UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
COMPANIES
Investment Company Act file number: 811-21335
Exact name of registrant as specified in charter:
Optimum Fund Trust
Optimum Fund Trust
Address of principal executive offices:
2005 Market Street
Philadelphia, PA 19103
2005 Market Street
Philadelphia, PA 19103
Name and address of agent for service:
David F. Connor, Esq.
2005 Market Street
Philadelphia, PA 19103
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, 2010
Item 1. Reports to Stockholders
| ||
Optimum Fund Trust | ||
November 29, 2010 | ||
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 Fu nd 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, 2010 | |||
Table of contents
> Disclosure of Fund expenses | 1 |
> Sector/Country allocations and top 10 holdings | 3 |
> Financial statements | |
Statements of net assets | 7 |
Statements of assets and liabilities | 48 |
Statements of operations | 49 |
Statements of changes in net assets | 50 |
Financial highlights | 53 |
Notes to financial statements | 77 |
> Other Fund information | 93 |
> About the organization | 94 |
Delaware Management Holdings, Inc., and its subsidiaries (collectively known by the marketing name of Delaware Investments) are wholly owned subsidiaries of Macquarie Group Limited, a global provider of banking, financial, advisory, investment and funds management services.
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 their subsidiaries or related companies, 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.
Unless otherwise noted, the views expressed in this report are as of Sept. 30, 2010, and are subject to change at any time. Holdings are as of the date indicated and subject to change.
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. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Funds’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
© 2010 Delaware Management Holdings, Inc.
All third-party trademarks cited are the property of their respective owners.
Disclosure of Fund expenses
For the six-month period April 1, 2010 to September 30, 2010
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 six-month period from April 1, 2010 to September 30, 2010.
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
Expense Analysis of an Investment of $1,000
Expenses | ||||||||
Beginning | Ending | Paid During | ||||||
Account | Account | Annualized | Period | |||||
Value | Value | Expense | 4/1/10 to | |||||
4/1/10 | 9/30/10 | Ratio | 9/30/10* | |||||
Actual Fund Return | ||||||||
Class A | $1,000.00 | $1,065.80 | 1.35% | $ 6.99 | ||||
Class B | 1,000.00 | 1,062.00 | 2.00% | 10.34 | ||||
Class C | 1,000.00 | 1,062.00 | 2.00% | 10.34 | ||||
Institutional Class | 1,000.00 | 1,067.80 | 1.00% | 5.18 | ||||
Hypothetical 5% Return (5% return before expenses) | ||||||||
Class A | $1,000.00 | $1,018.30 | 1.35% | $ 6.83 | ||||
Class B | 1,000.00 | 1,015.04 | 2.00% | 10.10 | ||||
Class C | 1,000.00 | 1,015.04 | 2.00% | 10.10 | ||||
Institutional Class | 1,000.00 | 1,020.05 | 1.00% | 5.06 |
Optimum International Fund
Expense Analysis of an Investment of $1,000
Expense Analysis of an Investment of $1,000
Expenses | ||||||||
Beginning | Ending | Paid During | ||||||
Account | Account | Annualized | Period | |||||
Value | Value | Expense | 4/1/10 to | |||||
4/1/10 | 9/30/10 | Ratio | 9/30/10* | |||||
Actual Fund Return | ||||||||
Class A | $1,000.00 | $1,012.40 | 1.75% | $ 8.83 | ||||
Class B | 1,000.00 | 1,008.90 | 2.40% | 12.09 | ||||
Class C | 1,000.00 | 1,009.80 | 2.40% | 12.09 | ||||
Institutional Class | 1,000.00 | 1,014.50 | 1.40% | 7.07 | ||||
Hypothetical 5% Return (5% return before expenses) | ||||||||
Class A | $1,000.00 | $1,016.29 | 1.75% | $ 8.85 | ||||
Class B | 1,000.00 | 1,013.04 | 2.40% | 12.11 | ||||
Class C | 1,000.00 | 1,013.04 | 2.40% | 12.11 | ||||
Institutional Class | 1,000.00 | 1,018.05 | 1.40% | 7.08 |
*“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).
(continues) 1
Disclosure of Fund expenses
Optimum Large Cap Growth Fund
Expense Analysis of an Investment of $1,000
Expense Analysis of an Investment of $1,000
Expenses | ||||||||
Beginning | Ending | Paid During | ||||||
Account | Account | Annualized | Period | |||||
Value | Value | Expense | 4/1/10 to | |||||
4/1/10 | 9/30/10 | Ratio | 9/30/10* | |||||
Actual Fund Return | ||||||||
Class A | $1,000.00 | $985.00 | 1.61% | $ 8.01 | ||||
Class B | 1,000.00 | 982.30 | 2.26% | 11.23 | ||||
Class C | 1,000.00 | 981.30 | 2.26% | 11.23 | ||||
Institutional Class | 1,000.00 | 986.20 | 1.26% | 6.27 | ||||
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
Expense Analysis of an Investment of $1,000
Expenses | ||||||||
Beginning | Ending | Paid During | ||||||
Account | Account | Annualized | Period | |||||
Value | Value | Expense | 4/1/10 to | |||||
4/1/10 | 9/30/10 | �� | Ratio | 9/30/10* | ||||
Actual Fund Return | ||||||||
Class A | $1,000.00 | $977.10 | 1.60% | $ 7.93 | ||||
Class B | 1,000.00 | 974.00 | 2.25% | 11.13 | ||||
Class C | 1,000.00 | 973.90 | 2.25% | 11.13 | ||||
Institutional Class | 1,000.00 | 978.40 | 1.25% | 6.20 | ||||
Hypothetical 5% Return (5% return before expenses) | ||||||||
Class A | $1,000.00 | $1,017.05 | 1.60% | $ 8.09 | ||||
Class B | 1,000.00 | 1,013.79 | 2.25% | 11.36 | ||||
Class C | 1,000.00 | 1,013.79 | 2.25% | 11.36 | ||||
Institutional Class | 1,000.00 | 1,018.80 | 1.25% | 6.33 |
*“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
Expense Analysis of an Investment of $1,000
Expenses | ||||||||
Beginning | Ending | Paid During | ||||||
Account | Account | Annualized | Period | |||||
Value | Value | Expense | 4/1/10 to | |||||
4/1/10 | 9/30/10 | Ratio | 9/30/10* | |||||
Actual Fund Return | ||||||||
Class A | $1,000.00 | $982.10 | 1.90% | $ 9.44 | ||||
Class B | 1,000.00 | 978.40 | 2.55% | 12.65 | ||||
Class C | 1,000.00 | 978.40 | 2.55% | 12.65 | ||||
Institutional Class | 1,000.00 | 983.30 | 1.55% | 7.71 | ||||
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
Expense Analysis of an Investment of $1,000
Expenses | ||||||||
Beginning | Ending | Paid During | ||||||
Account | Account | Annualized | Period | |||||
Value | Value | Expense | 4/1/10 to | |||||
4/1/10 | 9/30/10 | Ratio | 9/30/10* | |||||
Actual Fund Return | ||||||||
Class A | $1,000.00 | $996.00 | 1.83% | $ 9.16 | ||||
Class B | 1,000.00 | 993.70 | 2.48% | 12.39 | ||||
Class C | 1,000.00 | 992.70 | 2.48% | 12.39 | ||||
Institutional Class | 1,000.00 | 997.10 | 1.48% | 7.41 | ||||
Hypothetical 5% Return (5% return before expenses) | ||||||||
Class A | $1,000.00 | $1,015.89 | 1.83% | $ 9.25 | ||||
Class B | 1,000.00 | 1,012.63 | 2.48% | 12.51 | ||||
Class C | 1,000.00 | 1,012.63 | 2.48% | 12.51 | ||||
Institutional Class | 1,000.00 | 1,017.65 | 1.48% | 7.49 |
2
Sector allocations
Optimum Fixed Income Fund
As of September 30, 2010
As of September 30, 2010
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 | 10.48 | % |
Agency Mortgage-Backed Securities | 11.21 | % |
Commercial Mortgage-Backed Securities | 2.69 | % |
Convertible Bonds | 1.19 | % |
Corporate Bonds | 38.66 | % |
Banking | 5.88 | % |
Basic Industry | 4.15 | % |
Brokerage | 2.10 | % |
Capital Goods | 1.00 | % |
Communications | 5.98 | % |
Consumer Cyclical | 1.60 | % |
Consumer Non-Cyclical | 4.88 | % |
Electric | 3.03 | % |
Energy | 4.43 | % |
Finance Companies | 2.19 | % |
Insurance | 0.71 | % |
Natural Gas | 0.76 | % |
Real Estate | 0.92 | % |
Technology | 0.33 | % |
Transportation | 0.70 | % |
Municipal Bonds | 0.81 | % |
Non-Agency Asset-Backed Securities | 2.37 | % |
Non-Agency Collateralized Mortgage Obligations | 7.47 | % |
Regional Bonds | 1.86 | % |
Senior Secured Loans | 1.59 | % |
Sovereign Bonds | 8.57 | % |
Supranational Banks | 1.12 | % |
U.S. Treasury Obligations | 10.80 | % |
Common Stock | 0.05 | % |
Preferred Stock | 0.13 | % |
Warrant | 0.00 | % |
Discount Note | 6.63 | % |
Securities Lending Collateral | 5.06 | % |
Total Value of Securities | 110.69 | % |
Obligation to Return Securities Lending Collateral | (5.19 | %) |
Liabilities Net of Receivables and Other Assets | (5.50 | %) |
Total Net Assets | 100.00 | % |
3
Country/Sector allocations
Optimum International Fund
As of September 30, 2010
As of September 30, 2010
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 | 94.61 | % |
Australia | 3.53 | % |
Austria | 0.20 | % |
Belgium | 0.52 | % |
Brazil | 1.62 | % |
Canada | 7.42 | % |
China | 4.59 | % |
Denmark | 1.30 | % |
Finland | 0.39 | % |
France | 6.82 | % |
Germany | 6.93 | % |
Gibraltar | 0.26 | % |
Indonesia | 0.76 | % |
Ireland | 0.61 | % |
Italy | 2.14 | % |
Japan | 16.01 | % |
Malaysia | 0.86 | % |
Mexico | 0.75 | % |
Netherlands | 2.19 | % |
New Zealand | 0.17 | % |
Norway | 0.85 | % |
Philippines | 0.29 | % |
Republic of Korea | 0.74 | % |
Singapore | 1.83 | % |
South Africa | 1.00 | % |
Spain | 3.85 | % |
Sweden | 0.78 | % |
Switzerland | 6.30 | % |
Taiwan | 2.43 | % |
Thailand | 0.65 | % |
United Kingdom | 17.74 | % |
United States | 1.08 | % |
Exchange-Traded Fund | 1.08 | % |
Preferred Stock | 0.97 | % |
Warrant | 0.00 | % |
Discount Note | 2.16 | % |
Securities Lending Collateral | 12.41 | % |
Total Value of Securities | 111.23 | % |
Obligation to Return Securities Lending Collateral | (12.72 | %) |
Receivables and Other Assets Net of Liabilities | 1.49 | % |
Total Net Assets | 100.00 | % |
Percentage | ||
Common/Preferred Stock by Sector | of Net Assets | |
Automobiles & Components | 3.06 | % |
Banking & Finance | 12.59 | % |
Capital Goods | 2.64 | % |
Consumer Durables & Apparel | 0.42 | % |
Consumer Services | 1.16 | % |
Energy | 10.45 | % |
Food & Staples Retailing | 8.05 | % |
Food, Beverage & Tobacco | 3.55 | % |
Insurance | 4.43 | % |
Materials | 11.48 | % |
Media | 2.02 | % |
Pharmaceuticals & Biotechnology | 7.67 | % |
Real Estate | 1.88 | % |
Semiconductors | 1.65 | % |
Technology & Equipment | 4.34 | % |
Telecommunication Services | 9.68 | % |
Transportation & Shipping | 5.97 | % |
Utilities | 4.54 | % |
Total | 95.58 | % |
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, 2010
As of September 30, 2010
Percentage | ||
Sector | of Net Assets | |
Common Stock² | 96.40 | % |
Consumer Discretionary | 19.94 | % |
Consumer Staples | 1.74 | % |
Energy | 7.82 | % |
Financial Services | 9.36 | % |
Healthcare | 7.31 | % |
Materials & Processing | 9.13 | % |
Producer Durables | 12.89 | % |
Technology | 28.21 | % |
Exchange-Traded Fund | 0.47 | % |
Preferred Stock | 0.15 | % |
Discount Note | 4.04 | % |
Securities Lending Collateral | 7.18 | % |
Total Value of Securities | 108.24 | % |
Obligation to Return Securities Lending Collateral | (7.33 | %) |
Liabilities Net of Receivables and Other Assets | (0.91 | %) |
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 | 6.33 | % |
Amazon.com | 2.98 | % |
Hewlett-Packard | 2.43 | % |
Google Class A | 2.34 | % |
Baidu ADR | 2.07 | % |
Union Pacific | 1.85 | % |
McDonald’s | 1.79 | % |
NIKE Class B | 1.72 | % |
Cisco Systems | 1.61 | % |
Praxair | 1.55 | % |
Optimum Large Cap Value Fund
As of September 30, 2010
As of September 30, 2010
Percentage | ||
Sector | of Net Assets | |
Common Stock | 98.54 | % |
Consumer Discretionary | 10.15 | % |
Consumer Staples | 10.00 | % |
Energy | 11.89 | % |
Financials | 19.22 | % |
Healthcare | 9.34 | % |
Industrials | 13.52 | % |
Information Technology | 10.54 | % |
Materials | 6.25 | % |
Telecommunications | 5.20 | % |
Utilities | 2.43 | % |
Convertible Preferred Stock | 0.17 | % |
Discount Note | 1.31 | % |
Securities Lending Collateral | 7.84 | % |
Total Value of Securities | 107.86 | % |
Obligation to Return Securities Lending Collateral | (8.00 | %) |
Receivables and Other Assets Net of Liabilities | 0.14 | % |
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 | |
AT&T | 3.03 | % |
Chevron | 2.89 | % |
JPMorgan Chase | 2.85 | % |
International Business Machines | 2.46 | % |
Pfizer | 2.32 | % |
Travelers | 2.02 | % |
Lockheed Martin | 1.84 | % |
Intel | 1.77 | % |
Phillip Morris International | 1.63 | % |
Honeywell International | 1.59 | % |
(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, 2010
As of September 30, 2010
Percentage | ||
Sector | of Net Assets | |
Common Stock² | 99.01 | % |
Consumer Discretionary | 21.65 | % |
Consumer Staples | 1.76 | % |
Energy | 4.55 | % |
Financial Services | 8.67 | % |
Healthcare | 14.38 | % |
Materials & Processing | 2.66 | % |
Producer Durables | 17.04 | % |
Technology | 26.14 | % |
Utilities | 2.16 | % |
Warrants | 0.00 | % |
Discount Note | 1.59 | % |
Securities Lending Collateral | 10.03 | % |
Total Value of Securities | 110.63 | % |
Obligation to Return Securities Lending Collateral | (10.24 | %) |
Liabilities Net of Receivables and Other Assets | (0.39 | %) |
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 | |
Informatica | 1.75 | % |
Nordson | 1.42 | % |
Polycom | 1.35 | % |
Mettler-Toledo International | 1.30 | % |
Corrections Corp. of America | 1.23 | % |
Finisar | 1.16 | % |
tw telecom Class A | 1.08 | % |
Hanesbrands | 1.08 | % |
Regal-Beloit | 1.04 | % |
Crown Castle International | 1.02 | % |
Optimum Small-Mid Cap Value Fund
As of September 30, 2010
As of September 30, 2010
Percentage | ||
Sector | of Net Assets | |
Common Stock | 92.94 | % |
Basic Industry | 18.52 | % |
Business Services | 3.51 | % |
Capital Spending | 11.04 | % |
Consumer Cyclical | 6.77 | % |
Consumer Services | 7.48 | % |
Consumer Staples | 2.44 | % |
Energy | 6.50 | % |
Financial Services | 11.94 | % |
Healthcare | 4.75 | % |
Real Estate | 0.69 | % |
Technology | 16.38 | % |
Transportation | 1.13 | % |
Utilities | 1.79 | % |
Discount Note | 7.05 | % |
Securities Lending Collateral | 6.51 | % |
Total Value of Securities | 106.50 | % |
Obligation to Return Securities Lending Collateral | (6.64 | %) |
Receivables and Other Assets Net of Liabilities | 0.14 | % |
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 | |
Albany International | 1.31 | % |
Eastman Chemical | 1.27 | % |
Kennametal | 1.25 | % |
Checkpoint Systems | 1.24 | % |
Flextronics International | 1.24 | % |
Ferro | 1.24 | % |
Collective Brands | 1.09 | % |
Foot Locker | 1.07 | % |
Stanley Black & Decker | 1.06 | % |
Sonoco Products | 1.01 | % |
6
Statements of net assets
Optimum Fixed Income Fund
September 30, 2010 (Unaudited)
September 30, 2010 (Unaudited)
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Agency Collateralized Mortgage Obligations – 10.48% | ||||||||
Fannie Mae Grantor Trust | ||||||||
• | Series 1999-T2 A1 | |||||||
7.50% 1/19/39 | USD | 24,799 | $ | 29,201 | ||||
Series 2001-T8 A2 | ||||||||
9.50% 7/25/41 | 13,192 | 16,160 | ||||||
Series 2002-T4 A3 | ||||||||
7.50% 12/25/41 | 89,839 | 105,785 | ||||||
Series 2004-T1 1A2 | ||||||||
6.50% 1/25/44 | 38,389 | 43,296 | ||||||
Fannie Mae REMICs | ||||||||
Series 1996-46 ZA | ||||||||
7.50% 11/25/26 | 22,506 | 25,185 | ||||||
Series 1999-19 PH | ||||||||
6.00% 5/25/29 | 611,733 | 666,216 | ||||||
Series 2001-14 Z | ||||||||
6.00% 5/25/31 | 44,812 | 49,459 | ||||||
Series 2002-90 A1 | ||||||||
6.50% 6/25/42 | 17,527 | 19,767 | ||||||
Series 2002-90 A2 | ||||||||
6.50% 11/25/42 | 65,241 | 73,580 | ||||||
Series 2003-26 AT | ||||||||
5.00% 11/25/32 | 1,165,000 | 1,253,830 | ||||||
Series 2003-122 AJ | ||||||||
4.50% 2/25/28 | 72,908 | 75,373 | ||||||
Series 2005-22 HE | ||||||||
5.00% 10/25/33 | 740,000 | 801,297 | ||||||
Series 2005-29 QD | ||||||||
5.00% 8/25/33 | 816,000 | 883,363 | ||||||
Series 2005-54 AK | ||||||||
4.50% 9/25/32 | 526,608 | 546,815 | ||||||
Series 2005-94 YD | ||||||||
4.50% 8/25/33 | 1,480,000 | 1,585,717 | ||||||
Series 2005-110 MB | ||||||||
5.50% 9/25/35 | 532,225 | 590,530 | ||||||
@ | Series 2007-30 OE | |||||||
0.881% 4/25/37 | 9,984,857 | 8,578,572 | ||||||
Series 2008-24 ZA | ||||||||
5.00% 4/25/38 | 16,992,813 | 18,217,249 | ||||||
•@ | Series 2009-2 AS | |||||||
5.444% 2/25/39 | 22,127,209 | 1,779,030 | ||||||
•@ | Series 2009-68 SA | |||||||
6.494% 8/25/39 | 2,705,435 | 343,775 | ||||||
Series 2009-94 AC | ||||||||
5.00% 11/25/39 | 400,000 | 436,636 | ||||||
Series 2010-41 PN | ||||||||
4.50% 4/25/40 | 475,000 | 509,983 | ||||||
Fannie Mae Whole Loan | ||||||||
Series 2004-W4 A5 | ||||||||
5.50% 6/25/34 | 3,000,000 | 3,218,906 | ||||||
Series 2004-W9 2A1 | ||||||||
6.50% 2/25/44 | 47,593 | 53,676 | ||||||
Series 2004-W11 1A2 | ||||||||
6.50% 5/25/44 | 135,363 | 152,664 | ||||||
Series 2004-W15 1A1 | ||||||||
6.00% 8/25/44 | 205,298 | 223,583 | ||||||
Freddie Mac REMICs | ||||||||
Series 1730 Z | ||||||||
7.00% 5/15/24 | 144,110 | 166,898 | ||||||
Series 2165 PE | ||||||||
6.00% 6/15/29 | 637,722 | 694,818 | ||||||
Series 2326 ZQ | ||||||||
6.50% 6/15/31 | 260,100 | 293,587 | ||||||
Series 2497 BM | ||||||||
5.00% 2/15/22 | 53,197 | 53,979 | ||||||
Series 2557 WE | ||||||||
5.00% 1/15/18 | 732,415 | 813,806 | ||||||
Series 2662 MA | ||||||||
4.50% 10/15/31 | 116,814 | 122,914 | ||||||
Series 2755 LE | ||||||||
4.00% 9/15/30 | 557,000 | 588,711 | ||||||
Series 2762 LG | ||||||||
5.00% 9/15/32 | 2,000,000 | 2,159,300 | ||||||
Series 2802 NE | ||||||||
5.00% 2/15/33 | 700,000 | 757,502 | ||||||
Series 2827 TE | ||||||||
5.00% 4/15/33 | 1,335,000 | 1,447,513 | ||||||
Series 2840 OE | ||||||||
5.00% 2/15/33 | 1,800,000 | 1,947,333 | ||||||
Series 2864 PE | ||||||||
5.00% 6/15/33 | 1,095,000 | 1,188,417 | ||||||
Series 2869 BG | ||||||||
5.00% 7/15/33 | 224,000 | 241,501 | ||||||
Series 2881 TE | ||||||||
5.00% 7/15/33 | 1,080,000 | 1,175,976 | ||||||
Series 2889 OG | ||||||||
5.00% 5/15/33 | 117,000 | 126,063 | ||||||
Series 2890 PC | ||||||||
5.00% 7/15/30 | 265,000 | 277,756 | ||||||
Series 2890 PD | ||||||||
5.00% 3/15/33 | 1,265,000 | 1,366,401 | ||||||
Series 2893 PD | ||||||||
5.00% 2/15/33 | 65,000 | 70,365 | ||||||
Series 2915 KD | ||||||||
5.00% 9/15/33 | 447,000 | 483,612 | ||||||
Series 2938 ND | ||||||||
5.00% 10/15/33 | 1,050,000 | 1,134,326 | ||||||
Series 2939 PD | ||||||||
5.00% 7/15/33 | 665,000 | 722,751 | ||||||
Series 2941 XD | ||||||||
5.00% 5/15/33 | 2,690,000 | 2,896,486 | ||||||
Series 2987 KG | ||||||||
5.00% 12/15/34 | 1,430,000 | 1,550,457 | ||||||
Series 3022 MB | ||||||||
5.00% 12/15/28 | 215,622 | 221,586 | ||||||
Series 3131 MC | ||||||||
5.50% 4/15/33 | 445,000 | 482,656 | ||||||
Series 3143 BC | ||||||||
5.50% 2/15/36 | 8,000,000 | 8,565,000 | ||||||
Series 3145 LN | ||||||||
4.50% 10/15/34 | 1,090,580 | 1,168,141 |
(continues) 7
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Agency Collateralized Mortgage Obligations (continued) | ||||||||
Freddie Mac REMICs | ||||||||
•@ | Series 3289 SA | |||||||
6.493% 3/15/37 | USD | 7,108,581 | $ | 957,617 | ||||
Series 3337 PB | ||||||||
5.50% 7/15/30 | 505,000 | 521,271 | ||||||
Series 3476 Z | ||||||||
5.50% 7/15/38 | 11,262,510 | 12,294,633 | ||||||
Series 3626 MA | ||||||||
5.00% 2/15/30 | 3,490,103 | 3,703,360 | ||||||
Series 3656 PM | ||||||||
5.00% 4/15/40 | 770,000 | 841,917 | ||||||
w | Freddie Mac Structured Pass | |||||||
Through Securities | ||||||||
Series T-54 2A | ||||||||
6.50% 2/25/43 | 30,768 | 34,729 | ||||||
Series T-58 2A | ||||||||
6.50% 9/25/43 | 16,630 | 18,771 | ||||||
GNMA | ||||||||
•@ | Series 2007-64 AI | |||||||
6.293% 10/20/37 | 24,285,175 | 2,576,662 | ||||||
•@ | Series 2008-65 SB | |||||||
5.743% 8/20/38 | 8,925,571 | 901,642 | ||||||
•@ | Series 2009-2 SE | |||||||
5.563% 1/20/39 | 23,359,012 | 2,107,121 | ||||||
Series 2010-113 KE | ||||||||
4.50% 9/20/40 | 1,170,000 | 1,218,263 | ||||||
Total Agency Collateralized | ||||||||
Mortgage Obligations | ||||||||
(cost $85,349,152) | 96,173,489 | |||||||
Agency Mortgage-Backed Securities – 11.21% | ||||||||
Fannie Mae | ||||||||
5.50% 1/1/13 | 76,194 | 77,448 | ||||||
5.50% 3/1/37 | 462,104 | 490,147 | ||||||
5.50% 7/1/37 | 1,189,832 | 1,262,037 | ||||||
6.50% 8/1/17 | 65,702 | 71,042 | ||||||
• | Fannie Mae ARM | |||||||
3.044% 10/1/33 | 55,962 | 58,631 | ||||||
4.994% 8/1/35 | 185,611 | 197,332 | ||||||
5.131% 11/1/35 | 275,619 | 294,501 | ||||||
5.915% 8/1/37 | 480,350 | 516,501 | ||||||
5.94% 7/1/37 | 391,062 | 417,527 | ||||||
Fannie Mae Relocation 30 yr | ||||||||
5.00% 11/1/33 | 19,829 | 20,763 | ||||||
5.00% 1/1/34 | 78,748 | 82,457 | ||||||
5.00% 2/1/34 | 26,731 | 27,990 | ||||||
5.00% 8/1/34 | 65,512 | 68,597 | ||||||
5.00% 11/1/34 | 118,122 | 123,684 | ||||||
5.00% 4/1/35 | 165,264 | 173,046 | ||||||
5.00% 10/1/35 | 121,525 | 127,248 | ||||||
5.00% 1/1/36 | 353,633 | 370,286 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
4.50% 8/1/18 | 527,251 | 560,027 | ||||||
4.50% 7/1/20 | 1,276,455 | 1,355,807 | ||||||
5.00% 5/1/21 | 146,912 | 156,883 | ||||||
Fannie Mae S.F. 15 yr TBA | ||||||||
4.00% 10/1/25 | 2,965,000 | 3,094,719 | ||||||
4.00% 11/1/25 | 4,600,000 | 4,791,184 | ||||||
4.50% 11/1/25 | 1,135,000 | 1,192,104 | ||||||
5.50% 10/1/25 | 3,865,000 | 4,157,592 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
5.50% 7/1/24 | 536,277 | 577,521 | ||||||
5.50% 10/1/24 | 167,239 | 180,101 | ||||||
5.50% 12/1/24 | 562,297 | 605,542 | ||||||
5.50% 8/1/28 | 2,811,226 | 2,998,480 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
4.00% 2/1/40 | 5,862,725 | 6,033,172 | ||||||
4.50% 3/1/39 | 379,434 | 395,801 | ||||||
5.00% 12/1/36 | 377,491 | 399,042 | ||||||
5.00% 12/1/37 | 279,169 | 294,103 | ||||||
5.00% 1/1/38 | 470,595 | 495,770 | ||||||
5.00% 2/1/38 | 218,263 | 229,927 | ||||||
5.50% 12/1/32 | 342,120 | 367,799 | ||||||
5.50% 7/1/33 | 890,489 | 956,772 | ||||||
5.50% 12/1/33 | 137,545 | 147,783 | ||||||
5.50% 4/1/34 | 2,094,545 | 2,247,345 | ||||||
5.50% 5/1/34 | 618,753 | 664,809 | ||||||
5.50% 6/1/34 | 745,289 | 799,367 | ||||||
5.50% 7/1/34 | 1,233,110 | 1,322,583 | ||||||
5.50% 2/1/35 | 3,640,510 | 3,925,721 | ||||||
5.50% 9/1/36 | 1,624,311 | 1,742,170 | ||||||
6.00% 9/1/36 | 367,621 | 398,836 | ||||||
6.00% 8/1/38 | 1,992,406 | 2,141,364 | ||||||
6.50% 11/1/33 | 28,871 | 32,142 | ||||||
6.50% 2/1/36 | 518,255 | 574,297 | ||||||
6.50% 3/1/36 | 909,902 | 1,001,503 | ||||||
6.50% 6/1/36 | 1,031,467 | 1,133,627 | ||||||
6.50% 2/1/38 | 1,251,551 | 1,366,110 | ||||||
7.00% 2/1/38 | 314,925 | 350,698 | ||||||
7.00% 3/1/38 | 627,575 | 698,862 | ||||||
7.50% 3/1/32 | 1,397 | 1,595 | ||||||
7.50% 4/1/32 | 5,122 | 5,851 | ||||||
7.50% 6/1/32 | 2,106 | 2,406 | ||||||
Fannie Mae S.F. 30 yr TBA | ||||||||
4.00% 10/1/40 | 9,470,000 | 9,733,379 | ||||||
4.00% 11/1/40 | 2,390,000 | 2,449,750 | ||||||
4.50% 10/1/40 | 3,020,000 | 3,144,575 | ||||||
5.00% 10/1/40 | 4,100,000 | 4,315,250 | ||||||
6.00% 10/1/40 | 4,395,000 | 4,720,502 | ||||||
• | Freddie Mac ARM | |||||||
2.643% 12/1/33 | 106,721 | 110,860 | ||||||
3.357% 4/1/34 | 7,688 | 8,077 | ||||||
5.499% 2/1/38 | 1,139,314 | 1,221,053 | ||||||
5.677% 7/1/36 | 171,511 | 180,959 | ||||||
5.711% 5/1/37 | 693,364 | 737,537 | ||||||
Freddie Mac Relocation 30 yr | ||||||||
5.00% 9/1/33 | 3,156 | 3,294 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
4.50% 5/1/20 | 701,925 | 745,779 | ||||||
5.00% 6/1/18 | 236,523 | 252,615 |
8
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) | ||||||||
Freddie Mac S.F. 15 yr TBA | ||||||||
5.00% 11/1/25 | USD | 4,500,000 | $ | 4,766,486 | ||||
Freddie Mac S.F. 20 yr | ||||||||
5.50% 10/1/23 | 436,847 | 467,023 | ||||||
5.50% 8/1/24 | 102,299 | 109,365 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
5.00% 7/1/38 | 518,593 | 545,173 | ||||||
6.50% 11/1/33 | 59,628 | 66,030 | ||||||
6.50% 1/1/35 | 329,915 | 366,318 | ||||||
6.50% 8/1/38 | 311,817 | 339,871 | ||||||
7.00% 1/1/38 | 281,023 | 313,157 | ||||||
Freddie Mac S.F. 30 yr TBA | ||||||||
5.00% 10/1/40 | 265,000 | 278,333 | ||||||
5.50% 10/1/40 | 4,260,000 | 4,518,263 | ||||||
6.00% 10/1/40 | 7,550,000 | 8,093,833 | ||||||
6.50% 10/1/40 | 2,755,000 | 2,999,506 | ||||||
GNMA I S.F. 30 yr | ||||||||
7.00% 12/15/34 | 539,143 | 604,061 | ||||||
GNMA II 6.00% 4/20/34 | 33,538 | 36,647 | ||||||
Total Agency Mortgage- | ||||||||
Backed Securities | ||||||||
(cost $99,882,555) | 102,906,348 | |||||||
Commercial Mortgage-Backed Securities – 2.69% | ||||||||
# | American Tower Trust | |||||||
Series 2007-1A AFX | ||||||||
144A 5.42% 4/15/37 | 420,000 | 461,531 | ||||||
Bear Stearns Commercial | ||||||||
Mortgage Securities | ||||||||
• | Series 2005-PW10 A4 | |||||||
5.405% 12/11/40 | 875,000 | 950,440 | ||||||
• | Series 2005-T20 A4A | |||||||
5.296% 10/12/42 | 1,835,000 | 2,028,815 | ||||||
• | Series 2006-PW12 A4 | |||||||
5.907% 9/11/38 | 895,000 | 999,158 | ||||||
Series 2006-PW14 A4 | ||||||||
5.201% 12/11/38 | 1,000,000 | 1,055,751 | ||||||
Series 2007-PW15 A4 | ||||||||
5.331% 2/11/44 | 630,000 | 648,249 | ||||||
BOA Commercial | ||||||||
Mortgage Securities | ||||||||
• | Series 2004-3 A5 | |||||||
5.596% 6/10/39 | 415,000 | 452,457 | ||||||
• | Series 2005-1 A5 | |||||||
5.324% 11/10/42 | 1,620,000 | 1,776,394 | ||||||
• | Series 2005-6 A4 | |||||||
5.346% 9/10/47 | 1,615,000 | 1,778,013 | ||||||
Series 2006-4 A4 | ||||||||
5.634% 7/10/46 | 1,070,000 | 1,158,274 | ||||||
• | Citigroup/Deutsche Bank | |||||||
Commercial Mortgage | ||||||||
Trust Series 2005-CD1 | ||||||||
A4 5.396% 7/15/44 | 400,000 | 440,442 | ||||||
w | Commercial Mortgage Pass | |||||||
Through Certificates | ||||||||
• | Series 2005-C6 A5A | |||||||
5.116% 6/10/44 | 550,000 | 600,347 | ||||||
Series 2006-C7 A2 | ||||||||
5.69% 6/10/46 | 260,000 | 263,791 | ||||||
• | Credit Suisse Mortgage | |||||||
Capital Certificates | ||||||||
Series 2006-C1 AAB | ||||||||
5.681% 2/15/39 | 140,000 | 151,319 | ||||||
Goldman Sachs Mortgage | ||||||||
Securities II | ||||||||
• | Series 2004-GG2 A6 | |||||||
5.396% 8/10/38 | 570,000 | 621,747 | ||||||
Series 2005-GG4 A4 | ||||||||
4.761% 7/10/39 | 510,000 | 535,698 | ||||||
Series 2005-GG4 A4A | ||||||||
4.751% 7/10/39 | 1,215,000 | 1,306,454 | ||||||
• | Series 2006-GG6 A4 | |||||||
5.553% 4/10/38 | 500,000 | 538,368 | ||||||
•# | Series 2007-GG10 J | |||||||
144A 6.002% 8/10/45 | 1,956,000 | 27,384 | ||||||
# | Series 2010-C1 A2 | |||||||
144A 4.592% 9/1/40 | 710,000 | 761,758 | ||||||
• | Greenwich Capital | |||||||
Commercial Funding | ||||||||
Series 2004-GG1 A7 | ||||||||
5.317% 6/10/36 | 265,000 | 290,442 | ||||||
Series 2006-GG7 A4 | ||||||||
6.08% 7/10/38 | 1,140,000 | 1,249,057 | ||||||
JPMorgan Chase Commercial | ||||||||
Mortgage Securities | ||||||||
Series 2002-C1 A3 | ||||||||
5.376% 7/12/37 | 420,000 | 442,926 | ||||||
Series 2002-C2 A2 | ||||||||
5.05% 12/12/34 | 465,000 | 494,639 | ||||||
Series 2003-C1 A2 | ||||||||
4.985% 1/12/37 | 130,000 | 138,245 | ||||||
• | Series 2005-LDP5 A4 | |||||||
5.363% 12/15/44 | 500,000 | 550,595 | ||||||
Series 2007-LDPX A3 | ||||||||
5.42% 1/15/49 | 1,140,000 | 1,186,075 | ||||||
Lehman Brothers-UBS | ||||||||
Commercial | ||||||||
Mortgage Trust | ||||||||
Series 2002-C1 A4 | ||||||||
6.462% 3/15/31 | 242,119 | 255,874 | ||||||
Series 2004-C1 A4 | ||||||||
4.568% 1/15/31 | 720,000 | 764,828 | ||||||
• | Morgan Stanley Capital I | |||||||
# | Series 1999-FNV1 G | |||||||
144A 6.12% 3/15/31 | 13,124 | 13,449 | ||||||
* | Series 2007-T27 A4 | |||||||
5.802% 6/13/42 | 1,310,000 | 1,453,061 |
(continues) 9
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
•# | Morgan Stanley | |||||||
Dean Witter Capital I | ||||||||
Series 2001-TOP1 E | ||||||||
144A 7.534% 2/15/33 | USD | 100,000 | $ | 91,045 | ||||
# | OBP Depositor Trust | |||||||
Series 2010-OBP A | ||||||||
144A 4.646% 7/15/45 | 585,000 | 632,774 | ||||||
Wachovia Bank Commercial | ||||||||
Mortgage Trust | ||||||||
Series 2006-C28 A2 | ||||||||
5.50% 10/15/48 | 555,000 | 568,908 | ||||||
Total Commercial Mortgage- | ||||||||
Backed Securities | ||||||||
(cost $23,696,722) | 24,688,308 | |||||||
Convertible Bonds – 1.19% | ||||||||
* | Advanced Micro Devices | |||||||
6.00% exercise price | ||||||||
$28.08, expiration | ||||||||
date 4/30/15 | 141,000 | 139,414 | ||||||
Alaska Communications | ||||||||
Systems Group | ||||||||
5.75% exercise price | ||||||||
$12.90, expiration | ||||||||
date 3/1/13 | 305,000 | 306,525 | ||||||
Alcatel-Lucent USA | ||||||||
2.875% exercise price | ||||||||
$15.35, expiration | ||||||||
date 6/15/25 | 415,000 | 378,169 | ||||||
Amgen 0.375% | ||||||||
exercise price $79.48, | ||||||||
expiration date 2/1/13 | 425,000 | 423,406 | ||||||
ArvinMeritor | ||||||||
4.00% exercise price | ||||||||
$26.73, expiration | ||||||||
date 2/15/27 | 115,000 | 105,225 | ||||||
Bristow Group | ||||||||
3.00% exercise price | ||||||||
$77.34, expiration | ||||||||
date 6/14/38 | 366,000 | 332,145 | ||||||
Chesapeake Energy | ||||||||
2.25% exercise price | ||||||||
$85.89, expiration | ||||||||
date 12/15/38 | 559,000 | 432,526 | ||||||
#Digital Realty Trust 144A | ||||||||
5.50% exercise price | ||||||||
$42.49, expiration | ||||||||
date 4/15/29 | 115,000 | 176,525 | ||||||
Euronet Worldwide | ||||||||
3.50% exercise price | ||||||||
$40.48, expiration | ||||||||
date 10/15/25 | 85,000 | 83,406 | ||||||
# | Gaylord Entertainment | |||||||
144A 3.75% | ||||||||
exercise price $27.25, | ||||||||
expiration date 9/29/14 | 275,000 | 360,250 | ||||||
Health Care REIT | ||||||||
4.75% exercise price | ||||||||
$50.00, expiration | ||||||||
date 7/15/27 | 395,000 | 439,438 | ||||||
f | Hologic | |||||||
2.00% exercise price | ||||||||
$38.59, expiration | ||||||||
date 12/15/37 | 591,000 | 549,629 | ||||||
Intel | ||||||||
2.95% exercise price | ||||||||
$30.75, expiration | ||||||||
date 12/15/35 | 300,000 | 298,125 | ||||||
* | International Game | |||||||
Technology 3.25% | ||||||||
exercise price $19.97, | ||||||||
expiration date 5/1/14 | 267,000 | 291,698 | ||||||
* | Jefferies Group | |||||||
3.875% exercise price | ||||||||
$39.20, expiration | ||||||||
date 11/1/29 | 307,000 | 310,454 | ||||||
L-3 Communications | ||||||||
Holdings 3.00% | ||||||||
exercise price | ||||||||
$98.94, expiration | ||||||||
date 8/1/35 | 5,000 | 5,063 | ||||||
* | Leap Wireless International | |||||||
4.50% exercise price | ||||||||
$93.21, expiration | ||||||||
date 7/15/14 | 585,000 | 522,843 | ||||||
Level 3 Communications | ||||||||
5.25% exercise price | ||||||||
$3.98, expiration | ||||||||
date 12/15/11 | 101,000 | 101,505 | ||||||
# | Lexington Realty Trust | |||||||
144A 6.00% exercise | ||||||||
price $7.09, expiration | ||||||||
date 1/15/30 | 320,000 | 358,800 | ||||||
LifePoint Hospitals | ||||||||
3.50% exercise price | ||||||||
$51.79, expiration | ||||||||
date 5/14/14 | 353,000 | 353,000 | ||||||
Linear Technology | ||||||||
3.00% exercise price | ||||||||
$45.36, expiration | ||||||||
date 5/1/27 | 508,000 | 518,160 | ||||||
Live Nation Entertainment | ||||||||
2.875% exercise price | ||||||||
$27.14, expiration | ||||||||
date 7/14/27 | 430,000 | 369,800 | ||||||
Medtronic 1.625% | ||||||||
exercise price $54.79, | ||||||||
expiration date 4/15/13 | 353,000 | 354,324 | ||||||
National City | ||||||||
4.00% exercise price | ||||||||
$482.51, expiration | ||||||||
date 2/1/11 | 770,000 | 780,587 |
10
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Convertible Bonds (continued) | ||||||||
National Retail Properties | ||||||||
5.125% exercise price | ||||||||
$25.42, expiration | ||||||||
date 6/15/28 | USD | 415,000 | $ | 468,431 | ||||
NII Holdings | ||||||||
3.125% exercise price | ||||||||
$118.32, expiration | ||||||||
date 6/15/12 | 245,000 | 238,875 | ||||||
# | Owens-Brockway Glass | |||||||
Container 144A | ||||||||
3.00% exercise price | ||||||||
$47.47, expiration | ||||||||
date 5/28/15 | 199,000 | 196,015 | ||||||
Rayonier TRS Holdings | ||||||||
3.75% exercise price | ||||||||
$54.81, expiration | ||||||||
date 10/15/12 | 124,000 | 136,245 | ||||||
# | Rayonier TRS Holdings | |||||||
144A 4.50% exercise price | ||||||||
$50.24, expiration | ||||||||
date 8/15/15 | 180,000 | 215,775 | ||||||
SanDisk | ||||||||
1.00% exercise price | ||||||||
$82.35, expiration | ||||||||
date 5/15/13 | 175,000 | 161,438 | ||||||
SBA Communications | ||||||||
4.00% exercise price | ||||||||
$30.38, expiration | ||||||||
date 10/1/14 | 132,000 | 194,205 | ||||||
# | Sino-Forest 144A | |||||||
5.00% exercise price | ||||||||
$20.29, expiration | ||||||||
date 8/1/13 | 301,000 | 340,130 | ||||||
# | SVB Financial Group 144A | |||||||
3.875% exercise price | ||||||||
$53.04, expiration | ||||||||
date 4/15/11 | 271,000 | 275,743 | ||||||
*Transocean | ||||||||
1.50% exercise price | ||||||||
$168.61, expiration | ||||||||
date 12/15/37 | 388,000 | 381,695 | ||||||
VeriSign | ||||||||
3.25% exercise price | ||||||||
$34.37, expiration | ||||||||
date 8/15/37 | 269,000 | 291,529 | ||||||
Total Convertible Bonds | ||||||||
(cost $10,175,725) | 10,891,098 | |||||||
Corporate Bonds – 38.66% | ||||||||
Banking – 5.88% | ||||||||
AgriBank 9.125% 7/15/19 | 800,000 | 993,842 | ||||||
*# | Banco do Brasil 144A | |||||||
6.00% 1/22/20 | 3,000,000 | 3,359,999 | ||||||
# | Banco Mercantil 144A | |||||||
4.375% 7/19/15 | 400,000 | 401,600 | ||||||
•@ | 6.862% 10/13/21 | 520,000 | 522,714 | |||||
# | Banco Santander 144A | |||||||
3.75% 9/22/15 | 2,200,000 | 2,235,178 | ||||||
# | Bank Nederlandse | |||||||
Gemeenten 144A | ||||||||
1.75% 10/6/15 | 820,000 | 815,757 | ||||||
Bank of New York Mellon | ||||||||
4.95% 3/15/15 | 600,000 | 670,926 | ||||||
BB&T 5.25% 11/1/19 | 1,146,000 | 1,235,788 | ||||||
BB&T Capital Trust II | ||||||||
6.75% 6/7/36 | 1,310,000 | 1,399,379 | ||||||
BOA | ||||||||
* | 3.70% 9/1/15 | 495,000 | 500,651 | |||||
6.10% 6/15/17 | 490,000 | 524,524 | ||||||
Capital One Capital V | ||||||||
10.25% 8/15/39 | 585,000 | 636,919 | ||||||
* | City National | |||||||
5.25% 9/15/20 | 755,000 | 771,293 | ||||||
@# | CoBank 144A | |||||||
7.875% 4/16/18 | 570,000 | 662,510 | ||||||
Export-Import Bank of Korea | ||||||||
5.125% 3/16/15 | 200,000 | 218,203 | ||||||
* | 5.125% 6/29/20 | 1,500,000 | 1,621,406 | |||||
5.50% 10/17/12 | 300,000 | 321,227 | ||||||
5.875% 1/14/15 | 160,000 | 179,158 | ||||||
# | Export-Import Bank | |||||||
of Korea 144A | ||||||||
• | 1.343% 3/13/12 | 2,500,000 | 2,499,294 | |||||
5.25% 2/10/14 | 920,000 | 1,002,363 | ||||||
# | HSBC Bank 144A | |||||||
1.625% 8/12/13 | 2,300,000 | 2,310,539 | ||||||
4.125% 8/12/20 | 2,300,000 | 2,342,214 | ||||||
ICICI Bank 5.50% 3/25/15 | 2,100,000 | 2,215,500 | ||||||
# | ICICI Bank 144A | |||||||
5.50% 3/25/15 | 2,000,000 | 2,112,324 | ||||||
# | Intesa Sanpaolo 144A | |||||||
3.625% 8/12/15 | 1,900,000 | 1,924,696 | ||||||
JPMorgan Chase | ||||||||
4.40% 7/22/20 | 180,000 | 184,705 | ||||||
7.00% 6/28/17 | RUB | 44,000,000 | 1,365,867 | |||||
JPMorgan Chase Capital | ||||||||
XXV 6.80% 10/1/37 | USD | 2,192,000 | 2,234,900 | |||||
KeyBank 6.95% 2/1/28 | 1,220,000 | 1,288,806 | ||||||
Korea Development Bank | ||||||||
* | 4.375% 8/10/15 | 255,000 | 270,794 | |||||
8.00% 1/23/14 | 1,375,000 | 1,609,605 | ||||||
# | National Agricultural | |||||||
Cooperative Federation | ||||||||
144A 5.00% 9/30/14 | 373,000 | 399,858 | ||||||
• | National City Bank | |||||||
0.663% 6/7/17 | 325,000 | 292,314 | ||||||
Oesterreichische Kontrollbank | ||||||||
1.75% 10/5/15 | 595,000 | 596,648 | ||||||
PNC Bank 6.875% 4/1/18 | 1,415,000 | 1,664,896 |
(continues) 11
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Banking (continued) | ||||||||
PNC Funding | ||||||||
5.25% 11/15/15 | USD | 150,000 | $ | 166,788 | ||||
5.625% 2/1/17 | 195,000 | 213,200 | ||||||
•# | PNC Preferred Funding | |||||||
Trust II 144A | ||||||||
6.113% 3/29/49 | 1,600,000 | 1,169,349 | ||||||
•# | Rabobank Nederland 144A | |||||||
11.00% 12/29/49 | 1,240,000 | 1,616,773 | ||||||
Rentenbank | ||||||||
6.00% 7/15/14 | AUD | 526,000 | 513,968 | |||||
Silicon Valley Bank | ||||||||
5.70% 6/1/12 | USD | 724,000 | 754,012 | |||||
6.05% 6/1/17 | 250,000 | 263,831 | ||||||
SVB Financial Group | ||||||||
5.375% 9/15/20 | 190,000 | 193,365 | ||||||
UBS | ||||||||
• | 0.675% 4/18/16 | 800,000 | 780,000 | |||||
5.875% 12/20/17 | 2,000,000 | 2,266,342 | ||||||
U.S. Bank North America | ||||||||
4.95% 10/30/14 | 1,000,000 | 1,107,500 | ||||||
• | USB Capital IX | |||||||
6.189% 4/15/49 | 955,000 | 759,225 | ||||||
Wachovia | ||||||||
5.625% 10/15/16 | 465,000 | 517,978 | ||||||
• | Wells Fargo Capital XIII | |||||||
7.70% 12/29/49 | 1,860,000 | 1,939,050 | ||||||
Zions Bancorp | ||||||||
5.65% 5/15/14 | 186,000 | 184,601 | ||||||
7.75% 9/23/14 | 150,000 | 159,075 | ||||||
53,991,454 | ||||||||
Basic Industry – 4.15% | ||||||||
Alcoa 6.15% 8/15/20 | 890,000 | 916,736 | ||||||
*# | Algoma Acquisition 144A | |||||||
9.875% 6/15/15 | 304,000 | 272,460 | ||||||
ArcelorMittal | ||||||||
9.85% 6/1/19 | 1,080,000 | 1,390,280 | ||||||
# | Braskem Finance 144A | |||||||
7.00% 5/7/20 | 860,000 | 912,675 | ||||||
Celulosa Arauco y | ||||||||
Constitucion | ||||||||
7.25% 7/29/19 | 1,100,000 | 1,308,610 | ||||||
# | Celulosa Arauco y | |||||||
Constitucion 144A | ||||||||
5.00% 1/21/21 | 1,000,000 | 1,017,083 | ||||||
Century Aluminum | ||||||||
8.00% 5/15/14 | 280,650 | 278,545 | ||||||
CF Industries | ||||||||
7.125% 5/1/20 | 260,000 | 285,025 | ||||||
Cliffs Natural Resources | ||||||||
4.80% 10/1/20 | 500,000 | 508,520 | ||||||
5.90% 3/15/20 | 360,000 | 395,948 | ||||||
6.25% 10/1/40 | 455,000 | 451,617 | ||||||
Compass Minerals International | ||||||||
8.00% 6/1/19 | 268,000 | 284,415 | ||||||
# | CSN Resources 144A | |||||||
6.50% 7/21/20 | 3,400,000 | 3,642,249 | ||||||
Cytec Industries | ||||||||
8.95% 7/1/17 | 1,235,000 | 1,560,069 | ||||||
Dow Chemical | ||||||||
8.55% 5/15/19 | 1,705,000 | 2,156,336 | ||||||
duPont (E.I.) deNemours | ||||||||
3.625% 1/15/21 | 2,685,000 | 2,733,599 | ||||||
*# | Essar Steel Algoma 144A | |||||||
9.375% 3/15/15 | 40,000 | 40,400 | ||||||
*# | FMG Finance 144A | |||||||
10.625% 9/1/16 | 713,000 | 881,446 | ||||||
Freeport McMoRan Copper | ||||||||
& Gold 8.375% 4/1/17 | 430,000 | 480,596 | ||||||
# | Georgia-Pacific 144A | |||||||
8.25% 5/1/16 | 108,000 | 120,555 | ||||||
# | Gerdau Trade 144A | |||||||
5.75% 1/30/21 | 4,300,000 | 4,338,871 | ||||||
Hexion US Finance | ||||||||
8.875% 2/1/18 | 260,000 | 256,100 | ||||||
* | 9.75% 11/15/14 | 240,000 | 250,800 | |||||
International Paper | ||||||||
9.375% 5/15/19 | 2,125,000 | 2,761,060 | ||||||
# | MacDermid 144A | |||||||
9.50% 4/15/17 | 286,000 | 300,300 | ||||||
Newmont Mining | ||||||||
5.125% 10/1/19 | 1,000,000 | 1,120,707 | ||||||
• | Noranda Aluminum | |||||||
Acquisition PIK | ||||||||
5.373% 5/15/15 | 263,449 | 222,944 | ||||||
Novelis 11.50% 2/15/15 | 203,000 | 232,943 | ||||||
*# | PE Paper Escrow 144A | |||||||
12.00% 8/1/14 | 100,000 | 115,680 | ||||||
=@ | Port Townsend | |||||||
12.431% 8/27/12 | 86,471 | 62,691 | ||||||
Reliance Steel & Aluminum | ||||||||
6.85% 11/15/36 | 520,000 | 522,155 | ||||||
Ryerson | ||||||||
• | 7.841% 11/1/14 | 127,000 | 118,904 | |||||
12.00% 11/1/15 | 237,000 | 245,295 | ||||||
Smurfit Kappa Funding | ||||||||
7.75% 4/1/15 | 197,000 | 199,955 | ||||||
Steel Dynamics | ||||||||
7.75% 4/15/16 | 404,000 | 422,180 | ||||||
Teck Resources | ||||||||
9.75% 5/15/14 | 431,000 | 531,805 | ||||||
* | 10.25% 5/15/16 | 220,000 | 267,595 | |||||
10.75% 5/15/19 | 123,000 | 155,125 | ||||||
Vale Overseas | ||||||||
6.875% 11/21/36 | 711,000 | 814,065 | ||||||
6.875% 11/10/39 | 4,805,000 | 5,530,367 | ||||||
38,106,706 |
12
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Brokerage – 2.10% | ||||||||
Bear Stearns | ||||||||
• | 5.16% 12/7/12 | AUD | 2,130,000 | $ | 2,018,067 | |||
7.25% 2/1/18 | USD | 2,000,000 | 2,439,844 | |||||
*# | Cemex Finance 144A | |||||||
9.50% 12/14/16 | 270,000 | 273,024 | ||||||
Citigroup | ||||||||
• | 2.384% 8/13/13 | 1,800,000 | 1,814,162 | |||||
6.125% 5/15/18 | 2,500,000 | 2,731,710 | ||||||
8.50% 5/22/19 | 1,400,000 | 1,733,645 | ||||||
E*Trade Financial PIK | ||||||||
12.50% 11/30/17 | 370,000 | 423,650 | ||||||
Goldman Sachs Group | ||||||||
3.70% 8/1/15 | 155,000 | 158,757 | ||||||
5.375% 3/15/20 | 2,180,000 | 2,302,010 | ||||||
Jefferies Group | ||||||||
6.25% 1/15/36 | 335,000 | 308,518 | ||||||
6.45% 6/8/27 | 1,146,000 | 1,129,207 | ||||||
Lazard Group | ||||||||
6.85% 6/15/17 | 1,045,000 | 1,120,576 | ||||||
7.125% 5/15/15 | 42,000 | 45,864 | ||||||
Merrill Lynch | ||||||||
6.875% 4/25/18 | 2,500,000 | 2,808,431 | ||||||
19,307,465 | ||||||||
Capital Goods – 1.00% | ||||||||
Allied Waste North America | ||||||||
6.875% 6/1/17 | 1,145,000 | 1,265,495 | ||||||
7.125% 5/15/16 | 990,000 | 1,061,765 | ||||||
AMH Holdings | ||||||||
11.25% 3/1/14 | 171,000 | 179,550 | ||||||
Anixter 10.00% 3/15/14 | 101,000 | 110,974 | ||||||
# | BAE Systems Holdings | |||||||
144A 4.95% 6/1/14 | 230,000 | 254,024 | ||||||
Case New Holland | ||||||||
7.75% 9/1/13 | 163,000 | 177,874 | ||||||
Casella Waste Systems | ||||||||
9.75% 2/1/13 | 299,000 | 302,738 | ||||||
11.00% 7/15/14 | 6,000 | 6,600 | ||||||
* | Graham Packaging | |||||||
9.875% 10/15/14 | 232,000 | 241,860 | ||||||
Intertape Polymer US | ||||||||
8.50% 8/1/14 | 151,000 | 129,483 | ||||||
L-3 Communications | ||||||||
4.75% 7/15/20 | 895,000 | 940,539 | ||||||
5.875% 1/15/15 | 4,000 | 4,110 | ||||||
# | Meccanica Holdings USA | |||||||
144A 6.25% 7/15/19 | 1,305,000 | 1,449,797 | ||||||
# | Noble Group 144A | |||||||
6.625% 8/5/20 | 429,000 | 450,427 | ||||||
* | NXP BV 9.50% 10/15/15 | 365,000 | 375,038 | |||||
# | Plastipak Holdings 144A | |||||||
10.625% 8/15/19 | 201,000 | 224,115 | ||||||
Ply Gem Industries | ||||||||
13.125% 7/15/14 | 397,000 | 406,429 | ||||||
Pregis 12.375% 10/15/13 | 347,000 | 350,470 | ||||||
* | RBS Global/Rexnord | |||||||
11.75% 8/1/16 | 212,000 | 227,900 | ||||||
Solo Cup 8.50% 2/15/14 | 178,000 | 153,970 | ||||||
Thermadyne Holdings | ||||||||
11.25% 2/1/14 | 168,000 | 171,360 | ||||||
# | TriMas 144A | |||||||
9.75% 12/15/17 | 173,000 | 186,840 | ||||||
# | USG 144A 9.75% 8/1/14 | 55,000 | 57,613 | |||||
# | Volvo-Votorantim Overseas | |||||||
Trading Operations | ||||||||
144A 6.625% 9/25/19 | 431,000 | 455,783 | ||||||
9,184,754 | ||||||||
Communications – 5.98% | ||||||||
* | Affinion Group | |||||||
11.50% 10/15/15 | 117,000 | 124,166 | ||||||
America Movil SAB de CV | ||||||||
5.00% 3/30/20 | 993,000 | 1,075,952 | ||||||
6.125% 3/30/40 | 250,000 | 279,548 | ||||||
* | American Tower | |||||||
5.05% 9/1/20 | 1,520,000 | 1,559,803 | ||||||
AT&T | ||||||||
* | 5.80% 2/15/19 | 2,000,000 | 2,388,135 | |||||
6.50% 9/1/37 | 675,000 | 783,607 | ||||||
# | AT&T 144A 5.35% 9/1/40 | 790,000 | 796,682 | |||||
*# | Charter Communications | |||||||
Operating 144A | ||||||||
10.875% 9/15/14 | 360,000 | 409,500 | ||||||
Cincinnati Bell | ||||||||
7.00% 2/15/15 | 99,000 | 99,495 | ||||||
Citizens Communications | ||||||||
6.25% 1/15/13 | 78,000 | 82,095 | ||||||
* | Clear Channel | |||||||
Communications | ||||||||
10.75% 8/1/16 | 156,000 | 122,460 | ||||||
# | Clearwire Communications | |||||||
144A 12.00% 12/1/15 | 647,000 | 700,680 | ||||||
*# | Columbus International | |||||||
144A 11.50% 11/20/14 | 460,000 | 510,508 | ||||||
Comcast | ||||||||
5.70% 5/15/18 | 1,000,000 | 1,146,419 | ||||||
* | 5.90% 3/15/16 | 1,800,000 | 2,081,702 | |||||
# | COX Communications 144A | |||||||
* | 6.25% 6/1/18 | 660,000 | 762,097 | |||||
6.45% 12/1/36 | 410,000 | 451,206 | ||||||
6.95% 6/1/38 | 455,000 | 533,291 | ||||||
* | Cricket Communications | |||||||
9.375% 11/1/14 | 312,000 | 324,480 | ||||||
Crown Castle International | ||||||||
9.00% 1/15/15 | 80,000 | 88,600 | ||||||
* | CSC Holdings 6.75% 4/15/12 | 1,000 | 1,049 | |||||
* | Deutsche Telekom | |||||||
International Finance | ||||||||
6.00% 7/8/19 | 1,000,000 | 1,191,945 |
(continues) 13
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Communications (continued) | ||||||||
# | Digicel 144A | |||||||
8.25% 9/1/17 | USD | 100,000 | $ | 105,500 | ||||
12.00% 4/1/14 | 305,000 | 356,850 | ||||||
*# | Digicel Group 144A | |||||||
8.875% 1/15/15 | 170,000 | 174,250 | ||||||
DirecTV Holdings | ||||||||
* | 4.60% 2/15/21 | 1,310,000 | 1,348,928 | |||||
7.625% 5/15/16 | 2,385,000 | 2,662,339 | ||||||
DISH DBS 7.875% 9/1/19 | 443,000 | 478,994 | ||||||
Global Crossing | ||||||||
12.00% 9/15/15 | 318,000 | 360,930 | ||||||
GXS Worldwide | ||||||||
9.75% 6/15/15 | 474,000 | 474,593 | ||||||
* | Hughes Network | |||||||
Systems/Finance | ||||||||
9.50% 4/15/14 | 244,000 | 253,760 | ||||||
Intelsat Bermuda PIK | ||||||||
11.50% 2/4/17 | 398 | 433 | ||||||
* | Intelsat Jackson Holdings | |||||||
11.25% 6/15/16 | 156,000 | 170,430 | ||||||
Lamar Media | ||||||||
* | 6.625% 8/15/15 | 209,000 | 215,009 | |||||
6.625% 8/15/15 | 140,000 | 142,450 | ||||||
Level 3 Financing | ||||||||
9.25% 11/1/14 | 63,000 | 59,535 | ||||||
10.00% 2/1/18 | 213,000 | 192,765 | ||||||
LIN Television 6.50% 5/15/13 | 52,000 | 51,870 | ||||||
*# | MTS International Funding | |||||||
144A 8.625% 6/22/20 | 390,000 | 448,500 | ||||||
*# | Myriad International Holding | |||||||
144A 6.375% 7/28/17 | 300,000 | 312,180 | ||||||
# | NBC Universal 144A | |||||||
4.375% 4/1/21 | 1,495,000 | 1,516,381 | ||||||
5.15% 4/30/20 | 1,635,000 | 1,769,039 | ||||||
Nielsen Finance | ||||||||
10.00% 8/1/14 | 174,000 | 183,788 | ||||||
* | 11.50% 5/1/16 | 130,000 | 148,200 | |||||
* | 11.625% 2/1/14 | 126,000 | 143,640 | |||||
NII Capital 10.00% 8/15/16 | 316,000 | 361,030 | ||||||
PAETEC Holding | ||||||||
8.875% 6/30/17 | 157,000 | 164,850 | ||||||
* | 9.50% 7/15/15 | 268,000 | 274,700 | |||||
* | Qwest 8.375% 5/1/16 | 2,375,000 | 2,820,312 | |||||
# | Rainbow National Services | |||||||
144A 10.375% 9/1/14 | 113,000 | 118,085 | ||||||
Rogers Communications | ||||||||
6.68% 11/4/39 | CAD | 657,000 | 715,810 | |||||
Shaw Communications | ||||||||
6.75% 11/9/39 | CAD | 1,028,000 | 1,055,566 | |||||
# | Sinclair Television Group | |||||||
144A 9.25% 11/1/17 | USD | 216,000 | 232,740 | |||||
# | Sirius XM Radio 144A | |||||||
9.75% 9/1/15 | 40,000 | 44,250 | ||||||
Sprint Capital | ||||||||
8.75% 3/15/32 | 397,000 | 418,835 | ||||||
Symantec 4.20% 9/15/20 | 3,365,000 | 3,385,351 | ||||||
Telecom Italia Capital | ||||||||
5.25% 10/1/15 | 2,080,000 | 2,247,073 | ||||||
6.175% 6/18/14 | 1,455,000 | 1,605,898 | ||||||
Telefonica Emisiones | ||||||||
5.134% 4/27/20 | 75,000 | 81,750 | ||||||
6.421% 6/20/16 | 1,225,000 | 1,437,534 | ||||||
Telesat Canada | ||||||||
11.00% 11/1/15 | 467,000 | 530,045 | ||||||
12.50% 11/1/17 | 85,000 | 100,725 | ||||||
Terremark Worldwide | ||||||||
12.00% 6/15/17 | 166,000 | 190,485 | ||||||
Time Warner Cable | ||||||||
6.75% 7/1/18 | 1,500,000 | 1,791,728 | ||||||
8.25% 4/1/19 | 1,665,000 | 2,153,105 | ||||||
*# | Univision Communications | |||||||
144A 12.00% 7/1/14 | 209,000 | 229,639 | ||||||
*# | UPC Holding 144A | |||||||
9.875% 4/15/18 | 170,000 | 181,900 | ||||||
Verizon Communications | ||||||||
6.40% 2/15/38 | 1,245,000 | 1,444,930 | ||||||
8.75% 11/1/18 | 1,500,000 | 2,044,241 | ||||||
* | Videotron Ltee | |||||||
6.375% 12/15/15 | 90,000 | 92,475 | ||||||
# | Videotron Ltee 144A | |||||||
7.125% 1/15/20 | CAD | 772,000 | 769,074 | |||||
Virgin Media Finance | ||||||||
8.375% 10/15/19 | USD | 200,000 | 220,500 | |||||
# | Vivendi 144A | |||||||
5.75% 4/4/13 | 1,275,000 | 1,388,847 | ||||||
6.625% 4/4/18 | 935,000 | 1,086,586 | ||||||
# | Wind Acquisition Finance 144A | |||||||
11.75% 7/15/17 | 260,000 | 292,663 | ||||||
* | 12.00% 12/1/15 | 150,000 | 159,563 | |||||
Windstream | ||||||||
7.875% 11/1/17 | 3,000 | 3,143 | ||||||
* | 8.125% 8/1/13 | 103,000 | 112,270 | |||||
# | XM Satellite Radio 144A | |||||||
13.00% 8/1/13 | 50,000 | 57,750 | ||||||
54,897,237 | ||||||||
Consumer Cyclical – 1.60% | ||||||||
*# | Allison Transmission 144A | |||||||
11.00% 11/1/15 | 354,000 | 385,860 | ||||||
* | American Axle & | |||||||
Manufacturing | ||||||||
7.875% 3/1/17 | 149,000 | 148,441 | ||||||
*ArvinMeritor | ||||||||
8.125% 9/15/15 | 443,000 | 450,753 | ||||||
Burlington Coat Factory | ||||||||
Investment Holdings | ||||||||
14.50% 10/15/14 | 553,000 | 593,092 |
14
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Cyclical (continued) | ||||||||
# | CKE Restaurants 144A | |||||||
11.375% 7/15/18 | USD | 260,000 | $ | 267,800 | ||||
Corrections Corp. of America | ||||||||
7.75% 6/1/17 | 354,000 | 382,320 | ||||||
#w | CVS Pass Through Trust | |||||||
144A 8.353% 7/10/31 | 1,828,354 | 2,272,171 | ||||||
# | Equinox Holdings 144A | |||||||
9.50% 2/1/16 | 40,000 | 41,100 | ||||||
Federated Retail Holdings | ||||||||
5.90% 12/1/16 | 763,000 | 816,409 | ||||||
* | Ford Motor 7.45% 7/16/31 | 725,000 | 759,437 | |||||
Ford Motor Credit | ||||||||
12.00% 5/15/15 | 480,000 | 605,101 | ||||||
* | Global Cash Access/Finance | |||||||
8.75% 3/15/12 | 122,000 | 121,390 | ||||||
* | Harrah’s Operating | |||||||
10.00% 12/15/18 | 274,000 | 220,228 | ||||||
Interface | ||||||||
9.50% 2/1/14 | 46,000 | 47,783 | ||||||
11.375% 11/1/13 | 138,000 | 157,320 | ||||||
# | Invista 144A 9.25% 5/1/12 | 6,000 | 6,090 | |||||
K Hovnanian Enterprises | ||||||||
6.25% 1/15/15 | 133,000 | 100,415 | ||||||
7.50% 5/15/16 | 217,000 | 144,305 | ||||||
* | 10.625% 10/15/16 | 222,000 | 223,388 | |||||
Landry’s Restaurants | ||||||||
11.625% 12/1/15 | 108,000 | 114,480 | ||||||
M/I Homes 6.875% 4/1/12 | 92,000 | 92,230 | ||||||
MGM Resorts International | ||||||||
* | 7.50% 6/1/16 | 120,000 | 102,000 | |||||
11.125% 11/15/17 | 169,000 | 193,294 | ||||||
* | 11.375% 3/1/18 | 209,000 | 200,118 | |||||
Mobile Mini 6.875% 5/1/15 | 161,000 | 158,585 | ||||||
Mohawk Industries | ||||||||
6.875% 1/15/16 | 146,000 | 152,753 | ||||||
* | Mohegan Tribal | |||||||
Gaming Authority | ||||||||
6.875% 2/15/15 | 176,000 | 97,900 | ||||||
NCL 11.75% 11/15/16 | 59,000 | 66,375 | ||||||
New Albertsons | ||||||||
7.25% 5/1/13 | 66,000 | 67,650 | ||||||
Norcraft 10.50% 12/15/15 | 154,000 | 161,700 | ||||||
Norcraft Holdings | ||||||||
9.75% 9/1/12 | 138,000 | 130,065 | ||||||
* | OSI Restaurant Partners | |||||||
10.00% 6/15/15 | 159,000 | 162,180 | ||||||
Pinnacle Entertainment | ||||||||
8.75% 5/15/20 | 415,000 | 410,850 | ||||||
@# | Pokagon Gaming | |||||||
Authority 144A | ||||||||
10.375% 6/15/14 | 6,000 | 6,293 | ||||||
Quiksilver 6.875% 4/15/15 | 325,000 | 309,563 | ||||||
* | Rite Aid 9.375% 12/15/15 | 116,000 | 100,630 | |||||
Royal Caribbean Cruises | ||||||||
6.875% 12/1/13 | 7,000 | 7,403 | ||||||
7.00% 6/15/13 | 250,000 | 264,063 | ||||||
* | Ryland Group | |||||||
8.40% 5/15/17 | 172,000 | 186,620 | ||||||
Sally Holdings | ||||||||
10.50% 11/15/16 | 229,000 | 251,900 | ||||||
# | Sealy Mattress 144A | |||||||
10.875% 4/15/16 | 61,000 | 69,388 | ||||||
# | Shingle Springs Tribal | |||||||
Gaming Authority 144A | ||||||||
9.375% 6/15/15 | 411,000 | 308,250 | ||||||
Standard Pacific | ||||||||
10.75% 9/15/16 | 248,000 | 271,560 | ||||||
# | Volkswagen International | |||||||
Finance 144A | ||||||||
1.625% 8/12/13 | 2,800,000 | 2,816,522 | ||||||
Wyndham Worldwide | ||||||||
5.75% 2/1/18 | 275,000 | 276,279 | ||||||
14,722,054 | ||||||||
Consumer Non-Cyclical – 4.88% | ||||||||
Abbott Laboratories | ||||||||
4.125% 5/27/20 | 1,125,000 | 1,226,829 | ||||||
Accellent 10.50% 12/1/13 | 230,000 | 233,450 | ||||||
Alere 9.00% 5/15/16 | 335,000 | 346,725 | ||||||
Alliance One International | ||||||||
10.00% 7/15/16 | 297,000 | 322,988 | ||||||
Altria Group | ||||||||
9.70% 11/10/18 | 1,000,000 | 1,355,640 | ||||||
Amgen 3.45% 10/1/20 | 1,100,000 | 1,109,711 | ||||||
Anheuser-Busch InBev Worldwide | ||||||||
* | 5.00% 4/15/20 | 870,000 | 960,476 | |||||
5.375% 1/15/20 | 1,000,000 | 1,130,886 | ||||||
* | ARAMARK 8.50% 2/1/15 | 144,000 | 150,480 | |||||
Bausch & Lomb | ||||||||
9.875% 11/1/15 | 230,000 | 245,813 | ||||||
* | Baxter International | |||||||
4.50% 8/15/19 | 1,695,000 | 1,885,218 | ||||||
Biomet 11.625% 10/15/17 | 204,000 | 228,225 | ||||||
Biomet PIK | ||||||||
10.375% 10/15/17 | 158,000 | 176,170 | ||||||
Bio-Rad Laboratories | ||||||||
8.00% 9/15/16 | 146,000 | 159,140 | ||||||
# | Brambles USA 144A | |||||||
3.95% 4/1/15 | 1,490,000 | 1,546,808 | ||||||
5.35% 4/1/20 | 490,000 | 525,987 | ||||||
CareFusion 6.375% 8/1/19 | 2,085,000 | 2,484,971 | ||||||
Covidien International Finance | ||||||||
4.20% 6/15/20 | 1,820,000 | 1,943,660 | ||||||
Dean Foods 6.90% 10/15/17 | 55,000 | 52,113 | ||||||
DJO Finance 11.75% 11/15/14 | 60,000 | 63,150 |
(continues) 15
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Non-Cyclical (continued) | |||||||
# | Dole Food 144A | ||||||
8.00% 10/1/16 | USD | 123,000 | $ | 129,304 | |||
# | Genzyme 144A | ||||||
3.625% 6/15/15 | 830,000 | 881,126 | |||||
5.00% 6/15/20 | 1,650,000 | 1,838,263 | |||||
HCA 9.25% 11/15/16 | 198,000 | 214,830 | |||||
HCA PIK 9.625% 11/15/16 | 59,000 | 64,163 | |||||
Hospira 6.40% 5/15/15 | 1,795,000 | 2,082,342 | |||||
Ingles Markets | |||||||
8.875% 5/15/17 | 196,000 | 212,170 | |||||
* | International CCE | ||||||
3.50% 9/15/20 | 1,230,000 | 1,225,375 | |||||
* | Jarden 7.50% 1/15/20 | 30,000 | 31,350 | ||||
Kraft Foods | |||||||
5.375% 2/10/20 | 2,235,000 | 2,501,257 | |||||
*6.125% 2/1/18 | 1,500,000 | 1,771,176 | |||||
Life Technologies | |||||||
4.40% 3/1/15 | 115,000 | 122,795 | |||||
6.00% 3/1/20 | 1,945,000 | 2,207,353 | |||||
Medco Health Solutions | |||||||
4.125% 9/15/20 | 1,080,000 | 1,095,832 | |||||
7.125% 3/15/18 | 520,000 | 639,557 | |||||
# | Novasep Holding 144A | ||||||
9.75% 12/15/16 | 485,000 | 375,875 | |||||
Pfizer 6.20% 3/15/19 | 2,730,000 | 3,367,042 | |||||
Philip Morris International | |||||||
5.65% 5/16/18 | 1,000,000 | 1,172,656 | |||||
# | Radnet Management 144A | ||||||
10.375% 4/1/18 | 160,000 | 147,200 | |||||
# | Roche Holdings 144A | ||||||
6.00% 3/1/19 | 1,985,000 | 2,408,847 | |||||
* | RSC Equipment Rental | ||||||
10.25% 11/15/19 | 278,000 | 296,765 | |||||
* | Select Medical | ||||||
7.625% 2/1/15 | 232,000 | 227,650 | |||||
* | Smithfield Foods | ||||||
7.75% 7/1/17 | 285,000 | 290,344 | |||||
# | Smithfield Foods 144A | ||||||
10.00% 7/15/14 | 117,000 | 135,135 | |||||
* | Supervalu 8.00% 5/1/16 | 144,000 | 145,800 | ||||
# | Tops Markets 144A | ||||||
10.125% 10/15/15 | 127,000 | 137,001 | |||||
Tyson Foods | |||||||
10.50% 3/1/14 | 213,000 | 257,464 | |||||
• | US Oncology Holdings PIK | ||||||
6.737% 3/15/12 | 553,000 | 526,733 | |||||
# | Viskase 144A | ||||||
9.875% 1/15/18 | 322,000 | 330,050 | |||||
# | Woolworths 144A | ||||||
4.00% 9/22/20 | 580,000 | 592,344 | |||||
Yale University | |||||||
2.90% 10/15/14 | 1,115,000 | 1,181,535 | |||||
* | Yankee Acquisition | ||||||
9.75% 2/15/17 | 258,000 | 269,610 | |||||
Zimmer Holdings | |||||||
4.625% 11/30/19 | 1,640,000 | 1,770,685 | |||||
44,798,069 | |||||||
Electric – 3.03% | |||||||
AES | |||||||
7.75% 3/1/14 | 29,000 | 31,175 | |||||
*8.00% 6/1/20 | 133,000 | 144,970 | |||||
*# | AES 144A 8.75% 5/15/13 | 20,000 | 20,350 | ||||
* | Ameren Illinois | ||||||
9.75% 11/15/18 | 2,195,000 | 2,945,464 | |||||
# | American Transmission | ||||||
Systems 144A | |||||||
5.25% 1/15/22 | 1,225,000 | 1,357,890 | |||||
* | Appalachian Power | ||||||
7.95% 1/15/20 | 1,000,000 | 1,310,652 | |||||
# | Centrais Eletricas Brasileiras | ||||||
144A 6.875% 7/30/19 | 2,280,000 | 2,701,800 | |||||
CMS Energy | |||||||
4.25% 9/30/15 | 330,000 | 334,497 | |||||
6.55% 7/17/17 | 430,000 | 464,501 | |||||
8.75% 6/15/19 | 455,000 | 545,554 | |||||
Commonwealth Edison | |||||||
*4.00% 8/1/20 | 1,770,000 | 1,859,194 | |||||
5.80% 3/15/18 | 145,000 | 169,878 | |||||
Duke Energy | |||||||
5.05% 9/15/19 | 395,000 | 440,315 | |||||
* | Duke Energy Carolinas | ||||||
5.30% 2/15/40 | 455,000 | 497,209 | |||||
Duquense Light Holdings | |||||||
5.50% 8/15/15 | 756,000 | 789,238 | |||||
* | Dynegy Holdings | ||||||
7.75% 6/1/19 | 288,000 | 198,720 | |||||
8.375% 5/1/16 | 5,000 | 3,925 | |||||
Elwood Energy | |||||||
8.159% 7/5/26 | 289,012 | 273,117 | |||||
# | Enel Finance International | ||||||
144A 3.875% 10/7/14 | 115,000 | 120,624 | |||||
Exelon Generation | |||||||
4.00% 10/1/20 | 1,090,000 | 1,093,384 | |||||
5.75% 10/1/41 | 525,000 | 528,565 | |||||
Florida Power | |||||||
5.65% 6/15/18 | 855,000 | 1,010,123 | |||||
Georgia Power | |||||||
4.75% 9/1/40 | 260,000 | 257,406 | |||||
Indiana Michigan Power | |||||||
7.00% 3/15/19 | 335,000 | 412,027 | |||||
Jersey Central Power & Light | |||||||
5.625% 5/1/16 | 80,000 | 90,779 | |||||
7.35% 2/1/19 | 1,000,000 | 1,243,742 | |||||
# | Korea Electric Power 144A | ||||||
3.00% 10/5/15 | 940,000 | 940,606 |
16
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Electric (continued) | |||||||
Midamerican Funding | |||||||
6.75% 3/1/11 | USD | 10,000 | $ | 10,255 | |||
* | Mirant Americas Generation | ||||||
8.50% 10/1/21 | 305,000 | 295,088 | |||||
Mirant North America | |||||||
7.375% 12/31/13 | 52,000 | 53,820 | |||||
NRG Energy 7.375% 2/1/16 | 213,000 | 219,656 | |||||
Oncor Electric Delivery | |||||||
7.00% 9/1/22 | 400,000 | 503,553 | |||||
# | Oncor Electric Delivery 144A | ||||||
5.25% 9/30/40 | 180,000 | 184,039 | |||||
PacifiCorp 5.50% 1/15/19 | 1,060,000 | 1,249,346 | |||||
# | Pedernales Electric Cooperative | ||||||
144A 6.202% 11/15/32 | 620,000 | 625,312 | |||||
* | Pennsylvania Electric | ||||||
5.20% 4/1/20 | 1,695,000 | 1,855,408 | |||||
PPL Electric Utilities | |||||||
7.125% 11/30/13 | 435,000 | 510,606 | |||||
Public Service Co. of Oklahoma | |||||||
5.15% 12/1/19 | 1,170,000 | 1,282,393 | |||||
• | Puget Sound Energy | ||||||
6.974% 6/1/67 | 295,000 | 276,179 | |||||
Virginia Electric & Power | |||||||
3.45% 9/1/22 | 940,000 | 942,535 | |||||
27,793,895 | |||||||
Energy – 4.43% | |||||||
* | Anadarko Petroleum | ||||||
6.375% 9/15/17 | 1,030,000 | 1,136,621 | |||||
Antero Resources Finance | |||||||
9.375% 12/1/17 | 122,000 | 130,235 | |||||
Berry Petroleum | |||||||
10.25% 6/1/14 | 227,000 | 257,078 | |||||
BP Capital Markets | |||||||
•0.423% 4/11/11 | 1,000,000 | 996,979 | |||||
2.375% 12/14/11 | 300,000 | 301,302 | |||||
2.75% 2/27/12 | 100,000 | 100,763 | |||||
3.625% 5/8/14 | 500,000 | 517,666 | |||||
4.75% 3/10/19 | 160,000 | 167,599 | |||||
* | Chesapeake Energy | ||||||
9.50% 2/15/15 | 175,000 | 203,438 | |||||
Complete Production Service | |||||||
8.00% 12/15/16 | 301,000 | 311,535 | |||||
Copano Energy | |||||||
7.75% 6/1/18 | 218,000 | 221,270 | |||||
Ecopetrol 7.625% 7/23/19 | 355,000 | 431,325 | |||||
*• | Enbridge Energy Partners | ||||||
8.05% 10/1/37 | 725,000 | 739,994 | |||||
Energy Transfer Partners | |||||||
9.70% 3/15/19 | 2,040,000 | 2,710,543 | |||||
# | ENI 144A 4.15% 10/1/20 | 800,000 | 812,304 | ||||
Forest Oil 7.25% 6/15/19 | 122,000 | 125,355 | |||||
* | Gazprom 10.50% 3/25/14 | 1,500,000 | 1,802,474 | ||||
# | Gazprom 144A | ||||||
8.146% 4/11/18 | 100,000 | 117,500 | |||||
# | Helix Energy Solutions Group | ||||||
144A 9.50% 1/15/16 | 639,000 | 650,183 | |||||
*# | Hercules Offshore 144A | ||||||
10.50% 10/15/17 | 289,000 | 241,315 | |||||
# | Hilcorp Energy I 144A | ||||||
7.75% 11/1/15 | 150,000 | 152,250 | |||||
Holly 9.875% 6/15/17 | 217,000 | 230,834 | |||||
* | Key Energy Services | ||||||
8.375% 12/1/14 | 419,000 | 444,140 | |||||
Kinder Morgan | |||||||
Energy Partners | |||||||
5.95% 2/15/18 | 1,000,000 | 1,131,081 | |||||
6.55% 9/15/40 | 210,000 | 230,490 | |||||
9.00% 2/1/19 | 1,020,000 | 1,330,203 | |||||
# | Linn Energy 144A | ||||||
8.625% 4/15/20 | 125,000 | 133,125 | |||||
# | Lukoil International Finance | ||||||
144A 7.25% 11/5/19 | 230,000 | 251,850 | |||||
# | Midcontinent Express | ||||||
Pipeline 144A | |||||||
5.45% 9/15/14 | 810,000 | 865,352 | |||||
6.70% 9/15/19 | 410,000 | 450,605 | |||||
# | Murray Energy 144A | ||||||
10.25% 10/15/15 | 162,000 | 168,885 | |||||
*# | New World Resources | ||||||
144A 7.875% 5/1/18 | EUR | 192,000 | 274,197 | ||||
Nexen 7.50% 7/30/39 | USD | 1,185,000 | 1,460,861 | ||||
*# | NFR Energy 144A | ||||||
9.75% 2/15/17 | 190,000 | 190,950 | |||||
# | NGPL PipeCo 144A | ||||||
6.514% 12/15/12 | 2,000,000 | 2,127,965 | |||||
* | Noble Energy | ||||||
8.25% 3/1/19 | 1,180,000 | 1,537,398 | |||||
Noble Holding International | |||||||
4.90% 8/1/20 | 1,210,000 | 1,303,585 | |||||
OPTI Canada | |||||||
7.875% 12/15/14 | 105,000 | 79,538 | |||||
*8.25% 12/15/14 | 185,000 | 141,525 | |||||
Petrobras International Finance | |||||||
5.75% 1/20/20 | 410,000 | 455,938 | |||||
*5.875% 3/1/18 | 45,000 | 50,229 | |||||
Petrohawk Energy | |||||||
7.875% 6/1/15 | 281,000 | 295,753 | |||||
10.50% 8/1/14 | 78,000 | 88,725 | |||||
# | Petroleos Mexicanos 144A | ||||||
6.625% 6/15/35 | 440,000 | 482,869 | |||||
Petroleum Development | |||||||
12.00% 2/15/18 | 167,000 | 186,205 | |||||
Plains All American Pipeline | |||||||
8.75% 5/1/19 | 1,230,000 | 1,563,610 | |||||
Pride International | |||||||
6.875% 8/15/20 | 730,000 | 798,438 | |||||
8.50% 6/15/19 | 330,000 | 384,450 |
(continues) 17
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Energy (continued) | |||||||
Quicksilver Resources | |||||||
7.125% 4/1/16 | USD | 348,000 | $ | 345,390 | |||
Range Resources | |||||||
8.00% 5/15/19 | 157,000 | 172,308 | |||||
# | Rockies Express Pipeline 144A | ||||||
6.25% 7/15/13 | 1,000,000 | 1,087,122 | |||||
6.85% 7/15/18 | 500,000 | 552,082 | |||||
*# | SandRidge Energy 144A | ||||||
9.875% 5/15/16 | 386,000 | 400,475 | |||||
# | SEMCO Energy 144A | ||||||
5.15% 4/21/20 | 1,455,000 | 1,593,659 | |||||
Total Capital | |||||||
2.30% 3/15/16 | 1,160,000 | 1,165,795 | |||||
4.45% 6/24/20 | 265,000 | 290,568 | |||||
TransCanada Pipelines | |||||||
3.80% 10/1/20 | 700,000 | 716,859 | |||||
•6.35% 5/15/67 | 1,310,000 | 1,226,461 | |||||
Transocean 6.50% 11/15/20 | 870,000 | 949,280 | |||||
Weatherford International | |||||||
5.125% 9/15/20 | 525,000 | 537,739 | |||||
6.75% 9/15/40 | 860,000 | 899,301 | |||||
9.625% 3/1/19 | 465,000 | 607,532 | |||||
# | Woodside Finance 144A | ||||||
4.50% 11/10/14 | 800,000 | 859,277 | |||||
8.125% 3/1/14 | 430,000 | 506,135 | |||||
40,696,513 | |||||||
Finance Companies – 2.19% | |||||||
# | BM&FBovespa 144A | ||||||
5.50% 7/16/20 | 200,000 | 213,948 | |||||
# | CDP Financial 144A | ||||||
4.40% 11/25/19 | 1,260,000 | 1,344,741 | |||||
5.60% 11/25/39 | 880,000 | 992,339 | |||||
City National Capital Trust I | |||||||
9.625% 2/1/40 | 950,000 | 989,319 | |||||
# | Crown Castle Towers 144A | ||||||
4.883% 8/15/20 | 1,920,000 | 1,987,507 | |||||
# | ERAC USA Finance 144A | ||||||
5.25% 10/1/20 | 1,365,000 | 1,460,797 | |||||
FTI Consulting | |||||||
7.75% 10/1/16 | 5,000 | 5,225 | |||||
General Electric Capital | |||||||
•2.71% 2/2/11 | NOK | 3,500,000 | 593,456 | ||||
6.00% 8/7/19 | USD | 2,780,000 | 3,133,466 | ||||
General Electric Capital | |||||||
Australia Funding | |||||||
•4.93% 11/15/11 | AUD | 500,000 | 475,411 | ||||
•4.98% 8/17/12 | AUD | 600,000 | 564,718 | ||||
•5.046% 7/12/13 | AUD | 1,100,000 | 1,018,883 | ||||
6.00% 3/15/19 | AUD | 440,000 | 396,360 | ||||
@ | General Electric Capital | ||||||
UK Funding | |||||||
4.625% 1/18/16 | GBP | 226,000 | 375,633 | ||||
•# | ILFC E-Capital Trust II 144A | ||||||
6.25% 12/21/65 | USD | 405,000 | 275,400 | ||||
International Lease Finance | |||||||
*5.55% 9/5/12 | 178,000 | 179,113 | |||||
6.625% 11/15/13 | 245,000 | 246,838 | |||||
Nuveen Investments | |||||||
10.50% 11/15/15 | 399,000 | 398,501 | |||||
* | TNK-BP Finance | ||||||
7.50% 3/13/13 | 3,000,000 | 3,273,749 | |||||
Waha Aerospace | |||||||
3.925% 7/28/20 | 2,100,000 | 2,177,106 | |||||
20,102,510 | |||||||
Insurance – 0.71% | |||||||
• | Chubb 6.375% 3/29/67 | 560,000 | 557,200 | ||||
FBL Financial Group | |||||||
5.875% 3/15/17 | 720,000 | 604,994 | |||||
• | Genworth Financial | ||||||
6.15% 11/15/66 | 210,000 | 160,913 | |||||
MetLife 6.817% 8/15/18 | 500,000 | 604,178 | |||||
•# | MetLife Capital Trust X | ||||||
144A 9.25% 4/8/38 | 2,500,000 | 2,962,499 | |||||
# | NLV Financial 144A | ||||||
6.50% 3/15/35 | 385,000 | 324,729 | |||||
Prudential Financial | |||||||
3.875% 1/14/15 | 830,000 | 872,791 | |||||
•# | Symetra Financial 144A | ||||||
8.30% 10/15/37 | 515,000 | 466,719 | |||||
‡=@#w | Twin Reefs Pass Through | ||||||
Trust 144A | |||||||
4.058% 12/31/49 | 300,000 | 0 | |||||
6,554,023 | |||||||
Natural Gas – 0.76% | |||||||
* | AmeriGas Partners | ||||||
7.125% 5/20/16 | 66,000 | 69,135 | |||||
El Paso | |||||||
*6.875% 6/15/14 | 88,000 | 94,525 | |||||
7.00% 6/15/17 | 240,000 | 256,048 | |||||
# | El Paso Performance-Linked | ||||||
Trust 144A | |||||||
7.75% 7/15/11 | 123,000 | 127,954 | |||||
Enterprise Products Operating | |||||||
*5.20% 9/1/20 | 910,000 | 987,311 | |||||
•7.034% 1/15/68 | 475,000 | 473,290 | |||||
9.75% 1/31/14 | 790,000 | 968,187 | |||||
Inergy Finance | |||||||
8.25% 3/1/16 | 116,000 | 122,380 | |||||
8.75% 3/1/15 | 35,000 | 37,931 | |||||
Ras Laffan Liquefied | |||||||
Natural Gas II | |||||||
5.298% 9/30/20 | 3,000,000 | 3,257,999 |
18
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Natural Gas (continued) | |||||||
# | Ras Laffan Liquefied | ||||||
Natural Gas III 144A | |||||||
5.832% 9/30/16 | USD | 400,000 | $ | 437,467 | |||
Regency Energy Partners | |||||||
8.375% 12/15/13 | 99,000 | 103,703 | |||||
6,935,930 | |||||||
Real Estate – 0.92% | |||||||
Developers Diversified Realty | |||||||
5.375% 10/15/12 | 531,000 | 532,984 | |||||
*7.50% 4/1/17 | 625,000 | 650,260 | |||||
9.625% 3/15/16 | 145,000 | 161,942 | |||||
# | Digital Realty Trust 144A | ||||||
5.875% 2/1/20 | 425,000 | 452,642 | |||||
Host Marriott 6.375% 3/15/15 | 190,000 | 195,463 | |||||
Liberty Property | |||||||
4.75% 10/1/20 | 365,000 | 368,310 | |||||
ProLogis | |||||||
6.25% 3/15/17 | 695,000 | 683,517 | |||||
7.375% 10/30/19 | 705,000 | 712,635 | |||||
Qatari Diar Finance | |||||||
3.50% 7/21/15 | 2,100,000 | 2,145,255 | |||||
# | Qatari Diar Finance 144A | ||||||
3.50% 7/21/15 | 243,000 | 248,610 | |||||
5.00% 7/21/20 | 486,000 | 512,254 | |||||
Regency Centers | |||||||
4.80% 4/15/21 | 420,000 | 417,602 | |||||
5.875% 6/15/17 | 285,000 | 309,898 | |||||
•# | USB Realty 144A | ||||||
6.091% 12/22/49 | 1,200,000 | 894,000 | |||||
Ventas Realty 6.50% 6/1/16 | 120,000 | 125,387 | |||||
8,410,759 | |||||||
Technology – 0.33% | |||||||
Broadridge Financial Solutions | |||||||
6.125% 6/1/17 | 198,000 | 212,945 | |||||
First Data 9.875% 9/24/15 | 100,000 | 82,250 | |||||
Jabil Circuit 7.75% 7/15/16 | 82,000 | 90,303 | |||||
National Semiconductor | |||||||
6.60% 6/15/17 | 1,150,000 | 1,342,352 | |||||
Sanmina-SCI 8.125% 3/1/16 | 319,000 | 328,570 | |||||
# | Seagate Technology | ||||||
International 144A | |||||||
10.00% 5/1/14 | 600,000 | 711,000 | |||||
# | Unisys 144A 12.75% 10/15/14 | 212,000 | 253,340 | ||||
3,020,760 | |||||||
Transportation – 0.70% | |||||||
# | Ashtead Capital 144A | ||||||
9.00% 8/15/16 | 200,000 | 208,000 | |||||
Burlington Northern Santa Fe | |||||||
*3.60% 9/1/20 | 235,000 | 238,427 | |||||
*4.70% 10/1/19 | 1,415,000 | 1,557,016 | |||||
5.65% 5/1/17 | 380,000 | 439,052 | |||||
Canadian Pacific Railway | |||||||
4.45% 3/15/23 | 660,000 | 675,078 | |||||
w | Continental Airlines 2009-2 | ||||||
Class A Pass Through | |||||||
Trust 7.25% 11/10/19 | 900,000 | 981,000 | |||||
w | Delta Air Lines 2007-1 | ||||||
Class A Pass Through | |||||||
Trust 6.821% 8/10/22 | 406,279 | 426,065 | |||||
Kansas City Southern Railway | |||||||
13.00% 12/15/13 | 2,000 | 2,433 | |||||
@ | Northwest Airlines | ||||||
10.00% 2/1/11 | 65,000 | 332 | |||||
Russian Railways | |||||||
5.739% 4/3/17 | 1,000,000 | 1,056,750 | |||||
w | UAL 2009-1 Pass Through | ||||||
Trust 10.40% 11/1/16 | 487,262 | 543,297 | |||||
# | United Air Lines 144A | ||||||
12.00% 11/1/13 | 282,000 | 313,020 | |||||
6,440,470 | |||||||
Total Corporate Bonds | |||||||
(cost $336,764,948) | 354,962,599 | ||||||
Municipal Bonds – 0.81% | |||||||
Bay Area Toll Authority | |||||||
6.918% 4/1/40 | 800,000 | 866,904 | |||||
7.043% 4/1/50 | 3,000,000 | 3,287,521 | |||||
Los Angeles Community | |||||||
College District | |||||||
6.60% 8/1/42 | 800,000 | 886,120 | |||||
New York City Transitional | |||||||
Finance Authority | |||||||
5.508% 8/1/37 | 700,000 | 732,095 | |||||
New York State | |||||||
Urban Development | |||||||
5.77% 3/15/39 | 800,000 | 861,208 | |||||
Oregon State Taxable Pension | |||||||
5.892% 6/1/27 | 65,000 | 75,886 | |||||
§• | Puerto Rico Sales Tax | ||||||
Financing 1st | |||||||
Subordinate Class B | |||||||
5.00% 8/1/39-11 | 585,000 | 608,318 | |||||
Sacramento County, California | |||||||
Public Financing Authority | |||||||
Revenue (Housing Tax | |||||||
County Project) Series B | |||||||
5.18% 12/1/13 | |||||||
(NATL-RE) (FGIC) | 80,000 | 81,410 | |||||
Total Municipal Bonds | |||||||
(cost $6,898,873) | 7,399,462 |
(continues) 19
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Non-Agency Asset-Backed Securities – 2.37% | |||||||
•# | AH Mortgage Advance | ||||||
Trust Series 2009- | |||||||
ADV3 A1 144A | |||||||
2.214% 10/6/21 | USD | 610,000 | $ | 609,554 | |||
Ally Auto Receivables Trust | |||||||
Series 2010-2 A3 | |||||||
1.38% 7/15/14 | 385,000 | 389,010 | |||||
•# | Ally Master Owner Trust | ||||||
Series 2010-1 A 144A | |||||||
2.007% 1/15/15 | 730,000 | 744,850 | |||||
• | American Express Credit | ||||||
Account Master | |||||||
Trust Series 2010-1 B | |||||||
0.857% 11/16/15 | 405,000 | 404,957 | |||||
• | Bank of America Credit | ||||||
Card Trust | |||||||
Series 2006-A12 A12 | |||||||
0.277% 3/15/14 | 1,000,000 | 998,046 | |||||
Series 2008-A5 A5 | |||||||
1.457% 12/16/13 | 1,245,000 | 1,254,948 | |||||
# | BOA Auto Trust 144A | ||||||
Series 2009-2A A4 | |||||||
3.03% 10/15/16 | 445,000 | 462,980 | |||||
Series 2009-3A A4 | |||||||
2.67% 12/15/16 | 250,000 | 259,578 | |||||
Capital Auto Receivables | |||||||
Asset Trust Series | |||||||
2008-1 A3A | |||||||
3.86% 8/15/12 | 262,536 | 265,773 | |||||
Capital One Multi-Asset | |||||||
Execution Trust | |||||||
Series 2007-A7 A7 | |||||||
5.75% 7/15/20 | 1,760,000 | 2,094,319 | |||||
Centex Home Equity | |||||||
Series 2002-A AF6 | |||||||
5.54% 1/25/32 | 28,062 | 27,935 | |||||
# | CIT Equipment Collateral 144A | ||||||
Series 2009-VT1 A3 | |||||||
3.07% 8/15/16 | 645,000 | 653,337 | |||||
Series 2010-VT1A A3 | |||||||
2.41% 5/15/13 | 350,000 | 353,582 | |||||
• | Citibank Credit Card | ||||||
Issuance Trust | |||||||
Series 2004-C1 C1 | |||||||
0.907% 7/15/13 | 460,000 | 455,625 | |||||
Series 2009-A1 A1 | |||||||
2.007% 3/17/14 | 455,000 | 465,284 | |||||
# | Citibank Omni Master Trust | ||||||
Series 2009-A13 A13 | |||||||
144A 5.35% 8/15/18 | 455,000 | 493,905 | |||||
Citicorp Residential | |||||||
Mortgage Securities | |||||||
Series 2006-3 A4 | |||||||
5.703% 11/25/36 | 900,000 | 909,267 | |||||
Series 2006-3 A5 | |||||||
5.948% 11/25/36 | 900,000 | 763,347 | |||||
CNH Equipment Trust | |||||||
Series 2008-A A3 | |||||||
4.12% 5/15/12 | 19,583 | 19,613 | |||||
Series 2008-A A4A | |||||||
4.93% 8/15/14 | 390,000 | 401,141 | |||||
Series 2008-B A3A | |||||||
4.78% 7/16/12 | 88,975 | 89,525 | |||||
Series 2009-C A3 | |||||||
1.85% 12/16/13 | 260,000 | 263,090 | |||||
Series 2009-C A4 | |||||||
3.00% 8/17/15 | 775,000 | 811,724 | |||||
• | Countrywide Asset- | ||||||
Backed Certificates | |||||||
Series 2006-11 1AF6 | |||||||
6.095% 9/25/46 | 1,398,098 | 713,624 | |||||
Discover Card Master Trust | |||||||
Series 2007-A1 A1 | |||||||
5.65% 3/16/20 | 450,000 | 535,151 | |||||
Series 2008-A4 A4 | |||||||
5.65% 12/15/15 | 620,000 | 694,767 | |||||
# | Dunkin Securitization | ||||||
Series 2006-1 A2 144A | |||||||
5.779% 6/20/31 | 665,000 | 669,079 | |||||
Ford Credit Auto Owner | |||||||
Trust Series 2010-B B | |||||||
2.54% 2/15/16 | 350,000 | 356,551 | |||||
• | Ford Credit Floorplan | ||||||
Master Owner Trust | |||||||
Series 2009-2 A | |||||||
1.807% 9/15/14 | 385,000 | 391,462 | |||||
#Series 2010-1 A 144A | |||||||
1.907% 12/15/14 | 730,000 | 745,084 | |||||
General Electric Capital | |||||||
Credit Card Master Note | |||||||
Trust Series 2009-3 A | |||||||
2.54% 9/15/14 | 590,000 | 600,561 | |||||
Harley-Davidson | |||||||
Motorcycle Trust | |||||||
#Series 2006-1 A2 144A | |||||||
5.04% 10/15/12 | 64,446 | 64,979 | |||||
Series 2008-1 A4 | |||||||
4.90% 12/15/13 | 560,000 | 585,254 | |||||
Series 2009-4 A3 | |||||||
1.87% 2/15/14 | 200,000 | 202,071 | |||||
• | HSI Asset Securization | ||||||
Trust Series 2006-HE1 | |||||||
2A1 0.306% 10/25/36 | 232,573 | 174,606 | |||||
Hyundai Auto | |||||||
Receivables Trust | |||||||
Series 2007-A A3A | |||||||
5.04% 1/17/12 | 9,040 | 9,066 | |||||
Series 2010-B A3 | |||||||
0.97% 4/15/15 | 610,000 | 611,278 | |||||
• | MBNA Credit Card | ||||||
Master Note Trust | |||||||
Series 2002-C3 C3 | |||||||
1.607% 10/15/14 | 520,000 | 517,157 |
20
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Non-Agency Asset-Backed Securities (continued) | |||||||
• | Merrill Auto Trust Securitization | ||||||
Series 2007-1 A4 | |||||||
0.317% 12/15/13 | USD | 132,975 | $ | 132,510 | |||
• | SLM Student Loan Trust | ||||||
Series 2005-4 A2 | |||||||
0.578% 4/26/21 | 796,289 | 794,164 | |||||
• | Vanderbilt Mortgage | ||||||
Finance Series 2001-A | |||||||
A4 7.235% 6/7/28 | 88,178 | 92,669 | |||||
World Omni Auto | |||||||
Receivables Trust | |||||||
Series 2008-A A3A | |||||||
3.94% 10/15/12 | 174,205 | 176,468 | |||||
World Omni Automobile | |||||||
Lease Securitization | |||||||
Trust Series 2009-A A3 | |||||||
1.65% 2/15/13 | 495,000 | 499,255 | |||||
Total Non-Agency | |||||||
Asset-Backed Securities | |||||||
(cost $21,835,070) | 21,757,146 | ||||||
Non-Agency Collateralized Mortgage Obligations – 7.47% | |||||||
• | ARM Trust | ||||||
Series 2004-5 3A1 | |||||||
4.83% 4/25/35 | 3,972,878 | 3,573,211 | |||||
Series 2005-10 3A11 | |||||||
5.343% 1/25/36 | 470,473 | 411,123 | |||||
Series 2005-10 3A31 | |||||||
5.343% 1/25/36 | 1,145,000 | 993,684 | |||||
Series 2006-2 1A4 | |||||||
5.599% 5/25/36 | 1,440,000 | 927,464 | |||||
BOA Alternative Loan Trust | |||||||
Series 2004-10 1CB1 | |||||||
6.00% 11/25/34 | 169,656 | 171,856 | |||||
Series 2004-11 1CB1 | |||||||
6.00% 12/25/34 | 1,574 | 1,474 | |||||
Series 2005-3 2A1 | |||||||
5.50% 4/25/20 | 91,489 | 86,236 | |||||
Series 2005-5 2CB1 | |||||||
6.00% 6/25/35 | 258,055 | 204,695 | |||||
Series 2005-6 7A1 | |||||||
5.50% 7/25/20 | 294,924 | 286,903 | |||||
Series 2005-9 5A1 | |||||||
5.50% 10/25/20 | 265,645 | 275,213 | |||||
BOA Funding Securities | |||||||
Series 2006-5 2A10 | |||||||
5.75% 9/25/36 | 1,150,000 | 945,630 | |||||
Chase Mortgage Finance | |||||||
Series 2003-S8 A2 | |||||||
5.00% 9/25/18 | 179,683 | 185,017 | |||||
•Series 2005-A1 3A1 | |||||||
5.294% 12/25/35 | 547,038 | 483,702 | |||||
• | Chaseflex Trust | ||||||
Series 2006-1 A4 | |||||||
6.30% 6/25/36 | 420,000 | 317,679 | |||||
Citicorp Mortgage Securities | |||||||
Series 2004-8 1A1 | |||||||
5.50% 10/25/34 | 74,651 | 76,527 | |||||
Series 2006-4 3A1 | |||||||
5.50% 8/25/21 | 259,139 | 257,399 | |||||
• | Citigroup Mortgage Loan | ||||||
Trust Series 2004-UST1 | |||||||
A6 5.081% 8/25/34 | 193,808 | 200,309 | |||||
Countrywide Alternative | |||||||
Loan Trust | |||||||
Series 2003-21T1 A2 | |||||||
5.25% 12/25/33 | 359,007 | 363,649 | |||||
Series 2004-1T1 A2 | |||||||
5.50% 2/25/34 | 160,339 | 161,392 | |||||
Series 2004-14T2 A6 | |||||||
5.50% 8/25/34 | 304,562 | 305,926 | |||||
Series 2004-J1 1A1 | |||||||
6.00% 2/25/34 | 9,107 | 9,509 | |||||
Series 2004-J2 7A1 | |||||||
6.00% 12/25/33 | 10,119 | 9,909 | |||||
Series 2008-2R 3A1 | |||||||
6.00% 8/25/37 | 4,347,582 | 3,254,613 | |||||
w | Countrywide Home Loan | ||||||
Mortgage Pass | |||||||
Through Trust | |||||||
•Series 2003-21 A1 | |||||||
2.935% 5/25/33 | 5,744 | 5,024 | |||||
Series 2006-1 A2 | |||||||
6.00% 3/25/36 | 289,819 | 271,253 | |||||
@Series 2006-17 A5 | |||||||
6.00% 12/25/36 | 55,697 | 50,823 | |||||
•Series 2006-HYB1 3A1 | |||||||
5.00% 3/20/36 | 407,859 | 239,950 | |||||
Series 2007-4 1A1 | |||||||
6.00% 5/25/37 | 4,908,224 | 3,757,108 | |||||
Credit Suisse First Boston | |||||||
Mortgage Securities | |||||||
Series 2004-1 3A1 | |||||||
7.00% 2/25/34 | 3,798 | 3,949 | |||||
Credit Suisse Mortgage | |||||||
Capital Certificates | |||||||
#Series 2005-1R 2A5 | |||||||
144A 5.75% 12/26/35 | 6,178,134 | 4,324,694 | |||||
Series 2007-1 5A14 | |||||||
6.00% 2/25/37 | 1,110,927 | 929,987 | |||||
•Series 2007-3 4A6 | |||||||
0.506% 4/25/37 | 3,100,093 | 2,548,382 | |||||
•@Series 2007-3 4A12 | |||||||
6.494% 4/25/37 | 3,100,093 | 417,958 | |||||
Series 2007-3 4A15 | |||||||
5.50% 4/25/37 | 967,266 | 874,705 | |||||
Series 2007-5 3A19 | |||||||
6.00% 8/25/37 | 1,651,772 | 1,463,571 | |||||
Series 2007-5 10A2 | |||||||
6.00% 4/25/29 | 711,865 | 636,138 |
(continues) 21
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||||
•# | Deutsche Mortgage | ||||||
Securities Series | |||||||
2005-WF1 1A3 144A | |||||||
5.21% 6/26/35 | USD | 1,720,000 | $ | 1,527,088 | |||
• | First Horizon Asset Securities | ||||||
Series 2005-AR2 2A1 | |||||||
2.875% 6/25/35 | 441,845 | 386,463 | |||||
GMAC Mortgage Loan | |||||||
Trust Series 2006-J1 | |||||||
A1 5.75% 4/25/36 | 864,730 | 826,292 | |||||
# | GSMPS Mortgage Loan | ||||||
Trust 144A | |||||||
•Series 1998-3 A | |||||||
7.75% 9/19/27 | 17,895 | 18,046 | |||||
•Series 1999-3 A | |||||||
8.00% 8/19/29 | 28,880 | 27,535 | |||||
Series 2005-RP1 1A3 | |||||||
8.00% 1/25/35 | 277,038 | 278,026 | |||||
Series 2005-RP1 1A4 | |||||||
8.50% 1/25/35 | 117,434 | 114,006 | |||||
• | GSR Mortgage Loan Trust | ||||||
Series 2006-AR1 3A1 | |||||||
5.176% 1/25/36 | 272,964 | 242,410 | |||||
• | Indymac Index Mortgage | ||||||
Loan Trust Series | |||||||
2006-AR1 A1 | |||||||
53.679% 8/25/36 | 676,319 | 653,429 | |||||
• | JPMorgan Mortgage Trust | ||||||
Series 2006-A6 2A4L | |||||||
5.53% 10/25/36 | 1,590,000 | 1,406,145 | |||||
Series 2006-A7 2A2 | |||||||
5.765% 1/25/37 | 482,585 | 395,621 | |||||
Series 2007-A1 6A1 | |||||||
4.781% 7/25/35 | 1,502,342 | 1,427,849 | |||||
Lehman Mortgage Trust | |||||||
Series 2005-2 2A3 | |||||||
5.50% 12/25/35 | 135,117 | 131,146 | |||||
Series 2007-10 2A2 | |||||||
6.50% 1/25/38 | 6,018,265 | 5,229,817 | |||||
• | MASTR ARM Trust | ||||||
Series 2003-6 1A2 | |||||||
3.825% 12/25/33 | 4,304 | 3,999 | |||||
Series 2005-6 7A1 | |||||||
5.356% 6/25/35 | 177,034 | 159,735 | |||||
Series 2006-2 4A1 | |||||||
4.978% 2/25/36 | 46,086 | 43,765 | |||||
MASTR Alternative | |||||||
Loans Trust | �� | ||||||
Series 2004-3 8A1 | |||||||
7.00% 4/25/34 | 7,255 | 6,894 | |||||
Series 2004-5 6A1 | |||||||
7.00% 6/25/34 | 106,625 | 105,862 | |||||
MASTR Asset | |||||||
Securitization Trust | |||||||
Series 2003-9 2A7 | |||||||
5.50% 10/25/33 | 317,335 | 327,977 | |||||
Series 2004-4 2A1 | |||||||
5.00% 4/25/34 | 236,177 | 236,289 | |||||
# | MASTR Reperforming Loan | ||||||
Trust 144A | |||||||
Series 2005-1 1A5 | |||||||
8.00% 8/25/34 | 117,029 | 118,131 | |||||
Series 2005-2 1A4 | |||||||
8.00% 5/25/35 | 401,180 | 378,969 | |||||
•# | MASTR Specialized Loan | ||||||
Trust Series 2005-2 A2 | |||||||
144A 5.006% 7/25/35 | 154,859 | 152,597 | |||||
• | Merrill Lynch Mortgage | ||||||
Investors Series | |||||||
2005-A5 A2 | |||||||
2.752% 6/25/35 | 460,000 | 432,081 | |||||
• | Opteum Mortgage | ||||||
Acceptance Series | |||||||
2006-1 2A1 | |||||||
5.75% 4/25/36 | 5,225,345 | 4,705,679 | |||||
Residential Accredit Loans | |||||||
Series 2004-QS2 CB | |||||||
5.75% 2/25/34 | 91,028 | 90,761 | |||||
Residential Funding | |||||||
Mortgage Securities I | |||||||
Series 2004-S9 2A1 | |||||||
4.75% 12/25/19 | 1,129,389 | 1,140,007 | |||||
• | Sequoia Mortgage Trust | ||||||
Series 2007-1 4A1 | |||||||
5.509% 9/20/46 | 2,244,436 | 1,966,382 | |||||
• | Structured ARM Loan Trust | ||||||
Series 2005-22 1A4 | |||||||
5.178% 12/25/35 | 2,120,000 | 721,283 | |||||
Series 2006-1 7A4 | |||||||
5.62% 2/25/36 | 1,305,000 | 771,021 | |||||
Series 2006-5 5A4 | |||||||
5.444% 6/25/36 | 15,621 | 2,940 | |||||
Structured Asset Securities | |||||||
•Series 2002-22H 1A | |||||||
6.951% 11/25/32 | 9,953 | 10,088 | |||||
Series 2005-6 4A1 | |||||||
5.00% 5/25/35 | 312,689 | 312,353 | |||||
w | Washington Mutual | ||||||
Alternative Mortgage | |||||||
Pass Through | |||||||
Certificates | |||||||
Series 2005-1 5A2 | |||||||
6.00% 3/25/35 | 91,210 | 64,297 | |||||
w | Washington Mutual | ||||||
Mortgage Pass | |||||||
Through Certificates | |||||||
Series 2004-CB3 1A | |||||||
6.00% 10/25/34 | 156,226 | 159,127 | |||||
•Series 2005-AR16 1A3 | |||||||
5.014% 12/25/35 | 1,225,000 | 993,006 | |||||
•Series 2007-HY1 3A3 | |||||||
5.777% 2/25/37 | 850,000 | 716,536 | |||||
•Series 2007-HY7 4A1 | |||||||
5.77% 7/25/37 | 2,261,824 | 1,885,694 |
22
Principal | Value | |||||||
Amount° | (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
Wells Fargo Mortgage– | ||||||||
Backed Securities Trust | ||||||||
Series 2005-18 1A1 | ||||||||
5.50% 1/25/36 | USD | 64,476 | $ | 61,340 | ||||
• | Series 2005-AR13 A1 | |||||||
5.289% 5/25/35 | 1,516,261 | 1,505,133 | ||||||
Series 2006-2 3A1 | ||||||||
5.75% 3/25/36 | 443,172 | 424,550 | ||||||
Series 2006-3 A1 | ||||||||
5.50% 3/25/36 | 527,156 | 495,808 | ||||||
Series 2006-3 A11 | ||||||||
5.50% 3/25/36 | 308,000 | 289,681 | ||||||
Series 2006-4 1A8 | ||||||||
5.75% 4/25/36 | 23,207 | 22,792 | ||||||
Series 2006-6 1A3 | ||||||||
5.75% 5/25/36 | 652,355 | 627,187 | ||||||
• | Series 2006-AR5 2A1 | |||||||
5.462% 4/25/36 | 178,506 | 148,994 | ||||||
• | Series 2006-AR11 A6 | |||||||
5.30% 8/25/36 | 2,330,000 | 2,077,356 | ||||||
• | Series 2006-AR17 A1 | |||||||
5.073% 10/25/36 | 1,729,557 | 1,461,334 | ||||||
• | Series 2006-AR19 A1 | |||||||
5.492% 12/25/36 | 734,905 | 671,472 | ||||||
Series 2007-10 1A36 | ||||||||
6.00% 7/25/37 | 3,151,450 | 2,921,709 | ||||||
Series 2007-13 A7 | ||||||||
6.00% 9/25/37 | 426,427 | 402,082 | ||||||
Series 2007-13 A9 | ||||||||
6.00% 9/25/37 | 665,347 | 267,744 | ||||||
Total Non-Agency Collateralized | ||||||||
Mortgage Obligations | ||||||||
(cost $71,948,817) | 68,573,190 | |||||||
Regional Bonds – 1.86%Δ | ||||||||
Australia – 0.84% | ||||||||
New South Wales Treasury | ||||||||
6.00% 5/1/20 | AUD | 6,636,000 | 6,631,435 | |||||
New South Wales Treasury | ||||||||
Inflation-Linked | ||||||||
2.75% 11/20/25 | AUD | 717,000 | 719,889 | |||||
Queensland Treasury | ||||||||
6.00% 6/14/21 | AUD | 379,000 | 382,646 | |||||
7,733,970 | ||||||||
Canada – 1.02% | ||||||||
British Colombia Province | ||||||||
2.85% 6/15/15 | USD | 600,000 | 638,768 | |||||
Nova Scotia Province | ||||||||
2.375% 7/21/15 | 2,135,000 | 2,199,863 | ||||||
Ontario Province | ||||||||
1.875% 9/15/15 | 550,000 | 554,753 | ||||||
4.40% 6/2/19 | CAD | 2,650,000 | 2,766,133 | |||||
* | 4.40% 4/14/20 | USD | 750,000 | 831,051 | ||||
Quebec Province | ||||||||
3.50% 7/29/20 | 1,705,000 | 1,750,353 | ||||||
4.50% 12/1/19 | CAD | 96,000 | 100,485 | |||||
4.60% 5/26/15 | USD | 480,000 | 544,346 | |||||
9,385,752 | ||||||||
Total Regional Bonds | ||||||||
(cost $16,023,491) | 17,119,722 | |||||||
«Senior Secured Loans – 1.59% | ||||||||
Affinion Group Tranche B | ||||||||
5.00% 10/7/16 | 103,951 | 102,110 | ||||||
AIG | ||||||||
Tranche 1 6.75% 2/23/15 | 80,769 | 82,255 | ||||||
Tranche 2 7.00% 3/7/16 | 59,231 | 60,267 | ||||||
Allen System 8.50% 10/18/13 | 197,468 | 198,549 | ||||||
Alliance HealthCare Services | ||||||||
5.50% 6/1/16 | 239,397 | 236,505 | ||||||
Allied Security Holdings | ||||||||
6.75% 2/23/15 | 169,807 | 170,656 | ||||||
Anchor Glass Container | ||||||||
6.00% 2/3/16 | 335,052 | 335,471 | ||||||
Aspect Software Tranche B | ||||||||
6.25% 4/19/16 | 139,650 | 139,563 | ||||||
ATI Holdings 7.00% 2/18/16 | 203,551 | 198,293 | ||||||
BE Aerospace 5.75% 7/28/14 | 317,243 | 320,514 | ||||||
Butler Animal Health Tranche B | ||||||||
5.50% 12/31/15 | 103,126 | 103,340 | ||||||
BWAY Holding Tranche B | ||||||||
5.501% 3/28/17 | 177,840 | 178,240 | ||||||
Cengage Learning Acquisitions | ||||||||
7.50% 7/7/14 | 528,305 | 528,801 | ||||||
Charter Communications | ||||||||
Operating 8.50% 3/6/14 | 325,000 | 336,258 | ||||||
Chester Downs & Marina | ||||||||
12.375% 12/31/16 | 621,282 | 627,495 | ||||||
Community Health Systems | ||||||||
Tranche B | ||||||||
4.899% 7/25/14 | 85,624 | 81,369 | ||||||
Tranche DD | ||||||||
2.502% 7/25/14 | 4,376 | 4,159 | ||||||
Delta Air Lines 8.75% 9/16/13 | 291,323 | 295,936 | ||||||
Energy Future Holdings | ||||||||
Tranche B2 | ||||||||
6.579% 10/10/14 | 964,782 | 751,670 | ||||||
Ford Motor Tranche B | ||||||||
3.03% 12/15/13 | 1,447,169 | 1,431,034 | ||||||
Genon Energy Tranche B | ||||||||
6.00% 9/8/17 | 150,000 | 149,836 | ||||||
Graham Packaging | ||||||||
Tranche C 6.75% 4/5/14 | 146,183 | 147,321 | ||||||
Tranche D 6.00% 8/9/16 | 145,000 | 146,424 | ||||||
Gray Television Tranche B | ||||||||
4.25% 12/31/14 | 165,000 | 158,709 |
(continues) 23
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
«Senior Secured Loans (continued) | |||||||
ICL Industrial Containers | |||||||
Tranche C 5.50% 6/16/17 | USD | 16,673 | $ | 16,710 | |||
Infogroup Tranche B | |||||||
6.25% 3/30/16 | 224,438 | 225,195 | |||||
Inventiv Health | |||||||
6.50% 5/7/16 | 120,000 | 120,319 | |||||
Johnsondiversey Tranche B | |||||||
5.50% 11/24/15 | 263,228 | 264,326 | |||||
Level 3 Communications | |||||||
Tranche B | |||||||
11.50% 3/13/14 | 174,000 | 188,519 | |||||
Live Nation Tranche B | |||||||
4.50% 10/20/16 | 278,600 | 276,047 | |||||
Mediacom Broadband | |||||||
Tranche D | |||||||
5.50% 3/31/17 | 315,898 | 313,660 | |||||
MGM Resorts International | |||||||
Tranche E 7.00% 2/21/14 | 140,000 | 120,116 | |||||
Multiplan Tranche B | |||||||
6.50% 7/9/17 | 320,000 | 320,566 | |||||
NBTY Tranche B | |||||||
6.25% 7/14/17 | 185,000 | 187,012 | |||||
New Development Holdings | |||||||
7.00% 4/21/17 | 194,513 | 197,812 | |||||
Newport Television Tranche B | |||||||
9.00% 3/14/16 | 180,000 | 179,625 | |||||
Nuveen Investments 2nd Lien | |||||||
12.50% 7/9/15 | 143,000 | 155,513 | |||||
Phillip-Van Heusen Tranche B | |||||||
4.75% 3/15/16 | 65,671 | 66,272 | |||||
Pinnacle Foods Finance | |||||||
Tranche D | |||||||
6.00% 4/30/14 | 114,713 | 115,295 | |||||
PQ 6.82% 7/30/15 | 692,000 | 641,137 | |||||
Prime Healthcare | |||||||
Services Tranche B | |||||||
7.25% 2/19/15 | 403,988 | 395,908 | |||||
Radnet Management | |||||||
Tranche B | |||||||
5.751% 3/12/16 | 144,000 | 141,435 | |||||
Rental Services 2nd Lien | |||||||
4.04% 10/7/13 | 155,000 | 152,045 | |||||
Reynolds & Reynolds | |||||||
5.25% 4/3/17 | 179,464 | 179,913 | |||||
Reynolds Group Holdings | |||||||
6.50% 3/16/16 | 50,000 | 50,284 | |||||
Rockwood Specialties | |||||||
Tranche H | |||||||
6.00% 5/15/14 | 238,706 | 239,851 | |||||
Roundy’s Supermarkets | |||||||
10.50% 4/5/16 | 296,000 | 301,827 | |||||
Sinclair Television Group | |||||||
Tranche B | |||||||
5.50% 10/29/15 | 490,909 | 494,100 | |||||
Smurfit-Stone Container | |||||||
Enterprises | |||||||
6.75% 1/2/16 | 234,413 | 235,988 | |||||
Spanish Broadcasting Systems | |||||||
2.00% 6/10/12 | 80,000 | 75,267 | |||||
SunGard Data Systems | |||||||
6.75% 2/28/14 | 318,857 | 321,009 | |||||
Telepacific 9.25% 7/27/15 | 487,778 | 490,141 | |||||
Tomkins Tranche B | |||||||
6.25% 9/7/16 | 110,000 | 111,063 | |||||
Toys R US Delaware Tranche B | |||||||
6.00% 8/11/16 | 330,000 | 330,698 | |||||
United 6.25% 3/31/17 | 90,000 | 90,630 | |||||
Universal Health Services | |||||||
Tranche B | |||||||
5.50% 5/16/16 | 185,000 | 186,215 | |||||
Univision Communications | |||||||
Tranche B | |||||||
2.566% 9/29/14 | 306,089 | 269,682 | |||||
Valeant Pharmaceuticals | |||||||
Tranche B 5.50% 6/21/16 | 116,000 | 117,182 | |||||
Tranche DD | |||||||
5.50% 9/21/16 | 29,000 | 29,296 | |||||
Visant 7.50% 9/22/16 | 190,000 | 191,129 | |||||
Total Senior Secured Loans | |||||||
(cost $14,034,211) | 14,576,562 | ||||||
Sovereign Bonds – 8.57%Δ | |||||||
Australia – 0.87% | |||||||
Australian Government Bond | |||||||
4.50% 4/15/20 | AUD | 5,394,000 | 5,027,679 | ||||
6.00% 2/15/17 | AUD | 2,110,000 | 2,159,929 | ||||
Australian Inflation-Linked | |||||||
Bond 3.00% 9/20/25 | AUD | 717,000 | 765,945 | ||||
7,953,553 | |||||||
Brazil – 1.69% | |||||||
# | Banco Nacional de | ||||||
Desenvolvimento | |||||||
Economico e Social 144A | |||||||
6.369% 6/16/18 | USD | 1,500,000 | 1,717,500 | ||||
6.50% 6/10/19 | 2,500,000 | 2,896,875 | |||||
Brazil Government | |||||||
International Bond | |||||||
7.125% 1/20/37 | 820,000 | 1,082,400 | |||||
8.875% 10/14/19 | 820,000 | 1,158,250 | |||||
Brazil Notas do Tesouro | |||||||
Nacional Serie F | |||||||
10.00% 1/1/17 | BRL | 15,800,000 | 8,671,240 | ||||
15,526,265 | |||||||
Canada – 2.21% | |||||||
Canadian Government Bond | |||||||
2.50% 6/1/15 | CAD | 11,700,000 | 11,671,117 | ||||
4.50% 6/1/15 | CAD | 3,600,000 | 3,902,233 |
24
Principal | Value | ||||||||
Amount° | (U.S. $) | ||||||||
Sovereign Bonds (continued) | |||||||||
Canada (continued) | |||||||||
Canada Housing Trust No 1 | |||||||||
2.45% 12/15/15 | CAD | 3,500,000 | $ | 3,434,177 | |||||
Export Development Canada | |||||||||
3.125% 4/24/14 | USD | 1,195,000 | 1,282,415 | ||||||
20,289,942 | |||||||||
Chile – 0.10% | |||||||||
Chile Government | |||||||||
International Bond | |||||||||
5.50% 8/5/20 | CLP | 434,000,000 | 954,997 | ||||||
954,997 | |||||||||
Colombia – 0.09% | |||||||||
Colombia Government | |||||||||
International Bond | |||||||||
7.75% 4/14/21 | USD | 522,000,000 | 341,378 | ||||||
10.375% 1/28/33 | 310,000 | 499,100 | |||||||
840,478 | |||||||||
Indonesia – 0.61% | |||||||||
Indonesia Treasury Bond | |||||||||
10.50% 8/15/30 | IDR | 12,120,000,000 | 1,629,923 | ||||||
11.00% 11/15/20 | IDR | 18,290,000,000 | 2,541,678 | ||||||
12.80% 6/15/21 | IDR | 9,000,000,000 | 1,383,655 | ||||||
5,555,256 | |||||||||
Japan – 0.13% | |||||||||
* | Japan Finance | ||||||||
1.875% 9/24/15 | USD | 1,200,000 | 1,211,968 | ||||||
1,211,968 | |||||||||
Norway – 1.82% | |||||||||
Eksportfinans | |||||||||
3.00% 11/17/14 | 1,000,000 | 1,055,428 | |||||||
5.50% 5/25/16 | 2,340,000 | 2,736,241 | |||||||
# | Kommunalbanken 144A | ||||||||
1.75% 10/5/15 | 1,080,000 | 1,080,410 | |||||||
Norwegian Government | |||||||||
Bond | |||||||||
4.25% 5/19/17 | NOK | 11,550,000 | 2,127,223 | ||||||
4.50% 5/22/19 | NOK | 26,386,000 | 4,961,565 | ||||||
5.00% 5/15/15 | NOK | 25,050,000 | 4,703,388 | ||||||
16,664,255 | |||||||||
Panama – 0.10% | |||||||||
Panama Government | |||||||||
International Bond | |||||||||
7.125% 1/29/26 | USD | 340,000 | 433,500 | ||||||
7.25% 3/15/15 | 355,000 | 426,000 | |||||||
859,500 | |||||||||
Peru – 0.09% | |||||||||
Peruvian Government | |||||||||
International Bond | |||||||||
7.125% 3/30/19 | 670,000 | 842,525 | |||||||
842,525 | |||||||||
Philippines – 0.17% | |||||||||
Philippine Government | |||||||||
International Bond | |||||||||
4.95% 1/15/21 | PHP | 25,000,000 | 585,040 | ||||||
6.375% 10/23/34 | USD | 400,000 | 468,000 | ||||||
* | 6.50% 1/20/20 | 400,000 | 481,000 | ||||||
1,534,040 | |||||||||
Poland – 0.09% | |||||||||
Poland Government | |||||||||
International Bond | |||||||||
6.375% 7/15/19 | 715,000 | 845,967 | |||||||
845,967 | |||||||||
Qatar – 0.32% | |||||||||
Qatar Government | |||||||||
International Bond | |||||||||
4.00% 1/20/15 | 2,800,000 | 2,968,000 | |||||||
2,968,000 | |||||||||
Republic of Korea – 0.14% | |||||||||
Government of South | |||||||||
Korea 4.25% 12/7/21 | EUR | 220,000 | 304,700 | ||||||
@ | Inflation Linked Korea | ||||||||
Treasury Bond | |||||||||
2.75% 6/10/20 | KRW | 666,117,375 | 637,872 | ||||||
# | Korea Expressway 144A | ||||||||
4.50% 3/23/15 | USD | 350,000 | 369,586 | ||||||
1,312,158 | |||||||||
Sweden – 0.14% | |||||||||
Svensk Exportkredit | |||||||||
3.25% 9/16/14 | 1,235,000 | 1,317,869 | |||||||
1,317,869 | |||||||||
Total Sovereign Bonds | |||||||||
(cost $74,616,869) | 78,676,773 | ||||||||
Supranational Banks – 1.12% | |||||||||
Asian Development Bank | |||||||||
6.00% 1/20/15 | AUD | 417,000 | 411,544 | ||||||
European Bank for | |||||||||
Reconstruction | |||||||||
& Development | |||||||||
6.75% 5/12/17 | RUB | 15,000,000 | 491,565 | ||||||
European Investment Bank | |||||||||
6.125% 1/23/17 | AUD | 310,000 | 303,299 | ||||||
9.00% 12/21/18 | ZAR | 8,200,000 | 1,244,858 | ||||||
Inter-American | |||||||||
Development Bank | |||||||||
4.25% 9/14/15 | USD | 500,000 | 565,187 | ||||||
International Bank for | |||||||||
Reconstruction & | |||||||||
Development | |||||||||
2.375% 5/26/15 | 495,000 | 518,657 | |||||||
3.375% 4/30/15 | NOK | 3,970,000 | 682,874 | ||||||
3.625% 6/22/20 | NOK | 4,020,000 | 689,412 |
(continues) 25
Statements of net assets
Optimum Fixed Income Fund
Principal | Value | ||||||||||
Amount° | (U.S. $) | ||||||||||
Supranational Banks (continued) | |||||||||||
International Bank for | |||||||||||
Reconstruction & | |||||||||||
Development | |||||||||||
5.375% 12/15/14 | NZD | 2,738,000 | $ | 2,097,516 | |||||||
5.75% 2/17/15 | AUD | 74,000 | 71,939 | ||||||||
5.75% 10/21/19 | AUD | 1,480,000 | 1,443,585 | ||||||||
6.00% 2/15/17 | AUD | 530,000 | 520,406 | ||||||||
International Finance | |||||||||||
5.75% 3/16/15 | AUD | 1,278,000 | 1,248,689 | ||||||||
Total Supranational Banks | |||||||||||
(cost $9,389,766) | 10,289,531 | ||||||||||
U.S. Treasury Obligations – 10.80% | |||||||||||
U.S. Treasury Bills | |||||||||||
0.09% 10/7/10 | USD | 13,300,000 | 13,299,761 | ||||||||
0.12% 10/21/10 | 5,300,000 | 5,299,645 | |||||||||
0.21% 12/2/10 | 7,800,000 | 7,798,385 | |||||||||
0.25% 10/14/10 | 9,800,000 | 9,799,657 | |||||||||
U.S. Treasury Bond | |||||||||||
4.375% 5/15/40 | 115,000 | 129,178 | |||||||||
U.S. Treasury Notes | |||||||||||
∞* | 2.625% 8/15/20 | 1,655,000 | 1,670,774 | ||||||||
3.125% 5/15/19 | 14,300,000 | 15,197,111 | |||||||||
3.25% 12/31/16 | 20,600,000 | 22,484,590 | |||||||||
3.375% 11/15/19 | 1,900,000 | 2,047,102 | |||||||||
3.625% 8/15/19 | 19,500,000 | 21,446,958 | |||||||||
Total U.S. Treasury Obligations | |||||||||||
(cost $96,208,529) | 99,173,161 | ||||||||||
Number of | |||||||||||
Shares | |||||||||||
Common Stock – 0.05% | |||||||||||
† | Alliance HealthCare Services | 26,414 | 120,976 | ||||||||
† | Century Communications | 1,975,000 | 0 | ||||||||
† | Delta Air Lines | 11 | 128 | ||||||||
† | DIRECTV Class A | 4,300 | 179,040 | ||||||||
† | Flextronics International | 7,200 | 43,488 | ||||||||
† | GeoEye | 1,900 | 76,912 | ||||||||
† | Mirant | 121 | 1,205 | ||||||||
*† | Mobile Mini | 4,903 | 75,212 | ||||||||
=∏† | PT Holdings | 295 | 3 | ||||||||
Total Common Stock | |||||||||||
(cost $675,387) | 496,964 | ||||||||||
Preferred Stock – 0.13% | |||||||||||
Citigroup Capital XX | 10,825 | 278,203 | |||||||||
• | PNC Funding 8.25% | 875,000 | 938,166 | ||||||||
=† | Port Townsend | 59 | 0 | ||||||||
Total Preferred Stock | |||||||||||
(cost $1,146,256) | 1,216,369 | ||||||||||
Warrant – 0.00% | |||||||||||
=† | Port Townsend | 59 | $ | 1 | |||||||
Total Warrant (cost $1,416) | 1 | ||||||||||
Principal | |||||||||||
Amount° | |||||||||||
≠Discount Note – 6.63% | |||||||||||
Federal Home Loan Bank | |||||||||||
0.007% 10/1/10 | USD | 60,825,028 | 60,825,028 | ||||||||
Total Discount Note | |||||||||||
(cost $60,825,028) | 60,825,028 | ||||||||||
Total Value of Securities | |||||||||||
Before Securities | |||||||||||
Lending Collateral – 105.63% | |||||||||||
(cost $929,472,815) | 969,725,751 | ||||||||||
Number of | |||||||||||
Shares | |||||||||||
Securities Lending Collateral** – 5.06% | |||||||||||
Investment Companies | |||||||||||
BNY Mellon Securities Lending | |||||||||||
Overnight Fund | 45,514,089 | 45,514,089 | |||||||||
BNY Mellon SL DBT II | |||||||||||
Liquidating Fund | 906,890 | 878,505 | |||||||||
@† | Mellon GSL Reinvestment Trust II | 1,262,112 | 65,251 | ||||||||
Total Securities Lending Collateral | |||||||||||
(cost $47,683,091) | 46,457,845 | ||||||||||
Total Value of Securities – 110.69% | |||||||||||
(cost $977,155,906) | 1,016,183,596 | © | |||||||||
Obligation to Return Securities | |||||||||||
Lending Collateral** – (5.19%) | (47,683,091 | ) | |||||||||
Liabilities Net of Receivables | |||||||||||
and Other Assets – (5.50%) | (50,457,197 | ) | |||||||||
Net Assets Applicable to | |||||||||||
94,460,761 Shares | |||||||||||
Outstanding – 100.00% | $ | 918,043,308 | |||||||||
Net Asset Value – Optimum Fixed Income Fund | |||||||||||
Class A ($40,755,056 / 4,194,703 Shares) | $9.72 | ||||||||||
Net Asset Value – Optimum Fixed Income Fund | |||||||||||
Class B ($5,391,752 / 556,242 Shares) | $9.69 | ||||||||||
Net Asset Value – Optimum Fixed Income Fund | |||||||||||
Class C ($171,053,559 / 17,646,651 Shares) | $9.69 | ||||||||||
Net Asset Value – Optimum Fixed Income Fund | |||||||||||
Institutional Class ($700,842,941 / 72,063,165 Shares) | $9.73 |
26
Components of Net Assets at September 30, 2010: | |||
Shares of beneficial interest | |||
(unlimited authorization – no par) | $ | 876,854,590 | |
Undistributed net investment income | 16,977,604 | ||
Accumulated net realized loss on investments | (13,651,835 | ) | |
Net unrealized appreciation of investments and | |||
foreign currencies | 37,862,949 | ||
Total net assets | $ | 918,043,308 |
°Principal amount shown is stated in the currency in which each security is denominated.
AUD — Australian Dollar
BRL — Brazilian Real
CAD — Canadian Dollar
CLP — Chilean Peso
EUR — European Monetary Unit
GBP — British Pound Sterling
IDR — Indonesia Rupiah
KRW — South Korean Won
MXN — Mexican Peso
MYR — Malaysian Ringgit
NOK — Norwegian Kroner
NZD — New Zealand Dollar
PHP — Philippine Peso
RUB — Russian Ruble
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand
BRL — Brazilian Real
CAD — Canadian Dollar
CLP — Chilean Peso
EUR — European Monetary Unit
GBP — British Pound Sterling
IDR — Indonesia Rupiah
KRW — South Korean Won
MXN — Mexican Peso
MYR — Malaysian Ringgit
NOK — Norwegian Kroner
NZD — New Zealand Dollar
PHP — Philippine Peso
RUB — Russian Ruble
TRY — Turkish Lira
USD — United States Dollar
ZAR — South African Rand
• | Variable rate security. The rate shown is the rate as of September 30, 2010. |
@ | Illiquid security. At September 30, 2010, the aggregate amount of illiquid securities was $20,046,496, which represented 2.18% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
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. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2010, the aggregate amount of Rule 144A securities was $121,024,942, which represented 13.18% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
* | Fully or partially on loan. |
Φ | Step coupon bond. Coupon decreases periodically based on a predetermined schedule. Stated rate in effect at September 30, 2010. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At September 30, 2010, the aggregate amount of fair valued securities was $62,695, which represented 0.01% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
‡ | Non-income producing security. Security is currently in default. |
§ | Pre-Refunded bonds. Municipal bonds that are generally backed or secured by U.S. Treasury bonds. For Pre-Refunded Bonds, the stated maturity is followed by the year in which the bond is pre-refunded. |
Δ | Securities have been classified by country of origin. |
« | 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. Stated rate in effect at September 30, 2010. |
¥ | Fully or partially pledged as collateral for futures contracts. |
† | Non income producing security. |
∏ | 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, 2010, the aggregate amount of restricted securities was $3 or 0.00% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
# | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
© | Includes $45,648,120 of securities loaned. |
Summary of Abbreviations:
ARM — Adjustable Rate Mortgage
BCLY — Barclays Bank
BOA — Bank of America
CDS — Credit Default Swap
CITI — Citigroup Global Markets
CMB — Chase Manhattan Bank
FGIC — Insured by the Financial Guaranty Insurance Company
GNMA — Government National Mortgage Association
GSC — Goldman Sachs Capital
GSMPS — Goldman Sachs Reperforming Mortgage Securities
HKSB — Hong Kong Shanghai Bank
JPMS — JPMorgan Securities
MASTR — Mortgage Asset Securitization Transactions, Inc.
MSC — Morgan Stanley Capital
NATL-RE — Insured by the National Public Finance Guarantee Corporation
PIK — Pay-in-kind
REIT — Real Estate Investment Trust
REMIC — Real Estate Mortgage Investment Conduit
S.F. — Single Family
TBA — To be announced
BCLY — Barclays Bank
BOA — Bank of America
CDS — Credit Default Swap
CITI — Citigroup Global Markets
CMB — Chase Manhattan Bank
FGIC — Insured by the Financial Guaranty Insurance Company
GNMA — Government National Mortgage Association
GSC — Goldman Sachs Capital
GSMPS — Goldman Sachs Reperforming Mortgage Securities
HKSB — Hong Kong Shanghai Bank
JPMS — JPMorgan Securities
MASTR — Mortgage Asset Securitization Transactions, Inc.
MSC — Morgan Stanley Capital
NATL-RE — Insured by the National Public Finance Guarantee Corporation
PIK — Pay-in-kind
REIT — Real Estate Investment Trust
REMIC — Real Estate Mortgage Investment Conduit
S.F. — Single Family
TBA — To be announced
yr — Year
Net Asset Value and Offering Price Per Share – | ||
Optimum Fixed Income Fund | ||
Net asset value Class A (A) | $ | 9.72 |
Sales charge (4.50% of offering price) (B) | 0.46 | |
Offering price | $ | 10.18 |
(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. |
(continues) 27
Statements of net assets
Optimum Fixed Income Fund
1 | The following foreign currency exchange contracts, futures contracts, swap contracts and swaptions were outstanding at September 30, 2010: |
Foreign Currency Exchange Contracts | ||||||||||||||
Unrealized | ||||||||||||||
Contracts to | Settlement | Appreciation | ||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | (Depreciation) | ||||||||||
BCLY | CAD | (4,095,334 | ) | USD | 3,945,092 | 10/29/10 | $ | (32,632 | ) | |||||
BCLY | GBP | (943,061 | ) | USD | 1,460,000 | 10/29/10 | (21,179 | ) | ||||||
BOA | AUD | (3,880,256 | ) | USD | 3,547,214 | 10/29/10 | (190,141 | ) | ||||||
BOA | CAD | (2,108,303 | ) | USD | 2,033,942 | 10/29/10 | (13,815 | ) | ||||||
BOA | EUR | (631,234 | ) | USD | 803,299 | 10/29/10 | (57,107 | ) | ||||||
BOA | MXN | 9,862,420 | USD | (755,365 | ) | 10/29/10 | 25,445 | |||||||
BOA | NOK | (28,445,665 | ) | USD | 4,582,563 | 10/29/10 | (247,950 | ) | ||||||
CITI | GBP | (632,801 | ) | USD | 980,000 | 10/29/10 | (13,882 | ) | ||||||
CITI | NOK | (8,990,053 | ) | USD | 1,453,466 | 10/29/10 | (73,183 | ) | ||||||
CMB | BRL | 4,176,780 | USD | (2,401,138 | ) | 10/29/10 | 49,686 | |||||||
CMB | CLP | 787,933,750 | USD | (1,580,609 | ) | 10/29/10 | 51,467 | |||||||
CMB | EUR | (1,071,867 | ) | USD | 1,372,187 | 10/29/10 | (88,828 | ) | ||||||
CMB | MYR | 8,894,719 | USD | (2,856,364 | ) | 10/29/10 | 19,128 | |||||||
CMB | NZD | (1,744,260 | ) | USD | 1,257,611 | 10/29/10 | (19,629 | ) | ||||||
CMB | TRY | 587,301 | USD | (384,863 | ) | 10/28/10 | 19,173 | |||||||
GSC | CAD | 1,778,623 | USD | (1,713,543 | ) | 10/29/10 | 14,002 | |||||||
GSC | NOK | (17,322,729 | ) | USD | 2,799,181 | 10/29/10 | (142,486 | ) | ||||||
HKSB | AUD | (7,617,118 | ) | USD | 6,958,009 | 10/29/10 | (378,587 | ) | ||||||
HKSB | CAD | 1,796,883 | USD | (1,730,168 | ) | 10/29/10 | 15,113 | |||||||
HKSB | EUR | (2,105,413 | ) | USD | 2,682,254 | 10/29/10 | (187,540 | ) | ||||||
HKSB | NOK | (9,562,449 | ) | USD | 1,542,293 | 10/29/10 | (81,558 | ) | ||||||
MSC | AUD | (6,516,138 | ) | USD | 5,958,943 | 10/29/10 | (317,220 | ) | ||||||
MSC | CAD | (835,389 | ) | USD | 805,582 | 10/29/10 | (5,816 | ) | ||||||
MSC | EUR | 162,128 | USD | (206,695 | ) | 10/29/10 | 14,294 | |||||||
MSC | KRW | 700,562,000 | USD | (597,494 | ) | 10/29/10 | 16,171 | |||||||
MSC | MYR | (5,098,098 | ) | USD | 1,636,944 | 10/29/10 | (11,174 | ) | ||||||
MSC | MXN | 2,142,936 | USD | 164,632 | 10/29/10 | 5,024 | ||||||||
MSC | NOK | (3,439,759 | ) | USD | 554,992 | 10/29/10 | (29,132 | ) | ||||||
MSC | TRY | 588,666 | USD | (386,137 | ) | 10/28/10 | 18,838 | |||||||
$ | (1,663,518 | ) |
Futures Contracts | ||||||||||||||
Notional | Notional | Expiration | Unrealized | |||||||||||
Contracts to Buy | Cost | Value | Date | Appreciation | ||||||||||
5 Canadian | ||||||||||||||
10 yr Bond | $ | 598,304 | $ | 614,637 | 12/20/10 | $ | 16,333 | |||||||
13 Euro-Bond | 664,876 | 716,740 | 12/08/10 | 51,864 | ||||||||||
4 Long Gilt | 2,482,325 | 2,538,907 | 12/29/10 | 56,582 | ||||||||||
147 U.S. Treasury | ||||||||||||||
5 yr Notes | 17,728,645 | 17,767,477 | 12/31/10 | 38,832 | ||||||||||
$ | 21,474,150 | $ | 163,611 |
Swap Contracts | |||||||||||||
CDS Contracts | |||||||||||||
Annual | Unrealized | ||||||||||||
Swap & | Notional | Protection | Termination | Appreciation | |||||||||
Counterparty | Referenced Obligation | Value | Payments | Date | (Depreciation) | ||||||||
Protection Purchased: | |||||||||||||
BOA | Sunoco 5 yr CDS | $ | 340,000 | 1.00% | 12/20/15 | $ | (1,365 | ) | |||||
ITRAXX Europe | |||||||||||||
Sub Financials | |||||||||||||
BCLY | 5 yr CDS | 3,800,000 | 1.00% | 6/20/15 | 22,418 | ||||||||
BCLY | 5 yr CDS | 375,000 | 1.00% | 6/20/15 | (3,727 | ) | |||||||
BCLY | 5 yr CDS | 1,320,000 | 1.00% | 6/20/15 | (20,227 | ) | |||||||
Kingdom of Spain | |||||||||||||
BCLY | 5 yr CDS | 2,600,000 | 1.00% | 3/20/15 | 100,727 | ||||||||
BCLY | 5 yr CDS | 580,000 | 1.00% | 3/20/15 | 19,692 | ||||||||
ITRAXX Europe | |||||||||||||
Sub Financials | |||||||||||||
JPMS | 5 yr CDS | 3,700,000 | 1.00% | 6/20/15 | (93,868 | ) | |||||||
JPMS | 5 yr CDS | 1,500,000 | 1.00% | 6/20/15 | (45,190 | ) | |||||||
Penney (J.C.) | |||||||||||||
JPMS | 5 yr CDS | 355,000 | 1.00% | 3/20/15 | 9,011 | ||||||||
JPMS | 5 yr CDS | 360,000 | 1.00% | 3/20/15 | 8,691 | ||||||||
JPMS | 5 yr CDS | 540,000 | 1.00% | 3/20/15 | 15,224 | ||||||||
Portuguese Republic | |||||||||||||
JPMS | 5 yr CDS | 1,648,000 | 1.00% | 6/20/15 | 176,905 | ||||||||
JPMS | Sunoco 5 yr CDS | 630,000 | 1.00% | 3/20/15 | 6,591 | ||||||||
JPMS | Viacom 5 yr CDS | 1,225,000 | 1.00% | 9/20/15 | (10,869 | ) | |||||||
$ | 18,973,000 | $ | 184,013 | ||||||||||
Protection Sold / Moody’s Rating: | |||||||||||||
Valero Energy | |||||||||||||
BOA | 5 yr CDS / Baa | $ | 340,000 | 1.00% | 9/21/15 | $ | (2,510 | ) | |||||
CITI | MetLife 5 yr CDS / A | 350,000 | 5.00% | 9/20/14 | 15,298 | ||||||||
JPMS | Comcast 5 yr CDS / Baa | 1,225,000 | 1.00% | 9/20/15 | 5,525 | ||||||||
Valero Energy | |||||||||||||
JPMS | 5 yr CDS / Baa | 630,000 | 1.00% | 3/20/15 | (5,678 | ) | |||||||
$ | 2,545,000 | $ | 12,635 | ||||||||||
Total | $ | 196,648 |
28
Options Contracts | |||||||||||||
Swaptions | |||||||||||||
Unrealized | |||||||||||||
Notional | Exercise | Expiration | Appreciation | ||||||||||
Counterparty | Description | Amount | Rate | Date | (Depreciation) | ||||||||
Put: | |||||||||||||
MSC | CDX.IG-14 5 yr | $ | 1,200,000 | 1.50% | 12/15/10 | $ | 2,281 | ||||||
MSC | Interest Rate 5 yr | 3,100,000 | 1.95% | 10/29/10 | 10,705 | ||||||||
MSC | Interest Rate 5 yr | 28,500,000 | 2.10% | 12/13/10 | 98,839 | ||||||||
MSC | iTRAXX Europe 13 5 yr | 2,700,000 | 1.60% | 12/15/10 | 4,340 | ||||||||
Call: | |||||||||||||
MSC | CDX.IG-14 5 yr | 1,200,000 | 0.90% | 12/15/10 | 1,392 | ||||||||
MSC | Interest Rate Swap 5 yr | 3,100,000 | 1.45% | 10/29/10 | (363 | ) | |||||||
MSC | Interest Rate Swap 5 yr | 28,500,000 | 1.50% | 12/13/10 | (53,627 | ) | |||||||
MSC | iTRAXX Europe 13 5 yr | 2,700,000 | 0.90% | 12/15/10 | 6,350 | ||||||||
$ | 71,000,000 | $ | 69,917 |
The use of foreign currency exchange contracts, futures contracts, swap contracts and swaptions 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, which are an integral part of the financial statements.
(continues) 29
Statements of net assets
Optimum International Fund
September 30, 2010 (Unaudited)
September 30, 2010 (Unaudited)
Number of | Value | ||||||
Shares | (U.S. $) | ||||||
Common Stock – 94.61%Δ | |||||||
Australia – 3.53% | |||||||
Amcor | 155,596 | $ | 979,149 | ||||
Foster’s Group | 172,558 | 1,022,504 | |||||
OZ Minerals | 520,600 | 732,211 | |||||
Qantas Airways | 353,500 | 953,373 | |||||
QBE Insurance Group | 67,468 | 1,125,662 | |||||
Telstra | 510,769 | 1,293,585 | |||||
Wesfarmers | 32,137 | 1,021,735 | |||||
7,128,219 | |||||||
Austria – 0.20% | |||||||
Erste Group Bank | 9,900 | 396,412 | |||||
396,412 | |||||||
Belgium – 0.52% | |||||||
†w | Ageas Strip VVPR | 48,482 | 66 | ||||
Anheuser-Busch InBev | 17,900 | 1,053,031 | |||||
1,053,097 | |||||||
Brazil – 1.62% | |||||||
Banco Santander Brasil ADR | 21,700 | 298,809 | |||||
BM&FBovespa | 85,900 | 718,179 | |||||
* | Cemig ADR | 38,755 | 635,194 | ||||
† | Hypermarcas | 47,900 | 734,204 | ||||
PDG Realty Empreendimentos e | |||||||
Participacoes | 24,400 | 289,864 | |||||
Tractebel Energia | 40,000 | 597,526 | |||||
3,273,776 | |||||||
Canada – 7.42% | |||||||
Agrium | 15,000 | 1,124,850 | |||||
Barrick Gold | 24,500 | 1,132,253 | |||||
* | Baytex Energy Trust | 25,800 | 934,557 | ||||
Canadian National Railway | 16,400 | 1,048,809 | |||||
Canadian Natural Resources | 17,600 | 608,790 | |||||
* | Crescent Point Energy | 25,000 | 921,129 | ||||
Eldorado Gold | 55,000 | 1,016,717 | |||||
Enbridge | 10,800 | 565,664 | |||||
Magna International Class A | 7,600 | 625,176 | |||||
Niko Resources | 6,000 | 590,495 | |||||
† | Pacific Rubiales Energy | 32,800 | 922,251 | ||||
Pan American Silver | 26,800 | 793,012 | |||||
* | Royal Bank of Canada | 13,000 | 677,102 | ||||
† | Silver Wheaton | 32,400 | 863,460 | ||||
Suncor Energy | 27,200 | 885,606 | |||||
Toronto-Dominion Bank | 10,200 | 738,060 | |||||
* | TransCanada | 30,000 | 1,112,936 | ||||
† | Viterra | 47,700 | 416,315 | ||||
14,977,182 | |||||||
nChina – 4.59% | |||||||
Angang Steel Class H | 8,600 | 13,811 | |||||
Cheung Kong Holdings | 77,000 | 1,167,073 | |||||
China Construction Bank Class H | 746,200 | 653,979 | |||||
* | China Merchants Bank Class H | 286,800 | 739,280 | ||||
China Mobile | 55,900 | 572,408 | |||||
CNOOC ADR | 3,100 | 602,330 | |||||
Hang Seng Bank | 22,800 | 335,290 | |||||
Hong Kong Electric Holdings | 91,500 | 556,036 | |||||
Jardine Matheson Holdings | 15,200 | 686,128 | |||||
*† | Melco Crown Entertainment ADR | 88,800 | 451,992 | ||||
New World Development | 318,700 | 642,419 | |||||
Orient Overseas International | 75,200 | 599,941 | |||||
* | REXLot Holdings | 3,397,500 | 324,034 | ||||
* | Sinopharm Group | 34,000 | 140,445 | ||||
Tencent Holdings | 34,100 | 745,384 | |||||
Want Want China Holdings | 666,800 | 618,768 | |||||
Wing Hang Bank | 34,800 | 417,345 | |||||
9,266,663 | |||||||
Denmark – 1.30% | |||||||
Carlsberg Class B | 7,600 | 792,528 | |||||
FLSmidth | 18,300 | 1,337,167 | |||||
Tryg | 8,100 | 487,092 | |||||
2,616,787 | |||||||
Finland – 0.39% | |||||||
Fortum | 29,800 | 779,648 | |||||
779,648 | |||||||
France – 6.82% | |||||||
* | AXA | 19,300 | 337,460 | ||||
* | BNP Paribas | 11,400 | 810,836 | ||||
* | Cap Gemini | 12,600 | 632,158 | ||||
* | Carrefour | 34,817 | 1,870,941 | ||||
Compagnie de Saint-Gobain | 20,227 | 899,821 | |||||
France Telecom | 74,429 | 1,608,344 | |||||
* | GDF Suez | 24,400 | 873,558 | ||||
†w | GDF Suez Strip VVPR | 8,820 | 12 | ||||
* | Sanofi-Aventis | 28,998 | 1,932,244 | ||||
* | Societe Generale | 17,142 | 987,406 | ||||
* | Total | 33,455 | 1,724,319 | ||||
Unibail-Rodamco | 3,000 | 665,247 | |||||
* | Vinci | 14,002 | 701,926 | ||||
Vivendi | 26,700 | 729,849 | |||||
13,774,121 | |||||||
Germany – 6.93% | |||||||
Bayerische Motoren Werke | 13,400 | 939,569 | |||||
Deutsche Boerse | 3,900 | 260,377 | |||||
Deutsche Lufthansa | 55,000 | 1,009,288 | |||||
Deutsche Post | 67,400 | 1,228,566 | |||||
Deutsche Telekom | 149,536 | 2,050,931 | |||||
Fresenius Medical Care | 20,200 | 1,247,134 | |||||
Gerry Weber International | 14,304 | 590,209 | |||||
† | Kabel Deutschland Holding | 8,100 | 318,926 | ||||
Merck | 13,400 | 1,127,921 | |||||
Metro | 13,900 | 908,301 | |||||
RWE | 34,241 | 2,318,251 | |||||
SAP ADR | 17,900 | 882,649 |
30
Number of | Value | ||||||
Shares | (U.S. $) | ||||||
Common Stock (continued) | |||||||
Germany (continued) | |||||||
Siemens | 7,300 | $ | 772,111 | ||||
Software | 2,900 | 349,627 | |||||
14,003,860 | |||||||
Gilbraltar – 0.26% | |||||||
† | PartyGaming | 119,800 | 518,490 | ||||
518,490 | |||||||
Indonesia – 0.76% | |||||||
Adaro Energy | 4,280,300 | 971,161 | |||||
Bank Mandiri | 687,400 | 554,541 | |||||
1,525,702 | |||||||
Ireland – 0.61% | |||||||
Covidien | 14,400 | 578,736 | |||||
Experian | 60,886 | 662,847 | |||||
1,241,583 | |||||||
Italy – 2.14% | |||||||
Assicurazioni Generali | 1 | 20 | |||||
* | Benetton Group | 43,400 | 332,828 | ||||
ENI | 42,358 | 914,163 | |||||
* | Fondiaria-Sai | 33,100 | 334,390 | ||||
Intesa Sanpaolo | 555,288 | 1,803,677 | |||||
Parmalat | 191,200 | 490,586 | |||||
UniCredit | 176,649 | 451,082 | |||||
4,326,746 | |||||||
Japan – 16.01% | |||||||
Asahi Breweries | 26,300 | 526,221 | |||||
* | Astellas Pharma | 43,800 | 1,582,184 | ||||
Bridgestone | 39,800 | 725,284 | |||||
Canon | 53,200 | 2,482,646 | |||||
* | Chiba Bank | 59,900 | 349,503 | ||||
* | DA Office Investment | 40 | 104,235 | ||||
* | Honda Motor | 38,800 | 1,377,397 | ||||
* | HOYA | 28,000 | 682,681 | ||||
* | ITOCHU | 162,000 | 1,482,873 | ||||
Japan Prime Realty Investment | 100 | 220,212 | |||||
* | Japan Tobacco | 220 | 732,499 | ||||
JSR | 50,900 | 866,578 | |||||
Kamigumi | 58,700 | 436,039 | |||||
Kao | 66,800 | 1,627,882 | |||||
KDDI | 285 | 1,364,135 | |||||
Konica Minolta Holdings | 61,500 | 599,784 | |||||
* | Kubota | 87,200 | 798,188 | ||||
Marubeni | 155,500 | 879,363 | |||||
* | Matsui Securities | 36,800 | 205,902 | ||||
* | Mitsubishi UFJ Financial Group | 124,800 | 581,647 | ||||
Nikon | 30,000 | 556,401 | |||||
Nippon Yusen | 209,000 | 856,383 | |||||
Nitto Denko | 13,600 | 532,007 | |||||
* | Nomura Holdings | 91,300 | 441,924 | ||||
NSK | 203,000 | 1,376,601 | |||||
* | NTT Data | 200 | 632,361 | ||||
* | Panasonic | 40,300 | 546,089 | ||||
Sekisui House | 43,000 | 386,390 | |||||
Seven & I Holdings | 64,300 | 1,506,869 | |||||
Sumitomo Heavy Industries | 127,500 | 656,862 | |||||
* | Sumitomo Mitsui Financial Group | 21,900 | 638,121 | ||||
T&D Holdings | 30,300 | 631,666 | |||||
* | Takeda Pharmaceutical | 38,400 | 1,764,380 | ||||
* | Tokio Marine Holdings | 60,800 | 1,640,467 | ||||
Toyota Motor | 22,500 | 808,183 | |||||
West Japan Railway | 64 | 229,576 | |||||
* | Zeon | 182,200 | 1,510,602 | ||||
32,340,135 | |||||||
Malaysia – 0.86% | |||||||
AMMB Holdings | 350,400 | 673,093 | |||||
CIMB Group Holdings | 399,300 | 1,056,763 | |||||
1,729,856 | |||||||
Mexico – 0.75% | |||||||
Fomento Economico Mexicano ADR | 14,500 | 735,585 | |||||
Grupo Mexico Series B | 269,000 | 775,249 | |||||
1,510,834 | |||||||
Netherlands – 2.19% | |||||||
† | Aegon | 84,900 | 508,714 | ||||
Corio | 2,500 | 170,930 | |||||
† | ING Groep CVA | 137,822 | 1,429,916 | ||||
Koninklijke KPN | 39,900 | 617,142 | |||||
Reed Elsevier | 83,017 | 1,046,926 | |||||
† | VimpelCom ADR | 34,000 | 504,900 | ||||
* | Wereldhave | 1,500 | 145,606 | ||||
4,424,134 | |||||||
New Zealand – 0.17% | |||||||
Telecom Corp. of New Zealand | 236,362 | 350,449 | |||||
350,449 | |||||||
Norway – 0.85% | |||||||
Yara International | 38,000 | 1,719,194 | |||||
1,719,194 | |||||||
Philippines – 0.29% | |||||||
Philippine Long Distance | |||||||
Telephone ADR | 9,900 | 592,614 | |||||
592,614 | |||||||
Republic of Korea – 0.74% | |||||||
Korea Electric Power | 33,000 | 850,866 | |||||
Samsung Electronics | 960 | 654,172 | |||||
1,505,038 | |||||||
Singapore – 1.83% | |||||||
CapitaLand | 123,900 | 382,419 | |||||
Singapore Telecommunications | 643,600 | 1,536,342 | |||||
* | Straits Asia Resources | 545,600 | 912,513 | ||||
United Overseas Bank | 62,727 | 873,619 | |||||
3,704,893 |
(continues) 31
Statements of net assets
Optimum International Fund
Number of | Value | ||||||
Shares | (U.S. $) | ||||||
Common Stock (continued) | |||||||
South Africa – 1.00% | |||||||
AngloGold Ashanti ADR | 16,800 | $ | 776,832 | ||||
MTN Group | 32,100 | 580,270 | |||||
Naspers | 13,400 | 655,178 | |||||
2,012,280 | |||||||
Spain – 3.85% | |||||||
* | Banco Bilbao Vizcaya Argentaria | 48,302 | 652,270 | ||||
Banco Santander | 160,594 | 2,039,918 | |||||
Iberdrola | 210,222 | 1,617,319 | |||||
Inditex | 6,700 | 532,264 | |||||
Telefonica | 118,201 | 2,927,278 | |||||
7,769,049 | |||||||
Sweden – 0.78% | |||||||
Nordea Bank | 62,900 | 655,189 | |||||
Svenska Cellulosa Class B | 60,400 | 918,628 | |||||
1,573,817 | |||||||
Switzerland – 6.30% | |||||||
Alcon | 3,100 | 517,049 | |||||
Credit Suisse Group | 12,900 | 551,507 | |||||
GAM Holding | 11,900 | 180,487 | |||||
Givaudan | 700 | 715,391 | |||||
Julius Baer Group | 21,100 | 768,269 | |||||
Nestle | 33,200 | 1,769,157 | |||||
Novartis | 56,547 | 3,243,508 | |||||
Roche Holding | 4,900 | 669,361 | |||||
Swiss Reinsurance | 11,200 | 491,254 | |||||
Tyco Electronics | 18,800 | 549,336 | |||||
UBS | 30,000 | 509,365 | |||||
Xstrata | 56,000 | 1,071,953 | |||||
Zurich Financial Services | 7,182 | 1,683,647 | |||||
12,720,284 | |||||||
Taiwan – 2.43% | |||||||
* | AU Optronics ADR | 65,123 | 681,188 | ||||
Chunghwa Telecom ADR | 52,582 | 1,178,887 | |||||
HON HAI Precision Industry | 190,164 | 716,163 | |||||
Mega Financial Holding | 671,600 | 452,038 | |||||
Siliconware Precision Industries ADR | 86,800 | 471,324 | |||||
Taiwan Semiconductor | |||||||
Manufacturing | 440,269 | 874,894 | |||||
* | Taiwan Semiconductor | ||||||
Manufacturing ADR | 53,201 | 539,458 | |||||
4,913,952 | |||||||
Thailand – 0.65% | |||||||
Bangkok Bank Public | 84,200 | 432,791 | |||||
Banpu Public | 37,200 | 877,601 | |||||
1,310,392 | |||||||
United Kingdom – 17.74% | |||||||
* | Aegis Group | 263,800 | 511,805 | ||||
Anglo American | 27,700 | 1,099,197 | |||||
Antofagasta | 71,200 | 1,383,605 | |||||
ARM Holdings | 127,900 | 788,227 | |||||
Aviva | 44,975 | 281,837 | |||||
Barclays | 167,100 | 786,336 | |||||
BG Group | 56,923 | 1,000,645 | |||||
BP | 183,656 | 1,234,265 | |||||
*† | British Airways | 261,000 | 995,524 | ||||
Britvic | 119,600 | 910,869 | |||||
† | Cairn Energy | 74,900 | 533,842 | ||||
Compass Group | 145,139 | 1,209,572 | |||||
FirstGroup | 157,200 | 896,441 | |||||
GKN | 258,700 | 688,450 | |||||
GlaxoSmithKline | 116,285 | 2,291,694 | |||||
HSBC Holdings | 153,107 | 1,551,617 | |||||
Imperial Tobacco Group | 46,800 | 1,394,683 | |||||
† | Inchcape | 121,120 | 592,892 | ||||
Intercontinental Hotels Group | 36,700 | 654,948 | |||||
Kazakhmys | 59,700 | 1,361,769 | |||||
National Grid | 109,800 | 932,310 | |||||
Next | 14,500 | 505,005 | |||||
† | Royal Bank of Scotland Group | 704,900 | 523,007 | ||||
Royal Dutch Shell Class A | 163,602 | 4,949,407 | |||||
Tesco | 233,281 | 1,554,028 | |||||
Tullow Oil | 42,500 | 850,591 | |||||
Unilever | 91,002 | 2,633,316 | |||||
Vodafone Group | 905,257 | 2,234,140 | |||||
* | Vodafone Group ADR | 25,700 | 637,617 | ||||
WPP Group | 75,200 | 832,855 | |||||
35,820,494 | |||||||
United States – 1.08% | |||||||
Mosaic | 27,900 | 1,639,404 | |||||
† | NII Holdings | 13,300 | 546,630 | ||||
2,186,034 | |||||||
Total Common Stock | |||||||
(cost $180,019,203) | 191,065,735 | ||||||
Exchange-Traded Fund – 1.08% | |||||||
IShares MSCI Emerging Markets | |||||||
Index Fund | 48,500 | 2,171,345 | |||||
Total Exchange-Traded Fund | |||||||
(cost $2,160,597) | 2,171,345 | ||||||
Preferred Stock – 0.97% | |||||||
Brazil – 0.47% | |||||||
Banco Bradesco | 26,100 | 521,491 | |||||
Gol Linhas Aereas Inteligentes | 28,100 | 433,367 | |||||
954,858 | |||||||
Germany – 0.50% | |||||||
Volkswagen | 8,342 | 1,007,427 | |||||
1,007,427 | |||||||
Total Preferred Stock | |||||||
(cost $1,686,751) | 1,962,285 |
32
Number of | Value | |||||||
Shares | (U.S. $) | |||||||
Warrant – 0.00% | ||||||||
Unione di Banche Italiane | 20,000 | $ | 248 | |||||
Total Warrant (cost $0) | 248 | |||||||
Principal | ||||||||
Amount (U.S. $) | ||||||||
≠Discount Note – 2.16% | ||||||||
Federal Home Loan Bank | ||||||||
0.007% 10/1/10 | $ | 4,361,002 | 4,361,002 | |||||
Total Discount Note | ||||||||
(cost $4,361,002) | 4,361,002 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 98.82% | ||||||||
(cost $188,227,553) | 199,560,615 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 12.41% | ||||||||
Investment Companies | ||||||||
BNY Mellon Securities Lending | ||||||||
Overnight Fund | 24,607,117 | 24,607,117 | ||||||
BNY Mellon SL DBT II | ||||||||
Liquidating Fund | 441,451 | 427,634 | ||||||
@† | Mellon GSL Reinvestment Trust II | 653,686 | 33,796 | |||||
Total Securities Lending Collateral | ||||||||
(cost $25,702,254) | 25,068,547 | |||||||
Total Value of Securities – 111.23% | ||||||||
(cost $213,929,807) | 224,629,162 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (12.72%) | (25,702,254 | ) | ||||||
Receivables and Other Assets | ||||||||
Net of Liabilities – 1.49% | 3,016,835 | |||||||
Net Assets Applicable to 19,598,554 | ||||||||
Shares Outstanding – 100.00% | $ | 201,943,743 | ||||||
Net Asset Value – Optimum International Fund | ||||||||
Class A ($10,927,247 / 1,061,910 Shares) | $10.29 | |||||||
Net Asset Value – Optimum International Fund | ||||||||
Class B ($2,003,898 / 198,728 Shares) | $10.08 | |||||||
Net Asset Value – Optimum International Fund | ||||||||
Class C ($39,965,691 / 3,961,374 Shares) | $10.09 | |||||||
Net Asset Value – Optimum International Fund | ||||||||
Institutional Class ($149,046,907 / 14,376,542 Shares) | $10.37 | |||||||
Components of Net Assets at September 30, 2010: | ||||||||
Shares of beneficial interest | ||||||||
(unlimited authorization – no par) | $ | 254,579,041 | ||||||
Undistributed net investment income | 1,530,252 | |||||||
Accumulated net realized loss on investments | (64,970,274 | ) | ||||||
Net unrealized appreciation of investments | ||||||||
and foreign currencies | 10,804,724 | |||||||
Total net assets | $ | 201,943,743 |
Δ | Securities have been classified by country of origin. Classification by type of business has been presented in page 4 in “Country/Sector allocations.” |
† | Non income producing security. |
w | Dividend coupon which when presented with the corresponding coupon of the share benefits from a reduced withholding tax of 15% (rather than 25%) on dividends paid. |
* | Fully or partially on loan. |
n | Securities listed and traded on the Hong Kong Stock Exchange. These securities have significant business operations in China. |
≠ | 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, 2010, the aggregate amount of illiquid securities was $33,796, which represented 0.02% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
© | Includes $24,095,731 of securities loaned. |
Summary of abbreviations:
ADR — American Depositary Receipts
AUD — Australian Dollar
BC — Barclay Bank
BRL — Brazilian Real
CAD — Canadian Dollar
CGM — Citigroup Global Markets
CVA — Dutch Certificate
EUR — European Monetary Unit
HKD — Hong Kong Dollar
IDR — Indonesia Rupiah
JPY — Japanese Yen
MNB — Mellon National Bank
NOK — Norwegian Kroner
NZD — New Zealand Dollar
PLN — Polish Zloty
SGD — Singapore Dollar
STRIP VVPR — Dividend Coupon
USD — United States Dollar
ZAR — South African Rand
AUD — Australian Dollar
BC — Barclay Bank
BRL — Brazilian Real
CAD — Canadian Dollar
CGM — Citigroup Global Markets
CVA — Dutch Certificate
EUR — European Monetary Unit
HKD — Hong Kong Dollar
IDR — Indonesia Rupiah
JPY — Japanese Yen
MNB — Mellon National Bank
NOK — Norwegian Kroner
NZD — New Zealand Dollar
PLN — Polish Zloty
SGD — Singapore Dollar
STRIP VVPR — Dividend Coupon
USD — United States Dollar
ZAR — South African Rand
Net Asset Value and Offering Price Per Share – | ||
Optimum International Fund | ||
Net asset value Class A (A) | $ | 10.29 |
Sales charge (5.75% of offering price) (B) | 0.63 | |
Offering price | $ | 10.92 |
(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) 33
Statements of net assets
Optimum International Fund
1 | The following foreign currency exchange contracts were outstanding at September 30, 2010: |
Foreign Currency Exchange Contracts | |||||||||||||||||
Unrealized | |||||||||||||||||
Contracts to | Settlement | Appreciation | |||||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | (Depreciation) | |||||||||||||
BC | NOK | (6,010,000 | ) | USD | 971,908 | 10/6/10 | $ | (49,955 | ) | ||||||||
BC | NZD | 361,000 | USD | (259,469 | ) | 10/6/10 | 5,374 | ||||||||||
BC | SGD | 3,290,000 | USD | (2,465,339 | ) | 10/20/10 | 35,548 | ||||||||||
BC | ZAR | 7,710,000 | USD | (1,076,094 | ) | 10/20/10 | 26,432 | ||||||||||
CGM | AUD | 3,950,000 | USD | (3,735,724 | ) | 10/20/10 | 73,057 | ||||||||||
CGM | CAD | (1,128,000 | ) | USD | 1,095,290 | 10/1/10 | (928 | ) | |||||||||
CGM | CAD | 1,321,000 | USD | (1,282,010 | ) | 10/20/10 | 1,312 | ||||||||||
CGM | EUR | (868,000 | ) | USD | 1,182,390 | 10/6/10 | (963 | ) | |||||||||
CGM | EUR | 1,742,000 | USD | (2,238,900 | ) | 10/6/10 | 135,950 | ||||||||||
CGM | EUR | (4,571,000 | ) | USD | 5,963,811 | 10/20/10 | (267,130 | ) | |||||||||
CGM | HKD | 3,700,000 | USD | (476,580 | ) | 10/20/10 | 330 | ||||||||||
CGM | JPY | 74,929,000 | USD | (888,498 | ) | 10/20/10 | 9,391 | ||||||||||
CGM | NOK | 7,333,000 | USD | (1,202,243 | ) | 10/6/10 | 44,566 | ||||||||||
CGM | PLN | 3,815,000 | USD | (1,257,790 | ) | 10/20/10 | 52,812 | ||||||||||
MNB | AUD | (82,854 | ) | USD | 80,464 | 10/5/10 | 423 | ||||||||||
MNB | AUD | (157,770 | ) | USD | 152,610 | 10/6/10 | 216 | ||||||||||
MNB | BRL | 143,841 | USD | (85,053 | ) | 10/1/10 | (141 | ) | |||||||||
MNB | BRL | 792,315 | USD | (468,493 | ) | 10/4/10 | (1,081 | ) | |||||||||
MNB | EUR | 72,294 | USD | (98,385 | ) | 10/1/10 | 176 | ||||||||||
MNB | EUR | 139,693 | USD | (190,723 | ) | 10/6/10 | (278 | ) | |||||||||
MNB | IDR | 906,767,902 | USD | (101,770 | ) | 10/1/10 | (189 | ) | |||||||||
MNB | IDR | 1,390,666,741 | USD | (156,079 | ) | 10/4/10 | (369 | ) | |||||||||
$ | 64,553 |
The use of foreign currency exchange 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, which are an integral part of the financial statements.
34
Optimum Large Cap Growth Fund
September 30, 2010 (unaudited)
Number of | Value | ||||
Shares | (U.S. $) | ||||
Common Stock – 96.40%² | |||||
Consumer Discretionary – 19.94% | |||||
† | Amazon.com | 133,725 | $ | 21,002,848 | |
*† | ArvinMeritor | 47,650 | 740,481 | ||
*† | AutoZone | 4,400 | 1,007,204 | ||
*† | CarMax | 40,000 | 1,114,400 | ||
Carnival | 59,600 | 2,277,316 | |||
Carnival (United Kingdom) | 28,600 | 1,125,476 | |||
* | Coach | 46,900 | 2,014,824 | ||
* | Costco Wholesale | 22,500 | 1,451,025 | ||
*† | DIRECTV Class A | 81,055 | 3,374,320 | ||
*† | Discovery Communications Class A | 16,300 | 709,865 | ||
Disney (Walt) | 194,353 | 6,435,028 | |||
*† | eBay | 55,300 | 1,349,320 | ||
* | Estee Lauder Class A | 35,956 | 2,273,498 | ||
* | Expedia | 37,200 | 1,049,412 | ||
* | Fastenal | 31,300 | 1,664,847 | ||
*† | Focus Media Holding ADR | 226,275 | 5,498,483 | ||
*† | Hertz Global Holdings | 268,000 | 2,838,120 | ||
*† | IAC/InterActiveCorp | 110,800 | 2,910,716 | ||
† | Kohl’s | 41,400 | 2,180,952 | ||
*† | Las Vegas Sands | 19,800 | 690,030 | ||
† | Lear | 26,550 | 2,095,592 | ||
† | Liberty Media Interactive Class A | 86,800 | 1,190,028 | ||
Lowe’s | 182,000 | 4,056,780 | |||
* | Marriott International Class A | 54,580 | 1,955,601 | ||
McDonald’s | 169,577 | 12,635,181 | |||
*† | MGM MIRAGE | 57,400 | 647,472 | ||
* | NIKE Class B | 151,255 | 12,121,576 | ||
* | Nordstrom | 77,863 | 2,896,504 | ||
† | O’Reilly Automotive | 22,600 | 1,202,320 | ||
* | Phillips-Van Heusen | 68,400 | 4,114,944 | ||
*† | priceline.com | 19,116 | 6,658,867 | ||
* | Regal Entertainment Group Class A | 26,250 | 344,400 | ||
* | Starbucks | 93,300 | 2,386,614 | ||
* | Starwood Hotels & | ||||
Resorts Worldwide | 27,200 | 1,429,360 | |||
* | Tiffany & Co | 74,865 | 3,517,906 | ||
* | TJX | 102,735 | 4,585,063 | ||
† | VistaPrint | 12,050 | 465,733 | ||
Wal-Mart Stores | 64,550 | 3,454,716 | |||
Western Union | 54,800 | 968,316 | |||
* | Whirlpool | 16,344 | 1,323,210 | ||
* | Wyndham Worldwide | 118,100 | 3,244,207 | ||
Wynn Resorts | 38,105 | 3,306,371 | |||
Yum Brands | 97,073 | 4,471,182 | |||
140,780,108 | |||||
Consumer Staples – 1.74% | |||||
PepsiCo | 121,950 | 8,102,358 | |||
Philip Morris International | 50,450 | 2,826,209 | |||
Procter & Gamble | 22,852 | 1,370,434 | |||
12,299,001 | |||||
Energy – 7.82% | |||||
Anadarko Petroleum | 112,952 | 6,443,911 | |||
† | Cameron International | 31,200 | 1,340,352 | ||
Chevron | 69,750 | 5,653,238 | |||
=† | Concho Resources Restricted PIPE | 47,450 | 2,668,588 | ||
ConocoPhillips | 63,950 | 3,672,649 | |||
Devon Energy | 52,250 | 3,382,665 | |||
* | EOG Resources | 80,034 | 7,440,760 | ||
*† | FMC Technologies | 17,300 | 1,181,417 | ||
Halliburton | 46,500 | 1,537,755 | |||
Murphy Oil | 15,400 | 953,568 | |||
Nexen (Canada) | 163,748 | 3,291,335 | |||
Peabody Energy | 97,200 | 4,763,772 | |||
* | Petroleo Brasiliero ADR | 53,500 | 1,755,870 | ||
† | Plains Exploration & Production | 79,650 | 2,124,266 | ||
Schlumberger | 110,750 | 6,823,307 | |||
* | Suncor Energy (Canada) | 55,100 | 1,793,505 | ||
† | Transocean (Switzerland) | 5,750 | 369,668 | ||
55,196,626 | |||||
Financial Services – 9.36% | |||||
American Express | 78,000 | 3,278,340 | |||
Bank of America | 116,350 | 1,525,349 | |||
BM&FBovespa (Brazil) | 162,950 | 1,362,366 | |||
CME Group | 8,750 | 2,278,938 | |||
Discover Financial Services | 14,100 | 235,188 | |||
Franklin Resources | 23,800 | 2,544,220 | |||
Goldman Sachs Group | 24,768 | 3,580,957 | |||
† | IntercontinentalExchange | 14,100 | 1,476,552 | ||
Invesco | 79,200 | 1,681,416 | |||
JPMorgan Chase | 187,500 | 7,138,125 | |||
Lazard Class A (Bermuda) | 47,300 | 1,659,284 | |||
MasterCard Class A | 27,850 | 6,238,400 | |||
MetLife | 41,600 | 1,599,520 | |||
Morgan Stanley | 76,500 | 1,888,020 | |||
Northern Trust | 24,300 | 1,172,232 | |||
NYSE Euronext | 27,600 | 788,532 | |||
PNC Financial Services Group | 98,975 | 5,137,792 | |||
Sun Life Financial (Canada) | 12,900 | 337,514 | |||
Travelers | 53,450 | 2,784,745 | |||
U.S. Bancorp | 332,378 | 7,186,012 | |||
† | Verisk Analytics Class A | 46,850 | 1,312,269 | ||
* | Visa Class A | 59,700 | 4,433,322 | ||
* | Wells Fargo | 255,809 | 6,428,480 | ||
66,067,573 | |||||
Healthcare – 7.31% | |||||
Abbott Laboratories | 68,400 | 3,573,215 | |||
Allergan | 22,900 | 1,523,537 | |||
*† | Auxilium Pharmaceuticals | 21,650 | 536,487 | ||
† | Celgene | 47,750 | 2,750,878 | ||
† | Cephalon | 23,800 | 1,486,072 | ||
*† | Community Health Systems | 16,250 | 503,263 | ||
Covidien (Ireland) | 139,000 | 5,586,409 | |||
† | Express Scripts | 66,100 | 3,219,070 | ||
*† | Health Management | ||||
Associates Class A | 135,000 | 1,034,100 | |||
*† | Human Genome Sciences | 92,950 | 2,768,981 | ||
*† | Illumina | 17,200 | 846,240 | ||
*† | Insulet | 69,000 | 975,660 |
(continues) 35
Statements of net assets
Optimum Large Cap Growth Fund
Number of | Value | ||||
Shares | (U.S. $) | ||||
Common Stock (continued) | |||||
Healthcare (continued) | |||||
*† | Intuitive Surgical | 3,200 | $ | 907,968 | |
*† | Life Technologies | 9,450 | 441,221 | ||
McKesson | 28,100 | 1,736,018 | |||
Mead Johnson Nutrition | 34,877 | 1,984,850 | |||
† | Medco Health Solutions | 94,750 | 4,932,684 | ||
Merck | 85,560 | 3,149,464 | |||
Pfizer | 212,634 | 3,650,925 | |||
* | Stryker | 25,500 | 1,276,275 | ||
Teva Pharmaceutical Industries ADR | 13,450 | 709,488 | |||
† | Thermo Fisher Scientific | 66,350 | 3,176,838 | ||
Universal Health Services Class B | 56,250 | 2,185,875 | |||
† | WellPoint | 13,250 | 750,480 | ||
† | Zimmer Holdings | 36,650 | 1,917,895 | ||
51,623,893 | |||||
Materials & Processing – 9.13% | |||||
Agnico-Eagle Mines (Canada) | 8,600 | 610,858 | |||
Air Products & Chemicals | 10,200 | 844,764 | |||
* | Ball | 38,950 | 2,292,208 | ||
BHP Billiton ADR | 116,041 | 7,417,341 | |||
BHP Billiton (Australia) | 44,750 | 1,683,153 | |||
Celanese Class A | 46,350 | 1,487,835 | |||
CF Industries Holdings | 14,950 | 1,427,725 | |||
* | Cliffs Natural Resources | 21,750 | 1,390,260 | ||
* | Dow Chemical | 308,508 | 8,471,629 | ||
* | Eastman Chemical | 8,850 | 654,900 | ||
* | Freeport-McMoRan | ||||
Copper & Gold Class B | 45,950 | 3,923,671 | |||
Goldcorp (Canada) | 37,650 | 1,638,528 | |||
Monsanto | 133,917 | 6,418,642 | |||
Mosaic | 49,750 | 2,923,310 | |||
Potash Corp. of Saskatchewan | |||||
(Canada) | 7,000 | 1,008,280 | |||
* | PPG Industries | 76,711 | 5,584,561 | ||
* | Praxair | 121,181 | 10,937,796 | ||
* | Precision Castparts | 30,703 | 3,910,027 | ||
Yamana Gold (Canada) | 156,350 | 1,782,390 | |||
64,407,878 | |||||
Producer Durables – 12.89% | |||||
3M | 55,000 | 4,769,050 | |||
Automatic Data Processing | 8,300 | 348,849 | |||
† | Babcock & Wilcox | 16,900 | 359,632 | ||
* | Bucyrus International Class A | 9,400 | 651,890 | ||
* | Caterpillar | 33,800 | 2,659,384 | ||
CSX | 62,350 | 3,449,202 | |||
* | Cummins | 64,337 | 5,827,645 | ||
Danaher | 239,662 | 9,732,673 | |||
Deere | 12,300 | 858,294 | |||
Eaton | 27,835 | 2,296,109 | |||
Emerson Electric | 32,400 | 1,706,184 | |||
Expeditors International of | |||||
Washington | 32,200 | 1,488,606 | |||
FedEx | 108,849 | 9,306,590 | |||
General Dynamics | 81,522 | 5,120,397 | |||
* | Grainger (W.W.) | 7,800 | 929,058 | ||
Illinois Tool Works | 38,400 | 1,805,568 | |||
Ingersoll-Rand (Ireland) | 101,150 | 3,612,067 | |||
† | McDermott International | 33,800 | 499,564 | ||
* | PACCAR | 24,200 | 1,165,230 | ||
Republic Services | 123,350 | 3,760,942 | |||
Rockwell Automation | 13,300 | 821,009 | |||
Stanley Black & Decker | 9,050 | 554,584 | |||
* | Towers Watson Class A | 41,550 | 2,043,429 | ||
Tyco International (Switzerland) | 75,400 | 2,769,442 | |||
*† | UAL | 125,400 | 2,963,202 | ||
Union Pacific | 159,549 | 13,051,107 | |||
* | United Parcel Service Class B | 90,450 | 6,032,111 | ||
United Technologies | 33,950 | 2,418,259 | |||
91,000,077 | |||||
Technology – 28.21% | |||||
Accenture (Bermuda) | 42,700 | 1,814,323 | |||
* | Activision Blizzard | 370,200 | 4,005,564 | ||
† | Adobe Systems | 80,900 | 2,115,535 | ||
*† | Akamai Technologies | 29,200 | 1,465,256 | ||
*† | American Tower Class A | 141,786 | 7,267,950 | ||
† | Apple | 157,402 | 44,662,817 | ||
ASML Holding | 24,300 | 722,439 | |||
† | Autodesk | 11,800 | 377,246 | ||
† | Autonomy (United Kingdom) | 9,600 | 273,270 | ||
† | Baidu ADR | 142,587 | 14,632,278 | ||
Broadcom Class A | 119,107 | 4,215,197 | |||
† | Cisco Systems | 518,233 | 11,349,303 | ||
Corning | 135,500 | 2,476,940 | |||
† | Crown Castle International | 132,842 | 5,864,974 | ||
† | Ctrip.com International ADR | 19,800 | 945,450 | ||
*† | Dolby Laboratories Class A | 26,100 | 1,482,741 | ||
*† | EMC | 289,523 | 5,880,212 | ||
† | Google Class A | 31,450 | 16,536,096 | ||
*† | GSI Commerce | 181,300 | 4,478,110 | ||
Hewlett-Packard | 407,500 | 17,143,524 | |||
International Business Machines | 19,100 | 2,562,074 | |||
*† | Juniper Networks | 56,600 | 1,717,810 | ||
*† | Lam Research | 104,150 | 4,358,678 | ||
† | Marvell Technology Group | ||||
(Bermuda) | 297,600 | 5,210,976 | |||
*† | Mentor Graphics | 27,550 | 291,204 | ||
† | NetApp | 12,500 | 622,375 | ||
† | NICE Systems ADR | 48,850 | 1,528,517 | ||
† | NXP Semiconductors (Netherlands) | 37,150 | 460,289 | ||
*† | ON Semiconductor | 112,600 | 811,846 | ||
Oracle | 322,673 | 8,663,770 | |||
QUALCOMM | 196,250 | 8,854,800 | |||
† | Rovi | 11,400 | 574,674 | ||
*† | salesforce.com | 38,500 | 4,304,300 | ||
Samsung Electronics | |||||
(Republic of Korea) | 971 | 661,668 | |||
† | SanDisk | 22,300 | 817,295 | ||
*† | Sina (China) (Hong Kong Exchange) | 35,250 | 1,782,945 |
36
Number of | Value | |||||||
Shares | (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Technology (continued) | ||||||||
*† | Skyworks Solutions | 54,000 | $ | 1,116,720 | ||||
† | Smart Technologies (Canada) | 39,750 | 538,613 | |||||
Tencent Holdings (China) | ||||||||
(Hong Kong Exchange) | 76,100 | 1,663,452 | ||||||
* | Texas Instruments | 58,950 | 1,599,903 | |||||
† | Yahoo | 232,200 | 3,290,274 | |||||
199,141,408 | ||||||||
Total Common Stock | ||||||||
(cost $604,341,039) | 680,516,564 | |||||||
Exchange-Traded Fund – 0.47% | ||||||||
* | SPDR Gold Trust | 25,815 | 3,301,997 | |||||
Total Exchange-Traded Fund | ||||||||
(cost $3,073,136) | 3,301,997 | |||||||
Preferred Stock – 0.15% | ||||||||
Wells Fargo 8.00% | 38,550 | 1,053,572 | ||||||
Total Preferred Stock | ||||||||
(cost $741,030) | 1,053,572 | |||||||
Principal | ||||||||
Amount (U.S. $) | ||||||||
≠Discount Note – 4.04% | ||||||||
Federal Home Loan Bank | ||||||||
0.007% 10/1/10 | $ | 28,521,013 | 28,521,013 | |||||
Total Discount Note | ||||||||
(cost $28,521,013) | 28,521,013 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 101.06% | ||||||||
(cost $636,676,218) | 713,393,146 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 7.18% | ||||||||
Investment Companies | ||||||||
BNY Mellon Securities Lending | ||||||||
Overnight Fund | 49,439,666 | 49,439,666 | ||||||
BNY Mellon SL DBT II | ||||||||
Liquidating Fund | 1,216,867 | 1,178,779 | ||||||
@† | Mellon GSL Reinvestment Trust II | 1,053,295 | 54,455 | |||||
Total Securities Lending Collateral | ||||||||
(cost $51,709,828) | 50,672,900 | |||||||
Total Value of Securities – 108.24% | ||||||||
(cost $688,386,046) | 764,066,046 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (7.33%) | (51,709,828 | ) | ||||||
Liabilities Net of Receivables and | ||||||||
Other Assets – (0.91%) | (6,425,141 | ) | ||||||
Net Assets Applicable to 66,698,202 | ||||||||
Shares Outstanding – 100.00% | $ | 705,931,077 | ||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Class A ($31,826,687 / 3,037,047 Shares) | $10.48 | |||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Class B ($5,380,445 / 538,296 Shares) | $10.00 | |||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Class C ($119,194,388 / 11,928,417 Shares) | $ 9.99 | |||||||
Net Asset Value – Optimum Large Cap Growth Fund | ||||||||
Institutional Class ($549,529,557 / 51,194,442 Shares) | $10.73 | |||||||
Components of Net Assets at September 30, 2010: | ||||||||
Shares of beneficial interest | ||||||||
(unlimited authorization – no par) | $ | 796,682,463 | ||||||
Accumulated net realized loss on investments | (166,467,436 | ) | ||||||
Net unrealized appreciation of investments | ||||||||
and foreign currencies | 75,716,050 | |||||||
Total net assets | $ | 705,931,077 |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non income producing security. |
* | Fully or partially on loan. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At September 30, 2010, the aggregate amount of fair valued securities was $2,668,588, which represented 0.38% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
≠ | 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, 2010, the aggregate amount of illiquid securities was $54,455, which represented 0.01% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
© | Includes $50,512,209 of securities loaned. |
Summary of Abbreviations:
ADR — American Depositary Receipts
PIPE — Private Investment in Public Equity
ADR — American Depositary Receipts
PIPE — Private Investment in Public Equity
Net Asset Value and Offering Price Per Share – | ||
Optimum Large Cap Growth Fund | ||
Net asset value Class A (A) | $ | 10.48 |
Sales charge (5.75% of offering price) (B) | 0.64 | |
Offering price | $ | 11.12 |
(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, which are an integral part of the financial statements.
(continues) 37
Statements of net assets
Optimum Large Cap Value Fund
September 30, 2010 (Unaudited)
Number of | Value | ||||
Shares | (U.S. $) | ||||
Common Stock – 98.54% | |||||
Consumer Discretionary – 10.15% | |||||
Advance Auto Parts | 18,410 | $ | 1,080,299 | ||
* | Best Buy | 85,200 | 3,478,716 | ||
* | Brinker International | 131,700 | 2,483,862 | ||
* | CBS Class B | 230,300 | 3,652,558 | ||
Comcast Class A | 306,500 | 5,541,520 | |||
Disney (Walt) | 126,170 | 4,177,489 | |||
Foot Locker | 194,700 | 2,828,991 | |||
Gap | 299,200 | 5,577,087 | |||
Hasbro | 36,350 | 1,617,939 | |||
* | Home Depot | 294,650 | 9,334,511 | ||
Johnson Controls | 34,380 | 1,048,590 | |||
† | Kohl’s | 24,900 | 1,311,732 | ||
* | Lennar Class A | 344,712 | 5,301,671 | ||
McDonald’s | 13,280 | 989,493 | |||
Omnicom Group | 87,000 | 3,434,760 | |||
*† | Pulte Homes | 119,180 | 1,044,017 | ||
* | Regal Entertainment Group | ||||
Class A | 381,400 | 5,003,968 | |||
* | Sherwin-Williams | 39,630 | 2,977,798 | ||
Staples | 51,820 | 1,084,074 | |||
Time Warner | 65,800 | 2,016,770 | |||
Wal-Mart Stores | 17,950 | 960,684 | |||
64,946,529 | |||||
Consumer Staples – 10.00% | |||||
Altria Group | 79,750 | 1,915,595 | |||
CVS Caremark | 181,941 | 5,725,683 | |||
Diageo (United Kingdom) | 248,326 | 4,279,482 | |||
General Mills | 102,470 | 3,744,254 | |||
Kellogg | 61,470 | 3,104,850 | |||
Kimberly-Clark | 114,350 | 7,438,468 | |||
Kraft Foods Class A | 304,450 | 9,395,327 | |||
Nestle (Switzerland) | 82,240 | 4,382,394 | |||
PepsiCo | 50,240 | 3,337,946 | |||
Philip Morris International | 186,610 | 10,453,891 | |||
Procter & Gamble | 36,276 | 2,175,444 | |||
Sara Lee | 390,900 | 5,249,787 | |||
Smucker (J.M.) | 22,570 | 1,366,162 | |||
* | Walgreen | 43,850 | 1,468,975 | ||
64,038,258 | |||||
Energy – 11.89% | |||||
Anadarko Petroleum | 101,400 | 5,784,870 | |||
*† | Apache | 44,460 | 4,346,410 | ||
Baker Hughes | 145,100 | 6,181,260 | |||
Chevron | 228,262 | 18,500,635 | |||
Devon Energy | 125,930 | 8,152,708 | |||
* | Ensco (United Kingdom) | 146,200 | 6,539,526 | ||
* | EOG Resources | 25,170 | 2,340,055 | ||
Exxon Mobil | 81,040 | 5,007,462 | |||
Hess | 67,900 | 4,014,248 | |||
National Oilwell Varco | 60,330 | 2,682,875 | |||
Noble | 37,100 | 1,253,609 | |||
Occidental Petroleum | 26,240 | 2,054,592 | |||
Total ADR | 74,630 | 3,850,908 | |||
† | Transocean | 34,070 | 2,190,360 | ||
Valero Energy | 181,800 | 3,183,318 | |||
76,082,836 | |||||
Financials – 19.22% | |||||
ACE (Switzerland) | 30,860 | 1,797,595 | |||
Allstate | 69,520 | 2,193,356 | |||
American Express | 84,800 | 3,564,144 | |||
Ameriprise Financial | 122,810 | 5,812,597 | |||
Annaly Mortgage Management | 178,000 | 3,132,800 | |||
Aon | 86,920 | 3,399,441 | |||
Bank of America | 446,250 | 5,850,338 | |||
Bank of New York Mellon | 312,766 | 8,172,576 | |||
Blackstone Group | 282,650 | 3,586,829 | |||
Chubb | 40,320 | 2,297,837 | |||
Goldman Sachs Group | 62,390 | 9,020,346 | |||
JPMorgan Chase | 478,547 | 18,218,284 | |||
MasterCard Class A | 12,520 | 2,804,480 | |||
† | MBIA | 199,000 | 1,999,950 | ||
MetLife | 200,920 | 7,725,374 | |||
Morgan Stanley | 246,700 | 6,088,556 | |||
New York Community Bancorp | 285,600 | 4,641,000 | |||
PNC Financial Services Group | 47,630 | 2,472,473 | |||
Prudential Financial | 80,070 | 4,338,193 | |||
Regions Financial | 61,350 | 446,015 | |||
State Street | 181,540 | 6,836,796 | |||
Travelers | 248,683 | 12,956,384 | |||
Wells Fargo | 226,130 | 5,682,647 | |||
123,038,011 | |||||
Healthcare – 9.34% | |||||
Abbott Laboratories | 124,100 | 6,482,984 | |||
* | Becton, Dickinson | 37,530 | 2,780,973 | ||
GlaxoSmithKline (United Kingdom) | 71,840 | 1,415,792 | |||
Johnson & Johnson | 144,100 | 8,928,435 | |||
Medtronic | 127,070 | 4,267,011 | |||
Merck | 41,860 | 1,540,867 | |||
Pfizer | 864,845 | 14,849,388 | |||
Roche Holding (Switzerland) | 11,230 | 1,534,066 | |||
† | St. Jude Medical | 78,960 | 3,106,286 | ||
*† | Tenet Healthcare | 562,630 | 2,655,614 | ||
† | Thermo Fisher Scientific | 99,610 | 4,769,327 | ||
† | Waters | 23,190 | 1,641,388 | ||
*† | Watson Pharmaceuticals | 137,500 | 5,817,625 | ||
59,789,756 | |||||
Industrials – 13.52% | |||||
3M | 44,540 | 3,862,063 | |||
† | Apollo Group Class A | 8,800 | 451,880 | ||
Avery Dennison | 155,000 | 5,753,600 | |||
Canadian National Railway (Canada) | 25,680 | 1,644,034 | |||
Danaher | 56,450 | 2,292,435 | |||
* | Eaton | 27,640 | 2,280,024 | ||
General Electric | 384,300 | 6,244,875 | |||
Honeywell International | 232,180 | 10,201,989 |
38
Number of | Value | |||||||
Shares | (U.S. $) | |||||||
Common Stock (continued) | ||||||||
Industrials (continued) | ||||||||
Lockheed Martin | 165,480 | $ | 11,795,414 | |||||
Northrop Grumman | 105,900 | 6,420,717 | ||||||
Stanley Black & Decker | 34,817 | 2,133,586 | ||||||
* | Textron | 297,500 | 6,116,600 | |||||
Tyco Electronics (Switzerland) | 308,400 | 9,011,448 | ||||||
Tyco International (Switzerland) | 195,100 | 7,166,023 | ||||||
United Technologies | 96,710 | 6,888,653 | ||||||
* | Waste Management | 118,900 | 4,249,486 | |||||
86,512,827 | ||||||||
Information Technology – 10.54% | ||||||||
Accenture Class A | 161,020 | 6,841,740 | ||||||
* | Analog Devices | 71,100 | 2,231,118 | |||||
CA | 170,800 | 3,607,296 | ||||||
† | Cisco Systems | 134,310 | 2,941,389 | |||||
† | Dell | 224,800 | 2,913,408 | |||||
* | Dun & Bradstreet | 25,580 | 1,896,501 | |||||
Hewlett-Packard | 42,980 | 1,808,169 | ||||||
Intel | 588,710 | 11,320,893 | ||||||
International Business Machines | 117,540 | 15,766,815 | ||||||
* | Microchip Technology | 32,700 | 1,028,415 | |||||
*† | Motorola | 682,300 | 5,820,019 | |||||
Oracle | 224,930 | 6,039,371 | ||||||
† | Symantec | 221,300 | 3,357,121 | |||||
* | Western Union | 109,120 | 1,928,150 | |||||
67,500,405 | ||||||||
Materials – 6.25% | ||||||||
* | Air Products & Chemicals | 41,990 | 3,477,612 | |||||
* | Alcoa | 415,700 | 5,034,127 | |||||
duPont (E.I.) deNemours | 225,500 | 10,061,810 | ||||||
MeadWestvaco | 196,100 | 4,780,918 | ||||||
Packaging Corp. of America | 351,200 | 8,137,304 | ||||||
* | PPG Industries | 49,530 | 3,605,784 | |||||
* | United States Steel | 111,550 | 4,890,352 | |||||
39,987,907 | ||||||||
Telecommunications – 5.20% | ||||||||
AT&T | 677,660 | 19,381,076 | ||||||
† | Sprint Nextel | 319,800 | 1,480,674 | |||||
Vodafone Group (United Kingdom) | 2,044,197 | 5,045,001 | ||||||
* | Windstream | 601,900 | 7,397,351 | |||||
33,304,102 | ||||||||
Utilities – 2.43% | ||||||||
American Electric Power | 161,530 | 5,852,232 | ||||||
* | Dominion Resources | 28,346 | 1,237,586 | |||||
Entergy | 15,750 | 1,205,348 | ||||||
* | NextEra Energy | 3,920 | 213,209 | |||||
PG&E | 78,670 | 3,573,191 | ||||||
PPL | 43,340 | 1,180,148 | ||||||
Public Service Enterprise Group | 68,910 | 2,279,543 | ||||||
15,541,257 | ||||||||
Total Common Stock | ||||||||
(cost $620,207,441) | 630,741,888 | |||||||
Convertible Preferred Stock – 0.17% | ||||||||
† | Apache 6.00% | 9,150 | 530,700 | |||||
* | PPL 9.50% | 9,830 | 560,015 | |||||
Total Convertible Preferred Stock | ||||||||
(cost $959,120) | 1,090,715 | |||||||
Principal | ||||||||
Amount (U.S. $) | ||||||||
≠Discount Note – 1.31% | ||||||||
Federal Home Loan Bank | ||||||||
0.007% 10/1/10 | $ | 8,356,004 | 8,356,004 | |||||
Total Discount Note | ||||||||
(cost $8,356,004) | 8,356,004 | |||||||
Total Value of Securities Before | ||||||||
Securities Lending Collateral – | ||||||||
100.02% (cost $629,522,565) | 640,188,607 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 7.84% | ||||||||
Investment Companies | ||||||||
BNY Mellon Securities Lending | ||||||||
Overnight Fund | 49,327,222 | 49,327,222 | ||||||
BNY Mellon SL DBT II Liquidating | ||||||||
Fund | 857,550 | 830,709 | ||||||
@† | Mellon GSL Reinvestment Trust II | 1,049,762 | 54,273 | |||||
Total Securities Lending Collateral | ||||||||
(cost $51,234,534) | 50,212,204 | |||||||
Total Value of Securities – 107.86% | ||||||||
(cost $680,757,099) | 690,400,811 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (8.00%) | (51,234,534 | ) | ||||||
Receivables and Other Assets | ||||||||
Net of Liabilities – 0.14% | 898,120 | |||||||
Net Assets Applicable to 67,530,765 | ||||||||
Shares Outstanding – 100.00% | $ | 640,064,397 | ||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Class A ($29,909,285 / 3,155,538 Shares) | $9.48 | |||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Class B ($5,156,597 / 548,677 Shares) | $9.40 | |||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Class C ($112,712,622 / 12,000,010 Shares) | $9.39 | |||||||
Net Asset Value – Optimum Large Cap Value Fund | ||||||||
Institutional Class ($492,285,893 / 51,826,540 Shares) | $9.50 |
(continues) 39
Statements of net assets
Optimum Large Cap Value Fund
Components of Net Assets at September 30, 2010: | |||
Shares of beneficial interest | |||
(unlimited authorization – no par) | $ | 814,978,288 | |
Undistributed net investment income | 3,414,363 | ||
Accumulated net realized loss on investments | (187,998,382 | ) | |
Net unrealized appreciation of investments and | |||
foreign currencies | 9,670,128 | ||
Total net assets | $ | 640,064,397 |
* | Fully or partially on loan. |
† | Non income producing security. |
≠ | 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, 2010, the aggregate amount of illiquid securities was $54,273, which represented 0.01% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
© | Includes $50,403,033 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) | $ | 9.48 |
Sales charge (5.75% of offering price) (B) | 0.58 | |
Offering price | $ | 10.06 |
(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, which are an integral part of the financial statements.
40
Optimum Small-Mid Cap Growth Fund
September 30, 2010 (Unaudited)
Number of | Value | ||||
Shares | (U.S. $) | ||||
Common Stock – 99.01%² | |||||
Consumer Discretionary – 21.65% | |||||
* | Aaron’s | 22,499 | $ | 415,107 | |
* | Abercrombie & Fitch Class A | 29,000 | 1,140,280 | ||
† | AerCap Holdings | 46,780 | 553,407 | ||
*† | ArvinMeritor | 121,850 | 1,893,549 | ||
*† | Avis Budget Group | 28,170 | 328,181 | ||
† | Bally Technologies | 28,500 | 996,075 | ||
* | Brunswick | 82,220 | 1,251,388 | ||
† | Carter’s | 49,590 | 1,305,705 | ||
† | Cavco Industries | 19,500 | 700,245 | ||
*† | Central European Distribution | 36,190 | 807,761 | ||
† | Charming Shoppes | 50,700 | 178,464 | ||
*† | Cheesecake Factory | 46,600 | 1,233,502 | ||
* | Chico’s FAS | 62,000 | 652,240 | ||
† | Children’s Place Retail Stores | 23,410 | 1,141,706 | ||
*† | Coldwater Creek | 36,400 | 191,828 | ||
* | Columbia Sportswear | 9,000 | 525,960 | ||
*† | Constant Contact | 10,000 | 214,300 | ||
*† | CROCS | 4,470 | 58,155 | ||
† | Dick’s Sporting Goods | 50,780 | 1,423,871 | ||
Domino’s Pizza | 160,850 | 1,187,125 | |||
† | Dress Barn | 8,000 | 190,000 | ||
† | Drew Industries | 25,600 | 534,016 | ||
*† | Express | 8,200 | 124,722 | ||
*† | Gaylord Entertainment | 57,500 | 1,753,750 | ||
*† | Grand Canyon Education | 58,960 | 1,292,993 | ||
† | Hanesbrands | 101,180 | 2,616,514 | ||
HEICO Class A | 9,500 | 323,665 | |||
*† | Hertz Global Holdings | 56,500 | 598,335 | ||
† | Home Inns & Hotels | ||||
Management ADR | 15,610 | 771,758 | |||
*† | ITT Educational Services | 8,100 | 569,187 | ||
*† | J. Crew Group | 19,000 | 638,780 | ||
* | Jarden | 69,260 | 2,156,064 | ||
Jones Apparel Group | 23,500 | 461,540 | |||
*† | Life Time Fitness | 28,400 | 1,120,948 | ||
*† | LKQ | 53,300 | 1,108,640 | ||
Localiza Rent a Car | 116,970 | 1,947,601 | |||
*† | Lululemon Athletica | 31,600 | 1,413,152 | ||
Navitas | 162,091 | 665,912 | |||
* | P.F. Chang’s China Bistro | 4,500 | 207,900 | ||
† | Penn National Gaming | 77,380 | 2,291,222 | ||
*† | Pier 1 Imports | 46,500 | 380,835 | ||
*† | Pinnacle Entertainment | 74,500 | 830,675 | ||
* | Pool | 45,000 | 903,150 | ||
*† | Rue21 | 2,100 | 54,201 | ||
† | Rush Enterprises Class A | 111,490 | 1,710,257 | ||
*† | Saks | 67,500 | 580,500 | ||
*† | Shutterfly | 15,700 | 408,043 | ||
* | Strayer Education | 4,400 | 767,800 | ||
† | Stroer OUT-OF-HOME Media | 11,840 | 338,983 | ||
*† | Talbots | 49,000 | 641,900 | ||
*† | Team Health Holdings | 44,181 | 570,377 | ||
*† | Tempur-Pedic International | 74,860 | 2,320,659 | ||
* | Thor Industries | 30,600 | 1,022,040 | ||
*† | True Religion Apparel | 23,800 | 507,892 | ||
*† | Urban Outfitters | 19,650 | 617,796 | ||
*† | Vail Resorts | 13,500 | 506,520 | ||
† | VistaPrint | 20,030 | 774,160 | ||
† | Wabash National | 91,080 | 736,837 | ||
† | Wabco Holdings | 13,000 | 545,220 | ||
† | Warnaco Group | 5,000 | 255,650 | ||
† | Wet Seal Class A | 52,900 | 179,331 | ||
*† | WMS Industries | 6,000 | 228,420 | ||
* | Wyndham Worldwide | 28,380 | 779,599 | ||
52,646,393 | |||||
Consumer Staples – 1.76% | |||||
* | Diamond Foods | 16,000 | 655,840 | ||
*† | Green Mountain Coffee Roasters | 71,730 | 2,237,259 | ||
Herbalife | 22,900 | 1,382,015 | |||
4,275,114 | |||||
Energy – 4.55% | |||||
† | Atwood Oceanics | 65,000 | 1,979,250 | ||
*† | Carrizo Oil & Gas | 18,000 | 430,920 | ||
* | Core Laboratories | 17,000 | 1,496,680 | ||
† | Dril-Quip | 25,920 | 1,609,891 | ||
*† | FMC Technologies | 32,500 | 2,219,425 | ||
* | Houston America Energy | 30,000 | 300,000 | ||
*† | Northern Oil & Gas | 19,000 | 321,860 | ||
† | Oasis Petroleum | 3,300 | 63,921 | ||
*† | Oceaneering International | 21,050 | 1,133,753 | ||
*† | Quicksilver Resources | 49,200 | 619,920 | ||
*† | Rosetta Resources | 11,000 | 258,390 | ||
* | SM Energy | 15,000 | 561,900 | ||
† | Tesco | 6,700 | 80,601 | ||
11,076,511 | |||||
Financial Services – 8.67% | |||||
† | Advent Software | 10,000 | 521,900 | ||
Associated Banc-Corp | 42,100 | 555,299 | |||
Associated Estates Realty | 16,000 | 223,680 | |||
Assured Guaranty | 47,830 | 818,371 | |||
Berkshire Hills Bancorp | 25,500 | 483,480 | |||
* | BioMed Realty Trust | 95,600 | 1,713,152 | ||
City National | 4,000 | 212,280 | |||
* | Corporate Office Properties Trust | 33,500 | 1,249,885 | ||
* | DCT Industrial Trust | 46,000 | 220,340 | ||
DuPont Fabros Technology | 4,000 | 100,600 | |||
East West Bancorp | 20,300 | 330,484 | |||
* | Extra Space Storage | 79,600 | 1,276,784 | ||
First Busey | 72,800 | 331,240 | |||
* | Global Payments | 3,500 | 150,115 | ||
† | Greene Bancshares | 8,400 | 57,036 | ||
† | Guaranty Bancorp | 63,000 | 100,170 | ||
Henry (Jack) & Associates | 9,700 | 247,350 | |||
K-Fed Bancorp | 76,000 | 599,640 | |||
* | Kilroy Realty | 15,000 | 497,100 |
(continues) 41
Statements of net assets
Optimum Small-Mid Cap Growth Fund
Number of | Value | ||||
Shares | (U.S. $) | ||||
Common Stock (continued) | |||||
Financial Services (continued) | |||||
Kite Realty Group Trust | 170,000 | $ | 754,800 | ||
Lakeland Financial | 19,300 | 360,138 | |||
* | Macerich | 20,307 | 872,186 | ||
MB Financial | 60,000 | 973,200 | |||
*† | MF Global Holdings | 86,500 | 622,800 | ||
Pacific Continental | 3,325 | 30,091 | |||
Sandy Spring Bancorp | 31,100 | 482,050 | |||
SL Green Realty | 21,000 | 1,329,930 | |||
† | Stifel Financial | 20,345 | 941,770 | ||
† | SVB Financial Group | 27,500 | 1,163,800 | ||
TCF Financial | 38,300 | 620,077 | |||
Tower Group | 15,000 | 350,250 | |||
Trico Bancshares | 22,000 | 338,140 | |||
Valley National Bancorp | 91,350 | 1,178,415 | |||
ViewPoint Financial Group | 63,600 | 588,300 | |||
Whitney Holding | 51,000 | 416,670 | |||
Wilmington Trust | 15,300 | 137,394 | |||
*† | World Acceptance | 5,500 | 242,880 | ||
21,091,797 | |||||
Healthcare – 14.38% | |||||
† | Accretive Health | 12,330 | 133,534 | ||
† | Acorda Therapeutics | 17,000 | 561,340 | ||
*† | Akorn | 11,500 | 46,460 | ||
† | Alexion Pharmaceuticals | 21,500 | 1,383,740 | ||
† | Alkermes | 61,310 | 898,192 | ||
*† | Allos Therapeutics | 77,700 | 366,744 | ||
† | Allscripts Healthcare Solutions | 66,100 | 1,220,867 | ||
† | AMAG Pharmaceuticals | 14,980 | 257,806 | ||
*† | American Medical System Holdings | 65,020 | 1,273,092 | ||
*† | Amylin Pharmaceuticals | 12,000 | 250,200 | ||
*† | Anthera Pharmaceuticals | 20,000 | 83,800 | ||
† | Array Biopharma | 70,000 | 226,100 | ||
*† | Auxilium Pharmaceuticals | 31,700 | 785,526 | ||
*† | BioMarin Pharmaceuticals | 16,600 | 371,010 | ||
*† | Cepheid | 27,000 | 505,170 | ||
† | Chelsea Therapeutics International | 42,300 | 216,576 | ||
† | Cubist Pharmaceuticals | 15,880 | 371,433 | ||
† | Cyberonics | 14,500 | 386,860 | ||
† | eResearch Technology | 31,300 | 234,124 | ||
Fleury | 92,500 | 1,146,385 | |||
*† | Gen-Probe | 5,000 | 242,300 | ||
*† | HealthSouth | 48,530 | 931,776 | ||
*† | Human Genome Sciences | 14,500 | 431,955 | ||
† | ICON ADR | 43,400 | 938,308 | ||
*† | Idenix Pharmaceuticals | 46,000 | 142,600 | ||
*† | IDEXX Laboratories | 9,000 | 555,480 | ||
*† | Illumina | 8,000 | 393,600 | ||
*† | Incyte | 71,000 | 1,135,290 | ||
*† | Isis Pharmaceuticals | 35,000 | 294,000 | ||
* | Lincare Holdings | 42,795 | 1,073,727 | ||
*† | Mednax | 4,000 | 213,200 | ||
*† | Micromet | 45,250 | 304,080 | ||
† | Nanosphere | 20,000 | 100,600 | ||
*† | Nektar Therapeutics | 30,000 | 443,100 | ||
† | NPS Pharmaceuticals | 60,000 | 410,400 | ||
*† | Onyx Pharmaceuticals | 36,010 | 949,944 | ||
† | Orthofix International | 16,000 | 502,720 | ||
* | Owens & Minor | 46,180 | 1,314,283 | ||
† | Parexel International | 73,870 | 1,708,613 | ||
Pharmaceutical Product | |||||
Development | 86,170 | 2,136,153 | |||
† | Pharmasset | 20,100 | 592,950 | ||
*† | PSS World Medical | 34,000 | 726,920 | ||
* | Quality Systems | 7,500 | 497,325 | ||
*† | Regeneron Pharmaceuticals | 39,560 | 1,083,944 | ||
*† | Salix Pharmaceuticals | 27,630 | 1,097,464 | ||
*† | Seattle Genetics | 83,390 | 1,295,047 | ||
*† | Sirona Dental Systems | 9,000 | 324,360 | ||
† | SXC Health Solutions | 42,860 | 1,563,104 | ||
*† | United Therapeutics | 8,500 | 476,085 | ||
† | Vermillion | 8,111 | 44,773 | ||
† | Volcano | 67,189 | 1,745,569 | ||
† | WellCare Health Plans | 20,123 | 582,762 | ||
34,971,391 | |||||
Materials & Processing – 2.66% | |||||
* | Acuity Brands | 28,500 | 1,260,840 | ||
Albemarle | 10,600 | 496,186 | |||
*† | Beacon Roofing Supply | 69,960 | 1,019,317 | ||
Greif Class A | 4,700 | 276,548 | |||
Huabao International Holdings | 261,740 | 408,183 | |||
Kaydon | 13,300 | 460,180 | |||
† | LSB Industries | 2,100 | 38,997 | ||
Silgan Holdings | 60,330 | 1,912,461 | |||
*† | Trex | 14,670 | 279,757 | ||
† | United States Lime & Minerals | 8,000 | 309,280 | ||
6,461,749 | |||||
Producer Durables – 17.04% | |||||
† | Advisory Board | 800 | 35,320 | ||
† | Aecom Technology | 58,400 | 1,416,784 | ||
Albany International | 10,000 | 189,200 | |||
* | Allegiant Travel | 20,730 | 877,294 | ||
AMETEK | 37,000 | 1,767,490 | |||
*† | Bristow Group | 12,000 | 432,960 | ||
† | CAI International | 38,300 | 581,011 | ||
Copa Holdings Class A | 33,270 | 1,793,586 | |||
*† | Corrections Corp. of America | 121,560 | 3,000,101 | ||
* | Donaldson | 48,900 | 2,304,657 | ||
* | ESCO Technologies | 11,200 | 372,512 | ||
† | ExlService Holdings | 39,000 | 758,550 | ||
* | GATX | 30,700 | 900,124 | ||
*† | GrafTech International | 31,500 | 492,345 | ||
*† | H&E Equipment Services | 67,300 | 536,381 | ||
* | Heartland Express | 42,000 | 624,540 | ||
* | Herman Miller | 53,300 | 1,048,944 |
42
Number of | Value | ||||
Shares | (U.S. $) | ||||
Common Stock (continued) | |||||
Producer Durables (continued) | |||||
Hunt (J.B.) Transport Services | 50,790 | $ | 1,762,413 | ||
Kennametal | 16,000 | 494,880 | |||
* | Knoll | 113,100 | 1,754,181 | ||
† | Lexmark International Class A | 27,930 | 1,246,237 | ||
McGrath Rentcorp | 11,600 | 277,820 | |||
*† | Mettler-Toledo International | 25,500 | 3,173,220 | ||
† | Moog Class A | 25,600 | 909,056 | ||
* | Nordson | 47,000 | 3,463,430 | ||
† | Old Dominion Freight Line | 55,144 | 1,401,760 | ||
*† | Oshkosh | 23,200 | 638,000 | ||
* | Overseas Shipholding Group | 32,620 | 1,119,518 | ||
* | Pentair | 17,000 | 571,710 | ||
*† | Quanta Services | 38,300 | 730,764 | ||
Regal-Beloit | 43,020 | 2,524,844 | |||
*† | SYKES Enterprises | 86,716 | 1,177,603 | ||
* | Toro | 11,500 | 646,645 | ||
† | United Rentals | 70,700 | 1,049,188 | ||
* | World Fuel Services | 21,500 | 559,215 | ||
*† | Zebra Technologies | 24,000 | 807,360 | ||
41,439,643 | |||||
Technology – 26.14% | |||||
AAC Acoustic Technologies Holdings | 392,000 | 854,843 | |||
† | AboveNet | 14,500 | 755,305 | ||
† | Acme Packet | 19,200 | 728,448 | ||
† | Actuate | 50,000 | 257,500 | ||
† | Acxiom | 14,000 | 222,040 | ||
Amphenol Class A | 28,400 | 1,391,032 | |||
† | ANSYS | 39,000 | 1,647,750 | ||
*† | Applied Micro Circuits | 116,590 | 1,165,900 | ||
*† | Art Technology Group | 262,000 | 1,082,060 | ||
*† | Aruba Networks | 44,580 | 951,337 | ||
† | Atheros Communications | 26,500 | 698,275 | ||
*† | Atmel | 172,000 | 1,369,120 | ||
*† | Blackboard | 11,000 | 396,440 | ||
*† | Blue Coat Systems | 22,000 | 529,320 | ||
*† | Cavium Networks | 28,200 | 811,032 | ||
† | Commscope | 31,570 | 749,472 | ||
*† | Concur Technologies | 48,200 | 2,383,008 | ||
† | Crown Castle International | 56,000 | 2,472,400 | ||
*† | Entegris | 124,500 | 581,415 | ||
*† | Entravision Communications Clasa A | 50,000 | 99,500 | ||
*† | Equinix | 19,092 | 1,954,066 | ||
*† | Finisar | 150,020 | 2,818,876 | ||
*† | FLIR Systems | 17,000 | 436,900 | ||
*† | GSI Commerce | 48,500 | 1,197,950 | ||
† | Hackett Group | 30,500 | 125,965 | ||
† | II-VI | 34,800 | 1,299,084 | ||
*† | Infinera | 19,000 | 221,730 | ||
*† | Informatica | 110,670 | 4,250,835 | ||
† | IPG Photonics | 71,000 | 1,713,940 | ||
† | Ixia | 17,000 | 210,800 | ||
* | Jabil Circuit | 117,200 | 1,688,852 | ||
† | Microsemi | 67,000 | 1,149,050 | ||
*† | Monolithic Power Systems | 20,000 | 326,600 | ||
*† | NETGEAR | 16,000 | 432,160 | ||
*† | NetLogic Microsystems | 29,290 | 807,818 | ||
† | NICE Systems ADR | 11,000 | 344,190 | ||
*† | Omnivision Technologies | 50,340 | 1,159,834 | ||
*† | ON Semiconductor | 147,600 | 1,064,196 | ||
† | Parametric Technology | 77,100 | 1,506,534 | ||
† | Plexus | 59,440 | 1,744,564 | ||
*† | Polycom | 120,100 | 3,276,328 | ||
* | Power Integrations | 30,580 | 972,138 | ||
*† | Qlik Technologies | 21,500 | 474,075 | ||
† | Quest Software | 8,500 | 209,015 | ||
*† | Riverbed Technology | 33,080 | 1,507,786 | ||
*† | Rovi | 22,400 | 1,129,184 | ||
† | Salem Communications Class A | 33,000 | 96,855 | ||
† | Sanmina-SCI | 132,360 | 1,598,909 | ||
*† | SBA Communications Class A | 46,500 | 1,873,950 | ||
*† | Skyworks Solutions | 106,930 | 2,211,312 | ||
† | SRA International Class A | 31,600 | 623,152 | ||
*† | Stratasys | 18,000 | 498,960 | ||
*† | SuccessFactors | 62,840 | 1,577,912 | ||
† | Supertex | 41,000 | 906,920 | ||
† | Tibco Software | 34,470 | 611,498 | ||
Totvs | 11,000 | 835,887 | |||
*† | Trimble Navigation | 6,000 | 210,240 | ||
*† | Tyler Technologies | 8,500 | 171,360 | ||
*† | Virtusa | 85,411 | 827,633 | ||
*† | Websense | 21,460 | 380,700 | ||
63,593,955 | |||||
Utilities – 2.16% | |||||
*† | MetroPCS Communications | 149,630 | 1,565,130 | ||
† | PAETEC Holding | 255,000 | 1,048,050 | ||
*† | tw telecom Class A | 142,000 | 2,636,940 | ||
5,250,120 | |||||
Total Common Stock | |||||
(cost $210,075,554) | 240,806,673 | ||||
Warrants – 0.00% | |||||
†= | Isoray, exercise price $5.00, | ||||
expiration date 3/22/11 | 28,000 | 0 | |||
†=#@ | Medicure PIPE 144A | 74,014 | 0 | ||
Total Warrants (cost $0) | 0 |
(continues) 43
Statements of net assets
Optimum Small-Mid Cap Growth Fund
Principal | Value | |||||||
Amount (U.S. $) | (U.S. $) | |||||||
≠Discount Note – 1.59% | ||||||||
Federal Home Loan Bank | ||||||||
0.007% 10/1/10 | $ | 3,857,002 | $ | 3,857,002 | ||||
Total Discount Note | ||||||||
(cost $3,857,002) | 3,857,002 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 100.60% | ||||||||
cost ($213,932,556) | 244,663,675 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 10.03% | ||||||||
Investment Companies | ||||||||
BNY Mellon Securities Lending | ||||||||
Overnight Fund | 23,895,953 | 23,895,953 | ||||||
BNY Mellon SL DBT II | ||||||||
Liquidating Fund | 497,052 | 481,494 | ||||||
@† | Mellon GSL Reinvestment Trust II | 510,265 | 26,381 | |||||
Total Securities Lending Collateral | ||||||||
(cost $24,903,270) | 24,403,828 | |||||||
Total Value of Securities – 110.63% | ||||||||
(cost $238,835,826) | 269,067,503 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (10.24%) | (24,903,270 | ) | ||||||
Liabilities Net of Receivables and | ||||||||
Other Assets – (0.39%) | (951,351 | ) | ||||||
Net Assets Applicable to 21,844,993 | ||||||||
Shares Outstanding – 100.00% | $ | 243,212,882 | ||||||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | ||||||||
Class A ($5,874,893 / 536,741 Shares) | $10.95 | |||||||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | ||||||||
Class B ($988,444 / 94,777 Shares) | $10.43 | |||||||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | ||||||||
Class C ($21,316,901 / 2,044,477 Shares) | $10.43 | |||||||
Net Asset Value – Optimum Small-Mid Cap Growth Fund | ||||||||
Institutional Class ($215,032,644 / 19,168,998 Shares) | $11.22 | |||||||
Components of Net Assets at September 30, 2010: | ||||||||
Shares of beneficial interest | ||||||||
(unlimited authorization – no par) | $ | 228,572,644 | ||||||
Undistributed net investment income | 82,860 | |||||||
Accumulated net realized loss on investments | (15,594,240 | ) | ||||||
Net unrealized appreciation of investments and | ||||||||
foreign currencies | 30,151,618 | |||||||
Total net assets | $ | 243,212,882 |
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, 2010, 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, 2010, the aggregate amount of illiquid securities was $26,381, which represented 0.01% 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, 2010, 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.” |
≠ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
© | Includes $24,319,952 of securities loaned. |
Summary of Abbreviations:
ADR — American Depositary Receipts
AUD — Australian Dollar
GBP — British Pound Sterling
HKD — Hong Kong Dollar
MNB — Mellon National Bank
PIPE — Private Investment in Public Equity
USD — United States Dollar
ADR — American Depositary Receipts
AUD — Australian Dollar
GBP — British Pound Sterling
HKD — Hong Kong Dollar
MNB — Mellon National Bank
PIPE — Private Investment in Public Equity
USD — United States Dollar
Net Asset Value and Offering Price Per Share – | ||
Optimum Small-Mid Cap Growth Fund | ||
Net asset value Class A (A) | $ | 10.95 |
Sales charge (5.75% of offering price) (B) | 0.67 | |
Offering price | $ | 11.62 |
(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. |
1The following foreign currency exchange contracts were outstanding at September 30, 2010:
Foreign Currency Exchange Contracts
Contracts to | Settlement | Unrealized | |||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Depreciation | |||||||||||
MNB | AUD | (640,000 | ) | USD | 540,755 | 10/5/10 | $ | 77,516 | |||||||
MNB | GBP | 369,366 | USD | (585,553 | ) | 10/1/10 | 5,300 | ||||||||
MNB | HKD | 2,845,609 | USD | (366,778 | ) | 10/1/10 | 22 | ||||||||
$ | 82,838 |
The use of foreign currency exchange 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, which are an integral part of the financial statements.
44
Optimum Small-Mid Cap Value Fund
September 30, 2010 (Unaudited)
Number of | ||||||
Shares | Value | |||||
Common Stock – 92.94% | ||||||
Basic Industry – 18.52% | ||||||
* | AAON | 61,825 | $ | 1,454,124 | ||
Airgas | 10,200 | 693,090 | ||||
Albany International | 137,400 | 2,599,609 | ||||
Albemarle | 30,400 | 1,423,024 | ||||
AMETEK | 23,500 | 1,122,595 | ||||
Aptargroup | 33,900 | 1,548,213 | ||||
Ashland | 14,000 | 682,780 | ||||
* | Brady Class A | 28,800 | 840,096 | |||
Carlisle | 25,000 | 748,750 | ||||
* | Cliffs Natural Resources | 11,300 | 722,296 | |||
Crane | 44,800 | 1,699,712 | ||||
* | Cytec Industries | 27,800 | 1,567,364 | |||
Dover | 34,000 | 1,775,140 | ||||
Eastman Chemical | 33,800 | 2,501,200 | ||||
* | Federal Signal | 140,000 | 754,600 | |||
† | Ferro | 189,600 | 2,443,944 | |||
* | FMC | 27,000 | 1,847,070 | |||
† | Griffon | 56,000 | 682,640 | |||
Ingersoll-Rand | 48,000 | 1,714,080 | ||||
† | KapStone Paper & Packaging | 79,800 | 968,772 | |||
Lubrizol | 4,000 | 423,880 | ||||
Minerals Technologies | 32,000 | 1,885,440 | ||||
† | Owens-Illinois | 40,000 | 1,122,400 | |||
Packaging Corp. of America | 27,200 | 630,224 | ||||
* | Sonoco Products | 59,400 | 1,986,336 | |||
* | Temple-Inland | 30,800 | 574,728 | |||
*† | Trex | 36,800 | 701,776 | |||
US Ecology | 91,953 | 1,471,248 | ||||
36,585,131 | ||||||
Business Services – 3.51% | ||||||
* | Courier | 28,760 | 408,967 | |||
* | Donnelley (R.R.) & Sons | 64,800 | 1,099,008 | |||
Ennis | 83,890 | 1,500,792 | ||||
* | Fair Isaac | 66,050 | 1,628,793 | |||
*† | School Specialty | 45,000 | 585,450 | |||
† | WESCO International | 43,800 | 1,720,902 | |||
6,943,912 | ||||||
Capital Spending – 11.04% | ||||||
* | Acuity Brands | 39,500 | 1,747,480 | |||
† | Advanced Energy Industries | 100,325 | 1,310,245 | |||
*† | AGCO | 40,300 | 1,572,103 | |||
Gardner Denver | 26,800 | 1,438,624 | ||||
Graham | 88,689 | 1,376,453 | ||||
* | Granite Construction | 53,700 | 1,221,138 | |||
Harsco | 31,500 | 774,270 | ||||
Hubbell Class B | 21,300 | 1,080,975 | ||||
IDEX | 28,700 | 1,019,137 | ||||
*† | Insituform Technologies Class A | 42,000 | 1,015,560 | |||
* | Kennametal | 80,100 | 2,477,493 | |||
Stanley Black & Decker | 34,200 | 2,095,776 | ||||
Tennant | 33,988 | 1,050,229 | ||||
Timken | 19,900 | 763,364 | ||||
Tyco International | 26,700 | 980,691 | ||||
† | URS | 36,200 | 1,374,876 | |||
*† | Wabash National | 63,330 | 512,340 | |||
21,810,754 | ||||||
Consumer Cyclical – 6.77% | ||||||
Barnes Group | 110,000 | 1,934,900 | ||||
*† | BorgWarner | 31,500 | 1,657,530 | |||
* | Ethan Allen Interiors | 106,800 | 1,864,728 | |||
* | Hooker Furniture | 119,894 | 1,394,367 | |||
* | Knoll | 115,000 | 1,783,650 | |||
†Lear | 17,600 | 1,389,168 | ||||
* | Leggett & Platt | 27,000 | 614,520 | |||
*† | Navistar International | 31,900 | 1,392,116 | |||
* | Tupperware Brands | 29,200 | 1,336,192 | |||
13,367,171 | ||||||
Consumer Services – 7.48% | ||||||
† | BJ’s Wholesale Club | 29,600 | 1,228,400 | |||
Brinker International | 27,400 | 516,764 | ||||
*† | Collective Brands | 133,300 | 2,151,461 | |||
Foot Locker | 145,600 | 2,115,568 | ||||
*† | GameStop Class A | 33,000 | 650,430 | |||
*† | Genesco | 24,500 | 732,060 | |||
*† | Gymboree | 33,500 | 1,391,590 | |||
*† | Jos. A. Bank Clothiers | 38,250 | 1,629,833 | |||
† | Krispy Kreme Doughnuts | 21,476 | 98,360 | |||
PETsMART | 20,700 | 724,500 | ||||
† | Rush Enterprises Class A | 52,800 | 809,952 | |||
† | Signet Jewelers | 45,700 | 1,450,518 | |||
* | Sturm Ruger | 93,792 | 1,279,323 | |||
14,778,759 | ||||||
Consumer Staples – 2.44% | ||||||
*† | Chiquita Brands International | 98,373 | 1,302,459 | |||
Dr Pepper Snapple Group | 17,800 | 632,256 | ||||
Molson Coors Brewing Class B | 21,600 | 1,019,952 | ||||
Smucker (J.M.) | 20,500 | 1,240,865 | ||||
* | Supervalu | 54,000 | 622,620 | |||
4,818,152 | ||||||
Energy – 6.50% | ||||||
* | Cabot Oil & Gas | 50,200 | 1,511,522 | |||
Frontier Oil | 111,500 | 1,494,100 | ||||
Gulf Island Fabrication | 61,166 | 1,113,221 | ||||
Laclede Group | 38,198 | 1,314,775 | ||||
† | Newpark Resources | 212,850 | 1,787,940 | |||
† | Plains Exploration & Production | 58,100 | 1,549,527 | |||
*† | Rowan | 46,700 | 1,417,812 | |||
Southern Union | 55,500 | 1,335,330 | ||||
† | Vaalco Energy | 229,503 | 1,317,347 | |||
12,841,574 | ||||||
Financial Services – 11.94% | ||||||
American Equity Investment Life Holding | 169,120 | 1,731,789 | ||||
Aspen Insurance Holdings | 46,600 | 1,411,048 | ||||
AXIS Capital Holdings | 40,800 | 1,343,952 |
(continues) 45
Statements of net assets
Optimum Small-Mid Cap Value Fund
Number of | ||||||||
Shares | Value | |||||||
Common Stock (continued) | ||||||||
Financial Services (continued) | ||||||||
Commerce Bancshares | 32,655 | $ | 1,227,501 | |||||
Dime Community Bancshares | 127,750 | 1,769,338 | ||||||
East West Bancorp | 76,700 | 1,248,676 | ||||||
Eaton Vance | 42,000 | 1,219,680 | ||||||
First Financial Bancorp | 40,500 | 675,540 | ||||||
First Niagara Financial Group | 56,400 | 657,060 | ||||||
† | FPIC Insurance Group | 43,372 | 1,521,923 | |||||
† | Hallmark Financial Services | 145,844 | 1,274,677 | |||||
HCC Insurance Holdings | 46,900 | 1,223,621 | ||||||
Horace Mann Educators | 103,950 | 1,848,231 | ||||||
Hudson City Bancorp | 104,000 | 1,275,040 | ||||||
Lazard Class A | 43,600 | 1,529,488 | ||||||
† | Nara Bancorp | 43,700 | 308,522 | |||||
Safety Insurance Group | 17,500 | 735,350 | ||||||
* | Suffolk Bancorp | 52,645 | 1,332,971 | |||||
Transatlantic Holdings | 11,200 | 569,184 | ||||||
Willis Group Holdings | 22,000 | 678,040 | ||||||
23,581,631 | ||||||||
Healthcare – 4.75% | ||||||||
* | Beckman Coulter | 28,200 | 1,375,878 | |||||
*† | CareFusion | 56,000 | 1,391,040 | |||||
DENTSPLY International | 38,600 | 1,234,042 | ||||||
*† | Laboratory Corp. of America Holdings | 17,500 | 1,372,525 | |||||
† | LifePoint Hospitals | 30,720 | 1,077,043 | |||||
*† | Natus Medical | 18,100 | 263,717 | |||||
† | RehabCare Group | 74,326 | 1,502,872 | |||||
Universal Health Services Class B | 30,300 | 1,177,458 | ||||||
9,394,575 | ||||||||
Real Estate – 0.69% | ||||||||
* | Equity Lifestyle Properties | 13,100 | 713,688 | |||||
* | Healthcare Realty Trust | 27,400 | 640,886 | |||||
1,354,574 | ||||||||
Technology – 16.38% | ||||||||
† | Alliant Techsystems | 9,600 | 723,840 | |||||
* | Altera | 26,200 | 790,192 | |||||
Amphenol Class A | 15,100 | 739,598 | ||||||
*† | CACI International Class A | 20,300 | 918,778 | |||||
@† | Checkpoint Systems | 120,600 | 2,454,211 | |||||
Cohu | 82,748 | 1,041,797 | ||||||
*† | CommScope | 59,400 | 1,410,156 | |||||
* | Diebold | 12,600 | 391,734 | |||||
Ducommun | 62,970 | 1,371,487 | ||||||
†Esterline Technologies | 23,200 | 1,327,736 | ||||||
*† | Fairchild Semiconductor International | 81,800 | 768,920 | |||||
† | Flextronics International | 405,599 | 2,449,818 | |||||
* | Gentex | 68,900 | 1,344,239 | |||||
Harris | 20,000 | 885,800 | ||||||
*† | InterDigital | 50,500 | 1,495,305 | |||||
*† | Intermec | 39,800 | 487,948 | |||||
† | McAfee | 14,000 | 661,640 | |||||
Methode Electronics | 148,928 | 1,352,266 | ||||||
† | Quest Software | 56,300 | 1,384,417 | |||||
† | Rudolph Technologies | 182,072 | 1,513,018 | |||||
*† | STEC | 78,600 | 978,570 | |||||
*† | Stratasys | 34,800 | 964,656 | |||||
*† | Teradyne | 72,600 | 808,764 | |||||
† | Thermo Fisher Scientific | 35,800 | 1,714,104 | |||||
*† | VASCO Data Security International | 217,478 | 1,413,607 | |||||
*† | Vishay Intertechnology | 168,700 | 1,633,016 | |||||
† | Western Digital | 46,900 | 1,331,491 | |||||
32,357,108 | ||||||||
Transportation – 1.13% | ||||||||
@ | Alexander & Baldwin | 27,700 | 965,068 | |||||
* | SkyWest | 90,860 | 1,268,406 | |||||
2,233,474 | ||||||||
Utilities – 1.79% | ||||||||
* | DPL | 51,500 | 1,345,695 | |||||
* | DTE Energy | 16,600 | 762,438 | |||||
* | Wisconsin Energy | 24,700 | 1,427,660 | |||||
3,535,793 | ||||||||
Total Common Stock | ||||||||
(cost $152,651,657) | 183,602,608 | |||||||
Principal | ||||||||
Amount | ||||||||
≠Discount Note – 7.05% | ||||||||
Federal Home Loan Bank | ||||||||
0.007% 10/1/10 | $ | 13,938,006 | 13,938,006 | |||||
Total Discount Note | ||||||||
(cost $13,938,006) | 13,938,006 | |||||||
Total Value of Securities Before Securities | ||||||||
Lending Collateral – 99.99% | ||||||||
(cost $166,589,663) | 197,540,614 | |||||||
Number of | ||||||||
Shares | ||||||||
Securities Lending Collateral** – 6.51% | ||||||||
Investment Companies | ||||||||
BNY Mellon Securities Lending | ||||||||
Overnight Fund | 12,550,724 | 12,550,724 | ||||||
BNY Mellon SL DBT II | ||||||||
Liquidating Fund | 300,306 | 290,906 | ||||||
@† | Mellon GSL Reinvestment Trust II | 263,528 | 13,624 | |||||
Total Securities Lending Collateral | ||||||||
(cost $13,114,558) | 12,855,254 | |||||||
Total Value of Securities – 106.50% | ||||||||
(cost $179,704,221) | 210,395,868 | © | ||||||
Obligation to Return Securities | ||||||||
Lending Collateral** – (6.64%) | (13,114,558 | ) | ||||||
Receivables and Other Assets | ||||||||
Net of Liabilities – 0.14% | 276,833 | |||||||
Net Assets Applicable to 19,388,366 | ||||||||
Shares Outstanding – 100.00% | $ | 197,558,143 |
46
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Class A ($5,284,330 / 527,021 Shares) | $ | 10.03 | ||
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Class B ($971,487 / 101,985 Shares) | $ | 9.53 | ||
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Class C ($20,206,095 / 2,122,258 Shares) | $ | 9.52 | ||
Net Asset Value – Optimum Small-Mid Cap Value Fund | ||||
Institutional Class ($171,096,231 / 16,637,102 Shares) | $ | 10.28 |
Components of Net Assets at September 30, 2010: | ||||
Shares of beneficial interest | ||||
(unlimited authorization – no par) | $195,649,283 | |||
Accumulated net realized loss on investments | (28,782,787 | ) | ||
Net unrealized appreciation of investments | 30,691,647 | |||
Total net assets | $197,558,143 |
* | Fully or partially on loan. |
† | Non income producing security. |
@ | Illiquid security. At September 30, 2010, the aggregate amount of illiquid securities was $3,432,903, which represented 1.74% of the Fund’s net assets. See Note 9 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
** | See Note 8 in “Notes to financial statements.” |
© | Includes $13,036,651 of securities loaned. |
Net Asset Value and Offering Price Per Share – | ||||||
Optimum Small-Mid Cap Value Fund | ||||||
Net asset value Class A (A) | $ | 10.03 | ||||
Sales charge (5.75% of offering price) (B) | 0.61 | |||||
Offering price | $ | 10.64 |
(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, which are an integral part of the financial statements.
47
Statements of assets and liabilities
Optimum Fund Trust
September 30, 2010 (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 | $ | 908,900,723 | $ | 195,199,613 | $ | 684,872,133 | $ | 631,832,603 | $ | 240,806,673 | $ | 183,602,608 | |||||||||
Short-term investments, at value | 60,825,028 | 4,361,002 | 28,521,013 | 8,356,004 | 3,857,002 | 13,938,006 | |||||||||||||||
Short-term investments held as collateral | |||||||||||||||||||||
for loaned securities, at value | 46,457,845 | 25,068,547 | 50,672,900 | 50,212,204 | 24,403,828 | 12,855,254 | |||||||||||||||
Cash | 2,302,693 | — | 197,702 | 191,226 | 28,890 | 54,370 | |||||||||||||||
Restricted cash | 1,540,000 | — | — | — | — | — | |||||||||||||||
Receivables for securities sold | 20,471,693 | 3,876,984 | 10,290,653 | 367,863 | 2,894,871 | 1,015,236 | |||||||||||||||
Dividends and interest receivable | 8,644,914 | 628,757 | 612,541 | 1,194,781 | 128,901 | 170,119 | |||||||||||||||
Receivables for fund shares sold | 2,215,868 | 283,943 | 1,234,412 | 1,135,299 | 524,096 | 406,149 | |||||||||||||||
Credit default swap contracts, at value | |||||||||||||||||||||
(including up front payments received $910,388) | 1,107,036 | — | — | — | — | — | |||||||||||||||
Foreign currencies, at value | 1,041,073 | 2,669,736 | 24,406 | 5,745 | — | — | |||||||||||||||
Variation margin receivable on futures contracts | 22,829 | — | — | — | — | — | |||||||||||||||
Foreign currency forward contracts, at value | 30,997 | 64,553 | — | — | — | — | |||||||||||||||
Securities lending income receivable | 6,718 | 11,153 | 6,682 | 225 | 8,401 | 1,530 | |||||||||||||||
Other assets | 1,594 | 9 | — | 36 | — | — | |||||||||||||||
Total assets | 1,053,569,011 | 232,164,297 | 776,432,442 | 693,295,986 | 272,652,662 | 212,043,272 | |||||||||||||||
Liabilities: | |||||||||||||||||||||
Cash overdraft | — | 109,260 | — | — | — | — | |||||||||||||||
Payables for securities purchased | 84,413,274 | 3,932,614 | 17,420,552 | 774,511 | 3,034,838 | 1,006,305 | |||||||||||||||
Obligation to return securities lending collateral | 47,683,091 | 25,702,254 | 51,709,828 | 51,234,534 | 24,903,270 | 13,114,558 | |||||||||||||||
Foreign currency forward contracts, at value | 1,694,515 | — | — | — | 82,838 | — | |||||||||||||||
Payables for fund shares redeemed | 571,753 | 176,283 | 498,294 | 424,413 | 150,983 | 109,022 | |||||||||||||||
Swaptions (including premium paid $254,535) | 184,618 | — | — | — | — | — | |||||||||||||||
Accrued protection payments on credit default swaps | 5,779 | — | — | — | — | — | |||||||||||||||
Foreign currencies, at value | — | — | — | — | 947,010 | — | |||||||||||||||
Due to manager and affiliates | 135,945 | 86,808 | 99,097 | 109,689 | 33,121 | 40,128 | |||||||||||||||
Other accrued expenses | 836,728 | 213,335 | 773,594 | 688,442 | 286,975 | 214,468 | |||||||||||||||
Other liabilities | — | — | — | — | 745 | 648 | |||||||||||||||
Total liabilities | 135,525,703 | 30,220,554 | 70,501,365 | 53,231,589 | 29,439,780 | 14,485,129 | |||||||||||||||
Total Net Assets | $ | 918,043,308 | $ | 201,943,743 | $ | 705,931,077 | $ | 640,064,397 | $ | 243,212,882 | $ | 197,558,143 | |||||||||
Investments, at cost | $ | 868,647,787 | $ | 183,866,551 | $ | 608,155,205 | $ | 621,166,561 | $ | 210,075,554 | $ | 152,651,657 | |||||||||
Short-term investments, at cost | 60,825,028 | 4,361,002 | 28,521,013 | 8,356,004 | 3,857,002 | 13,938,006 | |||||||||||||||
Short-term investments held as collateral | |||||||||||||||||||||
for loaned securities, at cost | 47,683,091 | 25,702,254 | 51,709,828 | 51,234,534 | 24,903,270 | 13,114,558 | |||||||||||||||
Foreign currencies, at cost | 1,032,497 | 2,649,283 | 24,119 | 5,715 | — | — | |||||||||||||||
1including securities on loaned | 45,648,120 | 24,095,731 | 50,512,209 | 50,403,033 | 24,319,952 | 13,036,651 |
See accompanying notes, which are an integral part of the financial statements.
48
Statements of operations
Optimum Fund Trust
Six Months Ended September 30, 2010 (Unaudited)
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 | ||||||||||||||||||||
Investment Income: | |||||||||||||||||||||||||
Dividends | $ | 40,923 | $ | 3,856,994 | $ | 3,413,793 | $ | 8,018,475 | $ | 710,544 | $ | 1,219,640 | |||||||||||||
Interest | 24,554,012 | 2,959 | 17,515 | 3,976 | 3,448 | 7,592 | |||||||||||||||||||
Securities lending income | 51,929 | 119,100 | 42,164 | 38,355 | 35,479 | 12,528 | |||||||||||||||||||
Foreign tax withheld | (52,250 | ) | (352,547 | ) | (10,530 | ) | (40,007 | ) | (2,176 | ) | — | ||||||||||||||
24,594,614 | 3,626,506 | 3,462,942 | 8,020,799 | 747,295 | 1,239,760 | ||||||||||||||||||||
Expenses: | |||||||||||||||||||||||||
Management fees | 2,522,746 | 776,177 | 2,602,630 | 2,276,918 | 1,284,512 | 977,199 | |||||||||||||||||||
Dividend disbursing and transfer agent | |||||||||||||||||||||||||
fees and expenses | 1,107,448 | 328,831 | 907,635 | 842,878 | 379,274 | 330,493 | |||||||||||||||||||
Distribution expenses – Class A | 71,587 | 18,954 | 57,012 | 54,223 | 10,689 | 9,507 | |||||||||||||||||||
Distribution expenses – Class B | 27,554 | 10,005 | 27,690 | 26,876 | 5,162 | 5,077 | |||||||||||||||||||
Distribution expenses – Class C | 856,089 | 196,717 | 604,984 | 579,634 | 109,813 | 103,340 | |||||||||||||||||||
Administration expenses | 664,943 | 158,093 | 539,228 | 500,810 | 192,677 | 156,585 | |||||||||||||||||||
Accounting fees | 171,017 | 38,088 | 135,316 | 124,408 | 46,421 | 37,725 | |||||||||||||||||||
Reports and statements to shareholders | 72,780 | 18,468 | 50,679 | 42,448 | 15,338 | 17,371 | |||||||||||||||||||
Professional fees | 66,545 | 27,595 | 47,136 | 44,769 | 25,390 | 23,092 | |||||||||||||||||||
Trustees’ fees | 63,993 | 15,008 | 54,363 | 48,731 | 19,120 | 15,390 | |||||||||||||||||||
Registration fees | 63,217 | 36,822 | 58,104 | 64,041 | 35,832 | 38,847 | |||||||||||||||||||
Custodian fees | 48,859 | 96,790 | 16,811 | 9,050 | 7,963 | 4,554 | |||||||||||||||||||
Pricing fees | 23,603 | 7,919 | 945 | 772 | 1,032 | 431 | |||||||||||||||||||
Insurance fees | 21,434 | 5,000 | 18,980 | 16,886 | 5,208 | 4,225 | |||||||||||||||||||
Other | 2,672 | 2,773 | 4,510 | 5,092 | 2,326 | 2,277 | |||||||||||||||||||
5,784,487 | 1,737,240 | 5,126,023 | 4,637,536 | 2,140,757 | 1,726,113 | ||||||||||||||||||||
Less fees waived | (531,093 | ) | (169,352 | ) | (156,475 | ) | (69,932 | ) | (205,108 | ) | (201,374 | ) | |||||||||||||
Less expense paid indirectly | (230 | ) | (247 | ) | (257 | ) | (256 | ) | (250 | ) | (256 | ) | |||||||||||||
Total operating expenses | 5,253,164 | 1,567,641 | 4,969,291 | 4,567,348 | 1,935,399 | 1,524,483 | |||||||||||||||||||
Net Investment Income (Loss) | 19,341,450 | 2,058,865 | (1,506,349 | ) | 3,453,451 | (1,188,104 | ) | (284,723 | ) | ||||||||||||||||
Net Realized and Unrealized Gain (Loss) on | |||||||||||||||||||||||||
Investments and Foreign Currencies: | |||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||
Investments | 3,375,746 | (3,781,909 | ) | 15,045,049 | 4,120,757 | 5,395,463 | 5,616,590 | ||||||||||||||||||
Futures contracts | 758,203 | 124,390 | — | — | — | — | |||||||||||||||||||
Swap contracts | (1,367,356 | ) | — | — | — | — | — | ||||||||||||||||||
Foreign currencies | (1,769,323 | ) | (9,888 | ) | (139,741 | ) | 12,705 | (76,167 | ) | — | |||||||||||||||
Net realized gain (loss) | 997,270 | (3,667,407 | ) | 14,905,308 | 4,133,462 | 5,319,296 | 5,616,590 | ||||||||||||||||||
Net change in unrealized appreciation/depreciation | |||||||||||||||||||||||||
of investments and foreign currencies | 34,854,753 | 4,114,993 | (23,764,023 | ) | (22,094,363 | ) | (8,050,201 | ) | (5,734,835 | ) | |||||||||||||||
Net Realized and Unrealized Gain (Loss) on | |||||||||||||||||||||||||
Investments and Foreign Currencies | 35,852,023 | 447,586 | (8,858,715 | ) | (17,960,901 | ) | (2,730,905 | ) | (118,245 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | |||||||||||||||||||||||||
Resulting from Operations | $ | 55,193,473 | $ | 2,506,451 | $ | (10,365,064 | ) | $ | (14,507,450 | ) | $ | (3,919,009 | ) | $ | (402,968 | ) |
See accompanying notes, which are an integral part of the financial statements.
49
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | |||||||||||||||
Six Months Ended 9/30/10 | Year Ended 3/31/10 | Six Months Ended 9/30/10 | Year Ended 3/31/10 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 19,341,450 | $ | 53,636,499 | $ | 2,058,865 | $ | 2,399,523 | ||||||||
Net realized gain (loss) on investments and foreign currencies | 997,270 | 21,137,947 | (3,667,407 | ) | 12,072,059 | |||||||||||
Net change in unrealized appreciation/depreciation of investments | ||||||||||||||||
and foreign currencies | 34,854,753 | 97,067,875 | 4,114,993 | 46,250,763 | ||||||||||||
Net increase in net assets resulting from operations | 55,193,473 | 171,842,321 | 2,506,451 | 60,722,345 | ||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | (743,189 | ) | (2,704,699 | ) | (174,283 | ) | (210,267 | ) | ||||||||
Class B | (91,997 | ) | (348,148 | ) | (20,117 | ) | (36,894 | ) | ||||||||
Class C | (2,845,497 | ) | (10,367,571 | ) | (399,968 | ) | (708,469 | ) | ||||||||
Institutional Class | (11,946,141 | ) | (34,129,218 | ) | (2,614,835 | ) | (1,850,644 | ) | ||||||||
(15,626,824 | ) | (47,549,636 | ) | (3,209,203 | ) | (2,806,274 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 2,855,732 | 3,385,107 | 516,518 | 988,480 | ||||||||||||
Class B | 42,955 | 60,379 | 502 | 24,001 | ||||||||||||
Class C | 10,806,452 | 17,921,759 | 1,285,534 | 3,561,654 | ||||||||||||
Institutional Class | 142,084,938 | 194,426,459 | 17,060,085 | 60,448,982 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends | ||||||||||||||||
and distributions: | ||||||||||||||||
Class A | 723,476 | 2,644,452 | 171,047 | 206,977 | ||||||||||||
Class B | 86,932 | 336,730 | 19,701 | 36,076 | ||||||||||||
Class C | 2,781,880 | 10,126,943 | 395,170 | 699,187 | ||||||||||||
Institutional Class | 11,608,416 | 33,095,912 | 2,580,351 | 1,822,132 | ||||||||||||
170,990,781 | 261,997,741 | 22,028,908 | 67,787,489 | |||||||||||||
Cost of shares repurchased: | ||||||||||||||||
Class A | (5,488,471 | ) | (11,854,007 | ) | (1,737,681 | ) | (3,052,859 | ) | ||||||||
Class B | (564,694 | ) | (1,319,233 | ) | (241,916 | ) | (383,458 | ) | ||||||||
Class C | (20,220,068 | ) | (44,582,487 | ) | (4,745,444 | ) | (11,030,505 | ) | ||||||||
Institutional Class | (62,543,995 | ) | (168,483,326 | ) | (16,398,190 | ) | (32,787,957 | ) | ||||||||
(88,817,228 | ) | (226,239,053 | ) | (23,123,231 | ) | (47,254,779 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 82,173,553 | 35,758,688 | (1,094,323 | ) | 20,532,710 | |||||||||||
Net Increase (Decrease) in Net Assets | 121,740,202 | 160,051,373 | (1,797,075 | ) | 78,448,781 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 796,303,106 | 636,251,733 | 203,740,818 | 125,292,037 | ||||||||||||
End of period | $ | 918,043,308 | $ | 796,303,106 | $ | 201,943,743 | $ | 203,740,818 | ||||||||
Undistributed net investment income | $ | 16,977,604 | $ | 15,471,348 | $ | 1,530,252 | $ | 2,708,008 |
See accompanying notes, which are an integral part of the financial statements.
50
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||
Six Months Ended 9/30/10 | Year Ended 3/31/10 | Six Months Ended 9/30/10 | Year Ended 3/31/10 | |||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (1,506,349 | ) | $ | (953,105 | ) | $ | 3,453,451 | $ | 8,680,813 | ||||||
Net realized gain (loss) on investments and foreign currencies | 14,905,308 | 80,603,475 | 4,133,462 | (57,399,235 | ) | |||||||||||
Net change in unrealized appreciation/depreciation of investments | ||||||||||||||||
and foreign currencies | (23,764,023 | ) | 179,873,048 | (22,094,363 | ) | 276,475,971 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (10,365,064 | ) | 259,523,418 | (14,507,450 | ) | 227,757,549 | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | — | — | (397,078 | ) | (693,967 | ) | ||||||||||
Class B | — | — | (36,672 | ) | (82,375 | ) | ||||||||||
Class C | — | — | (808,084 | ) | (1,726,789 | ) | ||||||||||
Institutional Class | — | (753,154 | ) | (7,461,784 | ) | (11,111,005 | ) | |||||||||
— | (753,154 | ) | (8,703,618 | ) | (13,614,136 | ) | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 1,479,860 | 2,642,285 | 1,441,491 | 2,529,348 | ||||||||||||
Class B | 18,711 | 96,636 | 10,968 | 107,433 | ||||||||||||
Class C | 4,074,978 | 10,516,228 | 4,021,478 | 10,384,597 | ||||||||||||
Institutional Class | 78,187,392 | 125,781,819 | 70,684,177 | 113,126,953 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends | ||||||||||||||||
and distributions: | ||||||||||||||||
Class A | — | — | 391,381 | 685,011 | ||||||||||||
Class B | — | — | 36,248 | 79,977 | ||||||||||||
Class C | — | — | 797,769 | 1,704,441 | ||||||||||||
Institutional Class | — | 741,206 | 7,362,691 | 10,938,799 | ||||||||||||
83,760,941 | 139,778,174 | 84,746,203 | 139,556,559 | |||||||||||||
Cost of shares repurchased: | ||||||||||||||||
Class A | (5,245,495 | ) | (8,517,252 | ) | (4,822,302 | ) | (7,859,345 | ) | ||||||||
Class B | (635,638 | ) | (1,062,063 | ) | (626,709 | ) | (996,339 | ) | ||||||||
Class C | (14,232,609 | ) | (29,951,306 | ) | (13,701,292 | ) | (28,982,433 | ) | ||||||||
Institutional Class | (54,298,506 | ) | (190,004,307 | ) | (49,153,930 | ) | (158,033,296 | ) | ||||||||
(74,412,248 | ) | (229,534,928 | ) | (68,304,233 | ) | (195,871,413 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 9,348,693 | (89,756,754 | ) | 16,441,970 | (56,314,854 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | (1,016,371 | ) | 169,013,510 | (6,769,098 | ) | 157,828,559 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 706,947,448 | 537,933,938 | 646,833,495 | 489,004,936 | ||||||||||||
End of period | $ | 705,931,077 | $ | 706,947,448 | $ | 640,064,397 | $ | 646,833,495 | ||||||||
Undistributed (accumulated) net investment income (loss) | $ | — | $ | (21,830 | ) | $ | 3,414,363 | $ | 8,651,825 |
See accompanying notes, which are an integral part of the financial statements.
(continues) 51
Statements of changes in net assets
Optimum Fund Trust
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||
Six Months Ended 9/30/10 | Year Ended 3/31/10 | Six Months Ended 9/30/10 | Year Ended 3/31/10 | |||||||||||||||||||||
(Unaudited) | (Unaudited) | |||||||||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||||||
Net investment loss | $ | (1,188,104 | ) | $ | (1,885,188 | ) | $ | (284,723 | ) | $ | (189,583 | ) | ||||||||||||
Net realized gain on investments | 5,319,296 | 16,100,021 | 5,616,590 | 3,056,016 | ||||||||||||||||||||
Net change in unrealized appreciation/depreciation of investments | ||||||||||||||||||||||||
and foreign currencies | (8,050,201 | ) | 61,895,220 | (5,734,835 | ) | 68,102,924 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,919,009 | ) | 76,110,053 | (402,968 | ) | 70,969,357 | ||||||||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||
Institutional Class | — | — | — | (88,032 | ) | |||||||||||||||||||
Return of Capital: | ||||||||||||||||||||||||
Institutional Class | — | — | — | (92,374 | ) | |||||||||||||||||||
— | — | — | (180,406 | ) | ||||||||||||||||||||
Capital Share Transactions: | ||||||||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||||||||
Class A | 263,209 | 539,025 | 216,013 | 412,951 | ||||||||||||||||||||
Class B | 5,026 | 35,605 | — | 25,862 | ||||||||||||||||||||
Class C | 722,475 | 2,091,719 | 629,988 | 1,722,368 | ||||||||||||||||||||
Institutional Class | 34,163,384 | 128,206,873 | 25,848,805 | 74,088,679 | ||||||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends | ||||||||||||||||||||||||
and distributions: | ||||||||||||||||||||||||
Class A | — | — | — | — | ||||||||||||||||||||
Class B | — | — | — | — | ||||||||||||||||||||
Class C | — | — | — | — | ||||||||||||||||||||
Institutional Class | — | — | — | 177,262 | ||||||||||||||||||||
35,154,094 | 130,873,222 | 26,694,806 | 76,427,122 | |||||||||||||||||||||
Cost of shares repurchased: | ||||||||||||||||||||||||
Class A | (983,011 | ) | (1,536,241 | ) | (812,344 | ) | (1,438,753 | ) | ||||||||||||||||
Class B | (132,343 | ) | (191,945 | ) | (130,946 | ) | (171,978 | ) | ||||||||||||||||
Class C | (2,655,846 | ) | (5,275,925 | ) | (2,374,862 | ) | (4,946,735 | ) | ||||||||||||||||
Institutional Class | (20,796,610 | ) | (39,161,101 | ) | (16,472,924 | ) | (27,361,397 | ) | ||||||||||||||||
(24,567,810 | ) | (46,165,212 | ) | (19,791,076 | ) | (33,918,863 | ) | |||||||||||||||||
Increase in net assets derived from capital share transactions | 10,586,284 | 84,708,010 | 6,903,730 | 42,508,259 | ||||||||||||||||||||
Net Increase in Net Assets | 6,667,275 | 160,818,063 | 6,500,762 | 113,297,210 | ||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||
Beginning of period | 236,545,607 | 75,727,544 | 191,057,381 | 77,760,171 | ||||||||||||||||||||
End of period | $ | 243,212,882 | $ | 236,545,607 | $ | 197,558,143 | $ | 191,057,381 | ||||||||||||||||
Undistributed (accumulated) net investment income (loss) | $ | 82,860 | $ | (13,721 | ) | $ | — | $ | — |
See accompanying notes, which are an integral part of the financial statements.
52
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 | |||||||||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $9.290 | $7.750 | $8.930 | $9.050 | $8.740 | $8.890 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||
Net investment income2 | 0.207 | 0.661 | 0.449 | 0.402 | 0.399 | 0.316 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 0.396 | 1.482 | (1.140 | ) | (0.066 | ) | 0.255 | (0.199 | ) | |||||||||||||||||
Total from investment operations | 0.603 | 2.143 | (0.691 | ) | 0.336 | 0.654 | 0.117 | |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.173 | ) | (0.603 | ) | (0.462 | ) | (0.380 | ) | (0.344 | ) | (0.253 | ) | ||||||||||||||
Net realized gain on investments | — | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | |||||||||||||||||
Total dividends and distributions | (0.173 | ) | (0.603 | ) | (0.489 | ) | (0.456 | ) | (0.344 | ) | (0.267 | ) | ||||||||||||||
Net asset value, end of period | $9.720 | $9.290 | $7.750 | $8.930 | $9.050 | $8.740 | ||||||||||||||||||||
Total return3 | 6.58% | 28.24% | (7.82% | ) | 3.78% | 7.58% | 1.31% | |||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $40,755 | $40,808 | $39,299 | $63,262 | $58,691 | $47,956 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.35% | 1.31% | 1.24% | 1.24% | 1.25% | 1.25% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived and expense paid indirectly | 1.47% | 1.48% | 1.47% | 1.43% | 1.61% | 1.67% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 4.37% | 7.49% | 5.38% | 4.44% | 4.48% | 3.55% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived and expense paid indirectly | 4.25% | 7.32% | 5.15% | 4.25% | 4.12% | 3.13% | ||||||||||||||||||||
Portfolio turnover | 119% | 134% | 158% | 256% | 238% | 298% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 53
Financial highlights
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 | |||||||||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||
Net asset value, beginning of period | $9.280 | $7.750 | $8.930 | $9.060 | $8.740 | $8.900 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||
Net investment income2 | 0.176 | 0.604 | 0.395 | 0.343 | 0.342 | 0.258 | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 0.392 | 1.486 | (1.140 | ) | (0.076 | ) | 0.264 | (0.209 | ) | |||||||||||||||||
Total from investment operations | 0.568 | 2.090 | (0.745 | ) | 0.267 | 0.606 | 0.049 | |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||
Net investment income | (0.158 | ) | (0.560 | ) | (0.408 | ) | (0.321 | ) | (0.286 | ) | (0.195 | ) | ||||||||||||||
Net realized gain on investments | — | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | |||||||||||||||||
Total dividends and distributions | (0.158 | ) | (0.560 | ) | (0.435 | ) | (0.397 | ) | (0.286 | ) | (0.209 | ) | ||||||||||||||
Net asset value, end of period | $9.690 | $9.280 | $7.750 | $8.930 | $9.060 | $8.740 | ||||||||||||||||||||
Total return3 | 6.20% | 27.51% | (8.42% | ) | 2.99% | 7.01% | 0.54% | |||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $5,392 | $5,587 | $5,483 | $8,788 | $9,568 | $9,278 | ||||||||||||||||||||
Ratio of expenses to average net assets | 2.00% | 1.96% | 1.89% | 1.89% | 1.90% | 1.90% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived and expense paid indirectly | 2.12% | 2.13% | 2.12% | 2.08% | 2.26% | 2.32% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 3.72% | 6.84% | 4.73% | 3.79% | 3.83% | 2.90% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived and expense paid indirectly | 3.60% | 6.67% | 4.50% | 3.60% | 3.47% | 2.48% | ||||||||||||||||||||
Portfolio turnover | 119% | 134% | 158% | 256% | 238% | 298% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
54
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.280 | $7.760 | $8.940 | $9.060 | $8.750 | $8.900 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.176 | 0.604 | 0.395 | 0.343 | 0.341 | 0.258 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | 0.392 | 1.476 | (1.140 | ) | (0.066 | ) | 0.255 | (0.199 | ) | |||||||||||
Total from investment operations | 0.568 | 2.080 | (0.745 | ) | 0.277 | 0.596 | 0.059 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.158 | ) | (0.560 | ) | (0.408 | ) | (0.321 | ) | (0.286 | ) | (0.195 | ) | ||||||||
Net realized gain on investments | — | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | |||||||||||
Total dividends and distributions | (0.158 | ) | (0.560 | ) | (0.435 | ) | (0.397 | ) | (0.286 | ) | (0.209 | ) | ||||||||
Net asset value, end of period | $9.690 | $9.280 | $7.760 | $8.940 | $9.060 | $8.750 | ||||||||||||||
Total return3 | 6.20% | 27.34% | (8.41% | ) | 3.11% | 6.88% | 0.65% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $171,053 | $170,214 | $157,185 | $257,340 | $227,036 | $186,869 | ||||||||||||||
Ratio of expenses to average net assets | 2.00% | 1.96% | 1.89% | 1.89% | 1.90% | 1.90% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.12% | 2.13% | 2.12% | 2.08% | 2.26% | 2.32% | ||||||||||||||
Ratio of net investment income to average net assets | 3.72% | 6.84% | 4.73% | 3.79% | 3.83% | 2.90% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 3.60% | 6.67% | 4.50% | 3.60% | 3.47% | 2.48% | ||||||||||||||
Portfolio turnover | 119% | 134% | 158% | 256% | 238% | 298% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 55
Financial highlights
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.290 | $7.740 | $8.920 | $9.050 | $8.730 | $8.890 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.224 | 0.692 | 0.479 | 0.434 | 0.431 | 0.348 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | 0.397 | 1.484 | (1.141 | ) | (0.076 | ) | 0.265 | (0.209 | ) | |||||||||||
Total from investment operations | 0.621 | 2.176 | (0.662 | ) | 0.358 | 0.696 | 0.139 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.181 | ) | (0.626 | ) | (0.491 | ) | (0.412 | ) | (0.376 | ) | (0.285 | ) | ||||||||
Net realized gain on investments | — | — | (0.027 | ) | (0.076 | ) | — | (0.014 | ) | |||||||||||
Total dividends and distributions | (0.181 | ) | (0.626 | ) | (0.518 | ) | (0.488 | ) | (0.376 | ) | (0.299 | ) | ||||||||
Net asset value, end of period | $9.730 | $9.290 | $7.740 | $8.920 | $9.050 | $8.730 | ||||||||||||||
Total return3 | 6.78% | 28.73% | (7.51% | ) | 4.04% | 8.09% | 1.56% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $700,843 | $579,694 | $434,285 | $597,388 | $454,154 | $309,363 | ||||||||||||||
Ratio of expenses to average net assets | 1.00% | 0.96% | 0.89% | 0.89% | 0.90% | 0.90% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.12% | 1.13% | 1.12% | 1.08% | 1.26% | 1.32% | ||||||||||||||
Ratio of net investment income to average net assets | 4.72% | 7.84% | 5.73% | 4.79% | 4.83% | 3.90% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 4.60% | 7.67% | 5.50% | 4.60% | 4.47% | 3.48% | ||||||||||||||
Portfolio turnover | 119% | 134% | 158% | 256% | 238% | 298% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
56
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.340 | $7.010 | $13.840 | $15.490 | $13.470 | $11.660 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.099 | 0.124 | 0.280 | 0.262 | 0.112 | 0.180 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | 0.007 | 3.366 | (6.557 | ) | (0.798 | ) | 2.661 | 2.456 | ||||||||||||
Total from investment operations | 0.106 | 3.490 | (6.277 | ) | (0.536 | ) | 2.773 | 2.636 | ||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.156 | ) | (0.160 | ) | (0.326 | ) | (0.116 | ) | (0.172 | ) | (0.074 | ) | ||||||||
Net realized gain on investments | — | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | ||||||||||
Total dividends and distributions | (0.156 | ) | (0.160 | ) | (0.553 | ) | (1.114 | ) | (0.753 | ) | (0.826 | ) | ||||||||
Net asset value, end of period | $10.290 | $10.340 | $7.010 | $13.840 | $15.490 | $13.470 | ||||||||||||||
Total return3 | 1.24% | 50.29% | (46.64% | ) | (3.96% | ) | 21.26% | 23.54% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $10,927 | $12,082 | $9,578 | $22,971 | $25,523 | $20,247 | ||||||||||||||
Ratio of expenses to average net assets | 1.75% | 1.75% | 1.77% | 1.75% | 1.96% | 1.96% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.93% | 1.94% | 1.86% | 1.75% | 1.96% | 2.20% | ||||||||||||||
Ratio of net investment income to average net assets | 2.03% | 1.30% | 2.66% | 1.69% | 0.78% | 1.47% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.85% | 1.11% | 2.57% | 1.69% | 0.78% | 1.23% | ||||||||||||||
Portfolio turnover | 43% | 91% | 58% | 19% | 18% | 68% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 57
Financial highlights
Optimum International Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.100 | $6.880 | $13.580 | $15.240 | $13.290 | $11.530 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.066 | 0.064 | 0.213 | 0.163 | 0.021 | 0.102 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | 0.010 | 3.304 | (6.436 | ) | (0.787 | ) | 2.614 | 2.426 | ||||||||||||
Total from investment operations | 0.076 | 3.368 | (6.223 | ) | (0.624 | ) | 2.635 | 2.528 | ||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.096 | ) | (0.148 | ) | (0.250 | ) | (0.038 | ) | (0.104 | ) | (0.016 | ) | ||||||||
Net realized gain on investments | — | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | ||||||||||
Total dividends and distributions | (0.096 | ) | (0.148 | ) | (0.477 | ) | (1.036 | ) | (0.685 | ) | (0.768 | ) | ||||||||
Net asset value, end of period | $10.080 | $10.100 | $6.880 | $13.580 | $15.240 | $13.290 | ||||||||||||||
Total return3 | 0.89% | 49.42% | (47.02% | ) | (4.59% | ) | 20.44% | 22.81% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $2,004 | $2,243 | $1,764 | $4,203 | $5,031 | $4,594 | ||||||||||||||
Ratio of expenses to average net assets | 2.40% | 2.40% | 2.42% | 2.40% | 2.61% | 2.61% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.58% | 2.59% | 2.51% | 2.40% | 2.61% | 2.85% | ||||||||||||||
Ratio of net investment income to average net assets | 1.38% | 0.65% | 2.01% | 1.04% | 0.13% | 0.82% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.20% | 0.46% | 1.92% | 1.04% | 0.13% | 0.58% | ||||||||||||||
Portfolio turnover | 43% | 91% | 58% | 19% | 18% | 68% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
58
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.100 | $6.890 | $13.590 | $15.250 | $13.290 | $11.540 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.066 | 0.064 | 0.213 | 0.163 | 0.021 | 0.102 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | 0.020 | 3.294 | (6.436 | ) | (0.787 | ) | 2.624 | 2.416 | ||||||||||||
Total from investment operations | 0.086 | 3.358 | (6.223 | ) | (0.624 | ) | 2.645 | 2.518 | ||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.096 | ) | (0.148 | ) | (0.250 | ) | (0.038 | ) | (0.104 | ) | (0.016 | ) | ||||||||
Net realized gain on investments | — | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | ||||||||||
Total dividends and distributions | (0.096 | ) | (0.148 | ) | (0.477 | ) | (1.036 | ) | (0.685 | ) | (0.768 | ) | ||||||||
Net asset value, end of period | $10.090 | $10.100 | $6.890 | $13.590 | $15.250 | $13.290 | ||||||||||||||
Total return3 | 0.98% | 49.20% | (46.98% | ) | (4.59% | ) | 20.51% | 22.69% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $39,966 | $43,260 | $34,520 | $84,431 | $91,696 | $70,828 | ||||||||||||||
Ratio of expenses to average net assets | 2.40% | 2.40% | 2.42% | 2.40% | 2.61% | 2.61% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.58% | 2.59% | 2.51% | 2.40% | 2.61% | 2.85% | ||||||||||||||
Ratio of net investment income to average net assets | 1.38% | 0.65% | 2.01% | 1.04% | 0.13% | 0.82% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.20% | 0.46% | 1.92% | 1.04% | 0.13% | 0.58% | ||||||||||||||
Portfolio turnover | 43% | 91% | 58% | 19% | 18% | 68% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 59
Financial highlights
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.430 | $7.050 | $13.940 | $15.590 | $13.550 | $11.720 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.116 | 0.157 | 0.317 | 0.317 | 0.162 | 0.224 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | 0.009 | 3.393 | (6.611 | ) | (0.797 | ) | 2.679 | 2.464 | ||||||||||||
Total from investment operations | 0.125 | 3.550 | (6.294 | ) | (0.480 | ) | 2.841 | 2.688 | ||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.185 | ) | (0.170 | ) | (0.369 | ) | (0.172 | ) | (0.220 | ) | (0.106 | ) | ||||||||
Net realized gain on investments | — | — | (0.227 | ) | (0.998 | ) | (0.581 | ) | (0.752 | ) | ||||||||||
Total dividends and distributions | (0.185 | ) | (0.170 | ) | (0.596 | ) | (1.170 | ) | (0.801 | ) | (0.858 | ) | ||||||||
Net asset value, end of period | $10.370 | $10.430 | $7.050 | $13.940 | $15.590 | $13.550 | ||||||||||||||
Total return3 | 1.45% | 50.88% | (46.49% | ) | (3.59% | ) | 21.68% | 23.91% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $149,047 | $146,156 | $79,430 | $174,954 | $154,198 | $99,733 | ||||||||||||||
Ratio of expenses to average net assets | 1.40% | 1.40% | 1.42% | 1.40% | 1.61% | 1.61% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.58% | 1.59% | 1.51% | 1.40% | 1.61% | 1.85% | ||||||||||||||
Ratio of net investment income to average net assets | 2.38% | 1.65% | 3.01% | 2.04% | 1.13% | 1.82% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.20% | 1.46% | 2.92% | 2.04% | 1.13% | 1.58% | ||||||||||||||
Portfolio turnover | 43% | 91% | 58% | 19% | 18% | 68% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
60
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.640 | $6.990 | $11.220 | $11.980 | $11.540 | $10.020 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.030 | ) | (0.025 | ) | (0.001 | ) | (0.021 | ) | (0.047 | ) | (0.057 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.130 | ) | 3.675 | (4.229 | ) | (0.406 | ) | 0.692 | 1.577 | |||||||||||
Total from investment operations | (0.160 | ) | 3.650 | (4.230 | ) | (0.427 | ) | 0.645 | 1.520 | |||||||||||
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 | $10.480 | $10.640 | $6.990 | $11.220 | $11.980 | $11.540 | ||||||||||||||
Total return3 | (1.50% | ) | 52.22% | (37.70% | ) | (3.86% | ) | 5.75% | 15.17% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $31,827 | $36,288 | $28,347 | $54,022 | $56,088 | $47,283 | ||||||||||||||
Ratio of expenses to average net assets | 1.61% | 1.61% | 1.61% | 1.60% | 1.69% | 1.69% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.65% | 1.66% | 1.64% | 1.60% | 1.77% | 1.84% | ||||||||||||||
Ratio of net investment loss to average net assets | (0.59% | ) | (0.28% | ) | (0.01% | ) | (0.17% | ) | (0.41% | ) | (0.52% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.63% | ) | (0.33% | ) | (0.04% | ) | (0.17% | ) | (0.49% | ) | (0.67% | ) | ||||||||
Portfolio turnover | 65% | 145% | 164% | 59% | 37% | 48% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 61
Financial highlights
Optimum Large Cap Growth Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.180 | $6.730 | $10.870 | $11.700 | $11.340 | $9.910 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.060 | ) | (0.081 | ) | (0.059 | ) | (0.100 | ) | (0.119 | ) | (0.126 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.120 | ) | 3.531 | (4.081 | ) | (0.397 | ) | 0.684 | 1.556 | |||||||||||
Total from investment operations | (0.180 | ) | 3.450 | (4.140 | ) | (0.497 | ) | 0.565 | 1.430 | |||||||||||
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 | $10.000 | $10.180 | $6.730 | $10.870 | $11.700 | $11.340 | ||||||||||||||
Total return3 | (1.77% | ) | 51.26% | (38.09% | ) | (4.56% | ) | 5.14% | 14.43% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $5,380 | $6,135 | $4,780 | $9,345 | $10,819 | $10,168 | ||||||||||||||
Ratio of expenses to average net assets | 2.26% | 2.26% | 2.26% | 2.25% | 2.34% | 2.34% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.30% | 2.31% | 2.29% | 2.25% | 2.42% | 2.49% | ||||||||||||||
Ratio of net investment loss to average net assets | (1.24% | ) | (0.93% | ) | (0.66% | ) | (0.82% | ) | (1.06% | ) | (1.17% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.28% | ) | (0.98% | ) | (0.69% | ) | (0.82% | ) | (1.14% | ) | (1.32% | ) | ||||||||
Portfolio turnover | 65% | 145% | 164% | 59% | 37% | 48% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
62
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.180 | $6.730 | $10.870 | $11.700 | $11.340 | $9.910 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.060 | ) | (0.081 | ) | (0.059 | ) | (0.100 | ) | (0.119 | ) | (0.126 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.130 | ) | 3.531 | (4.081 | ) | (0.397 | ) | 0.684 | 1.556 | |||||||||||
Total from investment operations | (0.190 | ) | 3.450 | (4.140 | ) | (0.497 | ) | 0.565 | 1.430 | |||||||||||
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 | $9.990 | $10.180 | $6.730 | $10.870 | $11.700 | $11.340 | ||||||||||||||
Total return3 | (1.87% | ) | 51.26% | (38.09% | ) | (4.56% | ) | 5.14% | 14.43% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $119,194 | $132,242 | $102,233 | $203,394 | $203,591 | $164,995 | ||||||||||||||
Ratio of expenses to average net assets | 2.26% | 2.26% | 2.26% | 2.25% | 2.34% | 2.34% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.30% | 2.31% | 2.29% | 2.25% | 2.42% | 2.49% | ||||||||||||||
Ratio of net investment loss to average net assets | (1.24% | ) | (0.93% | ) | (0.66% | ) | (0.82% | ) | (1.06% | ) | (1.17% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.28% | ) | (0.98% | ) | (0.69% | ) | (0.82% | ) | (1.14% | ) | (1.32% | ) | ||||||||
Portfolio turnover | 65% | 145% | 164% | 59% | 37% | 48% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 63
Financial highlights
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six Months | ||||||||||||||||||||
Ended | Year Ended | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.880 | $7.130 | $11.410 | $12.140 | $11.650 | $10.080 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment gain (loss)2 | (0.012 | ) | 0.007 | 0.032 | 0.023 | (0.006 | ) | (0.019 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.138 | ) | 3.758 | (4.312 | ) | (0.420 | ) | 0.701 | 1.589 | |||||||||||
Total from investment operations | (0.150 | ) | 3.765 | (4.280 | ) | (0.397 | ) | 0.695 | 1.570 | |||||||||||
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 | $10.730 | $10.880 | $7.130 | $11.410 | $12.140 | $11.650 | ||||||||||||||
Total return3 | (1.38% | ) | 52.87% | (37.51% | ) | (3.56% | ) | 6.13% | 15.57% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $549,530 | $532,282 | $402,574 | $723,347 | $518,509 | $355,961 | ||||||||||||||
Ratio of expenses to average net assets | 1.26% | 1.26% | 1.26% | 1.25% | 1.34% | 1.34% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.30% | 1.31% | 1.29% | 1.25% | 1.42% | 1.49% | ||||||||||||||
Ratio of net investment gain (loss) to average net assets | (0.24% | ) | 0.07% | 0.34% | 0.18% | (0.06% | ) | (0.17% | ) | |||||||||||
Ratio of net investment gain (loss) to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.28% | ) | 0.02% | 0.31% | 0.18% | (0.14% | ) | (0.32% | ) | |||||||||||
Portfolio turnover | 65% | 145% | 164% | 59% | 37% | 48% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
64
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.830 | $6.710 | $11.170 | $12.730 | $11.320 | $10.840 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.045 | 0.118 | 0.165 | 0.138 | 0.128 | 0.092 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.276 | ) | 3.181 | (4.453 | ) | (0.931 | ) | 1.614 | 0.947 | |||||||||||
Total from investment operations | (0.231 | ) | 3.299 | (4.288 | ) | (0.793 | ) | 1.742 | 1.039 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.119 | ) | (0.179 | ) | (0.029 | ) | (0.134 | ) | (0.104 | ) | (0.065 | ) | ||||||||
Net realized gain on investments | — | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | ||||||||||
Total dividends and distributions | (0.119 | ) | (0.179 | ) | (0.172 | ) | (0.767 | ) | (0.332 | ) | (0.559 | ) | ||||||||
Net asset value, end of period | $9.480 | $9.830 | $6.710 | $11.170 | $12.730 | $11.320 | ||||||||||||||
Total return3 | (2.29% | ) | 49.92% | (38.97% | ) | (6.80% | ) | 15.65% | 9.82% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $29,909 | $34,167 | $26,901 | $53,097 | $58,161 | $45,666 | ||||||||||||||
Ratio of expenses to average net assets | 1.60% | 1.58% | 1.54% | 1.54% | 1.55% | 1.55% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.62% | 1.62% | 1.60% | 1.56% | 1.73% | 1.83% | ||||||||||||||
Ratio of net investment income to average net assets | 0.96% | 1.38% | 1.82% | 1.09% | 1.07% | 0.83% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 0.94% | 1.34% | 1.76% | 1.07% | 0.89% | 0.55% | ||||||||||||||
Portfolio turnover | 14% | 28% | 37% | 30% | 22% | 52% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 65
Financial highlights
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.720 | $6.630 | $11.090 | $12.640 | $11.240 | $10.780 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.015 | 0.063 | 0.106 | 0.056 | 0.052 | 0.021 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.271 | ) | 3.147 | (4.413 | ) | (0.923 | ) | 1.606 | 0.933 | |||||||||||
Total from investment operations | (0.256 | ) | 3.210 | (4.307 | ) | (0.867 | ) | 1.658 | 0.954 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.064 | ) | (0.120 | ) | (0.010 | ) | (0.050 | ) | (0.030 | ) | — | |||||||||
Net realized gain on investments | — | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | ||||||||||
Total dividends and distributions | (0.064 | ) | (0.120 | ) | (0.153 | ) | (0.683 | ) | (0.258 | ) | (0.494 | ) | ||||||||
Net asset value, end of period | $9.400 | $9.720 | $6.630 | $11.090 | $12.640 | $11.240 | ||||||||||||||
Total return3 | (2.60% | ) | 48.92% | (39.37% | ) | (7.38% | ) | 14.97% | 9.05% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $5,156 | $5,943 | $4,664 | $9,454 | $11,403 | $10,103 | ||||||||||||||
Ratio of expenses to average net assets | 2.25% | 2.23% | 2.19% | 2.19% | 2.20% | 2.20% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.27% | 2.27% | 2.25% | 2.21% | 2.38% | 2.48% | ||||||||||||||
Ratio of net investment income to average net assets | 0.31% | 0.73% | 1.17% | 0.44% | 0.42% | 0.18% | ||||||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 0.29% | 0.69% | 1.11% | 0.42% | 0.24% | (0.10% | ) | |||||||||||||
Portfolio turnover | 14% | 28% | 37% | 30% | 22% | 52% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
66
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.710 | $6.630 | $11.080 | $12.630 | $11.240 | $10.780 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.015 | 0.063 | 0.106 | 0.057 | 0.051 | 0.021 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.271 | ) | 3.137 | (4.403 | ) | (0.924 | ) | 1.597 | 0.933 | |||||||||||
Total from investment operations | (0.256 | ) | 3.200 | (4.297 | ) | (0.867 | ) | 1.648 | 0.954 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.064 | ) | (0.120 | ) | (0.010 | ) | (0.050 | ) | (0.030 | ) | — | |||||||||
Net realized gain on investments | — | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | ||||||||||
Total dividends and distributions | (0.064 | ) | (0.120 | ) | (0.153 | ) | (0.683 | ) | (0.258 | ) | (0.494 | ) | ||||||||
Net asset value, end of period | $9.390 | $9.710 | $6.630 | $11.080 | $12.630 | $11.240 | ||||||||||||||
Total return3 | (2.61% | ) | 48.76% | (39.31% | ) | (7.39% | ) | 14.88% | 9.16% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $112,713 | $125,961 | $98,881 | $205,501 | $216,527 | $163,876 | ||||||||||||||
Ratio of expenses to average net assets | 2.25% | 2.23% | 2.19% | 2.19% | 2.20% | 2.20% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.27% | 2.27% | 2.25% | 2.21% | 2.38% | 2.48% | ||||||||||||||
Ratio of net investment income to average net assets | 0.31% | 0.73% | 1.17% | 0.44% | 0.42% | 0.18% | ||||||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 0.29% | 0.69% | 1.11% | 0.42% | 0.24% | (0.10% | ) | |||||||||||||
Portfolio turnover | 14% | 28% | 37% | 30% | 22% | 52% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 67
Financial highlights
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.870 | $6.740 | $11.190 | $12.750 | $11.330 | $10.860 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.061 | 0.148 | 0.197 | 0.183 | 0.170 | 0.131 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.282 | ) | 3.193 | (4.465 | ) | (0.931 | ) | 1.623 | 0.936 | |||||||||||
Total from investment operations | (0.221 | ) | 3.341 | (4.268 | ) | (0.748 | ) | 1.793 | 1.067 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.149 | ) | (0.211 | ) | (0.039 | ) | (0.179 | ) | (0.145 | ) | (0.103 | ) | ||||||||
Net realized gain on investments | — | — | (0.143 | ) | (0.633 | ) | (0.228 | ) | (0.494 | ) | ||||||||||
Total dividends and distributions | (0.149 | ) | (0.211 | ) | (0.182 | ) | (0.812 | ) | (0.373 | ) | (0.597 | ) | ||||||||
Net asset value, end of period | $9.500 | $9.870 | $6.740 | $11.190 | $12.750 | $11.330 | ||||||||||||||
Total return3 | (2.16% | ) | 50.47% | (38.76% | ) | (6.46% | ) | 16.12% | 10.19% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $492,286 | $480,762 | $358,559 | $607,637 | $508,000 | $319,857 | ||||||||||||||
Ratio of expenses to average net assets | 1.25% | 1.23% | 1.19% | 1.19% | 1.20% | 1.20% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.27% | 1.27% | 1.25% | 1.21% | 1.38% | 1.48% | ||||||||||||||
Ratio of net investment income to average net assets | 1.31% | 1.73% | 2.17% | 1.44% | 1.42% | 1.18% | ||||||||||||||
Ratio of net investment income to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.29% | 1.69% | 2.11% | 1.42% | 1.24% | 0.90% | ||||||||||||||
Portfolio turnover | 14% | 28% | 37% | 30% | 22% | 52% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
68
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $11.150 | $6.760 | $11.280 | $14.070 | $14.340 | $11.750 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.068 | ) | (0.123 | ) | (0.092 | ) | (0.177 | ) | (0.155 | ) | (0.176 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.132 | ) | 4.513 | (4.428 | ) | (1.952 | ) | 0.188 | 2.766 | |||||||||||
Total from investment operations | (0.200 | ) | 4.390 | (4.520 | ) | (2.129 | ) | 0.033 | 2.590 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain on investments | — | — | — | (0.651 | ) | (0.303 | ) | — | ||||||||||||
Return of capital | — | — | — | (0.010 | ) | — | — | |||||||||||||
Total dividends and distributions | — | — | — | (0.661 | ) | (0.303 | ) | — | ||||||||||||
Net asset value, end of period | $10.950 | $11.150 | $6.760 | $11.280 | $14.070 | $14.340 | ||||||||||||||
Total return3 | (1.79% | ) | 64.94% | (40.07% | ) | (15.96% | ) | 0.37% | 22.04% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $5,875 | $6,736 | $4,814 | $9,282 | $12,088 | $11,984 | ||||||||||||||
Ratio of expenses to average net assets | 1.90% | 1.90% | 1.90% | 1.92% | 1.95% | 1.95% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.08% | 2.10% | 2.26% | 2.11% | 2.32% | 2.46% | ||||||||||||||
Ratio of net investment loss to average net assets | (1.27% | ) | (1.30% | ) | (0.96% | ) | (1.27% | ) | (1.15% | ) | (1.38% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.45% | ) | (1.50% | ) | (1.32% | ) | (1.46% | ) | (1.52% | ) | (1.89% | ) | ||||||||
Portfolio turnover | 37% | 100% | 119% | 46% | 46% | 47% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 69
Financial highlights
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.660 | $6.510 | $10.930 | $13.750 | $14.110 | $11.640 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.098 | ) | (0.179 | ) | (0.152 | ) | (0.265 | ) | (0.240 | ) | (0.257 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.132 | ) | 4.329 | (4.268 | ) | (1.894 | ) | 0.183 | 2.727 | |||||||||||
Total from investment operations | (0.230 | ) | 4.150 | (4.420 | ) | (2.159 | ) | (0.057 | ) | 2.470 | ||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain on investments | — | — | — | (0.651 | ) | (0.303 | ) | — | ||||||||||||
Return of capital | — | — | — | (0.010 | ) | — | — | |||||||||||||
Total dividends and distributions | — | — | — | (0.661 | ) | (0.303 | ) | — | ||||||||||||
Net asset value, end of period | $10.430 | $10.660 | $6.510 | $10.930 | $13.750 | $14.110 | ||||||||||||||
Total return3 | (2.16% | ) | 63.75% | (40.44% | ) | (16.56% | ) | (0.27% | ) | 21.22% | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $988 | $1,143 | $807 | $1,620 | $2,187 | $2,285 | ||||||||||||||
Ratio of expenses to average net assets | 2.55% | 2.55% | 2.55% | 2.57% | 2.60% | 2.60% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.73% | 2.75% | 2.91% | 2.76% | 2.97% | 3.11% | ||||||||||||||
Ratio of net investment loss to average net assets | (1.92% | ) | (1.95% | ) | (1.61% | ) | (1.92% | ) | (1.80% | ) | (2.03% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (2.10% | ) | (2.15% | ) | (1.97% | ) | (2.11% | ) | (2.17% | ) | (2.54% | ) | ||||||||
Portfolio turnover | 37% | 100% | 119% | 46% | 46% | 47% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
70
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.660 | $6.510 | $10.930 | $13.750 | $14.110 | $11.640 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.098 | ) | (0.179 | ) | (0.152 | ) | (0.264 | ) | (0.240 | ) | (0.257 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.132 | ) | 4.329 | (4.268 | ) | (1.895 | ) | 0.183 | 2.727 | |||||||||||
Total from investment operations | (0.230 | ) | 4.150 | (4.420 | ) | (2.159 | ) | (0.057 | ) | 2.470 | ||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain on investments | — | — | — | (0.651 | ) | (0.303 | ) | — | ||||||||||||
Return of capital | — | — | — | (0.010 | ) | — | — | |||||||||||||
Total dividends and distributions | — | — | — | (0.661 | ) | (0.303 | ) | — | ||||||||||||
Net asset value, end of period | $10.430 | $10.660 | $6.510 | $10.930 | $13.750 | $14.110 | ||||||||||||||
Total return3 | (2.16% | ) | 63.75% | (40.44% | ) | (16.56% | ) | (0.27% | ) | 21.22% | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $21,317 | $23,824 | $16,863 | $34,086 | $40,324 | $36,537 | ||||||||||||||
Ratio of expenses to average net assets | 2.55% | 2.55% | 2.55% | 2.57% | 2.60% | 2.60% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.73% | 2.75% | 2.91% | 2.76% | 2.97% | 3.11% | ||||||||||||||
Ratio of net investment loss to average net assets | (1.92% | ) | (1.95% | ) | (1.61% | ) | (1.92% | ) | (1.80% | ) | (2.03% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (2.10% | ) | (2.15% | ) | (1.97% | ) | (2.11% | ) | (2.17% | ) | (2.54% | ) | ||||||||
Portfolio turnover | 37% | 100% | 119% | 46% | 46% | 47% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 71
Financial highlights
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $11.410 | $6.900 | $11.470 | $14.250 | $14.470 | $11.820 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.050 | ) | (0.091 | ) | (0.059 | ) | (0.128 | ) | (0.108 | ) | (0.131 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | ||||||||||||||||||||
and foreign currencies | (0.140 | ) | 4.601 | (4.511 | ) | (1.991 | ) | 0.191 | 2.781 | |||||||||||
Total from investment operations | (0.190 | ) | 4.510 | (4.570 | ) | (2.119 | ) | 0.083 | 2.650 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain on investments | — | — | — | (0.651 | ) | (0.303 | ) | — | ||||||||||||
Return of capital | — | — | — | (0.010 | ) | — | — | |||||||||||||
Total dividends and distributions | — | — | — | (0.661 | ) | (0.303 | ) | — | ||||||||||||
Net asset value, end of period | $11.220 | $11.410 | $6.900 | $11.470 | $14.250 | $14.470 | ||||||||||||||
Total return3 | (1.67% | ) | 65.36% | (39.84% | ) | (15.68% | ) | 0.72% | 22.42% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $215,033 | $204,843 | $53,244 | $90,614 | $84,934 | $67,466 | ||||||||||||||
Ratio of expenses to average net assets | 1.55% | 1.55% | 1.55% | 1.57% | 1.60% | 1.60% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.73% | 1.75% | 1.91% | 1.76% | 1.97% | 2.11% | ||||||||||||||
Ratio of net investment loss to average net assets | (0.92% | ) | (0.95% | ) | (0.61% | ) | (0.92% | ) | (0.80% | ) | (1.03% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.10% | ) | (1.15% | ) | (0.97% | ) | (1.11% | ) | (1.17% | ) | (1.54% | ) | ||||||||
Portfolio turnover | 37% | 100% | 119% | 46% | 46% | 47% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
72
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.070 | $5.690 | $10.380 | $13.540 | $13.590 | $12.410 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)2 | (0.026 | ) | (0.027 | ) | 0.011 | (0.025 | ) | (0.020 | ) | (0.022 | ) | |||||||||
Net realized and unrealized gain (loss) on investments | (0.014 | ) | 4.407 | (4.683 | ) | (2.102 | ) | 0.759 | 2.043 | |||||||||||
Total from investment operations | (0.040 | ) | 4.380 | (4.672 | ) | (2.127 | ) | 0.739 | 2.021 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain on investments | — | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | ||||||||||
Total dividends and distributions | — | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | ||||||||||
Net asset value, end of period | $10.030 | $10.070 | $5.690 | $10.380 | $13.540 | $13.590 | ||||||||||||||
Total return3 | (0.40% | ) | 76.98% | (45.09% | ) | (16.34% | ) | 5.93% | 17.17% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $5,284 | $5,918 | $4,045 | $9,145 | $12,721 | $13,300 | ||||||||||||||
Ratio of expenses to average net assets | 1.83% | 1.82% | 1.75% | 1.76% | 1.76% | 1.76% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.04% | 2.13% | 2.22% | 2.09% | 2.32% | 2.58% | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.53% | ) | (0.32% | ) | 0.15% | (0.20% | ) | (0.16% | ) | (0.17% | ) | |||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.74% | ) | (0.63% | ) | (0.32% | ) | (0.53% | ) | (0.72% | ) | (0.99% | ) | ||||||||
Portfolio turnover | 17% | 40% | 86% | 53% | 49% | 42% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 73
Financial highlights
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.590 | $5.460 | $10.030 | $13.190 | $13.350 | $12.280 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss2 | (0.055 | ) | (0.077 | ) | (0.042 | ) | (0.102 | ) | (0.101 | ) | (0.102 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | (0.005 | ) | 4.207 | (4.510 | ) | (2.025 | ) | 0.730 | 2.013 | |||||||||||
Total from investment operations | (0.060 | ) | 4.130 | (4.552 | ) | (2.127 | ) | 0.629 | 1.911 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain on investments | — | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | ||||||||||
Total dividends and distributions | — | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | ||||||||||
Net asset value, end of period | $9.530 | $9.590 | $5.460 | $10.030 | $13.190 | $13.350 | ||||||||||||||
Total return3 | (0.63% | ) | 75.64% | (45.47% | ) | (16.79% | ) | 5.27% | 16.35% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $972 | $1,114 | $731 | $1,636 | $2,239 | $2,359 | ||||||||||||||
Ratio of expenses to average net assets | 2.48% | 2.47% | 2.40% | 2.41% | 2.41% | 2.41% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.69% | 2.78% | 2.87% | 2.74% | 2.97% | 3.23% | ||||||||||||||
Ratio of net investment loss to average net assets | (1.18% | ) | (0.97% | ) | (0.50% | ) | (0.85% | ) | (0.81% | ) | (0.82% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.39% | ) | (1.28% | ) | (0.97% | ) | (1.18% | ) | (1.37% | ) | (1.64% | ) | ||||||||
Portfolio turnover | 17% | 40% | 86% | 53% | 49% | 42% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
74
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $9.590 | $5.460 | $10.020 | $13.190 | $13.350 | $12.280 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)2 | (0.055 | ) | (0.076 | ) | (0.042 | ) | (0.102 | ) | (0.101 | ) | (0.102 | ) | ||||||||
Net realized and unrealized gain (loss) on investments | (0.015 | ) | 4.206 | (4.500 | ) | (2.035 | ) | 0.730 | 2.013 | |||||||||||
Total from investment operations | (0.070 | ) | 4.130 | (4.542 | ) | (2.137 | ) | 0.629 | 1.911 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain on investments | — | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | ||||||||||
Total dividends and distributions | — | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | ||||||||||
Net asset value, end of period | $9.520 | $9.590 | $5.460 | $10.020 | $13.190 | $13.350 | ||||||||||||||
Total return3 | (0.73% | ) | 75.64% | (45.42% | ) | (16.79% | ) | 5.27% | 16.35% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $20,206 | $22,163 | $14,811 | $32,891 | $41,622 | $38,782 | ||||||||||||||
Ratio of expenses to average net assets | 2.48% | 2.47% | 2.40% | 2.41% | 2.41% | 2.41% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 2.69% | 2.78% | 2.87% | 2.74% | 2.97% | 3.23% | ||||||||||||||
Ratio of net investment loss to average net assets | (1.18% | ) | (0.97% | ) | (0.50% | ) | (0.85% | ) | (0.81% | ) | (0.82% | ) | ||||||||
Ratio of net investment loss to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (1.39% | ) | (1.28% | ) | (0.97% | ) | (1.18% | ) | (1.37% | ) | (1.64% | ) | ||||||||
Portfolio turnover | 17% | 40% | 86% | 53% | 49% | 42% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 75
Financial highlights
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 | |||||||||||||||||||
9/30/101 | 3/31/10 | 3/31/09 | 3/31/08 | 3/31/07 | 3/31/06 | |||||||||||||||
(Unaudited) | ||||||||||||||||||||
Net asset value, beginning of period | $10.310 | $5.820 | $10.580 | $13.720 | $13.720 | $12.470 | ||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)2 | (0.009 | ) | 0.002 | 0.041 | 0.018 | 0.025 | 0.023 | |||||||||||||
Net realized and unrealized gain (loss) on investments | (0.021 | ) | 4.505 | (4.783 | ) | (2.125 | ) | 0.764 | 2.068 | |||||||||||
Total from investment operations | (0.030 | ) | 4.507 | (4.742 | ) | (2.107 | ) | 0.789 | 2.091 | |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | — | (0.008 | ) | — | — | — | — | |||||||||||||
Net realized gain on investments | — | — | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | ||||||||||
Return of capital | — | (0.009 | ) | — | — | — | — | |||||||||||||
Total dividends and distributions | — | (0.017 | ) | (0.018 | ) | (1.033 | ) | (0.789 | ) | (0.841 | ) | |||||||||
Net asset value, end of period | $10.280 | $10.310 | $5.820 | $10.580 | $13.720 | $13.720 | ||||||||||||||
Total return3 | (0.29% | ) | 77.56% | (44.90% | ) | (15.97% | ) | 6.24% | 17.66% | |||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $171,096 | $161,862 | $58,173 | $66,657 | $71,387 | $54,803 | ||||||||||||||
Ratio of expenses to average net assets | 1.48% | 1.47% | 1.40% | 1.41% | 1.41% | 1.41% | ||||||||||||||
Ratio of expenses to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | 1.69% | 1.78% | 1.87% | 1.74% | 1.97% | 2.23% | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.18% | ) | 0.03% | 0.50% | 0.15% | 0.19% | 0.18% | |||||||||||||
Ratio of net investment income (loss) to average net assets | ||||||||||||||||||||
prior to fees waived and expense paid indirectly | (0.39% | ) | (0.28% | ) | 0.003 | (0.18% | ) | (0.37% | ) | (0.64% | ) | |||||||||
Portfolio turnover | 17% | 40% | 86% | 53% | 49% | 42% |
1 Ratios have been annualized and total return and portfolio turnover have 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 during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
76
Notes to financial statements
Optimum Fund Trust
September 30, 2010 (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 0.5 0% 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 (U.S. GAAP) 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. Short-term debt securities are valued at market value. 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 co ntracts 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 company securities are valued at net asset value per share. Foreign 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. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and 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’ Boar d 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 (March 31, 2007-March 31, 2010), and has concluded that no provision for federal income tax is required in the Funds’ financial statements.
Class Accounting — Investment income, common expenses and realized and unrealized gain (loss) on investments are allocated to the various classes of the Funds on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
(continues) 77
Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
Repurchase Agreements — Each Fund may invest in a pooled cash account along with other 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 le ast 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, 2010, the Funds held no investments in repurchase agreements.
To Be Announced Trades — The Optimum Fixed Income Fund may contract to purchase securities for a fixed price at a transaction date beyond the customary settlement period (i.e., “when issued,” “delayed delivery,” “forward commitment,” or “TBA transactions”) consistent with the Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Fund on such purchases until the securities are delivered; however the market value may change prior to delivery.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Fund’s prospectus. 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 the 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. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and such differences could be material.
Other — Expenses directly attributable to the Funds are charged directly to the Funds. Other expenses common to various funds within the Delaware Investments® Family of Funds 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 pre miums 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 and interest have been recorded in accordance with the Funds’ understanding of the applicable country’s tax rules and rates.
Each Fund expects to declare and pays dividends from net investment income, if any, annually. Each Fund expects to declare and pay distributions from net realized gain on investments, if any, at least annually, and may distribute net investment income and net capital gains more frequently, if necessary for tax purposes.
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 six months ended September 30, 2010.
The Funds may receive earnings credits from their transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. The expense paid under this arrangement is included in dividend disbursing and transfer agent fees and expenses on the statements of operations with the corresponding expense offset shown as “expense paid indirectly.” For the six month ended September 30, 2010, the Funds earned the following amounts under this agreement:
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 | ||||||
$230 | $247 | $257 | $256 | $250 | $256 |
78
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.
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 – Pacific Investment Management Company, LLC (PIMCO); 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 Investment Management Company (TCW); Optimum Small-Mid Cap Growth Fund – Columbia Wanger Asset Management, LLC and Wellington Management Company, LLP (Wellington Management); Optimum Small-Mid Cap Value Fund – The Killen Group, Inc., Westwood Management Corp. (Westwood) and The Delafield Group, a division of Tocqueville Asset Management L.P. See Note 11 for further information regarding the sub-advisers for Optimum Large Cap Valu e Fund.
For the six months ended September 30, 2010, 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 | ||||||
$458,740 | $383,255 | $1,432,956 | $1,230,191 | $875,804 | $577,955 |
(continues) 79
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
Effective July 29, 2010, DMC has 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 29, 2011 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 only be terminated by agreement of the Manager and 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 | ||||||
Effective July 29, 2010, | |||||||||||
operating expense limitation as | |||||||||||
a percentage of average | |||||||||||
daily net assets (per annum) | 1.00% | 1.40% | 1.27% | 1.23% | 1.55% | 1.45% |
Prior to July 29, 2010, DMC had 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 from August 1, 2009 through July 28, 2010 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 reimbursemen ts 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 28, 2010, | |||||||||||
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% |
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, 2010, 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 | ||||||
$21,510 | $4,791 | $17,020 | $15,648 | $5,839 | $4,745 |
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.
80
At September 30, 2010, 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 | $347,274 | $98,537 | $413,525 | $352,997 | $177,750 | $122,385 | ||||||||||||||||||
Dividend disbursing, transfer agent and fund | ||||||||||||||||||||||||
accounting oversight fees, administration | ||||||||||||||||||||||||
fees and other expenses payable to DSC | 293,472 | 65,707 | 224,963 | 207,177 | 78,273 | 63,783 | ||||||||||||||||||
Distribution fees payable to DDLP | 156,375 | 36,734 | 108,536 | 103,912 | 19,368 | 18,352 | ||||||||||||||||||
Other expenses payable | ||||||||||||||||||||||||
to DMC and affiliates* | 39,607 | 12,357 | 26,570 | 24,356 | 11,584 | 9,948 |
*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, 2010, 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 | ||||||
$9,692 | $2,911 | $9,347 | $8,981 | $1,584 | $1,359 |
For the six months ended September 30, 2010, 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 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | $ | 0 | |||||||||||
Class B | 2,899 | 1,603 | 5,105 | 4,594 | 1,229 | 1,094 | |||||||||||||||||
Class C | 6,180 | 1,531 | 4,616 | 4,500 | 816 | 702 |
DMC, DSC and DDLP are indirect, wholly owned subsidiaries of Delaware Management Holdings, Inc.
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, 2010, 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 | $ | 657,638,796 | $ | 79,408,350 | $ | 434,724,251 | $ | 96,042,096 | $ | 94,000,361 | $ | 39,230,191 | ||||||||
Purchases of U.S. government securities | 385,739,445 | — | — | — | — | — | ||||||||||||||
Sales other than U.S. government securities | 682,868,897 | 82,049,247 | 422,196,782 | 83,242,752 | 83,985,948 | 30,316,335 | ||||||||||||||
Sales of U.S. government securities | 273,396,997 | — | — | — | — | — |
At September 30, 2010, 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, 2010, 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 | $ | 977,462,291 | $ | 216,567,855 | $ | 705,467,125 | $ | 694,383,956 | $239,759,822 | $181,355,067 | |||||||||||||
Aggregate unrealized appreciation | $ | 53,464,688 | $ | 20,643,053 | $ | 81,992,346 | $ | 45,154,504 | $ 40,760,496 | $ 34,880,340 | |||||||||||||
Aggregate unrealized depreciation | (14,743,383 | ) | (12,581,746 | ) | (23,393,425 | ) | (49,137,649 | ) | (11,452,815 | ) | (5,839,539 | ) | |||||||||||
Net unrealized appreciation | |||||||||||||||||||||||
(depreciation) | $ | 38,721,305 | $ | 8,061,307 | $ | 58,598,921 | $ | (3,983,145 | ) | $ 29,307,681 | $ 29,040,801 |
(continues) 81
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
U.S. GAAP defines fair value as the price that each Fund 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. A three level hierarchy for fair value measurements has been established 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 circumstanc es. 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 level hierarchy of inputs is summarized below.
Level 1 – | inputs are quoted prices in active markets for identical investments (i.e. equity securities, open-end investment companies, futures contracts, options contracts) |
Level 2 – | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (i.e. debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
Level 3 – | inputs are significant unobservable inputs (including the Funds’ own assumptions used to determine the fair value of investments) (i.e. broker-quoted securities, fair valued securities) |
The following table summarizes the valuation of the each Fund’s investments by fair value hierarchy levels as of September 30, 2010:
Optimum Fixed Income Fund | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
Agency Asset- & Mortgage-Backed Securities | $ | — | $ | 308,555,524 | $ | 5,542,957 | $ | 314,098,481 | |||||
Corporate Debt | — | 378,818,494 | 1,611,765 | 380,430,259 | |||||||||
Foreign Debt | — | 92,387,740 | 13,698,286 | 106,086,026 | |||||||||
Municipal Bonds | — | 7,399,462 | — | 7,399,462 | |||||||||
U.S. Treasury Obligations | — | 99,173,161 | — | 99,173,161 | |||||||||
Discount Note | — | 60,825,028 | — | 60,825,028 | |||||||||
Common Stock | 496,961 | — | 3 | 496,964 | |||||||||
Securities Lending Collateral | — | 46,392,594 | 65,251 | 46,457,845 | |||||||||
Other | — | 1,216,369 | 1 | 1,216,370 | |||||||||
Total | $ | 496,961 | $ | 994,768,372 | $ | 20,918,263 | $ | 1,016,183,596 | |||||
Foreign Currency Contracts | $ | — | $ | (1,663,518 | ) | $ | — | $ | (1,663,518 | ) | |||
Futures Contracts | $ | 163,611 | $ | — | $ | — | $ | 163,611 | |||||
Swap Contracts | $ | — | $ | 196,648 | $ | — | $ | 196,648 | |||||
Swaptions | $ | — | $ | 69,917 | $ | — | $ | 69,917 | |||||
Optimum International Fund | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
Common Stock | $ | 191,065,735 | $ | — | $ | — | $ | 191,065,735 | |||||
Investment Companies | 2,171,345 | — | — | 2,171,345 | |||||||||
Discount Note | — | 4,361,002 | — | 4,361,002 | |||||||||
Securities Lending Collateral | — | 25,034,751 | 33,796 | 25,068,547 | |||||||||
Preferred Stock | 1,962,533 | — | — | 1,962,533 | |||||||||
Total | $ | 195,199,613 | $ | 29,395,753 | $ | 33,796 | $ | 224,629,162 | |||||
Foreign Currency Contracts | $ | — | $ | 64,553 | $ | — | $ | 64,553 | |||||
Optimum Large Cap Growth Fund | |||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||
Common Stock | $ | 677,847,976 | $ | — | $ | 2,668,588 | $ | 680,516,564 | |||||
Investment Companies | 3,301,997 | — | — | 3,301,997 | |||||||||
Discount Note | — | 28,521,013 | — | 28,521,013 | |||||||||
Securities Lending Collateral | — | 50,618,445 | 54,455 | 50,672,900 | |||||||||
Preferred Stock | — | 1,053,572 | — | 1,053,572 | |||||||||
Total | $ | 681,149,973 | $ | 80,193,030 | $ | 2,723,043 | $ | 764,066,046 |
82
Optimum Large Cap Value Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 630,741,888 | $ | — | $ | — | $ | 630,741,888 | |||
Convertible Preferred Stock | — | 1,090,715 | — | 1,090,715 | |||||||
Discount Note | — | 8,356,004 | — | 8,356,004 | |||||||
Securities Lending Collateral | — | 50,157,931 | 54,273 | 50,212,204 | |||||||
Total | $ | 630,741,888 | $ | 59,604,650 | $ | 54,273 | $ | 690,400,811 | |||
Optimum Small-Mid Cap Growth Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 240,806,673 | $ | — | $ | — | $ | 240,806,673 | |||
Discount Note | — | 3,857,002 | — | 3,857,002 | |||||||
Securities Lending Collateral | — | 24,377,447 | 26,381 | 24,403,828 | |||||||
Total | $ | 240,806,673 | $ | 28,234,449 | $ | 26,381 | $ | 269,067,503 | |||
Optimum Small-Mid Cap Value Fund | |||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||
Common Stock | $ | 183,602,608 | $ | — | $ | — | $ | 183,602,608 | |||
Discount Note | — | 13,938,006 | — | 13,938,006 | |||||||
Securities Lending Collateral | — | 12,841,630 | 13,624 | 12,855,254 | |||||||
Total | $ | 183,602,608 | $ | 26,779,636 | $ | 13,624 | $ | 210,395,868 |
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- and | Securities | ||||||||||||||||||||||||||
Mortgage-Backed | Corporate | Foreign | Common | Lending | |||||||||||||||||||||||
Securities | Debt | Debt | Stock | Collateral | Other | Total | |||||||||||||||||||||
Balance as of 3/31/10 | $ 6,420,927 | $ | 1,643,101 | $ | 1,556,712 | $ 3 | $53,640 | $ 1 | $ | 9,674,384 | |||||||||||||||||
Net realized gain (loss) | (283,355 | ) | (2,851 | ) | 6,410 | — | — | — | (279,796 | ) | |||||||||||||||||
Purchases | 1,210,581 | 772,646 | 13,501,427 | — | — | — | 15,484,654 | ||||||||||||||||||||
Sales | (2,734,904 | ) | (460,056 | ) | (1,881,339 | ) | (1 | ) | — | — | (5,076,300 | ) | |||||||||||||||
Transfers into Level 3 | 8,157 | 139 | — | — | — | — | 8,296 | ||||||||||||||||||||
Transfers out of Level 3 | — | (320,673 | ) | — | — | — | — | (320,673 | ) | ||||||||||||||||||
Net change in unrealized | |||||||||||||||||||||||||||
appreciation/depreciation | 921,551 | (20,541 | ) | 515,076 | 1 | 11,611 | — | 1,427,698 | |||||||||||||||||||
Balance as of 9/30/10 | $ 5,542,957 | $ | 1,611,765 | $ | 13,698,286 | $ 3 | $65,251 | $ 1 | $ | 20,918,263 | |||||||||||||||||
Net change in unrealized | |||||||||||||||||||||||||||
appreciation/depreciation | |||||||||||||||||||||||||||
from investments still held as of 9/30/10 | $ 556,769 | $ | (2,260 | ) | $ | 575,803 | $ — | $11,611 | $ — | $ | 1,141,923 |
Optimum International Fund | |||||||||||
Securities | |||||||||||
Lending | |||||||||||
Collateral | Other | Total | |||||||||
Balance as of 3/31/10 | $27,782 | $ | 55,030 | $ | 82,812 | ||||||
Transfers out of Level 3 | — | (62,342 | ) | (62,342 | ) | ||||||
Net change in unrealized | |||||||||||
appreciation/depreciation | 6,014 | 7,312 | 13,326 | ||||||||
Balance as of 9/30/10 | $33,796 | $ | — | $ | 33,796 | ||||||
Net change in unrealized appreciation/ | |||||||||||
depreciation from investments still held | |||||||||||
as of 9/30/10 | $ 6,014 | $ | 7,312 | $ | 13,326 |
(continues) 83
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Large Cap Growth Fund | |||||||||
Securities | |||||||||
Lending | Common | ||||||||
Collateral | Stock | Total | |||||||
Balance as of 3/31/10 | $44,765 | $ | — | $ | 44,765 | ||||
Purchases | — | 2,149,485 | 2,149,485 | ||||||
Net change in unrealized | |||||||||
appreciation/depreciation | 9,690 | 519,103 | 528,793 | ||||||
Balance as of 9/30/10 | $54,455 | $ | 2,668,588 | $ | 2,723,043 | ||||
Net change in unrealized appreciation/ | |||||||||
depreciation from investments still held | |||||||||
as of 9/30/10 | $ 9,690 | $ | 519,103 | $ | 528,793 |
Optimum Large Cap Value Fund | |||
Securities | |||
Lending | |||
Collateral | |||
Balance as of 3/31/10 | $44,615 | ||
Net change in unrealized | |||
appreciation/depreciation | 9,658 | ||
Balance as of 9/30/10 | $54,273 | ||
Net change in unrealized appreciation/ | |||
depreciation from investments still held | |||
as of 9/30/10 | $ 9,658 |
Optimum Small-Mid Cap Growth Fund | |||||||||||
Securities | |||||||||||
Lending | Common | ||||||||||
Collateral | Stock | Total | |||||||||
Balance as of 3/31/10 | $21,686 | $ | 209,872 | $ | 231,558 | ||||||
Transfers out of Level 3 | — | (149,998 | ) | (149,998 | ) | ||||||
Net change in unrealized | |||||||||||
appreciation/depreciation | 4,695 | (59,874 | ) | (55,179 | ) | ||||||
Balance as of 9/30/10 | $26,381 | $ | — | $ | 26,381 | ||||||
Net change in unrealized appreciation/ | |||||||||||
depreciation from investments still held | |||||||||||
as of 9/30/10 | $ 4,695 | $ | (59,874 | ) | $ | (55,179 | ) |
Optimum Small-Mid Cap Value Fund | |||
Securities | |||
Lending | |||
Collateral | |||
Balance as of 3/31/10 | $11,200 | ||
Net change in unrealized | |||
appreciation/depreciation | 2,424 | ||
Balance as of 9/30/10 | $13,624 | ||
Net change in unrealized appreciation/ | |||
depreciation from investments still held | |||
as of 9/30/10 | $ 2,424 |
84
In January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update, Improving Disclosures about Fair Value Measurements, which introduced new disclosure requirements and clarified certain existing disclosure requirements around fair value measurements currently presented above. The new disclosures and clarifications of existing disclosures are generally effective for the Funds’ year ending March 31, 2011 and interim periods therein. During the period ended September 30, 2010, the Funds made transfers out of Level 1 investments into Level 2 investments based on management’s decision to classify the BNY Mellon Securities Lending Overnight Fund as a Level 2 investments. Management has classified the BNY Mellon Securities Lending Overnight Fund as a Level 2 investment because the price is not quoted in an active market or listed on a public exchange as follows. The BNY Mellon Securities Lending Overnigh t Fund is priced daily for investors in such 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 | ||||||
$45,514,089 | $24,607,117 | $49,439,666 | $49,327,222 | $23,895,953 | $12,550,724 |
During the period ended September 30, 2010, transfers out of Level 3 investments into Level 1 investments were made in the amount of $149,998 for the Optimum Small-Mid Cap Growth Fund and transfers out of Level 3 investments into Level 2 investments were made in the amount of $930,673 and $62,342 for the Optimum Fixed Income Fund and Optimum International Fund, respectively. These were due to the Fund’s pricing vendor being able to supply a matrix price for an investment that had been utilizing a broker quoted price.
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. GAAP. 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, 2010 and the year ended March 31, 2010 was as follows:
Six Months Ended September 30, 2010*
Optimum | Optimum | Optimum | ||||
Fixed Income | International | Large Cap | ||||
Fund | Fund | Value Fund | ||||
Ordinary income | $15,626,824 | $3,209,203 | $8,703,618 |
Optimum Large Cap Growth Fund, Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund did not make any distributions during the six months ended September 30, 2010.
Year Ended March 31, 2010
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 | $ | 47,549,636 | $ | 2,806,274 | $ | 750,120 | $ | 13,614,136 | $ | 88,032 | ||||||||||||
Return of capital | — | — | 3,034 | — | 92,374 | |||||||||||||||||
Total | $ | 47,549,636 | $ | 2,806,274 | $ | 753,154 | $ | 13,614,136 | $ | 180,406 |
Optimum Small-Mid Cap Growth Fund did not make any distributions during the year ended March 31, 2010.
*Tax information for the six months ended September 30, 2010 is an estimate and the tax character of dividends and distributions may be redesignated at fiscal year end.
(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, 2010, 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 | $ | 876,854,590 | $ | 254,579,041 | $ | 796,682,463 | |||||
Undistributed ordinary income | 18,400,328 | 1,779,329 | — | ||||||||
Six months period realized gains (losses) | 3,350,497 | (3,588,864 | ) | 8,269,026 | |||||||
Capital loss carryforwards as of 3/31/10 | (16,132,020 | ) | (58,963,241 | ) | (157,655,383 | ) | |||||
Other temporary differences | (3,303,644 | ) | — | ||||||||
Unrealized appreciation/depreciation of investments, | |||||||||||
swap contracts and foreign currencies | 38,873,557 | 8,137,478 | 58,634,971 | ||||||||
Net assets | $ | 918,043,308 | $ | 201,943,743 | $ | 705,931,077 | |||||
Optimum | Optimum | Optimum | |||||||||
Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||
Value Fund | Growth Fund | Value Fund | |||||||||
Share of beneficial interest | $ | 814,978,288 | $ | 228,572,644 | $ | 195,649,283 | |||||
Undistributed ordinary income | 3,414,363 | — | — | ||||||||
Six months period realized gains | 648,523 | 5,256,392 | 5,425,214 | ||||||||
Capital loss carryforwards as of 3/31/10 | (175,020,048 | ) | (19,926,636 | ) | (32,557,155 | ) | |||||
Unrealized appreciation/depreciation of investments and foreign currencies | (3,956,729 | ) | 29,310,482 | 29,040,801 | |||||||
Net assets | $ | 640,064,397 | $ | 243,212,882 | $ | 197,558,143 |
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, mark-to-market on futures contracts, tax recognition of unrealized gain on passive foreign investment companies, and tax treatment of contigent payment debt instruments and 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, passive foreign investment companies, gain (loss) on foreign currency transactions and foreign future 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, 2010, the Funds recorded an estimate of these differences since final tax characteristics cannot be determined until fiscal year end.
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 | ||||||||||||||||||
Undistributed (accumulated) net | |||||||||||||||||||||||
investment income (loss) | $ | (2,208,370 | ) | $ | (27,418 | ) | $ | 1,528,179 | $ | 12,705 | $ | 1,284,685 | $ | 284,723 | |||||||||
Accumulated net realized gain (loss) | 2,208,370 | 27,418 | 139,741 | (12,705 | ) | 76,167 | — | ||||||||||||||||
Paid-in capital | — | (1,667,920 | ) | — | (1,360,852 | ) | (284,723 | ) |
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, 2010 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 | $ | 16,132,020 | $ | 2,202,347 | $ | 77,826,014 | $ | 55,991,912 | $ | 15,427,746 | $ | 4,705,463 | ||||||
3/31/18 | — | 56,760,894 | 79,829,369 | 119,028,136 | 4,498,890 | 27,851,692 |
For the six months ended September 30, 2010, each Fund had the following capital gains (losses), which may reduce (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 | ||||||
$3,350,497 | $(3,588,864) | $8,269,026 | $648,523 | $5,256,392 | $5,425,214 |
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 | ||||||||||||
9/30/10 | 3/31/10 | 9/30/10 | 3/31/10 | 9/30/10 | 3/31/10 | ||||||||||||
Shares sold: | |||||||||||||||||
Class A | 300,916 | 380,500 | 53,609 | 104,636 | 144,870 | 291,768 | |||||||||||
Class B | 4,563 | 6,894 | 54 | 2,855 | 2,015 | 12,315 | |||||||||||
Class C | 1,140,878 | 2,021,942 | 134,920 | 390,232 | 419,720 | 1,222,043 | |||||||||||
Institutional Class | 14,993,979 | 21,802,020 | 1,749,970 | 6,025,380 | 7,546,386 | 13,430,954 | |||||||||||
16,440,336 | 24,211,356 | 1,938,553 | 6,523,103 | 8,112,991 | 14,957,080 | ||||||||||||
Shares issued upon reinvestment of | |||||||||||||||||
dividends and distributions: | |||||||||||||||||
Class A | 77,961 | 302,381 | 19,005 | 24,437 | — | — | |||||||||||
Class B | 9,368 | 38,541 | 2,229 | 4,341 | — | — | |||||||||||
Class C | 299,771 | 1,158,140 | 44,652 | 84,037 | — | — | |||||||||||
Institutional Class | 1,250,907 | 3,778,982 | 284,807 | 212,753 | — | 89,194 | |||||||||||
1,638,007 | 5,278,044 | 350,693 | 325,568 | — | 89,194 | ||||||||||||
Shares repurchased: | |||||||||||||||||
Class A | (578,308 | ) | (1,361,901 | ) | (179,705 | ) | (326,529 | ) | (517,189 | ) | (938,322 | ) | |||||
Class B | (59,673 | ) | (150,573 | ) | (25,731 | ) | (41,188 | ) | (66,073 | ) | (120,037 | ) | |||||
Class C | (2,134,047 | ) | (5,106,580 | ) | (500,678 | ) | (1,203,369 | ) | (1,478,846 | ) | (3,425,748 | ) | |||||
Institutional Class | (6,593,258 | ) | (19,275,823 | ) | (1,676,041 | ) | (3,481,196 | ) | (5,259,222 | ) | (21,042,002 | ) | |||||
(9,365,286 | ) | (25,894,877 | ) | (2,382,155 | ) | (5,052,282 | ) | (7,321,330 | ) | (25,526,109 | ) | ||||||
Net increase (decrease) | 8,713,057 | 3,594,523 | (92,909 | ) | 1,796,389 | 791,661 | (10,479,835 | ) | |||||||||
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 | ||||||||||||
9/30/10 | 3/31/10 | 9/30/10 | 3/31/10 | 9/30/10 | 3/31/10 | ||||||||||||
Shares sold: | |||||||||||||||||
Class A | 153,745 | 299,064 | 24,322 | 59,618 | 22,060 | 52,233 | |||||||||||
Class B | 1,239 | 13,622 | 498 | 4,461 | — | 3,755 | |||||||||||
Class C | 433,959 | 1,244,236 | 70,321 | 245,545 | 67,611 | 234,992 | |||||||||||
Institutional Class | 7,554,981 | 13,146,430 | 3,116,556 | 14,215,293 | 2,583,059 | 8,887,279 | |||||||||||
8,143,924 | 14,703,352 | 3,211,697 | 14,524,917 | 2,672,730 | 9,178,259 | ||||||||||||
Shares issued upon reinvestment of | |||||||||||||||||
dividends and distributions: | |||||||||||||||||
Class A | 43,342 | 89,427 | — | — | — | — | |||||||||||
Class B | 4,041 | 10,509 | — | — | — | — | |||||||||||
Class C | 88,937 | 223,973 | — | — | — | — | |||||||||||
Institutional Class | 814,457 | 1,426,180 | — | — | — | 24,450 | |||||||||||
950,777 | 1,750,089 | — | — | — | 24,450 | ||||||||||||
Shares repurchased: | |||||||||||||||||
Class A | (517,583 | ) | (920,206 | ) | (91,667 | ) | (167,898 | ) | (82,911 | ) | (174,801 | ) | |||||
Class B | (68,167 | ) | (116,086 | ) | (12,948 | ) | (21,246 | ) | (14,104 | ) | (21,432 | ) | |||||
Class C | (1,489,757 | ) | (3,421,119 | ) | (261,501 | ) | (601,165 | ) | (256,481 | ) | (636,236 | ) | |||||
Institutional Class | (5,275,087 | ) | (19,036,670 | ) | (1,904,485 | ) | (3,978,501 | ) | (1,650,817 | ) | (3,198,117 | ) | |||||
(7,350,594 | ) | (23,494,081 | ) | (2,270,601 | ) | (4,768,810 | ) | (2,004,313 | ) | (4,030,586 | ) | ||||||
Net increase (decrease) | 1,744,107 | (7,040,640 | ) | 941,096 | 9,756,107 | 668,417 | 5,172,123 |
(continues) 87
Notes to financial statements
Optimum Fund Trust
7. Derivatives
U.S. GAAP requires 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 — Each Fund may enter into foreign 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. Each Fund may also use these contracts to hedge the U.S. dollar value of securities it already owns 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 does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. In addition, the Funds could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The 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.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Optimum Fixed Income Fund and Optimum International Fund may use futures in the normal course of pursuing their investment objectives. The Optimum Fixed Income Fund may invest in 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 futures contracts to a limited extent, which the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity and minimizing costs, Upon entering into a futures contract, each Fund deposits cash or pledges U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by each Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Funds records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. 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 year ended September 30, 2010, 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; 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, futures, swaps “swaptions”, 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. W hen 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 because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
Transactions in options during the period ended September 30, 2010 for the Optimum Fixed Income Fund were as follows:
Number of contracts | Premiums | |||||
Options outstanding at March 31, 2010 | — | $ | — | |||
Options written | 71,000 | 254,535 | ||||
Options expired | — | — | ||||
Options terminated in closing purchase transactions | — | — | ||||
Options outstanding at September 30, 2010 | 71,000 | $ | 254,535 |
88
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 their investment objectives. The Fund may use interest rate swaps to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Index swaps may be used to gain exposure to markets that the Fund invests in, such as the corporate bond market. The Fund may also use index swaps as a substitute for futures or options contracts if such contracts are not directly available to the Fund on favorable terms. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets.
Interest Rate Swaps. An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, 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 rec orded 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 Funds and the counterparty and by the posting of collateral by the counterparty to the Funds to cover the Funds’ 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 discou nted 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 cr edit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the period ended September 30, 2010, the Fund entered into CDS contracts as a purchaser 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. At September 30, 2010, the net unrealized appreciation of credit default swaps was $196,648. The Fund had posted $1,540,000 as collateral, net of collateral received, for certain open derivatives, wh ich is presented as restricted cash on the statement of assets and liabilities. If a credit event had occurred for all swap transactions where collateral posting was required as of September 30, 2010, the swaps’ credit-risk-related contingent features would have been triggered and the Fund would have been required to received $16,428,000 less the value of the contracts’ related reference obligations. As disclosed in the footnotes to the statements of net assets, at September 30, 2010, the notional value of the protection sold was $2,545,000, which reflects the maximum potential amount the Fund would have been required to make as a seller of credit protection if a credit event had occurred. The quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement h as been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At September 30, 2010, the net unrealized appreciation of the protection sold was $12,635.
Credit default swaps may involve greater risks than if the Fund had invested in the reference obligation directly. Credit default swaps 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.
(continues) 89
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
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 its position in the agreement. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable 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.
Fair values of derivative instruments as of September 30, 2010 were as follows:
Optimum Fixed Income Fund | |||||||||||
Assets Derivatives | Liabilities Derivatives | ||||||||||
Statements of | Statements of | ||||||||||
Net Assets Location | Fair Value | Net Assets Location | Fair Value | ||||||||
Foreign exchange contracts (Forward Currency Contracts) | Receivables | $ | 30,997 | Payables | $ | (1,694,515 | ) | ||||
Interest rate contracts (Futures) | Receivables | 163,611 | ** | Payables | — | ||||||
Credit contracts (Swaptions) | Receivables | 69,917 | Payables | — | |||||||
Credit contracts (Swaps) | Receivables | 200,523 | Payables | (3,875 | ) | ||||||
Total | $ | 465,048 | $ | (1,698,390 | ) |
**Includes cumulative depreciation of futures contracts as reported in the notes to statements of net assets. Only current day variation margin is reported with the Fund’s statements of assets and liabilities.
Statements of operations
The effect of derivative instruments on the statements of operations for the period ended September 30, 2010 was as follows:
Realized Gain or Loss on | Change in Unrealized | |||||||||||
Location of Gain or Loss on | Derivatives Recognized in | Appreciation on Derivatives | ||||||||||
Derivatives Recognized in Income | Income | Recognized in Income | ||||||||||
Foreign exchange contracts (Forward currency contracts) | Net realized loss on foreign | |||||||||||
currencies and net change | ||||||||||||
in unrealized appreciation/ | ||||||||||||
depreciation of investments and | ||||||||||||
foreign currencies | $ | (1,513,574 | ) | $ | (1,969,292 | ) | ||||||
Interest rate contracts (Futures) | Net realized gain on futures | |||||||||||
contracts and net change | ||||||||||||
in unrealized appreciation/ | ||||||||||||
depreciation of investments and | ||||||||||||
foreign currencies | 758,203 | 162,472 | ||||||||||
Credit contracts (Swaptions) | Net realized gain on swaptions | |||||||||||
contracts and net change | ||||||||||||
in unrealized appreciation/ | ||||||||||||
depreciation of investments and | ||||||||||||
foreign currencies | — | 69,917 | ||||||||||
Credit contracts (Swaps) | Net realized loss on swap | |||||||||||
contracts and net change | ||||||||||||
in unrealized appreciation/ | ||||||||||||
depreciation of investments and | ||||||||||||
foreign currencies | (1,367,356 | ) | 577,854 | |||||||||
Total | $ | (2,122,727 | ) | $ | (1,159,049 | ) |
90
8. Securities Lending
The Funds may lend theirs securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held 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 by the end of the following business day which, together with the collateral already held, will be not less than the applicable collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable collateral requirement, upon request of the borrower BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applic able collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security may be temporarily more or less than the value of security on loan.
Cash collateral received is generally invested in the BNY Mellon Securities Lending Overnight Fund (the “Collective Trust”) established by BNY Mellon for the purpose of investment on behalf of clients participating in its securities lending programs. The Collective Trust may invest in U.S. government securities and high quality corporate debt, asset-backed and other money market securities and in repurchase agreements collateralized by such securities, provided that the Collective Trust will only hold such assets with a maturity of one business day or less (“Overnight Assets”). 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. The Funds may incur investment losses as a result of investing securities lending collateral in the Collective Trust or another collateral investment pool. This could occur if an investment in a colla teral investment pool defaulted or if it were necessary to liquidate assets in the collateral investment pool to meet returns on outstanding security loans at a time when the collateral investment pool’s net asset value per unit was less than $1.00. Under those circumstances, the Funds may not receive an amount from the collateral investment pool 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 Funds’ previous collateral investment pool other than cash and Overnight Assets to the BNY Mellon SL DBT II Liquidating Fund (the “Liquidating Fund”), effectively bifurcating the previous collateral investment pool. The Funds’ exposure to the Liquidating Fund is expected to decrease as the Liquidating Funds’ assets mature or are sold. In October 2008, BNY Mellon transferred certain distresse d securities from the previous collateral investment pool 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 s ecurities from the borrower on demand. 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, 2010, the values of securities on loan and the values of invested collateral for each Fund are presented below, for which the Funds received collateral, comprised of securities collateral and cash collateral. Investments purchased with cash collateral are presented on the statements of net assets under the caption “Securities Lending Collateral”.
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 | $45,648,120 | $24,095,731 | $50,512,209 | $50,403,033 | $24,319,952 | $13,036,651 | ||||||
Securities collateral | 8,960 | — | 62,430 | 767,120 | 134,227 | 258,470 | ||||||
Cash collateral | 47,683,091 | 25,397,064 | 51,709,828 | 51,234,534 | 24,903,270 | 13,114,558 | ||||||
Value of invested collateral | 46,457,845 | 25,068,547 | 50,672,900 | 50,212,204 | 24,403,828 | 12,855,254 |
9. Credit and Market Risk
Some countries in which the Funds 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.
(continues) 91
Notes to financial statements
Optimum Fund Trust
9. Credit and Market Risk (continued)
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.
The Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund invest a significant portion of their 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 is subject to 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, 2010. The Funds’ REIT holdings are also affected by interest rate changes, particularly if the REITs they hold 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 the Funds 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 ne t assets.
10. Contractual Obligations
Each Fund enters into contracts in the normal course of business that contain a variety of indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts. Management has reviewed each Fund’s existing contracts and expects the risk of loss to be remote.
11. Subsequent Events
Management has determined no material events or transactions occurred subsequent to September 30, 2010 that would require recognition or disclosure in the Funds’ statements of net assets.
On November 1, 2010, Herndon Capital Management LLC (Herndon) replaced TCW as a sub-advisor of the Optimum Large Cap Value Fund. Please see the supplement to the Fund’s prospectus, dated September 27, 2010, for further information about Herndon.
92
Other Fund information
(Unaudited)
(Unaudited)
Optimum Fund Trust
Change in Independent Registered Public Accounting Firm. Due to independence matters under the Securities and Exchange Commission’s auditor independence rules relating to the January 4, 2010 acquisition of Delaware Investments (including DMC, DDLP and DSC) by Macquarie Group, Ernst & Young LLP (“E&Y”) has resigned as the independent registered public accounting firm for Optimum Fund Trust (the “Fund”) effective May 27, 2010. At a meeting held on March 17, 2010, the Board of Trustees of the Fund, upon recommendation of the Audit Committee, selected PricewaterhouseCoopers LLP (“PwC”) to serve as the independe nt registered public accounting firm for the Fund for the fiscal year ending March 31, 2011. During the fiscal years ended March 31, 2010 and March 31, 2009, E&Y’s audit reports on the financial statements of the Fund did not contain any adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. In addition, there were no disagreements between the Fund and E&Y on accounting principles, financial statements disclosures or audit scope, which, if not resolved to the satisfaction of E&Y, would have caused them to make reference to the disagreement in their reports. Neither the Fund nor anyone on its behalf has consulted with PwC at any time prior to their selection with respect to the application of accounting principles to a specified transaction, either completed or proposed or the type of audit opinion that might be rendered on the Fund’s financial statements.
Board Consideration of Sub-Advisory Agreement with Herndon Capital Management, LLC
At a meeting held on September 23, 2010, the Board of Trustees, including a majority of non-interested or independent Trustees, approved a new Sub-Advisory Agreement (the “Sub-Advisory Agreement”) between Delaware Management Company (the “Manager” or “DMC”) and Herndon Capital Management, LLC (“Herndon” or “Sub-Adviser”) for the Optimum Large Cap Value Fund. Herndon replaced TCW Investment Management Company (“TCW”) as a sub-adviser to the Fund on November 1, 2010. In reaching the decision to approve the Sub-Advisory Agreement, the Board considered and reviewed information about Herndon, including its personnel, operations and financial condition, which had been provided by Herndon. The Board also reviewed material furnished by DMC (with the assistance of its consultant, LPL Financial Corporation (“LPL”)), including: a memorandum from DMC reviewing the Sub- Advisory Agreement and the various services proposed to be rendered by Herndon; research and analysis concerning DMC’s proposal of Herndon; a description of Herndon’s proposed sub-advisory fees under the Sub-Advisory Agreement; information concerning Herndon’s organizational structure and the experience of its investment management personnel; a “due diligence” report describing various material items in relation to Herndon’s personnel, organization and policies; copies of Herndon’s compliance policies and procedures and its Code of Ethics; and a copy of the Sub-Advisory Agreement.
In considering such information and materials, the independent Trustees received assistance from and met separately with independent counsel. The materials prepared by Management specifically in connection with the approval of the Sub-Advisory Agreement were sent to the independent Trustees in advance of the meeting. 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 Agreement.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of the services to be provided by Herndon, the Board specifically considered that the Sub-Advisory Agreement contains substantially similar provisions to those in the prior TCW sub-advisory agreement except for the provisions relating to the fees. The Board reviewed materials provided by Herndon regarding the experience and qualifications of personnel who will be responsible for managing Herndon’s portion of the Optimum Large Cap Value Fund, and placed weight on Herndon’s performance in managing an existing account (the “Herndon Account”) in a similar investment strategy to the one they would employ for the Fund. The Board also considered that Herndon would co-manage the Fund with another adviser, Massachusetts Financi al Services Company (“MFS”). The Board considered the compatibility of the two advisers’ investment philosophies and methodologies. Based upon these considerations, the Board determined that the nature, extent and quality of the services to be provided by Herndon under the Sub-Advisory Agreement was satisfactory.
Investment Performance. The Board reviewed information on the performance of the Herndon Account over various time periods. The Board also reviewed an analysis showing the projected composite investment performance of the Optimum Large Cap Value Fund that would have resulted from combining the performance of Herndon in managing the Herndon Account with the performance of MFS in managing its portion of the Fund over various time periods measured in several different ways. In respect to such analysis, the Board noted that Herndon’s investment style seemed a good complement to that followed by MFS, and Herndon’s investment strategy seemed to provide a better ability to offset MFS’s investment biases. 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 Herndon under the Sub-Advisory Agreement.
Sub-Advisory Fee; Profitability; and Economies of Scale. The Board was provided with a description of fees to be charged by Herndon under the Sub-Advisory Agreement for the Optimum Large Cap Value Fund, which showed them to be lower than the sub-advisory fees charged by TCW under its sub-advisory agreement. The Board also was provided with information showing that Herndon’s fees were competitive with those charged by Herndon to other comparable investment companies or accounts, and was informed by Management that Herndon’s fees were competitive with fees of other investment managers being considered as possible sub-advisers to the Fund. The Board was informed that Herndon may receive certain fall-out benefits in connection with their 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 at current asset levels. Information about Herndon’s estimated profitability from its relationship with the Fund was not available because it had not begun to provide services to the Fund. The investment management fees for the Fund contained breakpoints with the Fund’s asset size being at a high enough level to benefit from such breakpoints and to the extent economies of scale may be realized in the management of the Fund, the Trustees believed such schedule of fees provided a sharing of benefits with the Fund and its shareholders. Based upon such facts, the Board believed that the fees to be charged by Herndon under the Sub-Advisory Agreement were fair and reasonable in relation to the services being provided.
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About the organization
This semiannual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the 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 Robert J. Moore Chairman and Chief Financial Officer LPL Financial Corporation Theodore K. Smith Executive Vice President Delaware Investments Robert J. Christian Private Investor Nicholas D. Constan Adjunct Professor — University of Pennsylvania Durant Adams Hunter Principal — Ridgeway Partners Stephen Paul Mullin Senior Vice President — Econsult Corporation Robert A. Rudell Private Investor Jon Edward Socolofsky Private Investor | Affiliated officers David F. Connor Vice President, Deputy General Counsel and Secretary Optimum Fund Trust Philadelphia, PA Daniel V. Geatens Vice President and Treasurer Optimum Fund Trust Philadelphia, PA David P. O’Connor Senior Vice President, General Counsel and Chief Legal Officer Optimum Fund Trust Philadelphia, PA Richard Salus Senior Vice President and Chief Financial Officer Optimum Fund Trust Philadelphia, PA | Contact information Investment manager Delaware Management Company, a series of Delaware Management Business Trust Philadelphia, PA National distributor Delaware Distributors, L.P. Philadelphia, PA Shareholder servicing, dividend disbursing, and transfer agent Delaware Service Company, Inc. 2005 Market Street Philadelphia, PA 19103-7094 For shareholders 800 914-0278 For securities dealers and financial institutions representatives only 800 362-7500 Web site www.optimummutualfunds.com |
Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) 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 SEC’s Web site at www.sec.gov. Each Fund’s Forms N-Q may be reviewed and copied at the SEC’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 SEC’s Web site at www.sec.gov.
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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 | |
/s/ THEODORE K. SMITH | |
By: | Theodore K. Smith |
Title: | Chief Executive Officer |
Date: | December 6, 2010 |
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.
/s/ THEODORE K. SMITH | |
By: | Theodore K. Smith |
Title: | Chief Executive Officer |
Date: | December 6, 2010 |
/s/ RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | December 6, 2010 |