 3199, Class OC (PO) | | | 0.000 | % | | | 08/15/36 | | | | 119,941 | | | | 102,047 | |
FHLMC, Series 379, Class I (PO) | | | 0.000 | % | | | 05/25/37 | | | | 38,617 | | | | 30,707 | |
FHLMC, Series 3607, Class OP (PO) | | | 0.000 | % | | | 07/15/37 | | | | 276,098 | | | | 222,359 | |
FHLMC, Series 4006, Class IA (IO) | | | 4.500 | % | | | 09/15/41 | | | | 360,371 | | | | 35,314 | |
FHLMC, Series 4422, Class DO (PO) | | | 0.000 | % | | | 10/15/41 | | | | 919,738 | | | | 668,817 | |
FHLMC, Series 4116, Class LI (IO) | | | 4.500 | % | | | 02/15/42 | | | | 1,120,855 | | | | 131,949 | |
FHLMC, Series 4074, Class SJ (IO) (-1* 1MO LIBOR + 662) (a) | | | 2.302 | % | | | 07/15/42 | | | | 718,217 | | | | 107,040 | |
FHLMC, Class (PO), Pool #S0-6050 | | | 0.000 | % | | | 08/15/42 | | | | 154,439 | | | | 117,127 | |
FHLMC, Class (PO), Pool #S0-6829 | | | 0.000 | % | | | 09/15/43 | | | | 276,435 | | | | 216,629 | |
FNMA, Series 2012-148, Class IA (IO) | | | 4.000 | % | | | 01/25/28 | | | | 144,499 | | | | 8,312 | |
FNMA, Series 2004-91, Class SP (IO) (-2.4* 1MO LIBOR + 1680) (a) | | | 6.267 | % | | | 11/25/31 | | | | 155,761 | | | | 158,225 | |
FNMA, Series 2004-61, Class GO (PO) | | | 0.000 | % | | | 11/25/32 | | | | 363,337 | | | | 313,979 | |
FNMA, Series 2013-89, Class DI (IO) | | | 4.000 | % | | | 08/25/33 | | | | 1,200,353 | | | | 116,535 | |
FNMA, Series 2015-82, Class AI (IO) | | | 3.500 | % | | | 06/25/34 | | | | 705,157 | | | | 66,237 | |
66 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Agency MBS CMO Derivatives — 1.4% continued |
FNMA, Series 2016-28, Class DI (IO) | | | 3.500 | % | | | 03/25/35 | | | $ | 609,117 | | | $ | 64,660 | |
FNMA, Series 384, Class 11 (IO) | | | 5.000 | % | | | 03/25/35 | | | | 538,823 | | | | 85,626 | |
FNMA, Series 2005-52, Class JH (IO) (-1* 1MO LIBOR + 660) (a) | | | 2.211 | % | | | 05/25/35 | | | | 283,214 | | | | 16,314 | |
FNMA, Series 378, Class (IO) (a) | | | 5.000 | % | | | 06/01/35 | | | | 575,386 | | | | 95,603 | |
FNMA, Series 2016-24, Class KI (IO) | | | 3.500 | % | | | 07/25/35 | | | | 372,572 | | | | 39,405 | |
FNMA, Series 368, Class (IO) | | | 5.000 | % | | | 02/01/36 | | | | 439,794 | | | | 62,385 | |
FNMA, Series 2006-96, Class MO (PO) | | | 0.000 | % | | | 10/25/36 | | | | 30,132 | | | | 26,359 | |
FNMA, Series 398, Class C5 (IO) | | | 5.000 | % | | | 05/25/39 | | | | 635,610 | | | | 126,469 | |
FNMA, Series 2010-44, Class CS (IO) (-1* 1MO LIBOR + 655) (a) | | | 2.161 | % | | | 05/25/40 | | | | 39,078 | | | | 3,701 | |
FNMA, Series 409, Class C1 (IO) | | | 4.000 | % | | | 04/01/42 | | | | 946,430 | | | | 159,961 | |
FNMA, Series 2012-99, Class QS (IO) (-1* 1MO LIBOR + 660) (a) | | | 2.211 | % | | | 09/25/42 | | | | 1,858,417 | | | | 177,802 | |
FNMA, Series 2012-128, Class WS (IO) (-1* 1MO LIBOR + 400) (a) | | | 0.000 | % | | | 11/24/42 | | | | 980,829 | | | | 623,489 | |
FNMA, Series 2012-128, Class SH (IO) (-1* 1MO LIBOR + 400) (a) | | | 0.000 | % | | | 11/25/42 | | | | 465,268 | | | | 320,278 | |
FNMA, Series 2016-32, Class GO (PO) | | | 0.000 | % | | | 01/25/43 | | | | 11,453 | | | | 6,694 | |
FNMA, Series 2016-30, Class IN (IO) | | | 3.500 | % | | | 02/25/43 | | | | 1,026,711 | | | | 58,630 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS CMO Derivatives — 1.4% continued |
FNMA, Series 2003-W10, Class 3IO (IO) (a) | | | 0.185 | % | | | 06/25/43 | | | $ | 9,286,482 | | | $ | 54,555 | |
FNMA, Series 2013-82, Class SB (IO) (-2.67* 1MO LIBOR + 1173) (a) | | | 1.686 | % | | | 08/25/43 | | | | 350,236 | | | | 222,053 | |
FNMA, Series 2013-101, Class DO (PO) | | | 0.000 | % | | | 10/25/43 | | | | 100,017 | | | | 73,276 | |
FNMA, Series 2014-42, Class SN (IO) (-1* 1MO LIBOR + 605) (a) | | | 1.661 | % | | | 07/25/44 | | | | 384,747 | | | | 38,773 | |
FNMA, Series 2019-31, Class CI (IO) | | | 4.000 | % | | | 02/25/47 | | | | 908,517 | | | | 71,338 | |
FNMA, Series 2018-11B, Class QI (IO) | | | 4.000 | % | | | 01/25/48 | | | | 2,298,626 | | | | 368,667 | |
FNMA, Series 2018-01, Class AI (IO) | | | 5.000 | % | | | 02/25/48 | | | | 1,680,369 | | | | 325,842 | |
FNMA, Series 2018-24, Class (IO) | | | 4.500 | % | | | 04/25/48 | | | | 1,886,683 | | | | 321,039 | |
GNMA, Series 2011-139, Class LS (IO) (-1* 1MO LIBOR + 500) (a) | | | 1.232 | % | | | 03/16/38 | | | | 1,704,118 | | | | 132,020 | |
GNMA, Series 2013-147, Class SD (IO) (-1* 1MO LIBOR + 665) (a) | | | 2.297 | % | | | 12/20/39 | | | | 1,355,000 | | | | 136,939 | |
GNMA, Series 2011-21, Class SA (IO) (-1* 1MO LIBOR + 600) (a) | | | 1.670 | % | | | 02/16/41 | | | | 1,520,558 | | | | 148,583 | |
GNMA, Series 2013-113, Class QS (IO) (-1* 1MO LIBOR + 620) (a) | | | 1.847 | % | | | 02/20/42 | | | | 240,421 | | | | 12,371 | |
GNMA, Series 2013-82, Class NS (IO) (-1* 1MO LIBOR + 400) (a) | | | 0.000 | % | | | 05/20/43 | | | | 1,294,967 | | | | 787,550 | |
GNMA, Series 2017-004, Class WI (IO) | | | 4.000 | % | | | 02/20/44 | | | | 838,975 | | | | 67,486 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 67 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Agency MBS CMO Derivatives — 1.4% continued |
GNMA, Series 2016-32, Class MS (IO) (-1* 1MO LIBOR + 605) (a) | | | 1.697 | % | | | 03/20/46 | | | $ | 1,431,436 | | | $ | 147,569 | |
GNMA, Series 2019-98, Class BI (IO) | | | 3.000 | % | | | 06/20/49 | | | | 847,484 | | | | 227,342 | |
GNMA, Series 2019-120, Class DI (IO) | | | 3.500 | % | | | 08/20/49 | | | | 1,634,475 | | | | 263,151 | |
GNMA, Series 2013-H13, Class T1 (IO) (a) | | | 0.459 | % | | | 05/20/63 | | | | 1,288,794 | | | | 6,621 | |
GNMA, Series 2016-H20, Class GI (IO) (a) | | | 1.010 | % | | | 08/20/66 | | | | 928,397 | | | | 2,338 | |
GNMA, Series 2018-H08, Class NI (IO) (a) | | | 1.537 | % | | | 05/20/68 | | | | 749,831 | | | | 5,808 | |
| | | | | | | | | | | | | | | | 8,428,775 | |
Agency MBS Passthrough — 2.7% |
FHLMC, Pool #FG G14973 | | | 4.000 | % | | | 12/01/28 | | | | 94,156 | | | | 92,833 | |
FHLMC, Pool #FG U59010 | | | 4.000 | % | | | 11/01/34 | | | | 283,080 | | | | 268,798 | |
FHLMC, Pool #FG G61909 | | | 4.500 | % | | | 12/01/37 | | | | 379,118 | | | | 373,964 | |
FHLMC, Pool #FG G06085 | | | 6.500 | % | | | 09/01/38 | | | | 47,288 | | | | 49,987 | |
FHLMC, Pool #RE-0015 | | | 3.000 | % | | | 11/01/50 | | | | 6,519,301 | | | | 5,812,446 | |
FHLMC, Series 4839, Class AL | | | 4.000 | % | | | 04/15/51 | | | | 2,326,401 | | | | 2,035,727 | |
FNMA, Pool #FN 252409 | | | 6.500 | % | | | 03/01/29 | | | | 54,615 | | | | 55,358 | |
FNMA, Pool #FN AL5850 | | | 3.500 | % | | | 10/01/29 | | | | 217,917 | | | | 210,049 | |
FNMA, Pool #FN AS7287 | | | 3.500 | % | | | 06/01/31 | | | | 360,345 | | | | 351,897 | |
FNMA, Pool #FN AL3200 | | | 3.500 | % | | | 02/01/33 | | | | 264,108 | | | | 250,536 | |
FNMA, Pool #FN AT7120 | | | 3.500 | % | | | 06/01/33 | | | | 332,958 | | | | 313,858 | |
FNMA, Pool #FN AL5166 | | | 3.000 | % | | | 11/01/33 | | | | 256,403 | | | | 232,283 | |
FNMA, Pool #FN AL6685 | | | 4.000 | % | | | 01/01/35 | | | | 419,634 | | | | 397,974 | |
FNMA, Pool #FN MA2198 | | | 3.500 | % | | | 03/01/35 | | | | 263,831 | | | | 252,868 | |
FNMA, Pool #FN MA3050 | | | 4.500 | % | | | 06/01/37 | | | | 422,752 | | | | 413,741 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Agency MBS Passthrough — 2.7% continued |
FNMA, Pool #FN AS4073 | | | 4.000 | % | | | 12/01/44 | | | $ | 181,637 | | | $ | 173,977 | |
FNMA, Pool #FN MA2778 | | | 3.500 | % | | | 10/01/46 | | | | 89,666 | | | | 81,046 | |
FNMA, Pool #BM6530 | | | 3.000 | % | | | 12/01/47 | | | | 369,497 | | | | 322,066 | |
GNMA, Pool #MA5738M | | | 4.000 | % | | | 02/20/34 | | | | 193,389 | | | | 188,040 | |
GNMA, Pool #GN 784279 | | | 5.500 | % | | | 11/15/38 | | | | 316,879 | | | | 333,605 | |
GNMA, Pool #711522X | | | 4.500 | % | | | 07/15/40 | | | | 252,846 | | | | 251,223 | |
GNMA, Pool #GN 78541 | | | 4.500 | % | | | 06/15/46 | | | | 111,700 | | | | 110,993 | |
GNMA, Pool #G2 784792 | | | 4.500 | % | | | 08/20/49 | | | | 608,426 | | | | 580,452 | |
GNMA, Pool #G2 CN5057 | | | 4.500 | % | | | 07/20/62 | | | | 2,624,857 | | | | 2,505,140 | |
| | | | | | | | | | | | | | | | 15,658,861 | |
ARM — 0.0% (e) |
Structured Asset Securities Corp., Series 2003-37A, Class 2-A (a) | | | 3.720 | % | | | 12/25/33 | | | | 8,552 | | | | 7,913 | |
| |
Auto Loan — 1.5% |
ACC Auto Trust, Series 2021-A, Class A (c) | | | 1.080 | % | | | 04/15/27 | | | | 286,035 | | | | 282,348 | |
Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class A (c) | | | 1.190 | % | | | 01/15/27 | | | | 983,159 | | | | 950,120 | |
Arivo Acceptance Auto Loan Receivables Trust, Series 2022-2A, Class C (c) | | | 8.710 | % | | | 03/15/29 | | | | 1,200,000 | | | | 1,215,280 | |
CarNow Auto Receivables Trust, Series 2021-1A, Class C (c) | | | 2.160 | % | | | 02/17/26 | | | | 750,000 | | | | 730,186 | |
CIG Auto Receivables Trust, Series 2020-1, Class D (c) | | | 2.350 | % | | | 01/12/26 | | | | 300,000 | | | | 293,491 | |
68 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Auto Loan — 1.5% continued |
CIG Auto Receivables Trust, Series 2020-1, Class C (c) | | | 1.750 | % | | | 02/12/26 | | | $ | 420,030 | | | $ | 418,228 | |
Credito RL USA, Series 2021-1, Class A (c) | | | 1.350 | % | | | 02/16/27 | | | | 328,777 | | | | 321,343 | |
FHF Trust, Series 2021-1, Class A (c) | | | 1.270 | % | | | 03/15/27 | | | | 389,029 | | | | 372,810 | |
First Help Financial, LLC, Series 2021-2A, Class A (c) | | | 0.830 | % | | | 12/15/26 | | | | 578,975 | | | | 550,389 | |
First Help Financial, LLC, Series 2021-2A, Class B (c) | | | 1.630 | % | | | 09/15/27 | | | | 1,090,000 | | | | 987,755 | |
OneMain Direct Auto Receivables, Series 2019-1, Class D (c) | | | 4.680 | % | | | 04/14/31 | | | | 675,000 | | | | 606,447 | |
Tesla Auto Lease Trust, Series 2021-B, Class D (c) | | | 1.320 | % | | | 09/22/25 | | | | 1,400,000 | | | | 1,289,512 | |
Veros Auto Receivables Trust, Series 2021-1, Class B (c) | | | 1.490 | % | | | 10/15/26 | | | | 1,000,000 | | | | 943,553 | |
| | | | | | | | | | | | | | | | 8,961,462 | |
CRE/CLO — 4.8% |
A10 Securitization, Series 2021-D, Class D (c)(d) | | | 4.409 | % | | | 10/01/38 | | | | 1,241,661 | | | | 1,112,499 | |
A10 Securitization, Series 2021-D, Class E (c)(d) | | | 4.937 | % | | | 10/01/38 | | | | 1,266,495 | | | | 1,122,366 | |
A10 Securitization, Series 2020-C, Class B (c)(d) | | | 2.617 | % | | | 08/15/40 | | | | 179,396 | | | | 175,816 | |
A10 Securitization, Series 2020-C, Class D (c)(d) | | | 4.129 | % | | | 08/15/40 | | | | 250,000 | | | | 239,299 | |
A10 Securitization, Series 2020-C, Class E (c)(d) | | | 5.465 | % | | | 08/15/40 | | | | 250,000 | | | | 234,703 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
CRE/CLO — 4.8% continued |
Acre Mortgage Trust, Series 2021-FL4, Class D (1* 1MO LIBOR + 260) (a)(c) | | | 6.939 | % | | | 12/15/37 | | | $ | 1,000,000 | | | $ | 953,519 | |
Acre Mortgage Trust, Series 2021-FL4, Class E (1* 1MO LIBOR + 310) (a)(c) | | | 7.439 | % | | | 12/15/37 | | | | 675,000 | | | | 639,270 | |
Arbor Realty Collateralized Loan, Series 2021-FL2, Class AS (1* 1MO LIBOR + 140) (a)(c) | | | 5.779 | % | | | 05/15/36 | | | | 865,000 | | | | 826,825 | |
Arbor Realty Collateralized Loan, Series 2022-FL1, Class D (1* SOFR30A + 300) (a)(c) | | | 6.807 | % | | | 01/15/37 | | | | 1,250,000 | | | | 1,161,104 | |
AREIT CRE Trust, Series 2022-CRE6, Class A (1* SOFR30A + 125) (a)(c) | | | 4.642 | % | | | 01/16/37 | | | | 2,095,312 | | | | 2,013,790 | |
AREIT CRE Trust, Series 2021-CRE5, Class A (1* 1MO LIBOR + 108) (a)(c) | | | 4.991 | % | | | 11/17/38 | | | | 713,325 | | | | 681,886 | |
AREIT CRE Trust, Series 2022-CRE7, Class C (1* SOFR + 384) (a)(c) | | | 8.168 | % | | | 06/17/39 | | | | 900,000 | | | | 872,027 | |
BDS Ltd., Series 2021-FL8, Class D (1* 1MO LIBOR + 300) (a)(c) | | | 6.239 | % | | | 01/18/36 | | | | 1,000,000 | | | | 915,906 | |
BXMT Ltd., Series 2020-FL2, Class D (1* 1MO LIBOR + 195) (a)(c) | | | 5.939 | % | | | 02/16/37 | | | | 1,520,000 | | | | 1,415,754 | |
BXMT Ltd., Series 2021-FL4, Class D (1* 1MO LIBOR + 225) (a)(c) | | | 6.125 | % | | | 05/17/38 | | | | 2,250,000 | | | | 2,053,856 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 69 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
CRE/CLO — 4.8% continued |
LoanCore Issuer Ltd., Series 2019-CRE3, Class D (1* 1MO LIBOR + 250) (a)(c) | | | 6.375 | % | | | 05/15/36 | | | $ | 1,170,000 | | | $ | 1,148,264 | |
MF1 Multifamily Housing Mortgage Trust, Series 2021-FL5, Class C (1* TSFR1M + 181) (a)(c) | | | 6.150 | % | | | 03/17/31 | | | | 1,000,000 | | | | 931,532 | |
MF1 Multifamily Housing Mortgage Trust, Series 2021-FL5, Class A (1* TSFR1M + 96) (a)(c) | | | 5.300 | % | | | 07/15/36 | | | | 705,968 | | | | 683,689 | |
MF1 Multifamily Housing Mortgage Trust, Series 2021-FL5, Class AS (1* TSFR1M + 131) (a)(c) | | | 5.650 | % | | | 07/15/36 | | | | 777,000 | | | | 749,184 | |
MF1 Multifamily Housing Mortgage Trust, Series 2022-FL8, Class B (1* SOFR30A + 195) (a)(c) | | | 5.776 | % | | | 02/19/37 | | | | 1,500,000 | | | | 1,393,128 | |
MF1 Multifamily Housing Mortgage Trust, Series 2022-FL10, Class C (1* TSFR1M + 448) (a)(c) | | | 8.804 | % | | | 09/07/37 | | | | 1,500,000 | | | | 1,481,133 | |
MF1 Multifamily Housing Mortgage Trust, Series 2022-FL10, Class D (1* TSFR1M + 573) (a)(c) | | | 10.050 | % | | | 09/17/37 | | | | 750,000 | | | | 722,471 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
CRE/CLO — 4.8% continued |
PFP Ltd., Series 2021-8, Class A (1* 1MO LIBOR + 100) (a)(c) | | | 4.904 | % | | | 08/16/37 | | | $ | 1,460,426 | | | $ | 1,402,320 | |
PFP Ltd., Series 2021-7, Class B (1* 1MO LIBOR + 140) (a)(c) | | | 5.304 | % | | | 04/14/38 | | | | 699,965 | | | | 654,255 | |
PFP Ltd., Series 2021-7, Class D (1* 1MO LIBOR + 240) (a)(c) | | | 6.304 | % | | | 04/14/38 | | | | 749,963 | | | | 684,573 | |
PFP Ltd., Series 2021-7, Class A (1* 1MO LIBOR + 85) (a)(c) | | | 4.725 | % | | | 04/16/38 | | | | 193,139 | | | | 188,749 | |
PFP Ltd., Series 2021-7, Class A-S (1* 1MO LIBOR + 115) (a)(c) | | | 5.025 | % | | | 04/16/38 | | | | 1,499,925 | | | | 1,412,267 | |
ReadyCap Commercial Mortgage Trust, Series 2021-1A, Class C (1* 1MO LIBOR + 190) (a)(c) | | | 6.289 | % | | | 07/25/36 | | | | 500,000 | | | | 467,561 | |
ReadyCap Commercial Mortgage Trust, Series 2021-1A, Class B (1* 1MO LIBOR + 240) (a)(c) | | | 6.789 | % | | | 07/25/36 | | | | 1,000,000 | | | | 920,629 | |
ReadyCap Commercial Mortgage Trust, Series 2021-1A, Class A (1* 1MO LIBOR + 290) (a)(c) | | | 7.289 | % | | | 07/25/36 | | | | 1,000,000 | | | | 906,985 | |
Shelter Growth Capital Partners, LLC, Series 2021-FL3, Class A (1* 1MO LIBOR + 108) (a)(c) | | | 5.398 | % | | | 09/15/36 | | | | 320,448 | | | | 310,551 | |
| | | | | | | | | | | | | | | | 28,475,911 | |
Credit Cards — 3.4% |
Brex Commercial Charge Card Master Trust, Series 2022-1, Class A (c) | | | 4.630 | % | | | 07/15/25 | | | | 700,000 | | | | 677,774 | |
70 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Credit Cards — 3.4% continued |
Continental Credit Card, LLC, Series 2019-1, Class A (c) | | | 3.830 | % | | | 08/15/26 | | | $ | 402,384 | | | $ | 398,878 | |
Continental Credit Card, LLC, Series 2019-1, Class B (c) | | | 4.950 | % | | | 08/15/26 | | | | 300,000 | | | | 293,679 | |
Continental Credit Card, LLC, Series 2020-A, Class A (c) | | | 2.240 | % | | | 12/15/28 | | | | 1,350,000 | | | | 1,269,622 | |
Continental Credit Card, LLC, Series 2020-A, Class B (c) | | | 3.660 | % | | | 12/15/28 | | | | 1,200,000 | | | | 1,094,567 | |
Continental Credit Card, LLC, Series 2021-A, Class B (c) | | | 3.490 | % | | | 12/17/29 | | | | 500,000 | | | | 459,045 | |
Continental Credit Card, LLC, Series 2021-A, Class C (c) | | | 4.020 | % | | | 12/17/29 | | | | 500,000 | | | | 446,437 | |
Continental Credit Card, LLC, Series 2022-A, Class C (c) | | | 9.330 | % | | | 10/15/30 | | | | 2,300,000 | | | | 2,262,667 | |
Genesis Private Label Amortization Trust, Series 2020-1, Class D (c) | | | 6.630 | % | | | 07/20/26 | | | | 710,054 | | | | 705,381 | |
Genesis Sales Finance Master Trust, Series 2021-AA, Class D (c) | | | 2.090 | % | | | 12/21/26 | | | | 750,000 | | | | 677,390 | |
Genesis Sales Finance Master Trust, Series 22-A, Class C (c) | | | 9.530 | % | | | 09/20/27 | | | | 1,500,000 | | | | 1,498,133 | |
Genesis Sales Finance Master Trust, Series 22-A, Class D (c) | | | 10.970 | % | | | 09/20/27 | | | | 1,500,000 | | | | 1,491,930 | |
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class B (c) | | | 2.330 | % | | | 03/20/26 | | | | 2,600,000 | | | | 2,420,692 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Credit Cards — 3.4% continued |
Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A (c) | | | 1.540 | % | | | 03/23/26 | | | $ | 3,285,000 | | | $ | 3,134,071 | |
Mercury Financial Credit Card Master Trust, Series 2022-1A, Class B (c) | | | 3.200 | % | | | 09/21/26 | | | | 880,000 | | | | 806,125 | |
Mercury Financial Credit Card Master Trust, Series 2022-3A, Class B (c) | | | 10.680 | % | | | 06/21/27 | | | | 2,500,000 | | | | 2,505,264 | |
| | | | | | | | | | | | | | | | 20,141,655 | |
Equipment — 0.7% |
Business Jet Securities, LLC, Series 2020-1, Class B (c) | | | 3.967 | % | | | 11/15/35 | | | | 170,934 | | | | 151,998 | |
Business Jet Securities, LLC, Series 2021-1A, Class B (c) | | | 2.918 | % | | | 04/15/36 | | | | 298,375 | | | | 252,889 | |
CLI Funding VI, LLC, Series 2020-1, Class B (c) | | | 3.620 | % | | | 09/18/45 | | | | 498,063 | | | | 432,667 | |
Octana Receivables Trust, Series 2022-2A, Class D (c) | | | 7.700 | % | | | 09/20/30 | | | | 2,000,000 | | | | 1,957,355 | |
Octane Receivables Trust, Series 2021-1A, Class C (c) | | | 2.230 | % | | | 11/20/28 | | | | 550,000 | | | | 504,605 | |
Stellar Jay Ireland DAC, Series 2021-1, Class B (c)(d) | | | 5.926 | % | | | 03/15/28 | | | | 946,940 | | | | 778,963 | |
| | | | | | | | | | | | | | | | 4,078,477 | |
HECM — 3.9% |
Boston Lending Trust, Series 2022-1, Class M2 (c)(d) | | | 2.750 | % | | | 02/25/62 | | | | 512,435 | | | | 389,250 | |
Brean ABS Trust, Series 2021-RM2, Class A (c) | | | 1.750 | % | | | 10/25/61 | | | | 1,386,171 | | | | 1,209,978 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 71 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
HECM — 3.9% continued |
Brean ABS Trust, Series 2022-RM3, Class A (c) | | | 1.750 | % | | | 02/25/62 | | | $ | 1,479,081 | | | $ | 1,289,717 | |
Brean ABS Trust, Series 2022-RM4, Class M1 (c)(d) | | | 3.000 | % | | | 07/25/62 | | | | 1,013,997 | | | | 690,055 | |
Brean ABS Trust, Series 2022-RM4, Class AZ (c) | | | 3.000 | % | | | 07/25/62 | | | | 2,100,000 | | | | 1,710,806 | |
Brean ABS Trust, Series 2022-RM5, Class M1 (c)(d) | | | 4.500 | % | | | 09/25/62 | | | | 2,322,496 | | | | 1,690,679 | |
Brean ABS Trust, Series 2022-RM5, Class M2 (c)(d) | | | 4.500 | % | | | 09/25/62 | | | | 2,625,431 | | | | 1,690,423 | |
Cascade Funding Mortgage Trust, Series 2022-HB8, Class M3 (c) | | | 3.750 | % | | | 04/25/25 | | | | 1,500,000 | | | | 1,222,500 | |
Cascade Funding Mortgage Trust, Series 2022-HB8, Class A (c) | | | 3.750 | % | | | 04/25/25 | | | | 1,465,110 | | | | 1,406,875 | |
Finance of America HECM Buyout, Series 2022-HB1, Class M3 (c) | | | 5.084 | % | | | 11/25/25 | | | | 1,650,000 | | | | 1,534,406 | |
Finance of America HECM Buyout, Series 2022-HB2, Class M3 (c) | | | 6.000 | % | | | 09/25/27 | | | | 2,000,000 | | | | 1,893,314 | |
RMF Buyout Issuance Trust, Series 2021-HB1, Class M3 (c)(d)(e) | | | 3.690 | % | | | 11/25/31 | | | | 1,550,000 | | | | 1,356,250 | |
RMF Buyout Issuance Trust, Series 2020-HB1, Class AI (a)(c)(d)(e) | | | 1.719 | % | | | 10/25/50 | | | | 2,228,578 | | | | 2,083,721 | |
RMF Proprietary Issuance Trust, Series 2021-2, Class A (c)(d)(e) | | | 2.125 | % | | | 09/25/61 | | | | 1,419,504 | | | | 1,220,774 | |
RMF Proprietary Issuance Trust, Series 2022-1, Class A (c)(d) | | | 3.000 | % | | | 01/25/62 | | | | 1,538,426 | | | | 1,345,181 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
HECM — 3.9% continued |
RMF Proprietary Issuance Trust, Series 2022-2, Class M3 (c)(d) | | | 3.750 | % | | | 06/25/62 | | | $ | 1,100,000 | | | $ | 693,285 | |
RMF Proprietary Issuance Trust II, Series 2022-1, Class M1 (c)(d) | | | 3.000 | % | | | 01/25/62 | | | | 1,000,000 | | | | 779,275 | |
RMF Proprietary Issuance Trust III, Series 2022-1, Class M2 (c)(d) | | | 3.000 | % | | | 01/25/62 | | | | 1,000,000 | | | | 697,843 | |
| | | | | | | | | | | | | | | | 22,904,332 | |
Hospitality — 2.2% |
BHMS Mortgage Trust, Series 2018-ATLS, Class A (1* 1MO LIBOR + 125) (a)(c) | | | 5.568 | % | | | 07/16/35 | | | | 1,840,991 | | | | 1,767,478 | |
BX Commercial Mortgage Trust, Series 2020-VIV3, Class B (a)(c) | | | 3.544 | % | | | 03/09/44 | | | | 1,300,000 | | | | 1,046,217 | |
BX Trust, Series 2018-GW, Class D (1* 1MO LIBOR + 177) (a)(c) | | | 5.645 | % | | | 05/15/35 | | | | 785,000 | | | | 753,411 | |
BX Trust, Series 2021-ARIA, Class E (1* 1MO LIBOR + 224) (a)(c) | | | 6.120 | % | | | 10/15/36 | | | | 2,000,000 | | | | 1,814,434 | |
BX Trust, Series 2018-GW, Class E (1* 1MO LIBOR + 197) (a)(c) | | | 5.845 | % | | | 05/15/37 | | | | 1,802,000 | | | | 1,724,959 | |
BX Trust, Series 2019-OC11, Class A (c) | | | 3.202 | % | | | 12/11/41 | | | | 1,177,000 | | | | 984,649 | |
Extended Stay America Trust, Series 2021-ESH, Class D (1* 1MO LIBOR + 225) (a)(c) | | | 6.568 | % | | | 07/15/38 | | | | 1,171,431 | | | | 1,121,475 | |
Extended Stay America Trust, Series 2021-ESH, Class E (1* 1MO LIBOR + 285) (a)(c) | | | 7.168 | % | | | 07/15/38 | | | | 976,192 | | | | 929,668 | |
72 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Hospitality — 2.2% continued |
Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class B (1* 1MO LIBOR + 125) (a)(c) | | | 5.125 | % | | | 07/15/25 | | | $ | 663,210 | | | $ | 641,531 | |
Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class C (1* 1MO LIBOR + 145) (a)(c) | | | 5.325 | % | | | 07/15/25 | | | | 882,756 | | | | 851,682 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A (1* 1MO LIBOR + 115) (a)(c) | | | 5.025 | % | | | 05/17/38 | | | | 1,000,000 | | | | 971,125 | |
| | | | | | | | | | | | | | | | 12,606,629 | |
Industrial — 1.0% |
BX Commercial Mortgage Trust, Series 2021-VOLT, Class B (1* 1MO LIBOR + 95) (a)(c) | | | 5.268 | % | | | 09/15/36 | | | | 750,000 | | | | 707,051 | |
BX Commercial Mortgage Trust, Series 2019-XL, Class F (1* 1MO LIBOR + 200) (a)(c) | | | 5.909 | % | | | 10/15/36 | | | | 1,275,000 | | | | 1,226,846 | |
BX Trust, Series 2021-VOLT, Class D (1* 1MO LIBOR + 165) (a)(c) | | | 5.968 | % | | | 09/15/36 | | | | 1,500,000 | | | | 1,403,359 | |
BX Trust, Series 2021-VINO, Class C (1* 1MO LIBOR + 110) (a)(c) | | | 5.420 | % | | | 05/15/38 | | | | 1,470,000 | | | | 1,390,240 | |
Cold Storage Trust, Series 2020-ICE5, Class E (1* 1MO LIBOR + 277) (a)(c) | | | 6.641 | % | | | 11/16/37 | | | | 491,495 | | | | 471,135 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Industrial — 1.0% continued |
SMR Mortgage Trust, Series 2022-IND, Class D (1* TSFR1M + 395) (a)(c) | | | 8.286 | % | | | 02/25/39 | | | $ | 482,295 | | | $ | 441,504 | |
| | | | | | | | | | | | | | | | 5,640,135 | |
Manufactured Housing — 0.0% (f) |
Cascade Funding Mortgage Trust, Series 2019-MH1, Class M (a)(c) | | | 5.985 | % | | | 11/25/44 | | | | 100,000 | | | | 92,270 | |
| |
Multifamily — 1.8% |
FREMF Mortgage Trust, Series 2016-KF17, Class B (1* 1MO LIBOR + 584) (a)(c) | | | 9.982 | % | | | 03/25/23 | | | | 208,294 | | | | 208,068 | |
FREMF Mortgage Trust, Series 2017-KF39, Class B (1* 1MO LIBOR + 250) (a)(c) | | | 6.642 | % | | | 11/25/24 | | | | 330,814 | | | | 325,367 | |
FREMF Mortgage Trust, Series 2018-KF42, Class B (1* 1MO LIBOR + 220) (a)(c) | | | 6.342 | % | | | 12/25/24 | | | | 603,756 | | | | 586,400 | |
FREMF Mortgage Trust, Series 2018-KF44, Class B (1* 1MO LIBOR + 215) (a)(c) | | | 6.292 | % | | | 02/25/25 | | | | 213,477 | | | | 209,990 | |
FREMF Mortgage Trust, Series 2018-KF53, Class B (1* 1MO LIBOR + 205) (a)(c) | | | 6.192 | % | | | 10/27/25 | | | | 491,756 | | | | 482,246 | |
FREMF Mortgage Trust, Series 2018-KF43, Class B (1* 1MO LIBOR + 215) (a)(c) | | | 6.292 | % | | | 01/25/28 | | | | 236,208 | | | | 224,500 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 73 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Multifamily — 1.8% continued |
FREMF Mortgage Trust, Series 2018-KF50, Class B (1* 1MO LIBOR + 190) (a)(c) | | | 6.042 | % | | | 07/25/28 | | | $ | 338,254 | | | $ | 306,374 | |
FREMF Mortgage Trust, Series 2019-KF57, Class B (1* 1MO LIBOR + 225) (a)(c) | | | 6.392 | % | | | 01/25/29 | | | | 984,593 | | | | 919,991 | |
FREMF Mortgage Trust, Series 2019-KF67, Class B (1* 1MO LIBOR + 225) (a)(c) | | | 6.392 | % | | | 08/25/29 | | | | 394,553 | | | | 364,570 | |
Multi Family Connecticut Avenue, Series 2020-01, Class M-7 (1* 1MO LIBOR + 195) (a)(c) | | | 6.339 | % | | | 03/25/50 | | | | 72,846 | | | | 71,344 | |
MultiFamily Structured Credit Risk, Series 2021-MN2, Class M-1 (1* SOFR30A + 180) (a)(c) | | | 5.728 | % | | | 07/25/41 | | | | 2,332,154 | | | | 2,121,895 | |
MultiFamily Structured Credit Risk, Series 2021-MN1, Class M-1 (1* SOFR30A + 200) (a)(c) | | | 5.547 | % | | | 01/25/51 | | | | 1,035,163 | | | | 968,747 | |
MultiFamily Structured Credit Risk, Series 2021-MN3, Class M1 (1* SOFR30A + 230) (a)(c) | | | 5.821 | % | | | 11/25/51 | | | | 2,119,319 | | | | 1,996,044 | |
MultiFamily Structured Credit Risk, Series 2022-MN4, Class M1 (1* SOFR30A + 425) (a)(c) | | | 8.178 | % | | | 05/25/52 | | | | 1,987,780 | | | | 1,967,902 | |
| | | | | | | | | | | | | | | | 10,753,438 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Non-Agency MBS 2.0 — 0.3% |
Chase Mortgage Finance Corp., Series 2021-CL1, Class M3 (1* SOFR30A + 155) (a) | | | 5.478 | % | | | 02/25/50 | | | $ | 710,448 | | | $ | 592,900 | |
J.P. Morgan Wealth Management, Series 2021-CL1, Class M1 (1* SOFR30A + 130) (a)(c) | | | 5.228 | % | | | 02/26/71 | | | | 659,141 | | | | 580,713 | |
J.P. Morgan Wealth Management, Series 2021-CL1, Class M3 (1* SOFR30A + 180) (a)(c) | | | 5.728 | % | | | 02/26/71 | | | | 497,490 | | | | 432,366 | |
| | | | | | | | | | | | | | | | 1,605,979 | |
Non-Performing Loan — 0.1% |
Cascade Funding Mortgage Trust, Series 2021-EBO1, Class M3 (c) | | | 3.086 | % | | | 11/25/50 | | | | 700,000 | | | | 616,458 | |
| |
Non-QM — 0.2% |
Angel Oak Mortgage Trust, Series 2019-1, Class B1 (c) | | | 5.400 | % | | | 11/25/48 | | | | 1,250,000 | | | | 1,151,636 | |
| |
Residential Transition Loan — 2.1% |
AlphaFlow Transitional Mortgage Co., Series 2021-WL1, Class A1 (c) | | | 3.280 | % | | | 03/25/25 | | | | 1,864,223 | | | | 1,774,433 | |
AlphaFlow Transitional Mortgage Co., Series 2021-WL1, Class A2 (c) | | | 5.610 | % | | | 03/25/25 | | | | 433,540 | | | | 414,921 | |
Antler Mortgage Trust, Series 2021-RTL1, Class M (a)(c) | | | 5.438 | % | | | 05/25/25 | | | | 1,750,000 | | | | 1,515,512 | |
Corevest American Finance Ltd., Series 2021-RTL1, Class A2 (c) | | | 3.104 | % | | | 03/28/29 | | | | 1,000,000 | | | | 897,605 | |
74 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Residential Transition Loan — 2.1% continued |
LHFC Depositor, LLC, Series 2020-RTL1, Class A2 (c) | | | 3.721 | % | | | 10/25/24 | | | $ | 750,000 | | | $ | 725,422 | |
LHOME Mortgage Trust, Series 2021-RTL2, Class A2 (c) | | | 2.783 | % | | | 06/25/26 | | | | 700,000 | | | | 613,157 | |
LHOME Mortgage Trust, Series 2021-RTL1, Class M (a)(c) | | | 4.458 | % | | | 09/25/26 | | | | 750,000 | | | | 653,196 | |
LHOME Mortgage Trust, Series 2021-RTL2, Class M (c) | | | 4.458 | % | | | 09/25/26 | | | | 1,250,000 | | | | 1,033,369 | |
LHOME Mortgage Trust, Series 2022-RTL1, Class M (c) | | | 6.900 | % | | | 02/25/27 | | | | 1,250,000 | | | | 1,112,731 | |
New York Mortgage Trust, Series 2022-BPL1, Class A2 (c) | | | 4.948 | % | | | 11/25/27 | | | | 1,200,000 | | | | 1,107,784 | |
ROC Securities Trust, Series 2021-RTL1, Class A2 (c) | | | 3.351 | % | | | 08/25/26 | | | | 1,500,000 | | | | 1,324,088 | |
Toorak Mortgage Corp., Series 2021-1, Class A-1 (c) | | | 2.240 | % | | | 06/25/24 | | | | 510,000 | | | | 482,304 | |
Toorak Mortgage Corp., Series 2022-1, Class A2 (c) | | | 4.948 | % | | | 03/25/29 | | | | 1,000,000 | | | | 936,476 | |
| | | | | | | | | | | | | | | | 12,590,998 | |
Retail — 1.2% |
Aventura Mall Trust, Series 2018-AVM, Class C (a)(c) | | | 4.249 | % | | | 07/09/40 | | | | 650,000 | | | | 536,875 | |
BX Trust, Series 2021-VIEW, Class B (1* 1MO LIBOR + 180) (a)(c) | | | 6.118 | % | | | 06/15/36 | | | | 1,150,000 | | | | 1,078,276 | |
BX Trust, Series 2021-VIEW, Class E (1* 1MO LIBOR + 360) (a)(c) | | | 7.918 | % | | | 06/15/36 | | | | 2,500,000 | | | | 2,268,431 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Retail — 1.2% continued |
BX Trust, Series 2018-EXCL, Class C (1* 1MO LIBOR + 198) (a)(c) | | | 5.851 | % | | | 09/15/37 | | | $ | 238,540 | | | $ | 231,809 | |
Credit Suisse First Boston, Series 2018-SITE, Class A (c) | | | 4.284 | % | | | 04/17/36 | | | | 727,000 | | | | 693,510 | |
Credit Suisse First Boston, Series 2018-SITE, Class C (a)(c) | | | 4.941 | % | | | 04/17/36 | | | | 300,000 | | | | 281,292 | |
Credit Suisse First Boston, Series 2018-SITE, Class D (a)(c) | | | 4.941 | % | | | 04/17/36 | | | | 235,000 | | | | 216,546 | |
Wells Fargo Mortgage Trust, Series 2021-SAVE, Class B (1* 1MO LIBOR + 145) (a)(c) | | | 5.768 | % | | | 02/15/40 | | | | 681,766 | | | | 616,716 | |
Wells Fargo Mortgage Trust, Series 2021-SAVE, Class C (1* 1MO LIBOR + 180) (a)(c) | | | 6.118 | % | | | 02/15/40 | | | | 386,334 | | | | 345,598 | |
Wells Fargo Mortgage Trust, Series 2021-SAVE, Class D (1* 1MO LIBOR + 250) (a)(c) | | | 6.818 | % | | | 02/15/40 | | | | 909,022 | | | | 802,492 | |
| | | | | | | | | | | | | | | | 7,071,545 | |
Single Family Rental — 3.4% |
American Homes 4 Rent, Series 2014-SFR2, Class E (c) | | | 6.231 | % | | | 10/17/36 | | | | 300,000 | | | | 292,177 | |
American Homes 4 Rent, Series 2014-SFR2, Class D (c) | | | 3.678 | % | | | 12/17/36 | | | | 318,849 | | | | 306,951 | |
American Homes 4 Rent, Series 2014-SFR3, Class E (c) | | | 6.418 | % | | | 12/18/36 | | | | 300,000 | | | | 295,990 | |
American Homes 4 Rent, Series 2015-SFR1, Class A (c) | | | 3.467 | % | | | 04/17/52 | | | | 110,591 | | | | 105,312 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 75 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Single Family Rental — 3.4% continued |
Corevest American Finance Ltd., Series 2020-4, Class E (c) | | | 3.379 | % | | | 12/15/52 | | | $ | 750,000 | | | $ | 546,770 | |
Firstkey Homes Trust, Series 2022-SFR2, Class D (c) | | | 4.500 | % | | | 07/17/39 | | | | 1,250,000 | | | | 1,095,263 | |
Home Partners of America Trust, Series 2021-2, Class D (c) | | | 2.652 | % | | | 12/17/26 | | | | 972,229 | | | | 804,050 | |
Home Partners of America Trust, Series 2019-1, Class B (c) | | | 3.157 | % | | | 09/17/27 | | | | 485,680 | | | | 430,007 | |
Home Partners of America Trust, Series 2019-2, Class B (c) | | | 2.922 | % | | | 10/19/39 | | | | 600,480 | | | | 522,784 | |
Progress Residential Trust, Series 2019-SFR4, Class A (c) | | | 2.687 | % | | | 10/17/36 | | | | 375,000 | | | | 355,133 | |
Progress Residential Trust, Series 2020-SFR1, Class A (c) | | | 1.732 | % | | | 04/17/37 | | | | 3,443,807 | | | | 3,139,776 | |
Progress Residential Trust, Series 2021-SFR1, Class B (c) | | | 1.303 | % | | | 04/17/38 | | | | 3,400,000 | | | | 2,901,796 | |
Progress Residential Trust, Series 2021-SFR1, Class E (c) | | | 2.106 | % | | | 04/17/38 | | | | 1,058,000 | | | | 890,741 | |
Progress Residential Trust, Series 2021-SFR4, Class A (c) | | | 1.558 | % | | | 05/19/38 | | | | 2,500,000 | | | | 2,176,997 | |
Progress Residential Trust, Series 2022-SFR3, Class D (c) | | | 4.450 | % | | | 04/17/39 | | | | 1,550,000 | | | | 1,378,576 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Single Family Rental — 3.4% continued |
Progress Residential Trust, Series 2022-SFR5, Class D (c) | | | 5.734 | % | | | 06/17/39 | | | $ | 800,000 | | | $ | 732,011 | |
Progress Residential Trust, Series 2022-SFR5, Class E-1 (c) | | | 6.618 | % | | | 06/17/39 | | | | 800,000 | | | | 726,927 | |
Progress Residential Trust, Series 2021-SFR10, Class A (c) | | | 2.393 | % | | | 12/17/40 | | | | 1,999,536 | | | | 1,644,823 | |
Tricon Residential Trust, Series 2022-SFR2, Class D (c) | | | 6.230 | % | | | 07/17/40 | | | | 2,000,000 | | | | 1,869,078 | |
| | | | | | | | | | | | | | | | 20,215,162 | |
Small Business — 1.0% |
Credibility Asset Securitization, Series 2021-1A, Class A (c) | | | 2.390 | % | | | 04/15/26 | | | | 1,000,000 | | | | 944,361 | |
Credibility Asset Securitization, Series 2021-1A, Class C (c) | | | 3.380 | % | | | 04/15/26 | | | | 1,250,000 | | | | 1,146,744 | |
FORA Financial Asset Securitization, Series 2021-1A, Class C (c) | | | 3.850 | % | | | 05/15/27 | | | | 418,000 | | | | 380,054 | |
Newtek Small Business Loan Trust, Series 2018-1, Class A (1* Prime - 55) (a)(c) | | | 6.950 | % | | | 02/25/44 | | | | 395,236 | | | | 388,587 | |
Newtek Small Business Loan Trust, Series 2018-1, Class B (1* Prime + 75) (a)(c) | | | 8.250 | % | | | 02/25/44 | | | | 104,010 | | | | 102,696 | |
Newtek Small Business Loan Trust, Series 2019-01, Class A (1* Prime - 90) (a)(c) | | | 6.600 | % | | | 12/25/44 | | | | 475,678 | | | | 471,909 | |
76 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Small Business — 1.0% continued |
Newtek Small Business Loan Trust, Series 2022-1, Class B (1* SOFR + 375) (a)(c) | | | 7.750 | % | | | 10/25/49 | | | $ | 1,419,189 | | | $ | 1,398,563 | |
OnDeck Asset Securitization Trust, Series 2021-1A, Class B (c) | | | 2.280 | % | | | 05/17/27 | | | | 750,000 | | | | 674,684 | |
OnDeck Asset Securitization Trust, Series 2021-1A, Class C (c) | | | 2.970 | % | | | 05/17/27 | | | | 650,000 | | | | 577,763 | |
| | | | | | | | | | | | | | | | 6,085,361 | |
Student Loan — 1.1% |
College Ave Student Loans, Series 2018-A, Class B (c) | | | 4.750 | % | | | 12/26/47 | | | | 67,353 | | | | 63,079 | |
College Ave Student Loans, Series 2018-A, Class C (c) | | | 5.500 | % | | | 12/26/47 | | | | 61,927 | | | | 58,845 | |
College Ave Student Loans, Series 2019-A, Class C (c) | | | 4.460 | % | | | 12/28/48 | | | | 181,380 | | | | 168,779 | |
College Ave Student Loans, Series 2019-A, Class A1 (1* 1MO LIBOR + 140) (a)(c) | | | 5.789 | % | | | 12/28/48 | | | | 105,361 | | | | 102,032 | |
College Ave Student Loans, Series 2021-A, Class B (c) | | | 2.320 | % | | | 07/25/51 | | | | 537,595 | | | | 471,550 | |
College Ave Student Loans, Series 2021-A, Class D (c) | | | 4.120 | % | | | 07/25/51 | | | | 500,000 | | | | 447,703 | |
Laurel Road Prime Student Loan, Series 2018-B, Class A2 (c) | | | 3.540 | % | | | 05/26/43 | | | | 10,947 | | | | 10,743 | |
Laurel Road Prime Student Loan, Series 2019-A, Class A2FX (c) | | | 2.730 | % | | | 10/25/48 | | | | 57,408 | | | | 55,777 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Student Loan — 1.1% continued |
Prodigy Finance, Series 2021-1A, Class A (1* 1MO LIBOR + 125) (a)(c) | | | 5.294 | % | | | 07/25/51 | | | $ | 498,990 | | | $ | 482,150 | |
SMB Private Education Loan Trust, Series 2018-C, Class B (c) | | | 4.000 | % | | | 11/17/42 | | | | 200,000 | | | | 175,046 | |
Social Professional Loan Program, Series 2017-B, Class CFX (a)(c) | | | 4.440 | % | | | 05/25/40 | | | | 900,000 | | | | 801,117 | |
Social Professional Loan Program, Series 2017-E, Class C (c) | | | 4.160 | % | | | 11/26/40 | | | | 1,585,000 | | | | 1,380,327 | |
Social Professional Loan Program, Series 2020-A, Class BFX (c) | | | 3.120 | % | | | 05/15/46 | | | | 425,000 | | | | 329,550 | |
Social Professional Loan Program, Series 2018-D, Class BFX (c) | | | 4.140 | % | | | 02/25/48 | | | | 500,000 | | | | 443,159 | |
Social Professional Loan Program, Series 2019-B, Class BFX (c) | | | 3.730 | % | | | 08/17/48 | | | | 750,000 | | | | 599,585 | |
Social Professional Loan Program, Series 2019-C, Class BFX (c) | | | 3.050 | % | | | 11/16/48 | | | | 1,130,000 | | | | 886,128 | |
| | | | | | | | | | | | | | | | 6,475,570 | |
Unsecured Consumer — 5.2% |
Affirm, Inc., Series 2022-Z1, Class A (c) | | | 4.550 | % | | | 06/15/27 | | | | 1,308,784 | | | | 1,275,662 | |
Affirm, Inc., Series 2022-Z1, Class B (c) | | | 6.490 | % | | | 06/15/27 | | | | 1,500,000 | | | | 1,418,816 | |
Avant Loans Funding Trust, Series 2021-REV1, Class C (c) | | | 2.300 | % | | | 07/15/30 | | | | 1,800,000 | | | | 1,617,475 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 77 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Unsecured Consumer — 5.2% continued |
Freedom Financial Trust, Series 2022-3FP, Class D (c) | | | 7.360 | % | | | 08/20/29 | | | $ | 2,000,000 | | | $ | 1,929,182 | |
Lendmark Funding Trust, Series 2020-2A, Class C (c) | | | 4.690 | % | | | 04/21/31 | | | | 550,000 | | | | 460,367 | |
Lendmark Funding Trust, Series 2021-1A, Class C (c) | | | 3.410 | % | | | 11/20/31 | | | | 750,000 | | | | 593,466 | |
Mariner Finance Issuance Trust, Series 2021-AA, Class D (c) | | | 4.340 | % | | | 03/20/36 | | | | 1,000,000 | | | | 789,794 | |
Oportun Funding XIII, LLC, Series 2019-13, Class B (c) | | | 3.870 | % | | | 08/08/25 | | | | 361,229 | | | | 348,359 | |
Oportun Funding XIV, LLC, Series 2021-A, Class C (c) | | | 3.440 | % | | | 03/08/28 | | | | 1,850,000 | | | | 1,704,098 | |
Oportun Funding, LLC, Series 2022-1, Class C (c) | | | 6.000 | % | | | 06/15/29 | | | | 1,000,000 | | | | 955,237 | |
Oportun Funding, LLC, Series 2021-B, Class A (c) | | | 1.470 | % | | | 05/08/31 | | | | 2,345,000 | | | | 2,048,184 | |
Oportun Funding, LLC, Series 2021-B, Class C (c) | | | 3.650 | % | | | 05/08/31 | | | | 650,000 | | | | 545,703 | |
Oportun Funding, LLC, Series 2021-C, Class A (c) | | | 2.180 | % | | | 10/08/31 | | | | 2,260,000 | | | | 1,977,078 | |
Opportunity Funding LLC, Series 2021-A, Class B (c) | | | 1.760 | % | | | 03/08/28 | | | | 1,540,000 | | | | 1,426,301 | |
Opportunity Funding, LLC, Series 2022-A, Class C (c) | | | 7.400 | % | | | 06/09/31 | | | | 1,500,000 | | | | 1,366,786 | |
Reach Financial, LLC, Series 2021-1A, Class B (c) | | | 2.170 | % | | | 05/15/29 | | | | 1,500,000 | | | | 1,368,154 | |
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Unsecured Consumer — 5.2% continued |
Regional Management Issuance Trust, Series 2020-1, Class A (c) | | | 2.340 | % | | | 10/15/30 | | | $ | 1,600,000 | | | $ | 1,487,113 | |
Regional Management Issuance Trust, Series 2021-1, Class C (c) | | | 3.040 | % | | | 03/17/31 | | | | 1,000,000 | | | | 839,971 | |
Regional Management Issuance Trust, Series 2021-2, Class C (c) | | | 3.230 | % | | | 08/15/33 | | | | 650,000 | | | | 515,124 | |
Republic Finance, Series 2020-A, Class B (c) | | | 3.540 | % | | | 11/20/30 | | | | 1,185,000 | | | | 1,084,300 | |
Upgrade Master Pass-Through Trust, Series 2019-ST1, Class A (c) | | | 4.000 | % | | | 07/15/25 | | | | 10,301 | | | | 10,219 | |
Upgrade Master Pass-Through Trust, Series 2019-ST3, Class A (c) | | | 3.750 | % | | | 11/15/25 | | | | 6,882 | | | | 6,872 | |
Upstart Pass-Through Trust, Series 2021-ST2, Class A (c) | | | 2.500 | % | | | 04/20/27 | | | | 492,315 | | | | 460,268 | |
Upstart Pass-Through Trust, Series 2021-ST4, Class A (c) | | | 2.000 | % | | | 07/20/27 | | | | 1,439,011 | | | | 1,330,663 | |
Upstart Pass-Through Trust, Series 2022-ST1, Class A (c) | | | 2.600 | % | | | 03/20/30 | | | | 666,728 | | | | 624,590 | |
Upstart Securitization Trust, Series 2021-ST1, Class A (c) | | | 2.750 | % | | | 02/20/27 | | | | 357,891 | | | | 340,618 | |
Upstart Securitization Trust, Series 2021-3, Class B (c) | | | 1.660 | % | | | 07/20/31 | | | | 500,000 | | | | 464,947 | |
Upstart Securitization Trust, Series 2022-4, Class A (c) | | | 5.980 | % | | | 08/20/32 | | | | 2,269,638 | | | | 2,225,690 | |
78 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
| | Coupon | | | Maturity | | | Par Value | | | Fair
Value | |
Securitized — 65.7% continued |
Unsecured Consumer — 5.2% continued |
Upstart Structured Pass-Through Trust, Series 2022-2A, Class A | | | 4.250 | % | | | 02/15/46 | | | $ | 1,367,805 | | | $ | 1,309,523 | |
| | | | | | | | | | | | | | | | 30,524,560 | |
| |
Total Securitized |
(Cost $424,496,081) | | $ | 387,115,286 | |
| |
Treasury — 13.9% |
U.S. Treasury Inflation-Protected Notes | | | 0.500 | % | | | 04/15/24 | | | | 5,316,570 | | | | 5,170,009 | |
U.S. Treasury Notes | | | 1.625 | % | | | 02/15/26 | | | | 5,000,000 | | | | 4,624,219 | |
U.S. Treasury Notes (b) | | | 2.250 | % | | | 08/15/27 | | | | 2,000,000 | | | | 1,850,078 | |
U.S. Treasury Notes | | | 0.500 | % | | | 10/31/27 | | | | 5,250,000 | | | | 4,440,557 | |
U.S. Treasury Notes (b) | | | 1.250 | % | | | 09/30/28 | | | | 8,000,000 | | | | 6,870,625 | |
U.S. Treasury Notes | | | 0.625 | % | | | 08/15/30 | | | | 2,000,000 | | | | 1,574,297 | |
U.S. Treasury Notes (b) | | | 0.875 | % | | | 11/15/30 | | | | 1,000,000 | | | | 799,297 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 11/15/31 | | | | 2,000,000 | | | | 1,399,741 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 02/15/33 | | | | 2,000,000 | | | | 1,322,179 | |
U.S. Treasury STRIPS (b) | | | 0.000 | % | | | 05/15/33 | | | | 2,100,000 | | | | 1,378,374 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 08/15/33 | | | | 4,000,000 | | | | 2,595,409 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 08/15/34 | | | | 6,000,000 | | | | 3,714,985 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 11/15/34 | | | | 3,000,000 | | | | 1,838,319 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 05/15/35 | | | | 3,000,000 | | | | 1,798,995 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 02/15/36 | | | | 10,250,000 | | | | 5,965,674 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 02/15/37 | | | | 6,500,000 | | | | 3,618,349 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 02/15/38 | | | | 6,000,000 | | | | 3,175,965 | |
U.S. Treasury STRIPS | | | 0.000 | % | | | 11/15/38 | | | | 6,000,000 | | | | 3,089,428 | |
U.S. Treasury Bonds | | | 1.125 | % | | | 08/15/40 | | | | 16,000,000 | | | | 9,936,250 | |
U.S. Treasury Bonds | | | 1.375 | % | | | 11/15/40 | | | | 3,750,000 | | | | 2,437,939 | |
Treasury — 13.9% continued |
U.S. Treasury STRIPS | | | 0.000 | % | | | 08/15/41 | | | $ | 1,000,000 | | | $ | 452,062 | |
U.S. Treasury Inflation-Protected Notes | | | 0.625 | % | | | 02/15/43 | | | | 2,592,080 | | | | 2,089,695 | |
U.S. Treasury Bonds | | | 2.250 | % | | | 08/15/46 | | | | 1,780,000 | | | | 1,259,698 | |
U.S. Treasury Bonds | | | 3.000 | % | | | 02/15/48 | | | | 3,000,000 | | | | 2,458,945 | |
U.S. Treasury Bonds | | | 1.250 | % | | | 05/15/50 | | | | 14,850,000 | | | | 7,991,736 | |
Total Treasury |
(Cost $95,021,682) | | $ | 81,852,825 | |
| |
| | Shares | | | Fair
Value | |
Registered Investment Companies — 6.3% |
State Street Institutional Liquid Reserves Fund — Premier Class, 4.41% (g) | | | 18,148,392 | | | | 18,153,836 | |
State Street Navigator Securities Lending Portfolio I, 4.48% (g)(h) | | | 19,205,215 | | | | 19,205,215 | |
Total Registered Investment Companies |
(Cost $37,358,675) | | $ | 37,359,051 | |
| | | | | | | | | |
Total Investment Securities — 103.4% |
(Cost $669,663,588) | | $ | 609,002,214 | |
| |
Liabilities in Excess of Other Assets — (3.4)% | | | | | | | (20,126,734 | ) |
| | | | | | | | | |
Net Assets — 100.0% | | | | | | $ | 588,875,480 | |
| |
(a) | Variable rate security. The rate shown is the effective interest rate as of December 31, 2022. The benchmark on which the rate is calculated is shown parenthetically, if applicable. Certain variable rate securities are not based on a published rate and spread but are determined by the issuer or agent and may be based on index changes, prerepayment of underlying positions and/or other variables. These securities do not indicate a reference rate and spread in their description above. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $22,752,303. |
(c) | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities have been deemed liquid under procedures approved by the Fund’s Board of Trustees and may normally be sold to qualified institutional buyers in transactions |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 79 |
Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2022
exempt from registration. The total fair value of these securities as of 12/31/2022 was $237,016,590, representing 40.2% of net assets.
(d) | Illiquid security as determined under procedures approved by the Board of Trustees. The total fair value of these securities as of December 31, 2022 was $16,300,382, representing 2.8% of net assets. |
(e) | Security fair valued under procedures established by the Board of Trustees. The total value of these securities as of December 31, 2022 was $4,660,745, representing 0.8% of net assets. |
(f) | Percentage rounds to less than 0.1%. |
(g) | The rate shown is the 7-day effective yield as of December 31, 2022. |
(h) | This security was purchased using cash collateral held from securities on loan. |
BKNT — Bank Note
BV — Besloten Vennootschap
CV — Convertible Security
GMTN — Global Medium-Term Note
IO — Interest Only
LIBOR — London Interbank Offered Rate
NA — National Association
NV — Naamloze Vennootschap
plc — Public Limited Company
PO — Principal Only
Prime — Short-term interest rate in the banking system of the U.S.
REIT — Real Estate Investment Trust
SA — Societe Anonyme
SOFR — Secured Overnight Financing Rate
TSFR — CME Term SOFR
UA — Uitgesloten Aansprakelijkheid
See accompanying notes to financial statements.
80 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Tabular Presentation of Schedules of Investments
December 31, 2022 (Unaudited)
Diamond Hill Small Cap Fund |
Sector Allocation | % of
Net Assets |
Financials | 23.6% |
Industrials | 18.0% |
Consumer Discretionary | 14.9% |
Consumer Staples | 11.5% |
Materials | 7.9% |
Information Technology | 7.8% |
Health Care | 5.1% |
Real Estate | 4.5% |
Energy | 3.5% |
Utilities | 1.4% |
Communication Services | 0.8% |
Registered Investment Companies | 4.5% |
Other | |
Net Other Assets (Liabilities) | -3.5% |
| | 100.0% |
| | |
Russell 2000 Index
Sector Allocation | % of
Index |
Financials | 17.2% |
Industrials | 15.5% |
Consumer Discretionary | 10.4% |
Consumer Staples | 3.6% |
Materials | 4.3% |
Information Technology | 12.7% |
Health Care | 16.9% |
Real Estate | 6.5% |
Energy | 6.8% |
Utilities | 3.5% |
Communication Services | 2.6% |
| | 100.0% |
Diamond Hill Small-Mid Cap Fund |
Sector Allocation | % of
Net Assets |
Financials | 23.5% |
Industrials | 21.4% |
Consumer Discretionary | 13.2% |
Consumer Staples | 10.3% |
Real Estate | 8.7% |
Information Technology | 7.3% |
Utilities | 3.8% |
Health Care | 3.3% |
Energy | 3.2% |
Materials | 2.8% |
Communication Services | 1.3% |
Registered Investment Companies | 5.7% |
Other | |
Net Other Assets (Liabilities) | -4.5% |
| | 100.0% |
| | |
Russell 2500 Index
Sector Allocation | % of
Index |
Financials | 16.1% |
Industrials | 17.9% |
Consumer Discretionary | 11.3% |
Consumer Staples | 3.4% |
Real Estate | 8.0% |
Information Technology | 13.7% |
Utilities | 3.1% |
Health Care | 12.9% |
Energy | 5.3% |
Materials | 5.8% |
Communication Services | 2.5% |
| | 100.0% |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 81 |
Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2022 (Unaudited)
Diamond Hill Mid Cap Fund |
Sector Allocation | % of
Net Assets |
Financials | 24.8% |
Industrials | 17.8% |
Consumer Discretionary | 12.2% |
Real Estate | 9.1% |
Information Technology | 8.5% |
Consumer Staples | 8.4% |
Materials | 6.1% |
Health Care | 4.3% |
Utilities | 3.9% |
Energy | 2.3% |
Communication Services | 1.3% |
Registered Investment Companies | 2.2% |
Other | |
Net Other Assets (Liabilities) | -0.9% |
| | 100.0% |
| | |
Russell Midcap Index
Sector Allocation | % of
Index |
Financials | 13.9% |
Industrials | 15.7% |
Consumer Discretionary | 11.8% |
Real Estate | 7.6% |
Information Technology | 15.4% |
Consumer Staples | 3.7% |
Materials | 6.3% |
Health Care | 11.0% |
Utilities | 6.0% |
Energy | 5.3% |
Communication Services | 3.3% |
| | 100.0% |
Diamond Hill Large Cap Fund |
Sector Allocation | % of
Net Assets |
Financials | 23.0% |
Health Care | 16.2% |
Industrials | 14.1% |
Consumer Discretionary | 13.6% |
Information Technology | 8.1% |
Communication Services | 6.2% |
Materials | 5.9% |
Energy | 5.1% |
Consumer Staples | 3.3% |
Real Estate | 2.4% |
Utilities | 1.3% |
Registered Investment Companies | 3.4% |
Other | |
Net Other Assets (Liabilities) | -2.6% |
| | 100.0% |
| | |
Russell 1000 Index
Sector Allocation | % of
Index |
Financials | 12.0% |
Health Care | 15.5% |
Industrials | 9.4% |
Consumer Discretionary | 9.9% |
Information Technology | 25.2% |
Communication Services | 7.0% |
Materials | 2.9% |
Energy | 5.2% |
Consumer Staples | 6.8% |
Real Estate | 3.1% |
Utilities | 3.0% |
| | 100.0% |
82 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2022 (Unaudited)
Diamond Hill Large Cap Concentrated
Fund |
Sector Allocation | % of
Net Assets |
Financials | 22.7% |
Consumer Discretionary | 17.1% |
Health Care | 14.5% |
Industrials | 13.0% |
Information Technology | 8.8% |
Energy | 6.0% |
Consumer Staples | 5.7% |
Communication Services | 5.0% |
Materials | 4.1% |
Registered Investment Companies | 4.1% |
Other | |
Net Other Assets (Liabilities) | -1.0% |
| | 100.0% |
| | |
Russell 1000 Index
Sector Allocation | % of
Index |
Financials | 12.0% |
Consumer Discretionary | 9.9% |
Health Care | 15.5% |
Industrials | 9.4% |
Information Technology | 25.2% |
Energy | 5.2% |
Consumer Staples | 6.8% |
Communication Services | 7.0% |
Materials | 2.9% |
Real Estate | 3.1% |
Utilities | 3.0% |
| | 100.0% |
Diamond Hill Select Fund |
Sector Allocation | % of
Net Assets |
Financials | 28.4% |
Industrials | 24.9% |
Consumer Discretionary | 18.8% |
Information Technology | 10.0% |
Consumer Staples | 5.7% |
Communication Services | 5.5% |
Materials | 4.3% |
Health Care | 3.1% |
Registered Investment Companies | 6.0% |
Other | |
Net Other Assets (Liabilities) | -6.7% |
| | 100.0% |
| | |
Russell 3000 Index
Sector Allocation | % of
Index |
Financials | 12.3% |
Industrials | 9.7% |
Consumer Discretionary | 10.0% |
Information Technology | 24.4% |
Consumer Staples | 6.6% |
Communication Services | 6.8% |
Materials | 3.0% |
Health Care | 15.5% |
Energy | 5.3% |
Real Estate | 3.3% |
Utilities | 3.1% |
| | 100.0% |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 83 |
Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2022 (Unaudited)
Diamond Hill Long-Short Fund |
Long Portfolio
Sector Allocation | % of
Net Assets |
Financials | 21.7% |
Information Technology | 15.0% |
Health Care | 14.5% |
Communication Services | 9.9% |
Industrials | 9.3% |
Consumer Discretionary | 5.1% |
Energy | 3.7% |
Consumer Staples | 3.2% |
Materials | 2.5% |
Utilities | 1.2% |
Registered Investment Companies | 26.4% |
Treasury | 6.6% |
| | |
Short Portfolio
Sector Allocation | % of
Net Assets |
Consumer Discretionary | -5.2% |
Information Technology | -5.1% |
Consumer Staples | -4.7% |
Industrials | -3.8% |
Financials | -3.7% |
Health Care | -2.6% |
Utilities | -2.0% |
Materials | -0.7% |
Communication Services | -0.2% |
Real Estate | -0.1% |
Energy | -0.1% |
Other | |
Segregated Cash With Custodian | 29.0% |
Net Other Assets (Liabilities) | -19.9% |
| | 100.0% |
| | |
Russell 1000 Index
Sector Allocation | % of
Index |
Financials | 12.0% |
Information Technology | 25.2% |
Health Care | 15.5% |
Communication Services | 7.0% |
Industrials | 9.4% |
Consumer Discretionary | 9.9% |
Energy | 5.2% |
Consumer Staples | 6.8% |
Materials | 2.9% |
Utilities | 3.0% |
Real Estate | 3.1% |
| | 100.0% |
Diamond Hill International Fund | |
Sector Allocation | % of
Net Assets |
Financials | 18.7% |
Consumer Staples | 16.8% |
Health Care | 14.0% |
Communication Services | 12.4% |
Industrials | 10.0% |
Consumer Discretionary | 9.8% |
Information Technology | 9.4% |
Materials | 4.3% |
Energy | 1.9% |
Registered Investment Companies | 8.8% |
Other | |
Net Other Assets (Liabilities) | -6.1% |
| | 100.0% |
| | |
MSCI ACWI ex USA Index | % of
Index |
Financials | 21.0% |
Consumer Staples | 8.9% |
Health Care | 9.8% |
Communication Services | 5.9% |
Industrials | 12.3% |
Consumer Discretionary | 11.4% |
Information Technology | 10.7% |
Materials | 8.4% |
Energy | 6.0% |
Utilities | 3.3% |
Real Estate | 2.3% |
| | 100.0% |
84 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2022 (Unaudited)
Diamond Hill Short Duration Total Return Fund | |
Sector Allocation | % of
Net Assets |
Securitized | 86.7% |
Corporate Credit | 5.8% |
Treasury | 6.5% |
Registered Investment Companies | 1.8% |
Other | |
Net Other Assets (Liabilities) | -0.8% |
| | 100.0% |
| | |
Bloomberg US 1-3 Yr. Gov./
Credit Index Sector Allocation | % of
Index |
Treasury | 67.0% |
Corporate Credit | 23.4% |
Non-Corporate Credit | 6.0% |
Agency | 3.6% |
| | 100.0% |
Diamond Hill Core Bond Fund |
Sector Allocation | % of
Net Assets |
Securitized | 65.7% |
Treasury | 13.9% |
Corporate Credit | 17.3% |
Government Related | 0.2% |
Registered Investment Companies | 6.3% |
Other | |
Net Other Assets (Liabilities) | -3.4% |
| | 100.0% |
| | |
Bloomberg US Aggregate Bond Index |
Sector Allocation | % of
Index |
Treasury | 40.6% |
Agency RMBS/CMBS | 28.4% |
Corporate Credit | 24.4% |
Non-Corporate Credit | 3.9% |
Agency | 1.2% |
Non-Agency RMBS/CMBS | 1.0% |
Asset-Backed Securities | 0.5% |
| | 100.0% |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 85 |
Diamond Hill Funds
Statements of Assets & Liabilities
December 31, 2022
| | | Small Cap
Fund | | | Small-Mid
Cap
Fund | | | Mid Cap
Fund | |
Assets | | | | | | | | | | | | |
Investment in unaffiliated securities, at cost | | $ | 180,868,412 | | | $ | 1,596,212,238 | | | $ | 132,435,682 | |
Investment in affiliated securities, at cost | | | — | | | | 9,339,633 | | | | — | |
Investment in unaffiliated securities, at fair value* | | $ | 295,832,792 | | | $ | 1,979,104,758 | | | $ | 188,918,452 | |
Investment affiliated securities, at fair value | | | — | | | | 8,793,801 | | | | — | |
Cash | | | — | | | | — | | | | — | |
Cash denominated in foreign currency (Cost $—,$—, $—, $—, $—, $—, $—, $19,698, $—, and $—) | | | — | | | | — | | | | — | |
Cash deposits with custodian for securities sold short | | | — | | | | — | | | | — | |
Receivable for investments sold | | | — | | | | — | | | | — | |
Receivable for fund shares issued | | | 457,533 | | | | 1,686,282 | | | | 101,053 | |
Receivable for dividends and interest | | | 215,995 | | | | 2,165,027 | | | | 230,772 | |
Tax reclaims receivable | | | — | | | | — | | | | — | |
Total Assets | | | 296,506,320 | | | | 1,991,749,868 | | | | 189,250,277 | |
| | | | | | | | | | | | | |
Liabilities | | | | | | | | | | | | |
Investments sold short, at fair value (proceeds $—, $—, $—, $—, $—, $—, $545,382,701, $—, $—, and $—) | | | — | | | | — | | | | — | |
Due to custodian | | | — | | | | — | | | | — | |
Payable for securities purchased | | | — | | | | — | | | | — | |
Payable for fund shares redeemed | | | 829,861 | | | | 4,313,070 | | | | 374,891 | |
Payable for dividend expense on securities sold short | | | — | | | | — | | | | — | |
Payable for return of collateral received for securities on loan | | | 9,523,866 | | | | 83,652,229 | | | | 1,512,836 | |
Payable to Investment Adviser | | | 207,563 | | | | 1,240,337 | | | | 97,321 | |
Payable to Administrator | | | 44,491 | | | | 191,414 | | | | 27,036 | |
Accrued distribution fees | | | 17,944 | | | | 35,281 | | | | 5,141 | |
Other accrued expenses | | | 1,121 | | | | 100 | | | | 100 | |
Total Liabilities | | | 10,624,846 | | | | 89,432,431 | | | | 2,017,325 | |
| | | | | | | | | | | | | |
Net Assets | | $ | 285,881,474 | | | $ | 1,902,317,437 | | | $ | 187,232,952 | |
| | | | | | | | | | | | | |
Components of Net Assets | | | | | | | | | | | | |
Paid-in capital | | $ | 158,035,927 | | | $ | 1,524,790,716 | | | $ | 140,061,254 | |
Distributable earnings (accumulated deficit) | | | 127,845,547 | | | | 377,526,721 | | | | 47,171,698 | |
Net Assets | | $ | 285,881,474 | | | $ | 1,902,317,437 | | | $ | 187,232,952 | |
Net Assets | | | | | | | | | | | | |
Investor Shares | | $ | 79,633,950 | | | $ | 163,973,749 | | | $ | 23,932,059 | |
Class I Shares | | $ | 187,655,671 | | | $ | 813,600,074 | | | $ | 150,772,407 | |
Class Y Shares | | $ | 18,591,853 | | | $ | 924,743,614 | | | $ | 12,528,486 | |
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | | | | | | | | | | | | |
Investor Shares | | | 3,177,716 | | | | 7,118,438 | | | | 1,561,199 | |
Class I Shares | | | 7,310,204 | | | | 34,909,138 | | | | 9,799,927 | |
Class Y Shares | | | 722,921 | | | | 39,576,935 | | | | 811,701 | |
Net Asset Value, offering and redemption price per share: | | | | | | | | | | | | |
Investor Shares | | $ | 25.06 | | | $ | 23.04 | | | $ | 15.33 | |
Class I Shares | | $ | 25.67 | | | $ | 23.31 | | | $ | 15.39 | |
Class Y Shares | | $ | 25.72 | | | $ | 23.37 | | | $ | 15.43 | |
* Includes value of securities on loan | | $ | 14,738,257 | | | $ | 85,297,184 | | | $ | 1,480,252 | |
See accompanying Notes to Financial Statements.
86 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Large Cap
Fund | | | Large Cap
Concentrated
Fund | | | Select
Fund | | | Long-Short
Fund | | | International
Fund | | | Short Duration
Securitized
Bond Fund | | | Core Bond
Fund | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 7,240,414,172 | | | $ | 23,112,039 | | | $ | 300,363,543 | | | $ | 1,659,662,378 | | | $ | 59,142,605 | | | $ | 1,238,752,278 | | | $ | 669,663,588 | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | $ | 8,709,442,358 | | | $ | 23,366,356 | | | $ | 345,758,627 | | | $ | 2,087,769,714 | | | $ | 54,721,174 | | | $ | 1,157,525,604 | | | $ | 609,002,214 | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | 88,358 | |
| | | — | | | | — | | | | — | | | | — | | | | 19,819 | | | | — | | | | — | |
| | | — | | | | — | | | | — | | | | 507,722,183 | | | | — | | | | — | | | | — | |
| | | — | | | | — | | | | 659,861 | | | | 5,546,199 | | | | — | | | | — | | | | — | |
| | | 9,701,259 | | | | — | | | | 193,586 | | | | 1,861,163 | | | | — | | | | 6,841,040 | | | | 3,635,188 | |
| | | 7,549,690 | | | | 20,453 | | | | 102,003 | | | | 4,292,874 | | | | 69,731 | | | | 2,869,016 | | | | 2,303,131 | |
| | | — | | | | — | | | | — | | | | — | | | | 35,985 | | | | — | | | | — | |
| | | 8,726,693,307 | | | | 23,386,809 | | | | 346,714,077 | | | | 2,607,192,133 | | | | 54,846,709 | | | | 1,167,235,660 | | | | 615,028,891 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | — | | | | — | | | | 493,674,798 | | | | — | | | | — | | | | — | |
| | | — | | | | — | | | | — | | | | 63,507 | | | | — | | | | | | | | — | |
| | | 21,798,227 | | | | — | | | | 661,942 | | | | 3,504,761 | | | | 129,625 | | | | — | | | | 4,702,327 | |
| | | 16,624,218 | | | | — | | | | 7,275,658 | | | | 2,158,358 | | | | — | | | | 17,145,424 | | | | 2,013,777 | |
| | | — | | | | — | | | | — | | | | 408,311 | | | | — | | | | — | | | | — | |
| | | 193,290,055 | | | | 227,580 | | | | 14,571,422 | | | | 353,268,810 | | | | 3,084,847 | | | | 1,335,575 | | | | 19,205,215 | |
| | | 3,748,096 | | | | 9,950 | | | | 203,528 | | | | 1,368,547 | | | | 28,455 | | | | 347,960 | | | | 151,388 | |
| | | 1,062,485 | | | | 1,939 | | | | 44,525 | | | | 260,661 | | | | 3,290 | | | | 163,403 | | | | 80,091 | |
| | | 168,651 | | | | 6 | | | | 6,535 | | | | 27,293 | | | | 57 | | | | 6,190 | | | | 513 | |
| | | 8,918 | | | | 100 | | | | 100 | | | | 100 | | | | 1,400 | | | | 100 | | | | 100 | |
| | | 236,700,650 | | | | 239,575 | | | | 22,763,710 | | | | 854,735,146 | | | | 3,247,674 | | | | 18,998,652 | | | | 26,153,411 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 8,489,992,657 | | | $ | 23,147,234 | | | $ | 323,950,367 | | | $ | 1,752,456,987 | | | $ | 51,599,035 | | | $ | 1,148,237,008 | | | $ | 588,875,480 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 7,083,534,278 | | | $ | 23,516,979 | | | $ | 284,356,197 | | | $ | 1,289,254,418 | | | $ | 57,336,407 | | | $ | 1,239,395,449 | | | $ | 664,168,567 | |
| | | 1,406,458,379 | | | | (369,745 | ) | | | 39,594,170 | | | | 463,202,569 | | | | (5,737,372 | ) | | | (91,158,441 | ) | | | (75,293,087 | ) |
| | $ | 8,489,992,657 | | | $ | 23,147,234 | | | $ | 323,950,367 | | | $ | 1,752,456,987 | | | $ | 51,599,035 | | | $ | 1,148,237,008 | | | $ | 588,875,480 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 776,808,709 | | | $ | 23,315 | | | $ | 28,807,968 | | | $ | 126,772,530 | | | $ | 266,834 | | | $ | 29,352,147 | | | $ | 3,572,085 | |
| | $ | 5,416,847,306 | | | $ | 9,107,153 | | | $ | 238,051,366 | | | $ | 1,604,035,422 | | | $ | 10,728,989 | | | $ | 1,054,124,280 | | | $ | 526,371,610 | |
| | $ | 2,296,336,642 | | | $ | 14,016,766 | | | $ | 57,091,033 | | | $ | 21,649,035 | | | $ | 40,603,212 | | | $ | 64,760,581 | | | $ | 58,931,785 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 26,912,531 | | | | 2,258 | | | | 1,691,660 | | | | 5,255,380 | | | | 18,680 | | | | 3,117,017 | | | | 400,512 | |
| | | 186,528,332 | | | | 886,271 | | | | 13,778,376 | | | | 64,275,248 | | | | 751,005 | | | | 111,965,036 | | | | 59,132,168 | |
| | | 79,032,277 | | | | 1,362,717 | | | | 3,288,917 | | | | 862,120 | | | | 2,839,196 | | | | 6,871,263 | | | | 6,616,429 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 28.86 | | | $ | 10.33 | | | $ | 17.03 | | | $ | 24.12 | | | $ | 14.28 | | | $ | 9.42 | | | $ | 8.92 | |
| | $ | 29.04 | | | $ | 10.28 | | | $ | 17.28 | | | $ | 24.96 | | | $ | 14.29 | | | $ | 9.41 | | | $ | 8.90 | |
| | $ | 29.06 | | | $ | 10.29 | | | $ | 17.36 | | | $ | 25.11 | | | $ | 14.30 | | | $ | 9.42 | | | $ | 8.91 | |
| | $ | 216,175,869 | | | $ | 221,404 | | | $ | 14,676,114 | | | $ | 344,642,062 | | | $ | 3,587,688 | | | $ | 2,368,503 | | | $ | 22,752,303 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 87 |
Diamond Hill Funds
Statements of Operations
For the Year ended December 31, 2022
| | | Small Cap
Fund | | | Small-Mid
Cap
Fund | | | Mid Cap
Fund | | | Large Cap
Fund | | | Large Cap
Concentrated
Fund | |
Investment Income | | | | | | | | | | | | | | | | | | | | |
Dividends | | $ | 6,490,033 | | | $ | 33,987,959 | | | $ | 3,443,054 | | | $ | 190,027,076 | | | $ | 383,438 | |
Income distributions from affiliated investments | | | — | | | | 436,914 | | | | 3,806 | | | | — | | | | — | |
Securities lending income | | | 64,155 | | | | 246,233 | | | | 9,309 | | | | 297,264 | | | | 2,797 | |
Foreign taxes withheld | | | — | | | | — | | | | (5,901 | ) | | | (3,231 | ) | | | — | |
Total Investment Income | | | 6,554,188 | | | | 34,671,106 | | | | 3,450,268 | | | | 190,321,109 | | | | 386,235 | |
| | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 3,365,529 | | | | 15,602,706 | | | | 1,360,969 | | | | 52,103,921 | | | | 100,154 | |
Administration fees | | | 708,264 | | | | 2,429,065 | | | | 372,407 | | | | 14,760,955 | | | | 16,974 | |
Distribution and service fees — Investor | | | 256,558 | | | | 448,325 | | | | 69,423 | | | | 2,156,406 | | | | 123 | |
Other fees | | | 8,217 | | | | 5,042 | | | | 1,669 | | | | 30,086 | | | | 1,235 | |
Total Expenses | | | 4,338,568 | | | | 18,485,138 | | | | 1,804,468 | | | | 69,051,368 | | | | 118,486 | |
Advisory fees waived by Adviser | | | — | | | | (46,615 | ) | | | (879 | ) | | | — | | | | — | |
Net Expenses | | | 4,338,568 | | | | 18,438,523 | | | | 1,803,589 | | | | 69,051,368 | | | | 118,486 | |
| | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | 2,215,620 | | | | 16,232,583 | | | | 1,646,679 | | | | 121,269,741 | | | | 267,749 | |
| | | | | | | | | | | | | | | | | | | | | |
Realized and Unrealized Gains (Losses) on Investments | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) on investment transactions | | | 77,618,996 | | | | 86,225,170 | | | | 14,619,241 | | | | 448,861,281 | | | | (486,077 | ) |
Net realized gains from in-kind redemptions | | | 2,023,791 | | | | 1,486,602 | | | | 1,047,816 | | | | 89,816,969 | | | | — | |
Net realized losses on sales from affiliated investments | | | — | | | | (349,205 | ) | | | (14,891 | ) | | | — | | | | — | |
Net change in unrealized appreciation (depreciation) on unaffiliated investments | | | (157,510,132 | ) | | | (420,773,559 | ) | | | (52,341,502 | ) | | | (2,356,203,019 | ) | | | (2,075,074 | ) |
Net change in unrealized appreciation (depreciation) on affiliated investments | | | — | | | | (697,464 | ) | | | (4,990 | ) | | | — | | | | — | |
Net Realized and Unrealized Losses on Investments | | | (77,867,345 | ) | | | (334,108,426 | ) | | | (36,694,326 | ) | | | (1,817,524,769 | ) | | | (2,561,151 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Change in Net Assets from Operations | | $ | (75,651,725 | ) | | $ | (317,875,843 | ) | | $ | (35,047,647 | ) | | $ | (1,696,255,028 | ) | | $ | (2,293,402 | ) |
See accompanying Notes to Financial Statements.
88 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Operations
For the Year ended December 31, 2022
| | | Select
Fund | | | Long-Short
Fund | | | International
Fund | | | Short Duration
Securitized
Bond Fund | | | Core Bond
Fund | |
Investment Income | | | | | | | | | | | | | | | | | | | | |
Dividends | | $ | 4,105,327 | | | $ | 33,775,537 | | | $ | 1,228,039 | | | $ | 514,461 | | | $ | 387,722 | |
Income distributions from affiliated investments | | | — | | | | 313,247 | | | | — | | | | — | | | | — | |
Securities lending income | | | 15,580 | | | | 454,891 | | | | 7,074 | | | | 24,861 | | | | 37,509 | |
Rebates on short sales, net of fees | | | — | | | | 4,939,998 | | | | — | | | | — | | | | — | |
Foreign taxes withheld | | | — | | | | — | | | | (93,035 | ) | | | — | | | | — | |
Interest | | | — | | | | 1,302,663 | | | | — | | | | 54,595,246 | | | | 16,486,673 | |
Total Investment Income | | | 4,120,907 | | | | 40,786,336 | | | | 1,142,078 | | | | 55,134,568 | | | | 16,911,904 | |
| | | | | | | | | | | | | | | | | | | | | |
Expenses | | | | | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 2,705,005 | | | | 17,510,988 | | | | 333,357 | | | | 4,756,636 | | | | 1,500,220 | |
Administration fees | | | 559,526 | | | | 3,336,609 | | | | 38,305 | | | | 2,217,751 | | | | 793,294 | |
Distribution and service fees — Investor | | | 80,425 | | | | 363,666 | | | | 949 | | | | 89,050 | | | | 37,343 | |
Other fees | | | 4,518 | | | | 6,674 | | | | 21,958 | | | | 3,830 | | | | 1,776 | |
Dividend expense | | | — | | | | 8,117,997 | | | | — | | | | — | | | | — | |
Total Expenses | | | 3,349,474 | | | | 29,335,934 | | | | 394,569 | | | | 7,067,267 | | | | 2,332,633 | |
Advisory fees waived by Adviser | | | — | | | | (40,366 | ) | | | — | | | | — | | | | — | |
Net Expenses | | | 3,349,474 | | | | 29,295,568 | | | | 394,569 | | | | 7,067,267 | | | | 2,332,633 | |
| | | | | | | | | | | | | | | | | | | | | |
Net Investment Income | | | 771,433 | | | | 11,490,768 | | | | 747,509 | | | | 48,067,301 | | | | 14,579,271 | |
| | | | | | | | | | | | | | | | | | | | | |
Realized and Unrealized Gains (Losses) on Investments | | | | | | | | | | | | | | | | | | | | |
Net realized gains (losses) on investment transactions | | | 11,027,335 | | | | 24,768,688 | | | | (1,059,472 | ) | | | (9,770,136 | ) | | | (13,666,638 | ) |
Net realized gains from in-kind redemptions | | | 3,029,507 | | | | — | | | | — | | | | — | | | | — | |
Net realized gains on closed short positions | | | — | | | | 8,434,138 | | | | — | | | | — | | | | — | |
Net realized losses on sales from affiliated investments | | | — | | | | (696,825 | ) | | | — | | | | — | | | | — | |
Net realized losses on foreign currency transactions | | | — | | | | — | | | | (4,186 | ) | | | — | | | | — | |
Net change in unrealized appreciation (depreciation) on unaffiliated investments and foreign currency translations | | | (89,536,830 | ) | | | (221,265,175 | ) | | | (7,363,671 | ) | | | (87,596,198 | ) | | | (58,652,379 | ) |
Net changes in unrealized appreciation (depreciation) on affiliated investments | | | — | | | | (241,199 | ) | | | — | | | | — | | | | — | |
Net Realized and Unrealized Losses on Investments | | | (75,479,988 | ) | | | (189,000,373 | ) | | | (8,427,329 | ) | | | (97,366,334 | ) | | | (72,319,017 | ) |
| | | | | | | | | | | | | | | | | | | | | |
Change in Net Assets from Operations | | $ | (74,708,555 | ) | | $ | (177,509,605 | ) | | $ | (7,679,820 | ) | | $ | (49,299,033 | ) | | $ | (57,739,746 | ) |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 89 |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Small Cap Fund | | | | Small-Mid Cap Fund | |
| | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | |
From Operations | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 2,215,620 | | | $ | 2,612,897 | | | | $ | 16,232,583 | | | $ | 10,855,977 | |
Net realized gains on investment transactions | | | 79,642,787 | | | | 103,273,892 | | | | | 87,711,772 | | | | 136,375,252 | |
Net realized losses on sales from affiliated investments | | | — | | | | — | | | | | (349,205 | ) | | | — | |
Long-term capital gain distributions from investments in affiliates | | | — | | | | — | | | | | — | | | | 6,219 | |
Net change in unrealized appreciation (depreciation) on investments | | | (157,510,132 | ) | | | 56,290,235 | | | | | (421,471,023 | ) | | | 435,679,616 | |
Change in Net Assets from Operations | | | (75,651,725 | ) | | | 162,177,024 | | | | | (317,875,843 | ) | | | 582,917,064 | |
| | | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | | | | | | | | | | | | | | | |
Investor | | | (12,978,961 | ) | | | (19,007,456 | ) | | | | (7,853,233 | ) | | | (11,043,927 | ) |
Class I | | | (29,928,918 | ) | | | (60,282,089 | ) | | | | (41,992,021 | ) | | | (58,954,716 | ) |
Class Y | | | (2,941,247 | ) | | | (8,053,914 | ) | | | | (47,806,461 | ) | | | (56,549,238 | ) |
Change in Net Assets from Distributions to Shareholders | | | (45,849,126 | ) | | | (87,343,459 | ) | | | | (97,651,715 | ) | | | (126,547,881 | ) |
Change in Net Assets from Capital Transactions | | | (161,153,214 | ) | | | (37,671,773 | ) | | | | 39,438,849 | | | | (133,242,999 | ) |
| | | | | | | | | | | | | | | | | | |
Total Change in Net Assets | | | (282,654,065 | ) | | | 37,161,792 | | | | | (376,088,709 | ) | | | 323,126,184 | |
| | | | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | |
Beginning of year | | | 568,535,539 | | | | 531,373,747 | | | | | 2,278,406,146 | | | | 1,955,279,962 | |
End of year | | $ | 285,881,474 | | | $ | 568,535,539 | | | | $ | 1,902,317,437 | | | $ | 2,278,406,146 | |
See accompanying Notes to Financial Statements.
90 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Small Cap Fund | | | | Small-Mid Cap Fund | |
| | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | |
Capital Transactions | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | $ | 7,978,405 | | | $ | 16,798,404 | | | | $ | 18,800,612 | | | $ | 27,390,076 | |
Reinvested distributions | | | 11,758,072 | | | | 16,131,838 | | | | | 7,737,855 | | | | 10,859,344 | |
Payments for shares redeemed | | | (33,032,714 | ) | | | (51,349,042 | ) | | | | (34,743,030 | ) | | | (47,716,185 | ) |
Exchanged from Class C | | | — | | | | 7,261,878 | | | | | — | | | | 14,702,216 | |
Change in Net Assets from Investor Share Transactions | | | (13,296,237 | ) | | | (11,156,922 | ) | | | | (8,204,563 | ) | | | 5,235,451 | |
Class C | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | — | | | | | — | | | | — | |
Reinvested distributions | | | — | | | | — | | | | | — | | | | — | |
Payments for shares redeemed | | | — | | | | (540,169 | ) | | | | — | | | | (1,856,889 | ) |
Exchanged for Investor Shares | | | — | | | | (7,261,878 | ) | | | | — | | | | (14,702,216 | ) |
Change in Net Assets from Class C Share Transactions | | | — | | | | (7,802,047 | ) | | | | — | | | | (16,559,105 | ) |
Class I | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 44,615,799 | | | | 44,143,747 | | | | | 82,087,003 | | | | 157,380,132 | |
Reinvested distributions | | | 28,020,763 | | | | 55,432,012 | | | | | 33,137,319 | | | | 47,435,035 | |
Payments for shares redeemed | | | (196,399,327 | ) | | | (106,129,791 | ) | | | | (178,064,760 | ) | | | (242,286,208 | ) |
Change in Net Assets from Class I Share Transactions | | | (123,762,765 | ) | | | (6,554,032 | ) | | | | (62,840,438 | ) | | | (37,471,041 | ) |
Class Y | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 9,305,130 | | | | 10,556,918 | | | | | 243,063,857 | | | | 144,991,118 | |
Reinvested distributions | | | 2,941,247 | | | | 8,053,857 | | | | | 46,673,584 | | | | 54,959,250 | |
Payments for shares redeemed | | | (36,340,589 | ) | | | (30,769,547 | ) | | | | (179,253,591 | ) | | | (284,398,672 | ) |
Change in Net Assets from Class Y Share Transactions | | | (24,094,212 | ) | | | (12,158,772 | ) | | | | 110,483,850 | | | | (84,448,304 | ) |
Change in Net Assets from Capital Transactions | | $ | (161,153,214 | ) | | $ | (37,671,773 | ) | | | $ | 39,438,849 | | | $ | (133,242,999 | ) |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 91 |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Small Cap Fund | | | | Small-Mid Cap Fund | |
| | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | |
Share Transactions: | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Issued | | | 256,826 | | | | 459,761 | | | | | 730,674 | | | | 1,073,586 | |
Reinvested | | | 456,361 | | | | 480,612 | | | | | 328,105 | | | | 399,947 | |
Redeemed | | | (1,105,459 | ) | | | (1,378,049 | ) | | | | (1,357,311 | ) | | | (1,811,009 | ) |
Exchanged from Class C | | | — | | | | 212,296 | | | | | — | | | | 587,472 | |
Change in Shares Outstanding | | | (392,272 | ) | | | (225,380 | ) | | | | (298,532 | ) | | | 249,996 | |
Class C | | | | | | | | | | | | | | | | | |
Redeemed | | | — | | | | (19,676 | ) | | | | — | | | | (86,902 | ) |
Exchanged for Investor Shares | | | — | | | | (253,200 | ) | | | | — | | | | (653,293 | ) |
Change in Shares Outstanding | | | — | | | | (272,876 | ) | | | | — | | | | (740,195 | ) |
Class I | | | | | | | | | | | | | | | | | |
Issued | | | 1,466,642 | | | | 1,193,318 | | | | | 3,176,386 | | | | 5,700,906 | |
Reinvested | | | 1,059,155 | | | | 1,612,614 | | | | | 1,386,626 | | | | 1,720,884 | |
Redeemed | | | (6,272,757 | ) | | | (2,875,623 | ) | | | | (6,979,747 | ) | | | (8,866,009 | ) |
Change in Shares Outstanding | | | (3,746,960 | ) | | | (69,691 | ) | | | | (2,416,735 | ) | | | (1,444,219 | ) |
Class Y | | | | | | | | | | | | | | | | | |
Issued | | | 284,937 | | | | 283,071 | | | | | 9,000,609 | | | | 5,242,139 | |
Reinvested | | | 110,879 | | | | 233,583 | | | | | 1,947,522 | | | | 1,985,682 | |
Redeemed | | | (1,157,763 | ) | | | (821,559 | ) | | | | (6,904,655 | ) | | | (10,342,236 | ) |
Change in Shares Outstanding | | | (761,947 | ) | | | (304,905 | ) | | | | 4,043,476 | | | | (3,114,415 | ) |
Change in Total Shares Outstanding | | | (4,901,179 | ) | | | (872,852 | ) | | | | 1,328,209 | | | | (5,048,833 | ) |
See accompanying Notes to Financial Statements.
92 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Mid Cap Fund | | | | Large Cap Fund | |
| | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | |
From Operations | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,646,679 | | | $ | 1,595,084 | | | | $ | 121,269,741 | | | $ | 108,005,995 | |
Net realized gains on investment transactions | | | 15,667,057 | | | | 15,385,784 | | | | | 538,678,250 | | | | 916,028,950 | |
Net realized losses on sales from affiliated investments | | | (14,891 | ) | | | — | | | | | — | | | | �� | |
Long-term capital gain distributions from investments in affiliates | | | — | | | | 380 | | | | | — | | | | — | |
Net change in unrealized appreciation (depreciation) on investments | | | (52,346,492 | ) | | | 57,931,876 | | | | | (2,356,203,019 | ) | | | 1,425,650,740 | |
Change in Net Assets from Operations | | | (35,047,647 | ) | | | 74,913,124 | | | | | (1,696,255,028 | ) | | | 2,449,685,685 | |
| | | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | | | | | | | | | | | | | | | |
Investor | | | (1,146,228 | ) | | | (97,307 | ) | | | | (47,431,464 | ) | | | (68,232,864 | ) |
Class I | | | (7,686,508 | ) | | | (1,346,510 | ) | | | | (349,328,424 | ) | | | (584,144,558 | ) |
Class Y | | | (647,148 | ) | | | (164,161 | ) | | | | (148,593,466 | ) | | | (231,667,679 | ) |
Change in Net Assets from Distributions to Shareholders | | | (9,479,884 | ) | | | (1,607,978 | ) | | | | (545,353,354 | ) | | | (884,045,101 | ) |
Change in Net Assets from Capital Transactions | | | (54,681,887 | ) | | | (37,642,983 | ) | | | | (1,628,581,539 | ) | | | 2,482,776,230 | |
| | | | | | | | | | | | | | | | | | |
Total Change in Net Assets | | | (99,209,418 | ) | | | 35,662,163 | | | | | (3,870,189,921 | ) | | | 4,048,416,814 | |
| | | | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | |
Beginning of year | | | 286,442,370 | | | | 250,780,207 | | | | | 12,360,182,578 | | | | 8,311,765,764 | |
End of year | | $ | 187,232,952 | | | $ | 286,442,370 | | | | $ | 8,489,992,657 | | | $ | 12,360,182,578 | |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 93 |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Mid Cap Fund | | | | Large Cap Fund | |
| | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | |
Capital Transactions | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | $ | 4,331,171 | | | $ | 7,872,408 | | | | $ | 119,086,813 | | | $ | 158,402,643 | |
Reinvested distributions | | | 847,943 | | | | 77,675 | | | | | 44,254,282 | | | | 64,318,096 | |
Payments for shares redeemed | | | (8,841,186 | ) | | | (17,037,657 | ) | | | | (190,407,780 | ) | | | (207,723,899 | ) |
Exchanged from Class C | | | — | | | | — | | | | | — | | | | 68,882,202 | |
Change in Net Assets from Investor Share Transactions | | | (3,662,072 | ) | | | (9,087,574 | ) | | | | (27,066,685 | ) | | | 83,879,042 | |
Class C | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | — | | | | | — | | | | 12 | |
Reinvested distributions | | | — | | | | — | | | | | — | | | | — | |
Payments for shares redeemed | | | — | | | | — | | | | | — | | | | (2,762,175 | ) |
Exchanged for Investor Shares | | | — | | | | — | | | | | — | | | | (68,882,202 | ) |
Change in Net Assets from Class C Share Transactions | | | — | | | | — | | | | | — | | | | (71,644,365 | ) |
Class I | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 21,439,323 | | | | 37,780,057 | | | | | 1,377,284,121 | | | | 3,092,916,270 | |
Reinvested distributions | | | 7,255,950 | | | | 1,261,010 | | | | | 295,045,866 | | | | 466,886,033 | |
Payments for shares redeemed | | | (72,343,751 | ) | | | (61,338,468 | ) | | | | (2,968,092,239 | ) | | | (1,542,375,603 | ) |
Change in Net Assets from Class I Share Transactions | | | (43,648,478 | ) | | | (22,297,401 | ) | | | | (1,295,762,252 | ) | | | 2,017,426,700 | |
Class Y | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,943,424 | | | | 3,872,775 | | | | | 453,803,933 | | | | 833,695,875 | |
Reinvested distributions | | | 593,574 | | | | 121,588 | | | | | 134,911,753 | | | | 213,178,870 | |
Payments for shares redeemed | | | (11,908,335 | ) | | | (10,252,371 | ) | | | | (894,468,288 | ) | | | (593,759,892 | ) |
Change in Net Assets from Class Y Share Transactions | | | (7,371,337 | ) | | | (6,258,008 | ) | | | | (305,752,602 | ) | | | 453,114,853 | |
Change in Net Assets from Capital Transactions | | $ | (54,681,887 | ) | | $ | (37,642,983 | ) | | | $ | (1,628,581,539 | ) | | $ | 2,482,776,230 | |
See accompanying Notes to Financial Statements.
94 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Mid Cap Fund | | | | Large Cap Fund | |
| | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the year
ended
December 31,
2021 | |
Share Transactions: | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Issued | | | 260,881 | | | | 469,070 | | | | | 3,715,016 | | | | 4,652,274 | |
Reinvested | | | 53,973 | | | | 4,181 | | | | | 1,485,768 | | | | 1,848,010 | |
Redeemed | | | (526,506 | ) | | | (1,025,969 | ) | | | | (6,082,543 | ) | | | (5,949,368 | ) |
Exchanged from Class C | | | — | | | | — | | | | | — | | | | 2,174,100 | |
Change in Shares Outstanding | | | (211,652 | ) | | | (552,718 | ) | | | | (881,759 | ) | | | 2,725,016 | |
Class C | | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | | — | | | | 1 | |
Reinvested | | | — | | | | — | | | | | — | | | | — | |
Redeemed | | | — | | | | — | | | | | — | | | | (95,010 | ) |
Exchanged for Investor Shares | | | — | | | | — | | | | | — | | | | (2,315,245 | ) |
Change in Shares Outstanding | | | — | | | | — | | | | | — | | | | (2,410,254 | ) |
Class I | | | | | | | | | | | | | | | | | |
Issued | | | 1,263,699 | | | | 2,260,946 | | | | | 42,607,317 | | | | 91,420,467 | |
Reinvested | | | 459,767 | | | | 67,615 | | | | | 9,838,230 | | | | 13,298,023 | |
Redeemed | | | (4,215,741 | ) | | | (3,608,920 | ) | | | | (94,783,948 | ) | | | (44,007,228 | ) |
Change in Shares Outstanding | | | (2,492,275 | ) | | | (1,280,359 | ) | | | | (42,338,401 | ) | | | 60,711,262 | |
Class Y | | | | | | | | | | | | | | | | | |
Issued | | | 228,084 | | | | 241,628 | | | | | 14,111,302 | | | | 24,114,211 | |
Reinvested | | | 37,454 | | | | 6,499 | | | | | 4,494,622 | | | | 6,060,803 | |
Redeemed | | | (720,344 | ) | | | (600,204 | ) | | | | (29,295,363 | ) | | | (16,938,901 | ) |
Change in Shares Outstanding | | | (454,806 | ) | | | (352,077 | ) | | | | (10,689,439 | ) | | | 13,236,113 | |
Change in Total Shares Outstanding | | | (3,158,733 | ) | | | (2,185,154 | ) | | | | (53,909,599 | ) | | | 74,262,137 | |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 95 |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Large Cap Concentrated Fund | | | | Select Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
period ended
December 31,
2021(A) | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
From Operations | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 267,749 | | | $ | 111,710 | | | | $ | 771,433 | | | $ | 2,207,210 | |
Net realized gains (losses) on investment transactions | | | (486,077 | ) | | | 9,882 | | | | | 14,056,842 | | | | 57,418,119 | |
Net change in unrealized appreciation (depreciation) on investments | | | (2,075,074 | ) | | | 2,329,391 | | | | | (89,536,830 | ) | | | 42,373,052 | |
Change in Net Assets from Operations | | | (2,293,402 | ) | | | 2,450,983 | | | | | (74,708,555 | ) | | | 101,998,381 | |
| | | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | | | | | | | | | | | | | | | |
Investor | | | (72 | ) | | | (408 | ) | | | | (1,172,423 | ) | | | (3,236,869 | ) |
Class I | | | (105,695 | ) | | | (28,081 | ) | | | | (10,138,286 | ) | | | (27,370,311 | ) |
Class Y | | | (170,042 | ) | | | (231,281 | ) | | | | (2,387,155 | ) | | | (14,578,750 | ) |
Change in Net Assets from Distributions to Shareholders | | | (275,809 | ) | | | (259,770 | ) | | | | (13,697,864 | ) | | | (45,185,930 | ) |
Change in Net Assets from Capital Transactions | | | 7,770,634 | | | | 15,754,598 | | | | | 28,958,053 | | | | 628,866 | |
| | | | | | | | | | | | | | | | | | |
Total Change in Net Assets | | | 5,201,423 | | | | 17,945,811 | | | | | (59,448,366 | ) | | | 57,441,317 | |
| | | | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | |
Beginning of period | | | 17,945,811 | | | | — | | | | | 383,398,733 | | | | 325,957,416 | |
End of period | | $ | 23,147,234 | | | $ | 17,945,811 | | | | $ | 323,950,367 | | | $ | 383,398,733 | |
(A) | Fund commenced operations on February 26, 2021. |
See accompanying Notes to Financial Statements.
96 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Large Cap Concentrated Fund | | | | Select Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
period ended
December 31,
2021(A) | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
Capital Transactions | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | $ | 111,404 | | | $ | 28,929 | | | | $ | 14,959,697 | | | $ | 17,763,304 | |
Reinvested distributions | | | 72 | | | | 408 | | | | | 1,075,895 | | | | 3,072,437 | |
Payments for shares redeemed | | | (110,994 | ) | | | (18 | ) | | | | (10,759,773 | ) | | | (4,410,555 | ) |
Exchanged from Class C | | | — | | | | — | | | | | — | | | | 3,270,942 | |
Change in Net Assets from Investor Share Transactions | | | 482 | | | | 29,319 | | | | | 5,275,819 | | | | 19,696,128 | |
Class C | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | — | | | | — | | | | | — | | | | — | |
Payments for shares redeemed | | | — | | | | — | | | | | — | | | | (239,006 | ) |
Exchanged for Investor Shares | | | — | | | | — | | | | | — | | | | (3,270,942 | ) |
Change in Net Assets from Class C Share Transactions | | | — | | | | — | | | | | — | | | | (3,509,948 | ) |
Class I | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 7,565,664 | | | | 1,829,726 | | | | | 131,503,613 | | | | 70,913,609 | |
Reinvested distributions | | | 105,695 | | | | 28,081 | | | | | 9,747,712 | | | | 26,990,592 | |
Payments for shares redeemed | | | (216,690 | ) | | | (49 | ) | | | | (75,473,292 | ) | | | (64,762,971 | ) |
Change in Net Assets from Class I Share Transactions | | | 7,454,669 | | | | 1,857,758 | | | | | 65,778,033 | | | | 33,141,230 | |
Class Y | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 410,890 | | | | 13,649,517 | | | | | 4,273,252 | | | | 10,456,599 | |
Reinvested distributions | | | 170,042 | | | | 231,281 | | | | | 2,341,377 | | | | 14,399,140 | |
Payments for shares redeemed | | | (265,449 | ) | | | (13,277 | ) | | | | (48,710,428 | ) | | | (73,554,283 | ) |
Change in Net Assets from Class Y Share Transactions | | | 315,483 | | | | 13,867,521 | | | | | (42,095,799 | ) | | | (48,698,544 | ) |
Change in Net Assets from Capital Transactions | | $ | 7,770,634 | | | $ | 15,754,598 | | | | $ | 28,958,053 | | | $ | 628,866 | |
(A) | Fund commenced operations on February 26, 2021. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 97 |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Large Cap Concentrated Fund | | | | Select Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
period ended
December 31,
2021(A) | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
Share Transactions: | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Issued | | | 10,526 | | | | 2,705 | | | | | 754,817 | | | | 783,981 | |
Reinvested | | | 7 | | | | 35 | | | | | 61,061 | | | | 147,635 | |
Redeemed | | | (11,013 | ) | | | (2 | ) | | | | (572,955 | ) | | | (200,218 | ) |
Exchanged from Class C | | | — | | | | — | | | | | — | | | | 163,425 | |
Change in Shares Outstanding | | | (480 | ) | | | 2,738 | | | | | 242,923 | | | | 894,823 | |
Class C | | | | | | | | | | | | | | | | | |
Issued | | | — | | | | — | | | | | — | | | | — | |
Redeemed | | | — | | | | — | | | | | — | | | | (13,473 | ) |
Exchanged for Investor Shares | | | — | | | | — | | | | | — | | | | (177,396 | ) |
Change in Shares Outstanding | | | — | | | | — | | | | | — | | | | (190,869 | ) |
Class I | | | | | | | | | | | | | | | | | |
Issued | | | 728,442 | | | | 166,684 | | | | | 6,565,354 | | | | 3,090,803 | |
Reinvested | | | 10,252 | | | | 2,385 | | | | | 544,994 | | | | 1,279,252 | |
Redeemed | | | (21,487 | ) | | | (5 | ) | | | | (4,013,120 | ) | | | (2,894,876 | ) |
Change in Shares Outstanding | | | 717,207 | | | | 169,064 | | | | | 3,097,228 | | | | 1,475,179 | |
Class Y | | | | | | | | | | | | | | | | | |
Issued | | | 38,438 | | | | 1,314,940 | | | | | 213,787 | | | | 498,469 | |
Reinvested | | | 16,477 | | | | 19,629 | | | | | 130,259 | | | | 679,212 | |
Redeemed | | | (25,641 | ) | | | (1,126 | ) | | | | (2,568,701 | ) | | | (3,231,802 | ) |
Change in Shares Outstanding | | | 29,274 | | | | 1,333,443 | | | | | (2,224,655 | ) | | | (2,054,121 | ) |
Change in Total Shares Outstanding | | | 746,001 | | | | 1,505,245 | | | | | 1,115,496 | | | | 125,012 | |
(A) | Fund commenced operations on February 26, 2021. |
See accompanying Notes to Financial Statements.
98 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Long-Short Fund | | | | International Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
From Operations | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | 11,490,768 | | | $ | (2,162,041 | ) | | | $ | 747,509 | | | $ | 696,909 | |
Net realized gains (losses) on investment transactions | | | 24,768,688 | | | | 377,191,589 | | | | | (1,059,472 | ) | | | 1,614,077 | |
Net realized gains (losses) on closed short positions | | | 8,434,138 | | | | (102,806,374 | ) | | | | — | | | | — | |
Net realized gains (losses) on sales from affiliated investments | | | (696,825 | ) | | | 62,759 | | | | | — | | | | — | |
Long-term capital gain distributions from investments in affiliates | | | — | | | | 6,992 | | | | | — | | | | — | |
Net realized gains (losses) on foreign currency transactions | | | — | | | | 51 | | | | | (4,186 | ) | | | 473 | |
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations | | | (221,506,374 | ) | | | 86,255,004 | | | | | (7,363,671 | ) | | | 234,999 | |
Change in Net Assets from Operations | | | (177,509,605 | ) | | | 358,547,980 | | | | | (7,679,820 | ) | | | 2,546,458 | |
| | | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | | | | | | | | | | | | | | | |
Investor | | | (6,266,640 | ) | | | (16,791,269 | ) | | | | (3,016 | ) | | | (15,156 | ) |
Class I | | | (81,999,465 | ) | | | (180,573,008 | ) | | | | (170,196 | ) | | | (261,170 | ) |
Class Y | | | (1,104,658 | ) | | | (3,406,687 | ) | | | | (697,590 | ) | | | (1,822,382 | ) |
Change in Net Assets from Distributions to Shareholders | | | (89,370,763 | ) | | | (200,770,964 | ) | | | | (870,802 | ) | | | (2,098,708 | ) |
Change in Net Assets from Capital Transactions | | | 21,350,286 | | | | (215,563,549 | ) | | | | 4,561,555 | | | | 38,272,566 | |
| | | | | | | | | | | | | | | | | | |
Total Change in Net Assets | | | (245,530,082 | ) | | | (57,786,533 | ) | | | | (3,989,067 | ) | | | 38,720,316 | |
| | | | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | |
Beginning of year | | | 1,997,987,069 | | | | 2,055,773,602 | | | | | 55,588,102 | | | | 16,867,786 | |
End of year | | $ | 1,752,456,987 | | | $ | 1,997,987,069 | | | | $ | 51,599,035 | | | $ | 55,588,102 | |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 99 |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Long-Short Fund | | | | International Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
Capital Transactions | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | $ | 10,582,588 | | | $ | 11,903,875 | | | | $ | 63,984 | | | $ | 169,101 | |
Reinvested distributions | | | 5,669,299 | | | | 14,843,221 | | | | | 3,016 | | | | 15,156 | |
Payments for shares redeemed | | | (38,367,534 | ) | | | (58,014,082 | ) | | | | (160,763 | ) | | | (102,099 | ) |
Exchanged from Class C | | | — | | | | 23,084,351 | | | | | — | | | | — | |
Change in Net Assets from Investor Share Transactions | | | (22,115,647 | ) | | | (8,182,635 | ) | | | | (93,763 | ) | | | 82,158 | |
Class C | | | | | | | | | | | | | | | | | |
Payments for shares redeemed | | | — | | | | (2,012,571 | ) | | | | — | | | | — | |
Exchanged for Investor Shares | | | — | | | | (23,084,351 | ) | | | | — | | | | — | |
Change in Net Assets from Class C Share Transactions | | | — | | | | (25,096,922 | ) | | | | — | | | | — | |
Class I | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 421,930,224 | | | | 264,577,589 | | | | | 4,873,961 | | | | 4,721,918 | |
Reinvested distributions | | | 65,628,792 | | | | 143,862,280 | | | | | 170,043 | | | | 221,495 | |
Payments for shares redeemed | | | (431,288,728 | ) | | | (543,968,163 | ) | | | | (1,756,465 | ) | | | (197,622 | ) |
Change in Net Assets from Class I Share Transactions | | | 56,270,288 | | | | (135,528,294 | ) | | | | 3,287,539 | | | | 4,745,791 | |
Class Y | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,951,053 | | | | 5,577,406 | | | | | 2,003,610 | | | | 32,277,497 | |
Reinvested distributions | | | 1,043,115 | | | | 3,262,981 | | | | | 697,590 | | | | 1,822,382 | |
Payments for shares redeemed | | | (15,798,523 | ) | | | (55,596,085 | ) | | | | (1,333,421 | ) | | | (655,262 | ) |
Change in Net Assets from Class Y Share Transactions | | | (12,804,355 | ) | | | (46,755,698 | ) | | | | 1,367,779 | | | | 33,444,617 | |
Change in Net Assets from Capital Transactions | | $ | 21,350,286 | | | $ | (215,563,549 | ) | | | $ | 4,561,555 | | | $ | 38,272,566 | |
See accompanying Notes to Financial Statements.
100 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Long-Short Fund | | | | International Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
Share Transactions: | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Issued | | | 392,306 | | | | 422,488 | | | | | 3,848 | | | | 10,095 | |
Reinvested | | | 232,879 | | | | 544,505 | | | | | 208 | | | | 927 | |
Redeemed | | | (1,438,599 | ) | | | (2,032,391 | ) | | | | (12,189 | ) | | | (6,069 | ) |
Exchanged from Class C | | | — | | | | 865,791 | | | | | — | | | | — | |
Change in Shares Outstanding | | | (813,414 | ) | | | (199,607 | ) | | | | (8,133 | ) | | | 4,953 | |
Class C | | | | | | | | | | | | | | | | | |
Redeemed | | | — | | | | (88,225 | ) | | | | — | | | | — | |
Exchanged for Investor Shares | | | — | | | | (993,908 | ) | | | | — | | | | — | |
Change in Shares Outstanding | | | — | | | | (1,082,133 | ) | | | | — | | | | — | |
Class I | | | | | | | | | | | | | | | | | |
Issued | | | 15,345,949 | | | | 8,921,724 | | | | | 323,722 | | | | 282,350 | |
Reinvested | | | 2,601,021 | | | | 5,108,746 | | | | | 11,762 | | | | 13,476 | |
Redeemed | | | (16,173,943 | ) | | | (19,025,356 | ) | | | | (121,137 | ) | | | (11,551 | ) |
Change in Shares Outstanding | | | 1,773,027 | | | | (4,994,886 | ) | | | | 214,347 | | | | 284,275 | |
Class Y | | | | | | | | | | | | | | | | | |
Issued | | | 69,195 | | | | 188,330 | | | | | 137,008 | | | | 1,858,838 | |
Reinvested | | | 41,046 | | | | 115,218 | | | | | 48,191 | | | | 110,694 | |
Redeemed | | | (539,206 | ) | | | (1,822,548 | ) | | | | (90,979 | ) | | | (37,912 | ) |
Change in Shares Outstanding | | | (428,965 | ) | | | (1,519,000 | ) | | | | 94,220 | | | | 1,931,620 | |
Change in Total Shares Outstanding | | | 530,648 | | | | (7,795,626 | ) | | | | 300,434 | | | | 2,220,848 | |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 101 |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Short Duration
Securitized Bond Fund | | | | Core Bond Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
From Operations | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 48,067,301 | | | $ | 34,339,308 | | | | $ | 14,579,271 | | | $ | 8,097,997 | |
Net realized gains (losses) on investment transactions | | | (9,770,136 | ) | | | 8,213,378 | | | | | (13,666,638 | ) | | | 144,588 | |
Net change in unrealized appreciation (depreciation) on investments | | | (87,596,198 | ) | | | (9,622,308 | ) | | | | (58,652,379 | ) | | | (11,721,241 | ) |
Change in Net Assets from Operations | | | (49,299,033 | ) | | | 32,930,378 | | | | | (57,739,746 | ) | | | (3,478,656 | ) |
| | | | | | | | | | | | | | | | | | |
Distributions to Shareholders | | | | | | | | | | | | | | | | | |
Investor | | | (1,151,524 | ) | | | (1,014,436 | ) | | | | (352,151 | ) | | | (494,552 | ) |
Class I | | | (43,861,659 | ) | | | (29,997,903 | ) | | | | (13,024,127 | ) | | | (6,937,784 | ) |
Class Y | | | (3,056,333 | ) | | | (4,460,361 | ) | | | | (1,570,985 | ) | | | (1,520,485 | ) |
Change in Net Assets from Distributions to Shareholders | | | (48,069,516 | ) | | | (35,472,700 | ) | | | | (14,947,263 | ) | | | (8,952,821 | ) |
Change in Net Assets from Capital Transactions | | | (253,104,500 | ) | | | 368,786,448 | | | | | 262,137,082 | | | | 74,612,134 | |
| | | | | | | | | | | | | | | | | | |
Total Change in Net Assets | | | (350,473,049 | ) | | | 366,244,126 | | | | | 189,450,073 | | | | 62,180,657 | |
| | | | | | | | | | | | | | | | | | |
Net Assets: | | | | | | | | | | | | | | | | | |
Beginning of year | | | 1,498,710,057 | | | | 1,132,465,931 | | | | | 399,425,407 | | | | 337,244,750 | |
End of year | | $ | 1,148,237,008 | | | $ | 1,498,710,057 | | | | $ | 588,875,480 | | | $ | 399,425,407 | |
See accompanying Notes to Financial Statements.
102 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Statements of Changes in Net Assets
| | | Short Duration
Securitized Bond Fund | | | | Core Bond Fund | |
| | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | | | | For the year
ended
December 31,
2022 | | | For the
year ended
December 31,
2021 | |
Capital Transactions | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | $ | 11,187,443 | | | $ | 15,385,631 | | | | $ | 29,148,774 | | | $ | 31,191,335 | |
Reinvested distributions | | | 1,138,661 | | | | 1,004,386 | | | | | 350,241 | | | | 493,030 | |
Payments for shares redeemed | | | (20,501,697 | ) | | | (23,496,660 | ) | | | | (32,930,125 | ) | | | (37,931,802 | ) |
Change in Net Assets from Investor Share Transactions | | | (8,175,593 | ) | | | (7,106,643 | ) | | | | (3,431,110 | ) | | | (6,247,437 | ) |
Class I | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 716,873,735 | | | | 908,885,299 | | | | | 526,946,636 | | | | 152,107,527 | |
Reinvested distributions | | | 32,935,940 | | | | 21,607,786 | | | | | 11,530,209 | | | | 6,388,424 | |
Payments for shares redeemed | | | (921,212,652 | ) | | | (510,769,552 | ) | | | | (281,486,631 | ) | | | (78,595,612 | ) |
Change in Net Assets from Class I Share Transactions | | | (171,402,977 | ) | | | 419,723,533 | | | | | 256,990,214 | | | | 79,900,339 | |
Class Y | | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 20,021,129 | | | | 39,410,005 | | | | | 14,372,450 | | | | 9,460,470 | |
Reinvested distributions | | | 2,975,612 | | | | 4,413,617 | | | | | 1,460,848 | | | | 1,360,043 | |
Payments for shares redeemed | | | (96,522,671 | ) | | | (87,654,064 | ) | | | | (7,255,320 | ) | | | (9,861,281 | ) |
Change in Net Assets from Class Y Share Transactions | | | (73,525,930 | ) | | | (43,830,442 | ) | | | | 8,577,978 | | | | 959,232 | |
Change in Net Assets from Capital Transactions | | $ | (253,104,500 | ) | | $ | 368,786,448 | | | | $ | 262,137,082 | | | $ | 74,612,134 | |
Share Transactions: | | | | | | | | | | | | | | | | | |
Investor | | | | | | | | | | | | | | | | | |
Issued | | | 1,154,860 | | | | 1,512,678 | | | | | 3,032,990 | | | | 2,972,547 | |
Reinvested | | | 118,282 | | | | 98,877 | | | | | 37,066 | | | | 47,020 | |
Redeemed | | | (2,121,599 | ) | | | (2,310,327 | ) | | | | (3,639,827 | ) | | | (3,633,825 | ) |
Change in Shares Outstanding | | | (848,457 | ) | | | (698,772 | ) | | | | (569,771 | ) | | | (614,258 | ) |
Class I | | | | | | | | | | | | | | | | | |
Issued | | | 73,655,386 | | | | 89,370,537 | | | | | 56,207,819 | | | | 14,475,570 | |
Reinvested | | | 3,423,018 | | | | 2,127,770 | | | | | 1,248,754 | | | | 610,214 | |
Redeemed | | | (95,256,294 | ) | | | (50,272,163 | ) | | | | (30,162,325 | ) | | | (7,488,937 | ) |
Change in Shares Outstanding | | | (18,177,890 | ) | | | 41,226,144 | | | | | 27,294,248 | | | | 7,596,847 | |
Class Y | | | | | | | | | | | | | | | | | |
Issued | | | 2,065,663 | | | | 3,870,691 | | | | | 1,582,542 | | | | 889,349 | |
Reinvested | | | 307,913 | | | | 434,055 | | | | | 156,999 | | | | 129,805 | |
Redeemed | | | (9,829,846 | ) | | | (8,607,135 | ) | | | | (768,111 | ) | | | (942,446 | ) |
Change in Shares Outstanding | | | (7,456,270 | ) | | | (4,302,389 | ) | | | | 971,430 | | | | 76,708 | |
Change in Total Shares Outstanding | | | (26,482,617 | ) | | | 36,224,983 | | | | | 27,695,907 | | | | 7,059,297 | |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 103 |
Small Cap Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Small Cap Fund | | Net asset
value,
beginning of
year | | | Net
investment
income(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Dividends
from net
investment
income | |
Investor | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 34.73 | | | | 0.11 | | | | (5.23 | ) | | | (5.12 | ) | | | (0.15 | ) |
For the year ended December 31, 2021 | | $ | 30.96 | | | | 0.07 | | | | 9.75 | | | | 9.82 | | | | (0.07 | ) |
For the year ended December 31, 2020 | | $ | 31.23 | | | | 0.01 | | | | (0.18 | ) | | | (0.17 | ) | | | (0.10 | ) |
For the year ended December 31, 2019 | | $ | 27.54 | | | | 0.06 | | | | 5.80 | | | | 5.86 | | | | (0.34 | ) |
For the year ended December 31, 2018 | | $ | 35.62 | | | | 0.12 | | | | (5.37 | ) | | | (5.25 | ) | | | — | |
|
Class I | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 35.44 | | | | 0.18 | | | | (5.31 | ) | | | (5.13 | ) | | | (0.24 | ) |
For the year ended December 31, 2021 | | $ | 31.49 | | | | 0.19 | | | | 9.92 | | | | 10.11 | | | | (0.18 | ) |
For the year ended December 31, 2020 | | $ | 31.77 | | | | 0.09 | | | | (0.18 | ) | | | (0.09 | ) | | | (0.19 | ) |
For the year ended December 31, 2019 | | $ | 27.98 | | | | 0.16 | | | | 5.90 | | | | 6.06 | | | | (0.44 | ) |
For the year ended December 31, 2018 | | $ | 36.15 | | | | 0.23 | | | | (5.48 | ) | | | (5.25 | ) | | | (0.09 | ) |
|
Class Y | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 35.49 | | | | 0.22 | | | | (5.32 | ) | | | (5.10 | ) | | | (0.27 | ) |
For the year ended December 31, 2021 | | $ | 31.52 | | | | 0.22 | | | | 9.95 | | | | 10.17 | | | | (0.22 | ) |
For the year ended December 31, 2020 | | $ | 31.80 | | | | 0.12 | | | | (0.17 | ) | | | (0.05 | ) | | | (0.23 | ) |
For the year ended December 31, 2019 | | $ | 28.01 | | | | 0.19 | | | | 5.91 | | | | 6.10 | | | | (0.48 | ) |
For the year ended December 31, 2018 | | $ | 36.17 | | | | 0.27 | | | | (5.48 | ) | | | (5.21 | ) | | | (0.12 | ) |
|
(A) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
(C) | The Fund’s adviser has contractually agreed to waive fees in the pro-rata amount of the management fee charged by the underlying Diamond Hill Fund on each Fund���s investment in such other Diamond Hill Fund. If such fee waiver had not occurred, the ratios would have been as indicated. |
104 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000’s) | | | Ratio of
total net
expenses to
average net
assets | | | Ratio of
total gross
expenses to
average net
assets(C) | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(D) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (4.40 | ) | | | (4.55 | ) | | $ | 25.06 | | | | (15.02 | )% | | $ | 79,634 | | | | 1.26 | % | | | 1.26 | % | | | 0.34 | % | | | 37 | %(E) |
| | | (5.98 | ) | | | (6.05 | ) | | $ | 34.73 | | | | 32.45 | % | | $ | 123,975 | | | | 1.26 | % | | | 1.26 | % | | | 0.20 | % | | | 20 | % |
| | | — | | | | (0.10 | ) | | $ | 30.96 | | | | (0.55 | )% | | $ | 117,491 | | | | 1.26 | % | | | 1.26 | % | | | 0.05 | % | | | 34 | % |
| | | (1.83 | ) | | | (2.17 | ) | | $ | 31.23 | | | | 21.36 | % | | $ | 165,339 | | | | 1.27 | % | | | 1.27 | % | | | 0.23 | % | | | 22 | % |
| | | (2.83 | ) | | | (2.83 | ) | | $ | 27.54 | | | | (15.12 | )% | | $ | 214,831 | | | | 1.25 | % | | | 1.26 | % | | | 0.31 | % | | | 23 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (4.40 | ) | | | (4.64 | ) | | $ | 25.67 | | | | (14.77 | )% | | $ | 187,656 | | | | 0.97 | % | | | 0.97 | % | | | 0.57 | % | | | 37 | %(E) |
| | | (5.98 | ) | | | (6.16 | ) | | $ | 35.44 | | | | 32.83 | % | | $ | 391,856 | | | | 0.97 | % | | | 0.97 | % | | | 0.52 | % | | | 20 | % |
| | | — | | | | (0.19 | ) | | $ | 31.49 | | | | (0.28 | )% | | $ | 350,375 | | | | 0.97 | % | | | 0.97 | % | | | 0.33 | % | | | 34 | % |
| | | (1.83 | ) | | | (2.27 | ) | | $ | 31.77 | | | | 21.75 | % | | $ | 469,014 | | | | 0.98 | % | | | 0.98 | % | | | 0.52 | % | | | 22 | % |
| | | (2.83 | ) | | | (2.92 | ) | | $ | 27.98 | | | | (14.88 | )% | | $ | 633,323 | | | | 0.96 | % | | | 0.97 | % | | | 0.64 | % | | | 23 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (4.40 | ) | | | (4.67 | ) | | $ | 25.72 | | | | (14.64 | )% | | $ | 18,592 | | | | 0.85 | % | | | 0.85 | % | | | 0.69 | % | | | 37 | %(E) |
| | | (5.98 | ) | | | (6.20 | ) | | $ | 35.49 | | | | 32.98 | % | | $ | 52,704 | | | | 0.85 | % | | | 0.85 | % | | | 0.59 | % | | | 20 | % |
| | | — | | | | (0.23 | ) | | $ | 31.52 | | | | (0.17 | )% | | $ | 56,417 | | | | 0.85 | % | | | 0.85 | % | | | 0.46 | % | | | 34 | % |
| | | (1.83 | ) | | | (2.31 | ) | | $ | 31.80 | | | | 21.88 | % | | $ | 105,030 | | | | 0.86 | % | | | 0.86 | % | | | 0.62 | % | | | 22 | % |
| | | (2.83 | ) | | | (2.95 | ) | | $ | 28.01 | | | | (14.79 | )% | | $ | 147,363 | | | | 0.84 | % | | | 0.85 | % | | | 0.74 | % | | | 23 | % |
| | | |
(D) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
(E) | Portfolio turnover does not include redemptions in-kind. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 105 |
Small-Mid Cap Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Small-Mid Cap Fund | | Net asset
value,
beginning of
year | | | Net
investment
income(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Dividends
from net
investment
income | |
Investor | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 28.06 | | | | 0.12 | | | | (3.99 | ) | | | (3.87 | ) | | | (0.12 | ) |
For the year ended December 31, 2021 | | $ | 22.69 | | | | 0.05 | | | | 6.87 | | | | 6.92 | | | | (0.05 | ) |
For the year ended December 31, 2020 | | $ | 22.57 | | | | 0.03 | | | | 0.20 | | | | 0.23 | | | | (0.10 | ) |
For the year ended December 31, 2019 | | $ | 18.59 | | | | 0.04 | | | | 5.02 | | | | 5.06 | | | | (0.14 | ) |
For the year ended December 31, 2018 | | $ | 22.24 | | | | 0.05 | | | | (2.86 | ) | | | (2.81 | ) | | | (0.04 | ) |
|
Class I | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 28.38 | | | | 0.19 | | | | (4.04 | ) | | | (3.85 | ) | | | (0.19 | ) |
For the year ended December 31, 2021 | | $ | 22.93 | | | | 0.12 | | | | 6.96 | | | | 7.08 | | | | (0.13 | ) |
For the year ended December 31, 2020 | | $ | 22.80 | | | | 0.09 | | | | 0.21 | | | | 0.30 | | | | (0.16 | ) |
For the year ended December 31, 2019 | | $ | 18.76 | | | | 0.11 | | | | 5.08 | | | | 5.19 | | | | (0.21 | ) |
For the year ended December 31, 2018 | | $ | 22.45 | | | | 0.12 | | | | (2.91 | ) | | | (2.79 | ) | | | (0.10 | ) |
|
Class Y | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 28.45 | | | | 0.23 | | | | (4.06 | ) | | | (3.83 | ) | | | (0.22 | ) |
For the year ended December 31, 2021 | | $ | 22.99 | | | | 0.16 | | | | 6.96 | | | | 7.12 | | | | (0.16 | ) |
For the year ended December 31, 2020 | | $ | 22.84 | | | | 0.12 | | | | 0.22 | | | | 0.34 | | | | (0.18 | ) |
For the year ended December 31, 2019 | | $ | 18.80 | | | | 0.13 | | | | 5.08 | | | | 5.21 | | | | (0.23 | ) |
For the year ended December 31, 2018 | | $ | 22.49 | | | | 0.15 | | | | (2.91 | ) | | | (2.76 | ) | | | (0.13 | ) |
|
(A) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
(C) | The Fund’s adviser has contractually agreed to waive fees in the pro-rata amount of the management fee charged by the underlying Diamond Hill Fund on each Fund’s investment in such other Diamond Hill Fund. If such fee waiver had not occurred, the ratios would have been as indicated. |
106 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000’s) | | | Ratio of
total net
expenses to
average net
assets | | | Ratio of
total gross
expenses to
average net
assets(C) | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(D) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1.03 | ) | | | (1.15 | ) | | $ | 23.04 | | | | (13.86 | )% | | $ | 163,974 | | | | 1.21 | % | | | 1.21 | % | | | 0.45 | % | | | 25 | %(E) |
| | | (1.50 | ) | | | (1.55 | ) | | $ | 28.06 | | | | 30.78 | % | | $ | 208,110 | | | | 1.20 | % | | | 1.21 | % | | | 0.18 | % | | | 14 | % |
| | | (0.01 | ) | | | (0.11 | ) | | $ | 22.69 | | | | 1.03 | % | | $ | 162,637 | | | | 1.20 | % | | | 1.21 | % | | | 0.19 | % | | | 31 | %(E) |
| | | (0.94 | ) | | | (1.08 | ) | | $ | 22.57 | | | | 27.33 | % | | $ | 183,914 | | | | 1.21 | % | | | 1.22 | % | | | 0.21 | % | | | 14 | % |
| | | (0.80 | ) | | | (0.84 | ) | | $ | 18.59 | | | | (12.80 | )% | | $ | 164,037 | | | | 1.20 | % | | | 1.21 | % | | | 0.21 | % | | | 26 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1.03 | ) | | | (1.22 | ) | | $ | 23.31 | | | | (13.62 | )% | | $ | 813,600 | | | | 0.92 | % | | | 0.92 | % | | | 0.74 | % | | | 25 | %(E) |
| | | (1.50 | ) | | | (1.63 | ) | | $ | 28.38 | | | | 31.14 | % | | $ | 1,059,287 | | | | 0.91 | % | | | 0.92 | % | | | 0.45 | % | | | 14 | % |
| | | (0.01 | ) | | | (0.17 | ) | | $ | 22.93 | | | | 1.31 | % | | $ | 889,148 | | | | 0.91 | % | | | 0.92 | % | | | 0.49 | % | | | 31 | %(E) |
| | | (0.94 | ) | | | (1.15 | ) | | $ | 22.80 | | | | 27.74 | % | | $ | 1,081,619 | | | | 0.92 | % | | | 0.93 | % | | | 0.50 | % | | | 14 | % |
| | | (0.80 | ) | | | (0.90 | ) | | $ | 18.76 | | | | (12.56 | )% | | $ | 889,471 | | | | 0.91 | % | | | 0.92 | % | | | 0.52 | % | | | 26 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1.03 | ) | | | (1.25 | ) | | $ | 23.37 | | | | (13.51 | )% | | $ | 924,744 | | | | 0.80 | % | | | 0.80 | % | | | 0.87 | % | | | 25 | %(E) |
| | | (1.50 | ) | | | (1.66 | ) | | $ | 28.45 | | | | 31.24 | % | | $ | 1,011,010 | | | | 0.79 | % | | | 0.80 | % | | | 0.59 | % | | | 14 | % |
| | | (0.01 | ) | | | (0.19 | ) | | $ | 22.99 | | | | 1.50 | % | | $ | 888,375 | | | | 0.79 | % | | | 0.80 | % | | | 0.61 | % | | | 31 | %(E) |
| | | (0.94 | ) | | | (1.17 | ) | | $ | 22.84 | | | | 27.82 | % | | $ | 1,147,458 | | | | 0.80 | % | | | 0.81 | % | | | 0.62 | % | | | 14 | % |
| | | (0.80 | ) | | | (0.93 | ) | | $ | 18.80 | | | | (12.42 | )% | | $ | 924,995 | | | | 0.79 | % | | | 0.80 | % | | | 0.63 | % | | | 26 | % |
| | | |
(D) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
(E) | Portfolio turnover does not include redemptions in-kind. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 107 |
Mid Cap Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Mid Cap Fund | | Net asset
value,
beginning of
year | | | Net
investment
income(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Dividends
from net
investment
income | |
Investor | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 18.62 | | | | 0.07 | | | | (2.60 | ) | | | (2.53 | ) | | | (0.10 | ) |
For the year ended December 31, 2021 | | $ | 14.27 | | | | 0.05 | | | | 4.36 | | | | 4.41 | | | | (0.06 | ) |
For the year ended December 31, 2020 | | $ | 14.64 | | | | 0.05 | | | | (0.34 | ) | | | (0.29 | ) | | | (0.06 | ) |
For the year ended December 31, 2019 | | $ | 11.89 | | | | 0.05 | | | | 2.96 | | | | 3.01 | | | | (0.05 | ) |
For the year ended December 31, 2018 | | $ | 13.66 | | | | 0.06 | | | | (1.49 | ) | | | (1.43 | ) | | | (0.06 | ) |
|
Class I | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 18.69 | | | | 0.12 | | | | (2.61 | ) | | | (2.49 | ) | | | (0.15 | ) |
For the year ended December 31, 2021 | | $ | 14.32 | | | | 0.10 | | | | 4.38 | | | | 4.48 | | | | (0.11 | ) |
For the year ended December 31, 2020 | | $ | 14.69 | | | | 0.09 | | | | (0.35 | ) | | | (0.26 | ) | | | (0.09 | ) |
For the year ended December 31, 2019 | | $ | 11.92 | | | | 0.10 | | | | 2.97 | | | | 3.07 | | | | (0.09 | ) |
For the year ended December 31, 2018 | | $ | 13.70 | | | | 0.10 | | | | (1.50 | ) | | | (1.40 | ) | | | (0.10 | ) |
|
Class Y | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 18.74 | | | | 0.14 | | | | (2.62 | ) | | | (2.48 | ) | | | (0.17 | ) |
For the year ended December 31, 2021 | | $ | 14.36 | | | | 0.11 | | | | 4.40 | | | | 4.51 | | | | (0.13 | ) |
For the year ended December 31, 2020 | | $ | 14.73 | | | | 0.10 | | | | (0.35 | ) | | | (0.25 | ) | | | (0.10 | ) |
For the year ended December 31, 2019 | | $ | 11.95 | | | | 0.11 | | | | 2.98 | | | | 3.09 | | | | (0.10 | ) |
For the year ended December 31, 2018 | | $ | 13.73 | | | | 0.12 | | | | (1.50 | ) | | | (1.38 | ) | | | (0.12 | ) |
|
(A) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
(C) | The Fund’s adviser has contractually agreed to waive fees in the pro-rata amount of the management fee charged by the underlying Diamond Hill Fund on each Fund’s investment in such other Diamond Hill Fund. If such fee waiver had not occurred, the ratios would have been as indicated. |
108 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000’s) | | | Ratio of
total net
expenses to
average net
assets | | | Ratio of
total gross
expenses to
average net
assets(C) | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(D) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.66 | ) | | | (0.76 | ) | | $ | 15.33 | | | | (13.66 | )% | | $ | 23,932 | | | | 1.06 | % | | | 1.06 | % | | | 0.46 | % | | | 19 | %(E) |
| | | — | | | | (0.06 | ) | | $ | 18.62 | | | | 30.87 | % | | $ | 33,006 | | | | 1.06 | % | | | 1.06 | % | | | 0.30 | % | | | 12 | % |
| | | (0.02 | ) | | | (0.08 | ) | | $ | 14.27 | | | | (2.01 | )% | | $ | 33,178 | | | | 1.06 | % | | | 1.06 | % | | | 0.41 | % | | | 52 | % |
| | | (0.21 | ) | | | (0.26 | ) | | $ | 14.64 | | | | 25.36 | % | | $ | 31,997 | | | | 1.06 | % | | | 1.07 | % | | | 0.36 | % | | | 31 | % |
| | | (0.28 | ) | | | (0.34 | ) | | $ | 11.89 | | | | (10.56 | )% | | $ | 21,085 | | | | 1.05 | % | | | 1.06 | % | | | 0.43 | % | | | 20 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.66 | ) | | | (0.81 | ) | | $ | 15.39 | | | | (13.39 | )% | | $ | 150,772 | | | | 0.77 | % | | | 0.77 | % | | | 0.75 | % | | | 19 | %(E) |
| | | — | | | | (0.11 | ) | | $ | 18.69 | | | | 31.29 | % | | $ | 229,696 | | | | 0.77 | % | | | 0.77 | % | | | 0.60 | % | | | 12 | % |
| | | (0.02 | ) | | | (0.11 | ) | | $ | 14.32 | | | | (1.76 | )% | | $ | 194,354 | | | | 0.77 | % | | | 0.77 | % | | | 0.71 | % | | | 52 | % |
| | | (0.21 | ) | | | (0.30 | ) | | $ | 14.69 | | | | 25.82 | % | | $ | 177,536 | | | | 0.77 | % | | | 0.78 | % | | | 0.68 | % | | | 31 | % |
| | | (0.28 | ) | | | (0.38 | ) | | $ | 11.92 | | | | (10.31 | )% | | $ | 55,045 | | | | 0.76 | % | | | 0.77 | % | | | 0.72 | % | | | 20 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.66 | ) | | | (0.83 | ) | | $ | 15.43 | | | | (13.31 | )% | | $ | 12,528 | | | | 0.65 | % | | | 0.65 | % | | | 0.86 | % | | | 19 | %(E) |
| | | — | | | | (0.13 | ) | | $ | 18.74 | | | | 31.41 | % | | $ | 23,739 | | | | 0.65 | % | | | 0.65 | % | | | 0.69 | % | | | 12 | % |
| | | (0.02 | ) | | | (0.12 | ) | | $ | 14.36 | | | | (1.66 | )% | | $ | 23,248 | | | | 0.65 | % | | | 0.65 | % | | | 0.82 | % | | | 52 | % |
| | | (0.21 | ) | | | (0.31 | ) | | $ | 14.73 | | | | 25.91 | % | | $ | 20,454 | | | | 0.65 | % | | | 0.66 | % | | | 0.74 | % | | | 31 | % |
| | | (0.28 | ) | | | (0.40 | ) | | $ | 11.95 | | | | (10.17 | )% | | $ | 27,761 | | | | 0.64 | % | | | 0.65 | % | | | 0.83 | % | | | 20 | % |
| | | |
(D) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
(E) | Portfolio turnover does not include redemptions in-kind. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 109 |
Large Cap Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Large Cap Fund | | Net asset
value,
beginning of
year | | | Net
investment
income(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | |
Investor | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 35.50 | | | | 0.28 | | | | (5.09 | ) | | | (4.81 | ) |
For the year ended December 31, 2021 | | $ | 30.42 | | | | 0.23 | | | | 7.43 | | | | 7.66 | |
For the year ended December 31, 2020 | | $ | 28.86 | | | | 0.28 | | | | 2.19 | | | | 2.47 | |
For the year ended December 31, 2019 | | $ | 22.89 | | | | 0.28 | | | | 6.99 | | | | 7.27 | |
For the year ended December 31, 2018 | | $ | 26.45 | | | | 0.25 | | | | (2.83 | ) | | | (2.58 | ) |
|
Class I | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 35.69 | | | | 0.37 | | | | (5.10 | ) | | | (4.73 | ) |
For the year ended December 31, 2021 | | $ | 30.57 | | | | 0.34 | | | | 7.46 | | | | 7.80 | |
For the year ended December 31, 2020 | | $ | 29.05 | | | | 0.36 | | | | 2.22 | | | | 2.58 | |
For the year ended December 31, 2019 | | $ | 23.03 | | | | 0.36 | | | | 7.04 | | | | 7.40 | |
For the year ended December 31, 2018 | | $ | 26.62 | | | | 0.33 | | | | (2.86 | ) | | | (2.53 | ) |
|
Class Y | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 35.72 | | | | 0.41 | | | | (5.10 | ) | | | (4.69 | ) |
For the year ended December 31, 2021 | | $ | 30.59 | | | | 0.38 | | | | 7.47 | | | | 7.85 | |
For the year ended December 31, 2020 | | $ | 29.07 | | | | 0.40 | | | | 2.21 | | | | 2.61 | |
For the year ended December 31, 2019 | | $ | 23.04 | | | | 0.40 | | | | 7.05 | | | | 7.45 | |
For the year ended December 31, 2018 | | $ | 26.64 | | | | 0.36 | | | | (2.87 | ) | | | (2.51 | ) |
|
(A) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
(C) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
110 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Dividends
from net
investment
income | | | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000,000’s) | | | Ratio of total
expenses to
average net
assets | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(C) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.33 | ) | | | (1.50 | ) | | | (1.83 | ) | | $ | 28.86 | | | | (13.66 | )% | | $ | 777 | | | | 0.96 | % | | | 0.87 | % | | | 38 | %(D) |
| | | (0.21 | ) | | | (2.37 | ) | | | (2.58 | ) | | $ | 35.50 | | | | 25.42 | % | | $ | 987 | | | | 0.96 | % | | | 0.68 | % | | | 22 | %(D) |
| | | (0.18 | ) | | | (0.73 | ) | | | (0.91 | ) | | $ | 30.42 | | | | 8.65 | % | | $ | 763 | | | | 0.96 | % | | | 1.04 | % | | | 33 | % |
| | | (0.26 | ) | | | (1.04 | ) | | | (1.30 | ) | | $ | 28.86 | | | | 31.80 | % | | $ | 1,243 | | | | 0.97 | % | | | 1.03 | % | | | 22 | %(E) |
| | | (0.26 | ) | | | (0.72 | ) | | | (0.98 | ) | | $ | 22.89 | | | | (9.88 | )% | | $ | 1,031 | | | | 0.96 | % | | | 0.95 | % | | | 29 | %(D) |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.42 | ) | | | (1.50 | ) | | | (1.92 | ) | | $ | 29.04 | | | | (13.38 | )% | | $ | 5,417 | | | | 0.67 | % | | | 1.16 | % | | | 38 | %(D) |
| | | (0.31 | ) | | | (2.37 | ) | | | (2.68 | ) | | $ | 35.69 | | | | 25.75 | % | | $ | 8,168 | | | | 0.67 | % | | | 0.97 | % | | | 22 | %(D) |
| | | (0.33 | ) | | | (0.73 | ) | | | (1.06 | ) | | $ | 30.57 | | | | 8.97 | % | | $ | 5,140 | | | | 0.67 | % | | | 1.33 | % | | | 33 | % |
| | | (0.34 | ) | | | (1.04 | ) | | | (1.38 | ) | | $ | 29.05 | | | | 32.18 | % | | $ | 3,878 | | | | 0.68 | % | | | 1.32 | % | | | 22 | %(E) |
| | | (0.34 | ) | | | (0.72 | ) | | | (1.06 | ) | | $ | 23.03 | | | | (9.63 | )% | | $ | 2,978 | | | | 0.67 | % | | | 1.23 | % | | | 29 | %(D) |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.47 | ) | | | (1.50 | ) | | | (1.97 | ) | | $ | 29.06 | | | | (13.27 | )% | | $ | 2,296 | | | | 0.55 | % | | | 1.28 | % | | | 38 | %(D) |
| | | (0.35 | ) | | | (2.37 | ) | | | (2.72 | ) | | $ | 35.72 | | | | 25.89 | % | | $ | 3,205 | | | | 0.55 | % | | | 1.09 | % | | | 22 | %(D) |
| | | (0.36 | ) | | | (0.73 | ) | | | (1.09 | ) | | $ | 30.59 | | | | 9.07 | % | | $ | 2,340 | | | | 0.55 | % | | | 1.45 | % | | | 33 | % |
| | | (0.38 | ) | | | (1.04 | ) | | | (1.42 | ) | | $ | 29.07 | | | | 32.34 | % | | $ | 1,568 | | | | 0.56 | % | | | 1.44 | % | | | 22 | %(E) |
| | | (0.37 | ) | | | (0.72 | ) | | | (1.09 | ) | | $ | 23.04 | | | | (9.53 | )% | | $ | 992 | | | | 0.55 | % | | | 1.35 | % | | | 29 | %(D) |
| | | |
(D) | Portfolio turnover does not include redemptions in-kind. |
(E) | Portfolio turnover does not include in-kind subscriptions. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 111 |
Large Cap Concentrated Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Large Cap Concentrated Fund(A) | | Net asset
value,
beginning of
period | | | Net
investment
income(B) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | |
Investor | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 11.90 | | | | 0.10 | | | | (1.64 | ) | | | (1.54 | ) |
For the period ended December 31, 2021 | | $ | 10.00 | | | | 0.05 | | | | 2.00 | | | | 2.05 | |
|
Class I | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 11.92 | | | | 0.14 | | | | (1.66 | ) | | | (1.52 | ) |
For the period ended December 31, 2021 | | $ | 10.00 | | | | 0.07 | | | | 2.02 | | | | 2.09 | |
|
Class Y | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 11.92 | | | | 0.14 | | | | (1.64 | ) | | | (1.50 | ) |
For the period ended December 31, 2021 | | $ | 10.00 | | | | 0.09 | | | | 2.01 | | | | 2.10 | |
|
(A) | Inception date of the Fund is February 26, 2021. Fund commenced public offering on May 3, 2021. |
(B) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(C) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
112 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Dividends
from net
investment
income | | | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
period | | | Total return | | | Net assets,
end of
period
(000’s) | | | Ratio of total
expenses to
average net
assets | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(C) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.03 | ) | | | — | | | | (0.03 | ) | | $ | 10.33 | | | | (12.93 | )% | | $ | 23 | | | | 0.97 | % | | | 0.96 | % | | | 41 | % |
| | | (0.05 | ) | | | (0.10 | ) | | | (0.15 | ) | | $ | 11.90 | | | | 20.53 | %(D) | | $ | 33 | | | | 0.96 | %(E) | | | 0.56 | %(E) | | | 18 | %(D) |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.12 | ) | | | — | | | | (0.12 | ) | | $ | 10.28 | | | | (12.75 | )% | | $ | 9,107 | | | | 0.68 | % | | | 1.38 | % | | | 41 | % |
| | | (0.07 | ) | | | (0.10 | ) | | | (0.17 | ) | | $ | 11.92 | | | | 20.92 | %(D) | | $ | 2,015 | | | | 0.67 | %(E) | | | 0.77 | %(E) | | | 18 | %(D) |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.13 | ) | | | — | | | | (0.13 | ) | | $ | 10.29 | | | | (12.62 | )% | | $ | 14,017 | | | | 0.56 | % | | | 1.32 | % | | | 41 | % |
| | | (0.08 | ) | | | (0.10 | ) | | | (0.18 | ) | | $ | 11.92 | | | | 20.98 | %(D) | | $ | 15,898 | | | | 0.55 | %(E) | | | 1.00 | %(E) | | | 18 | %(D) |
| | | |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 113 |
Select Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Select Fund | | Net asset
value,
beginning of
year | | | Net
investment
income
(loss)(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | |
Investor | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 21.44 | | | | (0.02 | ) | | | (3.70 | ) | | | (3.72 | ) |
For the year ended December 31, 2021 | | $ | 18.43 | | | | 0.10 | | | | 5.85 | | | | 5.95 | |
For the year ended December 31, 2020 | | $ | 16.17 | | | | 0.05 | | | | 2.26 | | | | 2.31 | |
For the year ended December 31, 2019 | | $ | 12.64 | | | | 0.06 | | | | 3.78 | | | | 3.84 | |
For the year ended December 31, 2018 | | $ | 16.01 | | | | 0.05 | | | | (1.96 | ) | | | (1.91 | ) |
|
Class I | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 21.73 | | | | 0.04 | | | | (3.76 | ) | | | (3.72 | ) |
For the year ended December 31, 2021 | | $ | 18.60 | | | | 0.14 | | | | 5.96 | | | | 6.10 | |
For the year ended December 31, 2020 | | $ | 16.32 | | | | 0.09 | | | | 2.29 | | | | 2.38 | |
For the year ended December 31, 2019 | | $ | 12.72 | | | | 0.11 | | | | 3.80 | | | | 3.91 | |
For the year ended December 31, 2018 | | $ | 16.11 | | | | 0.10 | | | | (1.97 | ) | | | (1.87 | ) |
|
Class Y | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 21.82 | | | | 0.05 | | | | (3.76 | ) | | | (3.71 | ) |
For the year ended December 31, 2021 | | $ | 18.66 | | | | 0.14 | | | | 6.01 | | | | 6.15 | |
For the year ended December 31, 2020 | | $ | 16.37 | | | | 0.11 | | | | 2.30 | | | | 2.41 | |
For the year ended December 31, 2019 | | $ | 12.74 | | | | 0.13 | | | | 3.81 | | | | 3.94 | |
For the year ended December 31, 2018 | | $ | 16.14 | | | | 0.12 | | | | (1.99 | ) | | | (1.87 | ) |
|
(A) | Net investment income (loss) per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
114 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Dividends
from net
investment
income | | | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000’s) | | | Ratio of total
expenses to
average net
assets | | | Ratio of net
investment
income
(loss) to
average
net assets | | | Portfolio
turnover
rate(C) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | — | | | | (0.69 | ) | | | (0.69 | ) | | $ | 17.03 | | | | (17.44 | )% | | $ | 28,808 | | | | 1.16 | % | | | (0.09 | )% | | | 78 | %(D) |
| | | (0.17 | ) | | | (2.77 | ) | | | (2.94 | ) | | $ | 21.44 | | | | 32.91 | % | | $ | 31,064 | | | | 1.16 | % | | | 0.44 | % | | | 55 | % |
| | | (0.05 | ) | | | — | | | | (0.05 | ) | | $ | 18.43 | | | | 14.30 | % | | $ | 10,207 | | | | 1.16 | % | | | 0.33 | % | | | 76 | % |
| | | — | | | | (0.31 | ) | | | (0.31 | ) | | $ | 16.17 | | | | 30.41 | % | | $ | 11,049 | | | | 1.17 | % | | | 0.46 | % | | | 45 | % |
| | | (0.06 | ) | | | (1.40 | ) | | | (1.46 | ) | | $ | 12.64 | | | | (12.31 | )% | | $ | 8,963 | | | | 1.16 | % | | | 0.29 | % | | | 84 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.04 | ) | | | (0.69 | ) | | | (0.73 | ) | | $ | 17.28 | | | | (17.20 | )% | | $ | 238,051 | | | | 0.87 | % | | | 0.21 | % | | | 78 | %(D) |
| | | (0.20 | ) | | | (2.77 | ) | | | (2.97 | ) | | $ | 21.73 | | | | 33.39 | % | | $ | 232,051 | | | | 0.87 | % | | | 0.61 | % | | | 55 | % |
| | | (0.10 | ) | | | — | | | | (0.10 | ) | | $ | 18.60 | | | | 14.57 | % | | $ | 171,263 | | | | 0.87 | % | | | 0.62 | % | | | 76 | % |
| | | — | | | | (0.31 | ) | | | (0.31 | ) | | $ | 16.32 | | | | 30.77 | % | | $ | 152,591 | | | | 0.88 | % | | | 0.75 | % | | | 45 | % |
| | | (0.12 | ) | | | (1.40 | ) | | | (1.52 | ) | | $ | 12.72 | | | | (12.02 | )% | | $ | 114,571 | | | | 0.87 | % | | | 0.60 | % | | | 84 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.06 | ) | | | (0.69 | ) | | | (0.75 | ) | | $ | 17.36 | | | | (17.10 | )% | | $ | 57,091 | | | | 0.75 | % | | | 0.27 | % | | | 78 | %(D) |
| | | (0.22 | ) | | | (2.77 | ) | | | (2.99 | ) | | $ | 21.82 | | | | 33.55 | % | | $ | 120,283 | | | | 0.75 | % | | | 0.64 | % | | | 55 | % |
| | | (0.12 | ) | | | — | | | | (0.12 | ) | | $ | 18.66 | | | | 14.70 | % | | $ | 141,244 | | | | 0.75 | % | | | 0.74 | % | | | 76 | % |
| | | — | | | | (0.31 | ) | | | (0.31 | ) | | $ | 16.37 | | | | 30.96 | % | | $ | 103,963 | | | | 0.76 | % | | | 0.86 | % | | | 45 | % |
| | | (0.13 | ) | | | (1.40 | ) | | | (1.53 | ) | | $ | 12.74 | | | | (11.95 | )% | | $ | 65,218 | | | | 0.75 | % | | | 0.73 | % | | | 84 | % |
| | | | | | | |
(C) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
(D) | Portfolio turnover does not include redemptions in-kind. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 115 |
Long-Short Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Long-Short Fund | | Net asset
value,
beginning of
year | | | Net
investment
income
(loss)(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | | | Dividends
from net
investment
income | |
Investor | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 27.76 | | | | 0.08 | | | | (2.50 | ) | | | (2.42 | ) | | | (0.09 | ) |
For the year ended December 31, 2021 | | $ | 25.89 | | | | (0.11 | ) | | | 4.98 | | | | 4.87 | | | | — | |
For the year ended December 31, 2020 | | $ | 26.29 | | | | 0.02 | | | | (0.17 | ) | | | (0.15 | ) | | | (0.05 | ) |
For the year ended December 31, 2019 | | $ | 22.78 | | | | 0.13 | | | | 5.04 | | | | 5.17 | | | | (0.17 | ) |
For the year ended December 31, 2018 | | $ | 25.76 | | | | 0.10 | | | | (1.96 | ) | | | (1.86 | ) | | | (0.07 | ) |
|
Class I | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 28.68 | | | | 0.17 | | | | (2.59 | ) | | | (2.42 | ) | | | (0.17 | ) |
For the year ended December 31, 2021 | | $ | 26.58 | | | | (0.03 | ) | | | 5.13 | | | | 5.10 | | | | — | |
For the year ended December 31, 2020 | | $ | 26.98 | | | | 0.09 | | | | (0.17 | ) | | | (0.08 | ) | | | (0.12 | ) |
For the year ended December 31, 2019 | | $ | 23.32 | | | | 0.22 | | | | 5.16 | | | | 5.38 | | | | (0.23 | ) |
For the year ended December 31, 2018 | | $ | 26.39 | | | | 0.18 | | | | (2.01 | ) | | | (1.83 | ) | | | (0.19 | ) |
|
Class Y | | | | | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 28.85 | | | | 0.19 | | | | (2.60 | ) | | | (2.41 | ) | | | (0.20 | ) |
For the year ended December 31, 2021 | | $ | 26.69 | | | | 0.02 | | | | 5.14 | | | | 5.16 | | | | — | |
For the year ended December 31, 2020 | | $ | 27.10 | | | | 0.14 | | | | (0.20 | ) | | | (0.06 | ) | | | (0.15 | ) |
For the year ended December 31, 2019 | | $ | 23.42 | | | | 0.25 | | | | 5.18 | | | | 5.43 | | | | (0.26 | ) |
For the year ended December 31, 2018 | | $ | 26.49 | | | | 0.21 | | | | (2.01 | ) | | | (1.80 | ) | | | (0.22 | ) |
|
(A) | Net investment income (loss) per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
(C) | This Fund invests in short positions and as such incurs certain expenses and fees. If such expenses and fees had not occurred, the ratios of total expenses to average net assets would have been 1.36% for Investor, 1.07% for Class I, and 0.95% for Class Y. |
116 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000,000’s) | | | Ratio of
total net
expenses to
average net
assets(C) | | | Ratio of
total gross
expenses to
average net
assets(D) | | | Ratio of net
investment
income
(loss) to
average
net assets | | | Portfolio
turnover
rate(E)(F) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1.13 | ) | | | (1.22 | ) | | $ | 24.12 | | | | (8.74 | )% | | $ | 127 | | | | 1.78 | % | | | 1.78 | % | | | 0.30 | % | | | 61 | % |
| | | (3.00 | ) | | | (3.00 | ) | | $ | 27.76 | | | | 19.03 | % | | $ | 168 | | | | 1.92 | % | | | 1.93 | % | | | (0.38 | )% | | | 33 | % |
| | | (0.20 | ) | | | (0.25 | ) | | $ | 25.89 | | | | (0.55 | )% | | $ | 162 | | | | 1.81 | % | | | 1.82 | % | | | 0.09 | % | | | 65 | % |
| | | (1.49 | ) | | | (1.66 | ) | | $ | 26.29 | | | | 22.74 | % | | $ | 235 | | | | 1.85 | % | | | 1.86 | % | | | 0.51 | % | | | 54 | % |
| | | (1.05 | ) | | | (1.12 | ) | | $ | 22.78 | | | | (7.30 | )% | | $ | 189 | | | | 1.72 | % | | | 1.73 | % | | | 0.38 | % | | | 64 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1.13 | ) | | | (1.30 | ) | | $ | 24.96 | | | | (8.45 | )% | | $ | 1,604 | | | | 1.49 | % | | | 1.49 | % | | | 0.61 | % | | | 61 | % |
| | | (3.00 | ) | | | (3.00 | ) | | $ | 28.68 | | | | 19.40 | % | | $ | 1,792 | | | | 1.63 | % | | | 1.64 | % | | | (0.08 | )% | | | 33 | % |
| | | (0.20 | ) | | | (0.32 | ) | | $ | 26.58 | | | | (0.27 | )% | | $ | 1,794 | | | | 1.52 | % | | | 1.53 | % | | | 0.39 | % | | | 65 | % |
| | | (1.49 | ) | | | (1.72 | ) | | $ | 26.98 | | | | 23.11 | % | | $ | 2,960 | | | | 1.56 | % | | | 1.57 | % | | | 0.84 | % | | | 54 | % |
| | | (1.05 | ) | | | (1.24 | ) | | $ | 23.32 | | | | (7.04 | )% | | $ | 3,111 | | | | 1.43 | % | | | 1.44 | % | | | 0.68 | % | | | 64 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (1.13 | ) | | | (1.33 | ) | | $ | 25.11 | | | | (8.36 | )% | | $ | 22 | | | | 1.37 | % | | | 1.37 | % | | | 0.68 | % | | | 61 | % |
| | | (3.00 | ) | | | (3.00 | ) | | $ | 28.85 | | | | 19.55 | % | | $ | 37 | | | | 1.51 | % | | | 1.52 | % | | | 0.08 | % | | | 33 | % |
| | | (0.20 | ) | | | (0.35 | ) | | $ | 26.69 | | | | (0.19 | )% | | $ | 75 | | | | 1.40 | % | | | 1.41 | % | | | 0.57 | % | | | 65 | % |
| | | (1.49 | ) | | | (1.75 | ) | | $ | 27.10 | | | | 23.23 | % | | $ | 292 | | | | 1.44 | % | | | 1.45 | % | | | 0.93 | % | | | 54 | % |
| | | (1.05 | ) | | | (1.27 | ) | | $ | 23.42 | | | | (6.89 | )% | | $ | 214 | | | | 1.31 | % | | | 1.32 | % | | | 0.80 | % | | | 64 | % |
| | | |
(D) | The Fund’s adviser has contractually agreed to waive fees in the pro-rata amount of the management fee charged by the underlying Diamond Hill Fund on each Fund’s investment in such other Diamond Hill Fund. If such fee waiver had not occurred, the ratios would have been as indicated. |
(E) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
(F) | The portfolio turnover rate for 2022, 2021, 2020, 2019 and 2018 would have been 46%, 30%, 47%, 42% and 51%, respectively, if the absolute value of securities sold short liability was included in the denominator of the calculation. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 117 |
International Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
International Fund(A) | | Net asset
value,
beginning of
period | | | Net
investment
income(B) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | |
Investor | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 16.76 | | | | 0.17 | | | | (2.49 | ) | | | (2.32 | ) |
For the year ended December 31, 2021 | | $ | 15.48 | | | | 0.38 | | | | 1.52 | | | | 1.90 | |
For the year ended December 31, 2020 | | $ | 14.67 | | | | 0.05 | | | | 0.90 | | | | 0.95 | |
For the period ended December 31, 2019 | | $ | 13.55 | | | | 0.02 | | | | 1.15 | | | | 1.17 | |
|
Class I | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 16.79 | | | | 0.20 | | | | (2.46 | ) | | | (2.26 | ) |
For the year ended December 31, 2021 | | $ | 15.51 | | | | 0.42 | | | | 1.53 | | | | 1.95 | |
For the year ended December 31, 2020 | | $ | 14.69 | | | | 0.09 | | | | 0.90 | | | | 0.99 | |
For the period ended December 31, 2019 | | $ | 13.55 | | | | 0.04 | | | | 1.15 | | | | 1.19 | |
|
Class Y | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 16.80 | | | | 0.22 | | | | (2.47 | ) | | | (2.25 | ) |
For the year ended December 31, 2021 | | $ | 15.51 | | | | 0.47 | | | | 1.51 | | | | 1.98 | |
For the year ended December 31, 2020 | | $ | 14.69 | | | | 0.11 | | | | 0.89 | | | | 1.00 | |
For the period ended December 31, 2019 | | $ | 13.55 | | | | 0.05 | | | | 1.15 | | | | 1.20 | |
|
(A) | Inception date of the Fund is June 28, 2019. Fund commenced public offering and operations on July 1, 2019. |
(B) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(C) | Total returns shown exclude the effect of applicable sales charges for periods prior to December 31, 2021. |
118 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Dividends
from net
investment
income | | | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
period | | | Total return(C) | | | Net assets,
end of
period
(000’s) | | | Ratio of total
expenses to
average net
assets | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(D) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.12 | ) | | | (0.04 | ) | | | (0.16 | ) | | $ | 14.28 | | | | (13.84 | )% | | $ | 267 | | | | 1.15 | % | | | 1.13 | % | | | 21 | % |
| | | (0.15 | ) | | | (0.47 | ) | | | (0.62 | ) | | $ | 16.76 | | | | 12.43 | % | | $ | 449 | | | | 1.13 | % | | | 2.20 | % | | | 33 | % |
| | | (0.06 | ) | | | (0.08 | ) | | | (0.14 | ) | | $ | 15.48 | | | | 6.48 | % | | $ | 338 | | | | 1.14 | % | | | 0.43 | % | | | 49 | % |
| | | (0.04 | ) | | | (0.01 | ) | | | (0.05 | ) | | $ | 14.67 | | | | 8.64 | %(E) | | $ | 45 | | | | 1.21 | %(F) | | | 0.25 | %(F) | | | 8 | %(E) |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.20 | ) | | | (0.04 | ) | | | (0.24 | ) | | $ | 14.29 | | | | (13.51 | )% | | $ | 10,729 | | | | 0.86 | % | | | 1.35 | % | | | 21 | % |
| | | (0.20 | ) | | | (0.47 | ) | | | (0.67 | ) | | $ | 16.79 | | | | 12.74 | % | | $ | 9,010 | | | | 0.84 | % | | | 2.43 | % | | | 33 | % |
| | | (0.09 | ) | | | (0.08 | ) | | | (0.17 | ) | | $ | 15.51 | | | | 6.74 | % | | $ | 3,913 | | | | 0.85 | % | | | 0.74 | % | | | 49 | % |
| | | (0.04 | ) | | | (0.01 | ) | | | (0.05 | ) | | $ | 14.69 | | | | 8.80 | %(E) | | $ | 3,828 | | | | 0.92 | %(F) | | | 0.61 | %(F) | | | 8 | %(E) |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.21 | ) | | | (0.04 | ) | | | (0.25 | ) | | $ | 14.30 | | | | (13.41 | )% | | $ | 40,603 | | | | 0.74 | % | | | 1.48 | % | | | 21 | % |
| | | (0.22 | ) | | | (0.47 | ) | | | (0.69 | ) | | $ | 16.80 | | | | 12.88 | % | | $ | 46,129 | | | | 0.72 | % | | | 2.74 | % | | | 33 | % |
| | | (0.10 | ) | | | (0.08 | ) | | | (0.18 | ) | | $ | 15.51 | | | | 6.81 | % | | $ | 12,616 | | | | 0.73 | % | | | 0.87 | % | | | 49 | % |
| | | (0.05 | ) | | | (0.01 | ) | | | (0.06 | ) | | $ | 14.69 | | | | 8.85 | %(E) | | $ | 9,616 | | | | 0.80 | %(F) | | | 0.70 | %(F) | | | 8 | %(E) |
| | | |
(D) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
See accompanying Notes to Financial Statements.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 119 |
Short Duration Securitized Bond Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Short Duration Securitized Bond Fund | | Net asset
value,
beginning of
year | | | Net
investment
income(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | |
Investor | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 10.10 | | | | 0.31 | | | | (0.67 | ) | | | (0.36 | ) |
For the year ended December 31, 2021 | | $ | 10.09 | | | | 0.23 | | | | 0.01 | | | | 0.24 | |
For the year ended December 31, 2020 | | $ | 10.11 | | | | 0.26 | | | | 0.02 | | | | 0.28 | |
For the year ended December 31, 2019 | | $ | 10.05 | | | | 0.38 | | | | 0.06 | | | | 0.44 | |
For the year ended December 31, 2018 | | $ | 10.11 | | | | 0.33 | | | | (0.04 | ) | | | 0.29 | |
|
Class I | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 10.10 | | | | 0.34 | | | | (0.68 | ) | | | (0.34 | ) |
For the year ended December 31, 2021 | | $ | 10.09 | | | | 0.25 | | | | 0.02 | | | | 0.27 | |
For the year ended December 31, 2020 | | $ | 10.12 | | | | 0.28 | | | | 0.02 | | | | 0.30 | |
For the year ended December 31, 2019 | | $ | 10.05 | | | | 0.41 | | | | 0.07 | | | | 0.48 | |
For the year ended December 31, 2018 | | $ | 10.11 | | | | 0.36 | | | | (0.04 | ) | | | 0.32 | |
|
Class Y | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 10.11 | | | | 0.34 | | | | (0.67 | ) | | | (0.33 | ) |
For the year ended December 31, 2021 | | $ | 10.10 | | | | 0.27 | | | | 0.01 | | | | 0.28 | |
For the year ended December 31, 2020 | | $ | 10.12 | | | | 0.30 | | | | 0.02 | | | | 0.32 | |
For the year ended December 31, 2019 | | $ | 10.06 | | | | 0.42 | | | | 0.06 | | | | 0.48 | |
For the year ended December 31, 2018 | | $ | 10.11 | | | | 0.38 | | | | (0.04 | ) | | | 0.34 | |
|
(A) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
(C) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
(D) | Amount is less than $0.005. |
See accompanying Notes to Financial Statements.
120 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Dividends
from net
investment
income | | | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000’s) | | | Ratio of total
expenses to
average net
assets | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(C) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.32 | ) | | | — | | | | (0.32 | ) | | $ | 9.42 | | | | (3.57 | )% | | $ | 29,352 | | | | 0.81 | % | | | 3.23 | % | | | 41 | % |
| | | (0.23 | ) | | | (0.00 | )(D) | | | (0.23 | ) | | $ | 10.10 | | | | 2.42 | % | | $ | 40,035 | | | | 0.81 | % | | | 2.26 | % | | | 48 | % |
| | | (0.30 | ) | | | — | | | | (0.30 | ) | | $ | 10.09 | | | | 2.87 | % | | $ | 47,059 | | | | 0.82 | % | | | 2.68 | % | | | 72 | % |
| | | (0.38 | ) | | | (0.00 | )(D) | | | (0.38 | ) | | $ | 10.11 | | | | 4.44 | % | | $ | 55,727 | | | | 0.82 | % | | | 3.72 | % | | | 54 | % |
| | | (0.34 | ) | | | (0.01 | ) | | | (0.35 | ) | | $ | 10.05 | | | | 2.88 | % | | $ | 18,789 | | | | 0.81 | % | | | 3.30 | % | | | 67 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.35 | ) | | | — | | | | (0.35 | ) | | $ | 9.41 | | | | (3.38 | )% | | $ | 1,054,124 | | | | 0.52 | % | | | 3.55 | % | | | 41 | % |
| | | (0.26 | ) | | | (0.00 | )(D) | | | (0.26 | ) | | $ | 10.10 | | | | 2.74 | % | | $ | 1,313,888 | | | | 0.52 | % | | | 2.50 | % | | | 48 | % |
| | | (0.33 | ) | | | — | | | | (0.33 | ) | | $ | 10.09 | | | | 3.08 | % | | $ | 897,232 | | | | 0.53 | % | | | 2.93 | % | | | 72 | % |
| | | (0.41 | ) | | | (0.00 | )(D) | | | (0.41 | ) | | $ | 10.12 | | | | 4.85 | % | | $ | 525,994 | | | | 0.53 | % | | | 4.00 | % | | | 54 | % |
| | | (0.37 | ) | | | (0.01 | ) | | | (0.38 | ) | | $ | 10.05 | | | | 3.18 | % | | $ | 308,341 | | | | 0.52 | % | | | 3.62 | % | | | 67 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.36 | ) | | | — | | | | (0.36 | ) | | $ | 9.42 | | | | (3.27 | )% | | $ | 64,761 | | | | 0.40 | % | | | 3.54 | % | | | 41 | % |
| | | (0.27 | ) | | | (0.00 | )(D) | | | (0.27 | ) | | $ | 10.11 | | | | 2.85 | % | | $ | 144,787 | | | | 0.40 | % | | | 2.68 | % | | | 48 | % |
| | | (0.34 | ) | | | — | | | | (0.34 | ) | | $ | 10.10 | | | | 3.29 | % | | $ | 188,175 | | | | 0.41 | % | | | 3.09 | % | | | 72 | % |
| | | (0.42 | ) | | | (0.00 | )(D) | | | (0.42 | ) | | $ | 10.12 | | | | 4.84 | % | | $ | 226,938 | | | | 0.41 | % | | | 4.09 | % | | | 54 | % |
| | | (0.38 | ) | | | (0.01 | ) | | | (0.39 | ) | | $ | 10.06 | | | | 3.38 | % | | $ | 252,137 | | | | 0.40 | % | | | 3.72 | % | | | 67 | % |
| | | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 121 |
Core Bond Fund
Financial Highlights
Selected data for a share outstanding throughout the periods indicated
Core Bond Fund | | Net asset
value,
beginning of
year | | | Net
investment
income(A) | | | Net realized
and
unrealized
gains
(losses) on
investments | | | Total from
investment
operations | |
Investor | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 10.40 | | | | 0.22 | | | | (1.46 | ) | | | (1.24 | ) |
For the year ended December 31, 2021 | | $ | 10.74 | | | | 0.19 | | | | (0.32 | ) | | | (0.13 | ) |
For the year ended December 31, 2020 | | $ | 10.19 | | | | 0.21 | | | | 0.56 | | | | 0.77 | |
For the year ended December 31, 2019 | | $ | 9.71 | | | | 0.24 | | | | 0.49 | | | | 0.73 | |
For the year ended December 31, 2018 | | $ | 9.85 | | | | 0.25 | | | | (0.13 | ) | | | 0.12 | |
|
Class I | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 10.39 | | | | 0.27 | | | | (1.49 | ) | | | (1.22 | ) |
For the year ended December 31, 2021 | | $ | 10.74 | | | | 0.22 | | | | (0.33 | ) | | | (0.11 | ) |
For the year ended December 31, 2020 | | $ | 10.19 | | | | 0.24 | | | | 0.56 | | | | 0.80 | |
For the year ended December 31, 2019 | | $ | 9.71 | | | | 0.26 | | | | 0.50 | | | | 0.76 | |
For the year ended December 31, 2018 | | $ | 9.85 | | | | 0.28 | | | | (0.13 | ) | | | 0.15 | |
|
Class Y | | | | | | | | | | | | | | | | |
For the year ended December 31, 2022 | | $ | 10.39 | | | | 0.28 | | | | (1.48 | ) | | | (1.20 | ) |
For the year ended December 31, 2021 | | $ | 10.75 | | | | 0.23 | | | | (0.33 | ) | | | (0.10 | ) |
For the year ended December 31, 2020 | | $ | 10.20 | | | | 0.26 | | | | 0.55 | | | | 0.81 | |
For the year ended December 31, 2019 | | $ | 9.71 | | | | 0.28 | | | | 0.50 | | | | 0.78 | |
For the year ended December 31, 2018 | | $ | 9.85 | | | | 0.29 | | | | (0.13 | ) | | | 0.16 | |
|
(A) | Net investment income per share has been calculated using the average daily shares outstanding during the period. |
(B) | Total returns shown exclude the effect of applicable sales charges for years prior to December 31, 2021. |
(C) | Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. |
See accompanying Notes to Financial Statements.
122 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
| | Dividends
from net
investment
income | | | Distributions
from net
realized
capital gains | | | Total
distributions | | | Net asset
value, end of
year | | | Total return(B) | | | Net assets,
end of year
(000’s) | | | Ratio of total
expenses to
average net
assets | | | Ratio of net
investment
income to
average
net assets | | | Portfolio
turnover
rate(C) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.24 | ) | | | — | | | | (0.24 | ) | | $ | 8.92 | | | | (12.05 | )% | | $ | 3,572 | | | | 0.76 | % | | | 2.36 | % | | | 40 | % |
| | | (0.21 | ) | | | — | | | | (0.21 | ) | | $ | 10.40 | | | | (1.24 | )% | | $ | 10,091 | | | | 0.76 | % | | | 1.78 | % | | | 37 | % |
| | | (0.22 | ) | | | — | | | | (0.22 | ) | | $ | 10.74 | | | | 7.60 | % | | $ | 17,024 | | | | 0.76 | % | | | 1.98 | % | | | 28 | % |
| | | (0.25 | ) | | | — | | | | (0.25 | ) | | $ | 10.19 | | | | 7.63 | % | | $ | 3,599 | | | | 0.77 | % | | | 2.43 | % | | | 29 | % |
| | | (0.26 | ) | | | — | | | | (0.26 | ) | | $ | 9.71 | | | | 1.28 | % | | $ | 2,976 | | | | 0.76 | % | | | 2.60 | % | | | 25 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.27 | ) | | | — | | | | (0.27 | ) | | $ | 8.90 | | | | (11.84 | )% | | $ | 526,372 | | | | 0.47 | % | | | 2.93 | % | | | 40 | % |
| | | (0.24 | ) | | | — | | | | (0.24 | ) | | $ | 10.39 | | | | (0.99 | )% | | $ | 330,666 | | | | 0.47 | % | | | 2.08 | % | | | 37 | % |
| | | (0.25 | ) | | | — | | | | (0.25 | ) | | $ | 10.74 | | | | 7.94 | % | | $ | 260,365 | | | | 0.47 | % | | | 2.28 | % | | | 28 | % |
| | | (0.28 | ) | | | — | | | | (0.28 | ) | | $ | 10.19 | | | | 7.93 | % | | $ | 66,174 | | | | 0.48 | % | | | 2.61 | % | | | 29 | % |
| | | (0.29 | ) | | | — | | | | (0.29 | ) | | $ | 9.71 | | | | 1.59 | % | | $ | 14,574 | | | | 0.47 | % | | | 2.92 | % | | | 25 | % |
| | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (0.28 | ) | | | — | | | | (0.28 | ) | | $ | 8.91 | | | | (11.63 | )% | | $ | 58,932 | | | | 0.35 | % | | | 2.94 | % | | | 40 | % |
| | | (0.26 | ) | | | — | | | | (0.26 | ) | | $ | 10.39 | | | | (0.95 | )% | | $ | 58,668 | | | | 0.35 | % | | | 2.21 | % | | | 37 | % |
| | | (0.26 | ) | | | — | | | | (0.26 | ) | | $ | 10.75 | | | | 8.04 | % | | $ | 59,856 | | | | 0.35 | % | | | 2.46 | % | | | 28 | % |
| | | (0.29 | ) | | | — | | | | (0.29 | ) | | $ | 10.20 | | | | 8.15 | % | | $ | 52,275 | | | | 0.36 | % | | | 2.83 | % | | | 29 | % |
| | | (0.30 | ) | | | — | | | | (0.30 | ) | | $ | 9.71 | | | | 1.69 | % | | $ | 37,713 | | | | 0.35 | % | | | 3.03 | % | | | 25 | % |
| | | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 123 |
Diamond Hill Funds
Notes to Financial Statements
December 31, 2022
Organization
The Diamond Hill Small Cap Fund (“Small Cap Fund”), Diamond Hill Small-Mid Cap Fund (“Small-Mid Cap Fund”), Diamond Hill Mid Cap Fund (“Mid Cap Fund”), Diamond Hill Large Cap Fund (“Large Cap Fund”), Diamond Hill Large Cap Concentrated Fund (“Large Cap Concentrated Fund”), Diamond Hill Select Fund (“Select Fund”) (formerly Diamond Hill All Cap Select Fund), Diamond Hill Long-Short Fund (“Long-Short Fund”), Diamond Hill International Fund (“International Fund”), Diamond Hill Short Duration Securitized Bond Fund (“Short Duration Fund”) and Diamond Hill Core Bond Fund (“Core Bond Fund”) are each a diversified series, except for Select Fund and Large Cap Concentrated Fund which are non-diversified, of the Diamond Hill Funds (the “Trust”) (each a “Fund” and collectively the “Funds”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management company. Each Fund follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, “Financial Services – Investment Companies.”
All Funds currently offer three classes of shares: Investor, Class I and Class Y. Prior to February 22, 2021, the Small Cap Fund, Small-Mid Cap Fund, Large Cap Fund, Select Fund and Long-Short Fund offered four classes of shares including Class C (sold with a contingent deferred sales charge of 1.00% for shares redeemed within one year of the purchase date). On February 22, 2021, all existing Class C shares were converted to Investor shares at the Investor shares net asset value (“NAV”) per share as of February 22, 2021. Each class of shares for each Fund has identical rights and privileges except with respect to distribution (12b-1) and service fees, voting rights on matters affecting a single class of shares, exchange privileges of each class of shares.
Regulatory Update
In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting”. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates at the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. The Funds will consider this optional guidance prospectively, if applicable. Management is currently actively working with other financial institutions and counterparties to modify contracts as required by applicable regulation and within the regulatory deadlines.
Significant Accounting Policies
The following is a summary of the Funds’ significant accounting policies:
Estimates — The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”), which requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities
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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.
Security valuation — The Funds record their investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used by the Funds maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:
● | Level 1 — quoted prices in active markets for identical securities |
● | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
● | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
Listed securities for which market quotations are readily available are valued at the closing prices as determined by the primary exchange where the securities are traded. Unlisted securities or listed securities for which the latest sales prices are not readily available are valued at the closing bid (long positions) or ask (short positions) price in the principal market where such securities are normally traded. Investments in other open-end investment companies are valued at their reported NAV per share. In each of these situations, valuations are typically categorized as Level 1 in the fair value hierarchy.
Debt securities are valued on the basis of valuations provided by dealers or by an independent pricing service which take into account appropriate factors such as trading activity (i.e., market transactions for normal, institutional-size trading units of similar securities), readily available market quotations (including broker quotes), yield, quality, coupon rate, maturity, type of issue, trading characteristic, call features, credit ratings and other data. Short-term debt investments of sufficient credit quality maturing in less than 61 days may be valued at amortized cost, if amortized cost is determined to approximate fair value. In each of these situations, valuations are typically categorized as Level 2 in the fair value hierarchy.
Securities for which market quotations are not readily available (e.g., an approved pricing service does not provide a price, a price becomes stale, or an event occurs that materially affects the furnished price) are valued by the adviser’s Valuation & Liquidity Committee. In these cases, the adviser’s Valuation & Liquidity Committee, established and appointed by the Board of Trustees, determines in good faith, subject to Trust procedures, the fair value of portfolio securities held by a Fund (“good faith fair valuation”). When a good faith fair valuation of a security is required, consideration is generally given to a number of factors, including, but not limited to the following: dealer quotes, published analyses by dealers or analysts of the situation at issue, transactions implicitly valuing the security (such as a merger, tender offer, etc.), the value of other securities or contracts which derive their value from the security at issue, and the implications (whether negative or positive) of the
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 125 |
Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
circumstances which have caused trading in the security to halt. Depending on the source and relative significance of the valuation inputs in these instances, the valuations for these securities may be classified as Level 2 or Level 3 in the fair value hierarchy.
In accordance with procedures adopted by the Trust’s Board of Trustees, fair value pricing may be used if events materially affecting the value of foreign equity securities occur between the time the exchange on which they are traded closes and the time the Funds’ NAVs are calculated. The Funds use a systematic valuation model, provided daily by an independent third party, to fair value their international equity securities. These valuations are considered as Level 2 in the fair value hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. For example, short-term debt securities of sufficient credit quality maturing in less than 61 days may be valued using amortized cost in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2. The following is a summary of the Funds’ investments and the inputs used to value the investments as of December 31, 2022:
| | | Level 1 -
Quoted Prices | | | Level 2 - Other
Significant
Observable
Inputs | | | Level 3 -
Significant
Unobservable
Inputs | | | Total | |
Investments in Securities (Assets) | | | | | | | | | | | | |
Small Cap Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | 282,926,959 | | | $ | — | | | $ | — | | | $ | 282,926,959 | |
Registered Investment Companies | | | 12,905,833 | | | | — | | | | — | | | | 12,905,833 | |
Total | | $ | 295,832,792 | | | $ | — | | | $ | — | | | $ | 295,832,792 | |
Small-Mid Cap Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | 1,879,416,114 | | | $ | — | | | $ | — | | | $ | 1,879,416,114 | |
Registered Investment Companies | | | 108,482,445 | | | | — | | | | — | | | | 108,482,445 | |
Total | | $ | 1,987,898,559 | | | $ | — | | | $ | — | | | $ | 1,987,898,559 | |
Mid Cap Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | 184,799,553 | | | $ | — | | | $ | — | | | $ | 184,799,553 | |
Registered Investment Companies | | | 4,118,899 | | | | — | | | | — | | | | 4,118,899 | |
Total | | $ | 188,918,452 | | | $ | — | | | $ | — | | | $ | 188,918,452 | |
Large Cap Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | 8,417,624,630 | | | $ | — | | | $ | — | | | $ | 8,417,624,630 | |
Registered Investment Companies | | | 291,817,728 | | | | — | | | | — | | | | 291,817,728 | |
Total | | $ | 8,709,442,358 | | | $ | — | | | $ | — | | | $ | 8,709,442,358 | |
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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
| | | Level 1 -
Quoted Prices | | | Level 2 - Other
Significant
Observable
Inputs | | | Level 3 -
Significant
Unobservable
Inputs | | | Total | |
Large Cap Concentrated Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | 22,425,022 | | | $ | — | | | $ | — | | | $ | 22,425,022 | |
Registered Investment Companies | | | 941,334 | | | | — | | | | — | | | | 941,334 | |
Total | | $ | 23,366,356 | | | $ | — | | | $ | — | | | $ | 23,366,356 | |
Select Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | 326,258,939 | | | $ | — | | | $ | — | | | $ | 326,258,939 | |
Registered Investment Companies | | | 19,499,688 | | | | — | | | | — | | | | 19,499,688 | |
Total | | $ | 345,758,627 | | | $ | — | | | $ | — | | | $ | 345,758,627 | |
Long-Short Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | 1,508,143,753 | | | $ | — | | | $ | — | | | $ | 1,508,143,753 | |
Treasury | | | — | | | | 116,528,125 | | | | — | | | | 116,528,125 | |
Registered Investment Companies | | | 463,097,836 | | | | — | | | | — | | | | 463,097,836 | |
Total | | $ | 1,971,241,589 | | | $ | 116,528,125 | | | $ | — | | | $ | 2,087,769,714 | |
International Fund | | | | | | | | | | | | | | | | |
Common Stocks | | $ | 16,989,507 | | | $ | 33,198,043 | | | $ | — | | | $ | 50,187,550 | |
Warrants | | | 6,929 | | | | — | | | | — | | | | 6,929 | |
Registered Investment Companies | | | 4,526,695 | | | | — | | | | — | | | | 4,526,695 | |
Total | | $ | 21,523,131 | | | $ | 33,198,043 | | | $ | — | | | $ | 54,721,174 | |
Short Duration Fund | | | | | | | | | | | | | | | | |
Corporate Credit* | | $ | — | | | $ | 66,382,881 | | | $ | — | | | $ | 66,382,881 | |
Securitized* | | | — | | | | 996,148,001 | | | | — | | | | 996,148,001 | |
Treasury | | | — | | | | 74,861,139 | | | | — | | | | 74,861,139 | |
Registered Investment Companies | | | 20,133,583 | | | | — | | | | — | | | | 20,133,583 | |
Total | | $ | 20,133,583 | | | $ | 1,137,392,021 | | | $ | — | | | $ | 1,157,525,604 | |
Core Bond Fund | | | | | | | | | | | | | | | | |
Corporate Credit* | | $ | — | | | $ | 101,741,984 | | | $ | — | | | $ | 101,741,984 | |
Government Related* | | | — | | | | 933,068 | | | | — | | | | 933,068 | |
Securitized* | | | — | | | | 387,115,286 | | | | — | | | | 387,115,286 | |
Treasury | | | — | | | | 81,852,825 | | | | — | | | | 81,852,825 | |
Registered Investment Companies | | | 37,359,051 | | | | — | | | | — | | | | 37,359,051 | |
Total | | $ | 37,359,051 | | | $ | 571,643,163 | | | $ | — | | | $ | 609,002,214 | |
Investments in Securities Sold Short (Liabilities) | | | | | | | | | | | | |
Long-Short Fund | | | | | | | | | | | | | | | | |
Common Stocks* | | $ | (493,674,798 | ) | | $ | — | | | $ | — | | | $ | (493,674,798 | ) |
Total | | $ | (493,674,798 | ) | | $ | — | | | $ | — | | | $ | (493,674,798 | ) |
* | See Schedule of Investments and Schedule of Investments Sold Short for industry classification. |
There were no transfers into or out of Level 3 for the year ended December 31, 2022.
Short sales — The Long-Short Fund and International Fund are permitted to make short sales of securities. Short sales are effective when it is believed that the price of a particular security will decline and involves the sale of a security that a Fund does not own in hope of
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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
purchasing the same security at a later date at a lower price. To make delivery to the buyer, a Fund must borrow the security, and the Fund is obligated to return the security to the lender, which is accomplished by a later purchase of the security by the Fund. Cash received from short sales and other liquid securities are maintained by the custodian and are used as collateral. Cash collateral is shown as “Cash deposits with custodian for securities sold short” on the Statements of Assets & Liabilities and “Segregated Cash With Custodian” on the Schedules of Investments. Liquid securities pledged as collateral are noted on the Schedules of Investments.
A Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund purchases the security to replace the borrowed security. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is not limited. The use of short sales may cause a Fund to have higher expenses (specifically dividend expenses) than those of other equity mutual funds. Short sales are speculative transactions and involve special risks, including greater reliance on the ability of the Funds’ investment adviser, Diamond Hill Capital Management, Inc. (“DHCM”), to accurately anticipate the future value of a security.
A Fund may also incur stock loan fees which represent the cost of borrowing securities used for short sale transactions. A Fund may also earn rebates as an element of the custodian arrangement, which are recorded as an offset to stock loan fees on short sales transactions. The stock loan fees on short sales are recognized on the Statements of Operations. In the event that rebates exceed the stock loan fees on short sales, the net rebates are recognized as a component of investment income on the Statements of Operations.
Securities lending — Under the terms of the securities lending agreement with State Street Bank and Trust Company (“State Street”), State Street is authorized to loan securities on behalf of the Funds to approved borrowers. The contractual maturity of securities lending transactions is on an overnight and continuous basis. In exchange, the Funds receive cash and/or U.S. Treasury and government agency securities as collateral in the amount of at least 100% of the value of the securities loaned. Any collateral shortfalls due to changes in security market prices are adjusted the next business day. The cash collateral is invested in short-term instruments as noted in each Fund’s Schedule of Investments. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the borrower fails to return them. The agreement indemnifies the Funds from losses incurred in the event of a borrower’s material default of the terms and conditions of the borrower agreement. The agreement provides that after predetermined rebates to borrowers, the Funds each retain a portion of their respective net securities lending income and pay State Street the remaining portion. The Funds manage credit exposure arising from these lending transactions by, in appropriate circumstances, entering into a master netting agreement and collateral agreement with State Street that provide the Funds, in the event of default (such as bankruptcy or borrower’s failure to pay or perform), the right to net rights and obligations under such agreements and liquidate and set off collateral against the net amount owed to the Funds.
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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
As of December 31, 2022, the fair value of securities on loan and the collateral held were as follows:
| | | | | | | Fair Value of Collateral | |
| | | Fair Value of
Securities
Loaned | | | Cash Collateral | | | Non-Cash
Collateral* | | | Total Collateral | |
Small Cap Fund | | $ | 14,738,257 | | | $ | 9,523,866 | | | $ | 5,826,480 | | | $ | 15,350,346 | |
Small-Mid Cap Fund | | | 85,297,184 | | | | 83,652,229 | | | | 4,080,118 | | | | 87,732,347 | |
Mid Cap Fund | | | 1,480,252 | | | | 1,512,836 | | | | — | | | | 1,512,836 | |
Large Cap Fund | | | 216,175,869 | | | | 193,290,055 | | | | 27,963,166 | | | | 221,253,221 | |
Large Cap Concentrated Fund | | | 221,404 | | | | 227,580 | | | | — | | | | 227,580 | |
Select Fund | | | 14,676,114 | | | | 14,571,422 | | | | 870,722 | | | | 15,442,144 | |
Long-Short Fund | | | 344,642,062 | | | | 353,268,810 | | | | — | | | | 353,268,810 | |
International Fund | | | 3,587,688 | | | | 3,084,847 | | | | 659,273 | | | | 3,744,120 | |
Short Duration Fund | | | 2,368,503 | | | | 1,335,575 | | | | 1,083,000 | | | | 2,418,575 | |
Core Bond Fund | | | 22,752,303 | | | | 19,205,215 | | | | 4,198,573 | | | | 23,403,788 | |
* | These securities are held for the benefit of the Funds at the Funds’ custodian. The Funds cannot repledge or resell this collateral. As such, collateral is excluded from the Statements of Assets & Liabilities. |
Security transactions — Throughout the reporting period, investment transactions are generally recorded on trade date but no later than the first business day following trade date. For financial reporting purposes, investments are recorded on trade date. The specific identification method is used for determining realized gains or losses for financial statements and income tax purposes. Dividend income and expense are recognized on the ex-dividend date and interest income is recognized on an accrual basis. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Taxes on foreign dividends and/or capital gains have been recorded for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Discounts and premiums on securities purchased are amortized using the daily effective yield method and included in interest income. The Funds record distributions received from investments in real estate investment trusts (also known as “REITs”) and partnerships in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available, and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts once the issuers provide information about the actual composition of the distributions. Interest only stripped mortgage-backed securities (“IO Strips”) are securities that receive only interest payments from a pool of mortgage loans. Little to no principal will be received by the Funds upon maturity of an IO Strip. Periodic adjustments are recorded to reduce the cost of the security until maturity, which are included in interest income.
Share valuation — The NAV per share of each class of shares of each Fund is calculated daily by dividing the total value of a Fund’s assets attributable to that class, less liabilities attributable to that class, by the number of shares of that class outstanding.
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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
Income taxes — The Funds may be subject to taxes imposed by countries in which they invest. Such taxes are generally based on income and/or capital gains earned or repatriated. Taxes are accrued and applied to net investment income, net realized gains and unrealized appreciation as such income and/or gains are earned.
Each Fund has complied and intends to continue to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable net investment income and any net realized capital gains to its shareholders.
The Funds recognize tax benefits or expenses of uncertain tax positions only when the position is “more likely than not” to be sustained assuming examination by tax authorities. Management of the Funds has reviewed tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal (i.e., the previous three tax year ends and the interim tax period since then, as applicable), and has concluded that no provision for unrecognized tax benefits or expenses is required in these financial statements and does not expect this to change over the next twelve months. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense on the Statements of Operations. During the year ended December 31, 2022, the Funds did not incur any interest or penalties.
Distributions to shareholders — Dividends from net investment income are declared and paid monthly for the Short Duration Fund and Core Bond Fund. Dividends from net investment income are declared and paid on an annual basis for the Small Cap Fund, Small-Mid Cap Fund, Mid Cap Fund, Large Cap Fund, Large Cap Concentrated Fund, Select Fund, Long-Short Fund and International Fund. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in the expenses of each class. Net realized capital gains, if any, are distributed at least annually. Distributions from net investment income and from net capital gains are determined in accordance with U.S. income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments for paydown gains and losses on mortgage-backed securities and deferrals of certain losses. Permanent book and tax basis differences are reclassified among the components of net assets. Certain Funds may utilize earnings and profits distributed to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes.
Allocations — Investment income earned, realized capital gains and losses, and unrealized appreciation and depreciation are allocated daily to each class of shares of a Fund based upon its proportionate share of total net assets of the Fund. Class specific expenses are charged directly to the class incurring the expense. Common expenses, which are not attributable to a specific class, are allocated daily to each class of shares based upon its proportionate share of total net assets of the Fund. Expenses not directly billed to a Fund are allocated proportionally among all Funds daily in relation to net assets of each Fund or another reasonable measure.
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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
Foreign securities risk — Investing in non-U.S. securities may entail risk due to foreign economic and political developments; this risk may be higher when investing in emerging markets. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns.
Foreign currency translation — The books and records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars on the date of valuation. The Funds do not isolate that portion of realized or unrealized gains and losses resulting from changes in the foreign exchange rate from fluctuations arising from changes in the market prices of the securities. These gains and losses are included in net realized and unrealized gains (losses) on investments on the Statements of Operations. Net realized and unrealized gains (losses) on foreign currency transactions represent net foreign exchange gains or losses from foreign currency exchange contracts, disposition of foreign currencies, currency gains or losses realized between trade and settlement dates on securities transactions and the difference between the amount of the investment income and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent amounts actually received or paid.
Investment Transactions
For the year ended December 31, 2022, purchases and sales (including maturities) of investment securities (excluding short-term securities, U.S. government obligations and in-kind transactions) were as follows:
| | | Purchases | | | Sales | |
Small Cap Fund | | $ | 150,884,386 | | | $ | 348,036,315 | |
Small-Mid Cap Fund | | | 521,422,436 | | | | 519,146,045 | |
Mid Cap Fund | | | 41,366,061 | | | | 93,307,284 | |
Large Cap Fund | | | 3,897,751,316 | | | | 5,500,078,748 | |
Large Cap Concentrated Fund | | | 15,472,590 | | | | 7,925,432 | |
Select Fund | | | 338,065,620 | | | | 293,344,920 | |
Long-Short Fund | | | 1,045,419,813 | | | | 1,065,683,125 | |
International Fund | | | 16,356,328 | | | | 10,478,008 | |
Short Duration Fund | | | 532,178,021 | | | | 750,411,425 | |
Core Bond Fund | | | 336,251,559 | | | | 114,753,037 | |
For the year ended December 31, 2022, purchases and sales (including maturities) of U.S. government long-term securities were as follows:
| | | Purchases | | | Sales | |
Long-Short Fund | | $ | 117,203,125 | | | $ | — | |
Core Bond Fund | | | 103,763,540 | | | | 77,609,360 | |
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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
The Funds pay commissions on the purchase and sale of investment securities. The commissions are treated as transaction costs and, therefore, are included as part of the cost of purchases or net proceeds on the sale of investment securities and are not included in the presentation of Fund expenses on the Statements of Operations. The Funds paid the following commissions during the year ended December 31, 2022:
| | | Total
Commissions | | | Commissions
as a % of
Average Net
Assets | |
Small Cap Fund | | $ | 505,858 | | | | 0.12 | % |
Small-Mid Cap Fund | | | 374,122 | | | | 0.02 | % |
Mid Cap Fund | | | 39,031 | | | | 0.02 | % |
Large Cap Fund | | | 1,970,886 | | | | 0.02 | % |
Large Cap Concentrated Fund | | | 4,407 | | | | 0.02 | % |
Select Fund | | | 250,160 | | | | 0.06 | % |
Long-Short Fund | | | 671,405 | | | | 0.03 | % |
International Fund | | | 33,431 | | | | 0.07 | % |
Investment Advisory Fees and Other Transactions with Affiliates
As of December 31, 2022, the Small Cap Fund, Small-Mid Cap Fund, Mid Cap Fund, Large Cap Fund, Large Cap Concentrated Fund, Select Fund, Long-Short Fund, International Fund, Short Duration Fund and Core Bond Fund each receive investment management and advisory services from DHCM under management agreements that provide for fees to be paid monthly at an annual rate of 0.80%, 0.75%, 0.60%, 0.50%, 0.50%, 0.70%, 0.90%, 0.65%, 0.35% and 0.30%, respectively, of each Fund’s average daily net assets. The management agreements are subject to annual approval by the Board of Trustees. In addition, each Fund has entered into an administrative services agreement whereby DHCM is paid a fee monthly at an annual rate of 0.21% for Investor shares, 0.17% for Class I shares and 0.05% for Class Y shares of each class’ average daily net assets. These administrative fees are used to pay most of the Funds’ operating expenses except advisory fees, distribution fees, custody fees, brokerage fees, taxes, interest and dividend expense on securities sold short and extraordinary expenses.
Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a distribution plan on behalf of each Fund’s Investor shares (the “Plan”). Under the Plan, Investor shares pay a distribution fee monthly at an annual rate of 0.25% of Investor shares’ average daily net assets. Class I and Class Y shares are not subject to any distribution fees. The Trust has entered into a Distribution Agreement on behalf of the Funds with Foreside Financial Services, LLC (“Distributor”). Pursuant to the Distribution Agreement, the Distributor acts as principal underwriter of each Fund’s shares.
132 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
The Funds may invest in one or more Diamond Hill Funds. The Funds’ adviser has contractually agreed to waive fees in the pro-rata amount of the management fee charged by the underlying Diamond Hill Fund on each Fund’s investment in such other Diamond Hill Funds. This fee waiver is accrued daily and settled monthly. During the year ended December 31, 2022, the Funds reduced investment advisory fees as follows:
Small-Mid Cap Fund | | $ | 46,615 | |
Mid Cap Fund | | | 879 | |
Long-Short Fund | | | 40,366 | |
The Small-Mid Cap Fund, Mid Cap Fund and Long-Short Fund each own or had owned Class Y shares of the Short Duration Fund, thereby making the Short Duration Fund an affiliated company as defined by the 1940 Act.
Information regarding the Funds’ holdings in the Short Duration Fund during the year ended December 31, 2022 is as follows:
Affiliated Fund | | Small-Mid
Cap Fund | | | Mid Cap
Fund | | | Long-Short
Fund | |
Diamond Hill Short Duration Securitized Bond Fund | | | | |
Value, December 31, 2021 | | $ | 27,403,556 | | | $ | 1,673,091 | | | $ | 30,812,092 | |
Purchases | | | 436,914 | | | | 3,806 | | | | 313,247 | |
Sales | | | (18,000,000 | ) | | | (1,657,016 | ) | | | (30,187,315 | ) |
Realized Losses | | | (349,205 | ) | | | (14,891 | ) | | | (696,825 | ) |
Change in Unrealized Appreciation (Depreciation) | | | (697,464 | ) | | | (4,990 | ) | | | (241,199 | ) |
Value, December 31, 2022 | | $ | 8,793,801 | | | $ | — | | | $ | — | |
Income Distributions | | $ | 436,914 | | | $ | 3,806 | | | $ | 313,247 | |
DHCM is a majority shareholder of the Large Cap Concentrated and International Funds.
The Officers of the Trust are affiliated with DHCM. Such Officers receive no compensation from the Funds for serving in their respective roles.
Trustee Fees
The Independent Trustees are compensated for their services to the Funds by DHCM as part of the administration services agreement. The Independent Trustees were paid $661,250 in fees during the year ended December 31, 2022. In addition, DHCM reimburses Trustees for out-of-pocket expenses incurred in conjunction with attendance of meetings.
Commitments and Contingencies
The Funds indemnify the Trust’s Officers and Trustees for certain liabilities that might arise from their performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and provides general indemnifications. The Funds’ maximum exposure under
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 133 |
Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Federal Tax Information
The amount and character of income and capital gain distributions paid by the Funds are determined in accordance with Federal income tax regulations, which may differ from GAAP.
The tax character of distributions paid during the years or period ended December 31, 2022 and 2021 was as follows:
| | | Small Cap Fund | | | Small-Mid Cap Fund | | | Mid Cap Fund | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 2,358,710 | | | $ | 4,964,628 | | | $ | 16,229,414 | | | $ | 11,018,560 | | | $ | 1,691,702 | | | $ | 1,591,509 | |
Long-term capital gains | | | 43,490,416 | | | | 82,378,831 | | | | 81,422,301 | | | | 115,529,321 | | | | 7,788,182 | | | | 16,469 | |
Total distributions | | $ | 45,849,126 | | | $ | 87,343,459 | | | $ | 97,651,715 | | | $ | 126,547,881 | | | $ | 9,479,884 | | | $ | 1,607,978 | |
| | | Large Cap Fund | | | Large Cap Concentrated
Fund | | | Select Fund | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 123,521,422 | | | $ | 168,926,355 | | | $ | 275,809 | | | $ | 259,770 | | | $ | 793,086 | | | $ | 12,924,865 | |
Long-term capital gains | | | 421,831,932 | | | | 715,118,746 | | | | — | | | | — | | | | 12,904,778 | | | | 32,261,065 | |
Total distributions | | $ | 545,353,354 | | | $ | 884,045,101 | | | $ | 275,809 | | | $ | 259,770 | | | $ | 13,697,864 | | | $ | 45,185,930 | |
| | | Long-Short Fund | | | International Fund | | | Short Duration Fund | |
| | | 2022 | | | 2021 | | | 2022 | | | 2021 | | | 2022 | | | 2021 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income | | $ | 11,400,637 | | | $ | — | | | $ | 736,811 | | | $ | 1,499,231 | | | $ | 48,069,516 | | | $ | 35,095,985 | |
Long-term capital gains | | | 77,970,126 | | | | 200,770,964 | | | | 133,991 | | | | 599,477 | | | | — | | | | 376,715 | |
Total distributions | | $ | 89,370,763 | | | $ | 200,770,964 | | | $ | 870,802 | | | $ | 2,098,708 | | | $ | 48,069,516 | | | $ | 35,472,700 | |
| | | Core Bond Fund | |
| | | 2022 | | | 2021 | |
Distributions paid from: | | | | | | | | |
Ordinary income | | $ | 14,947,263 | | | $ | 8,952,821 | |
Long-term capital gains | | | — | | | | — | |
Total distributions | | $ | 14,947,263 | | | $ | 8,952,821 | |
134 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
The following information was computed on a tax basis for each item as of December 31, 2022:
| | | Small Cap
Fund | | | Small-Mid
Cap Fund | | | Mid Cap
Fund | | | Large Cap
Fund | |
Net unrealized appreciation on investments | | $ | 114,540,830 | | | $ | 377,719,071 | | | $ | 45,255,165 | | | $ | 1,438,802,192 | |
Undistributed ordinary income | | | — | | | | 386,229 | | | | — | | | | — | |
Undistributed capital gains | | | 13,304,717 | | | | — | | | | 1,916,533 | | | | — | |
Post October capital losses | | | — | | | | (578,579 | ) | | | — | | | | (32,343,813 | ) |
Distributable earnings | | $ | 127,845,547 | | | $ | 377,526,721 | | | $ | 47,171,698 | | | $ | 1,406,458,379 | |
| | | Large Cap
Concentrated
Fund | | | Select
Fund | | | Long-Short
Fund | | | International
Fund | |
Net unrealized appreciation (depreciation) on investments | | $ | 222,347 | | | $ | 40,133,292 | | | $ | 464,476,631 | | | $ | (4,431,954 | ) |
Undistributed ordinary income | | | — | | | | 320,288 | | | | 90,131 | | | | 6,512 | |
Post October capital losses | | | — | | | | (859,410 | ) | | | (1,364,193 | ) | | | — | |
Accumulated capital and other losses | | | (592,092 | ) | | | — | | | | — | | | | (1,311,930 | ) |
Distributable earnings (accumulated deficit) | | $ | (369,745 | ) | | $ | 39,594,170 | | | $ | 463,202,569 | | | $ | (5,737,372 | ) |
| | | Short
Duration
Fund | | | Core Bond
Fund | |
Net unrealized appreciation (depreciation) on investments | | $ | (81,231,388 | ) | | $ | (64,640,604 | ) |
Undistributed ordinary income | | | 679,067 | | | | 185,540 | |
Accumulated capital and other losses | | | (10,606,120 | ) | | | (10,838,023 | ) |
Accumulated deficit | | $ | (91,158,441 | ) | | $ | (75,293,087 | ) |
As of December 31, 2022, the Funds’ federal tax cost of investments and net unrealized appreciation (depreciation) on investments including short sales, where applicable, were as follows:
| | | Small Cap
Fund | | | Small-Mid
Cap Fund | | | Mid Cap
Fund | | | Large Cap
Fund | |
Tax cost of investments | | $ | 181,291,962 | | | $ | 1,610,179,488 | | | $ | 143,663,287 | | | $ | 7,270,640,166 | |
Gross unrealized appreciation | | | 119,800,892 | | | | 547,894,320 | | | | 54,209,524 | | | | 1,919,611,446 | |
Gross unrealized depreciation | | | (5,260,062 | ) | | | (170,175,249 | ) | | | (8,954,359 | ) | | | (480,809,254 | ) |
Net unrealized appreciation on investments | | $ | 114,540,830 | | | $ | 377,719,071 | | | $ | 45,255,165 | | | $ | 1,438,802,192 | |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 135 |
Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
| | | Large Cap
Concentrated
Fund | | | Select
Fund | | | Long-Short
Fund | | | International
Fund | |
Tax cost of investments | | $ | 23,144,009 | | | $ | 305,625,335 | | | $ | 1,129,618,285 | | | $ | 59,153,128 | |
Gross unrealized appreciation | | | 1,939,187 | | | | 80,782,359 | | | | 566,890,581 | | | | 3,629,350 | |
Gross unrealized depreciation | | | (1,716,840 | ) | | | (40,649,067 | ) | | | (102,413,950 | ) | | | (8,061,304 | ) |
Net unrealized appreciation (depreciation) on investments | | $ | 222,347 | | | $ | 40,133,292 | | | $ | 464,476,631 | | | $ | (4,431,954 | ) |
| | | Short
Duration
Fund | | | Core Bond
Fund | |
Tax cost of investments | | $ | 1,238,756,992 | | | $ | 673,642,818 | |
Gross unrealized appreciation | | | 11,821,443 | | | | 2,070,032 | |
Gross unrealized depreciation | | | (93,052,831 | ) | | | (66,710,636 | ) |
Net unrealized depreciation on investments | | $ | (81,231,388 | ) | | $ | (64,640,604 | ) |
The difference between book basis and tax basis net unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales and Passive Foreign Investment Companies.
For the latest tax year ended December 31, 2022, the following Funds have capital loss carry forwards (“CLCFs”) as summarized below.
CLCFs not subject to expiration:
| | | Large Cap
Concentrated
Fund | | | International
Fund | | | Short
Duration
Fund | |
No expiration - short-term | | $ | 254,088 | | | $ | 1,274,259 | | | $ | 4,488,411 | |
No expiration - long-term | | | 338,004 | | | | 37,671 | | | | 6,117,709 | |
| | | $ | 592,092 | | | $ | 1,311,930 | | | $ | 10,606,120 | |
| | | Core Bond
Fund | |
No expiration - short-term | | $ | 4,111,512 | |
No expiration - long-term | | | 6,726,511 | |
| | | $ | 10,838,023 | |
136 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
Reclassifications of capital accounts – Reclassifications result primarily from utilization of earnings and profits on shareholder redemptions and redemptions in-kind. The following reclassifications have no impact on the net assets or NAV per share of the Funds and are designed to present each Fund’s capital accounts on a tax basis:
| | | Paid-In
Capital | | | Distributable
Earnings
(Accumulated
Deficit) | |
Small Cap Fund | | $ | 31,596,978 | | | $ | (31,596,978 | ) |
Small-Mid Cap Fund | | | 9,754,800 | | | | (9,754,800 | ) |
Mid Cap Fund | | | 3,082,769 | | | | (3,082,769 | ) |
Large Cap Fund | | | 279,467,969 | | | | (279,467,969 | ) |
Large Cap Concentrated Fund | | | (8,060 | ) | | | 8,060 | |
Select Fund | | | 8,346,079 | | | | (8,346,079 | ) |
Long-Short Fund | | | 5,604,274 | | | | (5,604,274 | ) |
International Fund | | | — | | | | — | |
Short Duration Fund | | | 5,570 | | | | (5,570 | ) |
Core Bond Fund | | | — | | | | — | |
In-Kind Redemption Transactions
During the year ended December 31, 2022, Small Cap Fund, Small-Mid Cap Fund, Mid Cap Fund, Large Cap Fund and Select Fund realized $2,023,791, $1,486,602, $1,047,816, $89,816,969 and $3,029,507, respectively, of net capital gains resulting from in-kind redemptions (redemptions in which shareholders who redeemed Fund shares received investment securities held by a Fund rather than cash). The Funds recognize a gain on in-kind redemptions to the extent that the value of the distributed investment securities on the date of redemption exceeds the cost of those investment securities. Such gains are not taxable to the Funds and are not required to be distributed to shareholders. The Funds have reclassified these amounts against paid-in capital on the Statements of Assets and Liabilities. Such reclassification, the result of permanent differences between the financial statement and income tax reporting requirements, had no effect on the Funds’ net assets or NAV per share.
Borrowings
The Small Cap Fund, Small-Mid Cap Fund, Mid Cap Fund, Large Cap Fund, Large Cap Concentrated Fund, Select Fund, Long-Short Fund, International Fund, Short Duration Fund and Core Bond Fund each has an unsecured line of credit up to 20.0%, 20.0%, 20.0%, 33.3%, 20.0%, 25.0%, 15.0%, 20.0%, 20.0% and 20.0%, respectively, of its net assets, with a total maximum of $40,000,000.
Borrowings under the agreement bear interest at the sum of 0.10% plus the higher of Federal Funds Effective Rate or the Overnight Bank Funding Rate plus 1.25%. The line of credit is available until June 1, 2023, unless extended, when any advances are to be repaid. During the year ended December 31, 2022, no amounts were drawn from the available line.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 137 |
Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2022
In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Funds may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. A lending fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board. During the year ended December 31, 2022, none of the Funds participated in the Interfund Lending Program.
Other Matters
The global spread of novel coronavirus disease (COVID-19) was declared a pandemic by the World Health Organization. This pandemic has resulted in significant disruptions to economies and markets, adversely impacting individual companies, sectors, industries, currencies, interest and inflation rates, credit ratings, and investor sentiment. COVID-19 has caused volatility, severe market dislocations and liquidity constraints in many markets, including markets for the securities the Funds hold, and may adversely affect the Funds’ investments and operations. The duration and extent of COVID-19 over the long-term cannot be reasonably estimated at this time. There have been no comparable recent events that provide guidance as to the effect the spread of COVID-19 as a global pandemic may have on the Funds’ financial performance. In addition, COVID-19 and governmental responses to COVID-19 may negatively impact the capabilities of the Funds’ service providers and disrupt the Funds’ operations. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a Fund’s investments. Management continues to monitor and evaluate this situation.
Subsequent Events
The Funds evaluated events from December 31, 2022 through the date that these financial statements were issued. There were no subsequent events to report that would have a material impact on the Funds’ financial statements other than the following:
On February 28, 2023, the Diamond Hill All Cap Select Fund changed its name to the Diamond Hill Select Fund.
138 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Report of Independent Registered
Public Accounting Firm
To the Shareholders and Board of Trustees of
Diamond Hill Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Diamond Hill Funds comprising the funds listed below (the “Funds”) as of December 31, 2022, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2022, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.
Fund Name | Statements of
Operations | Statements of
Changes in Net
Assets | Financial Highlights |
Diamond Hill Small Cap Fund, Diamond Hill Small-Mid Cap Fund, Diamond Hill Mid Cap Fund, Diamond Hill Large Cap Fund, Diamond Hill Select Fund (formerly Diamond Hill All Cap Select Fund), Diamond Hill Long-Short Fund, Diamond Hill Short Duration Securitized Bond Fund, and Diamond Hill Core Bond Fund | For the year ended December 31, 2022 | For the years ended December 31, 2022 and 2021 | For the years ended December 31, 2022, 2021, 2020, 2019, and 2018 |
Diamond Hill International Fund | For the year ended December 31, 2022 | For the years ended December 31, 2022 and 2021 | For the years ended December 31, 2022, 2021, 2020, and for the period from July 1, 2019 (commencement of operations) through December 31, 2019 |
Diamond Hill Large Cap Concentrated Fund | For the year ended December 31, 2022 | For the year ended December 31, 2022, and for the period from February 26, 2021 (commencement of operations) through December 31, 2021 |
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 139 |
Report of Independent Registered
Public Accounting Firm (Continued)
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more funds advised by Diamond Hill Capital Management, Inc. since 2015.
COHEN & COMPANY, LTD.
Cleveland, Ohio
February 17, 2023
140 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Other Items
December 31, 2022
Proxy Voting
The investment adviser is responsible for exercising the voting rights associated with the securities purchased and held by the Funds. A description of the policies and procedures that the adviser uses in fulfilling this responsibility and information regarding how those proxies were voted during the twelve-month period ended June 30 are available without charge upon request by calling toll free number 1-888-226-5595, or through the Funds’ website, or on the Securities and Exchange Commission’s (“Commission”) website at www.sec.gov.
Portfolio Disclosure
The Trust files a complete listing of portfolio holdings for each Fund as of the end of the first and third quarters of each fiscal year on Part F to Form N-PORT. The complete listing is available on the Commission’s website. Monthly portfolio holdings are also available on www.diamond-hill.com.
Dividends Received Deduction
For corporate shareholders, the following percentages of ordinary dividends paid during the year or period ended December 31, 2022 qualify for the corporate dividends received deduction:
Small Cap Fund | | | 100.00 | % |
Small-Mid Cap Fund | | | 100.00 | % |
Mid Cap Fund | | | 100.00 | % |
Large Cap Fund | | | 100.00 | % |
Large Cap Concentrated Fund | | | 100.00 | % |
Select Fund | | | 82.65 | % |
Long-Short Fund | | | 100.00 | % |
International Fund | | | 0.00 | % |
Short Duration Fund | | | 0.00 | % |
Core Bond Fund | | | 0.00 | % |
Qualified Dividend Income
The Funds have designated the maximum amount allowable of their taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003. This amount was reflected on form 1099-DIV for the calendar year 2022.
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 141 |
Diamond Hill Funds
Other Items
December 31, 2022 (Continued)
Capital Gain Distribution
For the year ended December 31, 2022, the following Funds designated long-term capital gain distributions:
Small Cap Fund | | $ | 73,070,787 | |
Small-Mid Cap Fund | | | 89,737,056 | |
Mid Cap Fund | | | 10,280,196 | |
Large Cap Fund | | | 605,876,813 | |
Select Fund | | | 18,273,223 | |
Long-Short Fund | | | 84,284,224 | |
International Fund | | | 133,991 | |
International Fund intends to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. The Fund’s foreign source income per share was $0.3422 and the foreign tax expense per share was $0.0243. The pass-through of the foreign tax credit will only affect those persons who are shareholders on the dividend record date. These shareholders will receive more detailed information with their 2022 Form 1099-DIV.
Trustee Approval of Investment Advisory Agreement
Renewal of Management Agreement for All Funds
The Board of Trustees of Diamond Hill Funds (the “Trust”) requested and the Adviser provided a broad range of information in connection with its consideration of the continuance of the Amended and Restated Investment Management Agreement (“Management Agreement”) between the Trust and Diamond Hill Capital Management, Inc. (the “Adviser”), for each series of the Trust (each separately, a “Fund”). In approving the Management Agreement of the Trust, the Board considered a variety of factors, including those discussed below. The Board also considered other factors (including conditions and trends prevailing generally in the economy, the securities markets, and the industry) and did not treat any single factor as determinative, and each Trustee may have attributed different weights to different factors. The Board based its conclusions in part on its consideration of the advisory arrangements in prior years and the Board’s ongoing regular review of fund performance and operations throughout the year. The Board reviewed the information at regularly scheduled meetings on July 19, 2022, and August 18, 2022, and by unanimous vote approved continuation of the Management Agreement. In concluding to renew the Management Agreement, the Board discussed the following factors, on a Fund-by-Fund basis:
a) | Nature, Extent and Quality of Services. In considering the nature, extent, and quality of services provided by the Adviser to the Trust, the Board reviewed information provided by the Adviser relating to its operations and personnel, descriptions of its organizational and management structure, and information regarding the Adviser’s compliance and regulatory history, including its Form ADV. The Trustees considered the nature, extent and quality of the services provided by the Adviser under the Management Agreement, including a review of the services provided thereunder and the Adviser’s overall reputation, integrity, and mission to serve its clients through a disciplined intrinsic-value- |
142 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Other Items
December 31, 2022 (Continued)
based approach to investment. The Trustees noted the qualifications of the investment staff and other key personnel of the Adviser and that the Adviser continues to invest significant resources in human capital to attract and retain top talent. The Trustees also reviewed the Adviser’s succession plan for key investment and management staff. In addition, the Trustees reviewed information related to the compensation structure for portfolio managers and other key investment personnel. Finally, the Trustees noted that the Adviser provides administrative services to the Trust under an Amended and Restated Administrative, Fund Accounting and Transfer Agency Services Agreement (“Administration Agreement”).
b) | Investment Performance of the Funds. In evaluating the performance of each Fund, the Board receives detailed performance information for each Fund and reviews it at its regularly scheduled meetings. In connection with the consideration of the advisory agreement, the Trustees reviewed each Fund’s absolute performance, performance relative to its passive benchmark, performance relative to a custom peer group, and performance relative to the Fund’s Morningstar category, each as of June 30, 2022. The Trustees concluded that the performance of each Fund is being monitored and reasonably addressed, where appropriate. |
c) | Reasonableness of Investment Advisory Fees. The Trustees noted that the contractual fee rate for each Fund under the Management Agreement was in line with or below the median rates of the applicable Fund’s Morningstar category. |
d) | Reasonableness of Total Expenses. The Trustees noted that with exception of one Fund, the total expenses for Investor Class, Class I and Class Y shares of all Funds were at or below the median total expenses of comparable funds within each Fund’s applicable Morningstar category. The total expenses for Short Duration Securitized Bond Fund was within 6, 4 and 1 basis points for Investor Class, Class I and Class Y, respectively, of the median total expenses of comparable funds. Except for the Short Duration Securitized Bond Fund, the total expense ratio for the Investor shares, Class I and Class Y shares for all Funds is at or below the 50th percentile of the Morningstar peer group. |
e) | Reasonableness of Investment Advisory Fees as Compared to Fees Charged to Other Clients. The Trustees reviewed the fees paid by each of the Adviser’s other clients, as well as a summary of the differences in services provided and how these differences affect fees, including the difference between serving as an adviser versus a sub-adviser. With limited exceptions, the Trustees observed that the investment advisory fees charged by the Adviser to the Funds were comparable to the investment advisory fees the Adviser charges its other similarly managed accounts (i.e., separately managed accounts). |
f) | Profitability. The Trustees considered each Fund’s profitability to the Adviser and the Adviser’s methodology for calculating its profitability. The Trustees observed that the Adviser’s pre-tax profit margin under the Management Agreement represented a fair and entrepreneurial profit for managing the Funds. The Trustees discussed that the Adviser is also the administrator to the Funds and the Trustees reviewed a separate profitability analysis relating to the administrative services provided to the Funds. The Trustees noted that the profit margin under the Administration Agreement represented a fair and entrepreneurial profit for serving as administrator to the Funds. |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 143 |
Diamond Hill Funds
Other Items
December 31, 2022 (Continued)
g) | Economies of Scale. The Trustees reviewed the potential extent to which economies of scale would be realized as each Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. While many advisory firms reduce fees as assets under management increase with predetermined break points, the Adviser has adopted a different strategy. Rather than instituting break points, the Adviser has targeted its advisory fees to correspond to its mission to add value, meaning that rather than charging a lower fee on assets above a certain level, the Adviser prefers to close a strategy to new investors so that it can efficiently manage the Fund’s assets and attempt to fulfill its responsibility to add value to existing investors. Two of the Funds currently are closed to most new investors. |
h) | Ancillary Benefits. The Trustees considered ancillary benefits received by the Adviser as a result of its relationship with the Funds, including the ability to negotiate favorable commissions rates and have access to research that benefits all of the Adviser’s clients and the ability to serve as sub-adviser to other mutual funds. The Trustees noted that as administrator to the Funds the Adviser is expected to earn fees from the Funds for providing administrative services. The fees were shown separately in the profitability analysis presented to the Trustees. |
In their deliberations, there was a comprehensive consideration of each of the factors above in connection with each Fund, and the Trustees, all of whom qualify as Independent Trustees under the 1940 Act, concluded the compensation to be received by the Adviser from each Fund was fair and reasonable and the continuance of the Management Agreement for all of the Funds was in the best interests of each Fund and its shareholders.
144 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Schedule of Shareholder Expenses
Hypothetical Example of a $1,000 Investment at Beginning of Period
(Unaudited)
As a Fund shareholder, you may incur two types of costs: (1) transaction costs, including wire redemption fees and sales charges (loads) as applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs or other fees that may apply, such as sales charges and fees for low balance accounts. Therefore, the examples are useful in comparing ongoing costs only and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs and other fees were included, your costs would have been higher.
These examples are based on an investment of $1,000 invested at July 1, 2022 and held for the entire period from July 1, 2022 through December 31, 2022.
The Actual Expense example below provides information about actual account values and actual expenses. You may use this information, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses paid during the period” to estimate the expenses you paid on your account during this period.
The Hypothetical Expense example below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in this Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
| | Account value
at the beginning
of the period ($) | Account value
at the end
of the period ($) | Expenses paid
during
the period ($)* | Funds
annualized
expense
ratio (%) |
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
Small Cap Fund |
Investor | 1,000.00 | 1,000.00 | 1,051.40 | 1,018.83 | 6.54 | 6.44 | 1.27% |
Class I | 1,000.00 | 1,000.00 | 1,052.90 | 1,020.29 | 5.05 | 4.97 | 0.98% |
Class Y | 1,000.00 | 1,000.00 | 1,053.70 | 1,020.89 | 4.43 | 4.36 | 0.86% |
Small-Mid Cap Fund |
Investor | 1,000.00 | 1,000.00 | 1,037.40 | 1,019.11 | 6.21 | 6.15 | 1.21% |
Class I | 1,000.00 | 1,000.00 | 1,038.70 | 1,020.58 | 4.72 | 4.68 | 0.92% |
Class Y | 1,000.00 | 1,000.00 | 1,039.50 | 1,021.18 | 4.10 | 4.07 | 0.80% |
Mid Cap Fund |
Investor | 1,000.00 | 1,000.00 | 1,049.40 | 1,019.86 | 5.48 | 5.40 | 1.06% |
Class I | 1,000.00 | 1,000.00 | 1,051.10 | 1,021.32 | 3.99 | 3.93 | 0.77% |
Class Y | 1,000.00 | 1,000.00 | 1,051.50 | 1,021.92 | 3.37 | 3.32 | 0.65% |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 145 |
Diamond Hill Funds
Schedule of Shareholder Expenses
Hypothetical Example of a $1,000 Investment at Beginning of Period
(Unaudited) (Continued)
| | Account value
at the beginning
of the period ($) | Account value
at the end
of the period ($) | Expenses paid
during
the period ($)* | Funds
annualized
expense
ratio (%) |
| Actual | Hypothetical | Actual | Hypothetical | Actual | Hypothetical | Actual |
Large Cap Fund |
Investor | 1,000.00 | 1,000.00 | 1,049.60 | 1,019.54 | 5.81 | 5.72 | 0.96% |
Class I | 1,000.00 | 1,000.00 | 1,051.60 | 1,021.00 | 4.31 | 4.25 | 0.67% |
Class Y | 1,000.00 | 1,000.00 | 1,052.00 | 1,021.61 | 3.69 | 3.64 | 0.55% |
Large Cap Concentrated Fund |
Investor | 1,000.00 | 1,000.00 | 1,086.10 | 1,020.33 | 5.08 | 4.92 | 0.97% |
Class I | 1,000.00 | 1,000.00 | 1,087.90 | 1,021.80 | 3.55 | 3.44 | 0.67% |
Class Y | 1,000.00 | 1,000.00 | 1,088.40 | 1,022.41 | 2.92 | 2.83 | 0.55% |
Select Fund |
Investor | 1,000.00 | 1,000.00 | 1,023.70 | 1,019.35 | 5.93 | 5.92 | 1.16% |
Class I | 1,000.00 | 1,000.00 | 1,025.80 | 1,020.81 | 4.45 | 4.44 | 0.87% |
Class Y | 1,000.00 | 1,000.00 | 1,026.10 | 1,021.41 | 3.84 | 3.83 | 0.75% |
Long-Short Fund |
Investor | 1,000.00 | 1,000.00 | 1,003.80 | 1,016.27 | 8.95 | 9.01 | 1.77% |
Class I | 1,000.00 | 1,000.00 | 1,005.60 | 1,017.74 | 7.49 | 7.54 | 1.48% |
Class Y | 1,000.00 | 1,000.00 | 1,005.60 | 1,018.34 | 6.88 | 6.93 | 1.36% |
International Fund |
Investor | 1,000.00 | 1,000.00 | 1,033.00 | 1,019.37 | 5.93 | 5.89 | 1.16% |
Class I | 1,000.00 | 1,000.00 | 1,035.00 | 1,020.84 | 4.45 | 4.42 | 0.87% |
Class Y | 1,000.00 | 1,000.00 | 1,035.40 | 1,021.44 | 3.83 | 3.81 | 0.75% |
Short Duration Fund |
Investor | 1,000.00 | 1,000.00 | 998.90 | 1,021.12 | 4.09 | 4.13 | 0.81% |
Class I | 1,000.00 | 1,000.00 | 999.20 | 1,022.58 | 2.62 | 2.65 | 0.52% |
Class Y | 1,000.00 | 1,000.00 | 999.80 | 1,023.19 | 2.02 | 2.04 | 0.40% |
Core Bond Fund |
Investor | 1,000.00 | 1,000.00 | 965.20 | 1,021.36 | 3.78 | 3.89 | 0.76% |
Class I | 1,000.00 | 1,000.00 | 966.30 | 1,022.84 | 2.33 | 2.40 | 0.47% |
Class Y | 1,000.00 | 1,000.00 | 968.10 | 1,023.44 | 1.74 | 1.79 | 0.35% |
* | Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half year period). |
You can find more information about each Fund’s expenses, including annual expense ratios for historical periods in the Financial Highlights section of this report. For additional information on operating expenses and other shareholder costs, please refer to the Funds’ prospectus. The prospectus presents hypothetical shareholder costs over various time periods based upon a $10,000 investment and a return of 5% a year. The standardized example, which appears in all mutual fund prospectuses, may be useful to you in comparing the costs of investing in different funds.
146 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
Diamond Hill Funds
Management of the Trust
(Unaudited)
The names of the Trustees and officers of the Trust are shown below. Each Trustee is an independent and non-interested Trustee as defined in the 1940 Act.
TRUSTEES
Name and Age | Position
Held | Year First
Elected a
Trustee of
the Funds1 | Principal Occupation(s)
During Past Five Years | Number of
Portfolios
in Trust
Overseen
by Trustee | Other
Directorships Held
by
Trustee2 |
Tamara L. Fagely
Year of Birth: 1958 | Trustee | Since November 2014 | Retired, January 2014 to present; Chief Operations Officer, Hartford Funds, 2012 to 2013; Chief Financial Officer, Hartford Funds, 2010 to 2012; Treasurer, Hartford Funds, 2001 to 2012. | 10 | Allianz Variable Insurance Products Trust and Allianz Variable Insurance Products Fund of Funds Trust, December 2017 to present; AIM ETF Products Trust, February 2020 to present |
Jody T. Foster
Year of Birth: 1969 | Trustee | Since February 2022 | Chief Executive Officer, Symphony Consulting, 2010 to present | 10 | Hussman Investment Trust, June 2016 to present; Forum CRE Income Fund, April 2021 to January 2022 |
John T.
Kelly-Jones
Year of Birth: 1960 | Trustee | Since May 2019 | Retired, December 2017 to present; Partner, COO and CCO, Independent Franchise Partners, LLP, June 2009 to November 2017. | 10 | None |
Anthony J. Ghoston
Year of Birth: 1959 | Trustee | Since May 2022 | Chief Executive Officer and President, Informational Resource Consulting, 2020 to present; President, Chief Operating Officer and Chief Compliance Officer, Dividend Assets Capital, LLC, 2010 to 2020 | 10 | None |
Nancy M. Morris
Year of Birth: 1952 | Trustee | Since May 2019 | Retired, August 2018 to present; Chief Compliance Officer, Wellington Management Company LLP, April 2012 to July 2018. | 10 | The Arbitrage Funds, December 2018 to present; AltShares Trust, January 2020 to present |
DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 147 |
Diamond Hill Funds
Management of the Trust
(Unaudited) (Continued)
OFFICERS
Name and Age | Position Held | Year First Elected to
Current Officer Position
of the Funds1 | Principal Occupation(s)
During Past Five Years |
Thomas E. Line Year of Birth: 1967 | President | Since May 2020 | Chief Executive Officer of the Trust, November 2014 to May 2020; Chief Financial Officer of Diamond Hill Investment Group, Inc., January 2015 to present; Managing Director - Finance of Diamond Hill Investment Group, Inc., April 2014 to December 2014. |
Karen R. Colvin Year of Birth: 1966 | Vice President Secretary | Since November 2011 Since November 2014 | Director-Fund Administration & Sales Support, Diamond Hill Capital Management, Inc., June 2009 to present. |
Gary R. Young Year of Birth: 1969 | Chief Compliance Officer | Since May 2020 | President of the Trust, November 2014 to May 2020; Secretary of the Trust, May 2004 to November 2014; Chief Administrative Officer of the Trust, October 2010 to November 2014; Chief Risk Officer of Diamond Hill Capital Management, Inc., May 2020 to present; Chief Compliance Officer of Diamond Hill Capital Management, Inc., October 2010 to present; Controller of Diamond Hill Investment Group, Inc., April 2004 to March 2015. |
Julie A. Roach Year of Birth: 1971 | Treasurer | Since October 2017 | Director-Fund Administration, Diamond Hill Capital Management, Inc., September 2017 to present; Assistant Treasurer - Head of Valuation Oversight, J.P. Morgan Asset Management, August 2012 to 2017. |
1 | Each Trustee is elected to serve in accordance with the Declaration of Trust and Bylaws of the Trust until their resignation, removal or retirement. Trustees have a 15-year term limit. Each Officer is elected by the Trustees for a renewable 1-year term to serve the Trust or until their resignation, removal or retirement. The address for all Trustees and Officers is 325 John H. McConnell Blvd., Suite 200, Columbus, OH 43215. |
2 | This includes all directorships (other than those in the Trust) that are held by each Trustee as a director of a public company or a registered investment company in the last 5 years. |
The Funds’ Statement of Additional Information includes information about the Trustees and is available free of charge, upon request, by calling toll free at 888-226-5595.
148 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM |
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DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2022 | DIAMOND-HILL.COM 149 |
INVESTMENT ADVISER: DIAMOND HILL CAPITAL MANAGEMENT, INC.
DISTRIBUTOR: FORESIDE FINANCIAL SERVICES, LLC (MEMBER FINRA)
DIAMOND-HILL.COM | 855.255.8955 | 325 JOHN H. MCCONNELL BLVD | SUITE 200 | COLUMBUS, OHIO | 43215
DH-AR123122
(b) Not applicable
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant's principal executive officer and principal financial officer. The registrant has made minor amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report. A copy of the registrant’s Code of Ethics is filed herewith.
Item 3. Audit Committee Financial Expert.
3(a)(1) The registrant’s board of directors has determined that the registrant has at least one audit committee financial expert serving on its audit committee.
3(a)(2) The audit committee financial experts are Ms. Tamara L. Fagely and Jody T. Foster, who are “independent” for purposes of this Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees. Audit fees totaled $160,000 and $152,788 in fiscal 2022 and 2021, respectively. 2022 and 2021 fees include fees associated with the annual audit and filings of the registrant’s Form N-1A and Form N-CEN.
(b) Audit-Related Fees. There were no audit-related fees in fiscal 2022 and 2021.
(c) Tax Fees. Fees for tax compliance services totaled $56,250 and $45,000 in fiscal 2022 and 2021, respectively.
(d) All Other Fees. All other fees totaled $0 and $1,164 in fiscal 2022 and 2021, respectively.
(e)(1) Audit Committee Pre-Approval Policies. The Audit Committee’s pre-approval policies describe the types of audit, audit-related, tax and other services that may receive the general pre-approval of the Audit Committee. The pre-approval policies provide that annual audit service fees, tax services not specifically granted pre-approval, services exceeding pre-approved cost levels and other services that have not received general pre-approval will be subject to specific pre-approval by the Audit Committee. The pre-approval policies further provide that the Committee may grant general pre-approval to other audit services (statutory audits and services associated with SEC registration statements, periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings), audit-related services (accounting consultations related to accounting, financial reporting or disclosure matters not classified as “audit services,” assistance with understanding and implementing new accounting and financial reporting guidance from rulemaking authorities, agreed-upon or expanded audit procedures related to accounting and/or billing records required to respond to or comply with financial, accounting or regulatory reporting matters and assistance with internal control reporting requirements under Form N-CEN and Form N-CSR), tax services that have historically been provided by the auditor that the Committee believes would not impair the independence of the auditor and are consistent with the SEC’s rules on auditor independence and permissible non-audit services classified as “all other services” that are routine and recurring services.
(e)(2) All of the services described in paragraphs (b) through (d) of Item 4 were approved by the Audit Committee.
(f) During the audit of registrant’s financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant’s engagement were attributed to work performed by persons other than the principal accountant’s full-time, permanent employee.
(g) The aggregate non-audit fees for services to the registrant, its investment adviser and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant were $31,000 and $21,750 in 2022 and 2021, respectively.
(h) The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
(a) The Schedule of Investments is included in the Annual Report to Shareholders filed under Item 1 of this Form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a)The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affected, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Registrant | Diamond Hill Funds | |
| | | |
| By (Signature and Title) | /s/ Thomas E. Line | |
| | Thomas E. Line, President | |
| | | |
| Date: | February 22, 2023 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title) | /s/ Thomas E. Line | |
| | Thomas E. Line, President | |
| | | |
| Date: | February 22, 2023 | |
| | | |
| By (Signature and Title) | /s/ Julie A. Roach | |
| | Julie A. Roach, Principal Financial Officer | |
| | | |
| Date: | February 22, 2023 | |
