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, 2009
Item 1. Reports to Stockholders
| ||
Optimum Fund Trust | ||
November 27, 2009 | ||
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. Current performance may be higher or lower than the performance data quoted. | ||
| |||
Optimum Fixed Income Fund | |||
Optimum International Fund | |||
Optimum Large Cap Growth Fund | |||
Optimum Large Cap Value Fund | |||
Optimum Small-Mid Cap Growth Fund | |||
Optimum Small-Mid Cap Value Fund | |||
Semiannual Report | |||
September 30, 2009 | |||
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 | 93 | |
> About the organization | 100 |
It is currently anticipated that Lincoln National Corporation will complete its sale of Delaware Management Holdings, Inc. and its subsidiaries (also known by the marketing name of Delaware Investments) to Macquarie Group on or about December 31, 2009. Please see your Funds’ prospectus and any supplements thereto for more complete information.
Investments in Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund are not and will not be deposits with or liabilities of Macquarie Bank Limited ABN 46 008 583 542 and its holding companies, including subsidiaries or related companies (the “Macquarie Group”), and are subject to investment risk, including possible delays in repayment and loss of income and capital invested. No Macquarie Group company guarantees or will guarantee the performance of the Funds, the repayment of capital from the Funds, or any particular rate of return.
The views expressed in this report are as of Sept. 30, 2009, and are subject to change at any time based on market or other conditions. The portfolios are actively managed and current holdings may differ.
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.
© 2009 Delaware Distributors, L.P.
All third-party trademarks are the property of their respective owners.
Disclosure of Fund expenses
For the period April 1, 2009 to September 30, 2009
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 April 1, 2009 to September 30, 2009.
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 each 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.
Optimum Fixed Income Fund
Expense Analysis of an Investment of $1,000
Expenses | |||||||||||||
Beginning | Ending | Paid During | |||||||||||
Account | Account | Annualized | Period | ||||||||||
Value | Value | Expense | 4/1/09 to | ||||||||||
4/1/09 | 9/30/09 | Ratio | 9/30/09* | ||||||||||
Actual Fund Return | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,198.80 | 1.28% | $ | 7.06 | ||||||
Class B | 1,000.00 | 1,196.00 | 1.93% | 10.62 | |||||||||
Class C | 1,000.00 | 1,194.50 | 1.93% | 10.62 | |||||||||
Institutional Class | 1,000.00 | 1,201.60 | 0.93% | 5.13 | |||||||||
Hypothetical 5% Return (5% return before expenses) | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.65 | 1.28% | $ | 6.48 | ||||||
Class B | 1,000.00 | 1,015.39 | 1.93% | 9.75 | |||||||||
Class C | 1,000.00 | 1,015.39 | 1.93% | 9.75 | |||||||||
Institutional Class | 1,000.00 | 1,020.41 | 0.93% | 4.71 | |||||||||
Optimum International Fund | |||||||||||||
Expense Analysis of an Investment of $1,000 | |||||||||||||
Expenses | |||||||||||||
Beginning | Ending | Paid During | |||||||||||
Account | Account | Annualized | Period | ||||||||||
Value | Value | Expense | 4/1/09 to | ||||||||||
4/1/09 | 9/30/09 | Ratio | 9/30/09* | ||||||||||
Actual Fund Return | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,476.70 | 1.76% | $ | 10.93 | ||||||
Class B | 1,000.00 | 1,473.50 | 2.41% | 14.94 | |||||||||
Class C | 1,000.00 | 1,471.30 | 2.41% | 14.93 | |||||||||
Institutional Class | 1,000.00 | 1,480.80 | 1.41% | 8.77 | |||||||||
Hypothetical 5% Return (5% return before expenses) | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,016.24 | 1.76% | $ | 8.90 | ||||||
Class B | 1,000.00 | 1,012.99 | 2.41% | 12.16 | |||||||||
Class C | 1,000.00 | 1,012.99 | 2.41% | 12.16 | |||||||||
Institutional Class | 1,000.00 | 1,018.00 | 1.41% | 7.13 |
(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 | 4/1/09 to | ||||||||||
4/1/09 | 9/30/09 | Ratio | 9/30/09* | ||||||||||
Actual Fund Return | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,360.50 | 1.61% | $ | 9.53 | ||||||
Class B | 1,000.00 | 1,356.60 | 2.26% | 13.35 | |||||||||
Class C | 1,000.00 | 1,356.60 | 2.26% | 13.35 | |||||||||
Institutional Class | 1,000.00 | 1,364.30 | 1.26% | 7.47 | |||||||||
Hypothetical 5% Return (5% return before expenses) | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.00 | 1.61% | $ | 8.14 | ||||||
Class B | 1,000.00 | 1,013.74 | 2.26% | 11.41 | |||||||||
Class C | 1,000.00 | 1,013.74 | 2.26% | 11.41 | |||||||||
Institutional Class | 1,000.00 | 1,018.75 | 1.26% | 6.38 | |||||||||
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 | 4/1/09 to | ||||||||||
4/1/09 | 9/30/09 | Ratio | 9/30/09* | ||||||||||
Actual Fund Return | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,355.80 | 1.56% | $ | 9.21 | ||||||
Class B | 1,000.00 | 1,351.30 | 2.21% | 13.03 | |||||||||
Class C | 1,000.00 | 1,351.30 | 2.21% | 13.03 | |||||||||
Institutional Class | 1,000.00 | 1,358.30 | 1.21% | 7.15 | |||||||||
Hypothetical 5% Return (5% return before expenses) | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.25 | 1.56% | $ | 7.89 | ||||||
Class B | 1,000.00 | 1,013.99 | 2.21% | 11.16 | |||||||||
Class C | 1,000.00 | 1,013.99 | 2.21% | 11.16 | |||||||||
Institutional Class | 1,000.00 | 1,019.00 | 1.21% | 6.12 |
“Expenses Paid During Period” are equal to a Fund’s annualized expense ratios, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Optimum Small-Mid Cap Growth Fund | |||||||||||||
Expense Analysis of an Investment of $1,000 | |||||||||||||
Expenses | |||||||||||||
Beginning | Ending | Paid During | |||||||||||
Account | Account | Annualized | Period | ||||||||||
Value | Value | Expense | 4/1/09 to | ||||||||||
4/1/09 | 9/30/09 | Ratio | 9/30/09* | ||||||||||
Actual Fund Return | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,451.20 | 1.90% | $ | 11.68 | ||||||
Class B | 1,000.00 | 1,445.50 | 2.55% | 15.63 | |||||||||
Class C | 1,000.00 | 1,445.50 | 2.55% | 15.63 | |||||||||
Institutional Class | 1,000.00 | 1,452.20 | 1.55% | 9.53 | |||||||||
Hypothetical 5% Return (5% return before expenses) | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,015.54 | 1.90% | $ | 9.60 | ||||||
Class B | 1,000.00 | 1,012.28 | 2.55% | 12.86 | |||||||||
Class C | 1,000.00 | 1,012.28 | 2.55% | 12.86 | |||||||||
Institutional Class | 1,000.00 | 1,017.30 | 1.55% | 7.84 | |||||||||
Optimum Small-Mid Cap Value Fund | |||||||||||||
Expense Analysis of an Investment of $1,000 | |||||||||||||
Expenses | |||||||||||||
Beginning | Ending | Paid During | |||||||||||
Account | Account | Annualized | Period | ||||||||||
Value | Value | Expense | 4/1/09 to | ||||||||||
4/1/09 | 9/30/09 | Ratio | 9/30/09* | ||||||||||
Actual Fund Return | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,537.80 | 1.79% | $ | 11.39 | ||||||
Class B | 1,000.00 | 1,533.00 | 2.44% | 15.49 | |||||||||
Class C | 1,000.00 | 1,531.10 | 2.44% | 15.48 | |||||||||
Institutional Class | 1,000.00 | 1,539.70 | 1.44% | 9.17 | |||||||||
Hypothetical 5% Return (5% return before expenses) | |||||||||||||
Class A | $ | 1,000.00 | $ | 1,016.09 | 1.79% | $ | 9.05 | ||||||
Class B | 1,000.00 | 1,012.84 | 2.44% | 12.31 | |||||||||
Class C | 1,000.00 | 1,012.84 | 2.44% | 12.31 | |||||||||
Institutional Class | 1,000.00 | 1,017.85 | 1.44% | 7.28 |
2
Sector allocations and credit quality breakdown
Optimum Fixed Income Fund
As of September 30, 2009
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-adviser’s internal sector classifications, which may result in the sector designations for one Fund being different than another Fund’s sector designations.
Percentage | ||||
Sector | of Net Assets | |||
Agency Collateralized Mortgage Obligations | 15.16 | % | ||
Agency Mortgage-Backed Securities | 13.64 | % | ||
Commercial Mortgage-Backed Securities | 3.72 | % | ||
Convertible Bonds | 0.93 | % | ||
Corporate Bonds | 32.26 | % | ||
Banking | 4.05 | % | ||
Basic Industry | 2.50 | % | ||
Brokerage | 1.64 | % | ||
Capital Goods | 2.05 | % | ||
Communications | 4.83 | % | ||
Consumer Cyclical | 3.42 | % | ||
Consumer Non-Cyclical | 3.70 | % | ||
Electric | 2.30 | % | ||
Energy | 2.85 | % | ||
Finance Companies | 1.37 | % | ||
Insurance | 1.51 | % | ||
Natural Gas | 0.48 | % | ||
Real Estate | 0.27 | % | ||
Technology | 0.75 | % | ||
Transportation | 0.54 | % | ||
Foreign Agencies | 1.13 | % | ||
Municipal Bonds | 1.03 | % | ||
Non-Agency Asset-Backed Securities | 2.15 | % | ||
Non-Agency Collateralized Mortgage Obligations | 22.27 | % | ||
Regional Agencies | 0.16 | % | ||
Regional Authorities | 0.16 | % | ||
Senior Secured Loans | 1.32 | % | ||
Sovereign Agency | 0.07 | % | ||
Sovereign Debt | 1.34 | % | ||
Supranational Banks | 1.17 | % | ||
U.S. Treasury Obligations | 0.42 | % | ||
Common Stock | 0.06 | % | ||
Convertible Preferred Stock | 0.25 | % | ||
Preferred Stock | 0.13 | % | ||
Warrant | 0.00 | % | ||
Discount Notes | 2.98 | % | ||
Securities Lending Collateral | 4.26 | % | ||
Total Value of Securities | 104.61 | % | ||
Obligation to Return Securities Lending Collateral | (4.46 | %) | ||
Liabilities Net of Receivables and Other Assets | (0.15 | %) | ||
Total Net Assets | 100.00 | % |
Credit Quality Breakdown | ||||
(as a % of fixed income investments)* | ||||
AAA | 24.39 | % | ||
AA | 3.59 | % | ||
A | 14.15 | % | ||
BBB | 24.79 | % | ||
BB | 11.90 | % | ||
B | 14.40 | % | ||
CCC | 6.33 | % | ||
Not Rated | 0.45 | % | ||
Total | 100.00 | % |
*Bond ratings are determined by independent, nationally recognized statistical rating organizations.
3
Country/Sector allocations
Optimum International Fund
As of September 30, 2009
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-adviser’s internal sector classifications, which may result in the sector designations for one Fund being different than another Fund’s sector designations.
Percentage | ||||
Country | of Net Assets | |||
Common Stock by Country | 98.72 | % | ||
Australia | 6.32 | % | ||
Austria | 0.15 | % | ||
Belgium | 0.88 | % | ||
Bermuda | 0.09 | % | ||
Brazil | 0.58 | % | ||
Canada | 5.00 | % | ||
China | 1.18 | % | ||
Denmark | 0.66 | % | ||
Finland | 0.69 | % | ||
France | 10.08 | % | ||
Germany | 5.08 | % | ||
Hong Kong | 3.72 | % | ||
India | 0.33 | % | ||
Indonesia | 0.30 | % | ||
Ireland | 0.23 | % | ||
Israel | 0.39 | % | ||
Italy | 3.32 | % | ||
Japan | 16.79 | % | ||
Luxembourg | 0.92 | % | ||
Malaysia | 0.44 | % | ||
Mexico | 0.27 | % | ||
Netherlands | 3.10 | % | ||
New Zealand | 0.62 | % | ||
Norway | 0.21 | % | ||
Philippines | 0.21 | % | ||
Republic of Korea | 2.21 | % | ||
Russia | 0.97 | % | ||
Singapore | 2.95 | % | ||
South Africa | 0.76 | % | ||
Spain | 5.11 | % | ||
Sweden | 0.25 | % | ||
Switzerland | 5.68 | % | ||
Taiwan | 2.93 | % | ||
Thailand | 0.13 | % | ||
United Kingdom | 15.62 | % | ||
United States | 0.55 | % | ||
Preferred Stock | 0.35 | % | ||
Rights | 0.01 | % | ||
Warrant | 0.00 | % | ||
Discount Notes | 0.30 | % | ||
Securities Lending Collateral | 13.68 | % | ||
Total Value of Securities | 113.06 | % | ||
Obligation to Return Securities Lending Collateral | (14.11 | %) | ||
Receivables and Other Assets Net of Liabilities | 1.05 | % | ||
Total Net Assets | 100.00 | % | ||
Percentage | ||||
Common/Preferred Stock and Rights by Sector | of Net Assets | |||
Automobiles & Components | 2.03 | % | ||
Banking & Finance | 16.57 | % | ||
Business Services | 0.45 | % | ||
Capital Goods | 3.29 | % | ||
Consumer Durables & Apparel | 0.38 | % | ||
Consumer Services | 0.18 | % | ||
Energy | 10.94 | % | ||
Food & Staples Retailing | 9.46 | % | ||
Food, Beverage & Tobacco | 3.01 | % | ||
Insurance | 5.00 | % | ||
Materials | 7.56 | % | ||
Media | 1.55 | % | ||
Pharmaceuticals & Biotechnology | 9.45 | % | ||
Real Estate | 1.48 | % | ||
Semiconductors | 2.03 | % | ||
Technology & Equipment | 4.35 | % | ||
Telecommunication Services | 12.08 | % | ||
Transportation & Shipping | 3.88 | % | ||
Utilities | 5.39 | % | ||
Total | 99.08 | % |
4
Sector allocations and top 10 holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-adviser’s internal sector classifications, which may result in the sector designations for one Fund being different than another Fund’s sector designations.
Optimum Large Cap Growth Fund
As of September 30, 2009
Percentage | ||||
Sector | of Net Assets | |||
Common Stock² | 98.10 | % | ||
Basic Industry/Capital Goods | 9.96 | % | ||
Business Services | 9.63 | % | ||
Consumer Non-Durables | 9.66 | % | ||
Consumer Services | 5.68 | % | ||
Energy | 8.88 | % | ||
Financials | 13.21 | % | ||
Health Care | 12.23 | % | ||
Technology | 27.13 | % | ||
Transportation | 1.72 | % | ||
Preferred Stock | 0.15 | % | ||
Discount Notes | 1.18 | % | ||
Securities Lending Collateral | 7.55 | % | ||
Total Value of Securities | 106.98 | % | ||
Obligation to Return Securities Lending Collateral | (7.75 | %) | ||
Receivables and Other Assets Net of Liabilities | 0.77 | % | ||
Total Net Assets | 100.00 | % |
²Narrow 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 | |||
Apple | 4.38 | % | ||
Google Class A | 3.27 | % | ||
JPMorgan Chase | 2.63 | % | ||
QUALCOMM | 2.27 | % | ||
Transocean (Switzerland) | 1.99 | % | ||
McDonald’s | 1.85 | % | ||
Abbott Laboratories | 1.81 | % | ||
Intel | 1.80 | % | ||
Goldman Sachs Group | 1.80 | % | ||
Wal-Mart Stores | 1.67 | % |
Optimum Large Cap Value Fund
As of September 30, 2009
Percentage | ||||
Sector | of Net Assets | |||
Common Stock | 99.08 | % | ||
Consumer Discretionary | 10.33 | % | ||
Consumer Staples | 11.66 | % | ||
Energy | 12.29 | % | ||
Financials | 17.83 | % | ||
Health Care | 10.75 | % | ||
Industrials | 11.90 | % | ||
Information Technology | 9.98 | % | ||
Materials | 5.56 | % | ||
Telecommunications | 5.50 | % | ||
Utilities | 3.28 | % | ||
Discount Notes | 1.19 | % | ||
Securities Lending Collateral | 7.63 | % | ||
Total Value of Securities | 107.90 | % | ||
Obligation to Return Securities Lending Collateral | (7.84 | %) | ||
Liabilities Net of Receivables and Other Assets | (0.06 | %) | ||
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 | |||
JPMorgan Chase | 3.41 | % | ||
AT&T | 3.01 | % | ||
International Business Machines | 2.46 | % | ||
Chevron | 2.42 | % | ||
Lockheed Martin | 2.22 | % | ||
Pfizer | 2.22 | % | ||
Travelers Companies | 2.15 | % | ||
Kimberly-Clark | 1.76 | % | ||
Intel | 1.73 | % | ||
Phillip Morris International | 1.54 | % |
(continues) 5
Sector allocations and top 10 holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-adviser’s internal sector classifications, which may result in the sector designations for one Fund being different than another Fund’s sector designations.
Optimum Small-Mid Cap Growth Fund
As of September 30, 2009
Percentage | ||||
Sector | of Net Assets | |||
Common Stock² | 98.82 | % | ||
Basic Industry/Capital Goods | 12.31 | % | ||
Business Services | 5.53 | % | ||
Consumer Durables | 2.85 | % | ||
Consumer Non-Durables | 11.11 | % | ||
Consumer Services | 8.25 | % | ||
Energy | 5.04 | % | ||
Financials | 8.10 | % | ||
Health Care | 14.05 | % | ||
Real Estate | 2.94 | % | ||
Technology | 26.30 | % | ||
Transportation | 2.34 | % | ||
Exchange Traded Fund | 0.64 | % | ||
Warrants | 0.00 | % | ||
Discount Notes | 0.96 | % | ||
Securities Lending Collateral | 12.99 | % | ||
Total Value of Securities | 113.41 | % | ||
Obligation to Return Securities Lending Collateral | (13.32 | %) | ||
Liabilities Net of Receivables and Other Assets | (0.09 | %) | ||
Total Net Assets | 100.00 | % |
²Narrow 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 | |||
Polycom | 1.67 | % | ||
Crown Castle International | 1.61 | % | ||
ON Semiconductor | 1.37 | % | ||
Nordson | 1.25 | % | ||
Jarden | 1.25 | % | ||
TW Telecom | 1.15 | % | ||
Hanesbrands | 1.14 | % | ||
Mettler-Toledo International | 1.10 | % | ||
Seagate Technology | 1.09 | % | ||
FMC Technologies | 1.07 | % |
Optimum Small-Mid Cap Value Fund
As of September 30, 2009
Percentage | ||||
Sector | of Net Assets | |||
Common Stock | 92.80 | % | ||
Basic Industry | 13.43 | % | ||
Business Services | 7.45 | % | ||
Capital Spending | 9.70 | % | ||
Consumer Cyclical | 8.88 | % | ||
Consumer Services | 5.84 | % | ||
Consumer Staples | 2.85 | % | ||
Energy | 4.53 | % | ||
Financial Services | 11.79 | % | ||
Health Care | 6.09 | % | ||
Real Estate | 0.69 | % | ||
Technology | 18.42 | % | ||
Transportation | 1.46 | % | ||
Utilities | 1.67 | % | ||
Discount Notes | 7.26 | % | ||
Securities Lending Collateral | 8.82 | % | ||
Total Value of Securities | 108.88 | % | ||
Obligation to Return Securities Lending Collateral | (9.04 | %) | ||
Receivables and Other Assets Net of Liabilities | 0.16 | % | ||
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 | |||
Flextronics International | 1.92 | % | ||
Ethan Allen Interiors | 1.70 | % | ||
Albany International | 1.44 | % | ||
Southern Union | 1.41 | % | ||
Kennametal | 1.25 | % | ||
Donnelly (R.R.) & Sons | 1.24 | % | ||
Barnes Group | 1.19 | % | ||
Collective Brands | 1.18 | % | ||
Esterline Technologies | 1.17 | % | ||
WESCO International | 1.11 | % |
6
Statements of net assets
Optimum Fixed Income Fund
September 30, 2009 (Unaudited)
Principal | Value | ||||||||
Amount° | (U.S. $) | ||||||||
Agency Collateralized Mortgage Obligations – 15.16% | |||||||||
= | Fannie Mae 4.50% 9/1/39 | USD | 7,000,000 | $ | 7,004,375 | ||||
Fannie Mae Grantor Trust | |||||||||
Series 1999-T2 A1 | |||||||||
7.50% 1/19/39 | 28,040 | 31,239 | |||||||
Series 2001-T8 A2 | |||||||||
9.50% 7/25/41 | 14,730 | 16,072 | |||||||
Series 2002-T4 A3 | |||||||||
7.50% 12/25/41 | 98,682 | 110,093 | |||||||
Series 2004-T1 1A2 | |||||||||
6.50% 1/25/44 | 42,619 | 46,043 | |||||||
Fannie Mae REMICs | |||||||||
Series 1996-46 ZA | |||||||||
7.50% 11/25/26 | 28,035 | 30,753 | |||||||
Series 1999-19 PH | |||||||||
6.00% 5/25/29 | 798,761 | 866,351 | |||||||
Series 2001-14 Z | |||||||||
6.00% 5/25/31 | 57,570 | 62,399 | |||||||
Series 2002-90 A1 | |||||||||
6.50% 6/25/42 | 19,154 | 20,693 | |||||||
Series 2002-90 A2 | |||||||||
6.50% 11/25/42 | 79,800 | 86,212 | |||||||
Series 2003-122 AJ | |||||||||
4.50% 2/25/28 | 98,505 | 102,053 | |||||||
Series 2005-22 HE | |||||||||
5.00% 10/25/33 | 740,000 | 777,276 | |||||||
Series 2005-29 QD | |||||||||
5.00% 8/25/33 | 816,000 | 857,494 | |||||||
Series 2005-54 AK | |||||||||
4.50% 9/25/32 | 704,334 | 724,505 | |||||||
Series 2005-94 YD | |||||||||
4.50% 8/25/33 | 1,480,000 | 1,509,261 | |||||||
Series 2005-110 MB | |||||||||
5.50% 9/25/35 | 649,385 | 682,323 | |||||||
· | Series 2007-2 SM | ||||||||
6.504% 2/25/37 | 13,939,512 | 1,640,682 | |||||||
Series 2007-30 OE | |||||||||
0.881% 4/25/37 | 11,205,186 | 9,445,538 | |||||||
Series 2008-24 ZA | |||||||||
5.00% 4/25/38 | 16,165,743 | 15,958,307 | |||||||
Series 2008-70 BA | |||||||||
4.00% 6/25/21 | 7,606,430 | 7,877,279 | |||||||
· | Series 2009-2 AS | ||||||||
5.454% 2/25/39 | 42,604,594 | 3,618,915 | |||||||
· | Series 2009-68 SA | ||||||||
6.504% 9/25/39 | 7,000,000 | 669,200 | |||||||
Fannie Mae Whole Loan | |||||||||
Series 2004-W4 A5 | |||||||||
5.50% 6/25/34 | 3,000,000 | 3,102,188 | |||||||
Series 2004-W9 2A1 | |||||||||
6.50% 2/25/44 | 52,714 | 56,950 | |||||||
Series 2004-W11 1A2 | |||||||||
6.50% 5/25/44 | 149,435 | 161,442 | |||||||
Series 2004-W15 1A1 | |||||||||
6.00% 8/25/44 | 260,495 | 278,079 | |||||||
Freddie Mac REMICs | |||||||||
Series 1730 Z | |||||||||
7.00% 5/15/24 | 176,741 | 186,051 | |||||||
Series 2165 PE | |||||||||
6.00% 6/15/29 | 823,127 | 874,830 | |||||||
Series 2326 ZQ | |||||||||
6.50% 6/15/31 | 310,497 | 337,353 | |||||||
Series 2497 BM | |||||||||
5.00% 2/15/22 | 146,954 | 152,197 | |||||||
Series 2504 J | |||||||||
5.50% 5/15/16 | 727,607 | 739,432 | |||||||
Series 2557 WE | |||||||||
5.00% 1/15/18 | 732,415 | 780,023 | |||||||
Series 2662 MA | |||||||||
4.50% 10/15/31 | 177,465 | 182,764 | |||||||
Series 2755 LE | |||||||||
4.00% 9/15/30 | 557,000 | 571,629 | |||||||
Series 2762 LG | |||||||||
5.00% 9/15/32 | 2,000,000 | 2,112,700 | |||||||
Series 2802 NE | |||||||||
5.00% 2/15/33 | 700,000 | 738,279 | |||||||
Series 2827 TE | |||||||||
5.00% 4/15/33 | 1,335,000 | 1,405,741 | |||||||
Series 2840 OE | |||||||||
5.00% 2/15/33 | 1,800,000 | 1,883,633 | |||||||
Series 2864 PE | |||||||||
5.00% 6/15/33 | 1,095,000 | 1,149,314 | |||||||
Series 2869 BG | |||||||||
5.00% 7/15/33 | 224,000 | 236,300 | |||||||
Series 2881 TE | |||||||||
5.00% 7/15/33 | 1,080,000 | 1,139,628 | |||||||
Series 2889 OG | |||||||||
5.00% 5/15/33 | 117,000 | 122,736 | |||||||
Series 2890 PC | |||||||||
5.00% 7/15/30 | 265,000 | 278,365 | |||||||
Series 2890 PD | |||||||||
5.00% 3/15/33 | 1,265,000 | 1,329,748 | |||||||
Series 2893 PD | |||||||||
5.00% 2/15/33 | 65,000 | 68,385 | |||||||
Series 2915 KD | |||||||||
5.00% 9/15/33 | 447,000 | 471,577 | |||||||
Series 2938 ND | |||||||||
5.00% 10/15/33 | 1,050,000 | 1,106,934 | |||||||
Series 2939 PD | |||||||||
5.00% 7/15/33 | 665,000 | 701,293 | |||||||
Series 2941 XD | |||||||||
5.00% 5/15/33 | 2,690,000 | 2,837,172 | |||||||
Series 2987 KG | |||||||||
5.00% 12/15/34 | 1,430,000 | 1,504,063 | |||||||
Series 3022 MB | |||||||||
5.00% 12/15/28 | 260,000 | 272,708 | |||||||
Series 3131 MC | |||||||||
5.50% 4/15/33 | 445,000 | 475,487 | |||||||
Series 3143 BC | |||||||||
5.50% 2/15/36 | 8,000,000 | 8,278,721 | |||||||
Series 3145 LN | |||||||||
4.50% 10/15/34 | 1,256,331 | 1,318,884 |
(continues) 7
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Agency Collateralized Mortgage Obligations (continued) | |||||||
Freddie Mac REMICs | |||||||
·Series 3211 SN | |||||||
6.957% 9/15/36 | USD | 10,441,107 | $ | 1,144,280 | |||
·Series 3289 SA | |||||||
6.507% 3/15/37 | 10,500,308 | 1,120,368 | |||||
Series 3337 PB | |||||||
5.50% 7/15/30 | 505,000 | 529,328 | |||||
Series 3476 Z | |||||||
5.50% 7/15/38 | 10,661,138 | 11,213,734 | |||||
w | Freddie Mac Structured | ||||||
Pass Through Securities | |||||||
Series T-54 2A | |||||||
6.50% 2/25/43 | 33,518 | 36,174 | |||||
Series T-58 2A | |||||||
6.50% 9/25/43 | 18,685 | 20,154 | |||||
· | GNMA | ||||||
Series 2007-26 SW | |||||||
5.954% 5/20/37 | 20,668,049 | 1,764,231 | |||||
Series 2007-64 AI | |||||||
6.304% 10/20/37 | 40,518,043 | 3,455,638 | |||||
Series 2008-65 SB | |||||||
5.754% 8/20/38 | 13,689,363 | 1,063,331 | |||||
Series 2009-2 SE | |||||||
5.574% 1/20/39 | 36,734,998 | 2,862,468 | |||||
Total Agency Collateralized | |||||||
Mortgage Obligations | |||||||
(cost $96,719,262) | 110,201,375 | ||||||
Agency Mortgage-Backed Securities – 13.64% | |||||||
Fannie Mae | |||||||
4.50% 10/1/39 | 3,000,000 | 3,005,640 | |||||
5.50% 1/1/13 | 141,415 | 143,842 | |||||
5.50% 3/1/37 | 685,186 | 715,519 | |||||
5.50% 7/1/37 | 1,776,661 | 1,855,315 | |||||
*6.00% 7/1/38 | 10,838,001 | 11,421,220 | |||||
6.50% 8/1/17 | 88,147 | 93,987 | |||||
· | Fannie Mae ARM | ||||||
5.016% 8/1/35 | 251,243 | 263,638 | |||||
5.044% 10/1/33 | 58,930 | 59,442 | |||||
5.14% 11/1/35 | 418,290 | 437,176 | |||||
5.901% 8/1/37 | 603,719 | 637,326 | |||||
6.001% 7/1/37 | 1,767,100 | 1,865,227 | |||||
Fannie Mae Relocation 30 yr | |||||||
5.00% 11/1/33 | 28,237 | 28,997 | |||||
5.00% 1/1/34 | 97,754 | 100,385 | |||||
5.00% 2/1/34 | 43,330 | 44,496 | |||||
5.00% 8/1/34 | 87,353 | 89,704 | |||||
5.00% 11/1/34 | 141,962 | 145,783 | |||||
5.00% 4/1/35 | 223,971 | 229,999 | |||||
5.00% 10/1/35 | 167,715 | 172,230 | |||||
5.00% 1/1/36 | 456,250 | 468,531 | |||||
Fannie Mae S.F. 15 yr | |||||||
4.50% 8/1/18 | 735,685 | 777,146 | |||||
4.50% 7/1/20 | 1,634,823 | 1,721,848 | |||||
5.00% 2/1/21 | 1,629,073 | 1,722,618 | |||||
5.00% 5/1/21 | 194,233 | 205,871 | |||||
Fannie Mae S.F. 20 yr | |||||||
5.50% 7/1/24 | 690,695 | 732,071 | |||||
5.50% 10/1/24 | 222,128 | 235,435 | |||||
5.50% 12/1/24 | 729,089 | 772,766 | |||||
Fannie Mae S.F. 30 yr | |||||||
4.50% 3/1/39 | 452,210 | 458,709 | |||||
5.00% 12/1/36 | 487,296 | 505,133 | |||||
5.00% 12/1/37 | 379,543 | 392,665 | |||||
5.00% 1/1/38 | 595,087 | 615,661 | |||||
5.00% 2/1/38 | 292,611 | 302,711 | |||||
5.50% 12/1/32 | 442,060 | 465,222 | |||||
5.50% 7/1/33 | 1,132,543 | 1,191,529 | |||||
5.50% 12/1/33 | 177,109 | 186,334 | |||||
*5.50% 4/1/34 | 2,672,752 | 2,812,818 | |||||
*5.50% 5/1/34 | 779,574 | 820,177 | |||||
5.50% 6/1/34 | 926,004 | 973,076 | |||||
5.50% 7/1/34 | 1,549,050 | 1,627,793 | |||||
5.50% 2/1/35 | 4,500,763 | 4,733,617 | |||||
5.50% 9/1/36 | 2,134,476 | 2,242,978 | |||||
6.00% 9/1/36 | 528,536 | 559,290 | |||||
*6.00% 4/1/38 | 11,817,737 | 12,484,404 | |||||
6.00% 8/1/38 | 6,119,868 | 6,465,105 | |||||
6.50% 11/1/33 | 34,206 | 36,848 | |||||
6.50% 2/1/36 | 779,851 | 839,206 | |||||
6.50% 3/1/36 | 1,360,472 | 1,457,250 | |||||
6.50% 6/1/36 | 1,604,410 | 1,718,541 | |||||
6.50% 8/1/36 | 1,072,100 | 1,148,364 | |||||
6.50% 11/1/36 | 897,939 | 961,814 | |||||
6.50% 4/1/37 | 1,105,229 | 1,183,159 | |||||
6.50% 8/1/37 | 1,488,085 | 1,593,011 | |||||
6.50% 10/1/37 | 1,323,180 | 1,416,478 | |||||
6.50% 11/1/37 | 1,235,465 | 1,322,578 | |||||
6.50% 2/1/38 | 1,894,375 | 2,027,842 | |||||
7.00% 2/1/38 | 1,473,654 | 1,608,702 | |||||
7.00% 3/1/38 | 1,347,497 | 1,470,984 | |||||
7.50% 3/1/32 | 1,581 | 1,765 | |||||
7.50% 4/1/32 | 6,945 | 7,754 | |||||
7.50% 6/1/32 | 4,786 | 5,343 | |||||
Fannie Mae S.F. 30 yr TBA | |||||||
4.50% 10/1/39 | 4,005,000 | 4,056,312 | |||||
· | Freddie Mac ARM | ||||||
4.413% 12/1/33 | 118,848 | 120,608 | |||||
5.074% 4/1/34 | 7,932 | 8,144 | |||||
5.52% 2/1/38 | 1,815,235 | 1,911,498 | |||||
5.677% 7/1/36 | 279,521 | 294,383 | |||||
5.838% 5/1/37 | 1,900,043 | 2,010,059 | |||||
Freddie Mac Relocation 30 yr | |||||||
5.00% 9/1/33 | 4,317 | 4,434 |
8
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Agency Mortgage-Backed Securities (continued) | |||||||
Freddie Mac S.F. 15 yr | |||||||
4.50% 5/1/20 | USD | 941,957 | $ | 991,511 | |||
5.00% 6/1/18 | 305,651 | 324,945 | |||||
Freddie Mac S.F. 20 yr | |||||||
5.50% 10/1/23 | 599,453 | 636,233 | |||||
5.50% 8/1/24 | 139,321 | 147,723 | |||||
Freddie Mac S.F. 30 yr | |||||||
5.00% 4/1/35 | 524,853 | 545,049 | |||||
5.00% 7/1/38 | 670,107 | 693,446 | |||||
6.50% 11/1/33 | 68,192 | 73,245 | |||||
6.50% 1/1/35 | 399,527 | 429,633 | |||||
6.50% 5/1/37 | 57,857 | 61,753 | |||||
6.50% 8/1/38 | 582,564 | 621,788 | |||||
7.00% 1/1/38 | 620,835 | 673,390 | |||||
Freddie Mac S.F. 30 yr TBA | |||||||
4.00% 10/1/39 | 2,135,000 | 2,110,315 | |||||
5.00% 10/1/39 | 1,035,000 | 1,069,284 | |||||
* | GNMA I S.F. 30 yr | ||||||
7.00% 12/15/34 | 645,461 | 707,423 | |||||
GNMA II 6.00% 4/20/34 | 46,572 | 49,563 | |||||
Total Agency Mortgage-Backed | |||||||
Securities (cost $94,307,736) | 99,123,812 | ||||||
Commercial Mortgage-Backed Securities – 3.72% | |||||||
# | American Tower Trust 144A | ||||||
Series 2007-1A AFX | |||||||
5.42% 4/15/37 | 420,000 | 415,800 | |||||
Series 2007-1A D | |||||||
5.957% 4/15/37 | 120,000 | 115,200 | |||||
Bank of America Commercial | |||||||
Mortgage Securities | |||||||
·Series 2004-3 A5 | |||||||
5.578% 6/10/39 | 415,000 | 417,894 | |||||
·Series 2005-1 A5 | |||||||
5.237% 11/10/42 | 1,040,000 | 1,052,231 | |||||
·Series 2005-6 AM | |||||||
5.351% 9/10/47 | 255,000 | 218,158 | |||||
Series 2006-4 A4 | |||||||
5.634% 7/10/46 | 595,000 | 551,578 | |||||
·Series 2007-2 A2 | |||||||
5.634% 4/10/49 | 3,710,000 | 3,682,942 | |||||
·Series 2007-3 A4 | |||||||
5.837% 6/10/49 | 250,000 | 204,781 | |||||
·Series 2007-4 AM | |||||||
6.002% 2/10/51 | 340,000 | 244,071 | |||||
Bear Stearns Commercial | |||||||
Mortgage Securities | |||||||
·Series 2005-PW10 A4 | |||||||
5.405% 12/11/40 | 875,000 | 860,031 | |||||
·Series 2005-T20 A4A | |||||||
5.298% 10/12/42 | 1,155,000 | 1,140,909 | |||||
·Series 2006-PW12 A4 | |||||||
5.903% 9/11/38 | 895,000 | 868,898 | |||||
Series 2006-PW14 A4 | |||||||
5.201% 12/11/38 | 1,000,000 | 927,624 | |||||
Series 2007-PW15 A4 | |||||||
5.331% 2/11/44 | 630,000 | 567,111 | |||||
·Series 2007-PW16 A4 | |||||||
5.908% 6/11/40 | 320,000 | 292,305 | |||||
w | Commercial Mortgage Pass | ||||||
Through Certificates | |||||||
·#Series 2001-J1A A2 | |||||||
144A 6.457% 2/16/34 | 243,404 | 252,312 | |||||
·Series 2005-C6 A5A | |||||||
5.116% 6/10/44 | 550,000 | 523,168 | |||||
Series 2006-C7 A2 | |||||||
5.69% 6/10/46 | 260,000 | 262,798 | |||||
· | Credit Suisse Mortgage | ||||||
Capital Certificates | |||||||
Series 2006-C1 AAB | |||||||
5.681% 2/15/39 | 140,000 | 141,427 | |||||
# | Crown Castle Towers 144A | ||||||
Series 2005-1A C | |||||||
5.074% 6/15/35 | 175,000 | 175,875 | |||||
Series 2006-1A B | |||||||
5.362% 11/15/36 | 675,000 | 676,688 | |||||
General Electric Capital | |||||||
Commercial Mortgage | |||||||
Series 2002-1A A3 | |||||||
6.269% 12/10/35 | 325,000 | 344,691 | |||||
Series 2007-C1 A2 | |||||||
5.417% 12/10/49 | 2,830,000 | 2,790,638 | |||||
Goldman Sachs Mortgage | |||||||
Securities II | |||||||
·Series 2004-GG2 A6 | |||||||
5.396% 8/10/38 | 570,000 | 552,490 | |||||
Series 2005-GG4 A4 | |||||||
4.761% 7/10/39 | 510,000 | 465,004 | |||||
Series 2005-GG4 A4A | |||||||
4.751% 7/10/39 | 1,215,000 | 1,139,059 | |||||
·Series 2006-GG6 A4 | |||||||
5.553% 4/10/38 | 500,000 | 451,562 | |||||
@·#Series 2006-RR3 A1S | |||||||
144A 5.761% 7/18/56 | 505,000 | 141,400 | |||||
·Series 2007-GG10 A4 | |||||||
5.999% 8/10/45 | 670,000 | 553,733 | |||||
·#Series 2007-GG10 J | |||||||
144A 5.999% 8/10/45 | 1,956,000 | 88,535 | |||||
· | Greenwich Capital | ||||||
Commercial Funding | |||||||
Series 2004-GG1 A7 | |||||||
5.317% 6/10/36 | 440,000 | 445,221 |
(continues) 9
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Commercial Mortgage-Backed Securities (continued) | |||||||
JPMorgan Chase Commercial | |||||||
Mortgage Securities | |||||||
Series 2002-C1 A3 | |||||||
5.376% 7/12/37 | USD | 420,000 | $ | 432,552 | |||
Series 2002-C2 A2 | |||||||
5.05% 12/12/34 | 465,000 | 474,615 | |||||
Series 2003-C1 A2 | |||||||
4.985% 1/12/37 | 130,000 | 133,588 | |||||
·Series 2005-LDP5 A4 | |||||||
5.344% 12/15/44 | 670,000 | 656,532 | |||||
Series 2006-LDP9 A2 | |||||||
5.134% 5/15/47 | 360,000 | 345,344 | |||||
Lehman Brothers-UBS | |||||||
Commercial Mortgage | |||||||
Trust Series 2002-C1 | |||||||
A4 6.462% 3/15/31 | 245,000 | 260,467 | |||||
· | Morgan Stanley Capital I | ||||||
#Series 1999-FNV1 G | |||||||
144A 6.12% 3/15/31 | 140,000 | 133,000 | |||||
Series 2007-IQ14 A4 | |||||||
5.692% 4/15/49 | 325,000 | 265,819 | |||||
Series 2007-T27 A4 | |||||||
5.803% 6/11/42 | 1,310,000 | 1,236,225 | |||||
·# | Morgan Stanley Dean | ||||||
Witter Capital I Series | |||||||
2001-TOP1 E 144A | |||||||
7.594% 2/15/33 | 100,000 | 87,228 | |||||
# | NYC Mortgage Loan Trust | ||||||
Series 1996 A3 144A | |||||||
6.75% 9/25/19 | 59,787 | 57,993 | |||||
·# | STRIPs III Series 2003-1A | ||||||
AFIX 144A | |||||||
3.308% 3/24/18 | 759 | 751 | |||||
Wachovia Bank Commercial | |||||||
Mortgage Trust | |||||||
Series 2006-C28 A2 | |||||||
5.50% 10/15/48 | 555,000 | 556,793 | |||||
Series 2007-C31 A2 | |||||||
5.421% 4/15/47 | 1,880,000 | 1,841,663 | |||||
Total Commercial Mortgage-Backed | |||||||
Securities (cost $28,555,459) | 27,046,704 | ||||||
Convertible Bonds – 0.93% | |||||||
Advanced Micro Devices | |||||||
6.00% exercise price | |||||||
$28.08, expiration | |||||||
date 5/1/15 | 890,000 | 670,837 | |||||
* | Amgen 0.375% exercise | ||||||
price $79.48, expiration | |||||||
date 2/1/13 | 650,000 | 660,563 | |||||
Beazer Homes USA | |||||||
4.625% exercise price | |||||||
$49.64, expiration | |||||||
date 6/15/24 | 165,000 | 144,375 | |||||
Bristow Group 3.00% | |||||||
exercise price $77.34, | |||||||
expiration date 6/14/38 | 295,000 | 237,106 | |||||
Century Aluminum 1.75% | |||||||
exercise price $30.54, | |||||||
expiration date 8/1/24 | 60,000 | 54,525 | |||||
# | Corporate Office Properties | ||||||
144A 3.50% exercise | |||||||
price $53.12, expiration | |||||||
date 9/15/26 | 50,000 | 48,625 | |||||
Developers Diversified Realty | |||||||
3.00% exercise price | |||||||
$74.75, expiration | |||||||
date 3/15/12 | 190,000 | 168,388 | |||||
3.50% exercise price | |||||||
$64.23, expiration | |||||||
date 8/11/11 | 60,000 | 55,425 | |||||
# | Digital Realty Trust 144A | ||||||
5.50% exercise price | |||||||
$43.00, expiration | |||||||
date 4/15/29 | 371,000 | 462,359 | |||||
General Cable 1.00% exercise | |||||||
price $83.93, expiration | |||||||
date 10/15/12 | 347,000 | 298,420 | |||||
*# | Intel 144A 3.25% exercise | ||||||
price $22.68, expiration | |||||||
date 8/1/39 | 395,000 | 424,131 | |||||
Interpublic Group 4.25% | |||||||
exercise price $12.42, | |||||||
expiration date 3/15/23 | 220,000 | 217,525 | |||||
Level 3 Communications | |||||||
5.25% exercise price | |||||||
$3.98, expiration | |||||||
date 12/15/11 | 160,000 | 143,200 | |||||
National City 4.00% exercise | |||||||
price $482.51, expiration | |||||||
date 2/1/11 | 770,000 | 779,624 | |||||
Peabody Energy 4.75% | |||||||
exercise price $58.44, | |||||||
expiration date | |||||||
12/15/41 | 335,000 | 296,475 | |||||
ProLogis 2.25% exercise | |||||||
price $75.98, expiration | |||||||
date 4/1/37 | 425,000 | 385,156 | |||||
Sinclair Broadcast Group | |||||||
3.00% exercise price | |||||||
$19.65, expiration | |||||||
date 5/15/27 | 50,000 | 46,000 | |||||
# | Sino-Forest 144A 5.00% | ||||||
exercise price $20.29, | |||||||
expiration date 8/1/13 | 50,000 | 54,063 | |||||
Transocean | |||||||
1.50% exercise price | |||||||
$168.61, expiration | |||||||
date 12/15/37 | 485,000 | 470,450 |
10
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Convertible Bonds (continued) | |||||||
Transocean | |||||||
1.625% exercise price | |||||||
$168.61, expiration | |||||||
date 12/15/37 | USD | 290,000 | $ | 290,000 | |||
VeriSign 3.25% | |||||||
exercise price $34.37, | |||||||
expiration date 8/15/37 | 395,000 | 344,638 | |||||
# | Virgin Media 144A 6.50% | ||||||
exercise price $19.22, | |||||||
expiration date 11/15/16 | 468,000 | 492,570 | |||||
Total Convertible Bonds | |||||||
(cost $6,376,277) | 6,744,455 | ||||||
Corporate Bonds – 32.26% | |||||||
Banking – 4.05% | |||||||
AgriBank 9.125% 7/15/19 | 800,000 | 866,629 | |||||
· | BAC Capital Trust XIV | ||||||
5.63% 12/31/49 | 580,000 | 384,250 | |||||
@·# | Banco Mercantil 144A | ||||||
6.862% 10/13/21 | 520,000 | 470,140 | |||||
Bank of America | |||||||
5.125% 11/15/14 | 180,000 | 184,138 | |||||
5.30% 3/15/17 | 1,040,000 | 999,191 | |||||
5.75% 12/1/17 | 160,000 | 159,966 | |||||
6.10% 6/15/17 | 1,530,000 | 1,541,252 | |||||
Bank of New York Mellon | |||||||
4.95% 3/15/15 | 310,000 | 330,744 | |||||
5.45% 4/1/16 | 575,000 | 615,741 | |||||
Barclays Bank | |||||||
5.20% 7/10/14 | 660,000 | 697,904 | |||||
6.75% 5/22/19 | 1,030,000 | 1,154,064 | |||||
# | Barclays Bank 144A | ||||||
6.05% 12/4/17 | 1,625,000 | 1,637,956 | |||||
BB&T 6.85% 4/30/19 | 65,000 | 72,839 | |||||
BB&T Capital Trust I | |||||||
5.85% 8/18/35 | 265,000 | 228,163 | |||||
BB&T Capital Trust II | |||||||
6.75% 6/7/36 | 1,350,000 | 1,278,293 | |||||
Capital One Bank | |||||||
8.80% 7/15/19 | 1,035,000 | 1,198,444 | |||||
Capital One Capital V | |||||||
10.25% 8/15/39 | 850,000 | 941,619 | |||||
Capital One Financial | |||||||
7.375% 5/23/14 | 570,000 | 636,758 | |||||
· | Citigroup Capital XXI | ||||||
8.30% 12/21/57 | 200,000 | 179,750 | |||||
@# | CoBank 144A | ||||||
7.875% 4/16/18 | 320,000 | 312,033 | |||||
Credit Suisse/New York | |||||||
5.30% 8/13/19 | 420,000 | 431,470 | |||||
6.00% 2/15/18 | 560,000 | 587,259 | |||||
JPMorgan Chase Capital XVIII | |||||||
6.95% 8/17/36 | 550,000 | 529,023 | |||||
JPMorgan Chase Capital XXII | |||||||
6.45% 2/2/37 | 395,000 | 356,571 | |||||
JPMorgan Chase Capital XXV | |||||||
6.80% 10/1/37 | 2,787,000 | 2,813,517 | |||||
KeyBank 6.95% 2/1/28 | 1,220,000 | 1,093,952 | |||||
· | National City Bank | ||||||
0.684% 6/7/17 | 325,000 | 261,005 | |||||
PNC Bank 6.875% 4/1/18 | 720,000 | 771,057 | |||||
PNC Funding | |||||||
5.25% 11/15/15 | 150,000 | 153,972 | |||||
5.625% 2/1/17 | 195,000 | 192,161 | |||||
@ | Popular North America | ||||||
Capital Trust I | |||||||
6.564% 9/15/34 | 315,000 | 235,167 | |||||
·# | Rabobank Nederland 144A | ||||||
11.00% 12/29/49 | 835,000 | 1,025,731 | |||||
Silicon Valley Bank | |||||||
5.70% 6/1/12 | 724,000 | 729,248 | |||||
6.05% 6/1/17 | 250,000 | 233,520 | |||||
U.S. Bank North America | |||||||
4.80% 4/15/15 | 283,000 | 299,349 | |||||
4.95% 10/30/14 | 250,000 | 268,494 | |||||
· | USB Capital IX | ||||||
6.189% 4/15/49 | 1,255,000 | 975,763 | |||||
VTB Capital | |||||||
6.875% 5/29/18 | 100,000 | 100,250 | |||||
# | VTB Capital 144A | ||||||
6.875% 5/29/18 | 650,000 | 643,500 | |||||
Wachovia | |||||||
5.625% 10/15/16 | 350,000 | 365,941 | |||||
· | Wells Fargo Capital XIII | ||||||
7.70% 12/29/49 | 3,016,000 | 2,669,159 | |||||
Zions Bancorp | |||||||
5.50% 11/16/15 | 225,000 | 173,068 | |||||
*5.65% 5/15/14 | 195,000 | 149,752 | |||||
6.00% 9/15/15 | 145,000 | 114,630 | |||||
7.75% 9/23/14 | 405,000 | 362,835 | |||||
29,426,268 | |||||||
Basic Industry – 2.50% | |||||||
ArcelorMittal | |||||||
6.125% 6/1/18 | 1,003,000 | 989,748 | |||||
9.00% 2/15/15 | 245,000 | 282,055 | |||||
9.85% 6/1/19 | 480,000 | 568,668 | |||||
California Steel Industries | |||||||
6.125% 3/15/14 | 155,000 | 142,600 | |||||
# | Compass Minerals | ||||||
International 144A | |||||||
8.00% 6/1/19 | 295,000 | 299,794 | |||||
Domtar 7.125% 8/15/15 | 89,000 | 87,665 | |||||
Dow Chemical | |||||||
8.55% 5/15/19 | 2,265,000 | 2,550,460 | |||||
# | Evraz Group 144A | ||||||
8.875% 4/24/13 | 493,000 | 473,280 | |||||
9.50% 4/24/18 | 400,000 | 384,500 | |||||
# | FMG Finance 144A | ||||||
10.625% 9/1/16 | 275,000 | 305,938 |
(continues) 11
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Basic Industry (continued) | |||||||
Freeport McMoRan | |||||||
Copper & Gold | |||||||
8.25% 4/1/15 | USD | 55,000 | $ | 58,571 | |||
8.375% 4/1/17 | 730,000 | 777,620 | |||||
Georgia-Pacific | |||||||
7.70% 6/15/15 | 79,000 | 80,185 | |||||
# | Georgia-Pacific 144A | ||||||
7.00% 1/15/15 | 100,000 | 99,000 | |||||
7.125% 1/15/17 | 128,000 | 125,760 | |||||
8.25% 5/1/16 | 290,000 | 302,325 | |||||
*# | GTL Trade Finance 144A | ||||||
7.25% 10/20/17 | 602,000 | 638,120 | |||||
Huntsman International | |||||||
7.375% 1/1/15 | 465,000 | 424,313 | |||||
7.875% 11/15/14 | 422,000 | 395,625 | |||||
Innophos 8.875% 8/15/14 | 243,000 | 246,645 | |||||
@# | Innophos Holdings 144A | ||||||
9.50% 4/15/12 | 145,000 | 142,825 | |||||
Lubrizol 8.875% 2/1/19 | 1,035,000 | 1,279,714 | |||||
# | MacDermid 144A | ||||||
9.50% 4/15/17 | 411,000 | 380,175 | |||||
# | Nalco 144A | ||||||
8.25% 5/15/17 | 310,000 | 327,050 | |||||
· | Noranda Aluminum | ||||||
Acquisition PIK | |||||||
5.413% 5/15/15 | 269,602 | 191,417 | |||||
Norske Skog Canada | |||||||
8.625% 6/15/11 | 207,000 | 143,865 | |||||
@# | Norske Skogindustrier 144A | ||||||
7.125% 10/15/33 | 370,000 | 194,250 | |||||
# | Novelis 144A | ||||||
11.50% 2/15/15 | 215,000 | 218,225 | |||||
# | PE Paper Escrow 144A | ||||||
12.00% 8/1/14 | 100,000 | 108,198 | |||||
=@ | Port Townsend | ||||||
7.32% 8/27/12 | 86,471 | 62,691 | |||||
@ | Potlatch 12.50% 12/1/09 | 315,000 | 317,030 | ||||
Reliance Steel & Aluminum | |||||||
6.85% 11/15/36 | 570,000 | 496,362 | |||||
Ryerson | |||||||
·7.858% 11/1/14 | 137,000 | 120,560 | |||||
12.00% 11/1/15 | 72,000 | 68,760 | |||||
# | Sappi Papier Holding 144A | ||||||
6.75% 6/15/12 | 474,000 | 438,973 | |||||
# | Severstal 144A | ||||||
9.75% 7/29/13 | 160,000 | 161,000 | |||||
Southern Copper | |||||||
7.50% 7/27/35 | 799,000 | 800,244 | |||||
# | Steel Dynamics 144A | ||||||
8.25% 4/15/16 | 727,000 | 734,270 | |||||
# | Teck Resources 144A | ||||||
10.25% 5/15/16 | 115,000 | 130,525 | |||||
10.75% 5/15/19 | 525,000 | 612,938 | |||||
United States Steel | |||||||
7.00% 2/1/18 | 255,000 | 245,273 | |||||
Vale Overseas | |||||||
6.875% 11/21/36 | 711,000 | 737,329 | |||||
# | Vedanta Resources 144A | ||||||
8.75% 1/15/14 | 305,000 | 305,763 | |||||
9.50% 7/18/18 | 310,000 | 306,900 | |||||
Weyerhaeuser | |||||||
7.375% 10/1/19 | 420,000 | 419,701 | |||||
18,176,910 | |||||||
Brokerage – 1.64% | |||||||
Citigroup | |||||||
6.375% 8/12/14 | 1,620,000 | 1,676,641 | |||||
6.50% 8/19/13 | 1,520,000 | 1,596,980 | |||||
E*Trade Financial PIK | |||||||
12.50% 11/30/17 | 395,000 | 440,425 | |||||
Goldman Sachs Group | |||||||
5.25% 10/15/13 | 425,000 | 451,596 | |||||
5.95% 1/18/18 | 765,000 | 794,961 | |||||
6.25% 9/1/17 | 495,000 | 524,326 | |||||
6.75% 10/1/37 | 556,000 | 575,640 | |||||
Jefferies Group | |||||||
6.25% 1/15/36 | 195,000 | 156,404 | |||||
6.45% 6/8/27 | 1,021,000 | 859,356 | |||||
8.50% 7/15/19 | 230,000 | 243,831 | |||||
LaBranche | |||||||
11.00% 5/15/12 | 795,000 | 771,150 | |||||
Lazard Group | |||||||
6.85% 6/15/17 | 280,000 | 276,408 | |||||
7.125% 5/15/15 | 42,000 | 42,468 | |||||
Morgan Stanley | |||||||
5.375% 10/15/15 | 1,580,000 | 1,633,015 | |||||
5.55% 4/27/17 | 110,000 | 109,750 | |||||
6.00% 4/28/15 | 595,000 | 630,832 | |||||
6.25% 8/28/17 | 435,000 | 453,478 | |||||
@# | Nuveen Investments 144A | ||||||
10.50% 11/15/15 | 785,000 | 682,950 | |||||
11,920,211 | |||||||
Capital Goods – 2.05% | |||||||
Allied Waste North America | |||||||
6.875% 6/1/17 | 305,000 | 322,614 | |||||
7.125% 5/15/16 | 1,080,000 | 1,140,902 | |||||
Anixter 10.00% 3/15/14 | 255,000 | 270,300 | |||||
Associated Materials | |||||||
9.75% 4/15/12 | 182,000 | 179,725 | |||||
# | BAE Systems Holdings 144A | ||||||
4.95% 6/1/14 | 790,000 | 820,023 | |||||
6.375% 6/1/19 | 1,100,000 | 1,215,968 | |||||
Browning-Ferris Industries | |||||||
7.40% 9/15/35 | 100,000 | 115,037 | |||||
Building Materials | |||||||
Corp. of America | |||||||
7.75% 8/1/14 | 213,000 | 206,078 | |||||
# | BWAY 144A | ||||||
10.00% 4/15/14 | 380,000 | 403,750 |
12
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Capital Goods (continued) | |||||||
# | Case New Holland 144A | ||||||
7.75% 9/1/13 | USD | 175,000 | $ | 175,000 | |||
Casella Waste Systems | |||||||
9.75% 2/1/13 | 298,000 | 277,140 | |||||
# | Casella Waste Systems 144A | ||||||
11.00% 7/15/14 | 150,000 | 158,250 | |||||
# | CPM Holdings 144A | ||||||
10.625% 9/1/14 | 85,000 | 88,188 | |||||
Crown Americas | |||||||
7.625% 11/15/13 | 405,000 | 411,075 | |||||
# | Crown Americas 144A | ||||||
7.625% 5/15/17 | 195,000 | 197,925 | |||||
Eastman Kodak | |||||||
7.25% 11/15/13 | 430,000 | 354,750 | |||||
Graham Packaging | |||||||
9.875% 10/15/14 | 529,000 | 546,193 | |||||
* | Graphic Packaging | ||||||
International | |||||||
9.50% 8/15/13 | 762,000 | 788,670 | |||||
*# | Graphic Packaging | ||||||
International 144A | |||||||
9.50% 6/15/17 | 170,000 | 181,475 | |||||
# | Greif 144A 7.75% 8/1/19 | 170,000 | 175,950 | ||||
Intertape Polymer | |||||||
8.50% 8/1/14 | 127,000 | 99,060 | |||||
JSG Funding | |||||||
7.75% 4/1/15 | 210,000 | 185,850 | |||||
L-3 Communications | |||||||
6.125% 7/15/13 | 154,000 | 156,695 | |||||
Moog 7.25% 6/15/18 | 137,000 | 132,205 | |||||
# | Owens Brockway Glass | ||||||
Container 144A | |||||||
7.375% 5/15/16 | 105,000 | 107,888 | |||||
# | Plastipak Holdings 144A | ||||||
8.50% 12/15/15 | 215,000 | 218,225 | |||||
*10.625% 8/15/19 | 215,000 | 228,975 | |||||
Pregis 12.375% 10/15/13 | 385,000 | 365,750 | |||||
RBS Global/Rexnord | |||||||
9.50% 8/1/14 | 130,000 | 126,750 | |||||
11.75% 8/1/16 | 169,000 | 153,790 | |||||
# | Sealed Air 144A | ||||||
7.875% 6/15/17 | 100,000 | 105,601 | |||||
* | Solo Cup 8.50% 2/15/14 | 325,000 | 312,000 | ||||
Terex 8.00% 11/15/17 | 255,000 | 235,238 | |||||
Thermadyne Holdings | |||||||
10.50% 2/1/14 | 223,000 | 191,780 | |||||
Tyco Electronics Group | |||||||
7.125% 10/1/37 | 1,054,000 | 1,086,668 | |||||
Tyco International Finance | |||||||
4.125% 10/15/14 | 365,000 | 363,733 | |||||
8.50% 1/15/19 | 1,235,000 | 1,507,913 | |||||
USG 6.30% 11/15/16 | 450,000 | 384,750 | |||||
# | USG 144A 9.75% 8/1/14 | 65,000 | 68,250 | ||||
# | Volvo-Votorantim | ||||||
Overseas Trading | |||||||
Operations 144A | |||||||
6.625% 9/25/19 | 243,000 | 243,304 | |||||
Waste Management | |||||||
7.375% 3/11/19 | 20,000 | 23,316 | |||||
WMX Technologies | |||||||
7.10% 8/1/26 | 535,000 | 586,324 | |||||
14,913,078 | |||||||
Communications – 4.83% | |||||||
Affinion Group | |||||||
11.50% 10/15/15 | 125,000 | 129,063 | |||||
America Movil Sab de CV | |||||||
5.625% 11/15/17 | 388,000 | 403,076 | |||||
AT&T 6.30% 1/15/38 | 400,000 | 420,471 | |||||
* | AT&T Wireless | ||||||
8.125% 5/1/12 | 896,000 | 1,022,948 | |||||
Belo 6.75% 5/30/13 | 255,000 | 240,656 | |||||
# | Cablevision Systems 144A | ||||||
8.625% 9/15/17 | 200,000 | 207,500 | |||||
# | Charter Communications | ||||||
Operating 144A | |||||||
*10.00% 4/30/12 | 82,000 | 83,845 | |||||
10.375% 4/30/14 | 107,000 | 109,675 | |||||
12.875% 9/15/14 | 952,000 | 1,035,300 | |||||
Cincinnati Bell | |||||||
7.00% 2/15/15 | 370,000 | 360,750 | |||||
8.25% 10/15/17 | 370,000 | 364,681 | |||||
Comcast 4.95% 6/15/16 | 655,000 | 670,919 | |||||
Comcast Cable Holdings | |||||||
10.125% 4/15/22 | 329,000 | 416,221 | |||||
# | Cox Communications 144A | ||||||
5.875% 12/1/16 | 410,000 | 431,591 | |||||
6.95% 6/1/38 | 360,000 | 389,559 | |||||
8.375% 3/1/39 | 795,000 | 983,748 | |||||
* | Cricket Communications | ||||||
9.375% 11/1/14 | 580,000 | 591,600 | |||||
# | Cricket Communications | ||||||
144A 7.75% 5/15/16 | 165,000 | 168,300 | |||||
* | Crown Castle International | ||||||
9.00% 1/15/15 | 389,000 | 409,423 | |||||
# | CSC Holdings 144A | ||||||
8.50% 4/15/14 | 227,000 | 239,485 | |||||
8.50% 6/15/15 | 40,000 | 42,200 | |||||
Deutsche Telekom | |||||||
International Finance | |||||||
5.25% 7/22/13 | 765,000 | 816,524 | |||||
6.00% 7/8/19 | 375,000 | 402,627 | |||||
# | Digicel 144A | ||||||
9.25% 9/1/12 | 225,000 | 229,500 | |||||
# | Digicel Group 144A | ||||||
8.875% 1/15/15 | 410,000 | 383,350 | |||||
12.00% 4/1/14 | 305,000 | 341,600 | |||||
# | DigitalGlobe 144A | ||||||
10.50% 5/1/14 | 155,000 | 165,075 | |||||
DirecTV Holdings | |||||||
7.625% 5/15/16 | 710,000 | 763,250 | |||||
# | DISH DBS 144A | ||||||
7.875% 9/1/19 | 225,000 | 228,375 |
(continues) 13
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Communications (continued) | |||||||
Frontier Communications | |||||||
6.25% 1/15/13 | USD | 110,000 | $ | 108,350 | |||
7.125% 3/15/19 | 322,000 | 305,095 | |||||
# | Global Crossing 144A | ||||||
12.00% 9/15/15 | 475,000 | 501,125 | |||||
@ | Grupo Televisa | ||||||
8.49% 5/11/37 | MXN | 7,400,000 | 423,917 | ||||
Hughes Network | |||||||
Systems/Finance | |||||||
9.50% 4/15/14 | USD | 262,000 | 264,620 | ||||
Inmarsat Finance | |||||||
10.375% 11/15/12 | 615,000 | 639,600 | |||||
# | Intelsat Bermuda 144A | ||||||
11.25% 2/4/17 | 890,000 | 887,775 | |||||
Intelsat Jackson Holdings | |||||||
11.25% 6/15/16 | 972,000 | 1,044,900 | |||||
Intelsat Subsidiary Holding | |||||||
8.875% 1/15/15 | 207,000 | 211,658 | |||||
Interpublic Group | |||||||
6.25% 11/15/14 | 468,000 | 445,185 | |||||
# | Interpublic Group 144A | ||||||
10.00% 7/15/17 | 50,000 | 54,250 | |||||
Lamar Media | |||||||
6.625% 8/15/15 | 461,000 | 427,510 | |||||
Level 3 Financing | |||||||
9.25% 11/1/14 | 275,000 | 243,719 | |||||
12.25% 3/15/13 | 210,000 | 213,150 | |||||
LIN Television | |||||||
6.50% 5/15/13 | 60,000 | 52,800 | |||||
Lucent Technologies | |||||||
6.45% 3/15/29 | 227,000 | 173,939 | |||||
# | Mediacom Capital 144A | ||||||
9.125% 8/15/19 | 280,000 | 289,100 | |||||
MetroPCS Wireless | |||||||
9.25% 11/1/14 | 679,000 | 697,673 | |||||
Nextel Communications | |||||||
7.375% 8/1/15 | 589,000 | 531,573 | |||||
Nielsen Finance | |||||||
10.00% 8/1/14 | 182,000 | 183,820 | |||||
11.50% 5/1/16 | 80,000 | 84,400 | |||||
11.625% 2/1/14 | 130,000 | 137,800 | |||||
W12.50% 8/1/16 | 200,000 | 158,500 | |||||
# | Nielsen Finance 144A | ||||||
11.50% 5/1/16 | 85,000 | 89,675 | |||||
# | NII Capital 144A | ||||||
10.00% 8/15/16 | 410,000 | 428,450 | |||||
# | Nordic Telephone Holdings | ||||||
144A 8.875% 5/1/16 | 450,000 | 468,000 | |||||
# | PAETEC Holding 144A | ||||||
8.875% 6/30/17 | 305,000 | 305,000 | |||||
# | Qwest 144A | ||||||
8.375% 5/1/16 | 190,000 | 197,600 | |||||
* | Qwest Communications | ||||||
International | |||||||
7.50% 2/15/14 | 350,000 | 347,375 | |||||
#Rainbow National Services | |||||||
144A 10.375% 9/1/14 | 123,000 | 130,073 | |||||
Shaw Communications | |||||||
5.65% 10/1/19 | CAD | 428,000 | 406,471 | ||||
# | Sirius XM Radio 144A | ||||||
9.75% 9/1/15 | USD | 50,000 | 51,250 | ||||
Sprint Capital | |||||||
8.75% 3/15/32 | 465,000 | 441,750 | |||||
Sprint Nextel | |||||||
6.00% 12/1/16 | 1,187,000 | 1,065,333 | |||||
Telecom Italia Capital | |||||||
4.00% 1/15/10 | 301,000 | 303,080 | |||||
5.25% 10/1/15 | 1,465,000 | 1,518,612 | |||||
6.20% 7/18/11 | 50,000 | 53,269 | |||||
7.175% 6/18/19 | 685,000 | 765,713 | |||||
Telesat Canada | |||||||
11.00% 11/1/15 | 495,000 | 529,650 | |||||
12.50% 11/1/17 | 197,000 | 210,790 | |||||
# | Terremark Worldwide 144A | ||||||
12.00% 6/15/17 | 195,000 | 213,525 | |||||
Time Warner Cable | |||||||
6.75% 7/1/18 | 365,000 | 403,912 | |||||
# | TL Acquisitions 144A | ||||||
10.50% 1/15/15 | 230,000 | 218,500 | |||||
# | Univision Communications | ||||||
144A 12.00% 7/1/14 | 220,000 | 237,600 | |||||
# | UPC Holding 144A | ||||||
9.875% 4/15/18 | 170,000 | 179,350 | |||||
Videotron | |||||||
6.375% 12/15/15 | 100,000 | 96,000 | |||||
9.125% 4/15/18 | 188,000 | 204,450 | |||||
# | Vimpelcom 144A | ||||||
9.125% 4/30/18 | 145,000 | 152,431 | |||||
Virgin Media Finance | |||||||
8.75% 4/15/14 | 162,000 | 166,050 | |||||
9.50% 8/15/16 | 140,000 | 148,050 | |||||
# | Vivendi 144A | ||||||
5.75% 4/4/13 | 1,040,000 | 1,080,099 | |||||
6.625% 4/4/18 | 655,000 | 705,222 | |||||
Vodafone Group | |||||||
5.00% 12/16/13 | 185,000 | 197,486 | |||||
5.00% 9/15/15 | 1,130,000 | 1,195,664 | |||||
# | Wind Acquisition | ||||||
Finance 144A | |||||||
10.75% 12/1/15 | 150,000 | 165,750 | |||||
11.75% 7/15/17 | 450,000 | 509,625 | |||||
* | Windstream 8.125% 8/1/13 | 210,000 | 216,825 | ||||
WPP Finance 8.00% 9/15/14 | 1,285,000 | 1,411,019 | |||||
XM Satellite Radio | |||||||
Holdings PIK | |||||||
10.00% 6/1/11 | 135,000 | 127,575 | |||||
35,072,995 |
14
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Cyclical – 3.42% | |||||||
# | Allison Transmission 144A | ||||||
11.00% 11/1/15 | USD | 515,000 | $ | 507,275 | |||
* | ArvinMeritor | ||||||
8.125% 9/15/15 | 410,000 | 358,750 | |||||
Beazer Homes USA | |||||||
8.625% 5/15/11 | 105,000 | 99,225 | |||||
* | Burlington Coat Factory | ||||||
Warehouse | |||||||
11.125% 4/15/14 | 215,000 | 211,775 | |||||
Carrols 9.00% 1/15/13 | 105,000 | 105,525 | |||||
Corrections Corp. of | |||||||
America 7.75% 6/1/17 | 390,000 | 404,625 | |||||
w# | CVS Pass Through | ||||||
Trust 144A | |||||||
8.353% 7/10/31 | 1,859,980 | 2,075,614 | |||||
Darden Restaurants | |||||||
6.80% 10/15/37 | 565,000 | 603,110 | |||||
Denny’s Holdings | |||||||
10.00% 10/1/12 | 82,000 | 83,230 | |||||
# | Duane Reade 144A | ||||||
11.75% 8/1/15 | 5,000 | 5,275 | |||||
Ford Motor 7.45% 7/16/31 | 550,000 | 448,250 | |||||
Ford Motor Credit | |||||||
7.25% 10/25/11 | 14,000 | 13,603 | |||||
7.50% 8/1/12 | 530,000 | 509,204 | |||||
7.80% 6/1/12 | 100,000 | 96,702 | |||||
9.875% 8/10/11 | 140,000 | 142,047 | |||||
12.00% 5/15/15 | 980,000 | 1,080,999 | |||||
# | Galaxy Entertainment | ||||||
Finance 144A | |||||||
9.875% 12/15/12 | 395,000 | 385,125 | |||||
Gaylord Entertainment | |||||||
6.75% 11/15/14 | 243,000 | 225,990 | |||||
8.00% 11/15/13 | 271,000 | 279,130 | |||||
Global Cash Access/Finance | |||||||
8.75% 3/15/12 | 249,000 | 247,755 | |||||
* | Goodyear Tire & Rubber | ||||||
9.00% 7/1/15 | 259,000 | 270,008 | |||||
10.50% 5/15/16 | 365,000 | 397,850 | |||||
# | Harrah’s Operating 144A | ||||||
10.00% 12/15/18 | 635,000 | 508,000 | |||||
# | Harrah’s Operating Escrow | ||||||
144A 11.25% 6/1/17 | 720,000 | 743,400 | |||||
Interface 9.50% 2/1/14 | 65,000 | 64,756 | |||||
# | Interface 144A | ||||||
11.375% 11/1/13 | 155,000 | 168,950 | |||||
# | Invista 144A | ||||||
9.25% 5/1/12 | 240,000 | 241,200 | |||||
K Hovnanian Enterprises | |||||||
6.25% 1/15/15 | 150,000 | 114,750 | |||||
7.50% 5/15/16 | 230,000 | 175,950 | |||||
*11.50% 5/1/13 | 230,000 | 243,800 | |||||
# | Landry’s Restaurants 144A | ||||||
14.00% 8/15/11 | 180,000 | 181,575 | |||||
Levi Strauss | |||||||
9.75% 1/15/15 | 541,000 | 565,345 | |||||
M/I Homes | |||||||
6.875% 4/1/12 | 101,000 | 93,930 | |||||
Macy’s Retail Holdings | |||||||
6.65% 7/15/24 | 1,080,000 | 857,115 | |||||
8.875% 7/15/15 | 235,000 | 246,327 | |||||
10.625% 11/1/10 | 145,000 | 152,879 | |||||
Meritage Homes | |||||||
6.25% 3/15/15 | 40,000 | 37,400 | |||||
7.00% 5/1/14 | 285,000 | 268,613 | |||||
MGM MIRAGE | |||||||
*6.625% 7/15/15 | 125,000 | 97,188 | |||||
7.50% 6/1/16 | 360,000 | 280,800 | |||||
*7.625% 1/15/17 | 270,000 | 211,950 | |||||
#MGM MIRAGE 144A | |||||||
11.125% 11/15/17 | 185,000 | 203,038 | |||||
11.375% 3/1/18 | 120,000 | 113,400 | |||||
13.00% 11/15/13 | 427,000 | 491,050 | |||||
Mobile Mini | |||||||
6.875% 5/1/15 | 180,000 | 165,150 | |||||
Mohawk Industries | |||||||
6.875% 1/15/16 | 165,000 | 164,404 | |||||
New Albertsons | |||||||
7.25% 5/1/13 | 75,000 | 75,750 | |||||
Nordstrom | |||||||
6.25% 1/15/18 | 500,000 | 519,063 | |||||
6.75% 6/1/14 | 800,000 | 878,475 | |||||
* | OSI Restaurant Partners | ||||||
10.00% 6/15/15 | 266,000 | 236,075 | |||||
Pinnacle Entertainment | |||||||
7.50% 6/15/15 | 450,000 | 400,500 | |||||
# | Pinnacle Entertainment | ||||||
144A 8.625% 8/1/17 | 65,000 | 65,650 | |||||
@# | Pokagon Gaming | ||||||
Authority 144A | |||||||
10.375% 6/15/14 | 255,000 | 266,475 | |||||
Quiksilver 6.875% 4/15/15 | 325,000 | 244,563 | |||||
Rite Aid 9.375% 12/15/15 | 530,000 | 433,275 | |||||
Royal Caribbean Cruises | |||||||
7.00% 6/15/13 | 255,000 | 244,163 | |||||
Ryland Group | |||||||
8.40% 5/15/17 | 340,000 | 366,350 | |||||
* | Sally Holdings | ||||||
10.50% 11/15/16 | 375,000 | 392,813 | |||||
# | Sealy Mattress 144A | ||||||
10.875% 4/15/16 | 79,000 | 87,493 | |||||
# | Shingle Springs Tribal | ||||||
Gaming Authority 144A | |||||||
9.375% 6/15/15 | 480,000 | 348,000 | |||||
# | Speedway Motorsports | ||||||
144A 8.75% 6/1/16 | 235,000 | 245,575 | |||||
# | Standard Pacific Escrow | ||||||
144A 10.75% 9/15/16 | 270,000 | 267,300 |
(continues) 15
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Cyclical (continued) | |||||||
Target | |||||||
5.125% 1/15/13 | USD | 895,000 | $ | 964,701 | |||
7.00% 1/15/38 | 665,000 | 780,908 | |||||
Tenneco 8.625% 11/15/14 | 460,000 | 433,550 | |||||
* | Toys R US 7.875% 4/15/13 | 350,000 | 337,750 | ||||
# | Toys R US Property 144A | ||||||
10.75% 7/15/17 | 200,000 | 216,000 | |||||
# | TRW Automotive 144A | ||||||
7.00% 3/15/14 | 265,000 | 242,475 | |||||
7.25% 3/15/17 | 205,000 | 181,425 | |||||
# | Volvo Treasury 144A | ||||||
5.95% 4/1/15 | 915,000 | 915,200 | |||||
* | Wynn Las Vegas | ||||||
6.625% 12/1/14 | 420,000 | 407,400 | |||||
Yum Brands 6.875% 11/15/37 | 325,000 | 361,229 | |||||
24,854,195 | |||||||
Consumer Non-Cyclical – 3.70% | |||||||
Alliance Imaging | |||||||
7.25% 12/15/12 | 136,000 | 131,920 | |||||
# | Alliance One International | ||||||
144A 10.00% 7/15/16 | 580,000 | 601,750 | |||||
AmBev International | |||||||
Finance 9.50% 7/24/17 | BRL | 210,000 | 114,984 | ||||
# | Anheuser-Busch InBev | ||||||
Worldwide 144A | |||||||
5.375% 11/15/14 | USD | 175,000 | 186,932 | ||||
6.875% 11/15/19 | 640,000 | 724,234 | |||||
7.20% 1/15/14 | 1,380,000 | 1,555,113 | |||||
ARAMARK 8.50% 2/1/15 | 710,000 | 719,763 | |||||
* | Bausch & Lomb | ||||||
9.875% 11/1/15 | 949,000 | 998,823 | |||||
Beckman Coulter | |||||||
6.00% 6/1/15 | 780,000 | 851,943 | |||||
7.00% 6/1/19 | 370,000 | 425,020 | |||||
Biomet 11.625% 10/15/17 | 224,000 | 245,280 | |||||
Biomet PIK | |||||||
10.375% 10/15/17 | 175,000 | 186,813 | |||||
# | Bio-Rad Laboratories 144A | ||||||
8.00% 9/15/16 | 165,000 | 171,600 | |||||
# | CareFusion 144A | ||||||
6.375% 8/1/19 | 1,145,000 | 1,244,109 | |||||
Community Health Systems | |||||||
8.875% 7/15/15 | 377,000 | 387,368 | |||||
Cornell 10.75% 7/1/12 | 63,000 | 64,575 | |||||
Delhaize America | |||||||
9.00% 4/15/31 | 589,000 | 777,118 | |||||
Delhaize Group | |||||||
5.875% 2/1/14 | 235,000 | 253,331 | |||||
DJO Finance | |||||||
10.875% 11/15/14 | 250,000 | 256,875 | |||||
# | Dole Food 144A | ||||||
8.00% 10/1/16 | 135,000 | 136,181 | |||||
13.875% 3/15/14 | 255,000 | 300,263 | |||||
HCA 9.25% 11/15/16 | 1,352,000 | 1,401,009 | |||||
HCA PIK 9.625% 11/15/16 | 69,000 | 71,933 | |||||
HealthSouth | |||||||
7.218% 6/15/14 | 425,000 | 418,625 | |||||
# | Heinz (H.J.) Finance 144A | ||||||
7.125% 8/1/39 | 295,000 | 350,345 | |||||
Hospira 6.40% 5/15/15 | 1,995,000 | 2,220,811 | |||||
# | Ingles Markets 144A | ||||||
8.875% 5/15/17 | 210,000 | 215,775 | |||||
Inverness Medical Innovations | |||||||
9.00% 5/15/16 | 365,000 | 363,631 | |||||
Iron Mountain | |||||||
6.625% 1/1/16 | 76,000 | 73,720 | |||||
8.00% 6/15/20 | 523,000 | 528,230 | |||||
*8.75% 7/15/18 | 80,000 | 83,600 | |||||
Jarden 8.00% 5/1/16 | 375,000 | 386,250 | |||||
# | JBS USA Finance 144A | ||||||
11.625% 5/1/14 | 449,000 | 484,920 | |||||
Johnsondiversey Holdings | |||||||
10.67% 5/15/13 | 189,000 | 182,385 | |||||
Medco Health Solutions | |||||||
7.125% 3/15/18 | 1,395,000 | 1,583,225 | |||||
# | M-Foods Holdings 144A | ||||||
9.75% 10/1/13 | 115,000 | 118,738 | |||||
* | Psychiatric Solutions | ||||||
7.75% 7/15/15 | 305,000 | 295,850 | |||||
# | Psychiatric Solutions 144A | ||||||
7.75% 7/15/15 | 260,000 | 245,700 | |||||
Quest Diagnostics | |||||||
5.45% 11/1/15 | 1,863,000 | 1,968,789 | |||||
6.40% 7/1/17 | 380,000 | 413,879 | |||||
RSC Equipment Rental | |||||||
9.50% 12/1/14 | 429,000 | 416,130 | |||||
Select Medical 7.625% 2/1/15 | 628,000 | 591,105 | |||||
@# | Seminole Indian Tribe of | ||||||
Florida 144A | |||||||
7.804% 10/1/20 | 195,000 | 166,655 | |||||
8.03% 10/1/20 | 80,000 | 69,146 | |||||
Smithfield Foods | |||||||
7.75% 5/15/13 | 485,000 | 434,075 | |||||
# | Smithfield Foods 144A | ||||||
10.00% 7/15/14 | 125,000 | 131,875 | |||||
SUPERVALU | |||||||
7.50% 11/15/14 | 275,000 | 277,750 | |||||
8.00% 5/1/16 | 315,000 | 327,600 | |||||
Tenet Healthcare | |||||||
7.375% 2/1/13 | 495,000 | 492,525 | |||||
# | Tyson Foods 144A | ||||||
10.50% 3/1/14 | 240,000 | 273,000 | |||||
UnitedHealth Group | |||||||
6.00% 2/15/18 | 760,000 | 799,956 | |||||
Universal Hospital PIK | |||||||
8.50% 6/1/15 | 166,000 | 163,510 | |||||
· | US Oncology PIK | ||||||
6.428% 3/15/12 | 583,133 | 510,241 | |||||
Ventas Realty | |||||||
6.50% 6/1/16 | 130,000 | 126,750 |
16
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Non-Cyclical (continued) | |||||||
Visant Holding | |||||||
8.75% 12/1/13 | USD | 271,000 | $ | 277,098 | |||
* | Yankee Acquisition | ||||||
8.50% 2/15/15 | 125,000 | 118,125 | |||||
26,916,951 | |||||||
Electric – 2.30% | |||||||
AES | |||||||
7.75% 3/1/14 | 32,000 | 32,400 | |||||
8.00% 10/15/17 | 98,000 | 99,103 | |||||
8.00% 6/1/20 | 1,677,000 | 1,672,807 | |||||
# | AES 144A 8.75% 5/15/13 | 53,000 | 54,259 | ||||
*# | Centrais Eletricas Brasileiras | ||||||
144A 6.875% 7/30/19 | 545,000 | 591,325 | |||||
· | Dominion Resources | ||||||
6.30% 9/30/66 | 810,000 | 648,282 | |||||
Duke Energy | |||||||
5.05% 9/15/19 | 270,000 | 273,489 | |||||
Duquense Light Holdings | |||||||
5.50% 8/15/15 | 756,000 | 692,135 | |||||
Edison Mission Energy | |||||||
*7.00% 5/15/17 | 329,000 | 276,360 | |||||
7.20% 5/15/19 | 245,000 | 199,675 | |||||
Elwood Energy | |||||||
8.159% 7/5/26 | 315,549 | 279,536 | |||||
# | Enel Finance International | ||||||
144A 3.875% 10/7/14 | 715,000 | 713,070 | |||||
Energy Future Holdings | |||||||
10.875% 11/1/17 | 205,000 | 155,800 | |||||
· | FPL Group Capital | ||||||
6.65% 6/15/67 | 1,080,000 | 995,051 | |||||
Illinois Power 9.75% 11/15/18 | 2,070,000 | 2,602,863 | |||||
Indiana Michigan Power | |||||||
7.00% 3/15/19 | 666,000 | 768,856 | |||||
Ipalco Enterprises | |||||||
8.625% 11/14/11 | 20,000 | 20,600 | |||||
Midamerican Funding | |||||||
6.75% 3/1/11 | 10,000 | 10,599 | |||||
* | Mirant Americas Generation | ||||||
8.50% 10/1/21 | 530,000 | 463,750 | |||||
w | Mirant Mid Atlantic | ||||||
Pass Through Trust | |||||||
8.625% 6/30/12 | 100,762 | 102,525 | |||||
Mirant North America | |||||||
7.375% 12/31/13 | 61,000 | 61,000 | |||||
NRG Energy | |||||||
7.25% 2/1/14 | 325,000 | 320,125 | |||||
7.375% 2/1/16 | 1,002,000 | 971,940 | |||||
7.375% 1/15/17 | 143,000 | 138,710 | |||||
Orion Power Holdings | |||||||
12.00% 5/1/10 | 226,000 | 235,040 | |||||
# | Pedernales Electric | ||||||
Cooperative 144A | |||||||
6.202% 11/15/32 | 620,000 | 564,435 | |||||
Pennsylvania Electric | |||||||
5.20% 4/1/20 | 720,000 | 719,189 | |||||
· | PPL Capital Funding | ||||||
6.70% 3/30/67 | 1,555,000 | 1,300,237 | |||||
PPL Electric Utilities | |||||||
7.125% 11/30/13 | 435,000 | 500,055 | |||||
· | Puget Sound Energy | ||||||
6.974% 6/1/67 | 335,000 | 269,856 | |||||
* | RRI Energy 7.625% 6/15/14 | 165,000 | 162,731 | ||||
* | Texas Competitive | ||||||
Electric Holdings | |||||||
10.25% 11/1/15 | 583,000 | 422,675 | |||||
# | TXU Australia 144A | ||||||
6.15% 11/15/13 | 375,000 | 394,447 | |||||
16,712,925 | |||||||
Energy – 2.85% | |||||||
Berry Petroleum | |||||||
10.25% 6/1/14 | 270,000 | 289,575 | |||||
# | Cenovus Energy 144A | ||||||
5.70% 10/15/19 | 795,000 | 816,736 | |||||
Chesapeake Energy | |||||||
6.50% 8/15/17 | 355,000 | 327,488 | |||||
6.625% 1/15/16 | 231,000 | 219,450 | |||||
9.50% 2/15/15 | 850,000 | 898,875 | |||||
CITIC Resources Finance | |||||||
2007 6.75% 5/15/14 | 480,000 | 460,800 | |||||
Complete Production Service | |||||||
8.00% 12/15/16 | 112,000 | 102,480 | |||||
Copano Energy | |||||||
7.75% 6/1/18 | 235,000 | 224,425 | |||||
Denbury Resources | |||||||
7.50% 4/1/13 | 65,000 | 65,325 | |||||
9.75% 3/1/16 | 177,000 | 188,948 | |||||
Enbridge Energy | |||||||
9.875% 3/1/19 | 865,000 | 1,075,985 | |||||
Energy Transfer Partners | |||||||
*5.65% 8/1/12 | 320,000 | 337,670 | |||||
9.70% 3/15/19 | 750,000 | 929,856 | |||||
Forest Oil 7.25% 6/15/19 | 265,000 | 249,100 | |||||
Geophysique-Veritas | |||||||
7.50% 5/15/15 | 28,000 | 28,000 | |||||
7.75% 5/15/17 | 284,000 | 283,290 | |||||
# | Geophysique-Veritas 144A | ||||||
9.50% 5/15/16 | 100,000 | 106,250 | |||||
# | Helix Energy Solutions | ||||||
Group 144A | |||||||
9.50% 1/15/16 | 582,000 | 584,910 | |||||
# | Hilcorp Energy I 144A | ||||||
7.75% 11/1/15 | 161,000 | 152,950 | |||||
9.00% 6/1/16 | 199,000 | 198,503 | |||||
# | Holly 144A | ||||||
9.875% 6/15/17 | 205,000 | 210,638 | |||||
International Coal Group | |||||||
10.25% 7/15/14 | 247,000 | 226,005 | |||||
* | Key Energy Services | ||||||
8.375% 12/1/14 | 377,000 | 360,035 |
(continues) 17
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
Kinder Morgan Energy | ||||||||
Partners | ||||||||
6.85% 2/15/20 | USD | 930,000 | $ | 1,017,687 | ||||
9.00% 2/1/19 | 245,000 | 297,343 | ||||||
Mariner Energy | ||||||||
8.00% 5/15/17 | 294,000 | 270,480 | ||||||
MarkWest Energy Partners | ||||||||
8.75% 4/15/18 | 157,000 | 157,000 | ||||||
Massey Energy | ||||||||
6.875% 12/15/13 | 910,000 | 882,700 | ||||||
Nexen 7.50% 7/30/39 | 1,175,000 | 1,283,486 | ||||||
Noble Energy 8.25% 3/1/19 | 855,000 | 1,033,856 | ||||||
OPTI Canada | ||||||||
7.875% 12/15/14 | 110,000 | 84,700 | ||||||
8.25% 12/15/14 | 425,000 | 331,500 | ||||||
PetroHawk Energy | ||||||||
7.875% 6/1/15 | 185,000 | 183,150 | ||||||
9.125% 7/15/13 | 357,000 | 368,603 | ||||||
# | PetroHawk Energy 144A | |||||||
10.50% 8/1/14 | 110,000 | 118,800 | ||||||
Petroleum Development | ||||||||
12.00% 2/15/18 | 185,000 | 183,150 | ||||||
Plains All American Pipeline | ||||||||
5.75% 1/15/20 | 1,415,000 | 1,428,693 | ||||||
Plains Exploration | ||||||||
& Production | ||||||||
8.625% 10/15/19 | 125,000 | 127,188 | ||||||
Quicksilver Resources | ||||||||
11.75% 1/1/16 | 340,000 | 376,550 | ||||||
Range Resources | ||||||||
8.00% 5/15/19 | 305,000 | 314,150 | ||||||
# | Ras Laffan Liquefied | |||||||
Natural Gas III 144A | ||||||||
5.832% 9/30/16 | 400,000 | 416,423 | ||||||
# | SandRidge Energy 144A | |||||||
9.875% 5/15/16 | 425,000 | 445,188 | ||||||
Talisman Energy | ||||||||
7.75% 6/1/19 | 905,000 | 1,065,990 | ||||||
· | TransCanada Pipelines | |||||||
6.35% 5/15/67 | 705,000 | 618,573 | ||||||
Weatherford International | ||||||||
4.95% 10/15/13 | 130,000 | 135,311 | ||||||
5.15% 3/15/13 | 340,000 | 357,415 | ||||||
5.95% 6/15/12 | 605,000 | 649,162 | ||||||
9.625% 3/1/19 | 80,000 | 100,310 | ||||||
Williams 7.50% 1/15/31 | 130,000 | 133,134 | ||||||
20,717,836 | ||||||||
Finance Companies – 1.37% | ||||||||
Cardtronics | ||||||||
9.25% 8/15/13 | 372,000 | 376,651 | ||||||
FTI Consulting | ||||||||
7.625% 6/15/13 | 197,000 | 197,493 | ||||||
General Electric Capital | ||||||||
·1.91% 2/2/11 | NOK | 3,500,000 | 589,443 | |||||
@5.125% 1/28/14 | SEK | 2,500,000 | 362,463 | |||||
6.00% 8/7/19 | USD | 2,305,000 | 2,342,603 | |||||
6.75% 3/15/32 | 80,000 | 81,911 | ||||||
@ | General Electric Capital | |||||||
UK Funding | ||||||||
4.625% 1/18/16 | GBP | 226,000 | 352,769 | |||||
# | GMAC 144A | |||||||
6.00% 12/15/11 | USD | 85,000 | 79,475 | |||||
6.625% 5/15/12 | 403,000 | 374,790 | ||||||
*6.875% 9/15/11 | 1,021,000 | 975,055 | ||||||
6.875% 8/28/12 | 521,000 | 484,530 | ||||||
· | Goldman Sachs Capital II | |||||||
5.793% 12/29/49 | 1,818,000 | 1,318,050 | ||||||
*·# | ILFC E-Capital Trust II 144A | |||||||
6.25% 12/21/65 | 405,000 | 208,575 | ||||||
International Lease Finance | ||||||||
5.25% 1/10/13 | 100,000 | 80,654 | ||||||
5.35% 3/1/12 | 418,000 | 355,507 | ||||||
5.55% 9/5/12 | 475,000 | 388,363 | ||||||
5.625% 9/20/13 | 805,000 | 613,829 | ||||||
5.875% 5/1/13 | 235,000 | 184,976 | ||||||
6.375% 3/25/13 | 160,000 | 128,407 | ||||||
6.625% 11/15/13 | 625,000 | 495,993 | ||||||
9,991,537 | ||||||||
Insurance – 1.51% | ||||||||
21st Century Insurance | ||||||||
5.90% 12/15/13 | 275,000 | 268,064 | ||||||
· | Chubb 6.375% 3/29/67 | 560,000 | 512,400 | |||||
# | Farmers Insurance Exchange | |||||||
144A 8.625% 5/1/24 | 610,000 | 630,490 | ||||||
FBL Financial Group | ||||||||
5.875% 3/15/17 | 720,000 | 432,888 | ||||||
MetLife | ||||||||
6.75% 6/1/16 | 260,000 | 290,555 | ||||||
6.817% 8/15/18 | 815,000 | 908,628 | ||||||
·# | MetLife Capital Trust X | |||||||
144A 9.25% 4/8/38 | 1,700,000 | 1,772,552 | ||||||
# | NLV Financial 144A | |||||||
6.50% 3/15/35 | 385,000 | 248,587 | ||||||
·# | Oil Insurance 144A | |||||||
7.558% 12/29/49 | 2,295,000 | 1,383,653 | ||||||
· | PartnerRe Finance II | |||||||
6.44% 12/1/66 | 1,148,000 | 791,921 | ||||||
·# | Symetra Financial 144A | |||||||
8.30% 10/15/37 | 515,000 | 327,025 | ||||||
Transatlantic Holdings | ||||||||
5.75% 12/14/15 | 1,154,000 | 1,041,273 | ||||||
@‡w# | Twin Reefs Pass Through | |||||||
Trust 144A | ||||||||
1.386% 12/31/49 | 300,000 | 975 | ||||||
UnitedHealth Group | ||||||||
5.50% 11/15/12 | 703,000 | 753,334 | ||||||
5.80% 3/15/36 | 297,000 | 288,969 |
18
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Insurance (continued) | ||||||||
WellPoint | ||||||||
5.00% 1/15/11 | USD | 506,000 | $ | 521,668 | ||||
7.00% 2/15/19 | 695,000 | 791,432 | ||||||
10,964,414 | ||||||||
Natural Gas – 0.48% | ||||||||
AmeriGas Partners | ||||||||
7.125% 5/20/16 | 161,000 | 155,365 | ||||||
Dynergy Holdings | ||||||||
7.75% 6/1/19 | 574,000 | 492,205 | ||||||
El Paso | ||||||||
6.875% 6/15/14 | 101,000 | 99,485 | ||||||
7.00% 6/15/17 | 270,000 | 265,950 | ||||||
7.25% 6/1/18 | 18,000 | 17,795 | ||||||
8.25% 2/15/16 | 29,000 | 29,870 | ||||||
# | El Paso Performance- | |||||||
Linked Trust 144A | ||||||||
7.75% 7/15/11 | 134,000 | 137,554 | ||||||
Enterprise Products Operating | ||||||||
6.125% 10/15/39 | 300,000 | 304,149 | ||||||
6.30% 9/15/17 | 430,000 | 463,873 | ||||||
·8.375% 8/1/66 | 95,000 | 88,937 | ||||||
9.75% 1/31/14 | 665,000 | 803,639 | ||||||
Inergy Finance | ||||||||
6.875% 12/15/14 | 110,000 | 105,600 | ||||||
8.25% 3/1/16 | 126,000 | 127,260 | ||||||
# | Inergy Finance 144A | |||||||
8.75% 3/1/15 | 35,000 | 36,138 | ||||||
Regency Energy Partners | ||||||||
8.375% 12/15/13 | 108,000 | 109,620 | ||||||
# | Regency Energy Partners | |||||||
144A 9.375% 6/1/16 | 215,000 | 224,675 | ||||||
3,462,115 | ||||||||
Real Estate – 0.27% | ||||||||
Developers Diversified Realty | ||||||||
5.375% 10/15/12 | 355,000 | 333,011 | ||||||
9.625% 3/15/16 | 165,000 | 165,714 | ||||||
*# | Host Hotels & Resorts 144A | |||||||
9.00% 5/15/17 | 355,000 | 378,075 | ||||||
Kimco Realty | ||||||||
6.875% 10/1/19 | 415,000 | 425,209 | ||||||
Regency Centers | ||||||||
5.875% 6/15/17 | 285,000 | 268,288 | ||||||
·# | USB Realty 144A | |||||||
6.091% 12/22/49 | 500,000 | 350,000 | ||||||
1,920,297 | ||||||||
Technology – 0.75% | ||||||||
Avago Technologies Finance | ||||||||
10.125% 12/1/13 | 190,000 | 200,925 | ||||||
Broadridge Financial Solutions | ||||||||
6.125% 6/1/17 | 198,000 | 170,806 | ||||||
* | First Data 9.875% 9/24/15 | 1,500,000 | 1,393,125 | |||||
Freescale Semiconductor | ||||||||
8.875% 12/15/14 | 1,940,000 | 1,493,801 | ||||||
Jabil Circuit | ||||||||
7.75% 7/15/16 | 225,000 | 229,500 | ||||||
Sanmina-SCI | ||||||||
8.125% 3/1/16 | 471,000 | 442,740 | ||||||
Sungard Data Systems | ||||||||
9.125% 8/15/13 | 266,000 | 269,990 | ||||||
10.25% 8/15/15 | 424,000 | 434,600 | ||||||
# | Unisys 144A | |||||||
12.75% 10/15/14 | 225,000 | 239,625 | ||||||
Xerox 8.25% 5/15/14 | 515,000 | 585,964 | ||||||
5,461,076 | ||||||||
Transportation – 0.54% | ||||||||
# | Ashtead Capital 144A | |||||||
9.00% 8/15/16 | 200,000 | 193,000 | ||||||
Avis Budget Car Rental | ||||||||
7.625% 5/15/14 | 240,000 | 217,200 | ||||||
7.75% 5/15/16 | 250,000 | 218,750 | ||||||
CSX | ||||||||
5.75% 3/15/13 | 325,000 | 346,828 | ||||||
6.25% 3/15/18 | 1,385,000 | 1,504,509 | ||||||
Delta Air Lines | ||||||||
7.92% 11/18/10 | 190,000 | 184,300 | ||||||
Hertz | ||||||||
8.875% 1/1/14 | 381,000 | 386,715 | ||||||
*10.50% 1/1/16 | 127,000 | 132,715 | ||||||
Kansas City Southern de | ||||||||
Mexico 9.375% 5/1/12 | 715,000 | 729,300 | ||||||
@‡ | Northwest Airlines | |||||||
10.00% 2/1/10 | 65,000 | 208 | ||||||
3,913,525 | ||||||||
Total Corporate Bonds | ||||||||
(cost $222,256,891) | 234,424,333 | |||||||
Foreign Agencies – 1.13%D | ||||||||
Cayman Islands – 0.07% | ||||||||
Petrobras International | ||||||||
Finance 7.875% 3/15/19 | 440,000 | 509,850 | ||||||
509,850 | ||||||||
Germany – 0.32% | ||||||||
KFW | ||||||||
4.875% 6/17/19 | 845,000 | 920,657 | ||||||
5.50% 6/5/14 | AUD | 1,278,000 | 1,108,490 | |||||
6.00% 2/14/12 | RUB | 10,540,000 | 324,368 | |||||
2,353,515 | ||||||||
Luxembourg – 0.17% | ||||||||
# | Gaz Capital 144A | |||||||
7.288% 8/16/37 | USD | 193,000 | 181,420 | |||||
9.25% 4/23/19 | 482,000 | 539,599 | ||||||
# | Russian Agricultural Bank | |||||||
144A 6.299% 5/15/17 | 507,000 | 486,669 | ||||||
1,207,688 |
(continues) 19
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Foreign Agencies (continued) | ||||||||
Malaysia – 0.11% | ||||||||
# | Petronas Capital 144A | |||||||
5.25% 8/12/19 | USD | 446,000 | $ | 454,248 | ||||
TNB Capital L | ||||||||
5.25% 5/5/15 | 333,000 | 334,064 | ||||||
788,312 | ||||||||
Netherlands – 0.10% | ||||||||
# | Majapahit Holding 144A | |||||||
8.00% 8/7/19 | 706,000 | 757,185 | ||||||
757,185 | ||||||||
Philippines – 0.05% | ||||||||
# | Power Sector Assets | |||||||
& Liabilities | ||||||||
Management 144A | ||||||||
7.25% 5/27/19 | 350,000 | 374,500 | ||||||
374,500 | ||||||||
Republic of Korea – 0.31% | ||||||||
Export-Import | ||||||||
Bank of Korea | ||||||||
5.875% 1/14/15 | 1,060,000 | 1,120,039 | ||||||
# | Industrial Bank of | |||||||
Korea 144A | ||||||||
7.125% 4/23/14 | 279,000 | 306,776 | ||||||
Korea Development Bank | ||||||||
5.30% 1/17/13 | 420,000 | 437,011 | ||||||
# | National Agricultural | |||||||
Cooperative | ||||||||
Federation 144A | ||||||||
5.00% 9/30/14 | 373,000 | 377,094 | ||||||
2,240,920 | ||||||||
Total Foreign Agencies | ||||||||
(cost $7,752,139) | 8,231,970 | |||||||
Municipal Bonds – 1.03% | ||||||||
Aruba Airport Authority | ||||||||
Series 1997 A | ||||||||
7.70% 1/1/13 (NATL-RE) | 147,000 | 145,216 | ||||||
California State | ||||||||
7.55% 4/1/39 | 1,505,000 | 1,685,465 | ||||||
Escondido, California Joint | ||||||||
Powers Financing | ||||||||
Authority Series B | ||||||||
5.53% 9/1/18 | ||||||||
(NATL-RE) (FGIC) | 1,830,000 | 1,772,738 | ||||||
Escondido, California | ||||||||
Revenue (Wastewater | ||||||||
Capital Projects) | ||||||||
Certificates of | ||||||||
Participation | ||||||||
Series B 5.75% 9/1/25 | ||||||||
(NATL-RE) | 465,000 | 416,268 | ||||||
La Quinta, California | ||||||||
Redevelopment | ||||||||
Agency Tax Allocation | ||||||||
Project #1 | ||||||||
5.45% 9/1/13 | ||||||||
(AMBAC) | 460,000 | 470,663 | ||||||
6.24% 9/1/23 | ||||||||
(AMBAC) | 640,000 | 620,314 | ||||||
Los Angeles, California | ||||||||
Community Redevelopment | ||||||||
Agency Series D | ||||||||
5.60% 7/1/18 | ||||||||
(NATL-RE) | 80,000 | 77,838 | ||||||
6.02% 9/1/21 | ||||||||
(NATL-RE) | 950,000 | 887,139 | ||||||
Oregon State Taxable | ||||||||
Pension 1st | ||||||||
Subordinate | ||||||||
5.892% 6/1/27 | 65,000 | 69,988 | ||||||
· | Puerto Rico Sales | |||||||
Tax Financing | ||||||||
5.00% 8/1/39 | 585,000 | 609,868 | ||||||
Sacramento County, | ||||||||
California Public Finance | ||||||||
Authority Revenue | ||||||||
(Housing Tax County | ||||||||
Project) Series B | ||||||||
5.18% 12/1/13 | ||||||||
(NATL-RE) (FGIC) | 105,000 | 105,191 | ||||||
San Diego, California | ||||||||
Redevelopment | ||||||||
Agency Tax | ||||||||
Allocation Series C | ||||||||
5.81% 9/1/19 (XLCA) | 645,000 | 592,794 | ||||||
Total Municipal Bonds | ||||||||
(cost $7,559,991) | 7,453,482 | |||||||
Non-Agency Asset-Backed Securities – 2.15% | ||||||||
· | Bank of America | |||||||
Credit Card Trust | ||||||||
Series 2008-A5 A5 | ||||||||
1.443% 12/16/13 | 1,245,000 | 1,252,851 | ||||||
# | Cabela’s Master Credit | |||||||
Card Trust | ||||||||
Series 2008-1A A1 | ||||||||
144A 4.31% 12/16/13 | 715,000 | 725,655 | ||||||
Capital Auto Receivables | ||||||||
Asset Trust | ||||||||
Series 2007-3 A3A | ||||||||
5.02% 9/15/11 | 441,908 | 450,227 | ||||||
Series 2008-1 A3A | ||||||||
3.86% 8/15/12 | 630,000 | 644,683 | ||||||
Capital One Multi-Asset | ||||||||
Execution Trust | ||||||||
Series 2007-A7 A7 | ||||||||
5.75% 7/15/20 | 550,000 | 606,124 |
20
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Non-Agency Asset-Backed Securities (continued) | ||||||||
Caterpillar Financial | ||||||||
Asset Trust | ||||||||
Series 2007-A A3A | ||||||||
5.34% 6/25/12 | USD | 106,566 | $ | 108,806 | ||||
Series 2008-A A3 | ||||||||
4.94% 4/25/14 | 650,000 | 657,049 | ||||||
Centex Home Equity | ||||||||
Series 2002-A AF6 | ||||||||
5.54% 1/25/32 | 35,138 | 29,883 | ||||||
Chase Issuance Trust | ||||||||
Series 2005-A7 A7 | ||||||||
4.55% 3/15/13 | 405,000 | 422,903 | ||||||
Series 2005-A10 A10 | ||||||||
4.65% 12/17/12 | 410,000 | 426,181 | ||||||
Series 2008-A9 A9 | ||||||||
4.26% 5/15/13 | 270,000 | 282,565 | ||||||
Citicorp Residential | ||||||||
Mortgage Securities | ||||||||
Series 2006-3 A4 | ||||||||
5.703% 11/25/36 | 900,000 | 742,880 | ||||||
Series 2006-3 A5 | ||||||||
5.948% 11/25/36 | 900,000 | 535,929 | ||||||
CNH Equipment Trust | ||||||||
Series 2008-A A3 | ||||||||
4.12% 5/15/12 | 230,094 | 233,383 | ||||||
Series 2008-A A4A | ||||||||
4.93% 8/15/14 | 390,000 | 404,436 | ||||||
Series 2008-B A3A | ||||||||
4.78% 7/16/12 | 425,000 | 434,588 | ||||||
· | Countrywide Asset-Backed | |||||||
Certificates | ||||||||
Series 2006-11 1AF6 | ||||||||
6.15% 9/25/46 | 1,441,485 | 743,594 | ||||||
Series 2006-15 A6 | ||||||||
5.826% 10/25/46 | 525,000 | 307,856 | ||||||
@# | Countrywide Asset-Backed | |||||||
NIM Certificates | ||||||||
Series 2004-BC1 Note | ||||||||
144A 5.50% 4/25/35 | 26 | 0 | ||||||
Daimler Chrysler Auto Trust | ||||||||
Series 2008-B A3A | ||||||||
4.71% 9/10/12 | 550,000 | 567,717 | ||||||
Discover Card Master Trust | ||||||||
Series 2007-A1 A1 | ||||||||
5.65% 3/16/20 | 450,000 | 485,790 | ||||||
Series 2008-A4 A4 | ||||||||
5.65% 12/15/15 | 620,000 | 680,677 | ||||||
# | Dunkin Securitization | |||||||
Series 2006-1 A2 144A | ||||||||
5.779% 6/20/31 | 665,000 | 627,488 | ||||||
· | Ford Credit Floorplan | |||||||
Master Owner Trust | ||||||||
Series 2009-2 A | ||||||||
1.794% 9/15/14 | 385,000 | 385,000 | ||||||
General Electric Capital | ||||||||
Credit Card Master Note | ||||||||
Trust Series 2009-3 A | ||||||||
2.54% 9/15/14 | 590,000 | 590,000 | ||||||
·# | Golden Credit Card Trust | |||||||
Series 2008-3 A 144A | ||||||||
1.243% 7/15/17 | 550,000 | 535,520 | ||||||
# | Harley-Davidson Motorcycle | |||||||
Trust Series 2006-1 A2 | ||||||||
144A 5.04% 10/15/12 | 164,337 | 169,263 | ||||||
· | HSI Asset Securization Trust | |||||||
Series 2006-HE1 2A1 | ||||||||
0.296% 10/25/36 | 443,738 | 294,575 | ||||||
Hyundai Auto | ||||||||
Receivables Trust | ||||||||
Series 2007-A A3A | ||||||||
5.04% 1/17/12 | 111,359 | 113,869 | ||||||
Series 2008-A A3 | ||||||||
4.93% 12/17/12 | 430,000 | 447,802 | ||||||
John Deere Owner Trust | ||||||||
Series 2008-A A3 | ||||||||
4.18% 6/15/12 | 485,000 | 492,031 | ||||||
· | MBNA Credit Card | |||||||
Master Note Trust | ||||||||
Series 2005-A4 A4 | ||||||||
0.283% 11/15/12 | 375,000 | 373,522 | ||||||
Mid-State Trust | ||||||||
Series 2004-1 A | ||||||||
6.005% 8/15/37 | 38,844 | 34,932 | ||||||
Series 2005-1 A | ||||||||
5.745% 1/15/40 | 195,459 | 130,379 | ||||||
#Series 2006-1 A 144A | ||||||||
5.787% 10/15/40 | 124,366 | 112,142 | ||||||
# | Securitized Asset- | |||||||
Backed NIM Trust | ||||||||
Series 2005-FR4 | ||||||||
144A 6.00% 1/25/36 | 330,313 | 33 | ||||||
∏ | Structured Asset Securities | |||||||
Series 2001-SB1 A2 | ||||||||
3.375% 8/25/31 | 88,366 | 71,017 | ||||||
· | Vanderbilt Mortgage Finance | |||||||
Series 2001-A A4 | ||||||||
7.235% 6/7/28 | 104,982 | 109,058 | ||||||
World Omni Auto | ||||||||
Receivables Trust | ||||||||
Series 2008-A A3A | ||||||||
3.94% 10/15/12 | 400,000 | 410,968 | ||||||
Total Non-Agency Asset-Backed | ||||||||
Securities (cost $17,082,250) | 15,641,376 | |||||||
Non-Agency Collateralized Mortgage Obligations – 22.27% | ||||||||
· | ARM Trust | |||||||
Series 2004-5 3A1 | ||||||||
4.954% 4/25/35 | 5,249,788 | 4,708,284 | ||||||
Series 2005-10 3A11 | ||||||||
5.398% 1/25/36 | 571,351 | 482,291 | ||||||
Series 2005-10 3A31 | ||||||||
5.398% 1/25/36 | 1,145,000 | 766,920 | ||||||
Series 2006-2 1A4 | ||||||||
5.744% 5/25/36 | 1,440,000 | 913,306 |
(continues) 21
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
· | ARM Trust | |||||||
#Series 2007-3 2A1 144A | ||||||||
6.847% 11/25/37 | USD | 6,559,685 | $ | 3,867,724 | ||||
Bank of America | ||||||||
Alternative Loan Trust | ||||||||
Series 2003-2 B1 | ||||||||
5.75% 4/25/33 | 8,207,979 | 6,497,396 | ||||||
Series 2003-10 2A1 | ||||||||
6.00% 12/25/33 | 14,527 | 14,164 | ||||||
Series 2004-2 1A1 | ||||||||
6.00% 3/25/34 | 52,273 | 50,444 | ||||||
Series 2004-10 1CB1 | ||||||||
6.00% 11/25/34 | 186,956 | 150,500 | ||||||
Series 2004-11 1CB1 | ||||||||
6.00% 12/25/34 | 1,680 | 1,336 | ||||||
Series 2005-3 2A1 | ||||||||
5.50% 4/25/20 | 108,772 | 97,079 | ||||||
Series 2005-5 2CB1 | ||||||||
6.00% 6/25/35 | 272,075 | 180,930 | ||||||
Series 2005-6 7A1 | ||||||||
5.50% 7/25/20 | 360,434 | 330,699 | ||||||
Series 2005-9 5A1 | ||||||||
5.50% 10/25/20 | 312,722 | 286,923 | ||||||
Bank of America | ||||||||
Funding Securities | ||||||||
Series 2005-8 1A1 | ||||||||
5.50% 1/25/36 | 910,428 | 833,895 | ||||||
Series 2006-5 2A10 | ||||||||
5.75% 9/25/36 | 1,150,000 | 858,334 | ||||||
· | Bear Stearns ARM Trust | |||||||
Series 2007-4 22A1 | ||||||||
5.981% 6/25/47 | 2,746,026 | 1,810,806 | ||||||
Series 2007-5 3A1 | ||||||||
5.955% 8/25/47 | 2,670,415 | 1,761,501 | ||||||
Chase Mortgage Finance | ||||||||
Series 2003-S8 A2 | ||||||||
5.00% 9/25/18 | 257,501 | 259,673 | ||||||
·Series 2005-A1 3A1 | ||||||||
5.281% 12/25/35 | 671,924 | 485,652 | ||||||
· | Chaseflex Trust | |||||||
Series 2006-1 A4 | ||||||||
6.30% 6/25/36 | 420,000 | 213,585 | ||||||
Citicorp Mortgage Securities | ||||||||
Series 2004-1 1A1 | ||||||||
5.25% 1/25/34 | 493,689 | 477,297 | ||||||
Series 2004-8 1A1 | ||||||||
5.50% 10/25/34 | 295,008 | 293,763 | ||||||
Series 2006-4 3A1 | ||||||||
5.50% 8/25/21 | 467,306 | 447,446 | ||||||
Citigroup Mortgage | ||||||||
Loan Trust | ||||||||
Series 2004-NCM2 | ||||||||
1CB2 6.75% 8/25/34 | 182,868 | 182,868 | ||||||
·Series 2004-UST1 A6 | ||||||||
5.076% 8/25/34 | 240,468 | 237,521 | ||||||
·Series 2006-AR7 1A4A | ||||||||
5.746% 11/25/36 | 2,496,143 | 1,771,884 | ||||||
Countrywide Alternative | ||||||||
Loan Trust | ||||||||
Series 2003-21T1 A2 | ||||||||
5.25% 12/25/33 | 481,468 | 456,060 | ||||||
Series 2004-1T1 A2 | ||||||||
5.50% 2/25/34 | 357,133 | 318,116 | ||||||
Series 2004-14T2 A6 | ||||||||
5.50% 8/25/34 | 438,187 | 404,925 | ||||||
Series 2004-J1 1A1 | ||||||||
6.00% 2/25/34 | 12,817 | 12,496 | ||||||
Series 2004-J2 7A1 | ||||||||
6.00% 12/25/33 | 13,695 | 12,394 | ||||||
Series 2006-30T1 1A2 | ||||||||
6.25% 11/25/36 | 8,385,221 | 5,188,355 | ||||||
Series 2007-5CB 1A2 | ||||||||
6.00% 4/25/37 | 10,000,000 | 6,346,846 | ||||||
Series 2007-9T1 2A2 | ||||||||
6.00% 5/25/37 | 8,694,296 | 5,429,793 | ||||||
·Series 2007-AL1 A1 | ||||||||
0.496% 6/25/37 | 9,991,222 | 4,683,715 | ||||||
Series 2008-2R 3A1 | ||||||||
6.00% 8/25/37 | 5,303,587 | 3,632,957 | ||||||
w | Countrywide Home | |||||||
Loan Mortgage Pass | ||||||||
Through Trust | ||||||||
·Series 2003-21 A1 | ||||||||
4.101% 5/25/33 | 6,927 | 5,562 | ||||||
@·Series 2004-HYB4 M | ||||||||
3.931% 9/20/34 | 205,315 | 117,440 | ||||||
Series 2005-29 A1 | ||||||||
5.75% 12/25/35 | 1,514,505 | 1,219,177 | ||||||
Series 2006-1 A2 | ||||||||
6.00% 3/25/36 | 330,350 | 259,325 | ||||||
@Series 2006-17 A5 | ||||||||
6.00% 12/25/36 | 172,927 | 150,483 | ||||||
·Series 2006-HYB1 | ||||||||
3A1 5.207% 3/20/36 | 444,141 | 251,998 | ||||||
Series 2007-4 1A1 | ||||||||
6.00% 5/25/37 | 5,533,546 | 4,288,498 | ||||||
·Series 2007-HY1 1A1 | ||||||||
5.664% 4/25/37 | 1,631,772 | 1,031,728 | ||||||
Credit Suisse First Boston | ||||||||
Mortgage Securities | ||||||||
Series 2003-29 5A1 | ||||||||
7.00% 12/25/33 | 8,928 | 8,750 | ||||||
Series 2004-1 3A1 | ||||||||
7.00% 2/25/34 | 4,507 | 4,012 | ||||||
Credit Suisse Mortgage | ||||||||
Capital Certificates | ||||||||
#Series 2005-1R 2A5 | ||||||||
144A 5.75% 12/26/35 | 6,681,991 | 3,942,375 | ||||||
Series 2006-9 3A1 | ||||||||
6.00% 11/25/36 | 41,276 | 27,036 | ||||||
Series 2007-1 5A14 | ||||||||
6.00% 2/25/37 | 1,360,973 | 1,015,994 |
22
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
Credit Suisse Mortgage | ||||||||
Capital Certificates | ||||||||
·Series 2007-3 4A6 | ||||||||
0.496% 4/25/37 | USD | 4,231,755 | $ | 3,385,303 | ||||
·Series 2007-3 4A12 | ||||||||
6.504% 4/25/37 | 4,465,689 | 333,332 | ||||||
Series 2007-3 4A15 | ||||||||
5.50% 4/25/37 | 1,215,299 | 894,563 | ||||||
Series 2007-5 1A11 | ||||||||
7.00% 8/25/37 | 6,565,516 | 3,479,723 | ||||||
Series 2007-5 3A19 | ||||||||
6.00% 8/25/37 | 1,762,217 | 1,453,829 | ||||||
Series 2007-5 10A2 | ||||||||
6.00% 4/25/29 | 815,863 | 673,087 | ||||||
·# | Deutsche Mortgage | |||||||
Securities Series | ||||||||
2005- WF1 1A3 144A | ||||||||
5.139% 6/26/35 | 1,720,000 | 1,130,833 | ||||||
· | First Horizon Asset Securities | |||||||
Series 2004-AR5 4A1 | ||||||||
5.705% 10/25/34 | 53,079 | 46,243 | ||||||
Series 2005-AR2 2A1 | ||||||||
5.12% 6/25/35 | 548,268 | 479,965 | ||||||
Series 2007-AR1 1A1 | ||||||||
5.831% 5/25/37 | 1,554,044 | 1,035,860 | ||||||
Series 2007-AR3 2A2 | ||||||||
6.298% 11/25/37 | 1,243,606 | 814,225 | ||||||
GMAC Mortgage Loan Trust | ||||||||
·Series 2005-AR2 4A | ||||||||
5.166% 5/25/35 | 464,302 | 368,811 | ||||||
Series 2006-J1 A1 | ||||||||
5.75% 4/25/36 | 1,214,784 | 1,040,180 | ||||||
# | GSMPS Mortgage | |||||||
Loan Trust 144A | ||||||||
·Series 1998-3 A | ||||||||
7.75% 9/19/27 | 21,195 | 20,472 | ||||||
·Series 1999-3 A | ||||||||
8.00% 8/19/29 | 31,875 | 32,442 | ||||||
Series 2005-RP1 1A3 | ||||||||
8.00% 1/25/35 | 299,035 | 253,289 | ||||||
Series 2005-RP1 1A4 | ||||||||
8.50% 1/25/35 | 131,173 | 114,165 | ||||||
Series 2006-RP1 1A2 | ||||||||
7.50% 1/25/36 | 332,879 | 258,828 | ||||||
· | GSR Mortgage Loan Trust | |||||||
Series 2006-AR1 3A1 | ||||||||
5.349% 1/25/36 | 301,360 | 225,591 | ||||||
Series 2007-AR1 2A1 | ||||||||
5.968% 3/25/47 | 3,069,576 | 1,840,891 | ||||||
Series 2007-AR2 1A1 | ||||||||
5.767% 5/25/47 | 981,568 | 682,941 | ||||||
Series 2007-AR2 2A1 | ||||||||
5.472% 5/25/47 | 913,095 | 636,356 | ||||||
· | Indymac Index Mortgage | |||||||
Loan Trust | ||||||||
Series 2006-AR1 A1 | ||||||||
5.865% 8/25/36 | 897,295 | 846,017 | ||||||
Series 2006-AR3 1A1 | ||||||||
5.216% 12/25/36 | 1,931,472 | 1,185,494 | ||||||
Series 2007-AR1 1A2 | ||||||||
5.646% 3/25/37 | 1,967,558 | 1,478,825 | ||||||
· | JPMorgan Mortgage Trust | |||||||
Series 2005-A1 4A1 | ||||||||
4.772% 2/25/35 | 102,004 | 96,350 | ||||||
Series 2005-A4 1A1 | ||||||||
5.386% 7/25/35 | 287,395 | 251,965 | ||||||
Series 2005-A6 1A2 | ||||||||
5.145% 9/25/35 | 720,000 | 498,600 | ||||||
Series 2006-A2 2A4 | ||||||||
5.752% 4/25/36 | 2,025,000 | 1,243,751 | ||||||
Series 2006-A6 2A4L | ||||||||
5.542% 10/25/36 | 1,590,000 | 829,269 | ||||||
Series 2006-A7 2A2 | ||||||||
5.774% 1/25/37 | 829,679 | 583,699 | ||||||
Series 2007-A1 6A1 | ||||||||
4.777% 7/25/35 | 2,102,478 | 1,895,999 | ||||||
Lehman Mortgage Trust | ||||||||
Series 2005-2 2A3 | ||||||||
5.50% 12/25/35 | 226,869 | 210,475 | ||||||
Series 2006-1 3A3 | ||||||||
5.50% 2/25/36 | 23,989 | 18,708 | ||||||
Series 2007-10 2A2 | ||||||||
6.50% 1/25/38 | 6,783,369 | 4,863,208 | ||||||
MASTR Alternative | ||||||||
Loans Trust | ||||||||
Series 2003-6 3A1 | ||||||||
8.00% 9/25/33 | 10,100 | 9,952 | ||||||
Series 2003-9 1A1 | ||||||||
5.50% 12/25/18 | 11,472 | 11,329 | ||||||
Series 2004-3 8A1 | ||||||||
7.00% 4/25/34 | 8,839 | 7,425 | ||||||
Series 2004-5 6A1 | ||||||||
7.00% 6/25/34 | 119,156 | 100,091 | ||||||
· | MASTR ARM Trust | |||||||
Series 2003-6 1A2 | ||||||||
5.685% 12/25/33 | 5,045 | 4,485 | ||||||
Series 2005-6 7A1 | ||||||||
5.326% 6/25/35 | 192,119 | 148,212 | ||||||
Series 2006-2 4A1 | ||||||||
4.988% 2/25/36 | 62,943 | 56,867 | ||||||
MASTR Asset | ||||||||
Securitization Trust | ||||||||
Series 2003-9 2A7 | ||||||||
5.50% 10/25/33 | 387,708 | 384,195 | ||||||
Series 2004-4 2A1 | ||||||||
5.00% 4/25/34 | 458,491 | 454,598 |
(continues) 23
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
# | MASTR Reperforming | |||||||
Loan Trust 144A | ||||||||
Series 2005-1 1A5 | ||||||||
8.00% 8/25/34 | USD | 127,070 | $ | 106,571 | ||||
Series 2005-2 1A4 | ||||||||
8.00% 5/25/35 | 402,567 | 360,891 | ||||||
·# | MASTR Specialized | |||||||
Loan Trust | ||||||||
Series 2005-2 A2 | ||||||||
144A 5.006% 7/25/35 | 188,341 | 135,605 | ||||||
· | Merrill Lynch Mortgage | |||||||
Investors | ||||||||
Series 2005-A5 A2 | ||||||||
4.566% 6/25/35 | 460,000 | 316,486 | ||||||
Series 2005-A9 2A1C | ||||||||
5.149% 12/25/35 | 2,435,000 | 1,357,779 | ||||||
· | Morgan Stanley Mortgage | |||||||
Loan Trust | ||||||||
Series 2007-15AR 4A1 | ||||||||
6.534% 11/25/37 | 6,901,716 | 4,237,396 | ||||||
· | Opteum Mortgage | |||||||
Acceptance | ||||||||
Series 2006-1 2A1 | ||||||||
5.75% 4/25/36 | 6,026,191 | 4,488,071 | ||||||
Prime Mortgage Trust | ||||||||
Series 2004-CL1 1A1 | ||||||||
6.00% 2/25/34 | 26,589 | 25,924 | ||||||
Residential Accredit Loans | ||||||||
Series 2004-QS2 CB | ||||||||
5.75% 2/25/34 | 100,595 | 86,009 | ||||||
Series 2006-QS18 3A1 | ||||||||
5.75% 12/25/21 | 1,567,873 | 1,289,845 | ||||||
Residential Asset | ||||||||
Mortgage Products | ||||||||
Series 2004-SL1 A3 | ||||||||
7.00% 11/25/31 | 2,178 | 2,180 | ||||||
Series 2004-SL4 A3 | ||||||||
6.50% 7/25/32 | 54,277 | 53,123 | ||||||
Residential Asset | ||||||||
Securitization Trust | ||||||||
Series 2006-A2 A11 | ||||||||
6.00% 1/25/46 | 8,000,000 | 3,760,000 | ||||||
Residential Funding | ||||||||
Mortgage Securities I | ||||||||
Series 2004-S9 2A1 | ||||||||
4.75% 12/25/19 | 1,625,994 | 1,470,843 | ||||||
·Series 2007-SA1 2A2 | ||||||||
5.587% 2/25/37 | 1,652,310 | 1,055,234 | ||||||
· | Sequoia Mortgage Trust | |||||||
Series 2007-1 4A1 | ||||||||
5.77% 9/20/46 | 2,655,360 | 2,134,388 | ||||||
· | Structured ARM Loan Trust | |||||||
Series 2004-18 5A | ||||||||
5.50% 12/25/34 | 151,150 | 111,759 | ||||||
Series 2005-21 6A3 | ||||||||
5.40% 11/25/35 | 1,065,000 | 579,824 | ||||||
· | Structured ARM Loan Trust | |||||||
Series 2005-22 1A4 | ||||||||
5.25% 12/25/35 | 2,120,000 | 828,252 | ||||||
Series 2006-1 7A4 | ||||||||
5.62% 2/25/36 | 1,305,000 | 657,993 | ||||||
Series 2006-5 5A4 | ||||||||
5.494% 6/25/36 | 19,403 | 4,641 | ||||||
Structured Asset Securities | ||||||||
·Series 2002-22H 1A | ||||||||
6.942% 11/25/32 | 11,199 | 10,613 | ||||||
Series 2004-12H 1A | ||||||||
6.00% 5/25/34 | 95,175 | 88,877 | ||||||
Series 2005-6 4A1 | ||||||||
5.00% 5/25/35 | 412,312 | 396,979 | ||||||
w | Washington Mutual | |||||||
Alternative Mortgage | ||||||||
Pass Through | ||||||||
Certificates | ||||||||
Series 2005-1 5A2 | ||||||||
6.00% 3/25/35 | 97,929 | 64,143 | ||||||
Series 2005-9 3CB | ||||||||
5.50% 10/25/20 | 385,458 | 291,984 | ||||||
w | Washington Mutual | |||||||
Mortgage Pass | ||||||||
Through Certificates | ||||||||
Series 2004-CB3 1A | ||||||||
6.00% 10/25/34 | 173,326 | 165,526 | ||||||
Series 2004-CB3 4A | ||||||||
6.00% 10/25/19 | 74,942 | 68,572 | ||||||
·Series 2005-AR16 1A3 | ||||||||
5.088% 12/25/35 | 1,225,000 | 856,565 | ||||||
·Series 2005-AR18 | ||||||||
1A3A 5.232% 1/25/36 | 2,200,000 | 1,382,152 | ||||||
·Series 2006-AR16 1A1 | ||||||||
5.565% 12/25/36 | 1,528,446 | 1,077,627 | ||||||
·Series 2006-AR18 2A2 | ||||||||
5.472% 1/25/37 | 1,670,000 | 1,028,433 | ||||||
·Series 2007-HY1 1A1 | ||||||||
5.678% 2/25/37 | 1,106,773 | 706,350 | ||||||
·Series 2007-HY1 3A3 | ||||||||
5.868% 2/25/37 | 850,000 | 516,591 | ||||||
·Series 2007-HY2 1A1 | ||||||||
5.564% 12/25/36 | 3,499,450 | 2,249,533 | ||||||
·Series 2007-HY3 4A1 | ||||||||
5.32% 3/25/37 | 3,329,283 | 2,614,678 | ||||||
·Series 2007-HY4 1A1 | ||||||||
5.456% 4/25/37 | 2,684,351 | 1,634,240 | ||||||
·Series 2007-HY7 4A1 | ||||||||
5.837% 7/25/37 | 2,567,113 | 1,707,602 | ||||||
Wells Fargo Mortgage- | ||||||||
Backed Securities Trust | ||||||||
·Series 2004-E A2 | ||||||||
4.50% 5/25/34 | 10,626 | 10,216 | ||||||
·Series 2004-O A1 | ||||||||
4.868% 8/25/34 | 1,521,645 | 1,470,795 |
24
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
Wells Fargo Mortgage- | ||||||||
Backed Securities Trust | ||||||||
·Series 2004-T A1 | ||||||||
3.511% 9/25/34 | USD | 72,562 | $ | 70,115 | ||||
Series 2005-12 1A7 | ||||||||
5.50% 11/25/35 | 536,891 | 454,176 | ||||||
Series 2005-18 1A1 | ||||||||
5.50% 1/25/36 | 76,566 | 70,130 | ||||||
·Series 2005-AR13 A1 | ||||||||
5.311% 5/25/35 | 1,689,000 | 1,279,422 | ||||||
·Series 2005-AR16 4A2 | ||||||||
5.009% 10/25/35 | 2,140,000 | 1,534,607 | ||||||
·Series 2005-AR16 6A4 | ||||||||
5.00% 10/25/35 | 951,898 | 392,221 | ||||||
Series 2006-1 A3 | ||||||||
5.00% 3/25/21 | 441,904 | 405,861 | ||||||
Series 2006-2 3A1 | ||||||||
5.75% 3/25/36 | 404,057 | 353,550 | ||||||
Series 2006-3 A1 | ||||||||
5.50% 3/25/36 | 739,460 | 618,676 | ||||||
Series 2006-3 A11 | ||||||||
5.50% 3/25/36 | 1,178,000 | 893,098 | ||||||
Series 2006-4 1A8 | ||||||||
5.75% 4/25/36 | 30,540 | 27,890 | ||||||
Series 2006-4 2A3 | ||||||||
5.75% 4/25/36 | 168,709 | 59,892 | ||||||
Series 2006-6 1A3 | ||||||||
5.75% 5/25/36 | 901,391 | 859,844 | ||||||
·Series 2006-AR5 2A1 | ||||||||
5.536% 4/25/36 | 220,233 | 173,236 | ||||||
·Series 2006-AR10 5A1 | ||||||||
5.592% 7/25/36 | 75,208 | 56,430 | ||||||
·Series 2006-AR10 5A6 | ||||||||
5.592% 7/25/36 | 2,059,707 | 1,539,016 | ||||||
·Series 2006-AR11 A6 | ||||||||
5.512% 8/25/36 | 2,330,000 | 1,591,609 | ||||||
·Series 2006-AR17 A1 | ||||||||
5.332% 10/25/36 | 2,121,053 | 1,605,831 | ||||||
·Series 2006-AR19 A1 | ||||||||
5.626% 12/25/36 | 859,218 | 645,449 | ||||||
Series 2007-8 2A6 | ||||||||
6.00% 7/25/37 | 220,000 | 153,759 | ||||||
Series 2007-10 1A18 | ||||||||
6.00% 7/25/37 | 10,297,161 | 4,059,624 | ||||||
Series 2007-10 1A36 | ||||||||
6.00% 7/25/37 | 4,339,313 | 3,607,542 | ||||||
Series 2007-13 A7 | ||||||||
6.00% 9/25/37 | 524,041 | 448,055 | ||||||
Series 2007-13 A9 | ||||||||
6.00% 9/25/37 | 817,653 | 388,385 | ||||||
Total Non-Agency Collateralized | ||||||||
Mortgage Obligations | ||||||||
(cost $201,456,962) | 161,863,407 | |||||||
Regional Agencies – 0.16%D | ||||||||
Australia – 0.16% | ||||||||
New South Wales Treasury | ||||||||
6.00% 5/1/12 | AUD | 1,052,000 | 946,558 | |||||
Queensland Treasury | ||||||||
6.00% 8/14/13 | AUD | 220,000 | 197,977 | |||||
Total Regional Agencies | ||||||||
(cost $1,059,490) | 1,144,535 | |||||||
Regional Authorities – 0.16%D | ||||||||
Canada – 0.16% | ||||||||
Province of Ontario Canada | ||||||||
4.00% 10/7/19 | USD | 605,000 | 605,792 | |||||
4.40% 6/2/19 | CAD | 542,000 | 525,696 | |||||
Total Regional Authorities | ||||||||
(cost $1,120,920) | 1,131,488 | |||||||
« Senior Secured Loans – 1.32% | ||||||||
Allied Barton | ||||||||
6.75% 6/22/10 | USD | 298,318 | 301,674 | |||||
Anchor Glass | ||||||||
6.75% 6/20/14 | 360,672 | 359,170 | ||||||
Aramark | ||||||||
2.025% 1/26/14 | 8,662 | 8,100 | ||||||
Term Tranche Loan B | ||||||||
2.473% 1/26/14 | 132,008 | 123,457 | ||||||
Bausch & Lomb | ||||||||
Term Tranche Loan B | ||||||||
3.848% 4/11/15 | 194,867 | 186,463 | ||||||
Term Tranche Loan DD | ||||||||
3.679% 4/11/15 | 47,322 | 45,281 | ||||||
BE Aerospace | ||||||||
5.75% 7/28/14 | 311,632 | 313,191 | ||||||
Biomet Term Tranche Loan B | ||||||||
3.283% 3/25/15 | 84,180 | 81,307 | ||||||
Calpine 1st Lien | ||||||||
3.475% 3/29/14 | 252,543 | 231,951 | ||||||
Charter Communications | ||||||||
6.25% 3/6/14 | 344,709 | 325,857 | ||||||
Chester Downs & Marina | ||||||||
12.375% 12/31/16 | 215,000 | 213,925 | ||||||
Dana Holding Term | ||||||||
Tranche Loan B | ||||||||
9.00% 1/30/15 | 500,000 | 448,613 | ||||||
Energy Futures Holdings | ||||||||
Term Tranche Loan B2 | ||||||||
3.754% 10/10/14 | 967,153 | 772,624 | ||||||
Flextronics International | ||||||||
Term Tranche Loan B | ||||||||
2.847% 10/1/12 | 203,962 | 190,131 | ||||||
Ford Motor | ||||||||
3.493% 12/15/13 | 2,449,386 | 2,183,014 | ||||||
Freescale Semiconductor | ||||||||
2.011% 12/1/13 | 69,639 | 55,973 |
(continues) 25
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
«Senior Secured Loans (continued) | ||||||||
Georgia Pacific | ||||||||
Term Tranche Loan B1 | ||||||||
2.32% 12/20/12 | USD | 153,884 | $ | 148,499 | ||||
Term Tranche Loan C | ||||||||
3.597% 12/23/14 | 84,970 | 84,837 | ||||||
Graham Packaging | ||||||||
Term Tranche Loan B | ||||||||
2.563% 10/7/11 | 22,476 | 22,023 | ||||||
Term Tranche Loan C | ||||||||
6.75% 4/5/14 | 224,932 | 225,735 | ||||||
Graphic Packaging | ||||||||
International Term | ||||||||
Tranche Loan C | ||||||||
3.265% 5/16/14 | 301,590 | 294,343 | ||||||
HCA Term Tranche Loan B1 | ||||||||
2.848% 11/18/13 | 320,928 | 303,764 | ||||||
HealthSouth Term | ||||||||
Tranche Loan B | ||||||||
2.50% 3/10/13 | 303,052 | 292,303 | ||||||
Huntsman Term | ||||||||
Tranche Loan C | ||||||||
2.496% 6/23/16 | 65,000 | 60,531 | ||||||
Intelsat | ||||||||
Term Tranche Loan A3 | ||||||||
2.753% 9/30/10 | 86,207 | 84,052 | ||||||
Term Tranche Loan BA | ||||||||
2.753% 1/3/14 | 58,753 | 56,109 | ||||||
Term Tranche Loan BB | ||||||||
2.753% 1/3/14 | 58,735 | 56,092 | ||||||
Term Tranche Loan BC | ||||||||
2.753% 1/3/14 | 58,735 | 56,092 | ||||||
Level 3 Communication | ||||||||
Term Tranche Loan A | ||||||||
2.683% 3/13/14 | 45,000 | 40,018 | ||||||
Term Tranche Loan B | ||||||||
11.50% 3/13/14 | 80,000 | 85,013 | ||||||
Levi Strauss Term | ||||||||
Tranche Loan B | ||||||||
2.496% 3/27/14 | 100,000 | 92,375 | ||||||
MacDermid Term | ||||||||
Tranche Loan B | ||||||||
2.261% 4/12/14 | 130,606 | 111,015 | ||||||
Nuveen Investment | ||||||||
2nd Lien 12.50% 7/9/15 | 75,000 | 75,250 | ||||||
Term Tranche Loan B | ||||||||
3.496% 11/13/14 | 123,046 | 106,558 | ||||||
Sungard 6.75% 2/28/14 | 321,291 | 324,504 | ||||||
SUPERVALU | ||||||||
1.511% 6/2/12 | 148,841 | 142,835 | ||||||
Talecris Biotherapeutics | ||||||||
2nd Lien | ||||||||
6.96% 12/6/14 | 430,000 | 423,372 | ||||||
Toys R US Term | ||||||||
Tranche Loan B | ||||||||
4.565% 7/19/12 | 60,000 | 57,825 | ||||||
Univision Communications | ||||||||
2.511% 9/29/14 | 735,000 | 624,000 | ||||||
Total Senior Secured Loans | ||||||||
(cost $8,146,738) | $ | 9,607,876 | ||||||
Sovereign Agency – 0.07%D | ||||||||
Brazil – 0.07% | ||||||||
# | Banco Nacional de | |||||||
Desenvolvimento | ||||||||
Economico e Social | ||||||||
144A 6.50% 6/10/19 | 505,000 | 539,088 | ||||||
Total Sovereign Agency | ||||||||
(cost $503,313) | 539,088 | |||||||
Sovereign Debt – 1.34%D | ||||||||
Brazil – 0.34% | ||||||||
Federal Republic of Brazil | ||||||||
8.50% 9/24/12 | EUR | 138,000 | 231,099 | |||||
12.50% 1/5/16 | BRL | 2,313,000 | 1,440,770 | |||||
12.50% 1/5/22 | BRL | 1,220,000 | 760,972 | |||||
2,432,841 | ||||||||
Colombia – 0.18% | ||||||||
Republic of Colombia | ||||||||
7.375% 3/18/19 | USD | 1,143,000 | 1,312,736 | |||||
1,312,736 | ||||||||
Indonesia – 0.18% | ||||||||
Indonesia Treasury Bond | ||||||||
10.75% 5/15/16 | IDR | 11,661,000,000 | 1,298,265 | |||||
1,298,265 | ||||||||
Mexico – 0.32% | ||||||||
Mexican Government | ||||||||
7.25% 12/15/16 | MXN | 2,703,000 | 195,240 | |||||
10.00% 11/20/36 | MXN | 23,997,600 | 2,021,047 | |||||
United Mexican States | ||||||||
5.95% 3/19/19 | USD | 76,000 | 80,180 | |||||
2,296,467 | ||||||||
Republic of Korea – 0.04% | ||||||||
Government of | ||||||||
South Korea | ||||||||
4.25% 12/7/21 | EUR | 220,000 | 296,554 | |||||
296,554 | ||||||||
Russia – 0.04% | ||||||||
Russia Government | ||||||||
7.50% 3/31/30 | USD | 291,840 | 319,740 | |||||
319,740 | ||||||||
Turkey – 0.24% | ||||||||
Republic of Turkey | ||||||||
*7.375% 2/5/25 | 634,000 | 691,884 | ||||||
7.50% 7/14/17 | 228,000 | 252,510 | ||||||
7.50% 11/7/19 | 738,000 | 817,335 | ||||||
1,761,729 | ||||||||
Total Sovereign Debt | ||||||||
(cost $8,948,137) | 9,718,332 |
26
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Supranational Banks – 1.17% | ||||||||
European Investment Bank | ||||||||
3.125% 6/4/14 | USD | 255,000 | $ | 261,234 | ||||
6.00% 8/14/13 | AUD | 208,000 | 185,630 | |||||
6.25% 4/15/14 | GBP | 370,000 | 674,307 | |||||
7.00% 1/18/12 | NZD | 1,836,000 | 1,391,316 | |||||
^7.41% 3/30/16 | TRY | 1,170,000 | 401,181 | |||||
11.25% 2/14/13 | BRL | 1,400,000 | 815,083 | |||||
# | European Investment Bank | |||||||
144A 4.00% 5/15/14 | NOK | 1,010,000 | 176,277 | |||||
Inter-American Development | ||||||||
Bank 7.25% 5/24/12 | NZD | 1,394,000 | 1,067,530 | |||||
International Bank for | ||||||||
Reconstruction & | ||||||||
Development | ||||||||
5.375% 12/15/14 | NZD | 1,394,000 | 997,164 | |||||
8.75% 6/15/12 | BRL | 1,035,000 | 575,053 | |||||
10.00% 4/5/12 | RUB | 25,900,000 | 864,012 | |||||
International Finance | ||||||||
5.75% 6/24/14 | AUD | 1,278,000 | 1,122,185 | |||||
Total Supranational Banks | ||||||||
(cost $7,904,560) | 8,530,972 | |||||||
U.S. Treasury Obligations – 0.42% | ||||||||
U.S. Treasury Bonds | ||||||||
4.25% 5/15/39 | USD | 1,065,000 | 1,102,109 | |||||
U.S. Treasury Notes | ||||||||
2.375% 9/30/14 | 955,000 | 957,763 | ||||||
¥*3.625% 8/15/19 | 960,000 | 985,650 | ||||||
Total U.S. Treasury Obligations | ||||||||
(cost $3,011,536) | 3,045,522 | |||||||
Number of | ||||||||
Shares | ||||||||
Common Stock – 0.06% | ||||||||
Blackstone Group | 7,000 | 99,399 | ||||||
† | Century Communications | 1,975,000 | 0 | |||||
† | Delta Air Lines | 5 | 45 | |||||
*† | DIRECTV Group | 2,700 | 74,466 | |||||
† | Flextronics International | 7,200 | 53,712 | |||||
† | GeoEye | 1,900 | 50,920 | |||||
† | Leap Wireless International | 2,150 | 42,033 | |||||
*† | MetroPCS Communications | 4,700 | 43,992 | |||||
† | Mirant | 121 | 1,988 | |||||
*† | Mobile Mini | 4,903 | 85,116 | |||||
∏=† | Port Townsend | 295 | 3 | |||||
† | Talecris Biotherapeutics Holdi | 950 | 18,050 | |||||
Total Common Stock | ||||||||
(cost $666,687) | 469,724 | |||||||
Convertible Preferred Stock – 0.25% | ||||||||
Crown Castle International | ||||||||
6.25% exercise price | ||||||||
$36.88, expiration | ||||||||
date 8/15/12 | 16,525 | 896,481 | ||||||
Freeport-McMoRan | ||||||||
Copper & Gold | ||||||||
6.75% exercise price | ||||||||
$72.91, expiration | ||||||||
date 5/1/10 | 2,400 | 246,000 | ||||||
Mylan 6.50% exercise price | ||||||||
$17.08, expiration | ||||||||
date 11/15/10 | 375 | 386,344 | ||||||
Whiting Petroleum 6.25% | ||||||||
exercise price $43.42, | ||||||||
expiration date | ||||||||
12/31/49 | 1,650 | 249,101 | ||||||
Total Convertible Preferred | ||||||||
Stock (cost $1,582,999) | 1,777,926 | |||||||
Preferred Stock – 0.13% | ||||||||
*·PNC Funding 8.25% | 1,010,000 | 962,876 | ||||||
=Port Townsend | 59 | 0 | ||||||
Total Preferred Stock | ||||||||
(cost $958,971) | 962,876 | |||||||
Warrant – 0.00% | ||||||||
=†Port Townsend | 59 | 1 | ||||||
Total Warrant | ||||||||
(cost $1,416) | 1 | |||||||
Principal | ||||||||
Amount° | ||||||||
¹Discount Notes – 2.98% | ||||||||
Fannie Mae 0.04% 10/14/09 | USD | 12,912,374 | 12,912,173 | |||||
Federal Home Loan Bank | ||||||||
0.001% 10/1/09 | 5,157,678 | 5,157,678 | ||||||
0.01% 10/9/09 | 1,071,929 | 1,071,926 | ||||||
0.03% 10/28/09 | 358,560 | 358,557 | ||||||
0.04% 10/30/09 | 2,143,859 | 2,143,833 | ||||||
Total Discount Notes | ||||||||
(cost $21,644,134) | 21,644,167 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 100.35% | ||||||||
(cost $737,615,868) | 729,303,421 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 4.26% | ||||||||
Investment Companies | ||||||||
Mellon GSL DBT II | ||||||||
Collateral Fund | 15,136,409 | 15,136,409 | ||||||
BNY Mellon SL DBT II | ||||||||
Liquidating Fund | 16,020,816 | 15,831,770 | ||||||
@†Mellon GSL | ||||||||
Reinvestment Trust II | 1,262,112 | 126 | ||||||
Total Securities Lending Collateral | ||||||||
(cost $32,419,337) | 30,968,305 |
(continues) 27
Statements of net assets
Optimum Fixed Income Fund
Total Value of Securities – 104.61% | |||||
(cost $770,035,205) | $ | 760,271,726 | © | ||
Obligation to Return Securities | |||||
Lending Collateral** – (4.46%) | (32,419,337 | ) | |||
Liabilities Net of Receivables | |||||
and Other Assets – (0.15%) | (1,098,134 | ) | |||
Net Assets Applicable to | |||||
79,697,675 Shares | |||||
Outstanding – 100.00% | $ | 726,754,255 | |||
Net Asset Value – Optimum Fixed Income Fund | |||||
Class A ($41,173,642 / 4,516,071 Shares) | $9.12 | ||||
Net Asset Value – Optimum Fixed Income Fund | |||||
Class B ($5,825,056 / 640,061 Shares) | $9.10 | ||||
Net Asset Value – Optimum Fixed Income Fund | |||||
Class C ($169,444,505 / 18,621,627 Shares) | $9.10 | ||||
Net Asset Value – Optimum Fixed Income Fund | |||||
Institutional Class ($510,311,052 / 55,919,916 Shares) | $9.13 | ||||
Components of Net Assets at September 30, 2009: | |||||
Shares of beneficial interest | |||||
(unlimited authorization – no par) | $ | 739,569,919 | |||
Undistributed net investment income | 24,412,735 | ||||
Accumulated net realized loss on investments | (27,138,722 | ) | |||
Net unrealized depreciation of investments and | |||||
foreign currencies | (10,089,677 | ) | |||
Total net assets | $ | 726,754,255 |
°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
ILS — Israeli Shekel
KRW — South Korean Won
MXN — Mexican Peso
NOK — Norwegian Kroner
NZD — New Zealand Dollar
PLN — Polish Zloty
RUB — Russian Ruble
SEK — Swedish Krona
TRY — Turkish Lira
USD — United States Dollar
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At September 30, 2009, the aggregate amount of fair valued securities was $7,067,070, which represented 0.97% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
· | Variable rate security. The rate shown is the rate as of September 30, 2009. |
w | 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. |
* | Fully or partially on loan. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2009, the aggregate amount of Rule 144A securities was $76,815,615, which represented 10.57% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
@ | Illiquid security. At September 30, 2009, the aggregate amount of illiquid securities was $4,469,143, which represented 0.61% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
W | Step coupon bond. Indicates security that has a zero coupon that remains in effect until a predetermined date at which time the stated interest rate becomes effective. |
‡ | Non-income producing security. Security is currently in default. |
D | Securities have been classified by country of origin. |
∏ | Restricted Security. These investments are in securities not registered under the Securities Act of 1933, as amended and have certain restrictions on resale which may limit their liquidity. At September 30, 2009, the aggregate amount of restricted securities was $71,020 or 0.01% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
« | 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. |
^ | Zero coupon security. The rate shown is the yield at the time of purchase. |
¥ | Fully or partially pledged as collateral for financial futures contracts. |
† | Non income producing security. |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
© | Includes $31,615,416 of securities loaned. |
28
Summary of Abbreviations: |
Net Asset Value and Offering Price Per Share – | |||
Optimum Fixed Income Fund | |||
Net asset value Class A (A) | $ | 9.12 | |
Sales charge (4.50% of offering price) (B) | 0.43 | ||
Offering price | $ | 9.55 |
(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, financial futures contracts, options contracts and swap contracts were outstanding at September 30, 2009.
Foreign Currency Exchange Contracts1
Unrealized | |||||||||||||||
Contracts to | Settlement | Appreciation | |||||||||||||
Receive (Deliver) | In Exchange For | Date | (Depreciation) | ||||||||||||
AUD | 1,231,201 | USD | (1,073,854 | ) | 10/30/09 | $ | 9,800 | ||||||||
BRL | 1,027,528 | USD | (565,010 | ) | 10/30/09 | 12,317 | |||||||||
BRL | 2,453,066 | USD | (1,346,359 | ) | 10/30/09 | 31,923 | |||||||||
CAD | 440,000 | USD | (404,598 | ) | 10/1/09 | 6,330 | |||||||||
CAD | 561,050 | USD | (522,921 | ) | 10/30/09 | 1,086 | |||||||||
CAD | 2,281,026 | USD | (2,129,074 | ) | 10/30/09 | 1,350 | |||||||||
COP | 4,190,024,000 | USD | (2,175,506 | ) | 10/30/09 | 367 | |||||||||
EUR | (740,457 | ) | USD | 1,094,381 | 10/30/09 | 10,960 | |||||||||
GBP | (271,129 | ) | USD | 428,880 | 10/30/09 | (4,311 | ) | ||||||||
IDR | 11,890,555,000 | USD | (1,227,729 | ) | 11/30/09 | (10,027 | ) | ||||||||
ILS | 3,330,495 | USD | (873,000 | ) | 11/20/09 | 11,192 | |||||||||
KRW | 4,357,005,100 | USD | (3,651,548 | ) | 10/30/09 | 50,398 | |||||||||
NOK | 8,903,280 | USD | (1,520,693 | ) | 10/30/09 | 19,291 | |||||||||
NOK | 14,083,187 | USD | (2,408,865 | ) | 10/30/09 | 27,079 | |||||||||
NZD | 318,969 | USD | (229,562 | ) | 10/30/09 | 300 | |||||||||
NZD | (2,810,358 | ) | USD | 2,024,863 | 10/30/09 | (391 | ) | ||||||||
PLN | 3,255,460 | USD | (1,153,396 | ) | 10/30/09 | (22,080 | ) | ||||||||
PLN | 1,317,708 | USD | (467,272 | ) | 10/30/09 | (9,351 | ) | ||||||||
SEK | 9,381,628 | USD | (1,375,928 | ) | 10/30/09 | (29,927 | ) | ||||||||
SEK | 13,026,851 | USD | (1,913,420 | ) | 10/30/09 | (44,431 | ) | ||||||||
TRY | 3,791,567 | USD | (2,533,116 | ) | 12/1/09 | (6,253 | ) | ||||||||
$ | 55,622 |
Financial Futures Contracts1
Notional | Notional | Expiration | Unrealized | |||||
Contracts to Sell | Proceeds | Value | Date | Depreciation | ||||
(94) U.S. Treasury | ||||||||
10 yr Notes | $(11,018,635) | $(11,122,844) | 12/21/09 | $(104,209) |
Options Contracts1
Number of Notional | Exercise | Expiration | Unrealized | |||||||
Description | Contracts | Value | Price | Date | Depreciation | |||||
Long Put Options | ||||||||||
U.S. Treasury | ||||||||||
10 yr Notes | 106 | $34,781 | $116.50 | 10/23/09 | $(42,261) |
Swap Contracts1
Credit Default Swap Contracts
Swap Counterparty | Annual | Unrealized | ||||||||||
& Referenced | Notional | Protection | Termination | Appreciation | ||||||||
Obligation | Value | Payments | Date | (Depreciation) | ||||||||
Protection Purchased: | ||||||||||||
Barclays | ||||||||||||
Macy’s | ||||||||||||
10 yr CDS | $ | 620,000 | 5.00% | 6/20/19 | $ | (41,099 | ) | |||||
JPMorgan Securities | ||||||||||||
Donnelley (R.R.) | ||||||||||||
& Sons | ||||||||||||
5 yr CDS | 2,000,000 | 5.00% | 6/20/14 | (330,813 | ) | |||||||
$ | 2,620,000 | $ | (371,912 | ) | ||||||||
Protection Sold: | ||||||||||||
Citigroup Global | ||||||||||||
Markets | ||||||||||||
MetLife | ||||||||||||
5 yr CDS | $ | 350,000 | 5.00% | 9/20/14 | $ | 11,182 | ||||||
$ | 350,000 | $ | 11,182 | |||||||||
Total | $ | (360,730 | ) |
The use of foreign currency exchange contracts, financial futures contracts, options contracts and swap contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional values 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.
1See Note 7 in ”Notes to financial statements.”
See accompanying notes
(continues) 29
Statements of net assets
Optimum International Fund
September 30, 2009 (Unaudited)
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock – 98.72%D | ||||||
Australia – 6.32% | ||||||
Amcor | 261,360 | $ | 1,263,677 | |||
Australia & New Zealand | ||||||
Banking Group | 21,000 | 451,905 | ||||
Commonwealth Bank of Australia | 9,100 | 415,497 | ||||
Foster’s Group | 398,269 | 1,950,230 | ||||
National Australia Bank | 65,646 | 1,781,603 | ||||
Oil Search | 72,600 | 413,155 | ||||
QBE Insurance Group | 20,872 | 443,074 | ||||
Santos | 26,300 | 352,708 | ||||
Telstra | 829,690 | 2,393,755 | ||||
Wesfarmers | 66,272 | 1,548,918 | ||||
11,014,522 | ||||||
Austria – 0.15% | ||||||
Erste Group Bank | 6,000 | 268,117 | ||||
268,117 | ||||||
Belgium – 0.88% | ||||||
Anheuser-Busch InBev | 12,600 | 575,305 | ||||
Fortis | 93,313 | 437,050 | ||||
† | Fortis Strip | 48,482 | 142 | |||
Umicore | 17,200 | 514,918 | ||||
1,527,415 | ||||||
Bermuda – 0.09% | ||||||
Catlin Group | 28,839 | 161,844 | ||||
161,844 | ||||||
Brazil – 0.58% | ||||||
BM&FBovespa | 31,200 | 230,537 | ||||
* | Cemig ADR | 23,050 | 350,360 | |||
† | Hypermarcas | 22,100 | 436,623 | |||
1,017,520 | ||||||
Canada – 5.00% | ||||||
Advantage Oil & Gas | 55,200 | 390,254 | ||||
Bank of Nova Scotia | 6,200 | 282,974 | ||||
Barrick Gold | 11,100 | 420,261 | ||||
Canadian Natural Resources | 10,400 | 702,237 | ||||
Canadian Oil Sands Trust | 26,000 | 746,673 | ||||
† | Eldorado Gold | 65,800 | 747,259 | |||
EnCana | 13,200 | 764,323 | ||||
Ensign Energy Services | 15,600 | 236,604 | ||||
Goldcorp | 14,300 | 574,003 | ||||
Kinross Gold | 27,000 | 588,289 | ||||
Progress Energy Resources | 38,400 | 495,623 | ||||
Royal Bank of Canada | 8,220 | 441,803 | ||||
Suncor Energy | 16,200 | 565,846 | ||||
Talisman Energy | 32,700 | 568,948 | ||||
Toronto-Dominion Bank | 7,200 | 465,655 | ||||
TransaCanada | 13,100 | 408,262 | ||||
Trican Well Service | 24,800 | 321,943 | ||||
8,720,957 | ||||||
oChina – 1.18% | ||||||
† | AirMedia Group ADR | 17,900 | 131,565 | |||
China Construction Bank Class H | 514,100 | 410,617 | ||||
China Life Insurance Class H | 55,300 | 240,823 | ||||
China Railway Construction Class H | 186,700 | 248,130 | ||||
*† | Focus Media Holding ADR | 21,400 | 236,256 | |||
Industrial & Commercial Bank of | ||||||
China Series H | 575,700 | 433,817 | ||||
† | Netease.com ADR | 6,400 | 292,352 | |||
Noah Education Holdings ADR | 12,200 | 61,000 | ||||
2,054,560 | ||||||
Denmark – 0.66% | ||||||
* | A.P. Moller - Maersk | 70 | 481,615 | |||
Novo Nordisk Class B | 3,800 | 237,918 | ||||
* | TrygVesta | 5,600 | 428,225 | |||
1,147,758 | ||||||
Finland – 0.69% | ||||||
* | Fortum | 16,800 | 430,672 | |||
UPM-Kymmene | 65,052 | 780,510 | ||||
1,211,182 | ||||||
France – 10.08% | ||||||
* | AXA | 20,000 | 541,384 | |||
* | BNP Paribas | 5,000 | 399,454 | |||
Cap Gemini | 8,900 | 466,140 | ||||
* | Carrefour | 53,320 | 2,418,552 | |||
* | Compagnie de Saint-Gobain | 50,429 | 2,615,773 | |||
Compagnie Generale des | ||||||
Etablissements Michelin Class B | 6,000 | 470,653 | ||||
* | Credit Agricole | 7,300 | 152,530 | |||
* | Eramet | 2,000 | 693,996 | |||
France Telecom | 80,065 | 2,132,736 | ||||
GDF Suez | 10,600 | 470,649 | ||||
† | GDF Suez | 8,820 | 13 | |||
Lafarge | 6,600 | 590,533 | ||||
PPR | 3,600 | 461,382 | ||||
Sanofi-Aventis | 6,100 | 447,615 | ||||
* | Societe Generale | 25,152 | 2,024,132 | |||
* | Total | 57,552 | 3,419,350 | |||
Unibail-Rodamco | 1,300 | 270,012 | ||||
17,574,904 | ||||||
Germany – 5.08% | ||||||
Allianz | 2,500 | 314,954 | ||||
* | Bayerische Motoren Werke | 13,500 | 650,078 | |||
Deutsche Bank | 3,900 | 302,272 | ||||
Deutsche Boerse | 2,800 | 229,758 | ||||
Deutsche Telekom | 138,042 | 1,889,551 | ||||
Gerry Weber International | 13,904 | 463,444 | ||||
* | MAN | 11,500 | 959,969 | |||
RWE | 32,395 | 3,018,455 | ||||
Salzgitter | 3,800 | 370,195 | ||||
SAP ADR | 9,000 | 439,830 | ||||
Software | 2,500 | 212,603 | ||||
8,851,109 | ||||||
Hong Kong – 3.72% | ||||||
China Mobile | 38,700 | 377,512 | ||||
China Resources Power Holdings | 176,000 | 409,228 | ||||
China Unicom Hong Kong | 157,100 | 222,575 | ||||
Hang Seng Bank | 16,400 | 236,372 | ||||
Hong Kong Electric Holdings | 172,000 | 943,226 | ||||
Hong Kong Exchanges & Clearing | 24,300 | 440,535 |
30
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock (continued) | ||||||
Hong Kong (continued) | ||||||
Huabao International Holdings | 416,800 | $ | 446,917 | |||
Jardine Matheson Holdings | 15,200 | 462,080 | ||||
New World Development | 219,000 | 471,345 | ||||
REXLot Holdings | 2,521,800 | 224,522 | ||||
Sun Hung Kai Properties | 31,700 | 467,115 | ||||
Wharf Holdings | 245,875 | 1,305,517 | ||||
Wheelock | 60,300 | 197,628 | ||||
Wing Hang Bank | 28,600 | 281,387 | ||||
6,485,959 | ||||||
India – 0.33% | ||||||
Sterlite Industries India ADR | 36,200 | 578,114 | ||||
578,114 | ||||||
Indonesia – 0.30% | ||||||
Bank Negara Indonesia Persero | 2,372,200 | 522,646 | ||||
522,646 | ||||||
Ireland – 0.23% | ||||||
Covidien | 9,500 | 410,970 | ||||
410,970 | ||||||
Israel – 0.39% | ||||||
Teva Pharmaceutical Industries ADR | 13,600 | 687,616 | ||||
687,616 | ||||||
Italy – 3.32% | ||||||
Assicurazioni Generali | 7,808 | 213,984 | ||||
Benetton Group | 28,600 | 289,585 | ||||
Enel | 67,500 | 428,398 | ||||
Fiat | 35,400 | 455,298 | ||||
Intesa Sanpaolo | 487,704 | 2,156,881 | ||||
Parmalat | 97,100 | 268,383 | ||||
UBI Banca | 17,300 | 265,537 | ||||
UniCredit | 437,234 | 1,708,161 | ||||
5,786,227 | ||||||
Japan – 16.79% | ||||||
* | Air Water | 33,900 | 390,449 | |||
* | Amada | 85,200 | 573,220 | |||
Astellas Pharma | 47,200 | 1,940,050 | ||||
Canon | 68,700 | 2,777,845 | ||||
* | Chiba Bank | 44,500 | 275,600 | |||
DA Office Investment | 40 | 131,440 | ||||
* | Fujitsu | 34,300 | 224,273 | |||
Hitachi High-Technologies | 10,800 | 225,805 | ||||
Honda Motor | 10,500 | 323,392 | ||||
* | Hosiden | 11,500 | 155,895 | |||
INPEX | 60 | 511,947 | ||||
* | ITOCHU | 111,400 | 738,324 | |||
Japan Prime Realty Investment | 100 | 243,052 | ||||
Kamigumi | 44,400 | 362,520 | ||||
Kao | 88,000 | 2,176,107 | ||||
* | KDDI | 273 | 1,538,713 | |||
Kenedix Realty Investment | 35 | 131,384 | ||||
KUREHA | 26,900 | 165,700 | ||||
* | Marubeni | 131,700 | 664,551 | |||
* | Matsui Securities | 27,400 | 223,412 | |||
Mitsubishi Estate | 6,100 | 95,942 | ||||
Mitsui Chemicals | 108,700 | 387,458 | ||||
Mitsui Fudosan | 5,800 | 98,136 | ||||
Mizuho Securities | 101,000 | 367,886 | ||||
Nikon | 15,700 | 287,156 | ||||
Nippon Express | 69,400 | 282,161 | ||||
* | Nippon Steel | 86,600 | 316,400 | |||
Nitto Denko | 23,100 | 707,602 | ||||
* | NSK | 109,000 | 676,280 | |||
* | Panasonic | 27,300 | 402,316 | |||
Seino Holdings | 37,100 | 321,099 | ||||
Sekisui House | 72,000 | 649,624 | ||||
Seven & I Holdings | 70,200 | 1,681,203 | ||||
Shimano | 10,100 | 436,514 | ||||
* | Sumitomo Mitsui Financial Group | 6,500 | 226,622 | |||
* | Takeda Pharmaceutical | 61,700 | 2,570,404 | |||
Tokio Marine Holdings | 53,600 | 1,552,325 | ||||
Toyo Seikan Kaisha | 5,900 | 113,498 | ||||
* | Toyo Suisan Kaisha | 12,600 | 341,053 | |||
Toyota Motor | 41,000 | 1,630,409 | ||||
* | West Japan Railway | 339 | 1,283,876 | |||
Yamato Kogyo | 12,800 | 360,724 | ||||
* | Zeon | 153,400 | 702,282 | |||
29,264,649 | ||||||
Luxembourg – 0.92% | ||||||
* | ArcelorMittal | 17,700 | 661,710 | |||
*† | Millicom International Cellular | 6,600 | 480,084 | |||
SES | 20,200 | 458,128 | ||||
1,599,922 | ||||||
Malaysia – 0.44% | ||||||
AMMB Holdings | 240,600 | 296,144 | ||||
CIMB Group Holdings | 144,700 | 464,077 | ||||
760,221 | ||||||
Mexico – 0.27% | ||||||
Fomento Economico Mexicano ADR | 12,200 | 464,210 | ||||
464,210 | ||||||
Netherlands – 3.10% | ||||||
Aegon | 91,000 | 772,410 | ||||
ASML Holding | 16,500 | 487,905 | ||||
Corio | 2,000 | 137,921 | ||||
* | Heineken | 11,900 | 548,568 | |||
ING Groep CVA | 64,456 | 1,150,607 | ||||
† | QIAGEN | 20,100 | 426,450 | |||
* | Randstad Holding | 11,700 | 505,280 | |||
Reed Elsevier | 113,826 | 1,284,102 | ||||
* | Wereldhave | 1,000 | 98,473 | |||
5,411,716 | ||||||
New Zealand – 0.62% | ||||||
Telecom Corp. of New Zealand | 564,495 | 1,084,349 | ||||
1,084,349 | ||||||
Norway – 0.21% | ||||||
Yara International ASA | 11,400 | 358,806 | ||||
358,806 |
(continues) 31
Statements of net assets
Optimum International Fund
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock (continued) | ||||||
Philippines – 0.21% | ||||||
Philippine Long Distance | ||||||
Telephone ADR | 7,000 | $ | 359,800 | |||
359,800 | ||||||
Republic of Korea – 2.21% | ||||||
GS Engineering & Construction | 7,100 | 556,413 | ||||
Hyundai Development | 12,000 | 436,549 | ||||
Korea Electric Power | 19,000 | 578,156 | ||||
Korea Zinc | 3,600 | 537,017 | ||||
Korean Air Lines | 13,400 | 546,706 | ||||
LG Electronics | 3,100 | 330,725 | ||||
Samsung Electronics | 1,260 | 872,843 | ||||
3,858,409 | ||||||
Russia – 0.97% | ||||||
Lukoil Oil ADR | 11,400 | 617,880 | ||||
* | Rosnfet Oil GDR | 90,600 | 700,338 | |||
Vimpel-Communications ADR | 19,700 | 368,390 | ||||
1,686,608 | ||||||
Singapore – 2.95% | ||||||
CapitaLand | 92,700 | 244,805 | ||||
DBS Group Holdings | 34,000 | 320,534 | ||||
Oversea-Chinese Banking | 207,649 | 1,157,168 | ||||
Singapore Telecommunications | 671,600 | 1,549,497 | ||||
United Overseas Bank | 111,000 | 1,322,245 | ||||
* | Wilmar International | 121,700 | 546,015 | |||
5,140,264 | ||||||
South Africa – 0.76% | ||||||
Naspers | 17,700 | 604,854 | ||||
Sasol | 19,298 | 725,570 | ||||
1,330,424 | ||||||
Spain – 5.11% | ||||||
* | Banco Bilbao Vizcaya Argentaria | 22,302 | 395,831 | |||
* | Banco Santander | 125,328 | 2,017,179 | |||
Iberdrola | 282,599 | 2,772,510 | ||||
Inditex | 7,100 | 407,342 | ||||
Telefonica | 120,074 | 3,312,677 | ||||
8,905,539 | ||||||
Sweden – 0.25% | ||||||
* | Nordea Bank | 42,700 | 429,971 | |||
429,971 | ||||||
Switzerland – 5.68% | ||||||
Alcon | 3,700 | 513,079 | ||||
Credit Suisse Group | 8,800 | 488,252 | ||||
GAM Holding | 8,800 | 439,427 | ||||
Nestle | 25,100 | 1,069,538 | ||||
Novartis | 74,710 | 3,737,842 | ||||
Roche Holding | 5,800 | 937,425 | ||||
* | Sonova Holding | 4,900 | 494,090 | |||
Swiss Reinsurance | 7,700 | 347,572 | ||||
UBS | 33,800 | 618,696 | ||||
Xstrata | 32,900 | 485,245 | ||||
Zurich Financial Services | 3,222 | 766,366 | ||||
9,897,532 | ||||||
Taiwan – 2.93% | ||||||
Asustek Computer | 293,587 | 506,516 | ||||
* | AU Optronics ADR | 44,023 | 426,143 | |||
China Airlines | 1,195,566 | 401,698 | ||||
Chunghwa Telecom ADR | 63,741 | 1,149,893 | ||||
Mega Financial Holding | 524,700 | 333,729 | ||||
† | Polaris Securities | 484,900 | 287,197 | |||
Siliconware Precision Industries ADR | 58,701 | 421,466 | ||||
Taiwan Semiconductor | ||||||
Manufacturing | 648,270 | 1,306,873 | ||||
Taiwan Semiconductor | ||||||
Manufacturing ADR | 1 | 11 | ||||
Yuanta Financial Holding | 362,400 | 269,577 | ||||
5,103,103 | ||||||
Thailand – 0.13% | ||||||
Bangkok Bank | 60,500 | 219,111 | ||||
219,111 | ||||||
United Kingdom – 15.62% | ||||||
* | Aberdeen Asset Management | 48,000 | 115,129 | |||
Anglo American | 15,800 | 503,059 | ||||
* | ARM Holdings | 196,200 | 449,898 | |||
Aviva | 143,485 | 1,026,953 | ||||
* | Barclays | 103,900 | 614,300 | |||
BG Group | 120,126 | 2,084,635 | ||||
BP | 280,076 | 2,474,937 | ||||
* | British Airways | 167,600 | 590,803 | |||
Britvic | 88,700 | 499,060 | ||||
Compass Group | 179,418 | 1,095,198 | ||||
† | Dana Petroleum | 11,200 | 251,453 | |||
* | Domino’s Pizza | 90,000 | 419,078 | |||
GlaxoSmithKline | 185,076 | 3,637,630 | ||||
Hays | 171,200 | 285,333 | ||||
HSBC Holdings | 85,507 | 978,040 | ||||
ICAP | 27,800 | 187,820 | ||||
Imperial Tobacco Group | 22,700 | 655,824 | ||||
Inchcape | 934,600 | 419,807 | ||||
* | Intercontinental Hotels Group | 24,200 | 314,004 | |||
Legal & General Group | 245,600 | 344,773 | ||||
Next | 15,800 | 452,690 | ||||
Persimmon | 32,000 | 233,335 | ||||
Prudential | 43,200 | 415,569 | ||||
* | Rightmove | 40,500 | 359,179 | |||
Royal Dutch Shell Class A | 81,176 | 2,322,085 | ||||
Standard Chartered | 13,300 | 327,930 | ||||
Tesco | 69,400 | 443,147 | ||||
Unilever | 119,298 | 3,389,442 | ||||
Vodafone Group | 706,447 | 1,582,672 | ||||
Vodafone Group ADR | 14,000 | 315,000 | ||||
WPP Group | 51,900 | 445,353 | ||||
27,234,136 | ||||||
United States – 0.55% | ||||||
† | NII Holdings | 16,400 | 491,672 | |||
Virgin Media | 33,800 | 470,496 | ||||
962,168 | ||||||
Total Common Stock | ||||||
(cost $158,468,156) | 172,092,358 |
32
Number of | Value | |||||||
Shares | (U.S. $) | |||||||
Preferred Stock – 0.35% | ||||||||
Brazil – 0.35% | ||||||||
Banco Bradesco | 17,100 | $ | 341,219 | |||||
Itau Unibanco Holding | 13,310 | 268,972 | ||||||
Total Preferred Stock | ||||||||
(cost $289,760) | 610,191 | |||||||
Rights – 0.01% | ||||||||
† | BNP Paribas | 5,000 | 10,828 | |||||
= | Fortis | 181,195 | 0 | |||||
Total Rights (cost $0) | 10,828 | |||||||
Warrant – 0.00% | ||||||||
† | Unione di Banche Italiano | 20,000 | 2,384 | |||||
Total Warrant (cost $0) | 2,384 | |||||||
Principal | ||||||||
Amount (U.S. $) | ||||||||
¹Discount Notes – 0.30% | ||||||||
Fannie Mae 0.04% 10/1/09 | $302,980 | 302,975 | ||||||
Federal Home Loan Bank | ||||||||
0.001% 10/1/09 | 121,021 | 121,021 | ||||||
0.01% 10/9/09 | 30,589 | 30,589 | ||||||
0.03% 10/28/09 | 10,232 | 10,232 | ||||||
0.04% 10/30/09 | 61,177 | 61,176 | ||||||
Total Discount Notes | ||||||||
(cost $525,992) | 525,993 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 99.38% | ||||||||
(cost $159,283,908) | 173,241,754 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 13.68% | ||||||||
Investment Companies | ||||||||
Mellon GSL DBT II Collateral Fund | 16,152,272 | 16,152,272 | ||||||
BNY Mellon SL DB II | ||||||||
Liquidating Fund | 7,798,527 | 7,706,504 | ||||||
@† | Mellon GSL Reinvestment Trust II | 653,686 | 65 | |||||
Total Securities Lending Collateral | ||||||||
(cost $24,604,485) | 23,858,841 | |||||||
Total Value of Securities – 113.06% | ||||||||
(cost $183,888,393) | 197,100,595 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (14.11%) | (24,604,485 | ) | ||||||
Receivables and Other Assets | ||||||||
Net of Liabilities – 1.05% | 1,832,867 | |||||||
Net Assets Applicable to 17,171,646 | ||||||||
Shares Outstanding – 100.00% | $ | 174,328,977 | ||||||
Net Asset Value – Optimum International Fund | ||||||||
Class A ($12,766,700 / 1,256,515 Shares) | $10.16 | |||||||
Net Asset Value – Optimum International Fund | ||||||||
Class B ($2,438,204 / 244,892 Shares) | $ 9.96 | |||||||
Net Asset Value – Optimum International Fund | ||||||||
Class C ($46,697, 211 / 4,686,870 Shares) | $ 9.96 | |||||||
Net Asset Value – Optimum International Fund Institutional | ||||||||
Class ($112,426,862 / 10,983,369 Shares) | $10.24 | |||||||
Components of Net Assets at September 30, 2009: | ||||||||
Shares of beneficial interest | ||||||||
(unlimited authorization – no par) | $ | 229,200,768 | ||||||
Undistributed net investment income | 2,363,808 | |||||||
Accumulated net realized loss on investments | (70,556,839 | ) | ||||||
Net unrealized appreciation of investments | ||||||||
and foreign currencies | 13,321,240 | |||||||
Total net assets | $ | 174,328,977 |
D | Securities have been classified by country of origin. Classification by type of business has been presented on page 4 in “Country/Sector allocations.” |
† | Non income producing security. |
* | Fully or partially on loan. |
o | Securities listed and traded on the Hong Kong Stock Exchange. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At September 30, 2009, the aggregate amount of fair valued securities was $0, which represented 0.00% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “notes to financial statements” |
@ | Illiquid security. At September 30, 2009, the aggregate amount of illiquid securities was $65, which represented 0.00% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
© | Includes $23,407,264 of securities loaned. |
(continues) 33
Statements of net assets
Optimum International Fund
Summary of Abbreviations: |
Net Asset Value and Offering Price Per Share – | |||
Optimum International Fund | |||
Net asset value Class A (A) | $ | 10.16 | |
Sales charge (5.75% of offering price) (B) | 0.62 | ||
Offering price | $ | 10.78 |
(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, 2009:
Foreign Currency Exchange Contracts1
Unrealized | |||||||||||||||
Contracts to | Appreciation | ||||||||||||||
Receive (Deliver) | In Exchange For | Settlement Date | (Depreciation) | ||||||||||||
AUD | 3,071,000 | USD | (2,637,084 | ) | 10/9/09 | $ | 70,485 | ||||||||
CAD | 15,000 | USD | (13,764 | ) | 10/1/09 | 245 | |||||||||
CAD | 78,000 | USD | (72,639 | ) | 10/2/09 | 207 | |||||||||
CAD | (965,000 | ) | USD | 906,381 | 10/9/09 | 5,128 | |||||||||
CAD | (1,321,000 | ) | USD | 1,225,831 | 10/9/09 | (7,904 | ) | ||||||||
CAD | (78,000 | ) | USD | 72,641 | 10/28/09 | (209 | ) | ||||||||
CAD | (15,000 | ) | USD | 13,764 | 10/28/09 | (245 | ) | ||||||||
CHF | 100,000 | USD | (97,069 | ) | 10/2/09 | (575 | ) | ||||||||
CHF | (100,000 | ) | USD | 97,086 | 10/28/09 | 572 | |||||||||
CZK | 1,093,000 | USD | (64,063 | ) | 10/9/09 | (708 | ) | ||||||||
DKK | 543,000 | USD | (107,001 | ) | 10/2/09 | (263 | ) | ||||||||
DKK | 156,000 | USD | (30,689 | ) | 10/5/09 | (26 | ) | ||||||||
DKK | (2,622,000 | ) | USD | 513,791 | 10/9/09 | (1,562 | ) | ||||||||
DKK | (699,000 | ) | USD | 137,634 | 10/28/09 | 287 | |||||||||
EUR | 99,000 | USD | (144,342 | ) | 10/2/09 | 515 | |||||||||
EUR | 319,000 | USD | (467,111 | ) | 10/5/09 | (351 | ) | ||||||||
EUR | 1,147,000 | USD | (1,679,634 | ) | 10/9/09 | (1,352 | ) | ||||||||
EUR | (319,000 | ) | USD | 467,103 | 10/28/09 | 349 | |||||||||
GBP | 137,000 | USD | (219,378 | ) | 10/2/09 | (461 | ) | ||||||||
GBP | 510,000 | USD | (845,973 | ) | 10/9/09 | (31,052 | ) | ||||||||
GBP | (526,000 | ) | USD | 856,143 | 10/9/09 | 15,656 | |||||||||
GBP | (137,000 | ) | USD | 219,351 | 10/28/09 | 460 | |||||||||
HKD | (1,624,000 | ) | USD | 209,575 | 10/9/09 | 15 | |||||||||
JPY | 175,057,000 | USD | (1,919,112 | ) | 10/9/09 | 30,959 | |||||||||
JPY | 17,633,000 | USD | (195,569 | ) | 10/28/09 | 881 | |||||||||
KRW | 376,022,946 | USD | (321,540 | ) | 10/1/09 | (1,932 | ) | ||||||||
NOK | 3,560,000 | USD | (607,635 | ) | 10/9/09 | 8,524 | |||||||||
SEK | 2,500,000 | USD | (364,523 | ) | 10/9/09 | (5,897 | ) | ||||||||
SGD | (722,000 | ) | USD | 542,644 | 10/9/09 | (5,359 | ) | ||||||||
$ | 76,387 |
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 values 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.
1See Note 7 in “Notes to financial statements.”
See accompanying notes
34
Optimum Large Cap Growth Fund
September 30, 2009 (Unaudited)
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock – 98.10%² | ||||||
Basic Industry/Capital Goods – 9.96% | ||||||
3M | 13,100 | $ | 966,780 | |||
Agnico-Eagle Mines (Canada) | 2,200 | 149,270 | ||||
Albemarle | 33,650 | 1,164,290 | ||||
* | Ashland | 20,850 | 901,137 | |||
BHP Billiton (Australia) | 39,350 | 1,309,929 | ||||
* | BHP Billiton ADR | 90,500 | 4,986,550 | |||
* | Cliffs Natural Resources | 88,650 | 2,868,714 | |||
Cooper Industries | 40,000 | 1,502,800 | ||||
Danaher | 73,600 | 4,954,752 | ||||
Deere | 12,800 | 549,376 | ||||
* | Dow Chemical | 272,506 | 7,104,231 | |||
† | Energizer Holdings | 42,900 | 2,845,986 | |||
FMC | 29,900 | 1,681,875 | ||||
† | Foster Wheeler | 42,950 | 1,370,535 | |||
† | Louisiana-Pacific | 23,100 | 154,077 | |||
† | McDermott International | 128,800 | 3,254,776 | |||
Monsanto | 51,328 | 3,972,787 | ||||
Mosaic | 38,250 | 1,838,678 | ||||
† | Owens-Illinois | 148,500 | 5,479,650 | |||
Potash Corp. of Saskatchewan | ||||||
(Canada) | 24,442 | 2,208,090 | ||||
PPG Industries | 54,156 | 3,152,421 | ||||
Praxair | 102,581 | 8,379,842 | ||||
Precision Castparts | 12,800 | 1,303,936 | ||||
† | Quanta Services | 10,200 | 225,726 | |||
Republic Services Class A | 33,900 | 900,723 | ||||
SPX | 16,200 | 992,574 | ||||
Tyco International (Bermuda) | 50,950 | 1,756,756 | ||||
† | Yingde Gases (China) | |||||
(Hong Kong Exchange) | 134,500 | 121,484 | ||||
66,097,745 | ||||||
Business Services – 9.63% | ||||||
Accenture Class A (Bermuda) | 42,000 | 1,565,340 | ||||
Automatic Data Processing | 25,500 | 1,002,150 | ||||
Companhia Brasileira de Meios de | ||||||
Pragamento (Brazil) | 121,400 | 1,202,659 | ||||
Expeditors International of | ||||||
Washington | 31,400 | 1,103,710 | ||||
† | Google Class A | 43,747 | 21,691,950 | |||
†* | Hertz Global Holdings | 433,850 | 4,698,596 | |||
* | MasterCard Class A | 46,575 | 9,415,136 | |||
McGraw-Hill Companies | 107,700 | 2,707,578 | ||||
† | Research in Motion (Canada) | 19,900 | 1,344,245 | |||
United Parcel Service Class B | 18,300 | 1,033,401 | ||||
* | Visa Class A | 146,111 | 10,097,731 | |||
† | Yahoo | 454,356 | 8,092,080 | |||
63,954,576 | ||||||
Consumer Non-Durables – 9.66% | ||||||
†* | Amazon.com | 83,296 | 7,776,514 | |||
†* | AutoZone | 14,500 | 2,120,190 | |||
† | CarMax | 18,500 | 386,650 | |||
†* | Central European Distribution | 15,900 | 520,884 | |||
Costco Wholesale | 49,300 | 2,783,478 | ||||
CVS Caremark | 66,659 | 2,382,393 | ||||
† | Dana Holdings | 223,450 | 1,521,695 | |||
† | Dollar Tree | 11,000 | 535,480 | |||
* | Fastenal | 4,400 | 170,280 | |||
†* | Hansen Natural | 39,850 | 1,464,089 | |||
† | Kohl’s | 21,300 | 1,215,165 | |||
Kroger | 106,900 | 2,206,416 | ||||
Lowe’s Companies | 245,318 | 5,136,959 | ||||
Nestle (Switzerland) | 23,580 | 1,004,769 | ||||
* | NIKE Class B | 118,454 | 7,663,974 | |||
† | O’Reilly Automotive | 16,600 | 599,924 | |||
PACCAR | 26,000 | 980,460 | ||||
PepsiCo | 73,750 | 4,326,175 | ||||
Philip Morris International | 90,450 | 4,408,533 | ||||
Procter & Gamble | 43,352 | 2,510,948 | ||||
† | Starbucks | 65,500 | 1,352,575 | |||
Target | 43,200 | 2,016,576 | ||||
Wal-Mart Stores | 225,550 | 11,072,249 | ||||
64,156,376 | ||||||
Consumer Services – 5.68% | ||||||
†* | Apollo Group Class A | 12,000 | 884,040 | |||
Carnival | 12,200 | 406,016 | ||||
†* | DIRECTV Group | 37,385 | 1,031,078 | |||
Disney (Walt) | 26,600 | 730,436 | ||||
† | eBay | 163,150 | 3,851,972 | |||
†* | ITT Educational Services | 28,050 | 3,097,001 | |||
† | Liberty Media Capital Class A | 150 | 3,138 | |||
* | Marriott International Class A | 33,459 | 923,134 | |||
McDonald’s | 215,410 | 12,293,448 | ||||
†* | MGM Mirage | 38,800 | 467,152 | |||
Regal Entertainment Group Class A | 119,200 | 1,468,544 | ||||
Western Union | 113,500 | 2,147,420 | ||||
† | Wynn Macau (Macau) | 165,600 | 215,387 | |||
†* | Wynn Resorts | 58,339 | 4,135,652 | |||
* | Yum Brands | 179,657 | 6,065,220 | |||
37,719,638 | ||||||
Energy – 8.88% | ||||||
†* | Cameron International | 28,700 | 1,085,434 | |||
Chesapeake Energy | 132,150 | 3,753,060 | ||||
* | Chevron | 122,300 | 8,613,589 | |||
EOG Resources | 22,386 | 1,869,455 | ||||
Exxon Mobil | 21,400 | 1,468,254 | ||||
* | Magellan Midstream Partners | 33,807 | 1,271,148 | |||
Murphy Oil | 12,700 | 731,139 | ||||
Nexen (Canada) | 154,648 | 3,490,405 | ||||
†* | NRG Energy | 36,195 | 1,020,337 | |||
* | NuStar Energy | 13,850 | 717,984 | |||
†* | Patriot Coal | 324,150 | 3,812,004 | |||
Petroleo Brasileiro SA ADR | 157,973 | 7,250,961 | ||||
Petroleo Brasiliero SP ADR | 54,800 | 2,154,188 | ||||
† | Plains Exploration & Production | 76,700 | 2,121,522 | |||
Schlumberger | 46,400 | 2,765,440 | ||||
Smith International | 31,600 | 906,920 |
(continues) 35
Statements of net assets
Optimum Large Cap Growth Fund
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock (continued) | ||||||
Energy (continued) | ||||||
Suncor Energy (Canada) | 32,800 | $ | 1,133,568 | |||
† | Transocean (Switzerland) | 154,344 | 13,201,042 | |||
† | Weatherford International | |||||
(Switzerland) | 27,730 | 574,843 | ||||
XTO Energy | 24,756 | 1,022,918 | ||||
58,964,211 | ||||||
Financials – 13.21% | ||||||
† | Affiliated Managers Group | 18,000 | 1,170,180 | |||
American Express | 95,474 | 3,236,569 | ||||
Bank of America | 593,800 | 10,047,096 | ||||
BlackRock | 2,700 | 585,414 | ||||
Bosvespa Holding (Brazil) | 238,300 | 1,760,801 | ||||
Franklin Resources | 8,600 | 865,160 | ||||
Genworth Financial | 86,900 | 1,038,455 | ||||
Goldman Sachs Group | 64,928 | 11,969,477 | ||||
HSBC Holdings ADR | 72,600 | 4,163,610 | ||||
† | IntercontinentalExchange | 9,600 | 933,024 | |||
Invesco | 72,600 | 1,652,376 | ||||
JPMorgan Chase | 398,097 | 17,444,610 | ||||
Lazard Class A (Bermuda) | 11,100 | 458,541 | ||||
Morgan Stanley | 115,050 | 3,552,744 | ||||
Northern Trust | 20,400 | 1,186,464 | ||||
NYSE Euronext | 37,700 | 1,089,153 | ||||
PNC Financial Services Group | 20,000 | 971,800 | ||||
Prudential Financial | 107,800 | 5,380,298 | ||||
Schwab (Charles) | 54,600 | 1,045,590 | ||||
State Street | 40,560 | 2,133,456 | ||||
TFS Financial | 62,600 | 744,940 | ||||
Travelers Companies | 65,900 | 3,244,257 | ||||
U.S. Bancorp | 184,663 | 4,036,733 | ||||
Wells Fargo | 317,953 | 8,959,916 | ||||
87,670,664 | ||||||
Health Care – 12.23% | ||||||
Abbott Laboratories | 242,321 | 11,987,619 | ||||
† | Alexion Pharmaceuticals | 12,600 | 561,204 | |||
Allergan | 57,300 | 3,252,348 | ||||
† | Amgen | 66,050 | 3,978,192 | |||
† | Auxilium Pharmaceuticals | 34,000 | 1,163,140 | |||
Baxter International | 66,750 | 3,805,418 | ||||
† | Celgene | 83,950 | 4,692,805 | |||
†* | Cephalon | 42,350 | 2,466,464 | |||
Covidien (Bermuda) | 156,875 | 6,786,412 | ||||
†* | Elan ADR | 57,200 | 406,692 | |||
† | Express Scripts | 63,550 | 4,930,209 | |||
† | Gilead Sciences | 119,078 | 5,546,652 | |||
†* | Human Genome Sciences | 87,550 | 1,647,691 | |||
†* | Illumina | 7,800 | 331,500 | |||
†* | Insulet | 69,000 | 774,870 | |||
†* | Intuitive Surgical | 6,500 | 1,704,625 | |||
†* | Inverness Medical Innovations | 78,500 | 3,040,305 | |||
† | Life Technologies | 65,000 | 3,025,750 | |||
McKesson | 28,400 | 1,691,220 | ||||
† | Medco Health Solutions | 97,800 | 5,409,318 | |||
* | Merck | 94,374 | 2,985,050 | |||
Novo Nordisk Class B (Denmark) | 8,728 | 546,460 | ||||
Pfizer | 194,500 | 3,218,975 | ||||
† | St. Jude Medical | 21,600 | 842,616 | |||
Stryker | 18,200 | 826,826 | ||||
Teva Pharmaceutical Industries ADR | 21,000 | 1,061,760 | ||||
†* | Thermo Fisher Scientific | 30,450 | 1,329,752 | |||
Universal Health Services Class B | 9,750 | 603,818 | ||||
† | WellPoint | 39,000 | 1,847,040 | |||
Wyeth | 14,700 | 714,126 | ||||
81,178,857 | ||||||
Technology – 27.13% | ||||||
† | Adobe Systems | 84,650 | 2,796,836 | |||
† | Alcatel | 155,400 | 697,746 | |||
† | American Tower Class A | 128,050 | 4,661,020 | |||
† | Apple | 156,870 | 29,078,991 | |||
† | Autodesk | 40,100 | 954,380 | |||
† | Baidu.com ADR | 6,224 | 2,433,895 | |||
† | BE Aerospace | 143,950 | 2,899,153 | |||
†* | Broadcom Class A | 98,360 | 3,018,668 | |||
† | Brocade Communications Systems | 707,500 | 5,560,950 | |||
† | Cisco Systems | 260,600 | 6,134,524 | |||
† | Crown Castle International | 106,300 | 3,333,568 | |||
†* | Dolby Laboratories Class A | 30,200 | 1,153,338 | |||
†* | EMC | 191,550 | 3,264,012 | |||
†* | Expedia | 204,553 | 4,899,044 | |||
† | Focus Media Holding ADR | 39,950 | 441,048 | |||
General Dynamics | 154,910 | 10,007,186 | ||||
Goodrich | 24,750 | 1,344,915 | ||||
†* | GSI Commerce | 100,850 | 1,947,414 | |||
Hewlett-Packard | 76,850 | 3,628,089 | ||||
† | IAC/Interactive | 104,050 | 2,100,770 | |||
Intel | 611,754 | 11,972,025 | ||||
International Business Machines | 79,214 | 9,474,787 | ||||
†* | Juniper Networks | 127,539 | 3,446,104 | |||
† | Leap Wireless International | 16,900 | 330,395 | |||
Lockheed Martin | 48,850 | 3,814,208 | ||||
† | Marvell Technology Group (Bermuda) | 315,050 | 5,100,660 | |||
† | McAfee | 41,300 | 1,808,527 | |||
†* | MetroPCS Communications | 41,900 | 392,184 | |||
Microsoft | 420,900 | 10,897,100 | ||||
† | Nice Systems ADR | 31,050 | 945,162 | |||
†* | NII Holdings | 38,400 | 1,151,232 | |||
†* | ON Semiconductor | 727,150 | 5,998,988 | |||
†* | priceline.com | 4,900 | 812,518 | |||
QUALCOMM | 334,560 | 15,048,508 | ||||
†* | salesforce.com | 14,300 | 814,099 | |||
Samsung Electronics | ||||||
(Republic of Korea) | 811 | 561,806 | ||||
Seagate Technology | 315,750 | 4,802,558 | ||||
†* | Sina (China) (Hong Kong Exchange) | 61,500 | 2,334,540 | |||
†* | Skyworks Solutions | 384,250 | 5,087,470 |
36
Number of | Value | |||||||
Shares | (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Technology (continued) | ||||||||
† | Synopsys | 31,100 | $ | 697,262 | ||||
Taiwan Semiconductors | ||||||||
Manufacturing ADR | 184,088 | 2,017,604 | ||||||
Tencent Holdings (China) (Hong | ||||||||
Kong Exchange) | 101,300 | 1,648,249 | ||||||
* | Toshiba (Japan) | 115,000 | 603,342 | |||||
180,114,875 | ||||||||
Transportation – 1.72% | ||||||||
* | Burlington Northern Santa Fe | 29,500 | 2,354,985 | |||||
* | Norfolk Southern | 50,086 | 2,159,207 | |||||
Union Pacific | 118,284 | 6,901,872 | ||||||
11,416,064 | ||||||||
Total Common Stock | ||||||||
(cost $578,955,654) | 651,273,006 | |||||||
Preferred Stock – 0.15% | ||||||||
Wells Fargo 8.00% | 38,550 | 960,281 | ||||||
Total Preferred Stock | ||||||||
(cost $741,030) | 960,281 | |||||||
Principal | ||||||||
Amount (U.S. $) | ||||||||
¹Discount Notes – 1.18% | ||||||||
Fannie Mae 0.04% 10/14/09 | $4,571,138 | 4,571,066 | ||||||
Federal Home Loan Bank | ||||||||
0.001% 10/1/09 | 1,825,881 | 1,825,881 | ||||||
0.01% 10/9/09 | 439,994 | 439,993 | ||||||
0.03% 10/28/09 | 147,178 | 147,176 | ||||||
0.04% 10/30/09 | 879,988 | 879,978 | ||||||
Total Discount Notes | ||||||||
(cost $7,864,080) | 7,864,094 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 99.43% | ||||||||
(cost $587,560,764) | 660,097,381 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 7.55% | ||||||||
Investment Companies | ||||||||
Mellon GSL DBT II Collateral Fund | 28,902,938 | 28,902,938 | ||||||
BNY Mellon SL DBT II | ||||||||
Liquidating Fund | 21,496,754 | 21,243,092 | ||||||
@† | Mellon GSL Reinvestment Trust II | 1,053,295 | 105 | |||||
Total Securities Lending Collateral | ||||||||
(cost $51,452,987) | 50,146,135 | |||||||
Total Value of Securities – 106.98% | $ | 710,243,516 | © | |||||
(cost $639,013,751) | ||||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (7.75%) | (51,452,987 | ) | ||||||
Receivables and Other Assets | ||||||||
Net of Liabilities – 0.77% | 5,113,826 | |||||||
Net Assets Applicable to 69,363,178 | ||||||||
Shares Outstanding – 100.00% | $ | 663,904,355 | ||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Class A ($35,195,690 / 3,701,374 Shares) | $9.51 | |||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Class B ($6,096,690 / 667,884 Shares) | $9.13 | |||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Class C ($129,282,141 / 14,166,126 Shares) | $9.13 | |||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Institutional Class ($493,329,834 / 50,827,794 Shares) | $9.71 | |||||||
Components of Net Assets at September 30, 2009: | ||||||||
Shares of beneficial interest | ||||||||
(unlimited authorization – no par) | $ | 823,543,529 | ||||||
Accumulated net realized loss on investments | (230,896,260 | ) | ||||||
Net unrealized appreciation of investments | ||||||||
and foreign currencies | 71,257,086 | |||||||
Total net assets | $ | 663,904,355 |
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. |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
@ | Illiquid security. At September 30, 2009, the aggregate amount of illiquid securities was $105, which represented 0.00% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
© | Includes $50,106,641 of securities loaned. |
Summary of Abbreviations:
ADR — American Depositary Receipts
HKD — Hong Kong Dollar
JPY — Japanese Yen
USD — United States Dollar
Net Asset Value and Offering Price Per Share – | |||
Optimum Large Cap Growth Fund | |||
Net asset value Class A (A) | $ | 9.51 | |
Sales charge (5.75% of offering price) (B) | 0.58 | ||
Offering price | $ | 10.09 |
(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. |
(continues) 37
Statements of net assets
Optimum Large Cap Growth Fund
The following foreign currency exchange contracts were outstanding at September 30, 2009: |
Foreign Currency Exchange Contracts1
Contracts | Unrealized | |||||||||||
to Receive | In Exchange For | Settlement Date | Appreciation | |||||||||
HKD | 951,000 | USD | (122,712 | ) | 10/8/09 | $ | 4 | |||||
HKD | 1,686,091 | USD | (217,560 | ) | 10/9/09 | 12 | ||||||
JPY | 7,306,141 | USD | (80,740 | ) | 10/1/09 | 644 | ||||||
$ | 660 |
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 values presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation is reflected in the Fund’s net assets. |
1See Note 7 in “Notes to financial statements.”
See accompanying notes
38
Optimum Large Cap Value Fund
September 30, 2009 (Unaudited)
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock – 99.08% | ||||||
Consumer Discretionary – 10.33% | ||||||
Abercrombie & Fitch Class A | 21,010 | $ | 690,809 | |||
Comcast Class A | 305,400 | 5,158,206 | ||||
Disney (Walt) | 162,760 | 4,469,390 | ||||
Gap | 329,900 | 7,059,860 | ||||
* | Hasbro | 29,140 | 808,635 | |||
* | Home Depot | 264,980 | 7,059,067 | |||
* | Johnson Controls | 44,920 | 1,148,155 | |||
* | Lennar Class A | 314,412 | 4,480,371 | |||
Macy’s | 71,210 | 1,302,431 | ||||
Mattel | 325,200 | 6,003,192 | ||||
NIKE Class B | 65,570 | 4,242,379 | ||||
Omnicom Group | 104,280 | 3,852,103 | ||||
* | Pulte Homes | 117,900 | 1,295,721 | |||
* | Regal Entertainment Group | |||||
Class A | 450,800 | 5,553,856 | ||||
Sherwin-Williams | 46,820 | 2,816,691 | ||||
Staples | 59,300 | 1,376,946 | ||||
Time Warner | 65,800 | 1,893,724 | ||||
WPP | 166,405 | 1,427,920 | ||||
60,639,456 | ||||||
Consumer Staples – 11.66% | ||||||
Altria Group | 32,770 | 583,634 | ||||
Campbell Soup | 17,900 | 583,898 | ||||
CVS Caremark | 235,781 | 8,426,813 | ||||
Diageo (United Kingdom) | 246,406 | 3,779,947 | ||||
* | Estee Lauder Class A | 78,500 | 2,910,780 | |||
General Mills | 19,500 | 1,255,410 | ||||
* | Kellogg | 82,270 | 4,050,152 | |||
Kimberly-Clark | 175,050 | 10,324,448 | ||||
Kraft Foods Class A | 295,350 | 7,758,845 | ||||
Kroger | 122,010 | 2,518,286 | ||||
Lorillard | 5,990 | 445,057 | ||||
Nestle (Switzerland) | 109,995 | 4,687,007 | ||||
PepsiCo | 49,900 | 2,927,134 | ||||
Philip Morris International | 185,340 | 9,033,472 | ||||
Procter & Gamble | 53,916 | 3,122,788 | ||||
Sara Lee | 437,100 | 4,869,294 | ||||
Smucker (J.M.) | 22,390 | 1,186,894 | ||||
68,463,859 | ||||||
Energy – 12.29% | ||||||
Anadarko Petroleum | 58,400 | 3,663,432 | ||||
Apache | 46,860 | 4,303,154 | ||||
* | Baker Hughes | 119,100 | 5,080,806 | |||
* | BP ADR | 50,300 | 2,677,469 | |||
Chevron | 201,842 | 14,215,732 | ||||
ConocoPhillips | 28,170 | 1,272,157 | ||||
* | Devon Energy | 121,920 | 8,208,874 | |||
EOG Resources | 33,120 | 2,765,851 | ||||
Exxon Mobil | 90,760 | 6,227,044 | ||||
Hess | 67,370 | 3,601,600 | ||||
Marathon Oil | 170,800 | 5,448,520 | ||||
† | National Oilwell Varco | 48,280 | 2,082,316 | |||
Occidental Petroleum | 27,400 | 2,148,160 | ||||
Total ADR | 126,930 | 7,521,872 | ||||
Valero Energy | 150,600 | 2,920,134 | ||||
72,137,121 | ||||||
Financials – 17.83% | ||||||
Allstate | 182,520 | 5,588,762 | ||||
American Express | 70,400 | 2,386,560 | ||||
Ameriprise Financial | 83,810 | 3,044,817 | ||||
Annaly Mortgage Management | 147,700 | 2,679,278 | ||||
Aon | 63,180 | 2,570,794 | ||||
Bank of New York Mellon | 271,096 | 7,859,073 | ||||
Blackstone Group | 249,250 | 3,539,350 | ||||
Chubb | 40,030 | 2,017,912 | ||||
Goldman Sachs Group | 47,440 | 8,745,564 | ||||
JPMorgan Chase | 457,017 | 20,026,485 | ||||
† | MBIA | 228,000 | 1,769,280 | |||
MetLife | 226,400 | 8,619,048 | ||||
New York Community Bancorp | 285,900 | 3,264,978 | ||||
Northern Trust | 14,480 | 842,157 | ||||
NYSE Euronext | 109,600 | 3,166,344 | ||||
PNC Financial Services Group | 46,640 | 2,266,238 | ||||
Prudential Financial | 34,750 | 1,734,373 | ||||
Regions Financial | 160,700 | 997,947 | ||||
State Street | 104,970 | 5,521,422 | ||||
Travelers Companies | 255,893 | 12,597,612 | ||||
Wells Fargo | 192,960 | 5,437,613 | ||||
104,675,607 | ||||||
Health Care – 10.75% | ||||||
Abbott Laboratories | 94,040 | 4,652,159 | ||||
Becton, Dickinson | 31,980 | 2,230,605 | ||||
† | Boston Scientific | 350,200 | 3,708,618 | |||
Bristol-Myers Squibb | 248,200 | 5,589,464 | ||||
† | GlaxoSmithKline (United Kingdom) | 71,140 | 1,398,241 | |||
Johnson & Johnson | 81,710 | 4,975,322 | ||||
Medtronic | 99,260 | 3,652,768 | ||||
* | Merck | 191,160 | 6,046,391 | |||
Pfizer | 786,660 | 13,019,223 | ||||
Roche Holding (Switzerland) | 6,780 | 1,095,817 | ||||
†* | Tenet Healthcare | 543,430 | 3,195,368 | |||
† | Thermo Fisher Scientific | 68,280 | 2,981,788 | |||
† | Waters | 23,020 | 1,285,897 | |||
†* | Watson Pharmaceuticals | 178,900 | 6,554,896 | |||
† | WellPoint | 13,900 | 658,304 | |||
Wyeth | 43,160 | 2,096,713 | ||||
63,141,574 | ||||||
Industrials – 11.90% | ||||||
3M | 39,560 | 2,919,528 | ||||
†* | Apollo Group Class A | 8,870 | 653,453 | |||
Avery Dennison | 149,500 | 5,383,495 | ||||
* | Burlington Northern Santa Fe | 8,620 | 688,135 |
(continues) 39
Statements of net assets
Optimum Large Cap Value Fund
Number of | Value | |||||||
Shares | (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Industrials (continued) | ||||||||
Canadian National Railway | 2,500 | $ | 122,475 | |||||
CSX | 33,700 | 1,410,682 | ||||||
Danaher | 20,490 | 1,379,387 | ||||||
Eaton | 41,970 | 2,375,082 | ||||||
General Electric | 307,600 | 5,050,792 | ||||||
* | Grainger (W.W.) | 17,710 | 1,582,566 | |||||
Honeywell International | 115,500 | 4,290,825 | ||||||
* | Ingersoll-Rand (Ireland) | 28,000 | 858,760 | |||||
Lockheed Martin | 167,020 | 13,040,921 | ||||||
Northrop Grumman | 134,250 | 6,947,438 | ||||||
Tyco Electronics | 313,600 | 6,987,007 | ||||||
Tyco International | 195,100 | 6,727,048 | ||||||
* | United Technologies | 97,370 | 5,932,754 | |||||
* | Waste Management | 118,900 | 3,545,598 | |||||
69,895,946 | ||||||||
Information Technology – 9.98% | ||||||||
Accenture Class A | 158,410 | 5,903,941 | ||||||
Analog Devices | 107,100 | 2,953,818 | ||||||
Block (H&R) | 155,500 | 2,858,090 | ||||||
CA | 157,800 | 3,470,022 | ||||||
† | Dell | 221,500 | 3,380,090 | |||||
Dun & Bradstreet | 13,110 | 987,445 | ||||||
Hewlett-Packard | 97,110 | 4,584,563 | ||||||
Intel | 518,850 | 10,153,895 | ||||||
International Business Machines | 121,010 | 14,474,005 | ||||||
Motorola | 573,500 | 4,926,365 | ||||||
Oracle | 181,090 | 3,773,916 | ||||||
Western Union | 61,410 | 1,161,877 | ||||||
58,628,027 | ||||||||
Materials – 5.56% | ||||||||
Air Products & Chemicals | 33,900 | 2,629,962 | ||||||
duPont (E.I.) deNemours | 260,100 | 8,359,613 | ||||||
MeadWestvaco | 226,100 | 5,044,291 | ||||||
Packaging Corp. of America | 351,700 | 7,174,680 | ||||||
PPG Industries | 75,960 | 4,421,632 | ||||||
* | United States Steel | 113,250 | 5,024,903 | |||||
32,655,081 | ||||||||
Telecommunications – 5.50% | ||||||||
AT&T | 655,360 | 17,701,274 | ||||||
* | Qwest Communications International | 1,615,100 | 6,153,531 | |||||
Vodafone Group (United Kingdom) | 1,933,837 | 4,332,425 | ||||||
Windstream | 408,200 | 4,135,066 | ||||||
32,322,296 | ||||||||
Utilities – 3.28% | ||||||||
American Electric Power | 161,530 | 5,005,815 | ||||||
Dominion Resources | 103,876 | 3,583,722 | ||||||
Entergy | 23,940 | 1,911,848 | ||||||
FPL Group | 33,150 | 1,830,875 | ||||||
PG&E | 66,470 | 2,691,370 | ||||||
PPL | 70,260 | 2,131,688 | ||||||
Public Service Enterprise Group | 66,420 | 2,088,245 | ||||||
19,243,563 | ||||||||
Total Common Stock | ||||||||
(cost $608,545,663) | 581,802,530 | |||||||
Principal | Value | |||||||
Amount (U.S. $) | (U.S. $) | |||||||
¹Discount Notes – 1.19% | ||||||||
Fannie Mae 0.04% 10/14/09 | $ | 4,152,337 | $ | 4,152,332 | ||||
Federal Home Loan Bank | ||||||||
0.001% 10/1/09 | 1,658,620 | 1,658,620 | ||||||
0.01% 10/9/09 | 352,899 | 352,899 | ||||||
0.03% 10/28/09 | 118,042 | 118,044 | ||||||
0.04% 10/30/09 | 705,776 | 705,792 | ||||||
Total Discount Notes | ||||||||
(cost $6,987,676) | 6,987,687 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 100.27% | ||||||||
(cost $615,533,339) | 588,790,217 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 7.63% | ||||||||
Investment Companies | ||||||||
Mellon GSL DBT II Collateral Fund | 29,850,603 | 29,850,603 | ||||||
BNY Mellon SL DBT II | ||||||||
Liquidating Fund | 15,149,182 | 14,970,422 | ||||||
@† | Mellon GSL Reinvestment Trust II | 1,049,762 | 105 | |||||
Total Securities Lending Collateral | ||||||||
(cost $46,049,547) | 44,821,130 | |||||||
Total Value of Securities – 107.90% | ||||||||
(cost $661,582,886) | 633,611,347 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (7.84%) | (46,049,547 | ) | ||||||
Liabilities Net of Receivables and | ||||||||
Other Assets – (0.06%) | (356,273 | ) | ||||||
Net Assets Applicable to 66,078,326 | ||||||||
Shares Outstanding – 100.00% | $ | 587,205,527 | ||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Class A ($33,573,151 / 3,776,010 Shares) | $8.89 | |||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Class B ($5,959,144 / 675,716 Shares) | $8.82 | |||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Class C ($124,784,312 / 14,155,054 Shares) | $8.82 | |||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Institutional Class ($422,888,920 / 47,471,546 Shares) | $8.91 | |||||||
Components of Net Assets at September 30, 2009: | ||||||||
Shares of beneficial interest | ||||||||
(unlimited authorization – no par) | $ | 800,778,138 | ||||||
Undistributed net investment income | 4,623,461 | |||||||
Accumulated net realized loss on investments | (190,238,699 | ) | ||||||
Net unrealized depreciation of investments | ||||||||
and foreign currencies | (27,957,373 | ) | ||||||
Total net assets | $ | 587,205,527 |
40
* | Fully or partially on loan. |
† | Non income producing security. |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
@ | Illiquid security. At September 30, 2009, the aggregate amount of illiquid securities was $105, which represented 0.00% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
© | Includes $44,617,403 of securities loaned. |
ADR — American Depositary Receipts
Net Asset Value and Offering Price Per Share – | |||
Optimum Large Cap Value Fund | |||
Net asset value Class A (A) | $ | 8.89 | |
Sales charge (5.75% of offering price) (B) | 0.54 | ||
Offering price | $ | 9.43 |
(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) 41
Statements of net assets
Optimum Small-Mid Cap Growth Fund
September 30, 2009 (Unaudited)
Number of | |||||
Shares | Value | ||||
Common Stock – 98.82%² | |||||
Basic Industry/Capital Goods – 12.31% | |||||
* | Acuity Brands | 24,900 | $ | 802,029 | |
Albany International | 10,000 | 194,000 | |||
Albemarle | 10,600 | 366,760 | |||
* | AMETEK | 41,200 | 1,438,292 | ||
Cytec Industries | 26,890 | 873,118 | |||
Donaldson | 48,900 | 1,693,407 | |||
† | Drew Industries | 19,600 | 425,124 | ||
* | Eagle Materials | 12,890 | 368,396 | ||
Greif Class A | 11,500 | 633,075 | |||
Herman Miller | 46,300 | 782,933 | |||
*† | Itron | 7,000 | 448,980 | ||
* | Kaydon | 13,300 | 431,186 | ||
Koppers Holdings | 9,800 | 290,570 | |||
Lennox International | 23,050 | 832,566 | |||
† | Mettler-Toledo International | 22,300 | 2,020,157 | ||
* | Mine Safety Appliances | 14,100 | 387,891 | ||
† | Moog Class A | 19,600 | 578,200 | ||
Mueller Water Products Class A | 57,900 | 317,292 | |||
* | Nordson | 40,900 | 2,294,081 | ||
*† | Oshkosh | 23,000 | 711,390 | ||
Pall | 28,343 | 914,912 | |||
Pentair | 27,430 | 809,734 | |||
† | Quanta Services | 52,400 | 1,159,612 | ||
* | Regal-Beloit | 29,570 | 1,351,645 | ||
* | Scotts Miracle-Grow Class A | 29,020 | 1,246,409 | ||
† | SunPower Class B | 28,470 | 718,298 | ||
* | Toro | 11,500 | 457,355 | ||
22,547,412 | |||||
Business Services – 5.53% | |||||
† | ArcSight | 20,780 | 500,175 | ||
*† | Coinstar | 16,230 | 535,265 | ||
*† | Concur Technologies | 32,100 | 1,276,296 | ||
† | Constant Contact | 47,500 | 914,375 | ||
† | Corrections Corp. of America | 73,150 | 1,656,847 | ||
Global Payments | 18,400 | 859,280 | |||
† | Hackett Group | 30,500 | 88,450 | ||
*† | Hertz Global Holdings | 49,000 | 530,670 | ||
*† | K12 | 16,500 | 271,920 | ||
McGrath RentCorp | 12,000 | 255,240 | |||
*† | Medifast | 16,100 | 349,692 | ||
† | Parexel International | 57,740 | 784,687 | ||
† | SkillSoft ADR | 64,800 | 622,080 | ||
† | VistaPrint | 23,950 | 1,215,463 | ||
† | Vitacost.com | 25,000 | 273,000 | ||
10,133,440 | |||||
Consumer Durables – 2.85% | |||||
��� | Cavco Industries | 47,100 | 1,672,050 | ||
*† | Champion Enterprises | 123,000 | 56,580 | ||
* | Jarden | 81,560 | 2,289,390 | ||
*† | Lumber Liquidators | 17,140 | 371,767 | ||
Thor Industries | 26,600 | 823,270 | |||
5,213,057 | |||||
Consumer Non-Durables – 11.11% | |||||
Abercrombie & Fitch Class A | 21,300 | 700,344 | |||
Advance Auto Parts | 17,530 | 688,578 | |||
† | Aeropostale | 19,890 | 864,618 | ||
*† | American Apparel | 13,400 | 47,034 | ||
*† | AnnTaylor Stores | 17,000 | 270,130 | ||
*† | Big Lots | 25,330 | 633,757 | ||
† | Carter’s | 37,380 | 998,046 | ||
*† | Central European Distribution | 19,050 | 624,078 | ||
*† | Charming Shoppes | 42,000 | 206,220 | ||
† | Chico’s FAS | 51,000 | 663,000 | ||
*† | Children’s Place Retail Stores | 14,970 | 448,501 | ||
Coach | 21,200 | 697,904 | |||
† | Cott | 82,100 | 603,435 | ||
*† | Green Mountain Coffee Roasters | 12,550 | 926,692 | ||
† | Gymboree | 14,530 | 702,961 | ||
*† | Hanesbrands | 97,400 | 2,084,361 | ||
*† | Hot Topic | 30,000 | 224,700 | ||
*† | J Crew Group | 19,500 | 698,490 | ||
† | Lululemon Athletica | 24,000 | 546,000 | ||
*† | OfficeMax | 70,850 | 891,293 | ||
Owens & Minor | 21,110 | 955,228 | |||
* | Pool | 64,900 | 1,442,078 | ||
† | Rush Enterprises Class A | 61,300 | 791,996 | ||
*† | Saks | 59,000 | 402,380 | ||
*† | Talbots | 46,000 | 424,580 | ||
*† | True Religion Apparel | 21,400 | 554,902 | ||
*† | Urban Outfitters | 29,300 | 883,981 | ||
*† | Warnaco Group | 31,090 | 1,363,607 | ||
20,338,894 | |||||
Consumer Services – 8.25% | |||||
*† | Avis Budget Group | 31,300 | 418,168 | ||
*† | Bally Technologies | 49,860 | 1,913,129 | ||
† | Brink’s Home Security Holdings | 32,760 | 1,008,680 | ||
*† | Buffalo Wild Wings | 15,960 | 664,096 | ||
*† | Cheesecake Factory | 25,600 | 474,112 | ||
*† | Corinthian Colleges | 87,970 | 1,632,723 | ||
*† | DreamWorks Animation Class A | 28,300 | 1,006,631 | ||
† | Entravision Communications | 50,000 | 86,500 | ||
*† | Gaylord Entertainment | 52,800 | 1,061,280 | ||
*† | ITT Educational Services | 10,500 | 1,159,305 | ||
* | Knoll | 84,000 | 876,120 | ||
*† | Life Time Fitness | 52,220 | 1,464,771 | ||
Localiza Rent A Car | 76,120 | 762,682 | |||
*† | P.F. Chang’s China Bistro | 4,500 | 152,865 | ||
*† | Pinnacle Entertainment | 64,900 | 661,331 | ||
† | Salem Communications Class A | 33,000 | 74,580 | ||
*† | Tempur-Pedic International | 10,200 | 193,188 | ||
† | TiVo | 58,000 | 600,880 | ||
† | Vail Resorts | 8,500 | 285,090 | ||
† | WMS Industries | 13,890 | 618,938 | ||
15,115,069 |
42
Number of | |||||
Shares | Value | ||||
Common Stock (continued) | |||||
Energy – 5.04% | |||||
† | Atwood Oceanics | 54,300 | $ | 1,915,161 | |
*† | Carrizo Oil & Gas | 59,200 | 1,449,808 | ||
† | Complete Production Services | 52,600 | 594,380 | ||
Core Laboratories | 7,400 | 762,866 | |||
† | FMC Technologies | 37,400 | 1,953,776 | ||
† | Karoon Gas Australia | 38,114 | 262,635 | ||
Massey Energy | 15,260 | 425,601 | |||
† | Oceaneering International | 13,300 | 754,775 | ||
*† | Quicksilver Resources | 31,200 | 442,728 | ||
St. Mary Land & Exploration | 18,820 | 610,897 | |||
† | Tesco | 6,700 | 53,466 | ||
9,226,093 | |||||
Financials – 8.10% | |||||
* | Aaron’s | 15,000 | 396,000 | ||
Allied World Assurance Holdings | 10,630 | 509,496 | |||
*† | AmeriCredit | 24,900 | 393,171 | ||
Associated Banccorp | 13,000 | 148,460 | |||
Assured Guaranty | 30,360 | 589,591 | |||
Berkshire Hills Bancorp | 25,500 | 559,470 | |||
First Busey | 55,000 | 258,500 | |||
* | GATX | 42,700 | 1,193,464 | ||
GFI Group | 72,620 | 525,043 | |||
† | Guaranty Bancorp | 63,000 | 93,240 | ||
† | H&E Equipment Services | 64,900 | 735,317 | ||
K-Fed Bancorp | 72,000 | 649,440 | |||
Lakeland Financial | 16,900 | 348,985 | |||
Lancashire Holdings | 87,741 | 715,750 | |||
MB Financial | 48,000 | 1,006,560 | |||
† | MF Global | 83,700 | 608,499 | ||
Platinum Underwriters Holdings | 20,230 | 725,043 | |||
† | Signature Bank | 21,387 | 620,223 | ||
† | Stifel Financial | 9,275 | 509,198 | ||
† | SVB Financial Group | 19,600 | 848,092 | ||
TCF Financial | 38,300 | 499,432 | |||
Tower Group | 15,000 | 365,850 | |||
Trico Bancshares | 22,000 | 360,800 | |||
* | Valley National Bancorp | 96,275 | 1,183,220 | ||
ViewPoint Financial Group | 44,200 | 620,568 | |||
Wilmington Trust | 15,300 | 217,260 | |||
*† | World Acceptance | 6,000 | 151,260 | ||
14,831,932 | |||||
Health Care – 14.05% | |||||
† | Alexion Pharmaceuticals | 20,400 | 908,616 | ||
† | Alkermes | 51,920 | 477,145 | ||
† | Allos Therapeutics | 24,000 | 174,000 | ||
*† | Allscripts-Misys | ||||
Healthcare Solutions | 48,240 | 977,825 | |||
*† | Almost Family | 16,060 | 477,785 | ||
*† | AMAG Pharmaceuticals | 6,000 | 262,080 | ||
† | American Medical System Holdings | 15,100 | 255,492 | ||
*† | Auxilium Pharmaceuticals | 35,600 | 1,217,876 | ||
*† | BioMarin Pharmaceutical | 16,600 | 300,128 | ||
*† | Cephalon | 14,330 | 834,579 | ||
*† | Cepheid | 10,000 | 132,200 | ||
† | Cubist Pharmaceuticals | 26,380 | 532,876 | ||
† | Health Net | 53,860 | 829,444 | ||
† | HealthSouth | 55,420 | 866,769 | ||
Herbalife | 38,790 | 1,269,985 | |||
† | Hologic | 25,900 | 423,206 | ||
† | Human Genome Sciences | 26,000 | 489,320 | ||
† | ICON ADR | 55,160 | 1,350,868 | ||
*† | Idexx Laboratories | 9,000 | 450,000 | ||
*† | Illumina | 13,600 | 578,000 | ||
*† | Immucor | 15,000 | 265,500 | ||
*† | InterMune | 11,000 | 175,230 | ||
† | Inverness Medical Innovations | 23,420 | 907,057 | ||
† | Ligand Pharmaceuticals Class B | 70,620 | 163,132 | ||
*† | Luminex | 14,500 | 246,500 | ||
† | Medicines | 40,310 | 443,813 | ||
*† | Micromet | 15,000 | 99,900 | ||
† | Myriad Genetics | 11,200 | 306,880 | ||
† | Nektar Therapeutics | 18,000 | 175,320 | ||
† | NPS Pharmaceuticals | 30,000 | 120,600 | ||
*† | Onyx Pharmaceuticals | 21,520 | 644,954 | ||
† | Orthofix International | 10,000 | 293,900 | ||
*† | OSI Pharmaceuticals | 20,430 | 721,179 | ||
*† | Poniard Pharmaceuticals | 16,400 | 122,672 | ||
† | PSS World Medical | 24,000 | 523,920 | ||
† | Psychiatric Solutions | 54,620 | 1,461,631 | ||
* | Quality Systems | 8,800 | 541,816 | ||
† | Regeneron Pharmaceuticals | 29,360 | 566,648 | ||
† | Seattle Genetics | 73,790 | 1,035,274 | ||
† | Sirona Dental Systems | 9,000 | 267,750 | ||
† | SXC Health Solutions | 18,700 | 874,973 | ||
*† | Thoratec | 2,100 | 63,567 | ||
† | United Therapeutics | 21,560 | 1,056,224 | ||
† | Vertex Pharmaceuticals | 13,620 | 516,198 | ||
† | Volcano | 49,410 | 831,076 | ||
† | Zoll Medical | 23,050 | 496,036 | ||
25,729,944 | |||||
Real Estate – 2.94% | |||||
BioMed Realty Trust | 24,000 | 331,200 | |||
† | BR Malls Participacoes | 36,700 | 433,385 | ||
Corporate Office Properties Trust | 18,600 | 685,968 | |||
† | DiamondRock Hospitality | 55,730 | 451,413 | ||
Extra Space Storage | 27,600 | 291,180 | |||
Kite Realty Group Trust | 147,300 | 614,241 | |||
* | Macerich | 22,129 | 671,162 | ||
Rossi Residencial | 96,090 | 772,929 | |||
SL Green Realty | 26,000 | 1,140,101 | |||
5,391,579 | |||||
Technology – 26.30% | |||||
Amphenol Class A | 28,400 | 1,070,112 | |||
† | ANSYS | 37,300 | 1,397,631 | ||
*† | Atheros Communications | 16,030 | 425,276 | ||
† | BE Aerospace | 66,060 | 1,330,448 | ||
† | Blue Coat Systems | 19,500 | 440,505 |
(continues) 43
Statements of net assets
Optimum Small-Mid Cap Growth Fund
Number of | ||||||
Shares | Value | |||||
Common Stock (continued) | ||||||
Technology (continued) | ||||||
*† | Cavium Networks | 15,570 | $ | 334,288 | ||
† | CommScope | 8,800 | 263,384 | |||
† | Crown Castle International | 94,300 | 2,957,247 | |||
† | Emdeon Class A | 10,000 | 162,000 | |||
† | Entegris | 82,500 | 408,375 | |||
*† | Equinix | 17,130 | 1,575,960 | |||
† | eResearch Technology | 31,300 | 219,100 | |||
† | ESCO Technologies | 11,200 | 441,280 | |||
*† | FLIR Systems | 30,000 | 839,100 | |||
† | II-VI | 30,300 | 770,832 | |||
† | Informatica | 62,900 | 1,420,282 | |||
† | Integrated Device Technology | 110,400 | 746,304 | |||
† | IPG Photonics | 81,900 | 1,244,880 | |||
Jabil Circuit | 97,550 | 1,308,146 | ||||
† | Microsemi | 64,900 | 1,024,771 | |||
† | Monolithic Power Systems | 12,000 | 281,400 | |||
† | NETGEAR | 16,000 | 293,600 | |||
† | NeuStar Class A | 55,950 | 1,264,470 | |||
† | Nice Systems ADR | 11,000 | 334,840 | |||
† | Novell | 183,500 | 827,585 | |||
*† | ON Semiconductor | 303,910 | 2,507,257 | |||
† | PAETEC Holding | 79,200 | 306,504 | |||
† | Plexus | 57,140 | 1,505,068 | |||
*† | Polycom | 114,070 | 3,051,372 | |||
† | Rackspace Hosting | 46,100 | 786,466 | |||
† | Red Hat | 47,890 | 1,323,680 | |||
† | RF Micro Devices | 223,730 | 1,214,854 | |||
*† | Riverbed Technology | 35,030 | 769,259 | |||
† | SBA Communications Class A | 7,500 | 202,725 | |||
Seagate Technology | 131,670 | 2,002,701 | ||||
*† | Skyworks Solutions | 74,470 | 985,983 | |||
† | SMA Solar Technology | 8,105 | 824,217 | |||
† | SRA International Class A | 34,200 | 738,378 | |||
*† | Starent Networks | 35,410 | 900,122 | |||
† | Stratasys | 18,000 | 308,880 | |||
† | Supertex | 29,300 | 879,000 | |||
† | Switch & Data Facilities | 44,400 | 604,284 | |||
† | Sykes Enterprises | 37,240 | 775,337 | |||
† | Take-Two Interactive Software | 49,020 | 549,514 | |||
† | Teledyne Technologies | 28,760 | 1,035,072 | |||
† | Trimble Navigation | 6,000 | 143,460 | |||
† | TriQuint Semiconductor | 155,590 | 1,201,155 | |||
*† | TW Telecom | 156,700 | 2,107,615 | |||
*† | Tyler Technologies | 8,600 | 146,974 | |||
† | Virtusa | 65,694 | 623,436 | |||
† | Vocus | 42,200 | 881,558 | |||
† | Zebra Technologies | 16,000 | 414,880 | |||
48,171,567 | ||||||
Transportation – 2.34% | ||||||
† | CAI International | 38,300 | 282,271 | |||
Con-Way | 22,290 | 854,153 | ||||
Copa Holdings Class A | 13,230 | 588,603 | ||||
* | Heartland Express | 42,000 | 604,800 | |||
* | Hunt (J.B.) Transport Services | 25,590 | 822,207 | |||
* | Overseas Shipholding Group | 14,500 | 541,865 | |||
† | Tam ADR | 45,740 | 590,503 | |||
4,284,402 | ||||||
Total Common Stock | ||||||
(cost $159,609,768) | 180,983,389 | |||||
Exchange Traded Fund – 0.64% | ||||||
* | iShares Russell 2000 | |||||
Growth Index Fund | 18,000 | 1,179,180 | ||||
Total Exchange Traded Fund | ||||||
(cost $980,111) | 1,179,180 | |||||
Warrants – 0.00% | ||||||
†= | Isoray, exercise price $5.00, | |||||
expiration date 3/22/11 | 28,000 | 0 | ||||
†=@# | Medicure Restricted PIPE | 74,014 | 0 | |||
Total Warrants (cost $0) | 0 | |||||
Principal | ||||||
Amount | ||||||
¹Discount Notes – 0.96% | ||||||
Fannie Mae 0.04% 10/14/09 | $ | 1,066,146 | 1,066,130 | |||
Federal Home Loan Bank | ||||||
0.001% 10/1/09 | 425,858 | 425,858 | ||||
0.01% 10/9/09 | 80,406 | 80,406 | ||||
0.03% 10/28/09 | 26,895 | 26,895 | ||||
0.04% 10/30/09 | 160,812 | 160,809 | ||||
Total Discount Notes | ||||||
(cost $1,760,096) | 1,760,098 | |||||
Total Value of Securities Before Securities | ||||||
Lending Collateral – 100.42% | ||||||
(cost $162,349,975) | 183,922,667 | |||||
Number of | ||||||
Shares | ||||||
Securities Lending Collateral** – 12.99% | ||||||
Investment Companies | ||||||
Mellon GSL DBT II | ||||||
Collateral Fund | 15,110,715 | 15,110,715 | ||||
BNY Mellon SL DB II | ||||||
Liquidating Fund | 8,780,745 | 8,677,132 | ||||
@† | Mellon GSL Reinvestment Trust II | 510,265 | 51 | |||
Total Securities Lending Collateral | ||||||
(cost $24,401,725) | 23,787,898 |
44
Total Value of Securities – 113.41% | |||||
(cost $186,751,700) | $ | 207,710,565 | © | ||
Obligation to Return Securities | |||||
Lending Collateral** – (13.32%) | (24,401,725 | ) | |||
Liabilities Net of Receivables and | |||||
Other Assets – (0.09%) | (160,032 | ) | |||
Net Assets Applicable to 18,445,461 | |||||
Shares Outstanding – 100.00% | $ | 183,148,808 | |||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | |||||
Class A ($6,448,119 / 657,099 Shares) | $ 9.81 | ||||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | |||||
Class B ($1,123,246 / 119,360 Shares) | $ 9.41 | ||||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | |||||
Class C ($22,899,118 / 2,433,846 Shares) | $ 9.41 | ||||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | |||||
Institutional Class ($152,678,325 / 15,235,156 Shares) | $10.02 | ||||
Components of Net Assets at September 30, 2009: | |||||
Shares of beneficial interest | |||||
(unlimited authorization – no par) | $ | 195,535,973 | |||
Accumulated net realized loss on investments | (33,346,029 | ) | |||
Net unrealized appreciation of investments | 20,958,864 | ||||
Total net assets | $ | 183,148,808 |
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. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At September 30, 2009, the aggregate amount of fair valued securities was $0, which represented 0.00% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
@ | Illiquid security. At September 30, 2009, the aggregate amount of illiquid securities was $51, which represented 0.00% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2009, the aggregate amount of Rule 144A securities was $0, which represented 0.00% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
© | Includes $23,719,311 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-Mid Cap Growth Fund | |||
Net asset value Class A (A) | $ | 9.81 | |
Sales charge (5.75% of offering price) (B) | 0.60 | ||
Offering price | $ | 10.41 |
(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-Mid Cap Value Fund
September 30, 2009 (Unaudited)
Number of | |||||
Shares | Value | ||||
Common Stock – 92.80% | |||||
Basic Industry – 13.43% | |||||
Airgas | 22,600 | $ | 1,093,162 | ||
Albany International | 110,000 | 2,134,000 | |||
Albemarle | 34,000 | 1,176,400 | |||
* | Allegheny Technologies | 15,700 | 549,343 | ||
AMETEK | 22,000 | 768,020 | |||
* | Aptargroup | 28,300 | 1,057,288 | ||
Ashland | 24,000 | 1,037,280 | |||
Brady Class A | 27,000 | 775,440 | |||
Carlisle | 20,000 | 678,200 | |||
Cliffs Natural Resources | 18,000 | 582,480 | |||
Crane | 42,000 | 1,084,020 | |||
Cytec Industries | 26,000 | 844,220 | |||
* | Eastman Chemical | 30,200 | 1,616,908 | ||
FMC | 23,000 | 1,293,750 | |||
Kaiser Aluminum | 18,500 | 672,660 | |||
† | KapStone Paper & Packaging | 145,000 | 1,180,300 | ||
Lennox International | 14,000 | 505,680 | |||
Quanex Building Products | 41,000 | 588,760 | |||
† | Solutia | 23,000 | 266,340 | ||
Sonoco Products | 48,000 | 1,321,920 | |||
† | Trex | 34,500 | 627,900 | ||
19,854,071 | |||||
Business Services – 7.45% | |||||
† | Brink’s Home Security Holdings | 33,700 | 1,037,623 | ||
Courier | 53,718 | 813,828 | |||
Deluxe | 22,000 | 376,200 | |||
Donnelley (R.R.) & Sons | 86,000 | 1,828,359 | |||
Dun & Bradstreet | 10,000 | 753,200 | |||
Ennis | 81,890 | 1,320,886 | |||
Factset Research Systems | 8,400 | 556,416 | |||
Manpower | 10,100 | 572,771 | |||
† | MPS Group | 100,000 | 1,052,000 | ||
Total System Services | 65,900 | 1,061,649 | |||
† | WESCO International | 57,000 | 1,641,600 | ||
11,014,532 | |||||
Capital Spending – 9.70% | |||||
* | Acuity Brands | 35,000 | 1,127,350 | ||
† | Advanced Energy Industries | 93,325 | 1,328,948 | ||
*† | AGCO | 37,600 | 1,038,888 | ||
American Ecology | 42,944 | 803,053 | |||
Cummins | 11,000 | 492,910 | |||
† | Gardner Denver | 17,300 | 603,424 | ||
Gorman-Rupp | 16,500 | 411,015 | |||
Graham | 32,489 | 505,204 | |||
* | Granite Construction | 29,700 | 918,918 | ||
Hubbell Class B | 20,000 | 840,000 | |||
IDEX | 23,000 | 642,850 | |||
*† | Jacobs Engineering Group | 23,600 | 1,084,420 | ||
Kennametal | 75,000 | 1,845,750 | |||
Tennant | 30,600 | 889,236 | |||
Tyco International | 25,000 | 862,000 | |||
† | URS | 11,300 | 493,245 | ||
† | Wabash National | 170,200 | 462,944 | ||
14,350,155 | |||||
Consumer Cyclical – 8.88% | |||||
* | Alberto-Culver | 38,600 | 1,068,448 | ||
* | Barnes Group | 103,000 | 1,760,270 | ||
*† | BorgWarner | 33,800 | 1,022,788 | ||
* | Ethan Allen Interiors | 152,800 | 2,521,200 | ||
† | Exide Technologies | 200,890 | 1,601,093 | ||
Hooker Furniture | 73,752 | 995,652 | |||
Knoll | 117,000 | 1,220,310 | |||
* | Leggett & Platt | 27,000 | 523,800 | ||
Stanley Works | 32,000 | 1,366,080 | |||
Tupperware Brands | 26,300 | 1,049,896 | |||
13,129,537 | |||||
Consumer Services – 5.84% | |||||
† | BJ’s Wholesale Club | 30,200 | 1,093,844 | ||
† | Collective Brands | 101,000 | 1,750,330 | ||
*† | Dress Barn | 52,700 | 944,911 | ||
Foot Locker | 113,000 | 1,350,350 | |||
† | Genesco | 36,500 | 878,555 | ||
Ingles Markets Class A | 56,907 | 900,838 | |||
*† | RSC Holdings | 36,000 | 261,720 | ||
† | Rush Enterprises Class A | 49,500 | 639,540 | ||
* | Sturm Ruger | 63,292 | 818,998 | ||
8,639,086 | |||||
Consumer Staples – 2.85% | |||||
† | Chiquita Brands International | 74,873 | 1,209,948 | ||
† | Dr Pepper Snapple Group | 36,700 | 1,055,125 | ||
Molson Coors Brewing Class B | 20,400 | 993,072 | |||
Smucker (J.M.) | 18,100 | 959,481 | |||
4,217,626 | |||||
Energy – 4.53% | |||||
Cabot Oil & Gas | 26,000 | 929,500 | |||
* | CARBO Ceramics | 15,000 | 773,250 | ||
Gulf Island Fabrication | 50,260 | 941,872 | |||
† | Newpark Resources | 291,850 | 936,839 | ||
† | Plains Exploration & Production | 37,500 | 1,037,250 | ||
Southern Union | 100,200 | 2,083,158 | |||
6,701,869 | |||||
Financial Services – 11.79% | |||||
American Equity Investment | |||||
Life Holding | 182,120 | 1,278,482 | |||
AXIS Capital Holdings | 35,300 | 1,065,354 | |||
Commerce Bancshares | 26,300 | 979,412 | |||
Dime Community Bancshares | 103,750 | 1,185,863 | |||
Eaton Vance | 38,000 | 1,063,620 | |||
Everest Re Group | 11,400 | 999,780 | |||
† | FPIC Insurance Group | 29,915 | 1,003,648 | ||
HCC Insurance Holdings | 37,500 | 1,025,625 | |||
Horace Mann Educators | 93,950 | 1,312,482 | |||
Hudson City Bancorp | 77,300 | 1,016,495 | |||
† | LaBranche | 97,160 | 330,344 | ||
Lazard Class A | 24,800 | 1,024,488 | |||
Old National Bancorp | 59,650 | 668,080 | |||
People’s United Financial | 61,300 | 953,828 | |||
Safety Insurance Group | 16,600 | 546,472 | |||
* | Suffolk Bancorp | 46,645 | 1,381,158 |
46
Number of | |||||||
Shares | Value | ||||||
Common Stock (continued) | |||||||
Financial Services (continued) | |||||||
Transatlantic Holdings | 10,600 | $ | 531,802 | ||||
Willis Group Holdings | 37,700 | 1,063,894 | |||||
17,430,827 | |||||||
Health Care – 6.09% | |||||||
† | Cephalon | 4,700 | 273,728 | ||||
† | Charles River Laboratories International | 10,000 | 369,800 | ||||
† | Conmed | 27,200 | 521,424 | ||||
* | DENTSPLY International | 28,900 | 998,206 | ||||
*† | Laboratory Corp. of America Holdings | 15,600 | 1,024,920 | ||||
† | LifePoint Hospitals | 33,720 | 912,463 | ||||
* | Mead Johnson Nutrition Class A | 24,300 | 1,096,173 | ||||
*† | Natus Medical | 17,600 | 271,568 | ||||
Pharmaceutical Product Development | 28,000 | 614,320 | |||||
† | RehabCare Group | 45,613 | 989,346 | ||||
STERIS | 29,000 | 883,050 | |||||
Universal Health Services Class B | 17,000 | 1,052,810 | |||||
9,007,808 | |||||||
Real Estate – 0.69% | |||||||
Equity Lifestyle Properties | 11,800 | 504,922 | |||||
Healthcare Realty Trust | 24,300 | 513,459 | |||||
1,018,381 | |||||||
Technology – 18.42% | |||||||
† | 3Com | 234,850 | 1,228,266 | ||||
*† | Alliant Techsystems | 12,700 | 988,695 | ||||
Altera | 25,600 | 525,056 | |||||
Amphenol Class A | 13,600 | 512,448 | |||||
† | CACI International Class A | 21,200 | 1,002,124 | ||||
† | Checkpoint Systems | 83,000 | 1,364,520 | ||||
† | Ciber | 201,725 | 806,900 | ||||
Cohu | 76,748 | 1,040,703 | |||||
† | CommScope | 37,600 | 1,125,368 | ||||
Diebold | 23,000 | 757,390 | |||||
Ducommun | 52,970 | 1,001,663 | |||||
† | Esterline Technologies | 44,000 | 1,725,240 | ||||
† | Fairchild Semiconductor International | 86,000 | 879,780 | ||||
† | Flextronics International | 379,999 | 2,834,793 | ||||
* | Gentex | 34,400 | 486,760 | ||||
Harris | 24,000 | 902,400 | |||||
† | Intermec | 39,200 | 552,720 | ||||
† | LeCroy | 50,000 | 202,500 | ||||
† | McAfee | 24,300 | 1,064,097 | ||||
Methode Electronics | 105,108 | 911,286 | |||||
† | Plexus | 10,000 | 263,400 | ||||
† | Rudolph Technologies | 164,292 | 1,215,761 | ||||
† | Stratasys | 27,800 | 477,048 | ||||
*† | Sybase | 28,500 | 1,108,650 | ||||
† | Teradyne | 68,000 | 629,000 | ||||
*† | Thermo Fisher Scientific | 33,500 | 1,462,945 | ||||
† | VASCO Data Security International | 123,478 | 916,207 | ||||
† | Vishay Intertechnology | 158,000 | 1,248,200 | ||||
27,233,920 | |||||||
Transportation – 1.46% | |||||||
* | Alexander & Baldwin | 32,100 | 1,030,089 | ||||
SkyWest | 67,860 | 1,125,119 | |||||
2,155,208 | |||||||
Utilities – 1.67% | |||||||
* | DPL | 38,200 | 997,020 | ||||
DTE Energy | 13,800 | 484,932 | |||||
Wisconsin Energy | 21,900 | 989,223 | |||||
2,471,175 | |||||||
Total Common Stock | |||||||
(cost $118,749,065) | 137,224,195 | ||||||
Principal | |||||||
Amount | |||||||
¹Discount Notes – 7.26% | |||||||
Fannie Mae 0.04% 10/14/09 | $ | 6,348,286 | 6,348,187 | ||||
Federal Home Loan Bank | |||||||
0.001% 10/1/09 | 2,535,739 | 2,535,739 | |||||
0.01% 10/9/09 | 555,710 | 555,708 | |||||
0.03% 10/28/09 | 185,885 | 185,883 | |||||
0.04% 10/30/09 | 1,111,419 | 1,111,406 | |||||
Total Discount Notes | |||||||
(cost $10,736,906) | 10,736,923 | ||||||
Total Value of Securities Before Securities | |||||||
Lending Collateral – 100.06% | |||||||
(cost $129,485,971) | 147,961,118 | ||||||
Number of | |||||||
Shares | |||||||
Securities Lending Collateral** – 8.82% | |||||||
Investment Companies | |||||||
Mellon GSL DBT II Collateral Fund | 7,804,384 | 7,804,384 | |||||
BNY Mellon SL DBT II | |||||||
Liquidating Fund | 5,305,108 | 5,242,508 | |||||
@† | Mellon GSL Reinvestment Trust II | 263,528 | 26 | ||||
Total Securities Lending Collateral | |||||||
(cost $13,373,020) | 13,046,918 | ||||||
Total Value of Securities – 108.88% | |||||||
cost $142,858,991) | 161,008,036 | © | |||||
Obligation to Return Securities | |||||||
Lending Collateral** – (9.04%) | (13,373,020 | ) | |||||
Receivables and Other Assets | |||||||
Net of Liabilities – 0.16% | 236,463 | ||||||
Net Assets Applicable to 16,717,917 | |||||||
Shares Outstanding – 100.00% | $ | 147,871,479 |
(continues) 47
Statements of net assets
Optimum Small-Mid Cap Value Fund
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Class A ($5,713,719 / 652,848 Shares) | $8.75 | |||
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Class B ($1,071,575 / 128,045 Shares) | $8.37 | |||
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Class C ($21,153,866 / 2,528,964 Shares) | $8.36 | |||
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Institutional Class ($119,932,319 / 13,408,060 Shares) | $8.94 | |||
Components of Net Assets at September 30, 2009: | ||||
Shares of beneficial interest | ||||
(unlimited authorization – no par) | $ | 170,658,711 | ||
Undistributed net investment income | 38,541 | |||
Accumulated net realized loss on investments | (40,974,818 | ) | ||
Net unrealized appreciation of investments | 18,149,045 | |||
Total net assets | $ | 147,871,479 |
* | Fully or partially on loan. |
† | Non income producing security. |
¹ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
@ | Illiquid security. At September 30, 2009, the aggregate amount of illiquid securities was $26, which represented 0.00% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
© | Includes $12,928,719 of securities loaned. |
Net Asset Value and Offering Price Per Share – | ||
Optimum Small-Mid Cap Value Fund | ||
Net asset value Class A (A) | $ | 8.75 |
Sales charge (5.75% of offering price) (B) | 0.53 | |
Offering price | $ | 9.28 |
(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, 2009 (Unaudited)
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||
Assets: | |||||||||||||||||
Investments, at value1 | $ | 707,659,254 | $ | 172,715,761 | $ | 652,233,287 | $ | 581,802,530 | $ | 182,162,569 | $ | 137,224,195 | |||||
Short-term, at value | 21,644,167 | 525,993 | 7,864,094 | 6,987,687 | 1,760,098 | 10,736,923 | |||||||||||
Short-term investments held as collateral | |||||||||||||||||
for loaned securities, at value | 30,968,305 | 23,858,841 | 50,146,135 | 44,821,130 | 23,787,898 | 13,046,918 | |||||||||||
Cash | 908,533 | 753,913 | 116,012 | 189,979 | 94,572 | 16,972 | |||||||||||
Foreign currencies, at value | 2,327,810 | 1,594,404 | 2,787 | 517 | 26 | — | |||||||||||
Receivables for fund shares sold | 1,867,348 | 276,775 | 1,204,711 | 1,048,555 | 372,828 | 265,101 | |||||||||||
Receivables for securities sold | 14,384,522 | 1,420,514 | 16,099,154 | 1,031,105 | 889,035 | 365,779 | |||||||||||
Foreign currency contracts, at value | 55,622 | 76,387 | 660 | — | — | — | |||||||||||
Dividends and interest receivable | 7,981,296 | 556,547 | 532,657 | 1,230,723 | 65,088 | 135,392 | |||||||||||
Securities lending income receivable | 6,748 | 7,208 | 10,071 | 5,965 | 4,770 | 2,427 | |||||||||||
Credit default swap contracts, at value | 11,182 | — | — | — | — | — | |||||||||||
Options contracts, at value (premium paid $77,042) | 34,781 | — | — | — | — | — | |||||||||||
Other assets | 76,494 | — | — | — | — | — | |||||||||||
Total assets | 787,926,062 | 201,786,343 | 728,209,568 | 637,118,191 | 209,136,884 | 161,793,707 | |||||||||||
Liabilities: | |||||||||||||||||
Payables for securities purchased | 27,280,179 | 2,486,561 | 11,641,295 | 2,821,199 | 1,205,647 | 272,942 | |||||||||||
Payables for fund shares redeemed | 330,572 | 105,375 | 410,511 | 317,247 | 116,588 | 78,483 | |||||||||||
Variation margin payable on futures contracts | 2,938 | — | — | — | — | — | |||||||||||
Obligation to return securities lending collateral | 32,419,337 | 24,604,485 | 51,452,987 | 46,049,547 | 24,401,725 | 13,373,020 | |||||||||||
Credit default swap contracts, at value | 371,912 | — | — | — | — | — | |||||||||||
Accrued protection payments on credit | |||||||||||||||||
default swaps | 3,153 | — | — | — | — | — | |||||||||||
Due to manager and affiliates | 670,998 | 183,446 | 728,094 | 659,165 | 217,824 | 169,893 | |||||||||||
Other accrued expenses | 92,718 | 76,974 | 71,190 | 64,139 | 45,547 | 27,242 | |||||||||||
Other liabilities | — | 525 | 1,136 | 1,367 | 745 | 648 | |||||||||||
Total liabilities | 61,171,807 | 27,457,366 | 64,305,213 | 49,912,664 | 25,988,076 | 13,922,228 | |||||||||||
Total Net Assets | $ | 726,754,255 | $ | 174,328,977 | $ | 663,904,355 | $ | 587,205,527 | $ | 183,148,808 | $ | 147,871,479 | |||||
Investments, at cost | $ | 715,971,734 | $ | 158,757,916 | $ | 579,696,684 | $ | 608,545,663 | $ | 160,589,879 | $ | 118,749,065 | |||||
Short-term, at cost | 21,644,134 | 525,992 | 7,864,080 | 6,987,676 | 1,760,096 | 10,736,906 | |||||||||||
Short-term investments held as collateral | |||||||||||||||||
for loaned securities, at cost | 32,419,337 | 24,604,485 | 51,452,987 | 46,049,547 | 24,401,725 | 13,373,020 | |||||||||||
Foreign currencies, at cost | 2,335,372 | 1,566,201 | 2,739 | 509 | 27 | — | |||||||||||
1Including securities on loan | 31,615,416 | 23,407,264 | 50,106,641 | 44,617,403 | 23,719,311 | 12,928,719 |
See accompanying notes
49
Statements of operations
Optimum Fund Trust
Six Months Ended September 30, 2009 (Unaudited)
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends | $ | 147,547 | $ | 3,388,039 | $ | 4,325,420 | $ | 8,675,101 | $ | 415,728 | $ | 940,106 | |||||||||||
Interest | 31,833,656 | 263 | 5,122 | 3,973 | 1,533 | 4,881 | |||||||||||||||||
Securities lending income | 61,053 | 145,854 | 171,345 | 70,934 | 62,173 | 25,522 | |||||||||||||||||
Foreign tax withheld | — | (294,195 | ) | (93,646 | ) | (60,921 | ) | (452 | ) | — | |||||||||||||
32,042,256 | 3,239,961 | 4,408,241 | 8,689,087 | 478,982 | 970,509 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Management fees | 2,015,606 | 627,821 | 2,308,961 | 2,046,630 | 728,071 | 595,628 | |||||||||||||||||
Distribution expenses – Class A | 70,288 | 20,297 | 56,796 | 54,495 | 9,959 | 8,879 | |||||||||||||||||
Distribution expenses – Class B | 28,326 | 10,855 | 27,735 | 27,304 | 4,865 | 4,673 | |||||||||||||||||
Distribution expenses – Class C | 815,854 | 208,616 | 587,725 | 572,127 | 99,781 | 92,991 | |||||||||||||||||
Dividend disbursing and transfer agent | |||||||||||||||||||||||
fees and expenses | 886,239 | 281,113 | 805,440 | 760,922 | 257,242 | 239,395 | |||||||||||||||||
Administration expenses | 535,853 | 126,710 | 482,520 | 453,915 | 109,211 | 94,368 | |||||||||||||||||
Accounting fees | 135,195 | 30,718 | 119,957 | 111,784 | 26,475 | 22,877 | |||||||||||||||||
Professional fees | 63,081 | 28,199 | 54,257 | 50,952 | 24,323 | 22,717 | |||||||||||||||||
Reports and statements to shareholders | 53,279 | 64,064 | 38,858 | 36,855 | 6,031 | 43,182 | |||||||||||||||||
Registration fees | 51,087 | 27,622 | 53,346 | 54,182 | 27,594 | 26,103 | |||||||||||||||||
Trustees’ fees | 45,812 | 10,260 | 39,635 | 37,008 | 8,312 | 7,780 | |||||||||||||||||
Pricing fees | 26,992 | 11,903 | 1,258 | 805 | 1,083 | 525 | |||||||||||||||||
Insurance fees | 24,444 | 4,530 | 19,356 | 17,298 | 2,712 | 2,724 | |||||||||||||||||
Custodian fees | 17,148 | 85,797 | 15,337 | 12,567 | 9,238 | 1,583 | |||||||||||||||||
Other | 8,500 | 2,468 | 8,375 | 6,423 | 3,562 | 3,578 | |||||||||||||||||
4,777,704 | 1,540,973 | 4,619,556 | 4,243,267 | 1,318,459 | 1,167,003 | ||||||||||||||||||
Less fees waived | (728,529 | ) | (217,535 | ) | (163,751 | ) | (198,177 | ) | (180,988 | ) | (238,068 | ) | |||||||||||
Total operating expenses | 4,049,175 | 1,323,438 | 4,455,805 | 4,045,090 | 1,137,471 | 928,935 | |||||||||||||||||
Net Investment Income (Loss) | 27,993,081 | 1,916,523 | (47,564 | ) | 4,643,997 | (658,489 | ) | 41,574 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on | |||||||||||||||||||||||
Investments and Foreign Currencies: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments | 8,861,207 | 1,380,212 | 31,267,447 | (55,509,101 | ) | 3,772,516 | (3,519,425 | ) | |||||||||||||||
Futures contracts | 415,462 | 540,100 | — | — | — | — | |||||||||||||||||
Swap contracts | (172,305 | ) | — | — | — | — | — | ||||||||||||||||
Options contracts | 78,365 | — | — | — | — | — | |||||||||||||||||
Foreign currencies | 825,509 | 1,010,339 | (27,195 | ) | (1,242 | ) | (13,304 | ) | — | ||||||||||||||
Net realized gain (loss) | 10,008,238 | 2,930,651 | 31,240,252 | (55,510,343 | ) | 3,759,212 | (3,519,425 | ) | |||||||||||||||
Net change in unrealized appreciation/depreciation | |||||||||||||||||||||||
of investments and foreign currencies | 83,970,002 | 52,882,272 | 151,650,061 | 216,754,107 | 44,652,265 | 49,825,487 | |||||||||||||||||
Net Realized and Unrealized Gain on | |||||||||||||||||||||||
Investments and Foreign Currencies | 93,978,240 | 55,812,923 | 182,890,313 | 161,243,764 | 48,411,477 | 46,306,062 | |||||||||||||||||
Net Increase in Net Assets | |||||||||||||||||||||||
Resulting from Operations | $ | 121,971,321 | $ | 57,729,446 | $ | 182,842,749 | $ | 165,887,761 | $ | 47,752,988 | $ | 46,347,636 |
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 | ||||||||||||
9/30/09 | 3/31/09 | 9/30/09 | 3/31/09 | ||||||||||||
(Unaudited) | (Unaudited) | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||
Net investment income | $ | 27,993,081 | $ | 45,259,747 | $ | 1,916,523 | $ | 5,709,309 | |||||||
Net realized gain (loss) on investments and foreign currencies | 10,008,238 | (35,418,699 | ) | 2,930,651 | (71,368,918 | ) | |||||||||
Net change in unrealized appreciation/depreciation of investments | |||||||||||||||
and foreign currencies | 83,970,002 | (82,939,229 | ) | 52,882,272 | (63,546,680 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | 121,971,321 | (73,098,181 | ) | 57,729,446 | (129,206,289 | ) | |||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||
Net investment income: | |||||||||||||||
Class A | (732,587 | ) | (2,815,733 | ) | (210,267 | ) | (493,786 | ) | |||||||
Class B | (100,472 | ) | (338,536 | ) | (36,894 | ) | (70,734 | ) | |||||||
Class C | (2,929,353 | ) | (10,040,182 | ) | (708,468 | ) | (1,430,805 | ) | |||||||
Institutional Class | (8,353,957 | ) | (32,218,868 | ) | (1,796,991 | ) | (4,568,363 | ) | |||||||
Net realized gain on investments: | |||||||||||||||
Class A | — | (185,122 | ) | — | (367,545 | ) | |||||||||
Class B | — | (25,716 | ) | — | (67,937 | ) | |||||||||
Class C | — | (760,332 | ) | — | (1,377,512 | ) | |||||||||
Institutional Class | — | (1,866,977 | ) | — | (2,915,201 | ) | |||||||||
(12,116,369 | ) | (48,251,466 | ) | (2,752,620 | ) | (11,291,883 | ) | ||||||||
Capital Share Transactions: | |||||||||||||||
Proceeds from shares sold: | |||||||||||||||
Class A | 1,433,403 | 6,623,498 | 418,686 | 2,313,214 | |||||||||||
Class B | 38,962 | 219,675 | 21,333 | 82,515 | |||||||||||
Class C | 7,731,726 | 27,432,690 | 2,020,739 | 8,001,047 | |||||||||||
Institutional Class | 73,061,159 | 184,532,148 | 11,560,786 | 42,881,265 | |||||||||||
Net asset value of shares issued upon reinvestment of dividends | |||||||||||||||
and distributions: | |||||||||||||||
Class A | 717,944 | 2,946,630 | 206,977 | 846,619 | |||||||||||
Class B | 98,400 | 347,873 | 36,076 | 136,079 | |||||||||||
Class C | 2,860,939 | 10,523,332 | 699,188 | 2,774,434 | |||||||||||
Institutional Class | 8,100,923 | 33,212,241 | 1,769,245 | 7,383,252 | |||||||||||
94,043,456 | 265,838,087 | 16,733,030 | 64,418,425 | ||||||||||||
Cost of shares repurchased: | |||||||||||||||
Class A | (6,802,948 | ) | (25,792,318 | ) | (1,606,029 | ) | (5,873,329 | ) | |||||||
Class B | (701,290 | ) | (2,825,370 | ) | (156,857 | ) | (707,047 | ) | |||||||
Class C | (24,363,120 | ) | (106,393,836 | ) | (5,462,000 | ) | (21,017,796 | ) | |||||||
Institutional Class | (81,528,528 | ) | (300,003,025 | ) | (15,448,030 | ) | (57,589,007 | ) | |||||||
(113,395,886 | ) | (435,014,549 | ) | (22,672,916 | ) | (85,187,179 | ) | ||||||||
Decrease in net assets derived from capital share transactions | (19,352,430 | ) | (169,176,462 | ) | (5,939,886 | ) | (20,768,754 | ) | |||||||
Net Increase (Decrease) in Net Assets | 90,502,522 | (290,526,109 | ) | 49,036,940 | (161,266,926 | ) | |||||||||
Net Assets: | |||||||||||||||
Beginning of period | 636,251,733 | 926,777,842 | 125,292,037 | 286,558,963 | |||||||||||
End of period | $ | 726,754,255 | $ | 636,251,733 | $ | 174,328,977 | $ | 125,292,037 | |||||||
Undistributed net investment income | $ | 24,412,735 | $ | 7,470,433 | $ | 2,363,808 | $ | 1,631,936 |
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 | ||||||||||||
9/30/09 | 3/31/09 | 9/30/09 | 3/31/09 | ||||||||||||
(Unaudited) | (Unaudited) | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||
Net investment income (loss) | $ | (47,564 | ) | $ | 938,691 | $ | 4,643,997 | $ | 13,717,159 | ||||||
Net realized gain (loss) on investments and foreign currencies | 31,240,252 | (240,980,397 | ) | (55,510,343 | ) | (129,375,435 | ) | ||||||||
Net change in unrealized appreciation/depreciation of investments | |||||||||||||||
and foreign currencies | 151,650,061 | (133,409,382 | ) | 216,754,107 | (229,960,349 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | 182,842,749 | (373,451,088 | ) | 165,887,761 | (345,618,625 | ) | |||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||
Net investment income: | |||||||||||||||
Class A | — | — | (693,967 | ) | (134,409 | ) | |||||||||
Class B | — | — | (82,375 | ) | (8,243 | ) | |||||||||
Class C | — | — | (1,726,789 | ) | (181,720 | ) | |||||||||
Institutional Class | (753,154 | ) | — | (11,111,005 | ) | (2,187,864 | ) | ||||||||
Net realized gain on investments: | |||||||||||||||
Class A | — | — | — | (662,775 | ) | ||||||||||
Class B | — | — | — | (117,880 | ) | ||||||||||
Class C | — | — | — | (2,598,600 | ) | ||||||||||
Institutional Class | — | — | — | (8,022,167 | ) | ||||||||||
(753,154 | ) | — | (13,614,136 | ) | (13,913,658 | ) | |||||||||
Capital Share Transactions: | |||||||||||||||
Proceeds from shares sold: | |||||||||||||||
Class A | 1,273,069 | 7,422,542 | 1,308,944 | 6,566,676 | |||||||||||
Class B | 87,827 | 378,005 | 86,400 | 308,821 | |||||||||||
Class C | 5,954,988 | 24,408,305 | 6,022,665 | 22,022,257 | |||||||||||
Institutional Class | 59,569,113 | 175,624,121 | 52,196,247 | 177,257,043 | |||||||||||
Net asset value of shares issued upon reinvestment of dividends | |||||||||||||||
and distributions: | |||||||||||||||
Class A | — | — | 685,011 | 790,219 | |||||||||||
Class B | — | — | 79,977 | 124,194 | |||||||||||
Class C | — | — | 1,704,441 | 2,749,342 | |||||||||||
Institutional Class | 741,206 | — | 10,938,799 | 10,086,689 | |||||||||||
67,626,203 | 207,832,973 | 73,022,484 | 219,905,241 | ||||||||||||
Cost of shares repurchased: | |||||||||||||||
Class A | (4,236,363 | ) | (14,146,760 | ) | (3,868,608 | ) | (13,441,430 | ) | |||||||
Class B | (429,151 | ) | (1,682,655 | ) | (391,396 | ) | (1,682,955 | ) | |||||||
Class C | (14,095,543 | ) | (52,996,172 | ) | (13,735,178 | ) | (53,211,184 | ) | |||||||
Institutional Class | (104,984,324 | ) | (217,730,097 | ) | (109,100,336 | ) | (178,721,590 | ) | |||||||
(123,745,381 | ) | (286,555,684 | ) | (127,095,518 | ) | (247,057,159 | ) | ||||||||
Decrease in net assets derived from capital share transactions | (56,119,178 | ) | (78,722,711 | ) | (54,073,034 | ) | (27,151,918 | ) | |||||||
Net Increase (Decrease) in Net Assets | 125,970,417 | (452,173,799 | ) | 98,200,591 | (386,684,201 | ) | |||||||||
Net Assets: | |||||||||||||||
Beginning of period | 537,933,938 | 990,107,737 | 489,004,936 | 875,689,137 | |||||||||||
End of period | $ | 663,904,355 | $ | 537,933,938 | $ | 587,205,527 | $ | 489,004,936 | |||||||
Undistributed net investment income | $ | — | $ | 663,683 | $ | 4,623,461 | $ | 13,594,842 |
See accompanying notes
52
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||||||||||
Six Months | Year | Six Months | Year | ||||||||||||
Ended | Ended | Ended | Ended | ||||||||||||
9/30/09 | 3/31/09 | 9/30/09 | 3/31/09 | ||||||||||||
(Unaudited) | (Unaudited) | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||
Net investment income (loss) | $ | (658,489 | ) | $ | (1,007,593 | ) | $ | 41,574 | $ | 182,207 | |||||
Net realized gain (loss) on investments | 3,759,212 | (34,407,162 | ) | (3,519,425 | ) | (35,907,840 | ) | ||||||||
Net change in unrealized appreciation/depreciation of investments | 44,652,265 | (19,400,809 | ) | 49,825,487 | (17,180,970 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | 47,752,988 | (54,815,564 | ) | 46,347,636 | (52,906,603 | ) | |||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||
Net realized gain on investments: | |||||||||||||||
Class A | — | — | — | (15,258 | ) | ||||||||||
Class B | — | — | — | (2,844 | ) | ||||||||||
Class C | — | — | — | (57,073 | ) | ||||||||||
Institutional Class | — | — | (180,406 | ) | (115,421 | ) | |||||||||
— | — | (180,406 | ) | (190,596 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||
Proceeds from shares sold: | |||||||||||||||
Class A | 266,808 | 1,537,008 | 236,207 | 1,328,927 | |||||||||||
Class B | 27,907 | 76,663 | 20,559 | 70,326 | |||||||||||
Class C | 1,267,307 | 4,919,070 | 1,046,524 | 4,307,673 | |||||||||||
Institutional Class | 74,377,142 | 29,232,627 | 37,081,313 | 50,305,391 | |||||||||||
Net asset value of shares issued upon reinvestment of dividends | |||||||||||||||
and distributions: | |||||||||||||||
Class A | — | — | — | 15,258 | |||||||||||
Class B | — | — | — | 2,813 | |||||||||||
Class C | — | — | — | 56,432 | |||||||||||
Institutional Class | — | — | 177,262 | 113,479 | |||||||||||
75,939,164 | 35,765,368 | 38,561,865 | 56,200,299 | ||||||||||||
Cost of shares repurchased: | |||||||||||||||
Class A | (726,200 | ) | (2,529,586 | ) | (669,000 | ) | (2,789,717 | ) | |||||||
Class B | (65,896 | ) | (294,311 | ) | (62,571 | ) | (296,932 | ) | |||||||
Class C | (2,513,225 | ) | (9,494,543 | ) | (2,359,222 | ) | (8,872,916 | ) | |||||||
Institutional Class | (12,965,567 | ) | (28,506,205 | ) | (11,526,994 | ) | (23,712,202 | ) | |||||||
(16,270,888 | ) | (40,824,645 | ) | (14,617,787 | ) | (35,671,767 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 59,668,276 | (5,059,277 | ) | 23,944,078 | 20,528,532 | ||||||||||
Net Increase (Decrease) in Net Assets | 107,421,264 | (59,874,841 | ) | 70,111,308 | (32,568,667 | ) | |||||||||
Net Assets: | |||||||||||||||
Beginning of period | 75,727,544 | 135,602,385 | 77,760,171 | 110,328,838 | |||||||||||
End of period | $ | 183,148,808 | $ | 75,727,544 | $ | 147,871,479 | $ | 77,760,171 | |||||||
Undistributed (accumulated) net investment income (loss) | $ | — | $ | (949 | ) | $ | 38,541 | $ | 177,373 |
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 | ||||||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $7.750 | $8.930 | $9.050 | $8.740 | $8.890 | $8.980 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.347 | 0.449 | 0.402 | 0.399 | 0.316 | 0.279 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||||||
and foreign currencies | 1.177 | (1.140 | ) | (0.066 | ) | 0.255 | (0.199 | ) | (0.061 | ) | ||||||||||||||
Total from investment operations | 1.524 | (0.691 | ) | 0.336 | 0.654 | 0.117 | 0.218 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.154 | ) | (0.462 | ) | (0.380 | ) | (0.344 | ) | (0.253 | ) | (0.228 | ) | ||||||||||||
Net realized gain on investments | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | (0.080 | ) | ||||||||||||||
Total dividends and distributions | (0.154 | ) | (0.489 | ) | (0.456 | ) | (0.344 | ) | (0.267 | ) | (0.308 | ) | ||||||||||||
Net asset value, end of period | $9.120 | $7.750 | $8.930 | $9.050 | $8.740 | $8.890 | ||||||||||||||||||
Total return3 | 19.88% | (7.82% | ) | 3.78% | 7.58% | 1.31% | 2.59% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $41,174 | $39,299 | $63,262 | $58,691 | $47,956 | $33,251 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.28% | 1.24% | 1.24% | 1.25% | 1.25% | 1.24% | ||||||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.49% | 1.47% | 1.43% | 1.61% | 1.67% | 1.70% | ||||||||||||||||||
Ratio of net investment income to average net assets | 8.20% | 5.38% | 4.44% | 4.48% | 3.55% | 3.12% | ||||||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 7.99% | 5.15% | 4.25% | 4.12% | 3.13% | 2.66% | ||||||||||||||||||
Portfolio turnover | 131% | 158% | 256% | 238% | 298% | 352% |
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver 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 | ||||||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $7.750 | $8.930 | $9.060 | $8.740 | $8.900 | $8.990 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.320 | 0.395 | 0.343 | 0.342 | 0.258 | 0.221 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||||||
and foreign currencies | 1.183 | (1.140 | ) | (0.076 | ) | 0.264 | (0.209 | ) | (0.055 | ) | ||||||||||||||
Total from investment operations | 1.503 | (0.745 | ) | 0.267 | 0.606 | 0.049 | 0.166 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.153 | ) | (0.408 | ) | (0.321 | ) | (0.286 | ) | (0.195 | ) | (0.176 | ) | ||||||||||||
Net realized gain on investments | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | (0.080 | ) | ||||||||||||||
Total dividends and distributions | (0.153 | ) | (0.435 | ) | (0.397 | ) | (0.286 | ) | (0.209 | ) | (0.256 | ) | ||||||||||||
Net asset value, end of period | $9.100 | $7.750 | $8.930 | $9.060 | $8.740 | $8.900 | ||||||||||||||||||
Total return3 | 19.60% | (8.42% | ) | 2.99% | 7.01% | 0.54% | 1.88% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $5,825 | $5,483 | $8,788 | $9,568 | $9,278 | $8,405 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.93% | 1.89% | 1.89% | 1.90% | 1.90% | 1.89% | ||||||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.14% | 2.12% | 2.08% | 2.26% | 2.32% | 2.35% | ||||||||||||||||||
Ratio of net investment income to average net assets | 7.55% | 4.73% | 3.79% | 3.83% | 2.90% | 2.47% | ||||||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 7.34% | 4.50% | 3.60% | 3.47% | 2.48% | 2.01% | ||||||||||||||||||
Portfolio turnover | 131% | 158% | 256% | 238% | 298% | 352% | ||||||||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver 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 | ||||||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $7.760 | $8.940 | $9.060 | $8.750 | $8.900 | $8.990 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.320 | 0.395 | 0.343 | 0.341 | 0.258 | 0.221 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||||||
and foreign currencies | 1.173 | (1.140 | ) | (0.066 | ) | 0.255 | (0.199 | ) | (0.055 | ) | ||||||||||||||
Total from investment operations | 1.493 | (0.745 | ) | 0.277 | 0.596 | 0.059 | 0.166 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.153 | ) | (0.408 | ) | (0.321 | ) | (0.286 | ) | (0.195 | ) | (0.176 | ) | ||||||||||||
Net realized gain on investments | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | (0.080 | ) | ||||||||||||||
Total dividends and distributions | (0.153 | ) | (0.435 | ) | (0.397 | ) | (0.286 | ) | (0.209 | ) | (0.256 | ) | ||||||||||||
Net asset value, end of period | $9.100 | $7.760 | $8.940 | $9.060 | $8.750 | $8.900 | ||||||||||||||||||
Total return3 | 19.45% | (8.41% | ) | 3.11% | 6.88% | 0.65% | 1.88% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $169,444 | $157,185 | $257,340 | $227,036 | $186,869 | $125,301 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.93% | 1.89% | 1.89% | 1.90% | 1.90% | 1.89% | ||||||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.14% | 2.12% | 2.08% | 2.26% | 2.32% | 2.35% | ||||||||||||||||||
Ratio of net investment income to average net assets | 7.55% | 4.73% | 3.79% | 3.83% | 2.90% | 2.47% | ||||||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 7.34% | 4.50% | 3.60% | 3.47% | 2.48% | 2.01% | ||||||||||||||||||
Portfolio turnover | 131% | 158% | 256% | 238% | 298% | 352% | ||||||||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver 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 | ||||||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $7.740 | $8.920 | $9.050 | $8.730 | $8.890 | $8.970 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.362 | 0.479 | 0.434 | 0.431 | 0.348 | 0.310 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||||||
and foreign currencies | 1.182 | (1.141 | ) | (0.076 | ) | 0.265 | (0.209 | ) | (0.050 | ) | ||||||||||||||
Total from investment operations | 1.544 | (0.662 | ) | 0.358 | 0.696 | 0.139 | 0.260 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.154 | ) | (0.491 | ) | (0.412 | ) | (0.376 | ) | (0.285 | ) | (0.260 | ) | ||||||||||||
Net realized gain on investments | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | (0.080 | ) | ||||||||||||||
Total dividends and distributions | (0.154 | ) | (0.518 | ) | (0.488 | ) | (0.376 | ) | (0.299 | ) | (0.340 | ) | ||||||||||||
Net asset value, end of period | $9.130 | $7.740 | $8.920 | $9.050 | $8.730 | $8.890 | ||||||||||||||||||
Total return3 | 20.16% | (7.51% | ) | 4.04% | 8.09% | 1.56% | 2.96% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $510,311 | $434,285 | $597,388 | $454,154 | $309,363 | $153,085 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.93% | 0.89% | 0.89% | 0.90% | 0.90% | 0.89% | ||||||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.14% | 1.12% | 1.08% | 1.26% | 1.32% | 1.35% | ||||||||||||||||||
Ratio of net investment income to average net assets | 8.55% | 5.73% | 4.79% | 4.83% | 3.90% | 3.47% | ||||||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||||||
prior to fees waived and expense paid indirectly | 8.34% | 5.50% | 4.60% | 4.47% | 3.48% | 3.01% | ||||||||||||||||||
Portfolio turnover | 131% | 158% | 256% | 238% | 298% | 352% | ||||||||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $7.010 | $13.840 | $15.490 | $13.470 | $11.660 | $10.670 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.109 | 0.280 | 0.262 | 0.112 | 0.180 | 0.050 | |||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 3.201 | (6.557 | ) | (0.798 | ) | 2.661 | 2.456 | 1.069 | |||||||||||
Total from investment operations | 3.310 | (6.277 | ) | (0.536 | ) | 2.773 | 2.636 | 1.119 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.160 | ) | (0.326 | ) | (0.116 | ) | (0.172 | ) | (0.074 | ) | — | ||||||||
Net realized gain on investments | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | ||||||||
Total dividends and distributions | (0.160 | ) | (0.553 | ) | (1.114 | ) | (0.753 | ) | (0.826 | ) | (0.129 | ) | |||||||
Net asset value, end of period | $10.160 | $7.010 | $13.840 | $15.490 | $13.470 | $11.660 | |||||||||||||
Total return3 | 47.67% | (46.64% | ) | (3.96% | ) | 21.26% | 23.54% | 10.62% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $12,767 | $9,578 | $22,971 | $25,523 | $20,247 | $11,300 | |||||||||||||
Ratio of expenses to average net assets | 1.76% | 1.77% | 1.75% | 1.96% | 1.96% | 1.98% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.04% | 1.86% | 1.75% | 1.96% | 2.20% | 2.30% | |||||||||||||
Ratio of net investment income to average net assets | 2.46% | 2.66% | 1.69% | 0.78% | 1.47% | 0.45% | |||||||||||||
Ratio of net investment income to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.18% | 2.57% | 1.69% | 0.78% | 1.23% | 0.13% | |||||||||||||
Portfolio turnover | 89% | 58% | 19% | 18% | 68% | 82% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.880 | $13.580 | $15.240 | $13.290 | $11.530 | $10.620 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)2 | 0.081 | 0.213 | 0.163 | 0.021 | 0.102 | (0.020 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 3.147 | (6.436 | ) | (0.787 | ) | 2.614 | 2.426 | 1.059 | |||||||||||
Total from investment operations | 3.228 | (6.223 | ) | (0.624 | ) | 2.635 | 2.528 | 1.039 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.148 | ) | (0.250 | ) | (0.038 | ) | (0.104 | ) | (0.016 | ) | — | ||||||||
Net realized gain on investments | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | ||||||||
Total dividends and distributions | (0.148 | ) | (0.477 | ) | (1.036 | ) | (0.685 | ) | (0.768 | ) | (0.129 | ) | |||||||
Net asset value, end of period | $9.960 | $6.880 | $13.580 | $15.240 | $13.290 | $11.530 | |||||||||||||
Total return3 | 47.35% | (47.02% | ) | (4.59% | ) | 20.44% | 22.81% | 9.91% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $2,438 | $1,764 | $4,203 | $5,031 | $4,594 | $3,386 | |||||||||||||
Ratio of expenses to average net assets | 2.41% | 2.42% | 2.40% | 2.61% | 2.61% | 2.63% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.69% | 2.51% | 2.40% | 2.61% | 2.85% | 2.95% | |||||||||||||
Ratio of net investment income (loss) to average net assets | 1.81% | 2.01% | 1.04% | 0.13% | 0.82% | (0.20% | ) | ||||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.53% | 1.92% | 1.04% | 0.13% | 0.58% | (0.52% | ) | ||||||||||||
Portfolio turnover | 89% | 58% | 19% | 18% | 68% | 82% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.890 | $13.590 | $15.250 | $13.290 | $11.540 | $10.620 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)2 | 0.081 | 0.213 | 0.163 | 0.021 | 0.102 | (0.020 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 3.137 | (6.436 | ) | (0.787 | ) | 2.624 | 2.416 | 1.069 | |||||||||||
Total from investment operations | 3.218 | (6.223 | ) | (0.624 | ) | 2.645 | 2.518 | 1.049 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.148 | ) | (0.250 | ) | (0.038 | ) | (0.104 | ) | (0.016 | ) | — | ||||||||
Net realized gain on investments | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | ||||||||
Total dividends and distributions | (0.148 | ) | (0.477 | ) | (1.036 | ) | (0.685 | ) | (0.768 | ) | (0.129 | ) | |||||||
Net asset value, end of period | $9.960 | $6.890 | $13.590 | $15.250 | $13.290 | $11.540 | |||||||||||||
Total return3 | 47.13% | (46.98% | ) | (4.59% | ) | 20.51% | 22.69% | 10.01% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $46,697 | $34,520 | $84,431 | $91,696 | $70,828 | $38,517 | |||||||||||||
Ratio of expenses to average net assets | 2.41% | 2.42% | 2.40% | 2.61% | 2.61% | 2.63% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.69% | 2.51% | 2.40% | 2.61% | 2.85% | 2.95% | |||||||||||||
Ratio of net investment income (loss) to average net assets | 1.81% | 2.01% | 1.04% | 0.13% | 0.82% | (0.20% | ) | ||||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.53% | 1.92% | 1.04% | 0.13% | 0.58% | (0.52% | ) | ||||||||||||
Portfolio turnover | 89% | 58% | 19% | 18% | 68% | 82% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $7.050 | $13.940 | $15.590 | $13.550 | $11.720 | $10.690 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.124 | 0.317 | 0.317 | 0.162 | 0.224 | 0.089 | |||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 3.232 | (6.611 | ) | (0.797 | ) | 2.679 | 2.464 | 1.079 | |||||||||||
Total from investment operations | 3.356 | (6.294 | ) | (0.480 | ) | 2.841 | 2.688 | 1.168 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.166 | ) | (0.369 | ) | (0.172 | ) | (0.220 | ) | (0.106 | ) | (0.009 | ) | |||||||
Net realized gain on investments | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | (0.129 | ) | ||||||||
Total dividends and distributions | (0.166 | ) | (0.596 | ) | (1.170 | ) | (0.801 | ) | (0.858 | ) | (0.138 | ) | |||||||
Net asset value, end of period | $10.240 | $7.050 | $13.940 | $15.590 | $13.550 | $11.720 | |||||||||||||
Total return3 | 48.08% | (46.49% | ) | (3.59% | ) | 21.68% | 23.91% | 11.08% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $112,427 | $79,430 | $174,954 | $154,198 | $99,733 | $44,149 | |||||||||||||
Ratio of expenses to average net assets | 1.41% | 1.42% | 1.40% | 1.61% | 1.61% | 1.63% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.69% | 1.51% | 1.40% | 1.61% | 1.85% | 1.95% | |||||||||||||
Ratio of net investment income to average net assets | 2.81% | 3.01% | 2.04% | 1.13% | 1.82% | 0.80% | |||||||||||||
Ratio of net investment income to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.53% | 2.92% | 2.04% | 1.13% | 1.58% | 0.48% | |||||||||||||
Portfolio turnover | 89% | 58% | 19% | 18% | 68% | 82% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.990 | $11.220 | $11.980 | $11.540 | $10.020 | $9.570 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.006 | ) | (0.001 | ) | (0.021 | ) | (0.047 | ) | (0.057 | ) | (0.036 | ) | |||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.526 | (4.229 | ) | (0.406 | ) | 0.692 | 1.577 | 0.486 | |||||||||||
Total from investment operations | 2.520 | (4.230 | ) | (0.427 | ) | 0.645 | 1.520 | 0.450 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | — | — | (0.296 | ) | (0.205 | ) | — | — | |||||||||||
Return of capital | — | — | (0.037 | ) | — | — | — | ||||||||||||
Total dividends and distributions | — | — | (0.333 | ) | (0.205 | ) | — | — | |||||||||||
Net asset value, end of period | $9.510 | $6.990 | $11.220 | $11.980 | $11.540 | $10.020 | |||||||||||||
Total return3 | 36.05% | (37.70% | ) | (3.86% | ) | 5.75% | 15.17% | 4.70% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $35,196 | $28,347 | $54,022 | $56,088 | $47,283 | $26,252 | |||||||||||||
Ratio of expenses to average net assets | 1.61% | 1.61% | 1.60% | 1.69% | 1.69% | 1.67% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.67% | 1.64% | 1.60% | 1.77% | 1.84% | 1.87% | |||||||||||||
Ratio of net investment loss to average net assets | (0.14% | ) | (0.01% | ) | (0.17% | ) | (0.41% | ) | (0.52% | ) | (0.37% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.20% | ) | (0.04% | ) | (0.17% | ) | (0.49% | ) | (0.67% | ) | (0.57% | ) | |||||||
Portfolio turnover | 170% | 164% | 59% | 37% | 48% | 37% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.730 | $10.870 | $11.700 | $11.340 | $9.910 | $9.530 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.031 | ) | (0.059 | ) | (0.100 | ) | (0.119 | ) | (0.126 | ) | (0.099 | ) | |||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.431 | (4.081 | ) | (0.397 | ) | 0.684 | 1.556 | 0.479 | |||||||||||
Total from investment operations | 2.400 | (4.140 | ) | (0.497 | ) | 0.565 | 1.430 | 0.380 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | — | — | (0.296 | ) | (0.205 | ) | — | — | |||||||||||
Return of capital | — | — | (0.037 | ) | — | — | — | ||||||||||||
Total dividends and distributions | — | — | (0.333 | ) | (0.205 | ) | — | — | |||||||||||
Net asset value, end of period | $9.130 | $6.730 | $10.870 | $11.700 | $11.340 | $9.910 | |||||||||||||
Total return3 | 35.66% | (38.09% | ) | (4.56% | ) | 5.14% | 14.43% | 3.99% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $6,096 | $4,780 | $9,345 | $10,819 | $10,168 | $7,603 | |||||||||||||
Ratio of expenses to average net assets | 2.26% | 2.26% | 2.25% | 2.34% | 2.34% | 2.32% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.32% | 2.29% | 2.25% | 2.42% | 2.49% | 2.52% | |||||||||||||
Ratio of net investment loss to average net assets | (0.79% | ) | (0.66% | ) | (0.82% | ) | (1.06% | ) | (1.17% | ) | (1.02% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.85% | ) | (0.69% | ) | (0.82% | ) | (1.14% | ) | (1.32% | ) | (1.22% | ) | |||||||
Portfolio turnover | 170% | 164% | 59% | 37% | 48% | 37% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.730 | $10.870 | $11.700 | $11.340 | $9.910 | $9.530 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.031 | ) | (0.059 | ) | (0.100 | ) | (0.119 | ) | (0.126 | ) | (0.099 | ) | |||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.431 | (4.081 | ) | (0.397 | ) | 0.684 | 1.556 | 0.479 | |||||||||||
Total from investment operations | 2.400 | (4.140 | ) | (0.497 | ) | 0.565 | 1.430 | 0.380 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | — | — | (0.296 | ) | (0.205 | ) | — | — | |||||||||||
Return of capital | — | — | (0.037 | ) | — | — | — | ||||||||||||
Total dividends and distributions | — | — | (0.333 | ) | (0.205 | ) | — | — | |||||||||||
Net asset value, end of period | $9.130 | $6.730 | $10.870 | $11.700 | $11.340 | $9.910 | |||||||||||||
Total return3 | 35.66% | (38.09% | ) | (4.56% | ) | 5.14% | 14.43% | 3.99% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $129,282 | $102,233 | $203,394 | $203,591 | $164,995 | $91,434 | |||||||||||||
Ratio of expenses to average net assets | 2.26% | 2.26% | 2.25% | 2.34% | 2.34% | 2.32% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.32% | 2.29% | 2.25% | 2.42% | 2.49% | 2.52% | |||||||||||||
Ratio of net investment loss to average net assets | (0.79% | ) | (0.66% | ) | (0.82% | ) | (1.06% | ) | (1.17% | ) | (1.02% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.85% | ) | (0.69% | ) | (0.82% | ) | (1.14% | ) | (1.32% | ) | (1.22% | ) | |||||||
Portfolio turnover | 170% | 164% | 59% | 37% | 48% | 37% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $7.130 | $11.410 | $12.140 | $11.650 | $10.080 | $9.590 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)2 | 0.009 | 0.032 | 0.023 | (0.006 | ) | (0.019 | ) | (0.002 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.586 | (4.312 | ) | (0.420 | ) | 0.701 | 1.589 | 0.492 | |||||||||||
Total from investment operations | 2.595 | (4.280 | ) | (0.397 | ) | 0.695 | 1.570 | 0.490 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.015 | ) | — | (0.296 | ) | (0.205 | ) | — | — | ||||||||||
Return of capital | — | — | (0.037 | ) | — | — | — | ||||||||||||
Total dividends and distributions | (0.015 | ) | — | (0.333 | ) | (0.205 | ) | — | — | ||||||||||
Net asset value, end of period | $9.710 | $7.130 | $11.410 | $12.140 | $11.650 | $10.080 | |||||||||||||
Total return3 | 36.43% | (37.51% | ) | (3.56% | ) | 6.13% | 15.57% | 5.11% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $493,330 | $402,574 | $723,347 | $518,509 | $355,961 | $158,200 | |||||||||||||
Ratio of expenses to average net assets | 1.26% | 1.26% | 1.25% | 1.34% | 1.34% | 1.32% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.32% | 1.29% | 1.25% | 1.42% | 1.49% | 1.52% | |||||||||||||
Ratio of net investment income (loss) to average net assets | 0.21% | 0.34% | 0.18% | (0.06% | ) | (0.17% | ) | (0.02% | ) | ||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 0.15% | 0.31% | 0.18% | (0.14% | ) | (0.32% | ) | (0.22% | ) | ||||||||||
Portfolio turnover | 170% | 164% | 59% | 37% | 48% | 37% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager, as applicable. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.710 | $11.170 | $12.730 | $11.320 | $10.840 | $9.830 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.062 | 0.165 | 0.138 | 0.128 | 0.092 | 0.074 | |||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.297 | (4.453 | ) | (0.931 | ) | 1.614 | 0.947 | 1.100 | |||||||||||
Total from investment operations | 2.359 | (4.288 | ) | (0.793 | ) | 1.742 | 1.039 | 1.174 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.179 | ) | (0.029 | ) | (0.134 | ) | (0.104 | ) | (0.065 | ) | (0.028 | ) | |||||||
Net realized gain on investments | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | ||||||||
Total dividends and distributions | (0.179 | ) | (0.172 | ) | (0.767 | ) | (0.332 | ) | (0.559 | ) | (0.164 | ) | |||||||
Net asset value, end of period | $8.890 | $6.710 | $11.170 | $12.730 | $11.320 | $10.840 | |||||||||||||
Total return3 | 35.58% | (38.97% | ) | (6.80% | ) | 15.65% | 9.82% | 12.04% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $33,573 | $26,901 | $53,097 | $58,161 | $45,666 | $27,524 | |||||||||||||
Ratio of expenses to average net assets | 1.56% | 1.54% | 1.54% | 1.55% | 1.55% | 1.53% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.63% | 1.60% | 1.56% | 1.73% | 1.83% | 1.84% | |||||||||||||
Ratio of net investment income to average net assets | 1.55% | 1.82% | 1.09% | 1.07% | 0.83% | 0.72% | |||||||||||||
Ratio of net investment income to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.48% | 1.76% | 1.07% | 0.89% | 0.55% | 0.41% | |||||||||||||
Portfolio turnover | 34% | 37% | 30% | 22% | 52% | 38% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.630 | $11.090 | $12.640 | $11.240 | $10.780 | $9.810 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.036 | 0.106 | 0.056 | 0.052 | 0.021 | 0.008 | |||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.274 | (4.413 | ) | (0.923 | ) | 1.606 | 0.933 | 1.098 | |||||||||||
Total from investment operations | 2.310 | (4.307 | ) | (0.867 | ) | 1.658 | 0.954 | 1.106 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.120 | ) | (0.010 | ) | (0.050 | ) | (0.030 | ) | — | — | |||||||||
Net realized gain on investments | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | ||||||||
Total dividends and distributions | (0.120 | ) | (0.153 | ) | (0.683 | ) | (0.258 | ) | (0.494 | ) | (0.136 | ) | |||||||
Net asset value, end of period | $8.820 | $6.630 | $11.090 | $12.640 | $11.240 | $10.780 | |||||||||||||
Total return3 | 35.13% | (39.37% | ) | (7.38% | ) | 14.97% | 9.05% | 11.36% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $5,959 | $4,664 | $9,454 | $11,403 | $10,103 | $8,072 | |||||||||||||
Ratio of expenses to average net assets | 2.21% | 2.19% | 2.19% | 2.20% | 2.20% | 2.18% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.28% | 2.25% | 2.21% | 2.38% | 2.48% | 2.49% | |||||||||||||
Ratio of net investment income to average net assets | 0.90% | 1.17% | 0.44% | 0.42% | 0.18% | 0.07% | |||||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 0.83% | 1.11% | 0.42% | 0.24% | (0.10% | ) | (0.24% | ) | |||||||||||
Portfolio turnover | 34% | 37% | 30% | 22% | 52% | 38% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. | |
2 The average shares outstanding method has been applied for per share information. | |
3 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 a waiver by the manager. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.630 | $11.080 | $12.630 | $11.240 | $10.780 | $9.810 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.036 | 0.106 | 0.057 | 0.051 | 0.021 | 0.008 | |||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.274 | (4.403 | ) | (0.924 | ) | 1.597 | 0.933 | 1.098 | |||||||||||
Total from investment operations | 2.310 | (4.297 | ) | (0.867 | ) | 1.648 | 0.954 | 1.106 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.120 | ) | (0.010 | ) | (0.050 | ) | (0.030 | ) | — | — | |||||||||
Net realized gain on investments | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | ||||||||
Total dividends and distributions | (0.120 | ) | (0.153 | ) | (0.683 | ) | (0.258 | ) | (0.494 | ) | (0.136 | ) | |||||||
Net asset value, end of period | $8.820 | $6.630 | $11.080 | $12.630 | $11.240 | $10.780 | |||||||||||||
Total return3 | 35.13% | (39.31% | ) | (7.39% | ) | 14.88% | 9.16% | 11.36% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $124,785 | $98,881 | $205,501 | $216,527 | $163,876 | $97,823 | |||||||||||||
Ratio of expenses to average net assets | 2.21% | 2.19% | 2.19% | 2.20% | 2.20% | 2.18% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.28% | 2.25% | 2.21% | 2.38% | 2.48% | 2.49% | |||||||||||||
Ratio of net investment income to average net assets | 0.90% | 1.17% | 0.44% | 0.42% | 0.18% | 0.07% | |||||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 0.83% | 1.11% | 0.42% | 0.24% | (0.10% | ) | (0.24% | ) | |||||||||||
Portfolio turnover | 34% | 37% | 30% | 22% | 52% | 38% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver 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 | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.740 | $11.190 | $12.750 | $11.330 | $10.860 | $9.840 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.076 | 0.197 | 0.183 | 0.170 | 0.131 | 0.110 | |||||||||||||
Net realized and unrealized gain (loss) on investments | |||||||||||||||||||
and foreign currencies | 2.305 | (4.465 | ) | (0.931 | ) | 1.623 | 0.936 | 1.110 | |||||||||||
Total from investment operations | 2.381 | (4.268 | ) | (0.748 | ) | 1.793 | 1.067 | 1.220 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.211 | ) | (0.039 | ) | (0.179 | ) | (0.145 | ) | (0.103 | ) | (0.064 | ) | |||||||
Net realized gain on investments | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | (0.136 | ) | ||||||||
Total dividends and distributions | (0.211 | ) | (0.182 | ) | (0.812 | ) | (0.373 | ) | (0.597 | ) | (0.200 | ) | |||||||
Net asset value, end of period | $8.910 | $6.740 | $11.190 | $12.750 | $11.330 | $10.860 | |||||||||||||
Total return3 | 35.83% | (38.76% | ) | (6.46% | ) | 16.12% | 10.19% | 12.41% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $422,889 | $358,559 | $607,637 | $508,000 | $319,857 | $140,341 | |||||||||||||
Ratio of expenses to average net assets | 1.21% | 1.19% | 1.19% | 1.20% | 1.20% | 1.18% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.28% | 1.25% | 1.21% | 1.38% | 1.48% | 1.49% | |||||||||||||
Ratio of net investment income to average net assets | 1.90% | 2.17% | 1.44% | 1.42% | 1.18% | 1.07% | |||||||||||||
Ratio of net investment income to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.83% | 2.11% | 1.42% | 1.24% | 0.90% | 0.76% | |||||||||||||
Portfolio turnover | 34% | 37% | 30% | 22% | 52% | 38% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
(continues) 69
Financial highlights
Optimum Small-Mid Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.760 | $11.280 | $14.070 | $14.340 | $11.750 | $11.260 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.050 | ) | (0.092 | ) | (0.177 | ) | (0.155 | ) | (0.176 | ) | (0.161 | ) | |||||||
Net realized and unrealized gain (loss) on investments | 3.100 | (4.428 | ) | (1.952 | ) | 0.188 | 2.766 | 0.653 | |||||||||||
Total from investment operations | 3.050 | (4.520 | ) | (2.129 | ) | 0.033 | 2.590 | 0.492 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | — | — | (0.651 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Return of capital | — | — | (0.010 | ) | — | — | — | ||||||||||||
Total dividends and distributions | — | — | (0.661 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Net asset value, end of period | $9.810 | $6.760 | $11.280 | $14.070 | $14.340 | $11.750 | |||||||||||||
Total return3 | 45.12% | (40.07% | ) | (15.96% | ) | 0.37% | 22.04% | 4.37% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $6,448 | $4,814 | $9,282 | $12,088 | $11,984 | $6,133 | |||||||||||||
Ratio of expenses to average net assets | 1.90% | 1.90% | 1.92% | 1.95% | 1.95% | 1.80% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.17% | 2.26% | 2.11% | 2.32% | 2.46% | 2.69% | |||||||||||||
Ratio of net investment loss to average net assets | (1.17% | ) | (0.96% | ) | (1.27% | ) | (1.15% | ) | (1.38% | ) | (1.42% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.44% | ) | (1.32% | ) | (1.46% | ) | (1.52% | ) | (1.89% | ) | (2.31% | ) | |||||||
Portfolio turnover | 108% | 119% | 46% | 46% | 47% | 44% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
70
Optimum Small-Mid Cap Growth Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.510 | $10.930 | $13.750 | $14.110 | $11.640 | $11.230 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.075 | ) | (0.152 | ) | (0.265 | ) | (0.240 | ) | (0.257 | ) | (0.233 | ) | |||||||
Net realized and unrealized gain (loss) on investments | 2.975 | (4.268 | ) | (1.894 | ) | 0.183 | 2.727 | 0.645 | |||||||||||
Total from investment operations | 2.900 | (4.420 | ) | (2.159 | ) | (0.057 | ) | 2.470 | 0.412 | ||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | — | — | (0.651 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Return of capital | — | — | (0.010 | ) | — | — | — | ||||||||||||
Total dividends and distributions | — | — | (0.661 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Net asset value, end of period | $9.410 | $6.510 | $10.930 | $13.750 | $14.110 | $11.640 | |||||||||||||
Total return3 | 44.55% | (40.44% | ) | (16.56% | ) | (0.27% | ) | 21.22% | 3.67% | ||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $1,123 | $807 | $1,620 | $2,187 | $2,285 | $1,665 | |||||||||||||
Ratio of expenses to average net assets | 2.55% | 2.55% | 2.57% | 2.60% | 2.60% | 2.45% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.82% | 2.91% | 2.76% | 2.97% | 3.11% | 3.34% | |||||||||||||
Ratio of net investment loss to average net assets | (1.82% | ) | (1.61% | ) | (1.92% | ) | (1.80% | ) | (2.03% | ) | (2.07% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (2.09% | ) | (1.97% | ) | (2.11% | ) | (2.17% | ) | (2.54% | ) | (2.96% | ) | |||||||
Portfolio turnover | 108% | 119% | 46% | 46% | 47% | 44% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
(continues) 71
Financial highlights
Optimum Small-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.510 | $10.930 | $13.750 | $14.110 | $11.640 | $11.230 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.075 | ) | (0.152 | ) | (0.264 | ) | (0.240 | ) | (0.257 | ) | (0.233 | ) | |||||||
Net realized and unrealized gain (loss) on investments | 2.975 | (4.268 | ) | (1.895 | ) | 0.183 | 2.727 | 0.645 | |||||||||||
Total from investment operations | 2.900 | (4.420 | ) | (2.159 | ) | (0.057 | ) | 2.470 | 0.412 | ||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | — | — | (0.651 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Return of capital | — | — | (0.010 | ) | — | — | — | ||||||||||||
Total dividends and distributions | — | — | (0.661 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Net asset value, end of period | $9.410 | $6.510 | $10.930 | $13.750 | $14.110 | $11.640 | |||||||||||||
Total return3 | 44.55% | (40.44% | ) | (16.56% | ) | (0.27% | ) | 21.22% | 3.67% | ||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $22,899 | $16,863 | $34,086 | $40,324 | $36,537 | $19,883 | |||||||||||||
Ratio of expenses to average net assets | 2.55% | 2.55% | 2.57% | 2.60% | 2.60% | 2.45% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.82% | 2.91% | 2.76% | 2.97% | 3.11% | 3.34% | |||||||||||||
Ratio of net investment loss to average net assets | (1.82% | ) | (1.61% | ) | (1.92% | ) | (1.80% | ) | (2.03% | ) | (2.07% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (2.09% | ) | (1.97% | ) | (2.11% | ) | (2.17% | ) | (2.54% | ) | (2.96% | ) | |||||||
Portfolio turnover | 108% | 119% | 46% | 46% | 47% | 44% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
72
Optimum Small-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $6.900 | $11.470 | $14.250 | $14.470 | $11.820 | $11.280 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.035 | ) | (0.059 | ) | (0.128 | ) | (0.108 | ) | (0.131 | ) | (0.121 | ) | |||||||
Net realized and unrealized gain (loss) on investments | 3.155 | (4.511 | ) | (1.991 | ) | 0.191 | 2.781 | 0.663 | |||||||||||
Total from investment operations | 3.120 | (4.570 | ) | (2.119 | ) | 0.083 | 2.650 | 0.542 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | — | — | (0.651 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Return of capital | — | — | (0.010 | ) | — | — | — | ||||||||||||
Total dividends and distributions | — | — | (0.661 | ) | (0.303 | ) | — | (0.002 | ) | ||||||||||
Net asset value, end of period | $10.020 | $6.900 | $11.470 | $14.250 | $14.470 | $11.820 | |||||||||||||
Total return3 | 45.22% | (39.84% | ) | (15.68% | ) | 0.72% | 22.42% | 4.81% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $152,679 | $53,244 | $90,614 | $84,934 | $67,466 | $31,827 | |||||||||||||
Ratio of expenses to average net assets | 1.55% | 1.55% | 1.57% | 1.60% | 1.60% | 1.45% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.82% | 1.91% | 1.76% | 1.97% | 2.11% | 2.34% | |||||||||||||
Ratio of net investment loss to average net assets | (0.82% | ) | (0.61% | ) | (0.92% | ) | (0.80% | ) | (1.03% | ) | (1.07% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.09% | ) | (0.97% | ) | (1.11% | ) | (1.17% | ) | (1.54% | ) | (1.96% | ) | |||||||
Portfolio turnover | 108% | 119% | 46% | 46% | 47% | 44% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
(continues) 73
Financial highlights
Optimum Small-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $5.690 | $10.380 | $13.540 | $13.590 | $12.410 | $11.010 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)2 | (0.003 | ) | 0.011 | (0.025 | ) | (0.020 | ) | (0.022 | ) | (0.055 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | 3.063 | (4.683 | ) | (2.102 | ) | 0.759 | 2.043 | 1.801 | |||||||||||
Total from investment operations | 3.060 | (4.672 | ) | (2.127 | ) | 0.739 | 2.021 | 1.746 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | ||||||||
Total dividends and distributions | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | ||||||||
Net asset value, end of period | $8.750 | $5.690 | $10.380 | $13.540 | $13.590 | $12.410 | |||||||||||||
Total return3 | 53.78% | (45.09% | ) | (16.34% | ) | 5.93% | 17.17% | 16.12% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $5,714 | $4,045 | $9,145 | $12,721 | $13,300 | $7,297 | |||||||||||||
Ratio of expenses to average net assets | 1.79% | 1.75% | 1.76% | 1.76% | 1.76% | 1.73% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.20% | 2.22% | 2.09% | 2.32% | 2.58% | 2.61% | |||||||||||||
Ratio of net investment income (loss) to average net assets | (0.09% | ) | 0.15% | (0.20% | ) | (0.16% | ) | (0.17% | ) | (0.47% | ) | ||||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.50% | ) | (0.32% | ) | (0.53% | ) | (0.72% | ) | (0.99% | ) | (1.35% | ) | |||||||
Portfolio turnover | 48% | 86% | 53% | 49% | 42% | 46% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
74
Optimum Small-Mid Cap Value Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $5.460 | $10.030 | $13.190 | $13.350 | $12.280 | $10.970 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.026 | ) | (0.042 | ) | (0.102 | ) | (0.101 | ) | (0.102 | ) | (0.129 | ) | |||||||
Net realized and unrealized gain (loss) on investments | 2.936 | (4.510 | ) | (2.025 | ) | 0.730 | 2.013 | 1.785 | |||||||||||
Total from investment operations | 2.910 | (4.552 | ) | (2.127 | ) | 0.629 | 1.911 | 1.656 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | ||||||||
Total dividends and distributions | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | ||||||||
Net asset value, end of period | $8.370 | $5.460 | $10.030 | $13.190 | $13.350 | $12.280 | |||||||||||||
Total return3 | 53.30% | (45.47% | ) | (16.79% | ) | 5.27% | 16.35% | 15.35% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $1,071 | $731 | $1,636 | $2,239 | $2,359 | $1,859 | |||||||||||||
Ratio of expenses to average net assets | 2.44% | 2.40% | 2.41% | 2.41% | 2.41% | 2.38% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.85% | 2.87% | 2.74% | 2.97% | 3.23% | 3.26% | |||||||||||||
Ratio of net investment loss to average net assets | (0.74% | ) | (0.50% | ) | (0.85% | ) | (0.81% | ) | (0.82% | ) | (1.12% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.15% | ) | (0.97% | ) | (1.18% | ) | (1.37% | ) | (1.64% | ) | (2.00% | ) | |||||||
Portfolio turnover | 48% | 86% | 53% | 49% | 42% | 46% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
(continues) 75
Financial highlights
Optimum Small-Mid Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $5.460 | $10.020 | $13.190 | $13.350 | $12.280 | $10.970 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment loss2 | (0.026 | ) | (0.042 | ) | (0.102 | ) | (0.101 | ) | (0.102 | ) | (0.129 | ) | |||||||
Net realized and unrealized gain (loss) on investments | 2.926 | (4.500 | ) | (2.035 | ) | 0.730 | 2.013 | 1.785 | |||||||||||
Total from investment operations | 2.900 | (4.542 | ) | (2.137 | ) | 0.629 | 1.911 | 1.656 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | ||||||||
Total dividends and distributions | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | ||||||||
Net asset value, end of period | $8.360 | $5.460 | $10.020 | $13.190 | $13.350 | $12.280 | |||||||||||||
Total return3 | 53.11% | (45.42% | ) | (16.79% | ) | 5.27% | 16.35% | 15.35% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $21,154 | $14,811 | $32,891 | $41,622 | $38,782 | $23,869 | |||||||||||||
Ratio of expenses to average net assets | 2.44% | 2.40% | 2.41% | 2.41% | 2.41% | 2.38% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.85% | 2.87% | 2.74% | 2.97% | 3.23% | 3.26% | |||||||||||||
Ratio of net investment loss to average net assets | (0.74% | ) | (0.50% | ) | (0.85% | ) | (0.81% | ) | (0.82% | ) | (1.12% | ) | |||||||
Ratio of net investment loss to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.15% | ) | (0.97% | ) | (1.18% | ) | (1.37% | ) | (1.64% | ) | (2.00% | ) | |||||||
Portfolio turnover | 48% | 86% | 53% | 49% | 42% | 46% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
76
Optimum Small-Mid Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | |||||||||||||||||||
Ended | Year Ended | ||||||||||||||||||
9/30/091 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | 3/31/05 | ||||||||||||||
(Unaudited) | |||||||||||||||||||
Net asset value, beginning of period | $5.820 | $10.580 | $13.720 | $13.720 | $12.470 | $11.040 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income (loss)2 | 0.010 | 0.041 | 0.018 | 0.025 | 0.023 | (0.014 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | 3.127 | (4.783 | ) | (2.125 | ) | 0.764 | 2.068 | 1.790 | |||||||||||
Total from investment operations | 3.137 | (4.742 | ) | (2.107 | ) | 0.789 | 2.091 | 1.776 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net realized gain on investments | (0.017 | ) | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | |||||||
Total dividends and distributions | (0.017 | ) | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | (0.346 | ) | |||||||
Net asset value, end of period | $8.940 | $5.820 | $10.580 | $13.720 | $13.720 | $12.470 | |||||||||||||
Total return3 | 53.97% | (44.90% | ) | (15.97% | ) | 6.24% | 17.66% | 16.35% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $119,932 | $58,173 | $66,657 | $71,387 | $54,803 | $26,900 | |||||||||||||
Ratio of expenses to average net assets | 1.44% | 1.40% | 1.41% | 1.41% | 1.41% | 1.38% | |||||||||||||
Ratio of expenses to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.85% | 1.87% | 1.74% | 1.97% | 2.23% | 2.26% | |||||||||||||
Ratio of net investment income (loss) to average net assets | 0.26% | 0.50% | 0.15% | 0.19% | 0.18% | (0.12% | ) | ||||||||||||
Ratio of net investment income (loss) to average net assets | |||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.15% | ) | 0.03% | (0.18% | ) | (0.37% | ) | (0.64% | ) | (1.00% | ) | ||||||||
Portfolio turnover | 48% | 86% | 53% | 49% | 42% | 46% | |||||||||||||
1 Ratios and portfolio turnover have been annualized and total return has not been annualized. |
2 The average shares outstanding method has been applied for per share information. |
3 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 a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes
77
Notes to financial statements
Optimum Fund Trust
September 30, 2009 (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-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund, (each, 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 B, Class C and Institutional Class shares. Class A shares are sold with a maximum front-end sales charge of 5.75% for Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid 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 may be purchased only through dividend reinvestment and certain permitted exchanges. Prior to August 1, 2007, Class B shares were sold with a CDSC that declined from 4% to zero depending upon the period of time the shares were held. 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.
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-Mid Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Small-Mid 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 ask prices will be used. Securities listed on a foreign exchange are valued at the last quoted sales price on the valuation date. U.S. government and agency securities are valued at the mean between the bid and ask prices. Other debt securities, credit default swap (CDS) contracts and interest rate swap contracts are valued by an independent pricing service or broker. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Investment companies are valued at net asset value per share. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and ask prices. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Financial futures contracts and options on financial 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 ask prices. Generally, index 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 Funds’ Board of Trustees (Board). 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 suspension of trading in a security. Each Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before each Fund values its securities at 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. To account for this, the Funds may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal Income Taxes — No provision for federal income taxes has been made as each Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Funds evaluate 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. Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (tax years ended March 31, 2007 – March 31, 2009), and has concluded that no position for federal income tax is required in the Funds’ financial statements.
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 Securities 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. At September 30, 2009, the Funds held no investments in repurchase agreements.
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 is 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, whereas 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 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 each Fund’s 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-Mid Cap Growth Fund and Optimum Small-Mid 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.
The Funds may receive earnings credits from their custodian when positive cash balances are maintained, which are used to offset custody fees. There were no earnings credits for the period ended September 30, 2009.
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, 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 its respective investment management agreement, DMC is entitled to receive an annual fee equal to the following percentage rates of the average daily net assets of each Fund:
Optimum Fixed Income Fund | 0.7000% of net assets up to $25 million |
0.6500% of net assets from $25 million to $100 million | |
0.6000% of net assets from $100 million to $500 million | |
0.5500% of net assets from $500 million to $1 billion | |
0.5000% of net assets over $1 billion | |
Optimum International Fund | 0.8750% of net assets up to $50 million |
0.8000% of net assets from $50 million to $100 million | |
0.7800% of net assets from $100 million to $300 million | |
0.7650% of net assets from $300 million to $400 million | |
0.7300% of net assets over $400 million | |
Optimum Large Cap Growth Fund | 0.8000% of net assets up to $250 million |
0.7875% of net assets from $250 million to $300 million | |
0.7625% of net assets from $300 million to $400 million | |
0.7375% of net assets from $400 million to $500 million | |
0.7250% of net assets from $500 million to $1 billion | |
0.7100% of net assets from $1 billion to $1.5 billion | |
0.7000% of net assets over $1.5 billion | |
Optimum Large Cap Value Fund | 0.8000% of net assets up to $100 million |
0.7375% of net assets from $100 million to $250 million | |
0.7125% of net assets from $250 million to $500 million | |
0.6875% of net assets from $500 million to $1 billion | |
0.6675% of net assets from $1 billion to $1.5 billion | |
0.6475% of net assets over $1.5 billion | |
Optimum Small-Mid Cap Growth Fund | 1.1000% of net assets |
Optimum Small-Mid Cap Value Fund | 1.0500% of net assets up to $75 million |
1.0250% of net assets from $75 million to $150 million | |
1.0000% of net assets over $150 million |
DMC has entered into sub-advisory agreements for the Trust as follows: Optimum Fixed Income Fund – TCW Investment Management Company (TCW); Optimum International Fund Mondrian Investment Partners Limited and BlackRock Advisors, LLC (BlackRock); Optimum Large Cap Growth Fund – Marsico Capital Management, LLC, T. Rowe Price Associates, Inc. (T. Rowe Price), and Fred Alger Management, Inc.; Optimum Large Cap Value Fund – Massachusetts Financial Services Company and TCW; Optimum Small-Mid Cap Growth Fund – Columbia Wanger Asset Management, L.P. and Wellington Management Company, LLP (Wellington Management); Optimum Small-Mid Cap Value Fund The Killen Group, Inc., Westwood Management Corp. (Westwood) and effective September 28, 2009, The Delafield Group, a division of Tocqueville Asset Management L.P. (The Delafield Group of Tocqueville) (The Delafield Group of Tocqueville replaced Delafield Asset Management, a division of Reich & Tang Asset Management, LLC as a sub-advisor).
For the six months ended September 30, 2009, DMC paid the following sub-advisory fees:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
$425,629 | $307,175 | $1,263,866 | $1,121,327 | $496,412 | $354,089 |
80
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
Effective August 1, 2009, DMC has voluntarily agreed to waive all or a portion of its investment advisory fees and/or reimburse expenses for each Fund to the extent necessary to prevent total annual operating expenses (excluding any 12b-1 plan expenses, taxes, interest, inverse floater program expenses, brokerage fees, short sale and dividend interest expenses, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations (collectively, nonroutine expenses)) from exceeding the specified percentages of average daily net assets until such time as the voluntary expense cap is discontinued as shown below. For purposes of these waivers and reimbursements, nonroutine expenses may also include such additional costs and expenses, as may be agreed upon from time to time by the Funds’ Board and DMC. These fee waivers and expense reimbursements apply only to expenses paid directly by each Fund, and may be discontinued at any time because they are voluntary.
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
Effective August 1, 2009, | |||||||||||
operating expense limitation as | |||||||||||
a percentage of average | |||||||||||
daily net assets (per annum) | 1.00% | 1.40% | 1.25% | 1.26% | 1.55% | 1.50% |
Prior to August 1, 2009, DMC had contractually agreed to waive all or a portion of its investment advisory fees and/or reimburse expenses for each Fund to the extent necessary to prevent total annual operating expenses (excluding any 12b-1 plan expenses, taxes, interest, inverse floater program expenses, brokerage fees, short sale and dividend interest expenses, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations (collectively, nonroutine expenses)) from exceeding the specified percentages of average daily net assets through July 31, 2009 as shown below. For purposes of these waivers and reimbursements, nonroutine expenses included such additional costs and expenses as was agreed upon from time to time by the Funds’ Board and DMC. These fee waivers and expense reimbursements applied only to expenses paid directly by each Fund.
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
Through July 31, 2009, | |||||||||||
operating expense limitation as | |||||||||||
a percentage of average | |||||||||||
daily net assets (per annum) | 0.89% | 1.42% | 1.27% | 1.19% | 1.55% | 1.40% |
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting oversight services to the Trust. For these services, the Trust pays DSC fees based on the aggregate daily net assets of the Trust at the following annual rate: 0.0050% of the first $3 billion; 0.0045% of the next $2 billion; 0.0040% of the next $2.5 billion; 0.0030% of the next $2.5 billion; and 0.0025% of aggregate average daily net assets in excess of $10 billion. The fees payable to DSC under the service agreement described above are allocated among all Funds in the Trust on a relative net asset value basis. For the six months ended September 30, 2009, each Fund was charged for these services as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
$16,899 | $3,840 | $14,995 | $13,973 | $3,309 | $2,860 |
DSC also provides the Trust with administrative services including financial and tax reporting, corporate governance, and preparation of materials and reports for the Board. For administrative services, each Fund pays DSC a fee at an annual rate (plus out-of-pocket expenses) of 0.165% of assets up to $500 million of the Fund’s 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 the Distribution Agreement and Rule 12b-1 plan, 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.
(continues) 81
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
At September 30, 2009, each Fund had liabilities payable to affiliates as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||
Investment management | |||||||||||||||||
fee payable to DMC | $260,292 | $70,874 | $380,168 | $339,049 | $127,800 | $92,410 | |||||||||||
Dividend disbursing, transfer agent and fund | |||||||||||||||||
accounting oversight fees, administration | |||||||||||||||||
fees and other expenses payable to DSC | 238,460 | 61,522 | 218,616 | 196,231 | 64,007 | 52,831 | |||||||||||
Distribution fees payable to DDLP | 155,257 | 43,569 | 119,973 | 116,437 | 21,254 | 19,661 | |||||||||||
Other expenses payable | |||||||||||||||||
to DMC and affiliates* | 16,989 | 7,481 | 9,337 | 7,448 | 4,763 | 4,991 |
* | 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. |
For the six months ended September 30, 2009, 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-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
$5,241 | $1,567 | $4,919 | $4,806 | $848 | $736 |
For the six months ended September 30, 2009, DDLP received gross CDSC commissions on redemptions of each Fund’s Class A, 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-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
Class A | $ — | $ — | $ — | $ — | $ — | $ — | |||||
Class B | 5,181 | 2,140 | 6,783 | 5,430 | 992 | 811 | |||||
Class C | 6,389 | 1,217 | 3,635 | 3,648 | 592 | 538 |
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, 2009, 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-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
Purchases other than U.S. government securities | $367,979,406 | $66,748,859 | $499,976,059 | $93,747,209 | $130,019,117 | $42,870,740 | |||||
Purchases of U.S. government securities | 65,413,615 | — | — | — | — | — | |||||
Sales other than U.S. government securities | 363,303,287 | 69,019,046 | 546,755,082 | 159,623,140 | 70,753,084 | 25,071,840 | |||||
Sales of U.S. government securities | 64,842,391 | — | — | — | — | — |
82
3. Investments (continued)
At September 30, 2009, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At September 30, 2009, 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-Mid Cap | Small-Mid Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Cost of investments | $771,151,367 | $185,844,198 | $674,249,288 | $677,594,034 | $188,946,972 | $144,827,920 | |||||||||||||||||
Aggregate unrealized appreciation | $ 43,255,053 | $ 24,087,430 | $ 62,128,045 | $ 35,512,427 | $ 28,719,589 | $ 21,692,990 | |||||||||||||||||
Aggregate unrealized depreciation | (54,134,694 | ) | (12,831,033 | ) | (26,133,817 | ) | (79,495,114 | ) | (9,955,996 | ) | (5,512,874 | ) | |||||||||||
Net unrealized appreciation | |||||||||||||||||||||||
(depreciation) | $ (10,879,641 | ) | $ 11,256,397 | $ 35,994,228 | $ (43,982,687 | ) | $ 18,763,593 | $ 16,180,116 |
Effective September 30, 2009, the Funds apply the amended provisions of Accounting Codification Section (ACS 820) Fair Value Measurements and Disclosures. ACS 820 defines fair value as the price that the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. ACS 820 also establishes a framework for measuring fair value, and a three level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best information available under the circumstances. Each Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
Level 1 – inputs are quoted prices in active markets
Level 2 – inputs are observable, directly or indirectly
Level 3 – inputs are unobservable and reflect assumptions on the part of the reporting entity
The following table summarizes the valuation of each Fund’s investments by the ACS 820 fair value hierarchy levels as of September 30, 2009:
Optimum Fixed Income Fund | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
Agency Asset-Backed & Mortgage-Backed Securities | $ | — | $ | 388,405,016 | $ | 25,471,658 | $ | 413,876,674 | |||||
Common Stock | 469,721 | — | 3 | 469,724 | |||||||||
Corporate Debt | 249,101 | 252,127,814 | 177,675 | 252,554,590 | |||||||||
Foreign Debt | — | 26,193,210 | 3,103,175 | 29,296,385 | |||||||||
Municipal Bonds | — | 7,453,482 | — | 7,453,482 | |||||||||
U.S. Treasury Obligations | 3,045,522 | — | — | 3,045,522 | |||||||||
Short-Term | — | 21,644,167 | — | 21,644,167 | |||||||||
Securities Lending Collateral | 15,136,409 | 15,831,770 | 126 | 30,968,305 | |||||||||
Other | — | 962,876 | 1 | 962,877 | |||||||||
Total | $ | 18,900,753 | $ | 712,618,335 | $ | 28,752,638 | $ | 760,271,726 | |||||
Derivatives | $ | — | $ | (451,578 | ) | $ | — | $ | (451,578 | ) | |||
Optimum International Fund | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
Common Stock | $ | 172,433,578 | $ | — | $ | — | $ | 172,433,578 | |||||
Short-Term | — | 525,993 | — | 525,993 | |||||||||
Securities Lending Collateral | 16,152,272 | 7,706,504 | 65 | 23,858,841 | |||||||||
Other | 279,800 | — | 2,383 | 282,183 | |||||||||
Total | $ | 188,865,650 | $ | 8,232,497 | $ | 2,448 | $ | 197,100,595 | |||||
Derivatives | $ | — | $ | 76,387 | $ | — | $ | 76,387 |
(continues) 83
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Large Cap Growth Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 651,273,006 | $ | — | $ | — | $ | 651,273,006 | |||
Short-Term | — | 7,864,094 | — | 7,864,094 | |||||||
Securities Lending Collateral | 28,902,938 | 21,243,092 | 105 | 50,146,135 | |||||||
Other | — | 960,281 | — | 960,281 | |||||||
Total | $ | 680,175,944 | $ | 30,067,467 | $ | 105 | $ | 710,243,516 | |||
Derivatives | $ | — | $ | 660 | $ | — | $ | 660 | |||
Optimum Large Cap Value Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 581,802,530 | $ | — | $ | — | $ | 581,802,530 | |||
Short-Term | — | 6,987,687 | — | 6,987,687 | |||||||
Securities Lending Collateral | 29,850,603 | 14,970,422 | 105 | 44,821,130 | |||||||
Total | $ | 611,653,133 | $ | 21,958,109 | $ | 105 | $ | 633,611,347 | |||
Optimum Small-Mid Cap Growth Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 180,983,389 | $ | — | $ | — | $ | 180,983,389 | |||
Short-Term | — | 1,760,098 | — | 1,760,098 | |||||||
Securities Lending Collateral | 15,110,715 | 8,677,132 | 51 | 23,787,898 | |||||||
Investment Companies | 1,179,180 | — | — | 1,179,180 | |||||||
Total | $ | 197,273,284 | $ | 10,437,230 | $ | 51 | $ | 207,710,565 | |||
Optimum Small-Mid Cap Value Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 137,224,195 | $ | — | $ | — | $ | 137,224,195 | |||
Short-Term | — | 10,736,923 | — | 10,736,923 | |||||||
Securities Lending Collateral | 7,804,384 | 5,242,508 | 26 | 13,046,918 | |||||||
Total | $ | 145,028,579 | $ | 15,979,431 | $ | 26 | $ | 161,008,036 |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
Optimum Fixed Income Fund | |||||||||||||||||||||
Agency, | |||||||||||||||||||||
Asset-Backed and | Securities | ||||||||||||||||||||
Mortgage-Backed | Lending | ||||||||||||||||||||
Securities | Corporate Debt | Foreign Debt | Collateral | Other | Total | ||||||||||||||||
Balance as of 3/31/09 | $ | 12,661,309 | $ | 135,810 | $ | 3,018,152 | $ | 126 | $ | 4 | $ | 15,815,401 | |||||||||
Net purchases, sales, and settlements | 10,972,180 | 1,868,604 | 225,190 | — | — | 13,065,974 | |||||||||||||||
Net realized gain (loss) | 222,637 | (17 | ) | (159,096 | ) | — | — | 63,524 | |||||||||||||
Net transfers in and/or out of Level 3 | (142,851 | ) | (1,867,303 | ) | (999,909 | ) | — | — | (3,010,063 | ) | |||||||||||
Net change in unrealized appreciation/depreciation | 1,758,383 | 40,581 | 1,018,838 | — | — | 2,817,802 | |||||||||||||||
Balance as of 9/30/09 | $ | 25,471,658 | $ | 177,675 | $ | 3,103,175 | $ | 126 | $ | 4 | $ | 28,752,638 | |||||||||
Net change in unrealized appreciation/depreciation from | |||||||||||||||||||||
investments still held as of 9/30/09 | $ | 1,773,303 | $ | 40,581 | $ | 426,494 | $ | — | $ | — | $ | 2,240,378 |
84
3. Investments (continued)
Optimum International Fund | ||||||||||
Securities | ||||||||||
Lending | ||||||||||
Collateral | Other | Total | ||||||||
Balance as of 3/31/09 | $ | — | $ | — | $ | — | ||||
Net transfers in and/or out of Level 3 | 653,686 | — | 653,686 | |||||||
Net change in unrealized | ||||||||||
appreciation/depreciation | (653,621 | ) | 2,383 | (651,238 | ) | |||||
Balance as of 9/30/09 | $ | 65 | $ | 2,383 | $ | 2,448 | ||||
Net change in unrealized appreciation/ | ||||||||||
depreciation from investments still held | ||||||||||
as of 9/30/09 | $ | (653,621 | ) | $ | 2,383 | $ | (651,238 | ) |
Optimum | Optimum | Optimum | Optimum | ||||||||||||
Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||
Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||
Securities Lending Collateral | |||||||||||||||
Balance as of 3/31/09 | $ | — | $ | — | $ | — | $ | — | |||||||
Net transfers in and/or out of Level 3 | 1,053,295 | 1,049,762 | 510,265 | 263,528 | |||||||||||
Net change in unrealized | |||||||||||||||
appreciation/depreciation | (1,053,190 | ) | (1,049,657 | ) | (510,214 | ) | (263,502 | ) | |||||||
Balance as of 9/30/09 | $ | 105 | $ | 105 | $ | 51 | $ | 26 | |||||||
Net change in unrealized appreciation/ | |||||||||||||||
depreciation from investments still held | |||||||||||||||
as of 9/30/09 | $ | (1,053,190 | ) | $ | (1,049,657 | ) | $ | (510,214 | ) | $ | (263,502 | ) |
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, distributions from net gains 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, 2009 and the year ended March 31, 2009 was as follows:
Six Months Ended September 30, 2009*
Optimum | Optimum | Optimum | Optimum | Optimum | |||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | |||||
Fund | Fund | Growth Fund | Value Fund | Value Fund | |||||
Ordinary income | $12,116,369 | $2,752,620 | $753,154 | $13,614,136 | $180,406 |
Optimum Small-Mid Cap Growth Fund did not make any distributions during the six months ended September 30, 2009.
*Tax information for the six months ended September 30, 2009 is an estimate and the tax character of dividends and distributions may be redesignated at fiscal year end.
Year Ended March 31, 2009
Optimum | Optimum | Optimum | Optimum | ||||||||||
Fixed Income | International | Large Cap | Small-Mid Cap | ||||||||||
Fund | Fund | Value Fund | Value Fund | ||||||||||
Ordinary income | $ | 48,251,466 | $ | 6,821,438 | $ | 2,572,090 | $ | 4,834 | |||||
Long-term capital gain | — | 4,470,445 | 11,341,568 | 185,762 | |||||||||
Total | $ | 48,251,466 | $ | 11,291,883 | $ | 13,913,658 | $ | 190,596 |
Optimum Large Cap Growth Fund and Optimum Small-Mid Cap Growth Fund did not make any distributions during the year ended March 31, 2009.
(continues) 85
Notes to financial statements
Optimum Fund Trust
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, 2009, 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 | $ | 739,569,919 | $ | 229,200,768 | $ | 823,543,529 | |||||
Undistributed ordinary income | 24,264,467 | 2,580,549 | — | ||||||||
Realized losses 4/1/09 – 9/30/09 | (2,855,181 | ) | (66,529,617 | ) | (117,834,709 | ) | |||||
Capital loss carryforwards as of 3/31/09 | (23,299,774 | ) | (2,202,347 | ) | (77,826,014 | ) | |||||
Other temporary differences | (157,788 | ) | — | — | |||||||
Unrealized appreciation/depreciation on investments, | |||||||||||
swap contracts and foreign currencies | (10,767,388 | ) | 11,279,624 | 36,021,549 | |||||||
Net assets | $ | 726,754,255 | $ | 174,328,977 | $ | 663,904,355 | |||||
Optimum | Optimum | Optimum | |||||||||
Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||
Value Fund | Growth Fund | Value Fund | |||||||||
Share of beneficial interest | $ | 800,778,138 | $ | 195,535,973 | $ | 170,658,711 | |||||
Undistributed ordinary income | 4,623,461 | — | 38,541 | ||||||||
Realized losses 4/1/09 – 9/30/09 | (118,235,639 | ) | (15,723,011 | ) | (34,300,426 | ) | |||||
Capital loss carryforwards as of 3/31/09 | (55,991,912 | ) | (15,427,746 | ) | (4,705,463 | ) | |||||
Unrealized appreciation/depreciation on investments | |||||||||||
and foreign currencies | (43,968,521 | ) | 18,763,592 | 16,180,116 | |||||||
Net assets | $ | 587,205,527 | $ | 183,148,808 | $ | 147,871,479 |
The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral of losses on wash sales, tax deferral of losses on straddles, mark-to-market on foreign currency contracts, tax recognition of unrealized gain on passive foreign investment companies, mark-to-market on financial futures contracts, and tax treatment of CDS contracts.
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, gain (loss) on foreign currency transactions and foreign futures contracts, CDS contracts and paydown gains (losses) of mortgage- and asset-backed securities. Results of operations and net assets were not affected by these reclassifications. For the six months ended September 30, 2009, the Funds recorded an estimate of these differences since final tax characteristics cannot be determined until fiscal year end.
Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | |||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | |||||||||||||||
Undistributed (accumulated) net | |||||||||||||||||||
investment income (loss) | $ | 1,065,590 | $ | 1,567,969 | $ | 137,035 | $ | (1,242 | ) | $ | 659,438 | ||||||||
Accumulated net realized gain (loss) | (1,065,590 | ) | (1,567,969 | ) | 27,195 | 1,242 | 13,304 | ||||||||||||
Paid-in capital | — | — | (164,230 | ) | — | (672,742 | ) |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Capital loss carryforwards remaining at March 31, 2009 will expire as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||
Year of | Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||
Expiration | Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
3/31/17 | $23,299,774 | $2,202,347 | $77,826,014 | $55,991,912 | $15,427,746 | $4,705,463 |
For the six months ended September 30, 2009, the Funds had the following capital losses, which may increase the capital loss carryforwards.
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||
$(2,855,181) | $(66,529,617) | $(117,834,709) | $(118,235,639) | $(15,723,011) | $(34,300,426) |
86
6. Capital Shares
Transactions in capital shares were as follows:
Optimum | Optimum | Optimum | |||||||||||||||
Fixed Income | International | Large Cap | |||||||||||||||
Fund | Fund | Growth Fund | |||||||||||||||
Six Months | Year | Six Months | Year | Six Months | Year | ||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||
9/30/09 | 3/31/09 | 9/30/09 | 3/31/09 | 9/30/09 | 3/31/09 | ||||||||||||
Shares sold: | |||||||||||||||||
Class A | 168,556 | 798,189 | 49,368 | 242,685 | 155,871 | 885,616 | |||||||||||
Class B | 4,529 | 26,655 | 2,606 | 10,442 | 11,355 | 54,134 | |||||||||||
Class C | 915,361 | 3,265,872 | 236,466 | 857,615 | 746,711 | 2,995,447 | |||||||||||
Institutional Class | 8,631,425 | 22,071,648 | 1,311,277 | 4,143,084 | 6,973,252 | 18,489,123 | |||||||||||
9,719,871 | 26,162,364 | 1,599,717 | 5,253,826 | 7,887,189 | 22,424,320 | ||||||||||||
Shares issued upon reinvestment of dividends | |||||||||||||||||
and distributions: | |||||||||||||||||
Class A | 87,129 | 366,124 | 24,436 | 79,853 | — | — | |||||||||||
Class B | 11,942 | 43,312 | 4,341 | 12,776 | — | — | |||||||||||
Class C | 347,201 | 1,308,953 | 84,037 | 260,307 | — | — | |||||||||||
Institutional Class | 983,122 | 4,131,070 | 207,658 | 704,245 | 89,194 | — | |||||||||||
1,429,394 | 5,849,459 | 320,472 | 1,057,181 | 89,194 | — | ||||||||||||
Shares repurchased: | |||||||||||||||||
Class A | (812,768 | ) | (3,179,018 | ) | (183,746 | ) | (616,141 | ) | (510,417 | ) | (1,646,026 | ) | |||||
Class B | (83,532 | ) | (346,667 | ) | (18,223 | ) | (76,621 | ) | (53,547 | ) | (203,574 | ) | |||||
Class C | (2,907,482 | ) | (13,108,708 | ) | (645,213 | ) | (2,321,094 | ) | (1,771,833 | ) | (6,513,939 | ) | |||||
Institutional Class | (9,800,989 | ) | (37,075,680 | ) | (1,796,435 | ) | (6,140,986 | ) | (12,663,784 | ) | (25,459,674 | ) | |||||
(13,604,771 | ) | (53,710,073 | ) | (2,643,617 | ) | (9,154,842 | ) | (14,999,581 | ) | (33,823,213 | ) | ||||||
Net decrease | (2,455,506 | ) | (21,698,250 | ) | (723,428 | ) | (2,843,835 | ) | (7,023,198 | ) | (11,398,893 | ) | |||||
Optimum | Optimum | Optimum | |||||||||||||||
Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||||||||
Value Fund | Growth Fund | Value Fund | |||||||||||||||
Six Months | Year | Six Months | Year | Six Months | Year | ||||||||||||
Ended | Ended | Ended | Ended | Ended | Ended | ||||||||||||
9/30/09 | 3/31/09 | 9/30/09 | 3/31/09 | 9/30/09 | 3/31/09 | ||||||||||||
Shares sold: | |||||||||||||||||
Class A | 167,992 | 783,512 | 33,312 | 180,877 | 33,083 | 179,239 | |||||||||||
Class B | 11,315 | 43,273 | 3,655 | 10,952 | 3,134 | 11,691 | |||||||||||
Class C | 768,289 | 2,627,527 | 161,219 | 608,544 | 158,028 | 613,573 | |||||||||||
Institutional Class | 6,604,836 | 19,865,887 | 9,042,109 | 3,105,271 | 4,921,011 | 6,869,104 | |||||||||||
7,552,432 | 23,320,199 | 9,240,295 | 3,905,644 | 5,115,256 | 7,673,607 | ||||||||||||
Shares issued upon reinvestment of dividends | |||||||||||||||||
and distributions: | |||||||||||||||||
Class A | 89,427 | 72,889 | — | — | — | 1,401 | |||||||||||
Class B | 10,509 | 11,542 | — | — | — | 267 | |||||||||||
Class C | 223,974 | 255,515 | — | — | — | 5,364 | |||||||||||
Institutional Class | 1,426,180 | 928,793 | — | — | 24,450 | 10,191 | |||||||||||
1,750,090 | 1,268,739 | — | — | 24,450 | 17,223 | ||||||||||||
Shares repurchased: | |||||||||||||||||
Class A | (489,158 | ) | (1,602,665 | ) | (88,579 | ) | (291,537 | ) | (90,675 | ) | (350,921 | ) | |||||
Class B | (49,627 | ) | (204,119 | ) | (8,307 | ) | (35,085 | ) | (8,855 | ) | (41,364 | ) | |||||
Class C | (1,756,990 | ) | (6,505,876 | ) | (318,650 | ) | (1,134,798 | ) | (341,436 | ) | (1,187,514 | ) | |||||
Institutional Class | (13,755,719 | ) | (21,917,080 | ) | (1,527,088 | ) | (3,284,227 | ) | (1,528,649 | ) | (3,188,352 | ) | |||||
(16,051,494 | ) | (30,229,740 | ) | (1,942,624 | ) | (4,745,647 | ) | (1,969,615 | ) | (4,768,151 | ) | ||||||
Net increase (decrease) | (6,748,972 | ) | (5,640,802 | ) | 7,297,671 | (840,003 | ) | 3,170,091 | 2,922,679 |
(continues) 87
Notes to financial statements
Optimum Fund Trust
7. Derivatives
Each Fund applies the amended provisions of Accounting Codification Section 815 (ACS 815) Derivatives and Hedging. ACS 815 is intended to improve financial reporting about derivative instruments by requiring enhanced disclosures that enable investors to understand: 1) how and why an entity uses derivatives, 2) how they are accounted for, and 3) how they affect an entity’s results of operations and financial position.
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. Each Fund 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 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 and foreign cross 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 Funds’ maximum risk of loss from counterparty credit risk is the value of their currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Funds and the counterparty and by the posting of collateral by the counterparty to the Funds to cover the Funds’ exposure to the counterparty.
Financial Futures Contracts — The Optimum Fixed Income Fund and Optimum International Fund my use financial futures contracts in the normal course of pursuing their investment objectives. The Optimum Fixed Income Fund may invest in financial futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in prevailing market interest rates. The Optimum International Fund may use financial futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity and minimizing costs. Upon entering into a financial futures contract, the Funds deposit 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 Funds as unrealized gains or losses until the contracts are closed. When the contracts are closed, each 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 financial futures contracts include potential imperfect correlation between the financial futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is minimal counterparty credit risk to a Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees against default.
Options Contracts — During the six month s ended September 30, 2009, the Optimum Fixed Income Fund entered into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including: to manage the Fund’s exposure to changes in securities prices and foreign currencies; as an efficient means of adjusting the Fund’s overall exposure to certain markets; in an effort to enhance income; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the options purchased. 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. When writing options, the Fund is subject to minimal counterparty risk.
Transactions in options during the six months ended September 30, 2009 for the Optimum Fixed Income Fund were as follows:
Number of contracts | Premiums | |||||||
Options outstanding at March 31, 2009 | 7,153 | $ | 7,013 | |||||
Options written | 6 | 9,911 | ||||||
Options bought | 300 | 241,689 | ||||||
Options expired | (7,153 | ) | (7,013 | ) | ||||
Options terminated in closing purchase/sold transactions | (200 | ) | (174,558 | ) | ||||
Options outstanding at September 30, 2009 | 106 | $ | 77,042 |
88
7. Derivatives (continued)
Swap Contracts — The Optimum Fixed Income Fund may enter into interest rate swap contracts, index swap contracts and CDS contracts in the normal course of pursuing its investment objective. 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.
Interest Rate Swaps. 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. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
Index Swaps. 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. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the index swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), 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 six months ended September 30, 2009, the Optimum Fixed Income Fund entered into CDS contracts as a purchaser of protection and seller of protection. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized 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 (as defined in the CDS agreement) or the maturity or termination of the agreement.
The Optimum Fixed Income Fund may sell credit default swaps which expose it to risk of loss from credit risk related events specified in the contract. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default. As disclosed in the footnotes to the statement of net assets, the aggregate fair value of credit default swaps in a net liability position as of September 30, 2009 was $360,730. The aggregate fair value of assets posted as collateral, net of assets received as collateral, for these swaps was $450,000. If a credit event had occurred as of September 30, 2009, the swaps’ credit-risk-related contingent features would have been triggered and the Fund would have been required to pay $2,270,000 less the value of the contracts’ related reference obligations.
CDS may involve greater risks than if a Fund had invested in the referenced obligation directly. CDSs are subject to general market risk, liquidity risk, counterparty risk and credit risk. The Fund’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
Swaps Generally. 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 their 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 movement 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.
(continues) 89
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
Fair values of derivative instruments as of September 30, 2009 were as follows:
Optimum Fixed Income Fund | ||||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||||
Statement of | Statement of | |||||||||||||
Net Assets Location | Fair Value | Net Assets Location | Fair Value | |||||||||||
Foreign exchange contracts (Currency) | Liabilities net of receivables | Liabilities net of receivables | ||||||||||||
and other assets | $ | 55,622 | and other assets | $ | — | |||||||||
Interest rate contracts (Futures) | Liabilities net of receivables | Liabilities net of receivables | ||||||||||||
and other assets | — | and other assets | (104,209 | ) | ||||||||||
Options contracts (Options) | Liabilities net of receivables | Liabilities net of receivables | ||||||||||||
and other assets | — | and other assets | (42,261 | ) | ||||||||||
Credit contracts (Swaps) | Liabilities net of receivables | Liabilities net of receivables | ||||||||||||
and other assets | 11,182 | and other assets | (371,912 | ) | ||||||||||
Total | $ | 66,804 | $ | (518,382 | ) |
The effect of derivative instruments on the statements of operations for the six months ended September 30, 2009 as follows:
Optimum Fixed Income Fund | ||||||||||||
Change in Unrealized | ||||||||||||
Realized Gain or Loss on | Appreciation or | |||||||||||
Location of Gain or Loss on | Derivatives Recognized in | Depreciation on Derivatives | ||||||||||
Derivatives Recognized in Income | Income | Recognized in Income | ||||||||||
Foreign exchange contracts (Currency) | Net realized and unrealized gain | |||||||||||
on investments and foreign | ||||||||||||
currencies from foreign currencies | $ | 825,509 | $ | (170,570 | ) | |||||||
Interest rate contracts (Futures) | Net realized and unrealized gain | |||||||||||
(loss) on investments and foreign | ||||||||||||
currencies from futures contracts | 415,462 | (12,308 | ) | |||||||||
Options contracts (Options) | Net realized and unrealized gain | |||||||||||
(loss) on investments and foreign | ||||||||||||
currencies from options contracts | 78,365 | (47,820 | ) | |||||||||
Credit contracts (Swaps) | Net realized and unrealized loss | |||||||||||
on investments and foreign | ||||||||||||
currencies from swap contracts | (172,305 | ) | (782,641 | ) | ||||||||
Total | $ | 1,147,031 | $ | (1,013,339 | ) |
8. Securities Lending
The Funds may lend their securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). With respect to each loan, if the aggregate market value of securities collateral held plus cash collateral received 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 generally invested in the Mellon GSL DBT II Collateral Fund (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of clients participating in its securities lending programs. The Collective Trust invests in fixed income securities, with a weighted average maturity not to exceed 90 days, rated in one of the top three-tiers by Standard & Poor’s Ratings Group (S&P) or Moody’s Investors Service, Inc. (Moody’s) or repurchase agreements collateralized by such securities. The Collective Trust seeks to maintain a net asset value per unit of $1.00, but there can be no assurance that it will always be able to do so. At September 30, 2009, the Collective Trust held only cash and assets with a maturity of one business day or less (Cash/Overnight Assets). The Funds may incur investment losses as a result of investing securities lending collateral in the Collective Trust. This could occur if an investment in the Collective Trust defaulted or if it were necessary to liquidate assets
90
8. Securities Lending (continued)
in the Collective Trust to meet returns on outstanding security loans at a time when the Collective Trust’s net asset value per unit was less than $1.00. Under those circumstances, the Funds may not receive an amount from the Collective Trust that is equal in amount to the collateral the Funds would be required to return to the borrower of the securities and the Funds would be required to make up for this shortfall. Effective April 20, 2009, BNY Mellon transferred the assets of the Collective Trust other than the Cash/Overnight Assets to the BNY Mellon SL DBT II Liquidating Fund (Liquidating Fund), effectively bifurcating the collateral investment pool. The Funds’ exposure to the Liquidating Fund is expected to decrease as the Liquidating Fund’s assets mature or are sold. In October 2008, BNY Mellon transferred certain distressed securities from the Collective Trust into the Mellon GSL Reinvestment Trust II. The Funds can also accept U.S. government securities and letters of credit (non-cash collateral) in connection with securities loans. 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 or interest, as applicable, on the securities loaned and are 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. With respect to security loans collateralized by non-cash collateral, the Funds receive loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Funds, the security lending agent and the borrower. The Funds record security lending income net of allocations to the security lending agent and the borrower.
At September 30, 2009, the values of securities on loan for each Fund are presented below, for which the Funds received collateral, comprised of non-cash collateral and cash collateral. Investments purchased with cash collateral are presented on the statement of net assets under the caption “Securities Lending Collateral.”
At September 30, 2009, the value of securities on loan was:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||
Value | $31,615,416 | $23,407,264 | $50,106,641 | $44,617,403 | $23,719,311 | $12,928,719 | ||||||
Cash collateral | 32,419,337 | 24,604,485 | 51,452,987 | 46,049,547 | 24,401,725 | 13,373,020 |
9. 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 the Funds 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 is 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 invests a portion of its assets in high yield fixed income securities, which carry ratings of BB or lower by S&P and/or Ba or lower by Moody’s. 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 an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. 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 effect 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.
(continues) 91
Notes to financial statements
Optimum Fund Trust
9. Credit and Market Risk (continued)
The Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund invest a significant portion of its assets in small- and mid- sized companies and may be subject to certain risks associated with ownership of securities of such companies. Investments in small- or mid-sized companies may be more volatile than investments in larger companies for a number of reasons, which include more limited financial resources or a dependence on narrow product lines.
The Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund invest in REITs and are subject to some of the risks associated with that industry. If the Funds hold real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended September 30, 2009. The Funds’ REIT holdings are also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations.
Each Fund may invest up to 15% of its net 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 Funds’ Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Funds’ limitation on investments in illiquid assets. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Funds’ 15% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the statements of net assets.
10. 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.
11. Sale of Delaware Investments to Macquarie Group
On August 18, 2009, Lincoln National Corporation and Macquarie Group (Macquarie) entered into an agreement pursuant to which Delaware Investments, including DMC, DDLP and DSC, will be acquired by Macquarie, an Australia-based global provider of banking, financial, advisory, investment and funds management services (the Transaction). Upon completion of the Transaction, DMC, DDLP and DSC will be wholly-owned subsidiaries of Macquarie.
The Transaction will result in a change of control of DMC which, in turn, will cause termination of the investment advisory agreement between DMC and the Funds, as well as termination of each of the sub-advisory agreements between DMC and the sub-advisers. As a result, a Special Meeting of Shareholders (Meeting) of the Funds was called for the purpose of asking shareholders to approve a new investment advisory agreement between DMC and the Funds (New Agreement). The Meeting took place on November 12, 2009. Shareholders approved the New Agreement which will take effect upon the closing of the Transaction, which is currently anticipated to occur by on or about December 31, 2009. In addition, the Board has considered and approved new investment sub-advisory agreements between DMC and each of the sub-advisers, each to take effect upon the closing of the Transaction. These new sub-advisory agreements do not need to be approved by shareholders.
12. Subsequent Events
Effective September 30, 2009, the Funds adopted the amended provisions of Accounting Codification Section 855 (ACS 855) Subsequent Events. In accordance with ACS 855, management has evaluated whether any events or transactions occurred subsequent to September 30, 2009 through November 18, 2009, the date of issuance of the Funds’ financial statements, and determined that there were no material events or transactions other than those already disclosed that would require recognition or disclosure in the Funds’ financial statements.
92
Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held June 10, 2009
At a meeting held June 10, 2009, the Board of Trustees, including a majority of non-interested or independent Trustees, approved renewal of the Investment Management Agreement between Delaware Management Company (“DMC” or “Management”) and each of the six separate funds within the Optimum Fund Trust (the “Funds”), as well as continuation of Sub-Advisory Agreements between DMC and the following sub-advisers: Columbia Wanger Asset Management, L.P. (Optimum Small-Mid Cap Growth Fund); Delafield Asset Management (Optimum Small-Mid Cap Value Fund); Fred Alger Management, Inc. (Optimum Large Cap Growth Fund); The Killen Group, Inc. (Optimum Small-Mid 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); TCW Investment Management Company (Optimum Large Cap Value Fund and Optimum Fixed Income Fund); T. Rowe Price Associates, Inc. (Optimum Large Cap Growth Fund); and Wellington Management Company, LLP (Optimum Small-Mid Cap Growth Fund). The independent Trustees did not need to approve continuation of Sub-Advisory Agreements for Westwood Management Corp. and BlackRock Advisors, LLC because their selection as sub-advisers for the Optimum Small-Mid Cap Value Fund and the Optimum International Fund, respectively, had been approved at a Board meeting held December 9, 2008.
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 10, 2009 Board meeting. Information furnished at Board meetings throughout the year included an analysis by DMC (with the assistance of its consultant, LPL Financial Corporation) of the investment performance of each Fund and its sub-advisers, presentations given the Board by portfolios managers from each sub-adviser on a rotating basis, and compliance reports and related certifications furnished by DMC and each sub-adviser. Material furnished specifically in connection with the renewals included: a memorandum from DMC discussing and analyzing the performance of each Fund and its respective sub-adviser(s); a description of fees charged by DMC and each sub-adviser showing them in each case to be competitive with those charged by them 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 DMC and the sub-advisers; and information on the fees and other benefits realized by DMC (and its affiliates) and the sub-advisers in performing services for the Funds, as well as the revenues and expenses incurred by DMC 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 (“Lipper Report”).
In considering such materials, the independent Trustees received assistance and advice from and met separately with independent counsel. While the Investment Management Agreement and related Sub-Advisory 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 and Sub-Advisory Agreements for each Fund, the Board, including a majority of independent Trustees, determined that the existing management fee structure was fair and reasonable and that continuance of the Investment Management Agreement and continuation of the related Sub-Advisory Agreements were 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. Particular attention was given to the analysis and process involved in Management’s selection of sub-advisers in view of the appointments of new sub-advisers during 2008 to five of the six Funds. 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 the successful conversion and outsourcing of fund accounting operations to a subsidiary of The Bank of New York Mellon. The Trustees also noted that during the past year, DMC, like many other fund managers, had implemented cost savings, including employee reductions, and discussed with Management steps being taken to avoid any negative impact on the nature and quality of services being provided the Funds. The nature 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.
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 annualized total return investment performance of its Class A shares in comparison with a Performance Universe selected by Lipper for the one year period ending March 31, 2009, as well as the three and five year periods ending that date. The following summarizes the performance results for each Fund and the Board’s view and in certain cases action taken based on such performance.
(continues) 93
Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held June 10, 2009 (continued)
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 to be in the second lowest quintile of its Lipper Performance Universe for the one and three year periods, and to also be in the second lowest quintile, but above the average of such Universe, for the five year period. The Trustees were not satisfied with such comparative results, but believed that Management was taking appropriate action to improve performance. In this respect, the Trustees noted that upon Management’s analysis and recommendation, TCW Investment Management Company had been selected to replace Aberdeen Asset Management Inc. as a sub-adviser to the Fund at a Board meeting held May 13, 2008.
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 to be in the middle quintile of its Performance Universe for the one and three year periods and in the second lowest quintile, but within one percent of the Universe median, for the five year period. The Board was satisfied with efforts being taken by Management to improve performance, noting that upon Management’s analysis and its recommendation, BlackRock Advisors, LLC had been selected to replace AllianceBernstein LP as a sub-adviser to the Fund at a Board meeting held December 9, 2008.
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 to be in the second lowest quintile of its Lipper Performance Universe for the one and three year periods and in the middle quintile of such Universe for the five year period. The Trustees were not satisfied with such comparative results, but believed that Management was taking appropriate action to improve performance. In this respect, the Trustees noted that upon Management’s analysis and recommendation, Fred Alger Management, Inc. had been selected as an additional sub-adviser to the Fund at a Board meeting held June 12, 2008.
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 to be in the upper half of its Lipper Performance Universe for the one year period and in the second highest quintile of such Universe for the three and five year periods. The Trustees were satisfied with such comparative performance.
Optimum Small-Mid 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 to be in the second lowest quintile of its Lipper Performance Universe for the one year period and in the lowest quintile of such Universe for the three and five year periods. The Trustees were not satisfied with such comparative results, but believed that Management was taking appropriate action to improve performance. In this respect, the Trustees noted that upon Management’s analysis and recommendation, Wellington Management Company, LLP had been selected to replace Oberweis Asset Management, Inc. as a sub-adviser to the Fund at a Board meeting held June 12, 2008.
Optimum Small-Mid 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 showed the Fund’s investment performance to be in the lowest quintile of its Lipper Performance Universe for the one and three year periods and in the next to lowest quintile of such Universe for the five year period. The Trustees were not satisfied with such comparative results, but believed that Management was taking appropriate action to improve performance. In this respect, the Trustees noted that upon Management’s analysis and recommendation, Westwood Management Corp. had been selected to replace Hotchkis and Wiley Capital Management, LLC as a sub-adviser to the Fund at a Board meeting held December 9, 2008.
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. Lipper expense data is based upon information for the twelve months covered by each Fund’s most recent annual report and, as a result of the severe decline in mutual fund industry assets during the last quarter of 2008 and first quarter of 2009, is based on asset levels that are higher than the level currently existing for most funds. While recognizing the limitations inherent in Lipper’s methodology and recognizing that current expense ratios may increase as assets decline, the Trustees believed that the independent analysis conducted by Lipper remained an appropriate measure of comparative expenses. The Trustees did, however, request that Management keep them advised as more current annual report expense information becomes available. The Lipper Report showed the actual total expenses of each Fund to be the highest or close to the highest in its respective Lipper Expense Group. The Trustees noted since the Fund’s inception, that DMC had reimbursed expenses and waived fees to the extent necessary to keep expenses of each Fund from exceeding certain percentage amounts and to the extent each Fund had grown, that its level of expenses had declined. The Trustees discussed in detail the expense waivers proposed by management to go into effect for each Fund as of August 1, 2009 in light of the overall decline in each Fund’s assets that had occurred during the past year, the resulting reduced profitability to Management, and the overall competitive universe in which the Funds compete. The Trustees also discussed efforts being taken by Management to reduce Fund expenses.
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 the level of profit being realized by DMC and its affiliates from services provided to any of the Funds were excessive. 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 information
94
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. The Trustees recognized that as the Funds get larger at some point, economies of scale may result in DMC realizing a larger profit margin on management services provided a Fund. The Trustees also noted that economies of scale are 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-Mid Cap Value Fund and Optimum Small-Mid Cap Growth Fund each had less than $78 million in assets at March 31, 2009, 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.
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held August 27, 2009
At a meeting held on August 27, 2009, the Board of Trustees, including a majority of non-interested or independent Trustees (the “Independent Trustees”), approved a new Investment Management Agreement (the “New Investment Management Agreement”) between Delaware Management Company (“DMC” or “Management”) and each of the six separate funds within the Optimum Fund Trust (the “Funds”), as well as new Sub-Advisory Agreements (the “New Sub-Advisory Agreements”) between DMC and the following sub-advisers (the “Sub-Advisers”): BlackRock Advisors, LLC (Optimum International Fund); Columbia Wanger Asset Management, L.P. (Optimum Small-Mid Cap Growth Fund); Delafield Asset Management (Optimum Small-Mid Cap Value Fund); Fred Alger Management, Inc. (Optimum Large Cap Growth Fund); The Killen Group, Inc. (Optimum Small-Mid 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); TCW Investment Management Company (Optimum Large Cap Value Fund and Optimum Fixed Income Fund); T. Rowe Price Associates, Inc. (Optimum Large Cap Growth Fund); Wellington Management Company, LLP (Optimum Small-Mid Cap Growth Fund); and Westwood Management Corp. (Optimum Small-Mid Cap Value Fund).
The Board considered and approved the New Investment Management Agreement and New Sub-Advisory Agreements in connection with the following transaction: Lincoln National Corporation (“LNC”) and its indirect, wholly owned subsidiary, Lincoln National Investment Companies, Inc. (“LNIC”), entered into a definitive agreement (the “Transaction Agreement”), dated as of August 18, 2009, with Macquarie Bank Limited, whereby LNIC will sell all of the issued and outstanding capital stock of Delaware Management Holdings, Inc. (“DMHI”) to Macquarie Bank Limited (or a subsidiary thereof) (the “Transaction”). Macquarie Group Limited and its various subsidiaries (including Macquarie Bank Limited) are referred to collectively as “Macquarie Group”. DMHI and its subsidiaries are referred to collectively as “Delaware Investments.” Certain Fund service providers are subsidiaries of DMHI and will be included in the Transaction, including DMC. The consummation of the Transaction will result in a change of control of DMC, and thus the assignment and automatic termination of the current Investment Management Agreement between DMC and the Funds that was approved by the Board on June 10, 2009 (the “Current Investment Management Agreement”). Each current sub-advisory agreement previously approved by the Board (the “Current Sub-Advisory Agreements”) will also automatically terminate upon the termination of the Current Investment Management Agreement. Therefore, in anticipation of the closing of the Transaction, the Board considered the approval of the New Investment Management Agreement and the New Sub-Advisory Agreements through telephonic conference calls and at an in-person Board meeting on August 27, 2009.
To assist the Board in considering the New Investment Management Agreement, DMC provided materials and information about Macquarie Group and about the Transaction provided in advance of the August 27, 2009 in-person meeting. In considering the New Sub-Advisory Agreements, the Board relied on a general update of information furnished at previous Board meetings for each Sub-Adviser, including its organization, policies and fees, along with current performance information also provided in advance of the August 27, 2009 Board meeting. The Independent Trustees, together with independent legal counsel, participated in multiple telephonic conference calls with representatives of DMC in advance of the in-person Board meeting, at which the Transaction and future plans for DMC and the Funds were discussed. In addition, the Independent Trustees met separately along with independent counsel to discuss materials furnished them and the legal standards and certain other considerations relevant to their approval of the New Investment Management Agreement and New Sub-Advisory Agreements.
At the in-person meeting and telephonic conference calls, the Trustees discussed the Transaction with Management and a representative of Macquarie Group (at the in-person meeting), including the strategic rationale for the Transaction, and Macquarie Group’s general plans and intentions regarding the Funds and DMC. On these occasions, representatives of DMC and Macquarie Group (at the in-person meeting) responded to questions from the Board. The Board members also inquired about the plans for, and anticipated roles and responsibilities of, certain employees and officers of DMHI and DMC in connection with the Transaction.
In connection with the Board’s review of the New Investment Management Agreement, DMC and/or Macquarie Group advised the Trustees about a variety of matters, including the following:
- No material changes are currently contemplated as a result of the Transaction in the nature, quality, or extent of services currently provided to the Funds and their shareholders, including investment management, distribution, or other shareholder services.
- No material changes are currently contemplated in the operation of DMC under Macquarie Group.
- Macquarie Group has no present intention to cause DMC to change its existing expense waiver and reimbursement policy for the Funds as a result of the Transaction.
(continues) 95
Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held August 27, 2009 (continued)
- Under the Transaction Agreement, Macquarie Bank Limited has agreed to conduct, and cause its affiliates to conduct, their respective businesses in compliance with the conditions of Section 15(f) of the Investment Company Act of 1940 (the “1940 Act”) with respect to the Funds to the extent within its control, including maintaining Board composition of at least 75% of the Board members qualifying as Independent Trustees and not imposing any “unfair burden” on the Funds for at least two years from the closing of the Transaction.
In addition to the information provided by DMC and Macquarie Group as described above, the Board also considered, among other factors, the following:
- The reputation, financial strength, and resources of Macquarie Group as well as its historic and ongoing commitment to the asset management business in Australia and in other parts of the world.
- The terms and conditions of the New Investment Management Agreement and New Sub-Advisory Agreements, including that the contractual fee rates under the New Investment Management Agreement and New Sub-Advisory Agreements, will remain the same.
- The Board’s review of those Sub-Advisory Agreements approved at its December 9, 2008 Board meeting and its full annual review of the Current Investment Management Agreement and those Current Sub-Advisory Agreements reviewed at its in-person meeting in June 2009 as required by the 1940 Act and their determination (i) that DMC and the Sub-Advisers have the capabilities, resources, and personnel necessary to provide the satisfactory investment management services currently provided to each Fund, and (ii) that the management fees paid by each Fund, taking into account any applicable fee waivers and breakpoints, represent reasonable compensation to DMC in light of the services provided, the costs to DMC of providing those services, economies of scale, and the fees and other expenses paid by similar funds and such other matters that the Board considered relevant in the exercise of their reasonable judgment.
- Under the Transaction Agreement, LNIC and Macquarie Bank Limited have agreed to bear the expenses of the Funds in connection with the Board’s consideration of the New Investment Management Agreement and New Sub-Advisory Agreements and related agreements and the costs of any proxy solicitation related thereto.
In making its decision relating to the approval of the Funds’ New Investment Management Agreement and New Sub-Advisory Agreements, the Independent Trustees gave attention to all information furnished, however, the following discussion identifies the primary factors taken into account by the Trustees and the conclusions reached in approving the New Investment Management Agreement and New Sub-Advisory Agreements.
Nature, Extent, and Quality of Services. The Board considered services provided by DMC and its affiliates to the Funds and their shareholders. In reviewing the nature, extent, and quality of services, the Board considered that the New Investment Management Agreement will be substantially similar to the Current Investment Management Agreement, and therefore considered the review conducted at the June 10, 2009 Board meeting and the accomplishments of DMC over the prior year. In this regard, the Board’s review 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. Particular attention was given to the analysis and process involved in management’s selection of Sub-Advisers in view of the appointments of new sub-advisers during 2008 to five of the six Funds. 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 the successful conversion and outsourcing of fund accounting operations to a subsidiary of The Bank of New York Mellon. The Trustees also noted that during the past year, DMC, like many other fund managers, had implemented cost savings, including employee reductions, and discussed with management steps being taken to avoid any negative impact on the nature and quality of services being provided the Funds. In reviewing the nature, extent, and quality of services for the Sub-Advisers, the Board also considered that the New Sub-Advisory Agreements will be substantially similar to the Current Sub-Advisory Agreements, and therefore considered information furnished them at previous Board meetings and a general update of that information provided in advance of the August 27, 2009 Board meeting. In particular, the Board’s review was based primarily upon the Funds’ / Sub-Advisers’ investment performance, and the Board also considered the Sub-Advisers’ adherence to certain Fund investment guidelines and to Fund compliance policies and procedures.
Based on information provided by DMC and Macquarie Group, including that Macquarie Group and DMC currently expected no material changes as a result of the Transaction (i) in the personnel or operations of DMC or (ii) in third party service providers to the Funds, the Board concluded that the satisfactory nature, extent, and quality of services currently provided to the Funds and their shareholders were very likely to continue under the New Investment Management Agreement. The Board also concluded that it was very unlikely that any “unfair burden” would be imposed on any of the Funds for the first two years following the closing of the Transaction as a result of the Transaction. Consequently, the Board concluded that it did not expect the Transaction to result in any adverse changes in the nature, quality, or extent of services (including investment management, distribution, or other shareholder services) currently provided to the Funds and their shareholders.
Investment Performance. The Board considered the overall investment performance of the Funds. The Board placed significant emphasis on the investment performance of the Funds in view of its importance to shareholders. Although the Board gave appropriate consideration to performance
96
reports and discussions with portfolio managers at Board meetings throughout the year, the Board gave particular weight to the approval of the Current Investment Management Agreement and Current Sub-Advisory Agreements at the in-person meeting in June 2009. At that meeting, the Board reviewed reports prepared by Lipper, Inc., an independent statistical compilation organization (“Lipper”), for each Fund showing the investment performance of its Class A shares in comparison to a group of similar funds as selected by Lipper (the “Performance Universe”). The Lipper reports prepared for each individual Fund showed the annualized total return investment performance of its Class A shares in comparison with a Performance Universe selected by Lipper for the one-year period ending March 31, 2009, as well as the three- and five-year periods ending on that date. At its meeting on August 27, 2009, the Board also reviewed the more recent investment performance of the Funds, including performance information on those new Sub-Advisers approved at the December 9, 2008 Board meeting whose Agreements were not subject to renewal approved at the June, 2009 Board meeting. The Board was either satisfied with the performance of the Funds, or the Board believed that management was taking appropriate action to improve performance.
Based on information provided by DMC and Macquarie Group, the Board concluded that neither the Transaction nor the New Investment Management Agreement nor the New Sub-Advisory Agreements would likely have an adverse effect on the investment performance of each Fund because (i) DMC and Macquarie Group did not currently expect the Transaction to cause any change in the portfolio management of the Funds, (ii) the Funds expenses were not expected to increase as a result of the Transaction, (iii) under the Transaction Agreement, LNIC and Macquarie Bank Limited have agreed to bear the expenses of the Funds in connection with the Board’s consideration of the New Investment Management Agreement and New Sub-Advisory Agreements and related agreements and the costs of any proxy solicitation, and (iv) there was not expected to be any “unfair burden” imposed on the Funds as a result of the Transaction.
Comparative Expenses. The Board considered the expense comparison data for the Funds that it had previously considered at the June 10, 2009 Board meeting. At that meeting, the Board reviewed information on pricing levels and fee structures for the Funds and a comparative group of similar funds as selected by Lipper (the “Expense Group”). The Board focused on the comparative analysis of the effective management fees and total expense ratios of each Fund versus the effective management fees and expense ratios of the Expense Group. In addition, the Board noted that since each Fund’s inception DMC had reimbursed expenses and waived fees to the extent necessary to keep expenses of each Fund from exceeding certain percentage amounts and to the extent each Fund had grown, that its level of expenses had declined. The Board also discussed efforts being taken by management to reduce Fund expenses. At the August 27, 2009 meeting, the Board noted that the prior Lipper data on comparative expenses for the Funds remained a useful guide for evaluating Fund expenses. The Board did, however, request that management keep them advised as more current annual report expense information becomes available for comparative funds.
Based on information provided by DMC and Macquarie Group, the Board concluded that neither the Transaction nor the New Investment Management Agreement nor the New Sub-Advisory Agreements would likely have an adverse effect on the Funds’ expenses because (i) the contractual fee rates under the New Investment Management Agreement and New Sub-Advisory Agreements would remain the same, (ii) there was no current intention to change DMC’s existing expense waiver and reimbursement policy as a result of the Transaction, (iii) under the Transaction Agreement, LNIC and Macquarie Bank Limited have agreed to bear the expenses of the Funds in connection with the Board’s consideration of the New Investment Management Agreement and New Sub-Advisory Agreements and related agreements and the costs of any proxy solicitation, and (iv) consistent with Section 15(f) of the 1940 Act, no “unfair burden” would be imposed on the Funds for the first two years after the closing of the Transaction.
DMC’s Profitability; Economies of Scale. The Board considered the level of profits realized by DMC in connection with the operation of the Funds. The Board had previously considered the level of profits realized by DMC in connection with the operation of the Funds at its June 2009 meeting. At that meeting, the Board reviewed the size of each Fund and the reimbursement or waiver of expenses by DMC, as well as other profitability information furnished them by DMC and the Sub-Advisers. The Board was also provided information on potential fall-out benefits derived or to be derived by DMC and the Sub-Advisers in connection with their relationship to the Funds such as the prestige and visibility associated with their roles as investment manager to the Funds. Based on these items provided at the June 2009 meeting, the Board did not believe that the level of profit being realized by DMC and its affiliates from services provided to any of the Funds was excessive. At the August 27, 2009 meeting, the Board noted that the updated profitability information furnished by DMC remained consistent with the profitability information presented in connection with the June 2009 review. Moreover, the Board reviewed pro forma balance sheets of certain key companies in Delaware Investments as of June 30, 2009 for purposes of evaluating the financial ability of Delaware Investments to continue to provide the nature, extent, and quality of services as it had under the Current Investment Management Agreement.
Based on information provided by DMC and Macquarie Group, the Board concluded that DMC and Delaware Investments would be sufficiently capitalized following the Transaction to continue the same level and quality of services to the Funds under the New Investment Management Agreement as was the case under the Current Investment Management Agreement. The Board also concluded that because services and costs were expected to be substantially the same under the New Investment Management Agreement as under the Current Investment Management Agreement, the profitability of Delaware Investments would not materially change as a result of the Transaction.
The Board further recognized that as the Funds get larger at some point, economies of scale may result in DMC realizing a larger profit margin on management services provided a Fund. The Board also noted that economies of scale are 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. At the June 2009 meeting, the Board concluded that the Optimum Small-Mid Cap Value Fund and Optimum Small-Mid Cap Growth Fund each had such small asset levels that no meaningful economies of scale existed. The Board also noted that the investment management fees for all of 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. At the August 27, 2009 meeting, the Board believed that the preceding factors regarding the Funds’ potential economies of scale remained the same. The Board also noted
(continues) 97
Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held August 27, 2009 (continued)
Macquarie Group’s statement that the Transaction would not by itself immediately provide additional economies of scale given Macquarie Group’s limited presence in the U.S. mutual fund market. Based on the foregoing, the Board concluded that the Transaction would not have an immediate impact on economies of scale realized by DMC in providing management services to the Funds.
Fall-Out Benefits. The Board concluded that Macquarie Group and Delaware Investments may derive reputational and other benefits from their association with the Funds, including service relationships with Delaware Investments service providers the extent to which Delaware Investments might derive ancillary benefits from Fund operations, including the potential for procuring additional business as a result of the prestige and visibility associated with its role as service provider to the Funds.
The Transaction Agreement. The Board reviewed key terms of the Transaction Agreement. The Board considered the calculation of the purchase price for Delaware Investments, including the requirements for obtaining consents to the change in control from Delaware Investments’ advisory clients, such as the Funds. The Board noted that Delaware Investments ability to continue to manage the general account assets of certain LNC subsidiaries. The Board also considered certain key representations, warranties, and covenants made by the parties to the Transaction Agreement, including those related Section 15(f) of the 1940 Act, indemnification, and the overall compensation plan available to employees of Delaware Investments following the Transaction. The Board also considered that under the Transaction Agreement, LNIC and Macquarie Bank Limited have agreed to bear the expenses of the Funds in connection with the Board’s consideration of the New Investment Management Agreement and New Sub-Advisory Agreements and related agreements and the costs of any proxy solicitation. On the basis of this review, as well as other information provided by DMC and Macquarie Group, the Board concluded that the Transaction would not be expected to have material adverse consequences for the Funds or their shareholders.
Board Review of Macquarie Group. The Board reviewed detailed information regarding Macquarie Group. As previously noted, the Board considered pro forma balance sheets for certain key companies in Delaware Investments as of June 30, 2009, and Delaware Investments’ ability to continue to provide the same level and quality of services to the Funds. The Board noted that there would be a limited transition period during which some services previously provided by LNC to Delaware Investments would continue to be provided by LNC after the closing of the Transaction, and concluded that this arrangement would help minimize disruption in Delaware Investments’ provision of services to the Funds following the Transaction. Macquarie Group generally discussed other potential synergies with Delaware Investments’ current capabilities that it could explore following the acquisition. Macquarie Group also described its proposed changes to Delaware Investments’ corporate governance, primarily through the anticipated addition of certain Macquarie Group officers to DMHI’s board of directors.
The Board considered favorably Macquarie Group’s statement that it had no current intention to change the executive, administrative, investment or support staff of Delaware Investments in any significant way as a result of the Transaction. The Board also noted Macquarie Group’s plans in regards to compensation and benefits, including short-term and long-term incentive compensation and equity interests for certain employees. In addition, Macquarie Group described its current intention to enhance certain administrative and operational areas of DMC following the Transaction, including in the areas of information technology and risk management. The Board also considered Macquarie Group’s general intention to leave the Funds’ current service provider relationships in place, and it discussed with Macquarie Group its plans for the internal audit group.
The Board concluded that Macquarie’s acquisition of Delaware Investments could potentially enhance the nature, quality, and extent of services provided to the Funds and their shareholders, based in part on the information provided by DMC and Macquarie Group regarding Macquarie Group’s current strategic plans to increase its asset management activities, one of its core businesses, particularly in North America, and its statement that its acquisition of DMC is an important component of this strategic growth and the establishment of a significant presence in the United States.
DMC and Macquarie Group noted to the Board that, as a subsidiary of an Australian authorized deposit-taking institution, Delaware Investments would become subject to certain Australian regulatory oversight and requirements following the Transaction, including those related to disclosure, fund holdings, affiliated transactions, advisory agreements, and expense limitations. DMC and Macquarie Group also noted to the Board that certain exemptive relief that had been provided to Macquarie Group by the Australian bank regulator in anticipation of the Transaction, and the Board was informed of the nature of future relief that may be required. Based on the information provided and representations made by DMC and Macquarie Group, the Board concluded that the Australian bank regulatory requirements would not have a material effect on the Funds or their shareholders, including DMC’s ability to continue in its discretion to provide expense limitations and reimbursements to the Funds.
The Board noted that DMC and the Sub-Advisers may place brokerage transactions with a broker/dealer affiliate of Macquarie Group and receive research in connection with those transactions. Other Macquarie Group affiliates participate in underwriting syndicates for securities offerings outside of the United States. Fund management represented to the Board that it will regularly monitor brokerage transactions with Macquarie Group affiliates for compliance with the requirements of Section 15(f) and Rules 17e-1 and 10f-3 of the 1940 Act and to ensure compliance with the Funds’ procedures under such Rules, and report to the Board as appropriate.
Conclusion. The Board of the Funds, including a majority of the Independent Trustees, approved the New Investment Management Agreement and New Sub-Advisory Agreements, concluding that the management fee rates under each are reasonable in relation to the services provided and that the New Investment Management Agreement and New Sub-Advisory Agreements are in the best interests of the shareholders. In approving the New Investment Management Agreement and New Sub-Advisory Agreements, the Board noted that it anticipated reviewing the continuance of the agreements in advance of the expiration of the initial two-year period.
98
Board Consideration of Sub-Advisory Agreement with Tocqueville Asset Management, L.P. at Meeting Held September 22, 2009
Until September 28, 2009, the Delafield Asset Management Division of Reich & Tang Asset Management, LLC (“Delafield”) served as a sub-adviser to the Optimum Small-Mid Cap Value Fund. On September 28, 2009, the portfolio management team and certain support staff of Delafield joined Tocqueville Asset Management, L.P. (“Tocqueville”). In anticipation of this transaction, at an Optimum Fund Trust Board meeting held on September 22, 2009 the Board of Trustees, including a majority of non-interested or independent Trustees, approved the termination of the sub-advisory agreement with Delafield, effective upon the portfolio management team of Delafield joining Tocqueville, and the following sub-advisory agreements between Delaware Management Company (“DMC” or “Management”) and Tocqueville for the Optimum Small-Mid Cap Value Fund (the “Fund”): (i) an initial sub-advisory agreement to become effective upon the portfolio management team of Delafield joining Tocqueville (which occurred on September 28, 2009); and (ii) a subsequent sub-advisory agreement with identical terms to become effective upon the closing of the Transaction (defined above in the Board considerations description for the August 27, 2009 Board meeting), at which time the initial sub-advisory agreement with Tocqueville will terminate. If the Transaction is not completed, the subsequent sub-advisory agreement with Tocqueville will not go into effect and the initial sub-advisory agreement with Tocqueville will continue in effect. The initial sub-advisory agreement and the subsequent sub-advisory agreement between DMC and Tocqueville are collectively referred to as “Sub-Advisory Agreements” below.
In reaching the decision to approve Tocqueville, the Board considered and reviewed information about Tocqueville, including its personnel and operations, which had been provided by Tocqueville. The Board also reviewed material furnished by DMC (with the assistance of its consultant, LPL Financial Corporation), including: a memorandum from DMC reviewing the Sub-Advisory Agreements and the various services proposed to be rendered by Tocqueville; research and analysis concerning DMC’s proposal of Tocqueville; a description of Tocqueville’s proposed sub-advisory fees under the Sub-Advisory Agreements; information concerning Tocqueville’s organizational structure and the experience of its investment management personnel; a “due diligence” report describing various material items in relation to Tocqueville’s personnel, organization and policies; copies of Tocqueville’s compliance policies and procedures and its Code of Ethics; and copies of the Sub-Advisory Agreements.
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 Agreements were sent to the independent Trustees in advance of the 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 consideration of the Sub-Advisory Agreements.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of the services to be provided by Tocqueville, the Board specifically considered that the Sub-Advisory Agreements contain substantially similar provisions to those in the prior Delafield sub-advisory agreement for the Fund. The Board also considered the representation from Tocqueville that the Delafield portfolio managers who have managed the sleeve of the Fund previously allocated to Delafield since its inception would continue to act as portfolio managers to the Fund on behalf of Tocqueville pursuant to their existing investment strategy. Based on this representation, the quality of the services to be provided by Tocqueville was considered primarily in respect to the prior investment performance of Delafield on its sleeve of the Fund. Also, the Board considered the compatibility of the Fund’s sub-advisers’ investment philosophies and methodologies, and noted that Management had taken steps over the prior year to improve performance. Based upon these considerations, the Board determined that the nature, extent and quality of the services to be provided by Tocqueville under the Sub-Advisory Agreements were satisfactory.
Investment Performance. As noted above, the Board placed weight on Tocqueville’s representation that there are no planned changes with respect to the Delafield personnel currently responsible for security selection and portfolio management of its portion of the Fund after Delafield personnel joined Tocqueville. Therefore, the Board placed significant emphasis on Delafield’s prior investment performance on its sleeve of the Fund. While consideration was given to performance reports and discussions throughout the year, particular attention in assessing performance was given to Delafield’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. The Board believed such information and analysis evidenced the benefits to the Fund and high quality of portfolio management services expected to be provided by Tocqueville under the Sub-Advisory Agreements.
Sub-Advisory Fee; Profitability; and Economies of Scale. The Board was provided with a description of fees to be charged by Tocqueville under the Sub-Advisory Agreements which showed them to be identical to the sub-advisory fees from the existing Delafield sub-advisory agreement for the Fund, and to be competitive with those to be charged by Tocqueville to other comparable investment companies or accounts. The Board was informed that Tocqueville may receive certain fall-out benefits in connection with its relationship with the Fund, such as soft-dollar arrangements. The Board also noted that the management fee paid by the Fund to DMC would stay the same, and that DMC’s profitability should not be affected by approving the Sub-Advisory Agreements with Tocqueville since the sub-advisory fees are remaining the same as the fees for Delafield. Information about Tocqueville’s estimated profitability from its relationship with the Fund was not available because it had not begun to provide services to the Fund. The Board also noted that economies of scale are shared with the Fund and its shareholders through DMC’s investment management fee breakpoints, so that as the Fund grows in size its effective management fee rate declines. Based upon such facts, the Board believed that the fees to be charged by Tocqueville under the Sub-Advisory Agreements were fair and reasonable in relation to the services being provided.
99
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 Fact Sheet 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 the investment company will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Board of trustees Mark S. Casady Theodore K. Smith 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 |
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 Forms 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 is available without charge (i) upon request, by calling 800 914-0278; (ii) on the Fund’s Web site at www.optimummutualfunds.com ; and (iii) on the Commission’s Web site at www.sec.gov. 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 the Fund’s Web site at www.optimummutualfunds.com; and (ii) on the Commission’s Web site at www.sec.gov.
100
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. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment 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.
Name of Registrant: Optimum Fund Trust
THEODORE K. SMITH | |
By: | Theodore K. Smith |
Title: | Chief Executive Officer |
Date: | December 4, 2009 |
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.
THEODORE K. SMITH | |
By: | Theodore K. Smith |
Title: | Chief Executive Officer |
Date: | December 4, 2009 |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | December 4, 2009 |