N-CSR 1 fp0062465_ncsr.htm

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, 2020

 

 

 

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.

 

 

 

 

Table of Contents

 

 

Mission and Guiding Principles 1
Management Discussion of Fund Performance (Unaudited)  
Diamond Hill Small Cap Fund 2
Diamond Hill Small-Mid Cap Fund 4
Diamond Hill Mid Cap Fund 6
Diamond Hill Large Cap Fund 8
Diamond Hill All Cap Select Fund 10
Diamond Hill Long-Short Fund 12
Diamond Hill Global Fund 14
Diamond Hill International Fund 16
Diamond Hill Short Duration Securitized Bond Fund 18
Diamond Hill Core Bond Fund 20
Diamond Hill Corporate Credit Fund 22
Diamond Hill High Yield Fund 24
Financial Statements  
Schedules of Investments 26
Statements of Assets & Liabilities 90
Statements of Operations 93
Statements of Changes in Net Assets 96
Financial Highlights 114
Notes to Financial Statements 138
Report of Independent Registered Public Accounting Firm 157
Other Items 159
Schedule of Shareholder Expenses 163
Management of the Trust 166

 

 

 

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. Investors should consider the investment objectives, risks, charges, and expenses of the Diamond Hill Funds carefully before investing. The prospectus or summary prospectus contain this and other important information about the Fund(s) and are available at diamond-hill.com or by calling 888.226.5595. Please read the prospectus or summary prospectus 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. Diamond Hill Funds are not FDIC insured, may lose value, and have no bank guarantee.

 

 

 

Vision

 

At Diamond Hill, our goal is to be an exceptional active investment boutique that our clients trust to deliver excellent long-term investment outcomes from a team aligned with their success.

 

The Guiding Principles of Our Investment Philosophy

 

VALUE

 

We recognize that market price and investment value are independent in the short term but tend to converge over time.

 

LONG-TERM

 

We maintain a long-term focus both in investment analysis and management of our business.

 

DISCIPLINE

 

We invest with discipline to increase potential return and protect capital.

 

ALIGNMENT

 

We treat every investment as a partial ownership interest in that company and align our interests with our clients through significant personal investment in our strategies.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 1

 

 

 

 

Management Discussion of Fund Performance (Unaudited)

 

 

Diamond Hill Small Cap Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors within the portfolio during the period included: homebuilder Green Brick Partners, Inc., mortgage servicing company Mr. Cooper Group, Inc., regional bank Live Oak Bancshares, Inc., ski resort owner and operator Vail Resorts, Inc. and consumer apparel manufacturer Hanesbrands, Inc. Bottom contributors during the period included: shipping and transportation company Kirby Corp., medical liability insurance company ProAssurance Corp., oil and gas exploration and production company WPX Energy, Inc., regional bank Cadence Bancorp (Cl A) and airline operator Alaska Air Group, Inc.

 

Fund Changes

 

During the period, we identified new investment opportunities and added positions to the portfolio including consumer apparel manufacturer Hanesbrands, Inc., rental and leasing services company PROG Holdings, Inc., medical device company LivaNova PLC, agriculture and transportation company Seaboard Corp., and electronics components manufacturer Sensata Technologies Holding PLC. 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: transportation products and services provider Trinity Industries, Inc., oil and gas exploration and production company WPX Energy, Inc., real estate investment trust iStar, Inc., rental and leasing services company Aaron’s Co., Inc., and infrastructure operations services provider Arcosa, Inc.

 

2 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Small Cap Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years

Ten
Years

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

12/29/2000

(0.55)%

0.81%

5.28%

6.66%

1.26%

Class C

2/20/2001

(1.33)

0.04

4.48

5.87

2.01

Class I

4/29/2005

(0.28)

1.10

5.58

6.96

0.97

Class Y

12/30/2011

(0.17)

1.21

5.70

7.05

0.85

BENCHMARK

Russell 2000 Index

 

19.96

10.25

13.26

11.20

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

12/29/2000

(5.51)

(0.89)

4.20

6.12

1.26

Class C

2/20/2001

(2.32)

0.04

4.48

5.87

2.01

* The maximum sales charge for Class A shares on purchases and for Class C shares on certain redemptions are 5.00% and 1.00%, respectively.

 

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 Class A, Class C 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 is an unmanaged market capitalization weighted index measuring performance of the smallest 2,000 companies by market capitalization in the Russell 3000 Index. The Russell 3000 Index is an unmanaged market capitalization weighted index measuring the performance of the 3,000 largest U.S. companies based on total market capitalization. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Historical performance for Class Y shares prior to its inception is based on the performance of Class A shares. Class Y performance has been adjusted to reflect differences in sales charges and expenses between classes.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 3

 

 

 

 

Diamond Hill Small-Mid Cap Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors within the portfolio during the period included: industrial distributor WESCO International, Inc., mortgage servicing company Mr. Cooper Group, Inc., regional bank SVB Financial Group, electronics components manufacturer Sensata Technologies Holding PLC and rental and leasing services company Aaron’s Co., Inc. Bottom contributors during the period included: shipping and transportation company Kirby Corp., oil and gas exploration and production company WPX Energy, Inc., real estate investment trust American Campus Communities, Inc., utility company UGI Corp. and medical liability insurance company ProAssurance Corp.

 

Fund Changes

 

During the period, we identified new investment opportunities and added positions to the portfolio including medical device company LivaNova PLC, business process management company WNS Holdings Ltd., property and casualty insurance company Loews Corp., real estate investment trust Douglas Emmett, Inc. and rental and leasing services company PROG 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: insurance broker Willis Towers Watson PLC, coating products manufacturer Axalta Coating Systems Ltd., aircraft rental and leasing services company Aircastle Ltd., oil and gas exploration and production company WPX Energy, Inc. and specialty chemicals producer RPM International, Inc.

 

4 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Small-Mid Cap Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years

Ten
Years

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

12/30/2005

1.03%

3.90%

7.44%

9.24%

1.20%

Class C

12/30/2005

0.29

3.14

6.65

8.43

1.95

Class I

12/30/2005

1.31

4.21

7.75

9.55

0.91

Class Y

12/30/2011

1.50

4.35

7.89

9.65

0.79

BENCHMARK

Russell 2500 Index

 

19.99

11.33

13.64

11.97

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

12/30/2005

(4.03)

2.14

6.35

8.68

1.20

Class C

12/30/2005

(0.71)

3.14

6.65

8.43

1.95

* The maximum sales charge for Class A shares on purchases and for Class C shares on certain redemptions are 5.00% and 1.00%, respectively.

 

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 Class A, Class C 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 is an unmanaged market capitalization weighted index measuring performance of the smallest 2,500 companies by market capitalization in the Russell 3000 Index. The Russell 3000 Index is an unmanaged market capitalization weighted index measuring the performance of the 3,000 largest U.S. companies based on total market capitalization. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Historical performance for Class Y shares prior to its inception is based on the performance of Class A shares. Class Y performance has been adjusted to reflect differences in sales charges and expenses between classes.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 5

 

 

 

 

Diamond Hill Mid Cap Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors within the portfolio during the period included: regional bank SVB Financial Group, mortgage servicing company Mr. Cooper Group, Inc., diversified industrial and aerospace manufacturer Parker-Hannifin Corp., property and casualty insurance company American International Group, Inc. and regional bank First Republic Bank. Bottom contributors during the period included: airline operator United Airlines Holdings, Inc., property and casualty insurance company Loews Corp., shipping and transportation company Kirby Corp., regional bank BankUnited, Inc. and oil and gas exploration and production company Noble Energy, Inc.

 

Fund Changes

 

During the period, we identified new investment opportunities and added positions to the portfolio including property and casualty insurance company American International Group, Inc., information technology services provider Cognizant Technology Solutions Corp. (Cl A), semiconductor products manufacturer NXP Semiconductors N.V., consumer apparel manufacturer VF Corp. and real estate investment trust Douglas Emmett, 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: coating products manufacturer Axalta Coating Systems Ltd., airline operator United Airlines Holdings, Inc., oil and gas exploration and production company Noble Energy, Inc., specialty chemicals producer RPM International, Inc. and oil and gas exploration and production company Devon Energy Corp.

 

6 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Mid Cap Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years

Since
Inception
(12/31/13)

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

12/31/2013

(2.01)%

3.19%

7.44%

6.43%

1.06%

Class I

12/31/2013

(1.76)

3.49

7.74

6.74

0.77

Class Y

12/31/2013

(1.66)

3.61

7.86

6.85

0.65

BENCHMARK

Russell Midcap Index

 

17.10

11.61

13.40

10.96

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

12/31/2013

(6.90)

1.43

6.35

5.64

1.06

* The maximum sales charge for Class A shares on purchases is 5.00%.

 

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 Class A 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 is an unmanaged market capitalization weighted index measuring performance of the smallest 800 companies by market capitalization in the Russell 1000 Index. The Russell 1000 Index is an unmanaged market capitalization weighted index measuring the performance of the largest 1,000 companies by market capitalization in the Russell 3000 Index. The Russell 3000 Index is an unmanaged market capitalization weighted index measuring the performance of the 3,000 largest U.S. companies based on total market capitalization. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 7

 

 

 

 

Diamond Hill Large Cap Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors during the period included: health care products manufacturer Abbott Laboratories, HVAC products and services provider Carrier Global Corp., private equity firm KKR & Co., Inc., social media company Facebook, Inc. (Cl A) and software and information technology services provider Microsoft Corp. Bottom contributors during the period included: banking and financial services company Citigroup, Inc., banking and payment services company Discover Financial Services, aerospace and defense company Raytheon Technologies Corp., airline operator United Airlines Holdings, Inc. and tobacco product manufacturer Philip Morris International, Inc.

 

Fund Changes

 

During the period, we identified new investment opportunities and added positions to the portfolio including: consumer food and beverage products manufacturer Mondelez International, Inc. (Cl A), banking and financial services company Bank of America Corp., consumer apparel manufacturer VF Corp., information technology services provider Cognizant Technology Solutions Corp. (Cl A) and regional bank Truist Financial Corp. 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: banking and financial services company Citigroup, Inc., media and technology company Alphabet, Inc. (Cl A), aerospace and defense company Raytheon Technologies Corp., software and information technology services provider Microsoft Corp. and life sciences tools company Thermo Fisher Scientific, Inc.

 

8 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Large Cap Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years

Ten
Years

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

6/29/2001

8.65%

8.87%

12.08%

11.71%

0.96%

Class C

9/25/2001

7.84

8.06

11.24

10.88

1.71

Class I

1/31/2005

8.97

9.18

12.41

12.02

0.67

Class Y

12/30/2011

9.07

9.30

12.53

12.12

0.55

BENCHMARK

Russell 1000 Index

 

20.96

14.82

15.60

14.01

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

6/29/2001

3.22

7.03

10.94

11.14

0.96

Class C

9/25/2001

6.84

8.06

11.24

10.88

1.71

* The maximum sales charge for Class A shares on purchases and for Class C shares on certain redemptions are 5.00% and 1.00%, respectively.

 

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 Class A, Class C 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 is an unmanaged market capitalization weighted index measuring the performance of the largest 1,000 companies by market capitalization in the Russell 3000 Index. The Russell 3000 Index is an unmanaged market capitalization weighted index measuring the performance of the 3,000 largest U.S. companies based on total market capitalization. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Historical performance for Class Y shares prior to its inception is based on the performance of Class A shares. Class Y performance has been adjusted to reflect differences in sales charges and expenses between classes.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 9

 

 

 

 

Diamond Hill All Cap Select Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors within the portfolio during the period included: mortgage servicing company Mr. Cooper Group, Inc., industrial distributor WESCO International, Inc., private equity firm KKR & Co., Inc., consumer apparel manufacturer Hanesbrands, Inc. and payment processing and services provider Visa, Inc. (Cl A). Bottom contributors during the period included: airline operators United Airlines Holdings, Inc. and Copa Holdings, S.A. (Cl A), life insurance company MetLife, Inc., casino operator Red Rock Resorts, Inc. (Cl A) and banking and financial services company Citigroup, Inc.

 

Fund Changes

 

During the period, we identified investment opportunities and added positions to the portfolio including industrial distributor WESCO International, Inc., agriculture and transportation company Seaboard Corp., specialty chemicals producer W.R. Grace & Co., custom printing services provider Cimpress PLC and consumer food and beverage products manufacturer Mondelez International, Inc. (Cl A). Throughout the year, we closed positions that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: life insurance company MetLife, Inc., media and technology company Alphabet, Inc. (Cl A), tobacco products manufacturer Philip Morris International, Inc., ski resort owner and operator Vail Resorts, Inc. and freight transportation management company Hub Group, Inc. (Cl A).

 

10 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill All Cap Select Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years

Ten
Years

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

12/30/2005

14.30%

9.34%

11.38%

11.38%

1.16%

Class C

12/30/2005

13.42

8.51

10.55

10.55

1.91

Class I

12/30/2005

14.57

9.64

11.70

11.68

0.87

Class Y

12/30/2011

14.70

9.77

11.82

11.78

0.75

BENCHMARK

Russell 3000 Index

 

20.89

14.49

15.43

13.79

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

12/30/2005

8.59

7.49

10.25

10.81

1.16

Class C

12/30/2005

12.42

8.51

10.55

10.55

1.91

* The maximum sales charge for Class A shares on purchases and for Class C shares on certain redemptions are 5.00% and 1.00%, respectively.

 

GROWTH OF $10,000

 

 

Comparison of the change in value of a $10,000 Investment in the Diamond Hill All Cap 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 Class A, Class C 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 is an unmanaged market capitalization weighted index measuring the performance of the 3,000 largest U.S. companies by total market capitalization. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Historical performance for Class Y shares prior to its inception is based on the performance of Class A shares. Class Y performance has been adjusted to reflect differences in sales charges and expenses between classes.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 11

 

 

 

 

Diamond Hill Long-Short Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors within the portfolio during the period included: private equity firm KKR & Co., Inc. (long), software and information technology services provider Microsoft Corp. (long), social media company Facebook, Inc. (Cl A) (long), media and technology company Alphabet, Inc. (Cl A) (long) and regional bank SVB Financial Group (long). Bottom contributors during the period included: airline operator United Airlines Holdings, Inc. (long), electric car manufacturer Tesla, Inc. (short), alcoholic beverage manufacturer Boston Beer Company, Inc. (Cl A) (short), banking and financial services company Citigroup, Inc. (long) and shipping and transportation company Kirby Corp. (long).

 

Fund Changes

 

During the period, we identified new investment opportunities and added positions to the portfolio including banking and financial services company Bank of America Corp. (long), regional bank Truist Financial Corp. (long), consumer food and beverage products manufacturer Mondelez International, Inc. (Cl A) (long), consumer apparel manufacturer VF Corp. (long) and payment processing and services provider Visa, Inc. (Cl A) (long). Throughout the year, we eliminated positions in companies that reached our estimate of intrinsic value and to fund purchases of more attractive investment opportunities. Larger sales included: airline operator United Airlines Holdings, Inc. (long), specialty pharmaceutical company Allergan PLC (long), property and casualty insurance company Cincinnati Financial Corp. (short), utility company Consolidated Edison, Inc. (short) and aerospace and defense company Raytheon Technologies Corp. (long).

 

12 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Long-Short Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years

Ten
Years

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

6/30/2000

(0.55)%

4.21%

5.68%

6.68%

1.81%

Class C

2/13/2001

(1.32)

3.42

4.88

5.88

2.56

Class I

1/31/2005

(0.27)

4.51

5.99

6.98

1.52

Class Y

12/30/2011

(0.19)

4.62

6.10

7.07

1.40

BENCHMARK

Russell 1000 Index

 

20.96

14.82

15.60

14.01

—

60% Russell 1000 Index/40% ICE BofA U.S. T-Bill 0-3 Month Index

 

13.30

9.81

9.92

8.70

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

6/30/2000

(5.51)

2.43

4.60

6.13

1.81

Class C

2/13/2001

(2.29)

3.42

4.88

5.88

2.56

* The maximum sales charge for Class A shares on purchases and for Class C shares on certain redemptions are 5.00% and 1.00%, respectively.

 

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% ICE BofA U.S. T-Bill 0-3 Month Index)

 

 

(A)

The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Class A, Class C 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 is an unmanaged market capitalization weighted index measuring the performance of the largest 1,000 companies by market capitalization in the Russell 3000 Index. The Russell 3000 Index is an unmanaged market capitalization weighted index measuring the performance of the 3,000 largest U.S. companies based on total market capitalization. The Blended Index represents a 60% weighting of the Russell 1000 Index as described above and a 40% weighting of the ICE BofA U.S. T-Bill 0-3 Month Index. The ICE BofA U.S. T-Bill 0-3 Month Index is an unmanaged index measuring the performance of U.S. dollar denominated U.S. Treasury Bills with a term to maturity of less than 3 months. The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its third party suppliers and has been licensed for use by Diamond Hill Capital Management, Inc. ICE Data and its third party suppliers accept no liability in connection with its use. See diamond-hill.com for a full copy of the disclaimer. These indices do not incur fees and expenses (which would lower returns) and are not available for direct investment. ICE Data was not involved in the creation of the blended index. Both indices do not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Historical performance for Class Y shares prior to its inception is based on the performance of Class A shares. Class Y performance has been adjusted to reflect differences in sales charges and expenses between classes.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 13

 

 

 

 

Diamond Hill Global Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors within the portfolio during the period included: U.S.-based consumer apparel company Hanesbrands, Inc., U.S.-based media and entertainment company Walt Disney Co., Korean consumer electronics manufacturer Samsung Electronics Co. Ltd., French aerospace and defense company Safran S.A., and U.S.-based online travel services provider Booking Holdings, Inc. Bottom contributors within the portfolio during the period included: U.S.-based airline operators Copa Holdings S.A. (Cl A) and United Airlines Holdings, Inc., U.S.-based shipping and transportation company Kirby Corp., U.S.-based casino operator Red Rock Resorts, Inc. (Cl A) and U.S.-based insurance company American International Group, Inc. Portfolio turnover was unusually high in 2020 for two primary reasons. First, COVID created significant business risk and elevated equity volatility throughout 2020. These factors influenced our trading activity during the first three quarters of 2020. Second, Rick Snowdon stepped away as portfolio manager of the Global strategy in October 2020. We subsequently made substantial changes to the strategy’s holdings. We expect portfolio turnover will be significantly lower in 2021.

 

Fund Changes

 

During the period, we identified new investment opportunities and added positions to the portfolio including: U.S.-based integrated oil and gas company Chevron Corp., Canadian wireless telecommunications services provider Rogers Communications, Inc. (Cl B), U.K.-based alcoholic beverage manufacturer Diageo PLC, U.K.-based consumer goods company Unilever NV and Japanese telecommunications services provider KDDI Corp. 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: casino operator Red Rock Resorts, Inc. (Cl A), airline operator Copa Holdings S.A. (Cl A), reinsurance company Scor SE, private banking products and services provider Julius Baer Group AG and life insurance company MetLife, Inc.

 

14 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Global Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years*

Since
Inception*

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

12/29/2017

1.35%

3.88%

9.77%

6.35%

1.13%

Class I

12/29/2017

1.66

4.19

10.11

6.68

0.84

Class Y

12/29/2017

1.77

4.32

10.23

6.79

0.72

BENCHMARK

Morningstar Global Markets Index

 

16.07

9.73

12.11

8.80

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES**

Class A

12/29/2017

(3.70)

2.11

8.65

5.57

1.13

** The maximum sales charge for Class A shares on purchases is 5.00%.

 

GROWTH OF $10,000

 

 

Comparison of the change in value of a $10,000 Investment in the Diamond Hill Global Fund Class I(A) and the Morningstar Global Markets Index.

 

 

(A)

The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Class A 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 Morningstar Global Markets Index (“Index”). The Index is an unmanaged, float market capitalization weighted index measuring the performance of more than 7,000 securities and is designed to cover 97% of the equity market capitalization of developed and emerging markets. The index (net) returns are calculated applying dividend withholding rates applicable to non-resident persons who do not benefit from double taxation treaties. Withholding rates applicable to the fund may be lower. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

*

The quoted performance of the Fund reflects the past performance of Diamond Hill Global Fund L.P. (the “Global 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 Global 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 Global 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 Global Partnership had been registered under the 1940 Act, its performance may have been adversely affected. Performance is measured from December 31, 2013, the inception of the Global Partnership and is not the performance of the Fund. The assets of the Global Partnership were converted, based on their value on December 29, 2017, into assets of the Fund. The Global 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 does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, maybe worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 15

 

 

 

 

Diamond Hill International Fund

 

 

Investing Environment

 

The year 2020 was one for the history books as the coronavirus pandemic swept the globe. Economic activity ground to a halt as countries hardest hit by the pandemic faced closing businesses, spending declines and record unemployment levels. Despite unprecedented economic and market disruption, global equities posted positive returns in excess of 16% in 2020 (as measured by the MSCI All Country World Index) and U.S. stocks returned in excess of 18% (as measured by the S&P 500® Index), a remarkable advance given the economic backdrop. Technology stocks were clear winners in 2020 as the work from home (WFH) era took hold. Online retailers also did well, benefiting from a shift to online shopping in the wake of the pandemic. Energy stocks struggled as oil demand and prices fell on weak economic and transportation activity. In the back half of the year, central bank liquidity, fiscal stimulus, and optimism of rapid-to-market COVID-19 vaccines provided stocks a welcome tailwind.

 

Performance Discussion

 

Top contributors within the portfolio during the period included: Korean consumer electronics manufacturer Samsung Electronics Co., Ltd., Hong Kong-based internet and advertising services provider Tencent Holdings, Taiwan-based semiconductor manufacturer Taiwan Semiconductor Manufacturing Co., U.S.-based media and technology company Alphabet, Inc. (Cl A) and U.S.-based social media company Facebook, Inc. (Cl A). Bottom contributors within the portfolio during the period included: U.S.-based airline operator Copa Holdings, U.S.-based global motorsport racing league Formula One Group, Canadian property and casualty insurance company Fairfax Financial Holdings Ltd., French transportation and communications logistics company Bolloré S.A. and U.K.-based telecommunications services provider BT Group PLC.

 

Fund Changes

 

During the period, we identified new investment opportunities and added positions to the portfolio including: U.S.-based media and technology company Alphabet, Inc. (Cl A), U.K.-based hospitality company InterContinental Hotels Group, Netherlands-based global consumer internet group Prosus NV, Canadian telecommunications services provider Rogers Communications, Inc. (Cl B) and Mexican beverage and retail company Fomento Economico Mexicano SAB de CV. 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: asset manager Fairfax India Holdings Corp., Japanese telecommunications services provider KDDI Corp., reinsurance company Scor SE, French transportation and communications logistics company Bolloré S.A. and Swiss financial services company Credit Suisse Group AG.

 

16 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill International Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years*

Ten
Years*

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

6/28/2019

6.48%

5.31%

11.08%

1.14%

Class I

6/28/2019

6.74

5.60

11.39

0.85

Class Y

6/28/2019

6.81

5.70

11.51

0.73

BENCHMARK

Morningstar Global Markets ex U.S. Index

 

11.17

5.07

10.25

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES**

Class A

6/28/2019

1.17

3.53

9.66

1.14

** The maximum sales charge for Class A shares on purchases is 5.00%.

 

GROWTH OF $10,000

 

 

Comparison of the change in value of a $10,000 Investment in the Diamond Hill International Fund Class I(A) and the Morningstar Global Markets ex U.S. Index.

 

 

(A)

The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Class A 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 Morningstar Global Markets ex U.S. Index (“Index”). The Index is an unmanaged, float market capitalization weighted index measuring the performance of more than 6,000 securities and is designed to cover 97% of the equity market capitalization of developed and emerging markets excluding the United States. The index (net) returns are calculated applying dividend withholding rates applicable to non-resident persons who do not benefit from double taxation treaties. Withholding rates applicable to the fund may be lower. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

*

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 does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, maybe worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 17

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund

 

 

Investing Environment

 

Throughout the year, Federal Reserve and U.S. Treasury intervention played a key role in fixed income markets. In Q1 2020, the Federal Reserve cut rates in response to signs of a slowing economy exacerbated by an oil production glut as OPEC and Russia failed to come to terms on production cuts. Starting mid-March, as it became clear the coronavirus pandemic would result in widescale business shutdowns, central banks globally moved quickly and decidedly to provide liquidity and support while governments directed stimulus support to citizens and businesses facing economic uncertainty. Corporate bond purchasing programs initiated by the U.S. government were barely utilized but served as the impetus for a historic pace of debt issuance in both investment grade and high yield corporate credit markets.

 

Performance Discussion

 

During a volatile year, the Short Duration Securitized Bond Fund trailed the Bloomberg Barclays U.S. 1-3 Yr. Gov./Credit Index. Relative performance in 2020 was the result of two materially different market environments. From the start of the year through mid-April, the Fund’s relative performance trailed amid the rapid deterioration of the securitized sector, particularly asset-backed securities (ABS) where the Fund had a sizable overweight, due largely to technical dislocations rather than weakening fundamentals. From mid-April through year-end, the Fund solidly outpaced the index and delivered strong absolute returns—though not enough to offset earlier relative weakness—as the securitized sector rallied on the strength of the underlying loans in the securities and general market stabilization. Relative strength during that period was dampened by the Fund’s underweight position to credit sectors as they surged from mid-April through year-end.

 

Fund Changes

 

The most significant change in Fund positioning was a decrease in allocation to ABS and an increase in allocation to commercial mortgage-backed securities (CMBS). This change was not the result of a lack of opportunities in the ABS market. Rather, the growth of the Fund and the more compelling opportunities among CMBS led to the positioning shift. The Fund’s position in short-term Treasury debt shifted to the money market sweep vehicle. As rates on the shorter end of the curve remained anchored with the Federal Reserve’s move to cut rates to zero in March, the attractiveness of the Treasury market diminished, making a comparably yielding sweep vehicle a more compelling option to maintain liquidity.

 

18 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Short Duration Securitized Bond Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Since
Inception

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

7/5/2016

2.87%

3.39%

3.42%

0.82%

Class I

7/5/2016

3.08

3.70

3.72

0.53

Class Y

7/5/2016

3.29

3.84

3.84

0.41

BENCHMARK

Bloomberg Barclays U.S. 1-3 Yr. Government/Credit Index

 

3.33

2.98

2.07

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

7/5/2016

0.58

2.62

2.90

0.82

* The maximum sales charge for Class A shares on purchases is 2.25%.

 

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 Barclays U.S. 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 Class A 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 Barclays U.S. 1-3 Yr. Government/Credit Index (“Index”). The Index is an unmanaged index measuring the performance of investment grade government and corporate bonds with maturities of one to three years. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 19

 

 

 

 

Diamond Hill Core Bond Fund

 

 

Investing Environment

 

Throughout the year, Federal Reserve and U.S. Treasury intervention played a key role in fixed income markets. In Q1 2020, the Federal Reserve cut rates in response to signs of a slowing economy exacerbated by an oil production glut as OPEC and Russia failed to come to terms on production cuts. Starting mid-March, as it became clear the coronavirus pandemic would result in widescale business shutdowns, central banks globally moved quickly and decidedly to provide liquidity and support while governments directed stimulus support to citizens and businesses facing economic uncertainty. Corporate bond purchasing programs initiated by the U.S. government were barely utilized but served as the impetus for a historic pace of debt issuance in both investment grade and high yield corporate credit markets.

 

Performance Discussion

 

During a volatile year, the Core Bond Fund outperformed the Bloomberg Barclays U.S. Aggregate Bond Index. The overweight position to securitized assets was the main driver of relative performance during the calendar year, with the strongest contribution coming from the asset-backed securities (ABS) sector. Within that sector, auto and consumer ABS were the best performers, rebounding strongly through the year from low points in March and April. Security selection within the mortgage-backed securities (MBS) sector was a key contributor as agency collateralized mortgage obligations (CMO) outpaced plain vanilla pass-through MBS. Credit rebounded from the early pains of the year to deliver one of the best returns over the past decade, despite record levels of issuance flooding the market. The Fund’s underweight to the credit sectors detracted from performance despite strong security selection. The Treasury market rallied throughout the year, and the Fund’s underweight detracted from performance.

 

Fund Changes

 

Sector changes to the Core Bond Fund are based on an investment philosophy focusing on a bottom-up security selection process. The duration positioning (sensitivity to interest rate fluctuations) relative to the benchmark remained in a range of 93% - 98% due to the uncertain trajectory of rates during a volatile year. The allocation to ABS remained fairly steady, though changes were made within the sector as opportunities presented themselves during periods of market dislocation. As corporate spreads rallied from the end of March through the end of the year, opportunities in other sectors resulted in a slight decrease in the allocation to the corporate credit sector. The most significant change in portfolio positioning was in the MBS space, both residential and commercial, as spread levels in these market areas of the provided opportunities for the Fund.

 

20 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Core Bond Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Since
Inception

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

 

Class A

7/5/2016

7.60%

5.46%

3.96%

0.76%

Class I

7/5/2016

7.94

5.77

4.27

0.47

Class Y

7/5/2016

8.04

5.92

4.38

0.35

BENCHMARK

 

Bloomberg Barclays U.S. Aggregate Index

 

7.51

5.34

3.59

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

 

Class A

7/5/2016

3.83

4.21

3.14

0.76

* The maximum sales charge for Class A shares on purchases is 3.50%.

 

 

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 Barclays U.S. Aggregate Index.

 

 

(A)

The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Class A 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 Barclays U.S. Aggregate Index (“Index”). The Index is an unmanaged index measuring performance of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage passthrough, and asset-backed securities. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 21

 

 

 

 

Diamond Hill Corporate Credit Fund

 

 

Investing Environment

 

Throughout the year, Federal Reserve and U.S. Treasury intervention played a key role in fixed income markets. In Q1 2020, the Federal Reserve cut rates in response to signs of a slowing economy exacerbated by an oil production glut as OPEC and Russia failed to come to terms on production cuts. Starting mid-March, as it became clear the coronavirus pandemic would result in widescale business shutdowns, central banks globally moved quickly and decidedly to provide liquidity and support while governments directed stimulus support to citizens and businesses facing economic uncertainty. Corporate bond purchasing programs initiated by the U.S. government were barely utilized but served as the impetus for a historic pace of debt issuance in both investment grade and high yield corporate credit markets.

 

Performance Discussion

 

The retail sector contributed most to total and relative return in 2020. Within retail, areas such as department stores and discount stores generated significant relative return, with department stores generating strong total returns despite index peers in aggregate being negative on the year. The difference in credit quality distribution between the Fund and the index also contributed to solid relative performance in 2020. The index is dominated by investment grade positions with a small allocation to high yield, while the Fund has much greater exposure to opportunities in the high yield market. That said, the strong rally in the investment grade corporate market did weigh on relative performance.

 

Fund Changes

 

The most significant change to Fund positioning occurred amid the market dislocation during March and April as both investment grade and high yield corporate spreads widened and unique opportunities presented themselves. A shift into long-dated, investment grade corporate securities began in late March and early April, soon after the Federal Reserve and Treasury announced plans to purchase not only corporate ETFs but cash bonds as well, with the intention of providing support for corporate bonds. By the end of the second quarter, the allocation to investment grade shifted back almost to where it began the year. This opportunistic and temporary shift was beneficial to relative performance while improving overall credit quality.

 

22 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Corporate Credit Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Years

Five
Years

Ten
Years

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

9/30/2002

9.49%

7.39%

8.32%

6.44%

0.91%

Class C

9/30/2002

8.65

6.60

7.51

5.65

1.66

Class I

1/31/2005

9.74

7.73

8.64

6.74

0.62

Class Y

12/30/2011

9.88

7.86

8.75

6.82

0.50

BENCHMARK

ICE BofA U.S. Corporate & High Yield Index

 

9.34

6.91

7.07

5.83

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES*

Class A

9/30/2002

5.62

6.13

7.56

6.07

0.91

Class C

9/30/2002

7.65

6.60

7.51

5.65

1.66

* The maximum sales charge for Class A shares on purchases and for Class C shares on certain redemptions are 3.50% and 1.00%, respectively.

 

GROWTH OF $10,000

 

 

Comparison of the change in value of a $10,000 Investment in the Diamond Hill Corporate Credit Fund Class I(A), ICE BofA U.S. Corporate & High Yield Index, and Consumer Price Index - All Urban Consumers from the Bureau of Labor Statistics plus 3% annual risk premium.

 

 

(A)

The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Class A, Class C 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 ICE BofA U.S. Corporate & High Yield Index and the Consumer Price Index — All Urban Consumers from the Bureau of Labor Statistics (CPI) plus 3% annual risk premium. The ICE BofA U.S. Corporate and High Yield Index is an unmanaged index measuring the performance of U.S. dollar denominated investment grade and below investment grade corporate debt publicly issued in the U.S. domestic market. The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its third party suppliers and has been licensed for use by Diamond Hill Capital Management, Inc. ICE Data and its third party suppliers accept no liability in connection with its use. See diamond-hill.com for a full copy of the disclaimer. The CPI is increased by a 3 percent annual risk premium to correspond with the Fund’s long-term goals of achieving returns above the rate of inflation. The CPI is an economic metric that measures prices for a basket of goods and services sold to urban consumers. The index is considered a more accurate record of prices due to higher population density within the sales area. Both indices do not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

Historical performance for Class Y shares prior to its inception is based on the performance of Class A shares. Class Y performance has been adjusted to reflect differences in sales charges and expenses between classes.

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com. This material must be preceded or accompanied by a current prospectus.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 23

 

 

 

 

Diamond Hill High Yield Fund

 

 

Investing Environment

 

Throughout the year, Federal Reserve and U.S. Treasury intervention played a key role in fixed income markets. In Q1 2020, the Federal Reserve cut rates in response to signs of a slowing economy exacerbated by an oil production glut as OPEC and Russia failed to come to terms on production cuts. Starting mid-March, as it became clear the coronavirus pandemic would result in widescale business shutdowns, central banks globally moved quickly and decidedly to provide liquidity and support while governments directed stimulus support to citizens and businesses facing economic uncertainty. Corporate bond purchasing programs initiated by the U.S. government were barely utilized but served as the impetus for a historic pace of debt issuance in both investment grade and high yield corporate credit markets.

 

Performance Discussion

 

Nearly every sector contributed to relative returns during 2020, with the energy sector contributing most to both strong total and relative returns. The index’s energy sector was negative for the year, while the Fund’s energy allocation returned double digits. Also additive to Fund performance was security selection in sectors that benefited from economic shut-down orders, including retail and regional banks, which are positioned to benefit from historically low rates. A handful of individual securities were a headwind to relative performance due to company-specific issues, but not enough to offset strong relative performance elsewhere.

 

Fund Changes

 

The most significant change to Fund positioning occurred amid the market dislocation during March and April as investment grade and high yield corporate spreads widened and unique opportunities presented themselves. A partial shift into long-dated, investment grade corporate securities began in late March and early April, soon after the Federal Reserve and Treasury announced plans to purchase not only corporate ETFs but cash bonds as well, with the intention of providing support for corporate bonds. By the end of the second quarter, the allocation to investment grade was back almost to where it began the year. This opportunistic and temporary shift was beneficial to relative performance while improving overall credit quality.

 

24 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill High Yield Fund

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2020

 

 

Inception
Date

One
Year

Three
Year

Five
Year

Since
Inception*

Expense
Ratio

PERFORMANCE AT NAV WITHOUT SALES CHARGES

Class A

12/31/2015

13.40%

9.62%

10.61%

8.71%

0.96%

Class I

12/31/2015

13.62

9.89

10.91

9.01

0.67

Class Y

12/31/2015

13.92

10.06

11.06

9.16

0.55

BENCHMARK

ICE BofA U.S. High Yield Index

 

6.17

5.89

8.43

5.95

—

PERFORMANCE AT PUBLIC OFFERING PRICE INCLUDING SALES CHARGES**

Class A

12/31/2015

9.42

8.33

9.81

8.08

0.96

** The maximum sales charge for Class A shares on purchases is 3.50%.

 

GROWTH OF $10,000

 

 

Comparison of the change in value of a $10,000 Investment in the Diamond Hill High Yield Fund Class I(A) and ICE BofA U.S. High Yield Index.

 

 

(A)

The growth of $10,000 chart represents the performance of Class I shares only, which will vary from the performance of Class A 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 ICE BofA U.S. High Yield Index. (“Index”). The Index is an unmanaged index measuring the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its third party suppliers and has been licensed for use by Diamond Hill Capital Management, Inc. ICE Data and its third party suppliers accept no liability in connection with its use. See diamond-hill.com for a full copy of the disclaimer. The Index does not reflect the deduction of fees associated with a mutual fund such as investment management and accounting fees. The Fund’s performance reflects the deduction of fees for these services. Investors cannot invest directly in an index although they can invest in the underlying securities.

*

The quoted performance for the Fund reflects the past performance of Diamond Hill High Yield Fund L.P. (the “High Yield 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 High Yield Partnership has been restated to reflect the net expenses and maximum applicable sales charge of the Fund for its initial years of investment operations. The High Yield 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 High Yield Partnership had been registered under the 1940 Act, its performance may have been adversely affected. Performance is measured from December 4, 2014, the inception of the High Yield Partnership and is not the performance of the Fund. The assets of the High Yield Partnership were converted based on their value on December 31, 2015, into assets of the Fund prior to commencement of operations of the Fund. The High Yield 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 does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information current to the most recent month end, please visit www.diamond-hill.com. This material must be preceded or accompanied by a current prospectus.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 25

 

 

 

 

Diamond Hill Small Cap Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 98.8%

Communication Services — 4.2%

Live Nation Entertainment, Inc. (a)(b)

     303,515     $ 22,302,282  
 

Consumer Discretionary — 16.8%

Carter’s, Inc.

     60,349       5,677,030  

Green Brick Partners, Inc. (b)

     491,941       11,294,965  

Hanesbrands, Inc.

     668,137       9,741,437  

PROG Holdings, Inc.

     136,211       7,337,687  

Red Rock Resorts, Inc., Class A

     837,610       20,973,754  

Vail Resorts, Inc.

     108,786       30,346,943  

Wolverine World Wide, Inc.

     125,654       3,926,688  
              89,298,504  

Consumer Staples — 8.8%

Cal-Maine Foods, Inc. (b)

     468,676       17,594,097  

Flowers Foods, Inc.

     259,159       5,864,768  

Lancaster Colony Corp.

     11,411       2,096,543  

Post Holdings, Inc. (b)

     142,124       14,355,945  

Seaboard Corp.

     2,180       6,607,580  
              46,518,933  

Energy — 1.3%

Bonanza Creek Energy, Inc. (b)

     118,554       2,291,649  

Cimarex Energy Co.

     127,531       4,783,688  
              7,075,337  

Financials — 27.4%

Altabancorp

     88,713       2,476,867  

Bank OZK

     681,787       21,319,479  

BankUnited, Inc.

     125,000       4,347,500  

BOK Financial Corp.

     170,157       11,652,351  

Brown & Brown, Inc.

     119,141       5,648,475  

Cadence BanCorp

     600,000       9,852,000  

Enstar Group Ltd. (b)

     81,776       16,755,085  

First of Long Island Corp. (The)

     194,480       3,471,468  

Live Oak Bancshares, Inc. (a)

     178,436       8,468,573  

Mr. Cooper Group, Inc. (b)

     393,324       12,204,844  

ProAssurance Corp.

     557,652       9,920,629  

Reinsurance Group of America, Inc.

     53,514       6,202,273  

RenaissanceRe Holdings Ltd.

     37,707       6,252,575  

 

 


  

Shares

    

Fair
Value

  

Financials — 27.4% continued

Sterling Bancorp

     1,485,441     $ 26,708,229  

Triumph Bancorp, Inc. (b)

     6,202       301,107  
              145,581,455  

Health Care — 3.7%

Integer Holdings Corp. (b)

     48,983       3,976,930  

LivaNova plc (b)

     107,858       7,141,278  

Natus Medical, Inc. (b)

     424,428       8,505,537  
              19,623,745  

Industrials — 19.5%

Alaska Air Group, Inc.

     111,375       5,791,500  

Allegiant Travel Co.

     64,720       12,247,613  

Colfax Corp. (b)

     406,206       15,533,317  

Douglas Dynamics, Inc.

     50,477       2,158,901  

Hub Group, Inc., Class A (b)

     171,756       9,790,092  

Hyster-Yale Materials Handling, Inc.

     84,858       5,053,294  

Kirby Corp. (b)

     193,912       10,050,459  

Sensata Technologies Holding plc (b)

     59,399       3,132,703  

SPX FLOW, Inc. (b)

     183,675       10,645,803  

Stericycle, Inc. (b)

     119,555       8,288,748  

Toro Co. (The)

     35,919       3,406,558  

TriMas Corp. (b)

     161,820       5,124,839  

WESCO International, Inc. (b)

     161,228       12,656,398  
              103,880,225  

Information Technology — 6.3%

Broadridge Financial Solutions, Inc.

     74,563       11,423,052  

Sanmina Corp. (b)

     131,435       4,191,462  

WNS Holdings Ltd. - ADR (b)

     248,237       17,885,476  
              33,499,990  

Materials — 3.5%

Ashland Global Holdings, Inc.

     136,214       10,788,149  

W.R. Grace & Co.

     140,000       7,674,800  
              18,462,949  

Real Estate — 4.7%

American Campus Communities, Inc. REIT

     59,908       2,562,265  

CubeSmart REIT

     490,707       16,492,662  

JBG SMITH Properties

     29,762       930,658  

 

 

26 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Small Cap Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 98.8% continued

Real Estate — 4.7% continued

Jones Lang LaSalle, Inc. (b)

     14,811     $ 2,197,508  

Rayonier, Inc.

     91,954       2,701,609  
              24,884,702  

Utilities — 2.6%

South Jersey Industries, Inc.

     358,022       7,715,374  

UGI Corp.

     179,357       6,270,321  
              13,985,695  
 

Total Common Stocks

(Cost $308,929,540)

   $ 525,113,817  
 

Registered Investment Companies — 2.0%

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (c)

     10,351,037       10,351,037  
 

Total Registered Investment Companies

(Cost $10,351,037)

   $ 10,351,037  
 

Total Investment Securities — 100.8%

(Cost $319,280,577)

   $ 535,464,854  
 

Liabilities in Excess of Other Assets — (0.8)%

     (4,091,107 )
 

Net Assets — 100.0%

   $ 531,373,747  

 

(a)

All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2020 was $18,781,723.

(b)

Non-income producing security.

(c)

The rate shown is the 7-day effective yield as of December 31, 2020.

 

ADR — American Depositary Receipt

plc — Public Limited Company

REIT — Real Estate Investment Trust

 

See accompanying Notes to Financial Statements.

 

Diamond Hill Small-Mid Cap Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 94.8%

Communication Services — 1.2%

Liberty Media Corp. - Liberty Formula One - Series C (a)

     546,551     $ 23,283,073  
 

Consumer Discretionary — 16.1%

Advance Auto Parts, Inc.

     116,974       18,424,575  

BorgWarner, Inc. (b)

     1,147,123       44,324,833  

Carter’s, Inc. (b)

     182,420       17,160,249  

Hanesbrands, Inc. (b)

     2,528,111       36,859,858  

NVR, Inc. (a)

     11,505       46,938,789  

Polaris Industries, Inc.

     135,113       12,873,567  

PROG Holdings, Inc.

     388,174       20,910,933  

Red Rock Resorts, Inc., Class A (b)

     2,281,639       57,132,241  

Vail Resorts, Inc.

     141,016       39,337,823  

Wolverine World Wide, Inc. (b)

     638,874       19,964,813  
              313,927,681  

Consumer Staples — 8.4%

Cal-Maine Foods, Inc. (a)(b)

     1,187,410       44,575,371  

Flowers Foods, Inc. (b)

     1,168,992       26,454,289  

Molson Coors Beverage Co., Class B (b)

     313,303       14,158,163  

Post Holdings, Inc. (a)

     790,110       79,809,011  
              164,996,834  

Energy — 1.5%

Cimarex Energy Co.

     799,028       29,971,540  
 

Financials — 24.7%

Alleghany Corp.

     16,513       9,968,733  

Bank OZK (b)

     1,090,436       34,097,934  

BankUnited, Inc.

     1,206,485       41,961,548  

BOK Financial Corp. (b)

     596,851       40,872,356  

Brighthouse Financial, Inc. (a)(b)

     521,647       18,886,230  

Brown & Brown, Inc.

     321,009       15,219,037  

Cadence BanCorp

     918,727       15,085,497  

Enstar Group Ltd. (a)(b)

     90,364       18,514,680  

First Republic Bank

     248,384       36,495,061  

Loews Corp.

     594,849       26,780,102  

Mr. Cooper Group, Inc. (a)(b)

     1,236,005       38,353,235  

ProAssurance Corp.

     1,133,297       20,161,354  

Reinsurance Group of America, Inc.

     279,550       32,399,845  

RenaissanceRe Holdings Ltd.

     149,632       24,811,978  

Sterling Bancorp

     3,575,683       64,290,780  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 27

 

 

 

 

Diamond Hill Small-Mid Cap Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 94.8% continued

Financials — 24.7% continued

SVB Financial Group (a)

     118,278     $ 45,871,757  
              483,770,127  

Health Care — 3.0%

Boston Scientific Corp. (a)

     345,522       12,421,516  

Integer Holdings Corp. (a)

     173,160       14,058,860  

LivaNova plc (a)

     468,964       31,050,106  
              57,530,482  

Industrials — 20.3%

Alaska Air Group, Inc.

     555,961       28,909,972  

Allegiant Travel Co.

     204,712       38,739,699  

Colfax Corp. (a)

     1,469,666       56,200,028  

Hub Group, Inc., Class A (a)

     483,791       27,576,087  

Kirby Corp. (a)(b)

     953,717       49,431,152  

Sensata Technologies Holding plc (a)

     1,170,126       61,712,445  

SPX FLOW, Inc. (a)

     357,035       20,693,749  

Stericycle, Inc. (a)

     434,196       30,102,809  

WESCO International, Inc. (a)

     1,068,973       83,914,381  
              397,280,322  

Information Technology — 4.7%

Avnet, Inc.

     354,759       12,455,588  

Broadridge Financial Solutions, Inc.

     72,960       11,177,472  

Juniper Networks, Inc.

     621,681       13,994,039  

Sanmina Corp. (a)

     724,886       23,116,615  

WNS Holdings Ltd. - ADR (a)

     421,204       30,347,748  
              91,091,462  

Materials — 3.3%

Ashland Global Holdings, Inc.

     487,452       38,606,198  

W.R. Grace & Co.

     453,878       24,881,592  
              63,487,790  

Real Estate — 7.8%

American Campus Communities, Inc. REIT (b)

     223,093       9,541,688  

CubeSmart REIT

     1,706,207       57,345,617  

Douglas Emmett, Inc.

     730,522       21,316,632  

iStar, Inc. REIT (b)

     703,428       10,445,906  

Jones Lang LaSalle, Inc. (a)

     91,599       13,590,544  

Mid-America Apartment Communities, Inc. REIT

     138,759       17,579,378  

 

 


  

Shares

    

Fair
Value

  

Real Estate — 7.8% continued

Rayonier, Inc.

     489,799     $ 14,390,295  

UDR, Inc.

     232,494       8,934,744  
              153,144,804  

Utilities — 3.8%

South Jersey Industries, Inc. (b)

     1,335,119       28,771,814  

UGI Corp.

     1,315,153       45,977,749  
              74,749,563  
 

Total Common Stocks

(Cost $1,485,224,979)

   $ 1,853,233,678  
 

Registered Investment Companies — 6.3%

Diamond Hill Short Duration Securitized Bond Fund, Class Y (c)

     2,637,952       26,643,319  

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (d)

     74,520,605       74,520,605  

State Street Navigator Securities Lending Portfolio I, 0.17% (d)(e)

     21,331,083       21,331,083  
 

Total Registered Investment Companies

(Cost $122,365,611)

   $ 122,495,007  
 

Total Investment Securities — 101.1%

(Cost $1,607,590,590)

   $ 1,975,728,685  
 

Liabilities in Excess of Other Assets — (1.1)%

     (20,448,723 )
 

Net Assets — 100.0%

   $ 1,955,279,962  

 

(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, 2020 was $29,051,172.

(c)

Affiliated Fund.

(d)

The rate shown is the 7-day effective yield as of December 31, 2020.

(e)

This security was purchased with cash collateral held from securities on loan.

 

ADR — American Depositary Receipt

plc — Public Limited Company

REIT — Real Estate Investment Trust

 

See accompanying Notes to Financial Statements.

 

28 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Mid Cap Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 93.8%

Communication Services — 1.2%

Liberty Media Corp. - Liberty Formula One - Series C (a)

     68,630     $ 2,923,638  
 

Consumer Discretionary — 15.9%

Advance Auto Parts, Inc.

     14,889       2,345,166  

BorgWarner, Inc.

     146,148       5,647,159  

Carter’s, Inc.

     20,064       1,887,420  

Hanesbrands, Inc.

     281,196       4,099,838  

NVR, Inc. (a)

     1,488       6,070,832  

Polaris Industries, Inc.

     17,178       1,636,720  

PROG Holdings, Inc.

     40,685       2,191,701  

Red Rock Resorts, Inc., Class A

     304,350       7,620,924  

Vail Resorts, Inc.

     17,995       5,019,885  

VF Corp.

     39,577       3,380,272  
              39,899,917  

Consumer Staples — 8.2%

Archer-Daniels-Midland Co.

     107,404       5,414,236  

Flowers Foods, Inc.

     94,099       2,129,460  

Molson Coors Beverage Co., Class B

     69,214       3,127,781  

Post Holdings, Inc. (a)

     97,997       9,898,677  
              20,570,154  

Energy — 1.2%

Cimarex Energy Co.

     77,558       2,909,201  
 

Financials — 27.0%

American International Group, Inc.

     144,595       5,474,367  

Bank OZK

     128,774       4,026,763  

BankUnited, Inc.

     113,900       3,961,442  

BOK Financial Corp.

     44,867       3,072,492  

Brighthouse Financial, Inc. (a)

     69,394       2,512,410  

Discover Financial Services

     30,602       2,770,399  

Enstar Group Ltd. (a)

     9,198       1,884,578  

First Republic Bank

     50,535       7,425,108  

Franklin Resources, Inc.

     48,771       1,218,787  

Hartford Financial Services Group, Inc. (The)

     78,062       3,823,477  

Loews Corp.

     226,491       10,196,625  

Mr. Cooper Group, Inc. (a)

     109,760       3,405,853  

 

 


  

Shares

    

Fair
Value

  

Financials — 27.0% continued

Reinsurance Group of America, Inc.

     16,360     $ 1,896,124  

RenaissanceRe Holdings Ltd.

     16,884       2,799,705  

Sterling Bancorp

     335,667       6,035,293  

SVB Financial Group (a)

     15,678       6,080,399  

Willis Towers Watson plc

     5,761       1,213,727  
              67,797,549  

Health Care — 1.7%

Boston Scientific Corp. (a)

     121,036       4,351,244  
 

Industrials — 17.1%

Alaska Air Group, Inc.

     94,274       4,902,248  

Colfax Corp. (a)

     173,835       6,647,450  

Hub Group, Inc., Class A (a)

     35,892       2,045,844  

Kirby Corp. (a)

     108,414       5,619,098  

Parker-Hannifin Corp.

     25,536       6,956,262  

Sensata Technologies Holding plc (a)

     121,638       6,415,188  

Stericycle, Inc. (a)

     57,565       3,990,981  

WESCO International, Inc. (a)

     79,378       6,231,173  
              42,808,244  

Information Technology — 6.8%

Avnet, Inc.

     44,984       1,579,388  

Check Point Software Technologies Ltd. (a)

     43,407       5,769,224  

Cognizant Technology Solutions Corp., Class A

     55,139       4,518,641  

Juniper Networks, Inc.

     80,861       1,820,181  

NXP Semiconductors NV

     21,888       3,480,411  
              17,167,845  

Materials — 3.4%

Ashland Global Holdings, Inc.

     66,036       5,230,051  

W.R. Grace & Co.

     59,553       3,264,695  
              8,494,746  

Real Estate — 7.7%

American Campus Communities, Inc. REIT

     28,368       1,213,299  

CubeSmart REIT

     219,675       7,383,277  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 29

 

 

 

 

Diamond Hill Mid Cap Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 93.8% continued

Real Estate — 7.7% continued

Douglas Emmett, Inc.

     96,726     $ 2,822,465  

Jones Lang LaSalle, Inc. (a)

     11,682       1,733,258  

Mid-America Apartment Communities, Inc. REIT

     18,230       2,309,559  

UDR, Inc.

     29,918       1,149,749  

Weyerhaeuser Co.

     77,897       2,611,886  
              19,223,493  

Utilities — 3.6%

South Jersey Industries, Inc.

     149,962       3,231,681  

UGI Corp.

     167,948       5,871,462  
              9,103,143  
 

Total Common Stocks

(Cost $184,355,421)

   $ 235,249,174  
 

Registered Investment Companies — 6.6%

Diamond Hill Short Duration Securitized Bond Fund, Class Y (b)

     161,057       1,626,675  

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (c)

     14,803,382       14,803,382  
 

Total Registered Investment Companies

(Cost $16,426,424)

   $ 16,430,057  
 

Total Investment Securities — 100.4%

(Cost $200,781,845)

   $ 251,679,231  
 

Liabilities in Excess of Other Assets — (0.4)%

     (899,024 )
 

Net Assets — 100.0%

   $ 250,780,207  

 

(a)

Non-income producing security.

(b)

Affiliated Fund.

(c)

The rate shown is the 7-day effective yield as of December 31, 2020.

 

plc — Public Limited Company

REIT — Real Estate Investment Trust

NV — Naamloze Vennootschap

 

See accompanying Notes to Financial Statements.

 

Diamond Hill Large Cap Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 96.4%

Communication Services — 7.8%

Charter Communications, Inc., Class A (a)

     226,562     $ 149,882,091  

Comcast Corp., Class A

     2,608,773       136,699,705  

Facebook, Inc., Class A (a)

     325,035       88,786,561  

Walt Disney Co. (The) (a)

     1,496,022       271,049,266  
              646,417,623  

Consumer Discretionary — 14.9%

Booking Holdings, Inc. (a)

     81,975       182,580,458  

BorgWarner, Inc.

     3,704,607       143,146,015  

General Motors Co.

     4,221,224       175,771,767  

Hanesbrands, Inc.

     6,982,314       101,802,138  

NVR, Inc. (a)

     47,801       195,021,388  

O’Reilly Automotive, Inc. (a)

     213,449       96,600,614  

TJX Cos., Inc. (The)

     2,429,236       165,892,526  

VF Corp.

     2,032,499       173,595,740  
              1,234,410,646  

Consumer Staples — 12.6%

Archer-Daniels-Midland Co.

     2,369,913       119,467,314  

Kimberly-Clark Corp.

     1,154,971       155,724,740  

Mondelēz International, Inc., Class A

     4,172,733       243,979,699  

PepsiCo, Inc.

     1,636,748       242,729,728  

Philip Morris International, Inc.

     532,995       44,126,656  

Procter & Gamble Co. (The)

     1,736,918       241,674,771  
              1,047,702,908  

Energy — 2.1%

Chevron Corp.

     2,080,312       175,682,348  
 

Financials — 27.0%

American International Group, Inc.

     8,936,853       338,349,255  

Bank of America Corp.

     7,524,833       228,077,688  

Berkshire Hathaway, Inc., Class B (a)

     1,180,618       273,749,896  

Charles Schwab Corp. (The)

     4,193,082       222,401,069  

First Republic Bank

     924,108       135,779,188  

Hartford Financial Services Group, Inc. (The)

     3,178,004       155,658,636  

JPMorgan Chase & Co.

     903,021       114,746,878  

KKR & Co., Inc.

     5,736,476       232,269,913  

 

 

30 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Large Cap Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 96.4% continued

Financials — 27.0% continued

Marsh & McLennan Cos., Inc.

     1,094,889     $ 128,102,013  

MetLife, Inc.

     2,693,479       126,458,839  

Morgan Stanley

     2,119,018       145,216,304  

Truist Financial Corp.

     2,992,148       143,413,654  
              2,244,223,333  

Health Care — 11.5%

Abbott Laboratories

     3,023,391       331,031,081  

Gilead Sciences, Inc.

     1,251,798       72,929,752  

Humana, Inc.

     384,476       157,738,969  

Medtronic plc

     1,940,916       227,358,900  

Pfizer, Inc.

     4,514,888       166,193,027  
              955,251,729  

Industrials — 7.8%

Carrier Global Corp.

     2,750,513       103,749,350  

Caterpillar, Inc.

     581,413       105,828,794  

Deere & Co.

     178,713       48,082,733  

Honeywell International, Inc.

     601,646       127,970,104  

L3Harris Technologies, Inc.

     538,573       101,801,068  

Parker-Hannifin Corp.

     584,032       159,096,157  
              646,528,206  

Information Technology — 6.6%

Cognizant Technology Solutions Corp., Class A

     1,997,883       163,726,512  

Fidelity National Information Services, Inc.

     1,073,957       151,921,957  

Texas Instruments, Inc.

     817,163       134,120,963  

Visa, Inc., Class A (b)

     465,379       101,792,349  
              551,561,781  

Materials — 2.6%

Linde plc

     476,451       125,549,603  

Sherwin-Williams Co. (The)

     124,587       91,560,232  
              217,109,835  

Real Estate — 2.5%

Public Storage REIT

     407,891       94,194,269  

Weyerhaeuser Co.

     3,460,362       116,025,938  
              210,220,207  

 

 


  

Shares

    

Fair
Value

  

Utilities — 1.0%

Dominion Energy, Inc.

     1,095,183     $ 82,357,762  
 

Total Common Stocks

(Cost $5,611,885,913)

   $ 8,011,466,378  
 

Registered Investment Companies — 3.5%

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (c)

     287,882,356       287,882,356  
 

Total Registered Investment Companies

(Cost $287,882,356)

   $ 287,882,356  
 

Total Investment Securities — 99.9%

(Cost $5,899,768,269)

   $ 8,299,348,734  
 

Other Assets in Excess of Liabilities — 0.1%

     12,417,030  
 

Net Assets — 100.0%

   $ 8,311,765,764  

 

(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, 2020 was $101,354,889.

(c)

The rate shown is the 7-day effective yield as of December 31, 2020.

 

plc — Public Limited Company

REIT — Real Estate Investment Trust

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 31

 

 

 

 

Diamond Hill All Cap Select Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 97.9%

Communication Services — 1.2%

Walt Disney Co. (The) (a)

     20,810     $ 3,770,356  
 

Consumer Discretionary — 13.9%

Booking Holdings, Inc. (a)

     2,656       5,915,629  

BorgWarner, Inc.

     120,614       4,660,525  

Hanesbrands, Inc.

     1,149,493       16,759,608  

Red Rock Resorts, Inc., Class A

     462,368       11,577,695  

VF Corp.

     75,408       6,440,597  
              45,354,054  

Consumer Staples — 12.3%

Archer-Daniels-Midland Co.

     128,966       6,501,176  

Cal-Maine Foods, Inc. (a)

     372,138       13,970,061  

Mondelēz International, Inc., Class A

     144,717       8,461,603  

Seaboard Corp.

     3,653       11,072,243  
              40,005,083  

Financials — 33.0%

Alleghany Corp.

     6,591       3,978,921  

American International Group, Inc.

     483,796       18,316,517  

Bank OZK

     293,617       9,181,404  

Berkshire Hathaway, Inc., Class B (a)

     70,239       16,286,317  

Cadence BanCorp

     324,090       5,321,558  

Charles Schwab Corp. (The)

     204,159       10,828,593  

KKR & Co., Inc.

     342,803       13,880,093  

Mr. Cooper Group, Inc. (a)

     712,150       22,098,014  

Sterling Bancorp

     427,384       7,684,364  
              107,575,781  

Health Care — 4.7%

Boston Scientific Corp. (a)

     183,710       6,604,374  

GlaxoSmithKline plc - ADR (b)

     107,279       3,947,867  

Pfizer, Inc.

     133,824       4,926,061  
              15,478,302  

 

 


  

Shares

    

Fair
Value

  

Industrials — 19.8%

Cimpress plc (a)(b)

     97,040     $ 8,514,290  

Colfax Corp. (a)

     237,273       9,073,320  

Johnson Controls International plc

     177,446       8,267,209  

Kirby Corp. (a)

     209,509       10,858,851  

Sensata Technologies Holding plc (a)

     98,199       5,179,015  

WESCO International, Inc. (a)

     289,663       22,738,545  
              64,631,230  

Information Technology — 5.7%

Cognizant Technology Solutions Corp., Class A

     111,435       9,132,098  

Sanmina Corp. (a)

     145,231       4,631,417  

Visa, Inc., Class A

     22,596       4,942,423  
              18,705,938  

Materials — 5.4%

Ashland Global Holdings, Inc.

     84,916       6,725,347  

W.R. Grace & Co.

     197,813       10,844,109  
              17,569,456  

Utilities — 1.9%

UGI Corp.

     173,282       6,057,939  
 

Total Common Stocks

(Cost $226,589,277)

   $ 319,148,139  
 

 

 

32 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill All Cap Select Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Registered Investment Companies — 3.3%

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (c)

     7,848,305     $ 7,848,305  

State Street Navigator Securities Lending Portfolio I, 0.17% (c)(d)

     2,799,197       2,799,197  
 

Total Registered Investment Companies

(Cost $10,647,502)

   $ 10,647,502  
 

Total Investment Securities — 101.2%

(Cost $237,236,779)

   $ 329,795,641  
 

Liabilities in Excess of Other Assets — (1.2)%

     (3,838,225 )
 

Net Assets — 100.0%

   $ 325,957,416  

 

(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, 2020 was $8,664,569.

(c)

The rate shown is the 7-day effective yield as of December 31, 2020.

(d)

The security was purchased with cash collateral from securities held on loan.

 

ADR — American Depositary Receipt

plc — Public Limited Company

 

See accompanying Notes to Financial Statements.

 

Diamond Hill Long-Short Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 91.2%

Communication Services — 9.2%

Alphabet, Inc., Class A (a)

     33,745     $ 59,142,837  

Comcast Corp., Class A

     878,419       46,029,156  

Facebook, Inc., Class A (a)

     129,374       35,339,802  

Walt Disney Co. (The) (a)(b)

     264,539       47,929,176  
              188,440,971  

Consumer Discretionary — 9.4%

Advance Auto Parts, Inc.

     111,417       17,549,292  

Booking Holdings, Inc. (a)

     15,970       35,569,502  

BorgWarner, Inc. (b)

     927,063       35,821,714  

Hanesbrands, Inc. (b)(c)

     1,515,965       22,102,770  

TJX Cos., Inc. (The) (b)

     645,226       44,062,484  

VF Corp. (b)

     445,809       38,076,547  
              193,182,309  

Consumer Staples — 4.9%

Archer-Daniels-Midland Co. (b)(c)

     699,013       35,237,245  

Constellation Brands, Inc., Class A (b)

     126,794       27,774,226  

Mondelēz International, Inc., Class A (b)

     657,455       38,441,394  
              101,452,865  

Energy — 2.8%

Chevron Corp. (b)

     365,649       30,879,058  

Cimarex Energy Co. (c)

     730,209       27,390,140  
              58,269,198  

Financials — 29.1%

American International Group, Inc. (b)(c)

     2,095,155       79,322,568  

Bank of America Corp.

     1,316,160       39,892,810  

Bank OZK (b)

     971,745       30,386,466  

Berkshire Hathaway, Inc., Class B (a)

     309,479       71,758,896  

Charles Schwab Corp. (The) (b)

     523,314       27,756,575  

Citigroup, Inc. (b)(c)

     1,243,091       76,648,991  

First Republic Bank (b)(c)

     172,640       25,365,995  

Hartford Financial Services Group, Inc. (The) (c)

     909,886       44,566,216  

JPMorgan Chase & Co. (b)

     118,494       15,057,033  

KKR & Co., Inc. (b)(c)

     1,428,210       57,828,223  

MetLife, Inc. (b)(c)

     641,229       30,105,702  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 33

 

 

 

 

Diamond Hill Long-Short Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 91.2% continued

Financials — 29.1% continued

Morgan Stanley (b)(c)

     442,207     $ 30,304,446  

SVB Financial Group (a)(b)

     78,539       30,459,780  

Truist Financial Corp. (b)

     803,635       38,518,226  
              597,971,927  

Health Care — 11.3%

Abbott Laboratories (b)(c)

     341,597       37,401,456  

AbbVie, Inc. (b)

     115,206       12,344,323  

CVS Health Corp. (b)

     340,129       23,230,811  

Humana, Inc.

     104,470       42,860,907  

Medtronic plc (b)(c)

     433,409       50,769,530  

Perrigo Co. plc (b)(c)

     624,709       27,936,986  

Pfizer, Inc. (b)

     1,043,045       38,394,486  
              232,938,499  

Industrials — 10.4%

Alaska Air Group, Inc. (b)

     408,243       21,228,636  

Johnson Controls International plc (b)

     1,238,400       57,697,056  

Kirby Corp. (a)(b)(c)

     769,714       39,894,277  

L3Harris Technologies, Inc. (b)

     164,130       31,023,853  

Parker-Hannifin Corp. (c)

     133,311       36,315,249  

Sensata Technologies Holding plc (a)(b)

     542,568       28,615,036  
              214,774,107  

Information Technology — 9.4%

Cognizant Technology Solutions Corp., Class A (b)

     566,775       46,447,211  

Fidelity National Information Services, Inc. (b)

     304,211       43,033,688  

Microsoft Corp. (c)

     184,097       40,946,855  

Texas Instruments, Inc. (b)

     182,531       29,958,813  

Visa, Inc., Class A

     147,157       32,187,651  
              192,574,218  

Materials — 3.6%

Ashland Global Holdings, Inc. (c)

     340,084       26,934,653  

Sherwin-Williams Co. (The) (b)

     22,218       16,328,230  

W.R. Grace & Co. (b)

     553,439       30,339,526  
              73,602,409  

 

 


  

Shares

    

Fair
Value

  

Utilities — 1.1%

Dominion Energy, Inc. (b)

     293,275     $ 22,054,280  
 

Total Common Stocks

(Cost $1,176,178,258)

   $ 1,875,260,783  
 

Registered Investment Companies — 22.0%

Diamond Hill Short Duration Securitized Bond Fund, Class Y (d)

     3,449,196       34,836,878  

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (e)

     123,366,204       123,366,204  

State Street Navigator Securities Lending Portfolio I, 0.17% (e)(f)

     294,518,354       294,518,354  
 

Total Registered Investment Companies

(Cost $452,490,960)

   $ 452,721,436  
 

Total Investment Securities — 113.2%

(Cost $1,628,669,218)

   $ 2,327,982,219  
 

Segregated Cash With Custodian — 29.4%

     604,194,749  
 

Investments Sold Short — (28.7)%

(Proceeds $506,570,999)

     (590,817,468 )
 

Liabilities in Excess of Other Assets — (13.9)%

     (285,585,898 )
 

Net Assets — 100.0%

   $ 2,055,773,602  

 

(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, 2020 was $289,541,747.

(c)

All or a portion of the shares have been pledged as collateral for open short positions.

(d)

Affiliated Fund.

(e)

The rate shown is the 7-day effective yield as of December 31, 2020.

(f)

This security was purchased with cash collateral held from securities on loan.

 

plc — Public Limited Company

 

See accompanying Notes to Financial Statements.

 

34 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Long-Short Fund
Schedule of Investments Sold Short
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 28.7%

Communication Services — 0.7%

Cogent Communications Holdings, Inc.

     254,325     $ 15,226,438  
 

Consumer Discretionary — 5.9%

Asbury Automotive Group, Inc.

     103,986       15,154,920  

Best Buy Co., Inc.

     170,411       17,005,314  

Cheesecake Factory, Inc. (The)

     161,458       5,983,634  

Dick’s Sporting Goods, Inc.

     329,656       18,529,964  

Grand Canyon Education, Inc.

     195,772       18,228,331  

Tesla, Inc.

     29,499       20,816,559  

Under Armour, Inc., Class A

     886,009       15,212,775  

Whirlpool Corp.

     54,240       9,789,778  
              120,721,275  

Consumer Staples — 3.8%

Boston Beer Co., Inc. (The), Class A

     14,068       13,987,672  

Brown-Forman Corp., Class B

     472,815       37,555,695  

WD-40 Co.

     100,875       26,800,470  
              78,343,837  

Financials — 4.8%

Blackstone Mortgage Trust, Inc., Class A

     573,905       15,799,605  

Commerce Bancshares, Inc.

     563,516       37,023,001  

FactSet Research Systems, Inc.

     40,702       13,533,415  

First Financial Bankshares, Inc.

     612,223       22,147,167  

Root, Inc.

     681,315       10,703,459  
              99,206,647  

Health Care — 1.8%

Penumbra, Inc.

     92,230       16,140,250  

Waters Corp.

     83,080       20,555,654  
              36,695,904  

Industrials — 4.5%

Cintas Corp.

     27,044       9,558,972  

PACCAR, Inc.

     259,952       22,428,659  

Proto Labs, Inc.

     110,920       17,015,128  

 

 


  

Shares

    

Fair
Value

  

Industrials — 4.5% continued

Robert Half International, Inc.

     347,683     $ 21,723,234  

W.W. Grainger, Inc.

     37,545       15,331,125  

Wabtec Corp.

     92,105       6,742,086  
              92,799,204  

Information Technology — 5.5%

Akamai Technologies, Inc.

     146,720       15,404,133  

Badger Meter, Inc.

     263,236       24,759,978  

Blackbaud, Inc.

     318,862       18,353,697  

Cisco Systems, Inc.

     134,130       6,002,318  

j2 Global, Inc.

     157,359       15,372,401  

Oracle Corp.

     463,053       29,954,899  

Western Union Co. (The)

     147,924       3,245,453  
              113,092,879  

Materials — 0.1%

Silgan Holdings, Inc.

     67,005       2,484,545  
 

Real Estate — 0.4%

VEREIT, Inc.

     207,916       7,857,146  
 

Utilities — 1.2%

Ormat Technologies, Inc.

     270,155       24,389,593  
 

Total Investments Sold Short — 28.7%

(Proceeds $506,570,999)

   $ 590,817,468  

 

Percentages disclosed are based on total net assets of the Fund at December 31, 2020.

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 35

 

 

 

 

Diamond Hill Global Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 99.4%

Canada — 5.2%

Rogers Communications, Inc., Class B (a)

     17,946     $ 836,104  
 

China — 1.0%

Tencent Holdings Ltd.

     2,200       158,298  
 

France — 4.9%

EssilorLuxottica SA

     2,105       328,017  

LVMH Moet Hennessy Louis Vuitton SE

     295       184,663  

Safran SA (b)

     2,029       287,566  
              800,246  

Germany — 1.3%

Beiersdorf AG

     1,900       218,414  
 

India — 1.2%

HDFC Bank Ltd. - ADR (b)

     2,765       199,799  
 

Israel — 3.4%

Check Point Software Technologies Ltd. (b)

     4,092       543,868  
 

Japan — 6.0%

KDDI Corp.

     26,600       788,674  

Nintendo Company Ltd. - ADR

     2,235       179,962  
              968,636  

Mexico — 2.4%

Fomento Economico Mexicano SAB de CV

     50,965       386,828  
 

South Korea — 2.6%

Samsung Electronics Co. Ltd.

     5,685       423,988  
 

Switzerland — 7.1%

Novartis AG - ADR

     3,240       305,953  

Roche Holdings AG

     1,821       634,245  

Swatch Group AG (The)

     750       203,880  
              1,144,078  

Taiwan Province Of China — 1.2%

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR

     1,730       188,639  
 

 

 


  

Shares

    

Fair
Value

  

United Kingdom — 15.8%

Ashmore Group plc

     59,642     $ 352,190  

Diageo plc

     20,544       812,913  

Howden Joinery Group plc (b)

     36,717       345,895  

Sage Group plc (The)

     29,590       234,955  

Unilever NV

     13,350       808,323  
              2,554,276  

United States — 47.3%

Abbott Laboratories

     2,590       283,579  

Alphabet, Inc., Class A (b)

     190       333,002  

Berkshire Hathaway, Inc., Class B (b)

     3,331       772,359  

Booking Holdings, Inc. (b)

     139       309,591  

Charles Schwab Corp. (The)

     9,285       492,476  

Chevron Corp.

     10,075       850,834  

Comcast Corp., Class A

     9,165       480,246  

Constellation Brands, Inc., Class A

     1,525       334,051  

JPMorgan Chase & Co.

     2,945       374,221  

Liberty Media Corp. - Liberty Formula One, Series C (b)

     3,800       161,880  

Medtronic plc

     2,770       324,478  

Microsoft Corp.

     1,340       298,043  

Mondelēz International, Inc., Class A

     4,951       289,485  

Morgan Stanley

     4,815       329,972  

NXP Semiconductors NV

     1,095       174,116  

PepsiCo, Inc.

     3,070       455,281  

Procter & Gamble Co. (The)

     3,060       425,768  

Texas Instruments, Inc.

     980       160,847  

Visa, Inc., Class A

     1,395       305,128  

Walt Disney Co. (The) (b)

     2,658       481,576  
              7,636,933  
 

Total Common Stocks

        

(Cost $13,308,058)

   $ 16,060,107  
 

 

 

36 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Global Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Par
Value

    

Fair
Value

  

Registered Investment Companies — 1.8%

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (c)

     250,418     $ 250,418  

State Street Navigator Securities Lending Portfolio I, 0.17% (c)(d)

     38,200       38,200  
 

Total Registered Investment Companies

(Cost $288,618)

   $ 288,618  
 

Total Investments at Value — 101.2%

(Cost $13,596,676)

   $ 16,348,725  
 

Liabilities in Excess of Other Assets — (1.2)%

     (193,517 )
 

Net Assets — 100.0%

   $ 16,155,208  

 

(a)

All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2020 was $37,272.

(b)

Non-income producing security.

(c)

The rate shown is the 7-day effective yield as of December 31, 2020.

(d)

This security was purchased with cash collateral held from securities on loan.

 

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

 

See accompanying Notes to Financial Statements.

 

Diamond Hill International Fund
Schedule of Investments
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 97.4%

Belgium — 5.1%

Anheuser-Busch InBev SA/NV

     9,549     $ 666,174  

Shurgard Self Storage SA

     4,750       205,731  
              871,905  

Canada — 4.6%

BlackBerry Ltd. (a)(b)

     22,910       151,893  

Fairfax Financial Holdings Ltd.

     868       295,957  

Rogers Communications, Inc., Class B (a)

     7,031       327,574  
              775,424  

China — 5.7%

Alibaba.com Ltd. (b)

     8,200       238,492  

Baidu, Inc. - ADR (b)

     1,676       362,418  

Tencent Holdings Ltd.

     5,100       366,963  
              967,873  

France — 7.6%

EssilorLuxottica SA

     1,928       300,436  

LVMH Moet Hennessy Louis Vuitton SE

     354       221,595  

Safran SA (b)

     2,428       344,115  

Vivendi SA

     12,726       410,453  
              1,276,599  

Germany — 1.3%

Fuchs Petrolub SE

     4,705       217,269  
 

India — 3.1%

HDFC Bank Ltd. - ADR (b)

     7,166       517,815  
 

Israel — 3.1%

Check Point Software Technologies Ltd. (b)

     3,919       520,874  
 

Japan — 4.6%

Astellas Pharma, Inc.

     20,600       318,956  

Seven & i Holdings Co. Ltd.

     9,900       350,555  

Shionogi & Company Ltd.

     2,000       109,340  
              778,851  

Mexico — 3.9%

Fomento Economico Mexicano SAB de CV

     40,473       307,193  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 37

 

 

 

 

Diamond Hill International Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Common Stocks — 97.4% continued

Mexico — 3.9% continued

Grupo Aeroportuario del Sureste SAB de CV, Class B (b)

     20,937     $ 347,234  
              654,427  

Netherlands — 2.0%

Prosus NV (b)

     3,067       331,157  
 

South Korea — 3.5%

Samsung Electronics Co. Ltd.

     7,936       591,868  
 

Spain — 1.6%

Banco Bilbao Vizcaya Argentaria SA

     53,339       264,369  
 

Switzerland — 10.8%

Compagnie Financiere Richemont SA, Class A

     4,160       375,819  

Julius Baer Group Ltd.

     9,087       523,510  

Novartis AG - ADR

     3,831       361,761  

Roche Holdings AG

     947       329,835  

Swatch Group AG (The)

     875       237,860  
              1,828,785  

Taiwan Province Of China — 2.2%

Taiwan Semiconductor Manufacturing Co. Ltd. - ADR

     3,414       372,263  
 

Thailand — 2.3%

Kasikornbank pcl - NVDR

     102,600       386,385  
 

United Kingdom — 26.1%

Ashmore Group plc

     55,585       328,233  

B&M European Value Retail SA

     20,701       145,732  

Beazley plc

     71,577       356,887  

BT Group plc (b)

     263,923       475,718  

Bunzl plc

     5,990       199,997  

Compass Group plc

     9,715       181,201  

Diageo plc

     15,462       611,822  

GlaxoSmithKline plc

     13,019       238,225  

Howden Joinery Group plc (b)

     56,541       532,648  

InterContinental Hotels Group plc

     5,719       370,683  

Sage Group plc (The)

     20,825       165,358  

Tesco plc

     69,889       220,557  

 

 


  

Shares

    

Fair
Value

  

United Kingdom — 26.1% continued

Unilever NV

     9,418     $ 570,246  
              4,397,307  

United States — 9.9%

Alphabet, Inc., Class A (b)

     260       455,686  

Facebook, Inc., Class A (b)

     1,025       279,989  

LivaNova plc (b)

     4,332       286,822  

Walt Disney Co. (The) (b)

     3,562       645,363  
              1,667,860  
 

Total Common Stocks

        

(Cost $13,720,319)

   $ 16,421,031  
 

Warrants — 0.0% (e)

Compagnie Financiere Richemont SA (Cost $0)

     8,320     $ 2,161  
 

Registered Investment Companies — 2.5%

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (c)

   $ 397,932       397,932  

State Street Navigator Securities Lending Portfolio I, 0.17% (c)(d)

     20,301       20,301  
 

Total Registered Investment Companies

(Cost $418,233)

   $ 418,233  
 

Total Investments at Value — 99.9%

(Cost $14,138,552)

   $ 16,841,425  
 

Other Assets in Excess of Liabilities — 0.1%

     26,361  
 

Net Assets — 100.0%

   $ 16,867,786  

 

(a)

All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2020 was $153,943.

(b)

Non-income producing security.

(c)

The rate shown is the 7-day effective yield as of December 31, 2020.

(d)

This security was purchased with cash collateral held from securities on loan.

(e)

Amount rounds to less than 0.1%.

 

 

38 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill International Fund
Schedule of Investments (Continued)
December 31, 2020

 

ADR — American Depositary Receipt

AG — Aktiengesellschaft

NV — Naamloze Vennootschap

NVDR — Non-Voting Depositary Receipt

pcl— Public Company Limited

plc — Public Limited Company

SA — Societe Anonyme

SAB de CV— Societe Anonima Bursatil de Capital Variable

SE — Societe Europaea

 

See accompanying Notes to Financial Statements.

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Credit — 1.6%

Banking — 0.3%

Goldman Sachs Group, Inc. (3MO LIBOR + 111) (a)

     1.325 %     04/26/22     $ 450,000     $ 451,246  

JPMorgan Chase & Co. (3MO LIBOR + 100) (a)

     1.237 %     01/15/23       400,000       403,307  

JPMorgan Chase & Co. (b)

     0.653 %     09/16/24       350,000       351,829  

Mizuho Financial Group, Inc.

     2.273 %     09/13/21       500,000       506,575  

PNC Bank NA (b)

     1.743 %     02/24/23       420,000       426,479  

Toronto-Dominion Bank (The) (3MO LIBOR + 43) (a)(b)

     0.651 %     06/11/21       1,000,000       1,001,850  

Toronto-Dominion Bank (The) (SOFR + 48) (a)

     0.570 %     01/27/23       375,000       376,404  
                              3,517,690  

Capital Goods — 0.0% (c)

Welbilt, Inc. (b)

     9.500 %     02/15/24       100,000       103,354  
 

Communications — 0.0% (c)

Twenty-First Century Fox, Inc.

     4.030 %     01/25/24       450,000       495,537  
 

Consumer Cyclical — 0.2%

Daimler Finance LLC (b)(d)

     1.750 %     03/10/23       1,900,000       1,950,568  

Ford Motor Credit Co. LLC (b)

     5.584 %     03/18/24       250,000       269,662  

General Motors Financial Co., Inc.

     3.200 %     07/06/21       25,000       25,269  
                              2,245,499  

Electric — 0.1%

DTE Energy Co.

     1.050 %     06/01/25       500,000       505,511  
 

Energy — 0.3%

Diamondback Energy, Inc.

     5.375 %     05/31/25       767,000       798,444  

Energy Transfer Operating LP

     4.500 %     04/15/24       925,000       1,011,509  

Welltec A/S (d)

     9.500 %     12/01/22       200,000       186,000  

WPX Energy, Inc.

     5.250 %     09/15/24       1,000,000       1,089,270  
                              3,085,223  

Insurance — 0.3%

Athene Global Funding (d)

     2.500 %     01/14/25       1,450,000       1,518,647  

Jackson National Life Global Funding (3MO LIBOR + 48) (a)(d)

     0.701 %     06/11/21       950,000       951,871  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 39

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Credit — 1.6% continued

Insurance — 0.3% continued

Jackson National Life Global Funding (d)

     2.100 %     10/25/21     $ 200,000     $ 202,862  

Met Life Global Funding I (d)

     1.950 %     01/13/23       450,000       464,258  

Principal Life Global Funding II (d)

     2.375 %     11/21/21       400,000       407,386  
                              3,545,024  

Technology — 0.1%

Dell International LLC (d)

     4.000 %     07/15/24       500,000       551,227  
 

Transportation — 0.3%

Alaska Airlines, Series 2020-1B, Class A (d)

     4.800 %     08/15/27       500,000       550,657  

American Airlines Pass-Through Trust, Series 2016-2, Class AA

     3.200 %     12/15/29       1,619,000       1,578,541  

U.S. Airways Pass-Through Trust, Series 2012-2, Class B

     6.750 %     12/03/22       125,172       121,692  

United Airlines Pass-Through Trust, Series 2013-1, Class B

     5.375 %     02/15/23       67,297       67,818  

United Airlines Pass-Through Trust, Series 2007-1, Class A

     6.636 %     01/02/24       97,745       99,717  

United Airlines Pass-Through Trust, Series 2020-1, Class A

     5.875 %     10/15/27       1,200,000       1,296,291  
                              3,714,716  
 

Total Corporate Credit

(Cost $17,120,149)

   $ 17,763,781  
 

Securitized — 84.8%

ABS-Other — 5.7%

BXG Receivables, Series 2018-A, Class C (d)

     4.440 %     02/02/34       1,230,038       1,268,183  

Diamond Resorts Owner Trust, Series 2019-1, Class B (d)

     3.530 %     02/20/32       759,670       778,158  

FMC GMSR Issuer Trust, Series 2019-GT2, Class A (d)

     4.230 %     09/25/24       5,000,000       4,904,979  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

ABS-Other — 5.7% continued

FMC GMSR Issuer Trust, Series 2020-GT1, Class A (a)(d)

     4.450 %     01/25/26     $ 3,000,000     $ 2,998,428  

Gold Key Resorts LLC, Series 2014-A, Class A (d)

     3.220 %     03/17/31       75,162       75,880  

Helios Issuer LLC, Series 2020-4, Class A (d)

     2.980 %     06/20/47       1,936,645       2,006,864  

Hero Funding Trust, Series 2016-1R, Class A1 (d)

     4.500 %     09/21/42       45,044       45,095  

Hero Funding Trust, Series 2016-4B, Class B (d)

     4.990 %     09/20/47       758,429       774,084  

Holiday Inn Timeshare Trust, Series 2020-A, Class C (d)

     3.420 %     10/09/39       532,723       550,622  

Holiday Inn Timeshare Trust, Series 2020-A, Class D (d)

     5.500 %     10/09/39       926,474       953,432  

Holiday Inn Timeshare Trust, Series 2020-A, Class E (d)

     6.500 %     10/09/39       1,852,948       1,881,470  

Loanpal Solar Loan Ltd., Series 2021-1GS, Class A (d)

     2.290 %     01/20/48       3,800,000       3,822,192  

Mosaic Solar Loans LLC, Series 2017-2A, Class D (PO) (d)

    0.000 %     06/22/43       1,445,963       1,399,198  

Mosaic Solar Loans LLC, Series 2017-2, Class B (d)

     4.770 %     06/22/43       682,794       742,885  

Mosaic Solar Loans LLC, Series 2020-1, Class A (d)

     2.100 %     04/20/46       2,678,229       2,731,395  

Mosaic Solar Loans LLC, Series 2020-1A, Class B (d)

     3.100 %     04/20/46       2,142,583       2,203,962  

OCWEN Master Advance Receivables Trust, Series 2020-T1, Class E-T1 (d)(e)

     5.419 %     08/15/52       2,000,000       2,004,046  

PNMAC GMSR Issuer Trust, Series 2018-GT1, Class A (1MO LIBOR + 285) (a)(d)

     2.998 %     02/25/23       7,000,000       6,881,663  

 

 

40 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

ABS-Other — 5.7% continued

PNMAC GMSR Issuer Trust, Series 2018-GT2, Class NT (1MO LIBOR + 265) (a)(d)

     2.798 %     08/25/23     $ 8,500,000     $ 8,206,747  

Renew Financial LLC, Series 2017-1, Class B (a)(d)

     5.750 %     09/20/52       769,821       789,506  

SPS Servicer Advance Receivables, Series 2020-T1, Class DT1 (d)

     2.370 %     11/15/52       700,000       702,298  

SPS Servicer Advance Receivables, Series 2020-T2, Class D (d)

     3.160 %     11/15/55       3,000,000       3,026,897  

TES LLC, Series 2017-1, Class A (d)

     4.330 %     10/20/47       4,302,817       4,417,938  

TES LLC, Series 2017-1, Class B (d)

     7.740 %     10/20/47       2,000,000       1,901,663  

Westgate Resorts, Series 2018-1, Class B (d)

     3.580 %     12/20/31       859,841       855,621  

Westgate Resorts, Series 2018-1, Class C (d)

     4.100 %     12/20/31       2,051,894       2,031,706  

Westgate Resorts, Series 2020-1, Class B (d)

     3.963 %     03/20/34       1,407,483       1,454,402  

Westgate Resorts, Series 2020-1A, Class C (d)

     6.213 %     03/20/34       5,138,429       5,381,786  
                              64,791,100  

Agency MBS CMO — 1.5%

FHLMC, Series 2979, Class FP (1MO LIBOR + 45) (a)

     0.609 %     05/15/35       416,816       419,537  

FHLMC, Series 3121, Class FM (1MO LIBOR + 40) (a)

     0.559 %     03/15/36       440,479       442,973  

FHLMC, Series 4613, Class AF (1MO LIBOR + 110) (a)

     1.259 %     11/15/37       783,167       791,491  

FHLMC, Series 4085, Class FB (1MO LIBOR+40) (a)

     0.559 %     01/15/39       263,249       263,721  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Agency MBS CMO — 1.5% continued

FHLMC, Series 4095, Class FB (1MO LIBOR +40) (a)

     0.559 %     04/15/39     $ 112,025     $ 112,233  

FHLMC, Series 3925, Class FL (1MO LIBOR + 45) (a)

     0.609 %     01/15/41       256,932       257,820  

FHLMC, Series 3895, Class BF (1MO LIBOR + 50) (a)

     0.659 %     07/15/41       350,987       354,046  

FHLMC, Series 4314, Class PF (1MO LIBOR + 40) (a)

     0.559 %     07/15/43       243,420       244,060  

FHLMC, Series 4972, Class ZC

     2.500 %     05/25/50       966,751       964,204  

FNMA, Series 2006-56, Class DC (1MO LIBOR + 65) (a)

     0.798 %     07/25/36       863,411       867,216  

FNMA, Series 2006-108, Class FD (1MO LIBOR + 38) (a)

     0.528 %     11/25/36       351,420       354,686  

FNMA, Series 2010-136, Class FA (1MO LIBOR + 50) (a)

     0.648 %     12/25/40       350,222       353,797  

FNMA, Series 2011-86, Class KF (1MO LIBOR +55) (a)

     0.698 %     09/25/41       534,416       542,758  

FNMA, Series 2012-9, Class FC (1MO LIBOR + 40) (a)

     0.548 %     02/25/42       243,323       244,992  

FNMA, Series 2012-33, Class F (1MO LIBOR + 52) (a)

     0.668 %     04/25/42       208,124       210,027  

FNMA, Series 2013-34, Class GP

     3.000 %     05/25/42       7,153,116       7,326,066  

GNMA, Series 2007-18, Class FD (1MO LIBOR + 30) (a)

     0.452 %     04/20/37       520,978       520,557  

GNMA, Series 2008-16, Class FC (1MO LIBOR + 50) (a)

     0.652 %     02/20/38       424,555       426,644  

GNMA, Series 2012-149, Class GF (1MO LIBOR + 30) (a)

     0.452 %     12/20/42       224,313       224,310  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 41

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Agency MBS CMO — 1.5% continued

GNMA, Series 2012-H29, Class SA (1MO LIBOR + 51.5) (a)

     0.655 %     10/20/62     $ 642,067     $ 644,046  

GNMA, Series 2012-H23, Class SA (1MO LIBOR + 53) (a)

     0.670 %     10/20/62       582,161       583,830  

GNMA, Series 2017-H18, Class FE (1MO LIBOR + 20) (a)

     0.340 %     06/20/63       7,236       7,234  

GNMA, Series 2016-H11, Class FD (12MO LIBOR + 40) (a)

     1.402 %     05/20/66       116,648       117,236  

GNMA, Series 2017-H11, Class FP (1MO LIBOR + 22) (a)

     0.360 %     04/20/67       369,123       368,784  
                              16,642,268  

Agency MBS CMO Derivatives — 0.5%

FHLMC, Series 3946, Class SB (IO) (-1*1MO LIBOR + 675) (a)

     6.591 %     10/15/26       202,629       23,079  

FHLMC, Series 237, Class S14 (IO) (-1*1MO LIBOR + 660) (a)

     6.441 %     05/15/36       809,808       164,056  

FHLMC, Series 4693, Class EI (IO)

     3.500 %     08/15/42       2,455,109       53,095  

FNMA, Series 2011-75, Class MI (IO)

     3.500 %     08/25/26       389,969       16,798  

FNMA, Series 2012-148, Class IA (IO)

     4.000 %     01/25/28       3,354,026       275,947  

FNMA, Series 301, Class I (PO)

     0.000 %     04/25/29       307,457       295,314  

FNMA, Series 348, Class II (IO)

     6.000 %     01/25/34       752,947       162,973  

FNMA, Series 2014-19, Class MS (IO) (-1*1MO LIBOR + 660) (a)

     6.452 %     11/25/39       9,182,928       191,443  

FNMA, Series 2013-120, Class JI (IO)

     4.000 %     02/25/40       6,841,457       253,286  

FNMA, Series 2010-44, Class CS (IO) (-1*1MO LIBOR + 655) (a)

     6.402 %     05/25/40       682,515       113,347  

FNMA, Series 2011-14, Class PI (IO)

     5.000 %     06/25/40       256,675       12,047  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Agency MBS CMO Derivatives — 0.5% continued

FNMA, Series 3998, Class NS (IO) (-1*1MO LIBOR + 660) (a)

     6.441 %     09/15/40     $ 4,985,510     $ 342,925  

FNMA, Series 2014-45, Class IO (IO)

     4.000 %     08/25/44       762,515       79,021  

GNMA, Series 2013-124, Class ST (-1.333*1MO LIBOR + 880) (a)

     8.598 %     08/20/39       126,855       130,794  

GNMA, Series 2011-145, Class QI (IO)

     5.000 %     11/16/41       1,190,033       180,522  

GNMA, Series 2015-16, Class IL (IO)

     4.000 %     03/20/42       5,005,309       307,675  

GNMA, Series 2014-141, Class IE (IO)

     4.000 %     08/20/43       2,653,893       96,664  

GNMA, Series 2010-H01, Class CI (IO) (a)

     2.014 %     01/20/60       1,037,190       101,486  

GNMA, Series 2012-H02, Class AI (IO) (a)

     1.911 %     01/20/62       1,847,494       76,769  

GNMA, Series 2013-H13, Class T1 (IO) (a)

     0.471 %     05/20/63       32,197,026       483,554  

GNMA, Series 2016-H20, Class GI (IO) (a)

     0.372 %     08/20/66       31,543,035       325,288  

GNMA, Series 2017-H11, Class PI (IO) (a)

     3.861 %     04/20/67       1,996,234       40,060  

GNMA, Series 2017-H22, Class ID (IO) (a)

     3.854 %     11/20/67       391,433       24,173  

GNMA, Series 2018-H08, Class NI (IO) (a)

     0.822 %     05/20/68       17,447,032       430,844  

GNMA, Series 2019-H04, Class IO (IO) (a)

     1.468 %     03/20/69       27,636,335       1,050,206  
                              5,231,366  

Agency MBS Passthrough — 0.2%

FHLMC, Pool #FG G60257

     5.500 %     06/01/41       677,852       797,086  

FHLMC, Pool #RE-6020

     3.500 %     12/01/49       904,994       934,998  
                              1,732,084  

 

 

42 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Auto Loan — 13.0%

ACC Trust, Series 2019-1, Class A (d)

     3.750 %     05/20/22     $ 234,802     $ 235,821  

ACC Trust, Series 2019-2, Class A (d)

     2.820 %     02/21/23       1,309,404       1,315,450  

American Credit Acceptance Receivables Trust, Series 2018-3, Class F (d)

     6.440 %     06/12/25       7,690,000       8,047,979  

American Credit Acceptance Receivables Trust, Series 2020-3, Class D (d)

     2.400 %     06/15/26       4,200,000       4,342,140  

American Credit Acceptance Receivables Trust, Series 2020-3, Class F (d)

     5.940 %     06/14/27       6,750,000       7,072,256  

American Credit Acceptance Receivables Trust, Series 2020-4, Class F (d)

     5.220 %     08/13/27       2,800,000       2,850,291  

Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A (d)

     2.990 %     07/15/24       658,006       666,280  

Avid Automobile Receivables Trust, Series 2019-1, Class E (d)

     6.760 %     05/17/27       2,500,000       2,501,835  

Carvana Auto Receivable Trust, Series 2020-P1, Class C

     1.320 %     11/09/26       1,450,000       1,453,126  

Carvana Auto Receivable Trust, Series 2020-P1, Class D

     1.820 %     09/08/27       1,100,000       1,109,333  

Chase Credit Linked Notes, Series 2020-1, Class D (d)

     1.886 %     01/25/28       2,151,250       2,165,337  

Chase Credit Linked Notes, Series 2020-1, Class E (d)

     3.715 %     01/25/28       1,103,352       1,109,514  

Chase Credit Linked Notes, Series 2020-2, Class C (d)

     1.140 %     02/25/28       1,258,000       1,259,737  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Auto Loan — 13.0% continued

CIG Auto Receivables Trust, Series 2020-1, Class D (d)

     2.350 %     01/12/26     $ 2,400,000     $ 2,416,928  

CPS Auto Receivables Trust, Series 2018-C, Class D (d)

     4.400 %     06/17/24       850,000       880,228  

CPS Auto Receivables Trust, Series 2020-B, Class D (d)

     4.750 %     04/15/26       5,000,000       5,401,315  

CPS Auto Receivables Trust, Series 2020-C, Class D (d)

     2.410 %     11/16/26       2,600,000       2,685,463  

Credit Acceptance Auto Loan Trust, Series 2020-2, Class C (d)

     2.730 %     11/15/29       3,000,000       3,078,665  

Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C (d)

     2.280 %     02/15/30       2,500,000       2,538,717  

Drive Auto Receivables Trust, Series 2020-1, Class D

     2.700 %     05/17/27       4,500,000       4,665,874  

Drive Auto Receivables Trust, Series 2020-2, Class D

     3.050 %     05/15/28       8,000,000       8,440,217  

DT Auto Owner Trust, Series 2020-2, Class E (d)

     4.730 %     03/16/26       500,000       545,153  

DT Auto Owner Trust, Series 2020-2, Class E (d)

     7.170 %     06/15/27       1,250,000       1,394,441  

Exeter Automobile Receivables Trust, Series 2020-2, Class D (d)

     4.730 %     04/15/26       500,000       543,175  

Exeter Automobile Receivables Trust, Series 2020-2, Class E (d)

     7.190 %     09/15/27       2,000,000       2,230,599  

FHF Trust, Series 2020-1, Class A (d)

     2.590 %     12/15/23       2,788,040       2,806,825  

FHF Trust, Series 2020-1, Class B (d)

     3.100 %     09/15/25       4,500,000       4,624,965  

Foursight Capital Automobile Receivables, Series 2018-2, Class E (d)

     5.500 %     10/15/24       6,000,000       6,350,964  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 43

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Auto Loan — 13.0% continued

Foursight Capital Automobile Receivables, Series 2020-1, Class C (d)

     2.410 %     08/15/25     $ 4,400,000     $ 4,476,569  

Foursight Capital Automobile Receivables, Series 2020-1, Class E (d)

     3.490 %     04/15/26       1,300,000       1,309,858  

GLS Auto Receivables Trust, Series 2020-4A, Class D (d)

     1.640 %     10/15/26       2,000,000       2,035,518  

Hertz Fleet Lease Funding LP, Series 2017-1, Class D (d)

     3.690 %     04/10/31       1,500,000       1,499,591  

Hertz Fleet Lease Funding LP, Series 2017-1, Class E (d)

     5.800 %     04/10/31       8,000,000       8,052,953  

Hertz Fleet Lease Funding LP, Series 2018-1, Class D (d)

     4.170 %     05/10/32       700,000       704,482  

Hertz Fleet Lease Funding LP, Series 2018-1, Class E (d)

     5.550 %     05/10/32       4,888,000       4,927,052  

Hertz Fleet Lease Funding LP, Series 2019-1, Class E (d)

     4.620 %     01/10/33       3,400,000       3,464,858  

Navistar Financial Dealer Note Master Trust, Series 2019-1, Class D (1MO LIBOR + 145) (a)(d)

     1.598 %     05/28/24       1,200,000       1,200,895  

OSCAR US Funding Trust, Series 2019-11, Class A-4 (d)

     2.680 %     09/10/26       5,270,000       5,525,428  

Santander Consumer Auto Receivables, Series 2020-B, Class D (d)

     2.140 %     12/15/26       2,000,000       2,031,121  

Skopos Auto Receivables Trust, Series 2018-1, Class C (d)

     4.770 %     04/17/23       3,736,355       3,795,854  

Skopos Auto Receivables Trust, Series 2019-1, Class B (d)

     3.430 %     09/15/23       6,000,000       6,071,662  

Tesla Auto Lease Trust, Series 2018-B, Class D (d)

     5.290 %     11/22/21       5,250,000       5,375,439  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Auto Loan — 13.0% continued

Tesla Auto Lease Trust, Series 2020-A, Class D (d)

     2.330 %     02/20/24     $ 2,500,000     $ 2,559,978  

Veros Auto Receivables Trust, Series 2020-1, Class A (d)

     1.670 %     09/15/23       2,233,872       2,240,625  

Veros Auto Receivables Trust, Series 2020-1, Class B (d)

     2.190 %     06/16/25       2,500,000       2,520,907  

Westlake Auto Receivables Trust, Series 2019-3, Class D (d)

     2.720 %     11/15/24       1,750,000       1,797,227  

Westlake Auto Receivables Trust, Series 2020-2, Class D (d)

     2.760 %     01/15/26       5,000,000       5,170,767  
                              147,493,412  

Conduit — 0.0% (c)

WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D (a)(d)

     5.631 %     02/15/44       175,653       175,168  
 

CRE/CLO — 8.4%

A10 Securitization, Series 2020-C, Class B (d)(e)

     2.617 %     08/15/40       2,100,000       2,099,626  

A10 Securitization, Series 2020-C, Class C (d)(e)

     3.363 %     08/15/40       2,800,000       2,793,188  

A10 Securitization, Series 2020-C, Class D (d)(e)

     4.129 %     08/15/40       1,950,000       1,946,880  

A10 Securitization, Series 2020-C, Class E (d)(e)

     5.465 %     08/15/40       1,050,000       1,047,278  

A10 Securitization, Series 2020-C, Class A (d)(e)

     2.021 %     09/15/50       1,303,670       1,303,584  

Bancorp Commercial Mortgage Trust (The), Series 2017-CRE2, Class C (1MO LIBOR + 235) (a)(d)

     2.491 %     08/15/32       4,750,000       4,606,923  

 

 

44 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

CRE/CLO — 8.4% continued

Bancorp Commercial Mortgage Trust (The), Series 2018-CR3, Class D (1MO LIBOR + 270) (a)(d)

     2.859 %     03/16/35     $ 4,500,000     $ 4,359,600  

Bancorp Commercial Mortgage Trust (The), Series 2019-CRE5, Class A (1MO LIBOR + 100) (a)(d)

     1.159 %     03/17/36       858,124       853,710  

BXMT Ltd, Series 2020-FL2, Class C (1MO LIBOR + 165) (a)(d)

     1.793 %     02/18/38       1,525,000       1,502,206  

BXMT Ltd., Series 2017-FL1, Class C (1MO LIBOR + 195) (a)(d)

     2.103 %     06/15/35       2,100,000       2,088,108  

BXMT Ltd., Series 2017-FL1, Class D (1MO LIBOR + 275) (a)

     2.852 %     06/15/35       3,300,000       3,291,813  

BXMT Ltd., Series 2020-FL2, Class A (1MO LIBOR + 90) (a)(d)

     1.043 %     02/16/37       7,500,000       7,448,775  

BXMT Ltd., Series 2020-FL2, Class D (1MO LIBOR + 195) (a)(d)

     2.094 %     02/16/37       4,225,000       4,151,308  

BXMT Ltd., Series 2020-FL2, Class E (1MO LIBOR + 205) (a)(d)

     2.194 %     02/16/37       2,500,000       2,400,317  

BXMT Ltd., Series 2020-FL2, Class B (1MO LIBOR + 140) (a)(d)

     1.552 %     02/18/38       3,650,000       3,599,999  

Exantas Capital Corp., Series 2020-RS09, Class D (1MO LIBOR + 550) (a)(d)(e)

     5.653 %     04/17/37       7,284,823       7,338,338  

FHLMC, Series 2020-FL3, Class B (1MO LIBOR + 375) (a)(d)

     3.891 %     07/15/35       1,000,000       1,013,084  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

CRE/CLO — 8.4% continued

FHLMC, Series 2020-FL3, Class C (1MO LIBOR + 450) (a)(d)

     4.641 %     07/15/35     $ 1,000,000     $ 1,019,317  

FHLMC, Series 2020-FL3, Class A-S (1MO LIBOR + 285) (a)(d)

     2.991 %     07/16/35       1,500,000       1,515,887  

KKR Real Estate Finance Trust, Inc., Series 2018-FL1, Class A (1MO LIBOR + 110) (a)(d)

     1.253 %     06/15/36       1,925,000       1,921,460  

Multi Family Housing Mortgage Loan, Series 2019-FL2, Class A (1MO LIBOR + 113) (a)(d)

     1.280 %     11/27/34       6,025,000       5,968,769  

Multi Family Housing Mortgage Loan, Series 2019-FL2, Class C (1MO LIBOR + 200) (a)(d)

     2.150 %     12/25/34       4,400,000       4,241,015  

Multi Family Housing Mortgage Loan, Series 2020-FL4, Class A (1MO LIBOR +170) (a)(d)

     1.859 %     11/15/35       4,000,000       4,003,440  

PFP Ltd., Series 2019-5, Class B (1MO LIBOR + 165) (a)(d)

     1.803 %     04/16/36       2,150,000       2,096,480  

ReadyCap Commercial Mortgage Trust, Series 2020-FL4, Class A (1MO LIBOR + 215) (a)(d)

     2.300 %     02/25/35       6,649,930       6,686,398  

ReadyCap Commercial Mortgage Trust, Series 2020-FL4, Class B (1MO LIBOR + 385) (a)(d)

     4.000 %     02/25/35       4,000,000       4,049,028  

ReadyCap Commercial Mortgage Trust, Series 2020-FL4, Class C (1MO LIBOR + 475) (a)(d)

     4.900 %     02/25/35       4,000,000       4,048,658  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 45

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

CRE/CLO — 8.4% continued

ReadyCap Commercial Mortgage Trust, Series 2018-FL2, Class D (1MO LIBOR + 270) (a)(d)(e)

     2.848 %     06/25/35     $ 6,600,000     $ 6,418,038  

VMC Finance LLC, Series 2018-FL2, Class A (1MO LIBOR + 92) (a)(d)

     1.073 %     10/15/35       1,211,036       1,205,323  
                              95,018,550  

Credit Cards — 3.6%

Continental Credit Card LLC, Series 2017-1, Class B (d)

     6.410 %     01/15/25       3,935,711       4,096,275  

Continental Credit Card LLC, Series 2019-1, Class A (d)

     3.830 %     08/15/26       7,650,000       7,877,626  

Continental Credit Card LLC, Series 2019-1, Class B (d)

     4.950 %     08/15/26       7,450,000       7,720,848  

Continental Credit Card LLC, Series 2019-1, Class C (d)

     6.160 %     08/15/26       3,000,000       3,110,309  

Continental Credit Card LLC, Series 2020-A, Class A (d)

     2.240 %     12/15/28       3,600,000       3,612,067  

Continental Credit Card LLC, Series 2020-A, Class B (d)

     3.660 %     12/15/28       3,100,000       3,112,648  

Genesis Private Label Amortization Trust, Series 2020-1, Class C (d)

     4.190 %     07/20/30       1,680,000       1,690,809  

Genesis Private Label Amortization Trust, Series 2020-1, Class E (d)

     9.760 %     07/20/30       2,625,000       2,650,927  

Genesis Sales Finance Master Trust, Series 2019-A, Class A (d)

     4.680 %     08/20/23       1,200,000       1,205,421  

Genesis Sales Finance Master Trust, Series 2019-A, Class C (d)

     6.880 %     08/20/23       1,700,000       1,709,824  

Genesis Sales Finance Master Trust, Series 2019-A, Class D (d)

     9.540 %     08/20/23       1,000,000       1,007,559  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Credit Cards — 3.6% continued

Genesis Sales Finance Master Trust, Series 2020-AA, Class B (d)

     2.240 %     09/22/25     $ 2,500,000     $ 2,519,772  

Genesis Sales Finance Master Trust, Series 2020-AA, Class C (d)

     2.990 %     09/22/25       1,000,000       998,952  
                              41,313,037  

Equipment — 3.8%

Access Point Financial, Inc., Series 2017-A, Class B (d)(e)

     3.970 %     04/15/29       439,635       441,786  

Access Point Financial, Inc., Series 2017-A, Class C (d)(e)

     5.820 %     04/15/29       4,750,000       4,721,001  

Access Point Financial, Inc., Series 2017-A, Class D (d)(e)

     6.000 %     04/15/29       5,000,000       4,949,890  

Business Jet Securities LLC, Series 2018-2, Class A (d)

     4.447 %     06/15/33       3,149,806       3,206,578  

Business Jet Securities LLC, Series 2018-2, Class B (d)

     5.437 %     06/15/33       4,367,364       4,440,168  

Business Jet Securities LLC, Series 2019-1, Class B (d)

     5.193 %     07/15/34       2,690,360       2,705,933  

Business Jet Securities LLC, Series 2019-1, Class C (d)

     6.948 %     07/15/34       4,993,380       5,028,197  

Business Jet Securities LLC, Series 2020-1, Class B (d)

     3.967 %     11/15/35       1,319,986       1,326,335  

Business Jet Securities LLC, Series 2020-1, Class C (d)

     7.142 %     11/15/35       2,890,359       2,924,857  

CCG Receivables Trust, Series 2018-2, Class C (d)

     3.870 %     12/15/25       2,395,000       2,466,959  

Octane Receivables Trust, Series 2019-1, Class A (d)

     3.160 %     09/20/23       2,091,955       2,118,183  

 

 

46 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Equipment — 3.8% continued

Octane Receivables Trust, Series 2020-1, Class A (d)

     1.710 %     02/20/25     $ 5,760,469     $ 5,775,203  

Octane Receivables Trust, Series 2020-1, Class C (d)

     2.890 %     03/20/26       2,600,000       2,631,217  
                              42,736,307  

HECM — 1.4%

Cascade Funding Mortgage Trust, Series 2018-RM1, Class A1 (d)

     4.580 %     06/25/48       3,407,958       3,418,615  

Cascade Funding Mortgage Trust, Series 2018-RM1, Class A2 (d)

     5.875 %     06/25/48       3,000,000       2,984,264  

Finance of America HECM, Series 2020-HB2, Class A (d)

     1.710 %     07/25/30       5,446,365       5,454,546  

Nationstar HECM Loan Trust, Series 2019-1A, Class A (d)

     2.651 %     06/25/29       458,032       458,739  

RMF Buyout Issuance Trust, Series 2020-1, Class M3 (d)

     2.964 %     02/25/30       1,469,000       1,469,717  

RMF Buyout Issuance Trust, Series 2020-2, Class M2 (d)

     3.091 %     06/25/30       1,500,000       1,506,657  

RMF Buyout Issuance Trust, Series 2020-2, Class M3 (d)

     4.571 %     06/25/30       800,000       803,368  
                              16,095,906  

Hospitality — 4.1%

Ashford Hospitality Trust, Series 2018-KEYS, Class A (1MO LIBOR + 100) (a)(d)

     1.141 %     06/15/35       5,000,000       4,847,382  

BHMS Mortgage Trust, Series 2018-ATLS, Class A (1MO LIBOR + 125) (a)(d)

     1.391 %     07/16/35       4,400,000       4,278,663  

BX Trust, Series 2018-GW, Class A (1MO LIBOR + 80) (a)(d)

     0.941 %     05/15/35       5,389,000       5,297,753  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Hospitality — 4.1% continued

BX Trust, Series 2018-GW, Class E (1MO LIBOR + 197) (a)(d)

     2.111 %     05/15/37     $ 500,000     $ 474,331  

BX Trust, Series 2019-OC11, Class C (d)

     3.856 %     12/11/41       2,200,000       2,332,183  

Champlain Housing Mortgage Trust, Series 2017-COSMO, Class B (1MO LIBOR + 140) (a)(d)

     1.541 %     11/17/36       3,600,000       3,536,799  

Cosmopolitan Hotel Trust, Series 2017-COSMO, Class D (1MO LIBOR + 225) (a)(d)

     2.391 %     11/15/36       4,900,000       4,740,276  

Cosmopolitan Hotel Trust, Series 2017-COSMO, Class A (1MO LIBOR + 93) (a)(d)

     1.071 %     11/17/36       4,000,000       3,955,035  

Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class A (1MO LIBOR + 92) (a)(d)

     1.079 %     07/16/35       2,823,081       2,766,455  

Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class B (1MO LIBOR + 125) (a)(d)

     1.409 %     07/16/35       7,228,062       7,056,122  

Hawaii Hotel Trust, Series 2019-MAUI, Class A (1MO LIBOR +115) (a)(d)

     1.309 %     05/17/38       2,245,000       2,225,294  

Motel 6 Trust, Series 2017-MTL6, Class D (1MO LIBOR + 215) (a)(d)

     2.291 %     08/15/34       4,975,177       4,919,253  
                              46,429,546  

Industrial — 3.2%

BX Commercial Mortgage Trust, Series 2020-FOX, Class D (1MO LIBOR + 210) (a)(d)

     2.259 %     11/15/32       3,000,000       3,008,458  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 47

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Industrial — 3.2% continued

BX Commercial Mortgage Trust, Series 2018-IND, Class A (1MO LIBOR + 75) (a)(d)

     0.891 %     11/15/35     $ 591,669     $ 591,484  

BX Commercial Mortgage Trust, Series 2018-IND, Class F (1MO LIBOR + 180) (a)(d)

     1.941 %     11/15/35       1,778,000       1,771,316  

BX Commercial Mortgage Trust, Series 2019-XL, Class B (1MO LIBOR + 108) (a)(d)

     1.221 %     10/15/36       5,581,871       5,581,869  

BX Commercial Mortgage Trust, Series 2020-BXLP, Class D (1MO LIBOR + 125) (a)(d)

     1.391 %     12/15/36       3,760,558       3,718,316  

BX Commercial Mortgage Trust, Series 2020-BXLP, Class E (1MO LIBOR + 160) (a)(d)

     1.741 %     12/15/36       4,296,068       4,209,913  

Cold Storage Trust, Series 2020-ICE5, Class F (1MO LIBOR + 349.25) (a)(d)

     3.633 %     11/15/37       5,000,000       5,005,971  

Cold Storage Trust, Series 2020-ICE5, Class E (a)(d)

     2.906 %     11/16/37       2,500,000       2,493,730  

Credit Suisse First Boston, Series 2020-UNFI, Class A (a)(d)

     4.168 %     12/06/22       10,400,000       10,400,517  
                              36,781,574  

Laboratory — 0.5%

CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class B (1MO LIBOR + 97) (a)(d)

     1.111 %     07/15/32       4,019,591       4,018,374  

KNDL Mortgage Trust, Series 2019-KNSQ, Class D (1MO LIBOR + 135) (a)(d)

     1.509 %     05/15/36       1,250,000       1,246,897  
                              5,265,271  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Manufactured Housing — 0.1%

Cascade Funding Mortgage Trust, Series 2019-MH1, Class M (d)

     5.985 %     11/25/44     $ 1,100,000     $ 1,146,259  
 

Mixed-Use — 0.4%

20 Times Square Trust, Series 2018-20TS, Class B (a)(d)

     3.203 %     05/17/35       4,400,000       4,384,201  
 

Multifamily — 4.4%

Freedom Mortgage Trust, Series 2019-KF61, Class B (a)(d)

     2.353 %     03/25/29       4,594,936       4,491,829  

FREMF Mortgage Trust, Series 2018-KF44, Class B (1MO LIBOR +215) (a)(d)

     2.303 %     02/25/25       3,722,248       3,673,524  

FREMF Mortgage Trust, Series 2018-KF43, Class B (1MO LIBOR +215) (a)(d)

     2.303 %     01/25/28       4,471,083       4,365,236  

FREMF Mortgage Trust, Series 2018-KF50, Class B (1MO LIBOR + 190) (a)(d)

     2.040 %     07/25/28       2,603,279       2,510,544  

FREMF Mortgage Trust, Series 2019-KF57, Class B (2MO LIBOR + 225) (a)(d)

     2.403 %     01/25/29       3,511,820       3,401,399  

Multi Family Connecticut Avenue, Series 2019-01, Class M-7 (1MO LIBOR + 170) (a)(d)

     1.848 %     10/15/49       9,348,409       9,087,141  

Multi Family Connecticut Avenue, Series 2019-01, Class B-10 (1MO LIBOR + 550) (a)(d)

     5.648 %     10/15/49       3,000,000       2,581,819  

Multi Family Connecticut Avenue, Series 2020-01, Class M-7 (1MO LIBOR + 195) (a)(d)

     2.098 %     03/25/50       4,090,324       4,034,149  

 

 

48 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Multifamily — 4.4% continued

Multi Family Connecticut Avenue, Series 2020-01, Class M-10 (1MO LIBOR + 375) (a)(d)

     3.898 %     03/25/50     $ 15,000,000     $ 14,579,478  

Multi Family Connecticut Avenue, Series 2020-01, Class CE (1MO LIBOR + 750) (a)(d)

     7.648 %     03/25/50       1,500,000       1,320,507  
                              50,045,626  

Non-Performing Loan — 1.0%

Volt LXXX LLC, Series 2019-NP6, Class A-1A (a)(d)

     3.228 %     10/25/49       1,733,529       1,735,973  

Volt LXXXIX LLC, Series 2020-NPL5, Class A-1A (a)(d)

     2.981 %     03/25/50       9,383,617       9,392,360  
                              11,128,333  

Non-QM — 0.0% (c)

Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A3 (a)

     2.228 %     08/25/34       6,684       6,689  
 

Residential Transition Loan — 1.4%

Antler Mortgage Trust, Series 2019-RTL1, Class A1 (d)

     4.458 %     06/27/22       3,587,623       3,585,764  

Antler Mortgage Trust, Series 2018-RTL1, Class A2 (d)

     4.703 %     07/25/22       1,486,140       1,473,133  

Antler Mortgage Trust, Series 2019-RTL1, Class A2 (d)

     4.948 %     08/25/22       1,900,000       1,880,010  

Antler Mortgage Trust, Series 2018-RTL1, Class M (d)

     7.385 %     05/25/23       2,000,000       1,994,894  

LHFC Depositor LLC, Series 2019-RLT1, Class A2 (d)

     4.948 %     10/25/23       4,544,000       4,543,602  

LHFC Depositor LLC, Series 2019-RLT1, Class M (d)

     6.899 %     10/25/23       2,750,000       2,668,754  
                              16,146,157  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Retail — 1.7%

BX Trust, Series 2018-EXCL, Class A (1MO LIBOR + 1088) (a)(d)

     1.229 %     09/15/37     $ 5,353,585     $ 4,942,198  

Citigroup Commercial Mortgage, Series 2017-MDRB, Class D (1MO LIBOR + 325) (a)(d)

     3.391 %     07/15/30       9,650,000       9,112,746  

Citigroup Commercial Mortgage, Series 2017-MDRB, Class A (1MO LIBOR + 110) (a)(d)

     1.241 %     07/15/30       592,040       569,098  

Credit Suisse First Boston, Series 2018-SITE, Class C (a)(d)

     4.941 %     04/17/36       4,575,000       4,302,478  
                              18,926,520  

Single Family Rental — 3.5%

American Homes 4 Rent, Series 2015-SFR2, Class D (d)

     5.036 %     10/18/52       1,171,000       1,294,350  

AMSR Trust, Series 2020-SFR2, Class G (d)

     4.000 %     07/17/37       500,000       502,390  

Colony American Finance Ltd., Series 2020-1, Class A1 (d)

     1.832 %     03/17/50       8,852,362       8,980,456  

Colony American Finance Ltd., Series 2020-4, Class B (d)

     1.707 %     12/15/52       4,750,000       4,771,124  

Invitation Homes Trust, Series 2017-SFR2, Class D (1MO LIBOR + 180) (a)(d)

     1.953 %     12/17/36       2,995,604       3,002,756  

Invitation Homes Trust, Series 2017-SFR2, Class A (1MO LIBOR + 85) (a)(d)

     1.003 %     12/19/36       899,561       897,367  

Invitation Homes Trust, Series 2018-SFR1, Class B (1MO LIBOR + 95) (a)(d)

     1.086 %     03/17/37       6,700,000       6,644,546  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 49

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Single Family Rental — 3.5% continued

Invitation Homes Trust, Series 2018-SFR3, Class A (1MO LIBOR + 100) (a)(d)

     1.153 %     07/17/37     $ 11,705,697     $ 11,705,695  

Invitation Homes Trust, Series 2018-SFR3, Class E (1MO LIBOR + 200) (a)(d)

     2.153 %     07/17/37       2,086,019       2,082,728  
                              39,881,412  

Small Business — 5.6%

Credibly Asset Securitization LLC, Series 2018-1, Class A (d)

     4.800 %     11/15/23       14,750,000       14,766,460  

Kabbage Funding LLC, Series 2019-1, Class C (d)

     4.611 %     03/15/24       2,058,751       2,058,543  

Kabbage Funding LLC, Series 2019-1, Class D (d)

     5.688 %     03/15/24       3,300,000       3,107,036  

Newtek Small Business Loan Trust, Series 2018-1, Class A (1MO LIBOR + 170) (a)(d)

     1.850 %     02/25/44       1,339,678       1,303,233  

Newtek Small Business Loan Trust, Series 2018-1, Class B (1MO LIBOR + 300) (a)(d)

     3.150 %     02/25/44       2,947,291       2,690,736  

Newtek Small Business Loan Trust, Series 2019-01, Class A (1MO LIBOR + 165) (a)(d)

     2.350 %     12/25/44       3,300,592       3,241,025  

SFS Asset Securitization LLC, Series 2019-1, Class A (d)

     4.238 %     06/10/25       7,400,000       7,397,861  

SFS Asset Securitization LLC, Series 2019-1, Class B (d)

     5.023 %     06/10/25       2,000,000       1,913,365  

SFS Asset Securitization LLC, Series 2019-1, Class C (d)

     6.390 %     06/10/25       746,000       682,389  

Small Business Lending Trust, Series 2019-A, Class A (d)

     2.850 %     07/15/26       1,068,776       1,065,864  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Small Business — 5.6% continued

Small Business Lending Trust, Series 2019-A, Class B (d)

     3.420 %     07/15/26     $ 1,902,000     $ 1,864,073  

Small Business Lending Trust, Series 2019-A, Class C (d)

     4.310 %     07/15/26       4,700,000       4,422,426  

Small Business Lending Trust, Series 2019-A, Class D (d)

     6.300 %     07/15/26       5,000,000       4,514,650  

Small Business Lending Trust, Series 2020-A, Class A (d)

     2.620 %     12/15/26       3,272,863       3,255,161  

Small Business Lending Trust, Series 2020-A, Class B (d)

     3.200 %     12/15/26       2,000,000       1,925,845  

Small Business Lending Trust, Series 2020-A, Class C (d)

     5.010 %     12/15/26       10,800,000       9,477,571  
                              63,686,238  

Specialty — 0.4%

BTH Mortgage-Backed Securities Trust, Series 2018-13, Class A (1MO LIBOR + 250) (a)

     2.650 %     08/01/21       4,000,000       3,984,295  
 

Student Loan — 1.0%

College Ave Student Loans, Series 2018-A, Class B (d)

     4.750 %     12/26/47       1,900,000       2,006,825  

College Ave Student Loans, Series 2018-A, Class C (d)

     5.500 %     12/26/47       900,000       947,429  

College Ave Student Loans, Series 2019-A, Class C (d)

     4.460 %     12/28/48       4,000,000       4,169,087  

CommonBond Student Loan Trust, Series 2017-BGS, Class C (d)

     4.440 %     09/25/42       138,595       144,949  

Earnest Student Loan Program LLC, Series 2016-C, Class A-2 (d)

     2.680 %     07/25/35       1,654,341       1,661,387  

 

 

50 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Student Loan — 1.0% continued

Earnest Student Loan Program LLC, Series 2016-C, Class A1 (1MO LIBOR + 185) (a)(d)

     2.000 %     10/27/36     $ 481,333     $ 482,561  

Earnest Student Loan Program LLC, Series 2016-D, Class R (d)(e)

     0.000 %     01/25/41       5,000       70,000  

Laurel Road Prime Student Loan, Series 2019-A, Class BFX (d)

     3.000 %     10/25/48       1,842,378       1,880,462  
                              11,362,700  

Unsecured Consumer — 19.4%

Avant Loans Funding Trust, Series 2020-REV1, Class A (d)

     2.170 %     05/15/29       4,800,000       4,819,274  

Consumer Lending Receivables Trust, Series 2019-A, Class CTF (PO) (d)(e)

     0.000 %     04/15/26       150,000       2,147,777  

Consumer Lending Receivables Trust, Series 2019-A, Class A (d)

     3.520 %     04/15/26       275,307       276,468  

Consumer Loan Bond Club Trust, Series 2018-P3, Class C (d)

     5.540 %     01/15/26       3,000,000       3,007,567  

Consumer Loan Underlying Bond Credit Trust, Series 2019-P1, Class C (d)

     4.660 %     07/15/26       10,000,000       9,888,087  

Consumer Loan Underlying Bond Credit Trust, Series 2019-P2, Class C (d)

     4.410 %     10/15/26       5,573,000       5,586,494  

Consumer Loan Underlying Bond Credit Trust, Series 2019-HP1, Class B (d)

     3.480 %     12/15/26       5,000,000       5,066,034  

Consumer Loan Underlying Bond Credit Trust, Series 2020-P1, Class C (d)

     4.610 %     03/15/28       1,225,000       1,197,023  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Unsecured Consumer — 19.4% continued

Freedom Financial, Series 2018-1, Class B (d)

     4.560 %     07/18/24     $ 4,564,476     $ 4,570,750  

Freedom Financial, Series 2018-2, Class A (d)

     3.990 %     10/20/25       244,673       245,187  

Freedom Financial, Series 2019-1, Class B (d)

     3.870 %     06/18/26       2,836,403       2,865,072  

Freedom Financial, Series 2019-2, Class C (d)

     4.860 %     11/18/26       5,500,000       5,577,846  

Freedom Financial, Series 2020-FP1, Class B (d)

     3.060 %     03/18/27       4,000,000       4,062,964  

Freedom Financial, Series 2020-FP1, Class C (d)

     4.370 %     03/18/27       3,250,000       3,235,252  

Freedom Financial, Series 2020-2CP, Class A (d)

     4.520 %     06/18/27       2,201,250       2,225,526  

Freedom Financial, Series 2020-3FP, Class A (d)

     2.400 %     09/20/27       2,216,311       2,226,058  

Freedom Financial, Series 2020-3FP, Class B (d)

     4.180 %     09/20/27       4,000,000       4,095,696  

Freedom Financial, Series 2020-3FP, Class C (d)

     6.960 %     09/20/27       2,500,000       2,641,736  

LendingPoint Asset Securitization Trust, Series 2019-1, Class B (d)

     3.613 %     08/15/25       1,044,280       1,046,773  

LendingPoint Asset Securitization Trust, Series 2019-1, Class C (d)

     4.504 %     08/15/25       2,000,000       2,013,833  

LendingPoint Asset Securitization Trust, Series 2019-2, Class A (d)

     3.071 %     11/10/25       533,698       534,163  

LendingPoint Asset Securitization Trust, Series 2019-2, Class B (d)

     3.725 %     11/10/25       2,000,000       2,013,154  

LendingPoint Asset Securitization Trust, Series 2019-2, Class C (d)

     4.660 %     11/10/25       4,141,000       4,179,537  

LendingPoint Asset Securitization Trust, Series 2020-1, Class B (d)

     3.107 %     02/10/26       3,725,000       3,739,065  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 51

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Unsecured Consumer — 19.4% continued

Lendmark Funding Trust, Series 2020-2A, Class C (d)

     4.690 %     04/21/31     $ 1,000,000     $ 1,015,531  

LL ABS Trust, Series 2020-1, Class A (d)

     2.330 %     07/15/22       5,912,295       5,984,053  

LL ABS Trust, Series 2020-1, Class B (d)

     3.790 %     03/15/23       1,650,000       1,707,087  

LL ABS Trust, Series 2020-1, Class C (d)

     6.540 %     11/15/23       2,200,000       2,312,356  

LL ABS Trust, Series 2019-1, Class A (d)

     2.870 %     03/15/27       1,782,161       1,790,266  

LL ABS Trust, Series 2019-1, Class B (d)

     3.520 %     03/15/27       5,550,000       5,568,868  

LL ABS Trust, Series 2019-1, Class C (d)

     5.070 %     03/15/27       4,500,000       4,509,009  

Mariner Finance Issuance Trust, Series 2020-A, Class D (d)

     5.750 %     08/21/34       8,000,000       8,046,855  

Mariner Finance Issuance Trust, Series 2018-A, Class C (d)

     5.110 %     11/20/30       2,750,000       2,798,944  

Mariner Finance Issuance Trust, Series 2018-A, Class D (d)

     6.570 %     11/20/30       4,725,000       4,850,623  

Mariner Finance Issuance Trust, Series 2019-A, Class C (d)

     4.010 %     07/20/32       2,120,000       2,145,935  

Marlette Funding Trust, Series 2019-4, Class B (d)

     2.950 %     12/17/29       760,000       773,859  

Oportun Funding VIII LLC, Series 2018-A, Class B (d)

     4.450 %     03/08/24       4,600,000       4,600,000  

Oportun Funding VIII LLC, Series 2018-A, Class C (d)

     5.090 %     03/08/24       1,225,000       1,225,000  

Oportun Funding X LLC, Series 2018-C, Class B (d)

     4.590 %     10/08/24       3,000,000       3,028,882  

Oportun Funding X LLC, Series 2018-C, Class D (d)

     6.790 %     10/08/24       4,472,000       4,527,019  

Oportun Funding XII LLC, Series 2018-D, Class B (d)

     4.830 %     12/09/24       2,900,000       2,952,019  

Oportun Funding XII LLC, Series 2018-D, Class D (d)

     7.170 %     12/09/24       4,000,000       4,075,754  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Unsecured Consumer — 19.4% continued

Prosper Marketplace Issuance Trust, Series 2019-1A, Class B (d)

     4.030 %     04/15/25     $ 1,096,346     $ 1,100,975  

Prosper Marketplace Issuance Trust, Series 2019-3A, Class CERT (d)(e)

     0.000 %     07/15/25       81,061,702       749,983  

Prosper Marketplace Issuance Trust, Series 2019-3, Class B (d)

     3.590 %     07/15/25       7,600,000       7,666,383  

Prosper Marketplace Issuance Trust, Series 2019-4, Class B (d)

     3.200 %     02/17/26       4,500,000       4,535,554  

Prosper Marketplace Issuance Trust, Series 2019-4A, Class C (d)

     4.950 %     02/17/26       7,886,000       7,880,402  

Purchasing Power Funding, Series 2018-A, Class D (a)(d)

     4.660 %     08/15/22       1,734,413       1,727,094  

Regional Management Issuance Trust, Series 2019-1, Class C (d)

     4.110 %     11/15/28       2,000,000       2,051,290  

Regional Management Issuance Trust, Series 2020-1, Class A (d)

     2.340 %     10/15/30       2,000,000       2,017,287  

Regional Management Issuance Trust, Series 2020-1, Class B (d)

     3.230 %     10/15/30       2,500,000       2,558,829  

Upgrade Master Pass-Thru Trust, Series 2019-ST1, Class A (d)

     4.000 %     07/15/25       2,592,596       2,615,202  

Upgrade Master Pass-Thru Trust, Series 2019-ST3, Class A (d)

     3.750 %     11/15/25       1,601,358       1,619,422  

 

 

52 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Short Duration Securitized Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 84.8% continued

Unsecured Consumer — 19.4% continued

Upgrade Receivables Trust, Series 2019-1, Class B (d)

     4.090 %     03/15/25     $ 257,780     $ 258,010  

Upstart Pass Through Trust, Series 20-ST6, Class A (d)

     3.000 %     01/20/27       7,809,000       7,834,504  

Upstart Pass-Through Trust, Series 2020-ST1, Class A (d)

     3.750 %     02/20/28       3,153,398       3,199,975  

Upstart Pass-Through Trust, Series 2020-ST2, Class A (d)

     3.500 %     03/20/28       3,013,775       3,062,795  

Upstart Pass-Through Trust, Series 2020-ST3, Class A (d)

     3.350 %     04/20/28       3,697,171       3,762,222  

Upstart Securitization Trust, Series 2019-1, Class B (d)

     4.190 %     04/20/26       793,209       797,394  

Upstart Securitization Trust, Series 2021-ST1, Class A (d)

     2.750 %     02/20/27       3,000,000       3,000,456  

Upstart Securitization Trust, Series 2019-2, Class A (d)

     2.897 %     09/20/29       1,614,489       1,625,023  

Upstart Securitization Trust, Series 2019-2, Class B (d)

     3.734 %     09/20/29       12,325,000       12,584,426  

Upstart Securitization Trust, Series 2019-2, Class C (d)

     4.783 %     09/20/29       5,587,000       5,624,707  

Upstart Securitization Trust, Series 2019-3, Class B (d)

     3.829 %     01/21/30       4,500,000       4,628,658  
                              220,073,987  
 

Total Securitized

(Cost $945,232,980)

   $ 960,478,006  
 

 

 


  

Shares

    

Fair
Value

  

Registered Investment Companies — 13.7%

State Street Institutional Liquid Reserves Fund, Premier Class, 0.10% (f)

     152,050,446     $ 152,080,857  

State Street Navigator Securities Lending Portfolio I, 0.17% (f)(g)

     2,801,555       2,801,555  

Total Registered Investment Companies

        

(Cost $154,779,238)

   $ 154,882,412  
 

Total Investment Securities — 100.1%

(Cost $1,117,132,367)

   $ 1,133,124,199  
 

Liabilities in Excess of Other Assets — (0.1)%

     (658,268 )
 

Net Assets — 100.0%

   $ 1,132,465,931  

 

(a)

Variable rate security. The rate shown is the effective interest rate as of December 31, 2020. 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, prepayment 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, 2020 was $2,727,520.

(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 December 31, 2020 was $920,704,417, representing 81.3% 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, 2020 was $38,031,415, representing 3.4% of net assets.

(f)

The rate shown is the 7-day effective yield as of December 31, 2020.

(g)

This security was purchased with cash collateral from securities held on loan.

 

A/S — Aktieselskab

IO — Interest Only

LIBOR — London Interbank Offered Rate

NA — National Association

PO — Principal Only

SOFR — Secured Overnight Financing Rate

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 53

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Credit — 15.6%

Banking — 5.4%

Bank of America Corp.

     2.881 %     04/24/23     $ 100,000     $ 103,189  

Bank of America Corp.

     3.458 %     03/15/25       425,000       462,668  

Bank of America Corp.

     3.875 %     08/01/25       300,000       341,939  

Bank of America Corp.

     2.015 %     02/13/26       400,000       419,137  

Bank of America Corp.

     1.319 %     06/19/26       150,000       153,168  

Bank of America Corp.

    3.824 %     01/20/28       100,000       114,817  

Bank of America Corp.

    2.592 %     04/29/31       250,000       267,898  

Bank of New York Mellon Corp. (The), Series MTN

     1.850 %     01/27/23       200,000       206,233  

Bank of New York Mellon Corp. (The)

     3.000 %     10/30/28       100,000       113,017  

Bank of Nova Scotia

     1.950 %     02/01/23       130,000       134,249  

Canadian Imperial Bank of Commerce

     2.606 %     07/22/23       100,000       103,443  

Capital One Financial Corp. (b)

     2.600 %     05/15/23       200,000       209,650  

Capital One Financial Corp.

     3.750 %     07/28/26       100,000       113,344  

Citigroup, Inc

     1.678 %     05/15/24       500,000       515,055  

Citigroup, Inc.

     3.352 %     04/24/25       200,000       217,435  

Citigroup, Inc. (b)

     3.300 %     04/27/25       100,000       110,875  

Citigroup, Inc. (3MO LIBOR + 125) (a)

     1.475 %     07/01/26       100,000       101,670  

Citigroup, Inc.

     3.887 %     01/10/28       500,000       574,306  

Citigroup, Inc. (b)

     4.125 %     07/25/28       150,000       175,402  

Citigroup, Inc.

     2.976 %     11/05/30       180,000       198,133  

Citigroup, Inc.

    5.316 %     03/26/41       100,000       140,627  

Citizens Financial Group

     2.850 %     07/27/26       225,000       250,349  

Comerica Bank, Series BKNT

     2.500 %     07/23/24       250,000       265,821  

Cooperative Rabobank UA (c)

     2.625 %     07/22/24       250,000       267,302  

Discover Bank

     2.700 %     02/06/30       250,000       265,017  

Discover Financial Services

     4.100 %     02/09/27       100,000       115,168  

Fifth Third Bancorp (1MO LIBOR + 170) (a)

     2.375 %     01/28/25       275,000       292,606  

First Tennessee Bank

     5.750 %     05/01/30       250,000       290,937  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Banking — 5.4% continued

Goldman Sachs Group, Inc. (3MO LIBOR + 111) (a)

     1.325 %     04/26/22     $ 50,000     $ 50,138  

Goldman Sachs Group, Inc.

     3.500 %     01/23/25       205,000       226,211  

Goldman Sachs Group, Inc.

     3.500 %     04/01/25       250,000       278,005  

Goldman Sachs Group, Inc.

     3.500 %     11/16/26       350,000       392,915  

Goldman Sachs Group, Inc.

     1.093 %     12/09/26       250,000       252,510  

Goldman Sachs Group, Inc. (b)

     2.600 %     02/07/30       500,000       537,780  

Huntington Bancshares, Inc.

     2.625 %     08/06/24       125,000       133,557  

JPMorgan Chase & Co. (3MO LIBOR + 100) (a)

     1.237 %     01/15/23       100,000       100,827  

JPMorgan Chase & Co.

     0.653 %     09/16/24       150,000       150,784  

JPMorgan Chase & Co.

     4.023 %     12/05/24       550,000       605,851  

JPMorgan Chase & Co.

     1.045 %     11/19/26       500,000       505,534  

JPMorgan Chase & Co.

    3.782 %     02/01/28       100,000       114,957  

JPMorgan Chase & Co.

    3.509 %     01/23/29       100,000       114,040  

JPMorgan Chase & Co.

     2.739 %     10/15/30       100,000       108,820  

JPMorgan Chase & Co.

     2.522 %     04/22/31       750,000       805,700  

KeyBank NA

     0.423 %     01/03/24       500,000       500,551  

KeyCorp (b)

     2.550 %     10/01/29       385,000       416,769  

Morgan Stanley

     3.737 %     04/24/24       100,000       107,592  

Morgan Stanley

     3.700 %     10/23/24       100,000       111,328  

Morgan Stanley

     3.875 %     01/27/26       500,000       573,408  

Morgan Stanley

     3.125 %     07/27/26       100,000       111,981  

Morgan Stanley

     3.625 %     01/20/27       100,000       114,737  

Morgan Stanley, Series GMTN

     2.699 %     01/22/31       175,000       189,873  

Morgan Stanley

     1.794 %     02/13/32       500,000       502,788  

PNC Bank NA (b)

     1.743 %     02/24/23       250,000       253,856  

PNC Bank NA

     2.700 %     10/22/29       250,000       273,203  

PNC Financial Services

     2.600 %     07/23/26       250,000       274,391  

Regions Financial Corp.

     2.250 %     05/18/25       275,000       291,574  

Royal Bank of Canada, Series GMTN

     1.950 %     01/17/23       250,000       258,161  

Royal Bank of Canada (b)

     1.150 %     06/10/25       365,000       372,906  

State Street Corp.

     2.354 %     11/01/25       175,000       186,746  

 

 

54 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Credit — 15.6% continued

Banking — 5.4% continued

Toronto-Dominion Bank (The) (SOFR + 48) (a)

     0.570 %     01/27/23     $ 425,000     $ 426,592  

Truist Financial Corp. (b)

     2.150 %     12/06/24       250,000       264,911  

US Bancorp

     2.400 %     07/30/24       350,000       373,037  

Wells Fargo & Co.

     3.550 %     09/29/25       925,000       1,038,870  

Wells Fargo & Co.

     2.188 %     04/30/26       275,000       289,544  

Wells Fargo & Co.

     2.393 %     06/02/28       250,000       266,045  
                              18,099,947  

Basic Industry — 0.5%

Air Products and Chemicals, Inc.

     1.850 %     05/15/27       475,000       502,966  

FMC Corp.

     3.450 %     10/01/29       300,000       341,361  

Nucor Corp.

     2.000 %     06/01/25       250,000       264,702  

PPG Industries, Inc.

     2.400 %     08/15/24       110,000       116,501  

PPG Industries, Inc. (b)

     2.550 %     06/15/30       300,000       322,105  

Sherwin-Williams Co.

     2.300 %     05/15/30       250,000       260,929  
                              1,808,564  

Brokerage Asset Managers Exchanges — 0.4%

Ameriprise Financial, Inc.

     3.000 %     04/02/25       250,000       272,115  

CBOE Holdings, Inc.

     3.650 %     01/12/27       100,000       113,706  

Charles Schwab Corp. (The)

     0.900 %     03/11/26       500,000       506,566  

Intercontinental Exchange, Inc. (b)

     0.700 %     06/15/23       275,000       277,208  
                              1,169,595  

Capital Goods — 0.4%

Carrier Global Corp.

     2.700 %     02/15/31       250,000       268,450  

General Electric Capital Corp.

     6.750 %     03/15/32       300,000       420,373  

L3 Harris Technologies, Inc.

     3.850 %     12/15/26       50,000       57,875  

Lennox International, Inc.

     3.000 %     11/15/23       100,000       105,393  

Republic Services, Inc.

     2.500 %     08/15/24       200,000       213,541  

Waste Management, Inc.

     1.150 %     03/15/28       300,000       300,723  
                              1,366,355  

Communications — 1.3%

American Tower Corp.

     2.250 %     01/15/22       50,000       50,959  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Communications — 1.3% continued

American Tower Corp.

     3.800 %     08/15/29     $ 100,000     $ 116,207  

American Tower Corp.

     2.100 %     06/15/30       100,000       102,580  

AT&T, Inc.

     2.300 %     06/01/27       650,000       692,808  

AT&T, Inc. (c)

     2.550 %     12/01/33       114,000       117,224  

AT&T, Inc.

     4.500 %     05/15/35       100,000       121,257  

British Telecommunications plc (c)

     3.250 %     11/08/29       275,000       303,190  

Comcast Corp.

     3.950 %     10/15/25       750,000       861,482  

Comcast Corp.

     2.650 %     02/01/30       100,000       109,236  

Comcast Corp.

     1.950 %     01/15/31       250,000       257,075  

Comcast Corp. (b)

     3.969 %     11/01/47       144,000       180,050  

Deutsche Telekom International Finance (c)

     4.750 %     06/21/38       100,000       125,930  

Twenty-First Century Fox, Inc.

     4.030 %     01/25/24       50,000       55,060  

Verizon Communications, Inc. (3MO LIBOR + 110) (a)(b)

     1.321 %     05/15/25       100,000       102,685  

Verizon Communications, Inc.

     4.125 %     03/16/27       100,000       117,903  

Verizon Communications, Inc.

     3.000 %     03/22/27       120,000       132,876  

Verizon Communications, Inc.

     1.750 %     01/20/31       500,000       497,198  

Verizon Communications, Inc. (b)(c)

     2.987 %     10/30/56       143,000       143,643  

Walt Disney Co. (The)

     1.750 %     08/30/24       175,000       182,473  

Walt Disney Co. (The)

     3.800 %     03/22/30       100,000       119,119  
                              4,388,955  

Consumer Cyclical — 0.9%

BMW US Capital, LLC (b)(c)

     3.900 %     04/09/25       300,000       337,744  

CVS Health Corp.

     3.750 %     04/01/30       500,000       581,586  

CVS Health Corp.

     5.050 %     03/25/48       250,000       338,294  

Daimler Finance LLC (b)(c)

     1.750 %     03/10/23       275,000       282,319  

Ford Motor Co. (b)

     4.346 %     12/08/26       100,000       106,500  

Ford Motor Co.

     7.450 %     07/16/31       75,000       96,188  

General Motors Financial Co., Inc.

     3.200 %     07/06/21       35,000       35,376  

General Motors Financial Co., Inc.

     4.000 %     10/06/26       100,000       112,560  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 55

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Credit — 15.6% continued

Consumer Cyclical — 0.9% continued

Home Depot, Inc. (The)

     3.500 %     09/15/56     $ 100,000     $ 124,768  

Volkswagen AG (c)

     2.500 %     09/24/21       200,000       202,979  

Volkswagen Group America (c)

     0.750 %     11/23/22       500,000       501,478  

Walgreens Boots Alliance, Inc. (b)

     3.200 %     04/15/30       250,000       271,434  
                              2,991,226  

Consumer Non-Cyclical — 0.9%

Abbott Laboratories

     4.750 %     11/30/36       100,000       137,651  

AbbVie, Inc.

     2.950 %     11/21/26       335,000       370,568  

AbbVie, Inc.

     4.550 %     03/15/35       100,000       126,380  

Amgen, Inc.

     2.650 %     05/11/22       140,000       144,324  

Amgen, Inc. (b)

     1.900 %     02/21/25       310,000       325,780  

Anheuser-Busch Cos., LLC

     4.700 %     02/01/36       100,000       126,841  

Anheuser-Busch InBev SA/NV (b)

     4.750 %     01/23/29       100,000       123,316  

Anheuser-Busch InBev SA/NV (b)

     3.500 %     06/01/30       600,000       694,650  

Kimberly-Clark Corp.

     3.950 %     11/01/28       100,000       119,809  

Kroger Co. (The) (b)

     2.650 %     10/15/26       100,000       109,202  

Kroger Co. (The)

     2.200 %     05/01/30       125,000       131,281  

Zoetics, Inc., Series 4006

     2.000 %     05/15/30       525,000       543,260  
                              2,953,062  

Electric — 1.2%

Ameren Corp.

     2.500 %     09/15/24       130,000       138,524  

American Electric Power, Inc. (b)

     1.000 %     11/01/25       500,000       505,838  

Berkshire Hathaway Energy Corp. (c)

     1.650 %     05/15/31       500,000       499,614  

CMS Energy Corp.

     2.950 %     02/15/27       100,000       108,596  

DTE Energy Co., Series C (a)

     2.529 %     10/01/24       150,000       159,797  

DTE Energy Co., Series E

     2.850 %     10/01/26       100,000       109,747  

DTE Energy Co., Series H

     2.950 %     03/01/30       125,000       136,380  

Duke Energy Indiana LLC

     2.750 %     04/01/50       370,000       383,996  

Georgia Power Co., Series 2020-A

     2.100 %     07/30/23       230,000       240,218  

MidAmerican Energy Co.

     3.650 %     04/15/29       350,000       415,513  

Northern States Power Co. of Minnesota

     2.900 %     03/01/50       125,000       140,673  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Electric — 1.2% continued

Oncor Electric Delivery Co. LLC

     3.750 %     04/01/45     $ 490,000     $ 597,539  

PECO Energy Co.

     3.000 %     09/15/49       200,000       220,192  

PPL Electric Utilities

     3.000 %     10/01/49       160,000       174,219  

Public Service Electric & Gas Co.

     2.250 %     09/15/26       100,000       107,983  

Southwestern Electric Power

     2.750 %     10/01/26       100,000       108,408  
                              4,047,237  

Energy — 0.9%

BP Capital Markets plc

     3.194 %     04/06/25       175,000       192,398  

Chevron Corp.

     1.995 %     05/11/27       500,000       530,030  

Cimarex Energy Co.

     3.900 %     05/15/27       100,000       110,174  

Diamondback Energy, Inc.

     3.250 %     12/01/26       200,000       213,484  

Energy Transfer Operating LP

     4.500 %     04/15/24       75,000       82,014  

Exxon Mobil Corp.

     2.992 %     03/19/25       240,000       262,632  

Phillips 66 Partners LP

     3.700 %     04/06/23       250,000       267,729  

Phillips 66 Partners LP

     2.450 %     12/15/24       100,000       104,867  

Phillips 66 Partners LP (b)

     3.550 %     10/01/26       100,000       109,536  

Royal Dutch Shell plc

     2.375 %     11/07/29       320,000       344,076  

Shell International Finance BV

     6.375 %     12/15/38       73,000       113,412  

Suncor Energy, Inc.

     2.800 %     05/15/23       300,000       315,634  

Total Capital International SA (b)

     2.829 %     01/10/30       120,000       134,399  

Valero Energy Corp.

     2.700 %     04/15/23       250,000       260,888  

Valero Energy Corp.

     3.400 %     09/15/26       100,000       109,618  
                              3,150,891  

Insurance — 1.7%

Allstate Corp. (b)

     0.750 %     12/15/25       1,000,000       1,004,822  

Athene Global Funding (c)

     2.500 %     01/14/25       225,000       235,652  

Berkshire Hathaway Financial (b)

     1.850 %     03/12/30       250,000       263,317  

Jackson National Life Global Funding (3MO LIBOR + 48) (a)(c)

     0.701 %     06/11/21       50,000       50,098  

Jackson National Life Global Funding (c)

     2.100 %     10/25/21       50,000       50,715  

Lincoln National Corp.

     3.625 %     12/12/26       100,000       115,395  

Met Life Global Funding I (c)

     1.950 %     01/13/23       200,000       206,337  

 

 

56 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Credit — 15.6% continued

Insurance — 1.7% continued

Met Life Global Funding I (c)

     0.900 %     06/08/23     $ 250,000     $ 253,153  

New York Life Global Funding (c)

     2.900 %     01/17/24       100,000       107,264  

New York Life Global Funding (c)

     2.350 %     07/14/26       50,000       53,376  

New York Life Global Funding (c)

     1.200 %     08/07/30       1,250,000       1,211,534  

Pricoa Global Funding (b)(c)

     3.450 %     09/01/23       160,000       172,638  

Principal Life Global Funding II (c)

     2.375 %     11/21/21       100,000       101,847  

Principal Life Global Funding II (c)

     1.250 %     06/23/25       525,000       535,861  

Progressive Corp.

     3.200 %     03/26/30       240,000       276,249  

Protective Life Global Funding (b)(c)

     1.737 %     09/21/30       1,100,000       1,104,851  
                              5,743,109  

Natural Gas — 0.1%

Atmos Energy Corp.

     2.625 %     09/15/29       310,000       340,409  
 

Other Utility — 0.1%

American Water Capital Corp.

     2.800 %     05/01/30       300,000       330,987  
 

REITS — 0.9%

Alexandria Real Estate Equities, Inc.

     3.950 %     01/15/28       100,000       116,109  

American Campus Communities, Inc.

     3.625 %     11/15/27       100,000       110,170  

American Homes 4 Rent

     4.250 %     02/15/28       100,000       114,936  

Boston Properties LP

     2.750 %     10/01/26       50,000       54,499  

CubeSmart LP

     3.125 %     09/01/26       50,000       54,993  

CubeSmart LP (b)

     3.000 %     02/15/30       280,000       306,015  

CubeSmart LP

     2.000 %     02/15/31       200,000       200,421  

ERP Operating LP

     2.850 %     11/01/26       100,000       110,597  

ERP Operating LP

     2.500 %     02/15/30       150,000       161,935  

Life Storage LP

     3.875 %     12/15/27       100,000       114,208  

Realty Income Corp.

     3.875 %     04/15/25       100,000       112,624  

Realty Income Corp.

     0.750 %     03/15/26       625,000       624,052  

Realty Income Corp.

     3.000 %     01/15/27       100,000       110,609  

Simon Property Group LP

     2.000 %     09/13/24       320,000       334,363  

Spirit Realty LP

     4.450 %     09/15/26       100,000       112,904  

Spirit Realty LP

     4.000 %     07/15/29       60,000       67,522  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

REITS — 0.9% continued

Spirit Realty LP

     3.200 %     02/15/31     $ 250,000     $ 265,514  
                              2,971,471  

Technology — 0.3%

Apple, Inc. (b)

     3.000 %     06/20/27       100,000       111,977  

Apple, Inc.

     2.200 %     09/11/29       250,000       269,793  

Apple, Inc.

     1.650 %     05/11/30       300,000       308,802  

Dell International LLC (b)(c)

     5.300 %     10/01/29       100,000       122,467  

Oracle Corp.

     2.800 %     04/01/27       300,000       330,734  
                              1,143,773  

Transportation — 0.6%

Alaska Airlines, Series 2020-1B, Class A (c)

     4.800 %     08/15/27       150,000       165,197  

American Airlines Pass-Through Trust, Series 2016-2, Class AA

     3.200 %     12/15/29       364,275       355,172  

CSX Corp.

     4.250 %     11/01/66       100,000       133,548  

FedEx Corp.

     1.875 %     02/20/34       525,000       540,312  

Kirby Corp.

     4.200 %     03/01/28       100,000       110,868  

Southwest Airlines Co. (b)

     3.000 %     11/15/26       100,000       106,603  

U.S. Airways Pass-Through Trust, Series 2011-1, Class A

     7.125 %     04/22/25       32,384       29,734  

United Airlines Pass-Through Trust, Series 2013-1, Class B

     5.375 %     02/15/23       179,459       180,849  

United Airlines Pass-Through Trust, Series 2007-1, Class A

     6.636 %     01/02/24       26,658       27,196  

United Airlines Pass-Through Trust, Series 2020-1, Class A

     5.875 %     10/15/27       300,000       324,073  
                              1,973,552  
 

Total Corporate Credit

(Cost $49,567,220)

   $ 52,479,133  
 

Government Related — 0.4%

Government Guaranteed — 0.2%

Tunisian Republic

     1.416 %     08/05/21       500,000       503,690  
 

Government Owned, No Guarantee — 0.2%

Tennessee Valley Authority

     4.625 %     09/15/60       525,000       826,249  
 

Total Government Related

(Cost $1,273,858)

   $ 1,329,939  
 

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 57

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4%

ABS-Other — 3.8%

BXG Receivables, Series 2018-A, Class C (c)

     4.440 %     02/02/34     $ 400,162     $ 412,572  

Diamond Resorts Owner Trust, Series 2019-1, Class B (c)

     3.530 %     02/20/32       182,321       186,758  

FMC GMSR Issuer Trust, Series 2019-GT2, Class A (c)

     4.230 %     09/25/24       400,000       392,398  

FMC GMSR Issuer Trust, Series 2020-GT1, Class A (a)(c)

     4.450 %     01/25/26       1,000,000       999,476  

Gold Key Resorts LLC, Series 2014-A, Class A (c)

     3.220 %     03/17/31       20,043       20,235  

GoodGreen Trust, Series 2017-1A, Class A (c)

     3.740 %     10/15/52       79,464       83,778  

GoodGreen Trust, Series 2020-1A, Class A (c)

     2.630 %     04/15/55       439,549       449,823  

Helios Issuer LLC, Series 2019-AA, Class A (c)

     3.750 %     06/20/46       120,902       127,347  

Helios Issuer LLC, Series 2020-4, Class A (c)

     2.980 %     06/20/47       276,664       286,695  

Hero Funding Trust, Series 2016-2A, Class A (c)

     3.750 %     09/20/41       169,401       176,743  

Hero Funding Trust, Series 2016-3A, Class A1 (c)

     3.080 %     09/20/42       220,958       226,790  

Hero Funding Trust, Series 2016-1R, Class A1 (c)

     4.500 %     09/21/42       2,371       2,373  

Hero Funding Trust, Series 2016-4A, Class A1 (c)

     3.570 %     09/20/47       243,450       255,236  

Hero Funding Trust, Series 2016-4B, Class B (c)

     4.990 %     09/20/47       151,686       154,817  

Hero Funding Trust, Series 2017-3A, Class A1 (a)(c)

     3.190 %     09/20/48       211,106       217,448  

Hero Funding Trust, Series 2018-1A, Class A2 (c)

     4.670 %     09/20/48       83,882       89,810  

Hilton Grand Vacations Trust, Series 2020-A, Class B (c)

     4.220 %     02/25/39       409,564       440,023  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

ABS-Other — 3.8% continued

Holiday Inn Timeshare Trust, Series 2020-A, Class C (c)

     3.420 %     10/09/39     $ 671,694     $ 694,262  

Loanpal Solar Loan Ltd., Series 2020-3GS, Class B (c)

     3.450 %     12/20/47       600,000       602,452  

Loanpal Solar Loan Ltd., Series 2021-1GS, Class A (c)

     2.290 %     01/20/48       750,000       754,380  

Loanpal Solar Loan Ltd., Series 2021-1GS, Class B (c)

     2.840 %     01/20/48       1,000,000       999,660  

Mill City Solar Loan Ltd., Series 2019-2GS, Class A (c)

     3.690 %     07/20/43       185,206       195,063  

Mosaic Solar Loans LLC, Series 2018-1, Class A (c)

     4.010 %     06/22/43       114,018       123,066  

Mosaic Solar Loans LLC, Series 2017-2, Class B (c)

     4.770 %     06/22/43       68,279       74,288  

Mosaic Solar Loans LLC, Series 2020-1, Class A (c)

     2.100 %     04/20/46       312,460       318,663  

Ocwen Master Advance Receivables, Series 2020-T1, Class A-T1 (c)

     1.300 %     08/15/52       670,000       671,391  

PNMAC GMSR Issuer Trust, Series 2018-GT2, Class NT (1MO LIBOR + 265) (a)(c)

     2.798 %     08/25/23       400,000       386,200  

Renew Financial LLC, Series 2017-1, Class A (c)

     3.670 %     09/20/52       94,307       97,170  

Renew Financial LLC, Series 2017-1, Class B (a)(c)

     5.750 %     09/20/52       42,887       43,984  

Renew Financial LLC, Series 2017-2, Class A (c)

     3.220 %     09/22/53       53,307       54,840  

SPS Servicer Advance Receivables, Series 2020-T1, Class DT1 (c)

     2.370 %     11/15/52       199,000       199,653  

SPS Servicer Advance Receivables, Series 2020-T2, Class D (c)

     3.160 %     11/15/55       494,000       498,429  

 

 

58 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

ABS-Other — 3.8% continued

Sunnova Solar Issuer LLC, Series 2020-2A, Class A (c)

     2.730 %     11/01/55     $ 1,100,000     $ 1,107,599  

TES LLC, Series 2017-1, Class A (c)

     4.330 %     10/20/47       286,854       294,529  

Westgate Resorts, Series 2018-1, Class B (c)

     3.580 %     12/20/31       97,709       97,230  

Westgate Resorts, Series 2018-1, Class C (c)

     4.100 %     12/20/31       97,709       96,748  

Westgate Resorts, Series 2020-1, Class B (c)

     3.963 %     03/20/34       178,728       184,686  

Westgate Resorts, Series 2020-1A, Class C (c)

     6.213 %     03/20/34       893,640       935,963  
                              12,952,578  

Agency CMBS — 0.6%

FNMA, Series 2019-M21, Class 1A1

     1.950 %     04/25/28       555,189       574,882  

FNMA, Pool #FN 464107

     4.820 %     12/01/29       129,410       150,574  

FNMA, Pool #FN AM9491

     3.550 %     08/01/30       174,166       202,844  

FNMA, Pool #FN 469130 (a)

     4.870 %     10/01/41       129,676       153,727  

FNMA, Pool #FN AM5015 (a)

     4.940 %     12/01/43       767,003       923,639  
                              2,005,666  

Agency MBS CMO — 24.2%

FHLMA, Series 4847, Class CV

     3.500 %     02/15/30       463,717       508,012  

FHLMA, Series 4673, Class PH

     3.500 %     01/15/45       612,081       641,732  

FHLMA, Series 4531, Class PZ

     3.500 %     11/15/45       1,306,692       1,437,690  

FHLMC, Series 306, Class F3 (PO) (1MO LIBOR + 30) (a)

     0.459 %     05/15/28       89,993       88,546  

FHLMC, Series 2646, Class ZH

     5.000 %     07/15/33       119,229       153,742  

FHLMC, Series 4265, Class FD (1MO LIBOR + 40) (a)

     0.559 %     01/15/35       362,461       364,533  

FHLMC, Series 2006-71, Class ZH

     6.000 %     07/25/36       421,473       500,651  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Agency MBS CMO — 24.2% continued

FHLMC, Series 4613, Class AF (1MO LIBOR + 110) (a)

     1.259 %     11/15/37     $ 111,881     $ 113,070  

FHLMC, Series 3605, Class PB

     4.500 %     11/15/39       100,000       111,998  

FHLMC, Series 3617, Class PC

     4.500 %     12/15/39       109,000       122,740  

FHLMC, Series 3740, Class FC (1MO LIBOR + 50) (a)

     0.659 %     10/15/40       157,712       158,906  

FHLMC, Series 3759, Class ME

     4.000 %     11/15/40       500,000       554,750  

FHLMC, Series 3811, Class TA (a)

     5.000 %     02/15/41       262,142       311,551  

FHLMC, Series 3895, Class BF (1MO LIBOR + 50) (a)

     0.659 %     07/15/41       123,293       124,367  

FHLMC, Series 4116, Class UB

     2.500 %     05/15/42       1,000,000       1,016,317  

FHLMC, Series 4074, Class JY

     2.500 %     07/15/42       475,000       500,845  

FHLMC, Series 4165, Class ZT

     3.000 %     02/15/43       405,553       405,803  

FHLMC, Series 4180, Class ZB

     3.000 %     03/15/43       666,139       667,875  

FHLMC, Series 4210, Class Z

     3.000 %     05/15/43       352,177       353,615  

FHLMC, Series 4447, Class YZ

     4.000 %     08/15/43       1,509,742       1,696,415  

FHLMC, Series 4333, Class GL

     3.500 %     04/15/44       250,000       289,804  

FHLMC, Series 4408, Class BC

     3.000 %     11/15/44       1,020,410       1,089,806  

FHLMC, Series 4830, Class DA

     4.500 %     11/15/44       57,927       58,380  

FHLMC, Series 4731, Class EA

     3.000 %     10/15/45       316,444       334,114  

FHLMC, Series 4738, Class TW

     3.000 %     11/15/46       1,385,000       1,512,515  

FHLMC, Series 4857, Class H

     4.000 %     11/15/46       471,592       499,050  

FHLMC, Series 4736, Class CL

     3.000 %     12/15/47       441,240       487,963  

FHLMC, Series 4753, Class EZ

     3.500 %     12/15/47       1,947,714       2,115,399  

FHLMC, Series 4750, Class KZ

     3.500 %     01/15/48       1,443,703       1,582,373  

FHLMC, Series 4801, Class ZN

     4.000 %     05/15/48       1,108,670       1,219,501  

FHLMC, Series 4941, Class NW

     2.500 %     05/25/49       758,520       778,803  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 59

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Agency MBS CMO — 24.2% continued

FHLMC, Series 4911, Class JM

     3.500 %     09/25/49     $ 1,000,000     $ 1,148,713  

FHLMC, Series 5011, Class DB

     2.000 %     09/25/50       262,000       244,444  

FHLMC, Series 4377, Class KZ (a)

     3.500 %     02/15/52       777,924       874,992  

FNMA, Series 2010-155, Class JH

     4.000 %     12/25/28       120,000       134,693  

FNMA, Series 2013-35, Class YT

     6.500 %     09/25/32       284,751       334,937  

FNMA, Series 2012-129, Class HT

     2.000 %     12/25/32       142,654       143,110  

FNMA, Series 2002-86, Class PG

     6.000 %     12/25/32       80,390       95,443  

FNMA, Series 2004-56, Class Z

     7.500 %     03/25/34       154,488       187,987  

FNMA, Series 2004-17, Class BA

     6.000 %     04/25/34       204,117       265,330  

FNMA, Series 2005-3, Class CG

     5.500 %     02/25/35       182,011       208,902  

FNMA, Series 2005-62, Class ZL

     5.500 %     07/25/35       333,037       382,579  

FNMA, Series 2006-56, Class DC (1MO LIBOR + 65) (a)

     0.798 %     07/25/36       132,832       133,418  

FNMA, Series 2009-19, Class TD

     5.000 %     08/25/36       111,716       126,952  

FNMA, Series 2006-108, Class FD (1MO LIBOR + 38) (a)

     0.528 %     11/25/36       160,909       162,405  

FNMA, Series 2007-39, Class NB

     4.250 %     05/25/37       156,395       170,573  

FNMA, Series 2008-60, Class JC

     5.000 %     07/25/38       242,900       278,118  

FNMA, Series 2009-103, Class MB (a)

     3.062 %     12/25/39       53,098       55,192  

FNMA, Series 2010-2, Class LC

     5.000 %     02/25/40       200,000       238,782  

FNMA, Series 2011-14, Class PB

     5.000 %     03/25/41       570,000       674,609  

FNMA, Series 2011-57, Class PD

     4.000 %     07/25/41       321,407       377,888  

FNMA, Series 2011-62, Class UA

     4.500 %     07/25/41       1,145,660       1,274,383  

FNMA, Series 2012-9, Class FC (1MO LIBOR + 40) (a)

     0.548 %     02/25/42       159,502       160,596  

FNMA, Series 2013-34, Class GP

     3.000 %     05/25/42       975,425       999,009  

FNMA, Series 2012-56, Class WC

     3.500 %     05/25/42       1,565,989       1,747,784  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Agency MBS CMO — 24.2% continued

FNMA, Series 2012-79, Class QB

     2.000 %     07/25/42     $ 360,735     $ 370,535  

FNMA, Series 2012-84, Class JL

     2.000 %     08/25/42       210,188       205,904  

FNMA, Series 411, Class A3

     3.000 %     08/25/42       54,402       57,508  

FNMA, Series 2012-99, Class UY (a)

     2.500 %     09/25/42       329,000       344,779  

FNMA, Series 2016-32, Class GO (PO)

     0.000 %     01/25/43       289,116       237,562  

FNMA, Series 2013-35, Class LP

     3.000 %     01/25/43       352,000       385,784  

FNMA, Series 2013-6, Class QA

     2.500 %     02/25/43       815,575       820,061  

FNMA, Series 2013-35, Class CV

     3.000 %     02/25/43       350,000       385,654  

FNMA, Series 2013-13, Class WH

     3.500 %     03/25/43       600,000       625,798  

FNMA, Series 2013-31, Class NT

     3.000 %     04/25/43       121,749       123,217  

FNMA, Series 2013-54, Class HQ

     3.000 %     06/25/43       14,385       14,393  

FNMA, Series 2013-104, Class CY

     5.000 %     10/25/43       250,000       313,320  

FNMA, Series 2013-115, Class PB

     4.500 %     11/25/43       300,000       372,483  

FNMA, Series 2015-11, Class MZ

     4.000 %     12/25/43       4,593,555       5,211,264  

FNMA, Series 2014-2, Class PB

     4.000 %     02/25/44       1,001,928       1,052,175  

FNMA, Series 4473, Class Z

     3.000 %     05/15/45       378,271       411,499  

FNMA, Series 2017-16, Class UW

     3.000 %     07/25/45       2,044,494       2,256,268  

FNMA, Series 2016-68, Class AL

     3.000 %     10/25/46       850,000       932,765  

FNMA, Series 2017-04, Class ZC

     3.500 %     02/25/47       2,866,737       3,089,905  

FNMA, Series 2017-77, Class HZ

     3.500 %     10/25/47       1,964,808       2,072,539  

FNMA, Series 2017-90, Class ZD

     3.500 %     11/25/47       2,234,057       2,378,869  

FNMA, Series 2018-08, Class DZ

     3.500 %     02/25/48       1,107,311       1,172,536  

FNMA, Series 2018-31, Class KQ

     3.500 %     05/25/48       847,826       916,851  

FNMA, Series 2018-66, Class PZ

     4.000 %     09/25/48       526,170       624,655  

FNMA, Series 2019-01, Class MH

     3.000 %     02/25/49       571,715       602,028  

FNMA, Series 2019-8, Class ZD

     3.500 %     03/25/49       533,085       619,077  

 

 

60 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Agency MBS CMO — 24.2% continued

FNMA, Series 2019-40, Class PL

     4.000 %     07/25/49     $ 318,000     $ 366,913  

FNMA, Series 2019-60, Class WZ

     2.750 %     10/25/49       542,029       561,546  

FNMA, Series 2019-83, Class EB

     2.000 %     01/25/50       171,000       161,898  

FNMA, Series 2020-15, Class KY

     3.000 %     03/25/50       2,077,414       2,245,966  

GNMA, Series 2015-161, Class AV

     3.000 %     01/20/29       415,484       441,995  

GNMA, Series 2018-139, Class DV

     3.500 %     01/20/30       501,795       529,472  

GNMA, Series 2004-49, Class MZ

     6.000 %     06/20/34       383,898       458,525  

GNMA, Series 2005-13, Class BG

     5.000 %     02/20/35       290,000       326,868  

GNMA, Series 2015-123, Class VB

     3.500 %     09/20/35       100,000       107,385  

GNMA, Series 2006-17, Class JN

     6.000 %     04/20/36       245,561       282,894  

GNMA, Series 2008-51, Class PH

     5.250 %     06/20/38       151,869       169,316  

GNMA, Series 2009-2, Class PA

     5.000 %     12/20/38       113,527       124,839  

GNMA, Series 2010-9, Class FA (1MO LIBOR + 52) (a)

     0.673 %     01/16/40       157,575       158,599  

GNMA, Series 2010-105, Class ZC

     4.500 %     08/16/40       477,189       555,859  

GNMA, Series 2013-22, Class GA (a)

     2.500 %     10/20/41       36,847       37,770  

GNMA, Series 2012-74, Class LY (a)

     2.500 %     06/20/42       318,000       329,298  

GNMA, Series 2012-134, Class KM

     2.000 %     09/20/42       342,000       340,024  

GNMA, Series 2012-113, Class NZ (a)

     4.500 %     09/20/42       263,634       280,874  

GNMA, Series 2012-143, Class EG

     2.000 %     12/20/42       657,458       662,730  

GNMA, Series 2013-6, Class PE

     2.000 %     01/20/43       100,000       98,577  

GNMA, Series 2013-5, Class GY

     3.000 %     01/20/43       437,000       489,320  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Agency MBS CMO — 24.2% continued

GNMA, Series 2015-179, Class ZB

     2.500 %     02/20/45     $ 55,851     $ 57,569  

GNMA, Series 2016-37, Class YA

     3.000 %     12/20/45       1,052,893       1,174,249  

GNMA, Series 2016-38, Class ZP

     3.500 %     03/20/46       70,835       79,228  

GNMA, Series 2016-74, Class PL

     3.000 %     05/20/46       1,348,000       1,413,232  

GNMA, Series 2016-111, Class HA

     2.500 %     08/20/46       136,161       136,017  

GNMA, Series 2016-118, Class LB

     3.000 %     09/20/46       1,000,000       1,076,522  

GNMA, Series 2017-080, Class BZ

     3.500 %     05/20/47       396,695       446,685  

GNMA, Series 2018-006, Class JY

     2.750 %     01/20/48       284,000       284,481  

GNMA, Series 2018-14, Class MZ

     3.000 %     01/20/48       376,506       386,147  

GNMA, Series 2018-120, Class PY

     3.500 %     09/20/48       689,379       742,427  

GNMA, Series 2019-22, Class WD

     3.000 %     02/20/49       113,611       114,148  

GNMA, Series 2019-20, Class JK

     3.500 %     02/20/49       302,687       322,903  

GNMA, Series 2019-031, Class AZ

     5.000 %     03/20/49       314,649       364,814  

GNMA, Series 2019-052, Class HL

     4.000 %     04/20/49       490,565       548,055  

GNMA, Series 2019-86, Class WL

     3.000 %     07/20/49       500,000       559,672  

GNMA, Series 2019-99, Class EW

     3.000 %     08/20/49       540,446       598,393  

GNMA, Series 2019-99, Class GP

     3.500 %     08/20/49       517,000       576,320  

GNMA, Series 2019-162, Class GB

     3.000 %     12/20/49       450,000       473,946  

GNMA, Series 2020-011, Class KB

     2.500 %     01/20/50       788,000       789,448  

GNMA, Series 2020-015, Class HL

     2.500 %     02/20/50       1,385,112       1,432,369  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 61

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Agency MBS CMO — 24.2% continued

GNMA, Series 2020-093, Class AZ

     3.000 %     04/20/50     $ 786,761     $ 842,934  

GNMA, Series 2020-078, Class B

     2.500 %     06/20/50       350,000       361,628  

GNMA, Series 2020-097, Class ML

     2.500 %     07/20/50       1,975,000       2,081,792  

GNMA, Series 2020-133, Class HZ

     3.500 %     09/20/50       889,743       881,659  

GNMA, Series 2017-H18, Class EB (12MO LIBOR + 22) (a)

     4.159 %     06/20/63       380,589       395,705  

GNMA, Series 2014-H15, Class FA (1MO LIBOR + 50) (a)

     0.640 %     07/20/64       462,609       463,931  

GNMA, Series 2016-H11, Class FD (12MO LIBOR + 40) (a)

     1.402 %     05/20/66       265,181       266,516  

GNMA, Series 2017-H16, Class DB (a)

     4.587 %     08/20/67       279,205       290,797  
                              81,711,389  

Agency MBS CMO Derivatives — 3.5%

FHLMC, Series 3919, Class QS (IO) (-1*1MO LIBOR + 670) (a)

     6.541 %     08/15/30       2,367,111       340,854  

FHLMC, Series 4214, Class CI (IO)

     3.000 %     06/15/31       1,079,065       37,808  

FHLMC, Series 4114, Class IM (IO)

     3.500 %     07/15/31       1,746,797       85,373  

FHLMC, Series 4169, Class SA (-1.2*1MO LIBOR + 546) (a)

     5.281 %     02/15/33       1,067,923       1,144,615  

FHLMC, Series 226, Class PO (PO)

     0.000 %     02/01/34       178,139       166,992  

FHLMC, Series 3107, Class DC (IO) (-1*1MO LIBOR + 670) (a)

     6.541 %     06/15/35       2,870,494       216,788  

FHLMC, Series 3102, Class TA (IO)

     7.500 %     01/15/36       267,133       308,307  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Agency MBS CMO Derivatives — 3.5% continued

FHLMC, Series 3607, Class AO (PO)

     0.000 %     04/15/36     $ 118,973     $ 109,433  

FHLMC, Series 237, Class S14 (IO) (-1*1MO LIBOR + 660) (a)

     6.441 %     05/15/36       502,081       101,715  

FHLMC, Series 3199, Class OC (PO)

     0.000 %     08/15/36       186,756       173,746  

FHLMC, Series 379, Class I (PO)

     0.000 %     05/25/37       66,299       62,149  

FHLMC, Series 3607, Class OP (PO)

     0.000 %     07/15/37       394,323       359,465  

FHLMC, Series 4006, Class IA (IO)

     4.500 %     09/15/41       715,477       77,595  

FHLMC, Series 4116, Class LI (IO)

     4.500 %     02/15/42       2,436,252       308,583  

FHLMC, Series 4074, Class SJ (IO) (-1*1MO LIBOR + 662) (a)

     6.461 %     07/15/42       1,328,315       308,178  

FHLMC, Pool #S0-6050 (PO)

     0.000 %     08/15/42       308,777       281,752  

FHLMC, Pool#S0-6829 (PO)

     0.000 %     09/15/43       481,008       431,084  

FNMA, Series 2012-128, Class EI (IO)

     3.500 %     11/25/27       565,713       38,104  

FNMA, Series 2012-148, Class IA (IO)

     4.000 %     01/25/28       301,621       24,815  

FNMA, Series 2004-91, Class SP (-2.40*1MO LIBOR + 1680) (a)

     16.445 %     11/25/31       256,590       360,388  

FNMA, Series 2004-61, Class GO (PO)

     0.000 %     11/25/32       572,723       544,985  

FNMA, Series 2013-89, Class DI (IO)

     4.000 %     08/25/33       2,611,446       273,280  

FNMA, Series 348, Class II (IO)

     6.000 %     01/25/34       107,435       23,254  

FNMA, Series 2015-82, Class AI (IO)

     3.500 %     06/25/34       1,442,262       119,245  

FNMA, Series 2016-28, Class DI (IO)

     3.500 %     03/25/35       1,397,274       123,756  

FNMA, Series 384, Class 11 (IO)

     5.000 %     03/25/35       895,571       148,839  

FNMA, Series 2005-52, Class JH (IO) (-1*1MO LIBOR + 660) (a)

     6.452 %     05/25/35       489,067       79,678  

 

 

62 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Agency MBS CMO Derivatives — 3.5% continued

FNMA, Series 378, Class (IO)

     5.000 %     06/01/35     $ 915,953     $ 150,768  

FNMA, Series 2016-24, Class KI (IO)

     3.500 %     07/25/35       668,063       66,713  

FNMA, Series 368, Class (IO)

     5.000 %     02/01/36       766,771       103,187  

FNMA, Series 2006-96, Class MO (PO)

     0.000 %     10/25/36       62,627       60,270  

FNMA, Series 398, Class C5 (IO)

     5.000 %     05/25/39       1,063,571       180,842  

FNMA, Series 2013-120, Class JI (IO)

     4.000 %     02/25/40       547,317       20,263  

FNMA, Series 2010-44, Class CS (IO) (-1*1MO LIBOR + 655) (a)

     6.402 %     05/25/40       97,502       16,192  

FNMA, Series 2012-63, Class NI (IO)

     4.000 %     06/25/40       1,751,763       82,691  

FNMA, Series 2011-14, Class PI (IO)

     5.000 %     06/25/40       89,577       4,204  

FNMA, Series 2012-100, Class MI (IO)

     4.500 %     12/25/40       507,641       27,946  

FNMA, Series 409, Class C1

     4.000 %     04/01/42       1,821,475       266,421  

FNMA, Series 2012-128, Class SH (1MO LIBOR + 400) (a)

     3.852 %     11/25/42       520,870       513,384  

FNMA, Series 2016-30, Class IN (IO)

     3.500 %     02/25/43       2,976,841       202,246  

FNMA, Series 2003-W10, Class 3IO (IO) (a)

     0.639 %     06/25/43       12,482,766       222,601  

FNMA, Series 2013-82, Class SB (-2.67*1MO LIBOR + 1173) (a)

     11.336 %     08/25/43       350,236       502,938  

FNMA, Series 2013-101, Class DO (PO)

     0.000 %     10/25/43       168,708       153,021  

FNMA, Series 2014-42, Class SN (IO) (-1*1MO LIBOR + 605) (a)

     5.902 %     07/25/44       700,166       136,131  

FNMA, Series 2019-31, Class CI (IO)

     4.000 %     02/25/47       2,344,516       160,119  

GNMA, Series 2010-47, Class PX (IO) (-1*1MO LIBOR + 670) (a)

     6.548 %     06/20/37       897,272       190,135  

GNMA, Series 2012-146, Class AI (IO)

     3.000 %     10/20/37       2,242,706       100,963  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Agency MBS CMO Derivatives — 3.5% continued

GNMA, Series 2008-38, Class ID (IO)

     6.000 %     03/20/38     $ 353,059     $ 25,876  

GNMA, Series 2013-124, Class ES (-1.333 * 1MO LIBOR + 866.7) (a)

     8.464 %     04/20/39       46,854       49,016  

GNMA, Series 2011-21, Class SA (IO) (-1*1MO LIBOR + 600) (a)

     5.847 %     02/16/41       2,772,455       570,190  

GNMA, Series 2011-145, Class QI (IO)

     5.000 %     11/16/41       247,233       37,504  

GNMA, Series 2013-113, Class QS (IO) (-1*1MO LIBOR + 620) (a)

     6.048 %     02/20/42       729,961       127,123  

GNMA, Series 2014-141, Class IE (IO)

     4.000 %     08/20/43       311,783       11,356  

GNMA, Series 2017-004, Class WI (IO)

     4.000 %     02/20/44       2,017,446       169,601  

GNMA, Series 2016-32, Class MS (IO) (-1*1MO LIBOR + 605) (a)

     5.898 %     03/20/46       2,611,330       493,560  

GNMA, Series 2019-98, Class BI (IO)

     3.000 %     06/20/49       847,484       282,357  

GNMA, Series 2019-120, Class DI (IO)

     3.500 %     08/20/49       3,506,280       444,343  

GNMA, Series 2012-H02, Class AI (IO) (a)

     1.911 %     01/20/62       173,127       7,194  

GNMA, Series 2013-H13, Class T1 (IO) (a)

     0.471 %     05/20/63       2,072,683       31,129  

GNMA, Series 2016-H20, Class GI (IO) (a)

     0.372 %     08/20/66       1,875,783       19,344  

GNMA, Series 2017-H11, Class PI (IO) (a)

     3.861 %     04/20/67       90,658       1,819  

GNMA, Series 2017-H22, Class ID (IO) (a)

     3.854 %     11/20/67       47,265       2,919  

GNMA, Series 2018-H08, Class NI (IO) (a)

     0.822 %     05/20/68       1,247,810       30,814  
                              11,715,961  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 63

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Agency MBS Passthrough — 2.9%

FHLMC, Pool #FG G14973

     4.000 %     12/01/28     $ 183,732     $ 201,471  

FHLMC, Pool #FG U59010

     4.000 %     11/01/34       253,730       273,439  

FHLMC, Pool #G61909

     4.500 %     12/01/37       651,713       719,173  

FHLMC, Pool #FG G06085

     6.500 %     09/01/38       77,287       88,461  

FNMA, Pool #FN 252409

     6.500 %     03/01/29       103,326       115,166  

FNMA, Pool #FN AL5850

     3.500 %     10/01/29       148,475       158,834  

FNMA, Pool #FN AS7287

     3.500 %     06/01/31       718,094       786,315  

FNMA, Pool #FN AL3200

     3.500 %     02/01/33       523,081       563,704  

FNMA, Pool #FN AT7120

     3.500 %     06/01/33       603,540       650,300  

FNMA, Pool #FN AL5166

     3.000 %     11/01/33       423,178       447,270  

FNMA, Pool #FN AL6685

     4.000 %     01/01/35       252,082       271,604  

FNMA, Pool #FN MA2198

     3.500 %     03/01/35       484,019       523,160  

FNMA, Pool #FN BM1486

     4.000 %     03/01/35       1,548,755       1,693,157  

FNMA, Pool #FN MA3050

     4.500 %     06/01/37       1,046,667       1,153,862  

FNMA, Pool #FN AS4073

     4.000 %     12/01/44       249,479       280,851  

FNMA, Pool #FN MA2778

     3.500 %     10/01/46       274,154       285,839  

GNMA, Pool #MA5738M

     4.000 %     02/20/34       461,697       489,459  

GNMA, Pool #GN 784279

     5.500 %     11/15/38       473,403       548,493  

GNMA, Pool #711522X

     4.500 %     07/15/40       334,260       399,914  

GNMA, Pool #GN 78541

     4.500 %     06/15/46       204,426       228,868  
                              9,879,340  

ARM — 0.0% (d)

Structured Asset Securities Corp., Series 2003-37A, Class 2-A (a)

     2.501 %     12/25/33       11,071       10,872  
 

Auto Loan — 5.7%

American Credit Acceptance Receivables Trust, Series 2017-1, Class E (c)

     5.440 %     03/13/24       100,000       100,140  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Auto Loan — 5.7% continued

American Credit Acceptance Receivables Trust, Series 2018-3, Class D (c)

     4.140 %     10/15/24     $ 480,000     $ 491,125  

American Credit Acceptance Receivables Trust, Series 2020-3, Class D (c)

     2.400 %     06/15/26       300,000       310,153  

Arivo Acceptance Auto Loan Receivables Trust, Series 2019-1, Class A (c)

     2.990 %     07/15/24       87,734       88,837  

Carvana Auto Receivable Trust, Series 2020-P1, Class C

     1.320 %     11/09/26       500,000       501,078  

Carvana Auto Receivable Trust, Series 2020-P1, Class D

     1.820 %     09/08/27       400,000       403,394  

Chase Credit Linked Notes, Series 2020-2, Class C (c)

     1.140 %     02/25/28       400,000       400,552  

CIG Auto Receivables Trust, Series 2020-1, Class D (c)

     2.350 %     01/12/26       300,000       302,116  

CIG Auto Receivables Trust, Series 2020-1, Class C (c)

     1.750 %     02/12/26       460,000       461,927  

CPS Auto Receivables Trust, Series 2020-C, Class D (c)

     2.410 %     11/16/26       400,000       413,148  

CPS Auto Trust, Series 2017-D, Class C (c)

     3.010 %     10/17/22       17,194       17,227  

CPS Auto Trust, Series 2017-D, Class D (c)

     3.730 %     09/15/23       260,000       264,835  

CPS Auto Trust, Series 2019-C, Class C (c)

     2.840 %     06/16/25       250,000       255,386  

Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C (c)

     2.280 %     02/15/30       550,000       558,518  

Credit Acceptance Auto Trust, Series 2019-3, Class C (c)

     3.060 %     03/15/29       400,000       415,374  

 

 

64 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Auto Loan — 5.7% continued

Drive Auto Receivables Trust, Series 2020-2, Class C

     2.280 %     08/17/26     $ 1,118,000     $ 1,154,202  

Drive Auto Receivables Trust, Series 2020-1, Class D

     2.700 %     05/17/27       500,000       518,430  

DT Auto Owner Trust, Series 2019-2, Class D (c)

     3.480 %     02/18/25       195,000       202,405  

DT Auto Owner Trust, Series 2019-3, Class D (c)

     2.960 %     04/15/25       285,000       294,631  

DT Auto Owner Trust, Series 2020-2, Class E (c)

     4.730 %     03/16/26       300,000       327,092  

Exeter Automobile Receivables Trust, Series 2020-2, Class D (c)

     4.730 %     04/15/26       300,000       325,905  

FHF Trust, Series 2020-1, Class A (c)

     2.590 %     12/15/23       571,906       575,759  

Foursight Capital Automobile Receivables, Series 2018-2, Class E (c)

     5.500 %     10/15/24       750,000       793,871  

GLS Auto Receivables Trust, Series 2020-4A, Class D (c)

     1.640 %     10/15/26       600,000       610,655  

Hertz Fleet Lease Funding LP, Series 2017-1, Class C (c)

     3.140 %     04/10/31       1,565,000       1,565,987  

Hertz Fleet Lease Funding LP, Series 2017-1, Class E (c)

     5.800 %     04/10/31       1,000,000       1,006,619  

Hertz Fleet Lease Funding LP, Series 2018-1, Class D (c)

     4.170 %     05/10/32       300,000       301,921  

Hertz Fleet Lease Funding LP, Series 2018-1, Class E (c)

     5.550 %     05/10/32       600,000       604,794  

Hertz Fleet Lease Funding LP, Series 2019-1, Class A1 (1MO LIBOR + 47) (a)(c)

     0.619 %     01/10/33       273,698       274,391  

Hertz Fleet Lease Funding LP, Series 2019-1, Class E (c)

     4.620 %     01/10/33       100,000       101,908  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Auto Loan — 5.7% continued

Navistar Financial Dealer Note Master Trust, Series 2019-1, Class D (1MO LIBOR + 145) (a)(c)

     1.598 %     05/28/24     $ 285,000     $ 285,213  

OneMain Direct Auto Receivables, Series 2018-1, Class B (c)

     3.710 %     04/14/25       300,000       306,422  

OSCAR US Funding Trust, Series 2019-11, Class A-4 (c)

     2.680 %     09/10/26       145,000       152,028  

Santander Consumer Auto Receivables, Series 2020-B, Class D (c)

     2.140 %     12/15/26       400,000       406,224  

Santander Drive Auto Trust, Series 2019-3, Class D

     2.680 %     10/15/25       545,000       560,137  

Skopos Auto Receivables Trust, Series 2019-1, Class A (c)

     2.900 %     12/15/22       79,834       80,153  

Skopos Auto Receivables Trust, Series 2019-1, Class B (c)

     3.430 %     09/15/23       600,000       607,166  

Tesla Auto Lease Trust, Series 2018-B, Class D (c)

     5.290 %     11/22/21       250,000       255,973  

Tesla Auto Lease Trust, Series 2019-A, Class C (c)

     2.680 %     01/20/23       700,000       720,004  

Tesla Auto Lease Trust, Series 2019-A, Class D (c)

     3.370 %     01/20/23       350,000       362,850  

Tesla Auto Lease Trust, Series 2020-A, Class D (c)

     2.330 %     02/20/24       250,000       255,998  

Westlake Auto Receivables Trust, Series 2019-3, Class D (c)

     2.720 %     11/15/24       523,000       537,114  

Westlake Auto Receivables Trust, Series 2019-2, Class D (c)

     3.200 %     11/15/24       375,000       388,140  

Westlake Auto Receivables Trust, Series 2020-1, Class C (c)

     2.520 %     04/15/25       300,000       308,186  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 65

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Auto Loan — 5.7% continued

Westlake Auto Receivables Trust, Series 2020-2, Class D (c)

     2.760 %     01/15/26     $ 280,000     $ 289,563  
                              19,157,551  

Conduit — 0.0% (d)

WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D (a)(c)

     5.631 %     02/15/44       26,414       26,341  
 

CRE/CLO — 4.3%

A10 Securitization, Series 2020-C, Class B (c)(e)

     2.617 %     08/15/40       300,000       299,947  

A10 Securitization, Series 2020-C, Class D (c)(e)

     4.129 %     08/15/40       250,000       249,600  

A10 Securitization, Series 2020-C, Class E (c)(e)

     5.465 %     08/15/40       250,000       249,352  

A10 Securitization, Series 2020-C, Class A (c)(e)

     2.021 %     09/15/50       279,358       279,340  

Bancorp Commercial Mortgage Trust (The), Series 2017-CRE2, Class C (1MO LIBOR + 235) (a)(c)

     2.491 %     08/15/32       250,000       242,470  

Bancorp Commercial Mortgage Trust (The), Series 2018-CR3, Class D (1MO LIBOR + 270) (a)(c)

     2.859 %     03/16/35       324,000       313,891  

Bancorp Commercial Mortgage Trust (The), Series 2019-CRE6, Class A (1MO LIBOR + 105) (a)(c)

     1.191 %     09/17/36       398,224       397,216  

Bancorp Commercial Mortgage Trust (The), Series 2019-CRE5, Class A (1MO LIBOR + 100) (a)(c)

     1.159 %     03/17/36       333,715       331,998  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

CRE/CLO — 4.3% continued

BSPRT Issuer Ltd., Series 2018-FL3, Class A (1MO LIBOR + 105) (a)(c)

     1.209 %     03/15/28     $ 592,371     $ 590,319  

BSPRT Issuer Ltd., Series 2018-FL4, Class A (1MO LIBOR + 105) (a)(c)

     1.209 %     09/17/35       879,646       874,768  

BXMT Ltd, Series 2020-FL2, Class C (1MO LIBOR + 165) (a)(c)

     1.793 %     02/18/38       225,000       221,637  

BXMT Ltd., Series 2017-FL1, Class B (1MO LIBOR + 150) (a)(c)

     1.644 %     06/15/35       275,000       274,492  

BXMT Ltd., Series 2017-FL1, Class D (1MO LIBOR + 275) (a)

     2.852 %     06/15/35       1,000,000       997,519  

BXMT Ltd., Series 2020-FL2, Class A (1MO LIBOR + 90) (a)(c)

     1.043 %     02/16/37       425,000       422,097  

BXMT Ltd., Series 2020-FL2, Class D (1MO LIBOR + 195) (a)(c)

     2.094 %     02/16/37       625,000       614,099  

BXMT Ltd., Series 2020-FL2, Class B (1MO LIBOR + 140) (a)(c)

     1.552 %     02/18/38       1,000,000       986,301  

Exantas Capital Corp., Series 2019-RS07, Class A (1MO LIBOR + 100) (a)(c)

     1.153 %     04/15/22       800,848       790,656  

Exantas Capital Corp., Series 2020-RS09, Class D (1MO LIBOR + 550) (a)(c)(e)

     5.653 %     04/17/37       374,220       376,969  

FHLMC, Series 2020-FL3, Class B (1MO LIBOR + 375) (a)(c)

     3.891 %     07/15/35       300,000       303,925  

FHLMC, Series 2020-FL3, Class A-S (1MO LIBOR + 285) (a)(c)

     2.991 %     07/16/35       800,000       808,473  

KKR Real Estate Finance Trust, Inc., Series 2018-FL1, Class A (1MO LIBOR + 110) (a)(c)

     1.253 %     06/15/36       1,000,000       998,161  

 

 

66 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

CRE/CLO — 4.3% continued

Multi Family Housing Mortgage Loan, Series 2019-FL2, Class A (1MO LIBOR + 113) (a)(c)

     1.280 %     11/27/34     $ 300,000     $ 297,200  

Multi Family Housing Mortgage Loan, Series 2019-FL2, Class C (1MO LIBOR + 200) (a)(c)

     2.150 %     12/25/34       300,000       289,160  

Multi Family Housing Mortgage Loan, Series 2020-FL4, Class A (1MO LIBOR +170) (a)(c)

     1.859 %     11/15/35       600,000       600,516  

PFP Ltd., Series 2019-5, Class B (1MO LIBOR + 165) (a)(c)

     1.803 %     04/16/36       650,000       633,820  

ReadyCap Commercial Mortgage Trust, Series 2020-FL4, Class A (1MO LIBOR + 215) (a)(c)

     2.300 %     02/25/35       999,990       1,005,473  

ReadyCap Commercial Mortgage Trust, Series 2018-FL2, Class D (1MO LIBOR + 270) (a)(c)(e)

     2.848 %     06/25/35       188,000       182,817  

TPG Real Estate Finance, Series 2019-FL3, Class A (1MO LIBOR + 115) (a)(c)

     1.294 %     10/15/34       600,000       591,208  

VMC Finance LLC, Series 2018-FL2, Class A (1MO LIBOR + 92) (a)(c)

     1.073 %     10/15/35       159,347       158,595  
                              14,382,019  

Credit Cards — 1.4%

Continental Credit Card LLC, Series 2017-1, Class B (c)

     6.410 %     01/15/25       236,143       245,777  

Continental Credit Card LLC, Series 2019-1, Class A (c)

     3.830 %     08/15/26       600,000       617,853  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Credit Cards — 1.4% continued

Continental Credit Card LLC, Series 2019-1, Class B (c)

     4.950 %     08/15/26     $ 300,000     $ 310,907  

Continental Credit Card LLC, Series 2020-A, Class A (c)

     2.240 %     12/15/28       1,350,000       1,354,525  

Continental Credit Card LLC, Series 2020-A, Class B (c)

     3.660 %     12/15/28       900,000       903,672  

Genesis Private Label Amortization Trust, Series 2020-1, Class C (c)

     4.190 %     07/20/30       200,000       201,287  

Genesis Sales Finance Master Trust, Series 2019-A, Class A (c)

     4.680 %     08/20/23       100,000       100,452  

Genesis Sales Finance Master Trust, Series 2020-AA, Class B (c)

     2.240 %     09/22/25       535,000       539,231  

Genesis Sales Finance Master Trust, Series 2020-AA, Class C (c)

     2.990 %     09/22/25       300,000       299,686  
                              4,573,390  

Equipment — 0.9%

Business Jet Securities LLC, Series 2018-2, Class A (c)

     4.447 %     06/15/33       324,418       330,266  

Business Jet Securities LLC, Series 2018-2, Class B (c)

     5.437 %     06/15/33       656,689       667,636  

Business Jet Securities LLC, Series 2019-1, Class B (c)

     5.193 %     07/15/34       553,898       557,104  

Business Jet Securities LLC, Series 2020-1, Class B (c)

     3.967 %     11/15/35       342,219       343,865  

CLI Funding VI LLC, Series 2019-1, Class A (c)

     3.710 %     05/18/44       94,295       96,160  

CLI Funding VI LLC, Series 2020-1, Class B (c)

     3.620 %     09/18/45       627,250       631,784  

Octane Receivables Trust, Series 2019-1, Class A (c)

     3.160 %     09/20/23       92,976       94,141  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 67

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Equipment — 0.9% continued

Octane Receivables Trust, Series 2020-1, Class A (c)

     1.710 %     02/20/25     $ 342,885     $ 343,762  
                              3,064,718  

HECM — 0.2%

Cascade Funding Mortgage Trust, Series 2018-RM1, Class A1 (c)

     4.580 %     06/25/48       80,503       80,755  

Finance of America HECM, Series 2020-HB2, Class A (c)

     1.710 %     07/25/30       306,837       307,298  

RMF Buyout Issuance Trust, Series 2020-2, Class M2 (c)

     3.091 %     06/25/30       250,000       251,109  
                              639,162  

Hospitality — 1.9%

BHMS Mortgage Trust, Series 2018-ATLS, Class A (1MO LIBOR + 125) (a)(c)

     1.391 %     07/16/35       280,000       272,279  

BX Commercial Mortgage Trust, Series 2020-VIV4, Class A (c)

     2.843 %     03/09/44       650,000       678,257  

BX Commercial Mortgage Trust, Series 2020-VIV3, Class B (c)

     3.540 %     03/09/44       650,000       689,219  

BX Trust, Series 2018-GW, Class E (1MO LIBOR + 197) (a)(c)

     2.111 %     05/15/37       150,000       142,299  

BX Trust, Series 2019-OC11, Class B (c)

     3.605 %     12/09/41       435,000       477,409  

BX Trust, Series 2019-OC11, Class D (a)(c)

     4.075 %     12/09/41       225,000       233,979  

BX Trust, Series 2019-OC11, Class A (c)

     3.202 %     12/11/41       577,000       631,526  

BX Trust, Series 2019-OC11, Class C (c)

     3.856 %     12/11/41       270,000       286,222  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Hospitality — 1.9% continued

Champlain Housing Mortgage Trust, Series 2017-COSMO, Class B (1MO LIBOR + 140) (a)(c)

     1.541 %     11/17/36     $ 100,000     $ 98,244  

Cosmopolitan Hotel Trust, Series 2017-COSMO, Class D (1MO LIBOR + 225) (a)(c)

     2.391 %     11/15/36       100,000       96,740  

Cosmopolitan Hotel Trust, Series 2017-COSMO, Class A (1MO LIBOR + 93) (a)(c)

     1.071 %     11/17/36       700,000       692,131  

Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class A (1MO LIBOR + 92) (a)(c)

     1.079 %     07/16/35       778,781       763,160  

Goldman Sachs Mortgage Securities Corp. Trust, Series 2018-HULA, Class B (1MO LIBOR + 125) (a)(c)

     1.409 %     07/16/35       973,476       950,320  

Hawaii Hotel Trust, Series 2019-MAUI, Class B (1MO LIBOR + 145) (a)(c)

     1.591 %     05/17/38       156,000       152,315  

Motel 6 Trust, Series 2017-MTL6, Class D (1MO LIBOR + 215) (a)(c)

     2.291 %     08/15/34       353,077       349,108  
                              6,513,208  

Industrial — 1.8%

BX Commercial Mortgage Trust, Series 2020-FOX, Class D (1MO LIBOR + 210) (a)(c)

     2.259 %     11/15/32       1,200,000       1,203,383  

BX Commercial Mortgage Trust, Series 2018-IND, Class A (1MO LIBOR + 75) (a)(c)

     0.891 %     11/15/35       631,114       630,917  

 

 

68 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Industrial — 1.8% continued

BX Commercial Mortgage Trust, Series 2018-IND, Class F (1MO LIBOR + 180) (a)(c)

     1.941 %     11/15/35     $ 350,000     $ 348,684  

BX Commercial Mortgage Trust, Series 2019-XL, Class A (1MO LIBOR + 92) (a)(c)

     1.061 %     10/15/36       545,846       546,864  

BX Commercial Mortgage Trust, Series 2019-XL, Class B (1MO LIBOR + 108) (a)(c)

     1.221 %     10/15/36       650,269       650,269  

BX Commercial Mortgage Trust, Series 2020-BXLP, Class B (1MO LIBOR + 100) (a)(c)

     1.141 %     12/15/36       226,792       226,792  

BX Commercial Mortgage Trust, Series 2020-BXLP, Class C (1MO LIBOR + 112) (a)(c)

     1.261 %     12/15/36       179,835       179,159  

BX Commercial Mortgage Trust, Series 2020-BXLP, Class D (1MO LIBOR + 125) (a)(c)

     1.391 %     12/15/36       499,543       493,931  

BX Commercial Mortgage Trust, Series 2020-BXLP, Class E (1MO LIBOR + 160) (a)(c)

     1.741 %     12/15/36       211,806       207,559  

Cold Storage Trust, Series 2020-ICE5, Class E (a)(c)

     2.906 %     11/16/37       500,000       498,746  

Credit Suisse First Boston, Series 2020-UNFI, Class A (1MO LIBOR + 276.56) (a)(c)

     4.168 %     12/06/22       1,000,000       1,000,050  
                              5,986,354  

Laboratory — 1.3%

CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class A (1MO LIBOR + 107) (a)(c)

     1.211 %     12/15/37       350,000       350,719  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Laboratory — 1.3% continued

CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class B (1MO LIBOR + 97) (a)(c)

     1.111 %     07/15/32     $ 411,095     $ 410,970  

Commercial Mortgage Trust, Series 2020-CX, Class A (c)

     2.173 %     11/10/46       2,000,000       2,085,066  

DBGS Mortgage Trust, Series 2018-BIOD, Class B (1MO LIBOR + 89) (a)(c)

     1.029 %     05/15/35       496,554       496,399  

KNDL Mortgage Trust, Series 2019-KNSQ, Class D (1MO LIBOR + 135) (a)(c)

     1.509 %     05/15/36       425,000       423,945  

VLS Commercial Mortgage Trust, Series 2020-LAB, Class D (c)

     2.603 %     10/10/42       600,000       587,818  
                              4,354,917  

Manufactured Housing — 0.0% (d)

Cascade Funding Mortgage Trust, Series 2019-MH1, Class M (c)

     5.985 %     11/25/44       100,000       104,205  
 

Mixed-Use — 0.1%

20 Times Square Trust, Series 2018-20TS, Class B (a)(c)

     3.203 %     05/17/35       300,000       298,923  
 

Multifamily — 0.7%

FREMF Mortgage Trust, Series 2018-KF44, Class B (1MO LIBOR +215) (a)(c)

     2.303 %     02/25/25       531,750       524,789  

FREMF Mortgage Trust, Series 2018-KF43, Class B (1MO LIBOR +215) (a)(c)

     2.303 %     01/25/28       491,819       480,176  

FREMF Mortgage Trust, Series 2018-KF50, Class B (1MO LIBOR + 190) (a)(c)

     2.040 %     07/25/28       351,795       339,263  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 69

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Multifamily — 0.7% continued

Multi Family Connecticut Avenue, Series 2019-01, Class M-7 (1MO LIBOR + 170) (a)(c)

     1.848 %     10/15/49     $ 595,732     $ 579,083  

Multi Family Connecticut Avenue, Series 2020-01, Class M-7 (1MO LIBOR + 195) (a)(c)

     2.098 %     03/25/50       325,737       321,263  
                              2,244,574  

Non-Performing Loan — 0.3%

Volt LXXX LLC, Series 2019-NP6, Class A-1A (a)(c)

     3.228 %     10/25/49       346,706       347,195  

Volt LXXXIX LLC, Series 2020-NPL5, Class A-1A (a)(c)

     2.981 %     03/25/50       816,535       817,295  
                              1,164,490  

Non-QM — 0.0% (d)

Arroyo Mortgage Trust, Series 2018-1, Class A1 (c)

     3.763 %     04/25/48       69,588       70,617  
 

Residential Transition Loan — 0.1%

Antler Mortgage Trust, Series 2019-RTL1, Class A1 (c)

     4.458 %     06/27/22       99,656       99,605  

LHFC Depositor LLC, Series 2019-RLT1, Class A2 (c)

     4.948 %     10/25/23       100,000       99,991  
                              199,596  

Retail — 0.5%

Aventura Mall Trust, Series 2018-AVM, Class C (c)

     4.249 %     07/05/40       650,000       600,520  

BX Trust, Series 2018-EXCL, Class A (1MO LIBOR + 1088) (a)(c)

     1.229 %     09/15/37       90,739       83,766  

Citigroup Commercial Mortgage, Series 2017-MDRB, Class D (1MO LIBOR + 325) (a)(c)

     3.391 %     07/15/30       150,000       141,649  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Retail — 0.5% continued

Citigroup Commercial Mortgage, Series 2017-MDRB, Class A (1MO LIBOR + 110) (a)(c)

     1.241 %     07/15/30     $ 197,347     $ 189,699  

Credit Suisse First Boston, Series 2018-SITE, Class A (c)

     4.284 %     04/17/36       127,000       126,497  

Credit Suisse First Boston, Series 2018-SITE, Class C (a)(c)

     4.941 %     04/17/36       435,000       395,996  
                              1,538,127  

Single Family Rental — 2.5%

American Homes 4 Rent, Series 2014-SFR2, Class E (c)

     6.231 %     10/17/36       300,000       332,883  

American Homes 4 Rent, Series 2014-SFR2, Class D (c)

     3.678 %     12/17/36       334,122       360,813  

American Homes 4 Rent, Series 2014-SFR3, Class E (c)

     6.418 %     12/18/36       300,000       336,181  

American Homes 4 Rent, Series 2015-SFR1, Class A (c)

     3.467 %     04/17/52       115,655       124,146  

Colony American Finance Ltd., Series 2016-2, Class B (c)

     3.141 %     11/15/48       150,000       150,879  

Colony American Finance Ltd., Series 2020-1, Class A2 (c)

     2.296 %     03/15/50       250,000       255,774  

Colony American Finance Ltd., Series 2020-1, Class A1 (c)

     1.832 %     03/17/50       245,899       249,457  

Colony American Finance Ltd., Series 2020-4, Class B (c)

     1.707 %     12/15/52       800,000       803,558  

Colony American Finance Ltd., Series 2020-4, Class D (c)

     2.712 %     12/15/52       800,000       805,020  

Colony American Finance Ltd., Series 2020-4, Class E (c)

     3.379 %     12/15/52       750,000       750,127  

 

 

70 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Single Family Rental — 2.5% continued

Home Partners of America Trust, Series 2019-1, Class B (c)

     3.157 %     09/17/27     $ 570,434     $ 593,113  

Home Partners of America Trust, Series 2019-2, Class B (c)

     2.922 %     10/19/39       635,778       661,366  

Invitation Homes Trust, Series 2017-SFR2, Class A (1MO LIBOR + 85) (a)(c)

     1.003 %     12/19/36       809,605       807,630  

Invitation Homes Trust, Series 2018-SFR1, Class B (1MO LIBOR + 95) (a)(c)

     1.086 %     03/17/37       750,000       743,792  

Invitation Homes Trust, Series 2018-SFR1, Class A (1MO LIBOR+ 70) (a)(c)

     0.836 %     03/19/37       305,532       302,990  

Invitation Homes Trust, Series 2018-SFR3, Class A (1MO LIBOR + 100) (a)(c)

     1.153 %     07/17/37       1,075,853       1,075,853  
                              8,353,582  

Small Business — 1.4%

Credibly Asset Securitization LLC, Series 2018-1, Class A (c)

     4.800 %     11/15/23       750,000       750,837  

Kabbage Funding LLC, Series 2019-1, Class C (c)

     4.611 %     03/15/24       169,361       169,344  

Newtek Small Business Loan Trust, Series 2018-1, Class A (1MO LIBOR + 170) (a)(c)

     1.850 %     02/25/44       763,616       742,843  

Newtek Small Business Loan Trust, Series 2018-1, Class B (1MO LIBOR + 300) (a)(c)

     3.150 %     02/25/44       200,952       183,459  

Newtek Small Business Loan Trust, Series 2019-01, Class A (1MO LIBOR + 165) (a)(c)

     2.350 %     12/25/44       778,625       764,573  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Small Business — 1.4% continued

Newtek Small Business Loan Trust, Series 2019-01, Class B (1MO LIBOR + 250) (a)(c)

     3.500 %     12/25/44     $ 330,916     $ 312,206  

SFS Asset Securitization LLC, Series 2019-1, Class A (c)

     4.238 %     06/10/25       800,000       799,769  

SFS Asset Securitization LLC, Series 2019-1, Class B (c)

     5.023 %     06/10/25       150,000       143,502  

Small Business Lending Trust, Series 2019-A, Class A (c)

     2.850 %     07/15/26       222,083       221,478  

Small Business Lending Trust, Series 2020-A, Class B (c)

     3.200 %     12/15/26       646,000       622,048  
                              4,710,059  

Student Loan — 1.4%

College Ave Student Loans, Series 2018-A, Class B (a)(c)

     4.750 %     12/26/47       140,000       147,871  

College Ave Student Loans, Series 2018-A, Class C (a)(c)

     5.500 %     12/26/47       100,000       105,270  

College Ave Student Loans, Series 2019-A, Class A1 (1MO LIBOR + 140) (a)(c)

     1.550 %     12/28/48       158,449       159,686  

College Ave Student Loans, Series 2019-A, Class C (c)

     4.460 %     12/28/48       250,000       260,568  

Earnest Student Loan Program LLC, Series 2016-C, Class A-2 (c)

     2.680 %     07/25/35       199,961       200,812  

Earnest Student Loan Program LLC, Series 2017-A, Class B (c)

     3.590 %     01/25/41       126,696       128,502  

Laurel Road Prime Student Loan, Series 2018-B, Class A2 (c)

     3.540 %     05/26/43       72,584       74,292  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 71

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Student Loan — 1.4% continued

Laurel Road Prime Student Loan, Series 2019-A, Class A2FX (c)

     2.730 %     10/25/48     $ 219,094     $ 224,198  

SMB Private Education Loan Trust, Series 2018-C, Class B (c)

     4.000 %     11/17/42       200,000       209,255  

Social Professional Loan Program, Series 2016-C, Class A-2B (a)(c)

     2.360 %     12/27/32       104,273       105,608  

Social Professional Loan Program, Series 2015-D, Class B (a)(c)

     3.590 %     10/26/37       98,087       99,358  

Social Professional Loan Program, Series 2017-B, Class CFX (c)

     4.440 %     05/25/40       150,000       157,938  

Social Professional Loan Program, Series 2017-E, Class A-2B (a)(c)

     2.720 %     11/26/40       166,686       169,572  

Social Professional Loan Program, Series 2017-E, Class C (c)

     4.160 %     11/26/40       700,000       737,367  

Social Professional Loan Program, Series 2016-E, Class C (c)

     4.430 %     10/25/41       200,000       209,467  

Social Professional Loan Program, Series 2018-A, Class A-1 (1MO LIBOR + 35) (a)(c)

     0.500 %     02/25/42       72,075       71,566  

Social Professional Loan Program, Series 2020-A, Class BFX (c)

     3.120 %     05/15/46       425,000       439,211  

Social Professional Loan Program, Series 2018-D, Class BFX (c)

     4.140 %     02/25/48       500,000       537,557  

Social Professional Loan Program, Series 2019-C, Class BFX (c)

     3.050 %     11/16/48       730,000       758,089  
                              4,796,187  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Unsecured Consumer — 3.9%

Avant Loans Funding Trust, Series 2020-REV1, Class A (c)

     2.170 %     05/15/29     $ 200,000     $ 200,803  

Freedom Financial, Series 2018-1, Class B (c)

     4.560 %     07/18/24       380,373       380,896  

Freedom Financial, Series 2018-2, Class A (c)

     3.990 %     10/20/25       135,822       136,108  

Freedom Financial, Series 2019-1, Class B (c)

     3.870 %     06/18/26       597,137       603,173  

Freedom Financial, Series 2020-FP1, Class A (c)

     2.520 %     03/18/27       393,034       395,774  

Freedom Financial, Series 2020-FP1, Class B (c)

     3.060 %     03/18/27       225,000       228,542  

Freedom Financial, Series 2020-2CP, Class A (c)

     4.520 %     06/18/27       307,151       310,539  

Freedom Financial, Series 2020-3FP, Class A (c)

     2.400 %     09/20/27       142,477       143,104  

Freedom Financial, Series 2020-3FP, Class B (c)

     4.180 %     09/20/27       1,000,000       1,023,924  

LendingPoint Asset Securitization Trust, Series 2019-1, Class B (c)

     3.613 %     08/15/25       276,647       277,307  

LendingPoint Asset Securitization Trust, Series 2020-1, Class B (c)

     3.107 %     02/10/26       350,000       351,322  

Lendmark Funding Trust, Series 2020-2A, Class C (c)

     4.690 %     04/21/31       550,000       558,542  

LL ABS Trust, Series 2020-1, Class A (c)

     2.330 %     07/15/22       570,114       577,034  

LL ABS Trust, Series 2020-1, Class B (c)

     3.790 %     03/15/23       250,000       258,649  

LL ABS Trust, Series 2019-1, Class A (c)

     2.870 %     03/15/27       265,994       267,204  

LL ABS Trust, Series 2019-1, Class B (c)

     3.520 %     03/15/27       150,000       150,510  

Marlette Funding Trust, Series 2019-4, Class B (c)

     2.950 %     12/17/29       125,000       127,279  

Oportun Funding VII LLC, Series 2018-C, Class A (c)

     4.100 %     10/08/24       300,000       304,828  

 

 

72 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Securitized — 63.4% continued

Unsecured Consumer — 3.9% continued

Oportun Funding VIII LLC, Series 2018-A, Class B (c)

     4.450 %     03/08/24     $ 650,000     $ 650,000  

Oportun Funding XII LLC, Series 2018-D, Class B (c)

     4.830 %     12/09/24       100,000       101,794  

Oportun Funding XIII LLC, Series 2019-13, Class B (c)

     3.870 %     08/08/25       500,000       507,190  

Prosper Marketplace Issuance Trust, Series 2019-3, Class B (c)

     3.590 %     07/15/25       150,000       151,310  

Prosper Marketplace Issuance Trust, Series 2019-4, Class B (c)

     3.200 %     02/17/26       200,000       201,580  

Regional Management Issuance Trust, Series 2018-2, Class A (c)

     4.560 %     01/18/28       420,000       423,491  

Regional Management Issuance Trust, Series 2019-1, Class C (c)

     4.110 %     11/15/28       200,000       205,129  

Regional Management Issuance Trust, Series 2020-1, Class A (c)

     2.340 %     10/15/30       250,000       252,161  

Upgrade Master Pass-Thru Trust, Series 2019-ST1, Class A (c)

     4.000 %     07/15/25       278,197       280,623  

Upgrade Master Pass-Thru Trust, Series 2019-ST3, Class A (c)

     3.750 %     11/15/25       102,487       103,643  

Upgrade Receivables Trust, Series 2019-1, Class B (c)

     4.090 %     03/15/25       68,190       68,251  

Upstart Pass Through Trust, Series 20-ST6, Class A (c)

     3.000 %     01/20/27       650,000       652,123  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Unsecured Consumer — 3.9% continued

Upstart Pass-Through Trust, Series 2020-ST1, Class A (c)

     3.750 %     02/20/28     $ 198,214     $ 201,141  

Upstart Pass-Through Trust, Series 2020-ST2, Class A (c)

     3.500 %     03/20/28       301,378       306,280  

Upstart Pass-Through Trust, Series 2020-ST3, Class A (c)

     3.350 %     04/20/28       157,326       160,095  

Upstart Securitization Trust, Series 2019-1, Class B (c)

     4.190 %     04/20/26       27,352       27,496  

Upstart Securitization Trust, Series 2021-ST1, Class A (c)

     2.750 %     02/20/27       1,000,000       1,000,152  

Upstart Securitization Trust, Series 2019-2, Class A (c)

     2.897 %     09/20/29       91,386       91,982  

Upstart Securitization Trust, Series 2019-2, Class B (c)

     3.734 %     09/20/29       1,000,000       1,021,049  

Upstart Securitization Trust, Series 2019-3, Class B (c)

     3.829 %     01/21/30       600,000       617,154  
                              13,318,182  
 

Total Securitized

(Cost $208,982,897)

   $ 213,772,008  
 

Treasury — 18.8%

U.S. Treasury Notes

     0.125 %     04/15/21       217,284       218,028  

U.S. Treasury Notes

     2.000 %     11/30/22       1,500,000       1,553,672  

U.S. Treasury Bonds

     1.500 %     03/31/23       1,225,000       1,262,229  

U.S. Treasury Notes (b)

     1.625 %     04/30/23       100,000       103,441  

U.S. Treasury Notes

     2.500 %     05/15/24       750,000       808,096  

U.S. Treasury Notes (b)

     2.250 %     11/15/24       250,000       269,277  

U.S. Treasury STRIPS

     0.000 %     02/15/25       300,000       295,662  

U.S. Treasury Notes (b)

     2.000 %     08/15/25       1,000,000       1,076,914  

U.S. Treasury Notes (b)

     2.250 %     11/15/25       2,000,000       2,183,594  

U.S. Treasury Notes (b)

     1.625 %     02/15/26       3,000,000       3,190,078  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 73

 

 

 

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Treasury — 18.8% continued

U.S. Treasury Notes

     0.625 %     03/31/27     $ 1,000,000     $ 1,005,625  

U.S. Treasury STRIPS

     0.000 %     05/15/28       1,000,000       941,494  

U.S. Treasury Notes (b)

     2.875 %     08/15/28       2,000,000       2,322,109  

U.S. Treasury Notes (b)

     0.625 %     08/15/30       3,313,900       3,228,981  

U.S. Treasury Notes (b)

     0.875 %     11/15/30       8,000,000       7,968,750  

U.S. Treasury STRIPS

     0.000 %     11/15/31       500,000       440,235  

U.S. Treasury STRIPS

     0.000 %     02/15/33       800,000       686,108  

U.S. Treasury STRIPS

     0.000 %     08/15/34       750,000       623,600  

U.S. Treasury STRIPS

     0.000 %     05/15/35       1,000,000       820,685  

U.S. Treasury STRIPS

     0.000 %     02/15/37       1,725,000       1,364,461  

U.S. Treasury Notes

     4.750 %     02/15/37       150,000       228,428  

U.S. Treasury Bonds

     3.500 %     02/15/39       235,000       318,700  

U.S. Treasury Bonds (b)

     4.250 %     05/15/39       500,000       741,055  

U.S. Treasury Bonds

     1.125 %     08/15/40       7,200,000       6,805,125  

U.S. Treasury Bonds

     3.875 %     08/15/40       550,000       787,145  

U.S. Treasury Notes

     4.250 %     11/15/40       1,050,000       1,574,918  

U.S. Treasury Bonds (b)

     4.750 %     02/15/41       700,000       1,116,664  

U.S. Treasury STRIPS

     0.000 %     08/15/41       500,000       359,646  

U.S. Treasury Bonds

     2.750 %     11/15/42       600,000       742,102  

U.S. Treasury Bonds

     3.750 %     11/15/43       1,500,000       2,155,430  

U.S. Treasury Bonds

     2.250 %     08/15/46       1,780,000       2,027,809  

U.S. Treasury Bonds

     3.000 %     02/15/48       1,975,000       2,587,636  

U.S. Treasury Bonds (b)

     2.375 %     11/15/49       1,750,000       2,051,533  

U.S. Treasury Bonds (b)

     2.000 %     02/15/50       2,350,000       2,546,904  

U.S. Treasury Bonds (b)

     1.250 %     05/15/50       10,050,000       9,096,820  

Total Treasury

(Cost $61,551,182)

   $ 63,502,954  
 

 

 


  

Shares

    

Fair
Value

  

Registered Investment Companies — 7.5%

State Street Institutional Liquid Reserves Fund, Premier Class, 0.10% (f)

     7,636,074     $ 7,637,601  

State Street Navigator Securities Lending Portfolio I, 0.17% (f)(g)

     17,812,661       17,812,661  

Total Registered Investment Companies

        

(Cost $25,446,893)

   $ 25,450,262  
 

Total Investment Securities — 105.7%

(Cost $346,822,050)

   $ 356,534,296  
 

Liabilities in Excess of Other Assets — (5.7)%

     (19,289,546 )
 

Net Assets — 100.0%

   $ 337,244,750  

 

(a)

Variable rate security. The rate shown is the effective interest rate as of December 31, 2020. 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, prepayment 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, 2020 was $30,526,114.

(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 exempt from registration. The total fair value of these securities as of December 31, 2020 was $111,466,433, representing 33.1% of net assets.

(d)

Percentage rounds to less than 0.1%.

(e)

Illiquid security as determined under procedures approved by the Board of Trustees. The total fair value of these securities as of December 31, 2020 was $1,638,025, representing 0.5% of net assets.

(f)

The rate shown is the 7-day effective yield as of December 31, 2020.

(g)

This security was purchased with cash collateral from securities on loan.

 

 

74 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

AG — Aktiengesellschaft

BV — Besloten Vennootschap

IO — Interest Only

LIBOR — London Interbank Offered Rate

NA — National Association

NV — Naamloze Vennootschap

plc — Public Limited Company

PO — Principal Only

SA — Societe Anonyme

SOFR — Secured Overnight Financing Rate

UA — Uitgesloten Aansprakelijkheid

 

See accompanying Notes to Financial Statements.

 

Diamond Hill Core Bond Fund
Schedule of Investments (Continued)
December 31, 2020

 

Diamond Hill Corporate Credit Fund
Schedule of Investments
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Collateralized Debt Obligations — 0.1%

Financials — 0.1%

Alesco Preferred Funding Ltd., Class PNNE *

             03/23/35     $ 336,608     $ 155,202  

Alesco Preferred Funding Ltd. VI, Class PNN *

             03/23/35       621,631       300,688  

Fort Sheridan ABS CDO Ltd., Series 05-1A, Class PPN2 *

             11/05/41       611,948       362,654  

Taberna Preferred Funding Ltd., Class PPN2 *

             07/05/35       1,175,564       567,922  

Total Collateralized Debt Obligations

(Cost $2,532,785)

   $ 1,386,466  
 

Corporate Bonds — 93.5%

Automotive — 1.9%

Ford Motor Co.

     8.500 %     04/21/23       3,729,000       4,204,746  

Ford Motor Credit Co. LLC

     3.200 %     01/15/21       8,388,000       8,392,194  

Ford Motor Credit Co. LLC

     3.336 %     03/18/21       7,318,000       7,336,295  

Ford Motor Credit Co. LLC

     4.271 %     01/09/27       2,951,000       3,093,017  

Tesla, Inc. (a)

     5.300 %     08/15/25       9,569,000       9,975,682  

Winnebago Industries, Inc. (a)

     6.250 %     07/15/28       5,635,000       6,057,625  
                              39,059,559  

Banking — 5.0%

BankUnited, Inc.

     5.125 %     06/11/30       28,510,000       33,330,131  

Cadence Bancorp (3MO LIBOR + 303) (b)

     4.750 %     06/30/29       4,750,000       4,216,205  

First Tennessee Bank

     5.750 %     05/01/30       24,525,000       28,540,954  

Popular, Inc. (c)

     6.125 %     09/14/23       21,135,000       22,825,800  

Western Alliance Bancorp

     5.250 %     06/01/30       11,135,000       11,628,157  
                              100,541,247  

Basic Industry — 5.9%

Ashland Global Holdings, Inc.

     6.875 %     05/15/43       12,949,000       17,222,170  

Century Communities, Inc.

     5.875 %     07/15/25       1,767,000       1,837,680  

Century Communities, Inc.

     6.750 %     06/01/27       4,495,000       4,799,312  

GCP Applied Technologies, Inc. (a)

     5.500 %     04/15/26       29,703,000       30,594,090  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 75

 

 

 

 

Diamond Hill Corporate Credit Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Bonds — 93.5% continued

Basic Industry — 5.9% continued

Mueller Industries, Inc. (c)

     6.000 %     03/01/27     $ 17,520,000     $ 17,826,600  

Schweitzer-Mauduit International, Inc. (a)

     6.875 %     10/01/26       21,039,000       22,301,340  

W.R. Grace & Co. (a)

     4.875 %     06/15/27       13,811,000       14,646,842  

WESCO Distribution, Inc. (a)

     7.125 %     06/15/25       9,715,000       10,684,848  
                              119,912,882  

Capital Goods — 0.5%

TransDigm, Inc.

     6.500 %     07/15/24       9,923,000       10,098,836  
 

Consumer Goods — 6.8%

C&S Group Enterprises LLC (a)

     5.000 %     12/15/28       22,870,000       22,811,224  

Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc. (a)

     8.500 %     12/15/22       24,067,000       24,728,842  

Hasbro, Inc.

     6.350 %     03/15/40       18,281,000       23,547,694  

Hasbro, Inc.

     5.100 %     05/15/44       3,859,000       4,408,224  

Pilgrim’s Pride Corp. (a)

     5.750 %     03/15/25       19,803,000       20,329,760  

Pilgrim’s Pride Corp. (a)

     5.875 %     09/30/27       1,265,000       1,372,032  

Post Holdings, Inc. (a)

     5.000 %     08/15/26       12,938,000       13,358,485  

Post Holdings, Inc. (a)

     4.625 %     04/15/30       4,135,000       4,349,855  

US Foods, Inc. (a)

     5.875 %     06/15/24       21,241,000       21,533,063  
                              136,439,179  

Energy — 9.5%

Aker BP ASA (a)

     5.875 %     03/31/25       3,829,000       3,966,449  

Apergy Corp.

     6.375 %     05/01/26       29,656,000       29,952,559  

Double Eagle III (a)

     7.750 %     12/15/25       11,791,000       12,502,941  

Energen Corp. (d)

     7.125 %     02/15/28       22,389,000       25,537,735  

Floatel International Ltd. (d)

     9.000 %     04/11/24       6,400,000       960,000  

Floatel International Ltd. (d)(e)

     12.750 %     04/11/24       3,400,000       0  

Floatel International Ltd. (d)

     0.000 %     04/11/60       288,000       288,000  

Floatel International Ltd. (d)

     0.000 %     04/11/60       288,000       288,000  

Floatel International Ltd. (d)(e)

     0.000 %     04/11/60       216,750       0  

Floatel International Ltd. (d)(e)

     0.000 %     04/11/60       216,750       0  

LBC Tank Terminals Holdings Netherlands BV (a)

     6.875 %     05/15/23       5,555,000       5,555,000  

Leviathan Energy

     5.750 %     06/30/23       1,130,000       1,203,450  

Leviathan Energy

     6.125 %     06/30/25       897,000       984,458  

Leviathan Energy

     6.500 %     06/30/27       11,306,000       12,690,985  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Energy — 9.5% continued

Magnolia Oil & Gas Corp. (a)

     6.000 %     08/01/26     $ 36,709,000     $ 37,351,408  

New Fortress Energy, Inc. (a)

     6.750 %     09/15/25       20,225,000       21,419,286  

Parsley Energy LLC (a)

     5.375 %     01/15/25       4,803,000       4,939,405  

Rattler Midstream LP (a)

     5.625 %     07/15/25       8,781,000       9,274,931  

Welltec A/S (a)

     9.500 %     12/01/22       27,675,000       25,737,750  
                              192,652,357  

Financial Services — 11.2%

Alliance Data Systems Corp. (a)

     4.750 %     12/15/24       32,032,000       32,352,319  

Alliance Data Systems Corp. (a)(c)

     7.000 %     01/15/26       15,662,000       16,567,263  

Credit Acceptance Corp. (a)

     5.125 %     12/31/24       21,896,000       22,771,840  

Credit Acceptance Corp. (c)

     6.625 %     03/15/26       18,573,000       19,780,245  

FirstCash, Inc. (a)

     4.625 %     09/01/28       8,218,000       8,474,813  

Freedom Mortgage Corp. (a)

     7.625 %     05/01/26       9,675,000       10,233,248  

Freedom Mortgage Corp. (a)

     8.125 %     11/15/24       24,571,000       25,630,502  

FS KKR Capital Corp.

     4.125 %     02/01/25       15,150,000       15,772,450  

FS KKR Capital Corp.

     3.400 %     01/15/26       8,575,000       8,521,807  

FS KKR Capital Corp. II (a)

     4.250 %     02/14/25       16,221,000       16,362,438  

Nationstar Mortgage LLC (a)

     6.000 %     01/15/27       18,568,000       19,705,290  

PennyMac Financial Services, Inc. (a)

     5.375 %     10/15/25       967,000       1,022,603  

Quicken Loans LLC (a)

     5.250 %     01/15/28       7,874,000       8,405,495  

Quicken Loans LLC (a)

     3.625 %     03/01/29       4,880,000       4,977,600  

United Shore Financial Services LLC (a)

     5.500 %     11/15/25       15,014,000       15,839,769  
                              226,417,682  

Health Care — 7.7%

Akumin, Inc. (a)

     7.000 %     11/01/25       20,527,000       21,553,350  

DaVita, Inc. (a)

     4.625 %     06/01/30       16,629,000       17,626,740  

Emergent Biosolutions, Inc. (a)

     3.875 %     08/15/28       22,293,000       23,084,401  

Endo Financial LLC (a)

     5.875 %     10/15/24       2,701,000       2,734,763  

Horizon Pharma USA, Inc. (a)

     5.500 %     08/01/27       11,100,000       11,919,402  

 

 

76 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Corporate Credit Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Bonds — 93.5% continued

Health Care — 7.7% continued

P&L Development LLC (a)

     7.750 %     11/15/25     $ 3,830,000     $ 4,117,250  

Par Pharmaceutical, Inc. (a)

     7.500 %     04/01/27       5,798,000       6,290,830  

Providence Service Corp. (The) (a)

     5.875 %     11/15/25       7,730,000       8,174,475  

Syneos Health, Inc. (a)

     3.625 %     01/15/29       22,740,000       22,802,875  

Teva Pharmaceuticals Financial Co. BV

     2.200 %     07/21/21       5,156,000       5,143,110  

Teva Pharmaceuticals Financial Co. BV (c)

     3.650 %     11/10/21       6,721,000       6,805,013  

Teva Pharmaceuticals Financial Co. BV

     2.950 %     12/18/22       7,085,000       7,067,288  

Teva Pharmaceuticals Financial Co. BV

     2.800 %     07/21/23       18,937,000       18,747,630  

Teva Pharmaceuticals Financial Co. BV

     7.125 %     01/31/25       300,000       331,590  
                              156,398,717  

Insurance — 3.9%

Amwins Group, Inc. (a)

     7.750 %     07/01/26       15,873,000       17,046,015  

AssuredPartners, Inc. (a)

     7.000 %     08/15/25       12,427,000       12,879,964  

MGIC Investment Corp.

     5.250 %     08/15/28       4,300,000       4,601,000  

National Financial Partners Corp. (a)

     6.875 %     08/31/28       17,399,000       18,576,564  

Radian Group, Inc.

     4.500 %     10/01/24       3,738,000       3,943,590  

Radian Group, Inc.

     4.875 %     03/15/27       19,985,000       21,947,527  
                              78,994,660  

Leisure — 9.0%

Carnival Corp. (a)

     11.500 %     04/01/23       6,716,000       7,765,845  

Carnival Corp. (a)(c)

     10.500 %     02/01/26       7,560,000       8,807,400  

Carnival Corp. (a)

     9.875 %     08/01/27       2,300,000       2,645,000  

Golden Nugget, Inc. (a)(c)

     6.750 %     10/15/24       10,614,000       10,537,791  

Live Nation Entertainment, Inc. (a)

     4.875 %     11/01/24       17,271,000       17,486,888  

Live Nation Entertainment, Inc. (a)

     5.625 %     03/15/26       16,649,000       17,065,224  

Live Nation Entertainment, Inc. (a)

     6.500 %     05/15/27       3,000,000       3,355,560  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Leisure — 9.0% continued

Live Nation Entertainment, Inc. (a)

     3.750 %     01/15/28     $ 1,750,000     $ 1,768,200  

Peninsula Pacific Entertainment LLC (a)

     8.500 %     11/15/27       5,000,000       5,350,000  

Speedway Motorsports LLC (a)

     4.875 %     11/01/27       14,126,000       13,984,740  

Station Casinos LLC (a)

     5.000 %     10/01/25       21,843,000       22,095,287  

Viking Cruises Ltd. (a)

     6.250 %     05/15/25       14,459,000       14,169,820  

Viking Cruises Ltd. (a)

     13.000 %     05/15/25       7,699,000       9,200,305  

VOC Escrow Ltd. (a)

     5.000 %     02/15/28       3,009,000       2,986,433  

Wyndham Destinations, Inc. (a)(c)

     6.625 %     07/31/26       10,416,000       11,926,320  

Wyndham Destinations, Inc. (a)

     4.625 %     03/01/30       5,187,000       5,485,253  

Wynn Las Vegas LLC (a)

     4.250 %     05/30/23       5,360,000       5,437,988  

Wynn Las Vegas LLC (a)(c)

     5.500 %     03/01/25       6,089,000       6,365,562  

XHR LP (a)

     6.375 %     08/15/25       14,360,000       15,149,800  
                              181,583,416  

Media — 2.3%

Cimpress plc (a)(c)

     7.000 %     06/15/26       33,068,000       34,762,735  

Twitter, Inc. (a)

     3.875 %     12/15/27       10,701,000       11,396,565  
                              46,159,300  

Real Estate — 4.7%

Forestar Group, Inc. (a)

     8.000 %     04/15/24       12,330,000       12,977,325  

Forestar Group, Inc. (a)

     5.000 %     03/01/28       8,079,000       8,341,568  

iStar, Inc.

     5.500 %     02/15/26       15,361,000       15,668,220  

Kennedy Wilson, Inc.

     5.875 %     04/01/24       19,271,000       19,560,065  

New Residential Investment Corp. (a)

     6.250 %     10/15/25       30,842,000       30,996,209  

RHP Hotel Properties LP (c)

     5.000 %     04/15/23       6,403,000       6,419,008  
                              93,962,395  

Retail — 8.6%

Abercrombie & Fitch Management Co. (a)

     8.750 %     07/15/25       2,825,000       3,139,281  

ANGI Group LLC (a)

     3.875 %     08/15/28       28,763,000       29,273,256  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 77

 

 

 

 

Diamond Hill Corporate Credit Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Bonds — 93.5% continued

Retail — 8.6% continued

Carvana Co. (a)

     5.625 %     10/01/25     $ 6,286,000     $ 6,451,007  

GrubHub Holdings, Inc. (a)

     5.500 %     07/01/27       29,856,000       31,311,479  

IRB Holding Corp. (a)

     7.000 %     06/15/25       14,012,000       15,308,110  

IRB Holding Corp. (a)(c)

     6.750 %     02/15/26       1,000,000       1,032,100  

Liberty Interactive LLC

     8.500 %     07/15/29       9,292,000       10,360,580  

Liberty Interactive LLC

     8.250 %     02/01/30       1,570,000       1,760,363  

Macy’s Retail Holdings, Inc. (c)

     3.450 %     01/15/21       2,659,000       2,645,705  

Macy’s, Inc. (a)(c)

     8.375 %     06/15/25       815,000       904,780  

Nathan’s Famous, Inc. (a)

     6.625 %     11/01/25       23,628,000       24,248,235  

Nordstrom, Inc (a)

     8.750 %     05/15/25       5,055,000       5,661,505  

Nordstrom, Inc. (c)

     4.000 %     03/15/27       10,696,000       10,597,486  

Nordstrom, Inc.

     6.950 %     03/15/28       2,197,000       2,498,076  

Nordstrom, Inc. (c)

     4.375 %     04/01/30       3,934,000       3,872,705  

QVC, Inc.

     5.450 %     08/15/34       22,603,000       23,507,120  

Wolverine World Wide, Inc. (a)

     6.375 %     05/15/25       515,000       548,475  
                              173,120,263  

Services — 5.4%

Graham Holdings Co. (a)

     5.750 %     06/01/26       3,380,000       3,549,000  

IAA Spinco, Inc. (a)

     5.500 %     06/15/27       7,757,000       8,222,420  

KAR Auction Services, Inc. (a)(c)

     5.125 %     06/01/25       14,316,000       14,731,593  

Korn Ferry International (a)

     4.625 %     12/15/27       16,972,000       17,650,880  

MasTec, Inc. (a)

     4.500 %     08/15/28       13,831,000       14,522,550  

Sabre Global, Inc. (a)(c)

     5.250 %     11/15/23       5,471,000       5,539,388  

Sabre Global, Inc. (a)(c)

     7.375 %     09/01/25       13,804,000       14,977,340  

Uber Technologies, Inc. (a)

     8.000 %     11/01/26       28,033,000       30,520,929  
                              109,714,100  

Technology & Electronics — 4.2%

Arches Buyer, Inc. (a)

     4.250 %     06/01/28       16,924,000       17,138,935  

Itron, Inc. (a)

     5.000 %     01/15/26       11,531,000       11,776,034  

Logan Merger Sub, Inc. (a)

     5.500 %     09/01/27       21,972,000       23,015,670  

NCR Corp. (a)

     5.000 %     10/01/28       13,055,000       13,773,025  

Shift4 Payments LLC (a)

     4.625 %     11/01/26       8,065,000       8,387,600  

TripAdvisor, Inc. (a)(c)

     7.000 %     07/15/25       7,666,000       8,279,280  

WEX, Inc. (a)

     4.750 %     02/01/23       2,500,000       2,503,125  
                              84,873,669  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Telecommunications — 4.0%

Cincinnati Bell, Inc. (a)

     8.000 %     10/15/25     $ 14,370,000     $ 15,322,012  

Frontier Communications Corp. (a)(c)

     5.875 %     10/15/27       4,926,000       5,326,238  

Frontier Communications Corp. (a)

     5.000 %     05/01/28       874,000       911,145  

HTA Group Ltd. (a)

     7.000 %     12/18/25       13,350,000       14,351,250  

LCPR Senior Secured Financing Designated Activity Co. (a)

     6.750 %     10/15/27       11,474,000       12,348,893  

T-Mobile, Inc. (a)

     3.875 %     04/15/30       3,700,000       4,284,637  

Viasat, Inc. (a)

     5.625 %     09/15/25       18,185,000       18,599,618  

Viasat, Inc. (a)(c)

     5.625 %     04/15/27       9,044,000       9,496,200  
                              80,639,993  

Transportation — 2.9%

Air Canada, Series 2020-2 (a)

     5.250 %     10/01/30       7,026,000       7,507,276  

Alaska Airlines, Series 2020-1B (a)

     4.800 %     08/15/27       17,126,000       18,861,100  

American Airlines Pass-Through Trust, Series 2013-1 (a)

     5.625 %     01/15/21       2,813,284       2,807,437  

Delta Air Lines, Inc.

     2.900 %     10/28/24       26,797,000       26,434,194  

Skymiles IP Ltd. & Delta Airlines (a)

     4.500 %     10/20/25       2,000,000       2,137,391  

United Airlines Pass-Through Trust, Series 2013-1

     5.375 %     02/15/23       189,777       191,247  
                              57,938,645  
 

Total Corporate Bonds

(Cost $1,816,694,672)

   $ 1,888,506,900  

 


  

Shares

    

Fair
Value

  

Registered Investment Companies — 8.0%

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (f)

     111,996,890     $ 111,996,890  

State Street Navigator Securities Lending Portfolio I, 0.17% (f)(g)

     49,171,063       49,171,063  

Total Registered Investment Companies

        

(Cost $161,167,953)

   $ 161,167,953  
 

 

 

78 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Corporate Credit Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Total Investment Securities — 101.6%

(Cost $1,980,395,410)

   $ 2,051,061,319  
 

Liabilities in Excess of Other Assets — (1.6)%

     (30,942,366 )
 

Net Assets — 100.0%

   $ 2,020,118,953  

 

(a)

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 December 31, 2020 was $1,377,117,679, representing 68.2% of net assets.

(b)

Variable rate security. The rate shown is the effective interest rate as of December 31, 2020. 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, prepayment of underlying positions and/or other variables. These securities do not indicate a reference rate and spread in their description above.

(c)

All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2020 was $47,761,938.

(d)

Illiquid security as determined under procedures approved by the Board of Trustees. The total fair value of these securities as of December 31, 2020 was $27,073,735, representing 1.3% of net assets.

(e)

Security fair valued under procedures established by the Board of Trustees. The total value of these securities is $0.

(f)

Rate shown is the 7-day effective yield as of December 31, 2020.

(g)

This security was purchased with cash collateral from securities held on loan.

 

A/S — Aktieselskab

ASA — Allmennaksjeselskap

BV — Besloten Vennootschap

LIBOR — London Interbank Offered Rate.

plc — Public Limited Company

 

 

 

*

Non-income producing security. Restricted and illiquid securities not registered under the securities act of 1933 and valued at fair value by the Valuation & Liquidity Committee based on procedures approved by the Board of Trustees are as follows:

 

   

Acquisition Date

    

Current Cost

    

Fair Value

    

Value as a % of Net Assets

  

Alesco Preferred Funding Ltd., Class PNNE

     March-05     $ 336,608     $ 155,202       0.01 %

Alesco Preferred Funding Ltd. VI, Class PNN

     December-04     $ 621,631     $ 300,688       0.01 %

Fort Sheridan ABS CDO Ltd., Series 05-1A, Class PPN2

     March-05     $ 520,413     $ 362,654       0.02 %

Taberna Preferred Funding Ltd., Class PPN2

     March-05     $ 1,054,133     $ 567,922       0.03 %
            $ 2,532,785     $ 1,386,466       0.07 %

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 79

 

 

 

 

Diamond Hill High Yield Fund
Schedule of Investments
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Bonds — 95.4%

Automotive — 2.3%

Ford Motor Credit Co. LLC

     3.200 %     01/15/21     $ 5,900,000     $ 5,902,950  

Ford Motor Credit Co. LLC (a)

     3.336 %     03/18/21       3,000,000       3,007,500  

Ford Motor Credit Co. LLC (a)

     3.470 %     04/05/21       1,805,000       1,805,000  

Tesla, Inc. (b)

     5.300 %     08/15/25       5,300,000       5,525,250  
                              16,240,700  

Banking — 1.7%

Cadence Bancorp (3MO LIBOR + 303) (c)

     4.750 %     06/30/29       6,000,000       5,325,732  

First Tennessee Bank

     5.750 %     05/01/30       2,000,000       2,327,499  

Popular, Inc.

     6.125 %     09/14/23       4,100,000       4,428,000  
                              12,081,231  

Basic Industry — 3.8%

GCP Applied Technologies, Inc. (b)

     5.500 %     04/15/26       9,000,000       9,270,000  

Mueller Industries, Inc.

     6.000 %     03/01/27       9,500,000       9,666,250  

Schweitzer-Mauduit International, Inc. (b)

     6.875 %     10/01/26       8,125,000       8,612,500  
                              27,548,750  

Capital Goods — 0.5%

TransDigm, Inc.

     6.500 %     07/15/24       3,500,000       3,562,020  
 

Consumer Goods — 6.0%

C&S Group Enterprises LLC (a)(b)

     5.000 %     12/15/28       9,600,000       9,575,328  

Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc. (b)

     8.500 %     12/15/22       10,500,000       10,788,750  

Hasbro, Inc.

     6.350 %     03/15/40       4,025,000       5,184,589  

Pilgrim’s Pride Corp. (b)

     5.750 %     03/15/25       5,075,000       5,209,995  

Pilgrim’s Pride Corp. (b)

     5.875 %     09/30/27       1,600,000       1,735,376  

Post Holdings, Inc. (b)

     5.000 %     08/15/26       2,550,000       2,632,875  

US Foods, Inc. (a)(b)

     5.875 %     06/15/24       8,250,000       8,363,437  
                              43,490,350  

Energy — 12.4%

Aker BP ASA (b)

     5.875 %     03/31/25       3,200,000       3,314,870  

Apergy Corp.

     6.375 %     05/01/26       12,300,000       12,423,000  

Barrett Bill Corp. (d)

     7.000 %     10/15/22       10,248,000       3,996,720  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Energy — 12.4% continued

Delek Overriding Royalty Leviathan Ltd.

     7.494 %     12/30/23     $ 7,000,000     $ 7,035,000  

Double Eagle III (b)

     7.750 %     12/15/25       5,600,000       5,938,128  

Energen Corp.

     7.125 %     02/15/28       4,375,000       4,990,289  

Floatel International Ltd. (d)

     9.000 %     04/11/24       600,000       90,000  

Floatel International Ltd. (d)(e)

     12.750 %     04/11/24       600,000       0  

Floatel International Ltd. (d)(e)

     0.000 %     04/11/60       38,250       0  

Floatel International Ltd. (d)(e)

     0.000 %     04/11/60       38,250       0  

Floatel International Ltd. (d)

     0.000 %     04/11/60       27,000       27,000  

Floatel International Ltd. (d)

     0.000 %     04/11/60       27,000       27,000  

LBC Tank Terminals Holdings Netherlands BV (b)

     6.875 %     05/15/23       4,250,000       4,250,000  

Leviathan Energy

     6.750 %     06/30/30       4,955,000       5,623,925  

Magnolia Oil & Gas Corp. (b)

     6.000 %     08/01/26       15,600,000       15,873,000  

New Fortress Energy, Inc. (b)

     6.750 %     09/15/25       10,400,000       11,014,120  

Parsley Energy LLC (b)

     5.375 %     01/15/25       1,500,000       1,542,600  

Talos Production, Inc. (b)

     12.000 %     01/15/26       1,400,000       1,362,158  

Welltec A/S (b)

     9.500 %     12/01/22       13,384,000       12,447,120  
                              89,954,930  

Financial Services — 11.1%

Alliance Data Systems Corp. (a)(b)

     7.000 %     01/15/26       17,850,000       18,881,730  

Credit Acceptance Corp. (b)

     5.125 %     12/31/24       4,400,000       4,576,000  

Credit Acceptance Corp. (a)

     6.625 %     03/15/26       10,750,000       11,448,750  

FirstCash, Inc. (b)

     4.625 %     09/01/28       3,300,000       3,403,125  

Freedom Mortgage Corp (b)

     7.625 %     05/01/26       4,450,000       4,706,765  

Freedom Mortgage Corp. (b)

     8.125 %     11/15/24       6,625,000       6,910,670  

Freedom Mortgage Corp. (b)

     8.250 %     04/15/25       2,928,000       3,059,760  

FS KKR Capital Corp.

     3.400 %     01/15/26       2,500,000       2,484,492  

FS KKR Capital Corp. II (b)

     4.250 %     02/14/25       5,350,000       5,396,649  

Nationstar Mortgage LLC (b)

     6.000 %     01/15/27       9,500,000       10,081,875  

PennyMac Financial Services, Inc. (b)

     5.375 %     10/15/25       2,200,000       2,326,500  

 

 

80 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill High Yield Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Bonds — 95.4% continued

Financial Services — 11.1% continued

United Shore Financial Services LLC (b)

     5.500 %     11/15/25     $ 6,500,000     $ 6,857,500  
                              80,133,816  

Health Care — 6.6%

Akumin, Inc. (b)

     7.000 %     11/01/25       8,000,000       8,400,000  

DaVita, Inc. (b)

     4.625 %     06/01/30       1,500,000       1,590,000  

DaVita, Inc. (a)(b)

     3.750 %     02/15/31       4,837,000       4,911,296  

Emergent Biosolutions, Inc. (a)(b)

     3.875 %     08/15/28       5,900,000       6,109,450  

P&L Development LLC (b)

     7.750 %     11/15/25       2,550,000       2,741,250  

Providence Service Corp. (The) (b)

     5.875 %     11/15/25       2,100,000       2,220,750  

Syneos Health, Inc. (b)

     3.625 %     01/15/29       7,300,000       7,320,184  

Teva Pharmaceuticals Financial Co. BV

     2.200 %     07/21/21       500,000       498,750  

Teva Pharmaceuticals Financial Co. BV (a)

     3.650 %     11/10/21       1,750,000       1,771,875  

Teva Pharmaceuticals Financial Co. BV

     2.800 %     07/21/23       11,400,000       11,286,000  

Teva Pharmaceuticals Financial Co. BV

     7.125 %     01/31/25       700,000       773,710  
                              47,623,265  

Insurance — 3.7%

AssuredPartners, Inc. (b)

     7.000 %     08/15/25       6,500,000       6,736,925  

Hub International Ltd. (b)

     7.000 %     05/01/26       5,418,000       5,666,090  

National Financial Partners Corp. (b)

     6.875 %     08/31/28       6,750,000       7,206,840  

Radian Group, Inc.

     4.875 %     03/15/27       6,450,000       7,083,390  
                              26,693,245  

Leisure — 13.3%

Affinity Gaming (b)

     6.875 %     12/15/27       3,750,000       3,923,438  

Carnival Corp. (b)

     9.875 %     08/01/27       4,700,000       5,405,000  

CCM Merger, Inc. (b)

     6.375 %     05/01/26       5,434,000       5,705,700  

Golden Nugget, Inc. (b)

     6.750 %     10/15/24       6,860,000       6,810,745  

Live Nation Entertainment, Inc. (b)

     4.875 %     11/01/24       3,850,000       3,898,125  

Live Nation Entertainment, Inc. (b)

     5.625 %     03/15/26       10,850,000       11,121,250  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Leisure — 13.3% continued

Peninsula Pacific Entertainment LLC (b)

     8.500 %     11/15/27     $ 4,300,000     $ 4,601,000  

Speedway Motorsports LLC (b)

     4.875 %     11/01/27       6,514,000       6,448,860  

Station Casinos LLC (b)

     5.000 %     10/01/25       9,700,000       9,812,035  

Vail Resorts, Inc. (b)

     0.000 %     01/01/26       1,000,000       1,018,226  

Viking Cruises Ltd. (a)(b)

     6.250 %     05/15/25       6,500,000       6,370,000  

Viking Cruises Ltd. (b)

     13.000 %     05/15/25       4,600,000       5,497,000  

Wyndham Destinations, Inc. (b)

     6.625 %     07/31/26       5,350,000       6,125,750  

Wyndham Destinations, Inc. (a)(b)

     4.625 %     03/01/30       1,900,000       2,009,250  

Wynn Las Vegas LLC (a)(b)

     5.500 %     03/01/25       10,100,000       10,558,742  

XHR LP (b)

     6.375 %     08/15/25       6,800,000       7,174,000  
                              96,479,121  

Media — 1.9%

Cimpress plc (a)(b)

     7.000 %     06/15/26       12,850,000       13,508,563  
 

Real Estate — 6.1%

Forestar Group, Inc. (b)

     8.000 %     04/15/24       1,750,000       1,841,875  

Forestar Group, Inc. (b)

     5.000 %     03/01/28       4,075,000       4,207,438  

iStar, Inc.

     4.250 %     08/01/25       2,154,000       2,127,075  

iStar, Inc.

     5.500 %     02/15/26       7,600,000       7,752,000  

Kennedy Wilson, Inc.

     5.875 %     04/01/24       9,300,000       9,439,500  

New Residential Investment Corp. (b)

     6.250 %     10/15/25       14,840,000       14,914,200  

RHP Hotel Properties LP

     5.000 %     04/15/23       4,075,000       4,085,187  
                              44,367,275  

Retail — 10.7%

Abercrombie & Fitch Management Co. (b)

     8.750 %     07/15/25       3,110,000       3,455,988  

ANGI Group LLC (b)

     3.875 %     08/15/28       8,700,000       8,854,338  

Carvana Co. (b)

     5.625 %     10/01/25       4,650,000       4,772,063  

GrubHub Holdings, Inc. (b)

     5.500 %     07/01/27       11,100,000       11,641,125  

IRB Holding Corp. (a)(b)

     6.750 %     02/15/26       5,625,000       5,805,563  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 81

 

 

 

 

Diamond Hill High Yield Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Corporate Bonds — 95.4% continued

Retail — 10.7% continued

Liberty Interactive LLC (a)

     8.500 %     07/15/29     $ 4,925,000     $ 5,491,375  

Liberty Interactive LLC (a)

     8.250 %     02/01/30       1,400,000       1,569,750  

Macy’s Retail Holdings, Inc.

     3.450 %     01/15/21       1,120,000       1,114,400  

Macy’s, Inc. (a)(b)

     8.375 %     06/15/25       1,624,000       1,802,900  

Nathan’s Famous, Inc. (b)

     6.625 %     11/01/25       8,000,000       8,210,000  

Nordstrom, Inc.

     6.950 %     03/15/28       4,025,000       4,576,584  

Nordstrom, Inc.

     4.375 %     04/01/30       9,400,000       9,253,541  

QVC, Inc. (a)

     5.450 %     08/15/34       7,875,000       8,190,000  

QVC, Inc.

     5.950 %     03/15/43       200,000       210,000  

Seg Holdings LLC (b)

     5.625 %     10/15/28       2,000,000       2,110,000  
                              77,057,627  

Services — 4.6%

KAR Auction Services, Inc. (b)

     5.125 %     06/01/25       5,100,000       5,248,053  

Korn Ferry International (b)

     4.625 %     12/15/27       4,650,000       4,836,000  

MasTec, Inc. (b)

     4.500 %     08/15/28       4,500,000       4,725,000  

Sabre Global, Inc. (b)

     9.250 %     04/15/25       779,000       927,010  

Sabre Global, Inc. (a)(b)

     7.375 %     09/01/25       4,650,000       5,045,250  

Uber Technologies, Inc. (b)

     8.000 %     11/01/26       11,700,000       12,738,375  
                              33,519,688  

Technology & Electronics — 4.0%

Arches Buyer, Inc. (b)

     4.250 %     06/01/28       6,150,000       6,228,105  

Logan Merger Sub, Inc. (b)

     5.500 %     09/01/27       9,300,000       9,741,750  

MTS Systems Corp. (b)

     5.750 %     08/15/27       710,000       770,492  

NCR Corp. (b)

     5.000 %     10/01/28       7,000,000       7,385,000  

TripAdvisor, Inc. (a)(b)

     7.000 %     07/15/25       4,675,000       5,049,000  
                              29,174,347  

Telecommunications — 3.1%

Cincinnati Bell, Inc. (a)(b)

     8.000 %     10/15/25       4,100,000       4,371,625  

Frontier Communications Corp. (a)(b)

     5.875 %     10/15/27       900,000       973,125  

 

 


  

Coupon

    

Maturity

    

Shares /
Par Value

    

Fair
Value

  

Telecommunications — 3.1% continued

Frontier Communications Corp. (b)

     5.000 %     05/01/28     $ 900,000     $ 938,250  

HTA Group Ltd. (b)

     7.000 %     12/18/25       6,050,000       6,503,750  

LCPR Senior Secured Financing Designated Activity Co. (b)

     6.750 %     10/15/27       4,125,000       4,439,531  

Viasat, Inc. (b)

     5.625 %     09/15/25       5,300,000       5,420,840  
                              22,647,121  

Transportation — 3.6%

Alaska Airlines, Series 2020-1B (b)

     8.000 %     02/15/27       5,000,000       5,431,256  

American Airlines Pass-Through Trust, Series 2013-1 (b)

     5.625 %     01/15/21       1,379,466       1,376,599  

Delta Air Lines, Inc.

     2.900 %     10/28/24       12,225,000       12,059,485  

Hawaiian Airlines, Inc. (b)

     11.250 %     09/15/25       5,000,000       5,158,850  

Hawaiian Airlines, Inc. (b)

     7.375 %     09/15/27       1,830,000       1,951,991  

U.S. Airways Pass-Through Trust, Series 2012-2

     6.750 %     12/03/22       188,384       183,147  
                              26,161,328  
 

Total Corporate Bonds

(Cost $656,941,646)

   $ 690,243,377  
 

Securitized — 0.1%

ABS-Other — 0.0% (f)

Access Point Financial, Inc., Series 2017-A, Class C (b)(d)

     5.820 %     04/15/29       250,000       248,474  
 

Consumer — 0.1%

Mariner Finance Issuance Trust, Series 2018-A, Class D (b)

     6.570 %     11/20/30       275,000       282,311  
 

Total Securitized

(Cost $524,921)

   $ 530,785  

 

 

82 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill High Yield Fund
Schedule of Investments (Continued)
December 31, 2020

 


  

Shares

    

Fair
Value

  

Registered Investment Companies — 5.5%

State Street Institutional US Government Money Market Fund, Premier Class, 0.03% (g)

     27,245,999     $ 27,245,999  

State Street Navigator Securities Lending Portfolio I, 0.17% (g)(h)

     12,446,605       12,446,605  

Total Registered Investment Companies

        

(Cost $39,692,604)

   $ 39,692,604  
 

Total Investment Securities — 101.0%

(Cost $697,159,171)

   $ 730,466,766  
 

Liabilities in Excess of Other Assets — (1.0)%

     (6,963,818 )
 

Net Assets — 100.0%

   $ 723,502,948  

 

(a)

All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2020 was $12,071,457.

(b)

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 December 31, 2020 was $513,952,677, representing 71.0% of net assets.

(c)

Variable rate security. The rate shown is the effective interest rate as of December 31, 2020. 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, prepayment of underlying positions and/or other variables. These securities do not indicate a reference rate and spread in their description above.

(d)

Illiquid security as determined under procedures approved by the Board of Trustees. The total fair value of these securities as of December 31, 2020 was $4,389,194, representing 0.6% of net assets.

(e)

Security fair valued under procedures established by the Board of Trustees. The total value of these securities is $0.

(f)

Percentage rounds to less than 0.1%.

(g)

Rate shown is the 7-day effective yield as of December 31, 2020.

(h)

This security was purchased with cash collateral from securities held on loan.

 

A/S — Aktieselskab

ASA — Allmennaksjeselskap

BV — Besloten Vennootschap

LIBOR — London Interbank Offered Rate

plc — Public Limited Company

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 83

 

 

 

 

Diamond Hill Funds
Tabular Presentation of Schedules of Investments
December 31, 2020 (Unaudited)

 

Diamond Hill Small Cap Fund

Sector Allocation

% of
Net Assets

Financials

27.4%

Industrials

19.5%

Consumer Discretionary

16.8%

Consumer Staples

8.8%

Information Technology

6.3%

Real Estate

4.7%

Communication Services

4.2%

Health Care

3.7%

Materials

3.5%

Utilities

2.6%

Energy

1.3%

Registered Investment Companies

2.0%

Other

  

Net Other Assets (Liabilities)

-0.8%
 

100.0%
   

Russell 2000 Index
Sector Allocation

% of
Index

Financials

15.2%

Industrials

15.2%

Consumer Discretionary

13.2%

Consumer Staples

3.2%

Information Technology

14.1%

Real Estate

6.2%

Communication Services

2.3%

Health Care

21.2%

Materials

4.2%

Utilities

3.0%

Energy

2.2%
 

100.0%
 

 

 

Diamond Hill Small-Mid Cap Fund

Sector Allocation

% of
Net Assets

Financials

24.7%

Industrials

20.3%

Consumer Discretionary

16.1%

Consumer Staples

8.4%

Real Estate

7.8%

Information Technology

4.7%

Utilities

3.8%

Materials

3.3%

Health Care

3.0%

Energy

1.5%

Communication Services

1.2%

Registered Investment Companies

6.3%

Other

  

Net Other Assets (Liabilities)

-1.1%
 

100.0%
   

Russell 2500 Index
Sector Allocation

% of
Index

Financials

13.8%

Industrials

15.2%

Consumer Discretionary

12.7%

Consumer Staples

3.1%

Real Estate

7.7%

Information Technology

18.4%

Utilities

2.8%

Materials

5.3%

Health Care

16.0%

Energy

2.1%

Communication Services

2.9%
 

100.0%
 

 

 

84 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2020 (Unaudited)

 

Diamond Hill Mid Cap Fund

Sector Allocation

% of
Net Assets

Financials

27.0%

Industrials

17.1%

Consumer Discretionary

15.9%

Consumer Staples

8.2%

Real Estate

7.7%

Information Technology

6.8%

Utilities

3.6%

Materials

3.4%

Health Care

1.7%

Communication Services

1.2%

Energy

1.2%

Registered Investment Companies

6.6%

Other

  

Net Other Assets (Liabilities)

-0.4%
 

100.0%
   

Russell Midcap Index
Sector Allocation

% of
Index

Financials

11.1%

Industrials

15.1%

Consumer Discretionary

11.6%

Consumer Staples

3.8%

Real Estate

6.9%

Information Technology

20.5%

Utilities

5.1%

Materials

5.4%

Health Care

12.9%

Communication Services

5.0%

Energy

2.6%
 

100.0%
 

 

 

Diamond Hill Large Cap Fund

Sector Allocation

% of
Net Assets

Financials

27.0%

Consumer Discretionary

14.9%

Consumer Staples

12.6%

Health Care

11.5%

Industrials

7.8%

Communication Services

7.8%

Information Technology

6.6%

Materials

2.6%

Real Estate

2.5%

Energy

2.1%

Utilities

1.0%

Registered Investment Companies

3.5%

Other

  

Net Other Assets (Liabilities)

0.1%
 

100.0%
   

Russell 1000 Index
Sector Allocation

% of
Index

Financials

10.4%

Consumer Discretionary

12.9%

Consumer Staples

5.5%

Health Care

13.5%

Industrials

8.8%

Communication Services

10.4%

Information Technology

28.0%

Materials

2.7%

Real Estate

3.0%

Energy

2.2%

Utilities

2.6%
 

100.0%
 

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 85

 

 

 

 

Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2020 (Unaudited)

 

Diamond Hill All Cap Select Fund

Sector Allocation

% of
Net Assets

Financials

33.0%

Industrials

19.8%

Consumer Discretionary

13.9%

Consumer Staples

12.3%

Information Technology

5.7%

Materials

5.4%

Health Care

4.7%

Utilities

1.9%

Communication Services

1.2%

Registered Investment Companies

3.3%

Other

  

Net Other Assets (Liabilities)

-1.2%
 

100.0%
   

Russell 3000 Index
Sector Allocation

% of
Index

Financials

10.7%

Industrials

9.2%

Consumer Discretionary

13.0%

Consumer Staples

5.3%

Information Technology

27.1%

Materials

2.8%

Health Care

14.0%

Utilities

2.7%

Communication Services

9.9%

Real Estate

3.2%

Energy

2.1%
 

100.0%
 

 

 

 

Diamond Hill Long-Short Fund

Long Portfolio
Sector Allocation

% of
Net Assets

Financials

29.1%

Health Care

11.3%

Industrials

10.4%

Consumer Discretionary

9.4%

Information Technology

9.4%

Communication Services

9.2%

Consumer Staples

4.9%

Materials

3.6%

Energy

2.8%

Utilities

1.1%

Registered Investment Companies

22.0%
   

Short Portfolio
Sector Allocation

% of
Net Assets

Consumer Discretionary

-5.9%

Information Technology

-5.5%

Financials

-4.8%

Industrials

-4.5%

Consumer Staples

-3.8%

Health Care

-1.8%

Utilities

-1.2%

Communication Services

-0.7%

Real Estate

-0.4%

Materials

-0.1%

Other

  

Segregated Cash With Custodian

29.4%

Net Other Assets (Liabilities)

-13.9%
 

100.0%
   

Russell 1000 Index
Sector Allocation

% of
Index

Financials

10.4%

Health Care

13.5%

Industrials

8.8%

Consumer Discretionary

12.9%

Information Technology

28.0%

Communication Services

10.4%

Consumer Staples

5.5%

Materials

2.7%

Energy

2.2%

Utilities

2.6%

Real Estate

3.0%
 

100.0%
 

 

86 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2020 (Unaudited)

 

Diamond Hill Global Fund

Sector Allocation

% of
Net Assets

Consumer Staples

23.1%

Communication Services

21.2%

Financials

15.6%

Information Technology

14.4%

Health Care

9.6%

Consumer Discretionary

6.3%

Energy

5.3%

Industrials

3.9%

Registered Investment Companies

1.8%

Other

  

Net Other Assets (Liabilities)

-1.2%
 

100.0%
   

Morningstar Global
Markets Index
Sector Allocation

% of
Index

Consumer Staples

6.8%

Communication Services

8.5%

Financials

13.6%

Information Technology

20.7%

Health Care

11.7%

Consumer Discretionary

13.3%

Energy

2.9%

Industrials

10.9%

Materials

5.3%

Real Estate

3.3%

Utilities

3.0%
 

100.0%
 

 

 

Diamond Hill International Fund

Sector Allocation

% of
Net Assets

Communication Services

19.7%

Consumer Staples

16.2%

Financials

15.8%

Consumer Discretionary

14.3%

Information Technology

10.7%

Health Care

9.8%

Industrials

8.4%

Materials

1.3%

Real Estate

1.2%

Registered Investment Companies

2.5%

Other

  

Net Other Assets (Liabilities)

0.1%
 

100.0%
   

Morningstar Global
Markets ex U.S. Index
Sector Allocation

% of
Index

Communication Services

6.5%

Consumer Staples

8.6%

Financials

17.2%

Consumer Discretionary

13.6%

Information Technology

12.1%

Health Care

9.3%

Industrials

13.2%

Materials

8.5%

Real Estate

3.8%

Energy

3.9%

Utilities

3.3%
 

100.0%
 

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 87

 

 

 

 

Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2020 (Unaudited)

 

Diamond Hill Short Duration
Securitized Bond Fund

Sector Allocation

% of
Net Assets

Securitized

84.8%

Corporate Credit

1.6%

Registered Investment Companies

13.7%

Other

  

Net Other Assets (Liabilities)

-0.1%
 

100.0%
   

Bloomberg Barclays U.S.
1-3 Yr. Gov./Credit Index
Sector Allocation

% of
Index

Treasury

65.6%

Corporate Credit

23.0%

Non-Corporate Credit

7.2%

Agency

4.2%
 

100.0%
 

 

Diamond Hill Core Bond Fund

Sector Allocation

% of
Net Assets

Securitized

63.4%

Treasury

18.8%

Corporate Credit

15.6%

Government Related

0.4%

Registered Investment Companies

7.5%

Other

  

Net Other Assets (Liabilities)

-5.7%
 

100.0%
   

Bloomberg Barclays
U.S. Aggregate Index
Sector Allocation

% of
Index

Treasury

37.0%

Agency RMBS/CMBS

27.8%

Corporate Credit

27.4%

Non-Corporate Credit

4.6%

Agency

1.7%

Non-Agency RMBS/CMBS

1.2%

Asset-Backed Securities

0.3%
 

100.0%
 

 

 

Diamond Hill Corporate Credit Fund

Sector Allocation

% of
Net Assets

Financial Services

11.2%

Energy

9.5%

Leisure

9.0%

Retail

8.6%

Health Care

7.7%

Consumer Goods

6.8%

Basic Industry

5.9%

Services

5.4%

Banking

5.0%

Real Estate

4.7%

Technology & Electronics

4.2%

Telecommunications

4.0%

Insurance

3.9%

Transportation

2.9%

Media

2.3%

Automotive

1.9%

Capital Goods

0.5%

Registered Investment Companies

8.0%

Other

  

Collateralized Debt Obligations

0.1%

Net Other Assets (Liabilities)

-1.6%
 

100.0%
   

ICE BofA U.S. Corporate &
High Yield Index
Sector Allocation

% of
Index

Financial Services

6.7%

Energy

10.3%

Leisure

1.4%

Retail

3.8%

Health Care

9.7%

Consumer Goods

5.8%

Basic Industry

4.8%

Services

1.6%

Banking

14.0%

Real Estate

3.3%

Technology & Electronics

6.9%

Telecommunications

4.6%

Insurance

3.9%

Transportation

2.4%

Media

4.7%

Automotive

2.6%

Capital Goods

5.5%

Utility

8.0%
 

100.0%
 

 

 

88 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Funds
Tabular Presentation of Schedules of Investments (Continued)
December 31, 2020 (Unaudited)

 

Diamond Hill High Yield Fund

Sector Allocation

% of
Net Assets

Leisure

13.3%

Energy

12.4%

Financial Services

11.1%

Retail

10.7%

Health Care

6.6%

Real Estate

6.1%

Consumer Goods

6.0%

Services

4.6%

Technology & Electronics

4.0%

Basic Industry

3.8%

Insurance

3.7%

Transportation

3.6%

Telecommunications

3.1%

Automotive

2.3%

Media

1.9%

Banking

1.7%

Capital Goods

0.5%

Securitized

0.1%

Registered Investment Companies

5.5%

Other

  

Net Other Assets (Liabilities)

-1.0%
 

100.0%
   

ICE BofA U.S. High Yield Index
Sector Allocation

% of
Index

Leisure

6.2%

Energy

13.4%

Financial Services

4.2%

Retail

4.9%

Health Care

8.9%

Real Estate

4.2%

Consumer Goods

4.9%

Services

4.5%

Technology & Electronics

5.0%

Basic Industry

9.1%

Insurance

1.1%

Transportation

1.5%

Telecommunications

6.8%

Automotive

5.3%

Media

9.0%

Banking

1.3%

Capital Goods

6.5%

Utility

3.2%
 

100.0%
 

 

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 89

 

 

 

 

Diamond Hill Funds
Statements of Assets & Liabilities
December 31, 2020

 

   

Small Cap
Fund

    

Small-Mid
Cap
Fund

    

Mid Cap
Fund

  

Assets

                        

Investment in unaffiliated securities, at cost

   $ 319,280,577     $ 1,581,076,668     $ 199,158,803  

Investment in affiliated securities, at cost

     —       26,513,922       1,623,042  

Investment in unaffiliated securities, at fair value*

   $ 535,464,854     $ 1,949,085,366     $ 250,052,556  

Investment affiliated securities, at fair value

     —       26,643,319       1,626,675  

Cash

     —       —       —  

Cash denominated in foreign currency (Cost $—,$—, $—, $—, $—, $—, $—, $38,699, $—, and $—)

     —       —       —  

Cash deposits with custodian for securities sold short

     —       —       —  

Receivable for fund shares issued

     260,334       2,538,002       124,784  

Receivable for investments sold

     —       745,245       99,196  

Receivable for dividends and interest

     326,327       1,419,559       216,680  

Tax reclaims receivable

     —       —       —  

Prepaid expenses and other assets

     —       —       —  

Total Assets

     536,051,515       1,980,431,491       252,119,891  
                         

Liabilities

                        

Investments sold short, at fair value (proceeds $—, $—, $—, $—, $—, $506,570,999, $—, $—, $—, and $—)

     —       —       —  

Due to custodian

     —       —       —  

Payable for securities purchased

     —       —       —  

Payable for fund shares redeemed

     4,208,464       2,355,463       1,170,386  

Payable for dividend expense on securities sold short

     —       —       —  

Payable for return of collateral received for securities on loan

     —       21,331,083       —  

Payable to Investment Adviser

     362,145       1,222,579       126,882  

Payable to Administrator

     75,570       195,211       34,607  

Accrued distribution and service fees

     31,389       46,843       6,959  

Other accrued expenses

     200       350       850  

Total Liabilities

     4,677,768       25,151,529       1,339,684  
                         

Net Assets

   $ 531,373,747     $ 1,955,279,962     $ 250,780,207  
                         

Components of Net Assets

                        

Paid-in capital

   $ 308,752,921     $ 1,595,965,295     $ 229,299,780  

Distributable earnings

     222,620,826       359,314,667       21,480,427  

Net Assets

   $ 531,373,747     $ 1,955,279,962     $ 250,780,207  

Net Assets

                        

Class A Shares

   $ 117,491,390     $ 162,636,598     $ 33,177,913  

Class C Shares

   $ 7,090,214     $ 15,120,774     $ —  

Class I Shares

   $ 350,374,689     $ 889,147,599     $ 194,354,401  

Class Y Shares

   $ 56,417,454     $ 888,374,991     $ 23,247,893  

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

                        

Class A Shares

     3,795,368       7,166,974       2,325,569  

Class C Shares

     272,876       740,195       —  

Class I Shares

     11,126,855       38,770,092       13,572,561  

Class Y Shares

     1,789,773       38,647,874       1,618,584  

Net Asset Value, offering (except Class A Shares) and redemption price per share:

                        

Class A Shares

   $ 30.96     $ 22.69     $ 14.27  

Class C Shares (A)

   $ 25.98     $ 20.43     $ —  

Class I Shares

   $ 31.49     $ 22.93     $ 14.32  

Class Y Shares

   $ 31.52     $ 22.99     $ 14.36  

Maximum Offering Price

                        

Maximum sales charge — Class A Shares

     5.00 %     5.00 %     5.00 %

(100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share Class A Shares

   $ 32.59     $ 23.88     $ 15.02  

* Includes value of securities on loan

   $ 18,781,723     $ 29,051,172     $ —  

 

(A)

Redemption price per share varies based on the holding period.

See accompanying Notes to Financial Statements.

 

90 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

 

Large Cap
Fund

    

All Cap
Select
Fund

    

Long-Short
Fund

    

Global
Fund

    

International
Fund

    

Short Duration
Securitized
Bond Fund

    

Core Bond
Fund

  
                                                       
  $ 5,899,768,269     $ 237,236,779     $ 1,594,062,816     $ 13,596,676     $ 14,138,552     $ 1,117,132,367     $ 346,822,050  
    —       —       34,606,402       —       —       —       —  
  $ 8,299,348,734     $ 329,795,641     $ 2,293,145,341     $ 16,348,725     $ 16,841,425     $ 1,133,124,199     $ 356,534,296  
    —       —       34,836,878       —       —       —       —  
    —       —       —       —       —       2,467,147       122,721  
    —       —       —       —       43,208       —       —  
    —       —       604,194,749       —       —       —       —  
    20,869,629       72,483       1,325,990       —       —       5,654,839       194,922  
    —       —       16,804,716       —       —       148,824       26,017  
    7,631,574       218,705       1,053,706       15,424       10,254       1,881,446       1,151,646  
    —       —       733       3,716       4,094       —       —  
    465       90       —       —       —       —       —  
    8,327,850,402       330,086,919       2,951,362,113       16,367,865       16,898,981       1,143,276,455       358,029,602  
                                                       
                                                       
    —       —       590,817,468       —       —       —       —  
    —       —       —       51       —       —       —  
    —       991,218       3,573,634       164,275       —       6,799,802       2,749,613  
    11,428,105       112,799       3,888,077       —       —       732,221       90,535  
    —       —       876,020       —       —       —       —  
    —       2,799,197       294,518,354       38,200       20,301       2,801,555       17,812,661  
    3,462,520       188,895       1,559,599       8,633       9,027       325,484       85,505  
    973,561       32,370       295,530       890       1,122       141,156       42,647  
    220,252       4,824       55,479       33       70       10,106       3,591  
    200       200       4,350       575       675       200       300  
    16,084,638       4,129,503       895,588,511       212,657       31,195       10,810,524       20,784,852  
                                                       
  $ 8,311,765,764     $ 325,957,416     $ 2,055,773,602     $ 16,155,208     $ 16,867,786     $ 1,132,465,931     $ 337,244,750  
                                                       
                                                       
  $ 5,842,406,900     $ 236,499,569     $ 1,450,703,673     $ 15,498,907     $ 14,454,612     $ 1,123,738,887     $ 327,433,988  
    2,469,358,864       89,457,847       605,069,929       656,301       2,413,174       8,727,044       9,810,762  
  $ 8,311,765,764     $ 325,957,416     $ 2,055,773,602     $ 16,155,208     $ 16,867,786     $ 1,132,465,931     $ 337,244,750  
                                                       
  $ 762,677,862     $ 10,206,723     $ 162,270,817     $ 159,663     $ 338,289     $ 47,059,256     $ 17,023,702  
  $ 68,930,188     $ 3,243,528     $ 24,428,176     $ —     $ —     $ —     $ —  
  $ 5,140,496,523     $ 171,262,731     $ 1,794,063,227     $ 2,218,413     $ 3,913,446     $ 897,231,818     $ 260,364,635  
  $ 2,339,661,191     $ 141,244,434     $ 75,011,382     $ 13,777,132     $ 12,616,051     $ 188,174,857     $ 59,856,413  
                                                       
    25,069,274       553,914       6,268,401       10,530       21,860       4,664,246       1,584,541  
    2,410,254       190,869       1,082,133       —       —       —       —  
    168,155,471       9,205,969       67,497,107       145,670       252,383       88,916,782       24,241,073  
    76,485,603       7,567,693       2,810,085       904,804       813,356       18,629,922       5,568,291  
                                                       
  $ 30.42     $ 18.43     $ 25.89     $ 15.16     $ 15.48     $ 10.09     $ 10.74  
  $ 28.60     $ 16.99     $ 22.57     $ —     $ —     $ —     $ —  
  $ 30.57     $ 18.60     $ 26.58     $ 15.23     $ 15.51     $ 10.09     $ 10.74  
  $ 30.59     $ 18.66     $ 26.69     $ 15.23     $ 15.51     $ 10.10     $ 10.75  
                                                       
    5.00 %     5.00 %     5.00 %     5.00 %     5.00 %     2.25 %     3.50 %
  $ 32.02     $ 19.40     $ 27.25     $ 15.96     $ 16.29     $ 10.32     $ 11.13  
  $ 101,354,889     $ 8,664,569     $ 289,541,747     $ 37,272     $ 153,943     $ 2,727,520     $ 30,526,114  

 

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 91

 

 

 

 

Diamond Hill Funds
Statements of Assets & Liabilities (Continued)
December 31, 2020

 

   

Corporate
Credit Fund

    

High Yield
Fund

  

Assets

                

Investment in unaffiliated securities, at cost

   $ 1,980,395,410     $ 697,159,171  

Investment in unaffiliated securities, at fair value*

   $ 2,051,061,319     $ 730,466,766  

Receivable for fund shares issued

     4,465,271       4,476,423  

Receivable for investments sold

     6,518,032       6,858,326  

Receivable for dividends and interest

     25,497,093       10,236,615  

Prepaid expenses and other assets

     371       —  

Total Assets

     2,087,542,086       752,038,130  
                 

Liabilities

                

Payable for securities purchased

     15,993,449       14,353,788  

Payable for fund shares redeemed

     1,174,701       1,332,588  

Payable for return of collateral received for securities on loan

     49,171,063       12,446,605  

Payable to Investment Adviser

     743,344       292,193  

Payable to Administrator

     277,026       98,009  

Accrued distribution and service fees

     58,750       8,099  

Other accrued expenses

     4,800       3,900  

Total Liabilities

     67,423,133       28,535,182  
                 

Net Assets

   $ 2,020,118,953     $ 723,502,948  
                 

Components of Net Assets

                

Paid-in capital

   $ 1,944,065,432     $ 685,698,503  

Distributable earnings

     76,053,521       37,804,445  

Net Assets

   $ 2,020,118,953     $ 723,502,948  

Net Assets

                

Class A Shares

   $ 161,659,192     $ 39,495,892  

Class C Shares

   $ 29,510,273     $ —  

Class I Shares

   $ 1,724,397,164     $ 651,836,148  

Class Y Shares

   $ 104,552,324     $ 32,170,908  

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

                

Class A Shares

     13,688,524       3,464,984  

Class C Shares

     2,509,454       —  

Class I Shares

     146,533,850       57,153,955  

Class Y Shares

     8,888,640       2,817,698  

Net Asset Value, offering (except Class A Shares) and redemption price per share:

                

Class A Shares

   $ 11.81     $ 11.40  

Class C Shares (A)

   $ 11.76     $ —  

Class I Shares

   $ 11.77     $ 11.40  

Class Y Shares

   $ 11.76     $ 11.42  

Maximum Offering Price

                

Maximum sales charge — Class A Shares

     3.50 %     3.50 %

(100%/(100%-maximum sales charge) of net asset value adjusted to the nearest cent) per share Class A Shares

   $ 12.24     $ 11.81  

* Includes value of securities on loan

   $ 47,761,938     $ 12,071,457  

 

(A)

Redemption price per share varies based on the holding period.

 

See accompanying Notes to Financial Statements.

 

92 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Funds
Statements of Operations
For the year ended December 31, 2020

 

   

Small Cap
Fund

    

Small-Mid
Cap
Fund

    

Mid Cap
Fund

    

Large Cap
Fund

  

Investment Income

                                

Dividends

   $ 6,641,465     $ 24,340,838     $ 3,229,225     $ 132,894,697  

Income distributions from affiliated investments

     —       956,341       57,541       —  

Securities lending income

     138,650       283,314       10,334       132,581  

Foreign taxes withheld

     —       (9,169 )     (3,057 )     (49,509 )

Total Investment Income

     6,780,115       25,571,324       3,294,043       132,977,769  
                                 

Expenses

                                

Investment advisory fees

     4,151,660       13,658,120       1,334,804       33,199,352  

Administration fees

     861,113       2,154,397       362,684       9,867,725  

Distribution and service fees — Class A

     296,939       359,915       71,269       2,525,244  

Distribution and service fees — Class C

     80,871       163,269       —       676,573  

Other fees

     2,544       5,688       7,573       15,991  

Total Expenses

     5,393,127       16,341,389       1,776,330       46,284,885  

Advisory fees waived by Adviser

     —       (100,162 )     (6,076 )     —  

Net Expenses

     5,393,127       16,241,227       1,770,254       46,284,885  
                                 

Net Investment Income

     1,386,988       9,330,097       1,523,789       86,692,884  
                                 

Realized and Unrealized Gains (Losses) on Investments

                                

Net realized gains (losses) on investment transactions

     27,434,258       3,503,669       (28,759,549 )     294,727,927  

Net realized losses on sales from affiliated investments

     —       (9,028 )     (75,396 )     —  

Net realized gains from in-kind redemptions

     —       16,852,506       —       —  

Net change in unrealized appreciation (depreciation) on unaffiliated investments

     (59,087,783 )     (113,851,382 )     23,470,736       365,974,269  

Net change in unrealized appreciation (depreciation) on affiliated investments

     —       (55,484 )     (870 )     —  

Net Realized and Unrealized (Losses) Gains on Investments

     (31,653,525 )     (93,559,719 )     (5,365,079 )     660,702,196  
                                 

Change in Net Assets from Operations

   $ (30,266,537 )   $ (84,229,622 )   $ (3,841,290 )   $ 747,395,080  

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 93

 

 

 

 

Diamond Hill Funds
Statements of Operations
For the year ended December 31, 2020

 

   

All Cap
Select
Fund

    

Long-Short
Fund

    

Global
Fund

    

International
Fund

  

Investment Income

                                

Dividends

   $ 3,844,741     $ 42,294,637     $ 287,410     $ 233,102  

Income distributions from affiliated investments

     —       1,679,197       —       —  

Rebates on short sales, net of fees

     —       1,204,001       —       —  

Securities lending income

     26,756       1,255,798       1,994       1,572  

Foreign taxes withheld

     (3,886 )     —       (12,936 )     (23,121 )

Total Investment Income

     3,867,611       46,433,633       276,468       211,553  
                                 

Expenses

                                

Investment advisory fees

     1,816,040       21,823,190       108,366       86,195  

Administration fees

     318,074       4,045,476       13,024       10,125  

Distribution and service fees — Class A

     21,699       430,590       293       561  

Distribution and service fees — Class C

     30,629       289,907       —       —  

Other fees

     2,184       20,212       3,769       4,059  

Dividend expense

     —       11,155,084       —       —  

Total Expenses

     2,188,626       37,764,459       125,452       100,940  

Advisory fees waived by Adviser

     —       (172,953 )     —       —  

Net Expenses

     2,188,626       37,591,506       125,452       100,940  
                                 

Net Investment Income

     1,678,985       8,842,127       151,016       110,613  
                                 

Realized and Unrealized Gains (Losses) on Investments

                                

Net realized gains (losses) on investment transactions

     2,068,554       63,273,106       (1,595,384 )     (295,613 )

Net realized losses on closed short positions

     —       (59,320,359 )     —       —  

Net realized losses on sales from affiliated investments

     —       (1,126,909 )     —       —  

Net realized losses on foreign currency transactions

     —       (56 )     (5,796 )     (2,926 )

Net change in unrealized appreciation (depreciation) on unaffiliated investments and foreign currency translations

     47,293,692       (261,687,568 )     549,269       1,492,806  

Net changes in unrealized appreciation (depreciation) on affiliated investments

     —       (148,435 )     —       —  

Net Realized and Unrealized (Losses) Gains on Investments

     49,362,246       (259,010,221 )     (1,051,911 )     1,194,267  
                                 

Change in Net Assets from Operations

   $ 51,041,231     $ (250,168,094 )   $ (900,895 )   $ 1,304,880  

 

See accompanying Notes to Financial Statements.

 

94 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Funds
Statements of Operations
For the year ended December 31, 2020

 

   

Short Duration
Securitized
Bond Fund

    

Core Bond
Fund

    

Corporate
Credit Fund

    

High Yield
Fund

  

Investment Income

                                

Dividends

   $ 360,147     $ 33,627     $ 593,448     $ 42,206  

Income distributions from affiliated investments

     —       —       592,741       —  

Securities lending income

     17,502       28,072       123,585       14,861  

Interest

     31,201,207       5,652,216       75,142,095       25,205,671  

Total Investment Income

     31,578,856       5,713,915       76,451,869       25,262,738  
                                 

Expenses

                                

Investment advisory fees

     3,186,352       618,211       6,347,119       1,944,083  

Administration fees

     1,336,808       281,393       2,364,887       651,610  

Distribution and service fees — Class A

     128,036       30,242       345,439       63,249  

Distribution and service fees — Class C

     —       —       280,014       —  

Borrowing costs

     53,171       —       —       —  

Other fees

     3,156       1,962       20,685       15,948  

Total Expenses

     4,707,523       931,808       9,358,144       2,674,890  

Advisory fees waived by Adviser

     —       —       (60,152 )     —  

Net Expenses

     4,707,523       931,808       9,297,992       2,674,890  
                                 

Net Investment Income

     26,871,333       4,782,107       67,153,877       22,587,848  
                                 

Realized and Unrealized Gains (Losses) on Investments

                                

Net realized gains (losses) on investment transactions

     (7,018,420 )     532,828       36,251,469       31,258,338  

Net realized losses on sales from affiliated investments

     —       —       (4,046,880 )     —  

Net change in unrealized appreciation (depreciation) on unaffiliated investments

     14,436,789       8,109,845       57,026,433       31,260,240  

Net change in unrealized appreciation (depreciation) on affiliated investments

     —       —       (149,053 )     —  

Net Realized and Unrealized (Losses) Gains on Investments

     7,418,369       8,642,673       89,081,969       62,518,578  
                                 

Change in Net Assets from Operations

   $ 34,289,702     $ 13,424,780     $ 156,235,846     $ 85,106,426  

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 95

 

 

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Small Cap Fund

      

Small-Mid Cap Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

From Operations

                                  

Net investment income

   $ 1,386,988     $ 3,886,777       $ 9,330,097     $ 12,086,663  

Net realized gains on investment transactions

     27,434,258       43,407,684         20,356,175       108,293,002  

Net realized gains (losses) on sales from affiliated investments

     —       71,515         (9,028 )     —  

Net change in unrealized appreciation (depreciation) on investments

     (59,087,783 )     134,547,685         (113,906,866 )     427,060,978  

Change in Net Assets from Operations

     (30,266,537 )     181,913,661         (84,229,622 )     547,440,643  
                                   

Distributions to Shareholders

                                  

Class A

     (375,118 )     (11,081,916 )       (794,357 )     (8,510,329 )

Class C

     —       (914,244 )       (7,160 )     (1,042,724 )

Class I

     (2,149,700 )     (32,495,066 )       (6,470,465 )     (53,022,453 )

Class Y

     (400,788 )     (7,210,933 )       (7,445,410 )     (56,784,896 )

Change in Net Assets from Distributions to Shareholders

     (2,925,606 )     (51,702,159 )       (14,717,393 )     (119,360,402 )

Change in Net Assets from Capital Transactions

     (188,317,587 )     (397,795,555 )       (382,235,477 )     4,058,507  
                                   

Total Change in Net Assets

     (221,509,730 )     (267,584,053 )       (481,182,492 )     432,138,748  
                                   

Net Assets:

                                  

Beginning of year

     752,883,477       1,020,467,530         2,436,462,454       2,004,323,706  

End of year

   $ 531,373,747     $ 752,883,477       $ 1,955,279,962     $ 2,436,462,454  

 

See accompanying Notes to Financial Statements.

 

96 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

Capital Transactions

                                  

Class A

                                  

Proceeds from shares sold

   $ 23,733,959     $ 40,572,163       $ 24,448,991     $ 19,071,426  

Reinvested distributions

     314,746       9,218,750         783,648       8,403,243  

Payments for shares redeemed

     (63,068,608 )     (127,190,166 )       (44,318,189 )     (41,483,324 )

Change in Net Assets from Class A Share Transactions

    (39,019,903 )     (77,399,253 )       (19,085,550 )     (14,008,655 )

Class C

                                  

Proceeds from shares sold

     611,220       180,767         649,284       1,276,636  

Reinvested distributions

     —       868,236         6,509       943,392  

Payments for shares redeemed

     (5,650,487 )     (15,421,215 )       (7,579,456 )     (9,570,431 )

Change in Net Assets from Class C Share Transactions

    (5,039,267 )     (14,372,212 )       (6,923,663 )     (7,350,403 )

Class I

                                  

Proceeds from shares sold

     103,453,931       102,690,833         274,659,187       166,954,890  

Reinvested distributions

     1,994,067       29,931,706         4,986,493       45,265,874  

Payments for shares redeemed

     (205,621,642 )     (377,598,787 )       (434,226,524 )     (210,272,651 )

Change in Net Assets from Class I Share Transactions

    (100,173,644 )     (244,976,248 )       (154,580,844 )     1,948,113  

Class Y

                                  

Proceeds from shares sold

     13,656,080       21,087,012         132,544,137       132,509,204  

Reinvested distributions

     400,779       7,178,960         6,965,221       54,789,928  

Payments for shares redeemed

     (58,141,632 )     (89,313,814 )       (341,154,778 )     (163,829,680 )

Change in Net Assets from Class Y Share Transactions

    (44,084,773 )     (61,047,842 )       (201,645,420 )     23,469,452  

Change in Net Assets from Capital Transactions

   $ (188,317,587 )   $ (397,795,555 )     $ (382,235,477 )   $ 4,058,507  

 

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 97

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Small Cap Fund

      

Small-Mid Cap Fund

  
   

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

      

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

  

Share Transactions:

                                  

Class A

                                  

Issued

     1,036,142       1,333,737         1,410,527       887,064  

Reinvested

     10,186       296,221         34,702       375,472  

Redeemed

     (2,544,906 )     (4,136,880 )       (2,426,981 )     (1,937,682 )

Change in Shares Outstanding

     (1,498,578 )     (2,506,922 )       (981,752 )     (675,146 )

Class C

                                  

Issued

     31,339       6,934         38,307       64,646  

Reinvested

     —       33,444         329       47,005  

Redeemed

     (271,175 )     (594,042 )       (450,222 )     (489,352 )

Change in Shares Outstanding

     (239,836 )     (553,664 )       (411,586 )     (377,701 )

Class I

                                  

Issued

     4,534,386       3,294,020         15,498,884       7,731,393  

Reinvested

     63,445       943,203         218,333       1,997,774  

Redeemed

     (8,234,376 )     (12,106,669 )       (24,395,824 )     (9,684,134 )

Change in Shares Outstanding

     (3,636,545 )     (7,869,446 )       (8,678,607 )     45,033  

Class Y

                                  

Issued

     569,955       665,331         7,249,838       6,120,553  

Reinvested

     12,739       225,846         304,225       2,411,139  

Redeemed

     (2,096,177 )     (2,849,504 )       (19,138,809 )     (7,506,290 )

Change in Shares Outstanding

     (1,513,483 )     (1,958,327 )       (11,584,746 )     1,025,402  

Change in Total Shares Outstanding

     (6,888,442 )     (12,888,359 )       (21,656,691 )     17,588  

 

See accompanying Notes to Financial Statements.

 

98 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Mid Cap Fund

      

Large Cap Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

From Operations

                                  

Net investment income

   $ 1,523,789     $ 1,127,923       $ 86,692,884     $ 76,750,034  

Net realized gains (losses) on investment transactions

     (28,759,549 )     4,287,802         294,727,927       153,325,517  

Net realized losses on sales from affiliated investments

     (75,396 )     —         —       —  

Net change in unrealized appreciation (depreciation) on investments

     23,469,866       29,195,781         365,974,269       1,396,404,458  

Change in Net Assets from Operations

     (3,841,290 )     34,611,506         747,395,080       1,626,480,009  
                                   

Distributions to Shareholders

                                  

Class A

     (175,191 )     (565,161 )       (22,298,991 )     (54,024,543 )

Class C

     —       —         (1,861,129 )     (3,228,719 )

Class I

     (1,482,682 )     (3,624,271 )       (174,347,503 )     (179,345,975 )

Class Y

     (213,621 )     (428,127 )       (80,994,298 )     (72,817,302 )

Change in Net Assets from Distributions to Shareholders

     (1,871,494 )     (4,617,559 )       (279,501,921 )     (309,416,539 )

Change in Net Assets from Capital Transactions

     26,506,292       96,102,055         1,071,050,896       369,588,329  
                                   

Total Change in Net Assets

     20,793,508       126,096,002         1,538,944,055       1,686,651,799  
                                   

Net Assets:

                                  

Beginning of year

     229,986,699       103,890,697         6,772,821,709       5,086,169,910  

End of year

   $ 250,780,207     $ 229,986,699       $ 8,311,765,764     $ 6,772,821,709  

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 99

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Mid Cap Fund

      

Large Cap Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

Capital Transactions

                                  

Class A

                                  

Proceeds from shares sold

   $ 13,431,553     $ 13,900,679       $ 149,464,843     $ 130,379,141  

Reinvested distributions

     164,900       524,072         21,250,713       53,321,788  

Payments for shares redeemed

     (13,070,139 )     (8,830,284 )       (690,852,940 )     (234,420,865 )

Change in Net Assets from Class A Share Transactions

    526,314       5,594,467         (520,137,384 )     (50,719,936 )

Class C

                                  

Proceeds from shares sold

     —       —         6,876,257       13,866,584  

Reinvested distributions

     —       —         1,704,162       2,984,735  

Payments for shares redeemed

     —       —         (24,373,041 )     (36,940,608 )

Change in Net Assets from Class C Share Transactions

    —       —         (15,792,622 )     (20,089,289 )

Class I

                                  

Proceeds from shares sold

     150,185,900       144,323,693         2,084,600,703       1,280,093,450  

Reinvested distributions

     1,419,804       3,394,634         131,982,936       130,477,136  

Payments for shares redeemed

     (127,460,056 )     (44,342,499 )       (1,275,039,176 )     (1,273,672,485 )

Change in Net Assets from Class I Share Transactions

    24,145,648       103,375,828         941,544,463       136,898,101  

Class Y

                                  

Proceeds from shares sold

     10,272,471       6,533,676         975,327,302       419,841,438  

Reinvested distributions

     177,984       428,127         73,568,411       69,292,612  

Payments for shares redeemed

     (8,616,125 )     (19,830,043 )       (383,459,274 )     (185,634,597 )

Change in Net Assets from Class Y Share Transactions

    1,834,330       (12,868,240 )       665,436,439       303,499,453  

Change in Net Assets from Capital Transactions

   $ 26,506,292     $ 96,102,055       $ 1,071,050,896     $ 369,588,329  

 

 

See accompanying Notes to Financial Statements.

 

100 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Mid Cap Fund

      

Large Cap Fund

  
   

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

      

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

  

Share Transactions:

                                  

Class A

                                  

Issued

     1,216,594       1,011,685         5,690,207       4,792,494  

Reinvested

     11,690       36,074         711,742       1,847,890  

Redeemed

     (1,087,987 )     (636,358 )       (24,420,335 )     (8,612,249 )

Change in Shares Outstanding

     140,297       411,401         (18,018,386 )     (1,971,865 )

Class C

                                  

Issued

     —       —         272,394       540,314  

Reinvested

     —       —         61,118       110,194  

Redeemed

     —       —         (1,003,488 )     (1,468,691 )

Change in Shares Outstanding

     —       —         (669,976 )     (818,183 )

Class I

                                  

Issued

     12,972,552       10,415,779         79,573,495       47,317,625  

Reinvested

     99,970       232,262         4,378,428       4,483,819  

Redeemed

     (11,587,276 )     (3,178,229 )       (49,291,182 )     (47,651,984 )

Change in Shares Outstanding

     1,485,246       7,469,812         34,660,741       4,149,460  

Class Y

                                  

Issued

     867,672       469,310         34,446,877       15,230,940  

Reinvested

     12,497       29,197         2,436,886       2,377,859  

Redeemed

     (649,898 )     (1,433,038 )       (14,332,012 )     (6,736,458 )

Change in Shares Outstanding

     230,271       (934,531 )       22,551,751       10,872,341  

Change in Total Shares Outstanding

     1,855,814       6,946,682         38,524,130       12,231,753  

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 101

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

All Cap Select Fund

      

Long-Short Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

From Operations

                                  

Net investment income

   $ 1,678,985     $ 1,696,753       $ 8,842,127     $ 29,304,389  

Net realized gains (losses) on investment transactions

     2,068,554       (5,032,474 )       63,273,106       258,373,667  

Net realized losses on closed short positions

     —       —         (59,320,359 )     (10,450,631 )

Net realized gains (losses) on sales from affiliated investments

     —       —         (1,126,909 )     217,544  

Net realized losses on foreign currency transactions

     —       —         (56 )     —  

Net change in unrealized appreciation (depreciation) on investments and foreign currency translations

     47,293,692       63,270,956         (261,836,003 )     475,912,701  

Change in Net Assets from Operations

     51,041,231       59,935,235         (250,168,094 )     753,357,670  
                                   

Distributions to Shareholders

                                  

Class A

     (28,543 )     (212,393 )       (1,582,517 )     (14,200,792 )

Class C

     —       (96,609 )       (223,421 )     (2,603,566 )

Class I

     (889,515 )     (2,860,902 )       (21,897,354 )     (182,341,938 )

Class Y

     (872,601 )     (1,564,705 )       (982,487 )     (18,201,675 )

Change in Net Assets from Distributions to Shareholders

     (1,790,659 )     (4,734,609 )       (24,685,779 )     (217,347,971 )

Change in Net Assets from Capital Transactions

     4,357,128       21,447,359         (1,197,389,878 )     (602,354,115 )
                                   

Total Change in Net Assets

     53,607,700       76,647,985         (1,472,243,751 )     (66,344,416 )
                                   

Net Assets:

                                  

Beginning of year

     272,349,716       195,701,731         3,528,017,353       3,594,361,769  

End of year

   $ 325,957,416     $ 272,349,716       $ 2,055,773,602     $ 3,528,017,353  

 

See accompanying Notes to Financial Statements.

 

102 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

All Cap Select Fund

      

Long-Short Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

Capital Transactions

                                  

Class A

                                  

Proceeds from shares sold

   $ 887,231     $ 2,713,138       $ 25,128,153     $ 68,264,153  

Reinvested distributions

     26,209       202,386         1,385,332       12,806,230  

Payments for shares redeemed

     (2,697,607 )     (3,246,105 )       (91,047,343 )     (62,919,872 )

Net assets received in conjunction with fund merger

     —       —         5,435,645       —  

Change in Net Assets from Class A Share Transactions

    (1,784,167 )     (330,581 )       (59,098,213 )     18,150,511  

Class C

                                  

Proceeds from shares sold

     110,353       490,191         1,481,104       2,181,254  

Reinvested distributions

     —       86,185         210,563       2,322,234  

Payments for shares redeemed

     (1,843,071 )     (4,283,014 )       (16,999,894 )     (54,901,135 )

Net assets received in conjunction with fund merger

     —       —         762,183       —  

Change in Net Assets from Class C Share Transactions

    (1,732,718 )     (3,706,638 )       (14,546,044 )     (50,397,647 )

Class I

                                  

Proceeds from shares sold

     38,513,095       30,864,663         483,242,457       654,036,936  

Reinvested distributions

     874,867       2,785,198         17,182,498       132,497,687  

Payments for shares redeemed

     (46,712,143 )     (28,499,677 )       (1,457,248,575 )     (1,398,453,685 )

Net assets received in conjunction with fund merger

     —       —         12,333,406       —  

Change in Net Assets from Class I Share Transactions

    (7,324,181 )     5,150,184         (944,490,214 )     (611,919,062 )

Class Y

                                  

Proceeds from shares sold

     30,166,804       30,239,702         12,232,813       372,508,150  

Reinvested distributions

     832,932       1,537,009         667,666       13,026,467  

Payments for shares redeemed

     (15,801,542 )     (11,442,317 )       (208,868,989 )     (343,722,534 )

Net assets received in conjunction with fund merger

     —       —         16,713,103       —  

Change in Net Assets from Class Y Share Transactions

    15,198,194       20,334,394         (179,255,407 )     41,812,083  

Change in Net Assets from Capital Transactions

   $ 4,357,128     $ 21,447,359       $ (1,197,389,878 )   $ (602,354,115 )

 

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 103

 

 

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

All Cap Select Fund

      

Long-Short Fund

  
   

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

      

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

  

Share Transactions:

                                  

Class A

                                  

Issued

     62,432       182,077         1,072,538       2,587,425  

Reinvested

     1,429       12,578         54,303       486,718  

Redeemed

     (193,208 )     (220,262 )       (4,006,508 )     (2,444,510 )

Received in conjunction with fund merger

     —       —         226,265       —  

Change in Shares Outstanding

     (129,347 )     (25,607 )       (2,653,402 )     629,633  

Class C

                                  

Issued

     8,726       35,925         70,563       94,412  

Reinvested

     —       5,780         9,498       101,142  

Redeemed

     (134,671 )     (312,776 )       (842,802 )     (2,369,257 )

Received in conjunction with fund merger

     —       —         36,363       —  

Change in Shares Outstanding

     (125,945 )     (271,071 )       (726,378 )     (2,173,703 )

Class I

                                  

Issued

     3,286,070       2,083,187         20,035,736       24,748,870  

Reinvested

     47,239       171,608         653,624       4,901,190  

Redeemed

     (3,477,940 )     (1,911,294 )       (63,402,777 )     (53,316,381 )

Received in conjunction with fund merger

     —       —         499,138       —  

Change in Shares Outstanding

     (144,631 )     343,501         (42,214,279 )     (23,666,321 )

Class Y

                                  

Issued

     2,233,911       1,917,982         484,890       14,132,854  

Reinvested

     44,829       94,411         25,279       479,280  

Redeemed

     (1,062,608 )     (778,981 )       (9,140,669 )     (12,987,277 )

Received in conjunction with fund merger

     —       —         672,947       —  

Change in Shares Outstanding

     1,216,132       1,233,412         (7,957,553 )     1,624,857  

Change in Total Shares Outstanding

     816,209       1,280,235         (53,551,612 )     (23,585,534 )

 

See accompanying Notes to Financial Statements.

 

104 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Global Fund

      

International Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the period
ended
December 31,
2019(A)

  

From Operations

                                  

Net investment income

   $ 151,016     $ 238,174       $ 110,613     $ 41,735  

Net realized gains (losses) on investment transactions

     (1,595,384 )     (545,811 )       (295,613 )     96,557  

Net realized losses on foreign currency transactions

     (5,796 )     (2,919 )       (2,926 )     (4,314 )

Net change in unrealized appreciation (depreciation) on investments and foreign currency translations

     549,269       5,007,625         1,492,806       988,061  

Change in Net Assets from Operations

     (900,895 )     4,697,069         1,304,880       1,122,039  
                                   

Distributions to Shareholders

                                  

Class A

     (983 )     (849 )       (2,988 )     (143 )

Class I

     (14,606 )     (63,955 )       (41,683 )     (13,473 )

Class Y

     (123,476 )     (175,824 )       (144,229 )     (38,282 )

Change in Net Assets from Distributions to Shareholders

     (139,065 )     (240,628 )       (188,900 )     (51,898 )

Change in Net Assets from Capital Transactions

     (4,659,826 )     2,679,247         2,261,513       12,420,152  
                                   

Total Change in Net Assets

     (5,699,786 )     7,135,688         3,377,493       13,490,293  
                                   

Net Assets:

                                  

Beginning of period

     21,854,994       14,719,306         13,490,293       —  

End of period

   $ 16,155,208     $ 21,854,994       $ 16,867,786     $ 13,490,293  

 

(A)

Inception date of the Fund is June 28, 2019. Fund commenced operations on July 1, 2019.

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 105

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Global Fund

      

International Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the period
ended
December 31,
2019 (A)

  

Capital Transactions

                                  

Class A

                                  

Proceeds from shares sold

   $ 74,461     $ 64,243       $ 260,824     $ 43,301  

Reinvested distributions

     983       849         2,988       143  

Payments for shares redeemed

     (36,612 )     (41,469 )       (34,822 )     —  

Change in Net Assets from Class A Share Transactions

    38,832       23,623         228,990       43,444  

Class I

                                  

Proceeds from shares sold

     583,366       1,307,952         1,739,698       748,412  

Reinvested distributions

     14,606       63,955         41,683       13,473  

Payments for shares redeemed

     (3,728,266 )     (966,146 )       (2,038,253 )     (1,223,590 )

Received in conjunction with fund reorganization

     —       —         —       3,996,233  

Change in Net Assets from Class I Share Transactions

    (3,130,294 )     405,761         (256,872 )     3,534,528  

Class Y

                                  

Proceeds from shares sold

     314,490       2,115,001         2,752,361       8,803,963  

Reinvested distributions

     123,476       175,824         144,229       38,282  

Payments for shares redeemed

     (2,006,330 )     (40,962 )       (607,195 )     (65 )

Change in Net Assets from Class Y Share Transactions

    (1,568,364 )     2,249,863         2,289,395       8,842,180  

Change in Net Assets from Capital Transactions

   $ (4,659,826 )   $ 2,679,247       $ 2,261,513     $ 12,420,152  

 

 

(A)

Inception date of the Fund is June 28, 2019. Fund commenced operations on July 1, 2019.

 

See accompanying Notes to Financial Statements.

 

106 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Global Fund

      

International Fund

  
   

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

      

For the year ended
December 31,
2020

    

For the period ended
December 31,
2019 (A)

  

Share Transactions:

                                  

Class A

                                  

Issued

     6,083       4,785         20,908       3,086  

Reinvested

     65       57         196       10  

Redeemed

     (2,972 )     (3,103 )       (2,340 )     —  

Change in Shares Outstanding

     3,176       1,739         18,764       3,096  

Class I

                                  

Issued

     38,969       94,181         133,427       54,023  

Reinvested

     958       4,249         2,713       923  

Redeemed

     (306,392 )     (66,115 )       (144,348 )     (89,355 )

Received in conjunction with fund reorganization

     —       —         —       295,000  

Change in Shares Outstanding

     (266,465 )     32,315         (8,208 )     260,591  

Class Y

                                  

Issued

     22,743       146,805         197,656       652,121  

Reinvested

     8,102       11,675         9,375       2,622  

Redeemed

     (154,682 )     (2,988 )       (48,413 )     (5 )

Change in Shares Outstanding

     (123,837 )     155,492         158,618       654,738  

Change in Total Shares Outstanding

     (387,126 )     189,546         169,174       918,425  

 

(A)

Inception date of the Fund is June 28, 2019. Fund commenced operations on July 1, 2019.

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 107

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Short Duration
Securitized Bond Fund

      

Core Bond Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

From Operations

                                  

Net investment income

   $ 26,871,333     $ 27,371,810       $ 4,782,107     $ 2,229,170  

Net realized gains (losses) on investment transactions

     (7,018,420 )     1,015,899         532,828       60,911  

Net change in unrealized appreciation (depreciation) on investments

     14,436,789       2,725,507         8,109,845       2,528,695  

Change in Net Assets from Operations

     34,289,702       31,113,216         13,424,780       4,818,776  
                                   

Distributions to Shareholders

                                  

Class A

     (1,533,265 )     (1,319,478 )       (247,377 )     (82,564 )

Class I

     (22,083,714 )     (16,872,294 )       (3,229,425 )     (967,749 )

Class Y

     (6,492,319 )     (9,988,734 )       (1,529,783 )     (1,272,843 )

Change in Net Assets from Distributions to Shareholders

     (30,109,298 )     (28,180,506 )       (5,006,585 )     (2,323,156 )

Change in Net Assets from Capital Transactions

     319,626,459       226,459,319         206,778,242       64,289,996  
                                   

Total Change in Net Assets

     323,806,863       229,392,029         215,196,437       66,785,616  
                                   

Net Assets:

                                  

Beginning of year

     808,659,068       579,267,039         122,048,313       55,262,697  

End of year

   $ 1,132,465,931     $ 808,659,068       $ 337,244,750     $ 122,048,313  

 

See accompanying Notes to Financial Statements.

 

108 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

Capital Transactions

                                  

Class A

                                  

Proceeds from shares sold

   $ 36,648,916     $ 48,113,995       $ 13,873,310     $ 1,354,031  

Reinvested distributions

     1,526,415       1,313,656         246,004       81,833  

Payments for shares redeemed

     (45,846,520 )     (12,494,211 )       (1,142,423 )     (963,018 )

Change in Net Assets from Class A Share Transactions

    (7,671,189 )     36,933,440         12,976,891       472,846  

Class I

                                  

Proceeds from shares sold

     745,458,041       319,471,858         216,896,893       63,249,959  

Reinvested distributions

     14,066,984       10,587,671         2,860,509       783,275  

Payments for shares redeemed

     (394,978,915 )     (113,699,802 )       (30,497,567 )     (12,979,958 )

Change in Net Assets from Class I Share Transactions

    364,546,110       216,359,727         189,259,835       51,053,276  

Class Y

                                  

Proceeds from shares sold

     109,069,427       106,606,092         14,157,339       13,676,984  

Reinvested distributions

     6,307,783       9,667,968         1,358,200       1,272,843  

Payments for shares redeemed

     (152,625,672 )     (143,107,908 )       (10,974,023 )     (2,185,953 )

Change in Net Assets from Class Y Share Transactions

    (37,248,462 )     (26,833,848 )       4,541,516       12,763,874  

Change in Net Assets from Capital Transactions

   $ 319,626,459     $ 226,459,319       $ 206,778,242     $ 64,289,996  

 

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 109

 

 

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Short Duration
Securitized Bond Fund

      

Core Bond Fund

  
   

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

      

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

  

Share Transactions:

                                  

Class A

                                  

Issued

     3,680,417       4,744,357         1,315,970       134,674  

Reinvested

     156,709       129,679         23,010       8,134  

Redeemed

     (4,683,727 )     (1,233,129 )       (107,686 )     (96,045 )

Change in Shares Outstanding

     (846,601 )     3,640,907         1,231,294       46,763  

Class I

                                  

Issued

     76,022,724       31,501,854         20,345,170       6,190,313  

Reinvested

     1,438,429       1,045,405         268,174       77,203  

Redeemed

     (40,544,177 )     (11,219,030 )       (2,867,968 )     (1,273,116 )

Change in Shares Outstanding

     36,916,976       21,328,229         17,745,376       4,994,400  

Class Y

                                  

Issued

     11,362,853       10,495,911         1,341,553       1,331,980  

Reinvested

     645,835       954,132         127,759       126,280  

Redeemed

     (15,797,601 )     (14,100,128 )       (1,028,435 )     (213,723 )

Change in Shares Outstanding

     (3,788,913 )     (2,650,085 )       440,877       1,244,537  

Change in Total Shares Outstanding

     32,281,462       22,319,051         19,417,547       6,285,700  

 

See accompanying Notes to Financial Statements.

 

110 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Corporate Credit Fund

      

High Yield Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

From Operations

                                  

Net investment income

   $ 67,153,877     $ 50,736,112       $ 22,587,848     $ 5,645,663  

Net realized gains on investment transactions

     36,251,469       17,453,211         31,258,338       2,638,308  

Net realized losses on sales from affiliated investments

     (4,046,880 )     —         —       —  

Net change in unrealized appreciation (depreciation) on investments

     56,877,380       42,994,443         31,260,240       3,988,723  

Change in Net Assets from Operations

     156,235,846       111,183,766         85,106,426       12,272,694  
                                   

Distributions to Shareholders

                                  

Class A

     (8,779,645 )     (5,736,383 )       (2,882,219 )     (796,983 )

Class C

     (1,541,137 )     (1,361,042 )       —       —  

Class I

     (82,515,313 )     (48,838,336 )       (44,898,316 )     (4,386,518 )

Class Y

     (5,695,767 )     (3,543,594 )       (1,835,089 )     (1,822,190 )

Change in Net Assets from Distributions to Shareholders

     (98,531,862 )     (59,479,355 )       (49,615,624 )     (7,005,691 )

Change in Net Assets from Capital Transactions

     821,687,269       345,584,960         553,254,683       75,043,471  
                                   

Total Change in Net Assets

     879,391,253       397,289,371         588,745,485       80,310,474  
                                   

Net Assets:

                                  

Beginning of year

     1,140,727,700       743,438,329         134,757,463       54,446,989  

End of year

   $ 2,020,118,953     $ 1,140,727,700       $ 723,502,948     $ 134,757,463  

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 111

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Corporate Credit Fund

      

High Yield Fund

  
   

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

      

For the year
ended
December 31,
2020

    

For the year
ended
December 31,
2019

  

Capital Transactions

                                  

Class A

                                  

Proceeds from shares sold

   $ 102,525,853     $ 84,048,110       $ 46,859,794     $ 24,132,673  

Reinvested distributions

     8,158,386       5,426,724         2,840,041       772,176  

Payments for shares redeemed

     (74,496,708 )     (43,556,800 )       (29,308,482 )     (8,860,856 )

Change in Net Assets from Class A Share Transactions

    36,187,531       45,918,034         20,391,353       16,043,993  

Class C

                                  

Proceeds from shares sold

     9,207,524       7,178,621         —       —  

Reinvested distributions

     1,370,076       1,141,126         —       —  

Payments for shares redeemed

     (8,764,969 )     (8,252,666 )       —       —  

Change in Net Assets from Class C Share Transactions

    1,812,631       67,081         —       —  

Class I

                                  

Proceeds from shares sold

     1,171,970,823       390,481,338         714,879,550       80,759,941  

Reinvested distributions

     67,110,081       39,753,964         33,262,831       4,012,733  

Payments for shares redeemed

     (477,945,229 )     (184,904,560 )       (227,531,786 )     (14,335,085 )

Change in Net Assets from Class I Share Transactions

    761,135,675       245,330,742         520,610,595       70,437,589  

Class Y

                                  

Proceeds from shares sold

     83,053,102       60,211,534         36,139,761       1,794,451  

Reinvested distributions

     3,988,469       2,650,434         1,835,088       1,822,190  

Payments for shares redeemed

     (64,490,139 )     (8,592,865 )       (25,722,114 )     (15,054,752 )

Change in Net Assets from Class Y Share Transactions

    22,551,432       54,269,103         12,252,735       (11,438,111 )

Change in Net Assets from Capital Transactions

   $ 821,687,269     $ 345,584,960       $ 553,254,683     $ 75,043,471  

 

 

See accompanying Notes to Financial Statements.

 

112 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Diamond Hill Funds
Statements of Changes in Net Assets

 

   

Corporate Credit Fund

      

High Yield Fund

  
   

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

      

For the year ended
December 31,
2020

    

For the year ended
December 31,
2019

  

Share Transactions:

                                  

Class A

                                  

Issued

     9,138,716       7,393,054         4,280,516       2,209,446  

Reinvested

     717,323       476,584         253,026       70,396  

Redeemed

     (6,626,577 )     (3,849,473 )       (2,702,357 )     (809,905 )

Change in Shares Outstanding

     3,229,462       4,020,165         1,831,185       1,469,937  

Class C

                                  

Issued

     835,155       635,280         —       —  

Reinvested

     120,967       100,781         —       —  

Redeemed

     (780,780 )     (728,062 )       —       —  

Change in Shares Outstanding

     175,342       7,999         —       —  

Class I

                                  

Issued

     104,536,452       34,538,089         65,986,467       7,403,376  

Reinvested

     5,895,527       3,507,059         2,945,718       366,633  

Redeemed

     (43,605,967 )     (16,356,968 )       (20,535,794 )     (1,311,148 )

Change in Shares Outstanding

     66,826,012       21,688,180         48,396,391       6,458,861  

Class Y

                                  

Issued

     7,241,453       5,304,606         3,248,053       165,683  

Reinvested

     349,182       233,877         163,012       167,582  

Redeemed

     (5,921,372 )     (762,895 )       (2,424,537 )     (1,366,303 )

Change in Shares Outstanding

     1,669,263       4,775,588         986,528       (1,033,038 )

Change in Total Shares Outstanding

     71,900,079       30,491,932         51,214,104       6,895,760  

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 113

 

 

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
(loss)(A)

    

Net realized
and
unrealized
gains
(losses) on
investments

    

Total from
investment
operations

    

Dividends
from net
investment
income

  

Class A

                                        

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 )     —  

For the year ended December 31, 2017

  $ 34.39       0.06       3.55       3.61       (0.13 )

For the year ended December 31, 2016

  $ 30.89       0.00 (E)      4.36       4.36       —  

 

Class C

                                        

For the year ended December 31, 2020

  $ 26.33       (0.15 )     (0.20 )     (0.35 )     —  

For the year ended December 31, 2019

  $ 23.40       (0.16 )     4.92       4.76       (0.00 )(E)

For the year ended December 31, 2018

  $ 30.98       (0.17 )     (4.58 )     (4.75 )     —  

For the year ended December 31, 2017

  $ 30.30       (0.19 )     3.12       2.93       —  

For the year ended December 31, 2016

  $ 27.51       (0.23 )     3.88       3.65       —  

 

Class I

                                        

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 )

For the year ended December 31, 2017

  $ 34.87       0.17       3.61       3.78       (0.25 )

For the year ended December 31, 2016

  $ 31.28       0.10       4.42       4.52       (0.07 )

 

Class Y

                                        

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 )

For the year ended December 31, 2017

  $ 34.89       0.20       3.62       3.82       (0.29 )

For the year ended December 31, 2016

  $ 31.29       0.13       4.43       4.56       (0.10 )

 

 

 

(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.

 

(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.

 

See accompanying Notes to Financial Statements.

 

114 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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
(loss) to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                       
    —       (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 %
    (2.25 )     (2.38 )   $ 35.62       10.62 %   $ 357,512       1.27 %     1.28 %     0.11 %     7 %
    (0.86 )     (0.86 )   $ 34.39       14.10 %   $ 439,681       1.29 %     1.29 %     0.00 %(F)     15 %
 

 

  
                                                                       
    —       —     $ 25.98       (1.33 )%   $ 7,090       2.01 %     2.01 %     (0.70 )%     34 %
    (1.83 )     (1.83 )   $ 26.33       20.46 %   $ 13,501       2.02 %     2.02 %     (0.59 )%     22 %
    (2.83 )     (2.83 )   $ 23.40       (15.77 )%   $ 24,951       2.00 %     2.01 %     (0.45 )%     23 %
    (2.25 )     (2.25 )   $ 30.98       9.80 %   $ 46,868       2.02 %     2.03 %     (0.67 )%     7 %
    (0.86 )     (0.86 )   $ 30.30       13.25 %   $ 54,664       2.04 %     2.04 %     (0.75 )%     15 %
 

 

  
                                                                       
    —       (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 %
    (2.25 )     (2.50 )   $ 36.15       10.95 %   $ 877,913       0.97 %     0.98 %     0.41 %     7 %
    (0.86 )     (0.93 )   $ 34.87       14.45 %   $ 1,073,671       0.99 %     0.99 %     0.32 %     15 %
 

 

  
                                                                       
    —       (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 %
    (2.25 )     (2.54 )   $ 36.17       11.06 %   $ 207,770       0.87 %     0.88 %     0.53 %     7 %
    (0.86 )     (0.96 )   $ 34.89       14.57 %   $ 221,827       0.89 %     0.89 %     0.40 %     15 %
 

 

  

 

(D)

Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

 

(E)

Amount is less than $0.005.

 

(F)

Amount is less than 0.005%.

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 115

 

 

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
(loss)(A)

    

Net realized
and
unrealized
gains
(losses) on
investments

    

Total from
investment
operations

    

Dividends
from net
investment
income

  

Class A

                                        

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 )

For the year ended December 31, 2017

  $ 21.18       0.03       1.73       1.76       (0.03 )

For the year ended December 31, 2016

  $ 18.29       0.01       3.25       3.26       (0.01 )

 

Class C

                                        

For the year ended December 31, 2020

  $ 20.38       (0.10 )     0.16       0.06       —  

For the year ended December 31, 2019

  $ 16.88       (0.12 )     4.56       4.44       —  

For the year ended December 31, 2018

  $ 20.39       (0.10 )     (2.61 )     (2.71 )     —  

For the year ended December 31, 2017

  $ 19.60       (0.13 )     1.59       1.46       —  

For the year ended December 31, 2016

  $ 17.06       (0.12 )     3.02       2.90       —  

 

Class I

                                        

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 )

For the year ended December 31, 2017

  $ 21.39       0.10       1.74       1.84       (0.11 )

For the year ended December 31, 2016

  $ 18.46       0.07       3.29       3.36       (0.07 )

 

Class Y

                                        

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 )

For the year ended December 31, 2017

  $ 21.42       0.12       1.75       1.87       (0.13 )

For the year ended December 31, 2016

  $ 18.48       0.09       3.29       3.38       (0.08 )

 

 

 

(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.

 

See accompanying Notes to Financial Statements.

 

116 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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
(loss) to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                       
    (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 %
    (0.67 )     (0.70 )   $ 22.24       8.35 %   $ 229,411       1.22 %     1.23 %     0.09 %     15 %
    (0.36 )     (0.37 )   $ 21.18       17.81 %   $ 288,634       1.24 %     1.24 %     0.12 %     17 %
 

 

  
                                                                       
    (0.01 )     (0.01 )   $ 20.43       0.29 %   $ 15,121       1.95 %     1.96 %     (0.57 )%     31 %(E)
    (0.94 )     (0.94 )   $ 20.38       26.40 %   $ 23,472       1.96 %     1.97 %     (0.58 )%     14 %
    (0.80 )     (0.80 )   $ 16.88       (13.46 )%   $ 25,821       1.95 %     1.96 %     (0.55 )%     26 %
    (0.67 )     (0.67 )   $ 20.39       7.49 %   $ 37,472       1.97 %     1.98 %     (0.66 )%     15 %
    (0.36 )     (0.36 )   $ 19.60       16.98 %   $ 42,875       1.99 %     1.99 %     (0.65 )%     17 %
 

 

  
                                                                       
    (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 %
    (0.67 )     (0.78 )   $ 22.45       8.63 %   $ 1,114,337       0.92 %     0.93 %     0.41 %     15 %
    (0.36 )     (0.43 )   $ 21.39       18.18 %   $ 1,015,403       0.94 %     0.94 %     0.41 %     17 %
 

 

  
                                                                       
    (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 %
    (0.67 )     (0.80 )   $ 22.49       8.77 %   $ 1,131,583       0.82 %     0.83 %     0.51 %     15 %
    (0.36 )     (0.44 )   $ 21.42       18.29 %   $ 961,721       0.84 %     0.84 %     0.49 %     17 %
 

 

  

 

(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.

 

(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, 2020 | DIAMOND-HILL.COM 117

 

 

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

  

Class A

                                        

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 )

For the year ended December 31, 2017

  $ 12.59       0.04       1.23       1.27       (0.03 )

For the year ended December 31, 2016

  $ 10.71       0.03       1.93       1.96       (0.02 )

 

Class I

                                        

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 )

For the year ended December 31, 2017

  $ 12.62       0.08       1.24       1.32       (0.07 )

For the year ended December 31, 2016

  $ 10.74       0.07       1.92       1.99       (0.05 )

 

Class Y

                                        

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 )

For the year ended December 31, 2017

  $ 12.65       0.09       1.24       1.33       (0.08 )

For the year ended December 31, 2016

  $ 10.75       0.08       1.94       2.02       (0.06 )

 

 

 

(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.

 

See accompanying Notes to Financial Statements.

 

118 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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)

  
                                                                       
    (0.02 )     (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 %
    (0.17 )     (0.20 )   $ 13.66       10.13 %   $ 25,853       1.07 %     1.08 %     0.28 %     11 %
    (0.06 )     (0.08 )   $ 12.59       18.29 %   $ 7,403       1.14 %     1.14 %     0.31 %     17 %
 

 

  
                                                                       
    (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 %
    (0.17 )     (0.24 )   $ 13.70       10.47 %   $ 63,298       0.77 %     0.79 %     0.57 %     11 %
    (0.06 )     (0.11 )   $ 12.62       18.56 %   $ 28,031       0.85 %     0.85 %     0.67 %     17 %
 

 

  
                                                                       
    (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 %
    (0.17 )     (0.25 )   $ 13.73       10.51 %   $ 32,943       0.67 %     0.68 %     0.65 %     11 %
    (0.06 )     (0.12 )   $ 12.65       18.76 %   $ 23,383       0.75 %     0.75 %     0.71 %     17 %
 

 

  

 

(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.

 

(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, 2020 | DIAMOND-HILL.COM 119

 

 

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

  

Class A

                                

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 )

For the year ended December 31, 2017

  $ 23.06       0.24       4.35       4.59  

For the year ended December 31, 2016

  $ 21.44       0.25       2.82       3.07  

 

Class C

                                

For the year ended December 31, 2020

  $ 27.25       0.08       2.03       2.11  

For the year ended December 31, 2019

  $ 21.67       0.07       6.61       6.68  

For the year ended December 31, 2018

  $ 25.07       0.05       (2.67 )     (2.62 )

For the year ended December 31, 2017

  $ 21.94       0.05       4.12       4.17  

For the year ended December 31, 2016

  $ 20.49       0.08       2.68       2.76  

 

Class I

                                

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 )

For the year ended December 31, 2017

  $ 23.20       0.32       4.38       4.70  

For the year ended December 31, 2016

  $ 21.55       0.31       2.86       3.17  

 

Class Y

                                

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 )

For the year ended December 31, 2017

  $ 23.21       0.35       4.38       4.73  

For the year ended December 31, 2016

  $ 21.56       0.34       2.85       3.19  

 

 

 

(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.

 

See accompanying Notes to Financial Statements.

 

120 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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
net expenses
to average
net assets

    

Ratio of net
investment
income to
average net
assets

    

Portfolio
turnover
rate(C)

  
                                                                       
    (0.18 )     (0.73 )     (0.91 )   $ 30.42       8.65 %   $ 762,678       0.96 %     1.04 %     33 %
    (0.26 )     (1.04 )     (1.30 )   $ 28.86       31.80 %   $ 1,243,452       0.97 %     1.03 %     22 %(D)
    (0.26 )     (0.72 )     (0.98 )   $ 22.89       (9.88 )%   $ 1,031,252       0.96 %     0.95 %     29 %(E)
    (0.20 )     (1.00 )     (1.20 )   $ 26.45       19.95 %   $ 1,346,869       0.98 %     0.96 %     18 %
    (0.24 )     (1.21 )     (1.45 )   $ 23.06       14.26 %   $ 1,158,652       0.99 %     1.12 %     23 %
         

 

  
                                                                       
    (0.03 )     (0.73 )     (0.76 )   $ 28.60       7.84 %   $ 68,930       1.71 %     0.29 %     33 %
    (0.06 )     (1.04 )     (1.10 )   $ 27.25       30.84 %   $ 83,936       1.72 %     0.28 %     22 %(D)
    (0.06 )     (0.72 )     (0.78 )   $ 21.67       (10.57 )%   $ 84,485       1.71 %     0.20 %     29 %(E)
    (0.04 )     (1.00 )     (1.04 )   $ 25.07       19.04 %   $ 115,257       1.73 %     0.21 %     18 %
    (0.10 )     (1.21 )     (1.31 )   $ 21.94       13.40 %   $ 95,923       1.74 %     0.37 %     23 %
         

 

  
                                                                       
    (0.33 )     (0.73 )     (1.06 )   $ 30.57       8.97 %   $ 5,140,497       0.67 %     1.33 %     33 %
    (0.34 )     (1.04 )     (1.38 )   $ 29.05       32.18 %   $ 3,877,616       0.68 %     1.32 %     22 %(D)
    (0.34 )     (0.72 )     (1.06 )   $ 23.03       (9.63 )%   $ 2,978,377       0.67 %     1.23 %     29 %(E)
    (0.28 )     (1.00 )     (1.28 )   $ 26.62       20.30 %   $ 3,538,859       0.68 %     1.25 %     18 %
    (0.31 )     (1.21 )     (1.52 )   $ 23.20       14.63 %   $ 2,156,390       0.70 %     1.41 %     23 %
         

 

  
                                                                       
    (0.36 )     (0.73 )     (1.09 )   $ 30.59       9.07 %   $ 2,339,661       0.55 %     1.45 %     33 %
    (0.38 )     (1.04 )     (1.42 )   $ 29.07       32.34 %   $ 1,567,818       0.56 %     1.44 %     22 %(D)
    (0.37 )     (0.72 )     (1.09 )   $ 23.04       (9.53 )%   $ 992,056       0.55 %     1.35 %     29 %(E)
    (0.30 )     (1.00 )     (1.30 )   $ 26.64       20.42 %   $ 845,457       0.58 %     1.36 %     18 %
    (0.33 )     (1.21 )     (1.54 )   $ 23.21       14.74 %   $ 666,756       0.60 %     1.49 %     23 %
         

 

  

 

(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 in-kind subscriptions.

 

(E)

Portfolio turnover does not include redemptions in-kind.

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 121

 

 

All Cap Select Fund
Financial Highlights

Selected data for a share outstanding throughout the periods indicated

 

All Cap 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

    

Dividends
from net
investment
income

  

Class A

                                        

For the year ended December 31, 2020

  $ 16.17       0.05       2.26       2.31       (0.05 )

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 )     (0.06 )

For the year ended December 31, 2017

  $ 13.35       0.03       2.63       2.66       —  

For the year ended December 31, 2016

  $ 12.36       (0.01 )     1.17       1.16       —  

 

Class C

                                        

For the year ended December 31, 2020

  $ 14.98       (0.05 )     2.06       2.01       —  

For the year ended December 31, 2019

  $ 11.82       (0.05 )     3.52       3.47       —  

For the year ended December 31, 2018

  $ 15.11       (0.07 )     (1.82 )     (1.89 )     —  

For the year ended December 31, 2017

  $ 12.69       (0.07 )     2.49       2.42       —  

For the year ended December 31, 2016

  $ 11.85       (0.09 )     1.10       1.01       —  

 

Class I

                                        

For the year ended December 31, 2020

  $ 16.32       0.09       2.29       2.38       (0.10 )

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 )     (0.12 )

For the year ended December 31, 2017

  $ 13.40       0.07       2.65       2.72       (0.01 )

For the year ended December 31, 2016

  $ 12.39       0.03       1.16       1.19       (0.01 )

 

Class Y

                                        

For the year ended December 31, 2020

  $ 16.37       0.11       2.30       2.41       (0.12 )

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 )     (0.13 )

For the year ended December 31, 2017

  $ 13.42       0.09       2.65       2.74       (0.02 )

For the year ended December 31, 2016

  $ 12.41       0.04       1.17       1.21       (0.03 )

 

 

 

(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.

 

See accompanying Notes to Financial Statements.

 

122 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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
(loss) to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                       
    —       (0.05 )   $ 18.43       14.30 %   $ 10,207       1.16 %     1.16 %     0.33 %     76 %
    (0.31 )     (0.31 )   $ 16.17       30.41 %   $ 11,049       1.17 %     1.17 %     0.46 %     45 %
    (1.40 )     (1.46 )   $ 12.64       (12.31 )%   $ 8,963       1.16 %     1.16 %     0.29 %     84 %
    —       —     $ 16.01       19.93 %   $ 13,480       1.17 %     1.18 %     0.21 %     52 %
    (0.17 )     (0.17 )   $ 13.35       9.37 %   $ 14,963       1.19 %     1.19 %     (0.09 )%     70 %
 

 

  
                                                                       
    —       —     $ 16.99       13.42 %   $ 3,244       1.91 %     1.91 %     (0.44 )%     76 %
    (0.31 )     (0.31 )   $ 14.98       29.39 %   $ 4,747       1.92 %     1.92 %     (0.32 )%     45 %
    (1.40 )     (1.40 )   $ 11.82       (12.93 )%   $ 6,950       1.91 %     1.91 %     (0.46 )%     84 %
    —       —     $ 15.11       19.07 %   $ 11,072       1.92 %     1.93 %     (0.54 )%     52 %
    (0.17 )     (0.17 )   $ 12.69       8.51 %   $ 12,269       1.94 %     1.94 %     (0.81 )%     70 %
 

 

  
                                                                       
    —       (0.10 )   $ 18.60       14.57 %   $ 171,263       0.87 %     0.87 %     0.62 %     76 %
    (0.31 )     (0.31 )   $ 16.32       30.77 %   $ 152,591       0.88 %     0.88 %     0.75 %     45 %
    (1.40 )     (1.52 )   $ 12.72       (12.02 )%   $ 114,571       0.87 %     0.87 %     0.60 %     84 %
    —       (0.01 )   $ 16.11       20.33 %   $ 136,233       0.87 %     0.88 %     0.52 %     52 %
    (0.17 )     (0.18 )   $ 13.40       9.62 %   $ 93,192       0.90 %     0.90 %     0.24 %     70 %
 

 

  
                                                                       
    —       (0.12 )   $ 18.66       14.70 %   $ 141,244       0.75 %     0.75 %     0.74 %     76 %
    (0.31 )     (0.31 )   $ 16.37       30.96 %   $ 103,963       0.76 %     0.76 %     0.86 %     45 %
    (1.40 )     (1.53 )   $ 12.74       (11.95 )%   $ 65,218       0.75 %     0.75 %     0.73 %     84 %
    —       (0.02 )   $ 16.14       20.45 %   $ 21,628       0.77 %     0.78 %     0.61 %     52 %
    (0.17 )     (0.20 )   $ 13.42       9.72 %   $ 18,456       0.80 %     0.80 %     0.36 %     70 %
 

 

  

 

(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.

 

(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, 2020 | DIAMOND-HILL.COM 123

 

 

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

  

Class A

                                        

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 )

For the year ended December 31, 2017

  $ 24.91       (0.05 )     1.45       1.40       —  

For the year ended December 31, 2016

  $ 23.36       (0.09 )     2.49       2.40       —  

 

Class C

                                        

For the year ended December 31, 2020

  $ 23.08       (0.13 )     (0.18 )     (0.31 )     —  

For the year ended December 31, 2019

  $ 20.18       (0.04 )     4.43       4.39       —  

For the year ended December 31, 2018

  $ 23.04       (0.08 )     (1.73 )     (1.81 )     —  

For the year ended December 31, 2017

  $ 22.51       (0.22 )     1.30       1.08       —  

For the year ended December 31, 2016

  $ 21.34       (0.24 )     2.26       2.02       —  

 

Class I

                                        

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 )

For the year ended December 31, 2017

  $ 25.43       0.02       1.50       1.52       (0.01 )

For the year ended December 31, 2016

  $ 23.77       (0.02 )     2.53       2.51       —  

 

Class Y

                                        

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 )

For the year ended December 31, 2017

  $ 25.53       0.05       1.49       1.54       (0.03 )

For the year ended December 31, 2016

  $ 23.83       0.01       2.54       2.55       —  

 

 

 

(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.

 

(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 1.35% for Class A, 2.10% for Class C, 1.06% for Class I, and 0.94% for Class Y.

 

See accompanying Notes to Financial Statements.

 

124 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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(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)

  
                                                                       
    (0.20 )     (0.25 )   $ 25.89       (0.55 )%   $ 162,271       1.81 %     1.82 %     0.09 %     65 %(F)
    (1.49 )     (1.66 )   $ 26.29       22.74 %   $ 234,584       1.85 %     1.86 %     0.51 %     54 %(F)
    (1.05 )     (1.12 )   $ 22.78       (7.30 )%   $ 188,932       1.72 %     1.73 %     0.38 %     64 %(F)
    (0.55 )     (0.55 )   $ 25.76       5.65 %   $ 358,395       1.95 %     1.96 %     (0.22 )%     43 %(F)
    (0.85 )     (0.85 )   $ 24.91       10.26 %   $ 460,104       2.06 %     2.06 %     (0.20 )%     45 %
 

 

  
                                                                       
    (0.20 )     (0.20 )   $ 22.57       (1.32 )%   $ 24,428       2.56 %     2.57 %     (0.65 )%     65 %(F)
    (1.49 )     (1.49 )   $ 23.08       21.80 %   $ 41,747       2.60 %     2.61 %     (0.16 )%     54 %(F)
    (1.05 )     (1.05 )   $ 20.18       (7.96 )%   $ 80,351       2.47 %     2.48 %     (0.37 )%     64 %(F)
    (0.55 )     (0.55 )   $ 23.04       4.83 %   $ 115,009       2.70 %     2.71 %     (0.97 )%     43 %(F)
    (0.85 )     (0.85 )   $ 22.51       9.45 %   $ 145,313       2.81 %     2.81 %     (1.13 )%     45 %
 

 

  
                                                                       
    (0.20 )     (0.32 )   $ 26.58       (0.27 )%   $ 1,794,063       1.52 %     1.53 %     0.39 %     65 %(F)
    (1.49 )     (1.72 )   $ 26.98       23.11 %   $ 2,959,933       1.56 %     1.57 %     0.84 %     54 %(F)
    (1.05 )     (1.24 )   $ 23.32       (7.04 )%   $ 3,110,940       1.43 %     1.44 %     0.68 %     64 %(F)
    (0.55 )     (0.56 )   $ 26.39       5.99 %   $ 4,032,586       1.65 %     1.66 %     0.09 %     43 %(F)
    (0.85 )     (0.85 )   $ 25.43       10.55 %   $ 3,589,749       1.76 %     1.76 %     (0.09 )%     45 %
 

 

  
                                                                       
    (0.20 )     (0.35 )   $ 26.69       (0.19 )%   $ 75,011       1.40 %     1.41 %     0.57 %     65 %(F)
    (1.49 )     (1.75 )   $ 27.10       23.23 %   $ 291,753       1.44 %     1.45 %     0.93 %     54 %(F)
    (1.05 )     (1.27 )   $ 23.42       (6.89 )%   $ 214,138       1.31 %     1.32 %     0.80 %     64 %(F)
    (0.55 )     (0.58 )   $ 26.49       6.07 %   $ 260,735       1.55 %     1.56 %     0.19 %     43 %(F)
    (0.85 )     (0.85 )   $ 25.53       10.69 %   $ 227,680       1.67 %     1.67 %     0.02 %     45 %
 

 

  

 

(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 2020, 2019, 2018 and 2017 would have been 47%, 42%, 51% and 32%, 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, 2020 | DIAMOND-HILL.COM 125

 

 

Global Fund
Financial Highlights

Selected data for a share outstanding throughout the periods indicated

 

Global Fund(A)

  

Net asset
value,
beginning of
year

    

Net
investment
income(B)

    

Net realized
and
unrealized
gains
(losses) on
investments

    

Total from
investment
operations

  

Class A

                                

For the year ended December 31, 2020

  $ 15.05       0.08       0.12       0.20  

For the year ended December 31, 2019

  $ 11.67       0.16       3.34       3.50  

For the year ended December 31, 2018

  $ 14.42       0.11       (2.14 )     (2.03 )

 

Class I

                                

For the year ended December 31, 2020

  $ 15.08       0.10       0.15       0.25  

For the year ended December 31, 2019

  $ 11.69       0.15       3.40       3.55  

For the year ended December 31, 2018

  $ 14.42       0.15       (2.14 )     (1.99 )

 

Class Y

                                

For the year ended December 31, 2020

  $ 15.10       0.12       0.15       0.27  

For the year ended December 31, 2019

  $ 11.70       0.19       3.38       3.57  

For the year ended December 31, 2018

  $ 14.42       0.16       (2.14 )     (1.98 )

 

 

 

(A)

Inception date of the Fund is December 29, 2017. Fund commenced public offering on January 2, 2018.

 

(B)

Net investment income per share has been calculated using the average daily shares outstanding during the period.

 

See accompanying Notes to Financial Statements.

 

126 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Dividends
from net
investment
income

    

Distributions
from net
realized
capital gains

    

Total
distributions

    

Net asset
value, end of
year

    

Total
return(C)

    

Net assets,
end of
year
(000’s)

    

Ratio of total
net expenses
to average
net assets

    

Ratio of net
investment
income to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                       
    (0.09 )     —       (0.09 )   $ 15.16       1.35 %   $ 160       1.13 %     0.59 %     110 %
    (0.12 )     —       (0.12 )   $ 15.05       29.96 %   $ 111       1.15 %     1.18 %     29 %
    (0.05 )     (0.67 )     (0.72 )   $ 11.67       (14.91 )%   $ 66       1.18 %     0.86 %     84 %
         

 

  
                                                                       
    (0.10 )     —       (0.10 )   $ 15.23       1.66 %   $ 2,218       0.84 %     0.78 %     110 %
    (0.16 )     —       (0.16 )   $ 15.08       30.34 %   $ 6,216       0.86 %     1.10 %     29 %
    (0.07 )     (0.67 )     (0.74 )   $ 11.69       (14.66 )%   $ 4,440       0.89 %     1.09 %     84 %
         

 

  
                                                                       
    (0.14 )     —       (0.14 )   $ 15.23       1.77 %   $ 13,777       0.72 %     0.95 %     110 %
    (0.17 )     —       (0.17 )   $ 15.10       30.54 %   $ 15,528       0.74 %     1.37 %     29 %
    (0.07 )     (0.67 )     (0.74 )   $ 11.70       (14.55 )%   $ 10,214       0.77 %     1.24 %     84 %
         

 

  

 

(C)

Total returns shown exclude the effect of applicable sales charges.

 

(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, 2020 | DIAMOND-HILL.COM 127

 

 

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 on
investments

    

Total from
investment
operations

  

Class A

                                

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, 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, 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. The 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.

 

See accompanying Notes to Financial Statements.

 

128 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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
net expenses
to average
net assets

    

Ratio of net
investment
income to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                       
    (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)
         

 

  
                                                                       
    (0.09 )     (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)
         

 

  
                                                                       
    (0.10 )     (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.

 

(E)

Not annualized.

 

(F)

Annualized

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 129

 

 

Short Duration Securitized Bond Fund
Financial Highlights

Selected data for a share outstanding throughout the periods indicated

 

Short Duration Securitized Bond Fund(A)

  

Net asset
value,
beginning of
period

    

Net
investment
income(B)

    

Net realized
and
unrealized
gains
(losses) on
investments

    

Total from
investment
operations

  

Class A

                                

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  

For the year ended December 31, 2017

  $ 10.04       0.30       0.09       0.39  

For the period ended December 31, 2016

  $ 10.00       0.09       0.03       0.12  

 

Class I

                                

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  

For the year ended December 31, 2017

  $ 10.03       0.33       0.10       0.43  

For the period ended December 31, 2016

  $ 10.00       0.10       0.03       0.13  

 

Class Y

                                

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  

For the year ended December 31, 2017

  $ 10.03       0.34       0.10       0.44  

For the period ended December 31, 2016

  $ 10.00       0.11       0.02       0.13  

 

 

 

(A)

Inception date of the Fund is July 5, 2016. The Fund commenced operations on July 5, 2016.

 

(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.

 

See accompanying Notes to Financial Statements.

 

130 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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
net expenses
to average
net assets

    

Ratio of net
investment
income to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                     
  (0.30 )     —       (0.30 )   $ 10.09       2.87 %   $ 47,059       0.82 %     2.68 %     72 %
  (0.38 )     (0.00 )(E)     (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 %
  (0.31 )     (0.01 )     (0.32 )   $ 10.11       3.97 %   $ 20,511       0.83 %     3.03 %     82 %
  (0.08 )     —       (0.08 )   $ 10.04       1.19 %(F)   $ 222       0.83 %(G)     1.12 %(G)     19 %(F)
       

 

  
                                                                     
  (0.33 )     —       (0.33 )   $ 10.09       3.08 %   $ 897,232       0.53 %     2.93 %     72 %
  (0.41 )     (0.00 )(E)     (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 %
  (0.34 )     (0.01 )     (0.35 )   $ 10.11       4.33 %   $ 61,136       0.53 %     3.29 %     82 %
  (0.10 )     —       (0.10 )   $ 10.03       1.26 %(F)   $ 14,707       0.53 %(G)     1.32 %(G)     19 %(F)
       

 

  
                                                                     
  (0.34 )     —       (0.34 )   $ 10.10       3.29 %   $ 188,175       0.41 %     3.09 %     72 %
  (0.42 )     (0.00 )(E)     (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 %
  (0.35 )     (0.01 )     (0.36 )   $ 10.11       4.43 %   $ 231,290       0.43 %     3.33 %     82 %
  (0.10 )     —       (0.10 )   $ 10.03       1.29 %(F)   $ 182,527       0.44 %(G)     1.25 %(G)     19 %(F)
       

 

  

 

(D)

Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued.

 

(E)

Amount is less than $0.005.

 

(F)

Not annualized.

 

(G)

Annualized

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 131

 

 

Core Bond Fund
Financial Highlights

Selected data for a share outstanding throughout the periods indicated

 

Core Bond Fund(A)

  

Net asset
value,
beginning of
period

    

Net
investment
income(B)

    

Net realized
and
unrealized
gains
(losses) on
investments

    

Total from
investment
operations

  

Class A

                                

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  

For the year ended December 31, 2017

  $ 9.70       0.21       0.16       0.37  

For the period ended December 31, 2016

  $ 10.00       0.07       (0.28 )     (0.21 )

 

Class I

                                

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  

For the year ended December 31, 2017

  $ 9.70       0.24       0.16       0.40  

For the period ended December 31, 2016

  $ 10.00       0.09       (0.30 )     (0.21 )

 

Class Y

                                

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  

For the year ended December 31, 2017

  $ 9.70       0.25       0.16       0.41  

For the period ended December 31, 2016

  $ 10.00       0.09       (0.30 )     (0.21 )

 

 

 

(A)

Inception date of the Fund is July 5, 2016. The Fund commenced operations on July 5, 2016.

 

(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.

 

See accompanying Notes to Financial Statements.

 

132 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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
net expenses
to average
net assets

    

Ratio of net
investment
income to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                       
    (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 %
    (0.22 )     —       (0.22 )   $ 9.85       3.85 %   $ 3,480       0.78 %     2.10 %     35 %
    (0.09 )     —       (0.09 )   $ 9.70       (2.28 )%(E)   $ 2,183       0.78 %(F)     0.87 %(F)     8 %(E)
         

 

  
                                                                       
    (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 %
    (0.25 )     —       (0.25 )   $ 9.85       4.17 %   $ 9,604       0.48 %     2.40 %     35 %
    (0.09 )     —       (0.09 )   $ 9.70       (2.14 )%(E)   $ 8,033       0.49 %(F)     1.02 %(F)     8 %(E)
         

 

  
                                                                       
    (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 %
    (0.26 )     —       (0.26 )   $ 9.85       4.22 %   $ 30,740       0.38 %     2.49 %     35 %
    (0.09 )     —       (0.09 )   $ 9.70       (2.11 )%(E)   $ 29,468       0.39 %(F)     1.00 %(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.

 

(E)

Not annualized.

 

(F)

Annualized

 

See accompanying Notes to Financial Statements.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 133

 

 

Corporate Credit Fund
Financial Highlights

Selected data for a share outstanding throughout the periods indicated

 

Corporate Credit 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

  

Class A

                                        

For the year ended December 31, 2020

  $ 11.47       0.51       0.53       1.04       (0.53 )

For the year ended December 31, 2019

  $ 10.77       0.58       0.78       1.36       (0.57 )

For the year ended December 31, 2018

  $ 11.32       0.59       (0.56 )     0.03       (0.58 )

For the year ended December 31, 2017

  $ 11.13       0.58       0.24       0.82       (0.58 )

For the year ended December 31, 2016

  $ 10.53       0.63       0.60       1.23       (0.62 )

 

Class C

                                        

For the year ended December 31, 2020

  $ 11.43       0.42       0.53       0.95       (0.45 )

For the year ended December 31, 2019

  $ 10.73       0.49       0.79       1.28       (0.49 )

For the year ended December 31, 2018

  $ 11.28       0.51       (0.56 )     (0.05 )     (0.50 )

For the year ended December 31, 2017

  $ 11.09       0.49       0.25       0.74       (0.50 )

For the year ended December 31, 2016

  $ 10.51       0.54       0.60       1.14       (0.55 )

 

Class I

                                        

For the year ended December 31, 2020

  $ 11.44       0.54       0.52       1.06       (0.56 )

For the year ended December 31, 2019

  $ 10.74       0.61       0.79       1.40       (0.61 )

For the year ended December 31, 2018

  $ 11.28       0.62       (0.54 )     0.08       (0.62 )

For the year ended December 31, 2017

  $ 11.09       0.61       0.24       0.85       (0.61 )

For the year ended December 31, 2016

  $ 10.50       0.66       0.59       1.25       (0.65 )

 

Class Y

                                        

For the year ended December 31, 2020

  $ 11.43       0.55       0.53       1.08       (0.58 )

For the year ended December 31, 2019

  $ 10.73       0.62       0.79       1.41       (0.62 )

For the year ended December 31, 2018

  $ 11.27       0.64       (0.55 )     0.09       (0.63 )

For the year ended December 31, 2017

  $ 11.09       0.62       0.24       0.86       (0.63 )

For the year ended December 31, 2016

  $ 10.50       0.67       0.59       1.26       (0.66 )

 

 

 

(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.

 

See accompanying Notes to Financial Statements.

 

 

134 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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)

  
                                                                       
    (0.17 )     (0.70 )   $ 11.81       9.49 %   $ 161,659       0.91 %     0.91 %     4.51 %     173 %
    (0.09 )     (0.66 )   $ 11.47       12.85 %   $ 120,014       0.90 %     0.92 %     5.05 %     132 %
    —       (0.58 )   $ 10.77       0.25 %   $ 69,363       0.90 %     0.91 %     5.30 %     112 %
    (0.05 )     (0.63 )   $ 11.32       7.56 %   $ 64,204       0.92 %     0.93 %     5.07 %     83 %
    (0.01 )     (0.63 )   $ 11.13       11.94 %   $ 71,075       0.93 %     0.93 %     5.72 %     119 %
 

 

  
                                                                       
    (0.17 )     (0.62 )   $ 11.76       8.65 %   $ 29,510       1.66 %     1.66 %     3.76 %     173 %
    (0.09 )     (0.58 )   $ 11.43       12.06 %   $ 26,683       1.65 %     1.67 %     4.34 %     132 %
    —       (0.50 )   $ 10.73       (0.51 )%   $ 24,968       1.65 %     1.66 %     4.56 %     112 %
    (0.05 )     (0.55 )   $ 11.28       6.77 %   $ 26,656       1.67 %     1.68 %     4.33 %     83 %
    (0.01 )     (0.56 )   $ 11.09       11.06 %   $ 29,607       1.68 %     1.68 %     4.98 %     119 %
 

 

  
                                                                       
    (0.17 )     (0.73 )   $ 11.77       9.74 %   $ 1,724,397       0.62 %     0.62 %     4.79 %     173 %
    (0.09 )     (0.70 )   $ 11.44       13.20 %   $ 911,514       0.61 %     0.63 %     5.36 %     132 %
    —       (0.62 )   $ 10.74       0.64 %   $ 622,887       0.61 %     0.62 %     5.59 %     112 %
    (0.05 )     (0.66 )   $ 11.28       7.87 %   $ 536,203       0.62 %     0.63 %     5.39 %     83 %
    (0.01 )     (0.66 )   $ 11.09       12.21 %   $ 411,465       0.64 %     0.64 %     6.00 %     119 %
 

 

  
                                                                       
    (0.17 )     (0.75 )   $ 11.76       9.88 %   $ 104,552       0.50 %     0.50 %     4.91 %     173 %
    (0.09 )     (0.71 )   $ 11.43       13.35 %   $ 82,516       0.49 %     0.51 %     5.43 %     132 %
    —       (0.63 )   $ 10.73       0.75 %   $ 26,221       0.49 %     0.50 %     5.71 %     112 %
    (0.05 )     (0.68 )   $ 11.27       7.89 %   $ 25,309       0.52 %     0.53 %     5.49 %     83 %
    (0.01 )     (0.67 )   $ 11.09       12.34 %   $ 21,310       0.54 %     0.54 %     6.33 %     119 %
 

 

  

 

(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.

 

(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, 2020 | DIAMOND-HILL.COM 135

 

 

High Yield Fund
Financial Highlights

Selected data for a share outstanding throughout the periods indicated

 

High Yield Fund(A)

  

Net asset
value,
beginning of
year

    

Net
investment
income(B)

    

Net realized
and
unrealized
gains
(losses) on
investments

    

Total from
investment
operations

  

Class A

                                

For the year ended December 31, 2020

  $ 11.02       0.60       0.81       1.41  

For the year ended December 31, 2019

  $ 10.22       0.60       0.91       1.51  

For the year ended December 31, 2018

  $ 10.77       0.62       (0.51 )     0.11  

For the year ended December 31, 2017

  $ 10.65       0.65       0.38       1.03  

For the year ended December 31, 2016

  $ 10.14       0.70       0.71       1.41  

 

Class I

                                

For the year ended December 31, 2020

  $ 11.03       0.64       0.80       1.44  

For the year ended December 31, 2019

  $ 10.22       0.63       0.91       1.54  

For the year ended December 31, 2018

  $ 10.78       0.65       (0.52 )     0.13  

For the year ended December 31, 2017

  $ 10.65       0.68       0.39       1.07  

For the year ended December 31, 2016

  $ 10.14       0.73       0.71       1.44  

 

Class Y

                                

For the year ended December 31, 2020

  $ 11.03       0.64       0.83       1.47  

For the year ended December 31, 2019

  $ 10.22       0.65       0.91       1.56  

For the year ended December 31, 2018

  $ 10.78       0.67       (0.53 )     0.14  

For the year ended December 31, 2017

  $ 10.65       0.69       0.40       1.09  

For the year ended December 31, 2016

  $ 10.14       0.74       0.71       1.45  

 

 

 

(A)

Inception date of the Fund is December 31, 2015. The Fund commenced public offering and operations on January 4, 2016.

 

(B)

Net investment income per share has been calculated using the average daily shares outstanding during the period.

 

See accompanying Notes to Financial Statements.

 

136 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

Dividends
from net
investment
income

    

Distributions
from net
realized
capital gains

    

Total
distributions

    

Net asset
value, end of
year

    

Total
return(C)

    

Net assets,
end of
year
(000’s)

    

Ratio of total
net expenses
to average
net assets

    

Ratio of net
investment
income to
average net
assets

    

Portfolio
turnover
rate(D)

  
                                                                       
    (0.58 )     (0.45 )     (1.03 )   $ 11.40       13.40 %   $ 39,496       0.96 %     5.46 %     186 %
    (0.60 )     (0.11 )     (0.71 )   $ 11.02       15.04 %   $ 18,004       0.97 %     5.49 %     164 %
    (0.61 )     (0.05 )     (0.66 )   $ 10.22       0.97 %   $ 1,674       0.96 %     5.81 %     145 %
    (0.65 )     (0.26 )     (0.91 )   $ 10.77       9.96 %   $ 296       0.99 %     5.89 %     137 %
    (0.66 )     (0.24 )     (0.90 )   $ 10.65       14.29 %   $ 185       0.99 %     6.51 %     123 %
         

 

  
                                                                       
    (0.62 )     (0.45 )     (1.07 )   $ 11.40       13.62 %   $ 651,836       0.67 %     5.81 %     186 %
    (0.62 )     (0.11 )     (0.73 )   $ 11.03       15.44 %   $ 96,563       0.68 %     5.79 %     164 %
    (0.64 )     (0.05 )     (0.69 )   $ 10.22       1.16 %   $ 23,499       0.67 %     6.10 %     145 %
    (0.68 )     (0.26 )     (0.94 )   $ 10.78       10.36 %   $ 14,185       0.69 %     6.23 %     137 %
    (0.69 )     (0.24 )     (0.93 )   $ 10.65       14.62 %   $ 23,989       0.70 %     6.80 %     123 %
         

 

  
                                                                       
    (0.63 )     (0.45 )     (1.08 )   $ 11.42       13.92 %   $ 32,171       0.55 %     5.74 %     186 %
    (0.64 )     (0.11 )     (0.75 )   $ 11.03       15.56 %   $ 20,190       0.56 %     5.99 %     164 %
    (0.65 )     (0.05 )     (0.70 )   $ 10.22       1.27 %   $ 29,274       0.55 %     6.23 %     145 %
    (0.70 )     (0.26 )     (0.96 )   $ 10.78       10.48 %   $ 16,623       0.59 %     6.28 %     137 %
    (0.70 )     (0.24 )     (0.94 )   $ 10.65       14.73 %   $ 7,752       0.60 %     7.07 %     123 %
         

 

  

 

(C)

Total returns shown exclude the effect of applicable sales charges.

 

(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, 2020 | DIAMOND-HILL.COM 137

 

 

Diamond Hill Funds
Notes to Financial Statements
December 31, 2020

 

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 All Cap Select Fund (“All Cap Select Fund”), Diamond Hill Long-Short Fund (“Long-Short Fund”), Diamond Hill Global Fund (“Global Fund”), Diamond Hill International Fund (“International Fund”), Diamond Hill Short Duration Securitized Bond Fund (formerly Diamond Hill Short Duration Total Return Fund) (“Short Duration Fund”), Diamond Hill Core Bond Fund (“Core Bond Fund”), Diamond Hill Corporate Credit Fund (“Corporate Credit Fund”) and Diamond Hill High Yield Fund (“High Yield Fund”) are each a diversified series, except for the All Cap Select Fund which is 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.”

 

In June 2019, the partners of the Diamond Hill International Fund, L.P. (the “International Partnership”) approved the conversion of the International Partnership into the International Fund effective July 1, 2019. The International Fund is a successor to the International Partnership and has substantially the same investment objectives and strategies as did the International Partnership. The net assets contributed resulting from these tax-free transactions was $3,996,233, including net unrealized appreciation of $227,053. In addition, limited partners of the International Partnership were issued shares in the International Fund based on the July 1, 2019 opening net asset value (“NAV”) per share of the International Fund. A total of 295,000 shares were issued at a NAV per share of $13.55. For financial reporting purposes, assets received and shares issued were recorded at fair value; however, the cost basis of the investments received was carried forward to align ongoing reporting of the International Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

 

The shareholders of the Diamond Hill Research Opportunities Fund (“Research Opportunities Fund”) approved an Agreement and Plan of Reorganization providing for the transfer of all assets and liabilities of the Research Opportunities Fund to the Long-Short Fund. The tax-free reorganization took place on October 23, 2020.

 

138 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

The following is a summary of shares outstanding, net assets, NAV per share and unrealized appreciation immediately before and after the reorganization.

 

   

Before Reorganization

    

After
Reorganization

  
   

Research
Opportunities
Fund

    

Long-Short
Fund

    

Long-Short
Fund

  

Class A

                        

Shares

     243,462       6,253,187       6,479,452  

Net Assets

   $ 5,435,645     $ 150,222,454     $ 155,658,099  

Net Asset Value

   $ 22.33     $ 24.02     $ 24.02  
                         

Class C

                        

Shares

     36,823       1,118,057       1,154,420  

Net Assets

   $ 762,183     $ 23,434,970     $ 24,197,153  

Net Asset Value

   $ 20.70     $ 20.96     $ 20.96  
                         

Class I

                        

Shares

     543,462       70,251,484       70,750,622  

Net Assets

   $ 12,333,406     $ 1,735,872,171     $ 1,748,205,577  

Net Asset Value

   $ 22.69     $ 24.71     $ 24.71  
                         

Class Y

                        

Shares

     734,442       2,221,312       2,894,259  

Net Assets

   $ 16,713,103     $ 55,167,785     $ 71,880,888  

Net Asset Value

   $ 22.76     $ 24.84     $ 24.84  
                         

Fund Total

                        

Shares

     1,558,189       79,844,040       81,278,753  

Net Assets

   $ 35,244,337     $ 1,964,697,380     $ 1,999,941,717  

Unrealized Appreciation

   $ 4,237,914     $ 444,804,189     $ 449,042,103  

 

Assuming the reorganization had been completed on January 1, 2020, the beginning of the annual reporting period of the Long-Short Fund, the Long-Short Fund’s pro forma results of operations for the year ended December 31, 2020, would have been as follows:

 

Net Investment Income

Net Realized Gains and
Net Change in Unrealized
Appreciation (Depreciation) on
Investments

Change in Net Assets from
Operations

$8,756,035

$(265,355,863)

$(256,599,828)

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 139

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

For financial reporting purposes, assets received and shares issued by the Long-Short Fund were recorded at fair value; however, the cost basis of the investments received from the Research Opportunities Fund was carried forward to align ongoing reporting of the Long-Short Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

 

With the exception of the Mid Cap Fund, Global Fund, International Fund, Short Duration Fund, Core Bond Fund and High Yield Fund, the Funds offer four classes of shares: Class A, Class C, Class I and Class Y. The Mid Cap Fund, Global Fund, International Fund, Short Duration Fund, Core Bond Fund and High Yield Fund offer three classes of shares: Class A, Class I and Class Y. 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 and sales charges. With the exception of the Short Duration Fund, Core Bond Fund, Corporate Credit Fund and High Yield Fund, Class A has a maximum sales charge on purchases of 5.00% as a percentage of the original purchase price. The Short Duration Fund has a maximum sales charge on purchases of 2.25% and the Core Bond Fund, Corporate Credit Fund and High Yield Fund have a maximum sales charge on purchases of 3.50% as a percentage of the original purchase price. Class C has a contingent deferred sales charge of 1.00% for shares redeemed within one year of the purchase date.

 

New Accounting Pronouncement

 

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 planned 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.

 

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 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.

 

140 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

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 Valuation & Liquidity Committee. In these cases, the 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 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.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 141

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

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, 2020:

 

   

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*

   $ 525,113,817     $ —     $ —     $ 525,113,817  

Registered Investment Companies

     10,351,037       —       —       10,351,037  

Total

   $ 535,464,854     $ —     $ —     $ 535,464,854  

Small-Mid Cap Fund

                                

Common Stocks*

   $ 1,853,233,678     $ —     $ —     $ 1,853,233,678  

Registered Investment Companies

     122,495,007       —       —       122,495,007  

Total

   $ 1,975,728,685     $ —     $ —     $ 1,975,728,685  

Mid Cap Fund

                                

Common Stocks*

   $ 235,249,174     $ —     $ —     $ 235,249,174  

Registered Investment Companies

     16,430,057       —       —       16,430,057  

Total

   $ 251,679,231     $ —     $ —     $ 251,679,231  

Large Cap Fund

                                

Common Stocks*

   $ 8,011,466,378     $ —     $ —     $ 8,011,466,378  

Registered Investment Companies

     287,882,356       —       —       287,882,356  

Total

   $ 8,299,348,734     $ —     $ —     $ 8,299,348,734  

All Cap Select Fund

                                

Common Stocks*

   $ 319,148,139     $ —     $ —     $ 319,148,139  

Registered Investment Companies

     10,647,502       —       —       10,647,502  

Total

   $ 329,795,641     $ —     $ —     $ 329,795,641  

 

142 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

   

Level 1 -
Quoted Prices

   


Level 2 - Other
Significant
Observable
Inputs

   

Level 3 -
Significant
Unobservable
Inputs

   

Total

 

Long-Short Fund

                                

Common Stocks*

   $ 1,875,260,783     $ —     $ —     $ 1,875,260,783  

Registered Investment Companies

     452,721,436       —       —       452,721,436  

Total

   $ 2,327,982,219     $ —     $ —     $ 2,327,982,219  

Global Fund

                                

Common Stocks

   $ 11,086,409     $ 4,973,698     $ —     $ 16,060,107  

Registered Investment Companies

     288,618       —       —       288,618  

Total

   $ 11,375,027     $ 4,973,698     $ —     $ 16,348,725  

International Fund

                                

Common Stocks

   $ 5,803,088     $ 10,617,943     $ —     $ 16,421,031  

Warrants

     2,161       —       —       2,161  

Registered Investment Companies

     418,233       —       —       418,233  

Total

   $ 6,223,482     $ 10,617,943     $ —     $ 16,841,425  

Short Duration Fund

                                

Corporate Credit*

   $ —     $ 17,763,781     $ —     $ 17,763,781  

Securitized*

     —       960,478,006       —       960,478,006  

Registered Investment Companies

     154,882,412       —       —       154,882,412  

Total

   $ 154,882,412     $ 978,241,787     $ —     $ 1,133,124,199  

Core Bond Fund

                                

Corporate Credit*

   $ —     $ 52,479,133     $ —     $ 52,479,133  

Government Related*

     —       1,329,939       —       1,329,939  

Securitized*

     —       213,772,008       —       213,772,008  

Treasury

     —       63,502,954       —       63,502,954  

Registered Investment Companies

     25,450,262       —       —       25,450,262  

Total

   $ 25,450,262     $ 331,084,034     $ —     $ 356,534,296  

Corporate Credit Fund

                                

Collateralized Debt Obligations

   $ —     $ 1,386,466     $ —     $ 1,386,466  

Corporate Bonds*

     —       1,888,506,900 **     —       1,888,506,900  

Registered Investment Companies

     161,167,953       —       —       161,167,953  

Total

   $ 161,167,953     $ 1,889,893,366     $ —     $ 2,051,061,319  

High Yield Fund

                                

Corporate Bonds*

   $ —     $ 690,243,377 **   $ —     $ 690,243,377  

Securitized*

     —       530,785       —       530,785  

Registered Investment Companies

     39,692,604       —       —       39,692,604  

Total

   $ 39,692,604     $ 690,774,162     $ —     $ 730,466,766  

Investments in Securities Sold Short (Liabilities)

                        

Long-Short Fund

                                

Common Stocks*

   $ (590,817,468 )   $ —     $ —     $ (590,817,468 )

Total

   $ (590,817,468 )   $ —     $ —     $ (590,817,468 )

 

*

See Schedule of Investments and Schedule of Investments Sold Short for industry classification.

 

**

Corporate Credit Fund and High Yield Fund hold Corporate Bonds that have been fair valued at $0.

 

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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

There were no transfers into or out of Level 3 for the year ended December 31, 2020.

 

Short sales — The Long-Short Fund, Global Fund, International Fund, Corporate Credit Fund and High Yield 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 the Fund does not own in hope of 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

 

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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

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.

 

As of December 31, 2020, 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

   $ 18,781,723     $ —     $ 19,484,348     $ 19,484,348  

Small-Mid Cap Fund

     29,051,172       21,331,083       8,527,451       29,858,534  

Large Cap Fund

     101,354,889       —       103,217,672       103,217,672  

All Cap Select Fund

     8,664,569       2,799,197       5,951,714       8,750,911  

Long-Short Fund

     289,541,747       294,518,354       —       294,518,354  

Global Fund

     37,272       38,200       —       38,200  

International Fund

     153,943       20,301       142,170       162,471  

Short Duration Fund

     2,727,520       2,801,555       —       2,801,555  

Core Bond Fund

     30,526,114       17,812,661       13,477,873       31,290,534  

Corporate Credit Fund

     47,761,938       49,171,063       376,200       49,547,263  

High Yield Fund

     12,071,457       12,446,605       —       12,446,605  

 

*

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 and 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

 

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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

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.

 

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, 2020, 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, Core Bond Fund, Corporate Credit Fund and High Yield 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, All Cap Select Fund, Long-Short Fund, Global 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.

 

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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

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.

 

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, 2020, 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

   $ 170,458,890     $ 345,352,063  

Small-Mid Cap Fund

     536,884,820       789,491,330  

Mid Cap Fund

     137,877,619       108,600,965  

Large Cap Fund

     2,877,544,428       2,118,164,428  

All Cap Select Fund

     202,476,641       190,937,316  

Long-Short Fund

     1,356,812,198       2,862,808,386  

Global Fund

     17,917,763       22,107,311  

International Fund

     8,394,799       6,402,324  

Short Duration Fund

     749,278,920       572,117,582  

Core Bond Fund

     210,684,977       46,662,251  

Corporate Credit Fund

     3,024,563,990       2,206,311,665  

High Yield Fund

     1,151,834,073       675,444,348  

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 147

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

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, 2020:

 

   

Total
Commissions

   

Commissions
as a % of
Average Net
Assets

 

Small Cap Fund

   $ 372,691       0.07 %

Small-Mid Cap Fund

     752,678       0.04 %

Mid Cap Fund

     107,363       0.05 %

Large Cap Fund

     1,313,669       0.02 %

All Cap Select Fund

     170,044       0.07 %

Long-Short Fund

     1,379,369       0.06 %

Global Fund

     31,131       0.19 %

International Fund

     19,433       0.15 %

 

Investment Advisory Fees and Other Transactions with Affiliates

 

As of December 31, 2020, the Small Cap Fund, Small-Mid Cap Fund, Mid Cap Fund, Large Cap Fund, All Cap Select Fund, Long-Short Fund, Global Fund, International Fund, Short Duration Fund, Core Bond Fund, Corporate Credit Fund and High Yield 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%, 0.70%, 0.90%, 0.65%, 0.65%, 0.35%, 0.30%, 0.45% and 0.50%, respectively, of the 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 Class A Shares and Class C 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 Class A and Class C Shares (the “Plan”). Under the Plan, Class A shares pay a distribution fee monthly at an annual rate of 0.25% of Class A average daily net assets. Class C shares pay distribution and shareholder-servicing fees monthly at an annual rate of 0.75% and 0.25%, respectively, of Class C’s average daily net assets. Class I and Class Y shares are not subject to any distribution or shareholder-servicing fees. The Trust has entered into a Distribution

 

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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

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.

 

During the year ended December 31, 2020, the Distributor retained the following amounts in sales commissions from the sales of Class A shares of the Funds as follows:

 

Small Cap Fund

   $ 880  

Small-Mid Cap Fund

     1,217  

Mid Cap Fund

     748  

Large Cap Fund

     26,962  

All Cap Select Fund

     269  

Long-Short Fund

     2,602  

International Fund

     586  

Short Duration Fund

     577  

Corporate Credit Fund

     20,778  

High Yield Fund

     4,207  

 

DHCM, as the financing agent for Class C shares, received contingent deferred sales charges relating to the redemptions of Class C shares of the Funds during the year ended December 31, 2020 as follows:

 

Small Cap Fund

   $ 21  

Small-Mid Cap Fund

     1,811  

Large Cap Fund

     3,272  

All Cap Select Fund

     236  

Long-Short Fund

     131  

Corporate Credit Fund

     48  

 

The Funds may invest in one or more Diamond Hill Funds. 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 Funds. This fee waiver is accrued daily and settled monthly. During the year ended December 31, 2020, the Funds reduced investment advisory fees as follows:

 

Small-Mid Cap Fund

   $ 100,162  

Mid Cap Fund

     6,076  

Long-Short Fund

     172,953  

Corporate Credit Fund

     60,152  

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 149

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

The Small-Mid Cap Fund, Mid Cap Fund, Long-Short Fund and Corporate Credit 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, 2020 is as follows:

 

Affiliated Fund

  

Small-Mid
Cap Fund

    

Mid Cap
Fund

    

Long-Short
Fund

    

Corporate
Credit Fund

  

Diamond Hill Short Duration Securitized Bond Fund

                

Value, December 31, 2019

   $ 40,751,490     $ 2,345,400     $ 68,433,025     $ 51,021,763  

Purchases

     956,341       57,541       1,679,197       3,592,741  

Sales

     (15,000,000 )     (700,000 )     (34,000,000 )     (50,418,571 )

Realized Losses

     (9,028 )     (75,396 )     (1,126,909 )     (4,046,880 )

Change in Unrealized Appreciation (Depreciation)

     (55,484 )     (870 )     (148,435 )     (149,053 )

Value, December 31, 2020

   $ 26,643,319     $ 1,626,675     $ 34,836,878     $ —  

Income Distributions

   $ 956,341     $ 57,541     $ 1,679,197     $ 592,741  

 

During the year ended December 31, 2020, the former Research Opportunities Fund, Corporate Credit Fund and High Yield Fund sold securities to the Short Duration Fund, Corporate Credit Fund and High Yield Fund. These transactions, which were affected at the then current market prices as provided by an independent pricing service used by the Trust, complied with Rule 17a-7 under the 1940 Act. The transactions were as follows:

 

Selling Fund

Purchasing Fund

  

Net Proceeds

    

Net Gain (Loss)

  

Research Opportunities Fund

Corporate Credit Fund

   $ 1,021,466     $ 50,820  

Research Opportunities Fund

High Yield Fund

     207,800       14,406  

Corporate Credit Fund

High Yield Fund

     98,622,366       (12,510,086 )

High Yield Fund

Corporate Credit Fund

     80,381,057       5,521,598  

High Yield Fund

Short Duration Fund

     4,587,622       (352,646 )

 

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 $647,875 in fees during the year ended December 31, 2020. 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 which

 

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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

provide general indemnifications. The Funds’ maximum exposure under 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, 2020 and 2019 were as follows:

 

   

Small Cap Fund

    

Small-Mid Cap Fund

    

Mid Cap Fund

  
   

2020

    

2019

    

2020

    

2019

    

2020

    

2019

  

Distributions paid from:

                                                

Ordinary income

   $ 2,925,606     $ 9,777,452     $ 13,930,483     $ 22,520,202     $ 1,495,087     $ 1,309,016  

Long-term capital gains

     —       41,924,707       786,910       96,840,200       376,407       3,308,543  

Total distributions

   $ 2,925,606     $ 51,702,159     $ 14,717,393     $ 119,360,402     $ 1,871,494     $ 4,617,559  

 

   

Large Cap Fund

    

All Cap Select Fund

    

Long-Short Fund

  
   

2020

    

2019

    

2020

    

2019

    

2020

    

2019

  

Distributions paid from:

                                                

Ordinary income

   $ 86,692,884     $ 76,750,034     $ 1,790,659     $ 378,966     $ 8,842,071     $ 29,241,845  

Long-term capital gains

     192,809,037       232,666,505       —       4,355,643       15,843,708       188,106,126  

Total distributions

   $ 279,501,921     $ 309,416,539     $ 1,790,659     $ 4,734,609     $ 24,685,779     $ 217,347,971  

 

   

Global Fund

    

International Fund

    

Short Duration Fund

  
   

2020

    

2019

    

2020

    

2019

    

2020

    

2019

  

Distributions paid from:

                                                

Ordinary income

   $ 139,065     $ 240,628     $ 109,630     $ 48,725     $ 30,109,298     $ 28,180,506  

Long-term capital gains

     —       —       79,270       3,173       —       —  

Total distributions

   $ 139,065     $ 240,628     $ 188,900     $ 51,898     $ 30,109,298     $ 28,180,506  

 

   

Core Bond Fund

    

Corporate Credit Fund

    

High Yield Fund

  
   

2020

    

2019

    

2020

    

2019

    

2020

    

2019

  

Distributions paid from:

                                                

Ordinary income

   $ 5,006,585     $ 2,323,156     $ 97,728,597     $ 57,866,445     $ 49,580,749     $ 7,005,691  

Long-term capital gains

     —       —       803,265       1,612,910       34,875       —  

Total distributions

   $ 5,006,585     $ 2,323,156     $ 98,531,862     $ 59,479,355     $ 49,615,624     $ 7,005,691  

 

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Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

The following information is computed on a tax basis for each item as of December 31, 2020:

 

   

Small Cap
Fund

   

Small-Mid
Cap Fund

   

Mid Cap Fund

   

Large Cap
Fund

 

Net unrealized appreciation on portfolio investments

   $ 215,708,815     $ 362,391,359     $ 33,805,619     $ 2,380,251,740  

Undistributed ordinary income

     55,253       278,200       —       —  

Undistributed capital gains

     6,856,758       —       —       89,107,124  

Accumulated capital and other losses

     —       (3,354,892 )     (12,325,192 )     —  

Distributable earnings

   $ 222,620,826     $ 359,314,667     $ 21,480,427     $ 2,469,358,864  

 

   

All Cap
Select Fund

   

Long-Short
Fund

   

Global Fund

   

International
Fund

  

Net unrealized appreciation on portfolio investments

   $ 87,833,932     $ 589,800,245     $ 2,749,567     $ 2,612,062  

Undistributed ordinary income

     1,678,766       —       48,971       868  

Undistributed capital gains

     —       15,269,684       —       —  

Accumulated capital and other losses

     (54,851 )     —       (2,142,237 )     (199,756 )

Distributable earnings

   $ 89,457,847     $ 605,069,929     $ 656,301     $ 2,413,174  

 

   

Short
Duration Fund

   

Core Bond
Fund

   

Corporate
Credit Fund

   

High Yield
Fund

  

Net unrealized appreciation on portfolio investments

   $ 15,991,832     $ 9,708,335     $ 60,805,275     $ 30,855,658  

Undistributed ordinary income

     —       102,427       15,248,246       6,667,795  

Undistributed capital gains

     —       —       —       280,992  

Accumulated capital and other losses

     (7,264,788 )     —       —       —  

Distributable earnings

   $ 8,727,044     $ 9,810,762     $ 76,053,521     $ 37,804,445  

 

As of December 31, 2020, the Funds’ federal tax cost of portfolio investments and net unrealized appreciation (depreciation) on portfolio 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 portfolio investments

   $ 319,756,039     $ 1,613,337,326     $ 217,873,612     $ 5,919,096,994  

Gross unrealized appreciation

     222,077,375       471,787,892       49,950,654       2,524,636,478  

Gross unrealized depreciation

     (6,368,560 )     (109,396,533 )     (16,145,035 )     (144,384,738 )

Net unrealized appreciation on portfolio investments

   $ 215,708,815     $ 362,391,359     $ 33,805,619     $ 2,380,251,740  

 

152 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

   

All Cap
Select Fund

   

Long-Short
Fund

   

Global Fund

   

International
Fund

  

Tax cost of portfolio investments

   $ 241,961,709     $ 1,147,364,506     $ 13,599,158     $ 14,229,363  

Gross unrealized appreciation

     90,855,503       710,966,400       2,768,551       3,259,989  

Gross unrealized depreciation

     (3,021,571 )     (121,166,155 )     (18,984 )     (647,927 )

Net unrealized appreciation on portfolio investments

   $ 87,833,932     $ 589,800,245     $ 2,749,567     $ 2,612,062  

 

   

Short
Duration Fund

    

Core Bond
Fund

    

Corporate
Credit Fund

    

High Yield
Fund

  

Tax cost of portfolio investments

   $ 1,117,132,367     $ 346,825,961     $ 1,990,256,044     $ 699,611,108  

Gross unrealized appreciation

     28,502,923       11,322,654       77,075,289       33,120,889  

Gross unrealized depreciation

     (12,511,091 )     (1,614,319 )     (16,270,014 )     (2,265,231 )

Net unrealized appreciation on portfolio investments

   $ 15,991,832     $ 9,708,335     $ 60,805,275     $ 30,855,658  

 

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 unreversed inclusions of Passive Foreign Investment Companies.

 

For the latest tax year ended December 31, 2020, the following Funds have capital loss carry forwards (“CLCFs”) as summarized below.

 

CLCFs not subject to expiration:

 

   

Small-Mid
Cap Fund

    

Mid Cap Fund

    

All Cap Select
Fund

    

Long-Short
Fund

  

No expiration - short-term

   $ 3,354,892     $ 8,184,019     $ 54,851     $ 117,296  

No expiration - long-term

     —       4,141,173       —       —  
    $ 3,354,892     $ 12,325,192     $ 54,851     $ 117,296  

 

   

Global Fund

    

International
Fund

    

Short
Duration Fund

  

No expiration - short-term

   $ 596,082     $ 112,610     $ 4,821,867  

No expiration - long-term

     1,546,155       87,146       2,442,921  
    $ 2,142,237     $ 199,756     $ 7,264,788  

 

During the year ended December 31, 2020, All Cap Select Fund utilized $2,023,670 of short-term CLCFs and $2,116,104 of long-term CLCFs to offset current year realized gains and Core Bond Fund utilized $68,818 of short-term CLCFs and $124,361 of long-term CLCFs to offset current year realized gains. As a result of the merger described in Note 1, pre-merger short-term CLCFs of $172,233, which were acquired by Long-Short Fund from Research Opportunities Fund, are subject to annual limitations under Sections 381-384 of the Code. The amount utilized for the year ended December 31, 2020, was $54,937 to offset current year gains.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 153

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

Reclassifications of capital accounts – Reclassifications result primarily from utilization of earnings and profits on shareholder redemptions. 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

  

Small Cap Fund

   $ 18,043,148     $ (18,043,148 )

Small-Mid Cap Fund

     12,345,472       (12,345,472 )

Mid Cap Fund

     (3,575 )     3,575  

Large Cap Fund

     15,431,078       (15,431,078 )

All Cap Select Fund

     —       —  

Long-Short Fund

     8,142,626       (8,142,626 )

Global Fund

     —       —  

International Fund

     —       —  

Short Duration Fund

     (3,007,853 )     3,007,853  

Core Bond Fund

     —       —  

Corporate Credit Fund

     208,197       (208,197 )

High Yield Fund

     606,251       (606,251 )

 

In-Kind Redemption Transactions

 

During the year ended December 31, 2020, Small-Mid Cap Fund realized $16,852,506 of net capital gains resulting from in-kind redemptions (redemptions in which shareholders who redeemed Fund shares received investment securities held by the Fund rather than cash). The Fund recognizes 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 Fund and are not required to be distributed to shareholders. The Fund has reclassified this amount 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 Fund’s net assets or NAV per share.

 

Borrowings

 

The Small Cap Fund, Small-Mid Cap Fund, Mid Cap Fund, Large Cap Fund, All Cap Select Fund, Long-Short Fund, Global Fund, International Fund, Short Duration Fund, Core Bond Fund, Corporate Credit Fund and High Yield Fund each has an unsecured line of credit up to 20.0%, 20.0%, 20.0%, 33.3%, 25.0%, 15.0%, 20.0%, 20.0%, 20.0%, 20.0%, 15.0% and 15.0%, respectively, of its net assets, with a total maximum of $40,000,000.

 

Borrowings under the agreement bear interest at the higher of Federal Funds Rate or one month LIBOR plus 1.25%. The line of credit is available until June 2, 2021, unless extended, when any advances are to be repaid. During the year ended December 31, 2020, Short Duration Fund

 

154 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

incurred $53,171 of interest expense related to borrowings. The average debt outstanding and the weighted average interest rate for days with borrowing for the Short Duration Fund during the year ended December 31, 2020 were $40,000,000 and 2.18%, respectively. The largest outstanding borrowing during the year ended December 31, 2020 was $40,000,000. During the year ended December 31, 2020, no other Funds drew from the available lines.

 

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, 2020, 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.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 155

 

 

Diamond Hill Funds
Notes to Financial Statements (Continued)
December 31, 2020

 

Subsequent Events

 

The Funds evaluated events from December 31, 2020 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 except for the following:

 

On February 3, 2021, DHCM announced that it has entered into a definitive agreement to enable Brandywine Global Investment Management, LLC (“Brandywine Global”), a specialist investment manager and subsidiary of Franklin Resources, Inc., to acquire the business of the Corporate Credit and High Yield Funds. The transaction is expected to close in the second quarter of 2021, subject to customary closing conditions, including Board of Trustees and Fund shareholder approval. Portfolio managers John McClain and Bill Zox will join Brandywine Global as part of the transaction.

 

On February 11, 2021, the Board of Trustees approved the establishment of the Diamond Hill Large Cap Concentrated Fund. The investment objective of the Diamond Hill Large Cap Concentrated Fund is to provide long-term capital appreciation. The Diamond Hill Large Cap Concentrated Fund is co-managed by Charles Bath and Austin Hawley.

 

On February 19, 2021, Class C shares will be liquidated and cease operations (the “Conversion Date”). Any shareholders who remain invested in Class C shares on the Conversion Date will have their shares automatically converted to Class A shares of the applicable Fund as of the close of business on the Conversion Date. There are no fees charged in connection with the conversion.

 

Effective February 28, 2021, the Class A shares of each of the Funds will be renamed Investor shares. In addition, the initial sales charge on Investor shares (previously Class A shares) will be eliminated. Investor shares will no longer be subject to an initial sales charge.

 

156 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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, 2020, 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, 2020, 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 All Cap Select Fund,

Diamond Hill Long-Short Fund,

Diamond Hill Global Fund,

Diamond Hill Short Duration

Securitized Bond Fund,

Diamond Hill Core Bond Fund,

Diamond Hill Corporate Credit Fund,

and Diamond Hill High Yield Fund

For the year ended
December 31, 2020

For the two years ended
December 31, 2020 and 2019

For the three years ended December 31, 2020, 2019, and 2018

Diamond Hill International Fund

For the year ended
December 31, 2020

For the year ended December 31, 2020 and for the period July 1, 2019 (commencement of operations) through December 31, 2019

 

The Funds’ financial highlights for the years or periods ended December 31, 2017, and prior, were audited by other auditors whose report dated February 16, 2018, expressed an unqualified opinion on those financial highlights.

 

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, 2020 | DIAMOND-HILL.COM 157

 

 

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, 2020, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers or counterparties were not received. 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 16, 2021

 

158 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Other Items
December 31, 2020 (Unaudited)

 

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.

 

Results of a Special Meeting of Shareholders of the
Diamond Hill Research Opportunities Fund

 

A Special Meeting of Shareholders of the Diamond Hill Research Opportunities Fund was held on October 20, 2020 for the purpose of voting on the approval of an Agreement and Plan of Reorganization, which provides for the transfer of all or substantially all of the assets of the Diamond Hill Research Opportunities Fund to Diamond Hill Long-Short Fund in exchange for shares of beneficial interest of Diamond Hill Long-Short Fund and the assumption by Diamond Hill Long-Short Fund of all of the liabilities of Diamond Hill Research Opportunities Fund.

 

The voting results were as follows:

 

Proposal

  

For

    

Against

    

Abstain

  

To Approve an Agreement and Plan of Reorganization

    1,051,298       259       2,243  

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 159

 

 

Diamond Hill Funds
Other Items
December 31, 2020 (Unaudited) (Continued)

 

Dividends Received Deduction

 

For corporate shareholders, the following percentages of ordinary dividends paid during the year ended December 31, 2020 qualify for the corporate dividends received deduction:

 

Small Cap Fund

     76.93 %

Small-Mid Cap Fund

     87.47 %

Mid Cap Fund

     100.00 %

Large Cap Fund

     100.00 %

All Cap Select Fund

     100.00 %

Long-Short Fund

     100.00 %

Global Fund

     46.33 %

International Fund

     0.39 %

Short Duration Fund

     0.00 %

Core Bond Fund

     0.00 %

Corporate Credit Fund

     0.00 %

High Yield 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 2020.

 

Capital Gain Distribution

 

For the year ended December 31, 2020, the following Funds designated long-term capital gain distributions:

 

Small-Mid Cap Fund

   $ 786,910  

Mid Cap Fund

     376,407  

Large Cap Fund

     192,809,037  

Long-Short Fund

     15,843,708  

International Fund

     79,270  

Corporate Credit Fund

     803,265  

High Yield Fund

     34,875  

 

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”)

 

160 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Other Items
December 31, 2020 (Unaudited) (Continued)

 

between the Trust and Diamond Hill Capital Management, Inc. (the “Adviser”), for each series of the Trust (each separately, a “Fund”). The Board reviewed the information at regularly scheduled meetings on July 21, 2020, and August 20, 2020, 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. 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-based approach to investment that aligns the Adviser’s interests with those of its clients. 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 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, 2020.

 

c)

Reasonableness of Investment Advisory Fees. The Trustees noted that the contractual fee rate for each Fund under the Management Agreement was at or below the average and median rates of the applicable Fund’s custom peer group.

 

d)

Reasonableness of Total Expenses. The Trustees noted that the total expenses for all Class I and Class Y shares were at or below the median total expenses of comparable funds within the applicable Fund’s Morningstar category for all but Class I shares in two Funds (which were 1 to 2 basis points higher). As it relates to Class A and Class C, the total expenses are at or below both the average and median total expenses of comparable funds with the applicable Fund’s Morningstar category for all except Class C shares of the All Cap Select Fund and Class A shares of the Short Duration Securitized Bond Fund (which were 1 to 5 basis points higher).

 

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).

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 161

 

 

Diamond Hill Funds
Other Items
December 31, 2020 (Unaudited) (Continued)

 

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.

 

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. They noted that while many advisory firms reduce fees as assets under management increase with predetermined break points, the Adviser has adopted a different strategy. The Trustees considered that 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. The Trustees noted that one of the Funds currently is closed to most new investors. The Trustees also noted that the Adviser has a history of voluntarily reducing its fees under the Administration Agreement when asset growth allows for the sharing of economies of scale, with the most recent reduction having taken place on February 28, 2018.

 

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. The Trustees also considered revenue and expenses of the Administrator for providing financing arrangements related to the payment of commissions to financial intermediaries for the sale of Class C Shares of the Funds.

 

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.

 

162 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | 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, 2020 and held for the entire period from July 1, 2020 through December 31, 2020.

 

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

Class A

1,000.00

1,000.00

1,340.50

1,018.80

7.41

6.39

1.26%

Class C

1,000.00

1,000.00

1,335.00

1,015.03

11.80

10.18

2.01%

Class I

1,000.00

1,000.00

1,341.90

1,020.26

5.71

4.93

0.97%

Class Y

1,000.00

1,000.00

1,242.90

1,020.86

4.79

4.32

0.85%

Small-Mid Cap Fund

Class A

1,000.00

1,000.00

1,308.90

1,019.08

6.99

6.11

1.20%

Class C

1,000.00

1,000.00

1,304.40

1,015.31

11.32

9.90

1.95%

Class I

1,000.00

1,000.00

1,310.20

1,020.54

5.31

4.64

0.91%

Class Y

1,000.00

1,000.00

1,312.00

1,021.14

4.62

4.04

0.79%

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 163

 

 

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

Mid Cap Fund

Class A

1,000.00

1,000.00

1,298.30

1,019.79

6.14

5.40

1.06%

Class I

1,000.00

1,000.00

1,300.10

1,021.25

4.47

3.93

0.77%

Class Y

1,000.00

1,000.00

1,300.30

1,021.85

3.78

3.32

0.65%

Large Cap Fund

Class A

1,000.00

1,000.00

1,259.30

1,020.32

5.44

4.86

0.96%

Class C

1,000.00

1,000.00

1,254.70

1,016.55

9.69

8.66

1.71%

Class I

1,000.00

1,000.00

1,261.10

1,021.77

3.80

3.40

0.67%

Class Y

1,000.00

1,000.00

1,262.20

1,022.37

3.12

2.79

0.55%

All Cap Select Fund

Class A

1,000.00

1,000.00

1,394.80

1,019.31

6.98

5.88

1.16%

Class C

1,000.00

1,000.00

1,389.20

1,015.54

11.46

9.67

1.91%

Class I

1,000.00

1,000.00

1,396.40

1,020.76

5.24

4.42

0.87%

Class Y

1,000.00

1,000.00

1,397.10

1,021.37

4.52

3.81

0.75%

Long-Short Fund

Class A

1,000.00

1,000.00

1,145.20

1,017.93

7.73

7.28

1.43%

Class C

1,000.00

1,000.00

1,140.50

1,014.15

11.76

11.06

2.19%

Class I

1,000.00

1,000.00

1,147.00

1,019.38

6.18

5.81

1.14%

Class Y

1,000.00

1,000.00

1,147.60

1,019.99

5.53

5.20

1.02%

Global Fund

Class A

1,000.00

1,000.00

1,273.30

1,019.46

6.45

5.73

1.13%

Class I

1,000.00

1,000.00

1,275.40

1,020.91

4.81

4.27

0.84%

Class Y

1,000.00

1,000.00

1,276.40

1,021.52

4.12

3.66

0.72%

International Fund

Class A

1,000.00

1,000.00

1,270.00

1,019.36

6.56

5.83

1.15%

Class I

1,000.00

1,000.00

1,271.70

1,020.82

4.91

4.37

0.86%

Class Y

1,000.00

1,000.00

1,271.50

1,021.42

4.22

3.76

0.74%

Short Duration Fund

Class A

1,000.00

1,000.00

1,058.60

1,021.06

4.19

4.12

0.81%

Class I

1,000.00

1,000.00

1,060.30

1,022.52

2.69

2.64

0.52%

Class Y

1,000.00

1,000.00

1,060.80

1,023.13

2.07

2.03

0.40%

Core Bond Fund

Class A

1,000.00

1,000.00

1,013.70

1,021.32

3.85

3.86

0.76%

Class I

1,000.00

1,000.00

1,015.40

1,022.78

2.38

2.39

0.47%

Class Y

1,000.00

1,000.00

1,015.80

1,023.38

1.77

1.78

0.35%

Corporate Credit Fund

Class A

1,000.00

1,000.00

1,107.80

1,020.56

4.83

4.63

0.91%

Class C

1,000.00

1,000.00

1,104.20

1,016.78

8.79

8.42

1.66%

Class I

1,000.00

1,000.00

1,109.80

1,022.01

3.29

3.16

0.62%

Class Y

1,000.00

1,000.00

1,109.70

1,022.62

2.66

2.55

0.50%

 

 

164 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

 

 

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

High Yield Fund

Class A

1,000.00

1,000.00

1,127.10

1,020.30

5.15

4.89

0.96%

Class I

1,000.00

1,000.00

1,127.70

1,021.75

3.60

3.42

0.67%

Class Y

1,000.00

1,000.00

1,130.20

1,022.35

2.96

2.81

0.55%

 

*

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 the 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 Fund’s 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.

 

DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 165

 

 

Diamond Hill Funds
Management of the Trust
(Unaudited)

 

Listed in the charts below is basic information regarding the Trustees and Officers of the Trust.

 

INDEPENDENT TRUSTEES:

 

Name/Address/1
Age

Position(s)
Held with
Trust

Term of
Office2
and
Length
of Time
Served

Principal Occupation(s)
At Least The Last 5 Years

Number of
Portfolios
in Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by
Trustee

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.

13

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

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.

13

None

D’Ray Moore
Year of Birth: 1959

Chairperson Trustee

Since February 2014

Since August 2007

Retired, Community Volunteer, November 2001 to present.

13

Advisors Investment Trust, July 2011 to present

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.

13

The Arbitrage Funds, December 2018 to present, AltShares Trust January 2020 to present

 

166 DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM

 

 

Diamond Hill Funds
Management of the Trust
(Unaudited) (Continued)

 

PRINCIPAL OFFICERS:

 

Name/Address/1
Age

Position(s)
Held with Trust

Term of Office and
Length of Time Served2

Principal Occupation(s)
At Least The Last 5 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

The address of each Trustee and Officer is 325 John H. McConnell Boulevard — Suite 200, Columbus, Ohio 43215.

 

2

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 1-year term to serve the Trust or until their resignation, removal or retirement.

 

The Statement of Additional Information contains additional information about the Trustees and is available without charge on www.diamond-hill.com or by calling 1-888-226-5595.

 

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DIAMOND HILL FUNDS | ANNUAL REPORT | DECEMBER 31, 2020 | DIAMOND-HILL.COM 173

 

 

 

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-AR123120

 

 

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 not made any 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 expert is Ms. Tamara L. Fagely, who is “independent” for purposes of this Item 3 of Form N-CSR.

 

Item 4. Principal Accountant Fees and Services.

 

(a) Audit Fees. Audit fees totaled $180,500 and $201,000 in fiscal 2020 and 2019, respectively. 2020 and 2019 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 2020 and 2019.

 

(c) Tax Fees. Fees for tax compliance services totaled $63,000 and $58,500 in fiscal 2020 and 2019, respectively.

 

(d) All Other Fees. All other fees totaled $0 and $8,494 in fiscal 2020 and 2019, 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 $0 and $37,000 in 2020 and 2019, 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.

 

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.

 

(a)(1)Code of Ethics for Senior Financial Officers is filed herewith.

 

(a)(2)A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): Attached hereto

 

(a)(3)Not applicable.

 

(a)(4)Change in the registrant’s independent public accountants: Not applicable

 

(b)Certification required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto

 

 

 

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, Chief Executive Officer  
     
Date: February 22, 2021  

 

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, Chief Executive Officer  
     
Date: February 22, 2021  
     
By (Signature and Title) /s/ Julie A. Roach  
  Julie A. Roach, Principal Financial Officer  
     
Date: February 22, 2021