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: | 811-21335 |
Exact name of registrant as specified in charter: | Optimum Fund Trust |
Address of principal executive offices: | 2005 Market Street |
Philadelphia, PA 19103 | |
Name and address of agent for service: | David F. Connor, Esq. |
2005 Market Street | |
Philadelphia, PA 19103 | |
Registrant’s telephone number, including area code: | (800) 523-1918 |
Date of fiscal year end: | March 31 |
Date of reporting period: | September 30, 2007 |
Item 1. Reports to Stockholders
| ||
Optimum Fund Trust | ||
November 29, 2007 | ||
This brochure accompanies a semiannual report for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust. You should consider the investment objectives, risks, charges, and expenses of the investment company carefully before investing. The prospectus contains this and other important information about the Funds. Prospectuses for Optimum Fund Trust are available from your financial advisor, online at www.optimummutualfunds.com, or by phone at 800 914-0278. Please read the prospectus carefully before you invest or send money. The figures in the semiannual report for Optimum Fund Trust represent past results, which are not a guarantee of future results. The return and principal value of an investment in a Fund will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. | ||
| |||
Optimum Fixed Income Fund | |||
Optimum International Fund | |||
Optimum Large Cap Growth Fund | |||
Optimum Large Cap Value Fund | |||
Optimum Small Cap Growth Fund* | |||
Optimum Small Cap Value Fund* | |||
Semiannual Report | |||
September 30, 2007 | |||
* | The Funds’ prospectus supplement contains important information regarding the investment strategies, benchmarks, and names of the Funds. A prospectus, which contains a complete copy of the supplement, may be obtained by calling 800 914-0278 or visiting our Web site at www.optimummutualfunds.com. | ||
Table of contents
> Disclosure of Fund expenses | 1 | |
> Sector/Country allocations, | ||
credit quality breakdown and top 10 holdings | 3 | |
> Financial statements | ||
Statements of net assets | 7 | |
Statements of assets and liabilities | 49 | |
Statements of operations | 50 | |
Statements of changes in net assets | 51 | |
Financial highlights | 54 | |
Notes to financial statements | 78 | |
> Other Fund information | 89 | |
> About the organization | 92 |
Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management
Business Trust, which is a registered investment advisor.
© 2007 Delaware Distributors, L.P.
Disclosure of Fund expenses
For the period April 1, 2007 to September 30, 2007
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. These following 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.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2007 to September 30, 2007.
Actual Expenses
The first section of the tables shown, “Actual Fund Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, 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 first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the tables shown, “Hypothetical 5% Return”, provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ 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 a 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.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of each table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. Each Fund’s expenses shown in the tables reflect fee waivers in effect. The expenses shown in each table assume reinvestment of all dividends and distributions.
“Expenses Paid During Period” are equal to the Funds’ annualized expense ratios, multiplied by the average account value over the period, multiplied by the 183/366 (to reflect the one-half year period).
Optimum Fixed Income Fund Expense Analysis of an Investment of $1,000 | |||||||
Expenses | |||||||
Beginning | Ending | Paid During | |||||
Account | Account | Annualized | Period | ||||
Value | Value | Expense | 4/1/07 to | ||||
4/1/07 | 9/30/07 | Ratio | 9/30/07 | ||||
Actual Fund Return | |||||||
Class A | $1,000.00 | $1,019.30 | 1.25% | $6.31 | |||
Class B | 1,000.00 | 1,015.90 | 1.90% | 9.58 | |||
Class C | 1,000.00 | 1,015.90 | 1.90% | 9.58 | |||
Institutional Class | 1,000.00 | 1,021.10 | 0.90% | 4.55 | |||
Hypothetical 5% Return (5% return before expenses) | |||||||
Class A | $1,000.00 | $1,018.75 | 1.25% | $6.31 | |||
Class B | 1,000.00 | 1,015.50 | 1.90% | 9.57 | |||
Class C | 1,000.00 | 1,015.50 | 1.90% | 9.57 | |||
Institutional Class | 1,000.00 | 1,020.50 | 0.90% | 4.55 | |||
Optimum International Fund Expense Analysis of an Investment of $1,000 | |||||||
Expenses | |||||||
Beginning | Ending | Paid During | |||||
Account | Account | Annualized | Period | ||||
Value | Value | Expense | 4/1/07 to | ||||
4/1/07 | 9/30/07 | Ratio | 9/30/07 | ||||
Actual Fund Return | |||||||
Class A | $1,000.00 | $1,088.50 | 1.75% | $ 9.14 | |||
Class B | 1,000.00 | 1,084.60 | 2.40% | 12.51 | |||
Class C | 1,000.00 | 1,084.50 | 2.40% | 12.51 | |||
Institutional Class | 1,000.00 | 1,090.70 | 1.40% | 7.32 | |||
Hypothetical 5% Return (5% return before expenses) | |||||||
Class A | $1,000.00 | $1,016.25 | 1.75% | $ 8.82 | |||
Class B | 1,000.00 | 1,013.00 | 2.40% | 12.08 | |||
Class C | 1,000.00 | 1,013.00 | 2.40% | 12.08 | |||
Institutional Class | 1,000.00 | 1,018.00 | 1.40% | 7.06 |
(continues) 1
Disclosure of Fund expenses
Optimum Large Cap Growth Fund Expense Analysis of an Investment of $1,000 | |||||||
Expenses | |||||||
Beginning | Ending | Paid During | |||||
Account | Account | Annualized | Period | ||||
Value | Value | Expense | 4/1/07 to | ||||
4/1/07 | 9/30/07 | Ratio | 9/30/07 | ||||
Actual Fund Return | |||||||
Class A | $1,000.00 | $1,118.90 | 1.61% | $ 8.53 | |||
Class B | 1,000.00 | 1,115.80 | 2.26% | 11.95 | |||
Class C | 1,000.00 | 1,115.00 | 2.26% | 11.95 | |||
Institutional Class | 1,000.00 | 1,120.70 | 1.26% | 6.68 | |||
Hypothetical 5% Return (5% return before expenses) | |||||||
Class A | $1,000.00 | $1,016.95 | 1.61% | $ 8.12 | |||
Class B | 1,000.00 | 1,013.70 | 2.26% | 11.38 | |||
Class C | 1,000.00 | 1,013.70 | 2.26% | 11.38 | |||
Institutional Class | 1,000.00 | 1,018.70 | 1.26% | 6.36 | |||
Optimum Large Cap Value Fund Expense Analysis of an Investment of $1,000 | |||||||
Expenses | |||||||
Beginning | Ending | Paid During | |||||
Account | Account | Annualized | Period | ||||
Value | Value | Expense | 4/1/07 to | ||||
4/1/07 | 9/30/07 | Ratio | 9/30/07 | ||||
Actual Fund Return | |||||||
Class A | $1,000.00 | $1,068.20 | 1.54% | $ 7.96 | |||
Class B | 1,000.00 | 1,064.60 | 2.19% | 11.30 | |||
Class C | 1,000.00 | 1,064.60 | 2.19% | 11.30 | |||
Institutional Class | 1,000.00 | 1,069.70 | 1.19% | 6.16 | |||
Hypothetical 5% Return (5% return before expenses) | |||||||
Class A | $1,000.00 | $1,017.30 | 1.54% | $ 7.77 | |||
Class B | 1,000.00 | 1,014.05 | 2.19% | 11.03 | |||
Class C | 1,000.00 | 1,014.05 | 2.19% | 11.03 | |||
Institutional Class | 1,000.00 | 1,019.05 | 1.19% | 6.01 |
Optimum Small Cap Growth Fund Expense Analysis of an Investment of $1,000 | |||||||
Expenses | |||||||
Beginning | Ending | Paid During | |||||
Account | Account | Annualized | Period | ||||
Value | Value | Expense | 4/1/07 to | ||||
4/1/07 | 9/30/07 | Ratio | 9/30/07 | ||||
Actual Fund Return | |||||||
Class A | $1,000.00 | $1,076.20 | 1.94% | $10.07 | |||
Class B | 1,000.00 | 1,072.10 | 2.59% | 13.42 | |||
Class C | 1,000.00 | 1,072.10 | 2.59% | 13.42 | |||
Institutional Class | 1,000.00 | 1,078.00 | 1.59% | 8.26 | |||
Hypothetical 5% Return (5% return before expenses) | |||||||
Class A | $1,000.00 | $1,015.30 | 1.94% | $ 9.77 | |||
Class B | 1,000.00 | 1,012.05 | 2.59% | 13.03 | |||
Class C | 1,000.00 | 1,012.05 | 2.59% | 13.03 | |||
Institutional Class | 1,000.00 | 1,017.05 | 1.59% | 8.02 | |||
Optimum Small Cap Value Fund Expense Analysis of an Investment of $1,000 | |||||||
Expenses | |||||||
Beginning | Ending | Paid During | |||||
Account | Account | Annualized | Period | ||||
Value | Value | Expense | 4/1/07 to | ||||
4/1/07 | 9/30/07 | Ratio | 9/30/07 | ||||
Actual Fund Return | |||||||
Class A | $1,000.00 | $955.20 | 1.76% | $ 8.60 | |||
Class B | 1,000.00 | 952.50 | 2.41% | 11.76 | |||
Class C | 1,000.00 | 952.50 | 2.41% | 11.76 | |||
Institutional Class | 1,000.00 | 957.30 | 1.41% | 6.90 | |||
Hypothetical 5% Return (5% return before expenses) | |||||||
Class A | $1,000.00 | $1,016.20 | 1.76% | $ 8.87 | |||
Class B | 1,000.00 | 1,012.95 | 2.41% | 12.13 | |||
Class C | 1,000.00 | 1,012.95 | 2.41% | 12.13 | |||
Institutional Class | 1,000.00 | 1,017.95 | 1.41% | 7.11 |
2
Sector/Country allocations and
credit quality breakdown
Optimum Fixed Income Fund
As of September 30, 2007
Country and sector designations may be different than the country and sector designations presented in other Fund materials.
Percentage | ||
Sector/Country | of Net Assets | |
Agency Asset-Backed Securities | 0.05 | % |
Agency Collateralized Mortgage Obligations | 4.45 | % |
Agency Mortgage-Backed Securities | 12.08 | % |
Agency Obligations | 3.57 | % |
Commercial Mortgage-Backed Securities | 7.36 | % |
Convertible Bonds | 0.36 | % |
Corporate Bonds | 23.97 | % |
Banking | 4.43 | % |
Basic Industry | 1.18 | % |
Brokerage | 0.51 | % |
Capital Goods | 0.82 | % |
Communications | 2.85 | % |
Consumer Cyclical | 2.44 | % |
Consumer Non-Cyclical | 1.18 | % |
Electric | 2.83 | % |
Energy | 1.42 | % |
Finance Companies | 2.68 | % |
Industrials | 0.03 | % |
Insurance | 1.89 | % |
Natural Gas | 0.51 | % |
Real Estate | 0.43 | % |
Technology | 0.35 | % |
Transportation | 0.42 | % |
Foreign Agencies | 0.86 | % |
Austria | 0.09 | % |
Germany | 0.50 | % |
Luxembourg | 0.17 | % |
Qatar | 0.10 | % |
Municipal Bonds | 1.62 | % |
Non-Agency Asset-Backed Securities | 3.59 | % |
Non-Agency Collateralized Mortgage Obligations | 19.16 | % |
Regional Agencies | 0.62 | % |
Regional Authorities | 0.07 | % |
Argentina | 0.05 | % |
Canada | 0.02 | % |
Senior Secured Loans | 0.93 | % |
Sovereign Agency | 0.06 | % |
Sovereign Debt | 6.21 | % |
Austria | 0.28 | % |
Brazil | 0.51 | % |
Colombia | 0.09 | % |
France | 0.23 | % |
Germany | 0.18 | % |
Indonesia | 0.95 | % |
Japan | 2.38 | % |
Malaysia | 0.23 | % |
Mexico | 0.31 | % |
Norway | 0.11 | % |
Pakistan | 0.04 | % |
Poland | 0.16 | % |
Republic of Korea | 0.07 | % |
United Arabic Emirates | 0.14 | % |
United Kingdom | 0.53 | % |
Supranational Banks | 1.99 | % |
U.S. Treasury Obligations | 10.79 | % |
Common Stock | 0.10 | % |
Convertible Preferred Stock | 0.18 | % |
Preferred Stock | 0.03 | % |
Warrant | 0.06 | % |
Discount Note | 1.33 | % |
Repurchase Agreements | 2.86 | % |
Securities Lending Collateral | 14.01 | % |
Total Value of Securities | 116.31 | % |
Obligation to Return Securities Lending Collateral | (14.01 | %) |
Liabilities Net of Receivables and Other Assets | (2.30 | %) |
Total Net Assets | 100.00 | % |
Credit Quality Breakdown | ||
(as a % of fixed income investments) | ||
AAA | 55.10 | % |
AA | 8.88 | % |
A | 7.42 | % |
BBB | 11.01 | % |
BB | 5.93 | % |
B | 9.54 | % |
CCC | 1.73 | % |
D | 0.03 | % |
Non Rated | 0.36 | % |
Total | 100.00 | % |
(continues) 3
Sector/Country allocations
Optimum International Fund
As of September 30, 2007
Sector and country designations may be different than the sector and country designations presented in other Fund materials.
Percentage | ||
Country | of Net Assets | |
Common Stock | 96.97 | % |
Australia | 7.14 | % |
Austria | 0.46 | % |
Belgium | 1.11 | % |
Brazil | 0.61 | % |
Canada | 0.72 | % |
China | 0.11 | % |
Finland | 1.21 | % |
France | 12.60 | % |
Germany | 9.19 | % |
Hong Kong | 1.63 | % |
India | 0.25 | % |
Italy | 4.04 | % |
Japan | 18.72 | % |
Luxembourg | 0.72 | % |
Netherlands | 4.23 | % |
New Zealand | 0.46 | % |
Philippines | 0.08 | % |
Republic of Korea | 0.88 | % |
Russia | 0.14 | % |
Singapore | 0.74 | % |
South Africa | 0.76 | % |
Spain | 4.52 | % |
Sweden | 0.35 | % |
Switzerland | 2.93 | % |
Taiwan | 1.55 | % |
Thailand | 0.09 | % |
United Kingdom | 21.33 | % |
United States | 0.40 | % |
Preferred Stock | 0.45 | % |
Brazil | 0.30 | % |
Republic of Korea | 0.15 | % |
Rights | 0.20 | % |
Discount Note | 0.40 | % |
Repurchase Agreements | 0.87 | % |
Securities Lending Collateral | 10.39 | % |
Total Value of Securities | 109.28 | % |
Obligation to Return Securities Lending Collateral | (10.39 | %) |
Receivables and Other Assets Net of Liabilities | 1.11 | % |
Total Net Assets | 100.00 | % |
Percentage | ||
Sector | of Net Assets | |
Automobiles & Components | 7.33 | % |
Banking & Finance | 20.58 | % |
Capital Goods | 1.75 | % |
Commercial Services | 1.02 | % |
Consumer Durables & Apparel | 3.12 | % |
Consumer Services | 0.20 | % |
Energy | 10.24 | % |
Food & Staples Retailing | 0.49 | % |
Food, Beverage & Tobacco | 5.24 | % |
Insurance | 7.45 | % |
Materials | 10.19 | % |
Media | 1.66 | % |
Pharmaceuticals & Biotechnology | 7.24 | % |
Real Estate | 0.76 | % |
Semiconductors | 1.07 | % |
Technology Hardware & Equipment | 1.49 | % |
Telecommunication Services | 9.47 | % |
Transportation & Shipping | 2.25 | % |
Utilities | 6.07 | % |
Total | 97.62 | % |
4
Sector allocations and top 10 holdings
Sector designations may be different than the sector designations presented in other Fund materials.
Optimum Large Cap Growth Fund
As of September 30, 2007
Percentage | |||
Sector | of Net Assets | ||
Common Stock² | 93.25 | % | |
Basic Industry/Capital Goods | 8.10 | % | |
Business Services | 4.20 | % | |
Consumer Durables | 1.47 | % | |
Consumer Non-Durables | 8.49 | % | |
Consumer Services | 10.32 | % | |
Energy | 7.49 | % | |
Financials | 13.10 | % | |
Health Care | 12.33 | % | |
Technology | 25.41 | % | |
Transportation | 2.02 | % | |
Utilities | 0.32 | % | |
U.S. Treasury Obligations | 2.44 | % | |
Discount Note | 1.83 | % | |
Repurchase Agreements | 3.94 | % | |
Securities Lending Collateral | 13.58 | % | |
Total Value of Securities | 115.04 | % | |
Obligation to Return Securities Lending Collateral | (13.58 | %) | |
Liabilities Net of Receivables and Other Assets | (1.46 | %) | |
Total Net Assets | 100.00 | % | |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. | ||
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security. | |||
Percentage | |||
Top 10 Holdings | of Net Assets | ||
Schlumberger | 3.68 | % | |
Goldman Sachs Group | 2.61 | % | |
Las Vegas Sands | 2.39 | % | |
Cisco Systems | 2.29 | % | |
UnitedHealth Group | 2.22 | % | |
General Electric | 2.14 | % | |
Apple | 1.95 | % | |
Genentech | 1.92 | % | |
Google Class A | 1.89 | % | |
CVS Caremark | 1.72 | % |
Optimum Large Cap Value Fund
As of September 30, 2007
Percentage | ||
Sector | of Net Assets | |
Common Stock | 96.16 | % |
Consumer Discretionary | 9.32 | % |
Consumer Staples | 9.90 | % |
Energy | 9.25 | % |
Financials | 24.16 | % |
Health Care | 7.63 | % |
Industrials | 12.38 | % |
Information Technology | 5.63 | % |
Materials | 6.76 | % |
Telecommunications | 8.15 | % |
Utilities | 2.98 | % |
Discount Note | 1.22 | % |
Repurchase Agreements | 2.63 | % |
Securities Lending Collateral | 13.23 | % |
Total Value of Securities | 113.24 | % |
Obligation to Return Securities Lending Collateral | (13.23 | %) |
Liabilities Net of Receivables and Other Assets | (0.01 | %) |
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security. | ||
Percentage | ||
Top 10 Holdings | of Net Assets | |
Citigroup | 2.60 | % |
Fannie Mae | 2.44 | % |
Lockheed Martin | 2.32 | % |
AT&T | 2.02 | % |
ConocoPhillips | 2.00 | % |
Chevron | 1.93 | % |
International Business Machines | 1.91 | % |
Altria Group | 1.75 | % |
Bank of America | 1.65 | % |
Allstate | 1.57 | % |
(continues) 5
Sector allocations and top 10 holdings
Sector designations may be different than the sector designations presented in other Fund materials.
Optimum Small Cap Growth Fund
As of September 30, 2007
Percentage | |||
Sector | of Net Assets | ||
Common Stock² | 96.60 | % | |
Basic Industry/Capital Goods | 14.28 | % | |
Business Services | 9.29 | % | |
Consumer Durables | 3.24 | % | |
Consumer Non-Durables | 8.05 | % | |
Consumer Services | 4.91 | % | |
Energy | 5.00 | % | |
Financials | 2.37 | % | |
Health Care | 11.02 | % | |
Real Estate | 0.96 | % | |
Technology | 35.96 | % | |
Transportation | 1.05 | % | |
Utilities | 0.47 | % | |
Warrants | 0.00 | % | |
Discount Note | 1.03 | % | |
Repurchase Agreements | 2.24 | % | |
Securities Lending Collateral | 23.37 | % | |
Total Value of Securities | 123.24 | % | |
Obligation to Return Securities Lending Collateral | (23.37 | %) | |
Receivables and Other Assets Net of Liabilities | 0.13 | % | |
Total Net Assets | 100.00 | % | |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. | ||
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security. | |||
Percentage | |||
Top 10 Holdings | of Net Assets | ||
FLIR Systems | 1.87 | % | |
Focus Media Holding ADR | 1.80 | % | |
Discovery Holding | 1.59 | % | |
FMC Technologies | 1.48 | % | |
Carrizo Oil & Gas | 1.42 | % | |
Concur Technologies | 1.40 | % | |
Atwood Oceanics | 1.38 | % | |
Genlyte Group | 1.26 | % | |
Sigma Designs | 1.26 | % | |
Mettler-Toledo International | 1.25 | % |
Optimum Small Cap Value Fund
As of September 30, 2007
Percentage | ||
Sector | of Net Assets | |
Common Stock | 90.47 | % |
Basic Industry | 15.13 | % |
Business Services | 8.95 | % |
Capital Spending | 6.30 | % |
Consumer Cyclical | 7.17 | % |
Consumer Services | 11.55 | % |
Consumer Staples | 0.45 | % |
Energy | 5.54 | % |
Financial Services | 6.91 | % |
Health Care | 2.45 | % |
Real Estate | 5.74 | % |
Technology | 15.75 | % |
Transportation | 3.36 | % |
Utilities | 1.17 | % |
Exchange Traded Fund | 0.56 | % |
Discount Note | 2.90 | % |
Repurchase Agreements | 6.25 | % |
Securities Lending Collateral | 22.62 | % |
Total Value of Securities | 122.80 | % |
Obligation to Return Securities Lending Collateral | (22.62 | %) |
Liabilities Net of Receivables and Other Assets | (0.18 | %) |
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security. | ||
Percentage | ||
Top 10 Holdings | of Net Assets | |
Kennametal | 2.47 | % |
Thermo Fisher Scientific | 2.01 | % |
Hercules | 1.83 | % |
MI Developments Class A | 1.82 | % |
Cytec Industries | 1.59 | % |
Foot Locker | 1.48 | % |
Hanover Insurance Group | 1.42 | % |
Capital Lease Funding | 1.39 | % |
Crane | 1.37 | % |
Warnaco Group | 1.35 | % |
6
Statements of net assets
Optimum Fixed Income Fund
September 30, 2007 (Unaudited)
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Agency Asset-Backed Securities – 0.05% | |||||
Fannie Mae Grantor Trust | |||||
Series 2003-T4 2A5 | |||||
4.907% 9/26/33 | USD | 251,039 | $ 251,039 | ||
¨Freddie Mac Structured Pass | |||||
Through Securities | |||||
Series T-30 A5 | |||||
8.61% 12/25/30 | 199,413 | 202,814 | |||
Total Agency Asset-Backed Securities | |||||
(cost $448,855) | 453,853 | ||||
Agency Collateralized Mortgage Obligations – 4.45% | |||||
Fannie Mae | |||||
Series 1996-46 ZA | |||||
7.50% 11/25/26 | 38,540 | 40,208 | |||
Series 1999-19 PH | |||||
6.00% 5/25/29 | 1,229,882 | 1,249,823 | |||
Series 2001-14 Z | |||||
6.00% 5/25/31 | 84,440 | 85,769 | |||
Series 2002-90 A1 | |||||
6.50% 6/25/42 | 24,865 | 25,561 | |||
Series 2002-90 A2 | |||||
6.50% 11/25/42 | 107,600 | 110,423 | |||
Series 2003-122 AJ | |||||
4.50% 2/25/28 | 150,174 | 147,254 | |||
Series 2005-22 HE | |||||
5.00% 10/25/33 | 740,000 | 708,748 | |||
Series 2005-29 QD | |||||
5.00% 8/25/33 | 816,000 | 780,441 | |||
Series 2005-54 AK | |||||
4.50% 9/25/32 | 975,329 | 944,551 | |||
Series 2005-94 YD | |||||
4.50% 8/25/33 | 1,480,000 | 1,375,155 | |||
Series 2005-110 MB | |||||
5.50% 9/25/35 | 904,955 | 909,407 | |||
Fannie Mae Grantor Trust | |||||
Series 1999-T2 A1 | |||||
7.50% 1/19/39 | 37,274 | 39,477 | |||
Series 2001-T8 A2 | |||||
9.50% 7/25/41 | 19,165 | 20,668 | |||
Series 2002-T4 A3 | |||||
7.50% 12/25/41 | 132,416 | 138,556 | |||
Series 2004-T1 1A2 | |||||
6.50% 1/25/44 | 53,467 | 54,670 | |||
Fannie Mae Whole Loan | |||||
Series 2004-W9 2A1 | |||||
6.50% 2/25/44 | 66,943 | 69,181 | |||
Series 2004-W11 1A2 | |||||
6.50% 5/25/44 | 195,713 | 202,352 | |||
Series 2004-W15 1A1 | |||||
6.00% 8/25/44 | 333,827 | 338,637 | |||
Freddie Mac | |||||
Series 1730 Z | |||||
7.00% 5/15/24 | 247,112 | 260,035 | |||
Series 2113 QE | |||||
6.00% 11/15/27 | 11,365 | 11,409 | |||
Freddie Mac | |||||
Series 2141 N | |||||
5.55% 11/15/27 | 76,872 | 76,939 | |||
Series 2165 PE | |||||
6.00% 6/15/29 | 1,228,875 | 1,248,097 | |||
Series 2326 ZQ | |||||
6.50% 6/15/31 | 447,726 | 469,632 | |||
Series 2497 BM | |||||
5.00% 2/15/22 | 366,948 | 364,770 | |||
Series 2552 KB | |||||
4.25% 6/15/27 | 135,033 | 134,549 | |||
Series 2612 LJ | |||||
4.00% 7/15/22 | 53,674 | 53,546 | |||
Series 2662 MA | |||||
4.50% 10/15/31 | 281,989 | 278,212 | |||
Series 2755 LE | |||||
4.00% 9/15/30 | 557,000 | 522,038 | |||
Series 2780 TE | |||||
5.00% 1/15/33 | 1,850,000 | 1,789,965 | |||
Series 2802 NE | |||||
5.00% 2/15/33 | 700,000 | 676,482 | |||
Series 2827 TE | |||||
5.00% 4/15/33 | 1,335,000 | 1,288,400 | |||
Series 2840 OE | |||||
5.00% 2/15/33 | 1,800,000 | 1,733,294 | |||
Series 2844 PD | |||||
5.00% 12/15/32 | 2,540,000 | 2,449,588 | |||
Series 2864 PE | |||||
5.00% 6/15/33 | 1,095,000 | 1,056,796 | |||
Series 2869 BG | |||||
5.00% 7/15/33 | 224,000 | 215,910 | |||
Series 2872 GC | |||||
5.00% 11/15/29 | 405,000 | 398,561 | |||
Series 2881 TE | |||||
5.00% 7/15/33 | 1,080,000 | 1,039,541 | |||
Series 2889 OG | |||||
5.00% 5/15/33 | 117,000 | 111,059 | |||
Series 2890 PC | |||||
5.00% 7/15/30 | 265,000 | 260,552 | |||
Series 2890 PD | |||||
5.00% 3/15/33 | 1,265,000 | 1,215,861 | |||
Series 2893 PD | |||||
5.00% 2/15/33 | 65,000 | 62,519 | |||
Series 2915 KD | |||||
5.00% 9/15/33 | 447,000 | 429,688 | |||
Series 2915 KP | |||||
5.00% 11/15/29 | 490,000 | 482,352 | |||
Series 2921 NE | |||||
5.00% 9/15/33 | 1,095,000 | 1,052,543 | |||
Series 2937 JG | |||||
5.00% 8/15/33 | 1,410,000 | 1,354,340 | |||
Series 2938 ND | |||||
5.00% 10/15/33 | 1,050,000 | 1,007,268 | |||
Series 2939 PD | |||||
5.00% 7/15/33 | 665,000 | 638,696 |
(continues) 7
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Agency Collateralized Mortgage Obligations (continued) | |||||
Freddie Mac | |||||
Series 2941 XD | |||||
5.00% 5/15/33 | USD | 2,690,000 | $ 2,579,909 | ||
Series 2987 KG | |||||
5.00% 12/15/34 | 1,430,000 | 1,366,061 | |||
Series 3005 ED | |||||
5.00% 7/15/25 | 560,000 | 525,204 | |||
Series 3022 MB | |||||
5.00% 12/15/28 | 260,000 | 258,733 | |||
Series 3063 PC | |||||
5.00% 2/15/29 | 490,000 | 487,884 | |||
Series 3113 QA | |||||
5.00% 11/15/25 | 850,944 | 852,251 | |||
Series 3145 LN | |||||
4.50% 10/15/34 | 1,570,150 | 1,520,250 | |||
Series 3173 PE | |||||
6.00% 4/15/35 | 2,874,000 | 2,903,461 | |||
Series 3337 PB | |||||
5.50% 7/15/30 | 505,000 | 501,842 | |||
wFreddie Mac Structured Pass | |||||
Through Securities | |||||
Series T-54 2A | |||||
6.50% 2/25/43 | 43,103 | 43,750 | |||
Series T-58 2A | |||||
6.50% 9/25/43 | 24,266 | 24,894 | |||
Total Agency Collateralized | |||||
Mortgage Obligations | |||||
(cost $39,277,776) | 38,987,762 | ||||
Agency Mortgage-Backed Securities – 12.08% | |||||
Fannie Mae | |||||
5.50% 1/1/13 | 311,510 | 311,129 | |||
5.50% 3/1/37 | 760,559 | 737,360 | |||
5.50% 7/1/37 | 2,073,659 | 2,010,408 | |||
6.50% 8/1/17 | 137,147 | 139,752 | |||
ŸFannie Mae ARM | |||||
5.054% 8/1/35 | 384,622 | 378,061 | |||
5.417% 10/1/33 | 271,160 | 274,140 | |||
5.962% 8/1/37 | 1,097,468 | 1,095,193 | |||
Fannie Mae Relocation 15 yr | |||||
4.00% 9/1/20 | 742,533 | 697,678 | |||
Fannie Mae Relocation 30 yr | |||||
5.00% 11/1/33 | 47,624 | 45,930 | |||
5.00% 1/1/34 | 127,357 | 122,802 | |||
5.00% 2/1/34 | 70,179 | 67,683 | |||
5.00% 8/1/34 | 111,084 | 107,038 | |||
5.00% 11/1/34 | 227,075 | 218,803 | |||
5.00% 4/1/35 | 321,724 | 309,694 | |||
5.00% 10/1/35 | 263,060 | 253,223 | |||
5.00% 1/1/36 | 664,211 | 639,373 | |||
Fannie Mae S.F. 15 yr | |||||
4.50% 8/1/18 | 1,135,607 | 1,096,338 | |||
4.50% 6/1/19 | 2,119,628 | 2,046,332 | |||
4.50% 11/1/19 | 3,098,237 | 2,986,050 | |||
4.50% 6/1/20 | 2,936,891 | 2,830,546 | |||
4.50% 7/1/20 | 2,336,895 | 2,252,276 | |||
4.50% 8/1/20 | 2,938,736 | 2,837,115 | |||
Fannie Mae S.F. 15 yr TBA | |||||
4.50% 10/1/22 | 975,000 | 939,047 | |||
5.00% 10/1/22 | 1,745,000 | 1,710,372 | |||
6.00% 10/1/22 | 2,690,000 | 2,725,726 | |||
Fannie Mae S.F. 20 yr | |||||
5.50% 7/1/24 | 997,649 | 986,467 | |||
5.50% 10/1/24 | 323,420 | 319,795 | |||
5.50% 12/1/24 | 999,469 | 988,266 | |||
Fannie Mae S.F. 30 yr | |||||
4.50% 8/1/33 | 525,802 | 488,874 | |||
*4.50% 10/1/33 | 2,215,172 | 2,059,595 | |||
5.00% 10/1/33 | 352,822 | 337,745 | |||
5.00% 2/1/34 | 310,937 | 297,650 | |||
5.00% 5/1/34 | 263,515 | 252,028 | |||
5.50% 3/1/29 | 204,631 | 201,441 | |||
5.50% 4/1/29 | 103,588 | 101,973 | |||
5.50% 12/1/32 | 639,101 | 627,993 | |||
*5.50% 7/1/33 | 1,578,489 | 1,550,526 | |||
5.50% 12/1/33 | 228,516 | 224,468 | |||
*5.50% 4/1/34 | 2,155,255 | 2,117,074 | |||
5.50% 5/1/34 | 1,070,078 | 1,051,121 | |||
5.50% 6/1/34 | 1,218,415 | 1,195,867 | |||
5.50% 7/1/34 | 2,054,358 | 2,016,339 | |||
*5.50% 12/1/34 | 1,804,179 | 1,770,790 | |||
5.50% 2/1/35 | 4,354,202 | 4,277,066 | |||
5.50% 9/1/36 | 2,869,085 | 2,815,989 | |||
*5.50% 7/1/37 | 9,933,358 | 9,729,703 | |||
6.00% 9/1/36 | 1,055,911 | 1,057,669 | |||
*6.00% 7/1/37 | 1,996,053 | 1,999,038 | |||
6.50% 11/1/33 | 42,077 | 43,057 | |||
6.50% 2/1/36 | 998,439 | 1,017,365 | |||
6.50% 3/1/36 | 1,651,654 | 1,681,962 | |||
6.50% 6/1/36 | 2,319,143 | 2,361,699 | |||
6.50% 8/1/36 | 1,376,557 | 1,401,817 | |||
6.50% 11/1/36 | 1,346,342 | 1,371,047 | |||
6.50% 4/1/37 | 1,534,726 | 1,562,730 | |||
7.50% 3/1/32 | 2,405 | 2,510 | |||
7.50% 4/1/32 | 9,411 | 9,823 | |||
7.50% 6/1/32 | 8,097 | 8,451 | |||
Fannie Mae S.F. 30 yr TBA | |||||
5.00% 10/1/37 | 10,050,000 | 9,586,756 | |||
5.50% 10/1/37 | 2,855,000 | 2,848,308 | |||
5.50% 10/25/37 | 3,665,000 | 3,589,409 | |||
6.00% 10/1/37 | 4,485,000 | 4,490,606 |
8
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Agency Mortgage-Backed Securities (continued) | |||||
Freddie Mac | |||||
7.00% 1/1/08 | USD | 5,405 | $ 5,405 | ||
ŸFreddie Mac ARM | |||||
4.942% 12/1/33 | 391,363 | 393,843 | |||
5.69% 7/1/36 | 426,248 | 430,105 | |||
5.833% 4/1/34 | 30,763 | 31,017 | |||
5.871% 5/1/37 | 2,455,403 | 2,477,892 | |||
6.333% 2/1/37 | 1,457,586 | 1,478,101 | |||
Freddie Mac Relocation 30 yr | |||||
5.00% 9/1/33 | 5,952 | 5,755 | |||
Freddie Mac S.F. 15 yr | |||||
5.00% 6/1/18 | 428,543 | 421,507 | |||
Freddie Mac S.F. 20 yr | |||||
5.50% 10/1/23 | 857,045 | 847,891 | |||
5.50% 8/1/24 | 212,803 | 210,360 | |||
6.00% 12/1/25 | 972,186 | 977,977 | |||
Freddie Mac S.F. 30 yr | |||||
5.00% 4/1/35 | 757,221 | 724,817 | |||
6.50% 11/1/33 | 101,525 | 103,857 | |||
6.50% 1/1/35 | 555,753 | 568,985 | |||
6.50% 5/1/37 | 81,752 | 83,218 | |||
Freddie Mac S.F. 30 yr TBA | |||||
6.00% 10/1/37 | 820,000 | 820,897 | |||
*GNMA I S.F. 30 yr | |||||
7.00% 12/15/34 | 911,059 | 956,737 | |||
GNMA II | |||||
6.00% 4/20/34 | 81,213 | 81,575 | |||
GNMA S.F. 30 yr TBA | |||||
5.50% 10/1/37 | 965,000 | 951,581 | |||
6.00% 10/25/37 | 965,000 | 971,182 | |||
Total Agency Mortgage-Backed Securities | |||||
(cost $105,754,324) | 105,817,788 | ||||
Agency Obligations – 3.57% | |||||
Fannie Mae | |||||
4.625% 10/15/13 | 1,500,000 | 1,492,650 | |||
*4.875% 5/18/12 | 2,400,000 | 2,429,786 | |||
*5.00% 9/15/08 | 900,000 | 906,160 | |||
^8.12% 10/29/07 | NZD | 750,000 | 564,841 | ||
Federal Farm Credit Bank | |||||
5.125% 8/25/16 | USD | 485,000 | 492,470 | ||
Federal Home Loan Bank System | |||||
4.50% 10/9/09 | 1,690,000 | 1,694,190 | |||
*4.875% 11/27/13 | 3,200,000 | 3,223,213 | |||
*5.375% 8/19/11 | 1,990,000 | 2,049,095 | |||
^Financing Corporation | |||||
Interest Strip | |||||
CPN 4.782% 4/6/12 | 465,000 | 383,080 | |||
CPN 4.797% 5/2/12 | 85,000 | 70,017 | |||
CPN 4.901% 10/6/12 | 385,000 | 308,052 | |||
CPN 4.948% 10/6/14 | 465,000 | 334,615 | |||
CPN 5.101% 10/6/11 | 113,000 | 94,921 | |||
CPN 5.175% 3/26/12 | 120,000 | 98,855 | |||
CPN 5.213% 10/6/15 | 160,000 | 108,578 | |||
CPN 1 5.162% 5/11/12 | 270,000 | 222,403 | |||
CPN 1 5.283% 5/11/15 | 330,000 | 229,479 | |||
CPN 1 5.407% 11/11/17 | 560,000 | 337,225 | |||
CPN 4 5.213% 10/6/15 | 160,000 | 108,578 | |||
CPN 5 5.065% 8/8/11 | 39,000 | 33,046 | |||
CPN 12 5.10% 12/6/11 | 500,000 | 416,352 | |||
CPN 13 5.161% 12/27/12 | 135,000 | 106,821 | |||
CPN 13 5.208% 6/27/13 | 320,000 | 246,896 | |||
CPN 13 5.366% 12/27/16 | 287,000 | 181,856 | |||
CPN 15 4.903% 9/7/13 | 610,000 | 466,479 | |||
CPN 15 5.304% 3/7/16 | 565,000 | 375,093 | |||
CPN A 5.098% 8/8/15 | 122,000 | 83,571 | |||
CPN A 5.099% 2/8/15 | 122,000 | 85,869 | |||
CPN D 5.109% 9/26/11 | 492,000 | 413,878 | |||
CPN D 5.119% 9/26/10 | 500,000 | 440,231 | |||
Freddie Mac | |||||
4.50% 7/15/13 | 1,500,000 | 1,484,510 | |||
*4.625% 10/25/12 | 4,500,000 | 4,499,955 | |||
*4.75% 1/19/16 | 100,000 | 99,137 | |||
5.40% 2/2/12 | 1,480,000 | 1,496,996 | |||
5.45% 9/2/11 | 1,480,000 | 1,492,846 | |||
5.50% 7/18/16 | 2,285,000 | 2,375,004 | |||
^Residual Funding Principal Strip | |||||
5.175% 10/15/19 | 3,300,000 | 1,810,436 | |||
Total Agency Obligations | |||||
(cost $30,748,272) | 31,257,184 | ||||
Commercial Mortgage-Backed Securities – 7.36% | |||||
Bank of America Commercial | |||||
Mortgage Securities | |||||
ŸSeries 2004-3 A5 | |||||
5.494% 6/10/39 | 625,000 | 627,718 | |||
ŸSeries 2005-5 A4 | |||||
5.115% 10/10/45 | 1,285,000 | 1,256,146 | |||
ŸSeries 2005-6 AM | |||||
5.353% 9/10/47 | 255,000 | 247,744 | |||
ŸSeries 2006-3 A4 | |||||
5.889% 7/10/44 | 350,000 | 358,597 | |||
Series 2006-4 A4 | |||||
5.634% 7/10/46 | 70,000 | 70,445 | |||
Series 2007-1 A2 | |||||
5.381% 1/15/49 | 1,150,000 | 1,151,599 | |||
Series 2007-2 A2 | |||||
5.634% 4/10/49 | 3,710,000 | 3,751,507 | |||
ŸSeries 2007-3 A2 | |||||
5.838% 6/10/49 | 2,150,000 | 2,182,306 | |||
Series 2007-3 H | |||||
5.84% 6/10/49 | 625,000 | 507,422 |
(continues) 9
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Commercial Mortgage-Backed Securities (continued) | |||||
Bear Stearns Commercial | |||||
Mortgage Securities | |||||
#Series 2004-ESA E 144A | |||||
5.064% 5/14/16 | USD | 420,000 | $ 422,643 | ||
Series 2007-PW15 AAB | |||||
5.315% 2/11/44 | 1,775,000 | 1,744,358 | |||
ŸSeries 2007-PW16 A2 | |||||
5.85% 6/11/40 | 2,900,000 | 2,944,601 | |||
ŸSeries 2007-PW16 AAB | |||||
5.902% 6/11/40 | 2,075,000 | 2,094,001 | |||
ŸCitigroup Commercial | |||||
Mortgage Trust | |||||
Series 2007-C6 A4 | |||||
5.889% 12/10/49 | 375,000 | 379,101 | |||
Citigroup/Deutsche Bank | |||||
Commercial Mortgage | |||||
Trust Series 2007-CD4 A2B | |||||
5.205% 12/11/49 | 1,860,000 | 1,851,754 | |||
¨Commercial Mortgage Pass | |||||
Through Certificates | |||||
#Series 2001-J1A A2 144A | |||||
6.457% 2/14/34 | 268,526 | 278,073 | |||
Series 2006-C7 A2 | |||||
5.69% 6/10/46 | 260,000 | 263,956 | |||
Credit Suisse Mortgage | |||||
Capital Certificates | |||||
ŸSeries 2006-C1 AAB | |||||
5.681% 2/15/39 | 140,000 | 140,669 | |||
Series 2006-C5 AAB | |||||
5.308% 12/15/39 | 1,610,000 | 1,586,708 | |||
#Crown Castle Towers 144A | |||||
Series 2005-1A C | |||||
5.074% 6/15/35 | 175,000 | 171,731 | |||
Series 2006-1A B | |||||
5.362% 11/15/36 | 375,000 | 372,176 | |||
CW Capital Cobalt | |||||
Series 2006-C1 AAB | |||||
5.223% 8/15/48 | 925,000 | 906,249 | |||
Series 2007-C2 A3 | |||||
5.484% 4/15/47 | 1,850,000 | 1,828,925 | |||
Series 2007-C2 AAB | |||||
5.416% 4/15/47 | 1,850,000 | 1,825,317 | |||
Deutsche Mortgage & | |||||
Asset Receiving | |||||
Series 1998-C1 D | |||||
7.231% 6/15/31 | 1,807,000 | 1,814,795 | |||
First Union-Lehman Brothers- | |||||
Bank of America | |||||
Series 1998-C2 A2 | |||||
6.56% 11/18/35 | 47,216 | 47,298 | |||
#First Union National Bank | |||||
Commercial Mortgage | |||||
Series 2001-C2 L 144A | |||||
6.46% 1/12/43 | 200,000 | 196,394 | |||
General Electric Capital | |||||
Commercial Mortgage | |||||
Series 2002-1A A3 | |||||
6.269% 12/10/35 | 325,000 | 338,669 | |||
Series 2007-C1 A2 | |||||
5.417% 12/10/49 | 2,830,000 | 2,836,176 | |||
ŸSeries 2007-C1 AJ | |||||
5.677% 12/10/49 | 840,000 | 814,177 | |||
Goldman Sachs | |||||
Mortgage Securities II | |||||
Series 2006-GG8 A2 | |||||
5.479% 11/10/39 | 1,930,000 | 1,946,964 | |||
Series 2006-GG8 A4 | |||||
5.56% 11/10/39 | 1,320,000 | 1,320,988 | |||
#ŸSeries 2006-RR2 A1 144A | |||||
5.811% 6/23/46 | 350,000 | 331,013 | |||
#ŸSeries 2006-RR3 A1S 144A | |||||
5.76% 7/18/56 | 1,015,000 | 943,276 | |||
ŸSeries 2007-GG10 AAB | |||||
5.993% 8/10/45 | 2,890,000 | 2,926,363 | |||
#ŸSeries 2007-GG10 J 144A | |||||
5.993% 8/10/45 | 1,956,000 | 1,504,379 | |||
Greenwich Capital | |||||
Commercial Funding | |||||
ŸSeries 2006-GG7 AAB | |||||
6.111% 7/10/38 | 1,675,000 | 1,715,348 | |||
Series 2007-GG9 A4 | |||||
5.444% 3/10/39 | 1,395,000 | 1,378,536 | |||
JPMorgan Chase Commercial | |||||
Mortgage Securities | |||||
Series 2002-C1 A3 | |||||
5.376% 7/12/37 | 720,000 | 724,610 | |||
Series 2002-C2 A2 | |||||
5.05% 12/12/34 | 665,000 | 659,856 | |||
Series 2003-C1 A2 | |||||
4.985% 1/12/37 | 90,000 | 88,807 | |||
ŸSeries 2005-LDP5 A4 | |||||
5.345% 12/15/44 | 1,005,000 | 993,571 | |||
Series 2006-LDP9 A2 | |||||
5.134% 5/15/47 | 110,000 | 106,840 | |||
#ŸSeries 2006-RR1A A1 144A | |||||
5.608% 10/18/52 | 870,000 | 827,727 | |||
Series 2007-CB18 A4 | |||||
5.44% 6/12/47 | 690,000 | 680,513 | |||
ŸSeries 2007-LD11 A2 | |||||
5.804% 6/15/49 | 2,560,000 | 2,610,004 | |||
ŸSeries 2007-LD11 ASB | |||||
6.007% 6/15/49 | 2,960,000 | 3,001,490 | |||
Lehman Brothers-UBS Commercial | |||||
Mortgage Trust | |||||
Series 2002-C1 A4 | |||||
6.462% 3/15/31 | 245,000 | 257,354 |
10
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Commercial Mortgage-Backed Securities (continued) | |||||
#Merrill Lynch Mortgage Trust 144A | |||||
Series 2005-GGP1 E | |||||
4.33% 11/15/10 | USD | 110,000 | $ 109,716 | ||
Series 2005-GGP1 F | |||||
4.35% 11/15/10 | 105,000 | 104,699 | |||
Merrill Lynch/Countrywide | |||||
Commercial Mortgage Trust | |||||
Series 2007-5 A4 | |||||
5.378% 8/12/48 | 345,000 | 338,938 | |||
ŸSeries 2007-7 ASB | |||||
5.745% 6/12/50 | 975,000 | 981,243 | |||
ŸMorgan Stanley Capital I | |||||
#Series 1999-FNV1 G 144A | |||||
6.12% 3/15/31 | 140,000 | 139,513 | |||
Series 2007-IQ14 A4 | |||||
5.692% 4/15/49 | 325,000 | 325,577 | |||
Series 2007-T27 A4 | |||||
5.803% 6/11/42 | 585,000 | 590,034 | |||
#ŸMorgan Stanley | |||||
Dean Witter Capital I | |||||
Series 2001-TOP1 E 144A | |||||
7.551% 2/15/33 | 100,000 | 103,851 | |||
#NYC Mortgage Loan Trust | |||||
Series 1996 A3 144A | |||||
6.75% 9/25/19 | 74,596 | 75,482 | |||
#ŸSTRIPs III | |||||
Series 2003-1A AFIX 144A | |||||
3.308% 3/24/18 | 30,596 | 29,888 | |||
#Tower 144A | |||||
Series 2004-2A A | |||||
4.232% 12/15/14 | 195,000 | 190,726 | |||
Series 2006-1 B | |||||
5.588% 2/15/36 | 160,000 | 159,146 | |||
Series 2006-1 C | |||||
5.707% 2/15/36 | 250,000 | 247,543 | |||
Wachovia Bank Commercial | |||||
Mortgage Trust | |||||
Series 2006-C28 A2 | |||||
5.50% 10/15/48 | 530,000 | 534,096 | |||
Series 2007-C30 A3 | |||||
5.246% 12/15/43 | 595,000 | 591,868 | |||
Series 2007-C31A A2 | |||||
5.421% 4/15/47 | 1,880,000 | 1,881,813 | |||
ŸSeries 2007-C32 A2 | |||||
5.924% 6/15/49 | 1,960,000 | 1,990,475 | |||
#ŸSeries 2007-C32 J 144A | |||||
5.929% 6/15/49 | 1,370,000 | 1,084,702 | |||
Total Commercial Mortgage-Backed | |||||
Securities (cost $65,074,661) | 64,508,204 | ||||
Convertible Bonds – 0.36% | |||||
*Advanced Micro Devices | |||||
6.00% 5/1/15 | |||||
exercise price $28.08, | |||||
expiration date 5/1/15 | 1,040,000 | 939,899 | |||
Electronic Data Systems | |||||
3.875% 7/15/23 | |||||
exercise price $34.14, | |||||
expiration date 7/15/23 | 775,000 | 780,813 | |||
†Mirant (Escrow) | |||||
2.50% 6/15/21 | |||||
exercise price $67.95, | |||||
expiration date 6/15/21 | 115,000 | 0 | |||
*ŸUS Bancorp 3.838% 9/20/36 | |||||
exercise price $38.28, | |||||
expiration date 9/20/36 | 650,000 | 650,845 | |||
*ŸWyeth | |||||
4.886% 1/15/24 | |||||
exercise price $60.39, | |||||
expiration date 1/15/24 | 715,000 | 757,021 | |||
Total Convertible Bonds | |||||
(cost $3,038,817) | 3,128,578 | ||||
Corporate Bonds – 23.97% | |||||
Banking – 4.43% | |||||
#ABH Financial 144A | |||||
8.20% 6/25/12 | 340,000 | 314,228 | |||
ŸBAC Capital Trust XV | |||||
6.38% 6/1/56 | 820,000 | 749,911 | |||
Ÿ#Banco Macro 144A | |||||
9.75% 12/18/36 | 660,000 | 569,250 | |||
Ÿ#Banco Mercantil 144A | |||||
6.862% 10/13/21 | 1,420,000 | 1,424,510 | |||
Bancolombia | |||||
6.875% 5/25/17 | 375,000 | 359,063 | |||
*Bank of America | |||||
6.50% 9/15/37 | 880,000 | 916,300 | |||
#Bank of Moscow 144A | |||||
7.335% 5/13/13 | 1,654,000 | 1,629,190 | |||
Bank One | |||||
5.90% 11/15/11 | 190,000 | 193,618 | |||
ŸCapital One FSB | |||||
5.803% 3/13/09 | 595,000 | 591,317 | |||
#CenterCredit International 144A | |||||
8.625% 1/30/14 | 270,000 | 247,050 | |||
Citigroup | |||||
5.00% 9/15/14 | 375,000 | 361,991 | |||
5.875% 5/29/37 | 635,000 | 614,194 | |||
Depfa Bank | |||||
20.00% 11/19/07 | TRY | 5,074,000 | 4,198,555 | ||
^Dresdner Bank | |||||
4.66% 1/24/08 | USD | 2,953,000 | 3,030,515 | ||
#Dresdner Funding Trust I 144A | |||||
8.151% 6/30/31 | 760,000 | 826,584 |
(continues) 11
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Banking (continued) | |||||
#HBOS Treasury Services 144A | |||||
5.25% 2/21/17 | USD | 1,000,000 | $ 996,632 | ||
HSBC Holdings | |||||
7.35% 11/27/32 | 900,000 | 975,569 | |||
#HSBK Europe 144A | |||||
7.25% 5/3/17 | 255,000 | 228,225 | |||
#ICICI Bank 144A | |||||
5.75% 1/12/12 | 845,000 | 834,176 | |||
JPMorgan Chase | |||||
5.75% 1/2/13 | 355,000 | 360,412 | |||
JPMorgan Chase Capital XXV | |||||
6.80% 10/1/37 | 1,559,000 | 1,566,360 | |||
#Kazkommerts International 144A | |||||
8.00% 11/3/15 | 260,000 | 231,634 | |||
ŸMarshall & Ilsley Bank | |||||
5.85% 12/4/12 | 195,000 | 195,424 | |||
ŸMUFG Capital Finance 1 | |||||
6.346% 7/29/49 | 1,405,000 | 1,337,750 | |||
#Northern Rock 144A | |||||
5.625% 6/22/17 | 545,000 | 547,825 | |||
Ÿ6.594% 6/29/49 | 615,000 | 431,191 | |||
Ÿ#PNC Preferred Funding Trust I 144A | |||||
6.113% 3/29/49 | 500,000 | 479,614 | |||
Popular North America | |||||
4.25% 4/1/08 | 320,000 | 317,927 | |||
5.20% 12/12/07 | 2,500,000 | 2,497,692 | |||
Ÿ5.76% 4/6/09 | 320,000 | 321,603 | |||
Popular North America | |||||
Capital Trust I | |||||
6.564% 9/15/34 | 225,000 | 192,467 | |||
#Privatbank 144A | |||||
8.00% 2/6/12 | 530,000 | 494,384 | |||
ŸResona Bank | |||||
4.125% 9/29/49 | EUR | 300,000 | 393,164 | ||
#144A 5.85% 9/29/49 | USD | 1,330,000 | 1,252,904 | ||
Ÿ#Royal Bank of Scotland | |||||
Group 144A | |||||
6.99% 4/5/08 | 700,000 | 715,512 | |||
#Russian Agricultural Bank 144A | |||||
6.299% 5/15/17 | 635,000 | 599,377 | |||
#Russian Standard Bank 144A | |||||
8.625% 5/5/11 | 170,000 | 151,776 | |||
Silicon Valley Bank | |||||
5.70% 6/1/12 | 510,000 | 509,430 | |||
Ÿ*SunTrust Preferred Capital I | |||||
5.853% 12/31/49 | 849,000 | 833,825 | |||
#TemirBank 144A | |||||
9.50% 5/21/14 | 915,000 | 798,338 | |||
#TuranAlem Finance 144A | |||||
7.75% 4/25/13 | 313,000 | 279,353 | |||
US Bank | |||||
5.70% 12/15/08 | 300,000 | 301,510 | |||
ŸVTB 24 Capital | |||||
6.54% 12/7/09 | 415,000 | 412,390 | |||
ŸWachovia Capital Trust III | |||||
5.80% 8/29/49 | 2,320,000 | 2,306,212 | |||
WM Covered Bond Program | |||||
3.875% 9/27/11 | EUR | 1,115,000 | 1,539,269 | ||
Ÿ#Woori Bank 144A | |||||
6.208% 5/2/37 | USD | 700,000 | 661,066 | ||
38,789,287 | |||||
Basic Industry – 1.18% | |||||
AK Steel | |||||
7.75% 6/15/12 | 150,000 | 152,625 | |||
#Alto Parana 144A | |||||
6.375% 6/9/17 | 485,000 | 492,081 | |||
Bowater 9.00% 8/1/09 | 75,000 | 70,875 | |||
Celulosa Arauco | |||||
5.125% 7/9/13 | 585,000 | 572,202 | |||
5.625% 4/20/15 | 510,000 | 496,282 | |||
#Evraz Group 144A | |||||
8.25% 11/10/15 | 320,000 | 322,048 | |||
Freeport McMoRan Copper & Gold | |||||
8.25% 4/1/15 | 400,000 | 433,000 | |||
Georgia-Pacific | |||||
7.70% 6/15/15 | 110,000 | 110,000 | |||
9.50% 12/1/11 | 300,000 | 318,000 | |||
*#Ineos Group Holdings 144A | |||||
8.50% 2/15/16 | 115,000 | 110,688 | |||
Ispat Inland | |||||
9.75% 4/1/14 | 80,000 | 87,186 | |||
Lubrizol 4.625% 10/1/09 | 515,000 | 511,033 | |||
Lyondell Chemical | |||||
8.00% 9/15/14 | 215,000 | 237,575 | |||
8.25% 9/15/16 | 75,000 | 84,938 | |||
#MacDermid 144A | |||||
9.50% 4/15/17 | 310,000 | 300,700 | |||
Massey Energy | |||||
6.625% 11/15/10 | 75,000 | 73,688 | |||
Norske Skog Canada | |||||
8.625% 6/15/11 | 660,000 | 518,100 | |||
#Norske Skogindustrier 144A | |||||
7.125% 10/15/33 | 345,000 | 297,672 | |||
‡Port Townsend | |||||
0.00% 8/15/12 | 141,600 | 141,600 | |||
Potlatch | |||||
13.00% 12/1/09 | 350,000 | 396,301 | |||
*Rohm & Haas | |||||
5.60% 3/15/13 | 621,000 | 619,869 | |||
#Sappi Papier Holding 144A | |||||
6.75% 6/15/12 | 380,000 | 373,346 | |||
Southern Copper | |||||
7.50% 7/27/35 | 100,000 | 109,071 | |||
#Steel Dynamics 144A | |||||
6.75% 4/1/15 | 125,000 | 121,250 |
12
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Basic Industry (continued) | |||||
#Stora Enso 144A | |||||
7.25% 4/15/36 | USD | 435,000 | $ 439,557 | ||
Tube City IMS | |||||
9.75% 2/1/15 | 135,000 | 132,638 | |||
United States Steel | |||||
6.05% 6/1/17 | 495,000 | 474,524 | |||
Vale Overseas | |||||
6.875% 11/21/36 | 1,806,000 | 1,869,691 | |||
Verso Paper Holdings | |||||
9.125% 8/1/14 | 100,000 | 103,500 | |||
Witco 6.875% 2/1/26 | 110,000 | 90,475 | |||
Ÿ#Xstrata Finance 144A | |||||
5.85% 11/13/09 | 280,000 | 278,606 | |||
10,339,121 | |||||
Brokerage – 0.51% | |||||
AMVESCAP | |||||
4.50% 12/15/09 | 365,000 | 363,257 | |||
5.625% 4/17/12 | 535,000 | 539,022 | |||
Bear Stearns | |||||
Ÿ5.63% 7/16/09 | 500,000 | 495,980 | |||
*5.85% 7/19/10 | 520,000 | 523,720 | |||
E Trade Financial | |||||
8.00% 6/15/11 | 155,000 | 155,000 | |||
Jefferies Group | |||||
6.45% 6/8/27 | 565,000 | 532,282 | |||
LaBranche | |||||
9.50% 5/15/09 | 200,000 | 199,000 | |||
11.00% 5/15/12 | 215,000 | 216,613 | |||
Lazard Group | |||||
6.85% 6/15/17 | 160,000 | 157,704 | |||
ŸLehman Brothers UK | |||||
Capital Funding II | |||||
3.875% 2/28/49 | EUR | 250,000 | 330,983 | ||
Merrill Lynch | |||||
6.05% 8/15/12 | USD | 680,000 | 697,946 | ||
Ukrsotsbank | |||||
8.00% 2/22/10 | 255,000 | 253,091 | |||
4,464,598 | |||||
Capital Goods – 0.82% | |||||
Allied Waste North America | |||||
7.375% 4/15/14 | 140,000 | 141,400 | |||
7.875% 4/15/13 | 190,000 | 197,125 | |||
Caterpillar | |||||
6.05% 8/15/36 | 125,000 | 125,585 | |||
CPG International I | |||||
10.50% 7/1/13 | 225,000 | 226,125 | |||
Geo Subordinate | |||||
11.00% 5/15/12 | 250,000 | 248,750 | |||
*Graham Packaging | |||||
9.875% 10/15/14 | 175,000 | 174,125 | |||
Graphic Packaging International | |||||
8.50% 8/15/11 | 150,000 | 153,375 | |||
*Greenbrier | |||||
8.375% 5/15/15 | 50,000 | 50,125 | |||
*#Hawker Beechcraft Acquisition 144A | |||||
9.75% 4/1/17 | 220,000 | 225,500 | |||
Hexion US Finance | |||||
9.75% 11/15/14 | 230,000 | 254,150 | |||
Interface | |||||
10.375% 2/1/10 | 350,000 | 371,000 | |||
Intertape Polymer | |||||
8.50% 8/1/14 | 200,000 | 187,000 | |||
ŸMasco 6.004% 3/12/10 | 240,000 | 236,970 | |||
#Mueller Water Products 144A | |||||
7.375% 6/1/17 | 25,000 | 23,375 | |||
ŸNXP BV/NXP Funding | |||||
8.11% 10/15/13 | 100,000 | 93,250 | |||
Pactiv | |||||
5.875% 7/15/12 | 370,000 | 375,014 | |||
6.40% 1/15/18 | 125,000 | 127,410 | |||
#Penhall International 144A | |||||
12.00% 8/1/14 | 200,000 | 203,000 | |||
*Rental Services | |||||
9.50% 12/1/14 | 500,000 | 480,000 | |||
#Siemens Finance 144A | |||||
6.125% 8/17/26 | 255,000 | 256,741 | |||
#Tyco Electronics Group 144A | |||||
7.125% 10/1/37 | 1,914,000 | 1,989,888 | |||
Vitro 9.125% 2/1/17 | 1,090,000 | 1,076,375 | |||
7,216,283 | |||||
Communications – 2.85% | |||||
America Movil | |||||
6.375% 3/1/35 | 185,000 | 182,552 | |||
American Tower | |||||
7.125% 10/15/12 | 300,000 | 308,250 | |||
#144A 7.00% 10/15/17 | 75,000 | 75,844 | |||
AT&T 8.00% 11/15/31 | 124,000 | 151,318 | |||
AT&T Wireless | |||||
8.125% 5/1/12 | 1,295,000 | 1,437,352 | |||
BellSouth 4.20% 9/15/09 | 190,000 | 187,187 | |||
#Broadview Networks Holdings 144A | |||||
11.375% 9/1/12 | 100,000 | 104,250 | |||
#C&M Finance 144A | |||||
8.10% 2/1/16 | 260,000 | 258,700 | |||
*CCH I Holdings | |||||
13.50% 1/15/14 | 735,000 | 723,975 | |||
ŸCentennial Communications | |||||
11.11% 1/1/13 | 270,000 | 279,450 | |||
Charter Communications Holdings | |||||
13.50% 1/15/11 | 650,000 | 654,063 | |||
Citizens Communications | |||||
7.125% 3/15/19 | 200,000 | 198,000 |
(continues) 13
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Communications (continued) | |||||
Comcast | |||||
Ÿ5.66% 7/14/09 | USD | 400,000 | $ 398,187 | ||
6.30% 11/15/17 | 870,000 | 885,942 | |||
Comcast Cable Holdings | |||||
9.875% 6/15/22 | 290,000 | 380,898 | |||
10.125% 4/15/22 | 329,000 | 439,858 | |||
Cox Communications | |||||
4.625% 1/15/10 | 185,000 | 182,908 | |||
Cricket Communications | |||||
9.375% 11/1/14 | 200,000 | 204,000 | |||
Dex Media West | |||||
9.875% 8/15/13 | 300,000 | 320,625 | |||
#Digicel 144A | |||||
9.25% 9/1/12 | 280,000 | 289,100 | |||
*#Digicel Group 144A | |||||
8.875% 1/15/15 | 645,000 | 607,913 | |||
*Embarq 7.082% 6/1/16 | 915,000 | 950,103 | |||
#Grupo Televisa 144A | |||||
8.49% 5/11/37 | MXN | 10,800,000 | 969,911 | ||
Ÿ#Hellas Telecommunications | |||||
Luxembourg II 144A | |||||
11.11% 1/15/15 | USD | 190,000 | 184,775 | ||
Hughes Network | |||||
Systems/Finance | |||||
9.50% 4/15/14 | 290,000 | 293,625 | |||
Idearc 8.00% 11/15/16 | 375,000 | 375,938 | |||
Insight Midwest | |||||
9.75% 10/1/09 | 75,000 | 75,281 | |||
Intelsat 7.625% 4/15/12 | 150,000 | 129,000 | |||
#LBI Media 144A | |||||
8.50% 8/1/17 | 150,000 | 150,000 | |||
Mediacom Capital | |||||
9.50% 1/15/13 | 435,000 | 442,613 | |||
#MetroPCS Wireless 144A | |||||
9.25% 11/1/14 | 495,000 | 507,375 | |||
Nextel Communications | |||||
7.375% 8/1/15 | 497,000 | 505,521 | |||
NTL Cable | |||||
9.125% 8/15/16 | 250,000 | 260,625 | |||
#Orascom Telecommunication | |||||
Finance 144A | |||||
7.875% 2/8/14 | 590,000 | 561,238 | |||
#Pakistan Mobile | |||||
Communications 144A | |||||
8.625% 11/13/13 | 745,000 | 717,063 | |||
#Quebecor Media 144A | |||||
7.75% 3/15/16 | 200,000 | 191,750 | |||
Qwest | |||||
7.50% 10/1/14 | 558,000 | 583,110 | |||
7.625% 6/15/15 | 937,000 | 986,192 | |||
Ÿ8.944% 6/15/13 | 200,000 | 214,500 | |||
RH Donnelley | |||||
8.875% 1/15/16 | 155,000 | 158,681 | |||
Rural Cellular | |||||
9.875% 2/1/10 | 375,000 | 393,750 | |||
Ÿ11.106% 11/1/12 | 75,000 | 76,875 | |||
#SK Telecom 144A | |||||
6.625% 7/20/27 | 400,000 | 406,681 | |||
Sprint Capital | |||||
7.625% 1/30/11 | 380,000 | 403,220 | |||
ŸSprint Nextel | |||||
5.598% 6/28/10 | 350,000 | 350,088 | |||
TCI Communications | |||||
8.75% 8/1/15 | 432,000 | 501,523 | |||
Telecom Italia Capital | |||||
4.00% 1/15/10 | 755,000 | 735,476 | |||
Ÿ5.97% 7/18/11 | 320,000 | 318,340 | |||
Telefonica Emisiones | |||||
5.984% 6/20/11 | 325,000 | 330,929 | |||
TELUS 4.95% 3/15/17 | CAD | 400,000 | 373,616 | ||
THOMSON | |||||
5.70% 10/1/14 | USD | 820,000 | 814,218 | ||
#Time Warner Cable 144A | |||||
5.40% 7/2/12 | 1,170,000 | 1,156,805 | |||
Time Warner Telecom Holdings | |||||
9.25% 2/15/14 | 165,000 | 172,013 | |||
Triton PCS | |||||
8.50% 6/1/13 | 590,000 | 620,238 | |||
#True Move 144A | |||||
10.75% 12/16/13 | 585,000 | 593,541 | |||
*#Univision Communications | |||||
PIK 144A | |||||
9.75% 3/15/15 | 215,000 | 210,700 | |||
Vimpel Communication | |||||
8.25% 5/23/16 | 157,000 | 161,514 | |||
#Vimpel Communication 144A | |||||
8.00% 2/11/10 | 415,000 | 427,492 | |||
8.25% 5/23/16 | 176,000 | 181,350 | |||
Windstream | |||||
8.125% 8/1/13 | 190,000 | 200,925 | |||
24,956,967 | |||||
Consumer Cyclical – 2.44% | |||||
Carrols 9.00% 1/15/13 | 405,000 | 386,775 | |||
Corrections Corp. of America | |||||
7.50% 5/1/11 | 123,000 | 124,538 | |||
CVS Caremark | |||||
3.875% 11/1/07 | 240,000 | 239,630 | |||
4.875% 9/15/14 | 240,000 | 228,476 | |||
5.75% 6/1/17 | 550,000 | 537,808 | |||
6.25% 6/1/27 | 664,000 | 645,284 | |||
Ÿ6.302% 6/1/37 | 1,897,000 | 1,845,465 | |||
ŸDaimlerChrysler Holding | |||||
5.81% 8/3/09 | 710,000 | 704,428 | |||
Ford Motor | |||||
*7.45% 7/16/31 | 365,000 | 288,350 | |||
7.70% 5/15/97 | 220,000 | 159,500 |
14
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Consumer Cyclical (continued) | |||||
Ford Motor Credit | |||||
5.75% 1/12/09 | EUR | 520,000 | $ 725,390 | ||
7.375% 10/28/09 | USD | 355,000 | 348,261 | ||
8.00% 12/15/16 | 255,000 | 238,930 | |||
Ÿ8.11% 1/13/12 | 125,000 | 118,219 | |||
9.75% 9/15/10 | 395,000 | 403,228 | |||
#Galaxy Entertainment Finance 144A | |||||
9.875% 12/15/12 | 544,000 | 563,040 | |||
Gaylord Entertainment | |||||
8.00% 11/15/13 | 375,000 | 382,031 | |||
*General Motors | |||||
6.375% 5/1/08 | 350,000 | 347,375 | |||
8.375% 7/15/33 | 825,000 | 727,031 | |||
Global Cash Access | |||||
8.75% 3/15/12 | 130,000 | 135,200 | |||
GMAC | |||||
4.375% 12/10/07 | 450,000 | 447,831 | |||
4.75% 9/14/09 | EUR | 517,000 | 697,655 | ||
5.375% 6/6/11 | EUR | 365,000 | 478,097 | ||
Ÿ6.808% 5/15/09 | USD | 1,580,000 | 1,522,318 | ||
6.875% 9/15/11 | 485,000 | 461,946 | |||
6.875% 8/28/12 | 275,000 | 258,207 | |||
*Harrah’s Operating | |||||
6.50% 6/1/16 | 450,000 | 367,321 | |||
*Kohl’s 6.25% 12/15/17 | 445,000 | 445,366 | |||
Lear 8.75% 12/1/16 | 560,000 | 529,200 | |||
Majestic Star Casino | |||||
9.50% 10/15/10 | 410,000 | 395,650 | |||
Mandalay Resort Group | |||||
9.375% 2/15/10 | 100,000 | 105,250 | |||
9.50% 8/1/08 | 250,000 | 256,875 | |||
Neiman Marcus Group PIK | |||||
9.00% 10/15/15 | 300,000 | 321,000 | |||
NPC International | |||||
9.50% 5/1/14 | 320,000 | 292,800 | |||
Penney (J.C.) | |||||
6.375% 10/15/36 | 155,000 | 145,491 | |||
7.375% 8/15/08 | 200,000 | 202,923 | |||
#Pokagon Gaming Authority 144A | |||||
10.375% 6/15/14 | 460,000 | 507,150 | |||
Starwood Hotels & | |||||
Resorts Worldwide | |||||
6.25% 2/15/13 | 495,000 | 497,367 | |||
Station Casinos | |||||
6.625% 3/15/18 | 315,000 | 265,388 | |||
Time Warner | |||||
7.625% 4/15/31 | 295,000 | 321,780 | |||
Toyota Motor Credit | |||||
1.30% 3/16/12 | JPY | 20,000,000 | 174,236 | ||
#TRW Automotive 144A | |||||
7.00% 3/15/14 | USD | 20,000 | 19,500 | ||
Viacom | |||||
5.75% 4/30/11 | 880,000 | 889,224 | |||
Ÿ6.044% 6/16/09 | 260,000 | 259,125 | |||
Wal-Mart Stores | |||||
6.50% 8/15/37 | 1,060,000 | 1,103,686 | |||
Wheeling Island Gaming | |||||
10.125% 12/15/09 | 1,230,000 | 1,239,226 | |||
21,353,571 | |||||
Consumer Non-Cyclical – 1.18% | |||||
#AmBev International | |||||
Finance 144A | |||||
9.50% 7/24/17 | BRL | 1,448,000 | 732,689 | ||
American Achievement | |||||
8.25% 4/1/12 | USD | 50,000 | 50,000 | ||
AmerisourceBergen | |||||
5.875% 9/15/15 | 430,000 | 422,702 | |||
#Amgen 144A | |||||
5.85% 6/1/17 | 350,000 | 347,296 | |||
6.375% 6/1/37 | 925,000 | 916,379 | |||
Aramark 8.50% 2/1/15 | 205,000 | 210,125 | |||
#Cerveceria Nacional | |||||
Dominicana 144A | |||||
8.00% 3/27/14 | 245,000 | 249,288 | |||
#Community Health Systems 144A | |||||
8.875% 7/15/15 | 385,000 | 397,513 | |||
*Constellation Brands | |||||
8.125% 1/15/12 | 200,000 | 204,500 | |||
Cott Beverages | |||||
8.00% 12/15/11 | 200,000 | 198,000 | |||
CRC Health | |||||
10.75% 2/1/16 | 540,000 | 569,700 | |||
#HCA 144A | |||||
9.125% 11/15/14 | 155,000 | 163,913 | |||
#HCA PIK 144A | |||||
9.625% 11/15/16 | 350,000 | 374,500 | |||
*HealthSouth | |||||
10.75% 6/15/16 | 525,000 | 555,188 | |||
Kraft Foods | |||||
4.125% 11/12/09 | 10,000 | 9,832 | |||
#Miller Brewing 144A | |||||
4.25% 8/15/08 | 280,000 | 277,289 | |||
National Beef Packing | |||||
10.50% 8/1/11 | 185,000 | 188,700 | |||
Omnicare | |||||
6.875% 12/15/15 | 100,000 | 93,000 | |||
Pilgrim’s Pride | |||||
8.375% 5/1/17 | 700,000 | 717,500 | |||
Procter & Gamble | |||||
2.00% 6/21/10 | JPY | 58,000,000 | 515,451 | ||
Quest Diagnostic | |||||
6.95% 7/1/37 | USD | 461,000 | 476,004 | ||
Safeway 6.35% 8/15/17 | 340,000 | 346,077 |
(continues) 15
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Consumer Non-Cyclical (continued) | |||||
#Seminole Indian Tribe | |||||
of Florida 144A | |||||
7.804% 10/1/20 | USD | 125,000 | $ 131,570 | ||
*Smithfield Foods | |||||
7.75% 7/1/17 | 50,000 | 51,500 | |||
#Universal Hospital PIK | |||||
144A 8.50% 6/1/15 | 200,000 | 199,000 | |||
US Oncology | |||||
9.00% 8/15/12 | 190,000 | 192,375 | |||
UST 6.625% 7/15/12 | 320,000 | 333,903 | |||
Williams Scotsman | |||||
8.50% 10/1/15 | 50,000 | 55,250 | |||
*#Wimar Opco 144A | |||||
9.625% 12/15/14 | 58,000 | 45,240 | |||
Wyeth 5.50% 2/1/14 | 1,355,000 | 1,349,197 | |||
10,373,681 | |||||
Electric – 2.83% | |||||
AES | |||||
7.75% 3/1/14 | 110,000 | 112,200 | |||
#144A 8.75% 5/15/13 | 85,000 | 89,356 | |||
Appalachian Power | |||||
5.65% 8/15/12 | 165,000 | 166,298 | |||
Arizona Public Service | |||||
5.50% 9/1/35 | 1,035,000 | 894,940 | |||
6.50% 3/1/12 | 592,000 | 613,889 | |||
Avista 9.75% 6/1/08 | 140,000 | 144,670 | |||
*Baltimore Gas & Electric | |||||
6.35% 10/1/36 | 600,000 | 595,048 | |||
‡#Calpine 144A | |||||
8.496% 7/15/09 | 146,625 | 154,689 | |||
Commonwealth Edison | |||||
6.15% 3/15/12 | 810,000 | 832,367 | |||
6.15% 9/15/17 | 295,000 | 297,301 | |||
6.95% 7/15/18 | 106,000 | 109,578 | |||
Consolidated Edison | |||||
6.30% 8/15/37 | 380,000 | 382,366 | |||
Dominion Resources | |||||
5.687% 5/15/08 | 505,000 | 505,298 | |||
·6.30% 9/30/66 | 810,000 | 803,204 | |||
·7.50% 6/30/66 | 1,460,000 | 1,487,432 | |||
Duquesne Light Holdings | |||||
5.50% 8/15/15 | 825,000 | 779,399 | |||
Elwood Energy | |||||
8.159% 7/5/26 | 286,698 | 291,428 | |||
#Enel Finance International 144A | |||||
6.80% 9/15/37 | 925,000 | 944,944 | |||
Energy East | |||||
6.75% 7/15/36 | 1,035,000 | 1,059,755 | |||
Entergy Gulf States | |||||
5.12% 8/1/10 | 865,000 | 858,407 | |||
Entergy Mississippi | |||||
5.92% 2/1/16 | 310,000 | 303,495 | |||
#FPL Energy National Wind | |||||
144A 5.608% 3/10/24 | 429,163 | 423,645 | |||
FPL Group Capital | |||||
5.625% 9/1/11 | 190,000 | 192,600 | |||
·6.65% 6/17/67 | 1,260,000 | 1,215,945 | |||
·7.30% 9/1/67 | 345,000 | 355,907 | |||
ISA Capital do Brasil | |||||
7.875% 1/30/12 | 145,000 | 148,625 | |||
#ISA Capital do Brasil 144A | |||||
7.875% 1/30/12 | 690,000 | 702,075 | |||
8.80% 1/30/17 | 395,000 | 414,750 | |||
#Majapahit Holding 144A | |||||
7.75% 10/17/16 | 415,000 | 422,263 | |||
Midamerican Energy Holdings | |||||
5.95% 5/15/37 | 830,000 | 786,596 | |||
Midamerican Funding | |||||
6.75% 3/1/11 | 10,000 | 10,600 | |||
Midwest Generation | |||||
8.30% 7/2/09 | 130,653 | 132,939 | |||
Mirant Americas Generation | |||||
8.30% 5/1/11 | 375,000 | 380,625 | |||
Mirant North America | |||||
7.375% 12/31/13 | 400,000 | 408,000 | |||
Nevada Power | |||||
6.75% 7/1/37 | 980,000 | 990,037 | |||
NRG Energy | |||||
7.375% 2/1/16 | 355,000 | 356,775 | |||
Orion Power Holdings | |||||
12.00% 5/1/10 | 300,000 | 330,000 | |||
#Pedernales Electric | |||||
Cooperative 144A | |||||
6.202% 11/15/32 | 620,000 | 624,980 | |||
Pepco Holdings | |||||
6.125% 6/1/17 | 175,000 | 175,881 | |||
·6.246% 6/1/10 | 335,000 | 335,849 | |||
#Power Contract Financing 144A | |||||
6.256% 2/1/10 | 144,081 | 146,315 | |||
·PPL Capital Funding | |||||
6.70% 3/30/67 | 1,555,000 | 1,496,612 | |||
Public Service | |||||
6.25% 9/1/37 | 190,000 | 193,542 | |||
Puget Sound Energy | |||||
7.69% 2/1/11 | 250,000 | 267,674 | |||
#Rede Empresas de Energia | |||||
Electrica 144A | |||||
11.125% 4/2/49 | 695,000 | 700,213 | |||
TECO Energy | |||||
7.20% 5/1/11 | 10,000 | 10,483 | |||
#TXU Australia 144A | |||||
6.15% 11/15/13 | 375,000 | 382,537 | |||
Westar Energy | |||||
5.95% 1/1/35 | 472,000 | 432,662 | |||
Wisconsin Power & Light | |||||
6.375% 8/15/37 | 190,000 | 194,139 | |||
·WPS Resources | |||||
6.11% 12/1/66 | 1,225,000 | 1,139,981 | |||
24,798,314 |
16
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Energy – 1.42% | |||||
AmeriGas Partners | |||||
7.125% 5/20/16 | USD | 95,000 | $ 92,863 | ||
Anadarko Petroleum | |||||
5.95% 9/15/16 | 140,000 | 138,895 | |||
Apache 5.25% 4/15/13 | 245,000 | 243,923 | |||
Canadian Natural Resources | |||||
6.50% 2/15/37 | 630,000 | 630,512 | |||
#Canadian Oil Sands 144A | |||||
4.80% 8/10/09 | 155,000 | 154,084 | |||
Chesapeake Energy | |||||
6.375% 6/15/15 | 50,000 | 49,313 | |||
6.625% 1/15/16 | 160,000 | 160,000 | |||
Compton Petroleum Finance | |||||
7.625% 12/1/13 | 545,000 | 528,650 | |||
*Devon Energy | |||||
7.95% 4/15/32 | 80,000 | 95,636 | |||
EnCana | |||||
6.625% 8/15/37 | 155,000 | 159,540 | |||
#Energy Partners 144A | |||||
9.75% 4/15/14 | 140,000 | 135,100 | |||
Enterprise Products Operating | |||||
5.60% 10/15/14 | 445,000 | 436,520 | |||
Ferrellgas Finance Escrow | |||||
6.75% 5/1/14 | 40,000 | 39,200 | |||
Geophysique-Veritas | |||||
7.50% 5/15/15 | 35,000 | 36,225 | |||
7.75% 5/15/17 | 160,000 | 165,600 | |||
#Hilcorp Energy I 144A | |||||
7.75% 11/1/15 | 370,000 | 363,525 | |||
9.00% 6/1/16 | 250,000 | 256,250 | |||
#Lukoil International Finance 144A | |||||
6.356% 6/7/17 | 480,000 | 462,000 | |||
6.656% 6/7/22 | 345,000 | 327,267 | |||
Mariner Energy | |||||
8.00% 5/15/17 | 200,000 | 196,500 | |||
Nexen 6.40% 5/15/37 | 312,000 | 304,175 | |||
#OPTI Canada 144A | |||||
7.875% 12/15/14 | 105,000 | 105,525 | |||
8.25% 12/15/14 | 45,000 | 45,563 | |||
PetroHawk Energy | |||||
9.125% 7/15/13 | 270,000 | 286,200 | |||
Plains Exploration & Production | |||||
7.00% 3/15/17 | 170,000 | 159,800 | |||
Seitel 9.75% 2/15/14 | 270,000 | 256,500 | |||
#Stallion Oilfield Services 144A | |||||
9.75% 2/1/15 | 150,000 | 146,063 | |||
Suncor Energy | |||||
6.50% 6/15/38 | 835,000 | 857,113 | |||
#TNK-BP Finance 144A | |||||
6.625% 3/20/17 | 940,000 | 877,772 | |||
·TransCanada Pipelines | |||||
6.35% 5/15/67 | 1,380,000 | 1,326,781 | |||
Whiting Petroleum | |||||
7.25% 5/1/13 | 230,000 | 225,400 | |||
Williams 7.50% 1/15/31 | 290,000 | 302,325 | |||
·Wisconsin Energy | |||||
6.25% 5/15/67 | 1,625,000 | 1,534,719 | |||
XTO Energy | |||||
6.25% 8/1/17 | 255,000 | 259,361 | |||
6.75% 8/1/37 | 1,030,000 | 1,078,261 | |||
12,437,161 | |||||
Finance Companies – 2.68% | |||||
*#Algoma Acqusition 144A | |||||
9.875% 6/15/15 | 100,000 | 89,500 | |||
·American Express | |||||
6.80% 9/1/66 | 725,000 | 744,211 | |||
American General Finance | |||||
4.875% 7/15/12 | 375,000 | 362,727 | |||
5.625% 8/17/11 | 900,000 | 900,314 | |||
#Capmark Financial Group 144A | |||||
5.875% 5/10/12 | 830,000 | 756,640 | |||
6.30% 5/10/17 | 995,000 | 867,438 | |||
FTI Consulting | |||||
7.625% 6/15/13 | 375,000 | 386,250 | |||
General Electric Capital | |||||
5.00% 4/10/12 | 1,087,000 | 1,077,765 | |||
·5.02% 2/2/11 | NOK | 3,500,000 | 641,449 | ||
5.125% 1/28/14 | SEK | 3,500,000 | 538,611 | ||
5.625% 9/15/17 | USD | 530,000 | 530,855 | ||
General Electric Capital | |||||
UK Funding | |||||
4.625% 1/18/16 | GBP | 246,000 | 455,914 | ||
¨·#Glen Meadow Pass | |||||
Through Trust 144A | |||||
6.505% 2/12/67 | USD | 940,000 | 903,528 | ||
Goldman Sachs | |||||
6.75% 10/1/37 | 2,195,000 | 2,216,204 | |||
·Goldman Sachs Capital II | |||||
5.793% 12/29/49 | 5,465,000 | 5,176,415 | |||
·HSBC Financial | |||||
4.889% 4/24/10 | CAD | 303,000 | 304,002 | ||
·#ILFC E-Capital Trust II 144A | |||||
6.25% 12/21/65 | USD | 270,000 | 260,668 | ||
International Lease Finance | |||||
5.75% 6/15/11 | 435,000 | 439,352 | |||
5.875% 5/1/13 | 280,000 | 281,437 | |||
Leucadia National | |||||
8.125% 9/15/15 | 215,000 | 217,419 | |||
¨·#Mangrove Bay Pass | |||||
Through Trust 144A | |||||
6.102% 7/15/33 | 835,000 | 777,050 |
(continues) 17
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Finance Companies (continued) | |||||
Residential Capital | |||||
·6.224% 6/9/08 | USD | 100,000 | $ 92,125 | ||
7.125% 11/21/08 | 680,000 | 608,756 | |||
7.375% 5/17/13 | GBP | 280,000 | 446,835 | ||
·7.80% 11/21/08 | USD | 230,000 | 206,713 | ||
SLM 5.375% 1/15/13 | 1,653,000 | 1,498,248 | |||
·#SMFG Preferred Capital I 144A | |||||
6.078% 12/29/49 | 1,670,000 | 1,552,582 | |||
Washington Mutual | |||||
5.25% 9/15/17 | 355,000 | 326,383 | |||
5.50% 8/24/11 | 365,000 | 360,657 | |||
·#Washington Mutual Preferred | |||||
Funding II 144A | |||||
6.895% 12/31/49 | 500,000 | 469,324 | |||
23,489,372 | |||||
Industrials – 0.03% | |||||
#Mobile Services Group 144A | |||||
9.75% 8/1/14 | 225,000 | 226,125 | |||
226,125 | |||||
Insurance – 1.89% | |||||
21st Century Insurance | |||||
5.90% 12/15/13 | 275,000 | 279,211 | |||
·Allstate 6.50% 5/15/57 | 950,000 | 918,117 | |||
·#AXA 144A | |||||
6.379% 12/14/49 | 895,000 | 809,471 | |||
Berkshire Hathaway Finance | |||||
4.85% 1/15/15 | 415,000 | 398,961 | |||
·Everest Reinsurance Holdings | |||||
6.60% 5/15/37 | 860,000 | 799,032 | |||
#Farmers Insurance Exchange | |||||
144A 8.625% 5/1/24 | 615,000 | 706,598 | |||
FBL Financial Group | |||||
5.875% 3/15/17 | 720,000 | 688,168 | |||
#HUB International Holdings 144A | |||||
10.25% 6/15/15 | 125,000 | 116,875 | |||
#Max USA Holdings 144A | |||||
7.20% 4/14/17 | 300,000 | 292,251 | |||
#Metropolitan Life Global | |||||
Funding I 144A | |||||
4.25% 7/30/09 | 450,000 | 445,230 | |||
Montpelier Re Holdings | |||||
6.125% 8/15/13 | 155,000 | 153,991 | |||
#Nippon Life Insurance 144A | |||||
4.875% 8/9/10 | 345,000 | 342,114 | |||
#NLV Financial 144A | |||||
6.50% 3/15/35 | 385,000 | 356,820 | |||
·#Oil Insurance 144A | |||||
7.558% 12/29/49 | 2,295,000 | 2,345,957 | |||
·PartnerRe Finance II | |||||
6.44% 12/1/66 | 1,148,000 | 1,064,383 | |||
*#Sul America Participacoes 144A | |||||
8.625% 2/15/12 | 225,000 | 231,750 | |||
Transatlantic Holdings | |||||
5.75% 12/14/15 | 1,154,000 | 1,158,750 | |||
·Travelers | |||||
6.25% 3/15/37 | 340,000 | 329,307 | |||
¨·#Twin Reefs Pass Through | |||||
Trust 144A | |||||
6.82% 12/31/49 | 400,000 | 317,496 | |||
Unitrin 6.00% 5/15/17 | 555,000 | 540,634 | |||
#USI Holdings 144A | |||||
9.75% 5/15/15 | 200,000 | 180,500 | |||
WellPoint | |||||
4.25% 12/15/09 | 210,000 | 206,967 | |||
5.00% 12/15/14 | 518,000 | 493,846 | |||
5.875% 6/15/17 | 95,000 | 94,504 | |||
6.375% 6/15/37 | 540,000 | 537,075 | |||
·#White Mountains Re Group 144A | |||||
7.506% 5/29/49 | 405,000 | 383,719 | |||
·XL Capital | |||||
6.50% 12/31/49 | 1,492,000 | 1,395,976 | |||
·#ZFS Finance USA Trust I 144A | |||||
6.50% 5/9/37 | 1,000,000 | 968,495 | |||
16,556,198 | |||||
Natural Gas – 0.51% | |||||
#Dynergy Holdings 144A | |||||
7.75% 6/1/19 | 405,000 | 389,306 | |||
El Paso | |||||
6.875% 6/15/14 | 165,000 | 167,350 | |||
7.00% 6/15/17 | 150,000 | 153,058 | |||
#El Paso Performance-Linked | |||||
Trust 144A | |||||
7.75% 7/15/11 | 175,000 | 180,651 | |||
Enterprise Products Operating | |||||
4.00% 10/15/07 | 125,000 | 124,937 | |||
4.625% 10/15/09 | 410,000 | 406,759 | |||
7.50% 2/1/11 | 87,000 | 92,466 | |||
·8.375% 8/1/66 | 375,000 | 386,006 | |||
Inergy Finance | |||||
6.875% 12/15/14 | 90,000 | 87,300 | |||
8.25% 3/1/16 | 75,000 | 77,813 | |||
Kinder Morgan Energy Partners | |||||
5.125% 11/15/14 | 295,000 | 280,981 | |||
Kinder Morgan Finance | |||||
5.35% 1/5/11 | 25,000 | 24,457 | |||
ONEOK 5.51% 2/16/08 | 345,000 | 344,835 | |||
#Regency Energy Partners 144A | |||||
8.375% 12/15/13 | 194,000 | 204,185 | |||
Valero Energy | |||||
6.625% 6/15/37 | 1,145,000 | 1,165,839 | |||
Valero Logistics Operations | |||||
6.05% 3/15/13 | 350,000 | 351,787 | |||
4,437,730 | |||||
Real Estate – 0.43% | |||||
BF Saul REIT | |||||
7.50% 3/1/14 | 565,000 | 528,275 | |||
#China Properties Group 144A | |||||
9.125% 5/4/14 | 335,000 | 302,338 |
18
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Corporate Bonds (continued) | |||||
Real Estate (continued) | |||||
#Greentown China Holdings | |||||
144A 9.00% 11/8/13 | USD | 545,000 | $ 538,187 | ||
Host Marriott | |||||
7.125% 11/1/13 | 185,000 | 187,313 | |||
HRPT Properties Trust | |||||
6.25% 6/15/17 | 355,000 | 342,009 | |||
iStar Financial | |||||
*5.15% 3/1/12 | 295,000 | 273,226 | |||
5.875% 3/15/16 | 495,000 | 443,724 | |||
Regency Centers | |||||
5.875% 6/15/17 | 350,000 | 338,384 | |||
Rouse 7.20% 9/15/12 | 175,000 | 176,462 | |||
United Dominion Realty Trust | |||||
3.90% 3/15/10 | 205,000 | 200,244 | |||
·#USB Realty 144A | |||||
6.091% 12/22/49 | 500,000 | 480,745 | |||
3,810,907 | |||||
Technology – 0.35% | |||||
Broadridge Financial | |||||
Solutions 6.125% 6/1/17 | 860,000 | 817,597 | |||
Freescale Semiconductor | |||||
8.875% 12/15/14 | 150,000 | 145,500 | |||
International Business | |||||
Machines 4.00% 11/11/11 | EUR | 400,000 | 555,082 | ||
*MagnaChip Semiconductor | |||||
8.00% 12/15/14 | USD | 225,000 | 156,375 | ||
Solectron Global Finance | |||||
8.00% 3/15/16 | 245,000 | 266,438 | |||
*Sungard Data Systems | |||||
10.25% 8/15/15 | 264,000 | 277,200 | |||
Xerox 5.50% 5/15/12 | 825,000 | 817,931 | |||
3,036,123 | |||||
Transportation – 0.42% | |||||
Continental Airlines | |||||
6.503% 6/15/11 | 390,000 | 391,098 | |||
#Erac USA Finance 144A | |||||
5.30% 11/15/08 | 100,000 | 99,224 | |||
Hertz 8.875% 1/1/14 | 380,000 | 393,300 | |||
Kansas City Southern de Mexico | |||||
9.375% 5/1/12 | 650,000 | 684,125 | |||
Kansas City Southern Railway | |||||
9.50% 10/1/08 | 175,000 | 179,594 | |||
‡Northwest Airlines | |||||
10.00% 2/1/09 | 65,000 | 6,663 | |||
Red Arrow International Leasing | |||||
8.375% 3/31/12 | RUB | 45,091,618 | 1,849,994 | ||
Seabulk International | |||||
9.50% 8/15/13 | USD | 90,000 | 96,525 | ||
3,700,523 | |||||
Total Corporate Bonds | |||||
(cost $211,024,362) | 209,985,961 | ||||
Foreign Agencies – 0.86%D | |||||
Austria – 0.09% | |||||
Oesterreichische Kontrollbank | |||||
1.80% 3/22/10 | JPY | 93,000,000 | 824,593 | ||
824,593 | |||||
Germany – 0.50% | |||||
KFW | |||||
*1.75% 3/23/10 | JPY | 49,000,000 | 433,950 | ||
3.50% 7/4/21 | EUR | 1,035,000 | 1,307,014 | ||
4.125% 7/4/17 | EUR | 1,639,000 | 2,268,734 | ||
Rentenbank | |||||
1.375% 4/25/13 | JPY | 48,000,000 | 418,119 | ||
4,427,817 | |||||
Luxembourg – 0.17% | |||||
#Gazprom 144A | |||||
6.212% 11/22/16 | USD | 1,471,000 | 1,461,733 | ||
1,461,733 | |||||
Qatar – 0.10% | |||||
#Ras Laffan Liquefied | |||||
Natural Gas III 144A | |||||
5.832% 9/30/16 | 400,000 | 399,025 | |||
5.838% 9/30/27 | 500,000 | 457,951 | |||
856,976 | |||||
Total Foreign Agencies | |||||
(cost $7,487,789) | 7,571,119 | ||||
Municipal Bonds – 1.62% | |||||
Aruba Airport | |||||
Authority Series A | |||||
7.70% 1/1/13 (MBIA) | 147,000 | 157,904 | |||
Augusta, Georgia Water & | |||||
Sewer Revenue | |||||
5.25% 10/1/39 (FSA) | 260,000 | 273,811 | |||
California State | |||||
5.00% 2/1/33 | 5,000 | 5,067 | |||
§5.00% 2/1/33-14 | 60,000 | 64,916 | |||
California State University | |||||
Systemwide Revenue | |||||
5.00% 11/1/30 (AMBAC) | 195,000 | 202,283 | |||
Delaware River Port | |||||
Authority Series A | |||||
7.54% 1/1/13 (FSA) | 805,000 | 888,076 | |||
Escondido, California | |||||
Joint Powers Financing | |||||
Authority Series B | |||||
5.53% 9/1/18 (FGIC) | 1,940,000 | 1,969,798 | |||
Escondido, California | |||||
Revenue (Wastewater | |||||
Capital Projects) Series B | |||||
5.75% 9/1/25 (MBIA) | 565,000 | 561,537 | |||
Illinois State Taxable Pension | |||||
5.10% 6/1/33 | 120,000 | 112,631 |
(continues) 19
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Municipal Bonds (continued) | |||||
La Quinta, California | |||||
Redevelopment Agency | |||||
Tax Allocation Project #1 | |||||
5.45% 9/1/13 (AMBAC) | USD | 560,000 | $ 563,461 | ||
6.24% 9/1/23 (AMBAC) | 640,000 | 659,085 | |||
Los Angeles, California | |||||
Community Redevelopment | |||||
Series B | |||||
5.83% 12/1/17 (FSA) | 635,000 | 643,287 | |||
Series D | |||||
5.60% 7/1/18 (MBIA) | 80,000 | 79,324 | |||
6.02% 9/1/21 (MBIA) | 950,000 | 965,343 | |||
Massachusetts Health & | |||||
Education Facilities | |||||
Authority Revenue | |||||
Series A 5.00% 7/15/36 | 355,000 | 367,840 | |||
Metropolitan Washington, | |||||
District of Columbia | |||||
Airport Authority Series C | |||||
4.62% 10/1/10 (FGIC) | 15,000 | 14,967 | |||
New Jersey Economic | |||||
Development | |||||
Authority Revenue | |||||
(Cigarette Tax) | |||||
5.75% 6/15/29 | 100,000 | 104,718 | |||
New York State Urban | |||||
Development Series A-1 | |||||
5.25% 3/15/34 (FGIC) | 125,000 | 130,776 | |||
Oregon State Taxable Pension | |||||
5.892% 6/1/27 | 65,000 | 67,271 | |||
Sacramento County, | |||||
California Public | |||||
Finance Authority | |||||
Revenue (Housing | |||||
Tax County Project) | |||||
Series B | |||||
3.82% 12/1/08 (FGIC) | 55,000 | 54,518 | |||
5.18% 12/1/13 (FGIC) | 105,000 | 104,439 | |||
San Diego, California | |||||
Redevelopment Tax | |||||
Allocation Series C | |||||
5.81% 9/1/19(XLCA) | 645,000 | 649,528 | |||
Sisters of Providence | |||||
Obligated Group | |||||
7.47% 10/1/07 (MBIA) | 1,284,000 | 1,284,000 | |||
South Texas Detention | |||||
Complex Local | |||||
Development Revenue | |||||
4.92% 2/1/14 (MBIA) | 1,150,000 | 1,127,184 | |||
Stockton, California Pension | |||||
Obligation Series B | |||||
5.675% 9/1/26 (FSA) | 1,945,000 | 1,911,702 | |||
West Virginia Economic | |||||
Development Authority | |||||
5.37% 7/1/20 (MBIA) | 590,000 | 578,377 | |||
West Virginia Tobacco | |||||
Settlement Finance Authority | |||||
7.467% 6/1/47 | 635,000 | 619,709 | |||
Total Municipal Bonds | |||||
(cost $14,206,287) | 14,161,552 | ||||
Non-Agency Asset-Backed Securities – 3.59% | |||||
·Bank of America | |||||
Credit Card Trust | |||||
Series 2006-A10 | |||||
5.733% 2/15/12 | 7,005,000 | 6,971,821 | |||
Capital Auto Receivables | |||||
Asset Trust | |||||
Series 2007-3 A3A | |||||
5.02% 9/15/11 | 610,000 | 611,003 | |||
Capital One Multi-Asset | |||||
Execution Trust | |||||
Series 2007-A7 | |||||
5.75% 7/15/20 | 550,000 | 551,430 | |||
Caterpillar Financial | |||||
Asset Trust | |||||
Series 2007-A A3A | |||||
5.34% 6/25/12 | 200,000 | 201,219 | |||
Centex Home Equity | |||||
Series 2002-A AF6 | |||||
5.54% 1/25/32 | 47,594 | 47,165 | |||
·Citibank Credit Card | |||||
Issuance Trust | |||||
Series 2007-A6 | |||||
5.35% 7/12/12 | 8,000,000 | 7,940,217 | |||
Series 2007-A7 | |||||
5.846% 8/20/14 | 1,055,000 | 1,053,744 | |||
CNH Equipment Trust | |||||
Series 2007-B A3A | |||||
5.40% 10/17/11 | 300,000 | 300,000 | |||
·Countrywide Asset- | |||||
Backed Certificates | |||||
Series 2006-11 1AF6 | |||||
6.15% 9/25/46 | 1,450,000 | 1,429,989 | |||
Series 2006-15 A6 | |||||
5.826% 10/25/46 | 525,000 | 505,027 | |||
Series 2006-S7 A3 | |||||
5.712% 11/25/35 | 995,000 | 975,327 | |||
Series 2006-S9 A3 | |||||
5.728% 8/25/36 | 660,000 | 653,820 | |||
#Countrywide Asset-Backed | |||||
NIM Certificates | |||||
Series 2004-BC1 Note 144A | |||||
5.50% 4/25/35 | 33 | 13 | |||
Credit-Based Asset Servicing | |||||
and Securitization | |||||
Series 2005-CB8 AF1B | |||||
5.451% 12/25/35 | 53,135 | 52,924 | |||
Series 2007-CB1 AF2 | |||||
5.721% 1/25/37 | 350,000 | 347,777 |
20
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Non-Agency Asset-Backed Securities (continued) | |||||
Discover Card Master Trust | |||||
Series 2007-A1 A1 | |||||
5.65% 3/16/20 | USD | 910,000 | $ 908,371 | ||
#Drive Auto Receivables Trust | |||||
Series 2005-2 A2 144A | |||||
4.12% 1/15/10 | 282,611 | 282,130 | |||
#Dunkin Securitization | |||||
Series 2006-1 A2 144A | |||||
5.779% 6/20/31 | 805,000 | 810,576 | |||
GMAC Mortgage Loan Trust | |||||
Series 2006-HE3 A2 | |||||
5.75% 10/25/36 | 180,000 | 177,076 | |||
Honda Automobile | |||||
Receivables Owners Trust | |||||
Series 2004-2 A4 | |||||
3.81% 10/15/09 | 60,167 | 59,708 | |||
·HSI Asset Securitization Trust | |||||
Series 2006-HE1 2A1 | |||||
5.181% 10/25/36 | 1,166,782 | 1,158,338 | |||
Hyundai Auto Receivables Trust | |||||
Series 2007-A A3A | |||||
5.04% 1/17/12 | 200,000 | 200,000 | |||
·#MASTR Specialized Loan Trust | |||||
Series 2005-2 A2 144A | |||||
5.006% 7/25/35 | 269,855 | 259,735 | |||
Mid-State Trust | |||||
Series 2004-1 A | |||||
6.005% 8/15/37 | 45,573 | 46,673 | |||
Series 2005-1 A | |||||
5.745% 1/15/40 | 233,899 | 222,204 | |||
#Series 2006-1 A 144A | |||||
5.787% 10/15/40 | 152,758 | 144,785 | |||
·Morgan Stanley Asset-Backed | |||||
Securities Capital I | |||||
Series 2006-NC4 A2C | |||||
5.281% 6/25/36 | 2,825,000 | 2,760,076 | |||
Renaissance Home | |||||
Equity Loan Trust | |||||
Series 2005-4 A2 | |||||
5.399% 2/25/36 | 107,615 | 107,191 | |||
·Residential Asset | |||||
Mortgage Products | |||||
Series 2006-RS6 A1 | |||||
5.39% 11/25/36 | 757,627 | 755,283 | |||
RSB Bondco | |||||
Series 2007-A A2 | |||||
5.72% 4/1/18 | 405,000 | 411,632 | |||
#Securitized Asset-Backed | |||||
NIM Trust | |||||
Series 2005-FR4 144A | |||||
6.00% 1/25/36 | 330,313 | 329,579 | |||
·#SLM Student Loan Trust | |||||
Series 2003-4 A5C 144A | |||||
5.854% 3/15/33 | 690,000 | 690,352 | |||
Structured Asset Securities | |||||
Series 2001-SB1 A2 | |||||
3.375% 8/25/31 | 114,827 | 103,631 | |||
·Vanderbilt Mortgage Finance | |||||
Series 2001-A A4 | |||||
7.235% 6/7/28 | 153,380 | 159,425 | |||
WFS Financial Owner Trust | |||||
Series 2005-1 D | |||||
4.09% 8/17/12 | 278,440 | 276,660 | |||
Total Non-Agency Asset-Backed Securities | |||||
(cost $30,845,194) | 31,504,901 | ||||
Non-Agency Collateralized Mortgage Obligations – 19.16% | |||||
·Adjustable Rate | |||||
Mortgage Trust | |||||
Series 2005-10 3A11 | |||||
5.42% 1/25/36 | 683,780 | 659,189 | |||
Series 2005-10 3A31 | |||||
5.42% 1/25/36 | 1,145,000 | 1,103,605 | |||
Series 2006-2 1A4 | |||||
5.761% 5/25/36 | 1,440,000 | 1,437,412 | |||
Bank of America | |||||
Alternative Loan Trust | |||||
Series 2003-10 2A1 | |||||
6.00% 12/25/33 | 18,933 | 18,714 | |||
Series 2004-2 1A1 | |||||
6.00% 3/25/34 | 61,118 | 60,411 | |||
Series 2004-10 1CB1 | |||||
6.00% 11/25/34 | 218,665 | 219,758 | |||
Series 2005-3 2A1 | |||||
5.50% 4/25/20 | 146,412 | 144,582 | |||
Series 2005-5 2CB1 | |||||
6.00% 6/25/35 | 322,027 | 318,304 | |||
Series 2005-6 7A1 | |||||
5.50% 7/25/20 | 443,276 | 437,736 | |||
Series 2005-9 5A1 | |||||
5.50% 10/25/20 | 432,062 | 426,661 | |||
Bank of America Funding Securities | |||||
Series 2005-8 1A1 | |||||
5.50% 1/25/36 | 1,115,809 | 1,084,775 | |||
Series 2007-1 1A14 | |||||
5.75% 1/25/37 | 2,226,944 | 2,236,490 | |||
Bank of America Mortgage | |||||
Securities Series 2005-9 2A1 | |||||
4.75% 10/25/20 | 438,389 | 425,930 | |||
·Bear Stearns Adjustable | |||||
Rate Mortgage Trust | |||||
Series 2006-1 A1 | |||||
4.625% 2/25/36 | 2,894,608 | 2,841,764 | |||
Series 2006-4 2A1 | |||||
5.809% 10/25/36 | 1,179,649 | 1,186,997 | |||
Series 2007-3 1A1 | |||||
5.482% 5/25/47 | 1,240,476 | 1,242,272 | |||
Series 2007-4 22A1 | |||||
6.011% 6/25/47 | 3,113,749 | 3,070,819 | |||
Series 2007-5 3A1 | |||||
6.00% 8/25/47 | 3,154,379 | 3,090,282 |
(continues) 21
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||
·Bear Stearns Alternative A Trust | |||||
Series 2006-3 33A1 | |||||
6.16% 5/25/36 | USD | 477,991 | $ 483,966 | ||
Series 2006-3 34A1 | |||||
6.165% 5/25/36 | 236,845 | 237,633 | |||
Bear Stearns Asset-Backed | |||||
Securities Series 2005-AC8 A5 | |||||
5.50% 11/25/35 | 382,796 | 384,295 | |||
Chase Mortgage Finance | |||||
Series 2003-S8 A2 | |||||
5.00% 9/25/18 | 759,155 | 737,575 | |||
·Series 2005-A1 3A1 | |||||
5.275% 12/25/35 | 837,747 | 834,305 | |||
Citicorp Mortgage Securities | |||||
Series 2003-3 A4 | |||||
5.50% 3/25/33 | 70,632 | 70,588 | |||
Series 2004-1 1A1 | |||||
5.25% 1/25/34 | 1,400,008 | 1,393,820 | |||
Series 2004-8 1A1 | |||||
5.50% 10/25/34 | 696,434 | 697,148 | |||
Series 2006-3 1A4 | |||||
6.00% 6/25/36 | 695,000 | 677,243 | |||
Citigroup Mortgage Loan Trust | |||||
Series 2004-NCM2 1CB2 | |||||
6.75% 8/25/34 | 218,062 | 222,015 | |||
·Series 2004-UST1 | |||||
A6 5.09% 8/25/34 | 1,092,576 | 1,076,982 | |||
·Series 2006-AR2 1A2 | |||||
5.535% 3/25/36 | 1,713,035 | 1,717,010 | |||
·Series 2007-AR5 1AB | |||||
5.621% 4/25/37 | 595,268 | 600,607 | |||
Citimortgage Alternative | |||||
Loan Trust | |||||
Series 2006-A2 A1 | |||||
6.00% 5/25/36 | 1,348,088 | 1,362,163 | |||
Countrywide Alternative | |||||
Loan Trust | |||||
Series 2003-21T1 A2 | |||||
5.25% 12/25/33 | 799,824 | 796,706 | |||
Series 2004-1T1 A2 | |||||
5.50% 2/25/34 | 834,708 | 833,879 | |||
Series 2004-14T2 A6 | |||||
5.50% 8/25/34 | 759,589 | 758,839 | |||
Series 2004-28CB 6A1 | |||||
6.00% 1/25/35 | 615,792 | 608,673 | |||
Series 2004-J1 1A1 | |||||
6.00% 2/25/34 | 24,116 | 23,852 | |||
Series 2004-J2 7A1 | |||||
6.00% 12/25/33 | 41,798 | 41,654 | |||
·Series 2004-J7 1A2 | |||||
4.673% 8/25/34 | 33,548 | 33,454 | |||
·Series 2005-63 3A1 | |||||
5.889% 11/25/35 | 496,223 | 499,136 | |||
Series 2006-2CB A3 | |||||
5.50% 3/25/36 | 359,975 | 359,840 | |||
Countrywide Alternative Loan Trust | |||||
Series 2006-19CB | |||||
A15 6.00% 8/25/36 | 1,258,947 | 1,273,018 | |||
Series 2006-25CB | |||||
A8 6.00% 10/25/36 | 1,381,179 | 1,394,846 | |||
Series 2006-31CB | |||||
A8 5.75% 11/25/36 | 901,143 | 903,375 | |||
¨Countrywide Home | |||||
Loan Mortgage Pass | |||||
Through Trust | |||||
·Series 2003-21 A1 | |||||
4.08% 5/25/33 | 13,735 | 13,723 | |||
Series 2004-HYB4 M | |||||
4.844% 9/20/34 | 244,699 | 234,502 | |||
Series 2005-23 A1 | |||||
5.50% 11/25/35 | 1,011,887 | 983,744 | |||
Series 2005-29 A1 | |||||
5.75% 12/25/35 | 2,307,353 | 2,241,739 | |||
Series 2006-1 A2 | |||||
6.00% 3/25/36 | 390,912 | 388,469 | |||
Series 2006-1 A3 | |||||
6.00% 3/25/36 | 114,510 | 113,186 | |||
Series 2006-17 A5 | |||||
6.00% 12/25/36 | 375,389 | 378,079 | |||
·Series 2006-HYB3 3A1A | |||||
6.098% 5/20/36 | 514,138 | 525,613 | |||
·Series 2007-HY1 1A1 | |||||
5.701% 4/25/37 | 2,117,855 | 2,116,775 | |||
·Series 2007-HYB1 4A2 | |||||
5.931% 3/25/37 | 443,247 | 444,078 | |||
Credit Suisse First Boston | |||||
Mortgage Securities | |||||
Series 2003-29 5A1 | |||||
7.00% 12/25/33 | 12,142 | 12,446 | |||
Series 2004-1 3A1 | |||||
7.00% 2/25/34 | 6,432 | 6,593 | |||
Credit Suisse Mortgage | |||||
Capital Certificates | |||||
Series 2006-9 3A1 | |||||
6.00% 11/25/36 | 46,601 | 45,625 | |||
Series 2007-1 5A14 | |||||
6.00% 2/25/37 | 1,861,518 | 1,875,365 | |||
Series 2007-3 4A15 | |||||
5.50% 4/25/37 | 1,765,517 | 1,758,182 | |||
Series 2007-5 3A19 | |||||
6.00% 8/25/37 | 2,051,666 | 2,011,113 | |||
·#Deutsche Mortgage Securities | |||||
Series 2005-WF1 1A3 | |||||
144A 5.068% 6/26/35 | 1,720,000 | 1,633,338 | |||
·First Horizon Asset Securities | |||||
Series 2005-AR2 2A1 | |||||
5.121% 6/25/35 | 861,476 | 858,002 | |||
Series 2006-AR4 1A2 | |||||
5.505% 1/25/37 | 2,396,284 | 2,395,462 | |||
Series 2007-AR1 1A1 | |||||
5.858% 5/25/37 | 2,248,859 | 2,258,262 |
22
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||
·First Horizon Asset Securities | |||||
Series 2007-AR2 1A1 | |||||
5.863% 8/25/37 | USD | 312,160 | $ 310,990 | ||
Series 2007-AR3 2A1 | |||||
6.327% 10/25/37 | 1,355,000 | 1,359,658 | |||
GMAC Mortgage Loan Trust | |||||
·Series 2005-AR2 4A | |||||
5.188% 5/25/35 | 435,287 | 431,053 | |||
·Series 2005-AR6 4A1 | |||||
5.46% 11/19/35 | 1,264,553 | 1,239,147 | |||
Series 2006-J1 A1 | |||||
5.75% 4/25/36 | 1,969,522 | 1,978,973 | |||
#GSMPS Mortgage Loan | |||||
Trust 144A | |||||
·Series 1998-3 A | |||||
7.75% 9/19/27 | 27,482 | 29,121 | |||
·Series 1999-3 A | |||||
8.00% 8/19/29 | 44,230 | 46,935 | |||
Series 2005-RP1 | |||||
1A3 8.00% 1/25/35 | 384,833 | 411,866 | |||
Series 2005-RP1 | |||||
1A4 8.50% 1/25/35 | 168,430 | 181,447 | |||
Series 2006-RP1 | |||||
1A2 7.50% 1/25/36 | 461,432 | 488,940 | |||
GSR Mortgage Loan Trust | |||||
Series 2006-1F 5A2 | |||||
6.00% 2/25/36 | 191,708 | 189,492 | |||
·Series 2006-AR1 | |||||
2A4 5.18% 1/25/36 | 2,215,000 | 2,205,335 | |||
·Series 2006-AR1 3A1 | |||||
5.392% 1/25/36 | 371,834 | 370,725 | |||
·Series 2007-AR1 | |||||
2A1 6.01% 3/25/37 | 3,291,959 | 3,321,918 | |||
·Series 2007-AR2 1A1 | |||||
5.797% 5/25/47 | 1,179,010 | 1,176,684 | |||
·Series 2007-AR2 2A1 | |||||
5.495% 5/25/47 | 1,144,351 | 1,143,603 | |||
·Indymac Index Mortgage | |||||
Loan Trust | |||||
Series 2005-AR25 1A21 | |||||
5.849% 12/25/35 | 446,787 | 449,638 | |||
Series 2006-AR1 A1 | |||||
5.946% 8/25/36 | 1,253,049 | 1,246,520 | |||
Series 2006-AR3 1A1 | |||||
5.36% 12/25/36 | 2,367,537 | 2,359,674 | |||
·JPMorgan Mortgage Trust | |||||
Series 2004-A6 1A2 | |||||
4.852% 12/25/34 | 491,557 | 485,773 | |||
Series 2005-A4 1A1 | |||||
5.40% 7/25/35 | 302,435 | 301,276 | |||
Series 2005-A6 1A2 | |||||
5.138% 9/25/35 | 605,000 | 584,723 | |||
Series 2006-A2 2A4 | |||||
5.755% 4/25/36 | 2,025,000 | 2,016,861 | |||
Series 2006-A6 2A4L | |||||
5.567% 10/25/36 | 1,590,000 | 1,555,915 | |||
Series 2007-A1 6A1 | |||||
4.78% 7/25/35 | 2,742,166 | 2,710,730 | |||
Series 2007-A4 1A1 | |||||
5.487% 6/25/37 | 2,755,181 | 2,744,432 | |||
Lehman Mortgage Trust | |||||
Series 2005-2 2A3 | |||||
5.50% 12/25/35 | 370,902 | 371,096 | |||
·MASTR Adjustable Rate | |||||
Mortgages Trust | |||||
Series 2003-6 1A2 | |||||
5.904% 12/25/33 | 14,385 | 14,734 | |||
Series 2005-6 7A1 | |||||
5.34% 6/25/35 | 190,719 | 189,771 | |||
MASTR Alternative Loans Trust | |||||
Series 2003-6 3A1 | |||||
8.00% 9/25/33 | 15,417 | 15,827 | |||
Series 2003-9 1A1 | |||||
5.50% 12/25/18 | 15,889 | 15,691 | |||
Series 2004-3 8A1 | |||||
7.00% 4/25/34 | 14,871 | 14,981 | |||
Series 2004-5 6A1 | |||||
7.00% 6/25/34 | 197,427 | 200,499 | |||
MASTR Asset | |||||
Securitization Trust | |||||
Series 2003-9 2A7 | |||||
5.50% 10/25/33 | 535,713 | 520,311 | |||
Series 2004-4 2A1 | |||||
5.00% 4/25/34 | 908,939 | 900,928 | |||
#MASTR Reperforming | |||||
Loan Trust 144A | |||||
Series 2005-1 1A5 | |||||
8.00% 8/25/34 | 169,253 | 180,515 | |||
Series 2005-2 1A4 | |||||
8.00% 5/25/35 | 502,466 | 538,634 | |||
·Merrill Lynch | |||||
Mortgage Investors | |||||
Series 2005-A5 A2 | |||||
4.566% 6/25/35 | 460,000 | 450,043 | |||
Series 2005-A9 2A1C | |||||
5.149% 12/25/35 | 2,435,000 | 2,423,257 | |||
Morgan Stanley | |||||
Mortgage Loan Trust | |||||
Series 2006-2 6A | |||||
6.50% 2/25/36 | 230,166 | 229,159 | |||
Nomura Asset Acceptance | |||||
Series 2005-WF1 | |||||
2A2 4.786% 3/25/35 | 475,000 | 466,822 | |||
Series 2006-AF1 1A2 | |||||
6.159% 5/25/36 | 500,000 | 495,306 | |||
Prime Mortgage Trust | |||||
Series 2004-CL1 1A1 | |||||
6.00% 2/25/34 | 43,051 | 43,118 | |||
Residential Accredit Loans | |||||
Series 2004-QS2 CB | |||||
5.75% 2/25/34 | 129,417 | 126,546 |
(continues) 23
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||
Amount° | (U.S. $) | ||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||
Residential Accredit Loans | |||||
Series 2006-QS18 3A1 | |||||
5.75% 12/25/21 | USD | 2,397,916 | $2,411,763 | ||
Residential Asset | |||||
Mortgage Products | |||||
Series 2004-SL1 A3 | |||||
7.00% 11/25/31 | 9,272 | 9,443 | |||
Series 2004-SL4 A3 | |||||
6.50% 7/25/32 | 96,783 | 99,293 | |||
Series 2005-SL1 A2 | |||||
6.00% 5/25/32 | 201,276 | 205,100 | |||
·Residential Funding | |||||
Mortgage Securities I | |||||
Series 2006-SA3 3A1 | |||||
6.04% 9/25/36 | 465,207 | 470,715 | |||
Series 2007-SA1 2A2 | |||||
5.623% 2/25/37 | 2,247,493 | 2,240,412 | |||
·Structured Adjustable Rate | |||||
Mortgage Loan Trust | |||||
Series 2004-18 5A | |||||
5.50% 12/25/34 | 106,165 | 106,050 | |||
Series 2005-18 1A1 | |||||
5.657% 9/25/35 | 751,431 | 754,771 | |||
Series 2005-21 6A3 | |||||
5.40% 11/25/35 | 1,065,000 | 1,006,070 | |||
Series 2005-21 7A1 | |||||
6.03% 11/25/35 | 3,102,720 | 3,053,681 | |||
Series 2005-22 1A4 | |||||
5.25% 12/25/35 | 2,120,000 | 2,116,406 | |||
Series 2005-3XS A2 | |||||
5.381% 1/25/35 | 50,286 | 50,286 | |||
Series 2006-1 7A4 | |||||
5.62% 2/25/36 | 1,305,000 | 1,261,829 | |||
Structured Asset Securities | |||||
·Series 2002-22H 1A | |||||
6.938% 11/25/32 | 15,518 | 15,764 | |||
Series 2004-5H A2 | |||||
4.43% 12/25/33 | 156,274 | 155,617 | |||
�� Series 2004-12H 1A | |||||
6.00% 5/25/34 | 140,121 | 139,683 | |||
Series 2005-6 4A1 | |||||
5.00% 5/25/35 | 577,162 | 542,171 | |||
¨Washington Mutual | |||||
Alternative Mortgage | |||||
Pass Through Certificates | |||||
Series 2005-1 5A2 | |||||
6.00% 3/25/35 | 109,730 | 109,044 | |||
Series 2005-9 3CB | |||||
5.50% 10/25/20 | 472,230 | 466,327 | |||
Series 2006-5 2CB3 | |||||
6.00% 7/25/36 | 478,948 | 485,556 | |||
¨Washington Mutual Pass | |||||
Through Certificates | |||||
Series 2002-S8 2A1 | |||||
4.50% 1/25/18 | 29,777 | 29,701 | |||
Series 2004-CB3 1A | |||||
6.00% 10/25/34 | 214,039 | 211,564 | |||
¨Washington Mutual Pass Through Certificates | |||||
Series 2004-CB3 4A | |||||
6.00% 10/25/19 | 105,858 | 106,189 | |||
·Series 2005-AR16 1A3 | |||||
5.104% 12/25/35 | 1,225,000 | 1,208,955 | |||
·Series 2005-AR18 1A3A | |||||
5.256% 1/25/36 | 2,200,000 | 2,194,886 | |||
·Series 2006-AR10 | |||||
1A1 5.944% 9/25/36 | 422,215 | 423,682 | |||
·Series 2006-AR14 2A1 | |||||
5.763% 11/25/36 | 2,873,754 | 2,856,019 | |||
·Series 2006-AR16 1A1 | |||||
5.606% 12/25/36 | 1,947,985 | 1,941,158 | |||
·Series 2006-AR18 | |||||
2A2 5.497% 1/25/37 | 1,670,000 | 1,650,337 | |||
·Series 2007-HY1 1A1 | |||||
5.717% 2/25/37 | 1,064,193 | 1,064,155 | |||
·Series 2007-HY2 1A1 | |||||
5.633% 12/25/36 | 2,497,575 | 2,504,215 | |||
·Series 2007-HY3 4A1 | |||||
5.349% 3/25/37 | 3,880,722 | 3,853,232 | |||
·Series 2007-HY4 1A1 | |||||
5.559% 4/25/37 | 3,429,921 | 3,418,070 | |||
·Series 2007-HY6 2A2 | |||||
5.285% 6/25/37 | 1,016,823 | 998,350 | |||
·Series 2007-HY7 4A1 | |||||
5.876% 7/25/37 | 2,920,786 | 2,884,277 | |||
Wells Fargo Mortgage | |||||
Backed Securities Trust | |||||
·Series 2004-O A1 | |||||
4.893% 8/25/34 | 3,479,495 | 3,424,830 | |||
·Series 2004-T A1 | |||||
5.75% 9/25/34 | 118,801 | 119,095 | |||
Series 2005-12 1A7 | |||||
5.50% 11/25/35 | 626,478 | 605,726 | |||
Series 2005-14 2A1 | |||||
5.50% 12/25/35 | 217,251 | 211,209 | |||
Series 2005-17 1A1 | |||||
5.50% 1/25/36 | 540,529 | 525,327 | |||
Series 2005-17 1A2 | |||||
5.50% 1/25/36 | 499,302 | 482,763 | |||
·Series 2005-AR13 A1 | |||||
5.31% 5/25/35 | 1,689,000 | 1,630,595 | |||
·Series 2005-AR16 4A2 | |||||
4.991% 10/25/35 | 2,140,000 | 2,126,016 | |||
·Series 2005-AR16 6A4 | |||||
4.999% 10/25/35 | 975,057 | 969,379 | |||
Series 2006-1 A3 | |||||
5.00% 3/25/21 | 627,829 | 605,659 | |||
Series 2006-2 3A1 | |||||
5.75% 3/25/36 | 532,353 | 519,361 | |||
Series 2006-3 A1 | |||||
5.50% 3/25/36 | 1,191,027 | 1,190,231 | |||
Series 2006-3 A11 | |||||
5.50% 3/25/36 | 1,478,000 | 1,384,113 | |||
Series 2006-4 2A3 | |||||
5.75% 4/25/36 | 212,981 | 212,222 |
24
Principal | Value | |||||
Amount° | (U.S. $) | |||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||
Wells Fargo Mortgage Backed Securities Trust | ||||||
Series 2006-6 1A3 | ||||||
5.75% 5/25/36 | USD | 1,420,545 | $ | 1,427,529 | ||
•Series 2006-AR4 1A1 | ||||||
5.858% 4/25/36 | 747,259 | 739,226 | ||||
•Series 2006-AR4 2A1 | ||||||
5.773% 4/25/36 | 485,573 | 479,304 | ||||
•Series 2006-AR5 2A1 | ||||||
5.529% 4/25/36 | 294,947 | 296,240 | ||||
•Series 2006-AR6 7A1 | ||||||
5.111% 3/25/36 | 2,332,177 | 2,286,301 | ||||
•Series 2006-AR10 | ||||||
5A1 5.597% 7/25/36 | 448,164 | 447,466 | ||||
•Series 2006-AR10 | ||||||
5A6 5.597% 7/25/36 | 2,449,536 | 2,442,402 | ||||
•Series 2006-AR11 | ||||||
A6 5.52% 8/25/36 | 2,330,000 | 2,294,143 | ||||
•Series 2006-AR14 2A4 | ||||||
6.09% 10/25/36 | 332,376 | 336,421 | ||||
•Series 2006-AR17 A1 | ||||||
5.339% 10/25/36 | 3,136,248 | 3,125,339 | ||||
•Series 2006-AR18 2A2 | ||||||
5.722% 11/25/36 | 984,382 | 985,980 | ||||
•Series 2006-AR19 A1 | ||||||
5.649% 12/25/36 | 1,172,950 | 1,170,304 | ||||
Series 2007-8 2A6 | ||||||
6.00% 7/25/37 | 190,000 | 186,142 | ||||
Series 2007-13 A7 | ||||||
6.00% 9/25/37 | 698,621 | 686,831 | ||||
Series 2007-13 A9 | ||||||
6.00% 9/25/37 | 1,090,047 | 1,033,500 | ||||
Total Non-Agency Collateralized | ||||||
Mortgage Obligations | ||||||
(cost $168,672,554) | 167,849,711 | |||||
Regional Agencies – 0.62%D | ||||||
Australia – 0.62% | ||||||
New South Wales Treasury | ||||||
5.50% 3/1/17 | AUD | 1,279,000 | 1,047,232 | |||
6.00% 5/1/12 | AUD | 890,000 | 764,616 | |||
Queensland Treasury | ||||||
6.00% 8/14/13 | AUD | 4,259,000 | 3,647,621 | |||
Total Regional Agencies | ||||||
(cost $5,293,705) | 5,459,469 | |||||
Regional Authorities – 0.07%D | ||||||
Argentina – 0.05% | ||||||
#Province of Buenos Aires 144A | ||||||
9.625% 4/18/28 | USD | 510,000 | 438,600 | |||
438,600 | ||||||
Canada – 0.02% | ||||||
Ontario Province | ||||||
1.875% 1/25/10 | JPY | 25,000,000 | 222,101 | |||
222,101 | ||||||
Total Regional Authorities | ||||||
(cost $730,104) | 660,701 | |||||
«Senior Secured Loans – 0.93% | ||||||
Allied Waste North America | ||||||
7.73% 3/28/14 | USD | 200,000 | 197,501 | |||
Aramark | ||||||
7.08% 1/26/14 | 162,312 | 159,497 | ||||
7.485% 1/26/14 | 12,688 | 12,468 | ||||
AWAS 2nd Lien | ||||||
11.44% 3/10/13 | 451,802 | 445,025 | ||||
Building Materials | ||||||
8.11% 2/22/14 | 125,000 | 115,990 | ||||
Healthsouth | ||||||
8.62% 3/10/13 | 845,071 | 827,464 | ||||
Idearc 7.35% 11/1/14 | 397,499 | 391,351 | ||||
Jarden 7.67% 1/24/12 | 115,000 | 112,211 | ||||
Lyondell Chemical | ||||||
7.11% 8/16/13 | 297,000 | 295,617 | ||||
Michaels Stores | ||||||
7.625% 10/11/13 | 224,435 | 218,053 | ||||
NE Energy | ||||||
7.87% 11/1/13 | 178,767 | 173,999 | ||||
7.985% 11/1/13 | 21,233 | 20,667 | ||||
Stallion Oilfield Services | ||||||
10.86% 6/12/13 | 450,000 | 438,750 | ||||
Talecris Biotherapeutics | ||||||
2nd Lien | ||||||
11.85% 12/6/14 | 480,000 | 484,800 | ||||
Telesat Canada | ||||||
9.00% 2/14/08 | 795,000 | 763,200 | ||||
Tribune 8.32% 5/30/14 | 100,000 | 91,425 | ||||
United Airlines | ||||||
7.375% 2/1/14 | 696,500 | 663,852 | ||||
Univision Communications | ||||||
7.60% 9/15/14 | 225,000 | 213,469 | ||||
Visteon 8.61% 6/13/13 | 300,000 | 283,251 | ||||
Wind Acquisition PIK | ||||||
12.61% 12/7/11 | 427,841 | 434,259 | ||||
Windstream Term Loan B | ||||||
8.36% 7/17/13 | 1,806,900 | 1,799,564 | ||||
Total Senior Secured Loans | ||||||
(cost $8,659,705) | 8,142,413 | |||||
Sovereign Agency – 0.06%D | ||||||
Norway – 0.06% | ||||||
Kommunalbanken | ||||||
4.25% 10/24/11 | NOK | 2,750,000 | 496,474 | |||
Total Sovereign Agency | ||||||
(cost $440,817) | 496,474 | |||||
Sovereign Debt – 6.21%D | ||||||
Austria – 0.28% | ||||||
Republic of Austria | ||||||
5.25% 1/4/11 | EUR | 498,000 | 732,577 | |||
#144A 4.00% 9/15/16 | EUR | 1,226,000 | 1,698,917 | |||
2,431,494 |
(continues) 25
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||
Amount° | (U.S. $) | |||||
Sovereign Debt (continued) | ||||||
Brazil – 0.51% | ||||||
Federal Republic of Brazil | ||||||
10.25% 1/10/28 | BRL | 1,555,000 | $ | 884,390 | ||
12.50% 1/5/22 | BRL | 2,732,000 | 1,805,684 | |||
•Nota do Tesouro Nacional | ||||||
(Treasury Note) | ||||||
10.00% 1/12/12 | BRL | 3,410,000 | 1,822,331 | |||
4,512,405 | ||||||
Colombia – 0.09% | ||||||
Republic of Colombia | ||||||
9.85% 6/28/27 | COP | 1,069,000,00 | 538,134 | |||
12.00% 10/22/15 | COP | 474,000,000 | 263,929 | |||
802,063 | ||||||
France – 0.23% | ||||||
France Government O.A.T. | ||||||
4.00% 10/25/38 | EUR | 797,000 | 1,015,777 | |||
4.00% 4/25/55 | EUR | 819,000 | 1,033,795 | |||
2,049,572 | ||||||
Germany – 0.18% | ||||||
Deutschland Republic | ||||||
6.25% 1/4/24 | EUR | 911,000 | 1,549,533 | |||
1,549,533 | ||||||
Indonesia – 0.95% | ||||||
Republic of Indonesia | ||||||
10.00% 9/17/24 | IDR | 15,964,000,000 | 1,772,093 | |||
10.25% 7/15/22 | IDR | 30,050,000,000 | 3,425,755 | |||
10.25% 7/15/27 | IDR | 23,913,000,000 | 2,701,186 | |||
#144A 6.625% 2/17/37 | USD | 405,000 | 388,294 | |||
8,287,328 | ||||||
Japan – 2.38% | ||||||
Japan Government | ||||||
5 yr Bond | ||||||
1.50% 6/20/11 | USD | 286,450,000 | 2,532,735 | |||
10 yr Bond | ||||||
1.70% 3/20/17 | JPY | 5,050,000 | 44,205 | |||
10 yr Bond | ||||||
1.90% 6/20/16 | JPY | 298,350,000 | 2,674,131 | |||
20 yr Bond | ||||||
2.00% 3/20/27 | JPY | 1,144,000,00 | 9,749,107 | |||
20 yr Bond | ||||||
2.10% 12/20/26 | JPY | ,450,000 | 1,693,363 | |||
20 yr Bond | ||||||
2.30% 6/20/26 | JPY | 9,900,000 | 2,494,916 | |||
30 yr Bond | ||||||
2.40% 3/20/37 | JPY | 124,900,000 | 1,084,092 | |||
Japanese Government | ||||||
CPI Linked Bond | ||||||
0.80% 3/10/16 | JPY | 70,629,300 | 595,727 | |||
20,868,276 | ||||||
Malaysia – 0.23% | ||||||
Malaysian Government | ||||||
3.718% 6/15/12 | MYR | 2,050,000 | $ | 604,748 | ||
3.756% 4/28/11 | MYR | 3,054,000 | 902,075 | |||
3.814% 2/15/17 | MYR | 200,000 | 59,096 | |||
7.00% 3/15/09 | MYR | 1,613,000 | 496,605 | |||
2,062,524 | ||||||
Mexico – 0.31% | ||||||
Mexican Government | ||||||
8.00% 12/17/15 | MXN | 24,855,000 | 2,284,863 | |||
9.00% 12/20/12 | MXN | 3,548,000 | 341,682 | |||
10.00% 12/5/24 | MXN | 795,000 | 86,853 | |||
2,713,398 | ||||||
Norway – 0.11% | ||||||
Norwegian Government | ||||||
6.50% 5/15/13 | NOK | 4,904,000 | 985,291 | |||
985,291 | ||||||
Pakistan – 0.04% | ||||||
#Republic of Pakistan 144A | ||||||
6.875% 6/1/17 | USD | 390,000 | 339,300 | |||
339,300 | ||||||
Poland – 0.16% | ||||||
Poland Government | ||||||
5.25% 10/25/17 | PLN | 2,493,000 | 912,020 | |||
6.25% 10/24/15 | PLN | 1,224,000 | 478,991 | |||
1,391,011 | ||||||
Republic of Korea – 0.07% | ||||||
Government of South Korea | ||||||
4.25% 12/7/21 | EUR | 450,000 | 586,180 | |||
586,180 | ||||||
United Arabic Emirates – 0.14% | ||||||
#Emirate of Abu Dhabi | ||||||
144A 5.50% 8/2/12 | USD | 1,200,000 | 1,218,000 | |||
1,218,000 | ||||||
United Kingdom – 0.53% | ||||||
U.K. Treasury | ||||||
4.25% 3/7/11 | GBP | 1,530,000 | 3,052,215 | |||
4.75% 9/7/15 | GBP | 258,000 | 518,565 | |||
5.00% 3/7/12 | GBP | 284,000 | 581,464 | |||
9.00% 7/12/11 | GBP | 208,000 | 482,558 | |||
4,634,802 | ||||||
Total Sovereign Debt | ||||||
(cost $52,793,292) | 54,431,177 | |||||
Supranational Banks – 1.99% | ||||||
Asia Development Bank | ||||||
0.50% 10/9/12 | AUD | 497,000 | 324,338 | |||
Corp Andina de Fomento | ||||||
5.75% 1/12/17 | USD | 900,000 | 884,453 |
26
Principal | Value | |||||
Amount° | (U.S. $) | |||||
Supranational Banks (continued) | ||||||
European Bank for | ||||||
Reconstruction & | ||||||
Development | ||||||
12.50% 3/23/09 | ISK | 72,400,000 | $ | 1,170,372 | ||
European Investment Bank | ||||||
1.40% 6/20/17 | JPY | 123,500,000 | 1,051,154 | |||
4.25% 12/7/10 | GBP | 425,000 | 840,062 | |||
4.75% 10/15/17 | EUR | 734,000 | 1,066,499 | |||
6.00% 7/15/09 | NZD | 1,294,000 | 945,020 | |||
Inter-American | ||||||
Development Bank | ||||||
7.25% 5/24/12 | NZD | 6,710,000 | 5,011,516 | |||
9.00% 8/6/10 | BRL | 835,000 | 451,893 | |||
13.00% 6/20/08 | ISK | 205,000,000 | 3,316,593 | |||
International Bank | ||||||
for Reconstruction & | ||||||
Development | ||||||
13.625% 5/9/17 | TRY | 975,000 | 825,041 | |||
Nordic Investment Bank | ||||||
1.70% 4/27/17 | JPY | 70,000,000 | 611,183 | |||
4.625% 7/30/10 | NOK | 5,080,000 | 926,243 | |||
Total Supranational Banks | ||||||
(cost $16,568,326) | 17,424,367 | |||||
U.S. Treasury Obligations – 10.79% | ||||||
U.S. Treasury Bonds | ||||||
4.75% 2/15/37 | USD | 107,000 | 105,554 | |||
*5.00% 5/15/37 | 6,146,000 | 6,306,374 | ||||
*6.00% 2/15/26 | 7,928,000 | 8,980,941 | ||||
*8.75% 8/15/20 | 9,000 | 12,379 | ||||
U.S. Treasury Inflation | ||||||
Index Notes | ||||||
2.00% 1/15/26 | 524,745 | 501,296 | ||||
2.375% 4/15/11 | 293,843 | 295,840 | ||||
*2.375% 1/15/17 | 1,084,556 | 1,092,691 | ||||
*¥3.00% 7/15/12 | 764,617 | 796,038 | ||||
3.625% 1/15/08 | 309,444 | 309,154 | ||||
U.S. Treasury Notes | ||||||
4.00% 2/15/15 | 120,000 | 116,784 | ||||
*4.125% 8/31/12 | 42,898,000 | 42,737,176 | ||||
4.25% 9/30/12 | 9,698,000 | 9,709,366 | ||||
*4.75% 8/15/17 | 6,832,000 | 6,925,947 | ||||
*4.875% 8/31/08 | 2,212,000 | 2,227,035 | ||||
*4.875% 6/30/12 | 14,025,000 | 14,421,655 | ||||
Total U.S. Treasury Obligations | ||||||
(cost $94,018,870) | 94,538,230 | |||||
Number | ||||||
of Shares | ||||||
Common Stock – 0.10% | ||||||
†Adelphia | 205,000 | 35,875 | ||||
†Adelphia Recovery Trust | ||||||
Series ACC-1 | 201,191 | 14,687 | ||||
†Adelphia Recovery Trust | ||||||
Series Arahova | 859,019 | 403,739 | ||||
†Century Communications | 1,975,000 | 1,481 | ||||
†Mirant | 121 | 4,922 | ||||
@†p=Port Townsend | 295 | 184,080 | ||||
†Time Warner Cable Class A | 6,986 | 229,141 | ||||
Total Common Stock | ||||||
(cost $960,168) | 873,925 | |||||
Convertible Preferred Stock – 0.18% | ||||||
•Citigroup Funding 4.943% | ||||||
exercise price $29.50, | ||||||
expiration date 9/27/08 | 26,700 | 783,912 | ||||
General Motors 5.25% | ||||||
exercise price $64.90, | ||||||
expiration date 3/6/32 | 5,875 | 125,079 | ||||
New York Community | ||||||
Capital Trust V 6.00% | ||||||
exercise price $20.04, | ||||||
expiration date 5/7/51 | 13,000 | 646,750 | ||||
Total Convertible Preferred Stock | ||||||
(cost $1,557,621) | 1,555,741 | |||||
Preferred Stock – 0.03% | ||||||
Arch Capital Group 8.00% | 5,809 | 148,420 | ||||
Nexen 7.35% | 3,225 | 80,625 | ||||
Total Preferred Stock | ||||||
(cost $231,880) | 229,045 | |||||
Warrant – 0.06% | ||||||
†Argentina GDP Linked, | ||||||
expiration date | ||||||
12/15/35 | 4,194,000 | 547,317 | ||||
Total Warrant (cost $552,215) | 547,317 | |||||
Principal | ||||||
Amount° | ||||||
¹Discount Note – 1.33% | ||||||
Federal Home Loan Bank | ||||||
4.001% 10/1/07 | USD | 11,621,859 | 11,621,859 | |||
Total Discount Note | ||||||
(cost $11,621,859) | 11,621,859 |
(continues) 27
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Repurchase Agreements – 2.86% | ||||||||
With BNP Paribas | ||||||||
4.00% 10/1/07 | ||||||||
(dated 9/28/07, | ||||||||
to be repurchased | ||||||||
at $25,107,366, | ||||||||
collateralized by | ||||||||
$11,458,000 U.S. | ||||||||
Treasury Notes | ||||||||
3.375% due 9/15/09, | ||||||||
market value | ||||||||
$11,358,418, $1,882,000 | ||||||||
U.S. Treasury Notes | ||||||||
3.875% due 7/15/10, | ||||||||
market value $1,893,032, | ||||||||
$1,308,000 U.S. Treasury | ||||||||
Notes 4.125% due | ||||||||
8/15/08, market value | ||||||||
$1,315,046, $4,593,000 | ||||||||
U.S. Treasury Notes | ||||||||
4.50% due 2/15/09, | ||||||||
market value $4,652,569 | ||||||||
and $6,221,000 | ||||||||
U.S. Treasury Notes | ||||||||
5.625% due 5/15/08, | ||||||||
market value $6,411,242) | USD | 25,099,000 | $ | 25,099,000 | ||||
Total Repurchase Agreements | ||||||||
(cost $25,099,000) | 25,099,000 | |||||||
Total Value of Securities | ||||||||
Before Securities Lending | ||||||||
Collateral – 102.30% | ||||||||
(cost $895,106,453) | 896,306,331 | |||||||
Securities Lending Collateral** – 14.01% | ||||||||
Investment Companies | ||||||||
Mellon GSL DBT II | ||||||||
Collateral Fund | 122,737,929 | 122,737,929 | ||||||
Total Securities Lending Collateral | ||||||||
(cost $122,737,929) | 122,737,929 | |||||||
Total Value of Securities – 116.31% | ||||||||
(cost $1,017,844,382) | 1,019,044,260 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (14.01%) | (122,737,929 | ) | ||||||
Liabilities Net of Receivables | ||||||||
and Other Assets – (2.30%) | (20,136,368 | ) | ||||||
Net Assets Applicable to 95,960,014 | ||||||||
Shares Outstanding – 100.00% | 876,169,963 | |||||||
Net Asset Value – Optimum Fixed Income Fund Class A | ||||||||
($63,582,028 / 6,962,914 Shares) | $9.13 | |||||||
Net Asset Value – Optimum Fixed Income Fund Class B | ||||||||
($9,445,417 / 1,033,549 Shares) | $9.14 | |||||||
Net Asset Value – Optimum Fixed Income Fund Class C | ||||||||
($252,300,774 / 27,598,048 Shares) | $9.14 | |||||||
Net Asset Value – Optimum Fixed Income Fund | ||||||||
Institutional Class ($550,841,744 / 60,365,503 Shares) | $9.13 | |||||||
Components of Net Assets at September 30, 2007: | ||||||||
Shares of beneficial interest | ||||||||
(unlimited authorization – no par) | 856,840,205 | |||||||
Undistributed net investment income | 14,311,746 | |||||||
Accumulated net realized gain on investments | 561,423 | |||||||
Net unrealized appreciation of investments | ||||||||
and foreign currencies | 4,456,589 | |||||||
Total net assets | $ | 876,169,963 |
°Principal amount shown is stated in the currency in which each security is denominated. |
AUD — Australian Dollar |
BRL — Brazilian Real |
CAD — Canadian Dollar |
COP — Colombian Peso |
EUR — European Monetary Unit |
GBP — British Pound Sterling |
IDR — Indonesia Rupiah |
ISK — Iceland Krona |
JPY — Japanese Yen |
MXN — Mexican Peso |
MYR — Malaysia Ringgit |
NOK — Norwegian Kroner |
NZD — New Zealand Dollar |
PLN — Polish Zloty |
RUB — Russian Ruble |
SEK — Swedish Krona |
TRY — Turkish Lira |
USD — United States Dollar |
† | Non-income producing security for the period ended September 30, 2007. |
‡ | Non-income producing security. Security is currently in default. |
• | Variable rate security. The rate shown is the rate as of September 30, 2007. |
^ | Zero coupon security. The rate shown is the yield at the time of purchase. |
¹ | The rate shown is the effective yield at the time of purchase. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2007, the aggregate amount of Rule 144A securities equaled $74,707,584, which represented 8.53% of the Fund’s net assets. See Note 12 in “Notes to financial statements.” |
p | Restricted Security. Investment in a security not registered under the Securities Act of 1933, as amended. This security has certain restrictions on resale which may limit its liquidity. At September 30, 2007, the aggregate amount of the restricted security equaled $184,080 or 0.02% of the Fund’s net assets. See Note 12 in “Notes to financial statements.” |
28
@ | Illiquid security. At September 30, 2007, the aggregate amount of illiquid securities equaled $184,080, which represented 0.02% of the Fund’s net assets. See Note 12 in “Notes to financial statements.” |
¥ | Fully or partially pledged as collateral for financial futures contracts. |
t | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
« | Senior Secured Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more United States banks, (ii) the lending rate offered by one or more European banks such as the London Inter-Bank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Senior Secured Loans may be subject to restrictions on resale. |
§ | Pre-Refunded Bonds. Municipals that are generally backed or secured by U.S. Treasury bonds. For Pre-Refunded Bonds, the stated maturity is followed by the year in which the bond is pre-refunded. |
D | Securities have been classified by country of origin. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At September 30, 2007 the aggregate amount of fair valued securities equaled $184,080, which represented 0.02% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
* | Fully or partially on loan. |
** | See Note 11 in “Notes to financial statements.” |
© | Includes $120,473,814 of securities loaned. |
Summary of Abbreviations:
AMBAC — Insured by the AMBAC Assurance Corporation
ARM — Adjustable Rate Mortgage
CPI — Consumer Price Index
CPN — Interest Coupon Only
FGIC — Insured by the Financial Guaranty Insurance Company
FSA — Insured by Financial Security Assurance
GDP — Gross Domestic Product
GNMA — Government National Mortgage Association
GSMPS — Goldman Sachs Reperforming Mortgage Securities
MBIA — Insured by the Municipal Bond Insurance Association
NIM — Net Interest Margin
O.A.T. — Obligation Assimilable au Tresor (Treasury Security)
PIK — Pay-in-Kind
REIT — Real Estate Investment Trust
S.F. — Single Family
TBA — To be announced
XLCA — Insured by XL Capital Assurance
yr — Year
Net Asset Value and Offering Price Per Share – | |
Optimum Fixed Income Fund | |
Net asset value Class A (A) | $9.13 |
Sales charge (4.50% of offering price) (B) | 0.43 |
Offering price | $9.56 |
(A) | Net asset value per share, as illustrated, is the amount which would be paid upon redemption or repurchase of shares. |
(B) | See the current prospectus for purchases of $100,000 or more. |
The following foreign currency exchange contracts and foreign cross currency exchange contracts, futures contracts, and swap contracts were outstanding at September 30, 2007: |
Foreign Currency Exchange Contracts1
Unrealized | ||||||||||||
Contracts to | Settlement | Appreciation | ||||||||||
Receive (Deliver) | In Exchange For | Date | (Depreciation) | |||||||||
AUD | (3,699,520 | ) | USD | 3,063,917 | 10/31/07 | $ | (214,588 | ) | ||||
AUD | 260,085 | NZD | (304,000 | ) | 10/31/07 | 808 | ||||||
AUD | 416,809 | CAD | (367,000 | ) | 10/3/07 | 840 | ||||||
AUD | 3,832,281 | USD | (3,400,000 | ) | 10/3/07 | 659 | ||||||
BRL | (2,098,638 | ) | USD | 1,116,000 | 10/24/07 | (28,919 | ) | |||||
BRL | (909,865 | ) | USD | 487,602 | 11/30/07 | (8,778 | ) | |||||
CAD | (1,328,380 | ) | USD | 1,262,139 | 10/31/07 | (74,017 | ) | |||||
CAD | 795,635 | USD | (794,263 | ) | 11/30/07 | 6,309 | ||||||
EUR | (7,328,903 | ) | USD | 10,004,971 | 10/31/07 | (454,899 | ) | |||||
EUR | 200,668 | NZD | (390,330 | ) | 10/31/07 | (8,508 | ) | |||||
EUR | 330,187 | TRY | (600,842 | ) | 10/31/07 | (20,945 | ) | |||||
EUR | 633,741 | PLN | (2,409,528 | ) | 10/31/07 | (7,238 | ) | |||||
EUR | 1,181,981 | GBP | (803,000 | ) | 10/31/07 | 45,239 | ||||||
EUR | 1,453,147 | USD | (2,056,730 | ) | 11/30/07 | 18,185 | ||||||
EUR | 1,610,950 | ISK | (144,868,270 | ) | 10/31/07 | (32,129 | ) | |||||
EUR | 2,221,139 | NOK | (17,681,711 | ) | 10/31/07 | (108,858 | ) | |||||
GBP | (669,491 | ) | USD | 1,343,287 | 10/31/07 | (25,455 | ) | |||||
GBP | (276,427 | ) | USD | 555,991 | 10/22/07 | (9,272 | ) | |||||
GBP | 716,303 | JPY | (163,519,000 | ) | 10/31/07 | 34,899 | ||||||
IDR | (9,365,625,000 | ) | USD | 987,581 | 10/31/07 | (36,514 | ) | |||||
JPY | (821,457,008 | ) | USD | 7,238,779 | 10/31/07 | 57,284 | ||||||
JPY | (130,595,716 | ) | EUR | 833,081 | 10/31/07 | 47,261 | ||||||
JPY | (36,473,488 | ) | USD | 320,106 | 11/30/07 | 82 | ||||||
MXN | (6,690,600 | ) | USD | 602,431 | 10/31/07 | (7,862 | ) | |||||
MXN | (5,893,700 | ) | USD | 539,662 | 10/01/07 | 845 | ||||||
MXN | 2,525,000 | USD | (229,150 | ) | 7/24/08 | (3,661 | ) | |||||
MYR | (5,210,524 | ) | USD | 1,489,572 | 10/31/07 | (41,721 | ) | |||||
MYR | 1,240,160 | USD | (368,000 | ) | 5/20/08 | (867 | ) | |||||
MYR | 4,410,255 | USD | (1,330,795 | ) | 5/19/08 | (25,235 | ) | |||||
NOK | 2,958,440 | USD | (508,000 | ) | 10/31/07 | 40,611 | ||||||
NZD | (5,820,322 | ) | USD | 4,109,963 | 10/31/07 | (287,422 | ) | |||||
NZD | 4,484,305 | AUD | (3,821,341 | ) | 11/30/07 | (4,288 | ) | |||||
SEK | (3,476,233 | ) | USD | 538,000 | 11/30/07 | (2,488 | ) | |||||
SEK | 9,776,389 | EUR | (1,047,000 | ) | 10/31/07 | 24,515 | ||||||
TRY | (4,344,172 | ) | USD | 3,487,166 | 11/30/07 | (35,437 | ) | |||||
TRY | (1,737,671 | ) | USD | 1,396,000 | 10/31/07 | (27,445 | ) | |||||
$ | (1,189,009 | ) |
(continues) 29
Statements of net assets
Optimum Fixed Income Fund
Financial Futures Contracts2 | ||||||||||||||||
Notional | Unrealized | |||||||||||||||
Contracts | Cost | Notional | Expiration | Appreciation | ||||||||||||
to Buy (Sell) | (Proceeds) | Value | Date | (Depreciation) | ||||||||||||
5 | Canadian 10 year Bond | $ | 566,652 | $ | 565,231 | 12/18/07 | $ | (1,421 | ) | |||||||
61 | Euro Bond | 9,441,714 | 9,801,582 | 12/10/07 | 359,868 | |||||||||||
10 | Long Gilt Bond | 2,153,807 | 2,187,939 | 12/31/07 | 34,132 | |||||||||||
68 | U.S. Treasury 2 year Notes | 14,036,960 | 14,079,189 | 1/4/08 | 42,229 | |||||||||||
560 | U.S. Treasury 5 year Notes | 59,866,189 | 59,937,500 | 12/31/07 | 71,311 | |||||||||||
(53) | U.S. Treasury Long Bond | (5,906,804 | ) | (5,901,219 | ) | 12/31/07 | 5,585 | |||||||||
$ | 511,704 |
Swap Contracts3 | ||||||
Index Swap Contracts | ||||||
Notional | Expiration | Spread Swap | Unrealized | |||
Amount | Date | Description | Depreciation | |||
$1,000,0000 | 12/31/07 | Agreement with Bank of America to receive the notional amount multiplied by the return on the BOFA 10 yr Commercial MBS Index AAA adjusted by a spread of 0.15% and to pay the notional amount multiplied by the fixed rate of 6.78%. | $(19,524) |
Credit Default Swap Contracts | |||||||||||
Annual | Unrealized | ||||||||||
Swap Counterparty & | Notional | Protection | Termination | Appreciation | |||||||
Referenced Obligation | Amount | Payments | Date | (Depreciation) | |||||||
Protection Purchased: | |||||||||||
Goldman Sachs | |||||||||||
ABX Home Equity | |||||||||||
Index 06-1 | $2,182,500 | 0.54% | 7/25/45 | $ | (72,568 | ) | |||||
BBB-Index 06-1 | 3,000,000 | 2.00% | 7/25/45 | 1,526,775 | |||||||
BBB-Index 06-1 | 4,275,000 | 2.67% | 7/25/45 | 1,979,920 | |||||||
Beazer Homes | |||||||||||
5 yr CDS | 1,050,000 | 3.08% | 6/20/12 | 268,493 | |||||||
Best Buy | |||||||||||
5 yr CDS | 760,000 | 0.60% | 9/20/12 | (1,304 | ) | ||||||
10 yr CDS | 380,000 | 0.98% | 9/20/17 | (2,379 | ) | ||||||
CDX.NA. | |||||||||||
High Yield-9.1 | 2,300,000 | 3.75% | 12/20/12 | 9,792 | |||||||
Rohm & Haas | |||||||||||
5.5 yr CDS | 621,000 | 0.37% | 3/20/13 | (3,415 | ) | ||||||
JPMorgan Chase Bank | |||||||||||
ABX Home Equity | |||||||||||
Index 06-1 | 30,000 | 0.54% | 7/25/45 | (3,285 | ) | ||||||
BBB-Index 06-1 | 775,000 | 2.67% | 7/25/45 | 258,308 | |||||||
Embarq 7 yr CDS | 755,000 | 0.77% | 9/20/14 | 3,658 | |||||||
Merrill Lynch | |||||||||||
5 yr CDS | 400,000 | 0.58% | 12/20/12 | 1,201 | |||||||
Lehman Brothers | |||||||||||
Autozone | |||||||||||
7 yr CDS | 550,000 | 0.445% | 6/20/14 | 98 | |||||||
Avon Products | |||||||||||
7 yr CDS | 550,000 | 0.245% | 6/20/14 | (150 | ) | ||||||
Campbell Soup | |||||||||||
7 yr CDS | 550,000 | 0.18% | 6/20/14 | 1,987 | |||||||
Capmark Financial | |||||||||||
5 yr CDS | 330,000 | 1.65% | 9/20/12 | 19,383 | |||||||
5 yr CDS | 255,000 | 2.42% | 9/20/12 | 7,012 | |||||||
5 yr CDS | 510,000 | 4.25% | 9/20/12 | (23,842 | ) | ||||||
CDX.NA High | |||||||||||
Yield-9.1 | 7,750,000 | 3.75% | 12/20/12 | 20,885 | |||||||
Computer Science | |||||||||||
7 yr CDS | 550,000 | 1.00% | 6/20/14 | (16,528 | ) | ||||||
Gannet 7 yr CDS | 545,000 | 0.88% | 9/20/14 | (3,588 | ) | ||||||
Home Depot | |||||||||||
5 yr CDS | 1,285,000 | 0.50% | 9/20/12 | 5,247 | |||||||
Kimberly-Clark | |||||||||||
7 yr CDS | 550,000 | 0.195% | 6/20/14 | 646 | |||||||
McDonald’s | |||||||||||
7 yr CDS | 550,000 | 0.18% | 6/20/14 | 3,530 | |||||||
New York Times | |||||||||||
7 yr CDS | 545,000 | 0.75% | 9/20/14 | (2,620 | ) | ||||||
Newell Rubber | |||||||||||
7 yr CDS | 550,000 | 0.385% | 6/20/14 | (1,909 | ) | ||||||
Sara Lee | |||||||||||
7 yr CDS | 545,000 | 0.60% | 9/20/14 | (7,559 | ) | ||||||
Sysco 7 yr CDS | 550,000 | 0.32% | 6/20/14 | 1,499 | |||||||
TJX Companies | |||||||||||
7 yr CDS | 550,000 | 0.61% | 6/20/14 | (8,897 | ) | ||||||
V.F. | |||||||||||
5 yr CDS | 382,500 | 0.40% | 9/20/12 | (3,084 | ) | ||||||
7 yr CDS | 550,000 | 0.365% | 6/20/14 | (1,618 | ) | ||||||
Washington Mutual | |||||||||||
4 yr CDS | 575,000 | 0.85% | 9/20/11 | 3,330 | |||||||
$ | 3,959,018 |
30
Credit Default Swap Contracts (continued) | ||||||||||||
Annual | Unrealized | |||||||||||
Swap Counterparty & | Notional | Protection | Termination | Appreciation | ||||||||
Referenced Obligation | Amount | Payments | Date | (Depreciation) | ||||||||
Protection Sold: | ||||||||||||
Goldman Sachs | ||||||||||||
Residential | ||||||||||||
Capital | ||||||||||||
5 yr CDS | $ | (350,000) | 9.50% | 9/20/12 | $ | 8,076 | ||||||
JPMorgan Chase Bank | ||||||||||||
Residential Capital | ||||||||||||
1 yr CDS | (386,000) | 8.25% | 9/20/08 | (19,669 | ) | |||||||
1 yr CDS | (443,000) | 8.75% | 9/20/08 | (20,687 | ) | |||||||
Lehman Brothers | ||||||||||||
Beazer Homes | ||||||||||||
5 yr CDS | (1,050,00) | 3.43% | 6/20/12 | (258,848 | ) | |||||||
Best Buy | ||||||||||||
5 yr CDS | (380,000) | 0.61% | 9/20/12 | 1,622 | ||||||||
10 yr CDS | (190,000) | 0.99% | 9/20/17 | 1,332 | ||||||||
Reynolds American | ||||||||||||
5 yr CDS | (1,090,000) | 1.00% | 9/20/12 | 15,039 | ||||||||
$ | (273,135 | ) |
The use of foreign currency exchange contracts and foreign cross currency exchange contracts, financial futures contracts and swap contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
1 See Note 7 in ”Notes to financial statements.”
2 See Note 8 in ”Notes to financial statements.”
3 See Note 10 in ”Notes to financial statements.”
See accompanying notes
(continues) 31
Statements of net assets
Optimum International Fund
September 30, 2007 (Unaudited)
Number of | Value | ||
Shares | (U.S. $) | ||
Common Stock – 96.97%D | |||
Australia – 7.14% | |||
Amcor | 256,888 | $ 1,682,552 | |
Australia & New Zealand | |||
Banking Group | 27,100 | 714,322 | |
BHP Billiton | 28,600 | 1,130,790 | |
Foster’s Group | 630,281 | 3,652,715 | |
Macquarie Airports | 253,783 | 979,761 | |
National Australia Bank | 170,517 | 6,009,468 | |
QBE Insurance Group | 53,129 | 1,593,737 | |
Suncorp-Metway | 10,731 | 193,331 | |
Telstra | 1,121,499 | 4,339,640 | |
*Wesfarmers | 46,849 | 1,746,296 | |
Zinifex | 44,900 | 706,120 | |
22,748,732 | |||
Austria – 0.46% | |||
Voestalpine | 17,100 | 1,477,707 | |
1,477,707 | |||
Belgium – 1.11% | |||
Fortis | 47,400 | 1,395,783 | |
Fortis (Amsterdam Exchange) | 72,723 | 2,141,467 | |
3,537,250 | |||
Brazil – 0.61% | |||
*Gerdau ADR | 19,950 | 523,089 | |
Petroleo Brasileiro ADR | 13,834 | 1,044,467 | |
Unibanco GDR | 2,800 | 368,340 | |
1,935,896 | |||
Canada – 0.72% | |||
ING Canada | 7,900 | 354,589 | |
Royal Bank of Canada | 5,275 | 291,980 | |
*Teck Cominco Class B | 21,600 | 1,025,540 | |
TELUS | 10,909 | 614,252 | |
2,286,361 | |||
China – 0.11% | |||
China Petroleum & | |||
Chemical Class H | 280,000 | 349,737 | |
349,737 | |||
Finland – 1.21% | |||
Stora Enso Class R | 82,500 | 1,607,031 | |
UPM-Kymmene | 92,961 | 2,248,258 | |
3,855,289 | |||
France – 12.60% | |||
*Air France-KLM | 8,800 | 323,383 | |
*BNP Paribas | 22,840 | 2,499,410 | |
Carrefour | 36,279 | 2,541,684 | |
Cie de Saint-Gobain | 27,996 | 2,921,913 | |
*Compagnie Generale des | |||
Etablissements Michelin Class B | 13,600 | 1,828,429 | |
*Credit Agricole | 50,292 | 1,939,928 | |
France Telecom | 104,302 | 3,493,777 | |
Lagardere | 14,900 | 1,268,257 | |
Renault | 53,378 | 7,735,012 | |
*Sanofi-Aventis | 23,498 | 1,989,714 | |
Societe Generale | 32,856 | 5,513,621 | |
†Suez Strip | 9,260 | 132 | |
*Total | 99,299 | 8,074,053 | |
40,129,313 | |||
Germany – 9.19% | |||
Allianz | 13,900 | 3,247,736 | |
BASF | 22,800 | 3,165,446 | |
*Bayer | 15,410 | 1,223,989 | |
Deutsche Bank | 14,800 | 1,906,608 | |
Deutsche Lufthansa | 60,400 | 1,742,418 | |
Deutsche Telekom | 224,859 | 4,418,542 | |
E.ON | 19,800 | 3,654,430 | |
Epcos | 13,300 | 260,211 | |
Muenchener Rueckversicherungs | 12,400 | 2,376,515 | |
RWE | 57,967 | 7,277,469 | |
29,273,364 | |||
Hong Kong – 1.63% | |||
China Netcom Group | 162,500 | 434,791 | |
Hong Kong Electric Holdings | 362,500 | 1,883,879 | |
Orient Overseas International | 48,000 | 456,608 | |
Sino Land | 212,985 | 529,870 | |
Wharf Holdings | 383,000 | 1,882,028 | |
5,187,176 | |||
India – 0.25% | |||
State Bank of India GDR | 7,130 | 801,341 | |
801,341 | |||
Italy – 4.04% | |||
*Buzzi Unicem | 34,900 | 907,757 | |
ENI | 76,800 | 2,846,342 | |
Fondiaria-Sai | 27,300 | 1,281,958 | |
Intesa Sanpaolo | 631,829 | 4,878,851 | |
UniCredito Italiano | 344,627 | 2,948,629 | |
12,863,537 | |||
Japan – 18.72% | |||
*Astellas Pharma | 52,300 | 2,508,906 | |
Canon | 86,900 | 4,743,712 | |
EDION | 31,600 | 351,875 | |
Fanuc | 99 | 10,093 | |
*Fujitsu | 223,000 | 1,576,493 | |
Honda Motor | 44,800 | 1,505,554 | |
Isuzu Motors | 241,000 | 1,380,620 | |
*JFE Holdings | 37,900 | 2,685,930 | |
Kao | 124,000 | 3,702,942 | |
KDDI | 267 | 1,980,533 | |
Kyushu Electric Power | 34,500 | 913,112 | |
Leopalace21 | 95 | 3,118 | |
Millea Holdings | 74,100 | 2,980,515 | |
Mitsubishi | 39,000 | 1,235,939 | |
Mitsubishi Chemical Holdings | 109,500 | 953,334 | |
Mitsubishi UFJ Financial Group | 217 | 1,908,149 | |
Mitsui & Co. | 74,000 | 1,797,492 |
32
Number of | Value | ||
Shares | (U.S. $) | ||
Common Stock (continued) | |||
Japan (continued) | |||
*Mitsui Chemicals | 149,000 | $ 1,480,141 | |
*Mitsui OSK Lines | 117,000 | 1,895,673 | |
*Namco Bandai Holdings | 43,500 | 632,466 | |
Nippon Mining Holdings | 103,000 | 1,034,842 | |
Nippon Telegraph & Telephone | 311 | 1,454,005 | |
*Nippon Yusen Kabushiki Kaisha | 85,000 | 830,315 | |
*Nissan Motor | 185,700 | 1,860,880 | |
Nitto Denko | 30,400 | 1,413,338 | |
*Oki Electric Industry | 139,000 | 239,613 | |
€ORIX | 6,390 | 1,457,583 | |
*Rengo | 25,000 | 168,684 | |
Sharp | 71,000 | 1,288,830 | |
Sumitomo Mitsui Financial Group | 253 | 1,971,400 | |
*Takeda Pharmaceutical | 54,200 | 3,812,780 | |
*Tokyo Electric Power | 58,400 | 1,474,491 | |
*Toshiba | 221,000 | 2,064,539 | |
Tosoh | 99,000 | 642,129 | |
Toyota Motor | 68,300 | 4,031,638 | |
West Japan Railway | 340 | 1,622,149 | |
59,613,813 | |||
Luxembourg – 0.72% | |||
ArcelorMittal | 28,854 | 2,277,420 | |
2,277,420 | |||
Netherlands – 4.23% | |||
Corporate Express | 37,200 | 405,281 | |
European Aeronautic | |||
Defence & Space | 3,750 | 115,292 | |
ING Groep CVA | 160,196 | 7,111,321 | |
†Koninklijke Ahold | 93,760 | 1,417,239 | |
Reed Elsevier | 166,171 | 3,156,305 | |
Royal KPN | 22,400 | 388,739 | |
Wolters Kluwer | 28,900 | 858,021 | |
13,452,198 | |||
New Zealand – 0.46% | |||
*Telecom Corp. of New Zealand | 427,993 | 1,449,960 | |
1,449,960 | |||
Philippines – 0.08% | |||
Philippine Long Distance Telephone | 4,200 | 270,398 | |
270,398 | |||
Republic of Korea – 0.88% | |||
Hana Financial Group | 5,500 | 259,316 | |
Honam Petrochemical | 2,900 | 478,476 | |
†Hynix Semiconductor | 7,800 | 266,762 | |
Hyundai Mobis | 1,730 | 183,548 | |
Industrial Bank of Korea | 16,180 | 349,165 | |
Kookmin Bank | 2,700 | 224,804 | |
POSCO | 700 | 514,751 | |
Samsung Electronics | 360 | 226,181 | |
Shinhan Financial Group | 4,530 | 295,995 | |
2,798,998 | |||
Russia – 0.14% | |||
LUKOIL ADR | 5,350 | 444,585 | |
444,585 | |||
Singapore – 0.74% | |||
†Flextronics International | 45,500 | 508,690 | |
Jardine Matheson Holdings | 4,400 | 125,840 | |
Neptune Orient Lines | 84,000 | 299,697 | |
Oversea-Chinese Banking | 235,800 | 1,412,737 | |
2,346,964 | |||
South Africa – 0.76% | |||
Sanlam | 121,610 | 393,110 | |
Sasol | 43,352 | 1,862,626 | |
Standard Bank Group | 11,700 | 168,912 | |
2,424,648 | |||
Spain – 4.52% | |||
Banco Santander Central Hispano | 196,958 | 3,828,151 | |
Iberdrola | 51,308 | 3,014,407 | |
Repsol YPF | 51,800 | 1,850,363 | |
Telefonica | 203,828 | 5,705,630 | |
14,398,551 | |||
Sweden – 0.35% | |||
Svenska Cellulosa | 59,100 | 1,102,860 | |
1,102,860 | |||
Switzerland – 2.93% | |||
Credit Suisse Group | 30,400 | 2,018,658 | |
Novartis | 92,324 | 5,095,625 | |
Xstrata | 33,220 | 2,203,473 | |
9,317,756 | |||
Taiwan – 1.55% | |||
AU Optronics | 298,833 | 515,530 | |
Chunghwa Telecom ADR | 94,714 | 1,750,321 | |
Siliconware Precision Industries | 250,853 | 564,968 | |
Taiwan Semiconductor | |||
Manufacturing | 158,375 | 308,646 | |
Taiwan Semiconductor | |||
Manufacturing ADR | 147,424 | 1,491,931 | |
United Microelectronics | 504,000 | 304,141 | |
4,935,537 | |||
Thailand – 0.09% | |||
PTT PCL | 27,800 | 272,525 | |
272,525 | |||
United Kingdom – 21.33% | |||
Antofagasta | 13,400 | 208,908 | |
Associated British Foods | 38,081 | 623,684 | |
AstraZeneca | 39,200 | 1,964,930 | |
Aviva | 206,453 | 3,110,921 | |
BAE Systems | 173,300 | 1,750,655 | |
Barclays | 177,800 | 2,166,250 | |
BG Group | 158,312 | 2,741,800 | |
BHP Billiton | 28,000 | 1,002,516 | |
BP | 376,759 | 4,374,461 | |
British American Tobacco | 26,600 | 953,478 |
(continues) 33
Statements of net assets
Optimum International Fund
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock (continued) | ||||||
United Kingdom (continued) | ||||||
†British Energy Group | 101,000 | $ 1,104,496 | ||||
Compass Group | 219,298 | 1,354,992 | ||||
GKN | 213,682 | 1,546,534 | ||||
GlaxoSmithKline | 289,611 | 7,691,035 | ||||
HBOS | 373,656 | 6,991,183 | ||||
Home Retail Group | 71,200 | 542,627 | ||||
Kazakhmys | 31,200 | 896,224 | ||||
Lloyds TSB Group | 356,915 | 3,961,499 | ||||
Marston’s | 85,600 | 592,826 | ||||
Punch Taverns | 32,300 | 651,260 | ||||
Rio Tinto | 7,900 | 683,049 | ||||
Royal Bank of Scotland Group | 570,334 | 6,131,927 | ||||
Royal Dutch Shell Class A | 186,480 | 7,701,056 | ||||
SABMiller | 38,300 | 1,090,770 | ||||
Unilever | 141,312 | 4,469,753 | ||||
Vodafone Group | 1,001,125 | 3,615,164 | ||||
67,921,998 | ||||||
United States – 0.40% | ||||||
*Sun Life Financial Services | 24,000 | 1,259,665 | ||||
1,259,665 | ||||||
Total Common Stock | ||||||
(cost $239,099,904) | 308,733,579 | |||||
Preferred Stock – 0.45% | ||||||
Brazil – 0.30% | ||||||
Usinas Siderurgicas de Minas | ||||||
Gerais Class A | 13,500 | 942,791 | ||||
942,791 | ||||||
Republic of Korea – 0.15% | ||||||
Hyundai Motor | 6,020 | 241,405 | ||||
Samsung Electronics | 500 | 232,737 | ||||
474,142 | ||||||
Total Preferred Stock | ||||||
(cost $933,933) | 1,416,933 | |||||
Rights – 0.20% | ||||||
Fortis | 31,602 | 251,444 | ||||
Fortis (Amsterdam Exchange) | 48,484 | 386,812 | ||||
Total Rights (cost $0) | 638,256 | |||||
Principal | ||||||
Amount (U.S. $) | ||||||
¹Discount Note – 0.40% | ||||||
Federal Home Loan Bank | ||||||
4.001% 10/1/07 | $ 1,285,427 | 1,285,427 | ||||
Total Discount Note | ||||||
(cost $1,285,427) | 1,285,427 | |||||
Repurchase Agreements – 0.87% | ||||||
With BNP Paribas 4.00% 10/1/07 | ||||||
(dated 9/28/07, to be | ||||||
repurchased at $2,776,925, | ||||||
collateralized by $1,267,000 | ||||||
U.S. Treasury Notes 3.375% | ||||||
due 9/15/09, market value | ||||||
$1,256,255, $208,000 | ||||||
U.S. Treasury Notes 3.875% | ||||||
due 7/15/10, market value | ||||||
$209,372, $145,000 | ||||||
U.S. Treasury Notes 4.125% | ||||||
due 8/15/08, market value | ||||||
$145,446, $508,000 | ||||||
U.S. Treasury Notes 4.50% | ||||||
due 2/15/09, market value | ||||||
$514,580 and $688,000 | ||||||
U.S. Treasury Notes 5.625% | ||||||
due 5/15/08, market value | ||||||
$709,091) | 2,776,000 | 2,776,000 | ||||
Total Repurchase Agreements | ||||||
(cost $2,776,000) | 2,776,000 | |||||
Total Value of Securities Before Securities | ||||||
Lending Collateral – 98.89% | ||||||
(cost $244,095,264) | 314,850,195 | |||||
Securities Lending Collateral** – 10.39% | ||||||
Investment Companies | ||||||
Mellon GSL DBT II | ||||||
Collateral Fund | 33,077,308 | 33,077,308 | ||||
Total Securities Lending Collateral | ||||||
(cost $33,077,308) | 33,077,308 | |||||
Total Value of Securities – 109.28% | ||||||
(cost $277,172,572) | 347,927,503 | © | ||||
Obligation to Return Securities | ||||||
Lending Collateral** – (10.39%) | (33,077,308 | ) | ||||
Receivables and Other Assets | ||||||
Net of Liabilities – 1.11% | 3,539,006 | |||||
Net Assets Applicable to 19,263,834 | ||||||
Shares Outstanding – 100.00% | $ 318,389,201 | |||||
Net Asset Value – Optimum International Fund | ||||||
Class A ($27,260,297 / 1,646,233 Shares) | $16.56 | |||||
Net Asset Value – Optimum International Fund | ||||||
Class B ($5,200,342 / 320,342 Shares) | $16.23 | |||||
Net Asset Value – Optimum International Fund | ||||||
Class C ($99,245,189 / 6,110,234 Shares) | $16.24 | |||||
Net Asset Value – Optimum International Fund | ||||||
Institutional Class ($186,683,373 / 11,187,025 Shares) | $16.69 |
34
Components of Net Assets at September 30, 2007: | |
Shares of beneficial interest | |
(unlimited authorization – no par) | $232,933,181 |
Undistributed net investment income | 2,268,177 |
Accumulated net realized gain on investments | 12,429,806 |
Net unrealized appreciation of investments | |
and foreign currencies | 70,758,037 |
Total net assets | $318,389,201 |
D | Securities have been classified by country origin. Classification by type of business has been presented on page 4 in “Sector/Country allocations.” |
† | Non-income producing security for the period ended September 30, 2007. |
* | Fully or partially on loan. |
€ | Passive Foreign Investment Company. |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 11 in “Notes to financial statements”. |
© | Includes $31,486,900 of securities loaned. |
Summary of Abbreviations:
ADR — American Depositary Receipts
CVA — Dutch Certificate
GBP — British Pounds Sterling
GDR — Global Depositary Receipts
USD — United States Dollar
Net Asset Value and Offering Price Per Share – | |
Optimum International Fund | |
Net asset value Class A (A) | $ 16.56 |
Sales charge (5.75% of offering price) (B) | 1.01 |
Offering price | $ 17.57 |
A) | Net asset value per share, as illustrated, is the amount which would be paid upon redemption or repurchase of shares. | |
(B) | See the current prospectus for purchases of $75,000 or more. |
The following foreign currency exchange contracts were outstanding at September 30, 2007: |
Foreign Currency Exchange Contracts1 | ||||||||||||
Unrealized | ||||||||||||
Contracts to | Settlement | Appreciation | ||||||||||
Receive (Deliver) | In Exchange For | Date | (Depreciation) | |||||||||
GBP | (4,663,500 | ) | USD | 9,495,823 | 10/31/07 | $(38,473 | ) | |||||
GBP | 90,000 | USD | (182,313 | ) | 10/1/07 | 1,818 | ||||||
$(36,655 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
1 See Note 7 in ”Notes to financial statements.”
See accompanying notes
(continues) 35
Statements of net assets
Optimum Large Cap Growth Fund
September 30, 2007 (Unaudited)
Number of | Value | ||
Shares | (U.S. $) | ||
Common Stock – 93.25%² | |||
Basic Industry/Capital Goods – 8.10% | |||
*Air Products & Chemicals | 26,362 | $ 2,577,149 | |
BHP Billiton (Australia) | 165,300 | 6,535,652 | |
*Danaher | 106,900 | 8,841,699 | |
Deere | 12,900 | 1,914,618 | |
†Foster Wheeler | 28,400 | 3,728,352 | |
*Freeport-McMoRan Copper & Gold | 81,502 | 8,548,745 | |
General Electric | 510,950 | 21,153,330 | |
Joy Global | 25,000 | 1,271,500 | |
Monsanto | 176,762 | 15,155,574 | |
Praxair | 121,953 | 10,214,783 | |
79,941,402 | |||
Business Services – 4.20% | |||
Accenture Class A | 179,200 | 7,212,800 | |
Automatic Data Processing | 118,800 | 5,456,484 | |
*Expeditors International Washington | 48,300 | 2,284,590 | |
Grupo Televisa ADR | 73,800 | 1,783,746 | |
*MasterCard Class A | 67,027 | 9,917,985 | |
McGraw-Hill Companies | 79,300 | 4,037,163 | |
Moody’s | 26,700 | 1,345,680 | |
Omnicom Group | 47,800 | 2,298,702 | |
Rogers Communications Class B | 124,300 | 5,659,379 | |
Sysco | 40,300 | 1,434,277 | |
41,430,806 | |||
Consumer Durables – 1.47% | |||
*†Electronic Arts | 47,700 | 2,670,723 | |
*Harman International Industries | 23,100 | 1,998,612 | |
*Toyota Motor ADR | 83,759 | 9,788,077 | |
14,457,412 | |||
Consumer Non-Durables – 8.49% | |||
*†Amazon.com | 55,100 | 5,132,565 | |
*†Bed Bath & Beyond | 62,700 | 2,139,324 | |
†Coach | 84,000 | 3,970,680 | |
*Costco Wholesale | 20,400 | 1,251,948 | |
CVS Caremark | 427,967 | 16,960,332 | |
*Fastenal | 28,600 | 1,298,726 | |
Heineken ADR | 205,253 | 6,716,638 | |
InBev (Belgium) | 27,922 | 2,530,754 | |
*†Kohl’s | 105,500 | 6,048,315 | |
*Lowe’s Companies | 448,024 | 12,553,632 | |
PepsiCo | 53,950 | 3,952,377 | |
*PETsMART | 86,500 | 2,759,350 | |
Procter & Gamble | 83,452 | 5,870,014 | |
Reckitt Benckiser (United Kingdom) | 31,100 | 1,828,062 | |
Target | 81,300 | 5,168,241 | |
Walgreen | 58,300 | 2,754,092 | |
*Whole Foods Market | 58,000 | 2,839,680 | |
83,774,730 | |||
Consumer Services – 10.32% | |||
†Comcast Class A | 486,719 | 11,768,865 | |
†eBay | 67,400 | 2,629,948 | |
International Game Technology | 80,150 | 3,454,465 | |
*†Las Vegas Sands | 176,778 | 23,585,721 | |
Marriott International Class A | 94,700 | 4,116,609 | |
*McDonald’s | 301,421 | 16,418,402 | |
†MGM MIRAGE | 142,300 | 12,727,312 | |
Naspers (South Africa) | 104,100 | 2,886,386 | |
Shaw Communications Class B | 102,200 | 2,538,581 | |
Station Casinos | 22,495 | 1,967,863 | |
†Wynn Resorts | 73,763 | 11,622,098 | |
Yum Brands | 239,192 | 8,091,865 | |
101,808,115 | |||
Energy – 7.49% | |||
Baker Hughes | 70,900 | 6,407,233 | |
*†Cameron International | 31,016 | 2,862,467 | |
Devon Energy | 26,393 | 2,195,898 | |
EOG Resources | 38,800 | 2,806,404 | |
Exxon Mobil | 43,900 | 4,063,384 | |
Murphy Oil | 31,000 | 2,166,590 | |
Petroleo Brasileiro ADR | 45,477 | 3,433,514 | |
Schlumberger | 345,845 | 36,313,724 | |
*Total (France) | 79,000 | 6,423,531 | |
†Transocean | 64,007 | 7,235,991 | |
73,908,736 | |||
Financials – 13.10% | |||
American Express | 113,900 | 6,762,243 | |
American International | 117,300 | 7,935,345 | |
Anglo Irish Bank (Ireland) | |||
(London Exchange) | 178,834 | 3,381,529 | |
†China Merchants Bank (China) | |||
(Hong Kong Exchange) | 341,500 | 1,500,187 | |
Citigroup | 109,100 | 5,091,697 | |
CME Group | 2,200 | 1,292,170 | |
Erste Bank der Oesterreichischen | |||
Sparkassen (Austria) | 77,600 | 5,914,649 | |
Fannie Mae | 63,891 | 3,885,212 | |
*Franklin Resources | 40,200 | 5,125,500 | |
Goldman Sachs Group | 118,900 | 25,770,385 | |
*†Industrial & Commercial Bank of | |||
China (China) | |||
(Hong Kong Exchange) | 14,553,000 | 10,202,647 | |
*Lehman Brothers Holdings | 146,652 | 9,052,828 | |
Morgan Stanley | 84,597 | 5,329,611 | |
*Northern Trust | 42,900 | 2,842,983 | |
Prudential Financial | 50,500 | 4,927,790 | |
†Redecard (Brazil) | 66,900 | 1,241,282 | |
*Schwab (Charles) | 157,400 | 3,399,840 | |
*State Street | 117,260 | 7,992,442 | |
UBS (Switzerland) | 173,200 | 9,313,908 | |
Wells Fargo | 231,231 | 8,236,448 | |
129,198,696 |
36
Number of | Value | |||
Shares | (U.S. $) | |||
Common Stock (continued) | ||||
Health Care – 12.33% | ||||
Aetna | 121,000 | $ 6,566,670 | ||
Alcon (Switzerland) | 17,200 | 2,475,424 | ||
Allergan | 67,800 | 4,371,066 | ||
*†Amylin Pharmaceuticals | 105,689 | 5,284,450 | ||
Becton Dickinson | 37,100 | 3,044,055 | ||
†Celgene | 35,400 | 2,524,374 | ||
†Covidien | 55,275 | 2,293,913 | ||
†Genentech | 243,321 | 18,983,904 | ||
†Gilead Sciences | 133,320 | 5,448,788 | ||
†Humana | 34,800 | 2,431,824 | ||
†Laboratory Corp. of | ||||
America Holdings | 37,200 | 2,910,156 | ||
McKesson | 5,600 | 329,224 | ||
†Medco Health Solutions | 38,900 | 3,516,171 | ||
*Medtronic | 124,850 | 7,042,789 | ||
Roche Holding (Switzerland) | 23,793 | 4,314,666 | ||
Schering-Plough | 359,180 | 11,360,863 | ||
†St. Jude Medical | 51,800 | 2,282,826 | ||
Stryker | 41,400 | 2,846,664 | ||
UnitedHealth Group | 451,566 | 21,869,341 | ||
†WellPoint | 112,400 | 8,870,608 | ||
†Zimmer Holdings | 35,500 | 2,875,145 | ||
121,642,921 | ||||
Technology – 25.41% | ||||
†Amdocs | 106,900 | 3,975,611 | ||
America Movil ADR Class L | 245,031 | 15,681,984 | ||
†American Tower Class A | 113,700 | 4,950,498 | ||
Analog Devices | 92,200 | 3,333,952 | ||
†Apple | 125,421 | 19,257,140 | ||
ASML Holding | 80,200 | 2,635,372 | ||
AT&T | 330,340 | 13,976,685 | ||
*†Autodesk | 53,000 | 2,648,410 | ||
Boeing | 88,262 | 9,266,627 | ||
China Mobil (Hong Kong) | 908,500 | 14,877,062 | ||
†Cisco Systems | 681,327 | 22,558,737 | ||
Corning | 191,000 | 4,708,150 | ||
*†Crown Castle International | 139,300 | 5,659,759 | ||
†Dell | 71,700 | 1,978,920 | ||
†EMC | 137,100 | 2,851,680 | ||
*†Expedia | 76,903 | 2,451,668 | ||
General Dynamics | 197,474 | 16,680,629 | ||
†Google Class A | 32,867 | 18,644,463 | ||
Hewlett-Packard | 132,932 | 6,618,684 | ||
Hon Hai Precision Industry GDR | 216,000 | 3,227,040 | ||
Infosys Technologies ADR | 86,500 | 4,185,735 | ||
Intel | 476,757 | 12,328,936 | ||
*†Intuit | 56,200 | 1,702,860 | ||
*†Juniper Networks | 214,234 | 7,843,107 | ||
†Leap Wireless International | 26,500 | 2,156,305 | ||
Lockheed Martin | 123,671 | 13,417,067 | ||
†Marvell Technology Group | 235,300 | 3,851,861 | ||
*Maxim Integrated Products | 99,950 | 2,933,533 | ||
†MetroPCS Communications | 42,200 | 1,151,216 | ||
Microsoft | 306,750 | 9,036,855 | ||
QUALCOMM | 104,600 | 4,420,396 | ||
*Schneider Electric (France) | 33,168 | 4,190,565 | ||
†Tomtom | 31,223 | 2,427,003 | ||
*†VeriSign | 75,300 | 2,540,622 | ||
*Xilinx | 95,800 | 2,504,212 | ||
250,673,344 | ||||
Transportation – 2.02% | ||||
FedEx | 57,214 | 5,993,167 | ||
*Southwest Airlines | 295,000 | 4,366,000 | ||
Union Pacific | 84,236 | 9,523,722 | ||
19,882,889 | ||||
Utilities – 0.32% | ||||
†AES | 159,800 | 3,202,392 | ||
3,202,392 | ||||
Total Common Stock | ||||
(cost $731,270,418) | 919,921,443 | |||
Principal | ||||
Amount (U.S. $) | ||||
U.S. Treasury Obligations – 2.44% | ||||
¹U.S. Treasury Bills 3.26% 11/1/07 | $10,931,000 | 10,900,403 | ||
^U.S. Treasury Bills | ||||
*3.598% 1/3/08 | 3,281,000 | 3,248,643 | ||
*3.703% 1/10/08 | 5,586,000 | 5,527,124 | ||
3.814% 1/31/08 | 2,294,000 | 2,264,637 | ||
3.869% 2/7/08 | 2,180,000 | 2,149,988 | ||
Total U.S. Treasury Obligations | ||||
(cost $24,094,951) | 24,090,795 | |||
¹Discount Note – 1.83% | ||||
Federal Home Loan Bank | ||||
4.001% 10/1/07 | 18,014,981 | 18,014,981 | ||
Total Discount Note | ||||
(cost $18,014,981) | 18,014,981 |
(continues) 37
Statements of net assets
Optimum Large Cap Growth Fund
Principal | Value | |||||
Amount (U.S. $) | (U.S. $) | |||||
Repurchase Agreements – 3.94% | ||||||
With BNP Paribas 4.00% 10/1/07 | ||||||
(dated 9/28/07, to be | ||||||
repurchased at $38,915,968, | ||||||
collateralized by $17,759,000 | ||||||
U.S. Treasury Notes | ||||||
3.375% due 9/15/09, | ||||||
market value $17,605,344, | ||||||
$2,917,000 U.S. Treasury | ||||||
Notes 3.875% due 7/15/10, | ||||||
market value $2,934,166, | ||||||
$2,027,000 U.S. Treasury | ||||||
Notes 4.125% due 8/15/08, | ||||||
market value $2,038,298, | ||||||
$7,119,000 U.S. Treasury | ||||||
Notes 4.50% due 2/15/09, | ||||||
market value $7,211,398 | ||||||
and $9,642,000 U.S. Treasury | ||||||
Notes 5.625% due 5/15/08, | ||||||
market value $9,937,310) | $38,903,000 | $ 38,903,000 | ||||
Total Repurchase Agreements | ||||||
(cost $38,903,000) | 38,903,000 | |||||
Total Value of Securities Before Securities | ||||||
Lending Collateral – 101.46% | ||||||
(cost $812,283,350) | 1,000,930,219 | |||||
Securities Lending Collateral** – 13.58% | ||||||
Investment Companies | ||||||
Mellon GSL DBT II Collateral Fund | 133,973,390 | 133,973,390 | ||||
Total Securities Lending Collateral | ||||||
(cost $133,973,390) | 133,973,390 | |||||
Total Value of Securities – 115.04% | ||||||
(cost $946,256,740) | 1,134,903,609 | © | ||||
Obligation to Return Securities | ||||||
Lending Collateral** – (13.58%) | (133,973,390 | ) | ||||
Liabilities Net of Receivables and | ||||||
Other Assets – (1.46%) | (14,443,499 | ) | ||||
Net Assets Applicable to 73,710,550 | ||||||
Shares Outstanding – 100.00% | $ 986,486,720 | |||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||
Class A ($64,969,340 / 4,868,933 Shares) | $13.34 | |||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||
Class B ($11,813,871 / 909,748 Shares) | $12.99 | |||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||
Class C ($240,235,656 / 18,504,388 Shares) | $12.98 | |||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||
Institutional Class | ||||||
($669,467,853 / 49,427,481 Shares) | $13.54 | |||||
Components of Net Assets at September 30, 2007: | ||||||
Shares of beneficial interest | ||||||
(unlimited authorization – no par) | $ 786,595,251 | |||||
Accumulated net investment loss | (553 | ) | ||||
Accumulated net realized gain on investments | 11,240,092 | |||||
Net unrealized appreciation of investments | ||||||
and foreign currencies | 188,651,930 | |||||
Total net assets | $ 986,486,720 | |||||
²Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. Summary of Abbreviations: |
Net Asset Value and Offering Price Per Share – | ||
Optimum Large Cap Growth Fund | ||
Net asset value Class A (A) | $13.34 | |
Sales charge (5.75% of offering price) (B) | 0.81 | |
Offering price | $14.15 |
(A) | Net asset value per share, as illustrated, is the amount which would be paid upon redemption or repurchase of shares. | |
(B) | See the current prospectus for purchases of $75,000 or more. |
The following foreign currency exchange contract was outstanding at September 30, 2007: | ||||||||||||||
Foreign Currency Exchange Contract1 | ||||||||||||||
Contract to | Settlement | Unrealized | ||||||||||||
Receive | In Exchange For | Date | Appreciation | |||||||||||
BRL | 396,031 | USD | (215,503 | ) | 10/1/07 | $553 |
1 See Note 7 in ”Notes to financial statements.”
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional amount presented above represents the Fund’s total exposure in such contract, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. See accompanying notes |
38
Optimum Large Cap Value Fund
September 30, 2007 (Unaudited)
Number of | Value | ||
Shares | (U.S. $) | ||
Common Stock – 96.16% | |||
Consumer Discretionary – 9.32% | |||
Advance Auto Parts | 25,480 | $ 855,109 | |
*Circuit City Stores | 387,600 | 3,065,916 | |
Citadel Broadcasting | 4,415 | 18,366 | |
Clear Channel Communications | 96,690 | 3,620,074 | |
†Comcast Class A | 210,200 | 5,082,636 | |
Disney (Walt) | 60,570 | 2,083,002 | |
Gap | 243,500 | 4,490,140 | |
*General Motors | 260,790 | 9,570,993 | |
†Hanesbrands | 68,175 | 1,912,991 | |
Johnson Controls | 25,150 | 2,970,467 | |
Lowe’s Companies | 29,440 | 824,909 | |
Macy’s | 212,770 | 6,876,726 | |
Mattel | 283,800 | 6,657,948 | |
*New York Times Class A | 28,560 | 564,346 | |
*NIKE Class B | 120,290 | 7,056,211 | |
*Regal Entertainment Group | |||
Class A | 393,000 | 8,626,350 | |
*Royal Caribbean Cruises | 140,860 | 5,497,766 | |
*Scripps (E.W.) Class A | 28,300 | 1,188,600 | |
Sherwin-Williams | 30,130 | 1,979,842 | |
Sony ADR | 96,800 | 4,652,208 | |
Staples | 91,410 | 1,964,401 | |
*†Toll Brothers | 159,750 | 3,193,403 | |
†Viacom Class B | 83,920 | 3,270,362 | |
WPP Group (United Kingdom) | 96,590 | 1,309,221 | |
87,331,987 | |||
Consumer Staples – 9.90% | |||
Altria Group | 235,410 | 16,368,058 | |
Avon Products | 295,900 | 11,105,127 | |
CVS Caremark | 102,231 | 4,051,415 | |
Diageo (United Kingdom) | 244,596 | 5,379,635 | |
Kellogg | 83,920 | 4,699,520 | |
*Kimberly-Clark | 145,950 | 10,254,447 | |
*Kraft Foods Class A | 397,450 | 13,716,000 | |
Nestle (Switzerland) | 11,361 | 5,104,203 | |
PepsiCo | 60,640 | 4,442,486 | |
Procter & Gamble | 130,960 | 9,211,726 | |
Sara Lee | 500,900 | 8,360,021 | |
92,692,638 | |||
Energy – 9.25% | |||
Apache | 51,420 | 4,630,885 | |
Chevron | 192,932 | 18,054,577 | |
*ConocoPhillips | 213,800 | 18,765,227 | |
Devon Energy | 69,430 | 5,776,576 | |
EOG Resources | 41,480 | 3,000,248 | |
Exxon Mobil | 147,790 | 13,679,442 | |
Hess | 91,780 | 6,106,123 | |
Marathon Oil | 31,720 | 1,808,674 | |
Royal Dutch Shell ADR | 31,470 | 2,586,205 | |
Total ADR | 151,180 | 12,250,115 | |
86,658,072 | |||
Financials – 24.16% | |||
Allstate | 256,780 | 14,685,248 | |
American Express | 86,290 | 5,123,037 | |
American International Group | 101,700 | 6,880,005 | |
Bank of America | 307,283 | 15,447,116 | |
Bank of New York Mellon | 191,566 | 8,455,723 | |
*†Blackstone Group | 208,240 | 5,222,659 | |
*CapitalSource | 266,000 | 5,383,840 | |
Chubb | 162,160 | 8,698,262 | |
Citigroup | 520,930 | 24,311,804 | |
Fannie Mae | 375,870 | 22,856,656 | |
Franklin Resources | 24,850 | 3,168,375 | |
Freddie Mac | 38,230 | 2,255,952 | |
Genworth Financial | 135,160 | 4,153,467 | |
Goldman Sachs Group | 50,350 | 10,912,859 | |
Hartford Financial Services Group | 51,600 | 4,775,580 | |
Hospitality Properties Trust | 67,400 | 2,739,810 | |
JPMorgan Chase | 258,407 | 11,840,209 | |
Lehman Brothers Holdings | 45,270 | 2,794,517 | |
Merrill Lynch | 151,080 | 10,768,982 | |
MetLife | 170,020 | 11,855,495 | |
*New York Community Bancorp | 409,000 | 7,791,450 | |
PNC Financial Services Group | 68,880 | 4,690,728 | |
Prudential Financial | 36,930 | 3,603,629 | |
State Street | 47,790 | 3,257,366 | |
*SunTrust Banks | 86,040 | 6,510,647 | |
Travelers | 189,213 | 9,524,982 | |
UBS (Switzerland) | 159,729 | 8,589,499 | |
226,297,897 | |||
Health Care – 7.63% | |||
Abbott Laboratories | 43,500 | 2,332,470 | |
Aetna | 152,500 | 8,276,175 | |
GlaxoSmithKline | |||
(United Kingdom) | 94,540 | 2,510,645 | |
Johnson & Johnson | 180,960 | 11,889,072 | |
Merck | 122,000 | 6,306,180 | |
Pfizer | 582,620 | 14,233,407 | |
*†Tenet Healthcare | 1,124,030 | 3,776,741 | |
UnitedHealth Group | 53,360 | 2,584,225 | |
†Watson Pharmaceuticals | 177,700 | 5,757,480 | |
†WellPoint | 77,320 | 6,102,094 | |
Wyeth | 172,560 | 7,687,548 | |
71,456,037 | |||
Industrials – 12.38% | |||
Burlington Northern Santa Fe | 46,590 | 3,781,710 | |
CSX | 197,600 | 8,443,448 | |
Deere | 27,635 | 4,101,587 | |
Eaton | 11,460 | 1,134,998 | |
General Electric | 334,600 | 13,852,440 | |
*Grainger (W.W.) | 40,880 | 3,727,847 |
(continues) 39
Statements of net assets
Optimum Large Cap Value Fund
Number of | Value | ||
Shares | (U.S. $) | ||
Common Stock (continued) | |||
Industrials (continued) | |||
Honeywell International | 150,000 | $ 8,920,500 | |
Lockheed Martin | 199,950 | 21,692,576 | |
*Masco | 264,710 | 6,133,331 | |
Norfolk Southern | 10,600 | 550,246 | |
Northrop Grumman | 101,980 | 7,954,440 | |
Raytheon | 18,970 | 1,210,665 | |
Rockwell Automation | 44,730 | 3,109,182 | |
Timken | 33,200 | 1,233,380 | |
Tyco Electronics | 131,800 | 4,669,674 | |
Tyco International | 119,600 | 5,303,064 | |
Union Pacific | 49,400 | 5,585,164 | |
United Technologies | 109,560 | 8,817,389 | |
Waste Management | 152,900 | 5,770,446 | |
115,992,087 | |||
Information Technology – 5.63% | |||
Accenture Class A | 117,640 | 4,735,010 | |
Hewlett-Packard | 264,220 | 13,155,514 | |
Intel | 274,320 | 7,093,915 | |
*International Business Machines | 151,950 | 17,899,710 | |
Motorola | 121,100 | 2,243,983 | |
†Oracle | 350,820 | 7,595,253 | |
52,723,385 | |||
Materials – 6.76% | |||
Air Products & Chemicals | 39,420 | 3,853,699 | |
*Bowater | 8,530 | 127,268 | |
Dow Chemical | 36,530 | 1,572,982 | |
duPont (E.I.) deNemours | 268,400 | 13,301,903 | |
*Louisiana-Pacific | 266,200 | 4,517,414 | |
Lyondell Chemical | 106,800 | 4,950,180 | |
MeadWestvaco | 302,400 | 8,929,872 | |
Packaging Corp. of America | 415,800 | 12,087,306 | |
PPG Industries | 91,080 | 6,881,094 | |
Praxair | 33,480 | 2,804,285 | |
†Smurfit-Stone Container | 60,140 | 702,435 | |
Syngenta (Switzerland) | 16,530 | 3,564,153 | |
63,292,591 | |||
Telecommunications – 8.15% | |||
*Alcatel-Lucent ADR | 1,002,432 | 10,204,758 | |
ALLTEL | 104,100 | 7,253,688 | |
AT&T | 446,910 | 18,908,763 | |
*BCE | 332,585 | 13,320,029 | |
Embarq | 58,806 | 3,269,614 | |
*†Qwest Communications International | 517,000 | 4,735,720 | |
Sprint Nextel | 222,450 | 4,226,550 | |
TELUS (Canada) | 18,210 | 1,025,348 | |
Verizon Communications | 52,140 | 2,308,759 | |
Vodafone Group | |||
(United Kingdom) | 1,325,937 | 4,788,093 | |
*Windstream | 448,000 | 6,325,760 | |
76,367,082 | |||
Utilities – 2.98% | |||
American Electric Power | 234,130 | 10,788,711 | |
*Dominion Resources | 61,788 | 5,208,728 | |
Entergy | 31,960 | 3,460,948 | |
*FPL Group | 78,260 | 4,764,469 | |
PG&E | 17,740 | 847,972 | |
PPL | 25,990 | 1,203,337 | |
Public Service Enterprise Group | 18,580 | 1,634,854 | |
27,909,019 | |||
Total Common Stock | |||
(cost $774,905,491) | 900,720,795 | ||
Principal | |||
Amount (U.S. $) | |||
¹Discount Note – 1.22% | |||
Federal Home Loan Bank | |||
4.001% 10/1/07 | $11,421,792 | 11,421,792 | |
Total Discount Note | |||
(cost $11,421,792) | 11,421,792 | ||
Repurchase Agreements – 2.63% | |||
With BNP Paribas 4.00% 10/1/07 | |||
(dated 9/28/07, to | |||
be repurchased at | |||
$24,674,222, collateralized | |||
by $11,260,000 U.S. | |||
Treasury Notes 3.375% | |||
due 9/15/09, market value | |||
$11,162,466, $1,850,000 | |||
U.S. Treasury Notes 3.875% | |||
due 7/15/10, market value | |||
$1,860,374 , $1,285,000 | |||
U.S. Treasury Notes 4.125% | |||
due 8/15/08, market value | |||
$1,292,360, $4,514,000 | |||
U.S. Treasury Notes 4.50% | |||
due 2/15/09, market value | |||
$4,572,304 and $6,113,000 | |||
U.S. Treasury Notes 5.625% | |||
due 5/15/08, market value | |||
$6,300,637) | 24,666,000 | 24,666,000 | |
Total Repurchase Agreements | |||
(cost $24,666,000) | 24,666,000 | ||
Total Value of Securities Before Securities | |||
Lending Collateral – 100.01% | |||
(cost $810,993,283) | 936,808,587 |
40
Principal | Value | |||
Amount (U.S. $) | (U.S. $) | |||
Securities Lending Collateral** – 13.23% | ||||
Investment Companies | ||||
Mellon GSL DBT II | ||||
Collateral Fund | $123,933,116 | $ 123,933,116 | ||
Total Securities Lending Collateral | ||||
(cost $123,933,116) | 123,933,116 | |||
Total Value of Securities – 113.24% | ||||
(cost $934,926,399) | 1,060,741,703 | © | ||
Obligation to Return Securities | ||||
Lending Collateral** – (13.23%) | (123,933,116 | ) | ||
Liabilities Net of Receivables | ||||
and Other Assets – (0.01%) | (105,572 | ) | ||
Net Assets Applicable to 70,243,211 | ||||
Shares Outstanding – 100.00% | $ 936,703,015 |
Net Asset Value – Optimum Large Cap Value Fund | ||||
Class A ($63,143,228 / 4,731,345 Shares) | $13.35 | |||
Net Asset Value – Optimum Large Cap Value Fund | ||||
Class B ($11,756,284 / 888,794 Shares) | $13.23 | |||
Net Asset Value – Optimum Large Cap Value Fund | ||||
Class C ($239,535,093 / 18,115,541 Shares) | $13.22 | |||
Net Asset Value – Optimum Large Cap Value Fund | ||||
Institutional Class | ||||
($622,268,410 / 46,507,531 Shares) | $13.38 | |||
Components of Net Assets at September 30, 2007: | ||||
Shares of beneficial interest | ||||
(unlimited authorization – no par) | $780,882,160 | |||
Undistributed net investment income | 4,615,848 | |||
Accumulated net realized gain on investments | 25,378,981 | |||
Net unrealized appreciation of investments | ||||
and foreign currencies | 125,826,026 | |||
Total net assets | $936,703,015 |
*Fully or partially on loan.
†Non-income producing security for the period ended September 30, 2007.
¹The rate shown is the effective yield at the time of purchase.
**See Note 11 in “Notes to financial statements”.
©Includes $119,580,505 of securities loaned.
Summary of Abbreviations:
ADR — American Depositary Receipts
CHF — Swiss Francs
USD — United States Dollar
Net Asset Value and Offering Price per Share – | |
Optimum Large Cap Value Fund | |
Net asset value Class A (A) | $13.35 |
Sales charge (5.75% of offering price) (B) | 0.81 |
Offering price | $14.16 |
(A) | Net asset value per share, as illustrated, is the amount which would be paid upon redemption or repurchase of shares. | |
(B) | See the current prospectus for purchases of $75,000 or more. | |
The following foreign currency exchange contracts were outstanding at September 30, 2007: |
Foreign Currency Exchange Contracts1 | ||||||||||||||
Unrealized | ||||||||||||||
Contracts to | Settlement | Appreciation | ||||||||||||
Receive (Deliver) | In Exchange For | Date | (Depreciation) | |||||||||||
CHF | (697,259 | ) | USD | 594,667 | 10/2/07 | $(4,404 | ) | |||||||
CHF | 31,478 | USD | (26,893 | ) | 10/1/07 | 150 | ||||||||
$(4,254 | ) | |||||||||||||
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amount recognized in the financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
1 See Note 7 in “Notes to financial statements.”
See accompanying notes
(continues) 41
Statements of net assets
Optimum Small Cap Growth Fund
September 30, 2007 (Unaudited)
Number of | |||
Shares | Value | ||
Common Stock – 96.60%² | |||
Basic Industry/Capital Goods – 14.28% | |||
*†Allis-Chalmers Energy | 19,500 | $ 369,330 | |
AMETEK | 37,500 | 1,620,750 | |
*†Atwood Oceanics | 29,500 | 2,258,520 | |
*Belden | 8,000 | 375,280 | |
*†Brush Engineered Materials | 9,200 | 477,388 | |
†Ceradyne | 11,091 | 840,032 | |
Donaldson | 29,000 | 1,211,040 | |
†Drew Industries | 15,000 | 610,200 | |
Dynamic Materials | 15,900 | 761,451 | |
Florida Rock Industries | 7,500 | 468,675 | |
*†Genlyte Group | 32,000 | 2,056,320 | |
Kaydon | 10,000 | 519,900 | |
†Littelfuse | 10,000 | 356,900 | |
†Mettler-Toledo International | 20,000 | 2,040,000 | |
*Mine Safety Appliances | 7,600 | 358,036 | |
*Nordson | 31,000 | 1,556,510 | |
*Pentair | 33,400 | 1,108,212 | |
*†Quanta Services | 44,000 | 1,163,800 | |
*†Rogers | 3,800 | 156,522 | |
*Scotts Miracle-Gro | 35,800 | 1,530,450 | |
Toro | 16,200 | 953,046 | |
†Waste Connections | 40,950 | 1,300,572 | |
*†Zoltek | 28,000 | 1,221,640 | |
23,314,574 | |||
Business Services – 9.29% | |||
*Administaff | 20,000 | 726,000 | |
†Answerthink | 42,800 | 140,812 | |
†Ceridian | 42,000 | 1,459,080 | |
†comScore | 1,500 | 40,500 | |
†Concur Technologies | 72,600 | 2,288,352 | |
†Discovery Holding | 90,000 | 2,596,500 | |
†ExlService Holdings | 40,200 | 854,652 | |
*†Kenexa | 27,700 | 852,606 | |
*Knoll | 25,000 | 443,500 | |
†Labor Ready | 20,000 | 370,200 | |
†Navigant Consulting | 29,500 | 373,470 | |
*†Perficient | 33,400 | 730,458 | |
†SkillSoft ADR | 75,000 | 674,250 | |
†Stanley | 27,600 | 760,380 | |
TheStreet.com | 35,000 | 423,850 | |
*†Universal Technical Institute | 30,000 | 540,000 | |
*†ValueClick | 83,915 | 1,884,731 | |
15,159,341 | |||
Consumer Durables – 3.24% | |||
†Cavco Industries | 40,300 | 1,350,050 | |
*†Champion Enterprises | 168,400 | 1,849,032 | |
*†Jarden | 13,000 | 402,220 | |
*Spartan Motors | 47,200 | 794,376 | |
Thor Industries | 20,000 | 899,800 | |
5,295,478 | |||
Consumer Non-Durables – 8.05% | |||
Abercrombie & Fitch Class A | 22,200 | 1,791,540 | |
*†Central European District | 25,950 | 1,243,264 | |
†Chico’s FAS | 40,000 | 562,000 | |
*Christopher & Banks | 16,000 | 193,920 | |
*†Iconix Brand Group | 36,000 | 856,440 | |
*†J. Crew Group | 29,050 | 1,205,575 | |
*†Lululemon Athletica | 4,100 | 172,323 | |
Oxford Industries | 31,000 | 1,119,720 | |
*Pool | 50,000 | 1,249,000 | |
†SunOpta | 24,900 | 360,801 | |
†True Religion Apparel | 60,000 | 1,056,000 | |
*†Urban Outfitters | 48,000 | 1,046,400 | |
†Volcom | 31,600 | 1,343,632 | |
*†Zumiez | 21,200 | 940,644 | |
13,141,259 | |||
Consumer Services – 4.91% | |||
*†Entravision Communications | 120,000 | 1,106,400 | |
*†HealthExtras | 32,000 | 890,560 | |
International Speedway Class A | 15,500 | 710,830 | |
†inVentiv Health | 11,369 | 498,190 | |
†ITT Educational Services | 10,000 | 1,216,900 | |
†Lions Gate Entertainment | 85,000 | 876,350 | |
*†NutriSystem | 7,000 | 328,230 | |
*†Pinnacle Entertainment | 50,000 | 1,361,500 | |
†Salem Communications Class A | 45,000 | 360,000 | |
*†Sonic | 13,500 | 315,900 | |
*†Spanish Broadcasting Systems | |||
Class A | 36,400 | 93,912 | |
Speedway Motorsports | 6,800 | 251,600 | |
8,010,372 | |||
Energy – 5.00% | |||
*†Arena Resources | 12,600 | 825,300 | |
†Carrizo Oil & Gas | 51,787 | 2,323,165 | |
†Dresser-Rand Group | 3,200 | 136,672 | |
†Dril-Quip | 11,800 | 582,330 | |
†Flotek Industries | 5,300 | 233,995 | |
†FMC Technologies | 42,000 | 2,421,720 | |
†Gulfport Energy | 500 | 11,830 | |
*†Hercules Offshore | 19,300 | 503,923 | |
†Quicksilver Resources | 11,400 | 536,370 | |
†Tesco | 7,800 | 211,770 | |
*†TETRA Technologies | 18,000 | 380,520 | |
8,167,595 | |||
Financials – 2.37% | |||
*Aaron Rents | 20,000 | 446,000 | |
*†AmeriCredit | 19,500 | 342,810 | |
Eastern Insurance Holdings | 20,800 | 321,360 | |
†eHealth | 47,200 | 1,307,440 | |
HCC Insurance Holdings | 28,050 | 803,352 | |
†Markel | 500 | 242,000 | |
†Pinnacle Financial Partners | 9,200 | 265,144 | |
†World Acceptance | 4,500 | 148,860 | |
3,876,966 |
42
Number of | |||
Shares | Value | ||
Common Stock – (continued) | |||
Health Care – 11.02% | |||
*†Accuray | 36,200 | $ 632,052 | |
*†Allscripts Healthcare Solutions | 51,291 | 1,386,396 | |
*†Array Biopharma | 20,000 | 224,600 | |
†Barrier Therapeutics | 25,000 | 151,000 | |
*†BioMarin Pharmaceuticals | 39,000 | 971,100 | |
†Collagenex Pharmaceuticals | 20,000 | 179,600 | |
†Cynosure | 24,000 | 885,600 | |
*†deCODE genetics | 50,000 | 173,500 | |
*†Edwards Lifesciences | 6,000 | 295,860 | |
*†Healthways | 11,872 | 640,732 | |
†Illumina | 2,000 | 103,760 | |
†IsoRay | 140,000 | 497,000 | |
†La Jolla Pharmaceutical | 8,000 | 35,440 | |
*LCA-Vision | 23,000 | 675,970 | |
*†LHC Group | 21,700 | 465,899 | |
†LifeCell | 10,300 | 386,971 | |
†Lincare Holdings | 16,000 | 586,400 | |
*†Medarex | 25,000 | 354,000 | |
*Medicis Pharmaceutical Class A | 15,000 | 457,650 | |
†@#Medicure Restricted PIPE | 370,070 | 414,478 | |
†MGI Pharma | 8,000 | 222,240 | |
*†Myriad Genetics | 6,000 | 312,900 | |
*†Natus Medical | 18,500 | 294,890 | |
†Nektar Therapeutics | 25,000 | 220,750 | |
†Neurogen | 36,300 | 161,172 | |
*†NightHawk Radiology Holdings | 41,100 | 1,007,361 | |
*†Nuvelo | 136,700 | 280,235 | |
†Obagi Medical Products | 49,900 | 921,653 | |
†Omnicell | 25,000 | 713,500 | |
*†PDL BioPharma | 70,000 | 1,512,700 | |
†Pharmacopeia | 110,000 | 629,200 | |
*†PSS World Medical | 20,000 | 382,600 | |
†QLT | 35,000 | 199,150 | |
*†Salix Pharmaceuticals | 52,568 | 652,895 | |
*†Sciele Pharma | 28,245 | 734,935 | |
†Seattle Genetics | 19,900 | 223,676 | |
17,987,865 | |||
Real Estate – 0.96% | |||
*DiamondRock Hospitality | 47,000 | 818,270 | |
Kite Realty Group Trust | 40,000 | 752,000 | |
1,570,270 | |||
Technology – 35.96% | |||
*†Acme Packet | 56,647 | 873,497 | |
†American Tower Class A | 44,400 | 1,933,176 | |
†AMIS Holdings | 81,000 | 786,510 | |
Amphenol Class A | 20,000 | 795,200 | |
*†Ansys | 20,100 | 686,817 | |
†Atheros Communications | 42,900 | 1,285,713 | |
*†Avid Technology | 50,000 | 1,354,000 | |
*†Chordiant Software | 64,600 | 895,356 | |
*†Ciena | 15,000 | 571,200 | |
*†CNET Networks | 90,000 | 670,500 | |
†Crown Castle International | 18,400 | 747,592 | |
*CTS | 26,000 | 335,400 | |
*†DealerTrack Holdings | 32,300 | 1,352,724 | |
*†Dobson Communications Class A | 46,000 | 588,340 | |
†Double-Take Software | 49,400 | 944,034 | |
*EDO | 9,900 | 554,499 | |
*†Entegris | 50,000 | 434,000 | |
*†ESCO Technologies | 40,200 | 1,336,248 | |
*†FalconStor Software | 71,600 | 862,780 | |
*†FEI | 21,500 | 675,745 | |
*†FLIR Systems | 55,000 | 3,046,449 | |
*†Focus Media Holding ADR | 50,576 | 2,934,419 | |
†GeoEye | 17,000 | 437,750 | |
†Globecomm Systems | 21,900 | 290,394 | |
†Gmarket ADR | 34,100 | 799,645 | |
†Informatica | 35,000 | 549,500 | |
*†Innerworkings | 66,600 | 1,147,518 | |
*†Integrated Device Technology | 92,000 | 1,424,160 | |
†Interactive Intelligence | 37,800 | 718,200 | |
†IPG Photonics | 57,600 | 1,132,416 | |
*†Knot | 33,800 | 718,588 | |
*†Liquidity Services | 45,600 | 501,144 | |
†LoopNet | 29,200 | 599,768 | |
†Mellanox Technologies | 23,100 | 451,143 | |
†Mercadolibre | 8,500 | 311,355 | |
†Microsemi | 40,000 | 1,115,200 | |
†Nice Systems ADR | 33,700 | 1,207,808 | |
*†Novatel Wireless | 67,400 | 1,526,610 | |
†Novell | 140,400 | 1,072,656 | |
†O2Micro International ADR | 56,300 | 870,961 | |
†Omrix Biopharmaceuticals | 30,328 | 1,070,882 | |
*†OpNext | 57,800 | 670,480 | |
†Polycom | 50,000 | 1,343,000 | |
†ShoreTel | 78,700 | 1,126,984 | |
†Sierra Wireless | 61,500 | 1,296,420 | |
†Sigma Designs | 42,600 | 2,055,023 | |
*†Smith Micro Software | 37,300 | 599,038 | |
*†Supertex | 21,800 | 869,384 | |
†SXC Health Solutions | 28,625 | 458,573 | |
*†Synaptics | 34,600 | 1,652,496 | |
†Synchronoss Technologies | 39,000 | 1,640,340 | |
†Tellabs | 190,000 | 1,808,800 | |
*†Tessera Technologies | 26,863 | 1,007,363 | |
*†Time Warner Telecom Class A | 88,000 | 1,933,360 | |
†Trimble Navigation | 17,000 | 666,570 | |
*†Vasco Data Security International | 55,800 | 1,970,298 | |
58,708,026 |
(continues) 43
Statements of net assets
Optimum Small Cap Growth Fund
Number of | |||||
Shares | Value | ||||
Common Stock – (continued) | |||||
Transportation – 1.05% | |||||
*†American Commercial Lines | 34,000 | $ 806,820 | |||
*Heartland Express | 64,000 | 913,920 | |||
1,720,740 | |||||
Utilities – 0.47% | |||||
Northeast Utilities | 27,000 | 771,390 | |||
771,390 | |||||
Total Common Stock | |||||
(cost $127,816,509) | 157,723,876 | ||||
Warrants – 0.00% | |||||
†=Isoray, exercise price $5.00, | |||||
expiration date 3/22/11 | 28,000 | 0 | |||
†=@#Medicure Restricted PIPE, | |||||
exercise price $1.70, | |||||
expiration date 12/1/11 | 74,014 | 0 | |||
Total Warrants (cost $0) | 0 | ||||
Principal | |||||
Amount | |||||
¹Discount Note – 1.03% | |||||
Federal Home Loan Bank | |||||
4.001% 10/1/07 | $1,689,561 | 1,689,561 | |||
Total Discount Note | |||||
(cost $1,689,561) | 1,689,561 | ||||
Repurchase Agreements – 2.24% | |||||
With BNP Paribas 4.00% | |||||
10/1/07 (dated 9/28/07, to be | |||||
repurchased at $3,650,216, | |||||
collateralized by $1,666,000 | |||||
U.S. Treasury Notes 3.375% | |||||
due 9/15/09, market value | |||||
$1,651,335, $274,000 U.S. | |||||
Treasury Notes 3.875% | |||||
due 7/15/10, market value | |||||
$275,217, $190,000 U.S. | |||||
Treasury Notes 4.125% | |||||
due 8/15/08, market value | |||||
$191,187, $668,000 U.S. | |||||
Treasury Notes 4.50% due | |||||
2/15/09, market value $676,410 | |||||
and $904,000 U.S. Treasury | |||||
Notes 5.625% due 5/15/08, | |||||
market value $932,094) | 3,649,000 | 3,649,000 | |||
Total Repurchase Agreements | |||||
(cost $3,649,000) | 3,649,000 | ||||
Total Value of Securities Before Securities | |||||
Lending Collateral – 99.87% | |||||
(cost $133,155,070) | 163,062,437 | ||||
Securities Lending Collateral** – 23.37% | |||||
Investment Companies | |||||
Mellon GSL DBT II Collateral Fund | $38,157,558 | 38,157,558 | |||
Total Securities Lending Collateral | |||||
(cost $38,157,558) | 38,157,558 | ||||
Total Value of Securities – 123.24% | |||||
(cost $171,312,628) | 201,219,995 | © | |||
Obligation to Return Securities | |||||
Lending Collateral** – (23.37%) | (38,157,558 | ) | |||
Receivables and Other Assets | |||||
Net of Liabilities – 0.13% | 210,457 | ||||
Net Assets Applicable to 10,937,764 | |||||
Shares Outstanding – 100.00% | $163,272,894 | ||||
Net Asset Value – Optimum Small Cap Growth Fund | |||||
Class A ($12,892,836 / 864,855 Shares) | $14.91 | ||||
Net Asset Value – Optimum Small Cap Growth Fund | |||||
Class B ($2,249,169 / 154,985 Shares) | $14.51 | ||||
Net Asset Value – Optimum Small Cap Growth Fund | |||||
Class C ($45,035,626 / 3,103,264 Shares) | $14.51 | ||||
Net Asset Value – Optimum Small Cap Growth Fund | |||||
Institutional Class ($103,095,263 / 6,814,660 Shares) | $15.13 | ||||
Components of Net Assets at September 30, 2007: | |||||
Shares of beneficial interest | |||||
(unlimited authorization – no par) | $128,960,425 | ||||
Accumulated net realized gain on investments | 4,405,102 | ||||
Net unrealized appreciation of investments | 29,907,367 | ||||
Total net assets | $163,272,894 |
44
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | Fully or partially on loan. |
† | Non-income producing security for the period ended September 30, 2007. |
# | Restricted Security. Investment in a security not registered under the Securities Act of 1933, as amended. This security has certain restrictions on resale which may limit its liquidity. At September 30, 2007, the aggregate amount of the restricted securities equaled $414,478 or 0.25% of the Fund’s net assets. See Note 12 in “Notes to financial statements.” |
@ | Illiquid security. At September 30, 2007, the aggregate amount of illiquid securities equaled $414,478, which represented 0.25% of the Fund’s net assets. See Note 12 in “Notes to financial statements.” |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At September 30, 2007, the aggregate amount of fair valued securities equaled $0, which represented 0.00% of the Fund’s net assets. See Note 12 in “Notes to financial statements.” |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 11 in “Notes to Financial Statements”. |
© | Includes $36,766,944 of securities loaned. |
Summary of Abbreviations: |
ADR — American Depositary Receipts PIPE — Private Investment in Public Equity |
Net Asset Value and Offering Price Per Share – | |
Optimum Small Cap Growth Fund | |
Net asset value Class A (A) | $14.91 |
Sales charge (5.75% of offering price) (B) | 0.91 |
Offering price | $15.82 |
(A) | Net asset value per share, as illustrated, is the amount which would be paid upon redemption or repurchase of shares. | |
(B) | See the current prospectus for purchases of $75,000 or more. |
See accompanying notes
(continues) 45
Statements of net assets
Optimum Small Cap Value Fund
September 30, 2007 (Unaudited)
Number of | ||||
Shares | Value | |||
Common Stock – 90.47% | ||||
Basic Industry – 15.13% | ||||
*Albany International | 46,500 | $ | 1,743,285 | |
AMETEK | 10,500 | 453,810 | ||
Ashland | 16,000 | 963,360 | ||
*Brady Class A | 42,000 | 1,506,960 | ||
*Chemtura | 53,000 | 471,170 | ||
Crane | 37,000 | 1,774,890 | ||
Cytec Industries | 30,000 | 2,051,700 | ||
Eastman Chemical | 10,000 | 667,300 | ||
FMC | 33,000 | 1,716,660 | ||
Hercules | 112,740 | 2,369,794 | ||
*†Kapstone Paper & Packaging | 170,000 | 1,220,600 | ||
†Lydall | 63,000 | 584,640 | ||
†Material Sciences | 47,000 | 499,140 | ||
*†NCI Building Systems | 15,000 | 648,150 | ||
Quanex | 17,000 | 798,660 | ||
Sensient Technologies | 23,975 | 692,158 | ||
*St. Joe | 7,000 | 235,270 | ||
*†Trex | 48,000 | 533,760 | ||
Tronox Class A | 27,900 | 259,470 | ||
Tronox Class B | 38,500 | 347,655 | ||
19,538,432 | ||||
Business Services – 8.95% | ||||
Courier | 12,683 | 446,568 | ||
Ennis | 26,490 | 583,840 | ||
*†Hudson Highland Group | 120,900 | 1,539,057 | ||
*IKON Office Solutions | 118,300 | 1,520,155 | ||
*Kelly Services | 64,200 | 1,271,802 | ||
*†Labor Ready | 34,000 | 629,340 | ||
†Live Nation | 26,900 | 571,625 | ||
†MPS Group | 115,000 | 1,282,250 | ||
*Nautilus | 34,550 | 275,364 | ||
†PHH | 52,800 | 1,387,584 | ||
†R.H. Donnelley | 8,200 | 459,364 | ||
†Spherion | 61,400 | 507,164 | ||
*†Valassis Communications | 121,300 | 1,081,996 | ||
11,556,109 | ||||
Capital Spending – 6.30% | ||||
*Acuity Brands | 14,000 | 706,720 | ||
†Advanced Energy Industries | 12,500 | 188,750 | ||
Commercial Metals | 12,000 | 379,800 | ||
*Flowserve | 18,600 | 1,416,948 | ||
Hardinge | 5,058 | 176,170 | ||
Hubbell Class B | 6,500 | 371,280 | ||
Kennametal | 38,000 | 3,191,240 | ||
*†Miller Industries | 72,300 | 1,237,776 | ||
*Wabash National | 41,600 | 469,664 | ||
8,138,348 | ||||
Consumer Cyclical – 7.17% | ||||
*Beazer Homes USA | 79,000 | 651,750 | ||
*Ethan Allen Interiors | 44,800 | 1,464,512 | ||
*Furniture Brands International | 153,300 | 1,554,462 | ||
*Hooker Furniture | 31,352 | 627,667 | ||
*La-Z-Boy | 33,760 | 249,149 | ||
*Lifetime Brands | 35,000 | 710,150 | ||
MDC Holdings | 42,400 | 1,735,856 | ||
*†Meritage Homes | 12,100 | 170,852 | ||
*Ryland Group | 8,500 | 182,155 | ||
Stanley Works | 24,000 | 1,347,120 | ||
*†WCI Communities | 94,000 | 563,060 | ||
9,256,733 | ||||
Consumer Services – 11.55% | ||||
†Avis Budget Group | 24,300 | 556,227 | ||
†BJ’s Wholesale Club | 26,100 | 865,476 | ||
†Collective Brands | 57,000 | 1,257,420 | ||
Delta Apparel | 37,000 | 632,700 | ||
†Eddie Bauer Holdings | 28,400 | 244,240 | ||
Foot Locker | 125,000 | 1,916,250 | ||
Group 1 Automotive | 13,500 | 453,195 | ||
IHOP | 9,120 | 577,570 | ||
*Jones Apparel Group | 42,000 | 887,460 | ||
*Kenneth Cole Productions Class A | 16,890 | 327,159 | ||
Monaco Coach | 41,495 | 582,175 | ||
*†Pacific Sunwear of California | 70,100 | 1,037,480 | ||
†Pathmark Stores | 55,200 | 703,800 | ||
†Rent-A-Center | 38,600 | 699,818 | ||
*†Rush Enterprises Class A | 33,000 | 836,550 | ||
†Russ Berrie & Co. | 15,700 | 263,760 | ||
†Sturm Ruger & Co. | 7,100 | 127,161 | ||
†Warnaco Group | 44,700 | 1,746,429 | ||
*Westwood One | 322,800 | 887,700 | ||
†Winn-Dixie Stores | 17,000 | 318,240 | ||
14,920,810 | ||||
Consumer Staples – 0.45% | ||||
Chiquita Brands International | 36,375 | 575,816 | ||
575,816 | ||||
Energy – 5.54% | ||||
†Callon Petroleum | 43,000 | 598,560 | ||
*CARBO Ceramics | 14,900 | 755,877 | ||
*†Forest Oil | 6,000 | 258,240 | ||
Foundation Coal Holdings | 26,400 | 1,034,880 | ||
Gulf Island Fabrication | 18,060 | 693,323 | ||
*†ION Geophysical | 37,980 | 525,263 | ||
*†Mariner Energy | 4,855 | 100,547 | ||
Southern Union | 49,000 | 1,524,391 | ||
†Southwestern Energy | 15,620 | 653,697 | ||
†Weatherford International | 15,000 | 1,007,700 | ||
7,152,478 |
46
Number of | ||||
Shares | Value | |||
Common Stock (continued) | ||||
Financial Services – 6.91% | ||||
*American Equity Investment | ||||
Life Holding | 53,320 | $ | 567,858 | |
CFS Bancorp | 9,295 | 131,060 | ||
*†Conseco | 21,100 | 337,600 | ||
*Employers Holdings | 75,400 | 1,553,993 | ||
†FPIC Insurance Group | 17,535 | 754,882 | ||
Hanover Insurance Group | 41,500 | 1,833,884 | ||
Horace Mann Educators | 28,150 | 554,837 | ||
†KMG America | 59,600 | 352,832 | ||
*†LaBranche & Co. | 54,460 | 254,873 | ||
Old National Bancorp | 35,950 | 595,692 | ||
*†PMA Capital Class A | 36,000 | 342,000 | ||
*Suffolk Bancorp | 20,140 | 645,688 | ||
†United America Indemnity Class A | 46,664 | 1,003,743 | ||
8,928,942 | ||||
Health Care – 2.45% | ||||
*†Kinetic Concepts | 12,000 | 675,360 | ||
*†LifePoint Hospitals | 17,320 | 519,773 | ||
†Microtek Medical Holdings | 102,065 | 630,762 | ||
†RehabCare Group | 37,213 | 654,577 | ||
STERIS | 25,000 | 683,250 | ||
3,163,722 | ||||
Real Estate – 5.74% | ||||
*Brookfield Homes | 12,824 | 237,885 | ||
*†California Coastal Communities | 36,200 | 445,260 | ||
*CapLease | 175,500 | 1,798,875 | ||
Equity Inns | 7,570 | 170,931 | ||
*Lexington Reality Trust | 52,200 | 1,044,522 | ||
*†Lodgian | 116,100 | 1,369,980 | ||
MI Developments Class A | 71,000 | 2,350,810 | ||
7,418,263 | ||||
Technology – 15.75% | ||||
Agilysys | 33,255 | 562,010 | ||
*†BearingPoint | 65,100 | 263,655 | ||
*†Checkpoint Systems | 32,000 | 844,480 | ||
†CIBER | 89,925 | 702,314 | ||
Cohu | 31,110 | 583,313 | ||
†Ducommun | 23,870 | 771,001 | ||
†Esterline Technologies | 25,000 | 1,426,249 | ||
*†Fairchild | ||||
Semiconductor International | 40,000 | 747,200 | ||
†Flextronics International | 127,000 | 1,419,860 | ||
*Imation | 44,000 | 1,079,320 | ||
*†Intermec | 27,000 | 705,240 | ||
*†International Rectifier | 35,000 | 1,154,650 | ||
*†LeCroy | 60,000 | 447,600 | ||
Methode Electronics | 3,800 | 57,190 | ||
†Neoware | 34,280 | 556,022 | ||
†Novell | 99,400 | 759,416 | ||
*†Plexus | 38,000 | 1,041,200 | ||
†Radyne | 62,000 | 653,480 | ||
†Solectron | 125,000 | 487,500 | ||
†Thermo Fisher Scientific | 45,000 | 2,597,399 | ||
†Tollgrade Communications | 62,665 | 634,170 | ||
*†Unisys | 13,800 | 91,356 | ||
†Vishay Intertechnology | 105,000 | 1,368,150 | ||
*†Zebra Technologies Class A | 38,000 | 1,386,620 | ||
20,339,395 | ||||
Transportation – 3.36% | ||||
Alexander & Baldwin | 5,600 | 280,728 | ||
Con-way | 28,400 | 1,306,400 | ||
Overseas Shipholding Group | 7,000 | 537,810 | ||
Skywest | 23,260 | 585,454 | ||
*†YRC Worldwide | 59,600 | 1,628,272 | ||
4,338,664 | ||||
Utilities – 1.17% | ||||
*Great Plains Energy | 33,000 | 950,730 | ||
Portland General Electric | 20,300 | 564,340 | ||
1,515,070 | ||||
Total Common Stock | ||||
(cost $114,449,437) | 116,842,782 | |||
Exchange Traded Fund – 0.56% | ||||
*iShares Russell 2000 Value | ||||
Index Fund | 9,400 | 720,980 | ||
Total Exchange Traded Fund | ||||
(cost $728,572) | 720,980 | |||
Principal | ||||
Amount | ||||
¹Discount Note – 2.90% | ||||
Federal Home Loan Bank | ||||
4.001% 10/1/07 | $3,740,242 | 3,740,242 | ||
Total Discount Note | ||||
(cost $3,740,242) | 3,740,242 | |||
Repurchase Agreements – 6.25% | ||||
With BNP Paribas 4.00% 10/1/07 | ||||
(dated 9/28/07, to be repurchased | ||||
at $8,079,692, collateralized by | ||||
$3,687,000 U.S. Treasury Notes | ||||
3.375% due 9/15/09, market | ||||
value $3,655,203, $606,000 | ||||
U.S. Treasury Notes 3.875% due | ||||
7/15/10, market value $609,188, | ||||
$421,000 U.S. Treasury Notes | ||||
4.125% due 8/15/08, market | ||||
value $423,189, $1,478,000 U.S. | ||||
Treasury Notes 4.50% due 2/15/09, | ||||
market value $1,497,223 and | ||||
$2,002,000 U.S. Treasury Notes | ||||
5.625% due 5/15/08, market value | ||||
$2,063,174) | 8,077,000 | 8,077,000 | ||
Total Repurchase Agreements | ||||
(cost $8,077,000) | 8,077,000 |
(continues) 47
Statements of net assets
Optimum Small Cap Value Fund
Value | |||||
Total Value of Securities Before Securities | |||||
Lending Collateral – 100.18% | |||||
(cost $126,995,251) | $129,381,004 | ||||
Principal | |||||
Amount | |||||
Securities Lending Collateral** – 22.62% | |||||
Investment Companies | |||||
Mellon GSL DBT II Collateral Fund | $29,209,770 | 29,209,770 | |||
Total Securities Lending Collateral | |||||
(cost $29,209,770) | 29,209,770 | ||||
Total Value of Securities – 122.80% | |||||
(cost $156,205,021) | 158,590,774 | © | |||
Obligation to Return Securities | |||||
Lending Collateral** – (22.62%) | (29,209,770 | ) | |||
Liabilities Net of Receivables | |||||
and Other Assets – (0.18%) | (233,611 | ) | |||
Net Assets Applicable to 10,198,686 | |||||
Shares Outstanding – 100.00% | $129,147,393 | ||||
Net Asset Value – Optimum Small Cap Value Fund | |||||
Class A ($11,746,814 / 927,210 Shares) | $12.67 | ||||
Net Asset Value – Optimum Small Cap Value Fund | |||||
Class B ($2,029,007 / 164,953 Shares) | $12.30 | ||||
Net Asset Value – Optimum Small Cap Value Fund | |||||
Class C ($39,467,939 / 3,209,388 Shares) | $12.30 | ||||
Net Asset Value – Optimum Small Cap Value Fund | |||||
Institutional Class | |||||
($75,903,633 / 5,897,135 Shares) | $12.87 | ||||
Components of Net Assets at September 30, 2007: | |||||
Shares of beneficial interest | |||||
(unlimited authorization – no par) | $121,378,536 | ||||
Accumulated net realized gain on investments | 5,383,104 | ||||
Net unrealized appreciation of investments | 2,385,753 | ||||
Total net assets | $129,147,393 |
* | Fully or partially on loan. |
† | Non-income producing security for the period ended September 30, 2007. |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 11 in “Notes to Financial Statements”. |
© | Includes $27,463,958 of securities loaned. |
Net Asset Value and Offering Price Per Share – | |
Optimum Small Cap Value Fund | |
Net asset value Class A (A) | $12.67 |
Sales charge (5.75% of offering price) (B) | 0.77 |
Offering price | $13.44 |
(A) | Net asset value per share, as illustrated, is the amount which would be paid upon redemption or repurchase of shares. | |
(B) | See the current prospectus for purchases of $75,000 or more. |
See accompanying notes
48
Statements of assets and liabilities
Optimum Fund Trust
September 30, 2007 (Unaudited)
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | |||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||
Assets: | ||||||||||||
Investments at market | $ 896,306,331 | $ 314,850,195 | $ 1,000,930,219 | $ 936,808,587 | $ 163,062,437 | $ 129,381,004 | ||||||
Short-term investments held as collateral | ||||||||||||
for loaned securities | 122,737,929 | 33,077,308 | 133,973,390 | 123,933,116 | 38,157,558 | 29,209,770 | ||||||
Cash | — | 737,076 | 635,687 | 1,130,555 | 146,450 | 18,890 | ||||||
Foreign currencies | 6,320,991 | 1,377,871 | 496,774 | — | — | |||||||
Subscriptions receivable | 2,808,348 | 742,773 | 2,599,207 | 2,381,014 | 419,615 | 298,406 | ||||||
Receivables for securities sold | 30,722,308 | 805,916 | 1,875,664 | 8,170,729 | 1,766,536 | 805,179 | ||||||
Foreign currency contracts, at value | — | — | 553 | — | — | — | ||||||
Dividends receivable | — | 1,365,087 | 666,425 | 1,588,380 | 52,321 | 105,162 | ||||||
Interest receivable | 8,759,933 | 925 | 12,967 | 8,222 | 1,216 | 2,692 | ||||||
Variation margin payable on futures contracts | 7,307 | — | — | — | — | — | ||||||
Credit default swap contracts, at value1 | 4,590,938 | — | — | — | — | — | ||||||
Other assets | 25,005 | — | — | — | — | — | ||||||
Total assets | 1,072,279,090 | 352,957,151 | 1,141,190,886 | 1,074,020,603 | 203,606,133 | 159,821,103 | ||||||
Liabilities: | ||||||||||||
Payables for securities purchased | 69,898,499 | 567,185 | 18,423,441 | 11,129,432 | 1,721,039 | 1,072,845 | ||||||
Obligation to return security lending collateral | 122,737,929 | 33,077,308 | 133,973,390 | 123,933,116 | 38,157,558 | 29,209,770 | ||||||
Cash overdraft | 191,507 | — | — | — | — | — | ||||||
Liquidations payable | 196,299 | 111,756 | 413,527 | 452,526 | 64,261 | 69,159 | ||||||
Credit default swap contracts, at value1 | 273,135 | — | — | — | — | — | ||||||
Accrued protection payments on credit | ||||||||||||
default swaps | 6,507 | — | — | — | — | — | ||||||
Foreign currency contracts, at value | 1,189,009 | 36,655 | — | 4,254 | — | — | ||||||
Distributions payable | 412 | 76 | 80 | 65 | 51 | 327 | ||||||
Due to manager and affiliates | 1,442,935 | 652,561 | 1,770,918 | 1,683,573 | 359,908 | 292,688 | ||||||
Swap fees payable | 55,977 | — | — | — | — | — | ||||||
Other accrued expenses | 97,394 | 122,409 | 122,810 | 114,622 | 30,422 | 28,921 | ||||||
Total index swap contract, at value | 19,524 | — | — | — | — | — | ||||||
Total liabilities | 196,109,127 | 34,567,950 | 154,704,166 | 137,317,588 | 40,333,239 | 30,673,710 | ||||||
Total Net Assets | $ 876,169,963 | $ 318,389,201 | $ 986,486,720 | $ 936,703,015 | $ 163,272,894 | $ 129,147,393 | ||||||
Investments at cost | $895,106,453 | $244,095,264 | $812,283,350 | $810,993,283 | $133,155,070 | $126,995,251 | ||||||
Cost of short-term investments held as | ||||||||||||
collateral for loaned securities | 122,737,929 | 33,077,308 | 133,973,390 | 123,933,116 | 38,157,558 | 29,209,770 | ||||||
Foreign currencies at cost | $6,778,036 | $1,360,784 | $494,334 | $— | $— | $— | ||||||
1 Includes up front payments received of $621,920. | ||||||||||||
See Note 10 in “Notes to financial statements.” |
See accompanying notes
49
Statements of operations
Optimum Fund Trust
Six Months Ended September 30, 2007 (Unaudited)
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends | $ | 12,627 | $ | 6,465,530 | $ | 4,493,651 | $ | 10,336,568 | $ | 358,278 | $ | 627,553 | |||||||||||
Interest | 23,313,202 | 137,984 | 1,310,907 | 1,047,144 | 136,343 | 292,310 | |||||||||||||||||
Securities lending income | 61,073 | 4,438 | 27,681 | 17,176 | 20,005 | 22,825 | |||||||||||||||||
Foreign tax withheld | — | (655,870 | ) | (141,988 | ) | (169,722 | ) | — | (3,383 | ) | |||||||||||||
23,386,902 | 5,952,082 | 5,690,251 | 11,231,166 | 514,626 | 939,305 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Management fees | 2,393,555 | 1,198,031 | 3,369,431 | 3,169,924 | 847,650 | 696,719 | |||||||||||||||||
Distribution expenses – Class A | 107,073 | 46,712 | 106,593 | 108,872 | 22,235 | 22,346 | |||||||||||||||||
Distribution expenses – Class B | 48,159 | 25,880 | 57,260 | 59,659 | 11,367 | 11,192 | |||||||||||||||||
Distribution expenses – Class C | 1,199,757 | 480,472 | 1,114,001 | 1,165,284 | 216,872 | 211,269 | |||||||||||||||||
Dividend disbursing and transfer agent | |||||||||||||||||||||||
fees and expenses | 1,030,475 | 433,549 | 1,137,655 | 1,126,306 | 267,970 | 247,533 | |||||||||||||||||
Administration expenses | 632,058 | 247,376 | 687,300 | 682,659 | 127,148 | 110,641 | |||||||||||||||||
Accounting fees | 162,221 | 59,803 | 177,968 | 176,634 | 30,738 | 26,747 | |||||||||||||||||
Reports and statements to shareholders | 48,495 | 22,045 | 44,390 | 47,917 | 10,988 | 10,159 | |||||||||||||||||
Trustees’ fees | 39,979 | 15,026 | 45,533 | 44,589 | 7,783 | 6,604 | |||||||||||||||||
Professional fees | 38,150 | 19,492 | 39,545 | 39,496 | 16,655 | 16,765 | |||||||||||||||||
Custodian fees | 31,023 | 65,561 | 29,635 | 18,303 | 2,531 | 933 | |||||||||||||||||
Registration fees | 28,203 | 26,228 | 36,518 | 23,618 | 27,902 | 27,908 | |||||||||||||||||
Insurance fees | 16,247 | 5,851 | 18,874 | 17,428 | 3,025 | 2,198 | |||||||||||||||||
Pricing fees | 13,785 | 7,745 | 1,284 | 876 | 743 | 566 | |||||||||||||||||
Other | 3,744 | 1,732 | 4,699 | 4,311 | 1,828 | 1,032 | |||||||||||||||||
5,792,924 | 2,655,503 | 6,870,686 | 6,685,876 | 1,595,435 | 1,392,612 | ||||||||||||||||||
Less expenses absorbed or waived | (765,686 | ) | — | — | (66,883 | ) | (126,191 | ) | (204,549 | ) | |||||||||||||
Less expense paid indirectly | (31,023 | ) | (6,247 | ) | (1,206 | ) | (1,314 | ) | (551 | ) | (222 | ) | |||||||||||
Total operating expenses | 4,996,215 | 2,649,256 | 6,869,480 | 6,617,679 | 1,468,693 | 1,187,841 | |||||||||||||||||
Net Investment Income (Loss) | 18,390,687 | 3,302,826 | (1,179,229 | ) | 4,613,487 | (954,067 | ) | (248,536 | ) | ||||||||||||||
Net Realized and Unrealized Gain (Loss) | |||||||||||||||||||||||
on Investments and Foreign Currencies: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments | (2,385,105 | ) | 12,507,477 | 13,660,963 | 27,189,097 | 4,458,473 | 5,702,256 | ||||||||||||||||
Futures contracts | 892,370 | — | — | — | — | — | |||||||||||||||||
Swap contracts | 1,217,216 | — | — | — | — | — | |||||||||||||||||
Options written | 28,039 | — | — | — | — | — | |||||||||||||||||
Foreign currencies | 1,134,733 | (424,349 | ) | (2,465 | ) | 3,708 | — | — | |||||||||||||||
Net realized gain | 887,253 | 12,083,128 | 13,658,498 | 27,192,805 | 4,458,473 | 5,702,256 | |||||||||||||||||
Net change in unrealized | |||||||||||||||||||||||
appreciation/depreciation of | |||||||||||||||||||||||
investments and foreign currencies | (3,144,188 | ) | 9,658,809 | 87,364,075 | 23,513,257 | 7,400,579 | (11,603,916 | ) | |||||||||||||||
Net Realized and Unrealized Gain (Loss) | |||||||||||||||||||||||
on Investments and Foreign Currencies | (2,256,935 | ) | 21,741,937 | 101,022,573 | 50,706,062 | 11,859,052 | (5,901,660 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | |||||||||||||||||||||||
Resulting from Operations | $ | 16,133,752 | $ | 25,044,763 | $ | 99,843,344 | $ | 55,319,549 | $ | 10,904,985 | $ | (6,150,196 | ) |
See accompanying notes
50
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | ||||||||||||||
Six Months | Year | Six Months | Year | ||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||
9/30/07 | 3/31/07 | 9/30/07 | 3/31/07 | ||||||||||||
(Unaudited) | (Unaudited) | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||
Net investment income | $ | 18,390,687 | $ | 28,504,974 | $ | 3,302,826 | $ | 1,683,671 | |||||||
Net realized gain on investments and foreign currencies | 887,253 | 1,955,073 | 12,083,128 | 11,869,726 | |||||||||||
Net change in unrealized appreciation/depreciation of investments | |||||||||||||||
and foreign currencies | (3,144,188 | ) | 17,524,578 | 9,658,809 | 31,831,482 | ||||||||||
Net increase in net assets resulting from operations | 16,133,752 | 47,984,625 | 25,044,763 | 45,384,879 | |||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||
Net investment income: | |||||||||||||||
Class A | (544,072 | ) | (2,067,179 | ) | (1,643 | ) | (266,622 | ) | |||||||
Class B | (52,681 | ) | (293,462 | ) | — | (35,681 | ) | ||||||||
Class C | (1,346,951 | ) | (6,775,928 | ) | — | (579,343 | ) | ||||||||
Institutional Class | (5,494,175 | ) | (16,228,518 | ) | (146,385 | ) | (1,804,993 | ) | |||||||
Net realized gain on investments: | |||||||||||||||
Class A | (87,155 | ) | — | (479,660 | ) | (915,224 | ) | ||||||||
Class B | (13,879 | ) | — | (94,804 | ) | (192,358 | ) | ||||||||
Class C | (343,399 | ) | — | (1,756,110 | ) | (3,349,247 | ) | ||||||||
Institutional Class | (714,892 | ) | — | (3,053,180 | ) | (4,949,128 | ) | ||||||||
(8,597,204 | ) | (25,365,087 | ) | (5,531,782 | ) | (12,092,596 | ) | ||||||||
Capital Share Transactions: | |||||||||||||||
Proceeds from shares sold: | |||||||||||||||
Class A | 8,776,179 | 16,393,284 | 2,378,949 | 5,352,586 | |||||||||||
Class B | 444,130 | 1,355,437 | 98,048 | 471,521 | |||||||||||
Class C | 37,925,866 | 60,326,474 | 9,048,411 | 19,502,569 | |||||||||||
Institutional Class | 125,284,230 | 184,683,642 | 34,672,941 | 51,070,955 | |||||||||||
Net asset value of shares issued upon reinvestment of dividends | |||||||||||||||
and distributions: | |||||||||||||||
Class A | 617,305 | 2,016,848 | 475,528 | 1,165,763 | |||||||||||
Class B | 62,750 | 279,003 | 93,303 | 224,316 | |||||||||||
Class C | 1,652,519 | 6,585,148 | 1,737,948 | 3,879,118 | |||||||||||
Institutional Class | 6,058,056 | 15,763,509 | 3,158,852 | 6,649,588 | |||||||||||
180,821,035 | 287,403,345 | 51,663,980 | 88,316,416 | ||||||||||||
Cost of shares repurchased: | |||||||||||||||
Class A | (5,050,131 | ) | (9,574,166 | ) | (2,869,871 | ) | (4,487,473 | ) | |||||||
Class B | (709,233 | ) | (1,680,895 | ) | (346,997 | ) | (929,646 | ) | |||||||
Class C | (16,499,174 | ) | (34,207,828 | ) | (9,293,613 | ) | (14,012,831 | ) | |||||||
Institutional Class | (39,378,219 | ) | (68,577,083 | ) | (16,725,023 | ) | (21,132,896 | ) | |||||||
(61,636,757 | ) | (114,039,972 | ) | (29,235,504 | ) | (40,562,846 | ) | ||||||||
Increase in net assets derived from capital share transactions | 119,184,278 | 173,363,373 | 22,428,476 | 47,753,570 | |||||||||||
Net Increase in Net Assets | 126,720,826 | 195,982,911 | 41,941,457 | 81,045,853 | |||||||||||
Net Assets: | |||||||||||||||
Beginning of period | 749,449,137 | 553,466,226 | 276,447,744 | 195,401,891 | |||||||||||
End of period | $ | 876,169,963 | $ | 749,449,137 | $ | 318,389,201 | $ | 276,447,744 | |||||||
Undistributed (accumulated) net investment income (loss) | $ | 14,311,746 | $ | 4,392,925 | $ | 2,268,177 | $ | (462,272 | ) |
See accompanying notes
(continues) 51
Statements of changes in net assets
Optimum Fund Trust
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | ||||||||||||||
Six Months | Year | Six Months | Year | ||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||
9/30/07 | 3/31/07 | 9/30/07 | 3/31/07 | ||||||||||||
(Unaudited) | (Unaudited) | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||
Net investment income (loss) | $ | (1,179,229 | ) | $ | (2,478,460 | ) | $ | 4,613,487 | $ | 7,136,470 | |||||
Net realized gain on investments and foreign currencies | 13,658,498 | 10,300,945 | 27,192,805 | 19,192,784 | |||||||||||
Net change in unrealized appreciation/depreciation of investments | |||||||||||||||
and foreign currencies | 87,364,075 | 32,819,559 | 23,513,257 | 69,803,059 | |||||||||||
Net increase in net assets resulting from operations | 99,843,344 | 40,642,044 | 55,319,549 | 96,132,313 | |||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||
Net investment income: | |||||||||||||||
Class A | — | — | (157,401 | ) | (453,759 | ) | |||||||||
Class B | — | — | (11,709 | ) | (26,347 | ) | |||||||||
Class C | — | — | (227,849 | ) | (493,745 | ) | |||||||||
Institutional Class | — | — | (1,883,650 | ) | (4,974,919 | ) | |||||||||
Net realized gain on investments: | |||||||||||||||
Class A | (296,925 | ) | (891,813 | ) | (986,070 | ) | (978,328 | ) | |||||||
Class B | (57,511 | ) | (184,999 | ) | (191,856 | ) | (203,057 | ) | |||||||
Class C | (1,114,709 | ) | (3,273,834 | ) | (3,733,213 | ) | (3,650,460 | ) | |||||||
Institutional Class | (2,859,054 | ) | (7,089,482 | ) | (9,118,576 | ) | (7,445,895 | ) | |||||||
(4,328,199 | ) | (11,440,128 | ) | (16,310,324 | ) | (18,226,510 | ) | ||||||||
Capital Share Transactions: | |||||||||||||||
Proceeds from shares sold: | |||||||||||||||
Class A | 6,754,922 | 14,966,032 | 6,371,464 | 14,226,853 | |||||||||||
Class B | 337,912 | 1,520,526 | 277,770 | 1,364,512 | |||||||||||
Class C | 26,983,427 | 54,022,224 | 25,801,424 | 53,262,225 | |||||||||||
Institutional Class | 127,597,675 | 199,677,058 | 120,919,739 | 189,463,422 | |||||||||||
Net asset value of shares issued upon reinvestment of dividends | |||||||||||||||
and distributions: | |||||||||||||||
Class A | 293,637 | 880,766 | 1,129,725 | 1,412,586 | |||||||||||
Class B | 56,552 | 182,312 | 199,859 | 225,742 | |||||||||||
Class C | 1,101,859 | 3,229,116 | 3,915,168 | 4,087,297 | |||||||||||
Institutional Class | 2,825,922 | 6,991,211 | 10,863,633 | 12,233,266 | |||||||||||
165,951,906 | 281,469,245 | 169,478,782 | 276,275,903 | ||||||||||||
Cost of shares repurchased: | |||||||||||||||
Class A | (4,685,873 | ) | (9,138,800 | ) | (5,333,962 | ) | (9,285,118 | ) | |||||||
Class B | (581,389 | ) | (1,380,825 | ) | (647,926 | ) | (1,559,766 | ) | |||||||
Class C | (14,596,809 | ) | (25,310,354 | ) | (16,861,508 | ) | (27,494,629 | ) | |||||||
Institutional Class | (44,122,938 | ) | (64,241,377 | ) | (43,033,063 | ) | (61,252,317 | ) | |||||||
(63,987,009 | ) | (100,071,356 | ) | (65,876,459 | ) | (99,591,830 | ) | ||||||||
Increase in net assets derived from capital share transactions | 101,964,897 | 181,397,889 | 103,602,323 | 176,684,073 | |||||||||||
Net Increase in Net Assets | 197,480,042 | 210,599,805 | 142,611,548 | 254,589,876 | |||||||||||
Net Assets: | |||||||||||||||
Beginning of period | 789,006,678 | 578,406,873 | 794,091,467 | 539,501,591 | |||||||||||
End of period | $ | 986,486,720 | $ | 789,006,678 | $ | 936,703,015 | $ | 794,091,467 | |||||||
Undistributed (accumulated) net investment income (loss) | $ | (553 | ) | $ | (14,801 | ) | $ | 4,615,848 | $ | 2,307,931 |
See accompanying notes
52
Optimum Small Cap Growth Fund | Optimum Small Cap Value Fund | ||||||||||||||
Six Months | Year | Six Months | Year | ||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||
9/30/07 | 3/31/07 | 9/30/07 | 3/31/07 | ||||||||||||
(Unaudited) | (Unaudited) | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||
Net investment loss | $ | (954,067 | ) | $ | (1,406,761 | ) | $ | (248,536 | ) | $ | (233,899 | ) | |||
Net realized gain on investments | 4,458,473 | 3,981,078 | 5,702,256 | 7,538,279 | |||||||||||
Net change in unrealized appreciation/depreciation of investments | 7,400,579 | (1,417,523 | ) | (11,603,916 | ) | (108,109 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | 10,904,985 | 1,156,794 | (6,150,196 | ) | 7,196,271 | ||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||
Net realized gain on investments: | |||||||||||||||
Class A | (197,960 | ) | (257,820 | ) | (271,824 | ) | (759,512 | ) | |||||||
Class B | (36,550 | ) | (48,248 | ) | (49,140 | ) | (133,312 | ) | |||||||
�� Class C | (691,249 | ) | (848,908 | ) | (924,158 | ) | (2,395,294 | ) | |||||||
Institutional Class | (1,467,824 | ) | (1,576,684 | ) | (1,609,332 | ) | (3,525,226 | ) | |||||||
(2,393,583 | ) | (2,731,660 | ) | (2,854,454 | ) | (6,813,344 | ) | ||||||||
Capital Share Transactions: | |||||||||||||||
Proceeds from shares sold: | |||||||||||||||
Class A | 1,174,324 | 2,889,520 | 930,110 | 2,681,254 | |||||||||||
Class B | 41,132 | 239,515 | 46,814 | 190,310 | |||||||||||
Class C | 4,815,264 | 9,424,265 | 3,817,129 | 7,932,996 | |||||||||||
Institutional Class | 19,844,648 | 30,357,388 | 15,128,541 | 23,616,562 | |||||||||||
Net asset value of shares issued upon reinvestment of dividends | |||||||||||||||
and distributions: | |||||||||||||||
Class A | 195,545 | 249,707 | 262,730 | 730,606 | |||||||||||
Class B | 36,093 | 47,670 | 48,548 | 131,610 | |||||||||||
Class C | 683,679 | 837,090 | 912,307 | 2,361,924 | |||||||||||
Institutional Class | 1,446,606 | 1,534,687 | 1,581,107 | 3,443,647 | |||||||||||
28,237,291 | 45,579,842 | 22,727,286 | 41,088,909 | ||||||||||||
Cost of shares repurchased: | |||||||||||||||
Class A | (1,279,004 | ) | (2,789,434 | ) | (1,348,274 | ) | (3,886,113 | ) | |||||||
Class B | (134,621 | ) | (325,853 | ) | (154,133 | ) | (415,692 | ) | |||||||
Class C | (3,056,202 | ) | (5,687,490 | ) | (3,995,500 | ) | (7,222,205 | ) | |||||||
Institutional Class | (8,538,517 | ) | (13,942,070 | ) | (7,046,089 | ) | (11,222,885 | ) | |||||||
(13,008,344 | ) | (22,744,847 | ) | (12,543,996 | ) | (22,746,895 | ) | ||||||||
Increase in net assets derived from capital share transactions | 15,228,947 | 22,834,995 | 10,183,290 | 18,342,014 | |||||||||||
Net Increase in Net Assets | 23,740,349 | 21,260,129 | 1,178,640 | 18,724,941 | |||||||||||
Net Assets: | |||||||||||||||
Beginning of period | 139,532,545 | 118,272,416 | 127,968,753 | 109,243,812 | |||||||||||
End of period (there were no undistributed net investment income | |||||||||||||||
at either period end) | $ | 163,272,894 | $ | 139,532,545 | $ | 129,147,393 | $ | 127,968,753 |
See accompanying notes
53
Financial highlights
Optimum Fixed Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $9.050 | $8.740 | $8.890 | $8.980 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income3 | 0.204 | 0.399 | 0.316 | 0.279 | 0.171 | ||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (0.031 | ) | 0.255 | (0.199 | ) | (0.061 | ) | 0.417 | |||||||
Total from investment operations | 0.173 | 0.654 | 0.117 | 0.218 | 0.588 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.080 | ) | (0.344 | ) | (0.253 | ) | (0.228 | ) | (0.098 | ) | |||||
Net realized gain on investments | (0.013 | ) | — | (0.014 | ) | (0.080 | ) | (0.010 | ) | ||||||
Total dividends and distributions | (0.093 | ) | (0.344 | ) | (0.267 | ) | (0.308 | ) | (0.108 | ) | |||||
Net asset value, end of period | $9.130 | $9.050 | $8.740 | $8.890 | $8.980 | ||||||||||
Total return4 | 1.93% | 7.58% | 1.31% | 2.59% | 6.82% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $63,582 | $58,691 | $47,956 | $33,251 | $12,049 | ||||||||||
Ratio of expenses to average net assets | 1.25% | 1.25% | 1.25% | 1.24% | 1.20% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.44% | 1.61% | 1.67% | 1.70% | 2.25% | ||||||||||
Ratio of net investment income to average net assets | 4.52% | 4.48% | 3.55% | 3.12% | 2.88% | ||||||||||
Ratio of net investment income to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 4.33% | 4.12% | 3.13% | 2.66% | 1.83% | ||||||||||
Portfolio turnover | 246% | 238% | 298% | 352% | 383% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
54
Optimum Fixed Income Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $9.060 | $8.740 | $8.900 | $8.990 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income3 | 0.175 | 0.342 | 0.258 | 0.221 | 0.133 | ||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (0.032 | ) | 0.264 | (0.209 | ) | (0.055 | ) | 0.420 | |||||||
Total from investment operations | 0.143 | 0.606 | 0.049 | 0.166 | 0.553 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.050 | ) | (0.286 | ) | (0.195 | ) | (0.176 | ) | (0.053 | ) | |||||
Net realized gain on investments | (0.013 | ) | — | (0.014 | ) | (0.080 | ) | (0.010 | ) | ||||||
Total dividends and distributions | (0.063 | ) | (0.286 | ) | (0.209 | ) | (0.256 | ) | (0.063 | ) | |||||
Net asset value, end of period | $9.140 | $9.060 | $8.740 | $8.900 | $8.990 | ||||||||||
Total return4 | 1.59% | 7.01% | 0.54% | 1.88% | 6.52% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $9,445 | $9,568 | $9,278 | $8,405 | $4,296 | ||||||||||
Ratio of expenses to average net assets | 1.90% | 1.90% | 1.90% | 1.89% | 1.85% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.09% | 2.26% | 2.32% | 2.35% | 2.90% | ||||||||||
Ratio of net investment income to average net assets | 3.87% | 3.83% | 2.90% | 2.47% | 2.23% | ||||||||||
Ratio of net investment income to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 3.68% | 3.47% | 2.48% | 2.01% | 1.18% | ||||||||||
Portfolio turnover | 246% | 238% | 298% | 352% | 383% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 55
Financial highlights
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $9.060 | $8.750 | $8.900 | $8.990 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income3 | 0.175 | 0.341 | 0.258 | 0.221 | 0.133 | ||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (0.032 | ) | 0.255 | (0.199 | ) | (0.055 | ) | 0.420 | |||||||
Total from investment operations | 0.143 | 0.596 | 0.059 | 0.166 | 0.553 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.050 | ) | (0.286 | ) | (0.195 | ) | (0.176 | ) | (0.053 | ) | |||||
Net realized gain on investments | (0.013 | ) | — | (0.014 | ) | (0.080 | ) | (0.010 | ) | ||||||
Total dividends and distributions | (0.063 | ) | (0.286 | ) | (0.209 | ) | (0.256 | ) | (0.063 | ) | |||||
Net asset value, end of period | $9.140 | $9.060 | $8.750 | $8.900 | $8.990 | ||||||||||
Total return4 | 1.59% | 6.88% | 0.65% | 1.88% | 6.52% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $252,301 | $227,036 | $186,869 | $125,301 | $52,649 | ||||||||||
Ratio of expenses to average net assets | 1.90% | 1.90% | 1.90% | 1.89% | 1.85% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.09% | 2.26% | 2.32% | 2.35% | 2.90% | ||||||||||
Ratio of net investment income to average net assets | 3.87% | 3.83% | 2.90% | 2.47% | 2.23% | ||||||||||
Ratio of net investment income to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 3.68% | 3.47% | 2.48% | 2.01% | 1.18% | ||||||||||
Portfolio turnover | 246% | 238% | 298% | 352% | 383% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
56
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $9.050 | $8.730 | $8.890 | $8.970 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income3 | 0.220 | 0.431 | 0.348 | 0.310 | 0.192 | ||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (0.031 | ) | 0.265 | (0.209 | ) | (0.050 | ) | 0.407 | |||||||
Total from investment operations | 0.189 | 0.696 | 0.139 | 0.260 | 0.599 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.096 | ) | (0.376 | ) | (0.285 | ) | (0.260 | ) | (0.119 | ) | |||||
Net realized gain on investments | (0.013 | ) | — | (0.014 | ) | (0.080 | ) | (0.010 | ) | ||||||
Total dividends and distributions | (0.109 | ) | (0.376 | ) | (0.299 | ) | (0.340 | ) | (0.129 | ) | |||||
Net asset value, end of period | $9.130 | $9.050 | $8.730 | $8.890 | $8.970 | ||||||||||
Total return4 | 2.11% | 8.09% | 1.56% | 2.96% | 7.07% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $550,842 | $454,154 | $309,363 | $153,085 | $22,276 | ||||||||||
Ratio of expenses to average net assets | 0.90% | 0.90% | 0.90% | 0.89% | 0.85% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.09% | 1.26% | 1.32% | 1.35% | 1.90% | ||||||||||
Ratio of net investment income to average net assets | 4.87% | 4.83% | 3.90% | 3.47% | 3.23% | ||||||||||
Ratio of net investment income to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 4.68% | 4.47% | 3.48% | 3.01% | 2.18% | ||||||||||
Portfolio turnover | 246% | 238% | 298% | 352% | 383% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 57
Financial highlights
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $15.490 | $13.470 | $11.660 | $10.670 | $8.500 | ||||||||||
Income from investment operations: | |||||||||||||||
Net investment income3 | 0.179 | 0.112 | 0.180 | 0.050 | 0.021 | ||||||||||
Net realized and unrealized gain on investments and foreign currencies | 1.184 | 2.661 | 2.456 | 1.069 | 2.155 | ||||||||||
Total from investment operations | 1.363 | 2.773 | 2.636 | 1.119 | 2.176 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.001 | ) | (0.172 | ) | (0.074 | ) | — | — | |||||||
Net realized gain on investments | (0.292 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | (0.006 | ) | |||||
Total dividends and distributions | (0.293 | ) | (0.753 | ) | (0.826 | ) | (0.129 | ) | (0.006 | ) | |||||
Net asset value, end of period | $16.560 | $15.490 | $13.470 | $11.660 | $10.670 | ||||||||||
Total return4 | 8.85% | 21.26% | 23.54% | 10.62% | 25.61% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $27,260 | $25,523 | $20,247 | $11,300 | $4,083 | ||||||||||
Ratio of expenses to average net assets | 1.75% | 1.96% | 1.96% | 1.98% | 1.92% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.75% | 1.96% | 2.20% | 2.30% | 3.82% | ||||||||||
Ratio of net investment income to average net assets | 2.23% | 0.78% | 1.47% | 0.45% | 0.30% | ||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.23% | 0.78% | 1.23% | 0.13% | (1.60% | ) | |||||||||
Portfolio turnover | 25% | 18% | 68% | 82% | 49% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager, as applicable. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
58
Optimum International Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $15.240 | $13.290 | $11.530 | $10.620 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)3 | 0.128 | 0.021 | 0.102 | (0.020 | ) | (0.023 | ) | ||||||||
Net realized and unrealized gain on investments and foreign currencies | 1.154 | 2.614 | 2.426 | 1.059 | 2.149 | ||||||||||
Total from investment operations | 1.282 | 2.635 | 2.528 | 1.039 | 2.126 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | — | (0.104 | ) | (0.016 | ) | — | — | ||||||||
Net realized gain on investments | (0.292 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | (0.006 | ) | |||||
Total dividends and distributions | (0.292 | ) | (0.685 | ) | (0.768 | ) | (0.129 | ) | (0.006 | ) | |||||
Net asset value, end of period | $16.230 | $15.240 | $13.290 | $11.530 | $10.620 | ||||||||||
Total return4 | 8.46% | 20.44% | 22.81% | 9.91% | 25.02% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $5,200 | $5,031 | $4,594 | $3,386 | $1,624 | ||||||||||
Ratio of expenses to average net assets | 2.40% | 2.61% | 2.61% | 2.63% | 2.57% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.40% | 2.61% | 2.85% | 2.95% | 4.47% | ||||||||||
Ratio of net investment income (loss) to average net assets | 1.58% | 0.13% | 0.82% | (0.20% | ) | (0.35% | ) | ||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.58% | 0.13% | 0.58% | (0.52% | ) | (2.25% | ) | ||||||||
Portfolio turnover | 25% | 18% | 68% | 82% | 49% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager, as applicable. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 59
Financial highlights
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $15.250 | $13.290 | $11.540 | $10.620 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)3 | 0.128 | 0.021 | 0.102 | (0.020 | ) | (0.023 | ) | ||||||||
Net realized and unrealized gain on investments and foreign currencies | 1.154 | 2.624 | 2.416 | 1.069 | 2.149 | ||||||||||
Total from investment operations | 1.282 | 2.645 | 2.518 | 1.049 | 2.126 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | — | (0.104 | ) | (0.016 | ) | — | — | ||||||||
Net realized gain on investments | (0.292 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | (0.006 | ) | |||||
Total dividends and distributions | (0.292 | ) | (0.685 | ) | (0.768 | ) | (0.129 | ) | (0.006 | ) | |||||
Net asset value, end of period | $16.240 | $15.250 | $13.290 | $11.540 | $10.620 | ||||||||||
Total return4 | 8.45% | 20.51% | 22.69% | 10.01% | 25.02% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $99,245 | $91,696 | $70,828 | $38,517 | $14,339 | ||||||||||
Ratio of expenses to average net assets | 2.40% | 2.61% | 2.61% | 2.63% | 2.57% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.40% | 2.61% | 2.85% | 2.95% | 4.47% | ||||||||||
Ratio of net investment income (loss) to average net assets | 1.58% | 0.13% | 0.82% | (0.20% | ) | (0.35% | ) | ||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.58% | 0.13% | 0.58% | (0.52% | ) | (2.25% | ) | ||||||||
Portfolio turnover | 25% | 18% | 68% | 82% | 49% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager, as applicable. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
60
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $15.590 | $13.550 | $11.720 | $10.690 | $8.500 | ||||||||||
Income from investment operations: | |||||||||||||||
Net investment income3 | 0.207 | 0.162 | 0.224 | 0.089 | 0.045 | ||||||||||
Net realized and unrealized gain on investments and foreign currencies | 1.199 | 2.679 | 2.464 | 1.079 | 2.151 | ||||||||||
Total from investment operations | 1.406 | 2.841 | 2.688 | 1.168 | 2.196 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.014 | ) | (0.220 | ) | (0.106 | ) | (0.009 | ) | — | ||||||
Net realized gain on investments | (0.292 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | (0.006 | ) | |||||
Total dividends and distributions | (0.306 | ) | (0.801 | ) | (0.858 | ) | (0.138 | ) | (0.006 | ) | |||||
Net asset value, end of period | $16.690 | $15.590 | $13.550 | $11.720 | $10.690 | ||||||||||
Total return4 | 9.07% | 21.68% | 23.91% | 11.08% | 25.84% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $186,684 | $154,198 | $99,733 | $44,149 | $9,302 | ||||||||||
Ratio of expenses to average net assets | 1.40% | 1.61% | 1.61% | 1.63% | 1.57% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.40% | 1.61% | 1.85% | 1.95% | 3.47% | ||||||||||
Ratio of net investment income to average net assets | 2.58% | 1.13% | 1.82% | 0.80% | 0.65% | ||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.58% | 1.13% | 1.58% | 0.48% | (1.25% | ) | |||||||||
Portfolio turnover | 25% | 18% | 68% | 82% | 49% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return reflects waivers and payment of fees by the manager, as applicable. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 61
Financial highlights
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $11.980 | $11.540 | $10.020 | $9.570 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.021 | ) | (0.047 | ) | (0.057 | ) | (0.036 | ) | (0.037 | ) | |||||
Net realized and unrealized gain on investments and foreign currencies | 1.443 | 0.692 | 1.577 | 0.486 | 1.107 | ||||||||||
Total from investment operations | 1.422 | 0.645 | 1.520 | 0.450 | 1.070 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Total dividends and distributions | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Net asset value, end of period | $13.340 | $11.980 | $11.540 | $10.020 | $9.570 | ||||||||||
Total return4 | 11.89% | 5.75% | 15.17% | 4.70% | 12.59% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $64,969 | $56,088 | $47,283 | $26,252 | $9,337 | ||||||||||
Ratio of expenses to average net assets | 1.61% | 1.69% | 1.69% | 1.67% | 1.61% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.61% | 1.77% | 1.84% | 1.87% | 2.51% | ||||||||||
Ratio of net investment loss to average net assets | (0.33% | ) | (0.41% | ) | (0.52% | ) | (0.37% | ) | (0.61% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (0.33% | ) | (0.49% | ) | (0.67% | ) | (0.57% | ) | (1.51% | ) | |||||
Portfolio turnover | 55% | 37% | 48% | 37% | 51% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
62
Optimum Large Cap Growth Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $11.700 | $11.340 | $9.910 | $9.530 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.060 | ) | (0.119 | ) | (0.126 | ) | (0.099 | ) | (0.077 | ) | |||||
Net realized and unrealized gain on investments and foreign currencies | 1.412 | 0.684 | 1.556 | 0.479 | 1.107 | ||||||||||
Total from investment operations | 1.352 | 0.565 | 1.430 | 0.380 | 1.030 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Total dividends and distributions | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Net asset value, end of period | $12.990 | $11.700 | $11.340 | $9.910 | $9.530 | ||||||||||
Total return4 | 11.58% | 5.14% | 14.43% | 3.99% | 12.12% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $11,814 | $10,819 | $10,168 | $7,603 | $3,568 | ||||||||||
Ratio of expenses to average net assets | 2.26% | 2.34% | 2.34% | 2.32% | 2.26% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.26% | 2.42% | 2.49% | 2.52% | 3.16% | ||||||||||
Ratio of net investment loss to average net assets | (0.98% | ) | (1.06% | ) | (1.17% | ) | (1.02% | ) | (1.26% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (0.98% | ) | (1.14% | ) | (1.32% | ) | (1.22% | ) | (2.16% | ) | |||||
Portfolio turnover | 55% | 37% | 48% | 37% | 51% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 63
Financial highlights
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $11.700 | $11.340 | $9.910 | $9.530 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.060 | ) | (0.119 | ) | (0.126 | ) | (0.099 | ) | (0.077 | ) | |||||
Net realized and unrealized gain on investments and foreign currencies | 1.402 | 0.684 | 1.556 | 0.479 | 1.107 | ||||||||||
Total from investment operations | 1.342 | 0.565 | 1.430 | 0.380 | 1.030 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Total dividends and distributions | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Net asset value, end of period | $12.980 | $11.700 | $11.340 | $9.910 | $9.530 | ||||||||||
Total return4 | 11.50% | 5.14% | 14.43% | 3.99% | 12.12% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $240,236 | $203,591 | $164,995 | $91,434 | $35,143 | ||||||||||
Ratio of expenses to average net assets | 2.26% | 2.34% | 2.34% | 2.32% | 2.26% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.26% | 2.42% | 2.49% | 2.52% | 3.16% | ||||||||||
Ratio of net investment loss to average net assets | (0.98% | ) | (1.06% | ) | (1.17% | ) | (1.02% | ) | (1.26% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (0.98% | ) | (1.14% | ) | (1.32% | ) | (1.22% | ) | (2.16% | ) | |||||
Portfolio turnover | 55% | 37% | 48% | 37% | 51% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
64
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $12.140 | $11.650 | $10.080 | $9.590 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.001 | ) | (0.006 | ) | (0.019 | ) | (0.002 | ) | (0.015 | ) | |||||
Net realized and unrealized gain on investments and foreign currencies | 1.463 | 0.701 | 1.589 | 0.492 | 1.105 | ||||||||||
Total from investment operations | 1.462 | 0.695 | 1.570 | 0.490 | 1.090 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Total dividends and distributions | (0.062 | ) | (0.205 | ) | — | — | — | ||||||||
Net asset value, end of period | $13.540 | $12.140 | $11.650 | $10.080 | $9.590 | ||||||||||
Total return4 | 12.07% | 6.13% | 15.57% | 5.11% | 12.82% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $669,468 | $518,509 | $355,961 | $158,200 | $21,557 | ||||||||||
Ratio of expenses to average net assets | 1.26% | 1.34% | 1.34% | 1.32% | 1.26% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.26% | 1.42% | 1.49% | 1.52% | 2.16% | ||||||||||
Ratio of net investment income (loss) to average net assets | 0.02% | (0.06% | ) | (0.17% | ) | (0.02% | ) | (0.26% | ) | ||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 0.02% | (0.14% | ) | (0.32% | ) | (0.22% | ) | (1.16% | ) | ||||||
Portfolio turnover | 55% | 37% | 48% | 37% | 51% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 65
Financial highlights
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $12.730 | $11.320 | $10.840 | $9.830 | $8.500 | ||||||||||
Income from investment operations: | |||||||||||||||
Net investment income3 | 0.066 | 0.128 | 0.092 | 0.074 | 0.038 | ||||||||||
Net realized and unrealized gain on investments and foreign currencies | 0.801 | 1.614 | 0.947 | 1.100 | 1.331 | ||||||||||
Total from investment operations | 0.867 | 1.742 | 1.039 | 1.174 | 1.369 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.034 | ) | (0.104 | ) | (0.065 | ) | (0.028 | ) | (0.023 | ) | |||||
Net realized gain on investments | (0.213 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | (0.016 | ) | |||||
Total dividends and distributions | (0.247 | ) | (0.332 | ) | (0.559 | ) | (0.164 | ) | (0.039 | ) | |||||
Net asset value, end of period | $13.350 | $12.730 | $11.320 | $10.840 | $9.830 | ||||||||||
Total return4 | 6.82% | 15.65% | 9.82% | 12.04% | 16.12% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $63,143 | $58,161 | $45,666 | $27,524 | $9,115 | ||||||||||
Ratio of expenses to average net assets | 1.54% | 1.55% | 1.55% | 1.53% | 1.50% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.56% | 1.73% | 1.83% | 1.84% | 2.52% | ||||||||||
Ratio of net investment income to average net assets | 1.00% | 1.07% | 0.83% | 0.72% | 0.59% | ||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 0.98% | 0.89% | 0.55% | 0.41% | (0.43% | ) | |||||||||
Portfolio turnover | 29% | 22% | 52% | 38% | 38% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
66
Optimum Large Cap Value Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $12.640 | $11.240 | $10.780 | $9.810 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)3 | 0.023 | 0.052 | 0.021 | 0.008 | (0.003 | ) | |||||||||
Net realized and unrealized gain on investments and foreign currencies | 0.793 | 1.606 | 0.933 | 1.098 | 1.329 | ||||||||||
Total from investment operations | 0.816 | 1.658 | 0.954 | 1.106 | 1.326 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.013 | ) | (0.030 | ) | — | — | — | ||||||||
Net realized gain on investments | (0.213 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | (0.016 | ) | |||||
Total dividends and distributions | (0.226 | ) | (0.258 | ) | (0.494 | ) | (0.136 | ) | (0.016 | ) | |||||
Net asset value, end of period | $13.230 | $12.640 | $11.240 | $10.780 | $9.810 | ||||||||||
Total return4 | 6.46% | 14.97% | 9.05% | 11.36% | 15.61% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $11,756 | $11,403 | $10,103 | $8,072 | $3,609 | ||||||||||
Ratio of expenses to average net assets | 2.19% | 2.20% | 2.20% | 2.18% | 2.15% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.21% | 2.38% | 2.48% | 2.49% | 3.17% | ||||||||||
Ratio of net investment income (loss) to average net assets | 0.35% | 0.42% | 0.18% | 0.07% | (0.06% | ) | |||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 0.33% | 0.24% | (0.10% | ) | (0.24% | ) | (1.08% | ) | |||||||
Portfolio turnover | 29% | 22% | 52% | 38% | 38% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 67
Financial highlights
Optimum Large Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $12.630 | $11.240 | $10.780 | $9.810 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income (loss)3 | 0.023 | 0.051 | 0.021 | 0.008 | (0.003 | ) | |||||||||
Net realized and unrealized gain on investments and foreign currencies | 0.793 | 1.597 | 0.933 | 1.098 | 1.329 | ||||||||||
Total from investment operations | 0.816 | 1.648 | 0.954 | 1.106 | 1.326 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.013 | ) | (0.030 | ) | — | — | — | ||||||||
Net realized gain on investments | (0.213 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | (0.016 | ) | |||||
Total dividends and distributions | (0.226 | ) | (0.258 | ) | (0.494 | ) | (0.136 | ) | (0.016 | ) | |||||
Net asset value, end of period | $13.220 | $12.630 | $11.240 | $10.780 | $9.810 | ||||||||||
Total return4 | 6.46% | 14.88% | 9.16% | 11.36% | 15.61% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $239,535 | $216,527 | $163,876 | $97,823 | $35,732 | ||||||||||
Ratio of expenses to average net assets | 2.19% | 2.20% | 2.20% | 2.18% | 2.15% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.21% | 2.38% | 2.48% | 2.49% | 3.17% | ||||||||||
Ratio of net investment income (loss) to average net assets | 0.35% | 0.42% | 0.18% | 0.07% | (0.06% | ) | |||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 0.33% | 0.24% | (0.10% | ) | (0.24% | ) | (1.08% | ) | |||||||
Portfolio turnover | 29% | 22% | 52% | 38% | 38% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
68
Optimum Large Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $12.750 | $11.330 | $10.860 | $9.840 | $8.500 | ||||||||||
Income from investment operations: | |||||||||||||||
Net investment income3 | 0.089 | 0.170 | 0.131 | 0.110 | 0.060 | ||||||||||
Net realized and unrealized gain on investments and foreign currencies | 0.798 | 1.623 | 0.936 | 1.110 | 1.330 | ||||||||||
Total from investment operations | 0.887 | 1.793 | 1.067 | 1.220 | 1.390 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.044 | ) | (0.145 | ) | (0.103 | ) | (0.064 | ) | (0.034 | ) | |||||
Net realized gain on investments | (0.213 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | (0.016 | ) | |||||
Total dividends and distributions | (0.257 | ) | (0.373 | ) | (0.597 | ) | (0.200 | ) | (0.050 | ) | |||||
Net asset value, end of period | $13.380 | $12.750 | $11.330 | $10.860 | $9.840 | ||||||||||
Total return4 | 6.97% | 16.12% | 10.19% | 12.41% | 16.38% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $622,269 | $508,000 | $319,857 | $140,341 | $17,962 | ||||||||||
Ratio of expenses to average net assets | 1.19% | 1.20% | 1.20% | 1.18% | 1.15% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.21% | 1.38% | 1.48% | 1.49% | 2.17% | ||||||||||
Ratio of net investment income to average net assets | 1.35% | 1.42% | 1.18% | 1.07% | 0.94% | ||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.33% | 1.24% | 0.90% | 0.76% | (0.08% | ) | |||||||||
Portfolio turnover | 29% | 22% | 52% | 38% | 38% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 69
Financial highlights
Optimum Small Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $14.070 | $14.340 | $11.750 | $11.260 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.093 | ) | (0.155 | ) | (0.176 | ) | (0.161 | ) | (0.100 | ) | |||||
Net realized and unrealized gain on investments | 1.164 | 0.188 | 2.766 | 0.653 | 2.860 | ||||||||||
Total from investment operations | 1.071 | 0.033 | 2.590 | 0.492 | 2.760 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Total dividends and distributions | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Net asset value, end of period | $14.910 | $14.070 | $14.340 | $11.750 | $11.260 | ||||||||||
Total return4 | 7.62% | 0.37% | 22.04% | 4.37% | 32.47% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $12,893 | $12,088 | $11,984 | $6,133 | $2,115 | ||||||||||
Ratio of expenses to average net assets | 1.94% | 1.95% | 1.95% | 1.80% | 1.81% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.10% | 2.32% | 2.46% | 2.69% | 4.11% | ||||||||||
Ratio of net investment loss to average net assets | (1.27% | ) | (1.15% | ) | (1.38% | ) | (1.42% | ) | (1.41% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (1.43% | ) | (1.52% | ) | (1.89% | ) | (2.31% | ) | (3.71% | ) | |||||
Portfolio turnover | 42% | 46% | 47% | 44% | 16% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
70
Optimum Small Cap Growth Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $13.750 | $14.110 | $11.640 | $11.230 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.139 | ) | (0.240 | ) | (0.257 | ) | (0.233 | ) | (0.146 | ) | |||||
Net realized and unrealized gain on investments | 1.130 | 0.183 | 2.727 | 0.645 | 2.876 | ||||||||||
Total from investment operations | 0.991 | (0.057 | ) | 2.470 | 0.412 | 2.730 | |||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Total dividends and distributions | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Net asset value, end of period | $14.510 | $13.750 | $14.110 | $11.640 | $11.230 | ||||||||||
Total return4 | 7.21% | (0.27% | ) | 21.22% | 3.67% | 32.12% | |||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $2,249 | $2,187 | $2,285 | $1,665 | $792 | ||||||||||
Ratio of expenses to average net assets | 2.59% | 2.60% | 2.60% | 2.45% | 2.46% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.75% | 2.97% | 3.11% | 3.34% | 4.76% | ||||||||||
Ratio of net investment loss to average net assets | (1.92% | ) | (1.80% | ) | (2.03% | ) | (2.07% | ) | (2.06% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (2.08% | ) | (2.17% | ) | (2.54% | ) | (2.96% | ) | (4.36% | ) | |||||
Portfolio turnover | 42% | 46% | 47% | 44% | 16% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 71
Financial highlights
Optimum Small Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $13.750 | $14.110 | $11.640 | $11.230 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.139 | ) | (0.240 | ) | (0.257 | ) | (0.233 | ) | (0.146 | ) | |||||
Net realized and unrealized gain on investments | 1.130 | 0.183 | 2.727 | 0.645 | 2.876 | ||||||||||
Total from investment operations | 0.991 | (0.057 | ) | 2.470 | 0.412 | 2.730 | |||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Total dividends and distributions | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Net asset value, end of period | $14.510 | $13.750 | $14.110 | $11.640 | $11.230 | ||||||||||
Total return4 | 7.21% | (0.27% | ) | 21.22% | 3.67% | 32.12% | |||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $45,036 | $40,324 | $36,537 | $19,883 | $7,521 | ||||||||||
Ratio of expenses to average net assets | 2.59% | 2.60% | 2.60% | 2.45% | 2.46% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.75% | 2.97% | 3.11% | 3.34% | 4.76% | ||||||||||
Ratio of net investment loss to average net assets | (1.92% | ) | (1.80% | ) | (2.03% | ) | (2.07% | ) | (2.06% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (2.08% | ) | (2.17% | ) | (2.54% | ) | (2.96% | ) | (4.36% | ) | |||||
Portfolio turnover | 42% | 46% | 47% | 44% | 16% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
72
Optimum Small Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $14.250 | $14.470 | $11.820 | $11.280 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.067 | ) | (0.108 | ) | (0.131 | ) | (0.121 | ) | (0.075 | ) | |||||
Net realized and unrealized gain on investments | 1.178 | 0.191 | 2.781 | 0.663 | 2.855 | ||||||||||
Total from investment operations | 1.111 | 0.083 | 2.650 | 0.542 | 2.780 | ||||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Total dividends and distributions | (0.231 | ) | (0.303 | ) | — | (0.002 | ) | — | |||||||
Net asset value, end of period | $15.130 | $14.250 | $14.470 | $11.820 | $11.280 | ||||||||||
Total return4 | 7.80% | 0.72% | 22.42% | 4.81% | 32.71% | ||||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $103,095 | $84,934 | $67,466 | $31,827 | $10,212 | ||||||||||
Ratio of expenses to average net assets | 1.59% | 1.60% | 1.60% | 1.45% | 1.46% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.75% | 1.97% | 2.11% | 2.34% | 3.76% | ||||||||||
Ratio of net investment loss to average net assets | (0.92% | ) | (0.80% | ) | (1.03% | ) | (1.07% | ) | (1.06% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (1.08% | ) | (1.17% | ) | (1.54% | ) | (1.96% | ) | (3.36% | ) | |||||
Portfolio turnover | 42% | 46% | 47% | 44% | 16% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. | |
3 The average shares outstanding method has been applied for per share information. | |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 73
Financial highlights
Optimum Small Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $13.540 | $13.590 | $12.410 | $11.010 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.024 | ) | (0.020 | ) | (0.022 | ) | (0.055 | ) | (0.046 | ) | |||||
Net realized and unrealized gain (loss) on investments | (0.553 | ) | 0.759 | 2.043 | 1.801 | 2.616 | |||||||||
Total from investment operations | (0.577 | ) | 0.739 | 2.021 | 1.746 | 2.570 | |||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Total dividends and distributions | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Net asset value, end of period | $12.670 | $13.540 | $13.590 | $12.410 | $11.010 | ||||||||||
Total return4 | (4.48% | ) | 5.93% | 17.17% | 16.12% | 30.30% | |||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $11,747 | $12,721 | $13,300 | $7,297 | $2,126 | ||||||||||
Ratio of expenses to average net assets | 1.76% | 1.76% | 1.76% | 1.73% | 1.67% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.07% | 2.32% | 2.58% | 2.61% | 4.08% | ||||||||||
Ratio of net investment loss to average net assets | (0.35% | ) | (0.16% | ) | (0.17% | ) | (0.47% | ) | (0.69% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (0.66% | ) | (0.72% | ) | (0.99% | ) | (1.35% | ) | (3.10% | ) | |||||
Portfolio turnover | 49% | 49% | 42% | 46% | 40% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. |
3 The average shares outstanding method has been applied for per share information. |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
74
Optimum Small Cap Value Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $13.190 | $13.350 | $12.280 | $10.970 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.067 | ) | (0.101 | ) | (0.102 | ) | (0.129 | ) | (0.090 | ) | |||||
Net realized and unrealized gain (loss) on investments | (0.530 | ) | 0.730 | 2.013 | 1.785 | 2.620 | |||||||||
Total from investment operations | (0.597 | ) | 0.629 | 1.911 | 1.656 | 2.530 | |||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Total dividends and distributions | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Net asset value, end of period | $12.300 | $13.190 | $13.350 | $12.280 | $10.970 | ||||||||||
Total return4 | (4.75% | ) | 5.27% | 16.35% | 15.35% | 29.83% | |||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $2,029 | $2,239 | $2,359 | $1,859 | $819 | ||||||||||
Ratio of expenses to average net assets | 2.41% | 2.41% | 2.41% | 2.38% | 2.32% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.72% | 2.97% | 3.23% | 3.26% | 4.73% | ||||||||||
Ratio of net investment loss to average net assets | (1.00% | ) | (0.81% | ) | (0.82% | ) | (1.12% | ) | (1.34% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (1.31% | ) | (1.37% | ) | (1.64% | ) | (2.00% | ) | (3.75% | ) | |||||
Portfolio turnover | 49% | 49% | 42% | 46% | 40% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. |
3 The average shares outstanding method has been applied for per share information. |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
(continues) 75
Financial highlights
Optimum Small Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $13.190 | $13.350 | $12.280 | $10.970 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | (0.067 | ) | (0.101 | ) | (0.102 | ) | (0.129 | ) | (0.090 | ) | |||||
Net realized and unrealized gain (loss) on investments | (0.530 | ) | 0.730 | 2.013 | 1.785 | 2.620 | |||||||||
Total from investment operations | (0.597 | ) | 0.629 | 1.911 | 1.656 | 2.530 | |||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Total dividends and distributions | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Net asset value, end of period | $12.300 | $13.190 | $13.350 | $12.280 | $10.970 | ||||||||||
Total return4 | (4.75% | ) | 5.27% | 16.35% | 15.35% | 29.83% | |||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $39,468 | $41,622 | $38,782 | $23,869 | $9,018 | ||||||||||
Ratio of expenses to average net assets | 2.41% | 2.41% | 2.41% | 2.38% | 2.32% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 2.72% | 2.97% | 3.23% | 3.26% | 4.73% | ||||||||||
Ratio of net investment loss to average net assets | (1.00% | ) | (0.81% | ) | (0.82% | ) | (1.12% | ) | (1.34% | ) | |||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (1.31% | ) | (1.37% | ) | (1.64% | ) | (2.00% | ) | (3.75% | ) | |||||
Portfolio turnover | 49% | 49% | 42% | 46% | 40% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. |
3 The average shares outstanding method has been applied for per share information. |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
76
Optimum Small Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | 8/1/032 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
9/30/071 | 3/31/07 | 3/31/06 | 3/31/05 | 3/31/04 | |||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $13.720 | $13.720 | $12.470 | $11.040 | $8.500 | ||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment loss3 | — | 0.025 | 0.023 | (0.014 | ) | (0.022 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | (0.557 | ) | 0.764 | 2.068 | 1.790 | 2.622 | |||||||||
Total from investment operations | (0.557 | ) | 0.789 | 2.091 | 1.776 | 2.600 | |||||||||
Less dividends and distributions from: | |||||||||||||||
Net realized gain on investments | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Total dividends and distributions | (0.293 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | (0.060 | ) | |||||
Net asset value, end of period | $12.870 | $13.720 | $13.720 | $12.470 | $11.040 | ||||||||||
Total return4 | (4.27% | ) | 6.24% | 17.66% | 16.35% | 30.66% | |||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $75,903 | $71,387 | $54,803 | $26,900 | $9,262 | ||||||||||
Ratio of expenses to average net assets | 1.41% | 1.41% | 1.41% | 1.38% | 1.32% | ||||||||||
Ratio of expenses to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | 1.72% | 1.97% | 2.23% | 2.26% | 3.73% | ||||||||||
Ratio of net investment income (loss) to average net assets | 0.00% | 0.19% | 0.18% | (0.12% | ) | (0.34% | ) | ||||||||
Ratio of net investment loss to average net assets | |||||||||||||||
prior to expense limitation and expense paid indirectly | (0.31% | ) | (0.37% | ) | (0.64% | ) | (1.00% | ) | (2.75% | ) | |||||
Portfolio turnover | 49% | 49% | 42% | 46% | 40% | ||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 Date of commencement of operations; ratios and portfolio turnover have been annualized and total return has not been annualized. |
3 The average shares outstanding method has been applied for per share information. |
4 Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return reflects waivers and payment of fees by the manager. Performance would have been lower had the expense limitation not been in effect. |
See accompanying notes
77
Notes to financial statements
Optimum Fund Trust
September 30, 2007 (Unaudited)
Optimum Fund Trust (Trust) is organized as a Delaware statutory trust and offers six series: Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small Cap Growth Fund, and Optimum Small Cap Value Fund (each referred to as a Fund or collectively, the Funds). The Trust is an open-end investment company. The Funds are considered diversified under the Investment Company Act of 1940, as amended, and offer Class A, Class C and Institutional Class shares. Class A Shares are sold with a front-end sales charge of 5.75% for Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small Cap Growth Fund and Optimum Small Cap Value Fund and 4.50% for Optimum Fixed Income Fund. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) of 1% if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class B shares will automatically convert to Class A shares on a quarterly basis approximately eight years after purchase. Class C shares are sold with a CDSC of 1%, if redeemed during the first 12 months. Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. Effective at the close of business on July 31, 2007, the Funds no longer accept new purchases of Class B shares other than reinvestment of dividends or capital gains or and, permitted exchanges.
The investment objective of Optimum Fixed Income Fund is to seek a high level of income. The Fund may also seek growth of capital.
The investment objective of Optimum International Fund is to seek long-term growth of capital. The Fund may also seek income.
The investment objective of Optimum Large Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Large Cap Value Fund is to seek long-term growth of capital. The Fund may also seek income.
The investment objective of Optimum Small Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Small Cap Value Fund is to seek long-term growth of capital.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles and are consistently followed by the Trust.
Security Valuation — Equity securities, except those traded on the Nasdaq Stock Market, Inc. (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange (NYSE) on the valuation date. Securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If on a particular day an equity security does not trade, then the mean between the bid and asked prices will be used. Securities listed on a foreign exchange are valued at the last quoted sales price before each Fund is valued. U.S. government and agency securities are valued at the mean between the bid and asked prices. Other long-term debt securities, credit default swap (CDS) contracts and interest rate swap contracts are valued by an independent pricing service or broker and such prices are believed to reflect the fair value of such securities. Short-term debt securities having less than 60 days to maturity are valued at amortized cost, which approximates market value. Securities lending collateral is valued at amortized cost, which approximates market value. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and asked prices of the contracts and are marked-to-market daily. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and asked prices. Generally, total return swap contracts, spread swap contracts and other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures, or with respect to foreign securities, aftermarket trading or significant events after local market trading (e.g., government actions or pronouncements, trading volume or volatility on markets, exchanges among dealers, or news events).
In September 2006, the Financial Accounting Standards Board (FASB) issued FASB Statement No. 157 “Fair Value Measurements” (Statement 157). Statement 157 establishes a framework for measuring fair value in generally accepted accounting principles, clarifies the definition of fair value within that framework, and expands disclosures about the use of fair value measurements. Statement 157 is intended to increase consistency and comparability among fair value estimates used in financial reporting. Statement 157 is effective for fiscal years beginning after November 15, 2007. Management does not expect the adoption of Statement 157 to have a material impact on the amounts reported in the financial statements.
Federal Income Taxes — Each Fund intends to continue to qualify for federal income tax purposes as a regulated investment company and make the requisite distributions to shareholders. Accordingly, no provision for federal income taxes has been made in the financial statements.
Effective September 28, 2007, the Funds adopted FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented, and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. The adoption of FIN 48 did not result in the recording of any tax benefit or expense in the current period.
78
1. Significant Accounting Policies (continued)
Class Accounting — Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the various classes of each Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — Each Fund may invest in a pooled cash account along with members of the Delaware Investments® Family of Funds pursuant to an exemptive order issued by the Security and Exchange Commission. The aggregate daily balance of the pooled cash account is invested in repurchase agreements secured by obligations of the U.S. government. The respective collateral is held by each Fund’s custodian bank until the maturity of the respective repurchase agreements. Each repurchase agreement is at least 102% collateralized. However, in the event of default or bankruptcy by the counterparty to the agreement, realization of the collateral may be subject to legal proceedings.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies is translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Funds isolate that portion of realized gains and losses on investments in debt securities, which are due to changes in foreign exchange rates from that which are due to changes in market prices of debt securities. For foreign equity securities, these changes are included in realized gains (losses) on investments. The Funds report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, where such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates — The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
Other — Expenses directly attributable to a Fund are charged directly to that Fund. Other expenses common to various funds within the Optimum Fund Trust are generally allocated amongst such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on non-convertible bonds are amortized to interest income over the lives of the respective securities. Realized gains (losses) on paydowns of mortgage- and asset-backed securities are classified as interest income. Distributions received from investments in Real Estate Investment Trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Funds are aware of such dividends, net of all non-rebatable tax withholdings. Withholding taxes on foreign dividends have been recorded in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small Cap Growth Fund and Optimum Small Cap Value Fund expect to declare and pay dividends from net investment income, if any, annually. Optimum Fixed Income Fund expects to declare and pay dividends from net investment income quarterly. Each Fund will declare and pay distributions from net realized gain on investments, if any, at least annually, and may distribute net capital gains twice a year. In addition, in order to satisfy certain distribution requirements of the Tax Reform Act of 1986, each Fund may declare special year-end dividend and capital gains distributions during November or December to shareholders of record on a date in such month. Such distributions, if received by shareholders by January, are deemed to have been paid by a Fund and received by shareholders on the earlier of the date paid or December 31 of the prior year.
The Funds receive earnings credits from their custodian when positive cash balances are maintained, which are used to offset custody fees. The expense paid under this arrangement is included in custodian fees on the Statements of operations with the corresponding expense offset shown as “expense paid indirectly”.
2. Investment Management, Administration Agreements and Other Transactions with Affiliates
Delaware Management Company (DMC), a series of Delaware Management Business Trust, furnishes investment management services to each Fund and has full discretion and responsibility, subject to the overall supervision of the Trust’s Board of Trustees, to select and contract with one or more investment sub-advisers to manage the investment operations and composition of each Fund, and to render investment advice for each Fund, including the purchase, retention, and dispositions of investments, securities and cash contained in each Fund. The investment management agreement obligates DMC to implement decisions with respect to the allocation or reallocation of each Fund’s assets among one or more current or additional sub-advisers, and to monitor the sub-advisers’ compliance with the relevant Fund’s investment objective, policies and restrictions. DMC pays the sub-advisers out of its fees.
(continues) 79
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
In accordance with the terms of the investment management agreement, DMC is entitled to receive an annual fee equal to the following percentage rates of the average daily net assets of a Fund:
Optimum Fixed Income Fund | 0.7000% of assets up to $25 million |
0.6500% of assets from $25 million to $100 million | |
0.6000% of assets from $100 million to $500 million | |
0.5500% of assets from $500 to $1 billion | |
0.5000% of assets over $1 billion | |
Optimum International Fund | 0.8750% of assets up to $50 million |
0.8000% of assets from $50 to $100 million | |
0.7800% of assets from $100 to $300 million | |
0.7650% of assets from $300 to $400 million | |
0.7300% of assets over $400 million | |
Optimum Large Cap Growth Fund | 0.8000% of assets up to $250 million |
0.7875% of assets from $250 million to $300 million | |
0.7625% of assets from $300 million to $400 million | |
0.7375% of assets from $400 million to $500 million | |
0.7250% of assets over $500 million | |
Optimum Large Cap Value Fund | 0.8000% of assets up to $100 million |
0.7375% of assets from $100 million to $250 million | |
0.7125% of assets from $250 million to $500 million | |
0.6875% of assets over $500 million | |
Optimum Small Cap Growth Fund | 1.1000% of assets |
Optimum Small Cap Value Fund | 1.0500% of assets up to $75 million |
1.0250% of assets from $75 million to $150 million | |
1.0000% of assets over $150 million |
DMC has entered into sub-advisory agreements for the Trust as follows: Optimum Fixed Income Fund – Aberdeen Asset Management Inc. (“AAMI”); Optimum International Fund – Mondrian Investment Partners Limited and AllianceBernstein L.P.; Optimum Large Cap Growth Fund – Marsico Capital Management, LLC (“Marsico”) and T. Rowe Price Associates, Inc.; Optimum Large Cap Value Fund – Massachusetts Financial Services Company and TCW Investment Management Company (“TCW”); Optimum Small Cap Growth Fund – Columbia Wanger Asset Management, L.P. and Oberweis Asset Management, Inc.; and Optimum Small Cap Value Fund – Hotchkis and Wiley Capital Management, LLC, Delafield Asset Management (a division of Reich & Tang Asset Management, LLC), and The Killen Group, Inc. (“Killen”).
For the six months ended September 30, 2007, DMC paid the following subadvisory fees:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
$456,392 | $613,950 | $1,934,668 | $1,652,339 | $563,596 | $471,226 |
80
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
DMC has contractually agreed to waive that portion, if any, of its management fee and/or reimburse each Fund to the extent necessary to ensure that total annual operating expenses, exclusive of any 12b-1 plan expenses, taxes, interest, inverse floater program expenses, brokerage fees, certain insurance costs and non-routine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations, do not exceed specified percentages of average daily net assets through as shown below:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Operating expense limitation as | |||||||||||||||||||||||
a percentage of average | |||||||||||||||||||||||
daily net assets (per annum) | 0.90% | 1.66% | 1.34% | 1.20% | 1.60% | 1.41% | |||||||||||||||||
Expiration date | 7/31/07 | 7/31/07 | 7/31/07 | 7/31/07 | 7/31/07 | 7/31/07 | |||||||||||||||||
Effective August 1, 2007, | |||||||||||||||||||||||
operating expense limitation as | |||||||||||||||||||||||
a percentage of average | |||||||||||||||||||||||
daily net assets (per annum) | 0.89% | 1.44% | 1.29% | 1.19% | 1.55% | 1.40% | |||||||||||||||||
Expiration date | 8/1/08 | 8/1/08 | 8/1/08 | 8/1/08 | 8/1/08 | 8/1/08 |
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides the Trust with fund accounting, administrative, and transfer agency services pursuant to a Mutual Fund Services Agreement. For fund accounting services, the Trust pays DSC a fee at annual rate of 0.04% of the Trust’s total average daily net assets, plus out-of-pocket expenses, subject to certain minimums. DSC also provides the Trust with administrative services including financial and tax reporting, corporate governance, and preparation of materials and reports for the Board of Trustees. For administrative services, the Trust pays DSC a fee at an annual rate (plus out-of pocket expenses) of 0.165% of assets up to $500 million of the Trust’s total average daily net assets, 0.140% of assets from $500 million to $1 billion, and 0.115% of assets over $1 billion. DSC also serves as the shareholder servicing, dividend disbursing, and transfer agent for each fund. For such services, the Trust pays DSC a fee at an annual rate of 0.235% of the Trust’s total average daily net assets, subject to certain minimums, plus out-of-pocket expenses.
DDLP, an affiliate of DMC, serves as the national distributor of each Fund’s shares pursuant to a Distribution Agreement. Pursuant to a Distribution Agreement and Rule 12b-1 plans, each Fund pays DDLP an annual fee of 0.35% of the average daily net assets of the Class A shares and 1.00% of the average daily net assets of the Class B and C shares. Institutional Class shares pay no distribution expenses.
At September 30, 2007, each Fund had liabilities payable to affiliates as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Investment management | |||||||||||||||||||||||
fee payable to DMC | $ | 273,614 | $ | 200,138 | $ | 586,714 | $ | 509,295 | $ | 121,489 | $ | 81,970 | |||||||||||
Dividend disbursing, transfer | |||||||||||||||||||||||
agent, accounting and | |||||||||||||||||||||||
administration fees and other | |||||||||||||||||||||||
expenses payable to DSC | 637,066 | 247,334 | 690,380 | 672,946 | 142,490 | 123,078 | |||||||||||||||||
Distribution fees payable to DDLP | 467,170 | 180,791 | 433,919 | 442,477 | 83,100 | 76,432 | |||||||||||||||||
Other expenses payable | |||||||||||||||||||||||
to DMC and affiliates** | 65,085 | 24,298 | 59,905 | 58,855 | 12,829 | 11,208 |
*DMC, as part of its administrative services, pays operating expenses on behalf of each Fund and is reimbursed on a periodic basis. Such expenses include items such as printing of shareholder reports, fees for audit, legal and tax services, registration fees and trustees’ fees.
(continues) 81
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
For the six months ended September 30, 2007, DDLP earned commissions on sales of Class A shares for each Fund as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
$29,874 | $12,972 | $36,621 | $36,244 | $6,340 | $4,950 |
For the six months ended September 30, 2007, DDLP received gross CDSC commissions on redemptions of each Fund’s Class B and Class C shares, and these commissions were entirely used to offset up-front commissions previously paid by DDLP to broker-dealers on sales of those shares. The amounts received were as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Class B | $11,925 | $2,775 | $10,126 | $ 9,641 | $2,057 | $1,812 | |||||||||||||||||
Class C | 17,515 | 4,394 | 12,699 | 12,322 | 2,178 | 1,796 |
DMC, DSC and DDLP are indirect, wholly owned subsidiaries of Delaware Management Holdings, Inc., which is an indirect wholly owned subsidiary of Lincoln National Corporation.
Certain officers of DMC, DSC, and DDLP are officers and/or trustees of the Trust. These officers and trustees are paid no compensation by the Funds.
3. Investments
For the six months ended September 30, 2007, the Funds made purchases and sales of investment securities other than short-term investments as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
Purchases other than U.S. government securities | $650,766,167 | $54,606,589 | $310,361,764 | $211,228,131 | $40,878,995 | $35,852,057 | |||||
Purchases of U.S. government securities | 431,625,232 | — | — | — | — | — | |||||
Sales other than U.S. government securities | 534,968,379 | 36,555,198 | 231,654,816 | 123,251,464 | 31,149,114 | 29,483,674 | |||||
Sales of U.S. government securities | 425,049,450 | — | — | — | — | — |
At September 30, 2007, the cost of investments for federal income tax purposes has been estimated since the final tax characteristics cannot be determined until fiscal year end. At September 30, 2007, the cost of investments and unrealized appreciation (depreciation) for each Fund were as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | |||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||||||||
Cost of investments | $ | 1,018,913,482 | $ | 277,529,429 | $ | 947,079,090 | $ | 936,455,858 | $ | 171,330,626 | $ | 157,142,111 | ||||||
Aggregate unrealized appreciation | $ | 9,012,636 | $ | 74,322,212 | $ | 193,784,149 | $ | 144,491,188 | $ | 37,992,194 | $ | 17,255,446 | ||||||
Aggregate unrealized depreciation | (8,881,858 | ) | (3,924,138 | ) | (5,959,630 | ) | (20,205,343 | ) | (8,102,825 | ) | (15,806,783 | ) | ||||||
Net unrealized appreciation | $ | 130,778 | $ | 70,398,074 | $ | 187,824,519 | $ | 124,285,845 | $ | 29,889,369 | $ | 1,448,663 |
82
4. Dividend and Distribution Information
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. Additionally, gains (losses) on foreign currency transactions and net short-term gains on sales of investment securities are treated as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the six months ended September 30, 2007 and the year ended March 31, 2007 was as follows:
Six Months Ended September 30, 2007*
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||
Ordinary income | $ | 8,597,204 | $ | 387,716 | $ | — | $ | 3,927,289 | $ | — | $ | 1,487,765 | |||||
Long-term Capital Gain | — | 5,144,066 | 4,328,199 | 12,383,035 | 2,393,583 | 1,366,689 | |||||||||||
Total | $ | 8,597,204 | $ | 5,531,782 | $ | 4,328,199 | $ | 16,310,324 | $ | 2,393,583 | $ | 2,854,454 |
Year Ended March 31, 2007
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||
Ordinary income | $ | 25,365,087 | $ | 7,131,730 | $ | 1,263,583 | $ | 8,816,723 | $ | — | $ | 1,226,671 | |||||
Long-term Capital Gain | — | 4,960,866 | 10,176,545 | 9,409,787 | 2,731,660 | 5,586,673 | |||||||||||
Total | $ | 25,365,087 | $ | 12,092,596 | $ | 11,440,128 | $ | 18,226,510 | $ | 2,731,660 | $ | 6,813,344 |
*Tax information for the period ended September 30, 2007 is an estimate and the tax character of dividends and distributions may be redesignated at fiscal year end.
5. Components of Net Assets on a Tax Basis
The components of net assets are estimated since final tax characteristics cannot be determined until fiscal year end. As of September 30, 2007, the estimated components of net assets on a tax basis were as follows:
Optimum | Optimum | Optimum | |||
Fixed Income | International | Large Cap | |||
Fund | Fund | Growth Fund | |||
Share of beneficial interest | $856,840,205 | $232,933,181 | $786,595,251 | ||
Undistributed ordinary income | 20,118,991 | 3,584,645 | 64,987 | ||
Undistributed long-term capital gain | — | 11,433,540 | 11,997,455 | ||
Other temporary differences | (931,383 | ) | — | — | |
Unrealized appreciation of investment, swap contracts and foreign currencies | 142,150 | 70,437,835 | 187,829,027 | ||
Net assets | $876,169,963 | $318,389,201 | $986,486,720 | ||
Optimum | Optimum | Optimum | |||
Large Cap | Small Cap | Small Cap | |||
Value Fund | Growth Fund | Value Fund | |||
Share of beneficial interest | $780,882,160 | $128,960,425 | $121,378,536 | ||
Undistributed ordinary income | 8,353,183 | — | 34,413 | ||
Undistributed long-term capital gain | 23,166,851 | 4,423,100 | 6,285,781 | ||
Unrealized appreciation of investment and foreign currencies | 124,300,821 | 29,889,369 | 1,448,663 | ||
Net assets | $936,703,015 | $163,272,894 | $129,147,393 |
The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral of losses on wash sales straddles, interest accrual on defaulted bonds, contingent payment debt instruments, realization of unrealized gain on investments in passive foreign investment companies, and mark-to-market on currency contracts, passive foreign investment companies, futures contracts, and tax treatment of credit default swap (CDS) contracts and interest rate swap contracts.
(continues) 83
Notes to financial statements
Optimum Fund Trust
5. Components of Net Assets on a Tax Basis (continued)
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to tax treatment of net operating losses, dividends and distributions, paydowns of mortgage- and asset-backed securities, CDS contracts and gain (loss) on foreign currency transactions. Results of operations and net assets were not affected by these reclassifications. For the six months ended September 30, 2007, the Funds recorded an estimate of these differences since the final tax characteristics cannot be determined until fiscal year end.
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small Cap | Small Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Undistributed (accumulated) net | |||||||||||||||||||||||
investment income (loss) | $ | (977,563 | ) | $ | (424,349 | ) | $ | 1,193,477 | $ | (24,961 | ) | $ | 954,067 | $ | 248,536 | ||||||||
Accumulated net realized gain (loss) | 977,563 | 424,349 | (1,193,477 | ) | 24,961 | — | (248,536 | ) | |||||||||||||||
Paid-in capital | — | — | — | — | (954,067 | ) | — |
6. Capital Shares
Transactions in capital shares were as follows:
Optimum | Optimum | Optimum | |||||||||||||||
Fixed Income | International | Large Cap Growth | |||||||||||||||
Fund | Fund | Fund | |||||||||||||||
Six Months | Year | Six Months | Year | Six Months | Year | ||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||
9/30/07 | 3/31/07 | 9/30/07 | 3/31/07 | 9/30/07 | 3/31/07 | ||||||||||||
Shares sold: | |||||||||||||||||
Class A | 970,186 | 1,841,350 | 147,803 | 375,989 | 534,561 | 1,304,218 | |||||||||||
Class B | 49,013 | 152,560 | 6,156 | 33,816 | 27,403 | 135,373 | |||||||||||
Class C | 4,190,788 | 6,778,612 | 572,071 | 1,391,456 | 2,191,849 | 4,803,075 | |||||||||||
Institutional Class | 13,857,761 | 20,691,760 | 2,136,335 | 3,528,374 | 9,940,323 | 17,071,479 | |||||||||||
19,067,748 | 29,464,282 | 2,862,365 | 5,329,635 | 12,694,136 | 23,314,145 | ||||||||||||
Shares issued upon reinvestment of dividends | |||||||||||||||||
and distributions: | |||||||||||||||||
Class A | 68,552 | 226,229 | 29,426 | 83,106 | 23,085 | 79,694 | |||||||||||
Class B | 6,969 | 31,261 | 5,879 | 16,300 | 4,560 | 16,844 | |||||||||||
Class C | 183,404 | 737,005 | 109,442 | 280,642 | 88,931 | 297,903 | |||||||||||
Institutional Class | 673,249 | 1,767,917 | 194,152 | 469,204 | 219,065 | 624,104 | |||||||||||
932,174 | 2,762,412 | 338,899 | 849,252 | 335,641 | 1,018,545 | ||||||||||||
Shares repurchased: | |||||||||||||||||
Class A | (557,615 | ) | (1,075,275 | ) | (178,595 | ) | (314,632 | ) | (370,323 | ) | (800,040 | ) | |||||
Class B | (78,308 | ) | (189,221 | ) | (21,822 | ) | (65,771 | ) | (47,049 | ) | (123,686 | ) | |||||
Class C | (1,822,391 | ) | (3,837,333 | ) | (585,012 | ) | (986,974 | ) | (1,183,462 | ) | (2,241,294 | ) | |||||
Institutional Class | (4,355,293 | ) | (7,703,310 | ) | (1,032,042 | ) | (1,468,287 | ) | (3,447,610 | ) | (5,541,024 | ) | |||||
(6,813,607 | ) | (12,805,139 | ) | (1,817,471 | ) | (2,835,664 | ) | (5,048,444 | ) | (8,706,044 | ) | ||||||
Net increase | 13,186,315 | 19,421,555 | 1,383,793 | 3,343,223 | 7,981,333 | 15,626,646 |
84
6. Capital Shares (continued)
Optimum | Optimum | Optimum | |||||||||||||||
Large Cap Value | Small Cap Growth | Small Cap Value | |||||||||||||||
Fund | Fund | Fund | |||||||||||||||
Year | Year | Year | Year | Year | Year | ||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||
9/30/07 | 3/31/07 | 9/30/07 | 3/31/07 | 9/30/07 | 3/31/07 | ||||||||||||
Shares sold: | |||||||||||||||||
Class A | 480,138 | 1,191,590 | 79,937 | 213,329 | 68,326 | 207,100 | |||||||||||
Class B | 20,879 | 115,682 | 2,846 | 18,163 | 3,404 | 15,227 | |||||||||||
Class C | 1,961,152 | 4,508,067 | 335,914 | 708,196 | 287,956 | 627,120 | |||||||||||
Institutional Class | 9,087,879 | 15,707,485 | 1,332,869 | 2,209,166 | 1,095,309 | 1,801,580 | |||||||||||
11,550,048 | 21,522,824 | 1,751,566 | 3,148,854 | 1,454,995 | 2,651,027 | ||||||||||||
Shares issued upon reinvestment of dividends | |||||||||||||||||
and distributions: | |||||||||||||||||
Class A | 84,942 | 119,889 | 13,168 | 18,811 | 18,686 | 58,450 | |||||||||||
Class B | 15,140 | 19,480 | 2,493 | 3,663 | 3,551 | 10,762 | |||||||||||
Class C | 296,603 | 351,857 | 47,215 | 64,248 | 66,736 | 192,954 | |||||||||||
Institutional Class | 815,589 | 1,031,198 | 96,056 | 114,103 | 110,799 | 271,409 | |||||||||||
1,212,274 | 1,522,424 | 158,932 | 200,825 | 199,772 | 533,575 | ||||||||||||
Shares repurchased: | |||||||||||||||||
Class A | (402,966 | ) | (777,180 | ) | (87,395 | ) | (208,617 | ) | (99,475 | ) | (304,352 | ) | |||||
Class B | (49,469 | ) | (131,451 | ) | (9,419 | ) | (24,715 | ) | (11,724 | ) | (32,920 | ) | |||||
Class C | (1,280,284 | ) | (2,301,312 | ) | (213,210 | ) | (428,630 | ) | (300,728 | ) | (569,521 | ) | |||||
Institutional Class | (3,245,414 | ) | (5,114,065 | ) | (574,592 | ) | (1,025,312 | ) | (510,352 | ) | (865,025 | ) | |||||
(4,978,133 | ) | (8,324,008 | ) | (884,616 | ) | (1,687,274 | ) | (922,279 | ) | (1,771,818 | ) | ||||||
Net increase | 7,784,189 | 14,721,240 | 1,025,882 | 1,662,405 | 732,488 | 1,412,784 |
7. Foreign Currency Exchange Contracts
The Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund and Optimum Large Cap Value Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Funds may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Funds may also use these contracts to hedge the U.S. dollar value of securities they already own that are denominated in foreign currencies. The change in market value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Funds could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The unrealized gain (loss) is included in receivables and other assets net of liabilities or liabilities net of receivables and other assets on the Statement of net assets.
8. Financial Futures Contracts
The Optimum Fixed Income Fund may invest in financial futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in prevailing market interest rates. Upon entering into a futures contract, the Fund deposits cash or pledges U.S government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. The unrealized gain (loss) is included in liabilities net of receivables and other assets on the Statement of net assets.
(continues) 85
Notes to financial statements
Optimum Fund Trust
9. Options Written
During the six months ended September 30, 2007, Optimum Fixed Income Fund entered into options contracts in accordance with its investment objectives. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the options written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option.
Transactions in options written during the six months ended September 30, 2007 for Optimum Fixed Income Fund were as follows:
Number of contracts | Premiums | ||||||
Options outstanding at March 31, 2007 | — | $ — | |||||
Options written | 4,442,216 | 28,039 | |||||
Options expired | (4,442,216 | ) | (28,039 | ) | |||
Options outstanding at September 30, 2007 | — | $ — |
10. Swap Contracts
The Optimum Fixed Income Fund may enter into interest rate swap contracts, index swap contracts and CDS contracts in accordance with its investment objectives. The Fund may use interest rate swaps to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Index swaps may be used to gain exposure to markets that the Fund invests in, such as the corporate bond market. The Fund may also use index swaps as a substitute for futures or options contracts if such contracts are not directly available to the Fund on favorable terms. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets.
An interest rate swap involves payments received by the Fund from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Fund receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation/depreciation on swap contracts. Upon periodic payment/receipt or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts.
Index swaps involve commitments to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the security, instrument or basket of instruments underlying the transaction exceeds the offsetting interest obligation, the Fund will receive a payment from the counterparty. To the extent the total return of the security, instrument or basket of instruments underlying the transaction falls short of the offsetting interest obligation, the Fund will make a payment to the counterparty. The change in value of swap contracts outstanding, if any, is recorded as unrealized appreciation or depreciation daily. A realized gain or loss is recorded on maturity or termination of the swap contract.
A CDS contract is a risk-transfer instrument through which one party (the purchaser of protection) transfers to another party (the seller of protection) the financial risk of a credit event as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the referenced security (or basket of securities) to the counterparty.
During the period ended September 30, 2007, the Optimum Fixed Income entered into CDS contracts as a purchaser of protection and seller of protection. Periodic payments on such contracts are accrued daily and recorded as unrealized gains or losses on swap contracts. Upon payment, such amounts are recorded as realized losses on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as realized losses (gains) on swap contracts. The change in value of CDS contracts is recorded as unrealized appreciation or depreciation daily. A realized gain or loss is recorded upon a credit Event or the maturity or termination of the agreement.
Credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit default swaps are subject to general market risk, liquidity risk, counterparty risk and credit risk. If the Fund enters into a CDS contract as a purchaser of protection and no credit event occurs, its exposure is limited to the periodic payments previously made to the counterparty.
Because there is no organized market for swap contracts, the value of open swaps may differ from that which would be realized in the event the Fund terminated its position in the agreement. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movements in the value of the underlying security, instrument, or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the Statements of net assets.
86
11. Securities Lending
The Funds, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with Mellon Bank N.A. (Mellon). Initial security loans made pursuant to the Lending Agreement are required to be secured by U.S. government obligations and/or cash collateral not less than 102% of the market value of the securities issued in the United States and 105% of the market value of the securities issued outside the United States. With respect to each loan, if the aggregate market value of the collateral held on any business day is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral not less than the applicable collateral requirements. Cash collateral received is invested in fixed income securities, with a weighted average maturity not to exceed 90 days, rated in one of the top two tiers by Standard & Poor’s Ratings Group or Moody’s Investors Service, Inc. or repurchase agreements collateralized by such securities. However, in the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Funds, or at the discretion of the lending agent, replace the loaned securities. The Funds continue to record dividends on the securities loaned and is subject to change in value of the securities loaned that may occur during the term of the loan. The Funds have the right under the Lending Agreement to recover the securities from the borrower on demand. The security lending agent and the borrower retain a portion of the earnings from the collateral investments. The Funds record security lending income net of such allocation.
At September 30, 2007, the market value of securities on loan is presented below, for which cash collateral was received and invested in accordance with the Lending Agreement. Such investments are presented on the Statements on net assets under the caption “Securities Lending Collateral”.
Market Value of | |||
Securities on Loan | |||
Optimum Fixed Income Fund | $ 120,473,814 | ||
Optimum International Fund | 31,486,900 | ||
Optimum Large Cap Growth Fund | 129,635,643 | ||
Optimum Large Cap Value Fund | 119,580,505 | ||
Optimum Small Cap Growth Fund | 36,766,944 | ||
Optimum Small Cap Value Fund | 27,463,958 |
12. Credit and Market Risk
Some countries in which the Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund and Optimum Large Cap Value Fund may invest require governmental approval for the repatriation of investment income, capital or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by such Fund may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets are held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Funds.
The Optimum Fixed Income Fund may invest a portion of its assets in high yield fixed income securities, which carry ratings of BB or lower by Standard & Poor’s Ratings Group and/or Ba or lower by Moody’s Investors Service, Inc. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Optimum Fixed Income Fund invests in fixed income securities whose value is derived from underlying mortgages or consumer loans. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse affect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories. The Optimum Fixed Income Fund also invests in taxable municipal bonds.
The Optimum Small Cap Growth Fund and Optimum Small Cap Value Fund invest a significant portion of their assets in small companies and may be subject to certain risks associated with ownership of securities of such companies. Investments in small-sized companies may be more volatile than investments in larger companies for a number of reasons, which include limited financial resources or a dependence on narrow product lines.
(continues) 87
Notes to financial statements
Optimum Fund Trust
12. Credit and Market Risk (continued)
Each Fund may invest up to 15% of its total assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair each Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board of Trustees has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of each Fund’s limitation on investments in illiquid assets. Rule 144A and illiquid securities have been identified on the Statement of net asets.
13. Contractual Obligations
The Funds enter into contracts in the normal course of business that contain a variety of indemnifications. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of loss to be remote.
14. Termination of New Share Purchases of Class B Shares
As of the close of business on July 31, 2007, no new or subsequent investments, including investments through automatic investment plans and by qualified retirement plans such as 401 (K) plans, 403 (b) plans, or 457 plans), are allowed in Class B shares in any of the Funds, except through a reinvestment of dividends or capital gains or permitted exchanges. Existing shareholders of Class B shares may continue to hold their Class B shares, reinvest dividends into Class B shares, and exchange their Class B shares of one Fund for Class B shares of another Fund, as permitted by existing exchange privileges. Existing Class B shareholders wishing to make subsequent purchases in the Funds’ shares will be permitted to invest in other classes of the Funds, subject to that class’ pricing structure and eligibility requirements, if any.
For Class B shares outstanding as of July 31, 2007 and Class B shares acquired upon reinvestment of dividends or capital gains, all Class B share attributes, including the CDSC schedules, conversion to Class A schedule, and distribution and service (12b-1) fees, will continue in their current form. However, as of the close of business on July 31, 2007, the reinvestment of redeemed shares with respect to Class B shares (which, permits you to reinvest within 35 days of selling your shares and have any CDSC you paid on such shares credited back to your account) has been discontinued. In addition, because a Fund’s or its distributor’s ability to assess certain sales charges and fees is dependent on the sale of new shares, the termination of new purchases of Class B shares could ultimately lead to the elimination and/or reduction of such sales charges and fees. A Fund may not be able to provide shareholders with advance notice of the reduction in these sales charges and fees. You will be notified via a Prospectus Supplement if there are any changes to any attributes, sales charges, or fees.
15. Change in Custodian
On August 9, 2007, Mellon Bank, N.A., One Mellon Center, Pittsburgh, PA 15258, became the Funds’ custodian.
16. Change in Investment Strategies for Optimum Small Cap Growth Fund and Optimum Small Cap Value Fund
On September 20, 2007, the Board of Trustees of Optimum Fund Trust approved a change in the market capitalization range of the securities in which the Funds primarily invest from a focus on small-capitalization companies to a focus on small-capitalization and mid-capitalization companies. By adopting this change, the Funds’ sub-advisers will have a larger universe of companies in which to invest pursuant to each sub-adviser’s current investment style and stragey. In accordance with this change in market capitalization, the names of the Optimum Small Cap Growth Fund and the Optimum Small Cap Value Fund will be changed to the “Optimum Small-Mid Cap Growth Fund” and the “Optimum Small-Mid Cap Value Fund”, respectively. In addition, the Funds’ benchmarks will be changed from the Russell 2000® Growth Index and Russell 2000® Value Index to the Russell 2500® Growth Index and the Russell 2500® Value Index, respectively. These changes will become effective on January 1, 2008. Please refer to the supplement to the Funds’ Prospectuses and the Statement of Additional Information, dated October 17, 2007, for more information.
88
Other Fund information (unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Advisory and Sub-Advisory Agreements
At a meeting held on June 14, 2007, the Board of Trustees, including a majority of non-interested or independent Trustees, approved renewal of the Investment Management Agreement between Delaware Management Company (the “Manager” or “DMC”) and each of the six separate funds within the Trust (the “Funds”), as well as Sub-Advisory Agreements between the Manager and the following sub-advisers: Aberdeen Asset Management Inc. (Optimum Fixed Income Fund); Alliance Bernstein L.P. (Optimum International Fund); Columbia Wanger Asset Management, L.P. (Optimum Small Cap Growth Fund); Delafield Asset Management (Optimum Small Cap Value Fund); Hotchkis and Wiley Capital Management, LLC (Optimum Small Cap Value Fund); The Killen Group, Inc. (Optimum Small Cap Value Fund); Marsico Capital Management, LLC (Optimum Large Cap Growth Fund); Massachusetts Financial Services Company (Optimum Large Cap Value Fund); Mondrian Investment Partners Limited (Optimum International Fund); Oberweis Asset Management, Inc. (Optimum Small Cap Growth Fund); TCW Investment Management Company (Optimum Large Cap Value Fund); and T. Rowe Price Associates, Inc. (Optimum Large Cap Growth Fund). In reaching such decisions, the Board took into account information furnished and discussed throughout the year at quarterly Board meetings, as well as information furnished specifically for the renewal reviews conducted at the June 14, 2007 Board meeting. Information furnished at Board meetings throughout the year included an analysis by the Manager (with the assistance of its consultant, Linsco/Private Ledger Corp. (“LPL”)) of the investment performance of each Fund and its sub-advisers, presentations given the Board by portfolio managers from each sub-adviser on a rotating basis and compliance reports and related certifications furnished by the Manager and each sub-adviser. Material furnished specifically in connection with the renewals included: a memorandum from the Manager discussing and analyzing the performance of each Fund and its respective sub-adviser(s); a description of fees charged by the Manager and each sub-adviser showing them in each case to be competitive with those charged to other comparable investment companies or accounts; copies of the investment management and sub-advisory agreements; a “due diligence” report describing various material items in relation to the personnel, organization and policies of the Manager and the sub-advisers; and information on the fees and other benefits realized by the Manager (and its affiliates) and the sub-advisers in performing services for the Funds, as well as the revenues and expenses incurred by the Manager and its affiliates in performing such services. Information furnished specifically in connection with the renewal process also included a report for each Fund prepared by Lipper Inc. (“Lipper”) comparing each Fund’s investment performance and expenses with those of other mutual funds deemed comparable (the “Lipper Report”).
In considering such materials, the independent Trustees received assistance and advice from and met separately with independent counsel. While the investment management agreements for all Funds were considered at the same Board meeting, the Board dealt with each Fund separately. In approving continuance of the investment management agreement for each Fund, the Board, including a majority of independent Trustees, determined that the exisiting management fee structure was fair and reasonable and that continuance of the investment management agreement was in the best interests of each Fund and its shareholders. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decision.
Nature, Extent and Quality of Services. The Trustees were satisfied with the nature, extent and quality of the services provided by DMC and its affiliates to each of the Funds. The Board’s view was based upon factors such as the background and experience of the executives and other Management personnel involved in the Funds’ operations, the quality and thoroughness of the monitoring of each Fund’s investment performance conducted by DMC, reports furnished by DMC as to adherence with various compliance and procedural matters such as the Code of Ethics and fair value pricing, and DMC’s success in obtaining meaningful information on a timely basis from each of the Fund’s sub-advisers. The Board also took into account the distribution services provided each Fund by an affiliate of DMC, noting the growth in Fund assets. Consideration was also given to the due diligence, attention and high quality of services performed by management personnel of DMC and its affiliates in connection with a proposed conversion and outsourcing of Fund accounting operations to a subsidiary of The Bank of New York Mellon, as well as the sub-contracting out during the past year of many of the Funds’ shareholder transfer agency functions to DST Systems, Inc. The quality of the services of the sub-advisers to each Fund was considered primarily in respect to the investment performance of the Funds. The Board was, however, satisfied with the adherence by each sub-adviser with the investment policies and restrictions of the Funds advised, as well as their adherence to various compliance and other procedures based on personal presentations made by sub-advisers’ portfolio managers and DMC reports of its discussions with the sub-advisers, as well as certificates and materials furnished at Board meetings and in connection with the contract renewals.
Investment Performance. The Board placed significant emphasis on the investment performance of each Fund. While consideration was given to performance reports and discussions throughout the year (including a detailed discussion of the investment performance of each Fund and its sub-advisers contained in a memorandum from DMC provided to the Board prior to the Meeting), particular attention in assessing performance was given to the Lipper Reports furnished in connection with the contract renewals. The Lipper Reports prepared for each individual Fund showed the investment performance of its Class A shares in comparison with a Performance Universe selected by Lipper for the period from inception through March 31, 2007, as well as the one and three year period ending that date. The following summarizes the performance results for each Fund, and the Board’s view of such performance.
Optimum Fixed Income Fund – The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional intermediate investment-grade debt funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance since inception as well as the previous one and three year periods were in the highest quintile of such Universe. The Board was satisfied with such performance.
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Other Fund information (unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Advisory and Sub-Advisory Agreements (continued)
Optimum International Fund – The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional international multi-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance since inception was in the middle quintile of such Universe and for the one and three year periods was in the highest and second lowest quintile of such Universe, respectively. The Board found such performance to be acceptable.
Optimum Large Cap Growth Fund – The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional large-cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance since inception was in the highest quintile of such Universe and for the one and three year period was in the second highest and highest quintile of such Universe, respectively. The Board was satisfied with such performance.
Optimum Large Cap Value Fund – The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional large-cap value funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance since inception as well as the previous one and three year periods was in the second highest quintile of such Universe. The Board was satisfied with such performance.
Optimum Small Cap Growth Fund – The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance since inception was in the second highest quintile of such Universe and for the one and three year periods to be in the middle and second lowest quintile of such Universe, respectively. The Board found such performance to be acceptable.
Optimum Small Cap Value Fund – The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small cap value funds as selected by Lipper. The Lipper Report for the Fund showed its investment performance since inception was in the second highest quintile of such Universe and for the one and three year periods was in the second lowest and middle quintile of such Universe, respectively. The Board found such performance to be acceptable.
Comparative Expenses. Attention was also given to a comparative analysis of each Fund’s expenses, including management fees, in comparison to a group of other funds constituting its appropriate Lipper Expense Group. The Lipper Report showed the actual total expenses of each Fund to be higher than both the average and median of its respective Lipper Expense Group. The Trustees found such expenses to be acceptable in view of the fact that DMC had reimbursed expenses and waived fees to the extent necessary to keep expenses of each Fund from exceeding certain percentage amounts, and had agreed to continue similar reimbursements and/or fee waivers through August 1, 2008. The Trustees also took into consideration the fact that during the past year DMC and various other service providers to the Funds had agreed to revisions to certain fees charged to the Funds.
DMC’s Profitability; Economies Of Scale. Based on the size of each Fund and the reimbursement or waiver of expenses by DMC, as well as other profitability information furnished them by DMC, the Trustees did not believe that any meaningful profits were being realized by DMC and its affiliates from services provided to any of the Funds. Trustees were also given information on profits being realized by the sub-advisers in relation to the services being provided to the Funds or in relation to the sub-adviser’s overall investment advisory business. The Board was also provided with information on potential fall-out benefits derived or to be derived by DMC or the sub-advisers in connection with their relationship to the Funds such as: soft dollar arrangements; allocating brokerage to affiliated brokers; and the name recognition enhancement by virtue of managing the Funds. The Trustees recognized that as the Funds get larger at some point, economies of scale may result in DMC realizing a meaningful profit margin on management services provided to a Fund. The Trustees also noted that economies of scale may be shared with a fund and its shareholders through investment management fee breakpoints, so that as a fund grows in size, its effective management fee rate declines. The Optimum Small Cap Value Fund and Optimum Small Cap Growth Fund each had less than $150 million in assets at March 31, 2007, and the Trustees believed that at such asset levels no meaningful economies of scale existed. The investment management fees for all the other Funds contained breakpoints with each Fund’s asset size being at a high enough level to benefit from such breakpoints, and to the extent economies of scale may be realized in the management of any of these Funds, the Trustees believed such schedule of fees provided a sharing of benefits with the Fund and its shareholders. The Board noted that during the past year additional breakpoints had been added to the investment management fee for the Optimum Fixed Income Fund, whose asset size had grown beyond its previously existing last management fee breakpoint. The asset levels of each of the Optimum Large Cap Value Fund and Optimum Large Cap Growth Fund had recently grown beyond the last breakpoints under their respective investment management agreements, and it was agreed that discussions as to adding additional investment management fee breakpoints for these Funds would be taking place at future Board meetings.
Board Consideration of Sub-Advisory Agreement with Marsico Capital Management, LLC
At a meeting held on September 20, 2007, the Board of Trustees, including a majority of non-interested or independent Trustees, approved a new Sub-Advisory Agreement (the “Sub-Advisory Agreement”) between Delaware Management Company (the “Manager” or “DMC”) and Marsico Capital Management, LLC (“Marsico”) for the Optimum Large Cap Growth Fund (the “Fund”). The need for approval of a new Sub-Advisory Agreement arose from a pending change in control of Marsico arising out of the plans of Thomas F. Marsico, the Chief Executive Officer of Marsico (“CEO”), and a company he controls to repurchase Marsico from Bank of America (the “Buy-Back”). The Sub-Advisory Agreement will become effective upon completion of the Buy-Back.
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Other Fund information (unaudited)
Optimum Fund Trust
Board Consideration of Sub-Advisory Agreement with Marsico Capital Management, LLC (continued)
Because Marsico was an existing sub-adviser to the Optimum Large Cap Growth Fund, the Board took into account information furnished and discussed throughout the year at quarterly Board meetings when discussing the Sub-Advisory Agreement, as well as information furnished specifically for the contract approval considerations being conducted at the Board meeting. Information furnished at Board meetings throughout the year included: an analysis by DMC (with the assistance of its consultant, Linsco/Private Ledger Corp.) of the investment performance of Marsico and the sleeve of the Fund it sub-advised; a report prepared by Lipper Inc. (“Lipper”) comparing the Fund’s investment performance and expenses with those of other mutual funds deemed comparable (“Lipper Report”); and compliance reports and related certifications furnished by Marsico and DMC. Material furnished specifically in connection with the review of the Sub-Advisory Agreement included: memoranda discussing and analyzing the performance of Marsico’s sleeve of the Fund and Marsico’s Buy-Back from Bank of America; a description of fees charged by Marsico showing them to be competitive with those charged other comparable investment companies or accounts; a copy of the Sub-Advisory Agreement; and a “due diligence” report describing various material items in relation to the personnel, organization and policies of Marsico. Lastly, representatives of Marsico (including its CEO) were present at the Board meeting to provide a presentation and answer any Board questions.
In considering such information and materials, the independent Trustees received assistance from and met separately with independent counsel. The materials prepared by Management specifically in connection with the approval of the Sub-Advisory Agreement were sent to the independent Trustees in advance of the meeting and were discussed at an executive session of the independent Trustees and their counsel prior to the Board meeting. While attention was given to all information furnished, the following discusses under separate headings the primary factors taken into account by the Board in its contract approval considerations.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of the services to be provided by Marsico, the Board specifically considered that the Sub-Advisory Agreement contains substantially similar provisions to those in the existing Marsico sub-advisory agreement for the Fund. The Board also considered the benefits of providing consistency of portfolio management. The Board reviewed materials provided by Marsico regarding its experience and the qualifications of its personnel, and placed weight on Marsico’s representation that there are no planned changes with respect to Marsico’s personnel responsible for security selection and portfolio management of the portion of the Fund managed by Marsico after the completion of the Buy-Back. The quality of the services of Marsico was considered primarily in respect to the investment performance on its sleeve of the Fund. The Board was also satisfied with the adherence by Marsico with the investment policies and restrictions of the Fund it advised, as well as their adherence to various compliance and other procedures based on personal presentations made by representatives of Marsico and DMC reports of its discussions with Marsico, as well as certificates and materials furnished at Board meetings and in connection with the approval of the Sub-Advisory Agreement.
Investment Performance. The Board placed significant emphasis on Marsico’s prior investment performance on its sleeve of the Fund. While consideration was given to performance reports and discussions throughout the year (including the Lipper Report described above), particular attention in assessing performance was given to Marsico’s performance on its portion of the sleeve to date relative to the Fund’s peers and benchmark. The Board was satisfied with such performance. In addition, the Board placed weight on Marsico’s representation that there are no planned changes with respect to the Marsico personnel currently responsible for security selection and portfolio management of its portion of the Fund after the completion of the Buy-Back. Based upon these considerations, the Board determined that the performance of Marsico on the Fund provides evidence of the high quality of portfolio management services expected to be provided by Marsico under the Sub-Advisory Agreement.
Sub-Advisory Fee; Profitability; and Economies Of Scale. The Board was provided with a description of fees to be charged by Marsico under the Sub-Advisory Agreement which showed them to be identical to the sub-advisory fees from the existing Marsico sub-advisory agreement for the Fund, and to be competitive with those charged by Marsico to other comparable investment companies or accounts. Trustees were also given information on profits being realized by Marsico in relation to Marsico’s overall investment advisory business. The Board noted that the fees payable to Marsico for the investment sub-advisory services provided by it to the Fund would be paid out of the fee received by DMC in its role as investment manager. The Board also noted that the materials provided to them regarding the Buy-Back stated that the management fee paid by the Fund to DMC would stay the same, and that DMC’s profitability will not be impacted by the terms of the Sub-Advisory Agreement. The Board also noted that economies of scale may be shared with a fund and its shareholders through investment management fee breakpoints, so that as a fund grows in size, its effective management fee rate declines. The investment management fees for the Fund contained breakpoints with the Fund’s asset size being at a high enough level to benefit from such breakpoints, and to the extent economies of scale may be realized in the management of the Fund, the Trustees believed such schedule of fees provided a sharing of benefits with the Fund and its shareholders. The asset levels of the Fund had recently grown beyond the last breakpoint under its investment management agreement, and it was previously agreed that discussions as to adding additional investment management fee breakpoints for the Fund would be taking place at future Board meetings.
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About the organization
This semiannual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the Performance Update for the most recently completed calendar quarter. The prospectus sets forth details about charges, expenses, investment objectives, and operating policies of the investment company. You should read the prospectus carefully before you invest. The figures in this report represent past results that are not a guarantee of future results. The return and principal value of an investment in each Fund will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Board of trustees Mark S. Casady John C.E. Campbell Robert J. Christian Nicholas D. Constan Durant Adams Hunter Stephen Paul Mullin Robert A. Rudell Jon Edward Socolofsky | Affiliated officers David F. Connor Daniel V. Geatens David P. O’Connor Richard Salus
| Contact information Investment manager National distributor Shareholder servicing, dividend For shareholders For securities dealers Web site
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Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Forms N-Q, as well as a description of the policies and procedures that each Fund uses to determine how to vote proxies (if any) relating to portfolio securities are available without charge (i) upon request, by calling 800 914-0278; and (ii) on the Commission’s Web site at http://www.sec.gov. In addition, a description of the policies and procedures that each Fund uses to determine how to vote proxies (if any) relating to portfolio securities and each Fund’s Schedule of Investments are available without charge on the Fund’s Web site at http://www.optimummutualfunds.com. Each Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how each Fund voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through each Fund’s Web site at http://www.optimummutualfunds.com; and (ii) on the Commission’s Web site at http://www.sec.gov.
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(2439) | �� | Printed in the USA |
SA-901 [9/07] CGI 11/07 | MF-07-10-348 PO12385 |
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
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 Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by the report to stockholders included herein (i.e., the registrant’s second fiscal quarter) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a) (1) Code of Ethics
Not applicable.
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT.
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.
Optimum Fund Trust
JOHN C. E. CAMPBELL | ||
By: | John C. E. Campbell | |
Title: | Chief Executive Officer | |
Date: | December 5, 2007 |
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.
JOHN C. E. CAMPBELL | ||
By: | John C. E. Campbell | |
Title: | Chief Executive Officer | |
Date: | December 5, 2007 | |
RICHARD SALUS | ||
By: | Richard Salus | |
Title: | Chief Financial Officer | |
Date: | December 5, 2007 |