UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-21335 | |
Exact name of registrant as specified in charter: | Optimum Fund Trust | |
Address of principal executive offices: | 2005 Market Street | |
Philadelphia, PA 19103 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
2005 Market Street | ||
Philadelphia, PA 19103 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | March 31 | |
Date of reporting period: | September 30, 2014 |
Item 1. Reports to Stockholders
Table of Contents
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, 2014
|
Carefully consider the Funds’ investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Funds’ prospectus and, if available, their summary prospectus, which may be obtained by visiting optimummutualfunds.com or calling 800 914-0278. Investors should read the prospectus and, if available, the summary prospectus carefully before investing.
Table of Contents
1 | ||||
Security type /sector / country allocations and top 10 equity holdings | 3 | |||
Financial statements | ||||
8 | ||||
63 | ||||
65 | ||||
66 | ||||
69 | ||||
93 | ||||
116 | ||||
119 |
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, views expressed herein are current as of Sept. 30, 2014, and subject to change. 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.
All third-party marks cited are the property of their respective owners.
© 2014 Delaware Management Holdings, Inc.
Table of Contents
For the six-month period from April 1, 2014 to September 30, 2014 (Unaudited)
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, 2014 to Sept. 30, 2014.
Actual Expenses
The first section of the tables shown, “Actual Fund Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the tables shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of each table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. Each Fund’s expenses shown in the tables reflect fee waivers in effect. The expenses shown in each table assume reinvestment of all dividends and distributions.
Optimum Fixed Income Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/14 | Ending Account Value 9/30/14 | Annualized Expense Ratio | Expenses Paid During Period 4/1/14 to 9/30/14* | |||||||||||
| ||||||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,016.40 | 1.17% | $ | 5.91 | |||||||
Class B** | 1,000.00 | 1,015.30 | 1.17% | 5.91 | ||||||||||
Class C | 1,000.00 | 1,012.50 | 1.92% | 9.69 | ||||||||||
Institutional Class | 1,000.00 | 1,017.00 | 0.92% | 4.65 | ||||||||||
| ||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.20 | 1.17% | $ | 5.92 | |||||||
Class B** | 1,000.00 | 1,019.20 | 1.17% | 5.92 | ||||||||||
Class C | 1,000.00 | 1,015.44 | 1.92% | 9.70 | ||||||||||
Institutional Class | 1,000.00 | 1,020.46 | 0.92% | 4.66 | ||||||||||
|
Optimum International Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/14 | Ending Account Value 9/30/14 | Annualized Expense Ratio | Expenses Paid During Period 4/1/14 to 9/30/14* | |||||||||||
| ||||||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 961.60 | 1.45% | $ | 7.13 | |||||||
Class B** | 1,000.00 | 961.70 | 1.45% | 7.13 | ||||||||||
Class C | 1,000.00 | 957.70 | 2.20% | 10.80 | ||||||||||
Institutional Class | 1,000.00 | 962.40 | 1.20% | 5.90 | ||||||||||
| ||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.80 | 1.45% | $ | 7.33 | |||||||
Class B** | 1,000.00 | 1,017.80 | 1.45% | 7.33 | ||||||||||
Class C | 1,000.00 | 1,014.04 | 2.20% | 11.11 | ||||||||||
Institutional Class | 1,000.00 | 1,019.05 | 1.20% | 6.07 | ||||||||||
|
(continues) 1
Table of Contents
Disclosure of Fund expenses
Optimum Large Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/14 | Ending Account Value 9/30/14 | Annualized Expense | Expenses Paid During Period 4/1/14 to 9/30/14* | |||||||||||
| ||||||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,066.40 | 1.38% | $ | 7.15 | |||||||
Class B** | 1,000.00 | 1,066.90 | 1.38% | 7.15 | ||||||||||
Class C | 1,000.00 | 1,063.10 | 2.13% | 11.02 | ||||||||||
Institutional Class | 1,000.00 | 1,068.20 | 1.13% | 5.86 | ||||||||||
| ||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.15 | 1.38% | $ | 6.98 | |||||||
Class B** | 1,000.00 | 1,018.15 | 1.38% | 6.98 | ||||||||||
Class C | 1,000.00 | 1,014.39 | 2.13% | 10.76 | ||||||||||
Institutional Class | 1,000.00 | 1,019.40 | 1.13% | 5.72 | ||||||||||
|
Optimum Large Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/14 | Ending Account Value 9/30/14 | Annualized Expense | Expenses Paid During Period 4/1/14 to 9/30/14* | |||||||||||
| ||||||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,025.40 | 1.33% | $ | 6.75 | |||||||
Class B** | 1,000.00 | 1,024.90 | 1.33% | 6.75 | ||||||||||
Class C | 1,000.00 | 1,021.20 | 2.08% | 10.54 | ||||||||||
Institutional Class | 1,000.00 | 1,026.60 | 1.08% | 5.49 | ||||||||||
| ||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.40 | 1.33% | $ | 6.73 | |||||||
Class B** | 1,000.00 | 1,018.40 | 1.33% | 6.73 | ||||||||||
Class C | 1,000.00 | 1,014.64 | 2.08% | 10.50 | ||||||||||
Institutional Class | 1,000.00 | 1,019.65 | 1.08% | 5.47 | ||||||||||
|
Optimum Small-Mid Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/14 | Ending Account Value 9/30/14 | Annualized Expense | Expenses Paid During Period 4/1/14 to 9/30/14* | |||||||||||
| ||||||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 982.60 | 1.65% | $ | 8.20 | |||||||
Class B** | 1,000.00 | 982.60 | 1.65% | 8.20 | ||||||||||
Class C | 1,000.00 | 978.20 | 2.40% | 11.90 | ||||||||||
Institutional Class | 1,000.00 | 983.40 | 1.40% | 6.96 | ||||||||||
| ||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,016.80 | 1.65% | $ | 8.34 | |||||||
Class B** | 1,000.00 | 1,016.80 | 1.65% | 8.34 | ||||||||||
Class C | 1,000.00 | 1,013.04 | 2.40% | 12.11 | ||||||||||
Institutional Class | 1,000.00 | 1,018.05 | 1.40% | 7.08 | ||||||||||
|
Optimum Small-Mid Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/14 | Ending Account Value 9/30/14 | Annualized Expense | Expenses Paid During Period 4/1/14 to 9/30/14* | |||||||||||
| ||||||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 953.60 | 1.63% | $ | 7.98 | |||||||
Class B** | 1,000.00 | 953.50 | 1.63% | 7.98 | ||||||||||
Class C | 1,000.00 | 950.10 | 2.38% | 11.63 | ||||||||||
Institutional Class | 1,000.00 | 954.30 | 1.38% | 6.76 | ||||||||||
| ||||||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $ | 1,000.00 | $ | 1,016.90 | 1.63% | $ | 8.24 | |||||||
Class B** | 1,000.00 | 1,016.90 | 1.63% | 8.24 | ||||||||||
Class C | 1,000.00 | 1,013.14 | 2.38% | 12.01 | ||||||||||
Institutional Class | 1,000.00 | 1,018.15 | 1.38% | 6.98 | ||||||||||
|
*“Expenses Paid During Period” are equal to the relevant Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
**See Note 11 in “Notes to financial statements.”
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
2
Table of Contents
Security type / sector allocations
Optimum Fixed Income Fund
As of September 30, 2014 (Unaudited)
Sector designations may be different than the sector designations presented in other fund materials. The sector designations may represent the investment manager or sub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Security type / sector | Percentage of net assets | |||
Agency Collateralized Mortgage Obligations | 4.84% | |||
Agency Mortgage-Backed Securities | 10.08% | |||
Agency Obligation | 0.09% | |||
Collateralized Debt Obligations | 0.29% | |||
Commercial Mortgage-Backed Securities | 2.21% | |||
Convertible Bonds | 0.82% | |||
Corporate Bonds | 38.23% | |||
Banking | 9.21% | |||
Basic Industry | 2.15% | |||
Brokerage | 0.35% | |||
Capital Goods | 1.20% | |||
Communications | 4.80% | |||
Consumer Cyclical | 2.88% | |||
Consumer Non-Cyclical | 2.94% | |||
Energy | 3.48% | |||
Finance Companies | 1.80% | |||
Insurance | 1.25% | |||
Natural Gas | 1.58% | |||
Real Estate | 1.40% | |||
Technology | 1.18% | |||
Transportation | 0.92% | |||
Utilities | 3.09% | |||
Municipal Bonds | 0.67% |
Security type / sector | Percentage of net assets | |||
Non-Agency Asset-Backed Securities | 3.38% | |||
Non-Agency Collateralized Mortgage Obligations | 2.85% | |||
Regional Bonds | 0.10% | |||
Senior Secured Loans | 5.75% | |||
Sovereign Bonds | 7.92% | |||
Supranational Banks | 0.07% | |||
U.S. Treasury Obligations | 21.00% | |||
Common Stock | 0.00% | |||
Convertible Preferred Stock | 0.27% | |||
Preferred Stock | 0.44% | |||
Options Purchased | 0.00% | |||
Securities Sold Short | (0.11%) | |||
Short-Term Investments | 10.11% | |||
Total Value of Securities | 109.01% | |||
Options Written | (0.04%) | |||
Liabilities Net of Receivables and Other Assets | (8.97%) | |||
Total Net Assets | 100.00% |
(continues) 3
Table of Contents
Security type / country and sector allocations
Optimum International Fund
As of September 30, 2014 (Unaudited)
Sector designations may be different than the sector designations presented in other fund materials. The sector designations may represent the investment manager or sub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Security type / country | Percentage of net assets | |||
Common Stock by Country | 96.55% | |||
Argentina | 0.32% | |||
Australia | 0.80% | |||
Austria | 2.09% | |||
Belgium | 1.13% | |||
Bermuda | 1.41% | |||
Brazil | 1.55% | |||
British Virgin Islands | 0.29% | |||
Canada | 2.94% | |||
China/Hong Kong | 9.19% | |||
Colombia | 0.69% | |||
Czech Republic | 0.60% | |||
Denmark | 0.52% | |||
France | 4.64% | |||
Germany | 1.56% | |||
Greece | 0.30% | |||
India | 3.61% | |||
Indonesia | 0.93% | |||
Ireland | 6.14% | |||
Israel | 0.56% | |||
Italy | 1.21% | |||
Japan | 10.38% | |||
Mexico | 0.53% | |||
Netherlands | 3.84% | |||
New Zealand | 0.39% | |||
Nigeria | 0.46% | |||
Norway | 4.48% | |||
Panama | 0.29% | |||
Peru | 0.26% | |||
Republic of Korea | 2.81% | |||
Singapore | 1.43% | |||
South Africa | 0.47% | |||
Spain | 2.54% | |||
Sweden | 1.68% |
Security type / country | Percentage of net assets | |||
Switzerland | 8.88% | |||
Taiwan | 1.90% | |||
Turkey | 1.38% | |||
United Kingdom | 11.54% | |||
United States | 2.81% | |||
Exchange-Traded Fund | 0.43% | |||
Preferred Stock | 0.53% | |||
Warrant | 0.02% | |||
Short-Term Investments | 1.34% | |||
Securities Lending Collateral | 8.46% | |||
Total Value of Securities | 107.33% | |||
Obligation to Return Securities Lending Collateral | (8.46%) | |||
Receivables and Other Assets Net of Liabilities | 1.13% | |||
Total Net Assets | 100.00% | |||
Common stock, exchange-traded fund, preferred stock and warrant by sector | Percentage of net assets | |||
Consumer Discretionary | 11.26% | |||
Consumer Staples | 4.87% | |||
Energy | 14.36% | |||
Financials | 24.98% | |||
Healthcare | 17.05% | |||
Industrials | 10.97% | |||
Information Technology | 4.60% | |||
Materials | 5.76% | |||
Telecommunication Services | 3.22% | |||
Utilities | 0.46% | |||
Total | 97.53% |
4
Table of Contents
Security type / sector allocations and top 10 equity 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-advisor’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, 2014 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock² | 97.09% | |||
Consumer Discretionary | 21.29% | |||
Consumer Staples | 3.83% | |||
Energy | 4.49% | |||
Financials | 6.73% | |||
Healthcare | 15.92% | |||
Industrials | 12.05% | |||
Information Technology1 | 28.82% | |||
Materials | 2.12% | |||
Telecommunication Services | 1.77% | |||
Utilities | 0.07% | |||
Convertible Preferred Stock | 0.07% | |||
Short-Term Investments | 2.95% | |||
Total Value of Securities | 100.11% | |||
Liabilities Net of Receivables and Other Assets | (0.11%) | |||
Total Net Assets | 100.00% |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Apple | 4.01% | |||
Google Class C | 3.22% | |||
Facebook Class A | 3.14% | |||
Gilead Sciences | 2.77% | |||
Amazon.com | 2.65% | |||
Visa Class A | 2.31% | |||
Google Class A | 1.99% | |||
Home Depot | 1.82% | |||
Priceline Group | 1.70% | |||
CVS Health | 1.50% |
Optimum Large Cap Value Fund
As of September 30, 2014 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock | 96.87% | |||
Consumer Discretionary | 9.96% | |||
Consumer Staples | 12.19% | |||
Energy | 11.88% | |||
Financials | 22.20% | |||
Healthcare | 11.43% | |||
Industrials | 12.41% | |||
Information Technology | 10.19% | |||
Materials | 4.11% | |||
Telecommunication Services | 1.88% | |||
Utilities | 0.62% | |||
Convertible Preferred Stock | 0.04% | |||
Short-Term Investments | 3.13% | |||
Total Value of Securities | 100.04% | |||
Liabilities Net of Receivables and Other Assets | (0.04%) | |||
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.
Top 10 equity holdings | Percentage of net assets | |||
Lockheed Martin | 2.72% | |||
Philip Morris International | 2.66% | |||
JPMorgan Chase | 2.14% | |||
International Business Machines | 2.05% | |||
Exxon Mobil | 2.02% | |||
Johnson & Johnson | 1.87% | |||
Apple | 1.70% | |||
United Parcel Service Class B | 1.66% | |||
Wells Fargo | 1.64% | |||
Altria Group | 1.55% |
(continues) 5
Table of Contents
Security type / sector allocations and top 10 equity 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-advisor’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, 2014 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock | 94.08% | |||
Consumer Discretionary | 14.46% | |||
Consumer Staples | 2.67% | |||
Energy | 4.42% | |||
Financials | 11.22% | |||
Healthcare | 14.55% | |||
Industrials | 23.90% | |||
Information Technology | 18.65% | |||
Materials | 2.78% | |||
Telecommunication Services | 1.43% | |||
Convertible Preferred Stock | 1.76% | |||
Preferred Stock | 0.47% | |||
Short-Term Investments | 3.78% | |||
Total Value of Securities | 100.09% | |||
Liabilities Net of Receivables and Other Assets | (0.09%) | |||
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.
Top 10 equity holdings | Percentage of net assets | |||
Mobileye Series F2 | 1.33% | |||
WNS Holdings ADR | 1.28% | |||
Donaldson | 1.23% | |||
Nordson | 1.23% | |||
AMETEK | 1.17% | |||
LKQ | 1.13% | |||
Acuity Brands | 1.12% | |||
Virtusa | 1.10% | |||
Mettler-Toledo International | 1.04% | |||
Generac Holdings | 1.01% |
Optimum Small-Mid Cap Value Fund
As of September 30, 2014 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock | 89.28% | |||
Consumer Discretionary | 10.50% | |||
Energy | 7.92% | |||
Financials | 7.73% | |||
Healthcare | 4.75% | |||
Industrials | 24.42% | |||
Information Technology | 19.00% | |||
Materials | 12.88% | |||
Telecommunication Services | 1.30% | |||
Utilities | 0.78% | |||
Short-Term Investments | 11.14% | |||
Total Value of Securities | 100.42% | |||
Liabilities Net of Receivables and Other Assets | (0.42%) | |||
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.
Top 10 equity holdings | Percentage of net assets | |||
Flextronics International | 1.25% | |||
Fairchild Semiconductor International | 1.05% | |||
Myriad Genetics | 1.04% | |||
TrueBlue | 0.98% | |||
VAALCO Energy | 0.96% | |||
FreightCar America | 0.92% | |||
Life Time Fitness | 0.89% | |||
PolyOne | 0.88% | |||
CareFusion | 0.88% | |||
Knoll | 0.88% |
6
Table of Contents
1To monitor compliance with the Optimum Large Cap Growth Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the 1940 Act). The “Information Technology sector” consisted of diversified financial services, commercial services, computers, internet and communications, semiconductors and software. As of Sept. 30, 2014, such amounts, as percentage of total net assets, were 2.31%, 1.94%, 5.22%, 12.23%, 2.69% and 4.43%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the “Information Technology sector” for financial reporting purposes may exceed 25%.
(continues) 7
Table of Contents
Optimum Fixed Income Fund
September 30, 2014 (Unaudited)
Principal amount° | Value (U.S. $) | |||||||
Agency Collateralized Mortgage Obligations – 4.84% |
| |||||||
Fannie Mae Grantor Trust | ||||||||
Series 1999-T2 A1 | 14,438 | $ | 16,117 | |||||
Series 2002-T4 A3 | 50,128 | 56,821 | ||||||
Series 2004-T1 1A2 | 15,130 | 17,150 | ||||||
Fannie Mae REMICs | ||||||||
Series 1996-46 ZA | 10,880 | 12,350 | ||||||
Series 1999-19 PH | 199,424 | 220,179 | ||||||
Series 2001-14 Z | 12,146 | 13,380 | ||||||
Series 2002-90 A1 | 12,427 | 14,194 | ||||||
Series 2002-90 A2 | 42,161 | 47,569 | ||||||
Series 2003-26 AT | 181,998 | 188,890 | ||||||
Series 2005-22 HE | 149,079 | 151,968 | ||||||
Series 2005-29 QD | 109,499 | 110,241 | ||||||
Series 2005-110 MB | 163,058 | 176,362 | ||||||
Series 2007-30 OE | 4,902,418 | 4,387,423 | ||||||
Series 2007-114 A6 | 7,600,000 | 7,584,435 | ||||||
Series 2008-24 ZA | 20,746,447 | 22,664,891 | ||||||
Series 2009-2 AS | 2,882,004 | 362,002 | ||||||
Series 2009-68 SA | 616,648 | 89,387 | ||||||
Series 2009-94 AC | 374,091 | 408,225 | ||||||
Series 2010-41 PN | 475,000 | 509,949 | ||||||
Series 2010-96 DC | 915,000 | 975,028 | ||||||
Series 2010-123 FE | 4,308,511 | 4,345,086 | ||||||
Series 2012-122 SD | 872,653 | 193,816 | ||||||
Series 2013-38 AI | 2,363,330 | 381,674 | ||||||
Series 2013-44 DI | 3,585,542 | 594,736 |
Principal amount° | Value (U.S. $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Fannie Mae REMICs | 613,093 | $ | 512,232 | |||||
Fannie Mae Whole Loan REMIC Trust | ||||||||
Series 2004-W4 A5 | 2,501,948 | 2,651,032 | ||||||
Series 2004-W11 1A2 | 74,327 | 85,922 | ||||||
Fannie Mae Whole Loan Trust | 87,568 | 97,347 | ||||||
Freddie Mac REMICs | ||||||||
Series 1730 Z | 57,201 | 64,955 | ||||||
Series 2165 PE | 173,944 | 192,087 | ||||||
Series 2326 ZQ | 100,161 | 113,482 | ||||||
Series 2557 WE | 273,708 | 287,633 | ||||||
Series 2762 LG | 10,378 | 10,372 | ||||||
Series 2802 NE | 199,771 | 201,635 | ||||||
Series 2827 TE | 312,292 | 319,673 | ||||||
Series 2864 PE | 46,770 | 47,171 | ||||||
Series 2869 BG | 131,488 | 132,722 | ||||||
Series 2889 OG | 1,678 | 1,678 | ||||||
Series 2915 KD | 62,937 | 64,015 | ||||||
Series 2938 ND | 78,398 | 79,380 | ||||||
Series 2987 KG | 270,907 | 275,910 | ||||||
Series 3143 BC | 4,450,619 | 4,911,815 | ||||||
Series 3145 LN | 37,511 | 37,894 | ||||||
Series 3289 SA | 2,022,123 | 334,144 | ||||||
Series 3626 MA | 542,293 | 547,315 | ||||||
Series 3656 PM | 770,000 | 846,851 |
8
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Freddie Mac REMICs |
| |||||||
Series 4065 DE | 120,000 | $ | 115,443 | |||||
Series 4185 LI | 888,010 | 149,321 | ||||||
Series 4191 CI | 364,120 | 60,465 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2014-DN2 M1 | 256,161 | 253,188 | ||||||
Series 2014-DN2 M2 | 250,000 | 242,807 | ||||||
Freddie Mac Structured Pass Through Securities | ||||||||
Series T-54 2A | 20,496 | 24,086 | ||||||
Series T-58 2A | 10,756 | 12,183 | ||||||
GNMA |
| |||||||
Series 2007-64 AI | 7,159,327 | 1,112,647 | ||||||
Series 2008-65 SB | 1,923,926 | 254,648 | ||||||
Series 2009-2 SE | 5,428,940 | 675,067 | ||||||
Series 2010-113 KE | 1,170,000 | 1,262,942 | ||||||
Series 2011-H21 FT | 14,927,510 | 15,000,148 | ||||||
Series 2011-H23 FA | 9,984,459 | 10,075,717 | ||||||
Series 2012-H08 FB | 1,393,913 | 1,403,600 | ||||||
Series 2012-H29 SA | 6,071,486 | 6,090,908 | ||||||
Total Agency Collateralized Mortgage Obligations | 92,070,308 | |||||||
|
| |||||||
Agency Mortgage-Backed Securities – 10.08% |
| |||||||
Fannie Mae |
| |||||||
5.50% 3/1/37 | 35,844 | 38,776 | ||||||
5.50% 7/1/37 | 319,027 | 345,020 | ||||||
6.50% 8/1/17 | 11,446 | 11,917 | ||||||
Fannie Mae ARM |
| |||||||
1.819% 7/1/37 l | 113,411 | 119,612 | ||||||
2.277% 10/1/33 l | 21,699 | 21,864 | ||||||
2.344% 11/1/35 l | 59,533 | 63,838 |
Principal amount° | Value (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Fannie Mae ARM |
| |||||||
2.42% 5/1/43 l | 484,786 | $ | 482,020 | |||||
2.546% 6/1/43 l | 168,615 | 168,743 | ||||||
3.199% 4/1/44 l | 778,015 | 801,893 | ||||||
3.279% 3/1/44 l | 690,958 | 716,634 | ||||||
3.292% 9/1/43 l | 588,741 | 607,240 | ||||||
5.141% 8/1/35 l | 18,476 | 19,791 | ||||||
5.807% 8/1/37 l | 107,254 | 114,544 | ||||||
Fannie Mae Relocation 30 yr |
| |||||||
5.00% 11/1/33 | 2,219 | 2,424 | ||||||
5.00% 1/1/34 | 3,454 | 3,775 | ||||||
5.00% 11/1/34 | 10,414 | 11,380 | ||||||
5.00% 4/1/35 | 15,132 | 16,538 | ||||||
5.00% 10/1/35 | 18,040 | 19,700 | ||||||
5.00% 1/1/36 | 38,251 | 41,795 | ||||||
Fannie Mae S.F. 15 yr |
| |||||||
2.50% 7/1/27 | 83,537 | 84,512 | ||||||
2.50% 10/1/27 | 520,043 | 526,114 | ||||||
2.50% 2/1/28 | 1,250,244 | 1,264,840 | ||||||
2.50% 5/1/28 | 177,693 | 179,768 | ||||||
3.00% 8/1/27 | 1,545,817 | 1,598,795 | ||||||
3.00% 11/1/27 | 60,447 | 62,474 | ||||||
3.00% 5/1/28 | 119,117 | 123,056 | ||||||
3.50% 7/1/26 | 387,586 | 408,469 | ||||||
3.50% 12/1/28 | 145,491 | 153,822 | ||||||
4.00% 5/1/24 | 49,810 | 53,135 | ||||||
4.00% 7/1/24 | 13,675 | 14,594 | ||||||
4.00% 5/1/25 | 263,994 | 281,735 | ||||||
4.00% 6/1/25 | 949,763 | 1,013,468 | ||||||
4.00% 9/1/25 | 32,654 | 34,849 | ||||||
4.00% 11/1/25 | 1,293,141 | 1,380,919 | ||||||
4.00% 1/1/26 | 35,287 | 37,515 | ||||||
4.00% 12/1/26 | 453,914 | 484,439 | ||||||
4.00% 1/1/27 | 32,578 | 34,776 | ||||||
4.00% 5/1/27 | 932,725 | 995,209 | ||||||
4.00% 8/1/27 | 577,742 | 616,807 | ||||||
4.50% 8/1/18 | 91,331 | 96,477 | ||||||
4.50% 7/1/20 | 279,768 | 296,229 | ||||||
5.00% 12/1/20 | 56,742 | 60,504 | ||||||
5.00% 5/1/21 | 35,246 | 37,578 | ||||||
5.00% 6/1/23 | 102,993 | 111,425 | ||||||
Fannie Mae S.F. 15 yr TBA |
| |||||||
2.50% 10/1/29 | 1,287,000 | 1,294,239 | ||||||
2.50% 11/1/29 | 1,030,000 | 1,033,339 | ||||||
3.00% 10/1/29 | 3,984,000 | 4,103,520 | ||||||
Fannie Mae S.F. 20 yr |
| |||||||
3.00% 2/1/33 | 63,857 | 65,079 | ||||||
3.00% 8/1/33 | 228,236 | 231,757 | ||||||
3.50% 4/1/33 | 66,229 | 69,072 |
(continues) 9
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Fannie Mae S.F. 20 yr | ||||||||
3.50% 9/1/33 | 326,037 | $ | 340,031 | |||||
4.00% 1/1/31 | 91,626 | 97,955 | ||||||
4.00% 2/1/31 | 343,762 | 367,468 | ||||||
5.00% 11/1/23 | 28,921 | 31,898 | ||||||
5.50% 11/1/25 | 44,899 | 50,134 | ||||||
5.50% 8/1/28 | 460,212 | 513,953 | ||||||
5.50% 12/1/29 | 39,192 | 43,773 | ||||||
6.00% 9/1/29 | 291,675 | 329,711 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 7/1/42 | 439,612 | 434,541 | ||||||
3.00% 10/1/42 | 6,946,135 | 6,864,939 | ||||||
3.00% 12/1/42 | 1,148,264 | 1,134,699 | ||||||
3.00% 1/1/43 | 2,578,956 | 2,547,841 | ||||||
3.00% 2/1/43 | 265,916 | 262,710 | ||||||
3.00% 4/1/43 | 43,853,777 | 43,315,685 | ||||||
3.00% 5/1/43 | 396,775 | 391,706 | ||||||
4.00% 10/1/40 | 46,493 | 49,063 | ||||||
4.00% 11/1/40 | 283,079 | 298,727 | ||||||
4.00% 7/1/41 | 933,055 | 985,663 | ||||||
4.00% 8/1/43 | 200,574 | 212,185 | ||||||
4.00% 7/1/44 | 812,166 | 859,338 | ||||||
4.50% 5/1/35 | 187,503 | 203,763 | ||||||
4.50% 8/1/35 | 384,875 | 415,889 | ||||||
4.50% 9/1/35 | 348,494 | 376,571 | ||||||
4.50% 7/1/36 | 133,059 | 143,641 | ||||||
4.50% 5/1/39 | 1,306,055 | 1,413,603 | ||||||
4.50% 11/1/40 | 404,296 | 437,315 | ||||||
4.50% 3/1/41 | 827,883 | 895,415 | ||||||
4.50% 4/1/41 | 1,205,683 | 1,304,630 | ||||||
4.50% 10/1/41 | 462,541 | 500,340 | ||||||
4.50% 11/1/41 | 404,917 | 438,038 | ||||||
4.50% 12/1/43 | 70,237 | 76,035 | ||||||
4.50% 5/1/44 | 295,337 | 319,747 | ||||||
5.00% 3/1/34 | 5,407 | 5,980 | ||||||
5.00% 4/1/34 | 31,918 | 35,294 | ||||||
5.00% 8/1/34 | 52,515 | 58,091 | ||||||
5.00% 4/1/35 | 9,581 | 10,647 | ||||||
5.00% 7/1/35 | 195,239 | 215,830 | ||||||
5.00% 10/1/35 | 463,822 | 512,833 | ||||||
5.00% 11/1/35 | 141,173 | 156,162 | ||||||
5.00% 2/1/36 | 201,203 | 222,463 | ||||||
5.00% 2/1/37 | 417,798 | 462,245 | ||||||
5.00% 4/1/37 | 120,030 | 132,627 | ||||||
5.00% 8/1/37 | 367,392 | 406,184 | ||||||
5.00% 12/1/37 | 7,851 | 8,659 | ||||||
5.00% 2/1/38 | 125,931 | 139,265 | ||||||
5.00% 3/1/38 | 290,774 | 320,709 | ||||||
5.00% 6/1/38 | 18,567 | 20,478 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Fannie Mae S.F. 30 yr | ||||||||
5.00% 2/1/39 | 6,723 | $ | 7,415 | |||||
5.00% 5/1/40 | 144,675 | 159,612 | ||||||
5.50% 12/1/32 | 26,789 | 30,067 | ||||||
5.50% 2/1/33 | 86,388 | 96,734 | ||||||
5.50% 12/1/33 | 44,790 | 50,713 | ||||||
5.50% 11/1/34 | 138,083 | 154,890 | ||||||
5.50% 2/1/35 | 705,981 | 799,565 | ||||||
5.50% 3/1/35 | 83,010 | 92,960 | ||||||
5.50% 6/1/35 | 114,835 | 128,229 | ||||||
5.50% 1/1/36 | 115,351 | 129,235 | ||||||
5.50% 7/1/36 | 40,239 | 45,092 | ||||||
5.50% 1/1/37 | 8,304 | 9,320 | ||||||
5.50% 2/1/37 | 736,725 | 820,853 | ||||||
5.50% 8/1/37 | 33,345 | 37,350 | ||||||
5.50% 1/1/38 | 627,929 | 698,699 | ||||||
5.50% 2/1/38 | 245,295 | 274,671 | ||||||
5.50% 3/1/38 | 307,135 | 344,517 | ||||||
5.50% 4/1/38 | 1,489,062 | 1,656,868 | ||||||
5.50% 6/1/38 | 26,066 | 29,009 | ||||||
5.50% 10/1/39 | 1,239,889 | 1,379,615 | ||||||
5.50% 7/1/40 | 368,906 | 410,482 | ||||||
5.50% 9/1/41 | 156,268 | 174,091 | ||||||
6.00% 5/1/36 | 104,847 | 118,871 | ||||||
6.00% 6/1/36 | 47,962 | 54,412 | ||||||
6.00% 9/1/36 | 48,192 | 55,130 | ||||||
6.00% 12/1/36 | 58,872 | 66,979 | ||||||
6.00% 2/1/37 | 153,151 | 173,652 | ||||||
6.00% 5/1/37 | 426,090 | 481,068 | ||||||
6.00% 6/1/37 | 29,058 | 33,235 | ||||||
6.00% 7/1/37 | 31,163 | 35,337 | ||||||
6.00% 8/1/37 | 360,207 | 408,189 | ||||||
6.00% 9/1/37 | 69,998 | 79,366 | ||||||
6.00% 11/1/37 | 74,022 | 84,484 | ||||||
6.00% 5/1/38 | 1,477,151 | 1,670,807 | ||||||
6.00% 7/1/38 | 20,166 | 22,768 | ||||||
6.00% 8/1/38 | 271,831 | 306,905 | ||||||
6.00% 9/1/38 | 146,954 | 166,109 | ||||||
6.00% 10/1/38 | 594,377 | 671,347 | ||||||
6.00% 11/1/38 | 136,101 | 154,719 | ||||||
6.00% 12/1/38 | 23,098 | 26,128 | ||||||
6.00% 1/1/39 | 249,975 | 282,377 | ||||||
6.00% 2/1/39 | 408,178 | 463,692 | ||||||
6.00% 9/1/39 | 780,167 | 882,295 | ||||||
6.00% 10/1/39 | 138,943 | 157,476 | ||||||
6.00% 3/1/40 | 223,036 | 252,048 | ||||||
6.00% 7/1/40 | 946,248 | 1,069,907 | ||||||
6.00% 9/1/40 | 191,690 | 217,050 | ||||||
6.00% 11/1/40 | 84,514 | 96,725 |
10
Table of Contents
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Fannie Mae S.F. 30 yr | ||||||||
6.00% 5/1/41 | 303,650 | $ | 343,780 | |||||
6.50% 11/1/33 | 6,126 | 6,979 | ||||||
6.50% 2/1/36 | 129,402 | 150,244 | ||||||
6.50% 3/1/36 | 118,274 | 134,438 | ||||||
6.50% 6/1/36 | 270,396 | 315,330 | ||||||
6.50% 2/1/38 | 61,691 | 71,005 | ||||||
6.50% 11/1/38 | 17,721 | 20,060 | ||||||
7.50% 3/1/32 | 790 | 925 | ||||||
7.50% 4/1/32 | 1,965 | 2,289 | ||||||
7.50% 6/1/32 | 1,573 | 1,737 | ||||||
Fannie Mae S.F. 30 yr TBA |
| |||||||
3.00% 11/1/44 | 17,267,000 | 16,973,596 | ||||||
3.50% 11/1/44 | 5,872,000 | 5,984,394 | ||||||
4.00% 10/1/44 | 3,914,000 | 4,124,622 | ||||||
4.00% 11/1/44 | 15,367,000 | 16,145,915 | ||||||
4.50% 11/1/44 | 28,201,000 | 30,348,021 | ||||||
5.00% 11/1/44 | 1,205,000 | 1,326,729 | ||||||
Freddie Mac ARM |
| |||||||
2.249% 7/1/36 l | 54,836 | 58,838 | ||||||
2.338% 4/1/34 l | 2,634 | 2,803 | ||||||
2.342% 12/1/33 l | 66,391 | 70,868 | ||||||
2.526% 1/1/44 l | 1,421,075 | 1,448,818 | ||||||
2.68% 5/1/37 l | 406,188 | 440,644 | ||||||
5.386% 2/1/38 l | 193,250 | 205,530 | ||||||
Freddie Mac Relocation 30 yr 5.00% 9/1/33 | 308 | 337 | ||||||
Freddie Mac S.F. 15 yr |
| |||||||
2.50% 3/1/28 | 275,673 | 278,477 | ||||||
3.50% 10/1/26 | 128,386 | 135,287 | ||||||
4.00% 4/1/25 | 61,829 | 65,997 | ||||||
4.00% 5/1/25 | 85,145 | 90,889 | ||||||
4.00% 8/1/25 | 284,510 | 303,808 | ||||||
4.00% 11/1/26 | 362,084 | 384,910 | ||||||
4.50% 5/1/20 | 166,016 | 177,716 | ||||||
4.50% 7/1/25 | 83,544 | 89,465 | ||||||
4.50% 6/1/26 | 195,049 | 208,301 | ||||||
5.00% 6/1/18 | 48,574 | 51,283 | ||||||
Freddie Mac S.F. 20 yr |
| |||||||
3.50% 1/1/34 | 612,225 | 636,684 | ||||||
4.00% 11/1/32 | 168,535 | 179,915 | ||||||
5.50% 10/1/23 | 93,418 | 103,683 | ||||||
5.50% 8/1/24 | 25,688 | 28,684 | ||||||
Freddie Mac S.F. 30 yr |
| |||||||
3.00% 10/1/42 | 508,241 | 504,232 | ||||||
3.00% 11/1/42 | 424,986 | 422,951 | ||||||
4.50% 10/1/39 | 214,522 | 231,472 | ||||||
5.50% 3/1/34 | 56,249 | 63,031 | ||||||
5.50% 12/1/34 | 53,930 | 60,643 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Freddie Mac S.F. 30 yr |
| |||||||
5.50% 6/1/36 | 34,520 | $ | 38,520 | |||||
5.50% 11/1/36 | 83,650 | 93,280 | ||||||
5.50% 12/1/36 | 17,914 | 19,943 | ||||||
5.50% 6/1/38 | 47,741 | 53,174 | ||||||
5.50% 3/1/40 | 191,693 | 213,507 | ||||||
5.50% 8/1/40 | 775,790 | 863,307 | ||||||
5.50% 1/1/41 | 217,029 | 241,570 | ||||||
5.50% 6/1/41 | 916,077 | 1,019,513 | ||||||
6.00% 2/1/36 | 419,990 | 479,141 | ||||||
6.00% 3/1/36 | 209,951 | 239,026 | ||||||
6.00% 1/1/38 | 82,823 | 93,284 | ||||||
6.00% 6/1/38 | 218,491 | 246,345 | ||||||
6.00% 8/1/38 | 332,751 | 380,166 | ||||||
6.00% 5/1/40 | 91,487 | 103,169 | ||||||
6.50% 11/1/33 | 34,349 | 39,411 | ||||||
6.50% 1/1/35 | 160,244 | 184,293 | ||||||
6.50% 8/1/38 | 51,112 | 57,792 | ||||||
6.50% 4/1/39 | 351,695 | 397,663 | ||||||
7.00% 1/1/38 | 55,508 | 63,556 | ||||||
GNMA I S.F. 30 yr |
| |||||||
5.00% 6/15/40 | 117,101 | 128,885 | ||||||
7.00% 12/15/34 | 259,799 | 305,245 | ||||||
GNMA II S.F. 30 yr | 10,071 | 11,333 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities | 191,749,009 | |||||||
|
| |||||||
Agency Obligations – 0.09% |
| |||||||
Fannie Mae | 785,000 | 773,861 | ||||||
Tennessee Valley Authority | 1,015,000 | 1,009,541 | ||||||
|
| |||||||
Total Agency Obligations | 1,783,402 | |||||||
|
| |||||||
Collateralized Debt Obligations – 0.29% |
| |||||||
ACAS CLO | 764,425 | 758,348 | ||||||
ALM VII | 250,000 | 249,080 | ||||||
BlueMountain CLO | 27,318 | 27,281 |
(continues) 11
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Collateralized Debt Obligations (continued) |
| |||||||
Euro-Galaxy CLO | EUR 1,595,804 | $ | 1,995,704 | |||||
Franklin CLO | 1,599,701 | 1,587,656 | ||||||
Stoney Lane Funding I | 982,377 | 973,457 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 5,591,526 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities –2.21% |
| |||||||
Bank of America Commercial | 505,000 | 556,103 | ||||||
Bank of America Re-REMIC | 2,129,304 | 2,344,322 | ||||||
CD Commercial Mortgage Trust | 425,000 | 440,739 | ||||||
Series 2005-CD1 C 5.40% 7/15/44 l | 510,000 | 524,230 | ||||||
Citigroup Commercial | 340,000 | 346,002 | ||||||
Commercial Mortgage Pass | 470,000 | 480,208 | ||||||
Series 2014-LC17 A5 3.917% 10/10/47 ¿ | 910,000 | 945,973 | ||||||
Commercial Mortgage Trust | 1,155,000 | 1,182,842 | ||||||
Series 2006-GG7 A4 6.014% 7/10/38 l | 1,102,588 | 1,170,200 | ||||||
Credit Suisse Commercial | 21,705 | 21,866 | ||||||
Series 2010-UD1 A 144A 5.931% 12/16/49 #l | 1,864,774 | 1,999,317 | ||||||
DB-UBS Mortgage Trust | 1,545,000 | 1,725,042 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
DB-UBS Mortgage Trust Series 2011-LC1A C 144A 5.73% 11/10/46 #l | 815,000 | $ | 908,510 | |||||
FREMF Mortgage Trust | 210,000 | 223,378 | ||||||
Series 2012-K19 B 144A 4.176% 5/25/45 #l | 145,000 | 148,753 | ||||||
Series 2012-K708 B 144A 3.891% 2/25/45 #l | 1,705,000 | 1,753,606 | ||||||
Series 2012-K711 B 144A 3.684% 8/25/45 #• | 735,000 | 744,737 | ||||||
Series 2013-K33 B 144A 3.619% 8/25/46 #l | 505,000 | 492,742 | ||||||
Series 2013-K712 B 144A 3.484% 5/25/45 #l | 2,215,000 | 2,217,160 | ||||||
Series 2013-K713 B 144A 3.274% 4/25/46 #l | 1,215,000 | 1,200,565 | ||||||
Series 2014-K716 B 144A 3.954% 8/25/47 #l | 425,000 | 431,401 | ||||||
Goldman Sachs Mortgage Securities II Series 2005-GG4 A4A | 659,324 | 664,402 | ||||||
Goldman Sachs Mortgage Securities Trust Series 2006-GG6 A4 | 595,000 | 619,990 | ||||||
Series 2010-C1 A2 144A 4.592% 8/10/43 # | 915,000 | 999,551 | ||||||
Series 2010-C1 C 144A 5.635% 8/10/43 #l | 375,000 | 407,160 | ||||||
Grace Mortgage Trust | 2,200,000 | 2,255,482 | ||||||
Hilton USA Trust | 2,515,000 | 2,523,712 | ||||||
Series 2013-HLT BFX 144A 3.367% 11/5/30 # | 1,620,000 | 1,646,014 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C18 A1 1.254% 2/15/47 | 524,614 | 521,754 | ||||||
Series 2014-C21 AS 3.997% 8/15/47 | 320,000 | 326,222 | ||||||
Series 2014-C22 A4 3.801% 9/15/47 | 1,055,000 | 1,082,390 | ||||||
Series 2014-C22 B 4.714% 9/15/47 l | 685,000 | 711,294 |
12
Table of Contents
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||
Series 2005-CB11 E 5.647% 8/12/37 l | 230,000 | $ | 245,891 | |||||
Series 2005-LDP5 D 5.559% 12/15/44 l | 420,000 | 433,297 | ||||||
Series 2006-LDP8 AM 5.44% 5/15/45 | 1,558,000 | 1,669,157 | ||||||
Series 2007-LDPX A3 5.42% 1/15/49 | 1,078,598 | 1,162,082 | ||||||
Series 2011-C5 C 144A 5.50% 8/15/46 #l | 410,000 | 450,555 | ||||||
Series 2012-LC9 AS 144A 3.353% 12/15/47 # | 290,000 | 287,735 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
Series 2004-C1 A4 4.568% 1/15/31 | 41,187 | 42,287 | ||||||
Series 2005-C3 B 4.895% 7/15/40 l | 260,000 | 264,042 | ||||||
Series 2006-C6 AJ 5.452% 9/15/39 l | 745,000 | 787,403 | ||||||
Series 2006-C6 AM 5.413% 9/15/39 | 305,000 | 328,039 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 625,000 | 646,875 | ||||||
Morgan Stanley Capital I Trust |
| |||||||
Series 2005-HQ7 AJ 5.38% 11/14/42 l | 615,000 | 634,670 | ||||||
Series 2005-HQ7 C 5.38% 11/14/42 l | 1,375,000 | 1,359,244 | ||||||
Series 2006-T21 AM 5.204% 10/12/52 l | 600,000 | 627,072 | ||||||
TimberStar Trust | 415,000 | 445,896 | ||||||
VNDO Mortgage Trust Series 2012-6AVE A 144A | 580,000 | 570,273 | ||||||
WF-RBS Commercial Mortgage Trust | 545,000 | 561,323 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 42,131,508 | |||||||
|
|
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Convertible Bonds – 0.82% |
| |||||||
Alaska Communications | 580,000 | $ | 469,800 | |||||
Alere 3.00% exercise price $43.98, expiration date 5/15/16 | 139,000 | 147,774 | ||||||
Ares Capital 5.75% exercise price $19.13, expiration date 2/1/16 | 206,000 | 215,527 | ||||||
BGC Partners 4.50% exercise price $9.84, expiration date 7/13/16 | 421,000 | 445,207 | ||||||
BioMarin Pharmaceutical 1.50% exercise price $94.15, expiration date 10/13/20 | 291,000 | 320,100 | ||||||
Blackstone Mortgage Trust 5.25% exercise price $28.66, expiration date 12/1/18 | 576,000 | 604,800 | ||||||
Blucora 144A 4.25% exercise price $21.66, expiration date 3/29/19 # | 275,000 | 277,063 | ||||||
Campus Crest Communities Operating Partnership 144A 4.75% exercise price $12.56, expiration date 10/11/18 # | 360,000 | 342,900 | ||||||
Cardtronics 144A 1.00% exercise price $52.35, expiration date 11/27/20 # | 498,000 | 478,705 | ||||||
Chesapeake Energy 2.25% exercise price $80.36, expiration date 12/14/38 | 193,000 | 185,159 | ||||||
Ciena 144A 3.75% exercise price $20.17, expiration date 10/15/18 # | 283,000 | 331,110 | ||||||
Energy XXI Bermuda 144A 3.00% exercise price $40.40, expiration date 12/13/18 # | 588,000 | 482,895 | ||||||
Equinix 4.75% exercise price $84.32, expiration date 6/13/16 | 64,000 | 164,960 | ||||||
General Cable 4.50% exercise price $35.33, expiration date 11/15/29 f | 652,000 | 455,585 | ||||||
Gilead Sciences 1.625% exercise price $22.71, expiration date 4/29/16 | 166,000 | 775,428 |
(continues) 13
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
Convertible Bonds (continued) |
| |||||||
Hologic 2.00% exercise price | 381,000 | $ | 402,193 | |||||
Illumina 0.25% exercise price | 113,000 | 224,729 | ||||||
Intel 3.25% exercise price | 200,000 | 335,751 | ||||||
j2 Global 3.25% exercise | 483,000 | 483,906 | ||||||
Jefferies Group 3.875% | 306,000 | 324,743 | ||||||
Lexington Realty Trust 144A | ||||||||
6.00% exercise price $6.68, expiration date 1/11/30 # | 147,000 | 212,415 | ||||||
Liberty Interactive | ||||||||
0.75% exercise price $1,000.00, expiration date 3/30/43 | 462,000 | 614,171 | ||||||
144A 1.00% exercise price $74.31, expiration date 9/28/43 # | 398,000 | 409,443 | ||||||
Meritor 4.00% exercise price $26.73, expiration date | 598,000 | 616,687 | ||||||
MGM Resorts International | 239,000 | 301,588 | ||||||
Mylan 3.75% exercise price | 130,000 | 444,763 | ||||||
Novellus Systems 2.625% exercise price $35.02, expiration date 5/14/41 | 268,000 | 585,413 | ||||||
Nuance Communications 2.75% exercise price $32.30, expiration date 11/1/31 | 35,000 | 34,694 | ||||||
NuVasive 2.75% exercise | 576,000 | 642,240 | ||||||
Peabody Energy 4.75% | 668,000 | 460,920 |
Principal amount° | Value (U.S. $) | |||||||
Convertible Bonds (continued) |
| |||||||
RTI International Metals 1.625% exercise price $40.72, expiration date 10/10/19 | 345,000 | $ | 331,631 | |||||
SanDisk 1.50% exercise price | 248,000 | 478,175 | ||||||
SBA Communications 4.00% | 130,000 | 472,147 | ||||||
Spirit Realty Capital 3.75% | 348,000 | 338,432 | ||||||
Titan Machinery 3.75% | 354,000 | 272,359 | ||||||
TPG Specialty Lending 144A 4.50% | 372,000 | 361,538 | ||||||
Vantage Drilling 144A 5.50% | 487,000 | 476,956 | ||||||
Vector Group | ||||||||
1.75% exercise price $25.87, | 424,000 | 476,470 | ||||||
2.50% exercise price | 147,000 | 213,580 | ||||||
VeriSign 3.25% exercise price | 204,000 | 343,868 | ||||||
|
| |||||||
Total Convertible Bonds | 15,555,825 | |||||||
|
| |||||||
Corporate Bonds – 38.23% | ||||||||
Banking – 9.21% | ||||||||
Abbey National Treasury |
| |||||||
0.744% 3/13/17 — | 225,000 | 225,625 | ||||||
2.35% 9/10/19 | 635,000 | 627,601 | ||||||
Ally Financial | ||||||||
2.75% 1/30/17 | 200,000 | 196,500 | ||||||
3.125% 1/15/16 | 100,000 | 100,500 | ||||||
3.50% 7/18/16 | 400,000 | 405,500 | ||||||
4.625% 6/26/15 | 1,200,000 | 1,219,680 | ||||||
4.75% 9/10/18 | 200,000 | 205,500 | ||||||
5.50% 2/15/17 | 1,800,000 | 1,876,500 | ||||||
8.30% 2/12/15 | 1,000,000 | 1,022,500 |
14
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) |
| |||||||
ANZ New Zealand | 200,000 | $ | 200,716 | |||||
Australia & New Zealand |
| |||||||
2.625% 12/10/18 | CAD | 302,000 | 274,075 | |||||
3.517% 11/6/18 — | AUD | 370,000 | 327,453 | |||||
Banco de Costa Rica 144A | 815,000 | 833,337 | ||||||
Banco do Brasil 144A | 3,200,000 | 3,532,000 | ||||||
Banco Mercantil del Norte | 400,000 | 411,000 | ||||||
Banco Santander Chile 144A | 2,200,000 | 2,257,242 | ||||||
Banco Santander Mexico | 805,000 | 851,287 | ||||||
Banco Votorantim 144A | 2,300,000 | 2,392,000 | ||||||
Bancolombia 5.95% 6/3/21 | 475,000 | 523,687 | ||||||
Bank of America | ||||||||
0.534% 6/15/17 — | 3,800,000 | 3,776,448 | ||||||
1.274% 1/15/19 — | 830,000 | 842,715 | ||||||
3.30% 1/11/23 | 716,000 | 699,080 | ||||||
4.20% 8/26/24 | 3,445,000 | 3,419,321 | ||||||
5.65% 5/1/18 | 900,000 | 1,001,887 | ||||||
5.75% 12/1/17 | 700,000 | 779,460 | ||||||
6.00% 9/1/17 | 1,700,000 | 1,896,515 | ||||||
6.25% 9/29/49 — | 2,235,000 | 2,231,507 | ||||||
6.875% 4/25/18 | 2,325,000 | 2,683,817 | ||||||
7.625% 6/1/19 | 800,000 | 967,418 | ||||||
Bank of Montreal | 565,000 | 568,469 | ||||||
Bank of New York Mellon | 830,000 | 832,209 | ||||||
Bank of Nova Scotia | 835,000 | 840,425 | ||||||
Barclays 4.375% 9/11/24 | 1,320,000 | 1,281,364 | ||||||
Barclays Bank | 1,025,000 | 1,103,413 | ||||||
BB&T | ||||||||
0.90% 2/1/19 — | 750,000 | 758,482 | ||||||
1.094% 6/15/18 — | 65,000 | 66,205 | ||||||
5.25% 11/1/19 | 1,241,000 | 1,394,229 | ||||||
BBVA Banco Continental | 370,000 | 372,738 | ||||||
BBVA Bancomer | ||||||||
144A 6.50% 3/10/21 # | 1,365,000 | 1,494,675 | ||||||
144A 7.25% 4/22/20 # | 100,000 | 113,700 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) |
| |||||||
Branch Banking & Trust | 1,770,000 | $ | 1,766,056 | |||||
CIT Group 144A | 2,900,000 | 3,043,187 | ||||||
Citigroup | ||||||||
0.518% 11/5/14 — | 4,600,000 | 4,600,773 | ||||||
4.05% 7/30/22 | 150,000 | 152,178 | ||||||
4.587% 12/15/15 | 200,000 | 208,981 | ||||||
6.125% 5/15/18 | 2,300,000 | 2,606,307 | ||||||
8.50% 5/22/19 | 1,400,000 | 1,751,688 | ||||||
City National 5.25% 9/15/20 | 770,000 | 857,496 | ||||||
Credit Suisse Group |
| |||||||
3.625% 9/9/24 | 425,000 | 419,829 | ||||||
144A 6.25% 12/29/49 #— | 270,000 | 262,035 | ||||||
144A 7.50% 12/29/49 #— | 615,000 | 647,287 | ||||||
Credit Suisse New York 144A | 1,215,000 | 1,324,411 | ||||||
DNB Bank 144A | 3,300,000 | 3,447,190 | ||||||
Eksportfinans | ||||||||
2.00% 9/15/15 | 1,300,000 | 1,301,625 | ||||||
2.375% 5/25/16 | 500,000 | 501,850 | ||||||
3.00% 11/17/14 | 300,000 | 301,095 | ||||||
5.50% 5/25/16 | 200,000 | 211,320 | ||||||
5.50% 6/26/17 | 300,000 | 324,375 | ||||||
Export-Import Bank of China |
| |||||||
144A 2.50% 7/31/19 # | 1,025,000 | 1,015,860 | ||||||
144A 3.625% 7/31/24 # | 855,000 | 844,660 | ||||||
Export-Import Bank of Korea |
| |||||||
1.25% 11/20/15 | 400,000 | 402,148 | ||||||
4.375% 9/15/21 | 600,000 | 648,748 | ||||||
5.00% 4/11/22 | 2,000,000 | 2,239,260 | ||||||
5.125% 3/16/15 | 200,000 | 203,960 | ||||||
5.125% 6/29/20 | 1,500,000 | 1,686,360 | ||||||
5.875% 1/14/15 | 950,000 | 963,871 | ||||||
Goldman Sachs Group |
| |||||||
0.548% 5/18/15 — | EUR | 100,000 | 126,504 | |||||
0.632% 7/22/15 — | 200,000 | 200,316 | ||||||
0.683% 3/22/16 — | 300,000 | 300,756 | ||||||
1.334% 11/15/18 — | 420,000 | 427,720 | ||||||
3.55% 2/12/21 | CAD | 200,000 | 182,735 | |||||
3.70% 8/1/15 | 1,900,000 | 1,948,186 | ||||||
3.925% 8/21/19 — | AUD | 140,000 | 124,263 | |||||
4.325% 8/8/18 — | AUD | 150,000 | 135,154 | |||||
5.35% 1/15/16 | 1,400,000 | 1,479,734 | ||||||
5.95% 1/18/18 | 700,000 | 784,238 | ||||||
6.25% 9/1/17 | 1,100,000 | 1,236,408 | ||||||
HBOS 144A 6.75% 5/21/18 # | 1,445,000 | 1,637,185 |
(continues) 15
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
HSBC Bank 144A | 420,000 | $ | 423,995 | |||||
HSBC Holdings | ||||||||
5.625% 12/29/49 — | 810,000 | 805,343 | ||||||
6.375% 12/29/49 — | 1,260,000 | 1,260,000 | ||||||
HSBC New Zealand | NZD | 500,000 | 394,025 | |||||
ICICI Bank | ||||||||
4.75% 11/25/16 | 2,600,000 | 2,741,396 | ||||||
5.50% 3/25/15 | 2,100,000 | 2,144,709 | ||||||
144A 5.50% 3/25/15 # | 1,300,000 | 1,327,677 | ||||||
ING Bank 144A | 1,730,000 | 1,908,993 | ||||||
JPMorgan Chase | ||||||||
0.564% 6/13/16 — | 500,000 | 500,001 | ||||||
0.767% 5/31/17 — | EUR | 2,400,000 | 3,029,924 | |||||
0.865% 1/28/19 — | 574,000 | 578,763 | ||||||
3.15% 7/5/16 | 100,000 | 103,522 | ||||||
3.685% 5/17/18 — | AUD | 730,000 | 645,898 | |||||
3.875% 9/10/24 | 1,265,000 | 1,241,652 | ||||||
4.25% 11/2/18 | NZD | 570,000 | 437,185 | |||||
4.375% 11/30/21 — | EUR | 2,600,000 | 3,469,767 | |||||
4.40% 7/22/20 | 400,000 | 431,311 | ||||||
6.00% 10/1/17 | 600,000 | 671,300 | ||||||
6.30% 4/23/19 | 300,000 | 348,191 | ||||||
6.75% 1/29/49 — | 2,125,000 | 2,242,937 | ||||||
KBC Bank 8.00% 1/25/23 — | 2,200,000 | 2,444,200 | ||||||
KeyBank 6.95% 2/1/28 | 1,220,000 | 1,563,603 | ||||||
KFW 6.25% 5/19/21 | AUD | 2,300,000 | 2,301,310 | |||||
Lloyds Banking Group | 1,640,000 | 1,693,300 | ||||||
Morgan Stanley | ||||||||
1.083% 1/24/19 — | 1,227,000 | 1,242,320 | ||||||
3.125% 8/5/21 | CAD | 387,000 | 342,596 | |||||
3.45% 11/2/15 | 1,000,000 | 1,028,584 | ||||||
4.35% 9/8/26 | 2,370,000 | 2,334,640 | ||||||
5.00% 9/30/21 | AUD | 378,000 | 332,778 | |||||
5.45% 1/9/17 | 700,000 | 760,740 | ||||||
7.60% 8/8/17 | NZD | 386,000 | 320,423 | |||||
National City Bank | 325,000 | 323,962 | ||||||
Northern Trust | 550,000 | 570,613 | ||||||
Novo Banco | ||||||||
5.00% 4/4/19 | EUR | 50,000 | 60,816 | |||||
5.00% 5/21/19 | EUR | 50,000 | 61,133 | |||||
5.875% 11/9/15 | EUR | 200,000 | 251,050 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
Oversea-Chinese Banking | 1,415,000 | $ | 1,431,036 | |||||
PNC Bank 6.875% 4/1/18 | 1,415,000 | 1,640,318 | ||||||
PNC Funding 5.625% 2/1/17 | 225,000 | 245,415 | ||||||
PNC Preferred Funding Trust II | 2,000,000 | 1,942,500 | ||||||
Rabobank | ||||||||
2.50% 9/4/20 | NOK | 1,740,000 | 271,679 | |||||
4.625% 12/1/23 | 2,525,000 | 2,620,811 | ||||||
4.875% 1/20/20 | AUD | 246,000 | 222,809 | |||||
6.875% 3/19/20 | EUR | 2,400,000 | 3,611,203 | |||||
Royal Bank of Canada | 530,000 | 532,007 | ||||||
Royal Bank of Scotland Group | ||||||||
5.125% 5/28/24 | 945,000 | 930,267 | ||||||
144A 6.99% 10/29/49 #— | 200,000 | 229,375 | ||||||
9.50% 3/16/22 — | 1,400,000 | 1,598,989 | ||||||
Santander Holdings USA | 1,335,000 | 1,393,151 | ||||||
Santander UK 144A | 2,025,000 | 2,128,425 | ||||||
Siam Commercial Bank 144A | 630,000 | 643,861 | ||||||
State Bank of India 144A | 200,000 | 205,360 | ||||||
State Street 3.10% 5/15/23 | 2,885,000 | 2,803,331 | ||||||
SunTrust Bank | ||||||||
0.525% 8/24/15 — | 505,000 | 504,647 | ||||||
2.35% 11/1/18 | 535,000 | 536,801 | ||||||
SVB Financial Group | 310,000 | 347,672 | ||||||
Toronto-Dominion Bank | 835,000 | 842,266 | ||||||
Turkiye Garanti Bankasi 144A | 1,083,000 | 1,084,083 | ||||||
UBS | ||||||||
4.75% 5/22/23 — | 400,000 | 401,000 | ||||||
5.875% 12/20/17 | 1,163,000 | 1,310,358 | ||||||
US Bancorp 3.60% 9/11/24 | 1,275,000 | 1,262,594 | ||||||
US Bank North America | ||||||||
0.466% 1/30/17 — | 850,000 | 851,040 | ||||||
4.95% 10/30/14 | 1,000,000 | 1,003,498 | ||||||
USB Capital IX | 1,820,000 | 1,556,100 | ||||||
USB Realty 144A | 100,000 | 92,875 | ||||||
Wells Fargo | 10,300,000 | 10,364,509 |
16
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) |
| |||||||
Wells Fargo | ||||||||
3.50% 9/12/29 | GBP | 196,000 | $ | 309,436 | ||||
4.10% 6/3/26 | 3,630,000 | 3,622,232 | ||||||
5.90% 12/29/49 — | 720,000 | 735,300 | ||||||
Woori Bank | ||||||||
144A 2.875% 10/2/18 # | 565,000 | 576,342 | ||||||
144A 4.75% 4/30/24 # | 1,000,000 | 1,013,376 | ||||||
Zions Bancorp | 990,000 | 1,038,401 | ||||||
|
| |||||||
175,164,253 | ||||||||
|
| |||||||
Basic Industry – 2.15% |
| |||||||
AK Steel 7.625% 5/15/20 | 280,000 | 277,900 | ||||||
ArcelorMittal | ||||||||
6.125% 6/1/18 | 565,000 | 600,313 | ||||||
10.35% 6/1/19 | 830,000 | 1,015,713 | ||||||
Axalta Coating System 144A | 400,000 | 431,000 | ||||||
BHP Billiton Finance | GBP | 223,000 | 356,950 | |||||
BHP Billiton Finance USA | 500,000 | 500,960 | ||||||
Braskem Finance | 890,000 | 927,825 | ||||||
Celanese US Holdings | 890,000 | 876,650 | ||||||
CF Industries | ||||||||
5.15% 3/15/34 | 640,000 | 676,506 | ||||||
5.375% 3/15/44 | 885,000 | 929,634 | ||||||
6.875% 5/1/18 | 1,690,000 | 1,958,867 | ||||||
7.125% 5/1/20 | 300,000 | 362,341 | ||||||
Dow Chemical | ||||||||
3.50% 10/1/24 | 865,000 | 845,480 | ||||||
4.25% 10/1/34 | 1,325,000 | 1,280,016 | ||||||
8.55% 5/15/19 | 2,322,000 | 2,921,252 | ||||||
Eastman Chemical | 330,000 | 315,637 | ||||||
Fibria Overseas Finance | 705,000 | 697,069 | ||||||
FMG Resources August 2006 | 2,488,000 | 2,540,870 | ||||||
Georgia-Pacific | 1,927,000 | 2,584,974 | ||||||
Gerdau Holdings 144A | 710,000 | 802,300 | ||||||
HD Supply | ||||||||
7.50% 7/15/20 | 211,000 | 219,967 | ||||||
11.50% 7/15/20 | 530,000 | 612,813 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) |
| |||||||
International Paper | ||||||||
3.65% 6/15/24 | 990,000 | $ | 962,493 | |||||
6.00% 11/15/41 | 795,000 | 907,503 | ||||||
LSB Industries 7.75% 8/1/19 | 100,000 | 106,500 | ||||||
Metalloinvest Finance 144A | 740,000 | 678,025 | ||||||
MMC Finance 144A | 258,000 | 257,355 | ||||||
Monsanto 4.40% 7/15/44 | 3,770,000 | 3,751,610 | ||||||
Mosaic 5.625% 11/15/43 | 2,415,000 | 2,705,488 | ||||||
Nortek 8.50% 4/15/21 | 545,000 | 588,600 | ||||||
Novelis 8.75% 12/15/20 | 490,000 | 526,137 | ||||||
OCP | ||||||||
144A 5.625% 4/25/24 # | 1,185,000 | 1,235,599 | ||||||
144A 6.875% 4/25/44 # | 735,000 | 795,785 | ||||||
Phosagro 144A | 628,000 | 609,160 | ||||||
PolyOne 5.25% 3/15/23 | 290,000 | 282,750 | ||||||
Rio Tinto Finance USA | 420,000 | 424,130 | ||||||
Rockwood Specialties Group | 405,000 | 419,681 | ||||||
Ryerson | ||||||||
9.00% 10/15/17 | 320,000 | 338,400 | ||||||
11.25% 10/15/18 | 89,000 | 98,345 | ||||||
TPC Group 144A | 305,000 | 325,588 | ||||||
Tupy Overseas 144A | 900,000 | 920,250 | ||||||
Vedanta Resources 144A | 585,000 | 593,775 | ||||||
Weyerhaeuser | 1,785,000 | 1,894,031 | ||||||
Yamana Gold 144A | 795,000 | 792,917 | ||||||
|
| |||||||
40,949,159 | ||||||||
|
| |||||||
Brokerage – 0.35% | ||||||||
Bear Stearns | ||||||||
6.40% 10/2/17 | 700,000 | 792,364 | ||||||
7.25% 2/1/18 | 2,000,000 | 2,328,518 | ||||||
Jefferies Group | ||||||||
5.125% 1/20/23 | 585,000 | 622,848 | ||||||
6.45% 6/8/27 | 331,000 | 372,514 | ||||||
6.50% 1/20/43 | 220,000 | 243,922 | ||||||
Lazard Group | ||||||||
4.25% 11/14/20 | 935,000 | 978,781 | ||||||
6.85% 6/15/17 | 1,197,000 | 1,349,519 | ||||||
|
| |||||||
6,688,466 | ||||||||
|
|
(continues) 17
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Capital Goods – 1.20% |
| |||||||
Accudyne Industries 144A | 180,000 | $ | 187,650 | |||||
Algeco Scotsman Global Finance | ||||||||
144A 8.50% 10/15/18 # | 1,150,000 | 1,184,500 | ||||||
144A 10.75% 10/15/19 # | 935,000 | 902,275 | ||||||
Ball | ||||||||
4.00% 11/15/23 | 660,000 | 617,100 | ||||||
5.00% 3/15/22 | 310,000 | 313,100 | ||||||
Berry Plastics 5.50% 5/15/22 | 240,000 | 231,300 | ||||||
BWAY Holding 144A | 730,000 | 737,300 | ||||||
Cemex | ||||||||
144A | ||||||||
4.984% 10/15/18 #— | 200,000 | 212,500 | ||||||
144A 5.70% 1/11/25 # | 220,000 | 212,520 | ||||||
144A 5.875% 3/25/19 # | 220,000 | 221,650 | ||||||
144A 7.25% 1/15/21 # | 690,000 | 731,400 | ||||||
144A 9.50% 6/15/18 # | 650,000 | 726,993 | ||||||
Consolidated Container 144A | 285,000 | 269,325 | ||||||
Crane | ||||||||
2.75% 12/15/18 | 225,000 | 229,240 | ||||||
4.45% 12/15/23 | 1,180,000 | 1,239,291 | ||||||
Cummins 3.65% 10/1/23 | 1,145,000 | 1,190,911 | ||||||
Gates Global 144A | 710,000 | 670,950 | ||||||
General Electric | 610,000 | 635,027 | ||||||
Honghua Group 144A | 330,000 | 324,225 | ||||||
Ingersoll-Rand Global Holding | 1,590,000 | 1,670,448 | ||||||
Milacron 144A | 345,000 | 364,837 | ||||||
OAS Finance 144A | 485,000 | 466,813 | ||||||
OAS Investments 144A | 750,000 | 737,783 | ||||||
Plastipak Holdings 144A | 370,000 | 377,400 | ||||||
Reynolds Group Issuer | 2,475,000 | 2,629,688 | ||||||
Rock-Tenn | ||||||||
3.50% 3/1/20 | 1,120,000 | 1,140,087 | ||||||
4.00% 3/1/23 | 475,000 | 483,026 | ||||||
TransDigm | 285,000 | 281,794 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Capital Goods (continued) |
| |||||||
TransDigm | ||||||||
144A 6.50% 7/15/24 # | 185,000 | $ | 184,538 | |||||
7.50% 7/15/21 | 345,000 | 370,013 | ||||||
Trinity Industries | 1,010,000 | 1,013,784 | ||||||
Tyco Electronics Group | 515,000 | 515,408 | ||||||
URS | ||||||||
3.85% 4/1/17 | 145,000 | 149,745 | ||||||
5.00% 4/1/22 | 520,000 | 527,827 | ||||||
Votorantim Cimentos 144A | 980,000 | 1,016,750 | ||||||
|
| |||||||
22,767,198 | ||||||||
|
| |||||||
Communications – 4.80% | ||||||||
Altice 144A 7.75% 5/15/22 # | 255,000 | 263,925 | ||||||
America Movil | ||||||||
5.00% 3/30/20 | 720,000 | 791,503 | ||||||
6.00% 6/9/19 | MXN | 31,600,000 | 2,381,180 | |||||
American Tower Trust I | ||||||||
144A 1.551% 3/15/43 # | 425,000 | 418,445 | ||||||
144A 3.07% 3/15/23 # | 970,000 | 955,178 | ||||||
AT&T | ||||||||
1.148% 11/27/18 — | 830,000 | 845,431 | ||||||
4.80% 6/15/44 | 2,875,000 | 2,843,731 | ||||||
Bell Canada 3.35% 3/22/23 | CAD | 219,000 | 193,262 | |||||
Bharti Airtel International | 1,245,000 | 1,332,885 | ||||||
Brasil Telecom 144A | 520,000 | 491,452 | ||||||
British Sky Broadcasting | 1,620,000 | 1,619,605 | ||||||
CC Holdings GS V | 450,000 | 443,435 | ||||||
CCO Holdings | 380,000 | 373,350 | ||||||
CenturyLink | ||||||||
5.80% 3/15/22 | 1,655,000 | 1,704,650 | ||||||
6.75% 12/1/23 | 340,000 | 365,925 | ||||||
Cequel Communications | 435,000 | 449,681 | ||||||
Columbus International 144A | 1,315,000 | 1,372,531 | ||||||
Comcast | 3,525,000 | 3,484,501 |
18
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) |
| |||||||
Comcast | ||||||||
4.20% 8/15/34 | 595,000 | $ | 591,864 | |||||
4.75% 3/1/44 | 275,000 | 291,293 | ||||||
5.70% 5/15/18 | 1,000,000 | 1,136,539 | ||||||
Comcel Trust 144A | 250,000 | 264,375 | ||||||
Crown Castle Towers 144A | 2,090,000 | 2,308,815 | ||||||
CSC Holdings 144A | 515,000 | 495,687 | ||||||
Deutsche Telekom International Finance | GBP | 36,000 | 71,070 | |||||
Digicel Group 144A | 1,580,000 | 1,635,458 | ||||||
DIRECTV Holdings | ||||||||
4.45% 4/1/24 | 2,695,000 | 2,812,154 | ||||||
5.15% 3/15/42 | 220,000 | 223,270 | ||||||
DISH DBS | ||||||||
5.00% 3/15/23 | 640,000 | 615,600 | ||||||
7.125% 2/1/16 | 900,000 | 956,250 | ||||||
7.875% 9/1/19 | 168,000 | 190,260 | ||||||
ENTEL Chile 144A | 1,120,000 | 1,150,697 | ||||||
Expedia 4.50% 8/15/24 | 710,000 | 705,068 | ||||||
Gray Television | 465,000 | 477,787 | ||||||
Grupo Televisa | 645,000 | 640,414 | ||||||
Hughes Satellite Systems | 280,000 | 306,600 | ||||||
iHeartMedia PIK 14.00% 2/1/21 | 50,500 | 46,334 | ||||||
Intelsat Luxembourg | ||||||||
7.75% 6/1/21 | 615,000 | 628,837 | ||||||
8.125% 6/1/23 | 3,255,000 | 3,409,613 | ||||||
Interpublic Group | 15,000 | 15,070 | ||||||
Lamar Media 5.00% 5/1/23 | 795,000 | 769,163 | ||||||
Level 3 Escrow II 144A | 465,000 | 459,187 | ||||||
MDC Partners 144A | 440,000 | 455,400 | ||||||
MetroPCS Wireless | 210,000 | 216,563 | ||||||
Millicom International Cellular | 685,000 | 714,113 | ||||||
Mobile Telesystems 144A | 1,215,000 | 1,293,975 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) |
| |||||||
Motorola Solutions | 1,290,000 | $ | 1,261,739 | |||||
NBCUniversal Enterprise | 840,000 | 849,184 | ||||||
Nielsen Luxembourg 144A | 230,000 | 232,300 | ||||||
Numericable Group 144A | 275,000 | 277,406 | ||||||
Orange 2.75% 9/14/16 | 100,000 | 103,056 | ||||||
SBA Tower Trust 144A | 735,000 | 725,705 | ||||||
SES 144A 3.60% 4/4/23 # | 1,820,000 | 1,839,179 | ||||||
SES Global Americas Holdings | 1,635,000 | 1,733,986 | ||||||
Sinclair Television Group | ||||||||
5.375% 4/1/21 | 1,405,000 | 1,390,950 | ||||||
6.125% 10/1/22 | 155,000 | 158,488 | ||||||
Sprint | ||||||||
144A 7.125% 6/15/24 # | 690,000 | 697,763 | ||||||
144A 7.25% 9/15/21 # | 720,000 | 751,500 | ||||||
144A 7.875% 9/15/23 # | 645,000 | 685,313 | ||||||
Sprint Capital 6.90% 5/1/19 | 170,000 | 179,563 | ||||||
Sprint Nextel | ||||||||
6.00% 12/1/16 | 500,000 | 526,875 | ||||||
9.125% 3/1/17 | 100,000 | 113,000 | ||||||
Telefonica Emisiones | ||||||||
4.57% 4/27/23 | 2,355,000 | 2,463,186 | ||||||
6.421% 6/20/16 | 1,750,000 | 1,902,688 | ||||||
Telemar Norte Leste 144A | 668,000 | 655,508 | ||||||
Time Warner 3.55% 6/1/24 | 1,830,000 | 1,807,396 | ||||||
Time Warner Cable | ||||||||
4.00% 9/1/21 | 730,000 | 769,278 | ||||||
6.75% 7/1/18 | 1,500,000 | 1,745,555 | ||||||
8.25% 4/1/19 | 2,195,000 | 2,736,465 | ||||||
T-Mobile USA | ||||||||
6.125% 1/15/22 | 550,000 | 554,813 | ||||||
6.836% 4/28/23 | 690,000 | 711,563 | ||||||
Turk Telekomunikasyon 144A | 930,000 | 909,666 | ||||||
Univision Communications | ||||||||
144A 5.125% 5/15/23 # | 630,000 | 641,025 | ||||||
144A 6.75% 9/15/22 # | 439,000 | 471,925 | ||||||
UPCB Finance | EUR | 600,000 | 797,648 | |||||
Verizon Communications | ||||||||
1.764% 9/15/16 l | 1,900,000 | 1,948,845 | ||||||
1.984% 9/14/18 l | 1,195,000 | 1,260,035 | ||||||
2.50% 9/15/16 | 200,000 | 205,356 |
(continues) 19
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) | ||||||||
Verizon Communications | ||||||||
3.25% 2/17/26 | EUR | 323,000 | $ | 457,611 | ||||
3.65% 9/14/18 | 1,400,000 | 1,475,905 | ||||||
4.50% 9/15/20 | 2,000,000 | 2,165,410 | ||||||
144A 4.862% 8/21/46 # | 3,165,000 | 3,181,661 | ||||||
5.15% 9/15/23 | 795,000 | 880,997 | ||||||
6.55% 9/15/43 | 626,000 | 783,255 | ||||||
Viacom | ||||||||
3.875% 4/1/24 | 220,000 | 219,518 | ||||||
5.25% 4/1/44 | 2,580,000 | 2,676,500 | ||||||
Vimpel Communications | 620,000 | 641,700 | ||||||
Virgin Media Finance 144A | 995,000 | 1,032,313 | ||||||
VTR Finance 144A | 1,185,000 | 1,229,438 | ||||||
Wind Acquisition Finance | 395,000 | 397,963 | ||||||
Windstream | ||||||||
7.50% 4/1/23 | 110,000 | 113,300 | ||||||
7.75% 10/1/21 | 205,000 | 219,350 | ||||||
WPP Finance 2010 | 760,000 | 828,794 | ||||||
Zayo Group 10.125% 7/1/20 | 645,000 | 729,656 | ||||||
|
| |||||||
91,352,456 | ||||||||
|
| |||||||
Consumer Cyclical – 2.88% | ||||||||
American Axle & Manufacturing | 415,000 | 433,675 | ||||||
American Honda Finance | 935,000 | 939,813 | ||||||
AutoZone 6.95% 6/15/16 | 300,000 | 328,550 | ||||||
Bed Bath & Beyond | ||||||||
4.915% 8/1/34 | 935,000 | 932,073 | ||||||
5.165% 8/1/44 | 735,000 | 721,302 | ||||||
Caesars Growth Properties Holdings 144A | 330,000 | 289,987 | ||||||
Chassix 144A | ||||||||
9.25% 8/1/18 # | 65,000 | 64,513 | ||||||
Chinos Intermediate Holdings 144A PIK 7.75% | 370,000 | 351,500 | ||||||
CVS Pass Through Trust 144A | 90,780 | 102,825 | ||||||
Daimler 2.75% 12/10/18 | NOK | 1,870,000 | 302,199 | |||||
Daimler Finance North America | 240,000 | 240,100 |
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Cyclical (continued) |
| |||||||
Daimler Finance North America |
| |||||||
144A 0.584% 3/10/17 #l | 650,000 | $ | 650,544 | |||||
144A 1.25% 1/11/16 # | 1,300,000 | 1,309,214 | ||||||
144A 3.00% 3/28/16 # | 280,000 | 288,949 | ||||||
Delphi | ||||||||
4.15% 3/15/24 | 1,185,000 | 1,211,164 | ||||||
5.00% 2/15/23 | 195,000 | 209,333 | ||||||
6.125% 5/15/21 | 545,000 | 599,500 | ||||||
Ford Motor 7.45% 7/16/31 | 745,000 | 986,239 | ||||||
Ford Motor Credit | ||||||||
1.483% 5/9/16 l | 825,000 | 836,654 | ||||||
2.75% 5/15/15 | 500,000 | 506,603 | ||||||
3.664% 9/8/24 | 395,000 | 387,607 | ||||||
3.875% 1/15/15 | 2,200,000 | 2,221,300 | ||||||
5.875% 8/2/21 | 1,500,000 | 1,727,202 | ||||||
7.00% 4/15/15 | 1,100,000 | 1,137,992 | ||||||
8.70% 10/1/14 | 4,100,000 | 4,100,000 | ||||||
General Motors | 1,090,000 | 1,113,163 | ||||||
Historic TW 6.875% 6/15/18 | 2,200,000 | 2,571,752 | ||||||
Host Hotels & Resorts | ||||||||
3.75% 10/15/23 | 2,100,000 | 2,080,481 | ||||||
4.75% 3/1/23 | 910,000 | 967,374 | ||||||
5.875% 6/15/19 | 325,000 | 344,416 | ||||||
Hyundai Capital America | ||||||||
144A 2.125% 10/2/17 # | 615,000 | 622,898 | ||||||
144A 2.55% 2/6/19 # | 715,000 | 721,363 | ||||||
Hyundai Capital Services | ||||||||
144A 1.034% 3/18/17 #l | 205,000 | 205,870 | ||||||
International Game Technology | 1,460,000 | 1,504,095 | ||||||
Landry’s 144A | ||||||||
9.375% 5/1/20 # | 515,000 | 547,187 | ||||||
Levi Strauss 6.875% 5/1/22 | 540,000 | 567,000 | ||||||
Lowe’s 0.654% 9/10/19 l | 520,000 | 521,385 | ||||||
Magna International | 1,740,000 | 1,732,495 | ||||||
Marriott International | 650,000 | 667,857 | ||||||
Meritor 6.75% 6/15/21 | 210,000 | 219,450 | ||||||
MGM Resorts International | ||||||||
6.75% 10/1/20 | 395,000 | 421,663 | ||||||
7.75% 3/15/22 | 85,000 | 94,775 | ||||||
11.375% 3/1/18 | 554,000 | 664,800 | ||||||
PACCAR Financial | 835,000 | 844,130 |
20
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Consumer Cyclical (continued) |
| |||||||
PF Chang’s China Bistro 144A | 140,000 | $ | 139,650 | |||||
Pinnacle Entertainment | 425,000 | 444,125 | ||||||
QVC | ||||||||
4.375% 3/15/23 | 1,515,000 | 1,514,143 | ||||||
144A 5.45% 8/15/34 # | 1,080,000 | 1,063,954 | ||||||
Sally Holdings 5.75% 6/1/22 | 340,000 | 348,500 | ||||||
Schaeffler Finance | EUR | 1,400,000 | 1,992,733 | |||||
Schaeffler Holding Finance PIK | EUR | 1,300,000 | 1,724,952 | |||||
Signet UK Finance | 1,290,000 | 1,299,601 | ||||||
Starwood Hotels & Resorts Worldwide | ||||||||
3.75% 3/15/25 | 780,000 | 770,170 | ||||||
4.50% 10/1/34 | 405,000 | 395,110 | ||||||
Target 2.30% 6/26/19 | 955,000 | 957,467 | ||||||
Tenedora Nemak 144A | 1,105,000 | 1,138,150 | ||||||
Toyota Finance Australia | ||||||||
2.25% 8/31/16 | NOK | 110,000 | 17,281 | |||||
3.04% 12/20/16 | NZD | 760,000 | 572,455 | |||||
Toyota Motor Credit | 835,000 | 837,011 | ||||||
TRW Automotive | ||||||||
144A 4.45% 12/1/23 # | 1,815,000 | 1,837,688 | ||||||
144A 4.50% 3/1/21 # | 405,000 | 411,075 | ||||||
Volkswagen International Finance 144A | 420,000 | 422,178 | ||||||
Volvo Treasury | SEK | 1,100,000 | 155,100 | |||||
Wyndham Worldwide | ||||||||
3.90% 3/1/23 | 435,000 | 429,375 | ||||||
4.25% 3/1/22 | 350,000 | 354,909 | ||||||
5.625% 3/1/21 | 495,000 | 550,334 | ||||||
Wynn Las Vegas | 125,000 | 127,813 | ||||||
|
| |||||||
54,794,766 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 2.94% |
| |||||||
Air Medical Group Holdings | 301,000 | 315,297 | ||||||
Altria Group | 222,000 | 286,233 | ||||||
Amgen | 125,000 | 127,929 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) |
| |||||||
Amgen | ||||||||
3.625% 5/22/24 | 760,000 | $ | 754,612 | |||||
3.875% 11/15/21 | 470,000 | 494,970 | ||||||
4.00% 9/13/29 | GBP | 216,000 | 351,631 | |||||
Anheuser-Busch InBev Finance | 840,000 | 840,181 | ||||||
Anheuser-Busch InBev Worldwide | 1,000,000 | 1,129,500 | ||||||
Avis Budget Car Rental | 405,000 | 403,987 | ||||||
Boston Scientific | ||||||||
2.65% 10/1/18 | 730,000 | 737,839 | ||||||
6.00% 1/15/20 | 1,665,000 | 1,900,481 | ||||||
BRF | ||||||||
144A 3.95% 5/22/23 # | 200,000 | 188,690 | ||||||
144A 4.75% 5/22/24 # | 600,000 | 592,500 | ||||||
144A 5.875% 6/6/22 # | 485,000 | 525,013 | ||||||
CareFusion 6.375% 8/1/19 | 1,330,000 | 1,535,770 | ||||||
Celgene | ||||||||
3.25% 8/15/22 | 1,140,000 | 1,134,268 | ||||||
3.625% 5/15/24 | 400,000 | 396,531 | ||||||
3.95% 10/15/20 | 925,000 | 981,219 | ||||||
4.625% 5/15/44 | 230,000 | 226,553 | ||||||
Community Health Systems | 415,000 | 433,675 | ||||||
ConAgra Foods | 510,000 | 510,866 | ||||||
Cosan Luxembourg 144A | 530,000 | 510,125 | ||||||
Crimson Merger Sub 144A | 470,000 | 428,875 | ||||||
DaVita HealthCare Partners | 705,000 | 693,984 | ||||||
ENA Norte Trust 144A | 545,769 | 564,833 | ||||||
Express Scripts Holding | ||||||||
2.25% 6/15/19 | 765,000 | 755,118 | ||||||
3.50% 6/15/24 | 1,770,000 | 1,736,644 | ||||||
Forest Laboratories 144A | 1,025,000 | 1,079,938 | ||||||
Fresenius Medical Care US Finance II 144A | 355,000 | 378,075 | ||||||
Gilead Sciences | 1,415,000 | 1,448,156 | ||||||
HCA | 1,200,000 | 1,176,000 |
(continues) 21
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) | ||||||||
HCA | ||||||||
5.00% 3/15/24 | 780,000 | $ | 769,275 | |||||
7.50% 2/15/22 | 420,000 | 473,550 | ||||||
HCA Holdings | 530,000 | 555,175 | ||||||
Immucor 11.125% 8/15/19 | 350,000 | 379,750 | ||||||
JBS Investments 144A | 1,540,000 | 1,643,950 | ||||||
Kimberly-Clark de Mexico | 100,000 | 102,597 | ||||||
Kinetic Concepts | 290,000 | 316,100 | ||||||
Kroger 0.763% 10/17/16 l | 420,000 | 421,408 | ||||||
McKesson 3.796% 3/15/24 | 1,735,000 | 1,752,942 | ||||||
Medtronic 0.328% 2/27/17 l | 430,000 | 429,843 | ||||||
Merck 0.591% 5/18/18 l | 835,000 | 840,292 | ||||||
Minerva Luxembourg 144A | 260,000 | 265,330 | ||||||
Mondelez International | 750,000 | 782,813 | ||||||
Mylan 144A | 160,000 | 165,797 | ||||||
Par Pharmaceutical | 345,000 | 361,388 | ||||||
Pernod-Ricard 144A | 1,850,000 | 2,109,799 | ||||||
Perrigo | ||||||||
144A 4.00% 11/15/23 # | 1,600,000 | 1,630,811 | ||||||
144A 5.30% 11/15/43 # | 320,000 | 346,882 | ||||||
Pfizer | ||||||||
0.534% 6/15/18 l | 754,000 | 755,577 | ||||||
5.35% 3/15/15 | 4,100,000 | 4,191,008 | ||||||
Prestige Brands 144A | 475,000 | 448,875 | ||||||
Quest Diagnostics | 535,000 | 538,234 | ||||||
Red de Carreteras de Occidente 144A | MXN | 8,440,000 | 604,996 | |||||
SABMiller Holdings 144A | 200,000 | 204,434 | ||||||
Salix Pharmaceuticals 144A | 875,000 | 949,375 | ||||||
Service Corporation International 144A | 435,000 | 438,263 | ||||||
Smithfield Foods | 225,000 | 238,500 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) |
| |||||||
Spectrum Brands | 405,000 | $ | 424,238 | |||||
Sysco | ||||||||
3.50% 10/2/24 | 850,000 | 854,083 | ||||||
4.35% 10/2/34 | 1,240,000 | 1,262,158 | ||||||
Tenet Healthcare | 728,000 | 771,680 | ||||||
Thermo Fisher Scientific | ||||||||
2.40% 2/1/19 | 1,430,000 | 1,433,678 | ||||||
4.15% 2/1/24 | 1,005,000 | 1,042,547 | ||||||
United Rentals North America | 535,000 | 543,025 | ||||||
Valeant Pharmaceuticals International | ||||||||
144A 5.625% 12/1/21 # | 100,000 | 99,875 | ||||||
144A 6.375% 10/15/20 # | 220,000 | 226,875 | ||||||
Zimmer Holdings | ||||||||
3.375% 11/30/21 | 1,290,000 | 1,314,113 | ||||||
4.625% 11/30/19 | 1,270,000 | 1,387,204 | ||||||
Zoetis 3.25% 2/1/23 | 2,335,000 | 2,287,646 | ||||||
|
| |||||||
56,003,579 | ||||||||
|
| |||||||
Energy – 3.48% | ||||||||
Anadarko Petroleum | 840,000 | 826,734 | ||||||
BP Capital Markets | ||||||||
0.773% 5/10/19 l | 635,000 | 637,440 | ||||||
4.75% 3/10/19 | 160,000 | 176,401 | ||||||
Bristow Group | 420,000 | 437,325 | ||||||
California Resources | ||||||||
144A 5.50% 9/15/21 # | 275,000 | 279,469 | ||||||
144A 6.00% 11/15/24 # | 275,000 | 283,250 | ||||||
Canadian Natural Resources | 680,000 | 681,819 | ||||||
Chaparral Energy | 580,000 | 597,400 | ||||||
Chesapeake Energy | ||||||||
3.484% 4/15/19 l | 300,000 | 301,500 | ||||||
5.75% 3/15/23 | 850,000 | 909,500 | ||||||
Cimarex Energy | 665,000 | 671,650 | ||||||
CNOOC Finance 2012 144A | 8,955,000 | 8,985,304 | ||||||
CNOOC Nexen Finance 2014 | 1,495,000 | 1,518,165 | ||||||
Continental Resources | 2,590,000 | 2,687,503 |
22
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Drill Rigs Holdings 144A | 720,000 | $ | 720,000 | |||||
Energy XXI Gulf Coast | ||||||||
144A 6.875% 3/15/24 # | 525,000 | 494,813 | ||||||
7.50% 12/15/21 | 85,000 | 83,725 | ||||||
ENSCO 4.50% 10/1/24 | 1,555,000 | 1,563,353 | ||||||
Exterran Partners | 130,000 | 127,075 | ||||||
Halcon Resources | 420,000 | 415,800 | ||||||
Hercules Offshore | ||||||||
144A 6.75% 4/1/22 # | 165,000 | 129,319 | ||||||
144A 8.75% 7/15/21 # | 95,000 | 83,125 | ||||||
KazMunayGas National 144A | 820,000 | 962,475 | ||||||
Key Energy Services | 515,000 | 498,263 | ||||||
Laredo Petroleum | 405,000 | 427,275 | ||||||
Lukoil International Finance | ||||||||
6.125% 11/9/20 | 527,000 | 532,270 | ||||||
144A 6.125% 11/9/20 # | 245,000 | 247,450 | ||||||
Marathon Petroleum | 2,935,000 | 2,828,512 | ||||||
Midstates Petroleum | 575,000 | 572,125 | ||||||
MIE Holdings 144A | 230,000 | 235,175 | ||||||
Murphy Oil USA | 550,000 | 576,125 | ||||||
Newfield Exploration | 855,000 | 919,125 | ||||||
Northern Oil & Gas | 175,000 | 178,500 | ||||||
Oasis Petroleum | 520,000 | 551,200 | ||||||
Odebrecht Offshore Drilling Finance 144A | 1,024,905 | 1,060,777 | ||||||
Oleoducto Central 144A | 1,090,000 | 1,091,853 | ||||||
ONGC Videsh 2.50% 5/7/18 | 820,000 | 812,817 | ||||||
Pacific Rubiales Energy | ||||||||
144A 5.375% 1/26/19 # | 645,000 | 656,288 | ||||||
144A 5.625% 1/19/25 # | 285,000 | 274,583 | ||||||
144A 7.25% 12/12/21 # | 550,000 | 600,875 | ||||||
PDC Energy 7.75% 10/15/22 | 125,000 | 134,375 | ||||||
Pertamina Persero 144A | 845,000 | 847,957 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Petrobras Global Finance | ||||||||
3.115% 3/17/20 l | 265,000 | $ | 270,618 | |||||
4.875% 3/17/20 | 1,433,000 | 1,455,505 | ||||||
Petrobras International | 726,000 | 737,485 | ||||||
Petroleos de Venezuela | 680,000 | 457,300 | ||||||
Petroleos Mexicanos | 390,000 | 453,063 | ||||||
Plains Exploration & Production | 514,000 | 564,177 | ||||||
Pride International | 2,785,000 | 3,287,475 | ||||||
PTT Exploration & Production 144A | 1,410,000 | 1,427,625 | ||||||
Range Resources | 125,000 | 131,875 | ||||||
Regency Energy Partners | 220,000 | 223,850 | ||||||
Samson Investment | 690,000 | 629,625 | ||||||
SandRidge Energy | 700,000 | 702,625 | ||||||
Shell International Finance | 840,000 | 842,929 | ||||||
Sinopec Group Overseas Development 2012 144A | 3,200,000 | 3,226,720 | ||||||
Sinopec Group Overseas Development 2014 | 4,600,000 | 4,733,055 | ||||||
Southwestern Energy | 2,500,000 | 2,922,673 | ||||||
Statoil | ||||||||
0.694% 11/8/18 l | 835,000 | 841,603 | ||||||
2.90% 11/8/20 | 605,000 | 617,811 | ||||||
Talisman Energy | 1,935,000 | 1,976,740 | ||||||
Total Capital International | 840,000 | 848,835 | ||||||
Williams 4.55% 6/24/24 | 765,000 | 758,266 | ||||||
Woodside Finance 144A | 1,050,000 | 1,313,416 | ||||||
YPF | ||||||||
7.734% 8/15/18 l | 470,588 | 472,941 | ||||||
144A 8.75% 4/4/24 # | 634,000 | 648,265 | ||||||
|
| |||||||
66,163,167 | ||||||||
|
|
(continues) 23
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Finance Companies – 1.80% |
| |||||||
American Express | 6,600,000 | $ | 7,690,234 | |||||
BM&FBovespa | 1,000,000 | 1,092,500 | ||||||
Citicorp Lease Pass Through | 200,000 | 237,370 | ||||||
Corp Financiera de Desarrollo | ||||||||
144A 3.25% 7/15/19 # | 350,000 | 350,000 | ||||||
144A 5.25% 7/15/29 #l | 315,000 | 320,119 | ||||||
General Electric Capital | ||||||||
0.618% 5/5/26 l | 920,000 | 879,348 | ||||||
3.45% 5/15/24 | 1,595,000 | 1,601,630 | ||||||
144A 3.80% 6/18/19 # | 345,000 | 367,863 | ||||||
4.208% 12/6/21 | SEK | 1,000,000 | 156,141 | |||||
4.25% 1/17/18 | NZD | 140,000 | 108,228 | |||||
4.65% 10/17/21 | 310,000 | 341,972 | ||||||
6.00% 8/7/19 | 1,495,000 | 1,745,448 | ||||||
7.125% 12/29/49 l | 2,100,000 | 2,434,431 | ||||||
General Motors Financial | ||||||||
3.00% 9/25/17 | 565,000 | 571,356 | ||||||
4.375% 9/25/21 | 695,000 | 711,506 | ||||||
GMAC International Finance | EUR | 100,000 | 130,649 | |||||
International Lease Finance | ||||||||
4.875% 4/1/15 | 200,000 | 203,375 | ||||||
5.75% 5/15/16 | 900,000 | 942,187 | ||||||
144A 6.75% 9/1/16 # | 1,640,000 | 1,775,300 | ||||||
144A 7.125% 9/1/18 # | 100,000 | 112,750 | ||||||
8.625% 9/15/15 | 1,200,000 | 1,270,620 | ||||||
Murray Street Investment Trust I 4.647% 3/9/17 | 4,700,000 | 5,033,601 | ||||||
Nuveen Investments 144A | 635,000 | 739,775 | ||||||
SLM | ||||||||
6.25% 1/25/16 | 700,000 | 728,350 | ||||||
7.25% 1/25/22 | 550,000 | 598,125 | ||||||
Springleaf Finance | 700,000 | 717,500 | ||||||
SUAM Finance 144A | 985,000 | 1,004,700 | ||||||
Temasek Financial I 144A | 560,000 | 539,015 | ||||||
Waha Aerospace | 1,260,000 | 1,327,725 | ||||||
ZAR Sovereign Capital Fund Propriety 144A | 605,000 | 602,731 | ||||||
|
| |||||||
34,334,549 | ||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Insurance – 1.25% | ||||||||
Allstate 5.75% 8/15/53 l | 910,000 | $ | 970,856 | |||||
American International Group | ||||||||
8.175% 5/15/58 l | 795,000 | 1,075,237 | ||||||
8.25% 8/15/18 | 2,055,000 | 2,512,227 | ||||||
Berkshire Hathaway Finance | ||||||||
0.384% 1/10/17 l | 120,000 | 120,068 | ||||||
2.90% 10/15/20 | 1,155,000 | 1,175,658 | ||||||
Chubb 6.375% 3/29/67 l | 820,000 | 903,025 | ||||||
Five Corners Funding Trust | 3,265,000 | 3,423,797 | ||||||
Highmark | ||||||||
144A 4.75% 5/15/21 # | 445,000 | 452,360 | ||||||
144A 6.125% 5/15/41 # | 160,000 | 162,007 | ||||||
Hockey Merger Sub 2 144A | �� | 350,000 | 360,063 | |||||
Jackson National Life Global Funding 144A | 200,000 | 199,111 | ||||||
Liberty Mutual Group | ||||||||
144A 4.25% 6/15/23 # | 925,000 | 947,083 | ||||||
144A 4.95% 5/1/22 # | 320,000 | 345,056 | ||||||
MetLife 3.60% 4/10/24 | 1,065,000 | 1,078,486 | ||||||
MetLife Capital Trust IV 144A | 300,000 | 385,500 | ||||||
MetLife Capital Trust X 144A | 1,100,000 | 1,592,250 | ||||||
Metropolitan Life Global Funding I 144A | 835,000 | 842,062 | ||||||
Onex USI Acquisition 144A | 65,000 | 65,000 | ||||||
Prudential Financial | ||||||||
1.014% 8/15/18 l | 180,000 | 181,821 | ||||||
3.50% 5/15/24 | 60,000 | 59,501 | ||||||
4.50% 11/15/20 | 275,000 | 298,321 | ||||||
5.625% 6/15/43 l | 440,000 | 460,768 | ||||||
5.875% 9/15/42 l | 555,000 | 591,075 | ||||||
Stone Street Trust 144A | 2,300,000 | 2,437,892 | ||||||
Teachers Insurance & Annuity | ||||||||
144A 4.375% 9/15/54 #l | 480,000 | 484,694 | ||||||
144A 4.90% 9/15/44 # | 940,000 | 961,760 | ||||||
Voya Financial | 920,000 | 929,200 | ||||||
XL Group 6.50% 10/29/49 l | 710,000 | 688,700 | ||||||
|
| |||||||
23,703,578 | ||||||||
|
|
24
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Natural Gas – 1.58% | ||||||||
AmeriGas Finance | 435,000 | $ | 457,837 | |||||
El Paso Pipeline Partners Operating | ||||||||
4.30% 5/1/24 | 2,585,000 | 2,580,993 | ||||||
5.00% 10/1/21 | 620,000 | 670,165 | ||||||
Enbridge Energy Partners | 1,210,000 | 1,367,300 | ||||||
Energy Transfer Partners | ||||||||
5.15% 2/1/43 | 695,000 | 673,886 | ||||||
5.95% 10/1/43 | 1,860,000 | 2,001,068 | ||||||
9.70% 3/15/19 | 694,000 | 888,905 | ||||||
EnLink Midstream Partners | 1,990,000 | 2,069,377 | ||||||
Enterprise Products Operating | 1,645,000 | 1,860,230 | ||||||
Kinder Morgan Energy Partners | 1,280,000 | 1,596,303 | ||||||
Kinder Morgan Energy Partners | 1,000,000 | 1,119,320 | ||||||
Plains All American Pipeline | 1,160,000 | 1,470,357 | ||||||
Ras Laffan Liquefied Natural Gas II | 1,858,200 | 2,016,147 | ||||||
Rockies Express Pipeline | 500,000 | 535,000 | ||||||
Sabine Pass Liquefaction | 5,500,000 | 5,603,125 | ||||||
Suburban Propane Partners | 115,000 | 122,475 | ||||||
Sunoco Logistics Partners Operations | 1,995,000 | 1,938,396 | ||||||
TransCanada PipeLines | 1,790,000 | 1,852,650 | ||||||
Williams Partners | 1,010,000 | 1,138,019 | ||||||
|
| |||||||
29,961,553 | ||||||||
|
| |||||||
Real Estate – 1.40% | ||||||||
Alexandria Real Estate Equities | 1,080,000 | 1,135,513 | ||||||
Alexandria Real Estate Equities | ||||||||
3.90% 6/15/23 | 620,000 | 618,939 | ||||||
4.50% 7/30/29 | 450,000 | 451,282 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Real Estate (continued) | ||||||||
Brandywine Operating Partnership | 180,000 | $ | 178,206 | |||||
Carey (W.P.) 4.60% 4/1/24 | 695,000 | 719,766 | ||||||
CBL & Associates | 870,000 | 935,787 | ||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 690,000 | 661,134 | ||||||
5.25% 2/15/24 | 800,000 | 854,154 | ||||||
Corrections Corp of America | 388,000 | 377,330 | ||||||
DDR | ||||||||
4.75% 4/15/18 | 350,000 | 377,885 | ||||||
7.50% 4/1/17 | 940,000 | 1,069,772 | ||||||
7.875% 9/1/20 | 731,000 | 909,456 | ||||||
Digital Realty Trust | 425,000 | 472,761 | ||||||
Excel Trust 4.625% 5/15/24 | 515,000 | 524,497 | ||||||
Geo Group | 285,000 | 287,137 | ||||||
Goodman Funding 144A | 5,300,000 | 6,165,813 | ||||||
HCP 5.375% 2/1/21 | 2,300,000 | 2,569,896 | ||||||
Healthcare Trust of America Holdings 3.375% 7/15/21 | 475,000 | 473,321 | ||||||
Hospitality Properties Trust | 945,000 | 935,440 | ||||||
Prologis 4.00% 1/15/18 | 300,000 | 317,618 | ||||||
Qatari Diar Finance | ||||||||
3.50% 7/21/15 | 2,100,000 | 2,147,250 | ||||||
5.00% 7/21/20 | 500,000 | 556,875 | ||||||
Regency Centers | ||||||||
4.80% 4/15/21 | 420,000 | 457,966 | ||||||
5.875% 6/15/17 | 285,000 | 316,033 | ||||||
Trust F 144A | 1,150,000 | 1,198,875 | ||||||
WEA Finance 144A | 2,000,000 | 1,998,688 | ||||||
|
| |||||||
26,711,394 | ||||||||
|
| |||||||
Technology – 1.18% | ||||||||
Activision Blizzard 144A | 470,000 | 500,550 | ||||||
Apple 0.537% 5/6/19 l | 840,000 | 841,711 | ||||||
Baidu | ||||||||
2.75% 6/9/19 | 1,413,000 | 1,406,127 | ||||||
3.25% 8/6/18 | 770,000 | 794,213 | ||||||
BMC Software Finance 144A | 240,000 | 231,600 |
(continues) 25
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Technology (continued) | ||||||||
Broadcom 4.50% 8/1/34 | 215,000 | $ | 220,048 | |||||
Cisco Systems | 650,000 | 655,519 | ||||||
eBay 0.715% 8/1/19 l | 765,000 | 765,904 | ||||||
Equinix | ||||||||
4.875% 4/1/20 | 255,000 | 253,725 | ||||||
5.375% 4/1/23 | 493,000 | 490,535 | ||||||
First Data | ||||||||
11.25% 1/15/21 | 907,000 | 1,035,114 | ||||||
11.75% 8/15/21 | 281,000 | 326,663 | ||||||
Hewlett-Packard | ||||||||
1.174% 1/14/19 l | 420,000 | 426,088 | ||||||
2.65% 6/1/16 | 130,000 | 133,594 | ||||||
International Business Machines | ||||||||
0.605% 2/12/19 l | 690,000 | 695,805 | ||||||
1.625% 5/15/20 | 440,000 | 422,000 | ||||||
Jabil Circuit 7.75% 7/15/16 | 92,000 | 101,660 | ||||||
National Semiconductor | 1,530,000 | 1,746,077 | ||||||
NCR 6.375% 12/15/23 | 425,000 | 447,313 | ||||||
NetApp 3.25% 12/15/22 | 745,000 | 728,011 | ||||||
NetFlix 144A 5.75% 3/1/24 # | 585,000 | 605,475 | ||||||
NXP Funding 144A | 270,000 | 274,050 | ||||||
Oracle | ||||||||
0.742% 10/8/19 l | 940,000 | 944,865 | ||||||
3.40% 7/8/24 | 1,380,000 | 1,377,360 | ||||||
4.50% 7/8/44 | 585,000 | 593,653 | ||||||
Samsung Electronics America | 745,000 | 747,666 | ||||||
Seagate HDD Cayman 144A | 1,605,000 | 1,605,000 | ||||||
Symantec 4.20% 9/15/20 | 2,000,000 | 2,071,002 | ||||||
Tencent Holdings 144A | 555,000 | 561,592 | ||||||
Xerox 6.35% 5/15/18 | 1,220,000 | 1,395,152 | ||||||
|
| |||||||
22,398,072 | ||||||||
|
| |||||||
Transportation – 0.92% | ||||||||
American Airlines 2011-1 Class A Pass Through Trust | ||||||||
5.25% 1/31/21 ¿ | 460,228 | 497,506 | ||||||
American Airlines 2014-1 Class A Pass Through Trust | ||||||||
3.70% 10/1/26 ¿ | 470,000 | 471,763 | ||||||
AP Moeller – Maersk | ||||||||
144A 2.55% 9/22/19 # | 560,000 | 562,005 | ||||||
144A 3.75% 9/22/24 # | 795,000 | 798,757 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Transportation (continued) | ||||||||
Aviation Capital Group 144A | 790,000 | $ | 900,600 | |||||
Brambles USA | ||||||||
144A 3.95% 4/1/15 # | 395,000 | 401,200 | ||||||
144A 5.35% 4/1/20 # | 320,000 | 359,197 | ||||||
Burlington Northern Santa Fe | ||||||||
3.40% 9/1/24 | 740,000 | 731,204 | ||||||
4.90% 4/1/44 | 1,340,000 | 1,416,531 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust | 720,620 | 844,927 | ||||||
Delta Air Lines Class A Pass Through Trust | 314,521 | 366,416 | ||||||
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A | 1,722,804 | 1,830,120 | ||||||
DP World 144A | 610,000 | 687,043 | ||||||
ERAC USA Finance 144A | 1,470,000 | 1,659,180 | ||||||
Norfolk Southern | 1,085,000 | 1,124,164 | ||||||
Penske Truck Leasing 144A | 200,000 | 210,410 | ||||||
UAL Pass Through Trust | 161,890 | 182,936 | ||||||
10.40% 11/1/16 ¿ | 196,755 | 217,906 | ||||||
United Airlines 2014-1 Class A Pass Through Trust | 350,000 | 351,750 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | 650,000 | 658,125 | ||||||
United Parcel Service | 2,210,000 | 2,489,711 | ||||||
US Airways 2012-2 Class A Pass Through Trust 4.625% 6/3/25 ¿ | 669,136 | 697,575 | ||||||
|
| |||||||
17,459,026 | ||||||||
|
| |||||||
Utilities – 3.09% | ||||||||
AES | ||||||||
5.50% 3/15/24 | 515,000 | 503,413 | ||||||
7.375% 7/1/21 | 419,000 | 471,375 | ||||||
AES Gener | ||||||||
144A 5.25% 8/15/21 # | 420,000 | 444,680 | ||||||
144A | 676,000 | 763,880 |
26
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Utilities (continued) | ||||||||
Ameren Illinois | 2,110,000 | $ | 2,730,452 | |||||
American Transmission Systems 144A | 1,885,000 | 2,091,170 | ||||||
American Water Capital | 890,000 | 888,198 | ||||||
Appalachian Power | 1,000,000 | 1,258,954 | ||||||
Berkshire Hathaway Energy | 1,235,000 | 1,269,311 | ||||||
Calpine 5.375% 1/15/23 | 415,000 | 402,031 | ||||||
CenterPoint Energy | 35,000 | 38,624 | ||||||
Cleveland Electric Illuminating | 515,000 | 594,116 | ||||||
CMS Energy 6.25% 2/1/20 | 635,000 | 744,923 | ||||||
ComEd Financing III | 680,000 | 702,100 | ||||||
Comision Federal de Electricidad 144A | 575,000 | 605,763 | ||||||
Duke Energy Indiana | 835,000 | 838,768 | ||||||
Duquesne Light Holdings | 756,000 | 785,165 | ||||||
Electricite de France | ||||||||
144A 0.694% 1/20/17 #l | 840,000 | 842,176 | ||||||
144A 4.60% 1/27/20 # | 525,000 | 580,214 | ||||||
144A 5.25% 1/29/49 #l | 1,885,000 | 1,920,344 | ||||||
Elwood Energy | 220,729 | 247,768 | ||||||
Enel 144A | 2,005,000 | 2,333,419 | ||||||
Entergy 3.625% 9/15/15 | 215,000 | 220,261 | ||||||
Entergy Arkansas | ||||||||
3.70% 6/1/24 | 335,000 | 345,079 | ||||||
3.75% 2/15/21 | 200,000 | 211,570 | ||||||
Entergy Louisiana | 1,555,000 | 1,663,867 | ||||||
Exelon Generation | 1,575,000 | 1,625,811 | ||||||
Florida Gas Transmission | 320,000 | 392,159 | ||||||
Great Plains Energy | ||||||||
4.85% 6/1/21 | 910,000 | 1,003,830 | ||||||
5.292% 6/15/22 | 770,000 | 877,280 | ||||||
Integrys Energy Group | 1,200,000 | 1,224,374 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Utilities (continued) | ||||||||
IPALCO Enterprises | 405,000 | $ | 428,794 | |||||
ITC Holdings 3.65% 6/15/24 | 1,310,000 | 1,308,580 | ||||||
Jersey Central Power & Light | 1,000,000 | 1,192,319 | ||||||
Laclede Group | 700,000 | 700,291 | ||||||
LG&E & KU Energy | ||||||||
3.75% 11/15/20 | 1,175,000 | 1,222,356 | ||||||
4.375% 10/1/21 | 1,555,000 | 1,675,485 | ||||||
Majapahit Holding | 400,000 | 465,000 | ||||||
Metropolitan Edison 144A | 1,125,000 | 1,127,796 | ||||||
National Rural Utilities Cooperative Finance | 1,640,000 | 1,625,650 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.40% 9/15/19 | 1,155,000 | 1,148,959 | ||||||
3.625% 6/15/23 | 650,000 | 659,313 | ||||||
NiSource Finance | 795,000 | 932,273 | ||||||
NRG Energy 144A | 205,000 | 206,537 | ||||||
NV Energy | 1,135,000 | 1,336,527 | ||||||
Pedernales Electric Cooperative 144A | 620,000 | 717,628 | ||||||
Pennsylvania Electric | 1,180,000 | 1,305,505 | ||||||
Perusahaan Listrik Negara PT | 900,000 | 942,750 | ||||||
Public Service New Hampshire | 635,000 | 656,346 | ||||||
Public Service Oklahoma | 1,300,000 | 1,452,084 | ||||||
Puget Energy | ||||||||
6.00% 9/1/21 | 340,000 | 395,930 | ||||||
6.50% 12/15/20 | 3,800,000 | 4,503,304 | ||||||
Saudi Electricity Global Sukuk | 252,000 | 266,490 | ||||||
SCANA 4.125% 2/1/22 | 1,225,000 | 1,265,828 | ||||||
Southwestern Electric Power | 690,000 | 805,728 | ||||||
State Grid Overseas Investment 2014 | ||||||||
144A 2.75% 5/7/19 # | 490,000 | 491,545 | ||||||
144A 4.125% 5/7/24 # | 1,180,000 | 1,212,205 |
(continues) 27
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Utilities (continued) | ||||||||
Transelec 144A | 700,000 | $ | 696,448 | |||||
Wisconsin Energy | 1,375,000 | 1,423,980 | ||||||
|
| |||||||
58,786,726 | ||||||||
|
| |||||||
Total Corporate Bonds | 727,237,942 | |||||||
|
| |||||||
| ||||||||
Municipal Bonds – 0.67% | ||||||||
| ||||||||
Bay Area, California Toll Authority (Build America Bonds) Series S1 | ||||||||
6.918% 4/1/40 | 800,000 | 1,080,720 | ||||||
7.043% 4/1/50 | 3,000,000 | 4,308,870 | ||||||
California Various Purpose (Build America Bond) | 200,000 | 279,736 | ||||||
Golden State, California Tobacco Securitization Corporation Settlement Revenue (Asset-Backed Senior Notes) | ||||||||
Series A-1 5.125% 6/1/47 | 370,000 | 272,819 | ||||||
Series A-1 5.75% 6/1/47 | 405,000 | 324,547 | ||||||
Los Angeles, California Community College District Revenue (Build America Bond) | 800,000 | 1,087,248 | ||||||
Maryland State Local Facilities | 405,000 | 492,148 | ||||||
New Jersey Transportation Trust Fund | 450,000 | 481,253 | ||||||
New York City, New York Transitional Finance Authority Future Tax Secured Revenue (Build America Bond) | 700,000 | 838,306 | ||||||
New York City, New York Series I | 295,000 | 354,071 | ||||||
New York State Thruway | 415,000 | 483,251 | ||||||
New York State Urban Development (Build America Bonds) | 800,000 | 955,528 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Municipal Bonds (continued) |
| |||||||
| ||||||||
Oregon State Taxable Pension | 65,000 | $ | 79,314 | |||||
Pennsylvania Turnpike Commission | 750,000 | 752,475 | ||||||
Texas Private Activity Bond Surface Transportation Revenue (Senior Lien Note Mobility) | 310,000 | 374,189 | ||||||
University of California Series Y-1 | 500,000 | 501,300 | ||||||
|
| |||||||
Total Municipal Bonds | 12,665,775 | |||||||
|
| |||||||
| ||||||||
Non-Agency Asset-Backed Securities – 3.38% |
| |||||||
| ||||||||
ABFC Trust | 516,317 | 326,294 | ||||||
Accredited Mortgage Loan Trust | ||||||||
Series 2006-2 A4 0.415% 9/25/36 l | 3,500,000 | 2,925,174 | ||||||
Series 2007-1 A3 0.285% 2/25/37 l | 3,255,687 | 3,084,802 | ||||||
AEP Texas Central Transition Funding II | 485,000 | 524,009 | ||||||
Ally Master Owner Trust | 855,000 | 856,331 | ||||||
American Express Credit Account Master Trust | 530,000 | 532,108 | ||||||
Ameriquest Mortgage Securities Asset-Backed Pass Through Certificates | ||||||||
Series 2005-R5 M2 0.615% 7/25/35 ¿l | 1,400,000 | 1,350,040 | ||||||
Series 2005-R7 M2 0.655% 9/25/35 ¿l | 2,000,000 | 1,749,286 | ||||||
Applebee’s | 1,275,000 | 1,262,877 |
28
Table of Contents
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Argent Securities Asset-Backed Pass Through Certificates | 407,313 | $ | 391,362 | |||||
Argent Securities Trust | ||||||||
Series 2006-M1 A2C 0.305% 7/25/36 — | 1,514,628 | 661,824 | ||||||
Series 2006-M1 A2D 0.395% 7/25/36 — | 1,514,628 | 669,755 | ||||||
Series 2006-W4 A2C 0.315% 5/25/36 — | 767,700 | 317,690 | ||||||
ARL Second | 759,931 | 756,434 | ||||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2011-3A A 144A 3.41% 11/20/17 # | 565,000 | 588,323 | ||||||
Series 2013-1A A 144A 1.92% 9/20/19 # | 700,000 | 693,888 | ||||||
Series 2014-1A A 144A 2.46% 7/20/20 # | 665,000 | 664,723 | ||||||
BA Credit Card Trust | 670,000 | 670,092 | ||||||
Bear Stearns Asset-Backed | 258,031 | 194,044 | ||||||
Bear Stearns Asset-Backed Securities I Trust | 2,000,000 | 1,607,714 | ||||||
California Republic Auto Receivables Trust | 275,520 | 277,583 | ||||||
Capital One Multi-Asset Execution Trust | 410,000 | 458,733 | ||||||
Centerpoint Energy Transition Bond IV | 555,000 | 556,043 | ||||||
Centex Home Equity Loan Trust | 7,349 | 7,340 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Chase Issuance Trust | 1,000,000 | $ | 1,002,070 | |||||
Citibank Credit Card Issuance Trust | ||||||||
Series 2013-A2 A2 0.435% 5/26/20 — | 2,000,000 | 1,997,140 | ||||||
Series 2014-A5 A5 2.68% 6/7/23 | 495,000 | 495,864 | ||||||
Citicorp Residential Mortgage Trust | ||||||||
Series 2006-3 A4 5.703% 11/25/36 f | 470,250 | 475,675 | ||||||
Series 2006-3 A5 5.948% 11/25/36 f | 900,000 | 899,982 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2004-3 2A 0.555% 8/25/34 — | 60,609 | 56,216 | ||||||
Series 2005-7 MV3 0.735% 11/25/35 — | 400,000 | 355,365 | ||||||
Series 2005-AB2 2A3 0.54% 11/25/35 — | 1,004,275 | 950,276 | ||||||
Series 2006-1 AF6 5.22% 7/25/36 — | 1,752,762 | 1,716,679 | ||||||
Series 2006-11 1AF6 5.006% 9/25/46 — | 748,043 | 985,467 | ||||||
Series 2006-26 2A4 0.375% 6/25/37 — | 2,000,000 | 982,626 | ||||||
Series 2007-6 2A4 0.465% 9/25/37 — | 1,000,000 | 376,540 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2012-A6 A6 1.67% 1/18/22 | 1,060,000 | 1,032,192 | ||||||
Series 2013-A6 A6 0.604% 4/15/21 — | 2,000,000 | 2,005,652 | ||||||
Ford Credit Floorplan Master Owner Trust A | 750,000 | 750,986 | ||||||
Golden Credit Card Trust | 360,000 | 360,690 | ||||||
GreatAmerica Leasing Receivables | 100,000 | 99,728 | ||||||
GSAMP Trust | 1,384,515 | 819,561 |
(continues) 29
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
GSAMP Trust | 1,746,239 | $ | 1,321,552 | |||||
HOA Funding | 1,285,000 | 1,278,963 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust | 2,000,000 | 1,142,108 | ||||||
HSI Asset Securitization Trust | 43,851 | 24,160 | ||||||
JPMorgan Mortgage Acquisition Trust | 500,000 | 404,656 | ||||||
MASTR Specialized Loan Trust | 21,709 | 21,709 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2006-FF1 M2 0.445% 8/25/36 — | 2,000,000 | 1,903,176 | ||||||
Series 2007-MLN1 A2A 0.265% 3/25/37 — | 661,642 | 577,563 | ||||||
MMAF Equipment Finance | 810,000 | 801,622 | ||||||
Morgan Stanley ABS Capital I Trust | ||||||||
Series 2007-HE1 A2C 0.305% 11/25/36 — | 7,022,735 | 4,628,397 | ||||||
Series 2007-HE5 A2D 0.495% 3/25/37 — | 4,543,214 | 2,694,253 | ||||||
New Century Home Equity Loan Trust | 1,048,491 | 932,574 | ||||||
RAAC Trust | 845,491 | 736,723 | ||||||
RAMP Trust | ||||||||
Series 2006-RZ5 A2 0.335% 8/25/46 — | 761,444 | 733,908 | ||||||
Series 2007-RZ1 A2 0.315% 2/25/37 — | 1,168,248 | 1,057,045 | ||||||
RASC Trust | 29,277 | 29,217 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
RASC Trust | 1,167,931 | $ | 1,160,491 | |||||
Rise | 2,906,250 | 2,938,946 | ||||||
SLM Student Loan Trust | ||||||||
Series 2005-4 A2 0.314% 4/26/21 — | 128,106 | 128,034 | ||||||
Series 2008-9 A 1.734% 4/25/23 — | 3,343,828 | 3,465,667 | ||||||
Soundview Home Loan Trust | 1,190,232 | 1,138,282 | ||||||
Structured Asset Investment Loan Trust | 186,179 | 163,527 | ||||||
Trafigura Securitisation Finance | 500,000 | 502,070 | ||||||
|
| |||||||
Total Non-Agency | 64,273,821 | |||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations – 2.85% |
| |||||||
Alternative Loan Trust | ||||||||
Series 2004-J1 1A1 6.00% 2/25/34 | 2,884 | 2,936 | ||||||
Series 2004-J2 7A1 6.00% 12/25/33 | 5,037 | 5,128 | ||||||
Alternative Loan Trust Resecuritization | 2,064,639 | 1,642,160 | ||||||
ARM Trust | ||||||||
Series 2004-5 3A1 2.513% 4/25/35 — | 1,632,038 | 1,640,647 | ||||||
Series 2005-10 3A31 5.397% 1/25/36 — | 693,337 | 638,458 | ||||||
Series 2006-2 1A4 2.803% 5/25/36 — | 1,389,764 | 1,220,606 | ||||||
Bank of America Funding Trust | 718,886 | 723,632 | ||||||
Bank of America Mortgage Trust | 761,751 | 765,973 |
30
Table of Contents
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Bank of America Alternative Loan Trust | ||||||||
Series 2005-3 2A1 5.50% 4/25/20 | 34,115 | $ | 35,215 | |||||
Series 2005-6 7A1 5.50% 7/25/20 | 129,556 | 132,003 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2003-5 2A1 2.441% 8/25/33 — | 117,472 | 119,941 | ||||||
Series 2005-2 A2 2.528% 3/25/35 — | 225,467 | 227,985 | ||||||
Series 2005-5 A1 2.164% 8/25/35 — | 2,277,122 | 2,315,578 | ||||||
Chase Mortgage Finance Trust | 264,127 | 241,072 | ||||||
ChaseFlex Trust | 420,000 | 375,771 | ||||||
Claris ABS | EUR | 5,878,849 | 7,375,192 | |||||
Countrywide Home Loan Mortgage Pass Through Trust | ||||||||
Series 2003-21 A1 2.599% 5/25/33 ¨— | 2,410 | 2,445 | ||||||
Series 2007-4 1A1 6.00% 5/25/37¨ | 2,386,793 | 2,214,431 | ||||||
CSMC Mortgage-Backed Trust | ||||||||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 3,053,731 | 2,732,989 | ||||||
Series 2007-1 5A14 6.00% 2/25/37 | 529,707 | 476,396 | ||||||
Series 2007-3 4A12 6.596% 4/25/37 @—S | 684,069 | 105,871 | ||||||
Series 2007-3 4A15 5.50% 4/25/37 | 303,748 | 286,927 | ||||||
Series 2007-3 4A6 0.405% 4/25/37 — | 684,069 | 559,612 | ||||||
Deutsche Mortgage Securities Re-REMIC Trust Certificates | 568,255 | 573,583 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2014-C02 1M1 1.105% 5/25/24 — | 117,154 | 115,309 | ||||||
Series 2014-C03 1M1 1.355% 7/25/24 — | 95,850 | 95,175 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
First Horizon Mortgage Pass Through Trust | 249,407 | $ | 234,577 | |||||
GMACM Mortgage Loan Trust | 111,521 | 105,768 | ||||||
GSMPS Mortgage Loan Trust | 8,482 | 8,896 | ||||||
GSR Mortgage Loan Trust | 145,572 | 133,722 | ||||||
IndyMac INDA Mortgage Loan Trust | 328,643 | 327,925 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2006-A6 2A4L 2.566% 10/25/36 — | 1,071,314 | 920,103 | ||||||
Series 2006-A7 2A2 2.612% 1/25/37 — | 209,991 | 187,455 | ||||||
Series 2007-A1 6A1 2.525% 7/25/35 — | 490,023 | 492,085 | ||||||
Lehman Mortgage Trust | 3,101,814 | 2,731,683 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2004-3 8A1 7.00% 4/25/34 | 4,716 | 4,866 | ||||||
Series 2004-5 6A1 7.00% 6/25/34 | 77,613 | 83,722 | ||||||
MASTR ARM Trust | ||||||||
Series 2003-6 1A2 2.45% 12/25/33 — | 4,072 | 4,071 | ||||||
Series 2004-4 4A1 2.406% 5/25/34 — | 161,201 | 158,221 | ||||||
MASTR Asset Securitization Trust | 76,045 | 76,078 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2004-A1 2A2 2.395% 2/25/34 — | 11,076 | 11,192 | ||||||
Series 2005-A5 A2 2.458% 6/25/35 — | 147,379 | 147,395 | ||||||
Opteum Mortgage Acceptance Trust | 2,176,746 | 2,243,838 |
(continues) 31
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
RALI Trust | 50,954 | $ | 53,328 | |||||
RFMSI Trust | ||||||||
Series 2004-S9 1A23 5.50% 12/25/34 | 4,500,000 | 4,683,051 | ||||||
Series 2004-S9 2A1 4.75% 12/25/19 | 206,604 | 209,532 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2004-5 A3 0.885% 6/20/34 — | 403,773 | 402,734 | ||||||
Series 2007-1 4A1 2.664% 9/20/46 — | 1,196,434 | 1,021,425 | ||||||
Series 2013-11 B1 144A 3.716% 9/25/43 #— | 415,471 | 404,510 | ||||||
Structured ARM Loan Trust | ||||||||
Series 2005-22 1A4 2.432% 12/25/35 — | 1,847,493 | 1,391,837 | ||||||
Series 2006-1 7A4 5.032% 2/25/36 — | 1,197,322 | 996,397 | ||||||
Structured Asset Securities Trust | 70,296 | 71,122 | ||||||
Structured Asset Mortgage Investments II Trust | 1,073,052 | 1,033,203 | ||||||
Washington Mutual Alternative Mortgage Pass Through Certificates | ||||||||
Series 2005-1 5A2 6.00% 3/25/35 ¿ | 59,096 | 30,338 | ||||||
Series 2005-AR13 A1A1 0.445% 10/25/45 ¿— | 5,620,863 | 5,371,488 | ||||||
Series 2005-AR16 1A3 2.359% 12/25/35 ¿— | 963,060 | 919,543 | ||||||
Series 2007-HY1 3A3 4.579% 2/25/37 ¿— | 546,594 | 502,844 | ||||||
Series 2007-HY7 4A1 4.623% 7/25/37 ¿— | 1,078,914 | 1,010,434 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2005-AR16 2A1 2.612% 2/25/34 — | 265,821 | 270,703 | ||||||
Series 2006-2 3A1 5.75% 3/25/36 | 167,891 | 170,646 | ||||||
Series 2006-3 A11 5.50% 3/25/36 | 188,072 | 196,325 | ||||||
Series 2006-6 1A3 5.75% 5/25/36 | 113,002 | 110,538 |
Principal amount° | Value (U.S. $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2006-AR5 2A1 2.615% 4/25/36 — | 98,283 | $ | 94,281 | |||||
Series 2006-AR11 A6 2.614% 8/25/36 — | 1,350,485 | 1,280,490 | ||||||
Series 2006-AR17 A1 2.611% 10/25/36 — | 808,856 | 779,381 | ||||||
Series 2007-10 1A36 6.00% 7/25/37 | 642,542 | 629,918 | ||||||
|
| |||||||
Total Non-Agency | 54,130,700 | |||||||
|
| |||||||
Regional Bonds – 0.10%D |
| |||||||
Australia – 0.01% | ||||||||
Queensland Treasury 144A 4.75% 7/21/25 # | AUD 207,000 | 192,097 | ||||||
|
| |||||||
192,097 | ||||||||
|
| |||||||
Canada – 0.01% | ||||||||
Province of Ontario Canada 3.45% 6/2/45 | CAD 281,000 | 244,470 | ||||||
|
| |||||||
244,470 | ||||||||
|
| |||||||
Spain – 0.08% | ||||||||
Autonomous Community of Catalonia 4.95% 2/11/20 | EUR 1,100,000 | 1,557,709 | ||||||
|
| |||||||
1,557,709 | ||||||||
|
| |||||||
Total Regional Bonds | 1,994,276 | |||||||
|
| |||||||
Senior Secured Loans – 5.75%« |
| |||||||
Air Medical Group Tranche B1 | 276,410 | 277,274 | ||||||
Albertson’s Holdings Tranche B4 1st Lien | 2,335,000 | 2,326,001 | ||||||
Albertsons Tranche B 1st Lien | 215,824 | 215,400 | ||||||
Allegion U.S. Holding Tranche B | 1,195,963 | 1,191,218 | ||||||
Amaya Gaming 1st Lien | 1,090,000 | 1,077,737 | ||||||
Amaya Gaming 2nd Lien | 510,000 | 517,140 | ||||||
Applied Systems 1st Lien | 297,750 | 295,070 | ||||||
Applied Systems 2nd Lien | 1,241,000 | 1,241,258 |
32
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
Senior Secured Loans« (continued) |
| |||||||
Arch Coal 1st Lien | 475,000 | $ | 435,456 | |||||
Ashland Water 1st Lien | 405,000 | 398,292 | ||||||
Ashland Water 2nd Lien | 325,000 | 319,042 | ||||||
Atkore International 2nd Lien | 260,000 | 257,887 | ||||||
Avast Software 1st Lien | 502,125 | 502,334 | ||||||
Avaya Tranche B-3 | 621,341 | 592,993 | ||||||
Axalta Coating Systems U.S. Holdings 1st Lien | 708,016 | 694,475 | ||||||
Azure Midstream Tranche B | 341,486 | 341,273 | ||||||
BJ’s Wholesale Club 2nd Lien | 750,000 | 757,969 | ||||||
BJ’s Wholesale Club Tranche B 1st Lien | 1,479,769 | 1,458,894 | ||||||
Bowie Recourse Tranche B 1st Lien | 370,563 | 371,489 | ||||||
Bway Holding Tranche B 1st Lien | 728,175 | 729,995 | ||||||
Caesars Growth Partners Tranche B 1st Lien | 483,788 | 459,719 | ||||||
Calpine Construction Finance Tranche B | 329,541 | 319,860 | ||||||
Charter Communications Tranche B 1st Lien | ||||||||
4.25% 8/12/21 | 1,715,000 | 1,711,937 | ||||||
3.25% 12/29/18 | 2,542,225 | 2,507,269 | ||||||
3.50% 5/24/17 | 1,292,096 | 1,284,222 | ||||||
Citycenter Holdings Tranche B 1st Lien | 264,950 | 262,566 | ||||||
Clear Channel Communications Tranche B | 3,722,056 | 3,694,808 | ||||||
Clear Channel Communications Tranche D | 400,000 | 382,625 | ||||||
Clear Channel Communications Tranche E 1st Lien | 184,983 | 181,284 | ||||||
Community Health Systems Tranche D | 2,842,399 | 2,837,604 | ||||||
Community Health Systems Tranche E | 423,771 | 422,211 |
Principal amount° | Value (U.S. $) | |||||||
Senior Secured Loans« (continued) |
| |||||||
Crown Castles Operating Tranche B2 | 343,034 | $ | 338,982 | |||||
Davita Healthcare Partners Tranche B | 753,113 | 745,876 | ||||||
Delta Air Lines Tranche B 1st Lien | 605,999 | 599,883 | ||||||
Drillships Financing Holding Tranche B1 | 4,060,703 | 3,901,658 | ||||||
Dynegy Tranche B2 | 857,600 | 852,598 | ||||||
Emdeon 1st Lien | 766,080 | 758,419 | ||||||
Energy Transfer 1st Lien | 1,034,750 | 1,012,330 | ||||||
Exgen Renewables I 1st Lien | 991,660 | 1,001,577 | ||||||
Exgen Texas Power Tranche B 1st Lien | 1,960,000 | 1,953,875 | ||||||
Expro Holdings UK 3 Tranche B 1st Lien | 1,020,000 | 1,017,450 | ||||||
Fieldwood Energy 2nd Lien | 1,560,000 | 1,568,451 | ||||||
First Data Tranche B 1st Lien | 1,106,681 | 1,092,848 | ||||||
Flint Group 1st Lien | 525,000 | 521,719 | ||||||
Flint Group 2nd Lien | 235,000 | 231,475 | ||||||
Flying Fortress 1st Lien | 1,151,000 | 1,144,526 | ||||||
Fortescue Resources 1st Lien | 282,150 | 276,742 | ||||||
Gardner Denver 1st Lien | 480,150 | 471,418 | ||||||
Gates Global 1st Lien | 475,000 | 467,705 | ||||||
Gentiva Health Services Tranche B | 1,438,545 | 1,443,041 | ||||||
Gentiva Health Services Tranche C | 728,542 | 728,314 | ||||||
Goodpack 1st Lien | 730,000 | 728,783 | ||||||
Goodpack 2nd Lien | 365,000 | 365,000 | ||||||
HCA Tranche B4 | 198,990 | 196,979 |
(continues) 33
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
Senior Secured Loans« (continued) |
| |||||||
HD Supply Tranche B | 460,025 | $ | 456,048 | |||||
Heinz (H.J) Tranche B2 1st Lien | 895,466 | 886,064 | ||||||
Hilton Worldwide Finance Tranche B2 | 1,679,496 | 1,656,102 | ||||||
Hostess Brands 1st Lien | 1,360,669 | 1,391,284 | ||||||
Houghton International 1st Lien | 112,988 | 112,281 | ||||||
Houghton International 2nd Lien | 205,000 | 207,306 | ||||||
Huntsman International Tranche B | 970,000 | 967,090 | ||||||
IASIS Healthcare Tranche B 1st Lien | 656,924 | 655,693 | ||||||
Ikaria 5.00% 2/4/22 | 1,451,516 | 1,449,475 | ||||||
Immucor Tranche B2 | 1,874,186 | 1,867,158 | ||||||
Ineos U.S. Finance Tranche B | 1,964,168 | 1,927,799 | ||||||
Infor U.S. Tranche B5 1st Lien | 522,127 | 510,966 | ||||||
Intelsat Jackson Holdings Tranche B2 | 1,231,616 | 1,214,425 | ||||||
KIK Custom Products 1st Lien | 785,321 | 786,058 | ||||||
Kinetic Concepts Tranche E1 | 178,202 | 176,271 | ||||||
Landry’s Tranche B | 570,037 | 566,296 | ||||||
Level 3 Financing Tranche B | 485,000 | 477,043 | ||||||
Lightower Fiber Networks | 113,587 | 111,866 | ||||||
LTS Buyer 2nd Lien | 627,238 | 627,499 | ||||||
Mauser Holdings 2nd Lien | 530,000 | 526,025 | ||||||
MGM Resorts International | 1,632,755 | 1,607,243 | ||||||
Michael Stores Tranche B 1st Lien | 261,688 | 256,944 | ||||||
Moxie Liberty Tranche B | 687,000 | 704,175 | ||||||
Moxie Patriot (Panda Power Fund) Tranche B1 | 720,000 | 738,000 |
Principal amount° | Value (U.S. $) | |||||||
Senior Secured Loans« (continued) |
| |||||||
National Vision | 452,239 | $ | 442,063 | |||||
NEP Broadcasting 2nd Lien | 628,571 | 636,429 | ||||||
NEP/NCP Tranche B 1st Lien | 865,655 | 845,096 | ||||||
New Albertsons 1st Lien | 385,000 | 379,658 | ||||||
NRG Energy Tranche B | 977,588 | 961,152 | ||||||
Numericable 4.50% 4/23/20 | 820,315 | 823,136 | ||||||
Numericable U.S. Tranche B2 1st Lien | 709,685 | 704,806 | ||||||
Nuveen Investments 1st Lien | 1,205,000 | 1,203,243 | ||||||
Nuveen Investments 2nd Lien | 2,911,000 | 2,921,916 | ||||||
Ocean Rig (Drillship) Tranche B 1st Lien | 365,000 | 352,909 | ||||||
OSI Restaurants Tranche B 1st Lien | 82,125 | 81,930 | ||||||
Otterbox Tranche B | 568,575 | 565,021 | ||||||
Panda Temple Power II Tranche B 1st Lien | 620,000 | 631,432 | ||||||
Patheon 4.25% 1/23/21 | 1,805,475 | 1,772,590 | ||||||
5.25% 12/13/19 | 1,667,210 | 1,670,858 | ||||||
5.25% 12/19/19 | 53,048 | 53,015 | ||||||
PVH Tranche B 1st Lien | 439,364 | 440,512 | ||||||
Quickrete 2nd Lien | 365,000 | 368,422 | ||||||
Ranpak 2nd Lien | 330,000 | 337,013 | ||||||
Republic of Angola | 1,850,000 | 1,850,000 | ||||||
Reynolds Group 1st Lien | 525,678 | 520,890 | ||||||
Rite Aid 2nd Lien | 145,000 | 147,311 | ||||||
Samson Investment 2nd Lien | 1,134,000 | 1,104,374 | ||||||
Santander Asset Management Tranche B | 735,694 | 733,395 | ||||||
Scientific Games International | 1,607,850 | 1,603,580 | ||||||
Scientific Games International Tranche B2 1st Lien | 1,750,000 | 1,716,094 |
34
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
Senior Secured Loans« (continued) |
| |||||||
Sensus 4.75% 5/9/17 | 390,960 | $ | 382,163 | |||||
Sensus 2nd Lien | 295,000 | 294,724 | ||||||
Smart & Final Tranche B 1st Lien | 428,727 | 426,941 | ||||||
Sprouts Farmers Markets Holdings | 968,816 | 964,982 | ||||||
Stena 1st Lien | 184,075 | 181,199 | ||||||
Supervalu 1st Lien | 470,989 | 463,564 | ||||||
Surgical Care Affiliates Tranche C | 83,938 | 82,729 | ||||||
TLFC Delos Finance Tranche B | 400,000 | 396,312 | ||||||
TransDigm Tranche C | 607,722 | 598,748 | ||||||
Travelport Finance Luxembourg Tranche B 1st Lien | 1,250,000 | 1,249,414 | ||||||
United Continental Tranche B | 251,175 | 246,779 | ||||||
Univision Communications 1st Lien | 931,482 | 915,065 | ||||||
Univision Communications Tranche C4 | 2,250,276 | 2,210,662 | ||||||
US Airways Tranche B1 | 282,150 | 276,225 | ||||||
US Airways Tranche B2 | 88,110 | 87,394 | ||||||
USI Insurance Services Tranche B 1st Lien | 560,068 | 550,967 | ||||||
Valeant Pharmaceuticals International Tranche BE | ||||||||
3.75% 8/5/20 | 780,273 | 772,191 | ||||||
5.00% 10/25/17 | 241,290 | 232,945 | ||||||
5.75% 3/28/19 | 2,232,997 | 2,137,164 | ||||||
Wide Open West Finance | 2,048,900 | 2,043,351 | ||||||
Zayo Group Tranche B 1st Lien | 1,156,051 | 1,140,757 | ||||||
Ziggo Tranche B 2nd Lien | 616,000 | 599,610 | ||||||
Ziggo Tranche B1 1st Lien | 955,900 | 930,466 | ||||||
|
| |||||||
Total Senior Secured Loans |
| 109,415,259 | ||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
Sovereign Bonds – 7.92%D |
| |||||||
Australia – 3.49% | ||||||||
Australia Government Bond | AUD | 69,000,000 | $ | 66,332,085 | ||||
|
| |||||||
66,332,085 | ||||||||
|
| |||||||
Brazil – 2.14% | ||||||||
Banco Nacional de Desenvolvimento Economico e Social 144A | ||||||||
6.369% 6/16/18 # | 1,500,000 | 1,650,000 | ||||||
144A 6.50% 6/10/19 # | 2,500,000 | 2,821,875 | ||||||
Brazil Letras do Tesouro Nacional | BRL | 73,100,000 | 20,378,484 | |||||
Brazil Notas do Tesouro Nacional Series B | BRL | 320,000 | 3,244,607 | |||||
Brazil Notas do Tesouro Nacional Series F | ||||||||
10.00% 1/1/21 | BRL | 32,999,000 | 12,138,478 | |||||
10.00% 1/1/23 | BRL | 304,000 | 109,952 | |||||
10.00% 1/1/17 | BRL | 763,000 | 298,094 | |||||
|
| |||||||
40,641,490 | ||||||||
|
| |||||||
Chile – 0.04% | ||||||||
Chile Government International Bond | CLP | 417,000,000 | 737,375 | |||||
|
| |||||||
737,375 | ||||||||
|
| |||||||
Colombia – 0.06% | ||||||||
Colombia Government International Bond | ||||||||
4.375% 3/21/23 | COP | 1,816,000,000 | 777,071 | |||||
9.85% 6/28/27 | COP | 719,000,000 | 449,722 | |||||
|
| |||||||
1,226,793 | ||||||||
|
| |||||||
Finland – 0.02% | ||||||||
Finland Government Bond | NOK | 2,000,000 | 313,477 | |||||
|
| |||||||
313,477 | ||||||||
|
| |||||||
Greece – 0.05% | ||||||||
Hellenic Republic Treasury Bill | EUR | 823,000 | 1,039,309 | |||||
|
| |||||||
1,039,309 | ||||||||
|
| |||||||
Guatemala – 0.05% | ||||||||
Guatemala Government Bond 144A | 810,000 | 897,075 | ||||||
|
| |||||||
897,075 | ||||||||
|
|
(continues) 35
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
Sovereign BondsD (continued) |
| |||||||
Hungary – 0.01% |
| |||||||
Magyar Export-Import Bank 144A | 245,000 | $ | 243,591 | |||||
|
| |||||||
243,591 | ||||||||
|
| |||||||
Iceland – 0.04% | ||||||||
Republic of Iceland 144A | 645,000 | 727,674 | ||||||
|
| |||||||
727,674 | ||||||||
|
| |||||||
Indonesia – 0.12% | ||||||||
Indonesia Government International Bond 144A | 929,000 | 868,615 | ||||||
144A | 576,000 | 636,480 | ||||||
Perusahaan Penerbit Indonesia 144A | 760,000 | 841,700 | ||||||
|
| |||||||
2,346,795 | ||||||||
|
| |||||||
Japan – 0.01% | ||||||||
Japanese Government CPI Linked Bond | JPY | 17,493,000 | 172,044 | |||||
|
| |||||||
172,044 | ||||||||
|
| |||||||
Kenya – 0.03% | ||||||||
Kenya Government International Bond 144A | 640,000 | 660,000 | ||||||
|
| |||||||
660,000 | ||||||||
|
| |||||||
Mexico – 0.03% | ||||||||
Mexican Bonos | ||||||||
6.50% 6/10/21 | MXN | 465,000 | 36,286 | |||||
6.50% 6/9/22 | MXN | 7,222,000 | 558,225 | |||||
|
| |||||||
594,511 | ||||||||
|
| |||||||
Norway – 0.00% | ||||||||
Kommunalbanken | NZD | 72,000 | 57,055 | |||||
|
| |||||||
57,055 | ||||||||
|
| |||||||
Pakistan – 0.04% | ||||||||
Pakistan Government International Bond 144A 7.25% 4/15/19 # | 834,000 | 845,468 | ||||||
|
| |||||||
845,468 | ||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
Sovereign BondsD (continued) |
| |||||||
Panama – 0.08% |
| |||||||
Panama Government International Bond | 1,510,000 | $ | 1,513,775 | |||||
|
| |||||||
1,513,775 | ||||||||
|
| |||||||
Philippines – 0.10% |
| |||||||
Philippine Government International Bond | ||||||||
3.90% 11/26/22 | PHP | 45,000,000 | 989,850 | |||||
6.25% 1/14/36 | PHP | 40,000,000 | 957,731 | |||||
|
| |||||||
1,947,581 | ||||||||
|
| |||||||
Poland – 0.02% | ||||||||
Poland Government Bond | ||||||||
2.228% 7/25/16 ^ | PLN | 325,000 | 94,737 | |||||
4.00% 10/25/23 | PLN | 471,000 | 153,665 | |||||
5.25% 10/25/17 | PLN | 361,000 | 119,151 | |||||
|
| |||||||
367,553 | ||||||||
|
| |||||||
Portugal – 0.03% | ||||||||
Portugal Government International Bond 144A | 482,000 | 499,844 | ||||||
|
| |||||||
499,844 | ||||||||
|
| |||||||
Qatar – 0.31% | ||||||||
Qatar Government International Bond | 5,800,000 | 5,862,292 | ||||||
|
| |||||||
5,862,292 | ||||||||
|
| |||||||
Republic of Korea – 0.10% |
| |||||||
Korea Treasury Inflation-Linked Bond | KRW | 1,079,070,192 | 993,265 | |||||
Republic of Korea | 700,000 | 848,050 | ||||||
|
| |||||||
1,841,315 | ||||||||
|
| |||||||
Romania – 0.03% | ||||||||
Romanian Government International Bond | 566,000 | 602,790 | ||||||
|
| |||||||
602,790 | ||||||||
|
| |||||||
Senegal – 0.03% | ||||||||
Senegal Government International Bond | 500,000 | 501,250 | ||||||
|
| |||||||
501,250 | ||||||||
|
|
36
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
Sovereign BondsD (continued) |
| |||||||
Slovenia – 0.26% |
| |||||||
Slovenia Government International Bond | ||||||||
4.125% 2/18/19 | 200,000 | $ | 208,750 | |||||
5.50% 10/26/22 | 4,300,000 | 4,687,000 | ||||||
|
| |||||||
4,895,750 | ||||||||
|
| |||||||
South Africa – 0.09% |
| |||||||
South Africa Government | ZAR | 18,158,000 | 1,511,893 | |||||
South Africa Government International Bond | 244,000 | 242,628 | ||||||
|
| |||||||
1,754,521 | ||||||||
|
| |||||||
Spain – 0.65% |
| |||||||
Spain Government Bond 144A | EUR | 9,300,000 | 12,345,801 | |||||
|
| |||||||
12,345,801 | ||||||||
|
| |||||||
Sri Lanka – 0.03% |
| |||||||
Sri Lanka Government International Bond | 533,000 | 563,648 | ||||||
|
| |||||||
563,648 | ||||||||
|
| |||||||
Sweden – 0.01% |
| |||||||
Sweden Government Bond | SEK | 770,000 | 117,419 | |||||
|
| |||||||
117,419 | ||||||||
|
| |||||||
United Kingdom – 0.05% |
| |||||||
United Kingdom Gilt | ||||||||
1.25% 7/22/18 | GBP | 192,133 | 308,072 | |||||
1.75% 9/7/22 | GBP | 100,000 | 156,832 | |||||
United Kingdom Gilt Inflation-Linked | GBP | 275,621 | 472,770 | |||||
|
| |||||||
937,674 | ||||||||
|
| |||||||
Total Sovereign Bonds |
| 150,585,955 | ||||||
|
| |||||||
Supranational Banks – 0.07% |
| |||||||
European Bank for Reconstruction & Development 6.00% 3/3/16 | INR | 45,500,000 | 733,113 | |||||
Inter-American Development Bank | IDR | 1,840,000,000 | 150,122 |
Principal amount° | Value (U.S. $) | |||||||
Supranational Banks (continued) |
| |||||||
International Bank for Reconstruction & Development | ||||||||
2.898% 9/24/18 — | AUD 310,000 | $ | 271,657 | |||||
4.625% 10/6/21 | NZD 188,000 | 146,098 | ||||||
|
| |||||||
Total Supranational Banks (cost $1,345,458) | 1,300,990 | |||||||
|
| |||||||
U.S. Treasury Obligations – 21.00% |
| |||||||
U.S. Treasury Bonds | 22,110,000 | 21,759,358 | ||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.125% 7/15/22 | 2,486,496 | 2,428,996 | ||||||
0.125% 7/15/24 | 38,178,990 | 36,675,692 | ||||||
1.75% 1/15/28 | 9,575,645 | 10,671,233 | ||||||
2.00% 1/15/26 | 1,680,546 | 1,914,707 | ||||||
2.375% 1/15/25 | 1,744,251 | 2,044,862 | ||||||
2.375% 1/15/27 | 4,335,811 | 5,137,429 | ||||||
2.50% 1/15/29 | 4,361,082 | 5,327,332 | ||||||
3.875% 4/15/29 | 275,361 | 388,861 | ||||||
U.S. Treasury Notes | ||||||||
1.00% 9/15/17 | 11,400,000 | 11,382,638 | ||||||
1.625% 7/31/19 | 88,500,000 | 87,949,165 | ||||||
1.75% 9/30/19 | 9,590,000 | 9,577,638 | ||||||
2.00% 2/28/21 ¥ | 19,600,000 | 19,435,399 | ||||||
2.00% 5/31/21 | 1,100,000 | 1,087,368 | ||||||
2.25% 4/30/21 | 1,000,000 | 1,005,156 | ||||||
2.375% 8/15/24 ¥ | 39,195,000 | 38,744,885 | ||||||
2.50% 5/15/24 | 38,500,000 | 38,528,567 | ||||||
2.75% 11/15/23 ¥ | 45,200,000 | 46,337,051 | ||||||
2.75% 2/15/24 | 57,700,000 | 59,065,874 | ||||||
|
| |||||||
Total U.S. Treasury Obligations |
| 399,462,211 | ||||||
|
| |||||||
Number of | ||||||||
shares | ||||||||
Common Stock – 0.00% |
| |||||||
Century Communications =† | 1,975,000 | 0 | ||||||
|
| |||||||
Total Common Stock | 0 | |||||||
|
| |||||||
Convertible Preferred Stock – 0.27% |
| |||||||
Alcoa 5.375% exercise price $19.39, expiration date 10/1/17 | 5,800 | 289,420 |
(continues) 37
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Number of shares | Value (U.S. $) | |||||||
Convertible Preferred Stock (continued) |
| |||||||
ArcelorMittal 6.00% exercise price $20.36, expiration date 12/21/15 | 9,300 | $ | 199,514 | |||||
Bank of America 7.25% exercise price $50.00, expiration date 12/31/49 | 203 | 232,739 | ||||||
Chesapeake Energy 144A 5.75% exercise price $26.14, expiration date 12/31/49 # | 292 | 324,667 | ||||||
Dominion Resources 6.125% exercise price $65.21, expiration date 4/1/16 | 5,532 | 310,124 | ||||||
Exelon 6.50% exercise price $43.75, expiration date 6/1/17 | 6,250 | 317,500 | ||||||
Halcon Resources 5.75% exercise price $6.16, expiration date 12/31/49 | 337 | 286,450 | ||||||
HealthSouth 6.50% exercise price $30.01, expiration date 12/31/49 | 335 | 445,843 | ||||||
Huntington Bancshares 8.50% exercise price $11.95, expiration date 12/31/49 | 305 | 402,600 | ||||||
Intelsat 5.75% exercise price $22.05, expiration date 5/1/16 | 11,769 | 558,792 | ||||||
Maiden Holdings 7.25% exercise price $15.47, expiration date 9/15/16 | 12,600 | 562,716 | ||||||
MetLife 5.00% exercise price $44.27, expiration date 10/8/14 | 11,075 | 340,999 | ||||||
SandRidge Energy 8.50% exercise price $8.01, expiration date 12/31/49 | 4,447 | 423,021 | ||||||
Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49 | 321 | 386,006 | ||||||
|
| |||||||
Total Convertible Preferred Stock | 5,080,391 | |||||||
|
| |||||||
Preferred Stock – 0.44% | ||||||||
Alabama Power 5.625% | 21,075 | 518,023 | ||||||
Ally Financial 144A 7.00% # | 5,600 | 5,633,250 | ||||||
Integrys Energy Group 6.00% — | 35,650 | 914,066 | ||||||
National Retail Properties 5.70% | 9,340 | 222,759 |
Number of shares | Value (U.S. $) | |||||||
Preferred Stock (continued) |
| |||||||
Public Storage 5.20% | 18,720 | $ | 422,698 | |||||
Regions Financial 6.375% — | 25,300 | 642,114 | ||||||
|
| |||||||
Total Preferred Stock | 8,352,910 | |||||||
|
| |||||||
Number of contracts | ||||||||
Options Purchased – 0.00% |
| |||||||
Futures Call Option – 0.00% | ||||||||
IMM Eurodollar Future exercise price $99.75, expiration date 12/15/14 | 34 | 1,488 | ||||||
|
| |||||||
Total Options Purchased |
| 1,488 | ||||||
|
| |||||||
Principal amount° | ||||||||
Security Sold Short – (0.11%) |
| |||||||
Fannie Mae S.F. 30 yr TBA 4.50% 10/1/43 | (2,000,000 | ) | (2,157,812 | ) | ||||
|
| |||||||
Total Security Sold Short |
| (2,157,812 | ) | |||||
|
| |||||||
Short-Term Investments – 10.11% |
| |||||||
Discount Notes – 4.09%≠ | ||||||||
Fannie Mae 0.025% 12/17/14 | 800,000 | 799,991 | ||||||
Federal Home Loan Bank | ||||||||
0.025% 11/13/14 | 6,682,396 | 6,682,370 | ||||||
0.042% 10/29/14 | 5,300,000 | 5,299,989 | ||||||
0.052% 12/17/14 | 6,800,000 | 6,799,925 | ||||||
0.06% 12/12/14 | 6,500,000 | 6,499,935 | ||||||
0.077% 11/14/14 | 17,876,727 | 17,876,655 | ||||||
0.079% 10/17/14 | 500,000 | 499,999 | ||||||
0.43% 11/19/14 | 33,349,830 | 33,349,697 | ||||||
|
| |||||||
77,808,561 | ||||||||
|
| |||||||
Repurchase Agreements – 4.56% |
| |||||||
Bank of America Merrill Lynch 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $11,611,892 (collateralized by U.S. government obligations 1.375%–2.375%; 1/15/17–1/15/20 market value $11,844,135) | 11,611,892 | 11,611,892 |
38
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
Short-Term Investments (continued) |
| |||||||
Repurchase Agreements (continued) |
| |||||||
Bank of Montreal 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $3,870,631 (collateralized by U.S. government obligations 0.375%–3.125%; 1/31/16–8/15/44 market value $3,948,045) | 3,870,631 | $ | 3,870,631 | |||||
BNP Paribas 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $11,266,477 (collateralized by U.S. government obligations 0.125%–0.25%; 5/15/16–7/15/24 market value $11,491,808) | 11,266,477 | 11,266,477 | ||||||
U.S. Treasury Repo (BNP) | ||||||||
0.00% 10/1/14 | 13,500,000 | 13,500,000 | ||||||
0.05% 10/2/14 | 30,000,000 | 30,000,000 | ||||||
U.S. Treasury Repo (JPMC) | ||||||||
0.00% 10/1/14 | 16,500,000 | 16,500,000 | ||||||
|
| |||||||
86,749,000 | ||||||||
|
| |||||||
U.S. Treasury Obligations – 1.46%≠ |
| |||||||
U.S. Treasury Bills | ||||||||
0.005% 12/26/14 | 17,405,382 | 17,404,964 | ||||||
0.03% 10/2/14 | 552,000 | 552,000 | ||||||
0.041% 10/9/14 | 187,000 | 187,000 | ||||||
0.093% 11/13/14 | 9,682,907 | 9,682,791 | ||||||
|
| |||||||
27,826,755 | ||||||||
|
| |||||||
Total Short-Term Investments |
| 192,384,316 | ||||||
|
| |||||||
Total Value of Securities – 109.01% |
| 2,073,609,800 | ||||||
|
|
Number of contracts | Value (U.S. $) | |||||||
Options Written – (0.04%) |
| |||||||
Call Swaptions – 0.00% |
| |||||||
10 yr IRS pay a fixed rate 2.42% and receive a floating rate based on 3-month USD- ICE LIBOR expiration date 12/1/14 (MSC) | (18,500,000 | ) | $ | (32,764 | ) | |||
|
| |||||||
(32,764 | ) | |||||||
|
| |||||||
Currency Call Options – (0.03%) |
| |||||||
USD vs BRL strike price $2.44, expiration date 11/26/14 (CITI) | (9,081,000 | ) | (326,789 | ) | ||||
USD vs KRW strike price $1045, expiration date 11/28/14 (CITI) | (9,081,000 | ) | (186,978 | ) | ||||
|
| |||||||
(513,767 | ) | |||||||
|
| |||||||
Currency Put Options – (0.01%) |
| |||||||
GBP vs USD strike price $1.63, expiration date 11/28/14 (CITI) | (6,904,000 | ) | (7,062 | ) | ||||
GBP vs USD strike price $1.63, expiration date 11/28/14 (CITI) | (6,904,000 | ) | (137,629 | ) | ||||
USD vs KRW strike price $1000, expiration date 11/28/14 (CITI) | (9,081,000 | ) | (2,080 | ) | ||||
|
| |||||||
(146,771 | ) | |||||||
|
| |||||||
Futures Put Option – 0.00% |
| |||||||
IMM Eurodollar Future exercise price $99, expiration date 12/15/14 (CME) | (34 | ) | (213 | ) | ||||
|
| |||||||
(213 | ) | |||||||
|
| |||||||
Put Swaptions – 0.00% |
| |||||||
10 yr IRS pay a fixed rate 2.86% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 12/1/14 (MSC) | (18,500,000 | ) | (94,905 | ) |
(continues) 39
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Number of contracts | Value (U.S. $) | |||||||
Options Written (continued) |
| |||||||
Put Swaptions (continued) |
| |||||||
10 yr IRS pay a fixed rate 4.05% and receive a floating rate based on 6-month AUD-BBR-BBSW expiration date 11/26/14 (CITI) | (5,800,000 | ) | $ | (22,923 | ) | |||
10 yr IRS pay a fixed rate 4.13% and receive a floating rate based on 6-month AUD-BBR-BBSW expiration date 11/25/14 (JPMC) | (5,800,000 | ) | (14,722 | ) | ||||
|
| |||||||
(132,550 | ) | |||||||
|
| |||||||
Total Options Written |
| $ | (826,065 | ) | ||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Sept. 30, 2014, the aggregate value of Rule 144A securities was $273,381,538, which represents 14.37% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
@ | Illiquid security. At Sept. 30, 2014, the aggregate value of illiquid securities was $14,167,228, which represents 0.74% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
¿ | 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. |
![]() | 86% of the income received was in the form of cash and 14% of the income received was in the form of additional par. |
T | 100% of the income received was in the form of additional cash. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At Sept. 30, 2014, the aggregate value of fair valued securities was $0, which represents 0.00% 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. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
— | Variable rate security. The rate shown is the rate as of Sept. 30, 2014. Interest rates reset periodically. |
¥ | Fully or partially pledged as collateral for futures contracts. |
r | Securities have been classified by country of origin. |
S | Interest only security. An interest only security is the interest only portion of a fixed income security which is separated and sold individually from the principal portion of the security. |
W | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
![]() | 100% of the income received was in the form of both cash and par. |
^ | Zero coupon security. The rate shown is the yield at the time of purchase. |
« | 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 Sept. 30, 2014. |
f | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at Sept. 30, 2014. |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at Sept. 30, 2014:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||
BAML | AUD | (1,147,386 | ) | USD | 998,000 | 10/31/14 | $ | (4,240 | ) | |||||||
BAML | EUR | (359,155 | ) | USD | 464,702 | 10/31/14 | 10,958 | |||||||||
BAML | NZD | (2,644,698 | ) | USD | 2,095,353 | 10/31/14 | 37,542 | |||||||||
BNP | AUD | (1,342,719 | ) | USD | 1,188,642 | 10/31/14 | 15,779 | |||||||||
CITI | AUD | 79,099,000 | USD | (70,185,524 | ) | 10/2/14 | (940,921 | ) | ||||||||
CITI | AUD | (79,099,000 | ) | USD | 70,019,265 | 11/4/14 | 945,511 | |||||||||
CITI | BRL | (49,311,518 | ) | USD | 20,073,076 | 11/4/14 | 124,378 | |||||||||
CITI | BRL | (15,910,280 | ) | USD | 6,752,517 | 1/5/15 | 420,778 | |||||||||
CITI | CNY | (55,270,000 | ) | USD | 8,633,240 | 9/8/15 | (186,285 | ) | ||||||||
CITI | EUR | (31,968,000 | ) | USD | 42,796,870 | 11/20/14 | 2,403,666 | |||||||||
CITI | KRW | 54,066,500 | USD | (52,903 | ) | 10/15/14 | (1,690 | ) | ||||||||
CITI | MXN | (32,110,000 | ) | USD | 2,441,491 | 12/18/14 | 62,914 | |||||||||
DB | MXN | (16,658,124 | ) | USD | 1,234,399 | 10/31/14 | (3,489 | ) | ||||||||
GSC | ZAR | (8,573,180 | ) | USD | 761,749 | 10/31/14 | 6,177 | |||||||||
HSBC | GBP | (797,253 | ) | USD | 1,301,184 | 10/31/14 | �� | 9,120 | ||||||||
JPMC | AUD | (79,269,000 | ) | USD | 73,517,010 | 10/2/14 | 4,123,586 | |||||||||
JPMC | EUR | (10,717,000 | ) | USD | 14,116,043 | 11/20/14 | 574,565 | |||||||||
JPMC | KRW | (479,579,750 | ) | USD | 458,323 | 10/31/14 | 4,408 | |||||||||
MSC | CNY | 55,270,000 | USD | (8,600,000 | ) | 9/8/15 | 219,525 | |||||||||
TD | JPY | (19,071,769 | ) | USD | 175,166 | 10/31/14 | 1,217 | |||||||||
|
| |||||||||||||||
$7,823,499 | ||||||||||||||||
|
|
40
Table of Contents
Futures Contracts
Contracts to Buy (Sell) | Notional Cost (Proceeds) | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
(458) | Australian 10 yr Bonds | $ | (38,147,797 | ) | $ | (38,690,665 | ) | 12/16/14 | $ | (542,868 | ) | |||||||
78 | U.S. Treasury 2 yr Notes | 17,071,172 | 17,069,812 | 1/2/15 | (1,360 | ) | ||||||||||||
(485) | U.S. Treasury 5 yr Notes | (57,278,788 | ) | (57,355,039 | ) | 1/2/15 | (76,251 | ) | ||||||||||
570 | U.S. Treasury 10 yr Notes | 71,416,764 | 71,045,156 | 12/22/14 | (371,608 | ) | ||||||||||||
|
|
|
| |||||||||||||||
$ | (6,938,649 | ) | $ | (992,087 | ) | |||||||||||||
|
|
|
|
Swap Contracts
CDS Contracts2
Counterparty | Swap Refe- Obli- | Notional Value3 | Annual Protection Payments (Receipts) | Termination Date | Unrealized Appreciation (Depreciation) | |||||||||||||
CITI | Protection Purchased: Credit Agricole London Senior 5 yr CDS | EUR | 2,600,000 | 1.00 | % | 12/20/16 | $ | (167,806 | ) | |||||||||
CITI | Protection Sold/Moody’s Rating: Finmeccanica Finance/Ba 5 yr CDS | EUR | 300,000 | 5.00 | % | 3/20/19 | $ | 10,088 | ||||||||||
CITI | Republic of Italy/Baa 5 yr CDS | EUR | 1,000,000 | 1.00 | % | 6/20/17 | 111,005 | |||||||||||
JPMC | Prudential Financial/Baa 5 yr CDS | 700,000 | 1.00 | % | 3/20/19 | 1,872 | ||||||||||||
JPMC | Republic of Brazil/Baa 5 yr CDS | 2,000,000 | 1.00 | % | 9/20/19 | (30,033 | ) | |||||||||||
MSC | People’s Republic of China/Aa 5 yr CDS | 2,700,000 | 1.00 | % | 9/20/16 | 39,654 | ||||||||||||
|
| |||||||||||||||||
$ | 132,586 | |||||||||||||||||
|
| |||||||||||||||||
Total | $ | (35,220 | ) | |||||||||||||||
|
|
Interest Rate Swap Contracts4
Counter- party | Swap Refe- Obli- | Notional Value3 | Fixed Interest Rate Received (Paid) | Variable Interest Rate Received (Paid) | Termi- nation Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BAML | CME - 10 yr | 1,375,000 | 2.73 | % | 0.234 | % | 4/15/24 | $ | (14,487 | ) | ||||||||||||
BAML | CME - 10 yr | 2,000,000 | 2.73 | % | 0.233 | % | 6/6/24 | (17,949 | ) | |||||||||||||
BCLY | CME - 5 yr | 6,900,000 | 1.65 | % | 0.238 | % | 2/26/19 | 43,814 | ||||||||||||||
BCLY | CME - 7 yr | 2,240,000 | 2.27 | % | 0.238 | % | 2/26/21 | (5,544 | ) | |||||||||||||
BCLY | CME - 10 yr | 8,680,000 | 2.84 | % | 0.238 | % | 2/26/24 | (177,812 | ) | |||||||||||||
CITI | 6-Month ICE LIBOR | JPY | 1,490,000,000 | 1.00 | % | 0.170 | % | 9/18/23 | (529,411 | ) | ||||||||||||
CITI | CME - 5 yr | AUD | 17,700,000 | 3.75 | % | 0.025 | % | 12/17/19 | (46,779 | ) | ||||||||||||
CITI | CME - 10 yr | 12,000,000 | 2.75 | % | 0.228 | % | 10/22/23 | (147 | ) | |||||||||||||
CITI | CME - 30 yr | EUR | 9,200,000 | 2.75 | % | 0.188 | % | 9/17/44 | (670,856 | ) | ||||||||||||
CITI | CME - 30 yr | EUR | 1,600,000 | 2.00 | % | 0.357 | % | 3/18/45 | 774 | |||||||||||||
CSFB | CME - 3 yr | 15,600,000 | 1.50 | % | 0.230 | % | 12/17/17 | 14,522 | ||||||||||||||
CSFB | CME - 5 yr | 10,500,000 | 2.25 | % | 0.240 | % | 12/17/19 | 8,259 | ||||||||||||||
CSFB | CME - 7 yr | 17,300,000 | 2.50 | % | 0.234 | % | 12/17/21 | 85,704 | ||||||||||||||
HSBC | CME - 7 yr | 1,750,000 | 2.24 | % | 0.235 | % | 7/28/21 | 5,067 | ||||||||||||||
JPMC | CME - 3 yr | 3,700,000 | 1.28 | % | 0.234 | % | 9/16/17 | 2,029 | ||||||||||||||
JPMC | CME - 7 yr | 2,800,000 | 2.22 | % | 0.235 | % | 5/12/21 | 7,491 | ||||||||||||||
MSC | CME - 1 yr | AUD | 423,800,000 | 3.50 | % | 0.500 | % | 3/16/17 | 690,656 | |||||||||||||
|
| |||||||||||||||||||||
$ | (604,669 | ) | ||||||||||||||||||||
|
|
The use of foreign currency exchange contracts, futures contracts and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts and 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 5 in “Notes to financial statements.”
2A 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). 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 daily as unrealized appreciation or depreciation. 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.
3Notional value shown is stated in U.S. dollars unless noted that the swap is denominated in another currency.
4An interest rate swap agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation)
(continues) 41
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts.
The Fund may invest in floating rate loans. In connection with these investments, the Fund may also enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. The following unfunded loan commitments were outstanding at Sept. 30, 2014:
Unfunded Commitments
Borrower | Unfunded Amount | Cost | Value | Unrealized Appreciation (Depreciation) | ||||||||||||
Ziggo | $ | 1,013,100 | $ | 1,006,648 | $ | 986,144 | $ | (20,504 | ) |
Summary of abbreviations:
AMT – Subject to Alternative Minimum Tax
ARM – Adjustable Rate Mortgage
AUD – Australian Dollar
BAML – Bank of America Merrill Lynch
BBR-BBSW – Bank Bill Reference Rate-Bank Swap Interest Rate
BNP – Banque Paribas
BRL – Brazilian Real
CAD – Canadian Dollar
CDS – Credit Default Swap
CITI – Citigroup Global Markets
CLO – Collateralized Loan Obligation
CLP – Chilean Peso
CME – Chicago Mercantile Exchange Inc.
CNY – China Renminbi
COP – Colombian Peso
CPI – Consumer Price Index
CSFB – Credit Suisse First Boston
DB – Deutsche Bank
EUR – European Monetary Unit
GBP – British Pound Sterling
GNMA – Government National Mortgage Association
GSC – Goldman Sachs Capital
GSMPS – Goldman Sachs Reperforming Mortgage Securities
HSBC – Hong Kong Shanghai Bank
ICE LIBOR – IntercontinentalExchange London Interbank Offered Rate
IDR – Indonesian Rupiah
IMM – International Monetary Market
INR – Indian Rupee
IRS – Interest Rate Swaptions
JPMC – JPMorgan Chase Bank
JPY – Japanese Yen
KRW – South Korean Won
MASTR – Mortgage Asset Securitization Transactions, Inc.
MSC – Morgan Stanley Capital
MXN – Mexican Peso
NOK – Norwegian Krone
NZD – New Zealand Dollar
PHP – Philippine Peso
PIK – Pay-in-kind
PLN – Polish Zloty
REMIC – Real Estate Mortgage Investment Conduit
SEK – Swedish Krona
S.F. – Single Family
TBA – To be announced
TD – Toronto Dominion Bank
UBS – Union Bank of Switzerland
USD – United States Dollar
yr – Year
ZAR – South African Rand
See accompanying notes, which are an integral part of the financial statements.
42
Table of Contents
Optimum International Fund
September 30, 2014 (Unaudited)
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common Stock – 96.55%D |
| |||||||
| ||||||||
Argentina – 0.32% |
| |||||||
YPF ADR | 58,300 | $ | 2,156,517 | |||||
|
| |||||||
2,156,517 | ||||||||
|
| |||||||
Australia – 0.80% |
| |||||||
BHP Billiton ADR | 91,439 | 5,383,928 | ||||||
|
| |||||||
5,383,928 | ||||||||
|
| |||||||
Austria – 2.09% |
| |||||||
Conwert Immobilien Invest *† | 259,236 | 2,956,465 | ||||||
Erste Group Bank | 174,932 | 4,007,048 | ||||||
Schoeller-Bleckmann Oilfield Equipment * | 72,379 | 7,062,343 | ||||||
|
| |||||||
14,025,856 | ||||||||
|
| |||||||
Belgium – 1.13% |
| |||||||
Ageas VVPR Strip «=† | 2,424 | 0 | ||||||
Anheuser-Busch InBev | 68,178 | 7,588,509 | ||||||
|
| |||||||
7,588,509 | ||||||||
|
| |||||||
Bermuda – 1.41% |
| |||||||
Everest Re Group | 58,446 | 9,468,836 | ||||||
|
| |||||||
9,468,836 | ||||||||
|
| |||||||
Brazil – 1.55% |
| |||||||
Banco Bradesco ADR | 282,303 | 4,022,818 | ||||||
Banco do Brasil | 405,400 | 4,217,326 | ||||||
Petroleo Brasileiro ADR | 150,300 | 2,132,757 | ||||||
|
| |||||||
10,372,901 | ||||||||
|
| |||||||
British Virgin Islands – 0.29% |
| |||||||
Nomad Holdings † | 169,216 | 1,924,832 | ||||||
|
| |||||||
1,924,832 | ||||||||
|
| |||||||
Canada – 2.94% |
| |||||||
Element Financial *† | 312,700 | 3,791,995 | ||||||
Gildan Activewear | 35,800 | 1,958,714 | ||||||
Lundin Mining *† | 532,700 | 2,630,559 | ||||||
MEG Energy *† | 100,000 | 3,070,054 | ||||||
Rogers Communications Class B | 81,070 | 3,033,639 | ||||||
Suncor Energy | 78,000 | 2,823,003 | ||||||
Tourmaline Oil † | 53,540 | 2,372,809 | ||||||
|
| |||||||
19,680,773 | ||||||||
|
| |||||||
China/Hong Kong – 9.19% |
| |||||||
AIA Group | 678,200 | 3,506,794 | ||||||
Alibaba Group Holding ADR † | 37,992 | 3,375,589 | ||||||
Anhui Conch Cement * | 2,332,500 | 7,449,725 | ||||||
Baidu ADR † | 30,780 | 6,717,119 | ||||||
Beijing Enterprises Water Group | 2,904,000 | 1,963,464 |
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
China/Hong Kong (continued) |
| |||||||
China Oilfield Services | 3,280,000 | $ | 8,659,536 | |||||
China Shipping Container Lines *† | 11,651,000 | 3,136,003 | ||||||
CSR Class H * | 2,197,000 | 1,932,492 | ||||||
Industrial & Commercial Bank of China | 5,845,000 | 3,643,316 | ||||||
Mindray Medical International ADR * | 178,807 | 5,392,819 | ||||||
MTR | 387,500 | 1,517,093 | ||||||
Orient Overseas International | 1,179,500 | 6,531,807 | ||||||
Qunar Cayman Islands ADR *† | 86,600 | 2,394,490 | ||||||
Weichai Power * | 1,493,000 | 5,393,362 | ||||||
|
| |||||||
61,613,609 | ||||||||
|
| |||||||
Colombia – 0.69% |
| |||||||
Bancolombia ADR | 82,013 | 4,651,777 | ||||||
|
| |||||||
4,651,777 | ||||||||
|
| |||||||
Czech Republic – 0.60% |
| |||||||
Komercni Banka | 16,968 | 4,037,364 | ||||||
|
| |||||||
4,037,364 | ||||||||
|
| |||||||
Denmark – 0.52% |
| |||||||
Novo Nordisk Class B | 72,500 | 3,469,106 | ||||||
|
| |||||||
3,469,106 | ||||||||
|
| |||||||
France – 4.64% |
| |||||||
BNP Paribas * | 44,085 | 2,924,511 | ||||||
GDF Suez VVPR Strip =† | 8,820 | 0 | ||||||
Orange | 261,200 | 3,927,718 | ||||||
Sanofi | 29,300 | 3,314,511 | ||||||
Schneider Electric * | 46,416 | 3,564,585 | ||||||
Societe Generale * | 183,957 | 9,391,833 | ||||||
Sodexo * | 49,679 | 4,861,835 | ||||||
Unibail-Rodamco | 12,000 | 3,087,522 | ||||||
|
| |||||||
31,072,515 | ||||||||
|
| |||||||
Germany – 1.56% |
| |||||||
Bayer | 29,400 | 4,118,287 | ||||||
Continental | 9,600 | 1,826,746 | ||||||
Daimler | 29,400 | 2,255,217 | ||||||
DMG MORI SEIKI * | 43,578 | 1,232,146 | ||||||
Zalando 144A #† | 36,773 | 998,632 | ||||||
|
| |||||||
10,431,028 | ||||||||
|
| |||||||
Greece – 0.30% |
| |||||||
Alpha Bank † | 2,589,191 | 2,008,030 | ||||||
|
| |||||||
2,008,030 | ||||||||
|
| |||||||
India – 3.61% |
| |||||||
HDFC Bank | 223,530 | 3,149,232 |
(continues) 43
Table of Contents
Schedules of investments
Optimum International Fund
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
India (continued) |
| |||||||
ICICI Bank ADR | 190,911 | $ | 9,373,730 | |||||
Tata Motors ADR | 95,900 | 4,191,789 | ||||||
Yes Bank | 828,250 | 7,472,837 | ||||||
|
| |||||||
24,187,588 | ||||||||
|
| |||||||
Indonesia – 0.93% |
| |||||||
Global Mediacom | 7,916,559 | 1,263,661 | ||||||
Indofood Sukses Makmur | 5,566,500 | 3,197,825 | ||||||
Matahari Department Store | 1,337,644 | 1,781,147 | ||||||
|
| |||||||
6,242,633 | ||||||||
|
| |||||||
Ireland – 6.14% |
| |||||||
Dalata Hotel Group † | 403,553 | 1,539,378 | ||||||
Green REIT † | 2,381,848 | 3,911,066 | ||||||
ICON † | 216,815 | 12,408,322 | ||||||
Kingspan Group | 110,001 | 1,761,788 | ||||||
Ryanair Holdings ADR † | 77,900 | 4,395,897 | ||||||
Shire | 197,743 | 17,117,967 | ||||||
|
| |||||||
41,134,418 | ||||||||
|
| |||||||
Israel – 0.56% |
| |||||||
Teva Pharmaceutical Industries ADR | 69,700 | 3,746,375 | ||||||
|
| |||||||
3,746,375 | ||||||||
|
| |||||||
Italy – 1.21% |
| |||||||
Banca Generali * | 108,500 | 2,868,380 | ||||||
UniCredit | 665,357 | 5,260,982 | ||||||
|
| |||||||
8,129,362 | ||||||||
|
| |||||||
Japan – 10.38% |
| |||||||
Denso | 231,900 | 10,689,413 | ||||||
FANUC | 18,500 | 3,341,859 | ||||||
Hitachi | 830,000 | 6,338,622 | ||||||
Japan Tobacco | 106,000 | 3,447,791 | ||||||
Kenedix Office Investment | 468 | 2,513,582 | ||||||
Makita | 60,700 | 3,431,724 | ||||||
Mitsubishi Estate | 168,000 | 3,781,589 | ||||||
Nabtesco | 165,000 | 3,955,546 | ||||||
Nippon Steel & Sumitomo Metal | 1,857,000 | 4,819,242 | ||||||
ORIX | 203,100 | 2,802,082 | ||||||
Secom | 129,100 | 7,690,788 | ||||||
Shinsei Bank * | 1,734,000 | 3,715,771 | ||||||
SMC | 14,800 | 4,082,433 | ||||||
Softbank | 41,600 | 2,916,723 | ||||||
Tokyo Tatemono | 350,000 | 2,830,894 | ||||||
Toyota Motor | 54,300 | 3,200,118 | ||||||
|
| |||||||
69,558,177 | ||||||||
|
|
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Mexico – 0.53% |
| |||||||
Cemex ADR *† | 271,948 | $ | 3,546,202 | |||||
|
| |||||||
3,546,202 | ||||||||
|
| |||||||
Netherlands – 3.84% |
| |||||||
Aalberts Industries * | 70,336 | 1,823,470 | ||||||
ASML Holding | 20,200 | 2,011,062 | ||||||
Core Laboratories | 81,777 | 11,968,064 | ||||||
Royal Dutch Shell Class A | 258,518 | 9,902,146 | ||||||
|
| |||||||
25,704,742 | ||||||||
|
| |||||||
New Zealand – 0.39% |
| |||||||
Xero *† | 56,400 | 951,019 | ||||||
Xero Private Placement =† | 104,850 | 1,679,586 | ||||||
|
| |||||||
2,630,605 | ||||||||
|
| |||||||
Nigeria – 0.46% |
| |||||||
Lekoil † | 2,816,700 | 3,104,984 | ||||||
|
| |||||||
3,104,984 | ||||||||
|
| |||||||
Norway – 4.48% |
| |||||||
DNB | 568,433 | 10,643,520 | ||||||
Norsk Hydro | 984,511 | 5,507,304 | ||||||
Statoil | 55,600 | 1,516,175 | ||||||
Statoil ADR * | 260,659 | 7,079,498 | ||||||
Subsea 7 | 371,631 | 5,307,114 | ||||||
|
| |||||||
30,053,611 | ||||||||
|
| |||||||
Panama – 0.29% |
| |||||||
Copa Holdings Class A | 18,000 | 1,931,220 | ||||||
|
| |||||||
1,931,220 | ||||||||
|
| |||||||
Peru – 0.26% |
| |||||||
Credicorp | 11,100 | 1,702,629 | ||||||
|
| |||||||
1,702,629 | ||||||||
|
| |||||||
Republic of Korea – 2.81% |
| |||||||
Coway | 20,100 | 1,606,171 | ||||||
Hyundai Development Co-Engineering & Construction | 46,700 | 1,890,222 | ||||||
Hyundai Mobis | 23,774 | 5,791,666 | ||||||
POSCO | 17,373 | 5,409,764 | ||||||
Samsung Electronics | 3,686 | 4,136,901 | ||||||
|
| |||||||
18,834,724 | ||||||||
|
| |||||||
Singapore – 1.43% |
| |||||||
DBS Group Holdings | 396,000 | 5,718,120 | ||||||
United Industrial | 1,490,000 | 3,889,547 | ||||||
|
| |||||||
9,607,667 | ||||||||
|
| |||||||
South Africa – 0.47% |
| |||||||
Naspers | 28,700 | 3,166,199 | ||||||
|
| |||||||
3,166,199 | ||||||||
|
|
44
Table of Contents
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Spain – 2.54% |
| |||||||
Abengoa Yield *† | 32,100 | $ | 1,142,118 | |||||
Amadeus IT Holding | 238,789 | 8,933,818 | ||||||
NH Hotel *† | 753,970 | 3,685,554 | ||||||
Sacyr *† | 608,608 | 3,277,876 | ||||||
|
| |||||||
17,039,366 | ||||||||
|
| |||||||
Sweden – 1.68% |
| |||||||
Getinge Class B | 293,172 | 7,398,265 | ||||||
Nordea Bank | 296,790 | 3,862,000 | ||||||
|
| |||||||
11,260,265 | ||||||||
|
| |||||||
Switzerland – 8.88% |
| |||||||
Actelion † | 45,692 | 5,374,966 | ||||||
Credit Suisse Group ADR † | 169,191 | 4,676,439 | ||||||
Novartis | 136,300 | 12,871,152 | ||||||
Novartis ADR | 98,453 | 9,267,381 | ||||||
Roche Holding | 76,093 | 22,565,263 | ||||||
Transocean * | 148,434 | 4,745,435 | ||||||
|
| |||||||
59,500,636 | ||||||||
|
| |||||||
Taiwan – 1.90% |
| |||||||
Advanced Semiconductor Engineering | 7,308,000 | 8,504,379 | ||||||
Hermes Microvision | 37,844 | 1,579,943 | ||||||
Hon Hai Precision Industry | 847,160 | 2,673,483 | ||||||
|
| |||||||
12,757,805 | ||||||||
|
| |||||||
Turkey – 1.38% |
| |||||||
Akbank | 1,492,015 | 4,862,844 | ||||||
Turkiye Garanti Bankasi | 1,254,738 | 4,409,165 | ||||||
|
| |||||||
9,272,009 | ||||||||
|
| |||||||
United Kingdom – 11.54% |
| |||||||
AO World *† | 210,399 | 641,226 | ||||||
ARM Holdings | 252,200 | 3,704,103 | ||||||
ARM Holdings ADR | 310,027 | 13,545,080 | ||||||
AstraZeneca | 100,800 | 7,257,716 | ||||||
Crest Nicholson Holdings | 697,189 | 3,673,193 | ||||||
Diageo | 287,516 | 8,319,745 | ||||||
Drax Group | 135,800 | 1,423,240 | ||||||
Foxtons Group * | 794,908 | 2,770,545 | ||||||
Hargreaves Lansdown | 71,869 | 1,100,990 | ||||||
HSBC Holdings | 405,294 | 4,113,615 | ||||||
Imperial Tobacco Group | 129,400 | 5,588,282 | ||||||
Kennedy Wilson Europe Real Estate | 150,911 | 2,671,489 | ||||||
Liberty Global Class A *† | 121,400 | 5,164,356 | ||||||
Lloyds Banking Group † | 1,280,900 | 1,596,180 | ||||||
Polypipe Group * | 801,470 | 3,199,435 | ||||||
Project White =† | 83,072 | 1,576,828 | ||||||
Prudential | 68,600 | 1,530,215 |
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
United Kingdom (continued) |
| |||||||
Rio Tinto ADR * | 131,974 | $ | 6,490,481 | |||||
Whitbread | 44,700 | 3,010,120 | ||||||
|
| |||||||
77,376,839 | ||||||||
|
| |||||||
United States – 2.81% |
| |||||||
Carnival | 188,695 | 7,579,878 | ||||||
EOG Resources | 26,200 | 2,594,324 | ||||||
Euronet Worldwide † | 43,737 | 2,090,191 | ||||||
Project Star =† | 142 | 920,463 | ||||||
Samsonite International | 967,200 | 3,114,033 | ||||||
Schlumberger | 24,600 | 2,501,574 | ||||||
|
| |||||||
18,800,463 | ||||||||
|
| |||||||
Total Common Stock | 647,174,100 | |||||||
|
| |||||||
| ||||||||
Exchange-Traded Fund – 0.43% |
| |||||||
| ||||||||
iShares MSCI United Kingdom | 148,768 | 2,883,124 | ||||||
|
| |||||||
Total Exchange-Traded Fund | 2,883,124 | |||||||
|
| |||||||
| ||||||||
Preferred Stock – 0.53%D |
| |||||||
| ||||||||
Germany – 0.53% | ||||||||
Henkel & KGaA 1.61% * | 35,500 | 3,545,054 | ||||||
|
| |||||||
Total Preferred Stock | 3,545,054 | |||||||
|
| |||||||
| ||||||||
Warrant – 0.02%D |
| |||||||
| ||||||||
British Virgin Islands – 0.02% |
| |||||||
Nomad Holdings CW17 strike price $11.50, expiration date 4/10/17 † | 169,216 | 90,531 | ||||||
|
| |||||||
Total Warrant (cost $1,692) | 90,531 | |||||||
|
| |||||||
Principal | ||||||||
amount° | ||||||||
| ||||||||
Short-Term Investments – 1.34% |
| |||||||
| ||||||||
Discount Notes – 0.71%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.025% 11/13/14 | 351,249 | 351,248 | ||||||
0.055% 11/19/14 | 2,797,902 | 2,797,891 | ||||||
0.077% 11/14/14 | 1,604,590 | 1,604,583 | ||||||
|
| |||||||
4,753,722 | ||||||||
|
|
(continues) 45
Table of Contents
Schedules of investments
Optimum International Fund
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements – 0.27% |
| |||||||
Bank of America Merrill Lynch | 800,057 | $ | 800,057 | |||||
Bank of Montreal | 266,685 | 266,685 | ||||||
BNP Paribas | 776,258 | 776,258 | ||||||
|
| |||||||
1,843,000 | ||||||||
|
| |||||||
U.S. Treasury Obligations – 0.36%≠ |
| |||||||
U.S. Treasury Bills | ||||||||
0.005% 12/26/14 | 1,513,134 | 1,513,097 | ||||||
0.093% 11/13/14 | 888,442 | 888,431 | ||||||
|
| |||||||
2,401,528 | ||||||||
|
| |||||||
Total Short-Term Investments | 8,998,250 | |||||||
|
| |||||||
Total Value of Securities Before Securities Lending Collateral – 98.87% | 662,691,059 | |||||||
|
|
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Securities Lending Collateral** – 8.46% |
| |||||||
| ||||||||
Investment Company | ||||||||
Delaware Investments® Collateral Fund No.1 | 56,713,943 | $ | 56,713,943 | |||||
|
| |||||||
Total Securities Lending Collateral | 56,713,943 | |||||||
|
| |||||||
Total Value of Securities – 107.33%n | $ | 719,405,002 | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Sept. 30, 2014, the aggregate value of Rule 144A securities was $998,632, which represents 0.15% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
* | Fully or partially on loan. |
** | See Note 7 in “Notes to financial statements” for additional information on securities lending collateral and non-cash collateral. |
« | 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. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. Sept. 30, 2014, the aggregate value of fair valued securities was $4,176,877, which represented 0.62% 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. |
n | Includes $52,923,196 of securities loaned. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
D | Securities have been classified by country of origin. Aggregate classification by business sectors has been presented on page 4 in “Security type / country and sector allocations.” |
46
Table of Contents
The following foreign currency exchange contracts were outstanding at Sept. 30, 2014:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||
BBH | CHF | 65,222 | USD | (68,285 | ) | 10/3/14 | $ | 37 | ||||||||
BBH | CZK | 587,824 | USD | (27,010 | ) | 10/3/14 | (2 | ) | ||||||||
BBH | EUR | 202,332 | USD | (255,578 | ) | 10/3/14 | (8 | ) | ||||||||
BBH | GBP | 52,131 | USD | (84,514 | ) | 10/3/14 | (6 | ) | ||||||||
BBH | HKD | 1,696,461 | USD | (218,498 | ) | 10/6/14 | (22 | ) | ||||||||
BBH | JPY | 21,796,806 | USD | (198,818 | ) | 10/3/14 | (55 | ) | ||||||||
BBH | NOK | 929,946 | USD | (144,833 | ) | 10/3/14 | (106 | ) | ||||||||
BBH | SEK | 358,360 | USD | (49,671 | ) | 10/3/14 | (10 | ) | ||||||||
BBH | SGD | 55,764 | USD | (43,740 | ) | 10/3/14 | (27 | ) | ||||||||
BBH | TRY | 144,083 | USD | (63,180 | ) | 10/2/14 | 73 | |||||||||
BNYM | IDR | (1,284,778,549 | ) | USD | 105,717 | 10/2/14 | 353 | |||||||||
BNYM | KRW | (69,020,715 | ) | USD | 65,337 | 10/1/14 | (85 | ) | ||||||||
BNYM | KRW | 29,674,000 | USD | (28,028 | ) | 10/2/14 | 97 | |||||||||
BNYM | TWD | (2,141,141 | ) | USD | 70,177 | 10/1/14 | (209 | ) | ||||||||
CITI | CAD | (1,606,000 | ) | USD | 1,471,537 | 10/22/14 | 38,236 | |||||||||
CITI | CHF | 1,535,754 | USD | (1,624,386 | ) | 10/22/14 | (15,377 | ) | ||||||||
CITI | DKK | (2,472,707 | ) | USD | 448,629 | 10/22/14 | 29,012 | |||||||||
CITI | EUR | 790,619 | USD | (995,707 | ) | 10/2/14 | 2,939 | |||||||||
CITI | EUR | (2,901,918 | ) | USD | 3,722,690 | 10/22/14 | 56,727 | |||||||||
CITI | GBP | 1,771,000 | USD | (2,894,061 | ) | 10/22/14 | (23,666 | ) | ||||||||
CITI | HKD | 44,105,000 | USD | (5,690,253 | ) | 10/22/14 | (10,490 | ) | ||||||||
CITI | JPY | (127,526,000 | ) | USD | 1,162,286 | 10/2/14 | (600 | ) | ||||||||
CITI | JPY | (626,358,644 | ) | USD | 5,828,910 | 10/22/14 | 116,418 | |||||||||
CITI | NOK | 9,890,000 | USD | (1,575,674 | ) | 10/22/14 | (37,585 | ) | ||||||||
CITI | NZD | 1,741,000 | USD | (1,468,810 | ) | 10/22/14 | (112,877 | ) | ||||||||
CITI | SEK | 64,093,000 | USD | (9,318,128 | ) | 10/22/14 | (437,018 | ) | ||||||||
CITI | SGD | 3,790,000 | USD | (3,049,693 | ) | 10/21/14 | (78,806 | ) | ||||||||
CITI | TRY | 4,048,000 | USD | (1,873,486 | ) | 10/22/14 | (106,335 | ) | ||||||||
CITI | ZAR | 17,091,000 | USD | (1,569,915 | ) | 10/22/14 | (61,300 | ) | ||||||||
MSC | AUD | 9,490,000 | USD | (8,825,447 | ) | 10/22/14 | (530,342 | ) | ||||||||
MSC | CAD | (610,000 | ) | USD | 558,648 | 10/22/14 | 14,243 | |||||||||
MSC | CHF | (10,566,260 | ) | USD | 11,765,594 | 10/22/14 | 695,320 | |||||||||
MSC | DKK | 3,822,818 | USD | (693,554 | ) | 10/22/14 | (44,825 | ) | ||||||||
MSC | EUR | (7,539,000 | ) | USD | 10,198,776 | 10/22/14 | 674,839 | |||||||||
MSC | GBP | (257,000 | ) | USD | 439,153 | 10/22/14 | 22,613 | |||||||||
MSC | JPY | 293,870,000 | USD | (2,696,077 | ) | 10/22/14 | (15,935 | ) | ||||||||
MSC | NOK | (6,953,000 | ) | USD | 1,117,667 | 10/22/14 | 36,338 | |||||||||
MSC | NZD | (4,752,000 | ) | USD | 4,096,078 | 10/22/14 | 395,103 | |||||||||
MSC | SEK | (40,420,000 | ) | USD | 5,917,827 | 10/22/14 | 316,990 | |||||||||
|
| |||||||||||||||
$ | 923,652 | |||||||||||||||
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts 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 5 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
AUD – Australian Dollar
BBH – Brown Brothers Harriman
BNYM – BNY Mellon
CAD – Canadian Dollar
CHF – Swiss Franc
CITI – Citigroup Global Markets
CZK – Czech Koruna
DKK – Danish Krone
EUR – European Monetary Unit
GBP – British Pound Sterling
HKD – Hong Kong Dollar
IDR – Indonesian Rupiah
JPY – Japanese Yen
KRW – South Korean Won
MSC – Morgan Stanley Capital
NOK – Norwegian Krone
NZD – New Zealand Dollar
REIT – Real Estate Investment Trust
SEK – Swedish Krona
SGD – Singapore Dollar
TWD – Taiwan Dollar
TRY – Turkish Lira
USD – United States Dollar
VVPR Strip – Dividend Coupon
ZAR – South African Rand
See accompanying notes, which are an integral part of the financial statements.
47
Table of Contents
Schedules of investments
Optimum Large Cap Growth Fund
September 30, 2014 (Unaudited)
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common Stock – 97.09%² |
| |||||||
| ||||||||
Consumer Discretionary – 21.29% |
| |||||||
Amazon.com † | 110,600 | $ | 35,661,864 | |||||
AutoZone † | 13,800 | 7,033,308 | ||||||
CarMax † | 105,100 | 4,881,895 | ||||||
CBS Class B | 66,675 | 3,567,113 | ||||||
Chipotle Mexican Grill † | 11,000 | 7,332,490 | ||||||
Comcast Class A | 239,700 | 12,891,066 | ||||||
Delphi Automotive (United Kingdom) | 174,750 | 10,719,165 | ||||||
DISH Network Class A † | 37,850 | 2,444,353 | ||||||
Disney (Walt) | 95,300 | 8,484,559 | ||||||
Hanesbrands | 41,300 | 4,437,272 | ||||||
Harley-Davidson | 27,200 | 1,583,040 | ||||||
Hilton Worldwide Holdings † | 240,500 | 5,923,515 | ||||||
Home Depot | 267,773 | 24,565,495 | ||||||
Johnson Controls | 86,350 | 3,799,400 | ||||||
L Brands | 40,950 | 2,742,831 | ||||||
Lamar Advertising Class A | 44,300 | 2,181,775 | ||||||
Las Vegas Sands | 110,800 | 6,892,868 | ||||||
Lear | 21,750 | 1,879,417 | ||||||
Lowe’s | 161,600 | 8,551,872 | ||||||
MGM Resorts International † | 248,870 | 5,669,258 | ||||||
Michael Kors Holdings (China) (Hong Kong Exchange) † | 59,050 | 4,215,579 | ||||||
NetFlix † | 14,000 | 6,316,520 | ||||||
Nielsen Holdings | 83,200 | 3,688,256 | ||||||
NIKE Class B | 105,950 | 9,450,740 | ||||||
Pandora Media † | 61,300 | 1,481,008 | ||||||
Priceline Group † | 19,748 | 22,879,638 | ||||||
PVH | 24,400 | 2,956,060 | ||||||
Ralph Lauren | 29,900 | 4,925,427 | ||||||
Ross Stores | 32,700 | 2,471,466 | ||||||
Royal Caribbean Cruises | 109,600 | 7,374,984 | ||||||
Signet Jewelers (Bermuda) | 20,700 | 2,357,937 | ||||||
Starbucks | 220,750 | 16,657,795 | ||||||
Starwood Hotels & Resorts Worldwide | 54,750 | 4,555,747 | ||||||
Tesla Motors † | 18,100 | 4,392,508 | ||||||
Tiffany | 9,400 | 905,314 | ||||||
Time Warner Cable | 30,900 | 4,433,841 | ||||||
Tractor Supply | 96,800 | 5,954,168 | ||||||
TripAdvisor † | 13,000 | 1,188,460 | ||||||
Twenty-First Century Fox | 77,100 | 2,643,759 | ||||||
Under Armour Class A † | 38,500 | 2,660,350 | ||||||
Wynn Macau (Macau) | 1,046,400 | 3,328,600 | ||||||
Wynn Resorts | 57,700 | 10,794,516 | ||||||
|
| |||||||
286,875,229 | ||||||||
|
|
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Consumer Staples – 3.83% |
| |||||||
Anheuser-Busch InBev ADR (Belgium) | 10,950 | $ | 1,213,807 | |||||
Costco Wholesale | 32,000 | 4,010,240 | ||||||
CVS Health | 253,750 | 20,195,963 | ||||||
Estee Lauder | 37,200 | 2,779,584 | ||||||
Jarden † | 28,650 | 1,722,151 | ||||||
Lorillard | 21,200 | 1,270,092 | ||||||
Molson Coors Brewing Class B | 35,250 | 2,624,010 | ||||||
PepsiCo | 95,000 | 8,843,550 | ||||||
Procter & Gamble | 32,350 | 2,708,989 | ||||||
Walgreen | 104,650 | 6,202,605 | ||||||
|
| |||||||
51,570,991 | ||||||||
|
| |||||||
Energy – 4.49% |
| |||||||
Anadarko Petroleum | 63,600 | 6,451,584 | ||||||
Cheniere Energy † | 54,250 | 4,341,627 | ||||||
Concho Resources † | 25,300 | 3,172,367 | ||||||
Continental Resources † | 50,700 | 3,370,536 | ||||||
Devon Energy | 85,450 | 5,825,981 | ||||||
EQT | 52,700 | 4,824,158 | ||||||
Halliburton | 38,238 | 2,466,733 | ||||||
National Oilwell Varco | 47,800 | 3,637,580 | ||||||
Pioneer Natural Resources | 47,250 | 9,306,833 | ||||||
Range Resources | 69,831 | 4,735,240 | ||||||
Schlumberger | 9,800 | 996,562 | ||||||
Weatherford International (Switzerland) † | 545,950 | 11,355,760 | ||||||
|
| |||||||
60,484,961 | ||||||||
|
| |||||||
Financials – 6.73% |
| |||||||
Affiliated Managers Group † | 16,250 | 3,255,850 | ||||||
American Express | 81,500 | 7,134,510 | ||||||
American International Group | 37,150 | 2,006,843 | ||||||
American Tower | 128,200 | 12,003,366 | ||||||
Aon (United Kingdom) | 23,150 | 2,029,561 | ||||||
BlackRock | 10,400 | 3,414,528 | ||||||
Blackstone Group | 294,250 | 9,262,990 | ||||||
Carlyle Group | 97,250 | 2,962,235 | ||||||
CBS Outdoor Americas | 25,105 | 751,644 | ||||||
Citigroup | 38,400 | 1,989,888 | ||||||
Discover Financial Services | 49,900 | 3,213,061 | ||||||
Hartford Financial Services Group | 182,200 | 6,786,950 | ||||||
IntercontinentalExchange | 20,300 | 3,959,515 | ||||||
Invesco | 69,600 | 2,747,808 | ||||||
JPMorgan Chase | 33,600 | 2,024,064 |
48
Table of Contents
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Financials (continued) |
| |||||||
Morgan Stanley | 502,500 | $ | 17,371,425 | |||||
Prudential Financial | 7,400 | 650,756 | ||||||
State Street | 55,300 | 4,070,633 | ||||||
TD Ameritrade Holding | 111,800 | 3,730,766 | ||||||
US Bancorp | 32,050 | 1,340,651 | ||||||
|
| |||||||
90,707,044 | ||||||||
|
| |||||||
Healthcare – 15.92% |
| |||||||
AbbVie | 122,800 | 7,092,928 | ||||||
Actavis † | 63,858 | 15,407,658 | ||||||
Aetna | 116,550 | 9,440,550 | ||||||
Alexion Pharmaceuticals † | 50,400 | 8,357,328 | ||||||
Allergan | 37,400 | 6,664,306 | ||||||
Amgen | 19,150 | 2,689,809 | ||||||
Biogen Idec † | 61,050 | 20,195,951 | ||||||
Celgene † | 133,500 | 12,653,130 | ||||||
Gilead Sciences † | 350,700 | 37,332,015 | ||||||
HCA Holdings † | 195,859 | 13,811,977 | ||||||
Humana | 28,900 | 3,765,381 | ||||||
IDEXX Laboratories † | 10,200 | 1,201,866 | ||||||
Incyte † | 49,900 | 2,447,595 | ||||||
Insulet † | 33,400 | 1,230,790 | ||||||
Intercept Pharmaceuticals † | 1,700 | 402,373 | ||||||
Intuitive Surgical † | 16,800 | 7,758,576 | ||||||
McKesson | 72,600 | 14,133,042 | ||||||
Pharmacyclics † | 61,900 | 7,268,917 | ||||||
Regeneron Pharmaceuticals † | 10,100 | 3,641,252 | ||||||
St. Jude Medical | 85,000 | 5,111,050 | ||||||
Thermo Fisher Scientific | 98,100 | 11,938,770 | ||||||
UnitedHealth Group | 55,800 | 4,812,750 | ||||||
Valeant Pharmaceuticals International (Canada) † | 81,050 | 10,633,760 | ||||||
Vertex Pharmaceuticals † | 58,700 | 6,592,597 | ||||||
|
| |||||||
214,584,371 | ||||||||
|
| |||||||
Industrials – 12.05% |
| |||||||
American Airlines Group | 258,300 | 9,164,484 | ||||||
Boeing | 127,150 | 16,196,367 | ||||||
Danaher | 237,400 | 18,037,652 | ||||||
Delta Air Lines | 110,400 | 3,990,960 | ||||||
Eagle Materials | 22,700 | 2,311,541 | ||||||
Eaton (Ireland) | 31,152 | 1,974,102 | ||||||
FedEx | 26,200 | 4,229,990 | ||||||
Flowserve | 24,400 | 1,720,688 | ||||||
General Electric | 38,450 | 985,089 | ||||||
Grainger (W.W.) | 9,200 | 2,315,180 | ||||||
HD Supply Holdings † | 150,850 | 4,112,171 | ||||||
Honeywell International | 143,750 | 13,386,000 | ||||||
Hunt (J.B.) Transport Services | 33,100 | 2,451,055 |
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Industrials (continued) |
| |||||||
Ingersoll-Rand (Ireland) | 29,500 | $ | 1,662,620 | |||||
Kansas City Southern | 44,300 | 5,369,160 | ||||||
Martin Marietta Materials | 61,250 | 7,897,575 | ||||||
McGraw Hill Financial | 8,850 | 747,383 | ||||||
Mobileye (Israel) † | 42,100 | 2,256,139 | ||||||
Precision Castparts | 84,650 | 20,051,892 | ||||||
Quanta Services † | 55,500 | 2,014,095 | ||||||
Roper Industries | 45,100 | 6,597,679 | ||||||
Tyco International (Switzerland) | 236,750 | 10,551,947 | ||||||
Union Pacific | 50,100 | 5,431,842 | ||||||
United Continental Holdings † | 76,800 | 3,593,472 | ||||||
United Rentals † | 26,450 | 2,938,595 | ||||||
United Technologies | 59,800 | 6,314,880 | ||||||
WABCO Holdings † | 22,750 | 2,069,113 | ||||||
Wabtec | 48,900 | 3,962,856 | ||||||
|
| |||||||
162,334,527 | ||||||||
|
| |||||||
Information Technology – 28.82% |
| |||||||
Activision Blizzard | 74,400 | 1,546,776 | ||||||
Adobe Systems † | 9,750 | 674,603 | ||||||
Alibaba Group Holding ADR † | 107,555 | 9,556,262 | ||||||
Alliance Data Systems † | 30,100 | 7,472,927 | ||||||
Apple | 536,500 | 54,052,375 | ||||||
ASML Holding (Netherlands) | 47,900 | 4,733,478 | ||||||
Avago Technologies | 69,750 | 6,068,250 | ||||||
Baidu ADR † | 54,100 | 11,806,243 | ||||||
Broadcom Class A | 8,650 | 349,633 | ||||||
Cognizant Technology Solutions Class A † | 58,650 | 2,625,761 | ||||||
CoStar Group † | 14,250 | 2,216,445 | ||||||
Ctrip.com International ADR † | 107,500 | 6,101,700 | ||||||
Facebook Class A † | 534,429 | 42,241,268 | ||||||
Fiserv † | 104,900 | 6,780,211 | ||||||
Google Class A † | 45,650 | 26,860,917 | ||||||
Google Class C † | 75,100 | 43,359,736 | ||||||
International Business Machines | 15,100 | 2,866,433 | ||||||
Lam Research | 42,250 | 3,156,075 | ||||||
LinkedIn Class A † | 39,450 | 8,197,315 | ||||||
MasterCard Class A | 189,600 | 14,015,232 | ||||||
Micron Technology † | 347,635 | 11,909,975 | ||||||
Microsoft | 321,300 | 14,895,468 | ||||||
NAVER (South Korea) | 3,915 | 2,994,838 | ||||||
NetSuite † | 33,500 | 2,999,590 | ||||||
NXP Semiconductor (Netherlands) † | 85,700 | 5,864,451 | ||||||
Red Hat † | 67,300 | 3,778,895 | ||||||
salesforce.com † | 307,250 | 17,676,093 |
(continues) 49
Table of Contents
Schedules of investments
Optimum Large Cap Growth Fund
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
SanDisk | 47,800 | $ | 4,682,010 | |||||
SAP ADR | 41,850 | 3,019,896 | ||||||
ServiceNow † | 51,100 | 3,003,658 | ||||||
Stratasys † | 37,900 | 4,577,562 | ||||||
SunEdison † | 217,750 | 4,111,120 | ||||||
Tencent Holdings (China) (Hong Kong Exchange) | 170,000 | 2,528,703 | ||||||
Vipshop Holdings ADR † | 23,500 | 4,441,735 | ||||||
Visa Class A | 146,050 | 31,162,689 | ||||||
VistaPrint (Netherlands) † | 44,100 | 2,416,239 | ||||||
VMware Class A † | 35,600 | 3,340,704 | ||||||
Western Digital | 16,250 | 1,581,450 | ||||||
Workday Class A † | 23,500 | 1,938,750 | ||||||
Yahoo † | 164,950 | 6,721,713 | ||||||
|
| |||||||
388,327,179 | ||||||||
|
| |||||||
Materials – 2.12% |
| |||||||
Air Products & Chemicals | 33,350 | 4,341,503 | ||||||
Dow Chemical | 38,100 | 1,997,964 | ||||||
Ecolab | 61,500 | 7,062,045 | ||||||
Monsanto | 30,750 | 3,459,683 | ||||||
Praxair | 10,400 | 1,341,600 | ||||||
Sherwin-Williams | 47,400 | 10,380,126 | ||||||
|
| |||||||
28,582,921 | ||||||||
|
| |||||||
Telecommunication Services – 1.77% |
| |||||||
Crown Castle International | 177,800 | 14,318,234 | ||||||
Level 3 Communications † | 79,150 | 3,619,529 | ||||||
Softbank (Japan) | 83,900 | 5,882,525 | ||||||
|
| |||||||
23,820,288 | ||||||||
|
| |||||||
Utilities – 0.07% |
| |||||||
Sempra Energy | 8,550 | 900,999 | ||||||
|
| |||||||
900,999 | ||||||||
|
| |||||||
Total Common Stock | 1,308,188,510 | |||||||
|
| |||||||
| ||||||||
Convertible Preferred Stock – 0.07% |
| |||||||
| ||||||||
Airbnb Private Placement @=† | 23,130 | 894,608 | ||||||
LivingSocial Private Placement Series F @=† | 14,824 | 6,819 | ||||||
|
| |||||||
Total Convertible Preferred Stock | 901,427 | |||||||
|
|
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Short-Term Investments – 2.95% |
| |||||||
| ||||||||
Discount Notes – 1.32%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.025% 11/13/14 | 1,620,346 | $ | 1,620,339 | |||||
0.046% 11/19/14 | 8,841,425 | 8,841,389 | ||||||
0.077% 11/14/14 | 7,320,552 | 7,320,523 | ||||||
|
| |||||||
17,782,251 | ||||||||
|
| |||||||
Repurchase Agreements – 0.71% |
| |||||||
Bank of America Merrill Lynch | 4,164,376 | 4,164,376 | ||||||
Bank of Montreal 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $1,388,125 (collateralized by U.S. government obligations | 1,388,125 | 1,388,125 | ||||||
BNP Paribas 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $4,040,499 (collateralized by U.S. government obligations | 4,040,499 | 4,040,499 | ||||||
|
| |||||||
9,593,000 | ||||||||
|
| |||||||
U.S. Treasury Obligations – 0.92%≠ |
| |||||||
U.S. Treasury Bills | ||||||||
0.005% 12/26/14 | 10,164,578 | 10,164,334 | ||||||
0.093% 11/13/14 | 2,248,977 | 2,248,950 | ||||||
|
| |||||||
12,413,284 | ||||||||
|
| |||||||
Total Short-Term Investments | 39,788,535 | |||||||
|
| |||||||
Total Value of Securities – 100.11% |
| $ | 1,348,878,472 | |||||
|
|
50
Table of Contents
@ | Illiquid security. At Sept. 30, 2014, the aggregate value of illiquid securities was $901,427, which represents 0.07% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At Sept. 30, 2014, the aggregate value of fair valued securities was $901,427, which represented 0.07% 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. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
The following foreign currency exchange contract was outstanding at Sept. 30, 2014:1
Foreign Currency Exchange Contract
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||
BNYM | KRW 163,141,230 | USD | (154,093 | ) | 10/2/14 | $ | 536 |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts 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 8 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
BNYM – BNY Mellon
KRW – South Korean Won
USD – United States Dollar
See accompanying notes, which are an integral part of the financial statements.
51
Table of Contents
Schedules of investments
Optimum Large Cap Value Fund
September 30, 2014 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 96.87% |
| |||||||
| ||||||||
Consumer Discretionary – 9.96% |
| |||||||
Advance Auto Parts | 26,882 | $ | 3,502,725 | |||||
Bed Bath & Beyond † | 23,447 | 1,543,516 | ||||||
Coach | 205,155 | 7,305,570 | ||||||
Comcast Special Class A | 135,223 | 7,234,432 | ||||||
Copa Holdings Class A (Panama) | 33,236 | 3,565,890 | ||||||
Delphi Automotive | 76,046 | 4,664,662 | ||||||
Disney (Walt) | 71,071 | 6,327,451 | ||||||
Hasbro | 50,496 | 2,777,028 | ||||||
Johnson Controls | 131,807 | 5,799,508 | ||||||
Kohl’s | 26,506 | 1,617,661 | ||||||
Mattel | 29,903 | 916,527 | ||||||
McDonald’s | 67,770 | 6,425,274 | ||||||
Omnicom Group | 100,263 | 6,904,110 | ||||||
Ross Stores | 159,728 | 12,072,242 | ||||||
Staples | 203,490 | 2,462,229 | ||||||
Target | 144,233 | 9,040,524 | ||||||
Time † | 7,027 | 164,643 | ||||||
Time Warner | 67,271 | 5,059,452 | ||||||
TJX | 303,337 | 17,948,450 | ||||||
Verisk Analytics Class A † | 102,773 | 6,257,848 | ||||||
Viacom Class B | 55,983 | 4,307,332 | ||||||
Yum Brands | 153,866 | 11,075,275 | ||||||
|
| |||||||
126,972,349 | ||||||||
|
| |||||||
Consumer Staples – 12.19% |
| |||||||
Altria Group | 430,098 | 19,758,702 | ||||||
Campbell Soup | 243,255 | 10,394,286 | ||||||
Colgate-Palmolive | 230,067 | 15,004,970 | ||||||
CVS Health | 152,091 | 12,104,923 | ||||||
Danone (France) | 69,883 | 4,678,268 | ||||||
Diageo (United Kingdom) | 309,010 | 8,941,709 | ||||||
Dr Pepper Snapple Group | 56,739 | 3,648,885 | ||||||
General Mills | 183,833 | 9,274,375 | ||||||
Imperial Tobacco Group | 30,630 | 1,322,790 | ||||||
Kellogg | 254,585 | 15,682,436 | ||||||
Lorillard | 108,832 | 6,520,125 | ||||||
Nestle (Switzerland) | 147,417 | 10,848,001 | ||||||
Philip Morris International | 407,133 | 33,954,892 | ||||||
Procter & Gamble | 40,034 | 3,352,447 | ||||||
|
| |||||||
155,486,809 | ||||||||
|
| |||||||
Energy – 11.88% | ||||||||
Apache | 166,003 | 15,582,702 | ||||||
Atwood Oceanics † | 150,188 | 6,561,714 | ||||||
Chevron | 86,959 | 10,375,948 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Energy (continued) |
| |||||||
ConocoPhillips | 168,520 | $ | 12,895,150 | |||||
Continental Resources † | 208,086 | 13,833,557 | ||||||
EOG Resources | 23,740 | 2,350,735 | ||||||
Exxon Mobil | 274,099 | 25,779,011 | ||||||
Marathon Petroleum | 197,828 | 16,750,097 | ||||||
Oasis Petroleum † | 260,840 | 10,905,720 | ||||||
Occidental Petroleum | 88,731 | 8,531,486 | ||||||
Oil States International † | 105,037 | 6,501,790 | ||||||
SM Energy | 196,147 | 15,299,466 | ||||||
Valero Energy | 133,918 | 6,196,386 | ||||||
|
| |||||||
151,563,762 | ||||||||
|
| |||||||
Financials – 22.20% |
| |||||||
ACE (Switzerland) | 65,378 | 6,856,191 | ||||||
AFLAC | 269,633 | 15,706,122 | ||||||
Aon (United Kingdom) | 74,694 | 6,548,423 | ||||||
Apartment Investment & Management | 411,776 | 13,102,712 | ||||||
Bank of New York Mellon | 204,526 | 7,921,292 | ||||||
BlackRock | 18,293 | 6,005,958 | ||||||
CBOE Holdings | 328,248 | 17,569,474 | ||||||
Chubb | 49,830 | 4,538,516 | ||||||
Citigroup | 31,847 | 1,650,312 | ||||||
Discover Financial Services | 272,563 | 17,550,332 | ||||||
Eaton Vance | 297,475 | 11,223,732 | ||||||
Franklin Resources | 151,211 | 8,257,633 | ||||||
Goldman Sachs Group | 66,731 | 12,249,810 | ||||||
JPMorgan Chase | 452,189 | 27,239,865 | ||||||
McGraw Hill Financial | 196,845 | 16,623,560 | ||||||
MetLife | 224,659 | 12,068,681 | ||||||
Moody’s | 151,849 | 14,349,732 | ||||||
NASDAQ OMX Group | 94,655 | 4,015,265 | ||||||
Nationstar Mortgage Holdings † | 205,155 | 7,024,507 | ||||||
PNC Financial Services Group | 53,253 | 4,557,392 | ||||||
Prudential Financial | 72,004 | 6,332,032 | ||||||
State Street | 81,592 | 6,005,987 | ||||||
Travelers | 117,662 | 11,053,168 | ||||||
US Bancorp | 249,735 | 10,446,415 | ||||||
Waddell & Reed Financial Class A | 257,909 | 13,331,316 | ||||||
Wells Fargo | 402,050 | 20,854,334 | ||||||
|
| |||||||
283,082,761 | ||||||||
|
| |||||||
Healthcare – 11.43% | ||||||||
Abbott Laboratories | 180,200 | 7,494,518 | ||||||
AmerisourceBergen | 177,313 | 13,706,295 | ||||||
Covidien (Ireland) | 61,122 | 5,287,664 |
52
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
Healthcare (continued) |
| |||||||
Express Scripts Holding † | 83,735 | $ | 5,914,203 | |||||
Gilead Sciences † | 149,470 | 15,911,082 | ||||||
Johnson & Johnson | 223,272 | 23,798,562 | ||||||
Medtronic | 119,547 | 7,405,937 | ||||||
Merck | 112,439 | 6,665,384 | ||||||
Mylan † | 319,456 | 14,532,053 | ||||||
Novartis (Switzerland) | 22,875 | 2,160,144 | ||||||
Pfizer | 607,971 | 17,977,702 | ||||||
Quest Diagnostics | 10,193 | 618,511 | ||||||
Roche Holding (Switzerland) | 6,508 | 1,929,937 | ||||||
St. Jude Medical | 70,166 | 4,219,082 | ||||||
Thermo Fisher Scientific | 47,117 | 5,734,139 | ||||||
United Therapeutics † | 95,250 | 12,253,913 | ||||||
Zoetis | 5,338 | 197,239 | ||||||
|
| |||||||
145,806,365 | ||||||||
|
| |||||||
Industrials – 12.41% |
| |||||||
3M | 90,824 | 12,867,944 | ||||||
Canadian National Railway (Canada) | 67,689 | 4,803,211 | ||||||
Caterpillar | 136,281 | 13,495,907 | ||||||
Danaher | 100,450 | 7,632,191 | ||||||
Eaton (Ireland) | 83,232 | 5,274,412 | ||||||
Honeywell International | 125,645 | 11,700,062 | ||||||
Illinois Tool Works | 32,170 | 2,715,791 | ||||||
Lockheed Martin | 189,763 | 34,684,881 | ||||||
Northrop Grumman | 39,676 | 5,227,710 | ||||||
Pentair (United Kingdom) | 39,091 | 2,560,070 | ||||||
Rockwell Collins | 148,005 | 11,618,393 | ||||||
Stanley Black & Decker | 46,641 | 4,141,254 | ||||||
Tyco International (Switzerland) | 146,377 | 6,524,023 | ||||||
United Parcel Service Class B | 215,952 | 21,225,922 | ||||||
United Technologies | 130,313 | 13,761,053 | ||||||
|
| |||||||
158,232,824 | ||||||||
|
| |||||||
Information Technology – 10.19% |
| |||||||
Accenture Class A (Ireland) | 168,492 | 13,701,769 | ||||||
Apple | 215,413 | 21,702,860 | ||||||
Fidelity National Information Services | 53,248 | 2,997,862 | ||||||
Fiserv † | 64,924 | 4,196,363 | ||||||
International Business Machines | 137,960 | 26,188,947 | ||||||
Microsoft | 361,953 | 16,780,141 | ||||||
Oracle | 185,416 | 7,097,724 | ||||||
Texas Instruments | 99,793 | 4,759,128 | ||||||
Western Digital | 189,036 | 18,396,984 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
Western Union | 882,424 | $ | 14,154,081 | |||||
|
| |||||||
129,975,859 | ||||||||
|
| |||||||
Materials – 4.11% |
| |||||||
CF Industries Holdings | 48,358 | 13,502,521 | ||||||
Crown Holdings † | 65,887 | 2,933,289 | ||||||
LyondellBasell Industries | 124,558 | 13,534,472 | ||||||
NewMarket | 35,169 | 13,400,092 | ||||||
PPG Industries | 42,763 | 8,413,193 | ||||||
Valspar | 7,973 | 629,787 | ||||||
|
| |||||||
52,413,354 | ||||||||
|
| |||||||
Telecommunication Services – 1.88% |
| |||||||
AT&T | 54,155 | 1,908,422 | ||||||
Verizon Communications | 369,628 | 18,477,704 | ||||||
Vodafone Group (United Kingdom) | 1,070,621 | 3,547,533 | ||||||
|
| |||||||
23,933,659 | ||||||||
|
| |||||||
Utilities – 0.62% | ||||||||
AES | 402,984 | 5,714,313 | ||||||
Duke Energy | 28,777 | 2,151,656 | ||||||
|
| |||||||
7,865,969 | ||||||||
|
| |||||||
Total Common Stock |
| 1,235,333,711 | ||||||
|
| |||||||
| ||||||||
Convertible Preferred Stock – 0.04% |
| |||||||
| ||||||||
United Technologies 7.50% exercise price $98.52, expiration date 8/1/15 | 7,480 | 440,497 | ||||||
|
| |||||||
Total Convertible Preferred Stock |
| 440,497 | ||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 3.13% |
| |||||||
| ||||||||
Discount Notes – 0.36%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.025% 11/13/14 | 607,869 | 607,867 | ||||||
0.043% 11/19/14 | 3,001,837 | 3,001,825 | ||||||
0.077% 11/14/14 | 980,141 | 980,137 | ||||||
|
| |||||||
4,589,829 | ||||||||
|
|
(continues) 53
Table of Contents
Schedules of investments
Optimum Large Cap Value Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements – 2.58% |
| |||||||
Bank of America Merrill Lynch | 14,259,937 | $ | 14,259,937 | |||||
Bank of Montreal | 4,753,312 | 4,753,312 | ||||||
BNP Paribas | 13,835,751 | 13,835,751 | ||||||
|
| |||||||
32,849,000 | ||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
U.S. Treasury Obligations – 0.19%≠ |
| |||||||
U.S. Treasury Bills | ||||||||
0.005% 12/26/14 | 1,689,051 | $ | 1,689,011 | |||||
0.093% 11/13/14 | 759,216 | 759,207 | ||||||
|
| |||||||
2,448,218 | ||||||||
|
| |||||||
Total Short-Term Investments |
| 39,887,047 | ||||||
|
| |||||||
Total Value of Securities – 100.04% |
| $ | 1,275,661,255 | |||||
|
|
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
See accompanying notes, which are an integral part of the financial statements.
54
Table of Contents
Optimum Small-Mid Cap Growth Fund
September 30, 2014 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 94.08% |
| |||||||
| ||||||||
Consumer Discretionary – 14.46% |
| |||||||
Bloomin’ Brands † | 103,147 | $ | 1,891,716 | |||||
Buffalo Wild Wings † | 17,609 | 2,364,360 | ||||||
Casey’s General Stores | 35,887 | 2,573,098 | ||||||
Choice Hotels International | 40,000 | 2,080,000 | ||||||
Diamond Resorts International † | 116,899 | 2,660,621 | ||||||
Domino’s Pizza | 20,000 | 1,539,200 | ||||||
Dorman Products † | 37,369 | 1,497,002 | ||||||
Fiesta Restaurant Group † | 40,000 | 1,987,200 | ||||||
Gentherm † | 37,204 | 1,571,125 | ||||||
GNC Holdings | 20,000 | 774,800 | ||||||
HSN | 46,587 | 2,859,044 | ||||||
IMAX (Canada) † | 89,772 | 2,465,139 | ||||||
Jarden † | 30,000 | 1,803,300 | ||||||
KAR Auction Services | 60,000 | 1,717,800 | ||||||
Kate Spade † | 61,058 | 1,601,551 | ||||||
LKQ † | 210,000 | 5,583,900 | ||||||
Michaels † | 55,000 | 961,400 | ||||||
Panera Bread Class A † | 12,291 | 1,999,992 | ||||||
Papa John’s International | 27,000 | 1,079,730 | ||||||
Pier 1 Imports | 95,000 | 1,129,550 | ||||||
Pool | 45,000 | 2,426,400 | ||||||
PVH | 22,000 | 2,665,300 | ||||||
Red Robin Gourmet Burgers † | 37,554 | 2,136,823 | ||||||
Samsonite International | 608,830 | 1,960,212 | ||||||
Select Comfort † | 37,000 | 774,040 | ||||||
Shutterfly † | 23,383 | 1,139,687 | ||||||
Skechers U.S.A. Class A † | 40,917 | 2,181,285 | ||||||
Standard Pacific † | 298,373 | 2,234,814 | ||||||
Taylor Morrison Home Class A † | 76,258 | 1,236,905 | ||||||
Tenneco † | 46,484 | 2,431,578 | ||||||
Tuesday Morning † | 98,868 | 1,918,534 | ||||||
Vail Resorts | 49,000 | 4,251,240 | ||||||
Vince Holding † | 71,692 | 2,169,400 | ||||||
Williams-Sonoma | 30,000 | 1,997,100 | ||||||
Zalando (Germany) 144A #† | 5,568 | 151,208 | ||||||
Zulily Class A Class CL A † | 45,800 | 1,735,362 | ||||||
|
| |||||||
71,550,416 | ||||||||
|
| |||||||
Consumer Staples – 2.67% |
| |||||||
B&G Foods | 38,000 | 1,046,900 | ||||||
Boulder Brands † | 75,000 | 1,022,250 | ||||||
Chefs’ Warehouse † | 86,000 | 1,398,360 | ||||||
Fresh Market † | 115,000 | 4,016,950 | ||||||
Prestige Brands Holdings † | 42,000 | 1,359,540 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Consumer Staples (continued) |
| |||||||
Spectrum Brands Holdings | 20,525 | $ | 1,858,128 | |||||
United Natural Foods † | 41,000 | 2,519,860 | ||||||
|
| |||||||
13,221,988 | ||||||||
|
| |||||||
Energy – 4.42% |
| |||||||
Athlon Energy † | 44,388 | 2,584,713 | ||||||
Carrizo Oil & Gas † | 35,000 | 1,883,700 | ||||||
Clayton Williams Energy † | 17,000 | 1,639,650 | ||||||
Diamondback Energy † | 28,426 | 2,125,696 | ||||||
Energen | 12,000 | 866,880 | ||||||
FMC Technologies † | 22,000 | 1,194,820 | ||||||
Gulfport Energy † | 22,000 | 1,174,800 | ||||||
Hornbeck Offshore Services † | 27,000 | 883,710 | ||||||
Laredo Petroleum Holdings † | 15,172 | 340,004 | ||||||
Parsley Energy Class A † | 22,000 | 469,260 | ||||||
PDC Energy † | 13,000 | 653,770 | ||||||
Real Goods Solar Class A † | 225,000 | 387,000 | ||||||
Rice Energy † | 7,500 | 199,500 | ||||||
Rosetta Resources † | 43,000 | 1,916,080 | ||||||
Rowan | 15,000 | 379,650 | ||||||
RSP Permian † | 91,940 | 2,349,986 | ||||||
SM Energy | 27,000 | 2,106,000 | ||||||
WPX Energy † | 30,000 | 721,800 | ||||||
|
| |||||||
21,877,019 | ||||||||
|
| |||||||
Financials – 11.22% |
| |||||||
Allied World Assurance | ||||||||
Holdings (Switzerland) | 30,000 | 1,105,200 | ||||||
Associated Banc-Corp | 110,000 | 1,916,200 | ||||||
Assured Guaranty (Bermuda) | 73,508 | 1,628,937 | ||||||
Berkshire Hills Bancorp | 17,500 | 411,075 | ||||||
Blackhawk Network Holdings † | 79,000 | 2,551,700 | ||||||
Brown & Brown | 32,000 | 1,028,800 | ||||||
City National | 27,000 | 2,043,090 | ||||||
CoreSite Realty | 50,000 | 1,643,500 | ||||||
DCT Industrial Trust | 255,000 | 1,915,050 | ||||||
Douglas Emmett | 55,930 | 1,435,723 | ||||||
Education Realty Trust | 315,000 | 3,238,200 | ||||||
Enstar Group (Bermuda) † | 12,000 | 1,635,840 | ||||||
Extra Space Storage | 55,000 | 2,836,350 | ||||||
Financial Engines | 26,544 | 908,203 | ||||||
First Busey | 177,800 | 990,346 | ||||||
First Commonwealth Financial | 83,000 | 696,370 | ||||||
HFF Class A | 84,119 | 2,435,245 | ||||||
Kennedy-Wilson Holdings | 106,442 | 2,550,350 | ||||||
Kite Realty Group Trust | 60,000 | 1,454,400 |
(continues) 55
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Financials (continued) |
| |||||||
Lakeland Financial | 40,000 | $ | 1,500,000 | |||||
MB Financial | 53,000 | 1,467,040 | ||||||
PacWest Bancorp | 68,116 | 2,808,423 | ||||||
Pebblebrook Hotel Trust | 43,854 | 1,637,508 | ||||||
Post Properties | 46,000 | 2,361,640 | ||||||
Sandy Spring Bancorp | 43,000 | 984,270 | ||||||
SEI Investments | 79,000 | 2,856,640 | ||||||
St. Joe † | 50,000 | 996,500 | ||||||
SVB Financial Group † | 20,000 | 2,241,800 | ||||||
Virtus Investment Partners | 10,606 | 1,842,262 | ||||||
WisdomTree Investments † | 94,959 | 1,080,633 | ||||||
WL Ross Holding † | 72,300 | 774,333 | ||||||
World Acceptance † | 12,766 | 861,705 | ||||||
Xoom † | 76,646 | 1,682,380 | ||||||
|
| |||||||
55,519,713 | ||||||||
|
| |||||||
Healthcare – 14.55% |
| |||||||
Abaxis | 7,183 | 364,250 | ||||||
Acadia Healthcare † | 66,497 | 3,225,105 | ||||||
Aerie Pharmaceuticals † | 32,582 | 674,122 | ||||||
Akorn † | 81,000 | 2,937,870 | ||||||
Allscripts Healthcare Solutions † | 113,300 | 1,519,919 | ||||||
Alnylam Pharmaceuticals † | 28,032 | 2,189,299 | ||||||
Anacor Pharmaceuticals † | 63,961 | 1,565,126 | ||||||
BioCryst Pharmaceuticals † | 98,551 | 963,829 | ||||||
Celldex Therapeutics † | 53,700 | 695,952 | ||||||
Cepheid † | 102,400 | 4,508,672 | ||||||
Covance † | 34,274 | 2,697,364 | ||||||
Cubist Pharmaceuticals † | 29,926 | 1,985,291 | ||||||
DexCom † | 68,755 | 2,749,512 | ||||||
Envision Healthcare Holdings † | 111,020 | 3,850,174 | ||||||
ExamWorks Group † | 81,631 | 2,673,415 | ||||||
HealthSouth | 25,000 | 922,500 | ||||||
HeartWare International † | 32,788 | 2,545,332 | ||||||
Hyperion Therapeutics † | 45,969 | 1,159,338 | ||||||
Insulet † | 77,536 | 2,857,202 | ||||||
Intercept Pharmaceuticals † | 2,000 | 473,380 | ||||||
Intersect ENT † | 32,249 | 499,859 | ||||||
Ironwood Pharmaceuticals † | 62,063 | 804,026 | ||||||
Medicines † | 40,505 | 904,072 | ||||||
Mettler-Toledo International † | 20,000 | 5,122,600 | ||||||
NPS Pharmaceuticals † | 80,185 | 2,084,810 | ||||||
Portola Pharmaceuticals † | 60,183 | 1,521,426 | ||||||
PTC Therapeutics † | 33,619 | 1,479,572 | ||||||
Revance Therapeutics † | 6,000 | 115,980 | ||||||
Salix Pharmaceuticals † | 15,148 | 2,366,724 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Healthcare (continued) |
| |||||||
Sarepta Therapeutics † | 43,000 | $ | 907,300 | |||||
Seattle Genetics † | 88,093 | 3,275,298 | ||||||
Sirona Dental Systems † | 21,000 | 1,610,280 | ||||||
Synageva BioPharma † | 51,000 | 3,507,780 | ||||||
Team Health Holdings † | 34,226 | 1,984,766 | ||||||
Techne @ | 26,000 | 2,432,300 | ||||||
TESARO † | 55,056 | 1,482,108 | ||||||
Ultragenyx Pharmaceutical † | 9,862 | 558,189 | ||||||
Wright Medical Group † | 25,000 | 757,500 | ||||||
|
| |||||||
71,972,242 | ||||||||
|
| |||||||
Industrials – 23.90% |
| |||||||
Acuity Brands | 47,235 | 5,560,032 | ||||||
AECOM Technology † | 98,391 | 3,320,696 | ||||||
Altra Industrial Motion @ | 101,446 | 2,958,165 | ||||||
AMETEK | 115,000 | 5,774,150 | ||||||
Applied Industrial Technologies | 63,407 | 2,894,530 | ||||||
Astronics † | 33,312 | 1,588,297 | ||||||
Avis Budget Group † | 80,000 | 4,391,200 | ||||||
Belden | 21,000 | 1,344,420 | ||||||
CAI International † | 53,000 | 1,025,550 | ||||||
Chart Industries † | 22,000 | 1,344,860 | ||||||
Chicago Bridge & Iron (Netherlands) | 23,000 | 1,330,550 | ||||||
Clean Harbors † | 37,242 | 2,008,089 | ||||||
Cognex † | 64,508 | 2,597,737 | ||||||
DigitalGlobe † | 88,730 | 2,528,805 | ||||||
Donaldson | 150,000 | 6,094,500 | ||||||
ESCO Technologies | 47,000 | 1,634,660 | ||||||
Forward Air | 24,000 | 1,075,920 | ||||||
Generac Holdings † | 123,295 | 4,998,379 | ||||||
HD Supply Holdings † | 120,854 | 3,294,480 | ||||||
HEICO Class A | 75,000 | 3,022,500 | ||||||
Hertz Global Holdings † | 38,900 | 987,671 | ||||||
Interface | 90,000 | 1,452,600 | ||||||
Kennametal | 41,000 | 1,693,710 | ||||||
Kirby † | 12,000 | 1,414,200 | ||||||
Knoll | 65,000 | 1,125,150 | ||||||
Landstar System | 50,145 | 3,619,968 | ||||||
McGrath RentCorp | 31,000 | 1,060,200 | ||||||
Middleby † | 30,000 | 2,643,900 | ||||||
Moog Class A † | 66,639 | 4,558,108 | ||||||
MRC Global † | 40,000 | 932,800 | ||||||
Nordson | 80,000 | 6,085,600 | ||||||
Old Dominion Freight Line † | 31,918 | 2,254,688 | ||||||
Orbital Sciences † | 95,387 | 2,651,759 |
56
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Industrials (continued) |
| |||||||
Oshkosh | 22,000 | $ | 971,300 | |||||
PGT † | 85,000 | 792,200 | ||||||
RPX † | 34,000 | 466,820 | ||||||
Rush Enterprises Class A † | 57,000 | 1,906,650 | ||||||
Spirit Airlines † | 33,813 | 2,337,831 | ||||||
SunPower † | 61,882 | 2,096,562 | ||||||
Swift Transportation † | 123,089 | 2,582,407 | ||||||
Teledyne Technologies † | 20,190 | 1,898,062 | ||||||
Textainer Group Holdings (Bermuda) | 18,510 | 576,031 | ||||||
Thermon Group Holdings @† | 47,740 | 1,165,811 | ||||||
Toro | 35,000 | 2,073,050 | ||||||
TrueBlue † | 107,695 | 2,720,376 | ||||||
WageWorks † | 33,266 | 1,514,601 | ||||||
Watts Water Technologies Class A | 54,085 | 3,150,451 | ||||||
WESCO International † | 59,888 | 4,686,835 | ||||||
|
| |||||||
118,206,861 | ||||||||
|
| |||||||
Information Technology – 18.65% |
| |||||||
Amber Road † | 65,000 | 1,127,100 | ||||||
Amphenol Class A | 28,400 | 2,836,024 | ||||||
ANSYS † | 53,000 | 4,010,510 | ||||||
Atmel † | 173,000 | 1,397,840 | ||||||
Bankrate † | 50,000 | 568,000 | ||||||
Castlight Health Class B † | 12,000 | 155,280 | ||||||
CommVault Systems † | 10,000 | 504,000 | ||||||
Concur Technologies † | 4,550 | 577,031 | ||||||
Constant Contact † | 86,893 | 2,358,276 | ||||||
CoStar Group † | 13,044 | 2,028,864 | ||||||
Dealertrack Technologies † | 39,708 | 1,723,724 | ||||||
Demandware † | 43,323 | 2,206,007 | ||||||
E2open † | 46,000 | 428,260 | ||||||
Envestnet † | 28,717 | 1,292,265 | ||||||
Exa † | 27,998 | 315,817 | ||||||
ExlService Holdings † | 80,000 | 1,952,800 | ||||||
F5 Networks † | 17,000 | 2,018,580 | ||||||
FleetMatics Group (Ireland) † | 58,471 | 1,783,365 | ||||||
FLIR Systems | 55,000 | 1,723,700 | ||||||
Freescale Semiconductor † | 68,610 | 1,339,953 | ||||||
Heartland Payment Systems @ | 61,445 | 2,932,155 | ||||||
Infinera † | 152,000 | 1,621,840 | ||||||
Informatica † | 90,000 | 3,081,600 | ||||||
IPG Photonics † | 41,000 | 2,819,980 | ||||||
Ixia † | 48,000 | 438,720 | ||||||
Lattice Semiconductor † | 148,447 | 1,113,353 | ||||||
Marketo † | 57,542 | 1,858,607 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
MAXIMUS | 38,034 | $ | 1,526,304 | |||||
Medidata Solutions † | 22,000 | 974,380 | ||||||
Nimble Storage † | 49,978 | 1,297,929 | ||||||
Pandora Media † | 30,000 | 724,800 | ||||||
Power Integrations | 37,142 | 2,002,325 | ||||||
PTC † | 60,447 | 2,230,494 | ||||||
RealPage † | 36,000 | 558,000 | ||||||
Rogers † | 25,000 | 1,369,000 | ||||||
Shutterstock † | 30,686 | 2,190,367 | ||||||
Silicon Laboratories † | 29,539 | 1,200,465 | ||||||
Solera Holdings | 25,000 | 1,409,000 | ||||||
SPS Commerce † | 50,000 | 2,657,500 | ||||||
Stratasys † | 10,000 | 1,207,800 | ||||||
SunEdison † | 93,110 | 1,757,917 | ||||||
Telogis @= | 185,242 | 129,669 | ||||||
Textura † | 22,265 | 587,796 | ||||||
Tyler Technologies † | 30,132 | 2,663,669 | ||||||
Ultratech † | 28,000 | 637,000 | ||||||
Veeva Systems Class A † | 109,216 | 3,076,615 | ||||||
Verint Systems † | 60,378 | 3,357,621 | ||||||
Virtusa † | 153,262 | 5,449,997 | ||||||
WEX † | 24,515 | 2,704,495 | ||||||
WNS Holdings ADR † | 281,964 | 6,347,010 | ||||||
Yelp † | 28,729 | 1,960,754 | ||||||
|
| |||||||
92,234,558 | ||||||||
|
| |||||||
Materials – 2.78% |
| |||||||
Airgas | 36,000 | 3,983,400 | ||||||
Caesarstone Sdot-Yam (Israel) | 39,443 | 2,038,414 | ||||||
Drew Industries | 45,000 | 1,898,550 | ||||||
Headwaters † | 170,517 | 2,138,283 | ||||||
KapStone Paper & Packaging † | 31,159 | 871,517 | ||||||
Platform Specialty Products † | 113,716 | 2,845,174 | ||||||
|
| |||||||
13,775,338 | ||||||||
|
| |||||||
Telecommunication Services – 1.43% |
| |||||||
Boingo Wireless † | 75,000 | 534,750 | ||||||
CalAmp † | 49,000 | 863,380 | ||||||
SBA Communications Class A † | 19,000 | 2,107,100 | ||||||
Ubiquiti Networks † | 46,396 | 1,741,242 | ||||||
Vonage Holdings † | 555,000 | 1,820,400 | ||||||
|
| |||||||
7,066,872 | ||||||||
|
| |||||||
Total Common Stock |
| 465,425,007 | ||||||
|
|
(continues) 57
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Convertible Preferred Stock – 1.76% |
| |||||||
| ||||||||
Cloudera@= | 30,243 | $ | 655,668 | |||||
DocuSign | ||||||||
Series B @= | 1,166 | 18,166 | ||||||
Series B-1 @= | 349 | 5,437 | ||||||
Series D @= | 838 | 13,056 | ||||||
Series E @= | 21,664 | 337,525 | ||||||
Mobileye Series F2= | 129,645 | 6,600,292 | ||||||
Telogis@= | 252,269 | 1,064,575 | ||||||
|
| |||||||
Total Convertible Preferred Stock |
| 8,694,719 | ||||||
|
| |||||||
| ||||||||
Preferred Stock – 0.47% |
| |||||||
| ||||||||
Apigee Series H = | 256,001 | 778,243 | ||||||
Nutanix @= | 40,185 | 484,505 | ||||||
Pure Storage = | 36,123 | 539,678 | ||||||
Veracode Series 8 @= | 30,584 | 508,285 | ||||||
|
| |||||||
Total Preferred Stock |
| 2,310,711 | ||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 3.78% |
| |||||||
| ||||||||
Discount Notes – 1.10%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.025% 11/13/14 | 598,730 | 598,728 | ||||||
0.043% 11/19/14 | 2,986,671 | 2,986,659 | ||||||
0.077% 11/14/14 | 1,873,346 | 1,873,339 | ||||||
|
| |||||||
5,458,726 | ||||||||
|
| |||||||
Repurchase Agreements – 1.74% |
| |||||||
Bank of America Merrill Lynch | 3,724,627 | 3,724,627 | ||||||
Bank of Montreal | 1,241,542 | 1,241,542 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements (continued) |
| |||||||
BNP Paribas | 3,613,831 | $ | 3,613,831 | |||||
|
| |||||||
8,580,000 | ||||||||
|
| |||||||
U.S. Treasury Obligations – 0.94%≠ |
| |||||||
U.S. Treasury Bills | ||||||||
0.005% 12/26/14 | 3,583,091 | 3,583,005 | ||||||
0.093% 11/13/14 | 1,060,609 | 1,060,597 | ||||||
|
| |||||||
4,643,602 | ||||||||
|
| |||||||
Total Short-Term Investments |
| 18,682,328 | ||||||
|
| |||||||
Total Value of Securities – 100.09% |
| $ | 495,112,765 | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Sept. 30, 2014, the aggregate value of Rule 144A securities was $151,208, which represents 0.03% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
@ | Illiquid security. At Sept. 30, 2014, the aggregate value of illiquid securities was $12,705,317, which represents 2.57% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At Sept. 30, 2014, the aggregate value of fair valued securities was $11,135,099, which represents 2.25% 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. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
58
Table of Contents
The following foreign currency exchange contracts were outstanding at Sept. 30, 2014:1
Foreign Currency Exchange Contract
Counterparty | Contract to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
GSC | EUR | 119,712 | USD | (151,244 | ) | 10/2/14 | $ | (34 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contract presented above represents 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 5 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
EUR – European Monetary Unit
GSC – Goldman Sachs International
USD – United States Dollar
See accompanying notes, which are an integral part of the financial statements.
(continues) 59
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Value Fund
September 30, 2014 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 89.28% |
| |||||||
| ||||||||
Consumer Discretionary – 10.50% | ||||||||
AMC Networks Class A † | 54,100 | $ | 3,160,522 | |||||
Ascena Retail Group † | 168,000 | 2,234,400 | ||||||
bebe stores | 737,455 | 1,710,896 | ||||||
Callaway Golf | 474,860 | 3,437,986 | ||||||
Christopher & Banks † | 32,253 | 318,982 | ||||||
Coach | 25,000 | 890,250 | ||||||
Crocs † | 229,800 | 2,890,884 | ||||||
Express † | 188,400 | 2,940,924 | ||||||
Finish Line Class A | 59,000 | 1,476,770 | ||||||
Foot Locker | 22,600 | 1,257,690 | ||||||
Hooker Furniture | 143,694 | 2,185,586 | ||||||
LeapFrog Enterprises † | 393,700 | 2,358,263 | ||||||
Lear | 19,300 | 1,667,713 | ||||||
Life Time Fitness † | 84,700 | 4,272,268 | ||||||
Lithia Motors Class A | 23,400 | 1,771,146 | ||||||
Meredith | 45,300 | 1,938,840 | ||||||
Pier 1 Imports | 153,000 | 1,819,170 | ||||||
Rent-A-Center | 59,700 | 1,811,895 | ||||||
Ruth’s Hospitality Group | 135,257 | 1,493,237 | ||||||
SeaWorld Entertainment | 27,500 | 528,825 | ||||||
Spartan Motors | 510,538 | 2,384,212 | ||||||
Stage Stores | 55,000 | 941,050 | ||||||
Staples | 321,000 | 3,884,100 | ||||||
Tupperware Brands | 22,900 | 1,581,016 | ||||||
Winnebago Industries † | 66,143 | 1,439,933 | ||||||
|
| |||||||
50,396,558 | ||||||||
|
| |||||||
Energy – 7.92% | ||||||||
Boardwalk Pipeline Partners | 100,000 | 1,870,000 | ||||||
Bonanza Creek Energy † | 37,100 | 2,110,990 | ||||||
Cloud Peak Energy † | 212,510 | 2,681,876 | ||||||
CONSOL Energy | 74,000 | 2,801,640 | ||||||
Energy XXI (Bermuda) | 203,000 | 2,304,050 | ||||||
Frank’s International (Netherlands) | 91,000 | 1,701,700 | ||||||
Gulf Island Fabrication | 110,875 | 1,907,050 | ||||||
Hallador Energy | 162,876 | 1,928,452 | ||||||
McDermott International † | 60,500 | 346,060 | ||||||
Newpark Resources † | 298,403 | 3,712,133 | ||||||
Oasis Petroleum † | 62,200 | 2,600,582 | ||||||
Oil States International † | 21,500 | 1,330,850 | ||||||
PDC Energy † | 32,800 | 1,649,512 | ||||||
Primoris Services | 51,900 | 1,392,996 | ||||||
Rex Energy † | 172,253 | 2,182,446 | ||||||
VAALCO Energy † | 543,756 | 4,621,926 | ||||||
Warren Resources † | 303,936 | 1,610,861 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Energy (continued) | ||||||||
Weatherford International (Switzerland) † | 60,000 | $ | 1,248,000 | |||||
|
| |||||||
38,001,124 | ||||||||
|
| |||||||
Financials – 7.73% | ||||||||
Alexandria Real Estate Equities | 43,192 | 3,185,410 | ||||||
BankUnited | 108,200 | 3,299,018 | ||||||
Cedar Realty Trust | 526,776 | 3,107,978 | ||||||
Comerica | 30,100 | 1,500,786 | ||||||
DiamondRock Hospitality | 127,700 | 1,619,236 | ||||||
Dime Community Bancshares | 208,303 | 2,999,563 | ||||||
East West Bancorp | 42,900 | 1,458,600 | ||||||
First Financial Bancorp @ | 125,100 | 1,980,333 | ||||||
Hallmark Financial Services † | 297,778 | 3,070,091 | ||||||
Inland Real Estate | 143,200 | 1,419,112 | ||||||
Potlatch | 48,903 | 1,966,390 | ||||||
PrivateBancorp | 106,400 | 3,182,424 | ||||||
SVB Financial Group † | 30,500 | 3,418,745 | ||||||
Wintrust Financial | 64,900 | 2,899,083 | ||||||
XL Group (Ireland) | 60,000 | 1,990,200 | ||||||
|
| |||||||
37,096,969 | ||||||||
|
| |||||||
Healthcare – 4.75% | ||||||||
CareFusion † | 93,400 | 4,226,350 | ||||||
Haemonetics † | 53,800 | 1,878,696 | ||||||
Hospira † | 64,700 | 3,366,341 | ||||||
Integra Lifesciences Holdings † | 35,200 | 1,747,328 | ||||||
Mednax † | 50,800 | 2,784,856 | ||||||
Myriad Genetics † | 129,400 | 4,990,958 | ||||||
Premier Class A † | 44,200 | 1,452,412 | ||||||
Teleflex | 22,700 | 2,384,408 | ||||||
|
| |||||||
22,831,349 | ||||||||
|
| |||||||
Industrials – 24.42% | ||||||||
Aaon | 70,560 | 1,200,226 | ||||||
ACCO Brands † | 328,000 | 2,263,200 | ||||||
Acuity Brands | 14,800 | 1,742,108 | ||||||
Advanced Energy Industries | 175,925 | 3,305,631 | ||||||
Aegion † | 96,000 | 2,136,000 | ||||||
AMETEK | 52,875 | 2,654,854 | ||||||
Apogee Enterprises | 49,200 | 1,958,160 | ||||||
Avery Dennison | 89,000 | 3,973,850 | ||||||
B/E Aerospace † | 33,400 | 2,803,596 | ||||||
Beacon Roofing Supply † | 50,779 | 1,293,849 | ||||||
Boise Cascade † | 93,700 | 2,824,118 | ||||||
Brady Class A | 58,300 | 1,308,252 | ||||||
Carlisle | 30,800 | 2,475,704 |
60
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Industrials (continued) | ||||||||
Civeo | 63,000 | $ | 731,430 | |||||
Colfax † | 62,900 | 3,583,413 | ||||||
Crane | 33,300 | 2,104,893 | ||||||
Diana Shipping (Greece) † | 347,100 | 3,103,074 | ||||||
Dover | 51,700 | 4,153,061 | ||||||
Encore Wire | 59,397 | 2,203,035 | ||||||
Energizer Holdings | 30,200 | 3,720,942 | ||||||
Ennis | 166,790 | 2,196,624 | ||||||
Federal Signal | 27,000 | 357,480 | ||||||
FreightCar America | 132,372 | 4,407,988 | ||||||
Graham | 80,803 | 2,323,086 | ||||||
Granite Construction | 115,171 | 3,663,590 | ||||||
Harsco | 136,000 | 2,911,760 | ||||||
Houston Wire & Cable | 123,061 | 1,474,271 | ||||||
Hubbell Class B | 21,200 | 2,555,236 | ||||||
IDEX | 20,200 | 1,461,874 | ||||||
Joy Global | 69,800 | 3,806,892 | ||||||
Kennametal | 86,800 | 3,585,708 | ||||||
Knoll | 243,724 | 4,218,862 | ||||||
ManpowerGroup | 22,600 | 1,584,260 | ||||||
McGrath RentCorp | 95,476 | 3,265,279 | ||||||
PerkinElmer | 33,500 | 1,460,600 | ||||||
Robert Half International | 30,800 | 1,509,200 | ||||||
Rush Enterprises Class A † | 70,600 | 2,361,570 | ||||||
Stanley Black & Decker | 46,000 | 4,084,340 | ||||||
Timken | 62,500 | 2,649,375 | ||||||
Trex † | 40,800 | 1,410,456 | ||||||
TrueBlue † | 185,900 | 4,695,834 | ||||||
Tyco International (Switzerland) | 15,400 | 686,378 | ||||||
U.S. Ecology | 45,348 | 2,120,472 | ||||||
Watts Water Technologies Class A | 48,801 | 2,842,658 | ||||||
WESCO International † | 46,800 | 3,662,568 | ||||||
Woodward | 50,100 | 2,385,762 | ||||||
|
| |||||||
117,221,519 | ||||||||
|
| |||||||
Information Technology – 19.00% | ||||||||
Amdocs | 86,000 | 3,945,680 | ||||||
AVG Technologies (Netherlands) † | 209,200 | 3,468,536 | ||||||
Broadridge Financial Solutions | 71,500 | 2,976,545 | ||||||
Brooks Automation | 175,500 | 1,844,505 | ||||||
Cardtronics † | 110,000 | 3,872,000 | ||||||
Checkpoint Systems † | 134,600 | 1,646,158 | ||||||
Diebold | 23,500 | 830,020 | ||||||
Diodes † | 23,000 | 550,160 | ||||||
Equifax | 45,297 | 3,385,498 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Information Technology (continued) | ||||||||
Fairchild Semiconductor International † | 324,500 | $ | 5,039,485 | |||||
Flextronics International † | 582,000 | 6,006,240 | ||||||
FLIR Systems | 71,200 | 2,231,408 | ||||||
Harris | 16,100 | 1,069,040 | ||||||
Henry (Jack) & Associates | 26,200 | 1,458,292 | ||||||
IAC/InterActiveCorp | 63,500 | 4,184,650 | ||||||
Infineon Technologies (Germany) | 100,000 | 1,034,858 | ||||||
Ingram Micro Class A † | 126,000 | 3,252,060 | ||||||
j2 Global | 61,200 | 3,020,832 | ||||||
Jabil Circuit | 191,000 | 3,852,470 | ||||||
KEMET † | 220,000 | 906,400 | ||||||
Mercury Systems † | 174,629 | 1,922,665 | ||||||
Methode Electronics | 105,540 | 3,891,260 | ||||||
Micrel | 308,111 | 3,706,575 | ||||||
ModusLink Global Solutions † | 190,848 | 681,327 | ||||||
ON Semiconductor † | 269,200 | 2,406,648 | ||||||
Plexus † | 112,302 | 4,147,313 | ||||||
Rudolph Technologies † | 244,342 | 2,211,295 | ||||||
ScanSource † | 71,636 | 2,477,889 | ||||||
Silicon Image † | 592,018 | 2,983,771 | ||||||
Synaptics † | 32,975 | 2,413,770 | ||||||
Teradyne | 192,100 | 3,724,819 | ||||||
Unisys † | 164,287 | 3,845,959 | ||||||
Vishay Intertechnology | 106,200 | 1,517,598 | ||||||
Xcerra † | 70,300 | 688,237 | ||||||
|
| |||||||
91,193,963 | ||||||||
|
| |||||||
Materials – 12.88% | ||||||||
Allegheny Technologies | 57,000 | 2,114,700 | ||||||
Ashland | 25,100 | 2,612,910 | ||||||
Cabot | 44,000 | 2,233,880 | ||||||
Carpenter Technology | 62,000 | 2,799,300 | ||||||
Celanese Class A | 14,500 | 848,540 | ||||||
Chemtura † | 83,000 | 1,936,390 | ||||||
Deltic Timber | 40,378 | 2,516,357 | ||||||
Eastman Chemical | 46,600 | 3,769,474 | ||||||
Fuller (H.B.) | 59,000 | 2,342,300 | ||||||
Intrepid Potash † | 224,400 | 3,466,980 | ||||||
KMG Chemicals | 218,001 | 3,549,056 | ||||||
Landec † | 270,234 | 3,310,367 | ||||||
MeadWestvaco | 20,600 | 843,364 | ||||||
Minerals Technologies | 65,800 | 4,060,518 | ||||||
Olympic Steel | 140,161 | 2,883,112 | ||||||
Owens-Illinois † | 97,000 | 2,526,850 | ||||||
PolyOne | 119,000 | 4,234,020 |
(continues) 61
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Value Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) | ||||||||
| ||||||||
Materials (continued) | ||||||||
Rock-Tenn Class A | 32,400 | $ | 1,541,592 | |||||
Rockwood Holdings | 42,700 | 3,264,415 | ||||||
Sealed Air | 101,000 | 3,522,880 | ||||||
Sonoco Products | 77,600 | 3,048,904 | ||||||
Stillwater Mining † | 229,056 | 3,442,712 | ||||||
Xerium Technologies † | 67,500 | 986,175 | ||||||
|
| |||||||
61,854,796 | ||||||||
|
| |||||||
Telecommunication Services – 1.30% | ||||||||
Arris Group † | 110,400 | 3,130,392 | ||||||
Vonage Holdings † | 942,600 | 3,091,728 | ||||||
|
| |||||||
6,222,120 | ||||||||
|
| |||||||
Utilities – 0.78% | ||||||||
New Jersey Resources | 15,200 | 767,752 | ||||||
Questar | 133,800 | 2,982,402 | ||||||
|
| |||||||
3,750,154 | ||||||||
|
| |||||||
Total Common Stock | 428,568,552 | |||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 11.14% |
| |||||||
| ||||||||
Discount Notes – 5.45%≠ | ||||||||
Federal Home Loan Bank | ||||||||
0.025% 11/13/14 | 3,112,676 | 3,112,664 | ||||||
0.043% 11/19/14 | 15,614,201 | 15,614,138 | ||||||
0.077% 11/14/14 | 7,416,302 | 7,416,272 | ||||||
|
| |||||||
26,143,074 | ||||||||
|
| |||||||
Repurchase Agreements – 3.37% | ||||||||
Bank of America Merrill Lynch 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $7,031,209 (collateralized by U.S. government obligations 1.375%-2.375%; 1/15/17-1/15/20 market value $7,171,836) | 7,031,209 | 7,031,209 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements (continued) |
| |||||||
Bank of Montreal 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $2,343,737 (collateralized by U.S. government obligations 0.375%-3.125%; 1/31/16-8/15/44 market value $2,390,612) | 2,343,736 | $ | 2,343,737 | |||||
BNP Paribas 0.00%, dated 9/30/14, to be repurchased on 10/1/14, repurchase price $6,822,054 (collateralized by U.S. government obligations 0.125%-0.25%; 5/15/16-7/15/24 market value $6,958,496) | 6,822,054 | 6,822,054 | ||||||
|
| |||||||
16,197,000 | ||||||||
|
| |||||||
U.S. Treasury Obligations – 2.32%≠ | ||||||||
U.S. Treasury Bills | ||||||||
0.005% 12/26/14 | 8,212,698 | 8,212,501 | ||||||
0.093% 11/13/14 | 2,930,712 | 2,930,676 | ||||||
|
| |||||||
11,143,177 | ||||||||
|
| |||||||
Total Short-Term Investments | 53,483,251 | |||||||
|
| |||||||
Total Value of Securities – 100.42% |
| $ | 482,051,803 | |||||
|
|
@ | Illiquid security. At Sept. 30, 2014, the aggregate value of illiquid securities was $1,980,333, which represents 0.41% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
See accompanying notes, which are an integral part of the financial statements.
62
Table of Contents
Statements of assets and liabilities
Optimum Fund Trust
September 30, 2014 (Unaudited)
Optimum Fixed Income | Optimum International | Optimum Large Cap | Optimum Large Cap | Optimum Small-Mid Cap | Optimum Small-Mid Cap | |||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Investments, at value1,2 | $ | 1,883,383,296 | $ | 653,692,809 | $ | 1,309,089,937 | $ | 1,235,774,208 | $ | 476,430,437 | $ | 428,568,552 | ||||||||||||
Short-term investments, at value3 | 192,384,316 | 8,998,250 | 39,788,535 | 39,887,047 | 18,682,328 | 53,483,251 | ||||||||||||||||||
Short-term investments held as collateral for loaned securities, at value4 | — | 56,713,943 | — | — | — | — | ||||||||||||||||||
Cash collateral due from brokers | 3,548,449 | — | — | — | — | — | ||||||||||||||||||
Foreign currencies, at value5 | 3,474,150 | 1,527,023 | — | 15,111 | — | 30,314 | ||||||||||||||||||
Cash | 2,602,687 | 2,970,514 | 353,196 | 222,009 | 85,988 | 314,681 | ||||||||||||||||||
Receivable for securities sold | 93,144,364 | 4,717,039 | 8,877,147 | 1,945,488 | 2,173,062 | 531,646 | ||||||||||||||||||
Dividends and interest receivable | 13,898,346 | 1,193,894 | 500,764 | 1,625,073 | 139,348 | 268,817 | ||||||||||||||||||
Receivable for fund shares sold | 5,151,306 | 1,630,900 | 2,414,810 | 2,434,204 | 1,059,533 | 1,077,841 | ||||||||||||||||||
Swap interest receivable | 16,526 | — | — | — | — | — | ||||||||||||||||||
Securities lending income receivable | — | 59,161 | — | — | — | — | ||||||||||||||||||
Unrealized gain on foreign currency exchange contracts | 8,960,124 | 2,399,338 | 536 | — | — | — | ||||||||||||||||||
Unrealized gain on interest rate swap contracts | 858,316 | — | — | — | — | — | ||||||||||||||||||
Unrealized gain on credit default swap contracts | 162,619 | — | — | — | — | — | ||||||||||||||||||
Upfront payments received on credit default swap contracts | 116,782 | — | — | — | — | — | ||||||||||||||||||
Other assets | 824 | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total assets | 2,207,702,105 | 733,902,871 | 1,361,024,925 | 1,281,903,140 | 498,570,696 | 484,275,102 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Liabilities: | ||||||||||||||||||||||||
Securities sold short, at value6 | 2,157,812 | — | — | — | — | — | ||||||||||||||||||
Options written, at value7 | 826,065 | — | — | — | — | — | ||||||||||||||||||
Payable for securities purchased | 295,971,598 | 3,948,624 | 11,492,608 | 4,780,447 | 3,057,120 | 3,407,846 | ||||||||||||||||||
Payable for fund shares redeemed | 533,596 | 209,906 | 612,884 | 507,526 | 192,193 | 186,839 | ||||||||||||||||||
Swap interest payable | 273,170 | — | — | — | — | — | ||||||||||||||||||
Variation margin due to broker on futures contracts | 109,189 | — | — | — | — | — | ||||||||||||||||||
Cash collateral due to brokers | — | 50,000 | — | — | — | — | ||||||||||||||||||
Obligation to return securities lending collateral | — | 56,713,943 | — | — | — | — | ||||||||||||||||||
Investment management fees payable | 844,547 | 429,729 | 824,195 | 742,229 | 384,349 | 374,878 | ||||||||||||||||||
Other affiliates payable | 626,477 | 220,808 | 472,108 | 448,460 | 160,888 | 156,808 | ||||||||||||||||||
Other accrued expenses | 382,020 | 158,766 | 231,692 | 206,140 | 86,028 | 89,201 | ||||||||||||||||||
Trustees’ fees and expenses payable | 34,651 | 12,423 | 24,945 | 23,578 | 9,179 | 8,975 | ||||||||||||||||||
Unrealized loss on interest rate swap contracts | 1,462,985 | — | — | — | — | — | ||||||||||||||||||
Unrealized loss on foreign currency exchange contracts | 1,136,625 | 1,475,686 | — | — | 34 | — | ||||||||||||||||||
Upfront payments paid on interest rate swap contracts | 893,460 | — | — | — | — | — | ||||||||||||||||||
Unrealized loss on credit default swap contracts | 197,839 | — | — | — | — | — | ||||||||||||||||||
Upfront payments paid on credit default swap contracts | 82,493 | — | — | — | — | — | ||||||||||||||||||
Other liabilities | — | 389,391 | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total liabilities | 305,532,527 | 63,609,276 | 13,658,432 | 6,708,380 | 3,889,791 | 4,224,547 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Net Assets | $ | 1,902,169,578 | $ | 670,293,595 | $ | 1,347,366,493 | $ | 1,275,194,760 | $ | 494,680,905 | $ | 480,050,555 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(continues) 63
Table of Contents
Statements of assets and liabilities
Optimum Fund Trust
Optimum Fixed Income | Optimum International | Optimum Large Cap | Optimum Large Cap | Optimum Small-Mid Cap | Optimum Small-Mid Cap | |||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||||||||||||||
Net Assets Consist of: | ||||||||||||||||||||||||
Paid-in capital | $ | 1,875,191,473 | $ | 658,832,999 | $ | 1,039,472,432 | $ | 1,019,659,419 | $ | 377,601,528 | $ | 387,242,801 | ||||||||||||
Undistributed (accumulated) net investment income (loss) | 25,276,690 | 4,369,404 | (1,768,262 | ) | 6,030,370 | (2,316,281 | ) | (983,699 | ) | |||||||||||||||
Accumulated net realized gain (loss) | (21,262,756 | ) | (7,894,809 | ) | 70,878,007 | (51,172,616 | ) | 30,067,219 | 16,390,218 | |||||||||||||||
Net unrealized appreciation of investments, foreign currencies, and derivatives | 22,964,171 | 14,986,001 | 238,784,316 | 300,677,587 | 89,328,439 | 77,401,235 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Net Assets | $ | 1,902,169,578 | $ | 670,293,595 | $ | 1,347,366,493 | $ | 1,275,194,760 | $ | 494,680,905 | $ | 480,050,555 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Net assets | $ | 43,334,566 | $ | 10,631,977 | $ | 39,902,663 | $ | 36,923,505 | $ | 6,635,632 | $ | 5,495,134 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,500,778 | 882,229 | 2,411,781 | 2,355,252 | 449,369 | 400,854 | ||||||||||||||||||
Net asset value per share | $ | 9.63 | $ | 12.05 | $ | 16.54 | $ | 15.68 | $ | 14.77 | $ | 13.71 | ||||||||||||
Sales charge | 4.50 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | ||||||||||||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 10.08 | $ | 12.79 | $ | 17.55 | $ | 16.64 | $ | 15.67 | $ | 14.55 | ||||||||||||
Class B: | ||||||||||||||||||||||||
Net assets | $ | 229,279 | $ | 76,060 | $ | 294,114 | $ | 270,462 | $ | 48,956 | $ | 46,874 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 23,798 | 6,430 | 19,234 | 17,374 | 3,593 | 3,709 | ||||||||||||||||||
Net asset value per share | $ | 9.63 | $ | 11.83 | $ | 15.29 | $ | 15.57 | $ | 13.63 | $ | 12.64 | ||||||||||||
Class C: | ||||||||||||||||||||||||
Net assets | $ | 165,352,570 | $ | 36,735,561 | $ | 131,707,093 | $ | 123,565,170 | $ | 21,670,375 | $ | 19,249,649 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 17,227,673 | 3,120,703 | 8,676,559 | 7,973,025 | 1,611,071 | 1,544,095 | ||||||||||||||||||
Net asset value per share | $ | 9.60 | $ | 11.77 | $ | 15.18 | $ | 15.50 | $ | 13.45 | $ | 12.47 | ||||||||||||
Institutional Class: | ||||||||||||||||||||||||
Net assets | $ | 1,693,253,163 | $ | 622,849,997 | $ | 1,175,462,623 | $ | 1,114,435,623 | $ | 466,325,942 | $ | 455,258,898 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 175,812,668 | 51,302,272 | 68,252,510 | 70,906,285 | 30,150,891 | 31,746,570 | ||||||||||||||||||
Net asset value per share | $ | 9.63 | $ | 12.14 | $ | 17.22 | $ | 15.72 | $ | 15.47 | $ | 14.34 | ||||||||||||
| ||||||||||||||||||||||||
1Investments, at cost | $ | 1,865,133,357 | $ | 639,198,204 | $ | 1,070,306,168 | $ | 935,080,866 | $ | 387,102,373 | $ | 351,167,340 | ||||||||||||
2Including securities on loan | — | 52,923,196 | — | — | — | |||||||||||||||||||
3Short-term investments, at cost | 192,378,362 | 8,997,831 | 39,787,220 | 39,886,727 | 18,681,919 | 53,481,460 | ||||||||||||||||||
4Short-term investments held as collateral for loaned securities, at cost | — | 56,713,943 | — | — | — | — | ||||||||||||||||||
5Foreign currencies, at cost | 2,652,486 | 1,534,443 | — | 15,172 | — | 32,083 | ||||||||||||||||||
6Securities sold short, at cost | (2,155,314 | ) | — | — | — | — | — | |||||||||||||||||
7Options written, at cost | (483,993 | ) | — | — | — | — | — |
See accompanying notes, which are an integral part of the financial statements.
64
Table of Contents
Optimum Fund Trust
Six months ended September 30, 2014 (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: | ||||||||||||||||||||||||
Interest | $ | 31,856,322 | $ | 3,302 | $ | 7,837 | $ | 7,951 | $ | 3,670 | $ | 12,058 | ||||||||||||
Dividends | 382,313 | 8,693,217 | 6,055,616 | 13,494,272 | 1,202,955 | 2,469,472 | ||||||||||||||||||
Securities lending income | — | 487,758 | — | — | — | — | ||||||||||||||||||
Foreign tax withheld | (1,290 | ) | (762,444 | ) | (33,009 | ) | (74,627 | ) | (483 | ) | (1,508 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
32,237,345 | 8,421,833 | 6,030,444 | 13,427,596 | 1,206,142 | 2,480,022 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses: | ||||||||||||||||||||||||
Management fees | 4,984,244 | 2,566,447 | 4,752,175 | 4,355,836 | 2,665,166 | 2,455,520 | ||||||||||||||||||
Distribution expenses — Class A | 54,952 | 14,014 | 49,642 | 47,029 | 8,641 | 7,409 | ||||||||||||||||||
Distribution expenses — Class B | 2,283 | 844 | 2,988 | 2,794 | 517 | 470 | ||||||||||||||||||
Distribution expenses — Class C | 828,606 | 190,872 | 650,931 | 625,689 | 111,272 | 102,405 | ||||||||||||||||||
Dividend disbursing and transfer agent fees and expenses | 1,841,046 | 676,400 | 1,292,196 | 1,250,153 | 491,673 | 493,755 | ||||||||||||||||||
Administration expenses | 828,777 | 380,839 | 635,839 | 621,145 | 290,625 | 291,278 | ||||||||||||||||||
Accounting fees | 334,610 | 122,427 | 233,845 | 224,482 | 88,565 | 88,730 | ||||||||||||||||||
Custodian fees | 88,975 | 99,589 | 36,971 | 37,621 | 23,654 | 10,428 | ||||||||||||||||||
Trustees’ fees and expenses | 83,170 | 30,098 | 58,883 | 56,795 | 22,515 | 22,146 | ||||||||||||||||||
Reports and statements to shareholders | 80,914 | 32,356 | 102,818 | 60,758 | 24,589 | 27,419 | ||||||||||||||||||
Professional fees | 72,231 | 31,723 | 46,299 | 44,280 | 24,843 | 24,601 | ||||||||||||||||||
Registration fees | 65,935 | 53,572 | 59,764 | 49,888 | 37,579 | 47,503 | ||||||||||||||||||
Pricing fees | 39,184 | 3,741 | 621 | 503 | 545 | 409 | ||||||||||||||||||
Insurance | 20,088 | 4,590 | 12,053 | 11,609 | 5,201 | 5,006 | ||||||||||||||||||
Tax services | 633 | 18,649 | 867 | 98 | 590 | 239 | ||||||||||||||||||
Other | 8,427 | 4,836 | 6,084 | 6,199 | 3,923 | 4,264 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
9,334,075 | 4,230,997 | 7,941,976 | 7,394,879 | 3,799,898 | 3,581,582 | |||||||||||||||||||
Less expenses waived | — | — | (4,454 | ) | (5,879 | ) | (276,879 | ) | (117,299 | ) | ||||||||||||||
Less waived distribution expenses — Class B | (1,712 | ) | (633 | ) | (2,241 | ) | (2,096 | ) | (388 | ) | (352 | ) | ||||||||||||
Less expense paid indirectly | (198 | ) | (197 | ) | (210 | ) | (210 | ) | (208 | ) | (210 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total operating expenses | 9,332,165 | 4,230,167 | 7,935,071 | 7,386,694 | 3,522,423 | 3,463,721 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Investment Income (Loss) | 22,905,180 | 4,191,666 | (1,904,627 | ) | 6,040,902 | (2,316,281 | ) | (983,699 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||
Investments | 12,436,733 | 7,590,927 | 74,766,974 | 18,151,233 | 30,375,440 | 16,793,961 | ||||||||||||||||||
Foreign currencies | (2,230,053 | ) | (312,363 | ) | 7,027 | 3,833 | (169 | ) | — | |||||||||||||||
Foreign currency exchange contracts | (2,685,428 | ) | 344,126 | (6,794 | ) | (4,976 | ) | 16 | — | |||||||||||||||
Futures contracts | (1,547,606 | ) | — | — | — | — | — | |||||||||||||||||
Options written | 425,900 | — | — | — | — | — | ||||||||||||||||||
Swap contracts | (6,126,138 | ) | — | — | — | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net realized gain | 273,408 | 7,622,690 | 74,767,207 | 18,150,090 | 30,375,287 | 16,793,961 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net change in unrealized appreciation (depreciation) of: | ||||||||||||||||||||||||
Investments* | (7,822,410 | ) | (39,622,728 | ) | 11,064,955 | 6,258,112 | (36,203,687 | ) | (38,660,657 | ) | ||||||||||||||
Foreign currencies | (286,027 | ) | (1,506 | ) | (1,820 | ) | (20,488 | ) | — | (2,749 | ) | |||||||||||||
Foreign currency exchange contracts | 10,882,980 | 1,877,717 | 819 | — | (34 | ) | — | |||||||||||||||||
Futures contracts | 23,107 | — | — | — | — | — | ||||||||||||||||||
Options written | (728,856 | ) | — | — | — | — | — | |||||||||||||||||
Swap contracts | 3,992,381 | — | — | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net change in unrealized appreciation (depreciation) | 6,061,175 | (37,746,517 | ) | 11,063,954 | 6,237,624 | (36,203,721 | ) | (38,663,406 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Realized and Unrealized Gain (Loss) | 6,334,583 | (30,123,827 | ) | 85,831,161 | 24,387,714 | (5,828,434 | ) | (21,869,445 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 29,239,763 | $ | (25,932,161 | ) | $ | 83,926,534 | $ | 30,428,616 | $ | (8,144,715 | ) | $ | (22,853,144 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
*Includes $389,391 capital gain taxes accrued for Optimum International Fund.
See accompanying notes, which are an integral part of the financial statements.
(continues) 65
Table of Contents
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | |||||||||||||||
Six months ended 9/30/14 (Unaudited) | Year ended 3/31/14 | Six months ended 9/30/14 (Unaudited) | Year ended 3/31/14 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 22,905,180 | $ | 38,401,260 | $ | 4,191,666 | $ | 8,022,731 | ||||||||
Net realized gain (loss) | 273,408 | (23,489,916 | ) | 7,622,690 | 42,282,307 | |||||||||||
Net change in unrealized appreciation (depreciation) | 6,061,175 | (30,870,111 | ) | (37,746,517 | ) | 28,055,700 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 29,239,763 | (15,958,767 | ) | (25,932,161 | ) | 78,360,738 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | (299,300 | ) | (607,560 | ) | (34,749 | ) | (71,136 | ) | ||||||||
Class B | (3,454 | ) | (10,243 | ) | (616 | ) | (2,198 | ) | ||||||||
Class C | (841,487 | ) | (1,279,141 | ) | — | (128,217 | ) | |||||||||
Institutional Class | (11,888,174 | ) | (25,186,612 | ) | (2,284,475 | ) | (5,108,799 | ) | ||||||||
Net realized gain: | ||||||||||||||||
Class A | — | (117,055 | ) | — | — | |||||||||||
Class B | — | (3,398 | ) | — | — | |||||||||||
Class C | — | (446,725 | ) | — | — | |||||||||||
Institutional Class | — | (3,834,085 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
(13,032,415 | ) | (31,484,819 | ) | (2,319,840 | ) | (5,310,350 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 4,432,264 | 9,525,104 | 860,772 | 1,958,772 | ||||||||||||
Class B | 20,913 | 113,873 | 6,442 | 19,764 | ||||||||||||
Class C | 14,318,501 | 34,709,090 | 2,743,737 | 6,035,603 | ||||||||||||
Institutional Class | 282,801,079 | 500,376,862 | 97,206,572 | 166,107,011 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | 298,920 | 703,966 | 34,430 | 70,139 | ||||||||||||
Class B | 3,454 | 12,872 | 616 | 2,114 | ||||||||||||
Class C | 841,487 | 1,701,326 | — | 125,977 | ||||||||||||
Institutional Class | 11,887,252 | 28,740,751 | 2,283,785 | 5,073,768 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
314,603,870 | 575,883,844 | 103,136,354 | 179,393,148 | |||||||||||||
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|
|
|
|
|
| |||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (5,045,153 | ) | (6,935,320 | ) | (1,077,899 | ) | (1,707,398 | ) | ||||||||
Class B | (308,229 | ) | (779,341 | ) | (126,906 | ) | (283,253 | ) | ||||||||
Class C | (12,305,535 | ) | (25,916,378 | ) | (2,296,361 | ) | (4,922,840 | ) | ||||||||
Institutional Class | (125,240,466 | ) | (275,846,637 | ) | (39,556,159 | ) | (75,350,955 | ) | ||||||||
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|
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| |||||||||
(142,899,383 | ) | (309,477,676 | ) | (43,057,325 | ) | (82,264,446 | ) | |||||||||
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|
|
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|
| |||||||||
Increase in net assets derived from capital share transactions | 171,704,487 | 266,406,168 | 60,079,029 | 97,128,702 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets | 187,911,835 | 218,962,582 | 31,827,028 | 170,179,090 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 1,714,257,743 | 1,495,295,161 | 638,466,567 | 468,287,477 | ||||||||||||
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| |||||||||
End of period | $ | 1,902,169,578 | $ | 1,714,257,743 | $ | 670,293,595 | $ | 638,466,567 | ||||||||
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| |||||||||
Undistributed net investment income | $ | 25,276,690 | $ | 15,403,925 | $ | 4,369,404 | $ | 2,497,578 | ||||||||
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|
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|
|
See accompanying notes, which are an integral part of the financial statements.
66
Table of Contents
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||
Six months ended 9/30/14 (Unaudited) | Year ended 3/31/14 | Six months ended 9/30/14 (Unaudited) | Year ended 3/31/14 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (1,904,627 | ) | $ | (4,499,020 | ) | $ | 6,040,902 | $ | 13,154,681 | ||||||
Net realized gain | 74,767,207 | 163,571,786 | 18,150,090 | 67,075,662 | ||||||||||||
Net change in unrealized appreciation | 11,063,954 | 71,142,639 | 6,237,624 | 105,214,396 | ||||||||||||
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|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 83,926,534 | 230,215,405 | 30,428,616 | 185,444,739 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | — | — | (167,314 | ) | (236,189 | ) | ||||||||||
Class B | — | — | (2,891 | ) | (1,805 | ) | ||||||||||
Class C | — | — | (339,583 | ) | (82,417 | ) | ||||||||||
Institutional Class | — | (149,730 | ) | (5,343,957 | ) | (8,692,742 | ) | |||||||||
Net realized gain: | ||||||||||||||||
Class A | (2,111,836 | ) | (3,780,983 | ) | — | — | ||||||||||
Class B | (39,437 | ) | (124,078 | ) | — | — | ||||||||||
Class C | (7,533,773 | ) | (13,379,555 | ) | — | — | ||||||||||
Institutional Class | (56,492,621 | ) | (88,348,179 | ) | — | — | ||||||||||
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|
|
|
|
|
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| |||||||||
(66,177,667 | ) | (105,782,525 | ) | (5,853,745 | ) | (9,013,153 | ) | |||||||||
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|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 2,454,770 | 4,278,699 | 2,377,980 | 4,044,375 | ||||||||||||
Class B | 46 | — | — | 1,935 | ||||||||||||
Class C | 6,231,579 | 12,295,792 | 6,184,269 | 12,080,730 | ||||||||||||
Institutional Class | 157,671,457 | 260,083,733 | 160,890,142 | 257,308,753 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | 2,092,389 | 3,742,628 | 165,696 | 233,521 | ||||||||||||
Class B | 39,437 | 122,957 | 2,891 | 1,804 | ||||||||||||
Class C | 7,529,462 | 13,354,876 | 339,259 | 82,351 | ||||||||||||
Institutional Class | 56,464,419 | 88,289,266 | 5,341,296 | 8,665,410 | ||||||||||||
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|
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| |||||||||
232,483,559 | 382,167,951 | 175,301,533 | 282,418,879 | |||||||||||||
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|
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|
|
| |||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (4,137,685 | ) | (7,683,829 | ) | (3,675,532 | ) | (6,111,227 | ) | ||||||||
Class B | (436,965 | ) | (1,035,685 | ) | (401,198 | ) | (977,280 | ) | ||||||||
Class C | (10,013,263 | ) | (26,676,702 | ) | (8,773,628 | ) | (20,860,221 | ) | ||||||||
Institutional Class | (81,925,134 | ) | (156,532,584 | ) | (75,873,509 | ) | (143,870,889 | ) | ||||||||
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|
|
|
|
|
| |||||||||
(96,513,047 | ) | (191,928,800 | ) | (88,723,867 | ) | (171,819,617 | ) | |||||||||
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|
|
|
|
|
| |||||||||
Increase in net assets derived from capital share transactions | 135,970,512 | 190,239,151 | 86,577,666 | 110,599,262 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets | 153,719,379 | 314,672,031 | 111,152,537 | 287,030,848 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 1,193,647,114 | 878,975,083 | 1,164,042,223 | 877,011,375 | ||||||||||||
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|
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|
|
| |||||||||
End of period | $ | 1,347,366,493 | $ | 1,193,647,114 | $ | 1,275,194,760 | $ | 1,164,042,223 | ||||||||
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|
|
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|
| |||||||||
Undistributed (accumulated) net investment income (loss) | $ | (1,768,262 | ) | $ | 136,365 | $ | 6,030,370 | $ | 5,843,213 | |||||||
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|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
(continues) 67
Table of Contents
Statements of changes in net assets
Optimum Fund Trust
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Six months | Six months | |||||||||||||||||||
ended | ended | |||||||||||||||||||
9/30/14 | Year ended | 9/30/14 | Year ended | |||||||||||||||||
(Unaudited) | 3/31/14 | (Unaudited) | 3/31/14 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||
Net investment loss | $ | (2,316,281 | ) | $ | (4,227,467 | ) | $ | (983,699 | ) | $ | (1,594,905 | ) | ||||||||
Net realized gain | 30,375,287 | 41,798,567 | 16,793,961 | 36,556,718 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (36,203,721 | ) | 41,735,963 | (38,663,406 | ) | 45,343,172 | ||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (8,144,715 | ) | 79,307,063 | (22,853,144 | ) | 80,304,985 | ||||||||||||||
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|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Net investment income: | ||||||||||||||||||||
Institutional Class | — | — | — | (92,035 | ) | |||||||||||||||
Net realized gain: | ||||||||||||||||||||
Class A | (240,591 | ) | (705,607 | ) | (202,491 | ) | (661,267 | ) | ||||||||||||
Class B | (4,518 | ) | (25,053 | ) | (3,938 | ) | (24,770 | ) | ||||||||||||
Class C | (854,331 | ) | (2,430,254 | ) | (768,324 | ) | (2,497,276 | ) | ||||||||||||
Institutional Class | (15,142,235 | ) | (36,720,711 | ) | (14,909,859 | ) | (39,680,287 | ) | ||||||||||||
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|
|
|
|
|
|
| |||||||||||||
(16,241,675 | ) | (39,881,625 | ) | (15,884,612 | ) | (42,955,635 | ) | |||||||||||||
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|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||||
Class A | 426,935 | 863,138 | 357,745 | 566,977 | ||||||||||||||||
Class C | 1,128,485 | 2,312,977 | 937,134 | 1,599,572 | ||||||||||||||||
Institutional Class | 69,881,518 | 114,271,501 | 69,984,185 | 113,886,038 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||
Class A | 238,053 | 698,439 | 200,820 | 651,876 | ||||||||||||||||
Class B | 4,518 | 24,611 | 3,938 | 23,763 | ||||||||||||||||
Class C | 853,827 | 2,419,840 | 767,676 | 2,480,011 | ||||||||||||||||
Institutional Class | 15,135,638 | 36,468,070 | 14,903,324 | 39,475,438 | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
87,668,974 | 157,058,576 | 87,154,822 | 158,683,675 | |||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed: | ||||||||||||||||||||
Class A | (817,380 | ) | (1,464,584 | ) | (645,064 | ) | (1,379,142 | ) | ||||||||||||
Class B | (74,790 | ) | (181,096 | ) | (60,967 | ) | (162,113 | ) | ||||||||||||
Class C | (1,565,152 | ) | (4,796,730 | ) | (1,512,132 | ) | (4,715,105 | ) | ||||||||||||
Institutional Class | (32,829,629 | ) | (72,394,143 | ) | (32,578,937 | ) | (68,108,979 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(35,286,951 | ) | (78,836,553 | ) | (34,797,100 | ) | (74,365,339 | ) | |||||||||||||
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|
|
|
|
|
| |||||||||||||
Increase in net assets derived from capital share transactions | 52,382,023 | 78,222,023 | 52,357,722 | 84,318,336 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase in Net Assets | 27,995,633 | 117,647,461 | 13,619,966 | 121,667,686 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of period | 466,685,272 | 349,037,811 | 466,430,589 | 344,762,903 | ||||||||||||||||
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|
|
|
|
|
| |||||||||||||
End of period | $ | 494,680,905 | $ | 466,685,272 | $ | 480,050,555 | $ | 466,430,589 | ||||||||||||
|
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|
|
|
|
|
| |||||||||||||
Accumulated net investment loss | $ | (2,316,281 | ) | $ | — | $ | (983,699 | ) | $ | — | ||||||||||
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|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
68
Table of Contents
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 | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | $ | 9.290 | $ | 7.750 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.114 | 0.213 | 0.225 | 0.293 | 0.391 | 0.661 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.042 | (0.353 | ) | 0.302 | 0.338 | 0.247 | 1.482 | |||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.156 | (0.140 | ) | 0.527 | 0.631 | 0.638 | 2.143 | |||||||||||||||||
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|
|
|
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|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.066 | ) | (0.142 | ) | (0.172 | ) | (0.342 | ) | (0.378 | ) | (0.603 | ) | ||||||||||||
Net realized gain | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | — | — | |||||||||||||||
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|
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|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.066 | ) | (0.170 | ) | (0.387 | ) | (0.471 | ) | (0.378 | ) | (0.603 | ) | ||||||||||||
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|
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|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.630 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | $ | 9.290 | ||||||||||||
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|
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| |||||||||||||
Total return3 | 1.64% | (1.40% | ) | 5.47% | 6.71% | 7.01% | 28.24% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 43,335 | $ | 43,241 | $ | 41,210 | $ | 40,620 | $ | 39,758 | $ | 40,808 | ||||||||||||
Ratio of expenses to average net assets | 1.17% | 1.31% | 1.35% | 1.35% | 1.35% | 1.31% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.17% | 1.34% | 1.40% | 1.44% | 1.46% | 1.48% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.35% | 2.24% | 2.27% | 3.01% | 4.10% | 7.49% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.35% | 2.21% | 2.22% | 2.92% | 3.99% | 7.32% | ||||||||||||||||||
Portfolio turnover | 291% | 323% | 4 | 208% | 211% | 273% | 134% | |||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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. |
4 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC ‘s low-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2014. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 69
Table of Contents
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 | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.550 | $ | 9.840 | $ | 9.700 | $ | 9.540 | $ | 9.280 | $ | 7.750 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.114 | 0.189 | 0.161 | 0.229 | 0.328 | 0.604 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.032 | (0.345 | ) | 0.302 | 0.340 | 0.248 | 1.486 | |||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.146 | (0.156 | ) | 0.463 | 0.569 | 0.576 | 2.090 | |||||||||||||||||
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|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.066 | ) | (0.106 | ) | (0.108 | ) | (0.280 | ) | (0.316 | ) | (0.560 | ) | ||||||||||||
Net realized gain | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | — | — | |||||||||||||||
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|
|
| |||||||||||||
Total dividends and distributions | (0.066 | ) | (0.134 | ) | (0.323 | ) | (0.409 | ) | (0.316 | ) | (0.560 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.630 | $ | 9.550 | $ | 9.840 | $ | 9.700 | $ | 9.540 | $ | 9.280 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 1.53% | (1.57% | ) | 4.69% | 6.15% | 6.32% | 27.51% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 229 | $ | 508 | $ | 1,203 | $ | 3,056 | $ | 4,714 | $ | 5,587 | ||||||||||||
Ratio of expenses to average net assets | 1.17% | 1.57% | 2.00% | 2.00% | 2.00% | 1.96% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.92% | 2.02% | 2.05% | 2.09% | 2.11% | 2.13% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.35% | 1.98% | 1.62% | 2.36% | 3.45% | 6.84% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.60% | 1.53% | 1.57% | 2.27% | 3.34% | 6.67% | ||||||||||||||||||
Portfolio turnover | 291% | 323% | 4 | 208% | 211% | 273% | 134% | |||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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 waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC ‘s low-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2014. |
See accompanying notes, which are an integral part of the financial statements.
70
Table of Contents
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 | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.530 | $ | 9.840 | $ | 9.710 | $ | 9.540 | $ | 9.280 | $ | 7.760 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.077 | 0.148 | 0.161 | 0.229 | 0.329 | 0.604 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.042 | (0.351 | ) | 0.292 | 0.350 | 0.247 | 1.476 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.119 | (0.203 | ) | 0.453 | 0.579 | 0.576 | 2.080 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.049 | ) | (0.079 | ) | (0.108 | ) | (0.280 | ) | (0.316 | ) | (0.560 | ) | ||||||||||||
Net realized gain | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.049 | ) | (0.107 | ) | (0.323 | ) | (0.409 | ) | (0.316 | ) | (0.560 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.600 | $ | 9.530 | $ | 9.840 | $ | 9.710 | $ | 9.540 | $ | 9.280 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 1.25% | (2.06% | ) | 4.69% | 6.15% | 6.32% | 27.34% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 165,353 | $ | 161,353 | $ | 155,728 | $ | 154,778 | $ | 159,759 | $ | 170,214 | ||||||||||||
Ratio of expenses to average net assets | 1.92% | 1.99% | 2.00% | 2.00% | 2.00% | 1.96% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.92% | 2.02% | 2.05% | 2.09% | 2.11% | 2.13% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.60% | 1.56% | 1.62% | 2.36% | 3.45% | 6.84% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.60% | 1.53% | 1.57% | 2.27% | 3.34% | 6.67% | ||||||||||||||||||
Portfolio turnover | 291% | 323% | 4 | 208% | 211% | 273% | 134% | |||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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. |
4 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC ‘s low-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2014. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 71
Table of Contents
Financial Highlights
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended | Year ended | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | $ | 9.290 | $ | 7.740 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.126 | 0.244 | 0.260 | 0.327 | 0.424 | 0.692 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.036 | (0.350 | ) | 0.301 | 0.338 | 0.247 | 1.484 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.162 | (0.106 | ) | 0.561 | 0.665 | 0.671 | 2.176 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.072 | ) | (0.176 | ) | (0.206 | ) | (0.376 | ) | (0.411 | ) | (0.626 | ) | ||||||||||||
Net realized gain | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.072 | ) | (0.204 | ) | (0.421 | ) | (0.505 | ) | (0.411 | ) | (0.626 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.630 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | $ | 9.290 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 1.70% | (1.05% | ) | 5.72% | 7.20% | 7.39% | 28.73% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,693,253 | $ | 1,509,156 | $ | 1,297,154 | $ | 1,014,595 | $ | 791,984 | $ | 579,694 | ||||||||||||
Ratio of expenses to average net assets | 0.92% | 0.99% | 1.00% | 1.00% | 1.00% | 0.96% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.92% | 1.02% | 1.05% | 1.09% | 1.11% | 1.13% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.60% | 2.56% | 2.62% | 3.36% | 4.45% | 7.84% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.60% | 2.53% | 2.57% | 3.27% | 4.34% | 7.67% | ||||||||||||||||||
Portfolio turnover | 291% | 323% | 4 | 208% | 211% | 273% | 134% | |||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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. |
4 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC ‘s low-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2014. |
See accompanying notes, which are an integral part of the financial statements.
72
Table of Contents
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 | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.570 | $ | 10.970 | $ | 10.420 | $ | 11.200 | $ | 10.340 | $ | 7.010 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.067 | 0.142 | 0.185 | 0.192 | 0.129 | 0.124 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.548 | ) | 1.540 | 0.620 | (0.790 | ) | 0.887 | 3.366 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.481 | ) | 1.682 | 0.805 | (0.598 | ) | 1.016 | 3.490 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.039 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | (0.156 | ) | (0.160 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.039 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | (0.156 | ) | (0.160 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.050 | $ | 12.570 | $ | 10.970 | $ | 10.420 | $ | 11.200 | $ | 10.340 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (3.84% | ) | 15.31% | 8.10% | (5.30% | ) | 10.19% | 50.29% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 10,632 | $ | 11,277 | $ | 9,553 | $ | 9,318 | $ | 11,189 | $ | 12,082 | ||||||||||||
Ratio of expenses to average net assets | 1.45% | 1.68% | 1.75% | 1.75% | 1.75% | 1.75% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.45% | 1.68% | 1.84% | 1.84% | 1.88% | 1.94% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.06% | 1.20% | 1.81% | 1.84% | 1.26% | 1.30% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.06% | 1.20% | 1.72% | 1.75% | 1.13% | 1.11% | ||||||||||||||||||
Portfolio turnover | 40% | 126% | 70% | 50% | 95% | 91% | ||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 73
Table of Contents
Financial Highlights
Optimum International Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended | Year ended | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.340 | $ | 10.760 | $ | 10.220 | $ | 10.940 | $ | 10.100 | $ | 6.880 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.065 | 0.137 | 0.115 | 0.122 | 0.061 | 0.064 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.536 | ) | 1.510 | 0.617 | (0.773 | ) | 0.875 | 3.304 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.471 | ) | 1.647 | 0.732 | (0.651 | ) | 0.936 | 3.368 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.039 | ) | (0.067 | ) | (0.192 | ) | (0.069 | ) | (0.096 | ) | (0.148 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.039 | ) | (0.067 | ) | (0.192 | ) | (0.069 | ) | (0.096 | ) | (0.148 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 11.830 | $ | 12.340 | $ | 10.760 | $ | 10.220 | $ | 10.940 | $ | 10.100 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (3.83% | ) | 15.37% | 7.38% | (5.94% | ) | 9.49% | 49.42% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 76 | $ | 199 | $ | 412 | $ | 1,139 | $ | 1,868 | $ | 2,243 | ||||||||||||
Ratio of expenses to average net assets | 1.45% | 1.69% | 2.40% | 2.40% | 2.40% | 2.40% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.20% | 2.36% | 2.49% | 2.49% | 2.53% | 2.59% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.06% | 1.19% | 1.16% | 1.19% | 0.61% | 0.65% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.31% | 0.52% | 1.07% | 1.10% | 0.48% | 0.46% | ||||||||||||||||||
Portfolio turnover | 40% | 126% | 70% | 50% | 95% | 91% | ||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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 waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
74
Table of Contents
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended | Year ended | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.290 | $ | 10.760 | $ | 10.230 | $ | 10.950 | $ | 10.100 | $ | 6.890 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.019 | 0.061 | 0.116 | 0.122 | 0.061 | 0.064 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.539 | ) | 1.512 | 0.606 | (0.773 | ) | 0.885 | 3.294 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.520 | ) | 1.573 | 0.722 | (0.651 | ) | 0.946 | 3.358 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.043 | ) | (0.192 | ) | (0.069 | ) | (0.096 | ) | (0.148 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | — | (0.043 | ) | (0.192 | ) | (0.069 | ) | (0.096 | ) | (0.148 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 11.770 | $ | 12.290 | $ | 10.760 | $ | 10.230 | $ | 10.950 | $ | 10.100 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (4.23% | ) | 14.56% | 7.37% | (5.94% | ) | 9.59% | 49.20% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 36,736 | $ | 37,893 | $ | 32,064 | $ | 32,995 | $ | 39,762 | $ | 43,260 | ||||||||||||
Ratio of expenses to average net assets | 2.20% | 2.36% | 2.40% | 2.40% | 2.40% | 2.40% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.20% | 2.36% | 2.49% | 2.49% | 2.53% | 2.59% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.31% | 0.52% | 1.16% | 1.19% | 0.61% | 0.65% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.31% | 0.52% | 1.07% | 1.10% | 0.48% | 0.46% | ||||||||||||||||||
Portfolio turnover | 40% | 126% | 70% | 50% | 95% | 91% | ||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 75
Table of Contents
Financial Highlights
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended | Year ended | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.660 | $ | 11.050 | $ | 10.490 | $ | 11.300 | $ | 10.430 | $ | 7.050 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.083 | 0.182 | 0.223 | 0.229 | 0.168 | 0.157 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.556 | ) | 1.551 | 0.627 | (0.793 | ) | 0.887 | 3.393 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.473 | ) | 1.733 | 0.850 | (0.564 | ) | 1.055 | 3.550 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.047 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | (0.185 | ) | (0.170 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.047 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | (0.185 | ) | (0.170 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.140 | $ | 12.660 | $ | 11.050 | $ | 10.490 | $ | 11.300 | $ | 10.430 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (3.76% | ) | 15.79% | 8.41% | (4.93% | ) | 10.55% | 50.88% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 622,850 | $ | 589,098 | $ | 426,258 | $ | 252,539 | $ | 226,512 | $ | 146,156 | ||||||||||||
Ratio of expenses to average net assets | 1.20% | 1.36% | 1.40% | 1.40% | 1.40% | 1.40% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.20% | 1.36% | 1.49% | 1.49% | 1.53% | 1.59% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.31% | 1.52% | 2.16% | 2.19% | 1.61% | 1.65% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.31% | 1.52% | 2.07% | 2.10% | 1.48% | 1.46% | ||||||||||||||||||
Portfolio turnover | 40% | 126% | 70% | 50% | 95% | 91% | ||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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 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
Table of Contents
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended | Year ended | |||||||||||||||||||||||
9/30/141 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | |||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.390 | $ | 14.530 | $ | 13.480 | $ | 12.430 | $ | 10.640 | $ | 6.990 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | (0.036 | ) | (0.099 | ) | 0.014 | (0.040 | ) | (0.062 | ) | (0.025 | ) | |||||||||||||
Net realized and unrealized gain | 1.088 | 3.631 | 1.042 | 1.090 | 1.852 | 3.675 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 1.052 | 3.532 | 1.056 | 1.050 | 1.790 | 3.650 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (0.006 | ) | — | — | — | |||||||||||||||||
Net realized gain | (0.902 | ) | (1.672 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.902 | ) | (1.672 | ) | (0.006 | ) | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 16.540 | $ | 16.390 | $ | 14.530 | $ | 13.480 | $ | 12.430 | $ | 10.640 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 6.64% | 25.17% | 7.76% | 8.45% | 16.82% | 52.22% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 39,903 | $ | 39,044 | $ | 34,182 | $ | 34,170 | $ | 35,359 | $ | 36,288 | ||||||||||||
Ratio of expenses to average net assets | 1.38% | 1.54% | 1.60% | 1.61% | 1.61% | 1.61% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.38% | 1.55% | 1.63% | 1.64% | 1.64% | 1.66% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.44% | ) | (0.62% | ) | 0.10% | (0.34% | ) | (0.57% | ) | (0.28% | ) | |||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.44% | ) | (0.63% | ) | 0.07% | (0.37% | ) | (0.60% | ) | (0.33% | ) | |||||||||||||
Portfolio turnover | 40% | 98% | 102% | 89% | 117% | 145% | ||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 77
Table of Contents
Financial Highlights
Optimum Large Cap Growth Fund Class B
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/141 | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.210 | $ | 13.630 | $ | 12.730 | $ | 11.820 | $ | 10.180 | $ | 6.730 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.033 | ) | (0.154 | ) | (0.068 | ) | (0.112 | ) | (0.127 | ) | (0.081 | ) | ||||||||||||
Net realized and unrealized gain | 1.015 | 3.406 | 0.968 | 1.022 | 1.767 | 3.531 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.982 | 3.252 | 0.900 | 0.910 | 1.640 | 3.450 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.902 | ) | (1.672 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.902 | ) | (1.672 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.290 | $ | 15.210 | $ | 13.630 | $ | 12.730 | $ | 11.820 | $ | 10.180 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 6.69% | 24.67% | 7.07% | 7.70% | 16.11% | 51.26% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 294 | $ | 686 | $ | 1,447 | $ | 3,628 | $ | 5,381 | $ | 6,135 | ||||||||||||
Ratio of expenses to average net assets | 1.38% | 1.97% | 2.25% | 2.26% | 2.26% | 2.26% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.13% | 2.23% | 2.28% | 2.29% | 2.29% | 2.31% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.44% | ) | (1.05% | ) | (0.55% | ) | (0.99% | ) | (1.22% | ) | (0.93% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.19% | ) | (1.31% | ) | (0.58% | ) | (1.02% | ) | (1.25% | ) | (0.98% | ) | ||||||||||||
Portfolio turnover
|
| 40%
|
|
| 98%
|
|
| 102%
|
|
| 89%
|
|
| 117%
|
|
| 145%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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 waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
78
Table of Contents
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.160 | $ | 13.630 | $ | 12.720 | $ | 11.820 | $ | 10.180 | $ | 6.730 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.090 | ) | (0.192 | ) | (0.069 | ) | (0.112 | ) | (0.127 | ) | (0.081 | ) | ||||||||||||
Net realized and unrealized gain | 1.012 | 3.394 | 0.979 | 1.012 | 1.767 | 3.531 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.922 | 3.202 | 0.910 | 0.900 | 1.640 | 3.450 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.902 | ) | (1.672 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.902 | ) | (1.672 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.180 | $ | 15.160 | $ | 13.630 | $ | 12.720 | $ | 11.820 | $ | 10.180 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 6.31% | 24.27% | 7.15% | 7.61% | 16.11% | 51.26% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 131,707 | $ | 127,540 | $ | 115,242 | $ | 120,183 | $ | 128,256 | $ | 132,242 | ||||||||||||
Ratio of expenses to average net assets | 2.13% | 2.22% | 2.25% | 2.26% | 2.26% | 2.26% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.13% | 2.23% | 2.28% | 2.29% | 2.29% | 2.31% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.19% | ) | (1.30% | ) | (0.55% | ) | (0.99% | ) | (1.22% | ) | (0.93% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.19% | ) | (1.31% | ) | (0.58% | ) | (1.02% | ) | (1.25% | ) | (0.98% | ) | ||||||||||||
Portfolio turnover
|
| 40%
|
|
| 98%
|
|
| 102%
|
|
| 89%
|
|
| 117%
|
|
| 145%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 79
Table of Contents
Financial Highlights
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.000 | $ | 14.970 | $ | 13.880 | $ | 12.760 | $ | 10.880 | $ | 7.130 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | (0.016 | ) | (0.049 | ) | 0.062 | 0.002 | (0.025 | ) | 0.007 | |||||||||||||||
Net realized and unrealized gain | 1.138 | 3.754 | 1.068 | 1.118 | 1.905 | 3.758 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 1.122 | 3.705 | 1.130 | 1.120 | 1.880 | 3.765 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.003 | ) | (0.040 | ) | — | — | (0.015 | ) | |||||||||||||||
Net realized gain | (0.902 | ) | (1.672 | ) | — | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.902 | ) | (1.675 | ) | (0.040 | ) | — | — | (0.015 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 17.220 | $ | 17.000 | $ | 14.970 | $ | 13.880 | $ | 12.760 | $ | 10.880 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 6.82% | 25.51% | 8.25% | 8.78% | 17.28% | 52.87% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,175,462 | $ | 1,026,377 | $ | 728,104 | $ | 650,869 | $ | 587,141 | $ | 532,282 | ||||||||||||
Ratio of expenses to average net assets | 1.13% | 1.22% | 1.25% | 1.26% | 1.26% | 1.26% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.13% | 1.23% | 1.28% | 1.29% | 1.29% | 1.31% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.19% | ) | (0.30% | ) | 0.45% | 0.01% | (0.22% | ) | 0.07% | |||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.19% | ) | (0.31% | ) | 0.42% | (0.02% | ) | (0.25% | ) | 0.02% | ||||||||||||||
Portfolio turnover
|
| 40%
|
|
| 98%
|
|
| 102%
|
|
| 89%
|
|
| 117%
|
|
| 145%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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.
80
Table of Contents
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 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.360 | $ | 12.900 | $ | 11.750 | $ | 11.060 | $ | 9.830 | $ | 6.710 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.066 | 0.157 | 0.173 | 0.133 | 0.075 | 0.118 | ||||||||||||||||||
Net realized and unrealized gain | 0.324 | 2.399 | 1.259 | 0.635 | 1.274 | 3.181 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.390 | 2.556 | 1.432 | 0.768 | 1.349 | 3.299 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.070 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | (0.119 | ) | (0.179 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.070 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | (0.119 | ) | (0.179 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.680 | $ | 15.360 | $ | 12.900 | $ | 11.750 | $ | 11.060 | $ | 9.830 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 2.54% | 19.96% | 12.48% | 7.01% | 14.00% | 49.92% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 36,924 | $ | 37,299 | $ | 32,995 | $ | 31,478 | $ | 33,892 | $ | 34,167 | ||||||||||||
Ratio of expenses to average net assets | 1.33% | 1.50% | 1.57% | 1.57% | 1.59% | 1.58% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.33% | 1.51% | 1.59% | 1.60% | 1.61% | 1.62% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.84% | 1.12% | 1.48% | 1.25% | 0.77% | 1.38% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.84% | 1.11% | 1.46% | 1.22% | 0.75% | 1.34% | ||||||||||||||||||
Portfolio turnover
|
| 19%
|
|
| 37%
|
|
| 49%
|
|
| 57%
|
|
| 82%
|
|
| 28%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 81
Table of Contents
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 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.260 | $ | 12.790 | $ | 11.600 | $ | 10.930 | $ | 9.720 | $ | 6.630 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.065 | 0.093 | 0.095 | 0.063 | 0.012 | 0.063 | ||||||||||||||||||
Net realized and unrealized gain | 0.315 | 2.403 | 1.255 | 0.622 | 1.262 | 3.147 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.380 | 2.496 | 1.350 | 0.685 | 1.274 | 3.210 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.070 | ) | (0.026 | ) | (0.160 | ) | (0.015 | ) | (0.064 | ) | (0.120 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.070 | ) | (0.026 | ) | (0.160 | ) | (0.015 | ) | (0.064 | ) | (0.120 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.570 | $ | 15.260 | $ | 12.790 | $ | 11.600 | $ | 10.930 | $ | 9.720 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 2.49% | 19.53% | 11.84% | 6.28% | 13.25% | 48.92% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 270 | $ | 649 | $ | 1,425 | $ | 3,478 | $ | 5,135 | $ | 5,943 | ||||||||||||
Ratio of expenses to average net assets | 1.33% | 1.94% | 2.22% | 2.22% | 2.24% | 2.23% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.08% | 2.19% | 2.24% | 2.25% | 2.26% | 2.27% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.84% | 0.68% | 0.83% | 0.60% | 0.12% | 0.73% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.09% | 0.43% | 0.81% | 0.57% | 0.10% | 0.69% | ||||||||||||||||||
Portfolio turnover
|
| 19%
|
|
| 37%
|
|
| 49%
|
|
| 57%
|
|
| 82%
|
|
| 28%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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 waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
82
Table of Contents
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 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.220 | $ | 12.780 | $ | 11.590 | $ | 10.930 | $ | 9.710 | $ | 6.630 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.007 | 0.061 | 0.096 | 0.063 | 0.012 | 0.063 | ||||||||||||||||||
Net realized and unrealized gain | 0.315 | 2.389 | 1.254 | 0.612 | 1.272 | 3.137 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.322 | 2.450 | 1.350 | 0.675 | 1.284 | 3.200 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.042 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | (0.064 | ) | (0.120 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.042 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | (0.064 | ) | (0.120 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.500 | $ | 15.220 | $ | 12.780 | $ | 11.590 | $ | 10.930 | $ | 9.710 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 2.12% | 19.17% | 11.85% | 6.19% | 13.37% | 48.76% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 123,565 | $ | 123,541 | $ | 111,806 | $ | 111,557 | $ | 119,899 | $ | 125,961 | ||||||||||||
Ratio of expenses to average net assets | 2.08% | 2.18% | 2.22% | 2.22% | 2.24% | 2.23% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.08% | 2.19% | 2.24% | 2.25% | 2.26% | 2.27% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.09% | 0.44% | 0.83% | 0.60% | 0.12% | 0.73% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.09% | 0.43% | 0.81% | 0.57% | 0.10% | 0.69% | ||||||||||||||||||
Portfolio turnover
|
| 19%
|
|
| 37%
|
|
| 49%
|
|
| 57%
|
|
| 82%
|
|
| 28%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 83
Table of Contents
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 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.390 | $ | 12.920 | $ | 11.800 | $ | 11.110 | $ | 9.870 | $ | 6.740 | ||||||||||||
Income from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.085 | 0.203 | 0.214 | 0.171 | 0.110 | 0.148 | ||||||||||||||||||
Net realized and unrealized gain | 0.324 | 2.410 | 1.255 | 0.631 | 1.279 | 3.193 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.409 | 2.613 | 1.469 | 0.802 | 1.389 | 3.341 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.079 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | (0.149 | ) | (0.211 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.079 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | (0.149 | ) | (0.211 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.720 | $ | 15.390 | $ | 12.920 | $ | 11.800 | $ | 11.110 | $ | 9.870 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | 2.66% | 20.31% | 12.92% | 7.32% | 14.42% | 50.47% | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,114,436 | $ | 1,002,553 | $ | 730,785 | $ | 617,485 | $ | 550,313 | $ | 480,762 | ||||||||||||
Ratio of expenses to average net assets | 1.08% | 1.18% | 1.22% | 1.22% | 1.24% | 1.23% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.08% | 1.19% | 1.24% | 1.25% | 1.26% | 1.27% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.09% | 1.44% | 1.83% | 1.60% | 1.12% | 1.73% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.09% | 1.43% | 1.81% | 1.57% | 1.10% | 1.69% | ||||||||||||||||||
Portfolio turnover
|
| 19%
|
|
| 37%
|
|
| 49%
|
|
| 57%
|
|
| 82%
|
|
| 28%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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.
84
Table of Contents
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 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.570 | $ | 14.260 | $ | 13.000 | $ | 13.900 | $ | 11.150 | $ | 6.760 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.088 | ) | (0.193 | ) | (0.079 | ) | (0.169 | ) | (0.149 | ) | (0.123 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.170 | ) | 3.073 | 1.653 | 0.064 | 2.899 | 4.513 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.258 | ) | 2.880 | 1.574 | (0.105 | ) | 2.750 | 4.390 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 14.770 | $ | 15.570 | $ | 14.260 | $ | 13.000 | $ | 13.900 | $ | 11.150 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (1.74% | ) | 21.63% | 12.50% | 0.33% | 24.66% | 64.94% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 6,636 | $ | 7,158 | $ | 6,415 | $ | 5,989 | $ | 6,866 | $ | 6,736 | ||||||||||||
Ratio of expenses to average net assets | 1.65% | 1.76% | 1.86% | 1.90% | 1.90% | 1.90% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.77% | 1.96% | 2.05% | 2.06% | 2.07% | 2.10% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.16% | ) | (1.28% | ) | (0.62% | ) | (1.34% | ) | (1.29% | ) | (1.30% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.28% | ) | (1.48% | ) | (0.81% | ) | (1.50% | ) | (1.46% | ) | (1.50% | ) | ||||||||||||
Portfolio turnover
|
| 34%
|
|
| 58%
|
|
| 78%
|
|
| 82%
|
|
| 86%
|
|
| 100%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 85
Table of Contents
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 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.410 | $ | 13.290 | $ | 12.220 | $ | 13.200 | $ | 10.660 | $ | 6.510 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.081 | ) | (0.169 | ) | (0.145 | ) | (0.238 | ) | (0.213 | ) | (0.179 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.157 | ) | 2.859 | 1.529 | 0.053 | 2.753 | 4.329 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.238 | ) | 2.690 | 1.384 | (0.185 | ) | 2.540 | 4.150 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.630 | $ | 14.410 | $ | 13.290 | $ | 12.220 | $ | 13.200 | $ | 10.660 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (1.74% | ) | 21.69% | 11.82% | (0.28% | ) | 23.83% | 63.75% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 49 | $ | 123 | $ | 261 | $ | 661 | $ | 1,063 | $ | 1,143 | ||||||||||||
Ratio of expenses to average net assets | 1.65% | 1.70% | 2.47% | 2.55% | 2.55% | 2.55% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.52% | 2.65% | 2.70% | 2.71% | 2.72% | 2.75% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.16% | ) | (1.22% | ) | (1.23% | ) | (1.99% | ) | (1.94% | ) | (1.95% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (2.03% | ) | (2.17% | ) | (1.46% | ) | (2.15% | ) | (2.11% | ) | (2.15% | ) | ||||||||||||
Portfolio turnover
|
| 34%
|
|
| 58%
|
|
| 78%
|
|
| 82%
|
|
| 86%
|
|
| 100%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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 waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
86
Table of Contents
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 9/30/141 (Unaudited) | ||||||||||||||||||||||||
Year ended | ||||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.290 | $ | 13.280 | $ | 12.220 | $ | 13.200 | $ | 10.660 | $ | 6.510 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.132 | ) | (0.274 | ) | (0.151 | ) | (0.237 | ) | (0.213 | ) | (0.179 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.166 | ) | 2.854 | 1.525 | 0.052 | 2.753 | 4.329 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.298 | ) | 2.580 | 1.374 | (0.185 | ) | 2.540 | 4.150 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.450 | $ | 14.290 | $ | 13.280 | $ | 12.220 | $ | 13.200 | $ | 10.660 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (2.18% | ) | 20.82% | 11.73% | (0.27% | ) | 23.83% | 63.75% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 21,670 | $ | 22,581 | $ | 20,921 | $ | 20,992 | $ | 24,337 | $ | 23,824 | ||||||||||||
Ratio of expenses to average net assets | 2.40% | 2.45% | 2.51% | 2.55% | 2.55% | 2.55% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.52% | 2.65% | 2.70% | 2.71% | 2.72% | 2.75% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.91% | ) | (1.97% | ) | (1.27% | ) | (1.99% | ) | (1.94% | ) | (1.95% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (2.03% | ) | (2.17% | ) | (1.46% | ) | (2.15% | ) | (2.11% | ) | (2.15% | ) | ||||||||||||
Portfolio turnover
|
| 34%
|
|
| 58%
|
|
| 78%
|
|
| 82%
|
|
| 86%
|
|
| 100%
|
| ||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 87
Table of Contents
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 9/30/141 (Unaudited) | Year ended | |||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 16.270 | $ | 14.780 | $ | 13.420 | $ | 14.270 | $ | 11.410 | $ | 6.900 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.072 | ) | (0.152 | ) | (0.036 | ) | (0.128 | ) | (0.112 | ) | (0.091 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.186 | ) | 3.212 | 1.710 | 0.073 | 2.972 | 4.601 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.258 | ) | 3.060 | 1.674 | (0.055 | ) | 2.860 | 4.510 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.542 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.470 | $ | 16.270 | $ | 14.780 | $ | 13.420 | $ | 14.270 | $ | 11.410 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (1.66% | ) | 22.03% | 12.94% | 0.68% | 25.07% | 65.36% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 466,326 | $ | 436,823 | $ | 321,441 | $ | 321,641 | $ | 304,406 | $ | 204,843 | ||||||||||||
Ratio of expenses to average net assets | 1.40% | 1.45% | 1.51% | 1.55% | 1.55% | 1.55% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.52% | 1.65% | 1.70% | 1.71% | 1.72% | 1.75% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.91% | ) | (0.97% | ) | (0.27% | ) | (0.99% | ) | (0.94% | ) | (0.95% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.03% | ) | (1.17% | ) | (0.46% | ) | (1.15% | ) | (1.11% | ) | (1.15% | ) | ||||||||||||
Portfolio turnover
|
| 34%
|
|
| 58%
|
|
| 78%
|
|
| 82%
|
|
| 86%
|
|
| 100%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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.
88
Table of Contents
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 9/30/141 (Unaudited) | Year ended | |||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.880 | $ | 13.740 | $ | 12.590 | $ | 12.610 | $ | 10.070 | $ | 5.690 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.044 | ) | (0.092 | ) | (0.027 | ) | (0.044 | ) | (0.062 | ) | (0.027 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.619 | ) | 2.873 | 1.609 | 0.148 | 2.602 | 4.407 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.663 | ) | 2.781 | 1.582 | 0.104 | 2.540 | 4.380 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.507 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.507 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.710 | $ | 14.880 | $ | 13.740 | $ | 12.590 | $ | 12.610 | $ | 10.070 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (4.64% | ) | 21.85% | 13.23% | 1.01% | 25.22% | 76.98% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 5,495 | $ | 6,058 | $ | 5,711 | $ | 5,372 | $ | 6,102 | $ | 5,918 | ||||||||||||
Ratio of expenses to average net assets | 1.63% | 1.70% | 1.76% | 1.79% | 1.81% | 1.82% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.68% | 1.86% | 1.98% | 1.98% | 2.00% | 2.13% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.61% | ) | (0.64% | ) | (0.22% | ) | (0.38% | ) | (0.59% | ) | (0.32% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.66% | ) | (0.80% | ) | (0.44% | ) | (0.57% | ) | (0.78% | ) | (0.63% | ) | ||||||||||||
Portfolio turnover
|
| 13%
|
|
| 33%
|
|
| 36%
|
|
| 30%
|
|
| 43%
|
|
| 40%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 89
Table of Contents
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 9/30/141 (Unaudited) | Year ended | |||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.760 | $ | 12.810 | $ | 11.840 | $ | 11.940 | $ | 9.590 | $ | 5.460 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.041 | ) | (0.077 | ) | (0.094 | ) | (0.113 | ) | (0.123 | ) | (0.077 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.572 | ) | 2.668 | 1.496 | 0.137 | 2.473 | 4.207 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.613 | ) | 2.591 | 1.402 | 0.024 | 2.350 | 4.130 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.507 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.507 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.640 | $ | 13.760 | $ | 12.810 | $ | 11.840 | $ | 11.940 | $ | 9.590 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (4.65% | ) | 21.97% | 12.53% | 0.39% | 24.50% | 75.64% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 47 | $ | 110 | $ | 236 | $ | 653 | $ | 1,038 | $ | 1,114 | ||||||||||||
Ratio of expenses to average net assets | 1.63% | 1.65% | 2.37% | 2.44% | 2.46% | 2.47% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.43% | 2.56% | 2.63% | 2.63% | 2.65% | 2.78% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.61% | ) | (0.59% | ) | (0.83% | ) | (1.03% | ) | (1.24% | ) | (0.97% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.41% | ) | (1.50% | ) | (1.09% | ) | (1.22% | ) | (1.43% | ) | (1.28% | ) | ||||||||||||
Portfolio turnover
|
| 13%
|
|
| 33%
|
|
| 36%
|
|
| 30%
|
|
| 43%
|
|
| 40%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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 waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
90
Table of Contents
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 9/30/141 (Unaudited) | Year ended | |||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.630 | $ | 12.800 | $ | 11.830 | $ | 11.930 | $ | 9.590 | $ | 5.460 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.090 | ) | (0.175 | ) | (0.100 | ) | (0.113 | ) | (0.124 | ) | (0.076 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.563 | ) | 2.646 | 1.502 | 0.137 | 2.464 | 4.206 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.653 | ) | 2.471 | 1.402 | 0.024 | 2.340 | 4.130 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.507 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.507 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.470 | $ | 13.630 | $ | 12.800 | $ | 11.830 | $ | 11.930 | $ | 9.590 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (4.99% | ) | 21.08% | 12.45% | 0.39% | 24.40% | 75.64% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 19,250 | $ | 20,846 | $ | 20,058 | $ | 19,986 | $ | 22,797 | $ | 22,163 | ||||||||||||
Ratio of expenses to average net assets | 2.38% | 2.40% | 2.41% | 2.44% | 2.46% | 2.47% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.43% | 2.56% | 2.63% | 2.63% | 2.65% | 2.78% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.36% | ) | (1.34% | ) | (0.87% | ) | (1.03% | ) | (1.24% | ) | (0.97% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.41% | ) | (1.50% | ) | (1.09% | ) | (1.22% | ) | (1.43% | ) | (1.28% | ) | ||||||||||||
Portfolio turnover
|
| 13%
|
|
| 33%
|
|
| 36%
|
|
| 30%
|
|
| 43%
|
|
| 40%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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) 91
Table of Contents
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 9/30/141 (Unaudited) | Year ended | |||||||||||||||||||||||
3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | 3/31/10 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.530 | $ | 14.230 | $ | 12.990 | $ | 12.960 | $ | 10.310 | $ | 5.820 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | (0.027 | ) | (0.050 | ) | 0.016 | (0.004 | ) | (0.026 | ) | 0.002 | ||||||||||||||
Net realized and unrealized gain (loss) | (0.656 | ) | 2.995 | 1.661 | 0.158 | 2.676 | 4.505 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | (0.683 | ) | 2.945 | 1.677 | 0.154 | 2.650 | 4.507 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.004 | ) | (0.005 | ) | — | — | (0.008 | ) | |||||||||||||||
Net realized gain | (0.507 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | — | ||||||||||||||
Return of capital | — | — | — | — | — | (0.009 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total dividends and distributions | (0.507 | ) | (1.645 | ) | (0.437 | ) | (0.124 | ) | — | (0.017 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 14.340 | $ | 15.530 | $ | 14.230 | $ | 12.990 | $ | 12.960 | $ | 10.310 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return3 | (4.57% | ) | 22.29% | 13.56% | 1.37% | 25.70% | 77.56% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 455,259 | $ | 439,417 | $ | 318,758 | $ | 310,737 | $ | 274,495 | $ | 161,862 | ||||||||||||
Ratio of expenses to average net assets | 1.38% | 1.40% | 1.41% | 1.44% | 1.46% | 1.47% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.43% | 1.56% | 1.63% | 1.63% | 1.65% | 1.78% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.36% | ) | (0.34% | ) | 0.13% | (0.03% | ) | (0.24% | ) | 0.03% | ||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.41% | ) | (0.50% | ) | (0.09% | ) | (0.22% | ) | (0.43% | ) | (0.28% | ) | ||||||||||||
Portfolio turnover
|
| 13%
|
|
| 33%
|
|
| 36%
|
|
| 30%
|
|
| 43%
|
|
| 40%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding 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.
92
Table of Contents
Optimum Fund Trust
September 30, 2014 (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 4.50% for Optimum Fixed Income Fund and 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. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) of 1.00% if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class B shares may be purchased only through dividend reinvestment and certain permitted exchanges. Prior to Aug. 1, 2007, Class B shares were sold with a CDSC that declined from 4.00% 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 1.00%, 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.
*See Note 11.
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 Funds.
Security Valuation – Equity securities and exchange-traded funds (ETFs), 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 on the valuation date. Securities and ETFs 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 or ETF does not trade, then the mean between the bid and ask prices will be used, which approximates fair value. Securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Open-end investment company securities are valued at net asset value per share, as reported by the underlying investment company. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, interest rate swap options contracts (swaptions) and interest rate swap contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. 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. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. 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, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Funds’ Board of Trustees (Board). In determining
(continues) 93
Table of Contents
Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
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, generally as of 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, each Fund may frequently value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign 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 each Fund’s 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 each Fund’s tax positions taken for all open federal income tax years (March 31, 2011–March 31, 2014) and has concluded that no provision for federal income tax is required in the Funds’ financial statements. In regard to foreign taxes only, each Fund has open tax years in certain foreign countries it invests in that may date back to the inception of each Fund.
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.
Repurchase Agreements — Each Fund may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with each Fund’s custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on Sept. 30, 2014.
Reverse Repurchase Agreements – Optimum Fixed Income Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells securities to a bank or broker/dealer and agrees to repurchase the securities at an agreed upon date and price. The Fund will maintain in a segregated account, cash, cash equivalents, or U.S. government securities in an amount sufficient to cover its obligations under reverse repurchase agreements with broker/dealers (but no collateral is required on reverse repurchase agreements with banks). The Fund will subject its investments in reverse repurchase agreements to the borrowing provisions set forth in the 1940 Act. The use of reverse repurchase agreements by the Fund creates leverage, which increases the Fund’s investment risk. If the income and gains on securities purchased with the proceeds of reverse repurchase agreements exceed the costs of the agreements, the Fund’s earnings or NAV will increase faster than otherwise would be the case; conversely, if the income and gains fail to exceed the costs, earnings or NAV would decline faster than otherwise would be the case. At Sept. 30, 2014, there were no open reverse repurchase agreements in the Fund.
To Be Announced Trades (TBA) – Optimum Fixed Income Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (examples: 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 or sell 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 or the transaction is completed; 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 Funds’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. 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 generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses) is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, these changes are included in
94
Table of Contents
net realized and unrealized gain or loss 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 fair value of investments, 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 the differences could be material.
Other — Expenses directly attributable to a Fund are charged directly to that Fund. Other expenses common to various funds within the Trust are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are amortized to interest income over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-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 tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims 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 may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. Each Fund declares and pays distributions from net investment income and net realized gain on investments, if any, at least annually. The Funds may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Each Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no earnings credits for the six months ended Sept. 30, 2014.
Each Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expense offset shown under “Less expense paid indirectly.” For the six months ended Sept. 30, 2014, each Fund earned the following amounts under this agreement:
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 | |||||||
$198 | $197 | $210 | $210 | $208 | $210 |
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-advisors 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-advisors, and to monitor the sub-advisors’ compliance with the relevant Fund’s investment objective, policies and restrictions. DMC pays the sub-advisors 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:
(continues) 95
Table of Contents
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
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 from $1 billion to $2.5 billion | ||
0.4750% of net assets over $2.5 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 – BlackRock Advisors, LLC (BlackRock) and EARNEST Partners, LLC (EARNEST); Optimum Large Cap Growth Fund – T. Rowe Price Associates, Inc. (T. Rowe Price), and Fred Alger Management, Inc. (Alger); Optimum Large Cap Value Fund – Massachusetts Financial Services Company (MFS) and Herndon Capital Management, LLC (Herndon); Optimum Small-Mid Cap Growth Fund – Columbia Wanger Asset Management, LLC (Columbia WAM) and Wellington Management Company, LLP (Wellington Management); Optimum Small-Mid Cap Value Fund – The Killen Group, Inc. (Killen), Westwood Management Corp. (Westwood) and The Delafield Group, a division of Tocqueville Asset Management L.P. (Tocqueville).
For the six months ended Sept. 30, 2014, DMC paid the following sub-advisory fees:
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 | |||||||
$1,102,789 | $1,313,402 | $2,324,685 | $1,805,214 | $1,762,044 | $1,433,116 |
DMC has contractually agreed to waive that portion, if any, of its management fee and reimburse each Fund to the extent necessary to ensure that total annual fund operating expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale and dividend interest expenses, brokerage fees, 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)) do not exceed the following
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percentages of each Fund’s average daily net assets from April 1, 2014 through July 29, 2015.* 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 waivers and reimbursements may be terminated only by agreement of DMC and the Funds.
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 | |||||||
Operating expense limitation as a percentage of average daily net assets (per annum) | 0.95% | 1.25% | 1.12% | 1.08% | 1.36% | 1.35% |
Delaware Service Company, Inc. (DSC), an affiliate of DMC, provides fund accounting and financial administration 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: 0.0075% of the first $3 billion; 0.0070% of the next $2 billion; 0.0065% of the next $2.5 billion; 0.0055% of the next $2.5 billion; and 0.0050% 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 Sept. 30, 2014, each Fund was charged for these services as follows:
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 | |||||||
$65,632 | $24,014 | $45,867 | $44,364 | $17,372 | $17,404 |
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 0.120% of assets up to $500 million of the Funds’ average daily net assets; 0.095% of assets from $500 million to $1 billion; and 0.070% of assets over $1 billion.
DSC also serves as the shareholder servicing, dividend disbursing and transfer agent for each Fund. For these services, the Trust pays DSC a fee at an annual rate of 0.200% of the Trust’s total average daily net assets, subject to certain minimums, plus out-of-pocket expenses. Pursuant to a sub-transfer agency agreement between DSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Funds. Sub-transfer agency fees are passed on to and paid directly by the Funds.
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 distribution and service fee of 0.25% 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 Class C shares. Institutional Class shares pay no distribution expenses. DDLP has contractually agreed to waive Class B shares’ 12b-1 fees from April 1, 2014 through July 29, 2015** to 0.25% of average daily net assets for all Funds.
* | The contractual waiver period is from July 29, 2014 through July 29, 2015. Prior to July 28, 2014, the contractual waiver for 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 was 1.00%, 1.40%, 1.25%, 1.20%, 1.43%, and 1.40%, respectively. |
**The contractual waiver periods are from July 29, 2014 through July 29, 2015.
For the six months ended Sept. 30, 2014, DDLP earned commissions on sales of Class A shares for each Fund as follows:
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 | |||||||
$17,557 | $3,549 | $12,253 | $11,906 | $2,108 | $1,727 |
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Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements and Other Transactions with Affiliates (continued)
For the six months ended Sept. 30, 2014, DDLP received gross CDSC commissions on redemptions of each Fund’s Class C shares, respectively, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares. The amounts received were as follows:
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 | |||||||
Class C | $12 | $93 | $31 | $31 | $5 | $5 |
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 Sept. 30, 2014, the Funds made purchases and sales of investments securities other than short-term investments as follows:
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 | |||||||||||||||||||||||||
Purchases other than U.S. government securities | $ | 1,074,288,649 | $ | 314,891,490 | $ | 562,914,520 | $ | 311,881,076 | $ | 185,552,261 | $ | 78,728,984 | ||||||||||||||||||
Purchases of U.S. government securities | 4,328,627,913 | — | — | — | — | — | ||||||||||||||||||||||||
Sales other than U.S. government securities | 984,043,439 | 261,308,879 | 503,407,798 | 223,090,032 | 156,998,722 | 54,326,543 | ||||||||||||||||||||||||
Sales of U.S. government securities | 4,202,001,525 | — | — | — | — | — |
At Sept. 30, 2014, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At Sept. 30, 2014, the cost of investments and unrealized appreciation (depreciation) for each Fund were as follows:
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 | |||||||||||||||||||||||||
Cost of investments | $ | 2,058,161,980 | $ | 705,885,148 | $ | 1,115,044,693 | $ | 984,862,663 | $ | 406,350,260 | $ | 405,176,802 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Aggregate unrealized appreciation | $ | 45,781,065 | $ | 59,060,180 | $ | 249,578,572 | $ | 312,167,449 | $ | 103,403,926 | $ | 93,712,973 | ||||||||||||||||||
Aggregate unrealized depreciation | (30,333,245 | ) | (45,540,326 | ) | (15,744,793 | ) | (21,368,858 | ) | (14,641,421 | ) | (16,837,972 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation | $ | 15,447,820 | $ | 13,519,854 | $ | 233,833,779 | $ | 290,798,591 | $ | 88,762,505 | $ | 76,875,001 | ||||||||||||||||||
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For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At March 31, 2014, Optimum Large Cap Growth, Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund did not have any capital loss carryforwards outstanding. Capital loss carryforwards remaining at March 31, 2014 will expire as follows:
Year of Expiration | Optimum International Fund | Optimum Large Cap Value Fund | ||||||
3/31/18 | $14,704,841 | $57,884,661 |
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, each Fund is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Losses incurred that will be carried forward under the Act are as follows:
Optimum Fixed Income Fund |
Loss carryforward character Short-term $20,553,369 |
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 circumstances. Each Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) | ||
Level 3 | – | Significant unobservable inputs, including each Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
(continues) 99
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Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
The following tables summarize the valuation of each Fund’s investments by fair value hierarchy levels as of Sept. 30, 2014:
Optimum Fixed Income Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Agency, Asset- & Mortgage-Backed Securities1 | $ | ��� | $ | 441,045,631 | $ | 5,093,117 | $ | 446,138,748 | ||||||||
Corporate Debt | — | 748,385,293 | — | 748,385,293 | ||||||||||||
Foreign Debt | — | 153,881,221 | — | 153,881,221 | ||||||||||||
Municipal Bonds | — | 12,665,775 | — | 12,665,775 | ||||||||||||
Senior Secured Loans | — | 107,565,259 | 1,850,000 | 109,415,259 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Convertible Preferred Stock1 | 3,168,157 | 1,912,234 | — | 5,080,391 | ||||||||||||
Preferred Stock1 | 2,719,660 | 5,633,250 | — | 8,352,910 | ||||||||||||
U.S. Treasury Obligations | — | 399,462,211 | — | 399,462,211 | ||||||||||||
Short-Term Investments | — | 192,384,316 | — | 192,384,316 | ||||||||||||
Options Purchased | 1,488 | — | — | 1,488 | ||||||||||||
Liabilities: | ||||||||||||||||
Security Sold Short | — | (2,157,812 | ) | — | (2,157,812 | ) | ||||||||||
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| |||||||||
Total | $ | 5,889,305 | $ | 2,060,777,378 | $ | 6,943,117 | $ | 2,073,609,800 | ||||||||
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| |||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 7,823,499 | $ | — | $ | 7,823,499 | ||||||||
Futures Contracts | (992,087 | ) | — | — | (992,087 | ) | ||||||||||
Swap Contracts | — | (639,889 | ) | — | (639,889 | ) | ||||||||||
Options Written | (213 | ) | (825,852 | ) | — | (826,065 | ) |
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments and Level 3 investments represent the following percentages of the total market value of these security types:
Optimum Fixed Income Fund | ||||||||
Level 1 | Level 2 | Level 3 | Total | |||||
Agency, Asset & Mortgage-Backed Securities | — | 98.86% | 1.14% | 100.00% | ||||
Convertible Preferred Stock | 62.36% | 37.64% | — | 100.00% | ||||
Preferred Stock | 32.56% | 67.44% | — | 100.00% |
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Optimum International Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stock | ||||||||||||||||
Argentina | 2,156,517 | — | — | 2,156,517 | ||||||||||||
Australia | $ | 5,383,928 | $ | — | $ | — | $ | 5,383,928 | ||||||||
Austria | 14,025,856 | — | — | 14,025,856 | ||||||||||||
Belgium | 7,588,509 | — | — | 7,588,509 | ||||||||||||
Bermuda | 9,468,836 | — | — | 9,468,836 | ||||||||||||
Brazil | 10,372,901 | — | — | 10,372,901 | ||||||||||||
British Virgin Islands | 1,924,832 | — | — | 1,924,832 | ||||||||||||
Canada | 19,680,773 | — | — | 19,680,773 | ||||||||||||
China/Hong Kong | 61,613,609 | — | — | 61,613,609 | ||||||||||||
Colombia | 4,651,777 | — | — | 4,651,777 | ||||||||||||
Czech Republic | 4,037,364 | — | — | 4,037,364 | ||||||||||||
Denmark | 3,469,106 | — | — | 3,469,106 | ||||||||||||
France | 31,072,515 | — | — | 31,072,515 | ||||||||||||
Germany | 10,431,028 | — | — | 10,431,028 | ||||||||||||
Greece | 2,008,030 | — | — | 2,008,030 | ||||||||||||
India | 24,187,588 | — | — | 24,187,588 | ||||||||||||
Indonesia | 6,242,633 | — | — | 6,242,633 | ||||||||||||
Ireland | 41,134,418 | — | — | 41,134,418 | ||||||||||||
Israel | 3,746,375 | — | — | 3,746,375 | ||||||||||||
Italy | 8,129,362 | — | — | 8,129,362 | ||||||||||||
Japan | 69,558,177 | — | — | 69,558,177 | ||||||||||||
Mexico | 3,546,202 | — | — | 3,546,202 | ||||||||||||
Netherlands | 25,704,742 | — | — | 25,704,742 | ||||||||||||
New Zealand | 951,019 | 1,679,586 | — | 2,630,605 | ||||||||||||
Nigeria | 3,104,984 | — | — | 3,104,984 | ||||||||||||
Norway | 30,053,611 | — | — | 30,053,611 | ||||||||||||
Panama | 1,931,220 | — | — | 1,931,220 | ||||||||||||
Peru | 1,702,629 | — | — | 1,702,629 | ||||||||||||
Republic of Korea | 18,834,724 | — | — | 18,834,724 | ||||||||||||
Singapore | 9,607,667 | — | — | 9,607,667 | ||||||||||||
South Africa | 3,166,199 | — | — | 3,166,199 | ||||||||||||
Spain | 17,039,366 | — | — | 17,039,366 | ||||||||||||
Sweden | 11,260,265 | — | — | 11,260,265 | ||||||||||||
Switzerland | 59,500,636 | — | — | 59,500,636 | ||||||||||||
Taiwan | 12,757,805 | — | — | 12,757,805 | ||||||||||||
Turkey | 9,272,009 | — | — | 9,272,009 | ||||||||||||
United Kingdom | 75,800,011 | — | 1,576,828 | 77,376,839 | ||||||||||||
United States | 17,880,000 | — | 920,463 | 18,800,463 | ||||||||||||
Exchange-Traded Fund | 2,883,124 | — | — | 2,883,124 | ||||||||||||
Preferred Stock | 3,545,054 | — | — | 3,545,054 | ||||||||||||
Warrant | 90,531 | — | — | 90,531 | ||||||||||||
Short-Term Investments | — | 8,998,250 | — | 8,998,250 | ||||||||||||
Securities Lending Collateral | — | 56,713,943 | — | 56,713,943 | ||||||||||||
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| |||||||||
Total | $ | 649,515,932 | $ | 67,391,779 | $ | 2,497,291 | $ | 719,405,002 | ||||||||
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Foreign Currency Exchange Contracts | $ | — | $ | 923,652 | $ | — | $ | 923,652 |
(continues) 101
Table of Contents
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Large Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stock | 1,308,188,510 | — | — | 1,308,188,510 | ||||||||||||
Convertible Preferred Stock | — | — | 901,427 | 901,427 | ||||||||||||
Short-Term Investments | — | 39,788,535 | — | 39,788,535 | ||||||||||||
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|
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|
|
| |||||||||
Total | $ | 1,308,188,510 | $ | 39,788,535 | $ | 901,427 | $ | 1,348,878,472 | ||||||||
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| |||||||||
Foreign Currency Exchange Contract | $ | — | $ | 536 | $ | — | $ | 536 | ||||||||
Optimum Large Cap Value Fund | ||||||||||||||||
Level 1 | Level 2 | Total | ||||||||||||||
Common Stock | $ | 1,235,333,711 | $ | — | $ | 1,235,333,711 | ||||||||||
Convertible Preferred Stock | 440,497 | — | 440,497 | |||||||||||||
Short-Term Investments | — | 39,887,047 | 39,887,047 | |||||||||||||
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| |||||||||||
Total | $ | 1,235,774,208 | $ | 39,887,047 | $ | 1,275,661,255 | ||||||||||
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Optimum Small-Mid Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 71,550,416 | $ | — | $ | — | $ | 71,550,416 | ||||||||
Consumer Staples | 13,221,988 | — | — | 13,221,988 | ||||||||||||
Energy | 21,877,019 | — | — | 21,877,019 | ||||||||||||
Financials | 55,519,713 | — | — | 55,519,713 | ||||||||||||
Healthcare | 71,972,242 | — | — | 71,972,242 | ||||||||||||
Industrials | 118,206,861 | — | — | 118,206,861 | ||||||||||||
Information Technology | 92,104,889 | — | 129,669 | 92,234,558 | ||||||||||||
Materials | 13,775,338 | — | — | 13,775,338 | ||||||||||||
Telecommunication Services | 7,066,872 | — | — | 7,066,872 | ||||||||||||
Convertible Preferred Stock1 | — | 6,600,292 | 2,094,427 | 8,694,719 | ||||||||||||
Preferred Stock | — | — | 2,310,711 | 2,310,711 | ||||||||||||
Short-Term Investments | — | 18,682,328 | — | 18,682,328 | ||||||||||||
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|
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|
| |||||||||
Total | $ | 465,295,338 | $ | 25,282,620 | $ | 4,534,807 | $ | 495,112,765 | ||||||||
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|
|
| |||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (34 | ) | $ | — | $ | (34 | ) |
1Security type is valued across multiple levels. The amounts attributed to Level 2 investments and Level 3 investments represent 75.91% and 24.09%, respectively, of the total market value of this security type. Level 2 investments represent investments with observable inputs or matrix-priced investments while Level 3 investments represent investments without observable inputs.
Optimum Small-Mid Cap Value Fund | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Common Stock | $ | 428,568,552 | $ | — | $ | 428,568,552 | ||||||
Short-Term Investments | — | 53,483,251 | 53,483,251 | |||||||||
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| |||||||
Total | $ | 428,568,552 | $ | 53,483,251 | $ | 482,051,803 | ||||||
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|
|
|
The securities that have been deemed worthless on the “Schedules of investments” are considered to be Level 3 investments in these tables.
During the six months ended Sept. 30, 2014, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Funds. This does not include transfers between Level 1 investments and Level 2 investments due to the
102
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Funds utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities in each Fund occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that the Funds’ net asset value is determined) will be established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Fund’s net asset value is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. Each Fund’s policy is to recognize transfers at the beginning of the period.
A reconciliation of Level 3 investments is presented when each Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to each Fund’s net assets. Management has determined not to provide additional disclosure on Level 3 inputs under ASU No. 2011-04 since the Level 3 investments are not considered significant to each Fund’s net assets at the end of the period.
4. Capital Shares
Transactions in capital shares were as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | ||||||||||||||||||||||
Six months 9/30/14 | Year ended 3/31/14 | Six months ended 9/30/14 | Year ended | Six months ended 9/30/14 | Year ended 3/31/14 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class A | 460,159 | 1,000,079 | 68,719 | 164,094 | 150,328 | 270,733 | ||||||||||||||||||
Class B | 2,157 | 11,996 | 521 | 1,696 | — | — | ||||||||||||||||||
Class C | 1,486,602 | 3,653,069 | 224,534 | 516,592 | 412,595 | 830,030 | ||||||||||||||||||
Institutional Class | 29,320,133 | 52,479,284 | 7,714,352 | 13,817,101 | 9,273,796 | 15,787,976 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | 31,073 | 74,238 | 2,713 | 6,158 | 131,596 | 240,221 | ||||||||||||||||||
Class B | 359 | 1,354 | 49 | 189 | 2,683 | 8,509 | ||||||||||||||||||
Class C | 87,707 | 178,787 | — | 11,515 | 515,011 | 922,805 | ||||||||||||||||||
Institutional Class | 1,235,681 | 3,035,957 | 178,700 | 436,578 | 3,413,810 | 5,465,216 | ||||||||||||||||||
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| |||||||||||||
32,623,871 | 60,434,764 | 8,189,588 | 14,953,923 | 13,899,819 | 23,525,490 | |||||||||||||||||||
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Shares redeemed: | ||||||||||||||||||||||||
Class A | (522,992 | ) | (725,990 | ) | (86,305 | ) | (143,645 | ) | (253,009 | ) | (481,398 | ) | ||||||||||||
Class B | (31,994 | ) | (82,361 | ) | (10,289 | ) | (24,065 | ) | (28,549 | ) | (69,546 | ) | ||||||||||||
Class C | (1,278,235 | ) | (2,727,197 | ) | (187,667 | ) | (422,881 | ) | (663,616 | ) | (1,793,236 | ) | ||||||||||||
Institutional Class | (12,979,811 | ) | (28,975,875 | ) | (3,138,259 | ) | (6,280,513 | ) | (4,812,081 | ) | (9,508,944 | ) | ||||||||||||
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| |||||||||||||
(14,813,032 | ) | (32,511,423 | ) | (3,422,520 | ) | (6,871,104 | ) | (5,757,255 | ) | (11,853,124 | ) | |||||||||||||
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| |||||||||||||
Net increase | 17,810,839 | 27,923,341 | 4,767,068 | 8,082,819 | 8,142,564 | 11,672,366 | ||||||||||||||||||
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(continues) 103
Table of Contents
Notes to financial statements
Optimum Fund Trust
4. Capital Shares (continued)
Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||||||||||||||||||
Six months ended 9/30/14 | Year ended | Six months ended 9/30/14 | Year ended 3/31/14 | Six months ended 9/30/14 | Year ended 3/31/14 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class A | 152,569 | 288,149 | 28,099 | 57,896 | 24,508 | 40,164 | ||||||||||||||||||
Class B | — | 131 | — | — | — | — | ||||||||||||||||||
Class C | 400,441 | 864,017 | 81,610 | 166,070 | 70,621 | 122,226 | ||||||||||||||||||
Institutional Class | 10,273,263 | 18,155,553 | 4,413,275 | 7,266,342 | 4,610,919 | 7,698,944 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | 10,581 | 16,351 | 15,734 | 48,996 | 13,878 | 48,311 | ||||||||||||||||||
Class B | 186 | 125 | 324 | 1,872 | 295 | 1,912 | ||||||||||||||||||
Class C | 21,859 | 5,715 | 61,827 | 183,909 | 58,201 | 199,457 | ||||||||||||||||||
Institutional Class | 340,427 | 605,862 | 956,136 | 2,451,119 | 985,018 | 2,808,274 | ||||||||||||||||||
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| |||||||||||||
11,199,326 | 19,935,903 | 5,557,005 | 10,176,204 | 5,763,440 | 10,919,288 | |||||||||||||||||||
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Shares redeemed: | ||||||||||||||||||||||||
Class A | (235,638 | ) | (435,193 | ) | (54,124 | ) | (97,157 | ) | (44,494 | ) | (97,135 | ) | ||||||||||||
Class B | (25,389 | ) | (69,058 | ) | (5,306 | ) | (12,926 | ) | (4,565 | ) | (12,348 | ) | ||||||||||||
Class C | (567,131 | ) | (1,497,758 | ) | (113,045 | ) | (344,301 | ) | (113,988 | ) | (359,849 | ) | ||||||||||||
Institutional Class | (4,841,557 | ) | (10,186,922 | ) | (2,074,740 | ) | (4,606,449 | ) | (2,147,455 | ) | (4,603,643 | ) | ||||||||||||
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| |||||||||||||
(5,669,715 | ) | (12,188,931 | ) | (2,247,215 | ) | (5,060,833 | ) | (2,310,502 | ) | (5,072,975 | ) | |||||||||||||
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| |||||||||||||
Net increase | 5,529,611 | 7,746,972 | 3,309,790 | 5,115,371 | 3,452,938 | 5,846,313 | ||||||||||||||||||
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For the six months ended Sept. 30, 2014, and the year ended March 31, 2014, the following shares and values were converted from Class B to Class A. The amounts are included in Class B redemptions and Class A subscriptions in the tables above and the “Statements of changes in net assets.”
Six months ended 9/30/14 | Year ended 3/31/14 | |||||||||||||||||||||||
Class B Shares | Class A Shares | Value | Class B Shares | Class A Shares | Value | |||||||||||||||||||
Optimum Fixed Income Fund | 291 | 291 | $ | 2,804 | 39,925 | 39,876 | $ | 377,824 | ||||||||||||||||
Optimum International Fund | 106 | 104 | 1,294 | 10,379 | 10,185 | 119,447 | ||||||||||||||||||
Optimum Large Cap Growth Fund | 290 | 268 | 4,521 | 25,481 | 23,838 | 372,877 | ||||||||||||||||||
Optimum Large Cap Value Fund | 257 | 255 | 4,094 | 29,211 | 28,937 | 400,667 | ||||||||||||||||||
Optimum Small-Mid Cap Growth Fund | 59 | 55 | 840 | 5,102 | 4,739 | 70,060 | ||||||||||||||||||
Optimum Small-Mid Cap Value Fund | 69 | 64 | 923 | 5,391 | 5,001 | 69,457 |
5. Derivatives
U.S. GAAP requires 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 and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Fund may enter into these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. Each Fund may also 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. In addition, each Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. 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.
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The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Fund’s maximum risk of loss from counterparty credit risk is the value of its 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. Optimum International Fund received $50,000 cash collateral for open foreign currency exchange contracts, which is presented as cash collateral due to brokers on the “Statements of assets and liabilities.”
During the six months ended Sept. 30, 2014, each Fund except Optimum Small-Mid Cap Value Fund, used foreign currency exchange contracts to fix the U.S. dollar value of a security between trade date and settlement date, hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies, and to facilitate or expedite the settlement of portfolio transactions.
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. Optimum Fixed Income Fund may use futures in the normal course of pursuing its investment objective. Optimum Fixed Income Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default.
During the six months ended Sept. 30, 2014, Optimum Fixed Income Fund used futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions and to facilitate investments in portfolio securities.
Options Contracts — Optimum Fixed Income Fund may enter 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 without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions 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 option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option 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.
(continues) 105
Table of Contents
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
Transactions in options written during the six months ended Sept. 30, 2014 for Optimum Fixed Income Fund were as follows:
Call options | Number of contracts | Premiums | ||||||||
Options outstanding March 31, 2014 | 50,100,037 | $ | 361,416 | |||||||
Options written | 82,362,000 | 258,114 | ||||||||
Options expired | (45,700,037 | ) | (358,416 | ) | ||||||
Options terminated in closing purchase transactions | (50,100,000 | ) | (48,701 | ) | ||||||
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|
| |||||||
Options outstanding Sept. 30, 2014 | 36,662,000 | $ | 212,413 | |||||||
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|
| |||||||
Put options | Number of contracts | Premiums | ||||||||
Options outstanding March 31, 2014 | 55,800,037 | $ | 289,905 | |||||||
Options written | 52,989,000 | 271,579 | ||||||||
Options expired | (37 | ) | 79,406 | |||||||
Options terminated in closing purchase transactions | (55,799,966 | ) | (369,310 | ) | ||||||
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|
| |||||||
Options outstanding Sept. 30, 2014 | 52,989,034 | $ | 271,580 | |||||||
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|
|
During the six months ended Sept. 30, 2014, Optimum Fixed Income Fund used options contracts to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions, to adjust the Fund’s overall exposure to certain markets, to receive premiums for writing options and to facilitate investments in portfolio securities.
Swap Contracts — Optimum Fixed Income Fund may enter into currency swap contracts, index swap contracts, inflation swaps, interest rate swap contracts, and CDS contracts in the normal course of pursuing its investment objective. The Fund may invest in interest rate swaps to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. The Fund may use currency swaps to protect against currency fluctuations. 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. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at least BBB- by Standard & Poor’s Financial Services LLC. (S&P) or Baa3 by Moody’s Investors Service Inc. (Moody’s) or is determined to be of equivalent credit quality by DMC.
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 Optimum Fixed Income Fund from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Fund receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts. A 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 (1) for bilateral swap contracts, 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 and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended Sept. 30, 2014, Optimum Fixed Income Fund entered into interest rate swap contracts to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates.
106
Table of Contents
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended Sept. 30, 2014, Optimum Fixed Income Fund entered into CDS contracts as a purchaser and seller of protection, as a hedge against credit events. 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 daily as unrealized appreciation or depreciation. 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. Initial margin and variation margin are posted to central counterparties for central cleared CDS basket trades, as determined by the applicable central counterparty.
As disclosed in the footnotes to the “Schedules of investments,” at Sept. 30, 2014, the notional value of the protection sold was EUR 1,300,000 and USD 5,400,000, which reflects the maximum potential amount Optimum Fixed Income Fund would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, 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 has 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 Sept. 30, 2014, net unrealized appreciation of the protection sold was $132,586.
CDS contracts may involve greater risks than if Optimum Fixed Income Fund had invested in the reference obligation directly. CDS contracts 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 (1) for bilateral swap contracts, 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 and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended Sept. 30, 2014, Optimum Fixed Income Fund used CDS contracts to hedge against a credit event, and to gain exposure to certain securities or markets.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event Optimum Fixed Income Fund terminated its position in the contract on a given day. 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 “Schedules of investments.”
At Sept. 30, 2014, for bilateral swap contracts, Optimum Fixed Income Fund posted $2,730,000 in cash collateral for certain open derivatives, which is presented as “Cash collateral due from brokers” on the “Statements of assets and liabilities.” Optimum Fixed Income Fund posted $818,449 in cash collateral for centrally cleared swap contracts, which is presented as “Cash collateral due from brokers” on the “Statements of assets and liabilities.” At Sept. 30, 2014, the Fund received $4,334,000 securities collateral for certain open derivatives.
(continues) 107
Table of Contents
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
Fair values of derivative instruments as of Sept. 30, 2014 were as follows:
Optimum Fixed Income Fund | ||||||||||||
Asset Derivatives | Liability Derivatives | |||||||||||
Statements of Assets and Liabilities | Fair Value | Statements of Assets and Liabilities | Fair Value | |||||||||
Forward currency exchange contracts (Foreign currency exchange contracts) | Unrealized gain on foreign currency exchange contracts/options written, at value | $ | 8,960,124 | Unrealized loss on foreign currency exchange contracts/options written, at value | $ | (1,797,163 | ) | |||||
Interest rate | Variation margin receivable on futures contracts/ options written, at value | — | * | Variation margin payable on futures contracts/ options written, at value | (992,300 | )* | ||||||
Credit contracts (Swap contracts/Options written, at value) | Unrealized gain on credit default swap contracts/ options written, at value | 162,619 | Unrealized loss on credit default swap contracts/ options written, at value | (197,839 | ) | |||||||
Interest rate contracts (Swap contracts/Options written, at value) | Unrealized gain on interest rate swap contracts/options written, at value | 858,316 | Unrealized loss on interest rate swap contracts/options written, at value | (1,628,299 | ) | |||||||
|
|
|
| |||||||||
Total | $ | 9,981,059 | $ | (4,615,601 | ) | |||||||
|
|
|
|
*Includes cumulative appreciation of futures contracts from the date the contracts are opened through Sept. 30, 2014. Only current day variation margin is reported on Optimum Fixed Income Fund’s “Statements of assets and liabilities.”
The effect of derivative instruments on the Optimum Fixed Income Fund’s “Statements of operations” for the six months ended Sept. 30, 2014 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Written | Swap Contracts | Total | ||||||||||||||||
Forward currency exchange contracts | $ | (2,685,428 | ) | $ | — | $ | — | $ | — | $ | (2,685,428 | ) | ||||||||
Interest rate contracts | — | (1,547,606 | ) | 36,800 | (3,308,013 | ) | (4,818,819 | ) | ||||||||||||
Credit contracts | — | — | 389,100 | (2,818,125 | ) | (2,429,025 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (2,685,428 | ) | $ | (1,547,606 | ) | $ | 425,900 | $ | (6,126,138 | ) | $ | (9,933,272 | ) | ||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Written | Swap Contracts | Total | ||||||||||||||||
Forward currency exchange contracts | $ | 10,882,980 | $ | — | $ | (393,491 | ) | $ | — | $ | 10,489,489 | |||||||||
Interest rate contracts | — | 23,107 | (312,499 | ) | 1,947,111 | 1,657,719 | ||||||||||||||
Credit contracts | — | — | (22,866 | ) | 2,045,270 | 2,022,404 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 10,882,980 | $ | 23,107 | $ | (728,856 | ) | $ | 3,992,381 | $ | 14,169,612 | |||||||||
|
|
|
|
|
|
|
|
|
|
Derivatives Generally. The tables below summarize the average balance of derivative holdings by the Funds during the six months ended Sept. 30, 2014. During the six months ended Sept. 30, 2014, Optimum Small-Mid Cap Value Fund did not enter into any derivative contracts.
108
Table of Contents
Long Derivative Volume | ||||||||||||||||||||||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | ||||||||||||||||||||||||||||||||
Foreign currency exchange contracts | USD | 32,687,176 | USD 45,422,102 | USD | 24,012 | USD | 45,501 | USD | 1,820 | |||||||||||||||||||||||||||
Futures contracts | 182,989,557 | — | — | — | — | |||||||||||||||||||||||||||||||
Options contracts | 1,911 | — | — | — | — | |||||||||||||||||||||||||||||||
CDS contracts | EUR | 5,874,531 | — | — | — | — | ||||||||||||||||||||||||||||||
USD | 1,960,156 | — | — | — | — | |||||||||||||||||||||||||||||||
Interest rate swap contracts | AUD | 274,270,313 | — | — | — | — | ||||||||||||||||||||||||||||||
BRL | 11,984,375 | — | — | — | — | |||||||||||||||||||||||||||||||
EUR | 23,283,594 | — | — | — | — | |||||||||||||||||||||||||||||||
JPY | 1,361,953,125 | — | — | — | — | |||||||||||||||||||||||||||||||
USD | 41,871,016 | — | — | — | — | |||||||||||||||||||||||||||||||
Short Derivative Volume | ||||||||||||||||||||||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | ||||||||||||||||||||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 174,375,349 | USD 76,510,698 | USD | 70,344 | USD | — | USD | 1,365 | |||||||||||||||||||||||||||
Futures contracts | 171,025,709 | — | — | — | — | |||||||||||||||||||||||||||||||
Options contracts | 166,608 | — | — | — | — | |||||||||||||||||||||||||||||||
CDS contracts | EUR | 1,289,844 | — | — | — | — | ||||||||||||||||||||||||||||||
USD | 5,357,813 | — | — | — | — |
*Long represents buying protection and short represents selling protection.
**Long represents receiving fixed interest payments and short represents paying fixed interest payments.
6. Offsetting
In December 2011, the Financial Accounting Standards Board (FASB) issued guidance that expands disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures are required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset on the “Statements of assets and liabilities” and requires an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarifies which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing. The guidance is effective for financial statements with fiscal years beginning on or after Jan. 1, 2013, and interim periods within those fiscal years.
In order to better define its contractual rights and to secure rights that will help the Funds mitigate its counterparty risk, the Funds entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with each of their derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Funds may, under certain
(continues) 109
Table of Contents
Notes to financial statements
Optimum Fund Trust
6. Offsetting (continued)
circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out) netting including the bankruptcy or insolvency of the counterparty. However, bankruptcy, or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the “Statements of assets and liabilities.”
At Sept. 30, 2014, each Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Optimum Fixed Income Fund | ||||||||||||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||||||||||||||
Bank of America Merrill Lynch | $ | 48,500 | $ | (36,676 | ) | $ | 11,824 | |||||||||||
Barclays Bank | 43,814 | (183,356 | ) | (139,542 | ) | |||||||||||||
BNP Paribas | 15,779 | — | 15,779 | |||||||||||||||
Citigroup Global Markets | 4,081,830 | (2,937,386 | ) | 1,144,444 | ||||||||||||||
Credit Suisse First Boston | 108,485 | — | 108,485 | |||||||||||||||
Deutsche Bank | — | (3,489 | ) | (3,489 | ) | |||||||||||||
Goldman Sachs Capital | 6,177 | — | 6,177 | |||||||||||||||
Hong Kong Shanghai Bank | 14,187 | — | 14,187 | |||||||||||||||
JPMorgan Chase Bank | 4,724,036 | (30,033 | ) | 4,694,003 | ||||||||||||||
Morgan Stanley Capital | 996,621 | (7,955 | ) | 988,666 | ||||||||||||||
Toronto Dominion Bank | 1,217 | — | 1,217 | |||||||||||||||
|
|
|
|
|
| |||||||||||||
Total | $ | 10,040,646 | $ | (3,198,895 | ) | $ | 6,841,751 | |||||||||||
|
|
|
|
|
|
Optimum Fixed Income Fund | ||||||||||||||||||||||||
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount(a) | ||||||||||||||||||
Bank of America Merrill Lynch | $ | 11,824 | $ | — | $ | — | $ | — | $ | — | $ | 11,824 | ||||||||||||
Barclays Bank | (139,542 | ) | — | — | — | — | (139,542 | ) | ||||||||||||||||
BNP Paribas | 15,779 | — | — | — | — | 15,779 | ||||||||||||||||||
Citigroup Global Markets | 1,144,444 | — | — | — | — | 1,144,444 | ||||||||||||||||||
Credit Suisse First Boston | 108,485 | — | — | — | — | 108,485 | ||||||||||||||||||
Deutsche Bank | (3,489 | ) | — | — | — | — | (3,489 | ) | ||||||||||||||||
Goldman Sachs Capital | 6,177 | — | — | — | — | 6,177 | ||||||||||||||||||
Hong Kong Shanghai Bank | 14,187 | — | — | — | — | 14,187 | ||||||||||||||||||
JPMorgan Chase Bank | 4,694,003 | — | (4,175,000 | ) | — | — | 519,003 | |||||||||||||||||
Morgan Stanley Capital | 988,666 | (159,000 | ) | — | — | — | 829,666 | |||||||||||||||||
Toronto Dominion Bank | 1,217 | — | — | — | — | 1,217 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 6,841,751 | $ | (159,000 | ) | $ | (4,175,000 | ) | $ | — | $ | — | $ | 2,507,751 | ||||||||||
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Optimum Fixed Income Fund | ||||||||||||||||
Master Repurchase Agreements Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||
Bank of America Merrill Lynch | $ | 11,611,892 | $ | (11,611,892 | ) | $ | — | $ | — | |||||||
Bank of Montreal | 3,870,631 | (3,870,631 | ) | — | — | |||||||||||
BNP Paribas | 54,766,477 | (54,766,477 | ) | — | — | |||||||||||
JPMorgan Chase Bank | 16,500,000 | (16,500,000 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 86,749,000 | $ | (86,749,000 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
Optimum International Fund | ||||||||||||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||||||||||||||
Brown Brothers Harriman | $ | 110 | $ | (236 | ) | $ | (126 | ) | ||||||||||
BNY Mellon | 450 | (294 | ) | 156 | ||||||||||||||
Citigroup Global Markets | 243,332 | (884,054 | ) | (640,722 | ) | |||||||||||||
Morgan Stanley Capital | 2,155,446 | (591,102 | ) | 1,564,344 | ||||||||||||||
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|
|
|
| |||||||||||||
Total | $ | 2,399,338 | $ | (1,475,686 | ) | $ | 923,652 | |||||||||||
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|
|
|
|
|
Optimum International Fund | ||||||||||||||||||||||||
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount(a) | ||||||||||||||||||
Brown Brothers Harriman | $ | (126) | $ | — | $ | — | $ | — | $ | — | $ | (126) | ||||||||||||
BNY Mellon | 156 | — | — | — | — | 156 | ||||||||||||||||||
Citigroup Global Markets | (640,722) | — | — | — | — | (640,722) | ||||||||||||||||||
Morgan Stanley Capital | 1,564,344 | — | — | — | — | 1,564,344 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 923,652 | $ | — | $ | — | $ | — | $ | — | $ | 923,652 | ||||||||||||
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|
|
|
|
|
|
|
|
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|
|
Optimum International Fund | ||||||||||||||||
Master Repurchase Agreements Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||
Bank of America Merrill Lynch | $ | 800,057 | $ | (800,057 | ) | $ | — | $ | — | |||||||
Bank of Montreal | 266,685 | (266,685 | ) | — | — | |||||||||||
BNP Paribas | 776,258 | (776,258 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,843,000 | $ | (1,843,000 | ) | $ | — | $ | — | |||||||
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|
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|
|
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Notes to financial statements
Optimum Fund Trust
6. Offsetting (continued)
Optimum Large Cap Growth Fund | ||||||||||||||||
Master Repurchase Agreements(b) Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||
Bank of America Merrill Lynch | $ | 4,164,376 | $ | (4,164,376) | $ | — | $ | — | ||||||||
Bank of Montreal | 1,388,125 | (1,388,125) | — | — | ||||||||||||
BNP Paribas | 4,040,499 | (4,040,499) | — | — | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | 9,593,000 | $ | (9,593,000) | $ | — | $ | — | ||||||||
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|
|
|
|
|
|
| |||||||||
Optimum Large Cap Value Fund | ||||||||||||||||
Master Repurchase Agreements Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||
Bank of America Merrill Lynch | $ | 14,259,937 | $ | (14,259,937) | $ | — | $ | — | ||||||||
Bank of Montreal | 4,753,312 | (4,753,312) | — | — | ||||||||||||
BNP Paribas | 13,835,751 | (13,835,751) | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 32,849,000 | $ | (32,849,000) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Optimum Small-Mid Cap Growth Fund | ||||||||||||||||
Master Repurchase Agreements(b) Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||
Bank of America Merrill Lynch | $ | 3,724,627 | $ | (3,724,627) | $ | — | $ | — | ||||||||
Bank of Montreal | 1,241,542 | (1,241,542) | — | — | ||||||||||||
BNP Paribas | 3,613,831 | (3,613,831) | — | — | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total | $ | 8,580,000 | $ | (8,580,000) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Optimum Small-Mid Cap Value Fund | ||||||||||||||||
Master Repurchase Agreements Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Amount(a) | ||||||||||||
Bank of America Merrill Lynch | $ | 7,031,209 | $ | (7,031,209) | $ | — | $ | — | ||||||||
Bank of Montreal | 2,343,737 | (2,343,737) | — | — | ||||||||||||
BNP Paribas | 6,822,054 | (6,822,054) | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 16,197,000 | $ | (16,197,000) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a)Net amount represents the receivable/(payable) that would be due from/(to) the counterparty in the event of default.
(b)Table excludes counterparties where the absolute value of the total is less than 0.05% of the net assets of the respective Fund. These holdings are deemed immaterial to the respective Fund.
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7. Securities Lending
Each Fund, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (2) 105% with respect to foreign securities. 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 initial 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 initial collateral requirement, upon the 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 applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day may be more or less than the value of the security on loan.
Cash collateral received is generally invested in the Delaware Investments® Collateral Fund No. 1 (Collective Trust) established by BNY Mellon for the purpose of investment on behalf of funds managed by DMC that participate in BNY Mellon’s securities lending program. 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 generally have a dollar-weighted average portfolio maturity of 60 days or less. 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 changes in value of the securities loaned that may occur during the term of the loan. The Funds have the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Funds receive loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Funds, the security lending agent and the borrower. The Funds record security lending income net of allocations to the security lending agent, and the borrower.
The Collective Trust used for the investment of cash collateral received from borrowers of securities 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 collateral 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.
At Sept. 30, 2014, the value of securities on loan for Optimum International Fund was $52,923,196, for which the Fund received collateral comprised of non-cash collateral valued at $29,206, and cash collateral of $56,713,943. At Sept. 30, 2014, the value of invested collateral for Optimum International Fund was $56,713,943. Investments purchased with cash collateral are presented on the schedules of investments under the caption “Securities Lending Collateral.” At Sept. 30, 2014 , Optimum Fixed Income Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund had no securities on loan.
8. 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 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) 113
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Notes to financial statements
Optimum Fund Trust
Optimum Fixed Income Fund invests in high yield fixed income securities, which are securities rated lower than BBB by S&P and lower than Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. 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.
Optimum Fixed Income Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
Optimum Fixed Income Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
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.
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. Investments in small- and 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.
Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund may invest in REITs and are subject to the risks associated with that industry. If a Fund holds 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 Sept. 30, 2014. 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
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determining whether individual securities are liquid for purposes of the Funds’ limitation on investments in illiquid securities. 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 “Schedules of investments.”
9. 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, each Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of loss to be remote.
10. Recent Accounting Pronouncements
In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. The guidance is effective for financial statements with fiscal years beginning on or after Dec. 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.
11. Subsequent Events
At a meeting on Sept. 17-18, 2014, the Funds’ Board of Trustees approved the early conversion of all remaining Class B shares to Class A shares. On or about Nov. 4, 2014, all remaining Class B shares of the Funds will convert to Class A shares, including Class B shares that are scheduled to convert on a date later than the fourth quarter of 2014.
Effective Nov. 1, 2014, Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Funds. Also effective Nov. 1, 2014, DIFSC is the transfer agent and dividend disbursing agent of the Funds.
Management has determined that no other material events or transactions occurred subsequent to Sept. 30, 2014 that would require recognition or disclosure in the Funds’ financial statements.
(continues) 115
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(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 17-18, 2014
At a meeting held Sept. 17-18, 2014, the Board of Trustees, including a majority of non-interested or independent Trustees, approved renewal of the Investment Management Agreement between Delaware Management Company (“DMC” or “Management”) and each of the six separate funds within the Optimum Fund Trust (the “Funds”), and approved the continuation of Sub-Advisory Agreements for the existing sub-advisers of all the Funds.
In reaching such decisions, the Board took into account information furnished and discussed throughout the year at quarterly Board meetings, as well as information furnished specifically for the renewal reviews conducted at the Sept. 17-18, 2014 Board meeting. Information furnished at Board meetings throughout the year included an analysis by DMC (with the assistance of its consultant, LPL Financial LLC (“LPL”)) of the investment performance of each Fund and its sub-adviser(s), presentations given to the Board by portfolios managers from DMC and each sub-adviser on a rotating basis, and compliance reports and related certifications furnished in regards to DMC and each sub-adviser. Material furnished specifically in connection with the renewals included: a memorandum from DMC discussing and analyzing the performance of each Fund and its respective sub-adviser(s); information on the fees charged by DMC and each sub-adviser showing their competitiveness with those charged by them to other comparable investment companies or accounts; copies of the Investment Management and Sub-Advisory Agreements; a “due diligence” report describing various material items in relation to the personnel, organization and policies of DMC and the sub-advisers; and information on the fees and other benefits realized by DMC (and its affiliates) and the sub-advisers in performing services for the Funds, as well as the revenues and expenses incurred by DMC and its affiliates in performing such services. Information furnished specifically in connection with the renewal process also included a report for each Fund prepared by Lipper Inc., an independent third-party analyst (“Lipper”), comparing, among other things, each Fund’s investment performance and expenses with those of other mutual funds deemed comparable by Lipper (“Lipper Report”).
In considering such materials, the independent Trustees received assistance and advice from and met separately with independent counsel. While the Investment Management Agreement and related Sub-Advisory Agreements for all Funds were considered at the same Board meeting, the Board dealt with each Fund separately. In approving continuance of the Investment Management Agreement for each Fund, the Board, including a majority of independent Trustees, determined that the existing investment management fee structure was fair and reasonable and that continuance of the Investment Management Agreement with DMC and the applicable Sub-Advisory Agreements were in the best interests of each Fund and its shareholders. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decision. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, Extent and Quality of Services. The Trustees were satisfied with the nature, extent and quality of the services provided by DMC and its affiliates to each of the Funds. The Board’s view was based upon factors such as the background and experience of the executives and other Management personnel involved in the Funds’ operations, the quality and thoroughness of the monitoring of each Fund’s investment performance conducted by DMC, reports furnished by DMC as to adherence with various compliance and procedural matters, such as the Code of Ethics and fair value pricing, the monitoring of various service providers to the Funds, and DMC’s success in obtaining meaningful information on a timely basis from each of the Fund’s sub-advisers. Particular attention was given to the analysis involved in the review of sub-adviser performance for each Fund, including the complementary nature of investment strategies adhered to by each Fund. The nature of the services of the sub-advisers to each Fund was considered primarily in respect to the investment performance of the Funds. The Board was, however, satisfied with the adherence by each sub-adviser (and DMC with respect to the Optimum Fixed Income Fund) with the investment policies and restrictions of the Funds advised, as well as their adherence to various compliance and other procedures based on personal presentations made by the sub-advisers’ portfolio managers (and DMC’s portfolio managers with respect to the Optimum Fixed Income Fund) and reports of Management’s discussions with the sub-advisers, as well as certificates and materials furnished at Board meetings and in connection with the contract renewals.
Investment Performance. The Board placed significant emphasis on the investment performance of each Fund. While consideration was given to performance reports and discussions throughout the year (including a detailed discussion of the investment performance of each Fund and its sub-advisers contained in a memorandum from DMC provided to the Board prior to the September 17-18, 2014 Board meeting), particular attention in assessing performance was given to the Lipper Reports furnished in connection with the contract renewals. The Lipper
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Reports prepared for each individual Fund showed the annualized total return investment performance of its Institutional Class shares in comparison with a Performance Universe selected by Lipper for the one year period ended June 30, 2014, as well as the three, five and ten year periods ended that date. The Trustees also compared Fund performance to other industry benchmarks, including measures of risk-adjusted performance of a Fund, as part of their evaluation of investment performance. The following summarizes the performance results for each Fund and the Board’s view of such performance.
Optimum Fixed Income Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional core bond funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the middle performing quintile of its Lipper Performance Universe for the one year period, and on an annualized basis to also be in the middle performing quintile of its Performance Universe for the previous three year period and in the highest performing quintile of such Universe for each of the previous five and ten year periods. The Trustees found such overall comparative results to be satisfactory.
Optimum International Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional international large-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the lowest performing quintile of its Performance Universe for the one year period, and on an annualized basis to also be in the lowest performing quintile of its Performance Universe for the three year period and to be in the second lowest performing quintile of its Performance Universe for each of the previous five and ten year periods. The Board discussed with Management the reasons for the Fund’s relative underperformance and various options to seek to improve such performance. While the Trustees were not satisfied with such comparative performance, they believed Management was taking appropriate actions to improve performance, noting the appointment last year of EARNEST Partners, LLC as a sub-adviser to the Fund in replacement of Mondrian Investment Partners Limited.
Optimum Large Cap Growth Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional large-cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the second highest performing quintile of its Lipper Performance Universe for the one year period, and on an annualized basis to also be in the second highest quintile of the Performance Universe for each of the previous three, five and ten year periods. The Trustees found such overall comparative results to be satisfactory.
Optimum Large Cap Value Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional multi-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the second lowest performing quintile of its Lipper Performance Universe for the one year period, and on an annualized basis to be in the middle performing quintile of the Performance Universe for each of the three, five and ten year periods. The Trustees discussed with Management the reasons for the relative underperformance for the one-year period ended June 30, 2014. While noting such discussions, the Trustees found such overall comparative performance to be acceptable.
Optimum Small-Mid Cap Growth Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small-cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the middle performing quintile of its Lipper Performance Universe for the one year period, but on an annualized basis to be in the second lowest performing quintile of such Universe for the previous three year period, the middle performing quintile of such Universe for the previous five year period and the lowest performing quintile of such Universe for the previous ten year period. The Trustees discussed with Management the reasons for the Fund’s relative underperformance and various options to seek to improve such performance. While the Trustees were not satisfied with such comparative results and intend to closely monitor future performance, they believe that Management is addressing such performance and the need to take appropriate action to attempt to improve it.
Optimum Small-Mid Cap Value Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the middle performing quintile of its Lipper Performance Universe for the one year period, and on an annualized basis to also be in the middle performing quintile of such Universe for the three year period, the second highest performing quintile of such Universe for the five year period, and the second lowest performing quintile of such Universe for the ten year period. The Trustees discussed with Management the reasons for the relative underperformance for the ten-year period ended June 30, 2014. While noting such discussions, the Board found such overall comparative performance to be acceptable.
Comparative Expenses. In considering the appropriateness of the investment management fees charged to the Funds, the Board also reviewed and considered the investment management fees in light of the nature, extent and quality of the investment management services provided, and to be provided, by DMC and each sub-adviser, as more fully discussed above. The Board noted that the sub-advisory fees are paid
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Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 17-18, 2014 (continued)
by DMC to each sub-adviser and are not additional fees borne by the Funds. The Board also noted that the sub-advisory fees paid, and to be paid, by DMC to each sub-adviser were the product of arms-length negotiations between DMC and each sub-adviser, and the Board considered the allocation of the investment management fees charged to the Funds between DMC and each sub-adviser in light of the nature, extent and quality of the investment management services provided, and to be provided by, DMC and each sub-adviser. The Trustees considered various other products, portfolios and entities that are advised by DMC and each sub-adviser, as well as their relative fees and reasons for differences with respect thereto and any potential conflicts of interest.
Attention was also given to a comparative analysis of each Fund’s Institutional Class share expenses, including investment management fees, in comparison to a group of other multi-advised institutional funds constituting its Lipper Expense Group. Lipper expense data is based upon information for the twelve months covered by each fund’s most recent annual report which reflects historical asset levels which may be quite different from those currently existing, particularly in a period of market volatility. While recognizing such inherent limitations and the fact that expense ratios generally increase as assets decline and decrease as assets grow, the Trustees believed that the independent analysis conducted by Lipper remained an appropriate measure of comparative expenses. The Lipper Report showed the actual total expenses of each Fund to be the highest or close to the highest in its respective Lipper Expense Group. The Trustees noted that DMC, since inception, had waived fees to the extent necessary to keep expenses of each Fund from exceeding certain percentage amounts, and that the Trustees had also previously discussed in detail the current cap on expenses in effect for each Fund through July 29, 2015, which were more favorable to shareholders of each Fund than the caps on expenses that were applicable through July 29, 2014. The Trustees also noted that, as a result of discussions held last year, Management had agreed to a restructuring and overall reduction in fees charged by affiliated service providers to each Fund that was completed on Jan. 1, 2014, including a 4.5 basis point reduction in administrative fees and a 2.5 basis point reduction in transfer agent fees. It was noted that further expense reductions occurred through reductions, effective on Nov. 1, 2013, in sub-transfer agent fees paid by each Fund as a result of the change to omnibus shareholder accounting for the accounts LPL maintains in the Funds. As part of the cost reduction discussions in 2013, Management also agreed to a framework for providing additional expense waivers for the Funds as appropriate to the extent combined assets of the Funds are above $4.2 billion on an annual basis. While intending to continuously monitor the fee structure of each Fund, the Trustees found the expense structure of each Fund to be acceptable in view of the nature and structure of Fund operations, and Management’s cap on expenses, and taking into account possible future savings resulting from the aforementioned fee and expense reductions.
DMC’s Profitability; Economies of Scale. Based on the size of each Fund and the reimbursement and/or waiver of expenses by DMC, as well as other profitability information furnished to them by DMC, the Trustees did not believe that the level of profit being realized by DMC and its affiliates from services provided to any of the Funds was excessive. Trustees were also given available information on profits being realized by sub-advisers in relation to the services being provided to the Funds or in relation to the sub-advisers’ overall investment advisory business, but believed such information to be of limited relevance since the fees paid to the sub-advisers were the product of arms-length negotiations between DMC and each sub-adviser. The Board also took into account Management’s expenditures in improving shareholder services provided to the Funds, as well as the need to meet additional regulatory and compliance requirements resulting from the Sarbanes-Oxley Act, the Dodd-Frank Act and recent SEC and other regulatory requirements. The Board was also provided information on potential fall-out benefits derived or to be derived by DMC and its affiliates or the sub-advisers in connection with their relationship to the Funds, such as the fees received for non-investment management services provided to the Funds by certain affiliates of DMC, soft dollar arrangements, and commissions paid to affiliated broker-dealers. The Trustees recognized that as the Funds get larger at some point, economies of scale may result in DMC realizing a larger profit margin on management services provided to a Fund. The Trustees also noted that economies of scale are shared with a Fund and its shareholders through investment management fee breakpoints so that as a Fund grows in size, its effective investment management fee rate declines. The Optimum Small-Mid Cap Growth Fund has a fixed investment management fee of 1.1% at all asset levels without breakpoints, but in view of the nature of this Fund, its asset level of approximately $504 million at June 30, 2014, and the fact that the actual investment management fee charged the Fund was reduced as a result of management expense caps, the Trustees believed that no meaningful economies of scale currently existed. The investment management fee schedules for all the other Funds contained breakpoints. The Board considered that the asset size of the Optimum International Fund and Optimum Small-Mid Cap Value Fund, as of June 30, 2014, exceeded the last fee breakpoint under their respective investment management agreements. The Trustees noted, however, that the actual investment management fees charged these Funds were also limited as a result of management expense caps, and while intending to monitor the need for additional breakpoints, believed it unlikely that meaningful economies of scale currently existed in the management of such Funds.
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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 | Affiliated officers | Contact information | ||
Daniel H. Arnold | David F. Connor | Investment manager | ||
Chief Financial Officer | Senior Vice President, | Delaware Management Company, a series | ||
LPL Financial LLC | Deputy General Counsel and Secretary | of Delaware Management Business Trust | ||
Optimum Fund Trust | Philadelphia, PA | |||
J. Scott Coleman | Philadelphia, PA | |||
National distributor | ||||
Executive Vice President | Daniel V. Geatens | |||
Delaware Investments | Delaware Distributors, L.P. | |||
Vice President and Treasurer | Philadelphia, PA | |||
Robert J. Christian | Optimum Fund Trust | |||
Philadelphia, PA | Shareholder servicing, dividend | |||
Private Investor | disbursing, and transfer agent | |||
David P. O’Connor | Delaware Service Company, Inc. | |||
Durant Adams Hunter | 2005 Market Street | |||
Executive Vice President, | Philadelphia, PA 19103-7094 | |||
Principal — Ridgeway Partners | General Counsel and Chief Legal Officer | |||
Optimum Fund Trust | For shareholders | |||
Pamela J. Moret | Philadelphia, PA | |||
800 914-0278 | ||||
Chief Executive Officer — | Richard Salus | |||
brightpeak financial | For securities dealers | |||
Senior Vice President and | and financial institutions | |||
Stephen Paul Mullin | Chief Financial Officer | representatives only | ||
Optimum Fund Trust | ||||
President — Econsult Solutions, Inc. | Philadelphia, PA | 800 362-7500 | ||
Robert A. Rudell | Website | |||
Private Investor | optimummutualfunds.com | |||
Jon Edward Socolofsky | ||||
Private Investor | ||||
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 website at optimummutualfunds.com; and (iii) on the SEC’s website at 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 website at optimummutualfunds.com; and (ii) on the SEC’s website at 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.
OPTIMUM FUND TRUST
/s/ J. SCOTT COLEMAN | |
By: | J. Scott Coleman |
Title: | Chief Executive Officer |
Date: | December 1, 2014 |
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/ J. SCOTT COLEMAN | |
By: | J. Scott Coleman |
Title: | Chief Executive Officer |
Date: | December 1, 2014 |
/s/ RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | September 4, 2014 |