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, 2015 |
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, 2015
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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 | ||||
70 | ||||
72 | ||||
74 | ||||
77 | ||||
95 | ||||
121 | ||||
127 |
Neither Delaware Investments nor its affiliates noted in this document are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of Macquarie Bank Limited (MBL). MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
Unless otherwise noted, views expressed herein are current as of Sept. 30, 2015, and subject to change for events occurring after such a date. 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.
© 2015 Delaware Management Holdings, Inc.
Table of Contents
For the six-month period from April 1, 2015 to September 30, 2015 (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, 2015 to Sept. 30, 2015.
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 4/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratio | Expenses Paid During Period 4/1/15 to 9/30/15* | |||||||||
| ||||||||||||
Actual Fund return† | ||||||||||||
Class A | $1,000.00 | $ | 979.40 | 1.17% | $5.79 | |||||||
Class C | 1,000.00 | 975.30 | 1.92% | 9.48 | ||||||||
Institutional Class | 1,000.00 | 979.40 | 0.92% | 4.55 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $1,000.00 | $ | 1,019.15 | 1.17% | $5.91 | |||||||
Class C | 1,000.00 | 1,015.40 | 1.92% | 9.67 | ||||||||
Institutional Class | 1,000.00 | 1,020.40 | 0.92% | 4.65 | ||||||||
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Optimum International Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratio | Expenses Paid During Period 4/1/15 to 9/30/15* | |||||||||
| ||||||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 911.70 | 1.50% | $ 7.17 | ||||||
Class C | 1,000.00 | 908.00 | 2.25% | 10.73 | ||||||||
Institutional Class | 1,000.00 | 912.30 | 1.25% | 5.98 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.50 | 1.50% | $ 7.57 | ||||||
Class C | 1,000.00 | 1,013.75 | 2.25% | 11.33 | ||||||||
Institutional Class | 1,000.00 | 1,018.75 | 1.25% | 6.31 | ||||||||
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(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 4/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratio | Expenses Paid During Period 4/1/15 to 9/30/15* | |||||||||
| ||||||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 945.30 | 1.36% | $ 6.61 | ||||||
Class C | 1,000.00 | 941.70 | 2.11% | 10.24 | ||||||||
Institutional Class | 1,000.00 | 947.10 | 1.11% | 5.40 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.20 | 1.36% | $ 6.86 | ||||||
Class C | 1,000.00 | 1,014.45 | 2.11% | 10.63 | ||||||||
Institutional Class | 1,000.00 | 1,019.45 | 1.11% | 5.60 | ||||||||
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Optimum Large Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratio | Expenses Paid During Period 4/1/15 to 9/30/15* | |||||||||
| ||||||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 913.80 | 1.33% | $ 6.36 | ||||||
Class C | 1,000.00 | 911.00 | 2.08% | 9.94 | ||||||||
Institutional Class | 1,000.00 | 915.20 | 1.08% | 5.17 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.35 | 1.33% | $ 6.71 | ||||||
Class C | 1,000.00 | 1,014.60 | 2.08% | 10.48 | ||||||||
Institutional Class | 1,000.00 | 1,019.60 | 1.08% | 5.45 | ||||||||
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Optimum Small-Mid Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratio | Expenses Paid During Period 4/1/15 to 9/30/15* | |||||||||
| ||||||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 884.80 | 1.61% | $ 7.59 | ||||||
Class C | 1,000.00 | 881.70 | 2.36% | 11.10 | ||||||||
Institutional Class | 1,000.00 | 886.20 | 1.36% | 6.41 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,016.95 | 1.61% | $ 8.12 | ||||||
Class C | 1,000.00 | 1,013.20 | 2.36% | 11.88 | ||||||||
Institutional Class | 1,000.00 | 1,018.20 | 1.36% | 6.86 | ||||||||
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Optimum Small-Mid Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/15 | Ending Account Value 9/30/15 | Annualized Expense Ratio | Expenses Paid During Period 4/1/15 to 9/30/15* | |||||||||
| ||||||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 867.30 | 1.57% | $ 7.33 | ||||||
Class C | 1,000.00 | 864.20 | 2.32% | 10.81 | ||||||||
Institutional Class | 1,000.00 | 869.30 | 1.32% | 6.17 | ||||||||
| ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.15 | 1.57% | $ 7.92 | ||||||
Class C | 1,000.00 | 1,013.40 | 2.32% | 11.68 | ||||||||
Institutional Class | 1,000.00 | 1,018.40 | 1.32% | 6.66 | ||||||||
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*“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 183/366 (to reflect the one-half year period).
†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, 2015 (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 | 5.56% | |
| ||
Agency Mortgage-Backed Securities | 22.80% | |
| ||
Agency Obligation | 0.08% | |
| ||
Collateralized Debt Obligations | 1.88% | |
| ||
Commercial Mortgage-Backed Securities | 4.11% | |
| ||
Convertible Bonds | 0.80% | |
| ||
Corporate Bonds | 38.26% | |
Banking | 11.09% | |
Basic Industry | 1.49% | |
Brokerage | 0.35% | |
Capital Goods | 0.62% | |
Communications | 4.75% | |
Consumer Cyclical | 2.99% | |
Consumer Non-Cyclical | 3.49% | |
Energy | 3.06% | |
Finance Companies | 1.61% | |
Insurance | 0.72% | |
Natural Gas | 1.22% | |
Real Estate | 1.26% | |
Technology | 1.54% | |
Transportation | 0.75% | |
Utilities | 3.32% | |
|
Security type / sector | Percentage of net assets | |
| ||
Municipal Bonds | 2.08% | |
| ||
Non-Agency Asset-Backed Securities | 4.84% | |
| ||
Non-Agency Collateralized Mortgage Obligations | 2.64% | |
| ||
Regional Bonds | 0.18% | |
| ||
Senior Secured Loans | 6.58% | |
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Sovereign Bonds | 3.74% | |
| ||
Supranational Banks | 0.25% | |
| ||
U.S. Treasury Obligations | 22.20% | |
| ||
Common Stock | 0.00% | |
| ||
Convertible Preferred Stock | 0.17% | |
| ||
Preferred Stock | 0.38% | |
| ||
Options Purchased | 0.03% | |
| ||
Short-Term Investments | 6.53% | |
| ||
Total Value of Securities | 123.11% | |
| ||
Options Written | (0.07%) | |
| ||
Liabilities Net of Receivables and Other Assets | (23.04%) | |
| ||
Total Net Assets | 100.00% | |
|
(continues | ) | 3 |
Table of Contents
Security type / country and sector allocations
Optimum International Fund
As of September 30, 2015 (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 | 97.66% | |
Australia | 1.95% | |
Austria | 2.65% | |
Belgium | 0.76% | |
Bermuda | 1.57% | |
Brazil | 1.33% | |
Canada | 3.86% | |
China/Hong Kong | 6.17% | |
Colombia | 0.41% | |
Czech Republic | 0.57% | |
Denmark | 0.56% | |
Finland | 0.85% | |
France | 3.54% | |
Germany | 2.56% | |
India | 3.18% | |
Indonesia | 0.79% | |
Ireland | 4.32% | |
Israel | 3.59% | |
Italy | 0.10% | |
Japan | 18.65% | |
Malaysia | 0.14% | |
Netherlands | 1.72% | |
New Zealand | 0.47% | |
Norway | 2.89% | |
Peru | 0.36% | |
Republic of Korea | 3.17% | |
Singapore | 2.66% | |
Spain | 1.69% | |
Sweden | 1.02% | |
Switzerland | 6.48% |
Security type / country | Percentage of net assets | |
| ||
Taiwan | 2.69% | |
Thailand | 0.41% | |
Turkey | 0.97% | |
United Kingdom | 12.62% | |
United States | 2.96% | |
| ||
Short-Term Investments | 1.76% | |
| ||
Securities Lending Collateral | 5.19% | |
| ||
Total Value of Securities | 104.61% | |
| ||
Obligation to Return Securities Lending Collateral | (5.19%) | |
| ||
Receivables and Other Assets Net of Liabilities | 0.58% | |
| ||
Total Net Assets | 100.00% | |
| ||
Common stock by sector | Percentage of net assets | |
| ||
Consumer Discretionary | 14.83% | |
Consumer Staples | 4.80% | |
Energy | 8.61% | |
Financials | 20.98% | |
Healthcare | 16.18% | |
Industrials | 9.03% | |
Information Technology | 8.21% | |
Materials | 7.32% | |
Telecommunication Services | 4.30% | |
Utilities | 3.40% | |
| ||
Total | 97.66% | |
|
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, 2015 (Unaudited)
Security type / sector | Percentage of net assets | |
| ||
Common Stock² | 95.56% | |
Consumer Discretionary | 23.30% | |
Consumer Staples | 4.92% | |
Energy | 1.23% | |
Financials | 4.46% | |
Healthcare | 20.89% | |
Industrials | 9.22% | |
Information Technology1 | 30.17% | |
Materials | 0.98% | |
Telecommunication Services | 0.21% | |
Utilities | 0.18% | |
| ||
Convertible Preferred Stock | 0.26% | |
| ||
U.S. Master Limited Partnerships | 0.47% | |
| ||
Short-Term Investments | 3.54% | |
| ||
Total Value of Securities | 99.83% | |
| ||
Receivables and Other Assets Net of Liabilities | 0.17% | |
| ||
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 | |
| ||
Amazon.com | 4.68% | |
Apple | 3.85% | |
Google Class C | 3.80% | |
Facebook Class A | 3.62% | |
Visa Class A | 2.97% | |
Allergan | 2.96% | |
Microsoft | 2.84% | |
Priceline Group | 1.88% | |
Danaher | 1.87% | |
Gilead Sciences | 1.66% | |
|
Optimum Large Cap Value Fund
As of September 30, 2015 (Unaudited)
Security type / sector | Percentage of net assets | |
| ||
Common Stock² | 97.65% | |
Consumer Discretionary | 8.47% | |
Consumer Staples | 11.24% | |
Energy | 12.75% | |
Financials2 | 25.08% | |
Healthcare | 9.85% | |
Industrials | 13.24% | |
Information Technology | 10.92% | |
Materials | 4.48% | |
Telecommunication Services | 1.21% | |
Utilities | 0.41% | |
| ||
Short-Term Investments | 2.22% | |
| ||
Total Value of Securities | 99.87% | |
| ||
Receivables and Other Assets Net of Liabilities | 0.13% | |
| ||
Total Net Assets | 100.00% | |
|
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |
| ||
Philip Morris International | 3.09% | |
Lockheed Martin | 2.94% | |
JPMorgan Chase | 2.41% | |
United Parcel Service Class B | 2.27% | |
Exxon Mobil | 2.12% | |
Accenture Class A (Ireland) | 2.01% | |
Altria Group | 1.92% | |
CBOE Holdings | 1.81% | |
TJX | 1.78% | |
Johnson & Johnson | 1.77% | |
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(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, 2015 (Unaudited)
Security type / sector | Percentage of net assets | |
Common Stock | 94.34% | |
Consumer Discretionary | 13.44% | |
Consumer Staples | 1.88% | |
Energy | 1.71% | |
Financials | 15.33% | |
Healthcare | 17.53% | |
Industrials | 19.64% | |
Information Technology | 21.27% | |
Materials | 2.48% | |
Telecommunication Services | 1.06% | |
Convertible Preferred Stock | 0.56% | |
Preferred Stock | 1.01% | |
Short-Term Investments | 4.30% | |
Total Value of Securities | 100.21% | |
Liabilities Net of Receivables and Other Assets | (0.21%) | |
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 | |
Extra Space Storage | 2.04% | |
AMETEK | 1.78% | |
HEICO Class A | 1.64% | |
Nordson | 1.61% | |
Cepheid | 1.42% | |
Associated Banc-Corp | 1.42% | |
Donaldson | 1.32% | |
WNS Holdings ADR | 1.16% | |
Virtusa | 1.13% | |
Mettler-Toledo International
| 1.09%
|
Optimum Small-Mid Cap Value Fund
As of September 30, 2015 (Unaudited)
Security type / sector | Percentage of net assets | |
Common Stock | 88.33% | |
Consumer Discretionary | 9.89% | |
Consumer Staples | 2.54% | |
Energy | 4.03% | |
Financials | 9.30% | |
Healthcare | 5.60% | |
Industrials | 23.74% | |
Information Technology | 19.66% | |
Materials | 11.92% | |
Telecommunication Services | 0.94% | |
Utilities | 0.71% | |
Exchange-Traded Fund | 0.37% | |
U.S. Master Limited Partnership | 0.54% | |
Short-Term Investments | 11.44% | |
Total Value of Securities | 100.68% | |
Liabilities Net of Receivables and Other Assets | (0.68%) | |
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 | |
PolyOne | 1.41% | |
ACCO Brands | 1.27% | |
Flextronics International | 1.25% | |
TrueBlue | 1.11% | |
Minerals Technologies | 1.10% | |
Stanley Black & Decker | 1.07% | |
Ingram Micro Class A | 1.06% | |
Pitney Bowes | 1.05% | |
Amdocs | 1.03% | |
Dover
| 1.01%
|
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, 2015, such amounts, as percentage of total net assets, were 3.44%, 1.83%, 4.25%, 12.68%, 1.66%, and 6.31%, 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%.
2To monitor compliance with the Optimum Large Cap Value Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Financials 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 Financials sector consisted of banks, commercial services, diversified financial services, insurance and real estate investment trust. As of Sept. 30, 2015, such amounts, as percentage of total net assets, were 7.97%, 3.40%, 8.36%, 4.10%, and 1.25%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Financials sector for financial reporting purposes may exceed 25%.
(continues | ) | 7 |
Table of Contents
Optimum Fixed Income Fund
September 30, 2015 (Unaudited)
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations – 5.56% |
| |||||||
| ||||||||
Fannie Mae Grantor Trust | ||||||||
Series 1999-T2 A1 | ||||||||
7.50% 1/19/39 ● | 12,345 | $ | 13,590 | |||||
Series 2002-T4 A3 | ||||||||
7.50% 12/25/41 | 43,389 | 49,228 | ||||||
Series 2004-T1 1A2 | ||||||||
6.50% 1/25/44 | 13,151 | 14,942 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series 2004-W4 A5 | ||||||||
5.50% 6/25/34 | 1,612,436 | 1,692,516 | ||||||
Series 2004-W11 1A2 | ||||||||
6.50% 5/25/44 | 63,837 | 75,597 | ||||||
Fannie Mae REMICs | ||||||||
Series 1996-46 ZA | ||||||||
7.50% 11/25/26 | 9,017 | 10,256 | ||||||
Series 1999-19 PH | ||||||||
6.00% 5/25/29 | 165,763 | 187,069 | ||||||
Series 2001-14 Z | ||||||||
6.00% 5/25/31 | 10,051 | 11,404 | ||||||
Series 2002-90 A1 | ||||||||
6.50% 6/25/42 | 11,204 | 12,861 | ||||||
Series 2002-90 A2 | ||||||||
6.50% 11/25/42 | 38,920 | 44,293 | ||||||
Series 2003-26 AT | ||||||||
5.00% 11/25/32 | 86,173 | 87,952 | ||||||
Series 2005-22 HE | ||||||||
5.00% 10/25/33 | 17,385 | 17,416 | ||||||
Series 2005-70 PA | ||||||||
5.50% 8/25/35 | 94,846 | 107,659 | ||||||
Series 2005-110 MB | ||||||||
5.50% 9/25/35 | 113,273 | 121,732 | ||||||
Series 2007-30 OE | ||||||||
2.037% 4/25/37 W^ | 4,327,999 | 3,798,289 | ||||||
Series 2007-114 A6 | ||||||||
0.394% 10/27/37 ● | 5,830,780 | 5,798,769 | ||||||
Series 2008-24 ZA | ||||||||
5.00% 4/25/38 | 21,245,289 | 23,703,624 | ||||||
Series 2009-2 AS | ||||||||
5.506% 2/25/39 ●∑ | 2,122,399 | 287,168 | ||||||
Series 2009-68 SA | ||||||||
6.556% 9/25/39 ●∑ | 468,126 | 89,890 | ||||||
Series 2009-94 AC | ||||||||
5.00% 11/25/39 | 283,220 | 310,697 | ||||||
Series 2010-41 PN | ||||||||
4.50% 4/25/40 | 475,000 | 520,435 | ||||||
Series 2010-43 HJ | ||||||||
5.50% 5/25/40 | 154,870 | 175,849 | ||||||
Series 2010-96 DC | ||||||||
4.00% 9/25/25 | 753,482 | 799,112 | ||||||
Series 2010-123 FE | ||||||||
0.674% 11/25/40 ● | 3,387,821 | 3,407,501 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
Fannie Mae REMICs | ||||||||
Series 2011-118 DC | ||||||||
4.00% 11/25/41 | 1,979,625 | $ | 2,078,036 | |||||
Series 2012-122 SD | ||||||||
5.906% 11/25/42 ●∑ | 795,319 | 196,588 | ||||||
Series 2013-38 AI | ||||||||
3.00% 4/25/33 ∑ | 2,108,053 | 302,700 | ||||||
Series 2013-44 DI | ||||||||
3.00% 5/25/33 ∑ | 3,200,116 | 462,282 | ||||||
Series 2014-36 ZE | ||||||||
3.00% 6/25/44 | 631,741 | 573,476 | ||||||
Fannie Mae Whole Loan Trust | ||||||||
Series 2004-W15 1A1 | ||||||||
6.00% 8/25/44 | 67,701 | 75,527 | ||||||
Freddie Mac REMICs | ||||||||
Series 1730 Z | ||||||||
7.00% 5/15/24 | 46,336 | 52,564 | ||||||
Series 2165 PE | ||||||||
6.00% 6/15/29 | 129,679 | 147,560 | ||||||
Series 2326 ZQ | ||||||||
6.50% 6/15/31 | 78,072 | 88,607 | ||||||
Series 2557 WE | ||||||||
5.00% 1/15/18 | 148,188 | 153,335 | ||||||
Series 2827 TE | ||||||||
5.00% 4/15/33 | 125,040 | 126,902 | ||||||
Series 2915 KD | ||||||||
5.00% 9/15/33 | 5,093 | 5,096 | ||||||
Series 2987 KG | ||||||||
5.00% 12/15/34 | 3,696 | 3,697 | ||||||
Series 3143 BC | ||||||||
5.50% 2/15/36 | 3,385,966 | 3,807,773 | ||||||
Series 3289 SA | ||||||||
6.543% 3/15/37 ●∑ | 1,536,513 | 290,985 | ||||||
Series 3656 PM | ||||||||
5.00% 4/15/40 | 579,577 | 641,277 | ||||||
Series 4065 DE | ||||||||
3.00% 6/15/32 | 120,000 | 122,137 | ||||||
Series 4185 LI | ||||||||
3.00% 3/15/33 ∑ | 778,061 | 111,065 | ||||||
Series 4191 CI | ||||||||
3.00% 4/15/33 ∑ | 326,297 | 43,852 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2015-DNA1 M1 | ||||||||
1.094% 10/25/27 ● | 481,196 | 478,996 | ||||||
Freddie Mac Structured Pass Through Securities | ||||||||
Series T-54 2A | ||||||||
6.50% 2/25/43 ¿ | 18,696 | 22,271 |
8
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
Freddie Mac Structured Pass Through Securities | ||||||||
Series T-58 2A | ||||||||
6.50% 9/25/43 ¿ | 9,575 | $ | 11,073 | |||||
GNMA | ||||||||
Series 2008-65 SB | ||||||||
5.784% 8/20/38 ●∑ | 1,439,304 | 240,414 | ||||||
Series 2009-2 SE | ||||||||
5.604% 1/20/39 ●∑ | 4,111,727 | 680,145 | ||||||
Series 2010-113 KE | ||||||||
4.50% 9/20/40 | 1,170,000 | 1,306,767 | ||||||
Series 2011-H21 FT | ||||||||
1.03% 10/20/61 ● | 13,212,581 | 13,274,112 | ||||||
Series 2011-H23 FA | ||||||||
0.892% 10/20/61 ● | 8,672,871 | 8,742,983 | ||||||
Series 2012-H08 FB | ||||||||
0.792% 3/20/62 ● | 1,285,025 | 1,288,100 | ||||||
Series 2012-H18 NA | ||||||||
0.712% 8/20/62 ● | 769,385 | 770,358 | ||||||
Series 2012-H29 SA | ||||||||
0.707% 10/20/62 ● | 5,993,480 | 5,991,449 | ||||||
Series 2015-H10 FA | ||||||||
0.792% 4/20/65 ● | 17,895,334 | 17,763,947 | ||||||
Series 2015-H11 FC | ||||||||
0.742% 5/20/65 ● | 2,288,996 | 2,282,447 | ||||||
Series 2015-H12 FB | ||||||||
0.792% 5/20/65 ● | 8,907,285 | 8,972,870 | ||||||
Series 2015-H20 FB | ||||||||
0.792% 8/20/65 ● | 2,300,655 | 2,289,042 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations | 114,736,282 | |||||||
|
| |||||||
| ||||||||
Agency Mortgage-Backed Securities – 22.80% |
| |||||||
| ||||||||
Fannie Mae | ||||||||
5.50% 3/1/37 | 29,257 | 31,784 | ||||||
5.50% 7/1/37 | 200,423 | 217,697 | ||||||
6.50% 8/1/17 | 5,780 | 5,930 | ||||||
Fannie Mae ARM | ||||||||
2.112% 7/1/37 ● | 74,354 | 78,441 | ||||||
2.277% 10/1/33 ● | 14,281 | 14,898 | ||||||
2.417% 5/1/43 ● | 446,354 | 455,246 | ||||||
2.457% 11/1/35 ● | 53,019 | 56,401 | ||||||
2.553% 6/1/43 ● | 147,652 | 151,472 | ||||||
2.576% 8/1/35 ● | 17,560 | 18,551 | ||||||
2.913% 7/1/45 ● | 299,468 | 308,513 | ||||||
3.076% 4/1/44 ● | 1,755,568 | 1,826,534 | ||||||
3.18% 4/1/44 ● | 580,417 | 604,067 | ||||||
3.26% 3/1/44 ● | 645,798 | 674,617 | ||||||
3.288% 9/1/43 ● | 433,736 | 453,441 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae ARM | ||||||||
6.099% 8/1/37 ● | 36,061 | $ | 37,590 | |||||
Fannie Mae Relocation 30 yr | ||||||||
5.00% 11/1/33 | 1,087 | 1,187 | ||||||
5.00% 1/1/34 | 3,342 | 3,646 | ||||||
5.00% 11/1/34 | 8,183 | 8,929 | ||||||
5.00% 4/1/35 | 6,703 | 7,310 | ||||||
5.00% 10/1/35 | 10,924 | 11,920 | ||||||
5.00% 1/1/36 | 22,510 | 24,554 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
2.50% 2/1/28 | 1,109,078 | 1,141,197 | ||||||
2.50% 5/1/28 | 155,534 | 160,038 | ||||||
3.00% 5/1/28 | 105,052 | 109,736 | ||||||
3.50% 7/1/26 | 306,029 | 324,534 | ||||||
3.50% 12/1/28 | 129,486 | 137,868 | ||||||
4.00% 5/1/24 | 1,967,219 | 2,088,633 | ||||||
4.00% 7/1/24 | 10,229 | 10,865 | ||||||
4.00% 5/1/25 | 206,683 | 219,987 | ||||||
4.00% 9/1/25 | 24,381 | 25,902 | ||||||
4.00% 11/1/25 | 1,020,193 | 1,086,242 | ||||||
4.00% 1/1/26 | 26,001 | 27,228 | ||||||
4.00% 12/1/26 | 339,468 | 360,609 | ||||||
4.00% 1/1/27 | 25,444 | 27,083 | ||||||
4.00% 5/1/27 | 738,264 | 785,815 | ||||||
4.00% 8/1/27 | 445,100 | 473,811 | ||||||
4.50% 8/1/18 | 54,634 | 56,626 | ||||||
4.50% 7/1/20 | 182,572 | 189,729 | ||||||
5.00% 12/1/20 | 39,351 | 41,846 | ||||||
5.00% 6/1/23 | 72,305 | 77,654 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
3.00% 2/1/33 | 56,650 | 58,788 | ||||||
3.00% 8/1/33 | 204,603 | 212,590 | ||||||
3.50% 4/1/33 | 57,612 | 60,992 | ||||||
3.50% 9/1/33 | 296,851 | 314,504 | ||||||
4.00% 1/1/31 | 100,310 | 108,121 | ||||||
4.00% 2/1/31 | 280,141 | 301,976 | ||||||
5.00% 11/1/23 | 22,043 | 24,255 | ||||||
5.00% 2/1/30 | 151,917 | 167,326 | ||||||
5.50% 11/1/25 | 34,549 | 38,554 | ||||||
5.50% 8/1/28 | 348,420 | 388,651 | ||||||
5.50% 12/1/29 | 29,176 | 32,550 | ||||||
6.00% 9/1/29 | 224,059 | 252,525 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 7/1/42 | 382,026 | 388,710 | ||||||
3.00% 10/1/42 | 6,366,981 | 6,475,462 | ||||||
3.00% 12/1/42 | 1,007,786 | 1,025,027 | ||||||
3.00% 1/1/43 | 2,321,653 | 2,360,565 | ||||||
3.00% 2/1/43 | 245,698 | 249,816 | ||||||
3.00% 4/1/43 | 3,358,053 | 3,413,818 |
(continues | ) | 9 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 5/1/43 | 357,741 | $ | 363,596 | |||||
4.00% 10/1/40 | 36,967 | 39,458 | ||||||
4.00% 11/1/40 | 224,837 | 240,415 | ||||||
4.00% 7/1/41 | 735,541 | 787,911 | ||||||
4.00% 8/1/43 | 174,197 | 186,962 | ||||||
4.00% 7/1/44 | 748,230 | 805,670 | ||||||
4.50% 5/1/35 | 146,586 | 160,256 | ||||||
4.50% 8/1/35 | 294,487 | 320,282 | ||||||
4.50% 9/1/35 | 258,945 | 281,702 | ||||||
4.50% 7/1/36 | 127,586 | 138,808 | ||||||
4.50% 5/1/39 | 999,705 | 1,087,906 | ||||||
4.50% 11/1/40 | 309,440 | 336,293 | ||||||
4.50% 3/1/41 | 595,176 | 646,756 | ||||||
4.50% 4/1/41 | 959,845 | 1,043,328 | ||||||
4.50% 10/1/41 | 349,880 | 380,312 | ||||||
4.50% 1/1/42 | 9,620,711 | 10,450,988 | ||||||
4.50% 11/1/43 | 997,815 | 1,082,699 | ||||||
4.50% 9/1/44 | 1,030,489 | 1,120,006 | ||||||
4.50% 10/1/44 | 3,186,757 | 3,464,282 | ||||||
4.50% 2/1/45 | 7,188,661 | 7,803,048 | ||||||
5.00% 3/1/34 | 4,219 | 4,671 | ||||||
5.00% 4/1/34 | 24,864 | 27,520 | ||||||
5.00% 8/1/34 | 40,897 | 45,271 | ||||||
5.00% 4/1/35 | 8,544 | 9,531 | ||||||
5.00% 10/1/35 | 363,234 | 400,278 | ||||||
5.00% 11/1/35 | 109,759 | 120,978 | ||||||
5.00% 2/1/36 | 152,444 | 168,013 | ||||||
5.00% 2/1/37 | 322,386 | 356,760 | ||||||
5.00% 4/1/37 | 100,097 | 110,364 | ||||||
5.00% 8/1/37 | 269,785 | 297,797 | ||||||
5.00% 12/1/37 | 4,521 | 4,974 | ||||||
5.00% 2/1/38 | 95,615 | 105,335 | ||||||
5.00% 3/1/38 | 213,722 | 235,164 | ||||||
5.00% 6/1/38 | 14,480 | 15,932 | ||||||
5.00% 2/1/39 | 6,587 | 7,248 | ||||||
5.00% 5/1/40 | 128,691 | 141,980 | ||||||
5.50% 12/1/32 | 20,575 | 23,164 | ||||||
5.50% 2/1/33 | 60,127 | 67,369 | ||||||
5.50% 12/1/33 | 31,521 | 35,863 | ||||||
5.50% 11/1/34 | 105,650 | 118,986 | ||||||
5.50% 2/1/35 | 1,482,420 | 1,674,266 | ||||||
5.50% 3/1/35 | 50,349 | 56,418 | ||||||
5.50% 6/1/35 | 72,429 | 80,852 | ||||||
5.50% 1/1/36 | 571,307 | 643,726 | ||||||
5.50% 4/1/36 | 1,504,267 | 1,689,460 | ||||||
5.50% 7/1/36 | 30,898 | 34,795 | ||||||
5.50% 1/1/37 | 457,774 | 513,409 | ||||||
5.50% 2/1/37 | 573,970 | 643,139 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
5.50% 8/1/37 | 25,772 | $ | 29,017 | |||||
5.50% 1/1/38 | 437,007 | 488,383 | ||||||
5.50% 2/1/38 | 334,081 | 375,519 | ||||||
5.50% 3/1/38 | 206,372 | 232,013 | ||||||
5.50% 4/1/38 | 1,661,548 | 1,856,901 | ||||||
5.50% 6/1/38 | 18,988 | 21,248 | ||||||
5.50% 11/1/38 | 1,584,160 | 1,768,605 | ||||||
5.50% 2/1/39 | 7,624,849 | 8,582,896 | ||||||
5.50% 10/1/39 | 884,333 | 986,714 | ||||||
5.50% 7/1/40 | 275,171 | 308,330 | ||||||
5.50% 9/1/41 | 112,753 | 126,241 | ||||||
6.00% 4/1/35 | 319,411 | 363,327 | ||||||
6.00% 5/1/36 | 75,689 | 85,547 | ||||||
6.00% 6/1/36 | 36,257 | 40,992 | ||||||
6.00% 9/1/36 | 33,842 | 38,598 | ||||||
6.00% 12/1/36 | 39,887 | 45,264 | ||||||
6.00% 2/1/37 | 116,666 | 131,890 | ||||||
6.00% 5/1/37 | 305,263 | 344,602 | ||||||
6.00% 6/1/37 | 22,096 | 25,091 | ||||||
6.00% 7/1/37 | 238,409 | 269,347 | ||||||
6.00% 8/1/37 | 300,166 | 339,571 | ||||||
6.00% 9/1/37 | 812,231 | 917,606 | ||||||
6.00% 11/1/37 | 46,695 | 52,629 | ||||||
6.00% 5/1/38 | 1,053,587 | 1,190,110 | ||||||
6.00% 7/1/38 | 14,163 | 15,973 | ||||||
6.00% 8/1/38 | 175,431 | 197,571 | ||||||
6.00% 9/1/38 | 997,689 | 1,129,964 | ||||||
6.00% 10/1/38 | 425,917 | 481,084 | ||||||
6.00% 11/1/38 | 98,201 | 111,730 | ||||||
6.00% 12/1/38 | 290,440 | 328,508 | ||||||
6.00% 1/1/39 | 181,132 | 204,853 | ||||||
6.00% 2/1/39 | 319,525 | 360,858 | ||||||
6.00% 9/1/39 | 553,768 | 625,355 | ||||||
6.00% 10/1/39 | 102,214 | 115,523 | ||||||
6.00% 3/1/40 | 162,268 | 183,652 | ||||||
6.00% 7/1/40 | 660,138 | 744,516 | ||||||
6.00% 9/1/40 | 144,000 | 162,815 | ||||||
6.00% 11/1/40 | 63,672 | 72,543 | ||||||
6.00% 5/1/41 | 950,747 | 1,074,055 | ||||||
6.50% 11/1/33 | 5,861 | 6,708 | ||||||
6.50% 2/1/36 | 96,177 | 109,870 | ||||||
6.50% 3/1/36 | 90,318 | 103,177 | ||||||
6.50% 6/1/36 | 237,077 | 282,725 | ||||||
6.50% 2/1/38 | 42,725 | 48,808 | ||||||
6.50% 11/1/38 | 12,382 | 14,145 | ||||||
6.50% 3/1/40 | 2,127,704 | 2,459,411 | ||||||
7.50% 3/1/32 | 482 | 531 | ||||||
7.50% 4/1/32 | 1,904 | 2,259 |
10
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
7.50% 6/1/32 | 1,531 | $ | 1,676 | |||||
Fannie Mae S.F. 30 yr TBA | ||||||||
3.00% 10/1/45 | 39,000,000 | 39,524,063 | ||||||
3.00% 11/1/45 | 60,641,000 | 61,327,947 | ||||||
3.50% 10/1/45 | 40,000,000 | 41,726,248 | ||||||
3.50% 11/1/45 | 56,000,000 | 58,292,058 | ||||||
4.00% 10/1/45 | 34,000,000 | 36,267,120 | ||||||
4.00% 11/1/45 | 65,000,000 | 69,207,249 | ||||||
4.50% 10/1/45 | 32,000,000 | 34,688,499 | ||||||
4.50% 11/1/45 ¥ | 10,535,000 | 11,410,228 | ||||||
Freddie Mac ARM | ||||||||
2.342% 12/1/33 ● | 56,769 | 60,523 | ||||||
2.46% 4/1/34 ● | 2,086 | 2,215 | ||||||
2.477% 7/1/36 ● | 43,426 | 46,220 | ||||||
2.515% 1/1/44 ● | 1,229,454 | 1,266,489 | ||||||
2.807% 5/1/37 ● | 405,187 | 433,864 | ||||||
2.958% 10/1/45 ● | 627,000 | 645,564 | ||||||
5.375% 2/1/38 ● | 150,702 | 160,810 | ||||||
Freddie Mac Relocation 30 yr | ||||||||
5.00% 9/1/33 | 292 | 317 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
2.50% 3/1/28 | 233,962 | 240,868 | ||||||
3.50% 10/1/26 | 109,838 | 116,665 | ||||||
4.00% 4/1/25 | 47,078 | 50,423 | ||||||
4.00% 5/1/25 | 61,888 | 66,256 | ||||||
4.00% 8/1/25 | 210,302 | 225,225 | ||||||
4.00% 11/1/26 | 267,434 | 284,229 | ||||||
4.50% 5/1/20 | 114,075 | 118,537 | ||||||
4.50% 7/1/25 | 60,408 | 64,430 | ||||||
4.50% 6/1/26 | 156,826 | 167,295 | ||||||
4.50% 9/1/26 | 289,582 | 309,258 | ||||||
5.00% 6/1/18 | 28,733 | 29,874 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
3.50% 1/1/34 | 502,447 | 530,679 | ||||||
4.00% 11/1/32 | 140,652 | 151,530 | ||||||
5.50% 10/1/23 | 67,070 | 74,274 | ||||||
5.50% 8/1/24 | 20,554 | 22,769 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
3.00% 10/1/42 | 440,511 | 447,206 | ||||||
3.00% 11/1/42 | 384,950 | 391,309 | ||||||
4.50% 10/1/39 | 166,745 | 180,784 | ||||||
5.50% 3/1/34 | 45,621 | 50,873 | ||||||
5.50% 12/1/34 | 41,482 | 46,291 | ||||||
5.50% 6/1/36 | 24,921 | 27,581 | ||||||
5.50% 11/1/36 | 54,896 | 60,755 | ||||||
5.50% 12/1/36 | 12,405 | 13,743 | ||||||
5.50% 4/1/38 | 242,495 | 268,552 | ||||||
5.50% 6/1/38 | 31,860 | 35,261 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Freddie Mac S.F. 30 yr | ||||||||
5.50% 6/1/39 | 255,346 | $ | 282,690 | |||||
5.50% 3/1/40 | 142,859 | 158,205 | ||||||
5.50% 8/1/40 | 549,286 | 608,025 | ||||||
5.50% 1/1/41 | 156,659 | 173,507 | ||||||
5.50% 6/1/41 | 659,862 | 730,727 | ||||||
6.00% 2/1/36 | 356,678 | 407,324 | ||||||
6.00% 3/1/36 | 146,125 | 164,702 | ||||||
6.00% 1/1/38 | 55,545 | 62,636 | ||||||
6.00% 6/1/38 | 154,065 | 173,362 | ||||||
6.00% 8/1/38 | 243,629 | 277,777 | ||||||
6.00% 5/1/40 | 383,178 | 435,607 | ||||||
6.00% 7/1/40 | 414,821 | 465,850 | ||||||
6.50% 11/1/33 | 28,527 | 33,108 | ||||||
6.50% 1/1/35 | 138,361 | 167,352 | ||||||
6.50% 8/1/38 | 49,815 | 56,950 | ||||||
6.50% 4/1/39 | 242,861 | 277,642 | ||||||
7.00% 1/1/38 | 31,154 | 34,040 | ||||||
Freddie Mac S.F. 30 yr TBA | ||||||||
3.50% 11/1/45 | 6,000,000 | 6,229,453 | ||||||
GNMA I S.F. 30 yr | ||||||||
5.00% 6/15/40 | 84,120 | 93,446 | ||||||
7.00% 12/15/34 | 219,687 | 264,787 | ||||||
GNMA II S.F. 30 yr | ||||||||
6.00% 4/20/34 | 7,857 | 8,917 | ||||||
GNMA II S.F. 30 yr TBA | ||||||||
4.00% 10/1/45 | 1,000,000 | 1,065,410 | ||||||
4.00% 11/1/45 | 5,000,000 | 5,320,412 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities | 470,571,063 | |||||||
|
| |||||||
| ||||||||
Agency Obligations – 0.08% |
| |||||||
| ||||||||
Federal National Mortgage Association | ||||||||
1.375% 4/27/18 | 1,000,000 | 1,005,502 | ||||||
Tennessee Valley Authority | ||||||||
4.25% 9/15/65 | 620,000 | 625,024 | ||||||
|
| |||||||
Total Agency Obligations | 1,630,526 | |||||||
|
| |||||||
| ||||||||
Collateralized Debt Obligations – 1.88% |
| |||||||
| ||||||||
ACAS CLO | ||||||||
Series 2007-1A A1S 144A | ||||||||
0.497% 4/20/21 #● | 260,827 | 259,419 | ||||||
ALM VII | ||||||||
Series 2012-7A A1 144A | ||||||||
1.707% 10/19/24 #● | 250,000 | 248,775 |
(continues | ) | 11 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Collateralized Debt Obligations (continued) |
| |||||||
| ||||||||
ALM VII | ||||||||
Series 2013-8A A1B 144A | ||||||||
1.937% 1/20/26 #● | 400,000 | $ | 402,800 | |||||
Avery Point III CLO | ||||||||
Series 2013-3A A 144A | ||||||||
1.687% 1/18/25 #● | 1,000,000 | 988,700 | ||||||
Avery Point VI CLO | ||||||||
Series 2015-6A A 144A | ||||||||
1.83% 8/5/27 #● | 250,000 | 248,475 | ||||||
Benefit Street Partners CLO IV | ||||||||
Series 2014-IVA A1A 144A | ||||||||
1.777% 7/20/26 #● | 2,400,000 | 2,382,720 | ||||||
Carlyle Global Market Strategies CLO | ||||||||
Series 2012-1A AR 144A | ||||||||
1.505% 4/20/22 #● | 4,800,000 | 4,780,320 | ||||||
Cavalry CLO V | ||||||||
Series 2014-5A A 144A | ||||||||
1.659% 1/16/24 #● | 400,000 | 398,720 | ||||||
Cent CLO 21 | ||||||||
Series 2014-21A A1B | ||||||||
144A 1.685% 7/27/26 #● | 1,250,000 | 1,234,375 | ||||||
CIFC Funding 2014-II | ||||||||
Series 2014-2A A1L 144A | ||||||||
1.809% 5/24/26 #● | 250,000 | 247,825 | ||||||
Cordatus CLO I | ||||||||
Series 2006-1X A1 | ||||||||
0.283% 1/30/24 ● | EUR | 5,003,025 | 5,535,035 | |||||
Doral CLO II | ||||||||
Series 2012-2A A1R 144A | ||||||||
1.532% 5/26/23 #● | 469,092 | 464,870 | ||||||
Elm CLO | ||||||||
Series 2014-1A A 144A | ||||||||
1.689% 1/17/23 #● | 589,690 | 587,449 | ||||||
Euro-Galaxy CLO | ||||||||
Series 2006-1X A2 | ||||||||
0.221% 10/23/21 ● | EUR | 605,477 | 672,365 | |||||
Franklin CLO V | ||||||||
Series 5A A2 144A | ||||||||
0.597% 6/15/18 #● | 400,289 | 397,927 | ||||||
Fraser Sullivan CLO VII | ||||||||
Series 2012-7A A1R 144A | ||||||||
1.362% 4/20/23 #● | 390,722 | 388,260 | ||||||
Harvest CLO | ||||||||
Series V-A1D | ||||||||
0.266% 4/5/24 ● | EUR | 2,519,744 | 2,815,561 | |||||
Jubilee CDO I-R | ||||||||
Series I-RX A | ||||||||
0.258% 7/30/24 ● | EUR | 3,234,524 | 3,567,632 | |||||
KVK CLO | ||||||||
Series 2012-1A A 144A | ||||||||
1.659% 7/15/23 #● | 750,000 | 747,450 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Collateralized Debt Obligations (continued) |
| |||||||
| ||||||||
Lockwood Grove CLO | ||||||||
Series 2014-1A A1 144A | ||||||||
1.665% 1/25/24 #● | 400,000 | $ | 397,360 | |||||
Madison Park Funding IX | ||||||||
Series 2012-9AR AR 144A | ||||||||
1.611% 8/15/22 #● | 500,000 | 494,600 | ||||||
Magnetite IX | ||||||||
Series 2014-9A A1 144A | ||||||||
1.715% 7/25/26 #● | 2,405,000 | 2,381,431 | ||||||
Neuberger Berman CLO XVII | ||||||||
Series 2014-17A A 144A | ||||||||
1.779% 8/4/25 #● | 1,100,000 | 1,091,640 | ||||||
Neuberger Berman CLO XIX | ||||||||
Series 2015-19A A1 144A | ||||||||
1.718% 7/15/27 #● | 1,300,000 | 1,283,490 | ||||||
OHA Credit Partners VI | ||||||||
Series 2012-6A AR 144A | ||||||||
1.531% 5/15/23 #● | 4,600,000 | 4,584,820 | ||||||
Queen Street CLO II | ||||||||
Series 2007-1X A1 | ||||||||
0.246% 8/15/24 ● | EUR | 176,449 | 196,514 | |||||
Stoney Lane Funding I | ||||||||
Series 2007-1A A1 144A | ||||||||
0.529% 4/18/22 #● | 606,539 | 592,467 | ||||||
Symphony CLO VII | ||||||||
Series 2011-7A A 144A | ||||||||
1.544% 7/28/21 #● | 432,775 | 431,996 | ||||||
Venture XI CLO | ||||||||
Series 2012-11AR AR 144A | ||||||||
1.609% 11/14/22 #● | 750,000 | 745,875 | ||||||
Voya CLO | ||||||||
Series 2012-2AR AR 144A | ||||||||
1.589% 10/15/22 #● | 200,000 | 199,160 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 38,768,031 | |||||||
|
| |||||||
| ||||||||
Commercial Mortgage-Backed Securities – 4.11% |
| |||||||
| ||||||||
BAMLL Commercial Mortgage Securities Trust | ||||||||
Series 2015-ASHF A 144A | ||||||||
1.418% 1/15/28 #● | 900,000 | 898,713 | ||||||
Banc of America Commercial Mortgage Trust | ||||||||
Series 2006-1 AM | ||||||||
5.421% 9/10/45 ● | 210,000 | 211,088 | ||||||
Series 2007-4 AM | ||||||||
6.002% 2/10/51 ● | 505,000 | 538,245 |
12
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Bank of America Re-REMIC | ||||||||
Series 2009-UBER2 144A | ||||||||
5.811% 2/24/51 #● | 2,018,915 | $ | 2,095,856 | |||||
BBCMS Trust | ||||||||
Series 2015-RRI A 144A | ||||||||
1.357% 5/15/32 #● | 5,100,000 | 5,060,082 | ||||||
CD Commercial Mortgage Trust | ||||||||
Series 2005-CD1 AJ | ||||||||
5.289% 7/15/44 ● | 164,585 | 164,512 | ||||||
Series 2005-CD1 C | ||||||||
5.289% 7/15/44 ● | 250,000 | 249,770 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
Series 2011-C1 144A | ||||||||
3.759% 4/15/44 # | 353,651 | 356,308 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2014-GC25 A4 | ||||||||
3.635% 10/10/47 | 1,100,000 | 1,146,593 | ||||||
Series 2015-GC27 A5 | ||||||||
3.137% 2/10/48 | 970,000 | 966,678 | ||||||
COMM Mortgage Trust | ||||||||
Series 2014-CR19 A5 | ||||||||
3.796% 8/10/47 | 470,000 | 497,416 | ||||||
Series 2014-CR20 A4 | ||||||||
3.59% 11/10/47 | 910,000 | 946,767 | ||||||
Series 2014-CR20 AM | ||||||||
3.938% 11/10/47 | 2,225,000 | 2,314,955 | ||||||
Series 2014-CR21 A3 | ||||||||
3.528% 12/10/47 | 4,549,000 | 4,708,988 | ||||||
Series 2015-CR23 A4 | ||||||||
3.497% 5/10/48 | 1,110,000 | 1,149,422 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2006-GG7 A4 | ||||||||
6.014% 7/10/38 ● | 1,060,467 | 1,072,858 | ||||||
CSMC | ||||||||
Series 2010-UD1 A 144A | ||||||||
5.931% 12/16/49 #● | 1,713,187 | 1,765,973 | ||||||
DBUBS Mortgage Trust | ||||||||
Series 2011-LC1A A3 144A | ||||||||
5.002% 11/10/46 # | 2,050,000 | 2,314,071 | ||||||
Series 2011-LC1A C 144A | ||||||||
5.735% 11/10/46 #● | 815,000 | 908,776 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2011-K10 B 144A | ||||||||
4.781% 11/25/49 #● | 485,000 | 524,473 | ||||||
Series 2011-K15 B 144A | ||||||||
5.116% 8/25/44 #● | 75,000 | 83,074 | ||||||
Series 2012-K19 B 144A | ||||||||
4.175% 5/25/45 #● | 145,000 | 154,405 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
FREMF Mortgage Trust | ||||||||
Series 2012-K22 B 144A | ||||||||
3.812% 8/25/45 #● | 665,000 | $ | 679,565 | |||||
Series 2012-K708 B 144A | ||||||||
3.886% 2/25/45 #● | 1,705,000 | 1,776,557 | ||||||
Series 2012-K708 C 144A | ||||||||
3.886% 2/25/45 #● | 230,000 | 235,195 | ||||||
Series 2012-K711 B 144A | ||||||||
3.684% 8/25/45 #● | 820,000 | 855,421 | ||||||
Series 2013-K33 B 144A | ||||||||
3.618% 8/25/46 #● | 505,000 | 508,148 | ||||||
Series 2013-K712 B 144A | ||||||||
3.484% 5/25/45 #● | 2,215,000 | 2,276,287 | ||||||
Series 2013-K713 B 144A | ||||||||
3.274% 4/25/46 #● | 1,215,000 | 1,238,181 | ||||||
Series 2013-K713 C 144A | ||||||||
3.274% 4/25/46 #● | 1,000,000 | 996,288 | ||||||
German Residential Funding | ||||||||
Series 2013-1 A | ||||||||
1.117% 8/27/24 ● | EUR 4,013,247 | 4,520,277 | ||||||
Series 2013-1 B | ||||||||
1.567% 8/27/24 ● | EUR 2,893,271 | 3,250,722 | ||||||
Series 2013-2 A | ||||||||
0.967% 11/27/24 ● | EUR 2,922,577 | 3,276,301 | ||||||
GRACE Mortgage Trust | ||||||||
Series 2014-GRCE A 144A | ||||||||
3.369% 6/10/28 # | 2,200,000 | 2,299,222 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2006-GG6 A4 | ||||||||
5.553% 4/10/38 ● | 347,301 | 347,315 | ||||||
Series 2010-C1 A2 144A | ||||||||
4.592% 8/10/43 # | 1,415,000 | 1,552,774 | ||||||
Series 2010-C1 C 144A | ||||||||
5.635% 8/10/43 #● | 375,000 | 415,225 | ||||||
Hilton USA Trust | ||||||||
Series 2013-HLT AFX 144A | ||||||||
2.662% 11/5/30 # | 3,540,000 | 3,548,337 | ||||||
Series 2013-HLT BFX 144A | ||||||||
3.367% 11/5/30 # | 1,620,000 | 1,624,760 | ||||||
Hyatt Hotel Portfolio Trust | ||||||||
Series 2015-HYT A 144A | ||||||||
1.457% 11/15/29 #● | 900,000 | 899,331 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C18 A1 | ||||||||
1.254% 2/15/47 | 882,237 | 882,182 | ||||||
Series 2014-C22 B | ||||||||
4.713% 9/15/47 ● | 470,000 | 488,195 |
(continues | ) | 13 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2005-CB11 E | ||||||||
5.675% 8/12/37 ● | 230,000 | $ | 251,368 | |||||
Series 2005-LDP4 AJ | ||||||||
5.04% 10/15/42 ● | 625,694 | 625,535 | ||||||
Series 2005-LDP5 D | ||||||||
5.563% 12/15/44 ● | 420,000 | 419,035 | ||||||
Series 2006-LDP8 A1A | ||||||||
5.397% 5/15/45 | 438,764 | 449,553 | ||||||
Series 2006-LDP8 AM | ||||||||
5.44% 5/15/45 | 5,268,000 | 5,412,038 | ||||||
Series 2007-LDPX A3 | ||||||||
5.42% 1/15/49 | 1,061,422 | 1,101,666 | ||||||
Series 2011-C5 C 144A | ||||||||
5.50% 8/15/46 #● | 410,000 | 447,139 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
Series 2004-C1 A4 | ||||||||
4.568% 1/15/31 | 28,852 | 29,122 | ||||||
Series 2006-C6 AJ | ||||||||
5.452% 9/15/39 ● | 920,000 | 949,915 | ||||||
Series 2006-C6 AM | ||||||||
5.413% 9/15/39 | 2,445,000 | 2,528,480 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2015-C23 A4 | ||||||||
3.719% 7/15/50 | 630,000 | 658,304 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2005-HQ7 AJ | ||||||||
5.397% 11/14/42 ● | 615,000 | 614,529 | ||||||
Series 2005-HQ7 C | ||||||||
5.397% 11/14/42 ● | 870,000 | 868,926 | ||||||
Series 2006-TOP21 AM | ||||||||
5.204% 10/12/52 ● | 600,000 | 602,431 | ||||||
Series 2015-XLF1 A 144A | ||||||||
1.356% 8/14/31 #● | 1,900,000 | 1,891,678 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
Series 2009-GG10 A4A | ||||||||
144A 5.988% 8/12/45 #● | 4,021,830 | 4,222,724 | ||||||
TimberStar Trust I | ||||||||
Series 2006-1A A 144A | ||||||||
5.668% 10/15/36 # | 415,000 | 430,345 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
Series 2006-C28 A4FL 144A | ||||||||
0.357% 10/15/48 #● | 865,313 | 858,417 | ||||||
Series 2007-C31 A5FL | ||||||||
144A 0.417% 4/15/47 #● | 400,000 | 389,042 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
Series 2007-C32 A4FL | ||||||||
144A 0.382% 6/15/49 #● | 700,000 | $ | 688,321 | |||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2012-LC5 A3 | ||||||||
2.918% 10/15/45 | 1,020,000 | 1,037,933 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
Series 2014-C23 A5 | ||||||||
3.917% 10/15/57 | 545,000 | 580,186 | ||||||
|
| |||||||
Total Commercial | 84,855,993 | |||||||
|
| |||||||
| ||||||||
Convertible Bonds – 0.80% |
| |||||||
| ||||||||
Abengoa 144A 5.125% exercise price $37.29, expiration date 2/23/17 # | 600,000 | 272,625 | ||||||
Alaska Communications Systems Group 6.25% exercise price $10.28, expiration date 4/27/18 @ | 614,000 | 620,907 | ||||||
Ares Capital 5.75% exercise price $18.36, expiration date 2/1/16 | 206,000 | 207,803 | ||||||
BGC Partners 4.50% exercise price $9.84, expiration date 7/13/16 | 442,000 | 458,023 | ||||||
BioMarin Pharmaceutical 1.50% exercise price $94.15, expiration date 10/13/20 | 291,000 | 392,486 | ||||||
Blackstone Mortgage Trust 5.25% exercise price $28.66, expiration date 12/1/18 | 710,000 | 745,944 | ||||||
Blucora 4.25% exercise price $21.66, expiration date 3/29/19 | 275,000 | 261,594 | ||||||
Campus Crest Communities Operating Partnership 144A 5.00% exercise price $12.56, expiration date 10/11/18 # | 604,000 | 569,648 | ||||||
Cardtronics 1.00% exercise price $52.35, expiration date 11/27/20 | 552,000 |
| 514,050 |
|
14
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Convertible Bonds (continued) |
| |||||||
| ||||||||
Cemex 3.72% exercise price $11.90, expiration date 3/15/20 | 391,000 | $ | 356,787 | |||||
Chart Industries 2.00% exercise price $69.03, expiration date 7/30/18 @ | 563,000 | 494,736 | ||||||
Chesapeake Energy | ||||||||
2.25% exercise price $80.28, expiration date 12/14/38 | 206,000 | 147,290 | ||||||
2.50% exercise price $47.55, expiration date 5/15/37 | 14,000 | 12,110 | ||||||
Ciena 144A 3.75% exercise price $20.17, expiration date 10/15/18 # | 283,000 | 355,342 | ||||||
GAIN Capital Holdings 4.125% exercise price $12.00, expiration date 11/30/18 @ | 343,000 | 324,778 | ||||||
General Cable 4.50% exercise price $33.77, expiration date 11/15/29 @f | 634,000 | 383,966 | ||||||
Gilead Sciences 1.625% exercise price $22.53, expiration date 4/29/16 | 131,000 | 561,827 | ||||||
HealthSouth 2.00% exercise price $38.30, expiration date 11/30/43 | 297,000 | 337,095 | ||||||
Helix Energy Solutions Group 3.25% exercise price $25.02, expiration date 3/12/32 | 410,000 | 336,713 | ||||||
Hologic 2.00% exercise price $31.17, expiration date 2/27/42 f | 259,000 | 349,974 | ||||||
Huron Consulting Group 1.25% exercise price $79.89, expiration date 9/27/19 | 135,000 | 140,822 | ||||||
Illumina 0.25% exercise price $83.55, expiration date 3/11/16 | 113,000 | 237,159 | ||||||
inContact 144A 2.50% exercise price $14.23, expiration date 4/1/22 # | 507,000 | 423,028 | ||||||
Intel 3.25% exercise price $21.47, expiration date 8/1/39 | 200,000 | 302,126 | ||||||
j2 Global 3.25% exercise price $69.37, expiration date 6/14/29 | 483,000 | 575,374 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Convertible Bonds (continued) |
| |||||||
| ||||||||
Jefferies Group 3.875% exercise price $44.69, expiration date 10/31/29 | 474,000 | $ | 483,480 | |||||
Liberty Interactive 144A 1.00% exercise price $64.26, expiration date 9/28/43 # | 447,000 | 402,300 | ||||||
Meritor 4.00% exercise price $26.73, expiration date 2/12/27 f | 608,000 | 603,820 | ||||||
Microchip Technology 144A 1.625% exercise price $67.13, expiration date 2/13/25 # | 224,000 | 215,460 | ||||||
Novellus Systems 2.625% exercise price $34.51, expiration date 5/14/41 | 268,000 | 526,117 | ||||||
Nuance Communications 2.75% exercise price $32.30, expiration date 11/1/31 | 35,000 | 35,809 | ||||||
NuVasive 2.75% exercise price $42.13, expiration date 6/30/17 | 498,000 | 630,281 | ||||||
NXP Semiconductors 144A 1.00% exercise price $102.84, expiration date 11/27/19 # | 262,000 | 290,656 | ||||||
Oclaro 144A 6.00% exercise price $1.95, expiration date 2/14/20 # | 101,000 | 138,433 | ||||||
PROS Holdings 144A 2.00% exercise price $33.79, expiration date 11/27/19 # | 540,000 | 528,863 | ||||||
SanDisk 1.50% exercise price $50.68, expiration date 8/11/17 | 111,000 | 138,334 | ||||||
Spectrum Pharmaceuticals 2.75% exercise price $10.53, expiration date 12/13/18 @ | 374,000 | 341,832 | ||||||
Spirit Realty Capital 3.75% exercise price $13.10, expiration date 5/13/21 @ | 572,000 | 523,025 | ||||||
SunEdison 144A 3.375% exercise price $38.65, expiration date 5/30/25 # | 338,000 | 173,436 | ||||||
Titan Machinery 3.75% exercise price $43.17, expiration date 4/30/19 @ | 128,000 | 96,960 |
(continues | ) | 15 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Convertible Bonds (continued) |
| |||||||
| ||||||||
TPG Specialty Lending 4.50% exercise price $25.83, expiration date 12/15/19 @ | 372,000 | $ | 365,490 | |||||
Vector Group | ||||||||
1.75% exercise price $24.64, expiration date 4/15/20 ● | 473,000 | 530,351 | ||||||
2.50% exercise price $15.98, expiration date 1/14/19 ● | 147,000 | 221,898 | ||||||
VEREIT 3.75% exercise price $15.15, expiration date 12/14/20 @ | 465,000 | 430,418 | ||||||
VeriSign 4.297% exercise price $34.37, expiration date 8/15/37 | 175,000 | 366,078 | ||||||
|
| |||||||
Total Convertible Bonds |
| 16,425,248 | ||||||
|
| |||||||
| ||||||||
Corporate Bonds – 38.26% |
| |||||||
| ||||||||
Banking – 11.09% | ||||||||
Abbey National Treasury Services | ||||||||
0.846% 3/13/17 ● | 225,000 | 224,655 | ||||||
1.179% 8/24/18 ● | 730,000 | 731,557 | ||||||
Ally Financial | ||||||||
3.50% 7/18/16 | 200,000 | 201,004 | ||||||
4.75% 9/10/18 | 200,000 | 204,250 | ||||||
5.50% 2/15/17 | 1,800,000 | 1,849,500 | ||||||
ANZ New Zealand International 144A 2.60% 9/23/19 # | 200,000 | 202,470 | ||||||
Australia & New Zealand Banking Group | ||||||||
2.625% 12/10/18 | CAD | 151,000 | 118,012 | |||||
4.75% 5/13/27 ● | AUD | 200,000 | 143,589 | |||||
Banco Bilbao Vizcaya Argentaria 6.75% 12/29/49 ● | EUR | 400,000 | 429,473 | |||||
Banco Bilbao Vizcaya Argentaria Colombia 144A 4.875% 4/21/25 # | 640,000 | 611,008 | ||||||
Banco Votorantim 144A 5.25% 2/11/16 # | 2,300,000 | 2,294,250 | ||||||
Bank of America | ||||||||
0.637% 6/15/17 ● | 3,800,000 | 3,775,703 | ||||||
1.329% 1/15/19 ● | 830,000 | 837,038 | ||||||
2.60% 1/15/19 | 1,200,000 | 1,213,140 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Banking (continued) | ||||||||
Bank of America | ||||||||
3.30% 1/11/23 | 716,000 | $ | 711,665 | |||||
3.95% 4/21/25 | 2,550,000 | 2,485,602 | ||||||
5.65% 5/1/18 | 3,300,000 | 3,602,828 | ||||||
5.75% 12/1/17 | 700,000 | 757,047 | ||||||
6.00% 9/1/17 | 1,700,000 | 1,832,998 | ||||||
6.40% 8/28/17 | 1,000,000 | 1,085,676 | ||||||
6.875% 4/25/18 | 4,125,000 | 4,612,987 | ||||||
7.625% 6/1/19 | 800,000 | 942,309 | ||||||
Bank of Montreal 0.809% 7/15/16 ● | 565,000 | 566,503 | ||||||
Bank of New York Mellon | ||||||||
0.813% 9/11/19 ● | 830,000 | 825,214 | ||||||
2.15% 2/24/20 | 1,960,000 | 1,963,016 | ||||||
Bank of Nova Scotia 0.809% 7/15/16 ● | 835,000 | 837,349 | ||||||
Barclays 5.25% 8/17/45 | 200,000 | 202,337 | ||||||
Barclays Bank 7.625% 11/21/22 | 1,200,000 | 1,347,000 | ||||||
BB&T | ||||||||
0.96% 2/1/19 ● | 750,000 | 747,626 | ||||||
1.197% 6/15/18 ● | 65,000 | 65,330 | ||||||
5.25% 11/1/19 | 1,241,000 | 1,375,429 | ||||||
BBVA Banco Continental 144A 2.25% 7/29/16 # | 900,000 | 905,580 | ||||||
BBVA Bancomer | ||||||||
144A 6.50% 3/10/21 # | 810,000 | 868,523 | ||||||
144A 7.25% 4/22/20 # | 100,000 | 108,900 | ||||||
BNP Paribas 144A 7.375% 8/19/25 #● | 2,300,000 | 2,317,250 | ||||||
Branch Banking & Trust 3.80% 10/30/26 | 1,270,000 | 1,290,218 | ||||||
Capital One 2.35% 8/17/18 | 870,000 | 873,008 | ||||||
CIT Group | ||||||||
5.25% 3/15/18 | 6,100,000 | 6,283,000 | ||||||
144A 5.50% 2/15/19 # | 2,800,000 | 2,912,000 | ||||||
Citigroup | ||||||||
1.177% 7/30/18 ● | 1,000,000 | 1,000,113 | ||||||
4.05% 7/30/22 | 150,000 | 153,139 | ||||||
6.125% 5/15/18 | 2,300,000 | 2,543,821 | ||||||
8.50% 5/22/19 | 1,400,000 | 1,691,655 | ||||||
City National 5.25% 9/15/20 | 770,000 | 878,686 | ||||||
Compass Bank 3.875% 4/10/25 | 1,145,000 | 1,069,452 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank 2.50% 9/4/20 | NOK | 1,740,000 | 213,991 |
16
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Banking (continued) |
| |||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank | ||||||||
4.25% 1/13/22 | AUD | 353,000 | $ | 257,754 | ||||
4.375% 8/4/25 | 2,000,000 | 2,005,402 | ||||||
6.875% 3/19/20 | EUR | 2,400,000 | 3,160,339 | |||||
Credit Agricole 144A 1.302% 6/10/20 #@● | 1,000,000 | 1,000,860 | ||||||
Credit Suisse Group 144A 6.25% 12/29/49 #● | 270,000 | 253,955 | ||||||
Credit Suisse Group Funding Guernsey | ||||||||
144A 3.75% 3/26/25 # | 905,000 | 880,627 | ||||||
144A 3.80% 9/15/22 # | 3,100,000 | 3,101,153 | ||||||
DBS Bank 144A 3.625% 9/21/22 #● | 700,000 | 716,790 | ||||||
Depfa ACS Bank | ||||||||
4.875% 10/28/15 | 4,400,000 | 4,416,672 | ||||||
4.875% 5/21/19 | EUR | 2,500,000 | 3,255,696 | |||||
DNB Bank 144A 3.20% 4/3/17 # | 3,300,000 | 3,386,810 | ||||||
Eksportfinans | ||||||||
2.375% 5/25/16 | 500,000 | 501,325 | ||||||
5.50% 5/25/16 | 800,000 | 817,400 | ||||||
5.50% 6/26/17 | 600,000 | 632,850 | ||||||
Export-Import Bank of Korea | ||||||||
1.184% 9/17/16 ● | 900,000 | 903,195 | ||||||
1.25% 11/20/15 | 400,000 | 400,256 | ||||||
4.375% 9/15/21 | 700,000 | 770,397 | ||||||
5.00% 4/11/22 | 2,000,000 | 2,246,782 | ||||||
5.125% 6/29/20 | 1,500,000 | 1,682,517 | ||||||
Fifth Third Bancorp 2.875% 7/27/20 | 435,000 | 439,066 | ||||||
Fifth Third Bank 1.243% 8/20/18 ● | 905,000 | 906,410 | ||||||
Finnvera 144A 2.375% 6/4/25 # | 1,355,000 | 1,342,249 | ||||||
Goldman Sachs Group | ||||||||
0.769% 3/22/16 ● | 300,000 | 299,967 | ||||||
0.999% 5/22/17 ● | 1,800,000 | 1,799,725 | ||||||
1.421% 11/15/18 ● | 420,000 | 422,841 | ||||||
1.454% 4/23/20 ●¥ | 1,800,000 | 1,806,664 | ||||||
1.537% 9/15/20 ● | 1,700,000 | 1,702,069 | ||||||
3.435% 8/21/19 ● | AUD | 140,000 | 98,544 | |||||
3.55% 2/12/21 | CAD | 100,000 | 78,526 | |||||
5.20% 12/17/19 | NZD | 932,000 | 624,000 | |||||
5.35% 1/15/16 | 1,400,000 | 1,417,947 | ||||||
5.95% 1/18/18 | 700,000 | 765,003 | ||||||
6.25% 9/1/17 | 1,100,000 | 1,195,737 | ||||||
HBOS 1.032% 9/6/17 ● | 500,000 | 497,188 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Banking (continued) |
| |||||||
HSBC Bank 144A 0.961% 5/15/18 #● | 620,000 | $ | 619,084 | |||||
HSBC Holdings 6.375% 3/29/49 ● | 2,200,000 | 2,103,750 | ||||||
HSBC USA 2.75% 8/7/20 | 870,000 | 873,744 | ||||||
ICICI Bank 4.75% 11/25/16 | 2,600,000 | 2,686,861 | ||||||
Industrial & Commercial Bank of China 144A 4.875% 9/21/25 # | 905,000 | 893,671 | ||||||
ING Bank 144A 1.101% 8/17/18 #@● | 4,500,000 | 4,509,441 | ||||||
ING Groep | ||||||||
6.00% 12/29/49 ● | 530,000 | 522,713 | ||||||
6.50% 12/29/49 ● | 1,130,000 | 1,078,444 | ||||||
JPMorgan Chase | ||||||||
0.924% 1/28/19 ● | 574,000 | 572,195 | ||||||
1.50% 1/27/25 | EUR | 903,000 | 981,391 | |||||
2.25% 1/23/20 | 10,275,000 | 10,195,749 | ||||||
2.75% 6/23/20 | 105,000 | 105,967 | ||||||
3.15% 7/5/16 | 100,000 | 101,704 | ||||||
4.25% 11/2/18 | NZD | 570,000 | 371,107 | |||||
4.25% 10/1/27 | 270,000 | 269,522 | ||||||
4.40% 7/22/20 | 400,000 | 432,164 | ||||||
5.30% 12/29/49 ● | 2,300,000 | 2,265,500 | ||||||
6.30% 4/23/19 | 300,000 | 341,270 | ||||||
JPMorgan Chase Bank | ||||||||
0.666% 6/13/16 ● | 500,000 | 499,015 | ||||||
4.375% 11/30/21 ● | EUR | 2,600,000 | 3,012,780 | |||||
6.00% 10/1/17 | 600,000 | 648,550 | ||||||
KBC Bank 8.00% 1/25/23 ● | 2,200,000 | 2,410,210 | ||||||
KEB Hana Bank 1.375% 2/5/16 | 1,800,000 | 1,801,597 | ||||||
KeyBank | ||||||||
3.18% 5/22/22 | 250,000 | 253,470 | ||||||
3.30% 6/1/25 | 1,240,000 | 1,229,827 | ||||||
6.95% 2/1/28 | 1,220,000 | 1,556,008 | ||||||
KeyCorp 2.90% 9/15/20 | 2,500,000 | 2,521,587 | ||||||
Korea Development Bank 1.50% 1/22/18 | 900,000 | 894,415 | ||||||
Lloyds Bank | ||||||||
1.101% 8/17/18 ● | 3,200,000 | 3,200,394 | ||||||
1.75% 5/14/18 | 400,000 | 399,446 | ||||||
Lloyds Banking Group | ||||||||
7.50% 4/30/49 ● | 1,005,000 | 1,028,517 | ||||||
7.625% 12/29/49 ● | GBP | 200,000 | 306,342 | |||||
7.875% 12/29/49 ● | GBP | 200,000 | 312,200 | |||||
Morgan Stanley 1.143% 1/24/19 ● | 369,000 | 369,521 |
(continues | ) | 17 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Banking (continued) | ||||||||
Morgan Stanley | ||||||||
1.435% 1/27/20 ● | 845,000 | $ | 852,218 | |||||
2.125% 4/25/18 | 3,450,000 | 3,471,607 | ||||||
3.125% 8/5/21 | CAD | 387,000 | 296,048 | |||||
3.45% 11/2/15 | 1,000,000 | 1,002,269 | ||||||
4.35% 9/8/26 | 140,000 | 141,025 | ||||||
5.00% 9/30/21 | AUD | 359,000 | 266,719 | |||||
5.45% 1/9/17 | 700,000 | 735,373 | ||||||
MUFG Americas Holdings | ||||||||
2.25% 2/10/20 | 685,000 | 683,418 | ||||||
3.00% 2/10/25 | 1,595,000 | 1,527,618 | ||||||
National City Bank 0.702% 6/7/17 ● | 325,000 | 323,291 | ||||||
Nordea Bank 144A 6.125% 12/29/49 #● | 840,000 | 830,550 | ||||||
Nordea Kredit Realkreditak-tieselskab 2.00% 10/1/15 | DKK | 14,000,000 | 2,096,687 | |||||
Novo Banco | ||||||||
4.00% 1/21/19 | EUR | 3,600,000 | 3,740,363 | |||||
5.00% 4/4/19 | EUR | 50,000 | 52,664 | |||||
5.00% 5/21/19 | EUR | 150,000 | 158,819 | |||||
5.875% 11/9/15 | EUR | 200,000 | 222,937 | |||||
Nykredit Realkredit 2.00% 10/1/15 | DKK | 15,000,000 | 2,246,451 | |||||
PNC Bank | ||||||||
1.85% 7/20/18 | 700,000 | 703,282 | ||||||
2.30% 6/1/20 | 500,000 | 497,113 | ||||||
2.60% 7/21/20 | 700,000 | 707,975 | ||||||
3.30% 10/30/24 | 745,000 | 744,479 | ||||||
6.875% 4/1/18 | 1,415,000 | 1,579,434 | ||||||
PNC Funding 5.625% 2/1/17 | 225,000 | 237,033 | ||||||
Realkredit Danmark 2.00% 1/1/16 | DKK | 43,300,000 | 6,522,041 | |||||
Regions Bank 2.25% 9/14/18 | 595,000 | 597,794 | ||||||
Royal Bank of Canada 0.624% 1/23/17 ● | 530,000 | 530,492 | ||||||
Royal Bank of Scotland Group | ||||||||
144A 6.99% 10/29/49 #● | 300,000 | 351,000 | ||||||
9.50% 3/16/22 ● | 2,000,000 | 2,183,608 | ||||||
Santander Bank 1.216% 1/12/18 ● | 1,400,000 | 1,396,388 | ||||||
Santander UK Group Holdings 144A 4.75% 9/15/25 # | 1,760,000 | 1,748,704 | ||||||
Societe Generale 144A 4.25% 4/14/25 #@ | 3,600,000 | 3,418,758 | ||||||
State Street 2.55% 8/18/20 | 1,000,000 | 1,013,906 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Banking (continued) | ||||||||
State Street | ||||||||
3.10% 5/15/23 | 525,000 | $ | 517,559 | |||||
3.55% 8/18/25 | 1,075,000 | 1,098,120 | ||||||
Sumitomo Mitsui Banking 0.67% 5/2/17 ● | 1,000,000 | 1,000,007 | ||||||
SunTrust Banks 2.35% 11/1/18 | 535,000 | 541,353 | ||||||
SVB Financial Group 3.50% 1/29/25 | 2,205,000 | 2,154,761 | ||||||
Toronto-Dominion Bank 0.847% 4/30/18 ● | 835,000 | 835,079 | ||||||
Turkiye Garanti Bankasi 144A 4.75% 10/17/19 # | 1,083,000 | 1,069,419 | ||||||
UBS | ||||||||
4.75% 5/22/23 ● | 400,000 | 402,665 | ||||||
5.875% 12/20/17 | 1,163,000 | 1,266,706 | ||||||
7.25% 2/22/22 ● | 2,100,000 | 2,189,498 | ||||||
7.625% 8/17/22 | 500,000 | 576,028 | ||||||
UBS Group Funding Jersey | ||||||||
144A 2.95% 9/24/20 # | 1,100,000 | 1,103,362 | ||||||
144A 4.125% 9/24/25 # | 1,270,000 | 1,266,458 | ||||||
US Bancorp 3.60% 9/11/24 @ | 1,275,000 | 1,296,991 | ||||||
US Bank | ||||||||
0.527% 1/30/17 ● | 850,000 | 849,368 | ||||||
2.80% 1/27/25 | 1,285,000 | 1,249,240 | ||||||
USB Capital IX 3.50% 10/29/49 ● | 1,820,000 | 1,483,300 | ||||||
Wells Fargo | ||||||||
0.977% 1/30/20 ● | 1,180,000 | 1,178,688 | ||||||
1.25% 7/20/16 | 10,300,000 | 10,345,557 | ||||||
3.50% 9/12/29 | GBP | 196,000 | 301,407 | |||||
4.30% 7/22/27 | 1,435,000 | 1,464,491 | ||||||
4.75% 8/27/24 | AUD | 260,000 | 194,144 | |||||
Woori Bank | ||||||||
144A 2.875% 10/2/18 # | 565,000 | 577,992 | ||||||
144A 4.75% 4/30/24 # | 1,000,000 | 1,035,222 | ||||||
Zions Bancorporation 4.50% 6/13/23 | 830,000 | 863,208 | ||||||
|
| |||||||
228,801,460 | ||||||||
|
| |||||||
Basic Industry – 1.49% |
| |||||||
AECOM | ||||||||
144A 5.75% 10/15/22 # | 112,000 | 112,911 | ||||||
144A 5.875% 10/15/24 # | 1,605,000 | 1,621,050 | ||||||
ArcelorMittal | ||||||||
6.125% 6/1/25 | 735,000 | 597,187 | ||||||
10.60% 6/1/19 | 830,000 | 899,513 | ||||||
Ball 5.25% 7/1/25 | 610,000 | 603,516 |
18
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Basic Industry (continued) |
| |||||||
BHP Billiton Finance 3.25% 9/25/24 | GBP | 223,000 | $ | 333,484 | ||||
BHP Billiton Finance USA 0.577% 9/30/16 ● | 500,000 | 499,249 | ||||||
CF Industries | ||||||||
6.875% 5/1/18 | 1,690,000 | 1,885,318 | ||||||
7.125% 5/1/20 | 300,000 | 353,008 | ||||||
Chemours | ||||||||
144A 6.625% 5/15/23 # | 105,000 | 70,875 | ||||||
144A 7.00% 5/15/25 # | 1,340,000 | 884,400 | ||||||
Corp Nacional del Cobre de Chile 144A 4.50% 9/16/25 # | 920,000 | 885,518 | ||||||
Domtar 9.50% 8/1/16 | 327,000 | 350,244 | ||||||
Dow Chemical 8.55% 5/15/19 | 2,322,000 | 2,809,228 | ||||||
Georgia-Pacific | ||||||||
144A 2.539% 11/15/19 # | 1,050,000 | 1,056,262 | ||||||
8.00% 1/15/24 | 1,927,000 | 2,501,402 | ||||||
Gerdau Holdings 144A 7.00% 1/20/20 # | 710,000 | 665,625 | ||||||
Gerdau Trade 144A 5.75% 1/30/21 # | 255,000 | 223,125 | ||||||
Glencore Finance Canada | ||||||||
144A 3.60% 1/15/17 # | 500,000 | 464,860 | ||||||
144A 5.80% 11/15/16 # | 300,000 | 285,074 | ||||||
Grace (W.R.) 144A 5.125% 10/1/21 # | 130,000 | 128,700 | ||||||
HD Supply 7.50% 7/15/20 | 211,000 | 220,495 | ||||||
Heathrow Funding 144A 4.875% 7/15/21 # | 200,000 | 220,149 | ||||||
International Paper | ||||||||
3.80% 1/15/26 | 1,295,000 | 1,278,576 | ||||||
5.00% 9/15/35 | 595,000 | 585,211 | ||||||
Joseph T Ryerson & Son | ||||||||
9.00% 10/15/17 | 341,000 | 305,195 | ||||||
11.25% 10/15/18 @ | 89,000 | 81,213 | ||||||
Lundin Mining 144A 7.50% 11/1/20 # | 460,000 | 446,200 | ||||||
LyondellBasell Industries | ||||||||
4.625% 2/26/55 | 1,045,000 | 889,894 | ||||||
5.00% 4/15/19 | 500,000 | 539,510 | ||||||
Methanex 4.25% 12/1/24 | 1,270,000 | 1,225,084 | ||||||
MMC Norilsk Nickel 144A 5.55% 10/28/20 # | 258,000 | 256,751 | ||||||
New Gold 144A 6.25% 11/15/22 # | 22,000 | 18,535 | ||||||
NOVA Chemicals 144A 5.00% 5/1/25 # | 1,156,000 | 1,089,530 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Basic Industry (continued) | ||||||||
Novelis 8.75% 12/15/20 | 175,000 | $ | 169,347 | |||||
OCP | ||||||||
144A 4.50% 10/22/25 # | 1,380,000 | 1,297,200 | ||||||
144A 6.875% 4/25/44 # | 535,000 | 539,547 | ||||||
Phosagro 144A 4.204% 2/13/18 # | 663,000 | 657,447 | ||||||
PolyOne 5.25% 3/15/23 | 290,000 | 275,645 | ||||||
PPG Industries 2.30% 11/15/19 | 685,000 | 691,273 | ||||||
Rio Tinto Finance USA 1.174% 6/17/16 ● | 420,000 | 420,347 | ||||||
Rockwood Specialties Group 4.625% 10/15/20 | 690,000 | 714,387 | ||||||
Tronox Finance | ||||||||
6.375% 8/15/20 | 265,000 | 169,600 | ||||||
144A 7.50% 3/15/22 # | 375,000 | 238,125 | ||||||
Weyerhaeuser 4.625% 9/15/23 | 1,140,000 | 1,219,700 | ||||||
|
| |||||||
30,779,510 | ||||||||
|
| |||||||
Brokerage – 0.35% | ||||||||
Affiliated Managers Group 3.50% 8/1/25 | 930,000 | 896,581 | ||||||
Bear Stearns | ||||||||
6.40% 10/2/17 | 700,000 | 763,448 | ||||||
7.25% 2/1/18 | 2,000,000 | 2,239,814 | ||||||
Jefferies Group | ||||||||
5.125% 1/20/23 | 585,000 | 587,038 | ||||||
6.45% 6/8/27 | 331,000 | 344,816 | ||||||
6.50% 1/20/43 | 220,000 | 209,508 | ||||||
Lazard Group | ||||||||
3.75% 2/13/25 | 2,100,000 | 2,007,682 | ||||||
6.85% 6/15/17 | 215,000 | 232,412 | ||||||
|
| |||||||
7,281,299 | ||||||||
|
| |||||||
Capital Goods – 0.62% | ||||||||
Algeco Scotsman Global Finance 144A 8.50% 10/15/18 # | 700,000 | 616,140 | ||||||
BWAY Holding 144A 9.125% 8/15/21 # | 622,000 | 603,340 | ||||||
Cemex | ||||||||
144A 5.875% 3/25/19 # | 200,000 | 195,500 | ||||||
144A 6.50% 12/10/19 # | 325,000 | 321,750 | ||||||
144A 7.25% 1/15/21 # | 305,000 | 305,000 | ||||||
Cemex Finance 144A 9.375% 10/12/22 # | 870,000 | 929,769 | ||||||
Crane | ||||||||
2.75% 12/15/18 | 170,000 | 171,650 | ||||||
4.45% 12/15/23 | 1,180,000 | 1,238,408 |
(continues | ) | 19 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Capital Goods (continued) | ||||||||
Embraer Netherlands Finance 5.05% 6/15/25 | 1,085,000 | $ | 1,006,609 | |||||
Fortune Brands Home & Security 3.00% 6/15/20 | 580,000 | 584,974 | ||||||
Gates Global 144A 6.00% 7/15/22 # | 458,000 | 370,980 | ||||||
Ingersoll-Rand Global Holding 4.25% 6/15/23 | 180,000 | 186,765 | ||||||
Lafarge 6.50% 7/15/16 | 200,000 | 206,458 | ||||||
Masco 4.45% 4/1/25 | 545,000 | 553,175 | ||||||
Milacron 144A 7.75% 2/15/21 # | 270,000 | 276,750 | ||||||
Owens-Brockway Glass Container 144A 5.875% 8/15/23 # | 240,000 | 241,950 | ||||||
Parker-Hannifin 3.30% 11/21/24 | 65,000 | 66,435 | ||||||
Plastipak Holdings 144A 6.50% 10/1/21 # | 404,000 | 387,840 | ||||||
Reynolds Group Issuer 8.25% 2/15/21 | 240,000 | 240,600 | ||||||
Siemens Financierings-maatschappij | ||||||||
144A 0.609% 5/25/18 #● | 610,000 | 607,007 | ||||||
144A 2.90% 5/27/22 # | 600,000 | 603,318 | ||||||
TransDigm | ||||||||
6.00% 7/15/22 | 240,000 | 225,000 | ||||||
6.50% 7/15/24 | 65,000 | 61,415 | ||||||
Trinity Industries 4.55% 10/1/24 @ | 1,010,000 | 955,800 | ||||||
Tyco Electronics Group 0.494% 1/29/16 ● | 515,000 | 514,829 | ||||||
Union Andina de Cementos 144A 5.875% 10/30/21 # | 610,000 | 588,650 | ||||||
USG 6.30% 11/15/16 | 800,000 | 830,000 | ||||||
|
| |||||||
12,890,112 | ||||||||
|
| |||||||
Communications – 4.75% | ||||||||
Alibaba Group Holding 144A | ||||||||
0.845% 11/28/17 #● | 345,000 | 343,447 | ||||||
144A 2.50% 11/28/19 # | 7,500,000 | 7,374,660 | ||||||
144A 3.125% 11/28/21 # | 1,685,000 | 1,622,203 | ||||||
Altice | ||||||||
144A 7.625% 2/15/25 # | 200,000 | 177,125 | ||||||
144A 7.75% 5/15/22 # | 280,000 | 255,500 | ||||||
Altice Financing 144A 6.625% 2/15/23 # | 550,000 | 530,406 | ||||||
Altice US Finance I 144A 5.375% 7/15/23 # | 500,000 | 481,250 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Communications (continued) |
| |||||||
America Movil | ||||||||
5.00% 3/30/20 | 720,000 | $ | 788,256 | |||||
6.00% 6/9/19 | MXN | 31,600,000 | 1,868,184 | |||||
American Tower | ||||||||
2.80% 6/1/20 | 405,000 | 404,602 | ||||||
4.00% 6/1/25 | 480,000 | 469,273 | ||||||
American Tower Trust I 144A 3.07% 3/15/23 # | 970,000 | 961,188 | ||||||
AT&T | ||||||||
1.257% 6/30/20 ● | 2,210,000 | 2,194,252 | ||||||
3.40% 5/15/25 | 3,285,000 | 3,141,859 | ||||||
4.50% 5/15/35 | 590,000 | 541,442 | ||||||
4.75% 5/15/46 | 1,440,000 | 1,324,561 | ||||||
Bell Canada 3.35% 3/22/23 | CAD | 219,000 | 166,523 | |||||
Bharti Airtel 144A 4.375% 6/10/25 # | 405,000 | 404,682 | ||||||
Bharti Airtel International Netherlands 144A 5.35% 5/20/24 # | 615,000 | 660,665 | ||||||
CBS 4.00% 1/15/26 | 590,000 | 581,641 | ||||||
CC Holdings GS V 3.849% 4/15/23 | 450,000 | 449,146 | ||||||
CCO Holdings | ||||||||
144A 5.125% 5/1/23 # | 440,000 | 406,736 | ||||||
5.25% 9/30/22 | 290,000 | 272,600 | ||||||
CCO Safari II | ||||||||
144A 4.464% 7/23/22 # | 400,000 | 400,677 | ||||||
144A 4.908% 7/23/25 # | 1,830,000 | 1,824,029 | ||||||
CenturyLink | ||||||||
5.80% 3/15/22 | 1,160,000 | 996,150 | ||||||
6.75% 12/1/23 | 359,000 | 315,471 | ||||||
Cequel Communications Holdings I 144A 6.375% 9/15/20 # | 435,000 | 411,075 | ||||||
Colombia Telecomunicaciones 144A 5.375% 9/27/22 # | 875,000 | 776,125 | ||||||
Columbus International 144A 7.375% 3/30/21 # | 1,070,000 | 1,111,463 | ||||||
Comcast 5.70% 5/15/18 | 1,000,000 | 1,106,924 | ||||||
Crown Castle Towers | ||||||||
144A 3.663% 5/15/25 # | 110,000 | 107,224 | ||||||
144A 4.883% 8/15/20 # | 2,090,000 | 2,264,269 | ||||||
CSC Holdings 5.25% 6/1/24 | 1,604,000 | 1,269,165 | ||||||
Deutsche Telekom International Finance 6.50% 4/8/22 | GBP | 36,000 | 66,155 | |||||
Digicel Group 144A 8.25% 9/30/20 # | 1,580,000 | 1,469,400 |
20
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Communications (continued) |
| |||||||
DigitalGlobe 144A 5.25% 2/1/21 # | 1,690,000 | $ | 1,609,725 | |||||
DISH DBS 5.00% 3/15/23 | 555,000 | 466,200 | ||||||
Frontier Communications 144A 8.875% 9/15/20 # | 840,000 | 825,300 | ||||||
Gray Television 7.50% 10/1/20 | 695,000 | 714,981 | ||||||
Grupo Televisa 5.00% 5/13/45 | 245,000 | 222,553 | ||||||
GTP Acquisition Partners I 144A 2.35% 6/15/20 # | 530,000 | 529,147 | ||||||
Hughes Satellite Systems 7.625% 6/15/21 | 306,000 | 328,950 | ||||||
Intelsat Luxembourg | ||||||||
7.75% 6/1/21 | 315,000 | 209,081 | ||||||
8.125% 6/1/23 @ | 3,700,000 | 2,423,500 | ||||||
Interpublic Group 2.25% 11/15/17 | 15,000 | 15,045 | ||||||
KT 144A 1.75% 4/22/17 # | 900,000 | 901,681 | ||||||
Level 3 Financing 144A 5.375% 5/1/25 # | 1,576,000 | 1,502,117 | ||||||
Millicom International Cellular | ||||||||
144A 6.00% 3/15/25 # | 875,000 | 794,063 | ||||||
144A 6.625% 10/15/21 # | 685,000 | 680,890 | ||||||
Motorola Solutions 4.00% 9/1/24 | 945,000 | 854,319 | ||||||
MTN Mauritius Investments 144A 4.755% 11/11/24 # | 335,000 | 335,208 | ||||||
MTS International Funding 144A 8.625% 6/22/20 # | 670,000 | 727,955 | ||||||
Myriad International Holdings 144A 5.50% 7/21/25 # | 1,040,000 | 1,022,778 | ||||||
NBCUniversal Enterprise 144A 0.974% 4/15/18 #● | 840,000 | 839,721 | ||||||
Neptune Finco 144A 6.625% 10/15/25 # | 240,000 | 241,800 | ||||||
Netflix 144A 5.875% 2/15/25 # | 930,000 | 960,225 | ||||||
Nielsen Finance 144A 5.00% 4/15/22 # | 355,000 | 345,237 | ||||||
Numericable-SFR 144A 6.00% 5/15/22 # | 900,000 | 869,625 | ||||||
Orange 2.75% 9/14/16 | 100,000 | 101,588 | ||||||
SBA Tower Trust | ||||||||
144A 2.24% 4/16/18 # | 735,000 | 731,320 | ||||||
144A 2.898% 10/15/19 # | 600,000 | 601,914 | ||||||
Scripps Networks Interactive | ||||||||
3.50% 6/15/22 | 300,000 | 294,194 | ||||||
3.95% 6/15/25 | 660,000 | 640,145 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Communications (continued) |
| |||||||||
SES 144A 3.60% 4/4/23 # | 1,555,000 | $ | 1,573,225 | |||||||
SES GLOBAL Americas Holdings 144A 5.30% 3/25/44 # | 1,495,000 | 1,480,433 | ||||||||
Sinclair Television Group 5.375% 4/1/21 | 1,405,000 | 1,378,656 | ||||||||
Sirius XM Radio 144A 5.375% 4/15/25 # | 1,732,000 | 1,658,390 | ||||||||
Sky 144A 3.75% 9/16/24 # | 1,090,000 | 1,076,421 | ||||||||
Sprint | ||||||||||
7.125% 6/15/24 | 1,957,000 | 1,511,000 | ||||||||
7.25% 9/15/21 | 644,000 | 528,885 | ||||||||
7.625% 2/15/25 | 65,000 | 50,497 | ||||||||
7.875% 9/15/23 | 525,000 | 426,234 | ||||||||
Sprint Communications | ||||||||||
6.00% 12/1/16 | 4,400,000 | 4,345,000 | ||||||||
9.125% 3/1/17 | 100,000 | 101,531 | ||||||||
Telefonica Emisiones 6.421% 6/20/16 | 1,750,000 | 1,812,564 | ||||||||
Time Warner 4.85% 7/15/45 | 540,000 | 532,030 | ||||||||
Time Warner Cable | ||||||||||
5.50% 9/1/41 | 535,000 | 480,716 | ||||||||
6.75% 7/1/18 | 1,500,000 | 1,670,175 | ||||||||
T-Mobile USA | ||||||||||
6.125% 1/15/22 | 515,000 | 498,263 | ||||||||
6.836% 4/28/23 | 690,000 | 684,825 | ||||||||
Tribune Media 144A 5.875% 7/15/22 # | 628,000 | 610,730 | ||||||||
UPCB Finance IV 144A 5.375% 1/15/25 # | 488,000 | 461,160 | ||||||||
Verizon Communications | ||||||||||
1.867% 9/15/16 ● | 1,900,000 | 1,918,485 | ||||||||
2.086% 9/14/18 ● | 1,550,000 | 1,594,820 | ||||||||
2.50% 9/15/16 | 138,000 | 139,929 | ||||||||
2.625% 2/21/20 | 800,000 | 803,199 | ||||||||
3.00% 11/1/21 | 5,000 | 4,993 | ||||||||
3.25% 2/17/26 | EUR | 323,000 | 392,587 | |||||||
3.65% 9/14/18 | 1,400,000 | 1,476,758 | ||||||||
4.40% 11/1/34 | 710,000 | 662,701 | ||||||||
4.50% 9/15/20 | 2,000,000 | 2,168,982 | ||||||||
4.862% 8/21/46 | 1,515,000 | 1,426,126 | ||||||||
5.15% 9/15/23 | 3,785,000 | 4,188,133 | ||||||||
Vimpel Communications 144A 7.748% 2/2/21 # | 620,000 | 635,889 | ||||||||
Virgin Media Finance 144A 6.375% 4/15/23 # | 450,000 | 449,437 | ||||||||
Virgin Media Secured Finance 144A 5.25% 1/15/26 # | 990,000 | 913,275 |
(continues | ) | 21 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Communications (continued) |
| |||||||||
VTR Finance 144A 6.875% 1/15/24 # | 1,725,000 | $ | 1,569,750 | |||||||
Wind Acquisition Finance 144A 7.375% 4/23/21 # | 395,000 | 391,050 | ||||||||
WPP Finance 2010 5.625% 11/15/43 | 320,000 | 336,571 | ||||||||
Zayo Group 144A 6.00% 4/1/23 # | 695,000 | 675,888 | ||||||||
|
| |||||||||
97,956,898 | ||||||||||
|
| |||||||||
Consumer Cyclical – 2.99% |
| |||||||||
American Axle & Manufacturing 6.25% 3/15/21 | 415,000 | 415,519 | ||||||||
American Honda Finance 144A 0.707% 5/26/16 #● | 435,000 | 435,715 | ||||||||
AutoNation | ||||||||||
3.35% 1/15/21 | 225,000 | 227,688 | ||||||||
4.50% 10/1/25 | 390,000 | 398,275 | ||||||||
AutoZone 6.95% 6/15/16 | 300,000 | 312,730 | ||||||||
Caesars Growth Properties Holdings 9.375% 5/1/22 | 325,000 | 255,937 | ||||||||
CVS Health 2.80% 7/20/20 | 4,510,000 | 4,587,216 | ||||||||
CVS Pass Through Trust 144A 5.773% 1/10/33 #¿ | 87,909 | 96,980 | ||||||||
Daimler 2.75% 12/10/18 | NOK | 1,870,000 | 226,600 | |||||||
Daimler Finance North America | ||||||||||
144A 0.64% 8/1/17 #● | 540,000 | 534,377 | ||||||||
144A 0.682% 3/10/17 #● | 650,000 | 645,055 | ||||||||
144A 1.01% 8/3/17 #● | 4,500,000 | 4,481,645 | ||||||||
144A 1.25% 1/11/16 # | 1,300,000 | 1,301,533 | ||||||||
144A 2.00% 8/3/18 # | 3,800,000 | 3,746,154 | ||||||||
144A 3.00% 3/28/16 # | 280,000 | 282,757 | ||||||||
Ford Motor 7.45% 7/16/31 | 745,000 | 927,754 | ||||||||
Ford Motor Credit | ||||||||||
0.852% 9/8/17 ● | 500,000 | 490,107 | ||||||||
2.24% 6/15/18 | 430,000 | 429,026 | ||||||||
4.207% 4/15/16 | 1,300,000 | 1,320,644 | ||||||||
5.875% 8/2/21 | 1,000,000 | 1,133,418 | ||||||||
General Motors Financial | ||||||||||
3.00% 9/25/17 | 900,000 | 910,800 | ||||||||
3.20% 7/13/20 | 90,000 | 88,885 | ||||||||
3.45% 4/10/22 | 1,160,000 | 1,117,394 | ||||||||
4.00% 1/15/25 | 1,055,000 | 1,000,987 | ||||||||
4.30% 7/13/25 | 200,000 | 193,863 | ||||||||
4.375% 9/25/21 | 695,000 | 710,510 | ||||||||
4.75% 8/15/17 | 900,000 | 934,610 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Consumer Cyclical (continued) |
| |||||||||
Harman International Industries 4.15% 5/15/25 | 1,640,000 | $ | 1,634,148 | |||||||
Host Hotels & Resorts 3.75% 10/15/23 | 1,270,000 | 1,245,188 | ||||||||
Hyundai Capital America | ||||||||||
144A 2.125% 10/2/17 # | 615,000 | 617,310 | ||||||||
144A 2.55% 2/6/19 # | 715,000 | 719,320 | ||||||||
Hyundai Capital Services 144A 1.14% 3/18/17 #● | 205,000 | 204,592 | ||||||||
INVISTA Finance 144A 4.25% 10/15/19 # | 1,060,000 | 1,028,200 | ||||||||
Kia Motors 3.625% 6/14/16 | 900,000 | 912,190 | ||||||||
Kohl’s 4.25% 7/17/25 | 1,070,000 | 1,073,958 | ||||||||
Landry’s 144A 9.375% 5/1/20 # | 515,000 | 552,337 | ||||||||
Lear 5.25% 1/15/25 | 725,000 | 714,125 | ||||||||
Lowe’s | ||||||||||
0.752% 9/10/19 ● | 520,000 | 518,404 | ||||||||
3.375% 9/15/25 | 760,000 | 768,811 | ||||||||
Marriott International 3.375% 10/15/20 | 650,000 | 674,536 | ||||||||
Mattamy Group 144A 6.50% 11/15/20 # | 41,000 | 39,975 | ||||||||
Meritor 6.75% 6/15/21 | 210,000 | 212,100 | ||||||||
MGM Resorts International | ||||||||||
6.00% 3/15/23 | 1,033,000 | 1,005,884 | ||||||||
7.50% 6/1/16 | 100,000 | 103,000 | ||||||||
10.00% 11/1/16 | 700,000 | 750,750 | ||||||||
Nemak 144A 5.50% 2/28/23 # | 1,105,000 | 1,088,425 | ||||||||
PACCAR Financial 0.932% 12/6/18 ● | 835,000 | 838,404 | ||||||||
QVC | ||||||||||
4.375% 3/15/23 | 1,515,000 | 1,474,981 | ||||||||
5.45% 8/15/34 | 1,080,000 | 967,679 | ||||||||
RCI Banque 144A 4.60% 4/12/16 # | 900,000 | 914,836 | ||||||||
Sally Holdings 5.75% 6/1/22 | 15,000 | 15,713 | ||||||||
Schaeffler Holding Finance PIK 6.875% 8/15/18 T | EUR | 1,300,000 | 1,505,582 | |||||||
Signet UK Finance 4.70% 6/15/24 | 1,290,000 | 1,305,021 | ||||||||
Starwood Hotels & Resorts Worldwide | ||||||||||
3.75% 3/15/25 @ | 2,280,000 | 2,238,119 | ||||||||
4.50% 10/1/34 @ | 160,000 | 141,588 | ||||||||
Target | ||||||||||
2.30% 6/26/19 | 390,000 | 398,564 | ||||||||
4.00% 7/1/42 | 140,000 | 138,043 |
22 |
Table of Contents
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Consumer Cyclical (continued) |
| |||||||||
Toyota Credit Canada 2.05% 5/20/20 | CAD | 100,000 | $ | 74,941 | ||||||
Toyota Finance Australia | ||||||||||
2.25% 8/31/16 | NOK | 110,000 | 13,005 | |||||||
3.04% 12/20/16 | NZD | 760,000 | 483,505 | |||||||
Toyota Motor Credit 2.80% 7/13/22 | 420,000 | 422,911 | ||||||||
Tupy Overseas 144A 6.625% 7/17/24 # | 700,000 | 619,500 | ||||||||
Volkswagen International Finance 144A | ||||||||||
0.764% 11/18/16 #● | 1,620,000 | 1,574,520 | ||||||||
0.875% 1/16/23 | EUR | 185,000 | 181,636 | |||||||
Volvo Treasury 0.935% 3/1/17 ● | SEK | 1,100,000 | 132,766 | |||||||
Wyndham Worldwide 2.95% 3/1/17 | 700,000 | 708,758 | ||||||||
Wynn Las Vegas 144A 5.50% 3/1/25 # | 7,190,000 | 6,192,388 | ||||||||
ZF North America Capital 144A 4.00% 4/29/20 # | 400,000 | 381,750 | ||||||||
|
| |||||||||
61,793,642 | ||||||||||
|
| |||||||||
Consumer Non-Cyclical – 3.49% |
| |||||||||
Actavis Funding | ||||||||||
1.30% 6/15/17 | 900,000 | 892,231 | ||||||||
1.416% 3/12/18 ● | 300,000 | 299,069 | ||||||||
2.35% 3/12/18 | 500,000 | 502,285 | ||||||||
3.00% 3/12/20 | 1,300,000 | 1,304,389 | ||||||||
3.45% 3/15/22 | 1,000,000 | 989,953 | ||||||||
3.80% 3/15/25 | 350,000 | 338,776 | ||||||||
Adani Ports & Special Economic Zone 144A 3.50% 7/29/20 # | 300,000 | 298,221 | ||||||||
Amgen | ||||||||||
0.929% 5/22/19 ● | 1,000,000 | 993,301 | ||||||||
2.30% 6/15/16 | 125,000 | 126,169 | ||||||||
3.875% 11/15/21 | 470,000 | 495,899 | ||||||||
4.00% 9/13/29 | GBP | 216,000 | 337,851 | |||||||
Anheuser-Busch InBev Finance 0.70% 2/1/19 ● | 340,000 | 336,049 | ||||||||
Anheuser-Busch InBev Worldwide 5.375% 1/15/20 | 1,000,000 | 1,117,578 | ||||||||
BAT International Finance 144A 2.75% 6/15/20 # | 700,000 | 714,240 | ||||||||
Baxalta 144A | 800,000 | 802,842 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Consumer Non-Cyclical (continued) |
| |||||||||
Bayer US Finance 144A 0.607% 10/6/17 #● | 295,000 | $ | 293,681 | |||||||
Becton Dickinson 6.375% 8/1/19 | 1,330,000 | 1,521,648 | ||||||||
Biogen | ||||||||||
2.90% 9/15/20 | 125,000 | 126,410 | ||||||||
4.05% 9/15/25 | 280,000 | 283,415 | ||||||||
5.20% 9/15/45 | 515,000 | 521,621 | ||||||||
Boston Scientific | ||||||||||
2.65% 10/1/18 | 205,000 | 207,650 | ||||||||
3.375% 5/15/22 | 3,800,000 | 3,801,972 | ||||||||
6.00% 1/15/20 | 1,665,000 | 1,869,069 | ||||||||
BRF 144A 3.95% 5/22/23 # | 665,000 | 608,275 | ||||||||
Campbell Soup 3.30% 3/19/25 | 1,275,000 | 1,262,351 | ||||||||
Celgene | ||||||||||
2.875% 8/15/20 | 165,000 | 166,685 | ||||||||
3.25% 8/15/22 | 925,000 | 927,874 | ||||||||
5.00% 8/15/45 | 150,000 | 149,358 | ||||||||
Cencosud 144A 5.15% 2/12/25 # | 730,000 | 713,875 | ||||||||
Community Health Systems 6.875% 2/1/22 | 2,288,000 | 2,342,248 | ||||||||
ConAgra Foods 0.662% 7/21/16 ● | 260,000 | 259,319 | ||||||||
DaVita HealthCare Partners 5.00% 5/1/25 | 2,371,000 | 2,282,087 | ||||||||
EMD Finance 144A 2.95% 3/19/22 # | 570,000 | 564,038 | ||||||||
ENA Norte Trust 144A 4.95% 4/25/23 # | 523,902 | 539,619 | ||||||||
Express Scripts Holding | ||||||||||
2.25% 6/15/19 | 765,000 | 763,269 | ||||||||
3.50% 6/15/24 | 410,000 | 404,229 | ||||||||
Gilead Sciences 2.55% 9/1/20 | 500,000 | 503,471 | ||||||||
HCA | ||||||||||
3.75% 3/15/19 | 1,200,000 | 1,200,000 | ||||||||
5.375% 2/1/25 | 1,906,000 | 1,891,705 | ||||||||
HealthSouth | ||||||||||
5.125% 3/15/23 | 235,000 | 227,069 | ||||||||
5.75% 11/1/24 | 178,000 | 176,220 | ||||||||
144A 5.75% 9/15/25 # | 190,000 | 184,775 | ||||||||
HPHT Finance 15 144A 2.875% 3/17/20 # | 835,000 | 834,824 | ||||||||
IASIS Healthcare 8.375% 5/15/19 | 1,035,000 | 1,067,344 | ||||||||
Immucor 11.125% 8/15/19 | 1,278,000 | 1,322,730 |
(continues | ) | 23 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Consumer Non-Cyclical (continued) |
| |||||||||
Imperial Tobacco Finance | ||||||||||
144A 2.05% 7/20/18 #@ | 1,300,000 | $ | 1,300,117 | |||||||
144A 2.95% 7/21/20 #@ | 700,000 | 704,943 | ||||||||
JB 144A 3.75% 5/13/25 # | 1,290,000 | 1,241,586 | ||||||||
JBS Investments 144A 7.75% 10/28/20 # | 1,090,000 | 1,122,700 | ||||||||
JBS USA | ||||||||||
144A 5.75% 6/15/25 # | 602,000 | 556,850 | ||||||||
144A 5.875% 7/15/24 # | 320,000 | 300,800 | ||||||||
Kinetic Concepts 10.50% 11/1/18 | 290,000 | 304,283 | ||||||||
Kraft Heinz 144A 2.00% 7/2/18 # | 400,000 | 400,823 | ||||||||
Kroger 0.819% 10/17/16 ● | 420,000 | 419,858 | ||||||||
Mallinckrodt International Finance | ||||||||||
144A 4.875% 4/15/20 # | 430,000 | 412,263 | ||||||||
144A 5.50% 4/15/25 # | 1,447,000 | 1,295,065 | ||||||||
Medtronic 0.417% 2/27/17 ● | 1,430,000 | 1,424,549 | ||||||||
Merck | ||||||||||
0.684% 5/18/18 ● | 680,000 | 681,455 | ||||||||
0.686% 2/10/20 ● | 900,000 | 893,792 | ||||||||
Mondelez International 4.125% 2/9/16 | 750,000 | 758,348 | ||||||||
Omnicare 5.00% 12/1/24 | 241,000 | 262,690 | ||||||||
Perrigo 4.00% 11/15/23 | 1,125,000 | 1,120,166 | ||||||||
Perrigo Finance 3.50% 12/15/21 | 1,975,000 | 1,952,623 | ||||||||
Pfizer 0.637% 6/15/18 ● | 754,000 | 751,834 | ||||||||
Prestige Brands 144A 5.375% 12/15/21 # | 497,000 | 487,060 | ||||||||
Reynolds American | ||||||||||
2.30% 6/12/18 | 910,000 | 920,386 | ||||||||
3.25% 6/12/20 | 535,000 | 550,862 | ||||||||
4.00% 6/12/22 | 190,000 | 198,825 | ||||||||
5.85% 8/15/45 | 520,000 | 580,673 | ||||||||
St. Jude Medical | ||||||||||
2.80% 9/15/20 | 670,000 | 674,339 | ||||||||
3.875% 9/15/25 | 910,000 | 924,098 | ||||||||
Sysco | ||||||||||
2.60% 10/1/20 | 860,000 | 861,327 | ||||||||
3.75% 10/1/25 | 810,000 | 819,518 | ||||||||
Tenet Healthcare 4.50% 4/1/21 | 380,000 | 375,725 | ||||||||
Tyson Foods 2.65% 8/15/19 | 1,500,000 | 1,512,659 | ||||||||
United Rentals North America | ||||||||||
5.50% 7/15/25 | 1,351,000 | 1,268,251 | ||||||||
5.75% 11/15/24 | 27,000 | 25,988 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Consumer Non-Cyclical (continued) |
| |||||||||
Valeant Pharmaceuticals International | ||||||||||
4.50% 5/15/23 | EUR | 4,200,000 | $ | 4,106,210 | ||||||
144A 5.375% 3/15/20 # | 400,000 | 389,750 | ||||||||
144A 5.875% 5/15/23 # | 887,000 | 849,857 | ||||||||
Zimmer Biomet Holdings | ||||||||||
3.375% 11/30/21 | 1,290,000 | 1,306,133 | ||||||||
4.625% 11/30/19 | 1,270,000 | 1,377,946 | ||||||||
Zoetis 3.25% 2/1/23 | 2,335,000 | 2,246,170 | ||||||||
|
| |||||||||
71,946,206 | ||||||||||
|
| |||||||||
Energy – 3.06% | ||||||||||
BP Capital Markets 4.75% 3/10/19 | 160,000 | 175,062 | ||||||||
Bristow Group 6.25% 10/15/22 | 370,000 | 320,050 | ||||||||
California Resources 5.00% 1/15/20 | 260,000 | 168,511 | ||||||||
Canadian Natural Resources 0.702% 3/30/16 ● | 680,000 | 678,584 | ||||||||
Chaparral Energy 7.625% 11/15/22 | 550,000 | 165,000 | ||||||||
Chesapeake Energy | ||||||||||
3.539% 4/15/19 ● | 300,000 | 213,750 | ||||||||
4.875% 4/15/22 | 36,000 | 23,670 | ||||||||
5.75% 3/15/23 | 159,000 | 104,493 | ||||||||
Chevron 0.864% 3/3/22 ● | 1,575,000 | 1,550,980 | ||||||||
CNOOC Finance 2012 144A 3.875% 5/2/22 # | 8,955,000 | 9,059,021 | ||||||||
CNOOC Finance 2015 Australia 2.625% 5/5/20 | 695,000 | 685,779 | ||||||||
ConocoPhillips 1.221% 5/15/22 ● | 1,075,000 | 1,072,546 | ||||||||
Continental Resources 4.50% 4/15/23 | 1,815,000 | 1,578,535 | ||||||||
Devon Energy 0.877% 12/15/16 ● | 500,000 | 494,576 | ||||||||
Ecopetrol 5.375% 6/26/26 | 1,150,000 | 1,004,813 | ||||||||
Energy Transfer Equity | ||||||||||
5.50% 6/1/27 | 510,000 | 425,850 | ||||||||
5.875% 1/15/24 | 24,000 | 21,732 | ||||||||
Ensco 4.70% 3/15/21 | 1,310,000 | 1,104,420 | ||||||||
Exxon Mobil 0.702% 3/6/22 ● | 1,125,000 | 1,121,002 | ||||||||
Freeport-McMoran Oil & Gas | ||||||||||
6.50% 11/15/20 | 514,000 | 464,851 | ||||||||
6.625% 5/1/21 | 200,000 | 176,500 | ||||||||
Harvest Operations 2.125% 5/14/18 | 500,000 | 501,620 |
24
Table of Contents
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Energy (continued) |
| |||||||||
KazMunayGas National 144A 6.375% 4/9/21 # | 405,000 | $ | 397,913 | |||||||
Laredo Petroleum 7.375% 5/1/22 | 412,000 | 400,670 | ||||||||
Lukoil International Finance 144A 3.416% 4/24/18 # | 515,000 | 496,259 | ||||||||
Marathon Oil 3.85% 6/1/25 | 1,475,000 | 1,308,369 | ||||||||
MarkWest Energy Partners 4.875% 12/1/24 | 419,000 | 385,480 | ||||||||
Murphy Oil USA 6.00% 8/15/23 | 580,000 | 595,950 | ||||||||
Newfield Exploration | ||||||||||
5.375% 1/1/26 | 1,110,000 | 1,021,200 | ||||||||
5.625% 7/1/24 | 645,000 | 612,750 | ||||||||
Noble Energy 5.05% 11/15/44 | 705,000 | 612,681 | ||||||||
Noble Holding International 4.00% 3/16/18 | 250,000 | 236,928 | ||||||||
Oasis Petroleum 6.875% 3/15/22 | 557,000 | 444,096 | ||||||||
ONGC Videsh 3.25% 7/15/19 | 400,000 | 402,884 | ||||||||
PDC Energy 7.75% 10/15/22 | 143,000 | 143,000 | ||||||||
Petrobras Global Finance | ||||||||||
1.953% 5/20/16 ● | 4,200,000 | 3,969,000 | ||||||||
2.00% 5/20/16 | 200,000 | 192,500 | ||||||||
2.429% 1/15/19 ● | 1,900,000 | 1,315,750 | ||||||||
2.694% 3/17/17 ● | 800,000 | 690,000 | ||||||||
3.214% 3/17/20 ● | 160,000 | 109,200 | ||||||||
3.25% 3/17/17 | 1,000,000 | 885,000 | ||||||||
3.50% 2/6/17 | 600,000 | 535,500 | ||||||||
4.875% 3/17/20 | 294,000 | 213,885 | ||||||||
5.375% 1/27/21 | 600,000 | 438,000 | ||||||||
5.875% 3/1/18 | 1,130,000 | 935,075 | ||||||||
6.125% 10/6/16 | 100,000 | 96,950 | ||||||||
6.85% 6/5/15 | 2,700,000 | 1,734,750 | ||||||||
7.25% 3/17/44 | 600,000 | 400,920 | ||||||||
7.875% 3/15/19 | 700,000 | 579,250 | ||||||||
Petrobras International Finance 6.75% 1/27/41 | 300,000 | 197,250 | ||||||||
Petroleos Mexicanos | ||||||||||
144A 4.25% 1/15/25 # | 400,000 | 367,000 | ||||||||
6.50% 6/2/41 | 390,000 | 360,672 | ||||||||
Petronas Global Sukuk 144A 2.707% 3/18/20 # | 965,000 | 959,629 | ||||||||
Pride International 6.875% 8/15/20 | 1,475,000 | 1,404,904 | ||||||||
Regency Energy Partners 5.50% 4/15/23 | 220,000 | 213,950 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Energy (continued) |
| |||||||||
Regency Energy Partners 5.875% 3/1/22 | 1,495,000 | $ | 1,533,997 | |||||||
Shell International Finance | ||||||||||
0.531% 11/15/16 ● | 340,000 | 340,100 | ||||||||
0.762% 5/11/20 ● | 595,000 | 587,894 | ||||||||
Sinopec Group Overseas Development 2012 144A 3.90% 5/17/22 # | 3,200,000 | 3,247,728 | ||||||||
Sinopec Group Overseas Development 2014 4.375% 4/10/24 | 4,600,000 | 4,799,378 | ||||||||
Southwestern Energy | ||||||||||
4.05% 1/23/20 | 100,000 | 99,526 | ||||||||
7.50% 2/1/18 | 2,500,000 | 2,670,588 | ||||||||
Statoil 0.771% 11/8/18 ● | 835,000 | 829,982 | ||||||||
Talisman Energy 5.50% 5/15/42 | 1,325,000 | 1,026,697 | ||||||||
Weatherford International Bermuda 4.50% 4/15/22 | 535,000 | 433,292 | ||||||||
Woodside Finance | ||||||||||
144A 3.65% 3/5/25 # | 1,025,000 | 928,972 | ||||||||
144A 4.60% 5/10/21 # | 200,000 | 208,241 | ||||||||
144A 8.75% 3/1/19 # | 1,125,000 | 1,330,439 | ||||||||
YPF | ||||||||||
7.821% 8/15/18 @● | 352,941 | 348,529 | ||||||||
144A 8.75% 4/4/24 # | 460,000 | 408,848 | ||||||||
144A 8.875% 12/19/18 # | 510,000 | 494,700 | ||||||||
|
| |||||||||
63,057,621 | ||||||||||
|
| |||||||||
Finance Companies – 1.61% |
| |||||||||
AerCap Ireland Capital 4.625% 7/1/22 | 575,000 | 574,281 | ||||||||
American Express 7.00% 3/19/18 | 6,600,000 | 7,419,324 | ||||||||
American Express Credit 0.89% 3/18/19 ● | 1,500,000 | 1,494,877 | ||||||||
Citicorp Lease Pass Through Trust Series 1999-1 144A 8.04% 12/15/19 #@¿ | 200,000 | 241,156 | ||||||||
Corp Financiera de Desarrollo | ||||||||||
144A 4.75% 7/15/25 # | 690,000 | 671,887 | ||||||||
144A 5.25% 7/15/29 #● | 315,000 | 310,275 | ||||||||
General Electric Capital | ||||||||||
0.684% 5/5/26 ● | 920,000 | 862,400 | ||||||||
144A 3.80% 6/18/19 # | 345,000 | 370,445 | ||||||||
4.25% 1/17/18 | NZD | 140,000 | 91,459 | |||||||
4.65% 10/17/21 | 310,000 | 348,962 | ||||||||
5.55% 5/4/20 | 470,000 | 543,165 |
(continues | ) | 25 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Finance Companies (continued) |
| |||||||
General Electric Capital | ||||||||
6.00% 8/7/19 | 1,025,000 | $ | 1,186,088 | |||||
7.125% 12/29/49 ● | 1,700,000 | 1,965,625 | ||||||
HSBC Finance 0.754% 6/1/16 ●¥ | 1,500,000 | 1,497,511 | ||||||
International Lease Finance | ||||||||
5.75% 5/15/16 | 900,000 | 914,625 | ||||||
144A 6.75% 9/1/16 # | 1,640,000 | 1,699,450 | ||||||
144A 7.125% 9/1/18 # | 100,000 | 110,240 | ||||||
8.75% 3/15/17 | 3,300,000 | 3,555,750 | ||||||
Murray Street Investment Trust I 4.647% 3/9/17 f | 4,700,000 | 4,902,641 | ||||||
Navient | ||||||||
6.00% 1/25/17 | 400,000 | 403,000 | ||||||
7.25% 1/25/22 | 750,000 | 658,125 | ||||||
Peachtree Corners Funding Trust 144A 3.976% 2/15/25 # | 860,000 | 867,787 | ||||||
Springleaf Finance | ||||||||
5.40% 12/1/15 | 700,000 | 700,875 | ||||||
6.90% 12/15/17 | 200,000 | 209,500 | ||||||
Synchrony Financial 1.53% 2/3/20 ● | 500,000 | 494,263 | ||||||
Waha Aerospace 3.925% 7/28/20 | 1,050,000 | 1,096,331 | ||||||
|
| |||||||
33,190,042 | ||||||||
|
| |||||||
Insurance – 0.72% | ||||||||
Berkshire Hathaway Finance 2.90% 10/15/20 | 885,000 | 919,592 | ||||||
Five Corners Funding Trust 144A 4.419% 11/15/23 # | 100,000 | 104,770 | ||||||
Highmark | ||||||||
144A 4.75% 5/15/21 # | 445,000 | 462,827 | ||||||
144A 6.125% 5/15/41 # | 160,000 | 162,345 | ||||||
HUB International 144A 7.875% 10/1/21 # | 532,000 | 509,390 | ||||||
Jackson National Life Global Funding 144A 1.25% 2/21/17 # | 200,000 | 199,743 | ||||||
Liberty Mutual Group 144A 4.95% 5/1/22 # | 320,000 | 346,468 | ||||||
MetLife Capital Trust IV 144A 7.875% 12/15/37 # | 300,000 | 369,000 | ||||||
MetLife Capital Trust X 144A 9.25% 4/8/38 # | 1,100,000 | 1,520,750 | ||||||
Metropolitan Life Global Funding I 144A 0.819% 7/15/16 #● | 535,000 | 536,548 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Insurance (continued) | ||||||||
Prudential Financial | ||||||||
5.375% 5/15/45 ● | 765,000 | $ | 760,219 | |||||
5.625% 6/15/43 ● | 440,000 | 455,180 | ||||||
5.875% 9/15/42 ● | 555,000 | 589,688 | ||||||
Stone Street Trust 144A 5.902% 12/15/15 # | 2,300,000 | 2,324,845 | ||||||
TIAA Asset Management Finance | ||||||||
144A 2.95% 11/1/19 # | 1,130,000 | 1,146,801 | ||||||
144A 4.125% 11/1/24 # | 1,460,000 | 1,491,088 | ||||||
USI 144A 7.75% 1/15/21 # | 92,000 | 90,390 | ||||||
Voya Financial 5.65% 5/15/53 ● | 875,000 | 886,375 | ||||||
XLIT | ||||||||
4.45% 3/31/25 | 1,055,000 | 1,057,787 | ||||||
5.50% 3/31/45 | 530,000 | 500,598 | ||||||
6.50% 10/29/49 ● | 565,000 | 450,023 | ||||||
|
| |||||||
14,884,427 | ||||||||
|
| |||||||
Natural Gas – 1.22% | ||||||||
AmeriGas Finance 7.00% 5/20/22 | 435,000 | 448,050 | ||||||
Dominion Gas Holdings 3.60% 12/15/24 | 870,000 | 867,219 | ||||||
Energy Transfer Partners 9.70% 3/15/19 | 694,000 | 828,599 | ||||||
EnLink Midstream Partners 4.15% 6/1/25 | 765,000 | 703,107 | ||||||
Enterprise Products Operating | ||||||||
3.70% 2/15/26 | 1,045,000 | 989,562 | ||||||
7.034% 1/15/68 ● | 1,645,000 | 1,739,587 | ||||||
Florida Gas Transmission 144A 7.90% 5/15/19 # | 320,000 | 371,437 | ||||||
Gulfstream Natural Gas System 144A 4.60% 9/15/25 # | 740,000 | 746,191 | ||||||
Kinder Morgan 7.00% 6/15/17 | 800,000 | 853,170 | ||||||
Kinder Morgan Energy Partners | ||||||||
5.00% 10/1/21 | 620,000 | 635,665 | ||||||
5.95% 2/15/18 | 1,000,000 | 1,071,221 | ||||||
6.85% 2/15/20 | 700,000 | 790,340 | ||||||
9.00% 2/1/19 | 1,280,000 | 1,513,018 | ||||||
Plains All American Pipeline | ||||||||
6.50% 5/1/18 | 800,000 | 881,065 | ||||||
8.75% 5/1/19 | 1,160,000 | 1,384,745 | ||||||
Ras Laffan Liquefied Natural Gas II 5.298% 9/30/20 | 1,575,300 | 1,691,081 |
26
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Natural Gas (continued) |
| |||||||
Rockies Express Pipeline 144A 6.85% 7/15/18 # | 500,000 | $ | 502,500 | |||||
Sabine Pass Liquefaction 5.75% 5/15/24 | 5,500,000 | 4,922,500 | ||||||
Sunoco Logistics Partners Operations 3.45% 1/15/23 | 1,235,000 | 1,075,316 | ||||||
Texas Eastern Transmission 144A 6.00% 9/15/17 #@ | 800,000 | 863,386 | ||||||
Williams Partners | ||||||||
4.00% 9/15/25 | 1,465,000 | 1,271,381 | ||||||
7.25% 2/1/17 | 1,010,000 | 1,075,020 | ||||||
|
| |||||||
25,224,160 | ||||||||
|
| |||||||
Real Estate – 1.26% | ||||||||
Alexandria Real Estate Equities 4.60% 4/1/22 | 725,000 | 762,920 | ||||||
Carey (W.P.) 4.60% 4/1/24 | 695,000 | 709,952 | ||||||
CBL & Associates | ||||||||
4.60% 10/15/24 | 1,105,000 | 1,082,267 | ||||||
5.25% 12/1/23 | 185,000 | 193,034 | ||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 690,000 | 648,443 | ||||||
5.25% 2/15/24 | 800,000 | 826,967 | ||||||
Corrections of America 4.625% 5/1/23 | 388,000 | 374,420 | ||||||
DDR | ||||||||
7.50% 4/1/17 | 940,000 | 1,017,655 | ||||||
7.875% 9/1/20 | 731,000 | 893,912 | ||||||
Digital Delta Holdings 144A 3.40% 10/1/20 # | 2,100,000 | 2,110,311 | ||||||
Education Realty Operating Partnership 4.60% 12/1/24 | 950,000 | 956,419 | ||||||
Equinix 5.375% 4/1/23 | 1,203,000 | 1,182,669 | ||||||
Excel Trust 4.625% 5/15/24 | 460,000 | 455,814 | ||||||
GEO Group | ||||||||
5.125% 4/1/23 | 285,000 | 283,575 | ||||||
5.875% 10/15/24 | 285,000 | 289,275 | ||||||
Goodman Funding 144A 6.375% 11/12/20 # | 5,300,000 | 6,154,816 | ||||||
HCP 5.375% 2/1/21 | 2,300,000 | 2,550,330 | ||||||
Hospitality Properties Trust 4.50% 3/15/25 | 870,000 | 854,092 | ||||||
Omega Healthcare Investors | ||||||||
144A 4.50% 4/1/27 # | 105,000 | 100,150 | ||||||
144A 5.25% 1/15/26 # | 580,000 | 590,730 | ||||||
Prologis 4.00% 1/15/18 | 300,000 | 313,562 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Real Estate (continued) |
| |||||||
Qatari Diar Finance 5.00% 7/21/20 | 500,000 | $ | 559,415 | |||||
Regency Centers 5.875% 6/15/17 | 285,000 | 304,100 | ||||||
UDR 4.00% 10/1/25 | 325,000 | 330,653 | ||||||
Ventas Realty 4.125% 1/15/26 | 550,000 | 555,533 | ||||||
WEA Finance 144A 3.25% 10/5/20 # | 1,800,000 | 1,819,393 | ||||||
|
| |||||||
25,920,407 | ||||||||
|
| |||||||
Technology – 1.54% | ||||||||
Apple | ||||||||
0.601% 5/6/19 ● | 840,000 | 839,782 | ||||||
3.45% 2/9/45 | 2,330,000 | 1,977,655 | ||||||
Baidu 2.75% 6/9/19 | 775,000 | 770,521 | ||||||
CDK Global 4.50% 10/15/24 | 700,000 | 706,257 | ||||||
Cisco Systems | ||||||||
0.824% 3/1/19 ● | 650,000 | 648,591 | ||||||
1.65% 6/15/18 | 1,070,000 | 1,078,220 | ||||||
eBay | ||||||||
0.78% 8/1/19 ● | 765,000 | 740,500 | ||||||
1.35% 7/15/17 | 500,000 | 497,371 | ||||||
First Data | ||||||||
11.25% 1/15/21 | 762,000 | 834,390 | ||||||
11.75% 8/15/21 | 699,000 | 777,637 | ||||||
Fiserv 3.85% 6/1/25 | 45,000 | 45,776 | ||||||
Flextronics International 144A 4.75% 6/15/25 # | 1,165,000 | 1,131,471 | ||||||
Hewlett Packard Enterprise | ||||||||
144A 2.45% 10/5/17 # | 150,000 | 149,916 | ||||||
144A 2.85% 10/5/18 # | 790,000 | 788,989 | ||||||
144A 3.60% 10/15/20 # | 615,000 | 614,828 | ||||||
144A 4.90% 10/15/25 # | 740,000 | 737,965 | ||||||
Hewlett-Packard | ||||||||
1.226% 1/14/19 ● | 420,000 | 424,116 | ||||||
2.65% 6/1/16 | 130,000 | 131,468 | ||||||
Intel 2.45% 7/29/20 | 200,000 | 202,790 | ||||||
International Business Machines | ||||||||
0.881% 11/6/21 ● | 690,000 | 695,065 | ||||||
1.625% 5/15/20 | 440,000 | 434,592 | ||||||
Jabil Circuit 7.75% 7/15/16 | 92,000 | 95,450 | ||||||
Micron Technology | ||||||||
144A 5.25% 8/1/23 # | 1,240,000 | 1,143,652 | ||||||
5.50% 2/1/25 | 695,000 | 639,400 | ||||||
144A 5.625% 1/15/26 # | 495,000 | 446,737 | ||||||
Molex Electronic Technologies 144A 2.878% 4/15/20 # | 855,000 | 846,538 |
(continues | ) | 27 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Technology (continued) |
| |||||||
Molex Electronic Technologies 144A 3.90% 4/15/25# | 680,000 | $ | 663,959 | |||||
Oracle | ||||||||
0.794% 10/8/19 ● | 940,000 | 936,852 | ||||||
2.95% 5/15/25 | 1,745,000 | 1,703,352 | ||||||
3.25% 5/15/30 | 915,000 | 861,931 | ||||||
4.30% 7/8/34 | 370,000 | 371,663 | ||||||
QUALCOMM | ||||||||
3.00% 5/20/22 | 1,545,000 | 1,524,770 | ||||||
3.45% 5/20/25 | 700,000 | 661,793 | ||||||
Samsung Electronics America 144A 1.75% 4/10/17 # | 745,000 | 745,874 | ||||||
Seagate HDD Cayman | ||||||||
4.75% 1/1/25 | 1,825,000 | 1,755,152 | ||||||
144A 4.875% 6/1/27 # | 445,000 | 414,820 | ||||||
Symantec 4.20% 9/15/20 | 2,000,000 | 2,074,428 | ||||||
Tencent Holdings 144A 3.375% 5/2/19 # | 1,265,000 | 1,287,192 | ||||||
Xerox 6.35% 5/15/18 | 1,220,000 | 1,347,561 | ||||||
|
| |||||||
31,749,024 | ||||||||
|
| |||||||
Transportation – 0.75% | ||||||||
Air Canada 2015-1 Class A Pass Through Trust 144A 3.60% 3/15/27 # ¿ | 580,000 | 563,325 | ||||||
American Airlines 2011-1 Class A Pass Through Trust 5.25% 1/31/21 ¿ | 407,908 | 435,808 | ||||||
American Airlines 2014-1 Class A Pass Through Trust 3.70% 10/1/26 ¿ | 456,225 | 453,374 | ||||||
American Airlines 2015-1 Class A Pass Through Trust 3.375% 5/1/27 ¿ | 375,000 | 368,156 | ||||||
American Airlines 2015-2 Class AA Pass Through Trust 3.60% 9/22/27 ¿ | 245,000 | 245,907 | ||||||
AP Moeller - Maersk 144A 2.875% 9/28/20 #@ | 200,000 | 200,561 | ||||||
Aviation Capital Group | ||||||||
144A 2.875% 9/17/18 #@ | 445,000 | 445,151 | ||||||
144A 4.875% 10/1/25 # | 495,000 | 493,144 | ||||||
144A 6.75% 4/6/21 # | 790,000 | 887,763 | ||||||
Brambles USA 144A 5.35% 4/1/20 # | 320,000 | 354,018 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust 7.25% 11/10/19 ¿ | 673,065 | 756,357 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Transportation (continued) |
| |||||||
Delta Air Lines 2007-1 Class A Pass Through Trust 6.821% 8/10/22 ¿ | 290,560 | $ | 337,413 | |||||
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A 5.125% 11/30/22 # ¿ | 1,597,168 | 1,666,280 | ||||||
Kansas City Southern de Mexico | ||||||||
0.994% 10/28/16 ● | 900,000 | 895,349 | ||||||
3.00% 5/15/23 | 570,000 | 552,414 | ||||||
Latam Airlines 2015-1 Pass-Through Trust A 144A 4.20% 11/15/27 # ¿ | 500,000 | 482,500 | ||||||
Penske Truck Leasing | ||||||||
144A 2.50% 3/15/16 # | 1,400,000 | 1,408,704 | ||||||
144A 3.75% 5/11/17 #@ | 200,000 | 206,062 | ||||||
UAL 2009-1 Pass Through Trust 10.40% 11/1/16 ¿ | 125,335 | 134,491 | ||||||
UAL 2009-2A Pass Through Trust 9.75% 1/15/17 ¿ | 512,681 | 558,227 | ||||||
United Airlines 2014-1 Class A Pass Through Trust 4.00% 4/11/26 ¿ | 350,000 | 358,313 | ||||||
United Airlines 2014-2 Class A Pass Through Trust 3.75% 9/3/26 ¿ | 650,000 | 652,438 | ||||||
United Parcel Service 5.125% 4/1/19 | 2,210,000 | 2,476,979 | ||||||
US Airways 2012-2 Class A Pass Through Trust 4.625% 6/3/25 ¿ | 605,936 | 626,871 | ||||||
|
| |||||||
15,559,605 | ||||||||
|
| |||||||
Utilities – 3.32% | ||||||||
AES 5.50% 4/15/25 | 1,940,000 | 1,707,200 | ||||||
AES Gener | ||||||||
144A 5.00% 7/14/25 # | 315,000 | 320,107 | ||||||
144A 5.25% 8/15/21 # | 525,000 | 551,058 | ||||||
144A 8.375% 12/18/73 #● | 676,000 | 714,870 | ||||||
Ameren Illinois | ||||||||
3.25% 3/1/25 | 410,000 | 415,209 | ||||||
9.75% 11/15/18 | 2,110,000 | 2,608,131 | ||||||
American Transmission Systems 144A 5.25% 1/15/22 # | 2,445,000 | 2,717,583 | ||||||
American Water Capital | ||||||||
3.40% 3/1/25 | 215,000 | 218,127 | ||||||
4.30% 9/1/45 | 245,000 | 247,559 |
28
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Utilities (continued) |
| |||||||
Appalachian Power | ||||||||
3.40% 6/1/25 | 170,000 | $ | 168,650 | |||||
4.45% 6/1/45 | 535,000 | 521,446 | ||||||
Berkshire Hathaway Energy 3.75% 11/15/23 | 1,235,000 | 1,274,640 | ||||||
Calpine | ||||||||
5.375% 1/15/23 | 438,000 | 410,625 | ||||||
5.50% 2/1/24 | 699,000 | 653,565 | ||||||
CenterPoint Energy 5.95% 2/1/17 | 35,000 | 37,040 | ||||||
Cleveland Electric Illuminating 5.50% 8/15/24 | 515,000 | 588,008 | ||||||
CMS Energy 6.25% 2/1/20 | 635,000 | 733,096 | ||||||
ComEd Financing III 6.35% 3/15/33 @ | 680,000 | 716,150 | ||||||
Comision Federal de Electricidad 144A 4.875% 1/15/24 # | 375,000 | 381,596 | ||||||
Dominion Gas Holdings 4.60% 12/15/44 | 1,845,000 | 1,760,067 | ||||||
Dominion Resources 1.90% 6/15/18 | 1,515,000 | 1,514,542 | ||||||
DTE Energy 144A 3.30% 6/15/22 # | 855,000 | 876,188 | ||||||
Duke Energy 1.625% 8/15/17 | 1,000,000 | 1,003,992 | ||||||
Duke Energy Indiana 0.636% 7/11/16 ● | 835,000 | 835,152 | ||||||
Dynegy | ||||||||
5.875% 6/1/23 | 534,000 | 503,295 | ||||||
6.75% 11/1/19 | 110,000 | 110,825 | ||||||
7.375% 11/1/22 | 181,000 | 183,489 | ||||||
7.625% 11/1/24 | 1,500,000 | 1,522,500 | ||||||
Electricite de France | ||||||||
144A 0.747% 1/20/17 #● | 840,000 | 840,158 | ||||||
144A 4.60% 1/27/20 # | 525,000 | 579,905 | ||||||
144A 5.25% 12/29/49 #● | 1,400,000 | 1,352,750 | ||||||
Enel 144A 8.75% 9/24/73 #● | 1,405,000 | 1,617,113 | ||||||
Entergy 4.00% 7/15/22 | 1,120,000 | 1,158,280 | ||||||
Entergy Arkansas | ||||||||
3.70% 6/1/24 | 115,000 | 118,325 | ||||||
3.75% 2/15/21 | 200,000 | 212,657 | ||||||
Entergy Louisiana 4.05% 9/1/23 | 1,555,000 | 1,645,095 | ||||||
Eskom Holdings 144A 7.125% 2/11/25 # | 470,000 | 444,427 | ||||||
Exelon 3.95% 6/15/25 | 1,330,000 | 1,345,029 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Utilities (continued) |
| |||||||
Exelon 5.10% 6/15/45 | 740,000 | $ | 758,481 | |||||
FirstEnergy 2.75% 3/15/18 | 1,000,000 | 1,003,299 | ||||||
Great Plains Energy 4.85% 6/1/21 | 545,000 | 598,511 | ||||||
Integrys Holdings 6.11% 12/1/66 @● | 1,200,000 | 1,017,260 | ||||||
Interstate Power & Light 3.40% 8/15/25 | 720,000 | 733,369 | ||||||
IPALCO Enterprises 5.00% 5/1/18 | 405,000 | 426,263 | ||||||
ITC Holdings 3.65% 6/15/24 | 70,000 | 70,342 | ||||||
Jersey Central Power & Light 7.35% 2/1/19 | 1,000,000 | 1,139,129 | ||||||
Kansas City Power & Light 3.65% 8/15/25 | 1,350,000 | 1,381,016 | ||||||
Laclede Group 1.071% 8/15/17 ● | 700,000 | 697,668 | ||||||
Lamar Funding 144A 3.958% 5/7/25 # | 920,000 | 863,650 | ||||||
LG&E & KU Energy | ||||||||
3.75% 11/15/20 | 165,000 | 172,624 | ||||||
4.375% 10/1/21 | 1,555,000 | 1,698,621 | ||||||
Majapahit Holding 7.75% 1/20/20 | 400,000 | 446,000 | ||||||
Metropolitan Edison 144A 4.00% 4/15/25 # | 600,000 | 612,565 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
2.85% 1/27/25 | 30,000 | 29,111 | ||||||
4.75% 4/30/43 ● | 1,640,000 | 1,630,160 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.40% 9/15/19 | 1,455,000 | 1,452,067 | ||||||
2.70% 9/15/19 | 450,000 | 453,544 | ||||||
3.625% 6/15/23 | 490,000 | 495,511 | ||||||
NV Energy 6.25% 11/15/20 | 935,000 | 1,091,205 | ||||||
Pedernales Electric Cooperative (MBIA) 144A 6.202% 11/15/32 #@ | 620,000 | 744,839 | ||||||
Pennsylvania Electric 5.20% 4/1/20 | 1,180,000 | 1,287,015 | ||||||
Perusahaan Listrik Negara 144A 5.50% 11/22/21 # | 900,000 | 909,000 | ||||||
Public Service of New Hampshire 3.50% 11/1/23 | 635,000 | 658,026 | ||||||
Public Service of Oklahoma 5.15% 12/1/19 | 1,300,000 | 1,459,665 |
(continues | ) | 29 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Utilities (continued) |
| |||||||
Puget Energy | ||||||||
6.00% 9/1/21 | 340,000 | $ | 391,456 | |||||
6.50% 12/15/20 | 3,800,000 | 4,434,144 | ||||||
SCANA 4.125% 2/1/22 | 810,000 | 824,252 | ||||||
Southern 2.75% 6/15/20 | 3,695,000 | 3,687,665 | ||||||
Southwestern Electric Power 6.45% 1/15/19 | 690,000 | 785,453 | ||||||
State Grid Overseas Investment 2014 144A 2.75% 5/7/19 # | 490,000 | 498,483 | ||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 960,000 | 966,246 | ||||||
WEC Energy Group 3.55% 6/15/25 | 820,000 | 834,506 | ||||||
Xcel Energy 3.30% 6/1/25 | 1,715,000 | 1,703,556 | ||||||
|
| |||||||
68,563,151 | ||||||||
|
| |||||||
Total Corporate Bonds | 789,597,564 | |||||||
|
| |||||||
| ||||||||
Municipal Bonds – 2.08% | ||||||||
| ||||||||
American Municipal Power, Ohio (Combined Hydroelectric Projects) | ||||||||
Series 2010 | ||||||||
8.084% 2/15/50 | 1,500,000 | 2,174,640 | ||||||
Atlanta, Georgia Water & Wastewater Revenue 5.00% 11/1/40 | 510,000 | 579,391 | ||||||
Bay Area, California Toll Authority (Build America Bonds) Series S1 | ||||||||
6.918% 4/1/40 | 800,000 | 1,057,064 | ||||||
7.043% 4/1/50 | 3,000,000 | 4,123,650 | ||||||
California State | ||||||||
(Taxable Build America Bonds) | ||||||||
7.35% 11/1/39 | 2,000,000 | 2,796,240 | ||||||
7.60% 11/1/40 | 1,900,000 | 2,795,185 | ||||||
California State Various Purpose | ||||||||
5.00% 3/1/45 | 885,000 | 1,004,395 | ||||||
(Taxable Build America Bonds) | ||||||||
7.30% 10/1/39 | 200,000 | 277,272 | ||||||
7.55% 4/1/39 | 1,900,000 | 2,753,138 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Municipal Bonds (continued) |
| |||||||
| ||||||||
Chicago, Illinois Transit Authority | ||||||||
(Pension Funding) Series A 6.899% 12/1/40 | 1,800,000 | $ | 2,030,508 | |||||
(Retiree Health Care Funding) Series B 6.899% 12/1/40 | 1,800,000 | 2,030,508 | ||||||
City of Chicago, Illinois (Taxable Build America Bond) Series B 7.75% 1/1/42 | 1,145,000 | 1,151,572 | ||||||
Clark County Department of Aviation, Nevada Airport Revenue (Build America Bonds) | ||||||||
Series C 6.82% 7/1/45 | 600,000 | 825,900 | ||||||
Golden State, California Tobacco Securitization Corporation Settlement Revenue | ||||||||
(Asset-Backed Enhanced) | ||||||||
Series A 5.00% 6/1/40 | 1,530,000 | 1,696,938 | ||||||
Series A 5.00% 6/1/45 | 485,000 | 535,421 | ||||||
(Asset-Backed Senior Notes) | ||||||||
Series A-1 5.125% 6/1/47 | 370,000 | 307,144 | ||||||
Series A-1 5.75% 6/1/47 | 405,000 | 363,398 | ||||||
Los Angeles, California Community College District Revenue (Build America Bond) 6.60% 8/1/42 | 800,000 | 1,079,672 | ||||||
Maryland State Local Facilities 2nd Loan | ||||||||
Series A 5.00% 8/1/21 | 405,000 | 485,008 | ||||||
Mississippi State | ||||||||
Series C 5.00% 10/1/25 | 385,000 | 478,482 | ||||||
Missouri State Highway & Transportation Commission Revenue (1st Lien) Series A 5.00% 5/1/26 | 215,000 | 273,596 | ||||||
Municipal Electric Authority of Georgia Build America Bond (Plant Vogtle Units 3 & 4 Project) | ||||||||
6.655% 4/1/57 | 1,800,000 | 2,114,532 | ||||||
New Jersey Transportation Trust Fund | ||||||||
(Transportation Program) | ||||||||
Series AA 5.00% 6/15/44 | 450,000 | 453,978 |
30
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Municipal Bonds (continued) |
| |||||||
| ||||||||
New York City, New York | ||||||||
Series I 5.00% 8/1/22 | 295,000 | $ | 353,885 | |||||
New York City, New York Transitional Finance Authority Future Tax Secured Revenue (Build America Bond) 5.508% 8/1/37 | 700,000 | 847,238 | ||||||
New York City, New York Water & Sewer System | ||||||||
Series EE 5.00% 6/15/45 | 755,000 | 848,076 | ||||||
New York State Thruway Authority Revenue | ||||||||
Series A 5.00% 5/1/19 | 415,000 | 469,543 | ||||||
New York State Urban Development (Build America Bonds) 5.77% 3/15/39 | 800,000 | 976,320 | ||||||
Oregon State Taxable Pension 5.892% 6/1/27 | 65,000 | 78,690 | ||||||
Pennsylvania Turnpike Commission | ||||||||
Series B-1 1.00% 12/1/21 ● | 750,000 | 746,873 | ||||||
Port Authority of New York & New Jersey Consolidated Bonds (One Hundred Sixty-Fifth Series) 5.647% 11/1/40 | 3,300,000 | 3,930,828 | ||||||
Texas Private Activity Bond Surface Transportation Revenue (Senior Lien Note Mobility) 6.75% 6/30/43 (AMT) | 310,000 | 377,115 | ||||||
Texas State Transportation Commission | ||||||||
(Senior Lien Mobility Fund) | ||||||||
Series A 5.00% 10/1/44 | 1,285,000 | 1,465,761 | ||||||
University of California | ||||||||
Series AO 5.00% 5/15/25 | 175,000 | 218,741 | ||||||
Series Y-1 0.693% 7/1/41 ● | 500,000 | 499,875 | ||||||
Utah Transit Authority | ||||||||
Series A 5.00% 6/15/25 | 200,000 | 251,058 | ||||||
Washington State Motor Vehicle Fuel Tax | ||||||||
Series C 5.00% 2/1/25 | 430,000 | 531,674 | ||||||
|
| |||||||
Total Municipal Bonds | 42,983,309 | |||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities – 4.84% |
| |||||||
| ||||||||
ABFC Trust | ||||||||
Series 2006-HE1 A2D | ||||||||
0.414% 1/25/37 ● | 473,625 | $ | 294,366 | |||||
Accredited Mortgage Loan Trust | ||||||||
Series 2006-2 A4 | ||||||||
0.454% 9/25/36 ● | 3,500,000 | 2,946,471 | ||||||
Series 2007-1 A3 | ||||||||
0.324% 2/25/37 ● | 2,503,696 | 2,383,493 | ||||||
AEP Texas Central Transition Funding II | ||||||||
Series 2006-A A4 | ||||||||
5.17% 1/1/18 | 422,014 | 442,903 | ||||||
American Express Credit Account Master Trust | ||||||||
Series 2013-1 A | ||||||||
0.627% 2/16/21 ● | 500,000 | 500,863 | ||||||
Series 2013-2 A | ||||||||
0.627% 5/17/21 ● | 530,000 | 530,162 | ||||||
Series 2014-1 A | ||||||||
0.577% 12/15/21 ● | 1,000,000 | 998,419 | ||||||
American Express Credit Account Secured Note Trust | ||||||||
Series 2012-4 A | ||||||||
0.447% 5/15/20 ● | 3,190,000 | 3,185,049 | ||||||
Ameriquest Mortgage Securities Asset-Backed Pass Through Certificates | ||||||||
Series 2005-R5 M2 | ||||||||
0.654% 7/25/35 ¿● | 1,400,000 | 1,339,500 | ||||||
Series 2005-R7 M2 | ||||||||
0.694% 9/25/35 ¿● | 2,000,000 | 1,783,750 | ||||||
Argent Securities Asset-Backed Pass Through Certificates | ||||||||
Series 2003-W9 M1 | ||||||||
1.229% 1/25/34 ● | 359,645 | 345,922 | ||||||
Argent Securities Trust | ||||||||
Series 2006-M1 A2C | ||||||||
0.344% 7/25/36 ● | 1,451,876 | 612,073 | ||||||
Series 2006-M1 A2D | ||||||||
0.434% 7/25/36 ● | 1,451,876 | 622,834 | ||||||
Series 2006-W4 A2C | ||||||||
0.354% 5/25/36 ● | 745,919 | 277,794 | ||||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2011-3A A 144A | ||||||||
3.41% 11/20/17 # | 565,000 | 577,696 | ||||||
Series 2013-1A A 144A | ||||||||
1.92% 9/20/19 # | 700,000 | 702,579 |
(continues | ) | 31 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2014-1A A 144A | ||||||||
2.46% 7/20/20 # | 665,000 | $ | 674,748 | |||||
Bank of America Credit Card Trust | ||||||||
Series 2014-A2 A | ||||||||
0.477% 9/16/19 ● | 3,300,000 | 3,298,086 | ||||||
Series 2014-A3 A | ||||||||
0.497% 1/15/20 ● | 1,170,000 | 1,169,325 | ||||||
Series 2015-A1 A | ||||||||
0.537% 6/15/20 ● | 5,185,000 | 5,177,129 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
Series 2007-SD1 22A1 | ||||||||
2.246% 10/25/36 ● | 243,579 | 174,037 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
Series 2005-FR1 M2 | ||||||||
0.864% 6/25/35 ● | 2,000,000 | 1,766,274 | ||||||
Series 2007-HE2 1A2 | ||||||||
0.364% 3/25/37 ● | 576,836 | 558,125 | ||||||
California Republic Auto Receivables Trust | ||||||||
Series 2013-1 A2 144A | ||||||||
1.41% 9/17/18 # | 132,708 | 133,079 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
Series 2007-A1 A1 | ||||||||
0.257% 11/15/19 ● | 500,000 | 498,203 | ||||||
Series 2007-A5 A5 | ||||||||
0.247% 7/15/20 ● | 1,380,000 | 1,371,593 | ||||||
Centex Home Equity Loan Trust | ||||||||
Series 2002-A AF6 | ||||||||
5.54% 1/25/32 | 3,403 | 3,397 | ||||||
Chase Issuance Trust | ||||||||
Series 2007-A2 A2 | ||||||||
0.257% 4/15/19 ● | 550,000 | 548,248 | ||||||
Series 2013-A6 A6 | ||||||||
0.627% 7/15/20 ● | 500,000 | 500,717 | ||||||
Series 2013-A9 A | ||||||||
0.627% 11/16/20 ● | 1,000,000 | 998,117 | ||||||
Series 2014-A4 A4 | ||||||||
0.419% 4/16/18 ● | 1,500,000 | 1,498,987 | ||||||
Series 2014-A5 A5 | ||||||||
0.577% 4/15/21 ● | 500,000 | 500,285 | ||||||
Series 2015-A4 A4 | ||||||||
1.84% 4/15/22 | 1,145,000 | 1,144,084 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Chesapeake Funding | ||||||||
Series 2014-1A A 144A | ||||||||
0.619% 3/7/26 #● | 869,313 | $ | 866,658 | |||||
Citibank Credit Card Issuance Trust | ||||||||
Series 2006-A8 A8 | ||||||||
0.329% 12/17/18 ● | 500,000 | 498,567 | ||||||
Series 2013-A2 A2 | ||||||||
0.476% 5/26/20 ● | 1,450,000 | 1,446,719 | ||||||
Series 2013-A7 A7 | ||||||||
0.633% 9/10/20 ● | 500,000 | 500,501 | ||||||
Series 2014-A9 A9 | ||||||||
0.445% 11/23/18 ● | 2,475,000 | 2,473,151 | ||||||
Citicorp Residential Mortgage Trust | ||||||||
Series 2006-3 A5 | ||||||||
5.948% 11/25/36 f | 900,000 | 895,933 | ||||||
Citigroup Mortgage Loan Trust | ||||||||
Series 2007-FS1 1A1 144A | ||||||||
4.614% 10/25/37 #f | 2,199,332 | 2,047,694 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2004-3 2A | ||||||||
0.594% 8/25/34 ● | 59,986 | 56,567 | ||||||
Series 2005-AB2 2A3 | ||||||||
0.579% 11/25/35 ● | 797,108 | 763,305 | ||||||
Series 2006-1 AF6 | ||||||||
4.978% 7/25/36 ● | 1,248,243 | 1,240,829 | ||||||
Series 2006-26 2A4 | ||||||||
0.414% 6/25/37 ● | 2,000,000 | 1,344,024 | ||||||
Series 2007-6 2A4 | ||||||||
0.504% 9/25/37 ● | 959,262 | 480,894 | ||||||
CWABS Asset-Backed Certificates Trust | ||||||||
Series 2005-7 MV3 | ||||||||
0.774% 11/25/35 ● | 400,000 | 362,028 | ||||||
Series 2006-11 1AF6 | ||||||||
4.772% 9/25/46 ● | 550,770 | 785,375 | ||||||
Series 2006-17 2A2 | ||||||||
0.344% 3/25/47 ● | 4,104,423 | 3,662,841 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2012-A4 A4 | ||||||||
0.577% 11/15/19 ● | 600,000 | 599,803 | ||||||
Series 2013-A1 A1 | ||||||||
0.507% 8/17/20 ● | 450,000 | 449,025 | ||||||
Series 2013-A6 A6 | ||||||||
0.657% 4/15/21 ● | 2,000,000 | 2,006,028 | ||||||
Series 2014-A1 A1 | ||||||||
0.637% 7/15/21 ● | 690,000 | 691,624 |
32
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Ford Credit Auto Owner Trust | ||||||||
Series 2015-2 A 144A | ||||||||
2.44% 1/15/27 # | 1,620,000 | $ | 1,646,288 | |||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
Series 2014-1 A2 | ||||||||
0.607% 2/15/19 ● | 750,000 | 748,353 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
Series 2013-1 A | ||||||||
0.616% 4/20/18 ● | 550,000 | 549,453 | ||||||
Series 2014-2 A | ||||||||
0.666% 10/20/19 ● | 1,000,000 | 994,835 | ||||||
Golden Credit Card Trust | ||||||||
Series 2014-2A A 144A | ||||||||
0.657% 3/15/21 #● | 420,000 | 418,402 | ||||||
GreatAmerica Leasing Receivables Funding | ||||||||
Series 2013-1 B 144A | ||||||||
1.44% 5/15/18 # | 100,000 | 99,954 | ||||||
GSAMP Trust | ||||||||
Series 2006-FM3 A2D | ||||||||
0.424% 11/25/36 ● | 1,301,942 | 741,430 | ||||||
Series 2006-HE6 A3 | ||||||||
0.344% 8/25/36 ● | 1,168,795 | 882,170 | ||||||
HOA Funding | ||||||||
Series 2014-1A A2 144A | ||||||||
4.846% 8/20/44 # | 1,058,400 | 1,052,616 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust | ||||||||
Series 2007-A 2A3 | ||||||||
0.434% 4/25/37 ● | 1,973,888 | 1,219,535 | ||||||
HSI Asset Securitization Trust | ||||||||
Series 2006-HE1 2A1 | ||||||||
0.244% 10/25/36 ● | 39,665 | 21,681 | ||||||
JPMorgan Mortgage Acquisition Trust | ||||||||
Series 2006-CW2 AV5 | ||||||||
0.434% 8/25/36 ● | 500,000 | 405,383 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2006-FF1 M2 | ||||||||
0.484% 8/25/36 ● | 2,000,000 | 1,894,322 | ||||||
MMAF Equipment Finance | ||||||||
Series 2014-AA A4 144A | ||||||||
1.59% 2/8/22 # | 810,000 | 811,198 | ||||||
Morgan Stanley ABS Capital I Trust | ||||||||
Series 2007-HE1 A2C | ||||||||
0.344% 11/25/36 ● | 6,620,823 | 3,893,203 | ||||||
Series 2007-HE5 A2D | ||||||||
0.534% 3/25/37 ● | 4,312,495 | 2,243,037 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
New Century Home Equity Loan Trust | ||||||||
Series 2005-1 M2 | ||||||||
0.914% 3/25/35 ● | 727,586 | $ | 636,362 | |||||
Option One Mortgage Loan Trust | ||||||||
Series 2007-4 2A4 | ||||||||
0.504% 4/25/37 ● | 8,143,832 | 4,850,133 | ||||||
Penarth Master Issuer | ||||||||
Series 2015-2A A1 144A | ||||||||
0.613% 5/18/19 # ● | 4,400,000 | 4,386,382 | ||||||
PFS Financing | ||||||||
Series 2015-AA A 144A | ||||||||
0.827% 4/15/20 #● | 250,000 | 248,592 | ||||||
RAAC Trust | ||||||||
Series 2005-SP2 2A | ||||||||
0.494% 6/25/44 ● | 739,532 | 630,516 | ||||||
RAMP Trust | ||||||||
Series 2006-RZ5 A2 | ||||||||
0.374% 8/25/46 ● | 553,630 | 534,745 | ||||||
Series 2007-RZ1 A2 | ||||||||
0.354% 2/25/37 ● | 964,084 | 878,469 | ||||||
RASC Trust | ||||||||
Series 2007-KS3 AI2 | ||||||||
0.374% 4/25/37 ● | 241,704 | 241,276 | ||||||
Rise | ||||||||
Series 2014-1 A 4.75% 2/15/39 @● | 2,703,125 | 2,709,883 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2014-5 A2B | ||||||||
0.607% 4/16/18 ● | 514,821 | 514,529 | ||||||
SLM Student Loan Trust | ||||||||
Series 2008-9 A | ||||||||
1.795% 4/25/23 ● | 2,870,980 | 2,878,158 | ||||||
Series 2012-5 A2 | ||||||||
0.494% 6/25/19 ● | 754,024 | 747,295 | ||||||
Soundview Home Loan Trust | ||||||||
Series 2006-OPT2 A3 | ||||||||
0.374% 5/25/36 ● | 3,012,999 | 2,843,849 | ||||||
Series 2006-WF2 A1 | ||||||||
0.324% 12/25/36 ● | 951,719 | 912,792 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2003-BC2 M1 | ||||||||
1.574% 4/25/33 ● | 73,594 | 60,818 |
(continues | ) | 33 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Trade MAPS 1 | ||||||||
Series 2013-1A A 144A | ||||||||
0.903% 12/10/18 #● | 500,000 | $ | 500,162 | |||||
|
| |||||||
Total Non-Agency | 99,925,695 | |||||||
|
| |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations – 2.64% |
| |||||||
| ||||||||
Alternative Loan Trust | ||||||||
Series 2004-J1 1A1 | ||||||||
6.00% 2/25/34 | 2,259 | 2,311 | ||||||
Series 2004-J2 7A1 | ||||||||
6.00% 12/25/33 | 2,333 | 2,369 | ||||||
Alternative Loan Trust Resecuritization | ||||||||
Series 2008-2R 3A1 | ||||||||
6.00% 8/25/37 | 1,849,092 | 1,512,679 | ||||||
ARM Trust | ||||||||
Series 2004-5 3A1 | ||||||||
2.545% 4/25/35 ● | 1,291,300 | 1,288,925 | ||||||
Series 2005-10 3A31 | ||||||||
4.192% 1/25/36 ● | 554,143 | 489,233 | ||||||
Series 2006-2 1A4 | ||||||||
2.87% 5/25/36 ● | 1,384,192 | 1,224,639 | ||||||
Bank of America Alternative Loan Trust | ||||||||
Series 2005-3 2A1 | ||||||||
5.50% 4/25/20 | 23,870 | 24,506 | ||||||
Series 2005-6 7A1 | ||||||||
5.50% 7/25/20 | 82,758 | 80,699 | ||||||
Bank of America Funding Trust | ||||||||
Series 2006-I 1A1 | ||||||||
2.393% 12/20/36 ● | 601,833 | 606,239 | ||||||
Bank of America Mortgage Trust | ||||||||
Series 2003-D 2A1 | ||||||||
2.789% 5/25/33 ● | 623,374 | 623,877 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2003-5 2A1 | ||||||||
2.596% 8/25/33 ● | 95,252 | 95,203 | ||||||
Series 2005-2 A2 | ||||||||
2.515% 3/25/35 ● | 178,154 | 180,144 | ||||||
Series 2005-5 A1 | ||||||||
2.32% 8/25/35 ● | 1,832,404 | 1,850,509 | ||||||
Chase Mortgage Finance Trust | ||||||||
Series 2005-A1 3A1 | ||||||||
2.447% 12/25/35 ● | 215,705 | 195,094 | ||||||
ChaseFlex Trust | ||||||||
Series 2006-1 A4 | ||||||||
4.798% 6/25/36 ● | 420,000 | 359,953 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||||
| ||||||||||
CHL Mortgage Pass Through Trust | ||||||||||
Series 2003-21 A1 2.739% 5/25/33 ¿ ● | 1,966 | $ | 1,981 | |||||||
Series 2007-4 1A1 6.00% 5/25/37 ¿ | 1,910,557 | 1,738,226 | ||||||||
Claris ABS | ||||||||||
Series 2011-1 A | ||||||||||
0.412% 10/31/60 ● | EUR | 4,896,404 | 5,348,642 | |||||||
CSMC Mortgage-Backed Trust | ||||||||||
Series 2005-1R 2A5 144A | ||||||||||
5.75% 12/26/35 # | 2,462,174 | 2,258,143 | ||||||||
Series 2007-1 5A14 | ||||||||||
6.00% 2/25/37 | 424,759 | 373,234 | ||||||||
Series 2007-3 4A6 | ||||||||||
0.444% 4/25/37 ● | 490,519 | 409,633 | ||||||||
Series 2007-3 4A12 | ||||||||||
6.556% 4/25/37 ●S | 490,519 | 74,969 | ||||||||
Series 2007-3 4A15 | ||||||||||
5.50% 4/25/37 | 217,806 | 209,125 | ||||||||
Deutsche Mortgage Securities Re-REMIC Trust Certificates | ||||||||||
Series 2005-WF1 1A3 | ||||||||||
144A 2.74% 6/26/35 #● | 308,768 | 306,619 | ||||||||
Eurosail-UK | ||||||||||
Series 2007-4X A2A | ||||||||||
0.889% 6/13/45 ● | GBP | 153,935 | 230,589 | |||||||
Fannie Mae Connecticut Avenue Securities | ||||||||||
Series 2015-C03 1M1 | ||||||||||
1.694% 7/25/25 ● | 286,627 | 287,358 | ||||||||
Series 2015-C03 2M1 | ||||||||||
1.694% 7/25/25 ● | 267,531 | 268,241 | ||||||||
First Horizon Mortgage Pass Through Trust | ||||||||||
Series 2005-AR2 2A1 | ||||||||||
2.71% 6/25/35¿ ● | 185,009 | 172,009 | ||||||||
GMACM Mortgage Loan Trust | ||||||||||
Series 2006-J1 A1 | ||||||||||
5.75% 4/25/36 | 89,562 | 85,302 | ||||||||
Granite Mortgages 03-2 | ||||||||||
Series 2003-2 3A | ||||||||||
1.064% 7/20/43 ● | GBP | 362,228 | 547,430 | |||||||
GSMPS Mortgage Loan Trust | ||||||||||
Series 1998-3 A 144A | ||||||||||
7.75% 9/19/27 #● | 6,899 | 7,149 | ||||||||
JPMorgan Mortgage Trust | ||||||||||
Series 2006-A6 2A4L | ||||||||||
2.671% 10/25/36 ● | 973,684 | 851,658 | ||||||||
Series 2006-A7 2A2 | ||||||||||
2.617% 1/25/37 ● | 187,061 | 164,094 |
34
Table of Contents
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
| ||||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||||
| ||||||||||
JPMorgan Mortgage Trust | ||||||||||
Series 2007-A1 6A1 | ||||||||||
2.573% 7/25/35 ● | 364,991 | $ | 361,185 | |||||||
Series 2014-2 B1 144A | ||||||||||
3.427% 6/25/29 #● | 90,909 | 92,483 | ||||||||
Series 2014-2 B2 144A | ||||||||||
3.427% 6/25/29 #● | 90,909 | 91,036 | ||||||||
Series 2015-4 B1 144A | ||||||||||
3.637% 6/25/45 #● | 508,182 | 494,129 | ||||||||
Series 2015-4 B2 144A | ||||||||||
3.637% 6/25/45 #● | 363,699 | 346,022 | ||||||||
JPMorgan Trust | ||||||||||
Series 2015-1 B1 144A | ||||||||||
2.665% 12/25/44 #● | 328,369 | 324,754 | ||||||||
Lehman Mortgage Trust | ||||||||||
Series 2007-10 2A2 | ||||||||||
6.50% 1/25/38 | 2,599,278 | 2,069,023 | ||||||||
Ludgate Funding | ||||||||||
Series 2006-1X A2A | ||||||||||
0.776% 12/1/60 ● | GBP | 2,147,148 | 2,888,963 | |||||||
Series 2008-W1X A1 | ||||||||||
1.181% 1/1/61 ● | GBP | 972,345 | 1,356,433 | |||||||
Mansard Mortgages 2007-1 Parent | ||||||||||
Series 2007-1X A2 | ||||||||||
0.764% 4/15/47 ● | GBP | 1,027,040 | 1,376,991 | |||||||
MASTR Alternative Loan Trust | ||||||||||
Series 2004-3 8A1 | ||||||||||
7.00% 4/25/34 | 4,297 | 4,422 | ||||||||
Series 2004-5 6A1 | ||||||||||
7.00% 6/25/34 | 60,401 | 64,352 | ||||||||
MASTR ARM Trust | ||||||||||
Series 2003-6 1A2 | ||||||||||
2.45% 12/25/33 ● | 3,918 | 3,893 | ||||||||
Series 2004-4 4A1 | ||||||||||
2.511% 5/25/34 ● | 140,578 | 136,121 | ||||||||
MASTR Asset Securitization Trust | ||||||||||
Series 2003-9 2A7 | ||||||||||
5.50% 10/25/33 | 57,280 | 57,293 | ||||||||
Merrill Lynch Mortgage Investors Trust | ||||||||||
Series 2004-A1 2A2 | ||||||||||
2.435% 2/25/34 ● | 9,459 | 9,522 | ||||||||
Opteum Mortgage Acceptance Trust | ||||||||||
Series 2006-1 2A1 | ||||||||||
5.75% 4/25/36 ● | 1,567,562 | 1,606,936 | ||||||||
RALI Trust | ||||||||||
Series 2004-QS2 CB | ||||||||||
5.75% 2/25/34 | 42,683 | 44,173 |
Principal | Value | |||||||||
amount° | (U.S. $) | |||||||||
| ||||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||||
| ||||||||||
RFMSI Trust | ||||||||||
Series 2004-S9 1A23 | ||||||||||
5.50% 12/25/34 | 3,437,620 | $ | 3,454,795 | |||||||
Series 2004-S9 2A1 | ||||||||||
4.75% 12/25/19 | 140,013 | 140,909 | ||||||||
Sequoia Mortgage Trust | ||||||||||
Series 2004-5 A3 | ||||||||||
0.974% 6/20/34 ● | 344,607 | 340,430 | ||||||||
Series 2007-1 4A1 | ||||||||||
2.861% 9/20/46 ● | 1,007,371 | 806,460 | ||||||||
Series 2013-11 B1 144A | ||||||||||
3.69% 9/25/43 #● | 406,159 | 404,295 | ||||||||
Series 2015-1 B2 144A | ||||||||||
3.899% 1/25/45 #● | 389,217 | 394,473 | ||||||||
Structured ARM Loan Trust | ||||||||||
Series 2005-22 1A4 | ||||||||||
2.485% 12/25/35 ● | 1,837,017 | 1,450,701 | ||||||||
Series 2006-1 7A4 | ||||||||||
4.68% 2/25/36 ● | 987,287 | 806,258 | ||||||||
Structured Asset Mortgage Investments II Trust | ||||||||||
Series 2005-AR5 A2 | ||||||||||
0.466% 7/19/35 ● | 829,901 | 803,216 | ||||||||
Structured Asset Securities Trust | ||||||||||
Series 2005-6 4A1 | ||||||||||
5.00% 5/25/35 | 56,376 | 57,167 | ||||||||
Thrones | ||||||||||
Series 2013-1 A | ||||||||||
2.084% 7/20/44 ● | GBP | 2,107,959 | 3,169,357 | |||||||
WaMu Mortgage Pass Through Certificates Trust | ||||||||||
Series 2005-AR13 A1A1 | ||||||||||
0.484% 10/25/45 ¿● | 4,921,131 | 4,551,224 | ||||||||
Series 2005-AR16 1A3 | ||||||||||
2.352% 12/25/35 ¿● | 846,415 | 798,456 | ||||||||
Series 2007-HY1 3A3 | ||||||||||
4.335% 2/25/37 ¿● | 428,877 | 396,073 | ||||||||
Series 2007-HY7 4A1 | ||||||||||
4.472% 7/25/37 ¿● | 923,140 | 851,722 | ||||||||
Washington Mutual Alternative Mortgage Pass Through Trust | ||||||||||
Series 2005-1 5A2 | ||||||||||
6.00% 3/25/35 ¿ | 48,065 | 22,326 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||||
Series 2005-AR16 2A1 | ||||||||||
2.596% 2/25/34 ● | 222,787 | 225,477 | ||||||||
Series 2006-2 3A1 | ||||||||||
5.75% 3/25/36 | 138,579 | 141,380 |
(continues | ) | 35 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal | Value | |||||||||||
amount° | (U.S. $) | |||||||||||
| ||||||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||||||
| ||||||||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||||||
Series 2006-3 A11 | ||||||||||||
5.50% 3/25/36 | 151,560 | $ | 155,770 | |||||||||
Series 2006-6 1A3 | ||||||||||||
5.75% 5/25/36 | 80,706 | 79,045 | ||||||||||
Series 2006-AR5 2A1 | ||||||||||||
2.713% 4/25/36 ● | 81,634 | 76,680 | ||||||||||
Series 2006-AR11 A6 | ||||||||||||
2.75% 8/25/36 ● | 1,159,835 | 1,091,719 | ||||||||||
Series 2006-AR17 A1 | ||||||||||||
2.713% 10/25/36 ● | 679,456 | 644,532 | ||||||||||
Series 2007-10 1A36 | ||||||||||||
6.00% 7/25/37 | 488,433 | 487,308 | ||||||||||
|
| |||||||||||
Total Non-Agency Collateralized Mortgage Obligations | 54,548,286 | |||||||||||
|
| |||||||||||
| ||||||||||||
Regional Bonds – 0.18%D |
| |||||||||||
| ||||||||||||
Argentina – 0.04% | ||||||||||||
Provincia de Buenos Aires 144A 9.95% 6/9/21 # | 895,000 | 848,013 | ||||||||||
|
| |||||||||||
848,013 | ||||||||||||
|
| |||||||||||
Australia – 0.04% | ||||||||||||
New South Wales Treasury 4.00% 5/20/26 | AUD | 716,900 | 548,201 | |||||||||
Queensland Treasury 144A 4.75% 7/21/25 # | AUD | 446,000 | 354,853 | |||||||||
|
| |||||||||||
903,054 | ||||||||||||
|
| |||||||||||
Canada – 0.03% | ||||||||||||
Province of Ontario Canada 3.45% 6/2/45 | CAD | 551,000 | 423,470 | |||||||||
Province of Quebec Canada 6.00% 10/1/29 | CAD | 155,000 | 156,829 | |||||||||
|
| |||||||||||
580,299 | ||||||||||||
|
| |||||||||||
Spain – 0.07% | ||||||||||||
Autonomous Community of Catalonia 4.95% 2/11/20 | EUR | 1,100,000 | 1,318,696 | |||||||||
|
| |||||||||||
1,318,696 | ||||||||||||
|
| |||||||||||
Total Regional Bonds | 3,650,062 | |||||||||||
|
| |||||||||||
| ||||||||||||
Senior Secured Loans – 6.58%« |
| |||||||||||
| ||||||||||||
21st Century Oncology Tranche B 1st Lien 6.50% 4/28/22 | 1,022,438 | 978,984 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Accudyne Industries (Hamilton Sundstrand Industrial) 1st Lien 4.00% 12/13/19 | 1,175,000 | $ | 1,078,063 | |||||
Air Medical Group Holdings Tranche B 1st Lien 4.50% 4/28/22 | 2,269,313 | 2,243,252 | ||||||
Albertson’s Holdings Tranche B4 1st Lien 5.50% 8/25/21 | 1,727,258 | 1,730,987 | ||||||
Altice Financing Tranche B 1st Lien 5.25% 2/4/22 | 1,177,050 | 1,180,483 | ||||||
Amaya Gaming Holdings 1st Lien 5.00% 8/1/21 | 1,466,825 | 1,454,334 | ||||||
American Tire Distributors 1st Lien 5.25% 9/26/21 | 881,825 | 882,927 | ||||||
Applied Systems 1st Lien 4.25% 1/23/21 | 257,769 | 257,355 | ||||||
Applied Systems 2nd Lien 7.50% 1/23/22 | 963,128 | 958,112 | ||||||
Atkore International 2nd Lien 7.75% 10/9/21 | 850,000 | 785,188 | ||||||
Avaya 1st Lien 4.694% 10/26/17 | 3,562,000 | 2,938,650 | ||||||
AVINTIV Specialty Materials Tranche B 1st Lien 5.25% 12/19/19 ● | 1,455,838 | 1,458,870 | ||||||
Axalta Coating Systems US Holdings 1st Lien 3.75% 2/1/20 | 700,516 | 696,916 | ||||||
Beacon Roofing Supply tranche B 1st Lien 4.00% 9/25/22 | 119,000 | 119,000 | ||||||
Berry Plastics 1st Lien 4.00% 9/17/22 | 360,000 | 359,904 | ||||||
BJ’s Wholesale Club 2nd Lien 8.50% 3/31/20 | 1,300,000 | 1,291,875 | ||||||
BJ’s Wholesale Club Tranche B 1st Lien 4.50% 9/26/19 | 1,338,867 | 1,333,923 | ||||||
Blue Ribbon 1st Lien 5.75% 11/13/21 | 755,380 | 756,639 | ||||||
Blue Ribbon 2nd Lien 9.25% 11/13/22 | 290,000 | 287,100 | ||||||
Builders FirstSourse Tranche B 1st Lien 6.00% 7/31/22 | 1,480,000 | 1,472,831 | ||||||
Burlington Coat Factory Warehouse Tranche B3 1st Lien 4.25% 8/13/21 | 588,650 | 590,118 | ||||||
BWAY Holding Tranche B 1st Lien 5.50% 8/14/20 | 720,875 | 719,298 |
36
Table of Contents
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Caesars Growth Properties Holdings Tranche B 1st Lien 6.25% 5/8/21 | 2,216,344 | $ | 1,950,383 | |||||
Calpine Construction Finance Tranche B 1st Lien 3.00% 5/3/20 | 326,203 | 318,592 | ||||||
CCO Safari III Tranche H 1st Lien 3.25% 8/24/21 | 167,000 | 166,548 | ||||||
CCO Safari III Tranche I 1st Lien 3.50% 1/21/23 | 500,000 | 497,696 | ||||||
CDS US Intermediate Holdings (Cirque Du Soleil) 1st Lien 6.25% 7/8/22 | 470,000 | 471,721 | ||||||
CDS US Intermediate Holdings 2nd Lien 9.25% 6/24/23 | 205,000 | 202,608 | ||||||
CityCenter Holdings Tranche B 1st Lien 4.25% 10/16/20 | 574,950 | 575,051 | ||||||
CommScope Tranche B 1st Lien 3.75% 12/29/22 ● | 602,000 | 601,906 | ||||||
Communications Sales & Leasing Tranche B 1st Lien 5.00% 10/24/22 | 1,561,088 | 1,465,471 | ||||||
Community Health Systems Tranche F 1st Lien 3.575% 12/31/18 | 420,590 | 420,816 | ||||||
Community Health Systems Tranche G 1st Lien 3.75% 12/31/19 | 993,323 | 993,944 | ||||||
Community Health Systems Tranche H 1st Lien 4.00% 1/27/21 | 2,042,149 | 2,046,403 | ||||||
Crown Castle Operating Tranche B2 1st Lien 3.00% 1/31/21 ● | 339,578 | 339,164 | ||||||
CSC Holdings 1st Lien 5.00% 9/25/22 | 655,000 | 651,374 | ||||||
DAE Aviation Holdings 1st Lien 5.25% 7/7/22 | 550,000 | 550,860 | ||||||
DaVita Healthcare Partners Tranche B 1st Lien 3.50% 6/24/21 | 745,563 | 746,625 | ||||||
Dell International Tranche C 1st Lien 3.75% 10/29/18 ● | 5,760,613 | 5,755,469 | ||||||
DPx Holdings 1st Lien 4.25% 3/11/21 | 1,328,188 | 1,311,253 | ||||||
Drillship Ocean Ventures Tranche B 1st Lien 5.50% 7/25/21 | 680,571 | 453,856 | ||||||
Drillships Financing Holding Tranche B1 1st Lien 6.00% 3/31/21 | 1,564,517 | 926,976 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Dynegy Tranche B2 4.00% 4/23/20 | 526,390 | $ | 526,343 | |||||
Emdeon 1st Lien 3.75% 11/2/18 | 760,247 | 758,979 | ||||||
Endo Luxembourg Finance I Sarl Tranche B 1st Lien 3.75% 9/25/22 | 550,000 | 549,270 | ||||||
Energy Transfer Equity 1st Lien | ||||||||
3.25% 12/2/19 | 539,750 | 522,883 | ||||||
4.00% 12/2/19 | 413,588 | 407,987 | ||||||
FCA U.S. (Chrysler) Tranche B 1st Lien 3.25% 12/31/18 ● | 1,039,175 | 1,031,641 | ||||||
First Data Tranche B 1st Lien | ||||||||
3.696% 3/24/17 | 313,000 | 312,022 | ||||||
4.196% 3/24/21 | 1,106,681 | 1,107,665 | ||||||
First Data Tranche C1 1st Lien 3.696% 3/24/18 | 1,835,000 | 1,821,955 | ||||||
Flint Group 1st Lien 4.50% 9/7/21 ● | 446,018 | 441,929 | ||||||
Flint Group 2nd Lien 8.25% 9/7/22 @ | 235,000 | 232,454 | ||||||
Flint Group Tranche C 1st Lien 4.50% 9/7/21 ● | 73,732 | 72,903 | ||||||
Flying Fortress 1st Lien 3.50% 6/30/17 | 1,151,000 | 1,150,460 | ||||||
FMG Resources August 2006 Pty 1st Lien 3.75% 6/30/19 | 2,129,638 | 1,751,628 | ||||||
Gardner Denver 1st Lien 4.25% 7/30/20 | 2,283,467 | 2,167,709 | ||||||
Gates Global 1st Lien 4.25% 7/3/21 | 470,250 | 447,473 | ||||||
Global Cash Access Tranche B 6.25% 12/19/20 | 1,120,043 | 1,121,794 | ||||||
Green Energy Partners (Panda Stonewall) Tranche B 1st Lien 6.50% 11/13/21 | 439,000 | 445,859 | ||||||
HCA 1st Lien 2.944% 3/31/17 | 5,358,987 | 5,360,461 | ||||||
HCA Tranche B4 1st Lien 3.077% 5/1/18 | 196,980 | 197,116 | ||||||
Hilton Worldwide Finance Tranche B2 3.50% 10/25/20 | 3,064,439 | 3,065,717 | ||||||
Houghton International 1st Lien 4.25% 12/20/19 | 111,838 | 111,785 | ||||||
Houghton International 2nd Lien 9.75% 12/21/20 | 205,000 | 205,000 | ||||||
Hudson’s Bay 1st Lien 4.75% 9/30/22 | 1,675,000 | 1,681,271 |
(continues | ) | 37 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Huntsman International Tranche B 1st Lien 3.75% 10/1/21 | 962,725 | $ | 941,064 | |||||
Hyperion Insurance Group Tranche B 1st Lien 5.50% 4/30/22 | 840,775 | 844,279 | ||||||
IASIS Healthcare Tranche B 1st Lien 4.50% 5/3/18 | 650,238 | 651,729 | ||||||
IBC Capital 1st Lien 4.75% 9/15/21 | 451,400 | 437,858 | ||||||
iHeartCommunications Tranche D 1st Lien 6.944% 1/30/19 | 3,630,000 | 3,021,975 | ||||||
iHeartCommunications Tranche E 1st Lien 7.694% 7/30/19 | 184,983 | 155,155 | ||||||
Immucor Tranche B2 1st Lien 5.00% 8/19/18 | 2,660,110 | 2,649,026 | ||||||
Ineos U.S. Finance Tranche B 1st Lien 4.25% 3/31/22 | 263,674 | 257,000 | ||||||
Ineos US Finance Tranche B 1st Lien 3.75% 12/15/20 | 1,935,106 | 1,892,172 | ||||||
Informatica Tranche B 1st Lien 4.50% 6/3/22 | 380,000 | 377,585 | ||||||
Intelsat Jackson Holdings Tranche B2 3.75% 6/30/19 | 2,246,616 | 2,195,505 | ||||||
KIK Custom Products 1st Lien 6.00% 8/27/22 | 2,020,000 | 1,981,283 | ||||||
Kinetic Concepts Tranche E1 1st Lien 4.50% 5/4/18 | 671,368 | 671,578 | ||||||
Landry’s Tranche B 1st Lien 4.00% 4/24/18 | 539,424 | 540,267 | ||||||
Level 3 Financing Tranche B 1st Lien 4.00% 1/15/20 | 985,000 | 983,892 | ||||||
Linxens France 1st Lien 5.00% 7/11/22 | 310,000 | 309,096 | ||||||
Linxens France 2nd Lien 9.50% 7/11/23 | 235,000 | 235,686 | ||||||
LTS Buyer 1st Lien 4.00% 4/13/20 | 112,437 | 110,657 | ||||||
LTS Buyer 2nd Lien 8.00% 4/1/21 | 627,238 | 620,181 | ||||||
Marina District Finance Tranche B 1st Lien 6.50% 8/15/18 | 972,687 | 979,164 | ||||||
Mauser Holding 2nd Lien 8.75% 7/31/22 @ | 170,000 | 167,025 | ||||||
MGM Resorts International 1st Lien 3.50% 12/20/19 | 1,616,136 | 1,605,783 |
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Moxie Patriot Tranche B1 1st Lien 6.75% 12/19/20 | 515,000 | $ | 499,550 | |||||
MPH Acquisition Tranche B 1st Lien 3.75% 3/31/21 | 2,123,199 | 2,100,110 | ||||||
Murray Energy Tranche B1 1st Lien 7.00% 4/14/17 | 950 | 870 | ||||||
Neiman Marcus Group 1st Lien 4.25% 10/25/20 | 278,586 | 273,283 | ||||||
New Albertsons 1st Lien 4.75% 6/27/21 | 271,427 | 271,393 | ||||||
NRG Energy Tranche B 2.75% 7/1/18 ● | 1,484,324 | | 1,458,142 | | ||||
Numericable US 1st Lien 4.50% 5/21/20 | 1,258,494 | 1,257,969 | ||||||
Numericable US Tranche B2 1st Lien 4.50% 5/21/20 | 1,088,769 | 1,083,155 | ||||||
Offshore Group Investment Tranche B 1st Lien 5.00% 10/25/17 ● | 1,096 | 379 | ||||||
Panda Liberty Tranche B 1st Lien 7.50% 8/21/20 | 1,424,000 | 1,367,040 | ||||||
Penney (J.C.) 1st Lien 6.00% 5/22/18 | 1,283,388 | 1,277,773 | ||||||
Prime Security Services Borrower 1st Lien 5.00% 7/1/21 | 1,190,000 | 1,191,636 | ||||||
Prime Security Services Borrower 2nd Lien 9.75% 7/1/22 | 1,190,000 | 1,178,100 | ||||||
Quickrete Holdings 2nd Lien 7.00% 3/30/21 | 322,737 | 324,351 | ||||||
Republic of Angola (Unsecured) 6.25% 12/16/23 @ | 1,850,000 | 1,646,500 | ||||||
Reynolds Group Holdings Tranche B 1st Lien 4.50% 12/1/18 | 1,508,883 | 1,511,712 | ||||||
Rite Aid 2nd Lien | ||||||||
4.875% 6/21/21 | 445,000 | 446,335 | ||||||
5.75% 8/21/20 | 1,535,000 | 1,554,188 | ||||||
RPI Finance Trust Tranche B4 1st Lien 3.50% 11/9/20 | 308,450 | 308,257 | ||||||
SAM Finance Tranche B 1st Lien 4.25% 12/17/20 | 713,442 | 716,341 | ||||||
Scientific Games International 1st Lien 6.00% 10/18/20 | 1,591,650 | 1,575,336 | ||||||
Scientific Games International Tranche B2 1st Lien 6.00% 10/1/21 | 305,481 | 302,311 | ||||||
Sensus USA 4.50% 5/9/17 | 880,542 | 878,341 |
38
Table of Contents
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Sensus USA 8.50% 5/9/18 @ | 295,000 | $ | 293,525 | |||||
SIG Combibloc PurchaseCo 1st Lien 4.25% 3/13/22 | 857,850 | 858,744 | ||||||
Sinclair Television Group Tranche B1 1st Lien 3.50% 7/30/21 | 3,820,425 | 3,801,323 | ||||||
Smart & Final Stores Tranche B 1st Lien 4.00% 11/15/19 | 349,932 | 349,057 | ||||||
Solenis International 1st Lien 4.25% 7/31/21 | 401,963 | 396,938 | ||||||
Solenis International 2nd Lien 7.75% 7/31/22 | 325,000 | 311,695 | ||||||
Spectrum Brands 1st Lien 3.75% 6/23/22 | 465,385 | 467,603 | ||||||
SS&C European Holdings Tranche B2 1st Lien 4.00% 7/8/22 | 69,184 | 69,431 | ||||||
SS&C Technologies Tranche B1 1st Lien 4.00% 7/8/22 | 437,341 | 438,901 | ||||||
Stardust Finance Holdings Tranche B 1st Lien 6.50% 3/13/22 | 1,599,950 | 1,588,950 | ||||||
Summit Materials Tranche B 1st Lien 4.25% 7/17/22 | 548,625 | 547,939 | ||||||
SUPERVALU 1st Lien 4.50% 3/21/19 | 466,800 | 468,497 | ||||||
Surgical Care Affiliates Tranche B 1st Lien 4.25% 3/17/22 | 756,200 | 757,145 | ||||||
TransDigm Tranche E 1st Lien 3.50% 5/14/22 | 601,751 | 594,418 | ||||||
Tribune Media Tranche B 1st Lien 3.75% 12/27/20 | 548,625 | 547,082 | ||||||
Univar USA Tranche B 1st Lien 4.25% 7/1/22 | 177,000 | 174,539 | ||||||
Univision Communications 1st Lien 4.00% 3/1/20 | 921,672 | 915,911 | ||||||
Univision Communications Tranche C4 1st Lien 4.00% 3/1/20 | 2,845,545 | 2,824,599 | ||||||
US Airways Tranche B1 1st Lien 3.50% 5/23/19 | 254,553 | 253,810 | ||||||
US Airways Tranche B2 1st Lien 3.00% 11/23/16 | 87,220 | 87,084 | ||||||
USI Insurance Services Tranche B 1st Lien 4.25% 12/27/19 | 554,411 | 550,484 |
Principal | Value | |||||||||||
amount° | (U.S. $) | |||||||||||
| ||||||||||||
Senior Secured Loans« (continued) |
| |||||||||||
| ||||||||||||
Valeant Pharmaceuticals International Tranche BE 1st Lien 3.75% 8/5/20 | 780,273 | $ | 770,032 | |||||||||
Valeant Pharmaceuticals International Tranche B-F1 1st Lien 4.00% 4/1/22 | 1,706,425 | 1,691,050 | ||||||||||
Varsity Brands Tranche B 1st Lien 5.00% 12/15/21 | 724,525 | 730,110 | ||||||||||
Weight Watchers International 1st Lien 3.20% 4/2/16 @ | 268,112 | 244,732 | ||||||||||
Wide Open West Finance Tranche B 1st Lien 4.50% 4/1/19 | 1,123,988 | 1,118,017 | ||||||||||
Ziggo Tranche B 2nd Lien 3.50% 1/15/22 | 616,000 | 607,017 | ||||||||||
Ziggo Tranche B Delayed Draw 3rd Lien 3.50% 1/15/22 | 1,013,100 | 998,326 | ||||||||||
Ziggo Tranche B1 1st Lien 3.50% 1/15/22 | 955,900 | 941,960 | ||||||||||
|
| |||||||||||
Total Senior Secured Loans |
| 135,763,780 | ||||||||||
|
| |||||||||||
| ||||||||||||
Sovereign Bonds – 3.74%D |
| |||||||||||
| ||||||||||||
Australia – 0.04% | ||||||||||||
Australia Government Bond | ||||||||||||
3.25% 4/21/25 | AUD | 625,000 | 462,256 | |||||||||
3.75% 4/21/37 | AUD | 352,000 | 267,153 | |||||||||
|
| |||||||||||
729,409 | ||||||||||||
|
| |||||||||||
Brazil – 1.18% | ||||||||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||||||
144A 6.369% 6/16/18 # | 1,500,000 | 1,456,800 | ||||||||||
144A 6.50% 6/10/19 # | 2,500,000 | 2,410,000 | ||||||||||
Brazil Letras do Tesouro Nacional | ||||||||||||
12.15% 1/1/18 ^ | BRL | 900,000 | 162,285 | |||||||||
12.65% 4/1/16 ^ | BRL | 77,100,000 | 18,143,272 | |||||||||
14.168% 7/1/16 ^ | BRL | 6,400,000 | 1,451,266 | |||||||||
Brazilian Government International Bond 5.00% 1/27/45 | 1,000,000 | 752,500 | ||||||||||
|
| |||||||||||
24,376,123 | ||||||||||||
|
|
(continues | ) | 39 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal | Value | |||||||||||
amount° | (U.S. $) | |||||||||||
| ||||||||||||
Sovereign BondsD (continued) |
| |||||||||||
| ||||||||||||
Canada – 0.01% | ||||||||||||
Canadian Government Bond 2.75% 12/1/48 | CAD | 171,000 | $ | 143,671 | ||||||||
|
| |||||||||||
143,671 | ||||||||||||
|
| |||||||||||
Colombia – 0.03% | ||||||||||||
Colombia Government International Bond 5.00% 6/15/45 | 700,000 | 603,750 | ||||||||||
|
| |||||||||||
603,750 | ||||||||||||
|
| |||||||||||
Costa Rica – 0.03% | ||||||||||||
Costa Rica Government International Bond 5.625% 4/30/43 | 841,000 | 636,006 | ||||||||||
|
| |||||||||||
636,006 | ||||||||||||
|
| |||||||||||
Czech Republic – 0.03% |
| |||||||||||
Czech Republic Ministry of Finance Bill | ||||||||||||
0.02% 2/12/16 @≠ | CZK | 4,000,000 | 164,438 | |||||||||
0.05% 2/19/16 @≠ | CZK | 3,000,000 | 123,425 | |||||||||
0.09% 12/4/15 @≠ | CZK | 7,000,000 | 287,739 | |||||||||
|
| |||||||||||
575,602 | ||||||||||||
|
| |||||||||||
Dominican Republic – 0.06% |
| |||||||||||
Dominican Republic International Bond 144A 5.50% 1/27/25 # | 1,200,000 | 1,164,000 | ||||||||||
|
| |||||||||||
1,164,000 | ||||||||||||
|
| |||||||||||
Germany – 0.01% | ||||||||||||
Bundesrepublik Deutschland 0.50% 2/15/25 | EUR | 268,000 | 298,683 | |||||||||
|
| |||||||||||
298,683 | ||||||||||||
|
| |||||||||||
Hungary – 0.02% | ||||||||||||
Hungary Government International Bond 5.375% 3/25/24 | 474,000 | 515,475 | ||||||||||
|
| |||||||||||
515,475 | ||||||||||||
|
| |||||||||||
Indonesia – 0.05% | ||||||||||||
Indonesia Government International Bond | ||||||||||||
144A 4.625% 4/15/43 # | 1,110,000 | 932,253 | ||||||||||
144A 5.125% 1/15/45 # | 200,000 | 176,217 | ||||||||||
|
| |||||||||||
1,108,470 | ||||||||||||
|
|
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) |
| |||||||
| ||||||||
Italy – 0.08% | ||||||||
Italy Buoni Poliennali Del Tesoro 1.35% 4/15/22 | EUR | 1,526,000 | $ | 1,719,726 | ||||
|
| |||||||
1,719,726 | ||||||||
|
| |||||||
Jamaica – 0.04% | ||||||||
Jamaica Government International Bond 6.75% 4/28/28 | 756,000 | 761,670 | ||||||
|
| |||||||
761,670 | ||||||||
|
| |||||||
Japan – 0.01% | ||||||||
Japan Government 40 yr Bond 1.40% 3/20/55 | JPY | 19,050,000 | 153,612 | |||||
|
| |||||||
153,612 | ||||||||
|
| |||||||
Kazakhstan – 0.03% |
| |||||||
Kazakhstan Government International Bond 144A 5.125% 7/21/25 # | 605,000 | 585,337 | ||||||
|
| |||||||
585,337 | ||||||||
|
| |||||||
Mexico – 1.38% | ||||||||
Mexican Bonos | ||||||||
6.50% 6/9/22 | MXN | 128,400,000 | 7,889,035 | |||||
7.50% 6/3/27 | MXN | 6,326,000 | 408,845 | |||||
8.00% 6/11/20 | MXN | 27,900,000 | 1,847,464 | |||||
8.50% 12/13/18 | MXN | 240,000,000 | 15,733,157 | |||||
10.00% 12/5/24 | MXN | 30,536,000 | 2,303,484 | |||||
Mexico Government International Bond | ||||||||
3.60% 1/30/25 | 200,000 | 196,250 | ||||||
4.60% 1/23/46 | 200,000 | 178,750 | ||||||
|
| |||||||
28,556,985 | ||||||||
|
| |||||||
Norway – 0.01% | ||||||||
Kommunalbanken 5.00% 3/28/19 | NZD | 72,000 | 48,850 | |||||
Norway Government Bond | ||||||||
144A 1.75% 3/13/25 # | NOK | 574,000 | 69,218 | |||||
144A 2.00% 5/24/23 # | NOK | 126,000 | 15,585 | |||||
|
| |||||||
133,653 | ||||||||
|
| |||||||
Pakistan – 0.04% | ||||||||
Pakistan Government International Bond 144A 7.875% 3/31/36 # | 886,000 | 821,994 | ||||||
|
| |||||||
821,994 | ||||||||
|
|
40
Table of Contents
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) |
| |||||||
| ||||||||
Peru – 0.04% | ||||||||
Peruvian Government International Bond 4.125% 8/25/27 | 775,000 | $ | 763,375 | |||||
|
| |||||||
763,375 | ||||||||
|
| |||||||
Poland – 0.05% | ||||||||
Poland Government Bond 3.25% 7/25/25 | PLN | 3,628,000 | 989,122 | |||||
|
| |||||||
989,122 | ||||||||
|
| |||||||
Portugal – 0.01% | ||||||||
Portugal Government International Bond 144A 5.125% 10/15/24 # | 131,000 | 139,465 | ||||||
|
| |||||||
139,465 | ||||||||
|
| |||||||
Republic of Korea – 0.08% |
| |||||||
Inflation Linked Korea Treasury Bond 1.125% 6/10/23 | KRW | 1,086,778,900 | 897,022 | |||||
Republic of Korea 7.125% 4/16/19 | 700,000 | 827,540 | ||||||
|
| |||||||
1,724,562 | ||||||||
|
| |||||||
Serbia – 0.03% | ||||||||
Republic of Serbia 144A 4.875% 2/25/20 # | 665,000 | 673,392 | ||||||
|
| |||||||
673,392 | ||||||||
|
| |||||||
Singapore – 0.03% | ||||||||
Temasek Financial I 144A 2.375% 1/23/23 # | 560,000 | 555,246 | ||||||
|
| |||||||
555,246 | ||||||||
|
| |||||||
Slovenia – 0.24% | ||||||||
Slovenia Government International Bonds | ||||||||
4.125% 2/18/19 | 200,000 | 211,500 | ||||||
5.50% 10/26/22 | 4,300,000 | 4,845,042 | ||||||
|
| |||||||
5,056,542 | ||||||||
|
| |||||||
South Africa – 0.11% | ||||||||
South Africa Government Bond 8.00% 1/31/30 | ZAR | 19,018,000 | 1,278,975 | |||||
South Africa Government International Bond | ||||||||
5.375% 7/24/44 | 444,000 | 415,695 | ||||||
5.875% 9/16/25 | 500,000 | 533,750 | ||||||
|
| |||||||
2,228,420 | ||||||||
|
|
Principal | Value | |||||||
amount° | (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) |
| |||||||
| ||||||||
Sri Lanka – 0.04% | ||||||||
Sri Lanka Government International Bond 144A 6.125% 6/3/25 # | 880,000 | $ | 844,678 | |||||
|
| |||||||
844,678 | ||||||||
|
| |||||||
United Kingdom – 0.06% |
| |||||||
United Kingdom Gilt | ||||||||
1.75% 9/7/22 | GBP | 100,000 | 154,100 | |||||
3.25% 1/22/44 | GBP | 270,500 | 473,701 | |||||
3.50% 1/22/45 | GBP | 138,800 | 254,063 | |||||
United Kingdom Gilt Inflation Linked 0.125% 3/22/24 | GBP | 278,422 | 456,598 | |||||
|
| |||||||
1,338,462 | ||||||||
|
| |||||||
Total Sovereign Bonds |
| 77,197,430 | ||||||
|
| |||||||
| ||||||||
Supranational Banks – 0.25% |
| |||||||
| ||||||||
Corp Andina de Fomento 0.844% 1/29/18 ● | 1,800,000 | 1,816,281 | ||||||
European Bank for Reconstruction & Development 7.375% 4/15/19 | IDR | 6,240,000,000 | 384,260 | |||||
Inter-American Development Bank 6.00% 9/5/17 | INR | 67,600,000 | 1,017,933 | |||||
International Bank for Reconstruction & Development | ||||||||
0.277% 4/17/19 ● | 440,000 | 439,921 | ||||||
2.50% 11/25/24 | 440,000 | 452,578 | ||||||
3.75% 2/10/20 | NZD | 500,000 | 327,022 | |||||
4.625% 10/6/21 | NZD | 1,054,000 | 717,914 | |||||
International Finance 3.625% 5/20/20 | NZD | 163,000 | 105,995 | |||||
|
| |||||||
Total Supranational Banks |
| 5,261,904 | ||||||
|
| |||||||
| ||||||||
U.S. Treasury Obligations – 22.20% |
| |||||||
| ||||||||
U.S. Treasury Bonds | ||||||||
2.50% 2/15/45 | 43,900,000 | 40,424,876 | ||||||
2.75% 8/15/42 | 900,000 | 877,846 | ||||||
2.75% 11/15/42 | 800,000 | 779,146 | ||||||
2.875% 8/15/45 | 13,789,000 | 13,785,056 | ||||||
3.00% 5/15/42 | 7,300,000 | 7,491,815 | ||||||
3.00% 11/15/44 | 2,500,000 | 2,550,146 | ||||||
3.00% 5/15/45 | 4,370,000 | 4,473,219 |
(continues | ) | 41 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
U.S. Treasury Obligations (continued) |
| |||||||
| ||||||||
U.S. Treasury Bonds 3.125% 8/15/44 ¥ | 10,000,000 | $ | 10,468,950 | |||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.125% 4/15/20 | 8,050,890 | 8,004,976 | ||||||
0.125% 7/15/22 | 2,075,580 | 2,026,270 | ||||||
0.125% 7/15/24 | 35,781,204 | 34,180,353 | ||||||
0.25% 1/15/25 | 3,425,840 | 3,286,843 | ||||||
0.375% 7/15/25 | 7,346,501 | 7,161,883 | ||||||
0.75% 2/15/45 | 4,864,656 | 4,229,687 | ||||||
1.75% 1/15/28 | 32,147,660 | 35,581,126 | ||||||
2.00% 1/15/26 | 3,847,744 | 4,321,698 | ||||||
2.375% 1/15/25 | 22,890,907 | 26,369,409 | ||||||
2.375% 1/15/27 | 6,118,281 | 7,168,546 | ||||||
2.50% 1/15/29 | 12,816,402 | 15,398,958 | ||||||
3.875% 4/15/29 | 275,829 | 380,848 | ||||||
U.S. Treasury Notes | ||||||||
1.375% 8/31/20 | 95,000 | 95,125 | ||||||
1.375% 9/30/20 | 195,000 | 194,995 | ||||||
1.625% 7/31/20 | 55,000,000 | 55,679,250 | ||||||
2.00% 10/31/21 | 1,600,000 | 1,633,490 | ||||||
2.00% 2/15/25 | 400,000 | 398,510 | ||||||
2.00% 8/15/25 | 12,960,000 | 12,893,852 | ||||||
2.125% 9/30/21 | 20,900,000 | 21,507,542 | ||||||
2.125% 5/15/25 ¥ | 32,700,000 | 32,903,100 | ||||||
2.375% 8/15/24 ¥ | 8,000,000 | 8,241,408 | ||||||
2.50% 5/15/24 | 32,100,000 | 33,444,188 | ||||||
2.75% 2/15/24 | 58,500,000 | 62,187,489 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 458,140,600 | |||||||
|
| |||||||
Number of shares | ||||||||
| ||||||||
Common Stock – 0.00% |
| |||||||
| ||||||||
Century Communications =† | 1,975,000 | 0 | ||||||
|
| |||||||
Total Common Stock |
| 0 | ||||||
|
| |||||||
| ||||||||
Convertible Preferred Stock – 0.17% |
| |||||||
| ||||||||
Alcoa 5.375% exercise price $19.39, expiration date 10/1/17 | 5,800 | 193,720 | ||||||
Anadarko Petroleum 7.50% exercise price $69.84, expiration date 6/7/18 | 5,004 | 187,300 | ||||||
Bank of America 7.25% exercise price $50.00, expiration date 12/31/49 | 203 | 218,276 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Convertible Preferred Stock (continued) |
| |||||||
| ||||||||
Chesapeake Energy 5.75% exercise price $26.10, expiration date 12/31/49 | 292 | $ | 119,720 | |||||
Crown Castle International 4.50% exercise price $87.58, expiration date 11/1/16 | 3,400 | 346,324 | ||||||
Dominion Resources 6.125% exercise price $64.91, expiration date 4/1/16 | 5,082 | 281,085 | ||||||
Dynegy 5.375% exercise price $38.75, expiration date 11/1/17 @ | 2,990 | 233,579 | ||||||
Exelon 6.50% exercise price $43.75, expiration date 6/1/17 | 6,250 | 272,813 | ||||||
Halcon Resources 5.75% exercise price $6.16, expiration date 12/31/49 @ | 337 | 38,207 | ||||||
Huntington Bancshares 8.50% exercise price $11.95, expiration date 12/31/49 @ | 305 | 407,175 | ||||||
Intelsat 5.75% exercise price $22.05, expiration date 5/1/16 @ | 11,332 | 211,908 | ||||||
Maiden Holdings 7.25% exercise price $15.26, expiration date 9/15/16 | 9,264 | 470,009 | ||||||
T-Mobile US 5.50% exercise price $31.02, expiration date 12/15/17 | 3,927 | 271,199 | ||||||
Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49 | 321 | 374,928 | ||||||
|
| |||||||
Total Convertible Preferred Stock (cost $4,761,769) | 3,626,243 | |||||||
|
| |||||||
| ||||||||
Preferred Stock – 0.38% |
| |||||||
| ||||||||
Ally Financial 144A 7.00% # | 1,151 | 1,160,388 | ||||||
Bank of America 6.10% ● | 635,000 | 619,919 | ||||||
Citigroup 8.40% ● | 1,900,000 | 2,137,025 | ||||||
Integrys Energy Group 6.00% @● | 35,650 | 958,985 | ||||||
National Retail Properties 5.70% | 9,340 | 228,737 | ||||||
PNC Preferred Funding Trust II 144A 1.56% #● | 2,000,000 | 1,852,500 | ||||||
Public Storage 5.20% | 18,720 | 444,413 |
42
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Preferred Stock (continued) |
| |||||||
| ||||||||
USB Realty 144A 1.436% #● | 500,000 | $ | 455,000 | |||||
|
| |||||||
Total Preferred Stock |
| 7,856,967 | ||||||
|
| |||||||
Number of contracts | ||||||||
| ||||||||
Options Purchased – 0.03% |
| |||||||
| ||||||||
Fixed Income Put Options – 0.00% |
| |||||||
Fannie Mae TBA 4.50% 11/1/45 Euro Put, strike price $79, expiration date 11/5/15 @= | 32,000,000 | 0 | ||||||
U.S. Treasury 5 yr Notes strike price $110.75, expires 11/20/15 | 140 | 1,094 | ||||||
U.S. Treasury 5 yr Notes strike price $111, expires 11/20/15 | 376 | 2,938 | ||||||
|
| |||||||
4,032 | ||||||||
|
| |||||||
Put Swaptions – 0.03% |
| |||||||
10 yr IRS pay a fixed rate 2.58% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/12/16 @ | 4,400,000 | 45,214 | ||||||
10 yr IRS pay a fixed rate 2.58% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/23/16 @ | 10,300,000 | 112,394 | ||||||
30 yr IRS pay a fixed rate 2.905% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 8/20/18 @ | 4,400,000 | 427,566 | ||||||
|
| |||||||
585,174 | ||||||||
|
| |||||||
Total Options Purchased |
| 589,206 | ||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 6.53% |
| |||||||
| ||||||||
Discount Notes – 3.19%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.07% 10/5/15 | 24,300,100 | 24,300,051 | ||||||
0.105% 10/23/15 | 9,918,408 | 9,918,289 | ||||||
0.105% 11/3/15 | 3,137,980 | 3,137,823 | ||||||
0.14% 10/28/15 | 2,122,192 | 2,122,160 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Discount Notes≠ (continued) |
| |||||||
Federal Home Loan Bank | ||||||||
0.17% 1/21/16 | 8,541,346 | $ | 8,538,160 | |||||
0.185% 1/19/16 | 4,152,833 | 4,151,309 | ||||||
0.195% 12/2/15 | 5,881,824 | 5,880,812 | ||||||
0.295% 3/2/16 | 2,079,232 | 2,077,509 | ||||||
Freddie Mac 0.075% 10/1/15 | 5,660,282 | 5,660,282 | ||||||
|
| |||||||
65,786,395 | ||||||||
|
| |||||||
Discounted Commercial Papers – 0.33%≠ |
| |||||||
ENI Finance USA | ||||||||
1.297% 6/2/16 | 4,500,000 | 4,469,527 | ||||||
1.297% 6/3/16 | 2,300,000 | 2,279,883 | ||||||
|
| |||||||
6,749,410 | ||||||||
|
| |||||||
Repurchase Agreements – 3.01% |
| |||||||
Bank of America Merrill Lynch 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $10,960,020 (collateralized by U.S. government obligations 1.875%–3.625% 8/31/22–2/15/44; market value $11,179,199) | 10,959,999 | 10,959,999 | ||||||
Bank of Montreal 0.08%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $18,266,706 (collateralized by U.S. government obligations 1.75%–3.00% 10/31/18–8/15/45; market value $18,631,998) | 18,266,665 | 18,266,665 | ||||||
BNP Paribas 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $32,933,400 (collateralized by U.S. government obligations 0.00%–3.25% 10/8/15–11/15/44; market value $33,592,003) | 32,933,336 | 32,933,336 | ||||||
|
| |||||||
62,160,000 | ||||||||
|
| |||||||
Total Short-Term Investments | 134,695,805 | |||||||
|
|
(continues | ) | 43 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Total Value of Securities – 123.11% | $ | 2,540,823,994 | ||||||
Number of contracts | Value (U.S. $) | |||||||
| ||||||||
Options Written – (0.07%) |
| |||||||
| ||||||||
Currency Call Options – (0.02%) |
| |||||||
AUD vs USD strike price $0.725 expiration date 11/30/15 (BAML) @ | (3,100,000 | ) | (7,642 | ) | ||||
EUR vs USD strike price $1.172, expiration date 11/20/15 (CITI) @ | (7,900,000 | ) | (19,147 | ) | ||||
USD vs BRL strike price $4.50, expiration date 2/12/16 (JPMC) @ | (5,200,000 | ) | (188,526 | ) | ||||
USD vs BRL strike price $4.55, expiration date 3/17/16 (DB) @ | (2,900,000 | ) | (121,319 | ) | ||||
USD vs INR strike price $68, expiration date 10/29/15 (JPMC) @ | (1,500,000 | ) | (1,629 | ) | ||||
USD vs INR strike price $68.10, expiration date 10/29/15 (CITI) @ | (1,300,000 | ) | (1,435 | ) | ||||
USD vs INR strike price $68.50, expiration date 11/10/15 (BNP) @ | (5,300,000 | ) | (9,333 | ) | ||||
|
| |||||||
(349,031 | ) | |||||||
|
| |||||||
Currency Put Options – 0.00% |
| |||||||
USD vs BRL strike price $3.90, expiration date (DB) @ | (3,400,000 | ) | (54,063 | ) | ||||
|
| |||||||
(54,063 | ) | |||||||
|
| |||||||
Fixed Income Call Option – (0.01%) |
| |||||||
IMM Eurodollar Future strike price $98.75, expiration date 12/19/16 (MSC) | (199 | ) | (220,144 | ) | ||||
|
| |||||||
(220,144 | ) | |||||||
|
| |||||||
Fixed Income Put Options – (0.01%) |
| |||||||
Euro-Bund Futures exercise price $154, expiration date 10/23/15 (EURX) | (47 | ) | (17,331 | ) | ||||
Euro-Bund Futures exercise price $154.5, expiration date 10/23/15 (EURX) | (47 | ) | (12,604 | ) | ||||
IMM Eurodollar Future strike price $98.75, expiration date 12/19/16 (MSC) | (199 | ) | (69,650 | ) | ||||
|
| |||||||
(99,585 | ) | |||||||
|
|
Number of contracts | Value (U.S. $) | |||||||
| ||||||||
Options Written (continued) |
| |||||||
| ||||||||
Put Swaptions – (0.03%) |
| |||||||
2 yr IRS pay a fixed rate 2.50% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/12/16 (MSC) | (42,300,000 | ) | $ | (30,287 | ) | |||
2 yr IRS pay a fixed rate 2.50% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/23/16 (MSC) | (98,300,000 | ) | (75,888 | ) | ||||
5 yr IRS pay a fixed rate 1.80% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 12/16/15 (MSC) | (8,900,000 | ) | (18,583 | ) | ||||
5 yr IRS pay a fixed rate 2.80% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 8/20/18 (MSC) | (19,500,000 | ) | (374,654 | ) | ||||
7 yr IRS pay a fixed rate 1.90% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/29/15 (DB) | (8,600,000 | ) | (17,965 | ) | ||||
7 yr IRS pay a fixed rate 2.00% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 11/30/15 (MSC) | (8,700,000 | ) | (27,588 | ) | ||||
7 yr IRS pay a fixed rate 2.20% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 12/11/15 (DB) | (8,500,000 | ) | (14,076 | ) | ||||
7 yr IRS pay a fixed rate 2.16% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 12/14/15 (GSC) | (11,900,000 | ) | (25,133 | ) |
44
Table of Contents
Number of contracts | Value (U.S. $) | |||||||
| ||||||||
Options Written (continued) |
| |||||||
| ||||||||
Put Swaptions (continued) |
| |||||||
10 yr IRS pay a fixed rate 2.30% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 11/30/15 (MSC) | (8,700,000 | ) | $ | (38,785 | ) | |||
|
| |||||||
(622,959 | ) | |||||||
|
| |||||||
Total Options Written | (1,345,782 | ) | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Sept. 30, 2015, the aggregate value of Rule 144A securities was $322,315,364, which represents 15.62% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” | |
@ | Illiquid security. At Sept. 30, 2015, the aggregate value of illiquid securities was $ 34,338,191 which represents 1.66% 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. | |
T | 100% of the income received was in the form of cash. | |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At Sept. 30, 2015, 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, 2015. Interest rates reset periodically. | |
¥ | Fully or partially pledged as collateral for futures contracts and reverse repurchase agreements. | |
D | 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. | |
^ | 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 U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Interbank 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, 2015. | ||
f | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at Sept. 30, 2015. |
(continues | ) | 45 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
The following foreign currency exchange contracts, futures contracts, reverse repurchase agreements, and swap contracts were outstanding at Sept. 30, 2015:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BAML | AUD | (1,363,826 | ) | USD | 966,475 | 10/16/15 | $ | 10,064 | ||||||||||||
BAML | AUD | (6,974,000 | ) | USD | 5,016,167 | 11/12/15 | 132,647 | |||||||||||||
BAML | BRL | (10,023,552 | ) | USD | 2,486,000 | 11/4/15 | (10,521 | ) | ||||||||||||
BAML | CAD | (1,517,726 | ) | USD | 1,140,200 | 10/16/15 | 2,946 | |||||||||||||
BAML | CZK | (7,008,012 | ) | USD | 290,487 | 12/4/15 | 1,942 | |||||||||||||
BAML | EUR | 776,000 | USD | (871,711 | ) | 10/1/15 | (4,596 | ) | ||||||||||||
BAML | EUR | 399,094 | USD | (450,536 | ) | 10/16/15 | (4,478 | ) | ||||||||||||
BAML | EUR | (60,000 | ) | USD | 70,105 | 11/12/15 | 3,015 | |||||||||||||
BAML | GBP | 7,169,000 | USD | (10,899,036 | ) | 10/2/15 | (53,879 | ) | ||||||||||||
BAML | GBP | (7,169,000 | ) | USD | 10,897,367 | 11/3/15 | 53,920 | |||||||||||||
BAML | GBP | (236,000 | ) | USD | 370,344 | 11/12/15 | 13,401 | |||||||||||||
BAML | INR | 309,314,880 | USD | (4,802,280 | ) | 10/20/15 | (100,429 | ) | ||||||||||||
BAML | JPY | (119,167,019 | ) | USD | 982,042 | 10/16/15 | (11,540 | ) | ||||||||||||
BAML | JPY | (142,700,000 | ) | USD | 1,191,232 | 11/12/15 | 1,038 | |||||||||||||
BAML | KRW | 3,966,792,500 | USD | (3,340,935 | ) | 10/20/15 | 3,333 | |||||||||||||
BAML | MXN | (268,595,000 | ) | USD | 15,904,959 | 12/18/15 | 132,564 | |||||||||||||
BAML | MYR | (9,457,834 | ) | USD | 2,261,828 | 10/20/15 | 114,175 | |||||||||||||
BAML | NZD | (2,467,443 | ) | USD | 1,563,495 | 10/16/15 | (12,149 | ) | ||||||||||||
BAML | RUB | (4,689,720 | ) | USD | 71,478 | 10/7/15 | (101 | ) | ||||||||||||
BAML | RUB | 4,689,720 | USD | (70,548 | ) | 11/18/15 | 116 | |||||||||||||
BAML | TWD | (49,969,120 | ) | USD | 1,541,067 | 10/20/15 | 26,546 | |||||||||||||
BNP | AUD | (1,470,816 | ) | USD | 1,042,338 | 10/16/15 | 10,897 | |||||||||||||
BNP | BRL | (4,873,681 | ) | USD | 1,219,000 | 11/4/15 | 5,134 | |||||||||||||
BNP | CNY | 3,324,450 | USD | (513,468 | ) | 11/16/15 | 7,518 | |||||||||||||
BNP | CNY | (3,194,309 | ) | USD | 487,978 | 1/29/16 | (10,150 | ) | ||||||||||||
BNP | EUR | 3,536,000 | USD | (3,992,243 | ) | 11/12/15 | (38,445 | ) | ||||||||||||
BNP | JPY | (852,000,000 | ) | USD | 7,059,777 | 11/12/15 | (46,361 | ) | ||||||||||||
BNP | MXN | (170,177,755 | ) | USD | 10,000,161 | 12/18/15 | 7,010 | |||||||||||||
BNP | NOK | 595,114 | USD | (70,207 | ) | 10/1/15 | (304 | ) | ||||||||||||
BNP | NOK | (4,227,664 | ) | USD | 503,892 | 10/16/15 | 7,426 | |||||||||||||
CITI | AUD | 1,357,000 | USD | (945,003 | ) | 11/12/15 | 5,231 | |||||||||||||
CITI | BRL | (68,463,662 | ) | USD | 20,579,434 | 4/1/16 | 4,315,837 | |||||||||||||
CITI | CZK | (3,007,788 | ) | USD | 125,677 | 2/19/16 | 1,386 | |||||||||||||
CITI | DKK | (15,305,000 | ) | USD | 2,325,903 | 10/1/15 | 33,722 | |||||||||||||
CITI | DKK | (44,344,000 | ) | USD | 6,836,777 | 1/4/16 | 178,919 | |||||||||||||
CITI | EUR | (1,197,000 | ) | USD | 1,342,196 | 10/1/15 | 4,648 | |||||||||||||
CITI | EUR | 1,783,000 | USD | (1,992,671 | ) | 10/2/15 | (287 | ) | ||||||||||||
CITI | EUR | 28,367,000 | USD | (31,647,493 | ) | 11/12/15 | 71,221 | |||||||||||||
CITI | INR | 233,356,436 | USD | (3,587,339 | ) | 11/18/15 | (59,557 | ) | ||||||||||||
CITI | JPY | (113,600,000 | ) | USD | 912,076 | 11/12/15 | (35,409 | ) | ||||||||||||
CITI | KRW | (3,198,190,170 | ) | USD | 2,690,467 | 10/20/15 | (5,817 | ) | ||||||||||||
CITI | MYR | 2,151,360 | USD | (523,000 | ) | 10/20/15 | (34,476 | ) | ||||||||||||
CITI | PHP | (74,595,870 | ) | USD | 1,597,000 | 10/20/15 | 2,696 | |||||||||||||
CITI | SGD | 2,169,000 | USD | (1,522,265 | ) | 10/9/15 | 1,497 | |||||||||||||
CITI | TWD | (51,518,880 | ) | USD | 1,596,000 | 10/20/15 | 34,506 | |||||||||||||
CITI | TWD | 13,454,300 | USD | (415,000 | ) | 12/4/15 | (7,129 | ) | ||||||||||||
DB | BRL | (28,345,171 | ) | USD | 6,943,928 | 11/4/15 | (115,875 | ) | ||||||||||||
DB | CZK | (4,009,891 | ) | USD | 168,937 | 2/12/16 | 3,280 |
Counterparty | Contracts to | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
DB | EUR | (110,174,000 | ) | USD | 124,296,433 | 10/2/15 | $ | 1,184,227 | ||||||||||||
DB | JPY | 174,333,490 | USD | (1,454,000 | ) | 10/1/15 | (719 | ) | ||||||||||||
DB | JPY | 140,578,084 | USD | (1,170,000 | ) | 10/2/15 | 1,903 | |||||||||||||
DB | MXN | (4,554,597 | ) | USD | 270,022 | 10/16/15 | 1,212 | |||||||||||||
DB | MXN | (75,303,084 | ) | USD | 4,395,634 | 12/18/15 | (26,302 | ) | ||||||||||||
DB | MYR | 10,882,728 | USD | (2,566,076 | ) | 10/20/15 | (94,863 | ) | ||||||||||||
DB | RUB | 4,689,720 | USD | (71,653 | ) | 10/7/15 | (74 | ) | ||||||||||||
DB | THB | (18,658,500 | ) | USD | 518,291 | 10/20/15 | 6,118 | |||||||||||||
HSBC | GBP | (502,482 | ) | USD | 771,772 | 10/16/15 | 11,676 | |||||||||||||
JPMC | AUD | 5,611,000 | USD | (4,017,972 | ) | 11/12/15 | (88,888 | ) | ||||||||||||
JPMC | BRL | (4,089,390 | ) | USD | 1,006,000 | 2/17/16 | 21,838 | |||||||||||||
JPMC | BRL | (6,400,000 | ) | USD | 1,529,636 | 7/5/16 | 49,608 | |||||||||||||
JPMC | DKK | (14,000,000 | ) | USD | 2,192,810 | 10/1/15 | 96,075 | |||||||||||||
JPMC | EUR | 422,000 | USD | (472,918 | ) | 10/1/15 | (1,369 | ) | ||||||||||||
JPMC | EUR | 1,590,000 | USD | (1,779,146 | ) | 10/2/15 | (2,426 | ) | ||||||||||||
JPMC | EUR | 13,349,000 | USD | (15,094,158 | ) | 11/12/15 | (167,902 | ) | ||||||||||||
JPMC | GBP | (7,169,000 | ) | USD | 11,036,709 | 10/2/15 | 191,551 | |||||||||||||
JPMC | GBP | (176,000 | ) | USD | 269,897 | 11/12/15 | 3,702 | |||||||||||||
JPMC | INR | (114,137,430 | ) | USD | 1,727,000 | 10/20/15 | (7,987 | ) | ||||||||||||
JPMC | INR | (405,195,620 | ) | USD | 6,229,466 | 11/18/15 | 103,892 | |||||||||||||
JPMC | JPY | (174,284,444 | ) | USD | 1,448,870 | 10/1/15 | 6,930 | |||||||||||||
JPMC | JPY | 45,089,625 | USD | (375,000 | ) | 10/2/15 | 881 | |||||||||||||
JPMC | JPY | (4,572,000,000 | ) | USD | 38,129,559 | 11/4/15 | 476 | |||||||||||||
JPMC | JPY | 526,300,000 | USD | (4,371,795 | ) | 11/12/15 | 17,831 | |||||||||||||
JPMC | KRW | (1,037,881,750 | ) | USD | 875,627 | 10/16/15 | 497 | |||||||||||||
JPMC | KRW | (3,786,166,500 | ) | USD | 3,213,973 | 10/20/15 | 21,986 | |||||||||||||
JPMC | MXN | 20,721,278 | USD | (1,202,000 | ) | 12/18/15 | 14,792 | |||||||||||||
JPMC | MYR | (6,245,912 | ) | USD | 1,506,127 | 10/20/15 | 87,827 | |||||||||||||
JPMC | PLN | (864,314 | ) | USD | 228,917 | 10/16/15 | 1,577 | |||||||||||||
JPMC | SEK | (297,682 | ) | USD | 35,077 | 10/16/15 | (497 | ) | ||||||||||||
JPMC | SGD | (2,162,000 | ) | USD | 1,544,727 | 10/9/15 | 25,882 | |||||||||||||
JPMC | THB | 18,091,930 | USD | (502,274 | ) | 10/20/15 | (5,653 | ) | ||||||||||||
JPMC | TWD | 35,260,960 | USD | (1,082,288 | ) | 10/20/15 | (13,559 | ) | ||||||||||||
JPMC | TWD | 9,799,900 | USD | (302,000 | ) | 12/4/15 | (4,913 | ) | ||||||||||||
TD | CAD | 1,929,232 | USD | (1,451,554 | ) | 10/16/15 | (5,953 | ) | ||||||||||||
TD | EUR | (770,866 | ) | USD | 868,351 | 10/16/15 | 6,774 | |||||||||||||
TD | JPY | 60,018,033 | USD | (495,558 | ) | 10/16/15 | 4,856 | |||||||||||||
|
| |||||||||||||||||||
$ |
6,076,138 |
| ||||||||||||||||||
|
|
46
Table of Contents
Futures Contracts
Contracts to Buy (Sell) | Notional Cost (Proceeds) | Notional Value | Expiration | Unrealized Appreciation (Depreciation) | ||||||||||||
(1) | 90 Day Euro | $ | (245,098 | ) | $ | (245,613 | ) | 9/18/18 | $ | (515 | ) | |||||
(46) | 90 Day Euro | (11,296,339 | ) | (11,321,750 | ) | 3/20/18 | (25,411 | ) | ||||||||
(213) | 90 Day Euro | (52,555,866 | ) | (52,829,325 | ) | 9/20/16 | (273,459 | ) | ||||||||
(747) | 90 Day Euro | (184,995,674 | ) | (185,545,462 | ) | 6/14/16 | (549,788 | ) | ||||||||
(469) | 90 Day Euro | (115,352,726 | ) | (116,141,988 | ) | 12/20/16 | (789,262 | ) | ||||||||
(626) | 90 Day Euro | (153,389,042 | ) | (154,434,200 | ) | 9/19/17 | (1,045,158 | ) | ||||||||
89 | 90 Day Euro Euribor | 24,805,247 | 24,821,126 | 3/20/18 | 15,879 | |||||||||||
(132) | 90 Day Sterling | (24,561,256 | ) | (24,606,751 | ) | 3/22/18 | (45,495 | ) | ||||||||
(114) | 90 Day Sterling | (21,212,080 | ) | (21,309,490 | ) | 6/22/17 | (97,410 | ) | ||||||||
(711) | 90 Day Sterling | (132,499,562 | ) | (133,051,818 | ) | 6/16/17 | (552,256 | ) | ||||||||
69 | Australian 3 yr Bonds | 4,741,937 | 4,756,902 | 12/16/15 | 14,965 | |||||||||||
24 | Euro-Bobl | 3,442,906 | 3,460,007 | 12/9/15 | 17,101 | |||||||||||
157 | Euro-BTP | 23,369,997 | 23,909,598 | 12/9/15 | 539,601 | |||||||||||
69 | Euro-Bund | 11,869,622 | 12,042,342 | 12/8/15 | 172,720 | |||||||||||
377 | Euro-Schatz | 46,863,595 | 46,907,275 | 12/9/15 | 43,680 | |||||||||||
(117) | S&P 500 Emini | (11,348,154 | ) | (11,165,895 | ) | 12/21/15 | 182,259 | |||||||||
(869) | U.S. Treasury 10 yr Notes | (110,284,219 | ) | (111,870,172 | ) | 12/22/15 | (1,585,953 | ) | ||||||||
(66) | U.S. Treasury 2 yr Notes | (14,458,157 | ) | (14,456,062 | ) | 1/2/16 | 2,095 | |||||||||
2,082 | U.S. Treasury 5 yr Notes | 248,591,112 | 250,913,531 | 1/2/16 | 2,322,419 | |||||||||||
53 | U.S. Treasury Long Bonds | 7,961,965 | 8,339,219 | 12/22/15 | 377,254 | |||||||||||
|
| |||||||||||||||
$ | (460,551,792 | ) | $ | (1,276,734 | ) | |||||||||||
|
|
|
|
Swap Contracts
CDS Contracts2
Counterparty | Swap Referenced Obligation | Notional Value3 | Annual Protection Payments (Receipts) | Termination | Unrealized Appreciation (Depreciation)4 | |||||||||
Protection | ||||||||||||||
Purchased: | ||||||||||||||
JPMC - | ||||||||||||||
ICE | CDX.NA.HY.24 | 5,256,900 | 5.00% | 6/20/20 | $ | 146,630 | ||||||||
JPMC - iTraxx | ||||||||||||||
Europe | ||||||||||||||
Crossover | ||||||||||||||
Series 24 | ||||||||||||||
ICE | Version 1 | EUR 3,700,000 | 5.00% | 12/20/20 | 123,920 | |||||||||
JPMC | CDX.EM.23 | 5,276,000 | 1.00% | 6/20/20 | 151,743 | |||||||||
People’s | ||||||||||||||
Republic of | ||||||||||||||
JPMC | China | 2,114,000 | 1.00% | 9/20/20 | 17,084 | |||||||||
Protection Sold | ||||||||||||||
(Moody’s Rating): | ||||||||||||||
Brazil LA SP | ||||||||||||||
(Baa) | ||||||||||||||
BAML | 5 yr CDS | 4,400,000 | 1.00% | 12/20/20 | 57,073 |
Counterparty | Swap Referenced Obligation | Notional Value3 | Annual Protection Payments (Receipts) | Termination | Unrealized Appreciation (Depreciation)4 | |||||||||
BorgWarner | ||||||||||||||
(Baa) | ||||||||||||||
CITI | CDS | 2,800,000 | 1.00% | 12/20/20 | $ | (7,387 | ) | |||||||
Brazil LA SP | ||||||||||||||
(Baa) | ||||||||||||||
CITI | 5 yr CDS | 4,100,000 | 1.00% | 12/20/20 | 27,044 | |||||||||
Finmeccanica | ||||||||||||||
Finance (Ba) | ||||||||||||||
CITI | 5 yr CDS | EUR 300,000 | 5.00% | 3/20/19 | 8,513 | |||||||||
Mexico LA | ||||||||||||||
SP (A) | ||||||||||||||
CITI | 5 yr CDS | 1,900,000 | 1.00% | 9/20/20 | (16,443 | ) | ||||||||
Volvo | ||||||||||||||
Treasury | ||||||||||||||
(Baa) | ||||||||||||||
CITI | CDS | EUR 400,000 | 1.00% | 12/20/20 | 2,892 | |||||||||
JPMC - | ||||||||||||||
CDX.NA.HY.24 | ||||||||||||||
ICE | (Ba) | 13,860,000 | 5.00% | 6/20/20 | (432,116 | ) | ||||||||
JPMC - | ||||||||||||||
CDX.NA.HY.25 | ||||||||||||||
ICE | (Ba) | 400,000 | 5.00% | 12/20/20 | 374 | |||||||||
JPMC - | ||||||||||||||
CDX.NA.IG.24 | ||||||||||||||
ICE | (A) | 31,200,000 | 1.00% | 6/20/20 | (265,531 | ) | ||||||||
JPMC - | ||||||||||||||
CDX.NA.IG.25 | ||||||||||||||
ICE | (A) | 17,400,000 | 1.00% | 12/20/20 | (39,927 | ) | ||||||||
JPMC - iTraxx | ||||||||||||||
Europe | ||||||||||||||
Crossover | ||||||||||||||
Series 24 | ||||||||||||||
Version 1 | ||||||||||||||
ICE | (BB) | EUR 6,300,000 | 5.00% | 12/20/20 | (131,676 | ) | ||||||||
Mexico LA | ||||||||||||||
SP (A) | ||||||||||||||
JPMC | 5 yr CDS | 14,300,000 | 1.00% | 12/20/19 | (440,968 | ) | ||||||||
Mexico LA | ||||||||||||||
SP (A) | ||||||||||||||
JPMC | 5 yr CDS | 2,000,000 | 1.00% | 9/20/20 | (13,849 | ) | ||||||||
Republic of | ||||||||||||||
Brazil (Baa) | ||||||||||||||
JPMC | 5 yr CDS | 2,000,000 | 1.00% | 9/20/19 | (233,150 | ) | ||||||||
|
| |||||||||||||
Total |
$ |
(1,045,774 |
) | |||||||||||
|
|
(continues | ) | 47 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Inflation Swap Contracts5
Notional Value3 | Expiration Date | Description | Unrealized Appreciation (Depreciation) | |||||
4,400,000 | 9/23/16 | Agreement with BAML to receive the notional amount multiplied by the U.S. CPI Urban Consumers NSA and to pay the notional amount multiplied by the fixed rate of 0.415% | $ | 384 |
Interest Rate Swap Contracts6
Counter- | Swap Referenced Obligations | Notional Value3 | Fixed Interest Rate Received (Paid) | Variable Interest Rate Received (Paid) | Termi- nation Date | Unrealized Appreciation (Depreciation)4 | ||||||||||||||||
CME | JPMC - 2 yr | MXN | 139,300,000 | 4.04% | 3.342% | 2/3/17 | $ | 13,552 | ||||||||||||||
CME | JPMC - 5 yr | MXN | 209,200,000 | 5.27% | 3.328% | 2/5/20 | 14,837 | |||||||||||||||
CME | JPMC - 5 yr | 2,300,000 | 1.67% | 0.320% | 2/17/20 | (38,509) | ||||||||||||||||
CME | JPMC - 10 yr | MXN | 162,900,000 | 6.96% | 3.250% | 7/27/20 | 30,203 | |||||||||||||||
CME | JPMC - 10 yr | MXN | 126,600,000 | 5.00% | 3.436% | 9/2/20 | 43,960 | |||||||||||||||
CME | JPMC - 10 yr | 10,700,000 | 2.35% | 0.304% | 8/5/25 | (341,711) | ||||||||||||||||
CME | JPMC - 10 yr | 4,800,000 | 2.00% | 0.283% | 12/16/20 | (47,493) | ||||||||||||||||
CME | JPMC - 10 yr | MXN | 13,700,000 | 5.98% | 3.340% | 8/26/24 | (921) | |||||||||||||||
CME | JPMC - 10 yr | MXN | 30,600,000 | 6.53% | 3.342% | 6/5/25 | 11,501 | |||||||||||||||
CME | JPMC - 10 yr | 7,115,000 | 2.84% | 0.327% | 2/26/24 | (548,171) | ||||||||||||||||
CME | JPMC - 10 yr | 2,000,000 | 2.45% | 0.334% | 6/17/25 | (83,780) | ||||||||||||||||
CME | JPMC - 10 yr | 900,000 | 2.50% | 0.280% | 12/16/25 | (48,242) | ||||||||||||||||
CME | JPMC - 15 yr | MXN | 312,900,000 | 5.99% | 3.390% | 1/8/30 | (943,808) | |||||||||||||||
CME | JPMC - 15 yr | 17,700,000 | 0.50% | 0.130% | 6/18/16 | (18,533) | ||||||||||||||||
CME | JPMC - 2 yr | MXN | 96,300,000 | 4.39% | 3.322% | 7/28/17 | 11,348 | |||||||||||||||
CME | JPMC - 2 yr | GBP | 3,200,000 | 1.50% | 0.684% | 12/16/17 | (41,661) |
Counter- | Swap Referenced Obligations | Notional Value3 | Fixed Interest Rate Received (Paid) | Variable Interest Rate Received (Paid) | Termi- nation Date | Unrealized Appreciation (Depreciation)4 | ||||||||||||||||
CME | JPMC - 3 yr | 3,700,000 | 1.28% | 0.335% | 9/16/17 | $ | (37,999) | |||||||||||||||
CME | JPMC - 30 yr | 30,900,000 | 2.75% | 0.281% | 12/16/45 | (1,027,606) | ||||||||||||||||
CME | JPMC - 4 yr | 1,600,000 | 2.00% | 0.280% | 12/16/19 | (37,211) | ||||||||||||||||
CME | JPMC - 7 yr | 2,800,000 | 2.22% | 0.314% | 5/12/21 | (109,271) | ||||||||||||||||
CME | JPMC - 7 yr | 1,750,000 | 2.24% | 0.294% | 7/28/21 | (70,342) | ||||||||||||||||
CME | JPMC - 7 yr | 5,175,000 | 2.00% | 0.327% | 5/26/22 | (113,651) | ||||||||||||||||
CME | JPMC - 7 yr | 1,700,000 | 2.25% | 0.280% | 12/16/22 | (69,449) | ||||||||||||||||
CME | JPMC - 5 yr | MXN | 121,500,000 | 5.50% | 3.325% | 9/22/20 | 23,007 | |||||||||||||||
DB | Brazil CETIP | BRL | 61,200,000 | 15.51% | 0.000% | 7/1/16 | 15,728 | |||||||||||||||
DB | Brazil CETIP | BRL | 48,200,000 | 15.90% | 0.000% | 1/4/21 | 338,465 | |||||||||||||||
DB | Brazil CETIP | BRL | 900,000 | 12.81% | 0.000% | 1/4/21 | 34,728 | |||||||||||||||
GSC | Brazil CETIP | BRL | 66,600,000 | 15.70% | 0.000% | 1/2/17 | 30,686 | |||||||||||||||
JPMC | CME - 5 yr | MXN | 35,400,000 | 5.62% | 3.250% | 6/2/20 | 9,154 | |||||||||||||||
LCH | JPMC - 30 yr | 20,600,000 | 2.75% | 0.283% | 12/16/45 | (2,102,205) | ||||||||||||||||
LCH | JPMC - 5 yr | 61,900,000 | 2.00% | 0.281% | 12/16/20 | (1,819,594) | ||||||||||||||||
LCH | JPMC - 7 yr | 51,400,000 | 2.25% | 0.282% | 12/16/22 | (2,108,235) | ||||||||||||||||
LCH | JPMC - 10 yr | 5,100,000 | 2.50% | 0.280% | 12/16/25 | (278,509) | ||||||||||||||||
MSC | Brazil CETIP | BRL | 94,700,000 | 15.51% | 0.000% | 7/1/16 | 23,591 | |||||||||||||||
|
| |||||||||||||||||||||
$ | (9,286,141) | |||||||||||||||||||||
|
|
48
Table of Contents
Reverse Repurchase Agreements7
Counterparty | Interest | Trade | Maturity Date | Face Value | Repurchase Price | |||||||||||
BAML - U.S. Treasury Note | 0.55% | 9/15/15 | 10/7/15 | $ | (609,000 | ) | $ | (609,195 | ) | |||||||
BNP - HSBC Finance Senior Unsecured Note | 0.60% | 9/28/15 | 10/6/15 | (949,000 | ) | (949,095 | ) | |||||||||
RBC - Goldman Sachs Group Senior Unsecured Note | 0.45% | 9/29/15 | 10/7/15 | (1,721,000 | ) | (1,721,151 | ) | |||||||||
|
|
|
| |||||||||||||
$ | (3,279,000 | ) | $ | (3,279,441 | ) | |||||||||||
|
|
|
|
The use of foreign currency exchange contracts, futures contracts, reverse repurchase agreements, 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, notional values, and reverse repurchase agreements 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.
The type of underlying collateral and the remaining maturity of open reverse repurchase agreements in relation to the reverse repurchase agreements on the “Schedules of investments” is as follows:
Remaining Contracted Maturity of the Agreements
Reverse Repurchase Agreements | Up to 30 days | Total | ||||||
U.S. Treasury Obligations | $ | (609,000 | ) | $ | (609,000 | ) | ||
Corporate Bonds | (2,670,000 | ) | (2,670,000 | ) | ||||
|
|
|
| |||||
$ | (3,279,000 | ) | $ | (3,279,000 | ) | |||
|
|
|
|
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.
4Unrealized appreciation (depreciation) does not include periodic interest payments on swap contracts accrued daily in the amount of $(217,507).
5Inflation swap agreements involve commitments to pay a regular stream of inflation-indexed cash payments in exchange for receiving a stream of nominal interest payments (or vice versa), where both payment streams are based on notional amounts. The nominal interest payments may be based on either a fixed interest rate or variable interest rate such
as London Interbank Offered Rate (LIBOR). The change in value of swap contracts outstanding, if any, is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded on maturity or termination of the swap contract. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the index swap contract’s remaining life, to the extent that the amount is positive.
6An 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) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts.
7See Note 1 in “Notes to financial statements.”
Summary of abbreviations:
AMT – Subject to Alternative Minimum Tax ARM – Adjustable Rate Mortgage AUD – Australian Dollar BAML – Bank of America Merrill Lynch BBA – LIBOR – British Bankers Association Rate BNP – BNP Paribas BRL – Brazilian Real CAD – Canadian Dollar CDO – Collateralized Debt Obligation CDS – Credit Default Swap CDX.EM – Credit Default Swap Index Emerging Markets CDX.NA.HY – Credit Default Swap Index North America High Yield CDX.NA.IG – Credit Default Swap Index North America Investment Grade CITI – Citigroup Global Markets CLO – Collateralized Loan Obligation CME – Chicago Mercantile Exchange Inc. CNY – China Renminbi CPI – Consumer Price Index CZK – Czech Koruna DB – Deutsche Bank DKK – Danish Krone EUR – European Monetary Unit EURIBOR – Euro Interbank Offer Rate EURX – Euronext Exchange 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 – Intercontinental Exchange London Interbank Offered Rate IDR – Indonesian Rupiah IMM – International Monetary Market INR – Indian Rupee IRS – Interest Rate Swaptions |
(continues | ) | 49 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Summary of abbreviations: (continued)
JPMC – JPMorgan Chase Bank JPY – Japanese Yen KRW – South Korean Won LB – Lehman Brothers LCH – London Clearing House M – Month MASTR – Mortgage Asset Securitization Transactions, Inc. MBIA – MBIA Insurance Group MSC – Morgan Stanley Capital MXN – Mexican Peso MYR – Malaysian Ringgit NOK – Norwegian Krone NSA – Not Seasonally Adjusted NZD – New Zealand Dollar OIS – COMPOUND – Overnight Indexed Swaps Federal Funds Compound Rate PHP – Philippine Peso PIK – Payment-in-Kind PLN – Polish Zloty RBC – RBC Capital Markets REMIC – Real Estate Mortgage Investment Conduit RUB – Russian Ruble SEK – Swedish Krona SGD – Singapore Dollar S.F. – Single Family TBA – To be announced TD – Toronto Dominion Bank THB – Thailand Baht TIEE – Banxico – Interbank Equilibrium Interest Rate Banco de Mexico TWD – Taiwan Dollar UBS – Union Bank of Switzerland USD – U.S. Dollar yr – Year ZAR – South African Rand
See accompanying notes, which are an integral part of the financial statements |
50
Table of Contents
Optimum International Fund
September 30, 2015 (Unaudited)
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common Stock – 97.66%D |
| |||||||
| ||||||||
Australia – 1.95% | ||||||||
BHP Billiton ADR * | 69,694 | $ | 2,203,724 | |||||
Orora | 1,005,896 | 1,641,644 | ||||||
Qantas Airways † | 2,171,610 | 5,701,288 | ||||||
|
| |||||||
9,546,656 | ||||||||
|
| |||||||
Austria – 2.65% | ||||||||
Conwert Immobilien Invest *† | 197,586 | 2,669,261 | ||||||
Erste Group Bank † | 133,331 | 3,874,715 | ||||||
Schoeller-Bleckmann Oilfield Equipment * | 49,978 | 2,823,693 | ||||||
voestalpine | 106,114 | 3,648,467 | ||||||
|
| |||||||
13,016,136 | ||||||||
|
| |||||||
Belgium – 0.76% | ||||||||
Delhaize Group | 42,029 | 3,725,478 | ||||||
|
| |||||||
3,725,478 | ||||||||
|
| |||||||
Bermuda – 1.57% | ||||||||
Everest Re Group | 44,547 | 7,721,777 | ||||||
|
| |||||||
7,721,777 | ||||||||
|
| |||||||
Brazil – 1.33% | ||||||||
Banco Bradesco ADR | 258,198 | 1,383,941 | ||||||
Banco do Brasil | 309,000 | 1,171,257 | ||||||
JBS | 572,300 | 2,423,312 | ||||||
Qualicorp † | 416,767 | 1,544,010 | ||||||
|
| |||||||
6,522,520 | ||||||||
|
| |||||||
Canada – 3.86% | ||||||||
Bank of Nova Scotia | 11,600 | 511,393 | ||||||
BCE | 54,131 | 2,217,206 | ||||||
CGI Group Class A † | 85,300 | 3,090,603 | ||||||
Constellation Software | 2,300 | 964,071 | ||||||
Dominion Diamond | 143,800 | 1,536,654 | ||||||
Empire | 53,400 | 1,098,453 | ||||||
Magna International Class A | 116,422 | 5,584,452 | ||||||
Rogers Communications Class B * | 61,790 | 2,130,519 | ||||||
Sun Life Financial | 51,100 | 1,648,128 | ||||||
Tourmaline Oil † | 6,200 | 144,355 | ||||||
|
| |||||||
18,925,834 | ||||||||
|
| |||||||
China/Hong Kong – 6.17% |
| |||||||
Anhui Conch Cement * | 1,146,000 | 3,388,106 | ||||||
China Mobile | 75,000 | 897,721 | ||||||
China Oilfield Services * | 2,500,000 | 2,519,934 | ||||||
CLP Holdings | 821,500 | 7,022,885 | ||||||
Hong Kong Exchanges and Clearing | 90,400 | 2,073,840 |
Number of | Value | |||||||
shares | (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
China/Hong Kong (continued) |
| |||||||
Industrial & Commercial Bank of China | 4,455,000 | $ | 2,573,638 | |||||
Mindray Medical International ADR | 136,284 | 2,980,531 | ||||||
Orient Overseas International | 899,000 | 4,230,022 | ||||||
Swire Pacific Class A | 209,000 | 2,342,555 | ||||||
Weichai Power | 1,188,000 | 1,111,462 | ||||||
Yangzijiang Shipbuilding Holdings | 1,431,000 | 1,144,273 | ||||||
|
| |||||||
30,284,967 | ||||||||
|
| |||||||
Colombia – 0.41% | ||||||||
Bancolombia ADR | 62,509 | 2,012,790 | ||||||
|
| |||||||
2,012,790 | ||||||||
|
| |||||||
Czech Republic – 0.57% |
| |||||||
Komercni banka | 12,933 | 2,803,323 | ||||||
|
| |||||||
2,803,323 | ||||||||
|
| |||||||
Denmark – 0.56% | ||||||||
Pandora | 8,131 | 949,877 | ||||||
Vestas Wind Systems | 34,341 | 1,785,395 | ||||||
|
| |||||||
2,735,272 | ||||||||
|
| |||||||
Finland – 0.85% | ||||||||
Neste Oil | 181,169 | 4,169,592 | ||||||
|
| |||||||
4,169,592 | ||||||||
|
| |||||||
France – 3.54% | ||||||||
Christian Dior | 6,782 | 1,270,639 | ||||||
Derichebourg † | 184,871 | 531,764 | ||||||
ENGIE VVPR Strip =† | 8,820 | 0 | ||||||
Faurecia | 41,688 | 1,300,126 | ||||||
Gecina | 7,404 | 902,927 | ||||||
Ipsen | 20,818 | 1,291,415 | ||||||
IPSOS | 33,336 | 654,785 | ||||||
Metropole Television | 38,968 | 745,189 | ||||||
Peugeot † | 187,498 | 2,841,077 | ||||||
Societe Generale * | 79,006 | 3,530,857 | ||||||
Sodexo * | 37,865 | 3,141,819 | ||||||
Thales | 16,442 | 1,146,418 | ||||||
|
| |||||||
17,357,016 | ||||||||
|
| |||||||
Germany – 2.56% | ||||||||
Aurubis | 49,926 | 3,177,619 | ||||||
Deutsche Lufthansa † | 289,666 | 4,032,378 | ||||||
Merck | 10,453 | 925,470 | ||||||
Nordex † | 51,126 | 1,396,879 | ||||||
ProSiebenSat.1 Media | 13,980 | 686,217 |
(continues | ) | 51 |
Table of Contents
Schedules of investments
Optimum International Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Germany (continued) | ||||||||
Stroeer | 13,148 | $ | 774,938 | |||||
TUI | 84,474 | 1,547,960 | ||||||
|
| |||||||
12,541,461 | ||||||||
|
| |||||||
India – 3.18% | ||||||||
Britannia Industries | 23,968 | 1,129,970 | ||||||
Hindustan Unilever | 232,962 | 2,897,512 | ||||||
ICICI Bank ADR | 574,263 | 4,812,324 | ||||||
Maruti Suzuki India | 9,592 | 688,268 | ||||||
Tata Consultancy Services | 23,370 | 922,850 | ||||||
Yes Bank | 459,922 | 5,143,720 | ||||||
|
| |||||||
15,594,644 | ||||||||
|
| |||||||
Indonesia – 0.79% | ||||||||
Indofood Sukses Makmur | 4,242,700 | 1,596,717 | ||||||
Telekomunikasi Indonesia Persero | 12,715,200 | 2,296,380 | ||||||
|
| |||||||
3,893,097 | ||||||||
|
| |||||||
Ireland – 4.32% | ||||||||
ICON † | 181,540 | 12,883,894 | ||||||
Shire | 121,619 | 8,314,389 | ||||||
|
| |||||||
21,198,283 | ||||||||
|
| |||||||
Israel – 3.59% | ||||||||
Bank Hapoalim BM | 598,474 | 3,011,713 | ||||||
Check Point Software Technologies † | 24,062 | 1,908,838 | ||||||
Plus500 | 91,064 | 510,407 | ||||||
Taro Pharmaceutical Industries † | 18,954 | 2,708,337 | ||||||
Teva Pharmaceutical Industries ADR | 167,632 | 9,464,503 | ||||||
|
| |||||||
17,603,798 | ||||||||
|
| |||||||
Italy – 0.10% | ||||||||
La Doria | 45,778 | 497,908 | ||||||
|
| |||||||
497,908 | ||||||||
|
| |||||||
Japan – 18.65% | ||||||||
Adastria | 26,700 | 1,599,585 | ||||||
Aderans | 66,000 | 523,224 | ||||||
Alfresa Holdings | 29,100 | 496,974 | ||||||
Bandai Namco Holdings | 57,700 | 1,339,199 | ||||||
Chubu Electric Power | 179,800 | 2,651,124 | ||||||
CyberAgent | 24,500 | 958,448 | ||||||
Daiwa House Industry | 103,700 | 2,570,920 | ||||||
Daiwa Securities Group | 399,000 | 2,581,839 | ||||||
Denso | 176,700 | 7,485,125 | ||||||
Haseko | 118,300 | 1,340,200 | ||||||
Hitachi | 632,000 | 3,189,224 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Japan (continued) | ||||||||
Hokuetsu Kishu Paper | 100,300 | $ | 544,958 | |||||
Iida Group Holdings | 173,800 | 2,719,120 | ||||||
It Holdings | 24,900 | 564,893 | ||||||
Izumi | 23,900 | 967,480 | ||||||
Japan Airlines | 56,800 | 2,009,948 | ||||||
Kaken Pharmaceutical | 29,000 | 2,691,822 | ||||||
KDDI | 37,500 | 839,401 | ||||||
Kose | 17,600 | 1,606,406 | ||||||
Mixi | 18,600 | 636,575 | ||||||
Mizuho Financial Group | 3,808,600 | 7,124,671 | ||||||
Nexon | 133,500 | 1,784,913 | ||||||
Nichi-iko Pharmaceutical | 52,200 | 1,374,628 | ||||||
Nichirei | 191,000 | 1,196,560 | ||||||
Nippon Paper Industries | 54,500 | 831,959 | ||||||
Nippon Steel & Sumitomo Metal | 141,500 | 2,578,625 | ||||||
Nippon Telegraph & Telephone | 20,300 | 715,070 | ||||||
Nissha Printing | 91,800 | 1,755,032 | ||||||
NTT DATA | 25,300 | 1,275,593 | ||||||
NTT DOCOMO | 24,600 | 414,947 | ||||||
Otsuka Holdings | 81,800 | 2,612,110 | ||||||
SBI Holdings | 121,900 | 1,377,396 | ||||||
Secom | 98,400 | 5,918,077 | ||||||
Shimizu | 57,000 | 489,433 | ||||||
Shionogi | 46,500 | 1,666,870 | ||||||
Sumitomo Chemical | 112,000 | 566,377 | ||||||
Sumitomo Heavy Industries | 228,000 | 903,509 | ||||||
Sumitomo Mitsui Financial Group | 165,500 | 6,276,073 | ||||||
Suzuken | 32,700 | 1,090,494 | ||||||
T-Gaia | 127,500 | 1,986,634 | ||||||
Tokyo Electric Power † | 554,900 | 3,706,680 | ||||||
Tosoh | 160,000 | 770,046 | ||||||
Towa Pharmaceutical | 21,100 | 1,354,317 | ||||||
Toyota Motor | 64,300 | 3,764,788 | ||||||
Yamazaki Baking | 174,000 | 2,681,239 | ||||||
|
| |||||||
91,532,506 | ||||||||
|
| |||||||
Malaysia – 0.14% | ||||||||
Tenaga Nasional | 253,300 | 692,509 | ||||||
|
| |||||||
692,509 | ||||||||
|
| |||||||
Netherlands – 1.72% | ||||||||
Core Laboratories * | 62,329 | 6,220,434 | ||||||
Royal Dutch Shell Class A | 93,153 | 2,209,573 | ||||||
|
| |||||||
8,430,007 | ||||||||
|
| |||||||
New Zealand – 0.47% | ||||||||
Spark New Zealand | 690,389 | 1,319,432 |
52
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
New Zealand (continued) | ||||||||
Xero Private Placement † | 104,850 | $ | 1,005,537 | |||||
|
| |||||||
2,324,969 | ||||||||
|
| |||||||
Norway – 2.89% | ||||||||
DNB | 433,251 | 5,638,489 | ||||||
Norsk Hydro | 750,380 | 2,502,189 | ||||||
Statoil ADR * | 198,671 | 2,892,650 | ||||||
Subsea 7 *† | 187,461 | 1,411,093 | ||||||
Telenor | 92,220 | 1,723,276 | ||||||
|
| |||||||
14,167,697 | ||||||||
|
| |||||||
Peru – 0.36% | ||||||||
Credicorp | 16,483 | 1,753,132 | ||||||
|
| |||||||
1,753,132 | ||||||||
|
| |||||||
Republic of Korea – 3.17% |
| |||||||
Hyundai Mobis | 18,120 | 3,545,545 | ||||||
Korea Electric Power | 63,190 | 2,605,297 | ||||||
Samsung Electronics | 6,672 | 6,401,584 | ||||||
SK Hynix | 106,030 | 3,024,082 | ||||||
|
| |||||||
15,576,508 | ||||||||
|
| |||||||
Singapore – 2.66% | ||||||||
DBS Group Holdings | 500,200 | 5,709,654 | ||||||
SATS | 215,000 | 579,182 | ||||||
Singapore Airlines | 461,000 | 3,470,456 | ||||||
Singapore Exchange | 184,600 | 913,234 | ||||||
United Industrial | 1,117,000 | 2,401,982 | ||||||
|
| |||||||
13,074,508 | ||||||||
|
| |||||||
Spain – 1.69% | ||||||||
Amadeus IT Holding | 182,002 | 7,797,908 | ||||||
Gamesa Corp Tecnologica | 37,158 | 515,821 | ||||||
|
| |||||||
8,313,729 | ||||||||
|
| |||||||
Sweden – 1.02% | ||||||||
Getinge Class B * | 223,451 | 4,986,766 | ||||||
|
| |||||||
4,986,766 | ||||||||
|
| |||||||
Switzerland – 6.48% | ||||||||
Credit Suisse Group ADR † | 128,955 | 3,098,789 | ||||||
Galenica | 5,422 | 6,907,766 | ||||||
Lonza Group † | 51,962 | 6,817,543 | ||||||
Luxoft Holding † | 12,064 | 763,531 | ||||||
Novartis ADR | 75,039 | 6,897,585 | ||||||
Roche Holding | 26,168 | 6,946,147 | ||||||
Zehnder Group | 11,237 | 369,494 | ||||||
|
| |||||||
31,800,855 | ||||||||
|
| |||||||
Taiwan – 2.69% | ||||||||
Advanced Semiconductor Engineering | 4,528,000 | 4,923,553 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Taiwan (continued) | ||||||||
AU Optronics | 6,392,000 | $ | 1,888,584 | |||||
Taiwan Semiconductor Manufacturing | 1,598,000 | 6,391,167 | ||||||
|
| |||||||
13,203,304 | ||||||||
|
| |||||||
Thailand – 0.41% | ||||||||
PTT NVDR | 236,200 | 1,566,176 | ||||||
TRC Construction NVDR | 8,291,100 | 470,550 | ||||||
|
| |||||||
2,036,726 | ||||||||
|
| |||||||
Turkey – 0.97% | ||||||||
Akbank | 1,137,193 | 2,551,092 | ||||||
Turkiye Garanti Bankasi | 956,343 | 2,225,627 | ||||||
|
| |||||||
4,776,719 | ||||||||
|
| |||||||
United Kingdom – 12.62% |
| |||||||
Abcam | 102,032 | 897,285 | ||||||
ARM Holdings ADR | 236,298 | 10,219,889 | ||||||
Debenhams | 1,953,525 | 2,338,204 | ||||||
Diageo | 219,140 | 5,887,812 | ||||||
DS Smith | 252,764 | 1,510,023 | ||||||
Great Portland Estates | 251,763 | 3,259,089 | ||||||
Hikma Pharmaceuticals | 18,660 | 644,608 | ||||||
HSBC Holdings | 308,909 | 2,330,399 | ||||||
Inchcape | 208,795 | 2,275,248 | ||||||
Indivior | 216,374 | 743,206 | ||||||
International Consolidated Airlines Group † | 483,383 | 4,318,138 | ||||||
Investec | 329,179 | 2,520,576 | ||||||
ITV | 988,165 | 3,682,473 | ||||||
Land Securities Group | 74,437 | 1,419,110 | ||||||
Legal & General Group | 758,466 | 2,734,946 | ||||||
Mondi | 267,988 | 5,616,996 | ||||||
Persimmon † | 164,019 | 4,992,307 | ||||||
Playtech | 114,385 | 1,436,366 | ||||||
Project White =† | 71,072 | 1,720,284 | ||||||
Rio Tinto ADR | 100,589 | 3,401,920 | ||||||
|
| |||||||
61,948,879 | ||||||||
|
| |||||||
United States – 2.96% | ||||||||
Carnival | 143,821 | 7,147,904 | ||||||
Carnival - London Stock Exchange | 70,302 | 3,637,305 | ||||||
Eros International † | 16,299 | 443,170 | ||||||
Project Star =† | 142 | 2,494,330 | ||||||
Project Star Series G =† | 47 | 825,588 | ||||||
|
| |||||||
14,548,297 | ||||||||
|
| |||||||
Total Common Stock | 479,317,663 | |||||||
|
|
(continues | ) | 53 |
Table of Contents
Schedules of investments
Optimum International Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments – 1.76% |
| |||||||
| ||||||||
Discount Notes – 1.19%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.07% 10/5/15 | 2,148,989 | $ | 2,148,985 | |||||
0.103% 10/23/15 | 1,185,818 | 1,185,803 | ||||||
0.105% 11/3/15 | 223,647 | 223,636 | ||||||
0.14% 10/28/15 | 155,722 | 155,719 | ||||||
0.17% 1/21/16 | 349,976 | 349,845 | ||||||
0.185% 1/19/16 | 315,226 | 315,111 | ||||||
0.195% 12/2/15 | 446,468 | 446,391 | ||||||
0.295% 3/2/16 | 152,570 | 152,443 | ||||||
Freddie Mac | ||||||||
0.075% 10/1/15 | 860,457 | 860,457 | ||||||
|
| |||||||
5,838,390 | ||||||||
|
| |||||||
Repurchase Agreements – 0.57% |
| |||||||
Bank of America Merrill Lynch 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $491,755 (collateralized by U.S. government obligations 1.875%–3.625% 8/31/22–2/15/44; market value $501,589) | 491,754 | 491,754 | ||||||
Bank of Montreal 0.08%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $819,592 (collateralized by U.S. government obligations 1.75%–3.00% 10/31/18–8/15/45; market value $835,982) | 819,590 | 819,590 | ||||||
BNP Paribas 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $1,477,658 (collateralized by U.S. government obligations 0.00%–3.25% 10/8/15–11/15/44; market value $1,507,209) | 1,477,656 | 1,477,656 | ||||||
|
| |||||||
2,789,000 | ||||||||
|
| |||||||
Total Short-Term Investments | 8,627,390 | |||||||
|
|
Value (U.S. $) | ||||||||
| ||||||||
Total Value of Securities Before Securities Lending Collateral – 99.42% | $ | 487,945,053 | ||||||
|
| |||||||
Number of shares | ||||||||
| ||||||||
Securities Lending Collateral** – 5.19% |
| |||||||
| ||||||||
Investment Company Delaware Investments® Collateral Fund No. 1 | 25,477,313 | 25,477,313 | ||||||
|
| |||||||
Total Securities Lending Collateral | 25,477,313 | |||||||
|
| |||||||
Total Value of | $ | 513,422,366 | ||||||
|
|
* | Fully or partially on loan. | |
** | See Note 7 in “Notes to financial statements” for additional information on securities lending collateral and non-cash collateral. | |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At Sept. 30, 2015, the aggregate value of fair valued securities was $5,040,202, which represents 1.03% 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 $25,873,541 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.” |
54
Table of Contents
The following foreign currency exchange contracts were outstanding at Sept. 30, 2015:1
Foreign Currency Exchange Contracts
Counterparty | Contract to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
BBH | AUD | (1,229,742 | ) | USD | 861,223 | 10/6/15 | $ | (1,643 | ) | |||||
BBH | JPY | 59,455,581 | USD | (495,728 | ) | 10/5/15 | (70 | ) | ||||||
BNYM | INR | 60,634,974 | USD | (926,354 | ) | 10/1/15 | (1,356 | ) | ||||||
BNYM | KRW | (1,915,031,703 | ) | USD | 1,617,828 | 10/2/15 | 2,268 | |||||||
BNYM | THB | (1,275,480 | ) | USD | 34,973 | 10/1/15 | (111 | ) | ||||||
SSB | AUD | (1,244,335 | ) | USD | 871,584 | 10/1/15 | (1,765 | ) | ||||||
SSB | HKD | 3,524,261 | USD | (454,743 | ) | 10/5/15 | (10 | ) | ||||||
|
| |||||||||||||
$ | (2,687 | ) | ||||||||||||
|
|
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 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
AUD – Australian Dollar
BBH – Brown Brothers Harriman
BNYM – BNY Mellon
HKD – Hong Kong Dollar
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
SSB – State Street Bank
THB – Thailand Baht
See accompanying notes, which are an integral part of the financial statements.
55 |
Table of Contents
Schedules of investments
Optimum Large Cap Growth Fund
September 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 95.56%² |
| |||||||
| ||||||||
Consumer Discretionary – 23.30% |
| |||||||
Amazon.com † | 138,000 | $ | 70,640,820 | |||||
AutoZone † | 12,800 | 9,265,024 | ||||||
BorgWarner | 118,800 | 4,940,892 | ||||||
CarMax † | 98,300 | 5,831,156 | ||||||
Chipotle Mexican Grill † | 10,300 | 7,418,575 | ||||||
Church & Dwight | 42,750 | 3,586,725 | ||||||
Comcast Class A | 185,300 | 10,539,864 | ||||||
Delphi Automotive (United Kingdom) | 170,300 | 12,949,612 | ||||||
Disney (Walt) | 190,450 | 19,463,990 | ||||||
Dollar General | 100,750 | 7,298,330 | ||||||
Dollar Tree † | 22,150 | 1,476,519 | ||||||
Flipkart Limited @=† | 1,530 | 206,746 | ||||||
Flipkart Limited Series A @=† | 522 | 70,537 | ||||||
Flipkart Limited Series C @=† | 921 | 124,453 | ||||||
Flipkart Limited Series E @=† | 1,712 | 231,339 | ||||||
Flipkart Limited Series G =† | 7,188 | 971,300 | ||||||
Flipkart Limited Series H @=† | 6,977 | 942,788 | ||||||
Hanesbrands | 250,400 | 7,246,576 | ||||||
Hilton Worldwide Holdings | 150,200 | 3,445,588 | ||||||
Home Depot | 97,423 | 11,251,382 | ||||||
Keurig Green Mountain | 66,000 | 3,441,240 | ||||||
Las Vegas Sands | 74,800 | 2,840,156 | ||||||
Lowe’s | 182,700 | 12,591,684 | ||||||
Marriott International Class A | 56,000 | 3,819,200 | ||||||
McDonald’s | 91,700 | 9,035,201 | ||||||
MGM Resorts International † | 405,470 | 7,480,921 | ||||||
Netflix † | 69,700 | 7,197,222 | ||||||
NIKE Class B | 88,700 | 10,907,439 | ||||||
Norwegian Cruise Line Holdings † | 136,200 | 7,804,260 | ||||||
Pandora Media † | 100,700 | 2,148,938 | ||||||
Priceline Group † | 22,900 | 28,324,094 | ||||||
PVH | 21,950 | 2,237,583 | ||||||
Ross Stores | 102,600 | 4,973,022 | ||||||
Royal Caribbean Cruises | 114,950 | 10,240,895 | ||||||
Signet Jewelers (Bermuda) | 34,700 | 4,723,711 | ||||||
Tesla Motors † | 47,270 | 11,741,868 | ||||||
Time Warner | 92,800 | 6,380,000 | ||||||
Tractor Supply | 90,500 | 7,630,960 | ||||||
VF | 67,450 | 4,600,765 | ||||||
Walgreens Boots Alliance | 162,600 | 13,512,060 | ||||||
Yum! Brands | 150,100 | 12,000,495 | ||||||
|
| |||||||
351,533,930 | ||||||||
|
| |||||||
Consumer Staples – 4.92% |
| |||||||
Altria Group | 84,800 | 4,613,120 | ||||||
Anheuser-Busch InBev ADR | 43,750 | 4,651,500 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Consumer Staples (continued) |
| |||||||
Costco Wholesale | 16,200 | $ | 2,342,034 | |||||
CVS Health | 136,700 | 13,188,816 | ||||||
Estee Lauder | 41,700 | 3,364,356 | ||||||
Jarden † | 178,800 | 8,739,744 | ||||||
Kroger | 185,800 | 6,701,806 | ||||||
Molson Coors Brewing Class B | 95,500 | 7,928,410 | ||||||
PepsiCo | 72,950 | 6,879,185 | ||||||
Starbucks | 279,700 | 15,898,148 | ||||||
|
| |||||||
74,307,119 | ||||||||
|
| |||||||
Energy – 1.23% |
| |||||||
Anadarko Petroleum | 60,050 | 3,626,419 | ||||||
Baker Hughes | 96,900 | 5,042,676 | ||||||
Concho Resources † | 14,200 | 1,395,860 | ||||||
EOG Resources | 44,050 | 3,206,840 | ||||||
EQT | 19,500 | 1,263,015 | ||||||
Pioneer Natural Resources | 16,100 | 1,958,404 | ||||||
SunEdison † | 182,000 | 1,306,760 | ||||||
TerraForm Global † | 118,100 | 786,546 | ||||||
|
| |||||||
18,586,520 | ||||||||
|
| |||||||
Financials – 4.46% |
| |||||||
American Tower | 112,800 | 9,924,144 | ||||||
Bank of America | 394,549 | 6,147,073 | ||||||
BlackRock | 9,200 | 2,736,724 | ||||||
Blackstone Mortgage Trust | 191,650 | 5,258,876 | ||||||
Citigroup | 52,100 | 2,584,681 | ||||||
Citizens Financial Group | 176,900 | 4,220,834 | ||||||
Crown Castle International | 70,000 | 5,520,900 | ||||||
E*TRADE Financial † | 51,100 | 1,345,463 | ||||||
Hartford Financial Services Group | 45,900 | 2,101,302 | ||||||
Intercontinental Exchange | 28,900 | 6,791,211 | ||||||
LendingClub † | 118,950 | 1,573,709 | ||||||
Morgan Stanley | 319,700 | 10,070,550 | ||||||
State Street | 76,000 | 5,107,960 | ||||||
TD Ameritrade Holding | 118,100 | 3,760,304 | ||||||
WeWork Companies =† | 2,473 | 77,269 | ||||||
|
| |||||||
67,221,000 | ||||||||
|
| |||||||
Healthcare – 20.89% |
| |||||||
ACADIA Pharmaceuticals † | 31,800 | 1,051,626 | ||||||
Aetna | 20,550 | 2,248,375 | ||||||
Alexion Pharmaceuticals † | 94,000 | 14,700,660 | ||||||
Allergan † | 164,468 | 44,704,047 | ||||||
Amgen | 37,500 | 5,187,000 | ||||||
Anthem | 70,400 | 9,856,000 | ||||||
Biogen † | 42,100 | 12,285,201 | ||||||
BioMarin Pharmaceutical † | 64,450 | 6,787,874 |
56
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Healthcare (continued) |
| |||||||
Bristol-Myers Squibb | 299,500 | $ | 17,730,400 | |||||
Celgene † | 207,250 | 22,418,233 | ||||||
Cigna | 67,895 | 9,167,183 | ||||||
Edwards Lifesciences † | 43,050 | 6,120,419 | ||||||
Eli Lilly | 48,100 | 4,025,489 | ||||||
Gilead Sciences | 255,800 | 25,117,002 | ||||||
HCA Holdings † | 126,959 | 9,821,548 | ||||||
Hologic † | 123,250 | 4,822,773 | ||||||
Humana | 39,000 | 6,981,000 | ||||||
Illumina † | 8,050 | 1,415,351 | ||||||
Incyte † | 105,250 | 11,612,233 | ||||||
Intercept Pharmaceuticals † | 14,250 | 2,363,505 | ||||||
Intuitive Surgical † | 21,400 | 9,835,012 | ||||||
Mallinckrodt (Ireland) † | 18,950 | 1,211,663 | ||||||
McKesson | 56,900 | 10,528,207 | ||||||
Regeneron Pharmaceuticals † | 18,450 | 8,581,833 | ||||||
Rite Aid † | 209,750 | 1,273,183 | ||||||
Shire ADR | 21,200 | 4,350,876 | ||||||
Thermo Fisher Scientific | 77,550 | 9,482,814 | ||||||
United Therapeutics † | 10,750 | 1,410,830 | ||||||
UnitedHealth Group | 159,800 | 18,538,398 | ||||||
Valeant Pharmaceuticals International (Canada) † | 89,000 | 15,875,820 | ||||||
Vertex Pharmaceuticals † | 150,550 | 15,678,277 | ||||||
|
| |||||||
315,182,832 | ||||||||
|
| |||||||
Industrials – 9.22% |
| |||||||
American Airlines Group | 302,800 | 11,757,724 | ||||||
Boeing | 126,000 | 16,499,700 | ||||||
Canadian Pacific Railway (Canada) | 44,300 | 6,360,151 | ||||||
Danaher | 331,250 | 28,225,813 | ||||||
FedEx | 33,800 | 4,866,524 | ||||||
Flowserve | 76,700 | 3,155,438 | ||||||
General Electric | 60,400 | 1,523,288 | ||||||
HD Supply Holdings † | 174,100 | 4,982,742 | ||||||
Honeywell International | 97,700 | 9,251,213 | ||||||
JB Hunt Transport Services | 9,900 | 706,860 | ||||||
Lockheed Martin | 15,250 | 3,161,477 | ||||||
Martin Marietta Materials | 18,100 | 2,750,295 | ||||||
McGraw Hill Financial | 21,900 | 1,894,350 | ||||||
Mobileye (Israel) † | 102,600 | 4,666,248 | ||||||
Roper Technologies | 48,300 | 7,568,610 | ||||||
Tyco International (Switzerland) | 61,950 | 2,072,847 | ||||||
Union Pacific | 84,950 | 7,510,429 | ||||||
United Continental Holdings † | 164,150 | 8,708,157 | ||||||
United Parcel Service Class B | 73,300 | 7,233,977 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Industrials (continued) |
| |||||||
Wabtec | 71,300 | $ | 6,277,965 | |||||
|
| |||||||
139,173,808 | ||||||||
|
| |||||||
Information Technology – 30.17% |
| |||||||
Adobe Systems † | 70,500 | 5,796,510 | ||||||
Akamai Technologies † | 51,000 | 3,522,060 | ||||||
Alibaba Group Holding ADR † | 100,105 | 5,903,192 | ||||||
Alliance Data Systems † | 27,685 | 7,169,861 | ||||||
Apple | 526,550 | 58,078,465 | ||||||
Arista Networks † | 46,500 | 2,845,335 | ||||||
ASML Holding (Netherlands) | 25,400 | 2,234,692 | ||||||
Avago Technologies (Singapore) | 67,300 | 8,413,173 | ||||||
Broadcom Class A | 140,350 | 7,218,201 | ||||||
Cisco Systems | 88,700 | 2,328,375 | ||||||
Ctrip.com International ADR † | 43,650 | 2,757,807 | ||||||
Dropbox Class A =† | 61,727 | 1,187,661 | ||||||
Facebook Class A † | 608,379 | 54,693,272 | ||||||
Fiserv † | 83,200 | 7,205,952 | ||||||
Google Class A † | 37,800 | 24,130,386 | ||||||
Google Class C † | 94,128 | 57,269,358 | ||||||
GrubHub † | 63,000 | 1,533,420 | ||||||
IHS Class A † | 8,600 | 997,600 | ||||||
LinkedIn Class A † | 66,700 | 12,681,671 | ||||||
MasterCard Class A | 233,900 | 21,079,068 | ||||||
Microsoft | 968,050 | 42,845,893 | ||||||
NetSuite † | 33,500 | 2,810,650 | ||||||
NXP Semiconductor (Netherlands) † | 82,100 | 7,148,447 | ||||||
Palo Alto Networks † | 13,100 | 2,253,200 | ||||||
Red Hat † | 48,800 | 3,507,744 | ||||||
salesforce.com † | 297,250 | 20,638,067 | ||||||
SBA Communications Class A † | 61,900 | 6,483,406 | ||||||
ServiceNow † | 110,430 | 7,669,363 | ||||||
Tencent Holdings (China) (Hong Kong Exchange) | 506,800 | 8,542,810 | ||||||
VeriSign † | 58,700 | 4,141,872 | ||||||
Vipshop Holdings ADR † | 360,100 | 6,049,680 | ||||||
Visa Class A | 642,850 | 44,780,931 | ||||||
Western Digital | 64,700 | 5,139,768 | ||||||
Yahoo † | 215,500 | 6,230,105 | ||||||
|
| |||||||
455,287,995 | ||||||||
|
| |||||||
Materials – 0.98% |
| |||||||
Air Products & Chemicals | 35,100 | 4,478,058 | ||||||
Ashland | 45,400 | 4,568,148 | ||||||
PPG Industries | 46,650 | 4,090,739 |
(continues | ) | 57 |
Table of Contents
Schedules of investments
Optimum Large Cap Growth Fund
Number of shares | Value (U.S. $) | |||||||||
| ||||||||||
Common Stock² (continued) |
| |||||||||
| ||||||||||
Materials (continued) |
| |||||||||
Sherwin-Williams | 7,700 | $ | 1,715,406 | |||||||
|
| |||||||||
14,852,351 | ||||||||||
|
| |||||||||
Telecommunication Services – 0.21% |
| |||||||||
ARRIS Group † | 58,100 | 1,508,857 | ||||||||
Level 3 Communications † | 36,250 | 1,583,763 | ||||||||
|
| |||||||||
3,092,620 | ||||||||||
|
| |||||||||
Utilities – 0.18% |
| |||||||||
Sempra Energy | 28,600 | 2,766,192 | ||||||||
|
| |||||||||
2,766,192 | ||||||||||
|
| |||||||||
Total Common Stock | 1,442,004,367 | |||||||||
|
| |||||||||
| ||||||||||
Convertible Preferred Stock – 0.26% |
| |||||||||
| ||||||||||
Airbnb Private Placement =† | 36,741 | 3,249,363 | ||||||||
LivingSocial Private Placement Series F @=† | 14,824 | 1,243 | ||||||||
WeWork Companies Series E † | 22,244 | 695,014 | ||||||||
|
| |||||||||
Total Convertible Preferred |
| 3,945,620 | ||||||||
|
| |||||||||
| ||||||||||
U.S. Master Limited Partnerships – 0.47% |
| |||||||||
| ||||||||||
Blackstone Group | 193,050 | 6,113,893 | ||||||||
Carlyle Group | 63,150 | 1,060,920 | ||||||||
|
| |||||||||
Total U.S. Master Limited Partnerships |
| 7,174,813 | ||||||||
|
| |||||||||
Principal | ||||||||||
| ||||||||||
Short-Term Investments – 3.54% |
| |||||||||
| ||||||||||
Discount Notes – 1.33%≠ |
| |||||||||
Federal Home Loan Bank | ||||||||||
0.07% 10/5/15 | 5,711,494 | 5,711,483 | ||||||||
0.105% 11/3/15 | 2,550,158 | 2,550,031 | ||||||||
0.106% 10/23/15 | 3,028,478 | 3,028,442 | ||||||||
0.14% 10/28/15 | 920,818 | 920,804 | ||||||||
0.17% 1/21/16 | 3,585,964 | 3,584,626 | ||||||||
0.185% 1/19/16 | 1,174,437 | 1,174,006 | ||||||||
0.195% 12/2/15 | 1,663,401 | 1,663,115 | ||||||||
0.295% 3/2/16 | 902,178 | 901,430 | ||||||||
Freddie Mac 0.075% 10/1/15 | 517,164 | 517,164 | ||||||||
|
| |||||||||
20,051,101 | ||||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Short-Term Investments (continued) |
| |||||||||
| ||||||||||
Repurchase Agreements – 2.21% |
| |||||||||
Bank of America Merrill Lynch 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $5,874,790 (collateralized by U.S. government obligations 1.875%–3.625% 8/31/22–2/15/44; market value $5,992,274) | 5,874,778 | $ | 5,874,778 | |||||||
Bank of Montreal 0.08%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $9,791,319 (collateralized by U.S. government obligations 1.75%–3.00% 10/31/18–8/15/45; market value $9,987,123) | 9,791,297 | 9,791,297 | ||||||||
BNP Paribas 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $17,652,959 (collateralized by U.S. government obligations 0.00%–3.25% 10/8/15–11/15/44; market value $18,005,983) | 17,652,925 | 17,652,925 | ||||||||
|
| |||||||||
33,319,000 | ||||||||||
|
| |||||||||
Total Short-Term Investments | 53,370,101 | |||||||||
|
| |||||||||
Total Value of Securities – 99.83% | $ | 1,506,494,901 | ||||||||
|
|
@ | Illiquid security. At Sept. 30, 2015, the aggregate value of illiquid securities was $1,577,106, which represents 0.10% 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, 2015, the aggregate value of fair valued securities was $7,062,699, which represents 0.47% 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. |
58
Table of Contents
† Non-income-producing security.
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
59 |
Table of Contents
Schedules of investments
Optimum Large Cap Value Fund
September 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 97.65%² |
| |||||||
| ||||||||
Consumer Discretionary – 8.47% |
| |||||||
Advance Auto Parts | 13,735 | $ | 2,603,195 | |||||
Bed Bath & Beyond † | 24,278 | 1,384,332 | ||||||
Comcast Class A Special | 140,011 | 8,014,230 | ||||||
Delphi Automotive (United Kingdom) | 66,153 | 5,030,274 | ||||||
Disney (Walt) | 38,819 | 3,967,302 | ||||||
Hasbro | 26,368 | 1,902,188 | ||||||
Johnson Controls | 136,472 | 5,644,482 | ||||||
Kohl’s | 18,212 | 843,398 | ||||||
McDonald’s | 34,623 | 3,411,404 | ||||||
Newell Rubbermaid | 35,932 | 1,426,860 | ||||||
Omnicom Group | 112,294 | 7,400,175 | ||||||
Ross Stores | 75,408 | 3,655,026 | ||||||
Target | 96,249 | 7,570,946 | ||||||
Time | 7,276 | 138,608 | ||||||
Time Warner | 79,856 | 5,490,100 | ||||||
TJX | 303,337 | 21,664,329 | ||||||
Verisk Analytics Class A † | 198,113 | 14,642,532 | ||||||
Viacom Class B | 57,966 | 2,501,233 | ||||||
Yum Brands | 74,654 | 5,968,587 | �� | |||||
|
| |||||||
103,259,201 | ||||||||
|
| |||||||
Consumer Staples – 11.24% |
| |||||||
Altria Group | 430,629 | 23,426,218 | ||||||
Archer-Daniels-Midland | 44,593 | 1,848,380 | ||||||
Campbell Soup | 385,269 | 19,525,433 | ||||||
Colgate-Palmolive | 45,667 | 2,898,028 | ||||||
CVS Health | 120,001 | 11,577,696 | ||||||
Danone (France) | 73,672 | 4,650,409 | ||||||
Diageo (United Kingdom) | 319,950 | 8,596,355 | ||||||
General Mills | 178,773 | 10,034,528 | ||||||
Imperial Tobacco Group (United Kingdom) | 24,022 | 1,241,950 | ||||||
Kellogg | 4,712 | 313,584 | ||||||
Nestle (Switzerland) | 146,893 | 11,046,056 | ||||||
Philip Morris International | 474,486 | 37,640,974 | ||||||
Procter & Gamble | 41,452 | 2,982,057 | ||||||
Reynolds American | 28,943 | 1,281,307 | ||||||
|
| |||||||
137,062,975 | ||||||||
|
| |||||||
Energy – 12.75% |
| |||||||
Apache | 219,219 | 8,584,616 | ||||||
Baker Hughes | 10,302 | 536,116 | ||||||
Chesapeake Energy | 620,574 | 4,548,807 | ||||||
Chevron | 90,038 | 7,102,197 | ||||||
Continental Resources † | 339,290 | 9,829,231 | ||||||
EOG Resources | 35,516 | 2,585,565 | ||||||
Exxon Mobil | 347,738 | 25,854,320 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Energy (continued) |
| |||||||
Halliburton | 430,949 | $ | 15,234,047 | |||||
Marathon Petroleum | 395,656 | 18,330,742 | ||||||
National Oilwell Varco | 85,690 | 3,226,230 | ||||||
Noble (United Kingdom) | 892,797 | 9,740,415 | ||||||
Occidental Petroleum | 91,873 | 6,077,399 | ||||||
Schlumberger | 69,672 | 4,805,278 | ||||||
SM Energy | 312,682 | 10,018,331 | ||||||
Tesoro | 132,894 | 12,922,613 | ||||||
Valero Energy | 266,727 | 16,030,293 | ||||||
|
| |||||||
155,426,200 | ||||||||
|
| |||||||
Financials – 25.08% |
| |||||||
ACE (Switzerland) | 67,693 | 6,999,456 | ||||||
American Express | 254,995 | 18,902,779 | ||||||
Aon (United Kingdom) | 84,621 | 7,498,267 | ||||||
Apartment Investment & Management | 411,776 | 15,243,948 | ||||||
Bank of New York Mellon | 206,190 | 8,072,340 | ||||||
BlackRock | 18,941 | 5,634,379 | ||||||
CBOE Holdings | 328,248 | 22,018,876 | ||||||
Chubb | 51,594 | 6,328,004 | ||||||
Citigroup | 58,552 | 2,904,765 | ||||||
Credit Acceptance † | 27,507 | 5,415,303 | ||||||
Discover Financial Services | 272,563 | 14,170,550 | ||||||
Eaton Vance | 377,972 | 12,631,824 | ||||||
Franklin Resources | 168,773 | 6,288,482 | ||||||
Goldman Sachs Group | 69,095 | 12,005,947 | ||||||
JPMorgan Chase | 482,013 | 29,388,333 | ||||||
MasterCard Class A | 131,446 | 11,845,914 | ||||||
McGraw Hill Financial | 177,466 | 15,350,809 | ||||||
MetLife | 232,614 | 10,967,750 | ||||||
Moody’s | 145,074 | 14,246,267 | ||||||
NASDAQ OMX Group | 107,081 | 5,710,630 | ||||||
PNC Financial Services Group | 61,251 | 5,463,589 | ||||||
Prudential Financial | 72,590 | 5,532,084 | ||||||
State Street | 84,480 | 5,677,901 | ||||||
Travelers | 127,332 | 12,673,354 | ||||||
U.S. Bancorp | 299,232 | 12,271,504 | ||||||
Waddell & Reed Financial Class A | 323,244 | 11,239,194 | ||||||
Wells Fargo | 416,284 | 21,376,183 | ||||||
|
| |||||||
305,858,432 | ||||||||
|
| |||||||
Healthcare – 9.85% |
| |||||||
Abbott Laboratories | 170,012 | 6,837,883 | ||||||
AbbVie | 191,676 | 10,429,091 | ||||||
Express Scripts Holding † | 86,699 | 7,019,151 |
60
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Healthcare (continued) |
| |||||||
Gilead Sciences | 121,197 | $ | 11,900,333 | |||||
Jazz Pharmaceuticals (Ireland) † | 33,908 | 4,503,321 | ||||||
Johnson & Johnson | 231,177 | 21,580,373 | ||||||
Medtronic (Ireland) | 176,946 | 11,844,765 | ||||||
Merck | 183,249 | 9,050,668 | ||||||
Mylan † | 113,047 | 4,551,272 | ||||||
Novartis (Switzerland) | 23,685 | 2,176,710 | ||||||
Pfizer | 532,837 | 16,736,410 | ||||||
Roche Holding (Switzerland) | 6,738 | 1,788,564 | ||||||
St. Jude Medical | 72,650 | 4,583,489 | ||||||
Thermo Fisher Scientific | 57,691 | 7,054,455 | ||||||
|
| |||||||
120,056,485 | ||||||||
|
| |||||||
Industrials – 13.24% |
| |||||||
3M | 84,652 | 12,001,114 | ||||||
Canadian National Railway (Canada) | 59,584 | 3,381,988 | ||||||
Caterpillar | 19,754 | 1,291,121 | ||||||
Danaher | 104,006 | 8,862,351 | ||||||
Deere | 22,699 | 1,679,726 | ||||||
Eaton (Ireland) | 97,989 | 5,026,836 | ||||||
Equifax | 13,194 | 1,282,193 | ||||||
Honeywell International | 129,912 | 12,301,367 | ||||||
Illinois Tool Works | 50,405 | 4,148,836 | ||||||
Lockheed Martin | 172,875 | 35,838,716 | ||||||
Northrop Grumman | 37,513 | 6,225,282 | ||||||
Parker-Hannifin | 15,807 | 1,538,021 | ||||||
Pentair (United Kingdom) | 54,039 | 2,758,151 | ||||||
Rockwell Collins | 148,005 | 12,112,729 | ||||||
Stanley Black & Decker | 32,980 | 3,198,400 | ||||||
Tyco International | 223,803 | 7,488,448 | ||||||
Union Pacific | 31,677 | 2,800,564 | ||||||
United Parcel Service Class B | 280,161 | 27,649,089 | ||||||
United Technologies | 133,320 | 11,864,147 | ||||||
|
| |||||||
161,449,079 | ||||||||
|
| |||||||
Information Technology – 10.92% |
| |||||||
Accenture Class A (Ireland) | 249,303 | 24,496,513 | ||||||
Alliance Data Systems † | 21,180 | 5,485,196 | ||||||
Analog Devices | 24,959 | 1,407,937 | ||||||
Apple | 165,578 | 18,263,253 | ||||||
Fidelity National Information Services | 66,840 | 4,483,627 | ||||||
Fiserv † | 58,494 | 5,066,165 | ||||||
Harris | 81,507 | 5,962,237 | ||||||
Hewlett-Packard | 205,565 | 5,264,520 | ||||||
International Business Machines | 57,468 | 8,331,136 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
Microsoft | 235,790 | $ | 10,436,065 | |||||
NVIDIA | 33,536 | 826,662 | ||||||
Oracle | 155,576 | 5,619,405 | ||||||
Texas Instruments | 161,762 | 8,010,454 | ||||||
Western Digital | 189,036 | 15,017,020 | ||||||
Western Union | 786,918 | 14,447,814 | ||||||
|
| |||||||
133,118,004 | ||||||||
|
| |||||||
Materials – 4.48% |
| |||||||
CF Industries Holdings | 234,738 | 10,539,736 | ||||||
Crown Holdings † | 68,219 | 3,121,019 | ||||||
duPont (E.I.) deNemours | 32,665 | 1,574,453 | ||||||
LyondellBasell Industries Class A | 150,456 | 12,542,012 | ||||||
Monsanto | 27,349 | 2,333,964 | ||||||
NewMarket | 35,169 | 12,555,333 | ||||||
PPG Industries | 137,204 | 12,031,419 | ||||||
|
| |||||||
54,697,936 | ||||||||
|
| |||||||
Telecommunication Services – 1.21% |
| |||||||
AT&T | 39,403 | 1,283,750 | ||||||
Verizon Communications | 246,160 | 10,710,422 | ||||||
Vodafone Group (United Kingdom) | 868,195 | 2,738,452 | ||||||
|
| |||||||
14,732,624 | ||||||||
|
| |||||||
Utilities – 0.41% |
| |||||||
Duke Energy | 70,236 | 5,052,778 | ||||||
|
| |||||||
5,052,778 | ||||||||
|
| |||||||
Total Common Stock | 1,190,713,714 | |||||||
|
| |||||||
Principal | ||||||||
| ||||||||
Short-Term Investments – 2.22% |
| |||||||
| ||||||||
Discount Notes – 0.35%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.07% 10/5/15 | 1,952,050 | 1,952,046 | ||||||
0.103% 10/23/15 | 251,833 | 251,830 | ||||||
0.105% 11/3/15 | 251,914 | 251,901 | ||||||
0.14% 10/28/15 | 208,944 | 208,941 | ||||||
0.17% 1/21/16 | 455,186 | 455,016 | ||||||
0.185% 1/19/16 | 422,964 | 422,809 | ||||||
0.195% 12/2/15 | 599,061 | 598,958 | ||||||
0.295% 3/2/16 | 204,715 | 204,545 | ||||||
|
| |||||||
4,346,046 | ||||||||
|
|
(continues | ) | 61 |
Table of Contents
Schedules of investments
Optimum Large Cap Value Fund
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Short-Term Investments (continued) |
| |||||||||
| ||||||||||
Repurchase Agreements – 1.87% |
| |||||||||
Bank of America Merrill Lynch 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $4,013,208 (collateralized by U.S. government obligations 1.875%–3.625% 8/31/22–2/15/44; market value $4,093,465) | 4,013,201 | $ | 4,013,201 | |||||||
Bank of Montreal 0.08%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $6,688,682 (collateralized by U.S. government obligations 1.75%–3.00% 10/31/18–8/15/45; market value $6,822,441) | 6,688,667 | 6,688,667 | ||||||||
BNP Paribas 0.07%, dated 9/30/15, to be repurchased on 10/1/15, repurchase price $12,059,156 (collateralized by U.S. government obligations 0.00%–3.25% 10/8/15–11/15/44; market value $12,300,315) | 12,059,132 | 12,059,132 | ||||||||
|
| |||||||||
22,761,000 | ||||||||||
|
| |||||||||
Total Short-Term Investments | 27,107,046 | |||||||||
|
| |||||||||
Total Value of Securities – 99.87% | $ | 1,217,820,760 | ||||||||
|
|
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. | |
≠ | 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
Optimum Small-Mid Cap Growth Fund
September 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 94.34% |
| |||||||
| ||||||||
Consumer Discretionary – 13.44% |
| |||||||
Arctic Cat | 64,012 | $ | 1,419,786 | |||||
Blue Nile † | 48,644 | 1,631,520 | ||||||
Buffalo Wild Wings † | 6,630 | 1,282,441 | ||||||
Cato Class A | 31,820 | 1,082,835 | ||||||
Choice Hotels International | 17,771 | 846,788 | ||||||
ClubCorp Holdings | 103,157 | 2,213,749 | ||||||
Crocs † | 126,288 | 1,632,272 | ||||||
CST Brands | 39,628 | 1,333,878 | ||||||
Diamond Resorts International † | 183,350 | 4,288,557 | ||||||
Dorman Products † | 45,379 | 2,309,337 | ||||||
Drew Industries | 97,130 | 5,304,269 | ||||||
Fiesta Restaurant Group † | 56,719 | 2,573,341 | ||||||
Fossil Group † | 20,265 | 1,132,408 | ||||||
Gentex | 99,562 | 1,543,211 | ||||||
HSN | 39,145 | 2,240,660 | ||||||
IMAX (Canada) † | 134,199 | 4,534,584 | ||||||
Jack in the Box | 44,698 | 3,443,534 | ||||||
Kate Spade † | 83,570 | 1,597,023 | ||||||
Madden (Steven) † | 97,667 | 3,576,566 | ||||||
Mattress Firm Holding † | 10,967 | 457,982 | ||||||
Panera Bread Class A † | 17,891 | 3,460,298 | ||||||
Papa John’s International | 34,453 | 2,359,341 | ||||||
Performance Sports Group † | 90,661 | 1,216,671 | ||||||
Pool | 57,263 | 4,140,115 | ||||||
Rent-A-Center | 57,488 | 1,394,084 | ||||||
Samsonite International | 620,530 | 2,027,790 | ||||||
Select Comfort † | 94,069 | 2,058,230 | ||||||
Skechers U.S.A. Class A † | 9,706 | 1,301,380 | ||||||
Texas Roadhouse | 81,171 | 3,019,561 | ||||||
Vail Resorts | 19,056 | 1,994,782 | ||||||
|
| |||||||
67,416,993 | ||||||||
|
| |||||||
Consumer Staples – 1.88% |
| |||||||
Casey’s General Stores | 21,495 | 2,212,265 | ||||||
Chefs’ Warehouse † | 32,378 | 458,472 | ||||||
Fresh Market † | 123,328 | 2,785,979 | ||||||
Freshpet † | 69,313 | 727,787 | ||||||
HRG Group † | 60,894 | 714,287 | ||||||
Nomad Foods (United Kingdom) † | 133,642 | 2,104,861 | ||||||
SunOpta (Canada) † | 86,723 | 421,474 | ||||||
|
| |||||||
9,425,125 | ||||||||
|
| |||||||
Energy – 1.71% |
| |||||||
Carrizo Oil & Gas † | 34,453 | 1,052,195 | ||||||
Clayton Williams Energy † | 10,217 | 396,522 | ||||||
Core Laboratories (Netherlands) | 12,453 | 1,242,809 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Energy (continued) | ||||||||
Diamondback Energy † | 28,822 | $ | 1,861,901 | |||||
PDC Energy † | 24,411 | 1,294,027 | ||||||
RSP Permian † | 95,018 | 1,924,115 | ||||||
SM Energy | 25,321 | 811,285 | ||||||
|
| |||||||
8,582,854 | ||||||||
|
| |||||||
Financials – 15.33% |
| |||||||
Allied World Assurance Holdings (Switzerland) | 33,623 | 1,283,390 | ||||||
Associated Banc-Corp | 395,268 | 7,102,966 | ||||||
Assurant | 29,300 | 2,314,993 | ||||||
Assured Guaranty (Bermuda) | 72,131 | 1,803,275 | ||||||
Education Realty Trust | 56,992 | 1,877,886 | ||||||
EverBank Financial | 108,623 | 2,096,424 | ||||||
Extra Space Storage | 132,569 | 10,229,024 | ||||||
Financial Engines | 33,969 | 1,001,066 | ||||||
First American Financial | 88,871 | 3,472,190 | ||||||
First Busey | 92,177 | 1,831,557 | ||||||
Hancock Holding | 48,822 | 1,320,635 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital | 97,094 | 1,671,959 | ||||||
HFF Class A | 51,670 | 1,744,379 | ||||||
Kennedy-Wilson Holdings | 138,293 | 3,065,956 | ||||||
Lakeland Financial | 105,017 | 4,741,518 | ||||||
LegacyTexas Financial Group | 105,266 | 3,208,508 | ||||||
Leucadia National | 60,810 | 1,232,011 | ||||||
MarketAxess Holdings | 26,532 | 2,464,292 | ||||||
MB Financial | 131,998 | 4,308,415 | ||||||
Patriot National † | 123,912 | 1,961,527 | ||||||
Pebblebrook Hotel Trust | 40,573 | 1,438,313 | ||||||
PrivateBancorp | 87,248 | 3,344,216 | ||||||
Sandy Spring Bancorp | 37,190 | 973,634 | ||||||
SEI Investments | 85,508 | 4,124,051 | ||||||
SVB Financial Group † | 32,792 | 3,788,788 | ||||||
TrustCo Bank New York | 173,215 | 1,011,576 | ||||||
United Community Banks | 96,108 | 1,964,448 | ||||||
WisdomTree Investments | 79,767 | 1,286,642 | ||||||
World Acceptance † | 6,871 | 184,418 | ||||||
|
| |||||||
76,848,057 | ||||||||
|
| |||||||
Healthcare – 17.53% |
| |||||||
Abaxis | 19,430 | 854,726 | ||||||
Acadia Healthcare † | 46,490 | 3,080,892 | ||||||
Achillion Pharmaceuticals † | 118,231 | 816,976 | ||||||
Adeptus Health Class A † | 17,244 | 1,392,625 | ||||||
Aerie Pharmaceuticals † | 54,762 | 971,478 | ||||||
Agios Pharmaceuticals † | 27,887 | 1,968,543 | ||||||
Akorn † | 89,361 | 2,547,235 |
(continues | ) | 63 |
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Healthcare (continued) |
| |||||||
Anacor Pharmaceuticals † | 23,475 | $ | 2,763,242 | |||||
Aratana Therapeutics † | 77,831 | 658,450 | ||||||
BioCryst Pharmaceuticals † | 137,442 | 1,566,839 | ||||||
Bio-Techne | 28,434 | 2,629,008 | ||||||
Cardiovascular Systems † | 46,731 | 740,219 | ||||||
Celldex Therapeutics † | 84,028 | 885,655 | ||||||
Cepheid † | 157,351 | 7,112,265 | ||||||
ConforMIS † | 8,905 | 160,824 | ||||||
DexCom † | 28,018 | 2,405,625 | ||||||
Endologix † | 121,841 | 1,493,771 | ||||||
Envision Healthcare Holdings † | 108,223 | 3,981,524 | ||||||
Five Prime Therapeutics † | 48,000 | 738,720 | ||||||
Flexion Therapeutics † | 47,534 | 706,355 | ||||||
Galapagos ADR † | 23,581 | 959,982 | ||||||
HealthSouth | 22,405 | 859,680 | ||||||
HeartWare International † | 38,408 | 2,009,122 | ||||||
Insulet † | 127,737 | 3,309,666 | ||||||
Intercept Pharmaceuticals † | 3,154 | 523,122 | ||||||
Intersect ENT † | 55,289 | 1,293,763 | ||||||
Ironwood Pharmaceuticals † | 60,499 | 630,400 | ||||||
LDR Holding † | 87,000 | 3,004,110 | ||||||
LifePoint Health † | 25,331 | 1,795,968 | ||||||
Medidata Solutions † | 45,829 | 1,929,859 | ||||||
Mettler-Toledo International † | 19,259 | 5,483,808 | ||||||
Novavax † | 208,350 | 1,473,035 | ||||||
Otonomy † | 44,079 | 785,047 | ||||||
Portola Pharmaceuticals † | 44,240 | 1,885,509 | ||||||
PTC Therapeutics † | 41,595 | 1,110,587 | ||||||
Relypsa † | 60,152 | 1,113,413 | ||||||
Sarepta Therapeutics † | 59,241 | 1,902,228 | ||||||
Seattle Genetics † | 34,951 | 1,347,711 | ||||||
Sirona Dental Systems † | 15,773 | 1,472,252 | ||||||
Team Health Holdings † | 43,416 | 2,345,766 | ||||||
TESARO † | 32,707 | 1,311,551 | ||||||
Tetraphase Pharmaceuticals † | 70,925 | 529,101 | ||||||
Ultragenyx Pharmaceutical † | 50,184 | 4,833,221 | ||||||
Veeva Systems Class A † | 161,539 | 3,781,628 | ||||||
VWR † | 76,232 | 1,958,400 | ||||||
Wright Medical Group † | 64,514 | 1,356,084 | ||||||
Zafgen † | 44,316 | 1,415,896 | ||||||
|
| |||||||
87,895,881 | ||||||||
|
| |||||||
Industrials – 19.64% | ||||||||
Acuity Brands | 7,933 | 1,392,876 | ||||||
Advanced Drainage Systems | 101,015 | 2,922,364 | ||||||
Advisory Board † | 73,956 | 3,367,956 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Industrials (continued) |
| |||||||
Altra Industrial Motion @ | 54,433 | $ | 1,258,491 | |||||
AMETEK | 170,640 | 8,927,885 | ||||||
Astronics † | 27,211 | 1,100,141 | ||||||
Avis Budget Group † | 106,160 | 4,637,069 | ||||||
CAI International † | 2,485 | 25,049 | ||||||
Cavco Industries † | 46,965 | 3,197,847 | ||||||
DigitalGlobe † | 70,197 | 1,335,147 | ||||||
Donaldson | 236,271 | 6,634,490 | ||||||
ESCO Technologies | 69,320 | 2,488,588 | ||||||
Generac Holdings † | 133,350 | 4,012,501 | ||||||
HD Supply Holdings † | 48,174 | 1,378,740 | ||||||
Heartland Express | 103,772 | 2,069,214 | ||||||
HEICO Class A | 180,817 | 8,210,900 | ||||||
Hertz Global Holdings † | 126,187 | 2,111,108 | ||||||
Knoll | 95,470 | 2,098,431 | ||||||
Landstar System | 55,097 | 3,497,007 | ||||||
Masonite International † | 50,610 | 3,065,954 | ||||||
Middleby † | 19,924 | 2,095,806 | ||||||
Moog Class A † | 49,846 | 2,695,173 | ||||||
Navigant Consulting † | 91,403 | 1,454,222 | ||||||
Nordson | 128,354 | 8,078,601 | ||||||
Oshkosh | 41,509 | 1,508,022 | ||||||
PGT † | 97,130 | 1,192,756 | ||||||
Rush Enterprises † | 26,169 | 609,999 | ||||||
Rush Enterprises Class A † | 104,700 | 2,533,740 | ||||||
Swift Transportation † | 135,415 | 2,033,933 | ||||||
Thermon Group Holdings @† | 58,594 | 1,204,107 | ||||||
Toro | 55,330 | 3,902,978 | ||||||
TriNet Group † | 106,267 | 1,785,286 | ||||||
WageWorks † | 43,697 | 1,969,861 | ||||||
Watts Water Technologies Class A | 27,980 | 1,477,904 | ||||||
WESCO International † | 22,431 | 1,042,369 | ||||||
XPO Logistics † | 50,007 | 1,191,667 | ||||||
|
| |||||||
98,508,182 | ||||||||
|
| |||||||
Information Technology – 21.27% |
| |||||||
Amber Road † | 203,564 | 859,040 | ||||||
ANSYS † | 57,323 | 5,052,449 | ||||||
Apigee † | 34,913 | 368,332 | ||||||
Arista Networks † | 36,008 | 2,203,329 | ||||||
Atmel | 62,263 | 502,462 | ||||||
Bankrate † | 179,318 | 1,855,941 | ||||||
Blackhawk Network Holdings † | 74,508 | 3,158,394 | ||||||
CalAmp † | 34,000 | 547,060 | ||||||
Ciena † | 80,601 | 1,670,053 |
64
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
comScore † | 36,408 | $ | 1,680,229 | |||||
CoreLogic † | 43,383 | 1,615,149 | ||||||
CoStar Group † | 25,792 | 4,463,563 | ||||||
Coupons.com † | 126,807 | 1,141,263 | ||||||
Cvent † | 60,737 | 2,044,407 | ||||||
Demandware † | 73,712 | 3,809,436 | ||||||
Entegris † | 87,651 | 1,156,117 | ||||||
ExlService Holdings † | 138,224 | 5,104,612 | ||||||
Fair Isaac | 32,382 | 2,736,279 | ||||||
Fleetmatics Group (Ireland) † | 39,764 | 1,952,015 | ||||||
Global Payments | 13,957 | 1,601,287 | ||||||
GoDaddy Class A † | 17,800 | 448,738 | ||||||
Gogo † | 100,063 | 1,528,963 | ||||||
Guidewire Software † | 35,824 | 1,883,626 | ||||||
Heartland Payment Systems @ | 35,048 | 2,208,374 | ||||||
HomeAway † | 61,433 | 1,630,432 | ||||||
HubSpot † | 61,348 | 2,844,707 | ||||||
Infinera † | 110,828 | 2,167,796 | ||||||
IPG Photonics † | 60,975 | 4,632,271 | ||||||
Knowles † | 23,775 | 438,173 | ||||||
Littelfuse | 11,815 | 1,076,937 | ||||||
MAXIMUS | 32,433 | 1,931,709 | ||||||
Mellanox Technologies (Israel) † | 77,621 | 2,933,298 | ||||||
Monolithic Power Systems | 34,453 | 1,763,994 | ||||||
NetSuite † | 24,438 | 2,050,348 | ||||||
Nimble Storage † | 62,143 | 1,498,889 | ||||||
RetailMeNot † | 56,948 | 469,252 | ||||||
Rogers † | 28,226 | 1,501,059 | ||||||
Sanmina † | 87,431 | 1,868,400 | ||||||
SPS Commerce † | 61,231 | 4,156,973 | ||||||
SunPower † | 99,752 | 1,999,030 | ||||||
Telogis @=† | 185,242 | 357,517 | ||||||
Textura † | 120,247 | 3,107,182 | ||||||
Tyler Technologies † | 19,551 | 2,919,160 | ||||||
Verint Systems † | 50,306 | 2,170,704 | ||||||
Virtusa † | 110,769 | 5,683,557 | ||||||
WEX † | 21,332 | 1,852,471 | ||||||
WNS Holdings ADR † | 207,534 | 5,800,575 | ||||||
Zillow Group † | 26,608 | 764,448 | ||||||
Zillow Group Class C † | 53,216 | 1,436,832 | ||||||
|
| |||||||
106,646,832 | ||||||||
|
| |||||||
Materials – 2.48% |
| |||||||
Graphic Packaging Holding | 224,047 | 2,865,561 | ||||||
Headwaters † | 266,571 | 5,011,535 | ||||||
KapStone Paper & Packaging | 140,403 | 2,318,054 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Materials (continued) |
| |||||||
Platform Specialty Products † | 176,414 | $ | 2,231,637 | |||||
|
| |||||||
12,426,787 | ||||||||
|
| |||||||
Telecommunication Services – 1.06% |
| |||||||
Boingo Wireless † | 154,772 | 1,281,512 | ||||||
Globalstar † | 476,279 | 747,758 | ||||||
inContact † | 75,000 | 563,250 | ||||||
Lumos Networks | 125,675 | 1,528,208 | ||||||
Vonage Holdings † | 205,884 | 1,210,598 | ||||||
|
| |||||||
5,331,326 | ||||||||
|
| |||||||
Total Common Stock | 473,082,037 | |||||||
|
| |||||||
| ||||||||
Convertible Preferred Stock – 0.56% |
| |||||||
| ||||||||
DraftKings Series D@= | 56,648 | 412,519 | ||||||
Honest@= | 15,249 | 662,832 | ||||||
MarkLogic@= | 83,588 | 982,159 | ||||||
Zuora= | 209,844 | 717,534 | ||||||
|
| |||||||
Total Convertible Preferred Stock (cost $2,770,886) | 2,775,044 | |||||||
|
| |||||||
| ||||||||
| ||||||||
Preferred Stock – 1.01% |
| |||||||
| ||||||||
Cloudera @= | 30,243 | 873,418 | ||||||
DocuSign | ||||||||
Series B @= | 1,166 | 21,641 | ||||||
Series B-1 @= | 349 | 6,477 | ||||||
Series C @= | 4,474 | 83,037 | ||||||
Series D @= | 838 | 15,553 | ||||||
Series E @= | 21,664 | 402,084 | ||||||
DraftKings Series D-1 = | 50,706 | 369,248 | ||||||
Nutanix @= | 40,185 | 763,515 | ||||||
Pure Storage = | 36,123 | 614,813 | ||||||
Telogis @=† | 252,269 | 1,120,074 | ||||||
Veracode Series 8 @= | 30,584 | 810,170 | ||||||
|
| |||||||
Total Preferred Stock | 5,080,030 | |||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 4.30% |
| |||||||
| ||||||||
Discount Notes – 2.48%≠ |
| |||||||
Federal Home Loan Bank |
| |||||||
0.07% 10/5/15 | 6,069,343 | 6,069,331 | ||||||
0.103% 10/23/15 | 1,731,443 | 1,731,423 | ||||||
0.105% 11/3/15 | 365,315 | 365,297 |
(continues | ) | 65 |
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Discount Notes≠ (continued) | ||||||||
0.14% 10/28/15 | 264,250 | $ | 264,246 | |||||
0.17% 1/21/16 | 1,178,693 | 1,178,254 | ||||||
0.185% 1/19/16 | 534,920 | 534,724 | ||||||
0.195% 12/2/15 | 757,628 | 757,498 | ||||||
0.295% 3/2/16 | 258,901 | 258,687 | ||||||
Freddie Mac 0.075% 10/1/15 | 1,259,582 | 1,259,582 | ||||||
|
| |||||||
12,419,042 | ||||||||
|
| |||||||
Repurchase Agreements – 1.82% |
| |||||||
Bank of America Merrill Lynch | 1,611,910 | 1,611,910 | ||||||
Bank of Montreal | 2,686,516 | 2,686,516 | ||||||
BNP Paribas | 4,843,574 | 4,843,574 | ||||||
|
| |||||||
9,142,000 | ||||||||
|
| |||||||
Total Short-Term Investments | 21,561,042 | |||||||
|
|
Total Value of Securities – 100.21% | $ | 502,498,153 | ||||
|
|
@ | Illiquid security. At Sept. 30, 2015, the aggregate value of illiquid securities was $11,181,968, which represents 2.23% 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, 2015, the aggregate value of fair valued securities was $8,212,591, which represents 1.63% 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. |
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
66
Table of Contents
Optimum Small-Mid Cap Value Fund
September 30, 2015 (Unaudited)
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 88.33% |
| |||||||
| ||||||||
Consumer Discretionary – 9.89% |
| |||||||
AMC Networks Class A † | 47,500 | $ | 3,475,575 | |||||
Ascena Retail Group † | 254,000 | 3,533,140 | ||||||
bebe stores | 1,164,866 | 1,094,974 | ||||||
Cable One † | 4,000 | 1,677,680 | ||||||
Callaway Golf | 270,168 | 2,255,903 | ||||||
China Automotive Systems (China) † | 272,661 | 1,450,556 | ||||||
Christopher & Banks † | 639,160 | 709,468 | ||||||
Crocs † | 273,800 | 3,538,865 | ||||||
Dick’s Sporting Goods | 54,500 | 2,703,745 | ||||||
Dillard’s Class A | 18,700 | 1,634,193 | ||||||
Finish Line Class A | 81,000 | 1,563,300 | �� | |||||
Fossil Group † | 26,000 | 1,452,880 | ||||||
Helen of Troy † | 7,200 | 642,960 | ||||||
Hooker Furniture (Bermuda) | 143,694 | 3,382,557 | ||||||
Horizon Global † | 247,000 | 2,178,540 | ||||||
Mattel | 80,200 | 1,689,012 | ||||||
Meredith | 8,700 | 370,446 | ||||||
Pier 1 Imports | 263,000 | 1,814,700 | ||||||
Rent-A-Center | 89,700 | 2,175,225 | ||||||
Spartan Motors | 825,276 | 3,408,390 | ||||||
Staples | 106,000 | 1,243,380 | ||||||
Time | 185,300 | 3,529,965 | ||||||
Winnebago Industries | 71,143 | 1,362,388 | ||||||
|
| |||||||
46,887,842 | ||||||||
|
| |||||||
Consumer Staples – 2.54% |
| |||||||
Darling Ingredients † | 115,100 | 1,293,724 | ||||||
Dean Foods | 218,400 | 3,607,968 | ||||||
Edgewell Personal Care | 21,400 | 1,746,240 | ||||||
Energizer Holdings | 43,124 | 1,669,330 | ||||||
Landec † | 317,757 | 3,708,224 | ||||||
|
| |||||||
12,025,486 | ||||||||
|
| |||||||
Energy – 4.03% |
| |||||||
CONSOL Energy | 239,200 | 2,344,160 | ||||||
Frank’s International (Netherlands) | 113,000 | 1,732,290 | ||||||
Gulf Island Fabrication | 46,365 | 488,223 | ||||||
Hallador Energy | 494,256 | 3,435,079 | ||||||
McDermott International † | 60,500 | 260,150 | ||||||
Memorial Resource Development † | 95,300 | 1,675,374 | ||||||
MRC Global † | 110,000 | 1,226,500 | ||||||
Newpark Resources † | 288,403 | 1,476,623 | ||||||
Oil States International † | 47,000 | 1,228,110 | ||||||
PDC Energy † | 35,900 | 1,903,059 | ||||||
RSP Permian † | 89,600 | 1,814,400 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Energy (continued) |
| |||||||
Warren Resources † | 403,457 | $ | 197,452 | |||||
Weatherford International (Switzerland) † | 158,000 | 1,339,840 | ||||||
|
| |||||||
19,121,260 | ||||||||
|
| |||||||
Financials – 9.30% |
| |||||||
Alexandria Real Estate Equities | 43,192 | 3,657,067 | ||||||
BankUnited | 102,600 | 3,667,950 | ||||||
Cedar Realty Trust | 576,776 | 3,581,779 | ||||||
CIT Group | 82,800 | 3,314,484 | ||||||
Comerica | 40,000 | 1,644,000 | ||||||
Dime Community Bancshares | 251,303 | 4,247,021 | ||||||
East West Bancorp | 42,900 | 1,648,218 | ||||||
First Financial Bancorp @ | 125,100 | 2,386,908 | ||||||
Hallmark Financial Services † | 347,326 | 3,990,776 | ||||||
Inland Real Estate | 143,200 | 1,159,920 | ||||||
Potlatch | 51,003 | 1,468,376 | ||||||
PrivateBancorp | 95,400 | 3,656,682 | ||||||
STAG Industrial | 98,000 | 1,784,580 | ||||||
SVB Financial Group † | 5,500 | 635,470 | ||||||
Wintrust Financial | 69,600 | 3,718,728 | ||||||
XL Group (Ireland) | 51,000 | 1,852,320 | ||||||
Zions Bancorporation | 61,100 | 1,682,694 | ||||||
|
| |||||||
44,096,973 | ||||||||
|
| |||||||
Healthcare – 5.60% |
| |||||||
CONMED | 34,700 | 1,656,578 | ||||||
Haemonetics † | 91,900 | 2,970,208 | ||||||
Halyard Health † | 116,300 | 3,307,572 | ||||||
Integra Lifesciences Holdings † | 35,200 | 2,096,160 | ||||||
MEDNAX † | 50,800 | 3,900,932 | ||||||
Myriad Genetics † | 118,400 | 4,437,632 | ||||||
PerkinElmer | 36,600 | 1,682,136 | ||||||
Premier Class A † | 80,800 | 2,777,096 | ||||||
Teleflex | 30,000 | 3,726,300 | ||||||
|
| |||||||
26,554,614 | ||||||||
|
| |||||||
Industrials – 23.74% |
| |||||||
ACCO Brands † | 852,505 | 6,027,210 | ||||||
Aegion † | 106,900 | 1,761,712 | ||||||
AMETEK | 52,875 | 2,766,420 | ||||||
Apogee Enterprises | 57,800 | 2,580,770 | ||||||
B/E Aerospace | 33,400 | 1,466,260 | ||||||
Beacon Roofing Supply † | 56,479 | 1,835,003 | ||||||
Brady Class A | 74,500 | 1,464,670 | ||||||
Carlisle | 30,800 | 2,691,304 | ||||||
Colfax † | 10,000 | 299,100 |
(continues | ) | 67 |
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Value Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Industrials (continued) | ||||||||
Continental Building Products † | 74,447 | $ | 1,529,141 | |||||
Crane | 42,800 | 1,994,908 | ||||||
Diana Shipping (Greece) † | 571,975 | 3,706,398 | ||||||
Dover | 83,700 | 4,785,966 | ||||||
Dynamic Materials | 90,000 | 858,600 | ||||||
Encore Wire | 75,497 | 2,466,487 | ||||||
Ennis | 179,949 | 3,123,915 | ||||||
Equifax | 28,197 | 2,740,184 | ||||||
FreightCar America | 184,100 | 3,159,156 | ||||||
Graham | 171,404 | 3,025,281 | ||||||
Granite Construction | 117,140 | 3,475,544 | ||||||
Harsco | 224,000 | 2,031,680 | ||||||
Herman Miller | 131,600 | 3,795,344 | ||||||
Hubbell Class B | 10,900 | 925,955 | ||||||
KBR | 149,000 | 2,482,340 | ||||||
Kennametal | 123,500 | 3,073,915 | ||||||
Knoll | 161,824 | 3,556,892 | ||||||
Landstar System | 22,400 | 1,421,728 | ||||||
McGrath RentCorp | 103,549 | 2,763,723 | ||||||
Navigant Consulting † | 156,972 | 2,497,424 | ||||||
Oshkosh | 24,100 | 875,553 | ||||||
Pitney Bowes | 250,700 | 4,976,395 | ||||||
Precision Castparts | 16,200 | 3,721,302 | ||||||
RPX † | 250,296 | 3,434,061 | ||||||
Rush Enterprises Class A † | 68,300 | 1,652,860 | ||||||
Stanley Black & Decker | 52,500 | 5,091,450 | ||||||
Timken | 59,500 | 1,635,655 | ||||||
TrueBlue † | 234,600 | 5,271,462 | ||||||
Tyco International | 15,400 | 515,284 | ||||||
Watts Water Technologies Class A | 67,901 | 3,586,531 | ||||||
WESCO International † | 74,300 | 3,452,721 | ||||||
Woodward | 70,500 | 2,869,350 | ||||||
Xerium Technologies † | 88,800 | 1,152,624 | ||||||
|
| |||||||
112,542,278 | ||||||||
|
| |||||||
Information Technology – 19.66% |
| |||||||
Advanced Energy Industries † | 118,253 | 3,110,054 | ||||||
Amdocs | 85,600 | 4,868,928 | ||||||
ARRIS Group † | 135,600 | 3,521,532 | ||||||
AVG Technologies (Netherlands) † | 209,200 | 4,550,100 | ||||||
Booz Allen Hamilton Holding | 90,396 | 2,369,279 | ||||||
Brocade Communications Systems | 234,100 | 2,429,958 | ||||||
Brooks Automation | 145,500 | 1,703,805 | ||||||
Cardtronics † | 138,000 | 4,512,600 | ||||||
Checkpoint Systems | 152,100 | 1,102,725 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
Diebold | 23,500 | $ | 699,595 | |||||
Fairchild Semiconductor International † | 236,500 | 3,320,460 | ||||||
Flextronics International † | 562,000 | 5,923,480 | ||||||
FLIR Systems | 128,007 | 3,582,916 | ||||||
IAC/InterActiveCorp | 51,500 | 3,361,405 | ||||||
Infineon Technologies (Germany) | 100,000 | 1,123,544 | ||||||
Ingram Micro Class A † | 184,500 | 5,025,780 | ||||||
j2 Global @ | 61,200 | 4,336,020 | ||||||
Jabil Circuit | 191,000 | 4,272,670 | ||||||
Kemet † | 270,000 | 496,800 | ||||||
Mercury Systems † | 268,640 | 4,274,062 | ||||||
Methode Electronics | 74,735 | 2,384,047 | ||||||
ON Semiconductor † | 388,600 | 3,652,840 | ||||||
Plexus † | 122,302 | 4,718,411 | ||||||
Rudolph Technologies † | 293,708 | 3,656,665 | ||||||
ScanSource † | 104,836 | 3,717,485 | ||||||
Synaptics † | 35,975 | 2,966,499 | ||||||
Teradyne | 192,100 | 3,459,721 | ||||||
Unisys † | 138,287 | 1,645,615 | ||||||
Xcerra † | 70,300 | 441,484 | ||||||
Zebra Technologies † | 25,500 | 1,952,025 | ||||||
|
| |||||||
93,180,505 | ||||||||
|
| |||||||
Materials – 11.92% |
| |||||||
Albemarle | 36,762 | 1,621,204 | ||||||
Allegheny Technologies | 172,000 | 2,438,960 | ||||||
Avery Dennison | 84,000 | 4,751,880 | ||||||
Boise Cascade † | 102,900 | 2,595,138 | ||||||
Carpenter Technology | 95,200 | 2,834,104 | ||||||
Deltic Timber | 57,516 | 3,440,032 | ||||||
Eastman Chemical | 66,900 | 4,329,768 | ||||||
Fuller (H.B.) | 92,000 | 3,122,480 | ||||||
Intrepid Potash † | 276,400 | 1,531,256 | ||||||
KapStone Paper & Packaging | 142,100 | 2,346,071 | ||||||
KMG Chemicals | 204,892 | 3,952,367 | ||||||
Minerals Technologies | 108,300 | 5,215,728 | ||||||
Olympic Steel | 56,113 | 558,324 | ||||||
Owens-Illinois † | 76,000 | 1,574,720 | ||||||
PolyOne | 228,600 | 6,707,124 | ||||||
Ryerson Holding @† | 117,000 | 614,250 | ||||||
Sealed Air | 39,000 | 1,828,320 | ||||||
Sonoco Products | 77,600 | 2,928,624 | ||||||
Stillwater Mining † | 311,056 | 3,213,208 | ||||||
WestRock | 17,380 | 894,027 | ||||||
|
| |||||||
56,497,585 | ||||||||
|
|
68
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Telecommunication Services – 0.94% |
| |||||||
Vonage Holdings † | 759,357 | $ | 4,465,019 | |||||
|
| |||||||
4,465,019 | ||||||||
|
| |||||||
Utilities – 0.71% | ||||||||
Questar | 173,000 | 3,357,930 | ||||||
|
| |||||||
3,357,930 | ||||||||
|
| |||||||
Total Common Stock |
| 418,729,492 | ||||||
|
| |||||||
| ||||||||
Exchange-Traded Fund – 0.37% |
| |||||||
| ||||||||
iShares Russell 2000 Value ETF | 19,200 | 1,729,920 | ||||||
|
| |||||||
Total Exchange-Traded Fund |
| 1,729,920 | ||||||
|
| |||||||
| ||||||||
| ||||||||
U.S. Master Limited Partnership – 0.54% |
| |||||||
| ||||||||
Boardwalk Pipeline Partners | 219,000 | 2,577,630 | ||||||
|
| |||||||
Total U.S. Master Limited Partnership |
| 2,577,630 | ||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 11.44% |
| |||||||
| ||||||||
Discount Notes – 6.12%≠ |
| |||||||
Federal Home Loan Bank |
| |||||||
0.07% 10/5/15 | 9,987,530 | 9,987,510 | ||||||
0.103% 10/23/15 | 6,071,538 | 6,071,465 | ||||||
0.105% 11/3/15 | 1,217,942 | 1,217,881 | ||||||
0.14% 10/28/15 | 764,311 | 764,300 | ||||||
0.17% 1/21/16 | 3,041,898 | 3,040,763 | ||||||
0.185% 1/19/16 | 1,547,189 | 1,546,621 | ||||||
0.195% 12/2/15 | 2,191,345 | 2,190,968 | ||||||
0.295% 3/2/16 | 748,839 | 748,219 | ||||||
Freddie Mac 0.075% 10/1/15 | 3,459,528 | 3,459,528 | ||||||
|
| |||||||
29,027,255 | ||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements – 5.32% |
| |||||||
Bank of America Merrill Lynch | 4,444,124 | $ | 4,444,125 | |||||
Bank of Montreal | 7,406,874 | 7,406,874 | ||||||
BNP Paribas | 13,354,001 | 13,354,001 | ||||||
|
| |||||||
25,205,000 | ||||||||
|
| |||||||
Total Short-Term Investments | 54,232,255 | |||||||
|
| |||||||
Total Value of Securities – 100.68% |
| $ | 477,269,297 | |||||
|
|
@ | Illiquid security. At Sept. 30, 2015, the aggregate value of illiquid securities was $7,337,178, which represents 1.55% 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.
69 |
Table of Contents
Statements of assets and liabilities
Optimum Fund Trust
September 30, 2015 (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 | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||
Investments, at value1,2 | $ | 2,406,128,189 | $ | 479,317,663 | $ | 1,453,124,800 | $ | 1,190,713,714 | $ | 480,937,111 | $ | 423,037,042 | ||||||||||||||||||
Short-term investments, at value3 | 134,695,805 | 8,627,390 | 53,370,101 | 27,107,046 | 21,561,042 | 54,232,255 | ||||||||||||||||||||||||
Short-term investments held as collateral for loaned securities, at value4 | — | 25,477,313 | — | — | — | — | ||||||||||||||||||||||||
Cash | 18,483,979 | 9,732 | 289,846 | 244,047 | 113,679 | 76,457 | ||||||||||||||||||||||||
Cash collateral due from brokers | 5,376,566 | — | — | — | — | — | ||||||||||||||||||||||||
Foreign currencies, at value5 | 2,070,491 | 1,970,826 | — | 24,196 | — | 46,931 | ||||||||||||||||||||||||
Receivable for securities sold | 238,873,534 | 6,500,948 | 30,207,657 | 2,257,404 | 1,319,143 | 2,797,996 | ||||||||||||||||||||||||
Dividends and interest receivable | 15,054,430 | 1,941,518 | 654,227 | 2,033,726 | 195,127 | 295,045 | ||||||||||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 7,048,746 | 2,268 | — | — | — | — | ||||||||||||||||||||||||
Receivable for fund shares sold | 3,220,440 | 688,661 | 2,041,734 | 1,789,237 | 809,799 | 812,578 | ||||||||||||||||||||||||
Upfront payments paid on interest rate swap contracts | 2,817,128 | — | — | — | — | — | ||||||||||||||||||||||||
Upfront payments paid on credit default swap contracts | 2,542,998 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on credit default swap contracts | 498,180 | — | — | — | — | — | ||||||||||||||||||||||||
Variation margin due from brokers on centrally cleared interest rate swap contracts | 418,669 | — | — | — | — | — | ||||||||||||||||||||||||
Swap payments receivable | 216,082 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on interest rate swap contracts | 182,475 | — | — | — | — | — | ||||||||||||||||||||||||
Variation margin due from brokers on centrally cleared credit default swap contracts | 37,093 | — | — | — | — | — | ||||||||||||||||||||||||
Securities lending income receivable | — | 8,630 | — | — | — | — | ||||||||||||||||||||||||
Options written, at value | — | — | — | — | — | — | ||||||||||||||||||||||||
Other assets6 | 415,736 | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total assets | 2,838,080,541 | 524,544,949 | 1,539,688,365 | 1,224,169,370 | 504,935,901 | 481,298,304 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||
Reverse repurchase agreement payable | 3,279,000 | — | — | — | — | — | ||||||||||||||||||||||||
Options written, at value7 | 1,345,782 | — | — | — | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 737,863,279 | 6,904,044 | 27,743,109 | 2,580,382 | 2,498,811 | 6,337,252 | ||||||||||||||||||||||||
Cash collateral due to brokers | 9,485,000 | — | — | — | — | — | ||||||||||||||||||||||||
Payable for fund shares redeemed | 1,884,679 | 391,691 | 1,280,504 | 932,417 | 357,236 | 330,447 | ||||||||||||||||||||||||
Swap payments payable | 273,975 | — | — | — | — | — | ||||||||||||||||||||||||
Variation margin due to broker on futures contracts | 115,162 | — | — | — | — | — | ||||||||||||||||||||||||
Interest payable for reverse repurchase agreements and securities sold short | 710 | — | — | — | — | — | ||||||||||||||||||||||||
Obligation to return securities lending collateral | — | 25,477,313 | — | — | — | — | ||||||||||||||||||||||||
Investment management fees payable | 912,575 | 322,864 | 888,842 | 709,539 | 390,784 | 337,635 | ||||||||||||||||||||||||
Other affiliates payable | 670,270 | 166,053 | 494,735 | 406,522 | 158,659 | 145,574 | ||||||||||||||||||||||||
Other accrued expenses | 295,906 | 91,416 | 181,826 | 152,447 | 71,782 | 69,197 | ||||||||||||||||||||||||
Trustees’ fees and expenses payable | 43,862 | 10,803 | 33,700 | 26,428 | 11,436 | 10,521 | ||||||||||||||||||||||||
Unrealized depreciation on interest rate swap contracts | 9,886,901 | — | — | — | — | — | ||||||||||||||||||||||||
Upfront receipts on credit default swap contracts | 2,805,117 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on credit default swap contracts | 1,581,047 | — | — | — | — | — | ||||||||||||||||||||||||
Upfront receipts on interest rate swap contracts | 1,409,574 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 972,608 | 4,955 | — | — | — | — | ||||||||||||||||||||||||
Accrued capital gain taxes payable | — | 365,610 | — | — | — | — | ||||||||||||||||||||||||
Other liabilities6 | 1,385,788 | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total liabilities | 774,211,235 | 33,734,749 | 30,622,716 | 4,807,735 | 3,488,708 | 7,230,626 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Net Assets | $ | 2,063,869,306 | $ | 490,810,200 | $ | 1,509,065,649 | $ | 1,219,361,635 | $ | 501,447,193 | $ | 474,067,678 | ||||||||||||||||||
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|
|
|
|
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|
|
|
|
70
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 | |||||||||||||||||||||||||
Net Assets Consist of: | ||||||||||||||||||||||||||||||
Paid-in capital | $ | 2,060,542,664 | $ | 552,172,069 | $ | 1,235,742,325 | $ | 1,050,611,044 | $ | 424,202,690 | $ | 450,622,126 | ||||||||||||||||||
Undistributed (accumulated) net investment income (loss) | 42,912,117 | 4,325,499 | (3,285,102 | ) | 9,748,174 | (3,360,031 | ) | (1,620,351 | ) | |||||||||||||||||||||
Accumulated net realized gain (loss) | (9,617,060 | ) | (20,904,764 | ) | 139,828,186 | (28,013,183 | ) | 65,354,129 | 15,091,496 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) of investments | (24,499,566 | ) | (44,336,734 | ) | 136,781,715 | 187,036,942 | 15,250,405 | 9,980,095 | ||||||||||||||||||||||
Net unrealized depreciation of foreign currencies | (165,887 | ) | (443,183 | ) | (1,475 | ) | (21,342 | ) | — | (5,688 | ) | |||||||||||||||||||
Net unrealized appreciation (depreciation) of foreign currency exchange contracts | 6,076,139 | (2,687 | ) | — | — | — | — | |||||||||||||||||||||||
Net unrealized depreciation of futures contracts | (1,276,734 | ) | — | — | — | — | — | |||||||||||||||||||||||
Net unrealized appreciation of written option contracts | 446,672 | — | — | — | — | — | ||||||||||||||||||||||||
Net unrealized depreciation of swap contracts | (10,549,039 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Net Assets | $ | 2,063,869,306 | $ | 490,810,200 | $ | 1,509,065,649 | $ | 1,219,361,635 | $ | 501,447,193 | $ | 474,067,678 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Asset Value | ||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||
Net assets | $ | 41,394,572 | $ | 9,221,952 | $ | 36,147,589 | $ | 31,246,765 | $ | 5,964,745 | $ | 4,544,269 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,350,373 | 868,085 | 2,249,100 | 2,135,296 | 438,497 | 384,015 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.52 | $ | 10.62 | $ | 16.07 | $ | 14.63 | $ | 13.60 | $ | 11.83 | ||||||||||||||||||
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) | $ | 9.97 | $ | 11.27 | $ | 17.05 | $ | 15.52 | $ | 14.43 | $ | 12.55 | ||||||||||||||||||
Class C: | ||||||||||||||||||||||||||||||
Net assets | $ | 159,628,050 | $ | 32,165,445 | $ | 120,037,292 | $ | 105,937,202 | $ | 19,225,866 | $ | 15,941,137 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 16,858,756 | 3,105,005 | 8,254,796 | 7,337,169 | 1,573,507 | 1,499,501 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.47 | $ | 10.36 | $ | 14.54 | $ | 14.44 | $ | 12.22 | $ | 10.63 | ||||||||||||||||||
Institutional Class: | ||||||||||||||||||||||||||||||
Net assets | $ | 1,862,846,684 | $ | 449,422,803 | $ | 1,352,880,768 | $ | 1,082,177,668 | $ | 476,256,582 | $ | 453,582,272 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 195,600,693 | 41,973,133 | 80,441,858 | 73,720,297 | 33,245,198 | 36,473,459 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.52 | $ | 10.71 | $ | 16.82 | $ | 14.68 | $ | 14.33 | $ | 12.44 | ||||||||||||||||||
| ||||||||||||||||||||||||||||||
1Investments, at cost | $ | 2,430,641,479 | $ | 523,654,749 | $ | 1,316,344,929 | $ | 1,003,677,168 | $ | 465,687,395 | $ | 413,058,898 | ||||||||||||||||||
2Including securities on loan | — | 25,873,541 | — | — | — | — | ||||||||||||||||||||||||
3Short-term investments, at cost | 134,682,081 | 8,627,038 | 53,368,257 | 27,106,650 | 21,560,353 | 54,230,304 | ||||||||||||||||||||||||
4Short-term investments held as collateral for loaned securities, at cost | — | 25,477,313 | — | — | — | — | ||||||||||||||||||||||||
5Foreign currencies, at cost | 2,084,090 | 2,012,618 | — | 24,136 | — | 52,619 | ||||||||||||||||||||||||
7Premium received | (1,792,453 | ) | — | — | — | — | — | |||||||||||||||||||||||
6See Note 11 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 71 |
Table of Contents
Optimum Fund Trust
Six months ended September 30, 2015 (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 | $ | 36,327,431 | $ | 7,011 | $ | 14,495 | $ | 11,561 | $ | 8,003 | $ | 21,926 | ||||||||||||||||||
Dividends | 295,102 | 7,697,524 | 6,371,935 | 14,931,978 | 1,561,230 | 2,651,449 | ||||||||||||||||||||||||
Distributions from U.S. master limited partnerships | — | — | 410,662 | — | — | 10,000 | ||||||||||||||||||||||||
Less return of capital distributions1 | — | (410,662 | ) | — | — | (10,000 | ) | |||||||||||||||||||||||
Securities lending income | — | 36,254 | — | — | — | — | ||||||||||||||||||||||||
Foreign tax withheld | (7,152 | ) | (625,246 | ) | (8,448 | ) | (72,115 | ) | (1,980 | ) | (5,085 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
36,615,381 | 7,115,543 | 6,377,982 | 14,871,424 | 1,567,253 | 2,668,290 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||
Management fees | 5,536,552 | 2,065,553 | 5,935,651 | 4,587,299 | 3,057,649 | 2,630,553 | ||||||||||||||||||||||||
Distribution expenses — Class A | 52,925 | 12,902 | 50,059 | 43,599 | 8,575 | 6,534 | ||||||||||||||||||||||||
Distribution expenses — Class C | 813,435 | 180,106 | 673,543 | 595,852 | 112,024 | 92,149 | ||||||||||||||||||||||||
Dividend disbursing and transfer agent fees and expenses | 2,075,534 | 544,238 | 1,636,587 | 1,326,052 | 568,556 | 532,933 | ||||||||||||||||||||||||
Administration expenses | 905,742 | 315,513 | 752,628 | 644,970 | 326,570 | 309,468 | ||||||||||||||||||||||||
Accounting fees | 373,457 | 97,064 | 293,837 | 237,858 | 101,169 | 94,717 | ||||||||||||||||||||||||
Reports and statements to shareholders | 135,335 | 72,397 | 146,712 | 89,746 | 39,884 | 38,537 | ||||||||||||||||||||||||
Custodian fees | 95,729 | 95,491 | 42,239 | 23,310 | 21,104 | 14,117 | ||||||||||||||||||||||||
Trustees’ fees and expenses | 93,899 | 24,259 | 73,722 | 59,276 | 25,573 | 23,804 | ||||||||||||||||||||||||
Pricing fees | 72,676 | 14,715 | 674 | 671 | 844 | 777 | ||||||||||||||||||||||||
Professional fees | 72,073 | 44,672 | 55,117 | 45,611 | 33,679 | 25,301 | ||||||||||||||||||||||||
Registration fees | 58,203 | 46,651 | 53,677 | 40,036 | 32,951 | 39,026 | ||||||||||||||||||||||||
Insurance | 20,380 | 6,647 | 13,213 | 12,648 | 5,010 | 4,810 | ||||||||||||||||||||||||
Tax services | 145 | 9,995 | 541 | 196 | 719 | 208 | ||||||||||||||||||||||||
Other | 12,315 | 5,348 | 9,844 | 8,781 | 4,755 | 4,648 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
10,318,400 | 3,535,551 | 9,738,044 | 7,715,905 | 4,339,062 | 3,817,582 | |||||||||||||||||||||||||
Less expenses waived | — | (9,666 | ) | (74,791 | ) | (1,402 | ) | (451,782 | ) | (270,892 | ) | |||||||||||||||||||
Less expense paid indirectly | (160 | ) | (157 | ) | (169 | ) | (169 | ) | (167 | ) | (169 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total operating expenses | 10,318,240 | 3,525,728 | 9,663,084 | 7,714,334 | 3,887,113 | 3,546,521 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Investment Income (Loss) | 26,297,141 | 3,589,815 | (3,285,102 | ) | 7,157,090 | (2,319,860 | ) | (878,231 | ) | |||||||||||||||||||||
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72
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 | |||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||
Investments2 | $ | (11,226,168 | ) | $ | (3,537,373 | ) | $ | 78,966,213 | $ | 11,886,117 | $ | 39,419,126 | $ | 7,867,336 | ||||||||||||||||
Foreign currencies | (5,044,215 | ) | 8,562 | (6,304 | ) | (11,531 | ) | 232 | — | |||||||||||||||||||||
Foreign currency exchange contracts | 4,210,363 | (113,039 | ) | 1,425 | 1,153 | (473 | ) | — | ||||||||||||||||||||||
Futures contracts | (1,353,264 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options written | 1,309,363 | — | — | — | — | — | ||||||||||||||||||||||||
Swap contracts | 2,836,770 | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net realized gain (loss) | (9,267,151 | ) | (3,641,850 | ) | 78,961,334 | 11,875,739 | 39,418,885 | 7,867,336 | ||||||||||||||||||||||
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|
| |||||||||||||||||||
Net change in unrealized appreciation (depreciation) of: | ||||||||||||||||||||||||||||||
Investments3 | (49,992,345 | ) | (47,108,985 | ) | (161,571,391 | ) | (132,129,643 | ) | (101,583,362 | ) | (77,832,427 | ) | ||||||||||||||||||
Foreign currencies | 393,225 | (366,600 | ) | 236 | (3,181 | ) | — | 1,762 | ||||||||||||||||||||||
Foreign currency exchange contracts | (1,790,859 | ) | (2,663 | ) | — | — | 5 | — | ||||||||||||||||||||||
Futures contracts | (511,180 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options written | 378,609 | — | — | — | — | — | ||||||||||||||||||||||||
Swap contracts | (7,390,244 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (58,912,794 | ) | (47,478,248 | ) | (161,571,155 | ) | (132,132,824 | ) | (101,583,357 | ) | (77,830,665 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Realized and Unrealized Loss | (68,179,945 | ) | (51,120,098 | ) | (82,609,821 | ) | (120,257,085 | ) | (62,164,472 | ) | (69,963,329 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Decrease in Net Assets Resulting from Operations | $ | (41,882,804 | ) | $ | (47,530,283 | ) | $ | (85,894,923 | ) | $ | (113,099,995 | ) | $ | (64,484,332 | ) | $ | (70,841,560 | ) | ||||||||||||
|
|
|
|
|
|
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|
|
| |||||||||||||||||||
1See Note 1 in “Notes to financial statements.” 2Includes $43,590 capital gain taxes paid for Optimum International Fund. Includes loss contingencies on General Motors Corporation term loan of $970,052 for Optimum Fixed Income Fund. See Note 11 in “Notes to financial statements.” 3Includes $365,610 capital gain taxes accrued for Optimum International Fund. |
|
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 73 |
Table of Contents
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | |||||||||||||||
Six months ended 9/30/15 (Unaudited) | Year ended 3/31/15 | Six months ended 9/30/15 (Unaudited) | Year ended 3/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 26,297,141 | $ | 42,877,210 | $ | 3,589,815 | $ | 4,523,479 | ||||||||
Net realized gain (loss) | (9,267,151 | ) | 25,410,989 | (3,641,850 | ) | 241,844 | ||||||||||
Net change in unrealized appreciation (depreciation) | (58,912,794 | ) | 12,041,383 | (47,478,248 | ) | (50,036,874 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (41,882,804 | ) | 80,329,582 | (47,530,283 | ) | (45,271,551 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | — | (972,785 | ) | — | (112,096 | ) | ||||||||||
Class B | — | (3,454 | ) | — | (616 | ) | ||||||||||
Class C | — | (2,477,203 | ) | — | (62,325 | ) | ||||||||||
Institutional Class | — | (42,437,451 | ) | — | (8,097,595 | ) | ||||||||||
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|
|
|
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| |||||||||
— | (45,890,893 | ) | — | (8,272,632 | ) | |||||||||||
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|
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|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 2,864,689 | 6,766,684 | 682,184 | 1,745,456 | ||||||||||||
Class B | — | 20,913 | — | 7,604 | ||||||||||||
Class C | 12,128,997 | 23,437,353 | 2,436,625 | 5,301,094 | ||||||||||||
Institutional Class | 251,150,530 | 556,695,575 | 55,369,595 | 179,026,388 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | — | 971,831 | — | 111,087 | ||||||||||||
Class B | — | 3,454 | — | 616 | ||||||||||||
Class C | — | 2,477,203 | — | 62,286 | ||||||||||||
Institutional Class | — | 42,420,198 | — | 8,094,257 | ||||||||||||
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| |||||||||
266,144,216 | 632,793,211 | 58,488,404 | 194,348,788 | |||||||||||||
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| |||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (3,715,798 | ) | (8,655,227 | ) | (841,034 | ) | (2,032,127 | ) | ||||||||
Class B | — | (539,075 | ) | — | (202,237 | ) | ||||||||||
Class C | (14,579,871 | ) | (24,148,962 | ) | (2,954,787 | ) | (4,538,818 | ) | ||||||||
Institutional Class | (177,550,826 | ) | (312,691,990 | ) | (40,523,585 | ) | (248,326,505 | ) | ||||||||
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| |||||||||
(195,846,495 | ) | (346,035,254 | ) | (44,319,406 | ) | (255,099,687 | ) | |||||||||
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| |||||||||
Increase (decrease) in net assets derived from capital share transactions | 70,297,721 | 286,757,957 | 14,168,998 | (60,750,899 | ) | |||||||||||
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|
|
|
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| |||||||||
Net Increase (Decrease) in Net Assets | 28,414,917 | 321,196,646 | (33,361,285 | ) | (114,295,082 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 2,035,454,389 | 1,714,257,743 | 524,171,485 | 638,466,567 | ||||||||||||
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| |||||||||
End of period | $ | 2,063,869,306 | $ | 2,035,454,389 | $ | 490,810,200 | $ | 524,171,485 | ||||||||
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| |||||||||
Undistributed net investment income | $ | 42,912,117 | $ | 16,614,976 | $ | 4,325,499 | $ | 735,684 | ||||||||
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|
See accompanying notes, which are an integral part of the financial statements.
74
Table of Contents
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||
Six months ended 9/30/15 (Unaudited) | Year ended 3/31/15 | Six months ended 9/30/15 (Unaudited) | Year ended 3/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (3,285,102 | ) | $ | (4,885,325 | ) | $ | 7,157,090 | $ | 11,815,748 | ||||||
Net realized gain | 78,961,334 | 157,438,499 | 11,875,739 | 29,402,152 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (161,571,155 | ) | 70,631,033 | (132,132,824 | ) | 24,708,461 | ||||||||||
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|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (85,894,923 | ) | 223,184,207 | (113,099,995 | ) | 65,926,361 | ||||||||||
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|
|
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| |||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class A | — | — | — | (389,161 | ) | |||||||||||
Class B | — | — | — | (2,891 | ) | |||||||||||
Class C | — | — | — | (410,056 | ) | |||||||||||
Institutional Class | — | — | — | (14,234,137 | ) | |||||||||||
Net realized gain: | ||||||||||||||||
Class A | — | (4,725,705 | ) | — | — | |||||||||||
Class B | — | (39,437 | ) | — | — | |||||||||||
Class C | — | (17,001,096 | ) | — | — | |||||||||||
Institutional Class | — | (132,344,945 | ) | — | — | |||||||||||
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| |||||||||
— | (154,111,183 | ) | — | (15,036,245 | ) | |||||||||||
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| |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 1,243,507 | 3,915,387 | 1,290,618 | 3,834,210 | ||||||||||||
Class C | 4,265,998 | 11,171,034 | 4,177,949 | 11,105,595 | ||||||||||||
Institutional Class | 151,284,349 | 428,853,799 | 133,761,980 | 304,551,900 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | — | 4,683,628 | — | 385,440 | ||||||||||||
Class B | — | 39,437 | — | 2,891 | ||||||||||||
Class C | — | 16,990,698 | — | 409,674 | ||||||||||||
Institutional Class | — | 132,270,741 | — | 14,226,052 | ||||||||||||
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| |||||||||
156,793,854 | 597,924,724 | 139,230,547 | 334,515,762 | |||||||||||||
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| |||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (3,841,819 | ) | (8,493,939 | ) | (3,059,280 | ) | (7,080,917 | ) | ||||||||
Class B | — | (736,843 | ) | — | (674,306 | ) | ||||||||||
Class C | (14,800,987 | ) | (20,959,718 | ) | (10,500,874 | ) | (17,325,453 | ) | ||||||||
Institutional Class | (134,931,947 | ) | (238,712,891 | ) | (98,056,189 | ) | (219,519,999 | ) | ||||||||
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| |||||||||
(153,574,753 | ) | (268,903,391 | ) | (111,616,343 | ) | (244,600,675 | ) | |||||||||
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|
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| |||||||||
Increase in net assets derived from capital share transactions | 3,219,101 | 329,021,333 | 27,614,204 | 89,915,087 | ||||||||||||
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|
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| |||||||||
Net Increase (Decrease) in Net Assets | (82,675,822 | ) | 398,094,357 | (85,485,791 | ) | 140,805,203 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 1,591,741,471 | 1,193,647,114 | 1,304,847,426 | 1,164,042,223 | ||||||||||||
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| |||||||||
End of period | $ | 1,509,065,649 | $ | 1,591,741,471 | $ | 1,219,361,635 | $ | 1,304,847,426 | ||||||||
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| |||||||||
Undistributed net investment income | $ | (3,285,102 | ) | $ | — | $ | 9,748,174 | $ | 2,591,084 | |||||||
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|
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 75 |
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 ended 9/30/15 (Unaudited) | Year ended 3/31/15 | Six months ended 9/30/15 (Unaudited) | Year ended 3/31/15 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||
Net investment loss | $ | (2,319,860 | ) | $ | (4,466,323 | ) | $ | (878,231 | ) | $ | (2,180,018 | ) | ||||||||
Net realized gain | 39,418,885 | 60,176,405 | 7,867,336 | 28,637,953 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (101,583,357 | ) | (8,698,398 | ) | (77,830,665 | ) | (28,259,569 | ) | ||||||||||||
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|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (64,484,332 | ) | 47,011,684 | (70,841,560 | ) | (1,801,634 | ) | |||||||||||||
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| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Net realized gain: | ||||||||||||||||||||
Class A | — | (654,511 | ) | — | (441,863 | ) | ||||||||||||||
Class B | — | (4,518 | ) | — | (3,938 | ) | ||||||||||||||
Class C | — | (2,336,871 | ) | — | (1,690,812 | ) | ||||||||||||||
Institutional Class | — | (43,752,716 | ) | — | (34,758,367 | ) | ||||||||||||||
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|
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| |||||||||||||
— | (46,748,616 | ) | — | (36,894,980 | ) | |||||||||||||||
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| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||||
Class A | 271,775 | 740,727 | 246,734 | 571,508 | ||||||||||||||||
Class C | 801,694 | 1,992,629 | 669,916 | 1,621,958 | ||||||||||||||||
Institutional Class | 59,870,693 | 136,228,092 | 61,901,500 | 139,212,657 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||
Class A | — | 647,712 | — | 439,827 | ||||||||||||||||
Class B | — | 4,518 | — | 3,938 | ||||||||||||||||
Class C | — | 2,335,600 | — | 1,689,461 | ||||||||||||||||
Institutional Class | — | 43,731,065 | — | 34,741,502 | ||||||||||||||||
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| |||||||||||||
60,944,162 | 185,680,343 | 62,818,150 | 178,280,851 | |||||||||||||||||
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| |||||||||||||
Cost of shares redeemed: | ||||||||||||||||||||
Class A | (578,307 | ) | (1,418,846 | ) | (447,177 | ) | (1,130,853 | ) | ||||||||||||
Class B | — | (125,696 | ) | — | (108,596 | ) | ||||||||||||||
Class C | (2,170,175 | ) | (3,128,298 | ) | (1,452,533 | ) | (2,902,357 | ) | ||||||||||||
Institutional Class | (50,166,929 | ) | (90,053,069 | ) | (40,271,950 | ) | (77,610,272 | ) | ||||||||||||
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|
|
|
|
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| |||||||||||||
(52,915,411 | ) | (94,725,909 | ) | (42,171,660 | ) | (81,752,078 | ) | |||||||||||||
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|
|
|
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| |||||||||||||
Increase in net assets derived from capital share transactions | 8,028,751 | 90,954,434 | 20,646,490 | 96,528,773 | ||||||||||||||||
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|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (56,455,581 | ) | 91,217,502 | (50,195,070 | ) | 57,832,159 | ||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of period | 557,902,774 | 466,685,272 | 524,262,748 | 466,430,589 | ||||||||||||||||
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| |||||||||||||
End of period | $ | 501,447,193 | $ | 557,902,774 | $ | 474,067,678 | $ | 524,262,748 | ||||||||||||
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| |||||||||||||
Accumulated net investment loss | $ | (3,360,031 | ) | $ | (1,040,171 | ) | $ | (1,620,351 | ) | $ | (742,120 | ) | ||||||||
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|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
76
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 | |||||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | $ | 9.290 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.115 | 0.203 | 0.213 | 0.225 | 0.293 | 0.391 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.315 | ) | 0.194 | (0.353 | ) | 0.302 | 0.338 | 0.247 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Total from investment operations | (0.200 | ) | 0.397 | (0.140 | ) | 0.527 | 0.631 | 0.638 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | — | (0.217 | ) | (0.142 | ) | (0.172 | ) | (0.342 | ) | (0.378 | ) | |||||||||||||||||||||||||||
Net realized gain | — | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | — | |||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||
Total dividends and distributions | — | (0.217 | ) | (0.170 | ) | (0.387 | ) | (0.471 | ) | (0.378 | ) | |||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.520 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | ||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Total return3 | (2.06% | ) | 4.21% | (1.40% | ) | 5.47% | 6.71% | 7.01% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 41,394 | $ | 43,144 | $ | 43,241 | $ | 41,210 | $ | 40,620 | $ | 39,758 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.17% | 1.17% | 1.31% | 1.35% | 1.35% | 1.35% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.17% | 1.17% | 1.34% | 1.40% | 1.44% | 1.46% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.40% | 2.11% | 2.24% | 2.27% | 3.01% | 4.10% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.40% | 2.11% | 2.21% | 2.22% | 2.92% | 3.99% | ||||||||||||||||||||||||||||||||
Portfolio turnover4 | 284% | 482% | 323% | 208% | 211% | 273% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
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 years ended March 31, 2015 and 2014. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 77 |
Table of Contents
Financial highlights
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.710 | $ | 9.530 | $ | 9.840 | $ | 9.710 | $ | 9.540 | $ | 9.280 | ||||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.079 | 0.131 | 0.148 | 0.161 | 0.229 | 0.329 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.319 | ) | 0.194 | (0.351 | ) | 0.292 | 0.350 | 0.247 | ||||||||||||||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||||||||||
Total from investment operations | (0.240 | ) | 0.325 | (0.203 | ) | 0.453 | 0.579 | 0.576 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||||
Net investment income | — | (0.145 | ) | (0.079 | ) | (0.108 | ) | (0.280 | ) | (0.316 | ) | |||||||||||||||||||||||||||
Net realized gain | — | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | — | |||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||
Total dividends and distributions | — | (0.145 | ) | (0.107 | ) | (0.323 | ) | (0.409 | ) | (0.316 | ) | |||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||
Net asset value, end of period | $ | 9.470 | $ | 9.710 | $ | 9.530 | $ | 9.840 | $ | 9.710 | $ | 9.540 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
Total return3 | (2.47% | ) | 3.44% | (2.06% | ) | 4.69% | 6.15% | 6.32% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 159,628 | $ | 166,154 | $ | 161,353 | $ | 155,728 | $ | 154,778 | $ | 159,759 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.92% | 1.92% | 1.99% | 2.00% | 2.00% | 2.00% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.92% | 1.92% | 2.02% | 2.05% | 2.09% | 2.11% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.65% | 1.36% | 1.56% | 1.62% | 2.36% | 3.45% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.65% | 1.36% | 1.53% | 1.57% | 2.27% | 3.34% | ||||||||||||||||||||||||||||||||
Portfolio turnover4 | 284% | 482% | 323% | 208% | 211% | 273% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
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 years ended March 31, 2015 and 2014. |
See accompanying notes, which are an integral part of the financial statements.
78
Table of Contents
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 | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | $ | 9.290 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.127 | 0.227 | 0.244 | 0.260 | 0.327 | 0.424 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.327 | ) | 0.194 | (0.350 | ) | 0.301 | 0.338 | 0.247 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (0.200 | ) | 0.421 | (0.106 | ) | 0.561 | 0.665 | 0.671 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net investment income | — | (0.241 | ) | (0.176 | ) | (0.206 | ) | (0.376 | ) | (0.411 | ) | |||||||||||||||||||||||||
Net realized gain | — | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (0.241 | ) | (0.204 | ) | (0.421 | ) | (0.505 | ) | (0.411 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 9.520 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (2.06% | ) | 4.47% | (1.05% | ) | 5.72% | 7.20% | 7.39% | ||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,862,847 | $ | 1,826,156 | $ | 1,509,156 | $ | 1,297,154 | $ | 1,014,595 | $ | 791,984 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 0.92% | 0.92% | 0.99% | 1.00% | 1.00% | 1.00% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.92% | 0.92% | 1.02% | 1.05% | 1.09% | 1.11% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.65% | 2.36% | 2.56% | 2.62% | 3.36% | 4.45% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.65% | 2.36% | 2.53% | 2.57% | 3.27% | 4.34% | ||||||||||||||||||||||||||||||
Portfolio turnover4
|
| 284%
|
|
| 482%
|
|
| 323%
|
|
| 208%
|
|
| 211%
|
|
| 273%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
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 years ended March 31, 2015 and 2014. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 79 |
Table of Contents
Financial highlights
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.660 | $ | 12.570 | $ | 10.970 | $ | 10.420 | $ | 11.200 | $ | 10.340 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.068 | 0.062 | 0.142 | 0.185 | 0.192 | 0.129 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.108 | ) | (0.846 | ) | 1.540 | 0.620 | (0.790 | ) | 0.887 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (1.040 | ) | (0.784 | ) | 1.682 | 0.805 | (0.598 | ) | 1.016 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net investment income | — | (0.126 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | (0.156 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (0.126 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | (0.156 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 10.620 | $ | 11.660 | $ | 12.570 | $ | 10.970 | $ | 10.420 | $ | 11.200 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (8.83% | ) | (6.25% | ) | 15.31% | 8.10% | (5.30% | ) | 10.19% | |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 9,222 | $ | 10,291 | $ | 11,277 | $ | 9,553 | $ | 9,318 | $ | 11,189 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.50% | 1.47% | 1.68% | 1.75% | 1.75% | 1.75% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.50% | 1.47% | 1.68% | 1.84% | 1.84% | 1.88% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.17% | 0.51% | 1.20% | 1.81% | 1.84% | 1.26% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.17% | 0.51% | 1.20% | 1.72% | 1.75% | 1.13% | ||||||||||||||||||||||||||||||
Portfolio turnover
|
| 26%
|
|
| 117%
|
|
| 126%
|
|
| 70%
|
|
| 50%
|
|
| 95%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
80
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 | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.410 | $ | 12.290 | $ | 10.760 | $ | 10.230 | $ | 10.950 | $ | 10.100 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 | 0.024 | (0.028 | ) | 0.061 | 0.116 | 0.122 | 0.061 | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.074 | ) | (0.832 | ) | 1.512 | 0.606 | (0.773 | ) | 0.885 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (1.050 | ) | (0.860 | ) | 1.573 | 0.722 | (0.651 | ) | 0.946 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net investment income | — | (0.020 | ) | (0.043 | ) | (0.192 | ) | (0.069 | ) | (0.096 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (0.020 | ) | (0.043 | ) | (0.192 | ) | (0.069 | ) | (0.096 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 10.360 | $ | 11.410 | $ | 12.290 | $ | 10.760 | $ | 10.230 | $ | 10.950 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (9.20% | ) | (7.00% | ) | 14.56% | 7.37% | (5.94% | ) | 9.59% | |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 32,165 | $ | 35,996 | $ | 37,893 | $ | 32,064 | $ | 32,995 | $ | 39,762 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 2.25% | 2.22% | 2.36% | 2.40% | 2.40% | 2.40% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.25% | 2.22% | 2.36% | 2.49% | 2.49% | 2.53% | ||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.42% | (0.24% | ) | 0.52% | 1.16% | 1.19% | 0.61% | |||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.42% | (0.24% | ) | 0.52% | 1.07% | 1.10% | 0.48% | |||||||||||||||||||||||||||||
Portfolio turnover
|
| 26%
|
|
| 117%
|
|
| 126%
|
|
| 70%
|
|
| 50%
|
|
| 95%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 81 |
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 | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.740 | $ | 12.660 | $ | 11.050 | $ | 10.490 | $ | 11.300 | $ | 10.430 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.084 | 0.093 | 0.182 | 0.223 | 0.229 | 0.168 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.114 | ) | (0.856 | ) | 1.551 | 0.627 | (0.793 | ) | 0.887 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (1.030 | ) | (0.763 | ) | 1.733 | 0.850 | (0.564 | ) | 1.055 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net investment income | — | (0.157 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | (0.185 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (0.157 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | (0.185 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 10.710 | $ | 11.740 | $ | 12.660 | $ | 11.050 | $ | 10.490 | $ | 11.300 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (8.77% | ) | (6.04% | ) | 15.79% | 8.41% | (4.93% | ) | 10.55% | |||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 449,423 | $ | 477,884 | $ | 589,098 | $ | 426,258 | $ | 252,539 | $ | 226,512 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.25% | 1.22% | 1.36% | 1.40% | 1.40% | 1.40% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.25% | 1.22% | 1.36% | 1.49% | 1.49% | 1.53% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.42% | 0.76% | 1.52% | 2.16% | 2.19% | 1.61% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.42% | 0.76% | 1.52% | 2.07% | 2.10% | 1.48% | ||||||||||||||||||||||||||||||
Portfolio turnover
|
| 26%
|
|
| 117%
|
|
| 126%
|
|
| 70%
|
|
| 50%
|
|
| 95%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
82
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 | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.000 | $ | 16.390 | $ | 14.530 | $ | 13.480 | $ | 12.430 | $ | 10.640 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 | (0.049 | ) | (0.083 | ) | (0.099 | ) | 0.014 | (0.040 | ) | (0.062 | ) | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.881 | ) | 2.711 | 3.631 | 1.042 | 1.090 | 1.852 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (0.930 | ) | 2.628 | 3.532 | 1.056 | 1.050 | 1.790 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net investment income | — | — | — | (0.006 | ) | — | — | |||||||||||||||||||||||||||||
Net realized gain | — | (2.018 | ) | (1.672 | ) | — | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (2.018 | ) | (1.672 | ) | (0.006 | ) | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 16.070 | $ | 17.000 | $ | 16.390 | $ | 14.530 | $ | 13.480 | $ | 12.430 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (5.47% | ) | 17.27% | 25.17% | 7.76% | 8.45% | 16.82% | |||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 36,148 | $ | 40,790 | $ | 39,044 | $ | 34,182 | $ | 34,170 | $ | 35,359 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.36% | 1.37% | 1.54% | 1.60% | 1.61% | 1.61% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.37% | 1.37% | 1.55% | 1.63% | 1.64% | 1.64% | ||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.57% | ) | (0.50% | ) | (0.62% | ) | 0.10% | (0.34% | ) | (0.57% | ) | |||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.58% | ) | (0.50% | ) | (0.63% | ) | 0.07% | (0.37% | ) | (0.60% | ) | |||||||||||||||||||||||||
Portfolio turnover
|
| 45%
|
|
| 86%
|
|
| 98%
|
|
| 102%
|
|
| 89%
|
|
| 117%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 83 |
Table of Contents
Financial highlights
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.440 | $ | 15.160 | $ | 13.630 | $ | 12.720 | $ | 11.820 | $ | 10.180 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment loss2 | (0.103 | ) | (0.189 | ) | (0.192 | ) | (0.069 | ) | (0.112 | ) | (0.127 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.797 | ) | 2.487 | 3.394 | 0.979 | 1.012 | 1.767 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (0.900 | ) | 2.298 | 3.202 | 0.910 | 0.900 | 1.640 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net realized gain | — | (2.018 | ) | (1.672 | ) | — | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (2.018 | ) | (1.672 | ) | — | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 14.540 | $ | 15.440 | $ | 15.160 | $ | 13.630 | $ | 12.720 | $ | 11.820 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (5.83% | ) | 16.44% | 24.27% | 7.15% | 7.61% | 16.11% | |||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 120,038 | $ | 137,892 | $ | 127,540 | $ | 115,242 | $ | 120,183 | $ | 128,256 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 2.11% | 2.12% | 2.22% | 2.25% | 2.26% | 2.26% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.12% | 2.12% | 2.23% | 2.28% | 2.29% | 2.29% | ||||||||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.32% | ) | (1.25% | ) | (1.30% | ) | (0.55% | ) | (0.99% | ) | (1.22% | ) | ||||||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.33% | ) | (1.25% | ) | (1.31% | ) | (0.58% | ) | (1.02% | ) | (1.25% | ) | ||||||||||||||||||||||||
Portfolio turnover
|
| 45%
|
|
| 86%
|
|
| 98%
|
|
| 102%
|
|
| 89%
|
|
| 117%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
84
Table of Contents
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.760 | $ | 17.000 | $ | 14.970 | $ | 13.880 | $ | 12.760 | $ | 10.880 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 | (0.029 | ) | (0.044 | ) | (0.049 | ) | 0.062 | 0.002 | (0.025 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.911 | ) | 2.822 | 3.754 | 1.068 | 1.118 | 1.905 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (0.940 | ) | 2.778 | 3.705 | 1.130 | 1.120 | 1.880 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net investment income | — | — | (0.003 | ) | (0.040 | ) | — | — | ||||||||||||||||||||||||||||
Net realized gain | — | (2.018 | ) | (1.672 | ) | — | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (2.018 | ) | (1.675 | ) | (0.040 | ) | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 16.820 | $ | 17.760 | $ | 17.000 | $ | 14.970 | $ | 13.880 | $ | 12.760 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (5.29% | ) | 17.55% | 25.51% | 8.25% | 8.78% | 17.28% | |||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,352,880 | $ | 1,413,059 | $ | 1,026,377 | $ | 728,104 | $ | 650,869 | $ | 587,141 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.11% | 1.12% | 1.22% | 1.25% | 1.26% | 1.26% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.12% | 1.12% | 1.23% | 1.28% | 1.29% | 1.29% | ||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.32% | ) | (0.25% | ) | (0.30% | ) | 0.45% | 0.01% | (0.22% | ) | ||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.33% | ) | (0.25% | ) | (0.31% | ) | 0.42% | (0.02% | ) | (0.25% | ) | |||||||||||||||||||||||||
Portfolio turnover
|
| 45%
|
|
| 86%
|
|
| 98%
|
|
| 102%
|
|
| 89%
|
|
| 117%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 85 |
Table of Contents
Financial highlights
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.010 | $ | 15.360 | $ | 12.900 | $ | 11.750 | $ | 11.060 | $ | 9.830 | ||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||||||
Net investment income2 | 0.075 | 0.124 | 0.157 | 0.173 | 0.133 | 0.075 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.455 | ) | 0.692 | 2.399 | 1.259 | 0.635 | 1.274 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total from investment operations | (1.380 | ) | 0.816 | 2.556 | 1.432 | 0.768 | 1.349 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||||||
Net investment income | — | (0.166 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | (0.119 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total dividends and distributions | — | (0.166 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | (0.119 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Net asset value, end of period | $ | 14.630 | $ | 16.010 | $ | 15.360 | $ | 12.900 | $ | 11.750 | $ | 11.060 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total return3 | (8.62% | ) | 5.34% | 19.96% | 12.48% | 7.01% | 14.00% | |||||||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 31,247 | $ | 35,952 | $ | 37,299 | $ | 32,995 | $ | 31,478 | $ | 33,892 | ||||||||||||||||||||||||
Ratio of expenses to average net assets | 1.33% | 1.33% | 1.50% | 1.57% | 1.57% | 1.59% | ||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.33% | 1.33% | 1.51% | 1.59% | 1.60% | 1.61% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.94% | 0.79% | 1.12% | 1.48% | 1.25% | 0.77% | ||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.94% | 0.79% | 1.11% | 1.46% | 1.22% | 0.75% | ||||||||||||||||||||||||||||||
Portfolio turnover
|
| 19%
|
|
| 35%
|
|
| 37%
|
|
| 49%
|
|
| 57%
|
|
| 82%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
86
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 | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.850 | $ | 15.220 | $ | 12.780 | $ | 11.590 | $ | 10.930 | $ | 9.710 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income2 | 0.015 | 0.007 | 0.061 | 0.096 | 0.063 | 0.012 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.425 | ) | 0.674 | 2.389 | 1.254 | 0.612 | 1.272 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.410 | ) | 0.681 | 2.450 | 1.350 | 0.675 | 1.284 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net investment income | — | (0.051 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | (0.064 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (0.051 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | (0.064 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 14.440 | $ | 15.850 | $ | 15.220 | $ | 12.780 | $ | 11.590 | $ | 10.930 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (8.90% | ) | 4.48% | 19.17% | 11.85% | 6.19% | 13.37% | |||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 105,937 | $ | 122,772 | $ | 123,541 | $ | 111,806 | $ | 111,557 | $ | 119,899 | ||||||||||||||||||||
Ratio of expenses to average net assets | 2.08% | 2.08% | 2.18% | 2.22% | 2.22% | 2.24% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.08% | 2.08% | 2.19% | 2.24% | 2.25% | 2.26% | ||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.19% | 0.04% | 0.44% | 0.83% | 0.60% | 0.12% | ||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.19% | 0.04% | 0.43% | 0.81% | 0.57% | 0.10% | ||||||||||||||||||||||||||
Portfolio turnover | 19% | 35% | 37% | 49% | 57% | 82% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 87 |
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 | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.040 | $ | 15.390 | $ | 12.920 | $ | 11.800 | $ | 11.110 | $ | 9.870 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income2 | 0.095 | 0.165 | 0.203 | 0.214 | 0.171 | 0.110 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.455 | ) | 0.690 | 2.410 | 1.255 | 0.631 | 1.279 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.360 | ) | 0.855 | 2.613 | 1.469 | 0.802 | 1.389 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net investment income | — | (0.205 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | (0.149 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (0.205 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | (0.149 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 14.680 | $ | 16.040 | $ | 15.390 | $ | 12.920 | $ | 11.800 | $ | 11.110 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (8.48% | ) | 5.60% | 20.31% | 12.92% | 7.32% | 14.42% | |||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,082,178 | $ | 1,146,123 | $ | 1,002,553 | $ | 730,785 | $ | 617,485 | $ | 550,313 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.08% | 1.08% | 1.18% | 1.22% | 1.22% | 1.24% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.08% | 1.08% | 1.19% | 1.24% | 1.25% | 1.26% | ||||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.19% | 1.04% | 1.44% | 1.83% | 1.60% | 1.12% | ||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.19% | 1.04% | 1.43% | 1.81% | 1.57% | 1.10% | ||||||||||||||||||||||||||
Portfolio turnover | 19% | 35% | 37% | 49% | 57% | 82% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
88
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 | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.370 | $ | 15.570 | $ | 14.260 | $ | 13.000 | $ | 13.900 | $ | 11.150 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss2 | (0.079 | ) | (0.164 | ) | (0.193 | ) | (0.079 | ) | (0.169 | ) | (0.149 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.691 | ) | 1.442 | 3.073 | 1.653 | 0.064 | 2.899 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.770 | ) | 1.278 | 2.880 | 1.574 | (0.105 | ) | 2.750 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net realized gain | — | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 13.600 | $ | 15.370 | $ | 15.570 | $ | 14.260 | $ | 13.000 | $ | 13.900 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (11.52% | ) | 8.93% | 21.63% | 12.50% | 0.33% | 24.66% | |||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 5,965 | $ | 7,050 | $ | 7,158 | $ | 6,415 | $ | 5,989 | $ | 6,866 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.61% | 1.63% | 1.76% | 1.86% | 1.90% | 1.90% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.77% | 1.77% | 1.96% | 2.05% | 2.06% | 2.07% | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.04% | ) | (1.09% | ) | (1.28% | ) | (0.62% | ) | (1.34% | ) | (1.29% | ) | ||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.20% | ) | (1.23% | ) | (1.48% | ) | (0.81% | ) | (1.50% | ) | (1.46% | ) | ||||||||||||||||||||
Portfolio turnover | 46% | 72% | 58% | 78% | 82% | 86% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 89 |
Table of Contents
Financial highlights
Optimum Small-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.860 | $ | 14.290 | $ | 13.280 | $ | 12.220 | $ | 13.200 | $ | 10.660 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss2 | (0.123 | ) | (0.252 | ) | (0.274 | ) | (0.151 | ) | (0.237 | ) | (0.213 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.517 | ) | 1.300 | 2.854 | 1.525 | 0.052 | 2.753 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.640 | ) | 1.048 | 2.580 | 1.374 | (0.185 | ) | 2.540 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net realized gain | — | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 12.220 | $ | 13.860 | $ | 14.290 | $ | 13.280 | $ | 12.220 | $ | 13.200 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (11.83% | ) | 8.08% | 20.82% | 11.73% | (0.27% | ) | 23.83% | ||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 19,226 | $ | 23,206 | $ | 22,581 | $ | 20,921 | $ | 20,992 | $ | 24,337 | ||||||||||||||||||||
Ratio of expenses to average net assets | 2.36% | 2.38% | 2.45% | 2.51% | 2.55% | 2.55% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.52% | 2.52% | 2.65% | 2.70% | 2.71% | 2.72% | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.79% | ) | (1.84% | ) | (1.97% | ) | (1.27% | ) | (1.99% | ) | (1.94% | ) | ||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.95% | ) | (1.98% | ) | (2.17% | ) | (1.46% | ) | (2.15% | ) | (2.11% | ) | ||||||||||||||||||||
Portfolio turnover | 46% | 72% | 58% | 78% | 82% | 86% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
90
Table of Contents
Optimum Small-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.170 | $ | 16.270 | $ | 14.780 | $ | 13.420 | $ | 14.270 | $ | 11.410 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss2 | (0.063 | ) | (0.132 | ) | (0.152 | ) | (0.036 | ) | (0.128 | ) | (0.112 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.777 | ) | 1.510 | 3.212 | 1.710 | 0.073 | 2.972 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.840 | ) | 1.378 | 3.060 | 1.674 | (0.055 | ) | 2.860 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net realized gain | — | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 14.330 | $ | 16.170 | $ | 16.270 | $ | 14.780 | $ | 13.420 | $ | 14.270 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (11.38% | ) | 9.18% | 22.03% | 12.94% | 0.68% | 25.07% | |||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 476,256 | $ | 527,647 | $ | 436,823 | $ | 321,441 | $ | 321,641 | $ | 304,406 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.36% | 1.38% | 1.45% | 1.51% | 1.55% | 1.55% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.52% | 1.52% | 1.65% | 1.70% | 1.71% | 1.72% | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (0.79% | ) | (0.84% | ) | (0.97% | ) | (0.27% | ) | (0.99% | ) | (0.94% | ) | ||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.95% | ) | (0.98% | ) | (1.17% | ) | (0.46% | ) | (1.15% | ) | (1.11% | ) | ||||||||||||||||||||
Portfolio turnover | 46% | 72% | 58% | 78% | 82% | 86% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 91 |
Table of Contents
Financial highlights
Optimum Small-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.640 | $ | 14.880 | $ | 13.740 | $ | 12.590 | $ | 12.610 | $ | 10.070 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss2 | (0.037 | ) | (0.092 | ) | (0.092 | ) | (0.027 | ) | (0.044 | ) | (0.062 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.773 | ) | (0.032 | ) | 2.873 | 1.609 | 0.148 | 2.602 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.810 | ) | (0.124 | ) | 2.781 | 1.582 | 0.104 | 2.540 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net realized gain | — | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 11.830 | $ | 13.640 | $ | 14.880 | $ | 13.740 | $ | 12.590 | $ | 12.610 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (13.27% | ) | (0.69% | ) | 21.85% | 13.23% | 1.01% | 25.22% | ||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 4,544 | $ | 5,440 | $ | 6,058 | $ | 5,711 | $ | 5,372 | $ | 6,102 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.57% | 1.62% | 1.70% | 1.76% | 1.79% | 1.81% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.67% | 1.68% | 1.86% | 1.98% | 1.98% | 2.00% | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (0.55% | ) | (0.65% | ) | (0.64% | ) | (0.22% | ) | (0.38% | ) | (0.59% | ) | ||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.65% | ) | (0.71% | ) | (0.80% | ) | (0.44% | ) | (0.57% | ) | (0.78% | ) | ||||||||||||||||||||
Portfolio turnover | 17% | 31% | 33% | 36% | 30% | 43% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
92
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 | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.300 | $ | 13.630 | $ | 12.800 | $ | 11.830 | $ | 11.930 | $ | 9.590 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment loss2 | (0.078 | ) | (0.179 | ) | (0.175 | ) | (0.100 | ) | (0.113 | ) | (0.124 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.592 | ) | (0.035 | ) | 2.646 | 1.502 | 0.137 | 2.464 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.670 | ) | (0.214 | ) | 2.471 | 1.402 | 0.024 | 2.340 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net realized gain | — | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 10.630 | $ | 12.300 | $ | 13.630 | $ | 12.800 | $ | 11.830 | $ | 11.930 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (13.58% | ) | (1.45% | ) | 21.08% | 12.45% | 0.39% | 24.40% | ||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 15,941 | $ | 19,245 | $ | 20,846 | $ | 20,058 | $ | 19,986 | $ | 22,797 | ||||||||||||||||||||
Ratio of expenses to average net assets | 2.32% | 2.37% | 2.40% | 2.41% | 2.44% | 2.46% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.42% | 2.43% | 2.56% | 2.63% | 2.63% | 2.65% | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.30% | ) | (1.40% | ) | (1.34% | ) | (0.87% | ) | (1.03% | ) | (1.24% | ) | ||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.40% | ) | (1.46% | ) | (1.50% | ) | (1.09% | ) | (1.22% | ) | (1.43% | ) | ||||||||||||||||||||
Portfolio turnover | 17% | 31% | 33% | 36% | 30% | 43% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 93 |
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 | Year ended | |||||||||||||||||||||||||||||||
9/30/151 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | 3/31/11 | |||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.310 | $ | 15.530 | $ | 14.230 | $ | 12.990 | $ | 12.960 | $ | 10.310 | ||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss)2 | (0.021 | ) | (0.059 | ) | (0.050 | ) | 0.016 | (0.004 | ) | (0.026 | ) | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.849 | ) | (0.045 | ) | 2.995 | 1.661 | 0.158 | 2.676 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total from investment operations | (1.870 | ) | (0.104 | ) | 2.945 | 1.677 | 0.154 | 2.650 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||||
Net investment income | — | — | (0.004 | ) | (0.005 | ) | — | — | ||||||||||||||||||||||||
Net realized gain | — | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total dividends and distributions | — | (1.116 | ) | (1.645 | ) | (0.437 | ) | (0.124 | ) | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Net asset value, end of period | $ | 12.440 | $ | 14.310 | $ | 15.530 | $ | 14.230 | $ | 12.990 | $ | 12.960 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total return3 | (13.07% | ) | (0.53% | ) | 22.29% | 13.56% | 1.37% | 25.70% | ||||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 453,583 | $ | 499,578 | $ | 439,417 | $ | 318,758 | $ | 310,737 | $ | 274,495 | ||||||||||||||||||||
Ratio of expenses to average net assets | 1.32% | 1.37% | 1.40% | 1.41% | 1.44% | 1.46% | ||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.42% | 1.43% | 1.56% | 1.63% | 1.63% | 1.65% | ||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.30% | ) | (0.40% | ) | (0.34% | ) | 0.13% | (0.03% | ) | (0.24% | ) | |||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.40% | ) | (0.46% | ) | (0.50% | ) | (0.09% | ) | (0.22% | ) | (0.43% | ) | ||||||||||||||||||||
Portfolio turnover | 17% | 31% | 33% | 36% | 30% | 43% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
94
Table of Contents
Optimum Fund Trust
September 30, 2015 (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 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. Effective Nov. 4, 2014, all remaining shares of Class B were converted to Class A shares. 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.
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 LLC (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. Equity 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, 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 (NAV) 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, inflation swap 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 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
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Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, each Fund may 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, 2012–March 31, 2015) and has concluded that no provision for federal income tax is required in any Fund’s financial statements. In regard to foreign taxes only, each Fund has open tax years in certain foreign countries in which it invests 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, 2015, and will mature on the next business day.
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. For the six months ended Sept. 30, 2015, the Fund had average reverse repurchase agreements of $870,492, for which it paid interest at an average rate of 0.79%. At Sept. 30, 2015, the Fund posted $3,423,110 in securities as collateral for reverse repurchase agreements.
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. Optimum Fixed Income Fund received $30,000 cash collateral for TBA trades as of Sept. 30, 2015, which is shown as collateral due to broker on the “Statements of assets and liabilities.”
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), which is due to changes in foreign exchange rates is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For
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foreign equity securities, these changes are included on the “Statements of operations” under “Net realized and unrealized gain (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 — Each Fund is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, each Fund follows the accounting and reporting guidelines for investment companies. 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 accreted or amortized to interest income, respectively, 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.
Optimum Large Cap Growth Fund and Optimum Small-Mid Cap Value Fund invest in master limited partnerships (MLPs) which make distributions that are primarily attributable to return of capital. The Funds record investment income and return of capital on the “Statements of operations” using management’s estimate of the percentage of income included in the distributions received from each MLP based on historical information from the MLPs and other industry sources. These estimates may be adjusted based on information received from the MLPs after the tax and fiscal year ends.
The return of capital portion of the MLP distributions is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income and return of capital are only determined by each MLP after its fiscal year-end and may differ from the estimated amounts. For the six months ended Sept. 30, 2015, the Funds estimated that 100% of the MLP distributions received would be treated as a return of capital.
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 such earnings credits for the six months ended Sept. 30, 2015.
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, 2015, each Fund earned the following amounts under this agreement:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||
$160 | $157 | $169 | $169 | $167 | $169 |
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
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Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
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:
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 – Acadian Asset Management LLC (Acadian), 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 (CWAM) 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).
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For the six months ended Sept. 30, 2015, DMC paid the following sub-advisory fees:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||
$1,247,915 | $1,054,865 | $2,874,956 | $1,909,731 | $2,014,636 | $1,458,196 |
DMC has contractually agreed to waive that portion, if any, of its management fee and/or pay/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 percentages of each Fund’s average daily net assets. 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 | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||
Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2015 - July 29, 2016 | 0.92% | 1.25% | 1.09% | 1.08% | 1.34% | 1.27% | ||||||
Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2014 - July 29, 2015 | 0.95% | 1.25% | 1.12% | 1.08% | 1.36% | 1.35% |
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Trust. Those services include overseeing the Funds’ pricing process, the calculation and payment of fund expenses, and financial reporting in shareholder reports, registration statements and other regulatory filings. DIFSC also manages the process for the payment of dividends and distributions and the dissemination of Funds’ NAVs and performance data. For these services, the Funds pay DIFSC an asset-based fee, plus certain out-of-pocket expenses and transactional charges. DIFSC fees are calculated 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 DIFSC under the service agreement described above are allocated among all funds in the Trust on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting fees.” For the six months ended Sept. 30, 2015, each Fund was charged for these services as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||
$72,931 | $18,930 | $57,382 | $46,450 | $19,757 | $18,497 |
DIFSC provides the Trust with administrative services including: preparation, filing and maintaining governing documents; preparation of materials and reports for the Board; and preparation and filing of registration statements and other regulatory filings. For these administrative services, each Fund pays DIFSC 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.
DIFSC is the shareholder servicing, dividend disbursing, and transfer agent for each Fund. For these services, the Trust pays DIFSC 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
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Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
sub-transfer agency agreement between DIFSC 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 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 C shares.
For the six months ended Sept. 30, 2015, DDLP earned commissions on sales of Class A shares for each Fund as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||
$21,721 | $1,959 | $5,704 | $6,364 | $966 | $916 |
For the six months ended Sept. 30, 2015, DDLP received gross CDSC commissions on redemptions of each Fund’s Class C shares, 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 | Optimum | Optimum | Optimum | Optimum | Optimum | |||||
$5,892 | $1,211 | $3,568 | $3,684 | $628 | $547 |
DMC, DIFSC and DDLP are indirect, wholly owned subsidiaries of Delaware Management Holdings, Inc. Certain officers of DMC, DIFSC 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, 2015, each Fund made purchases and sales of investments securities other than short-term investments as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum Value Fund | |||||||||||||||||||||||||
Purchases other than U.S. government securities | $ | 2,619,565,260 | $ | 150,117,019 | $ | 693,516,446 | $ | 281,633,449 | $247,247,135 | $107,205,221 | ||||||||||||||||||||
Purchases of U.S. government securities | 3,979,350,884 | — | — | — | — | — | ||||||||||||||||||||||||
Sales other than U.S. government securities | 2,276,416,730 | 132,648,164 | 702,423,556 | 240,087,207 | 246,197,821 | 79,036,778 | ||||||||||||||||||||||||
Sales of U.S. government securities | 3,899,457,544 | — | — | — | — | — |
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At Sept. 30, 2015, 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, 2015, the cost and unrealized appreciation (depreciation) of investments for each Fund were as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||||||||||||||
Cost of investments | $ | 2,565,323,560 | $ | 557,759,100 | $ | 1,369,713,186 | $ | 1,030,783,818 | $ | 487,247,748 | $ | 467,289,202 | ||||||||||||||||||
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Aggregate unrealized appreciation of investments | $ | 35,903,860 | $ | 36,418,634 | $ | 195,827,179 | $ | 254,530,534 | $ | 63,913,107 | $ | 63,901,165 | ||||||||||||||||||
Aggregate unrealized depreciation of investments | (60,403,426 | ) | (80,755,368 | ) | (59,045,464 | ) | (67,493,592 | ) | (48,662,702 | ) | (53,921,070 | ) | ||||||||||||||||||
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Net unrealized appreciation (depreciation) of investments | $ | (24,499,566 | ) | $ | (44,336,734 | ) | $ | 136,781,715 | $ | 187,036,942 | $ | 15,250,405 | $ | 9,980,095 | ||||||||||||||||
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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, 2015, Optimum Fixed Income Fund, 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, 2015 will expire as follows:
Year of | Optimum | Optimum | ||
3/31/18 | $4,316,656 | $19,145,969 |
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. At March 31, 2015, no capital loss carryforward was incurred under the Act.
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 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 |
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Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
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.
The following tables summarize the valuation of each Fund’s investments by fair value hierarchy levels as of Sept. 30, 2015:
Optimum Fixed Income Fund | ||||||||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||
Assets: | ||||||||||||||||||||||
Agency, Asset- & | $ | — | $ | 826,267,845 | $ | — | $ | 826,267,845 | ||||||||||||||
Collateralized Debt Obligations | — | 38,768,031 | — | 38,768,031 | ||||||||||||||||||
Corporate Debt | — | 806,022,812 | — | 806,022,812 | ||||||||||||||||||
Foreign Debt | — | 86,109,396 | — | 86,109,396 | ||||||||||||||||||
Municipal Bonds | — | 42,983,309 | — | 42,983,309 | ||||||||||||||||||
Senior Secured Loans1 | — | 134,117,280 | 1,646,500 | 135,763,780 | ||||||||||||||||||
Common Stock | — | — | — | — | ||||||||||||||||||
Convertible Preferred Stock1 | 3,250,040 | 376,203 | — | 3,626,243 | ||||||||||||||||||
Preferred Stock1 | 1,632,135 | 6,224,832 | — | 7,856,967 | ||||||||||||||||||
U.S. Treasury Obligations | — | 458,140,600 | — | 458,140,600 | ||||||||||||||||||
Short-Term Investments | — | 134,695,805 | — | 134,695,805 | ||||||||||||||||||
Options Purchased | 4,032 | 585,174 | — | 589,206 | ||||||||||||||||||
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Total Value of Securities | $ | 4,886,207 | $ | 2,534,291,287 | $ | 1,646,500 | $ | 2,540,823,994 | ||||||||||||||
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Foreign Currency Exchange | $ | — | $ | 6,076,138 | $ | — | $ | 6,076,138 | ||||||||||||||
Futures Contracts | (1,276,734 | ) | — | — | (1,276,734 | ) | ||||||||||||||||
Swap Contracts | — | (10,331,531 | ) | — | (10,331,531 | ) | ||||||||||||||||
Reverse Repurchase Agreements | — | (3,279,000 | ) | — | (3,279,000 | ) | ||||||||||||||||
Options Written | (319,729 | ) | (1,026,053 | ) | — | (1,345,782 | ) |
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:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Senior Secured Loans | — | 98.79% | 1.21% | 100.00 | % | |||||||||||
Convertible Preferred Stock | 89.63 | % | 10.37% | — | 100.00 | % | ||||||||||
Preferred Stock | 20.77 | % | 79.23% | — | 100.00 | % | ||||||||||
Options Purchased | 0.68 | % | 99.32% | — | 100.00 | % |
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Optimum International Fund | ||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | 2,203,724 | $ | 7,342,932 | $ | — | $ | 9,546,656 | ||||||||
Austria | 2,669,261 | 10,346,875 | — | 13,016,136 | ||||||||||||
Belgium | — | 3,725,478 | — | 3,725,478 | ||||||||||||
Bermuda | 7,721,777 | — | — | 7,721,777 | ||||||||||||
Brazil | 6,522,520 | — | — | 6,522,520 | ||||||||||||
Canada | 18,925,834 | — | — | 18,925,834 | ||||||||||||
China/Hong Kong | 2,980,531 | 27,304,436 | — | 30,284,967 | ||||||||||||
Colombia | 2,012,790 | — | — | 2,012,790 | ||||||||||||
Czech Republic | — | 2,803,323 | — | 2,803,323 | ||||||||||||
Denmark | — | 2,735,272 | — | 2,735,272 | ||||||||||||
Finland | — | 4,169,592 | — | 4,169,592 | ||||||||||||
France | — | 17,357,016 | — | 17,357,016 | ||||||||||||
Germany | — | 12,541,461 | — | 12,541,461 | ||||||||||||
India | 5,735,174 | 9,859,470 | — | 15,594,644 | ||||||||||||
Indonesia | — | 3,893,097 | — | 3,893,097 | ||||||||||||
Ireland | 12,883,894 | 8,314,389 | — | 21,198,283 | ||||||||||||
Israel | 14,592,085 | 3,011,713 | — | 17,603,798 | ||||||||||||
Italy | — | 497,908 | — | 497,908 | ||||||||||||
Japan | 1,840,486 | 89,692,020 | — | 91,532,506 | ||||||||||||
Malaysia | — | 692,509 | — | 692,509 | ||||||||||||
Netherlands | 6,220,434 | 2,209,573 | — | 8,430,007 | ||||||||||||
New Zealand | 1,005,537 | 1,319,432 | — | 2,324,969 | ||||||||||||
Norway | 2,892,650 | 11,275,047 | — | 14,167,697 | ||||||||||||
Peru | 1,753,132 | — | — | 1,753,132 | ||||||||||||
Republic of Korea | — | 15,576,508 | — | 15,576,508 | ||||||||||||
Singapore | 2,401,982 | 10,672,526 | — | 13,074,508 | ||||||||||||
Spain | — | 8,313,729 | — | 8,313,729 | ||||||||||||
Sweden | — | 4,986,766 | — | 4,986,766 | ||||||||||||
Switzerland | 11,129,399 | 20,671,456 | — | 31,800,855 | ||||||||||||
Taiwan | — | 13,203,304 | — | 13,203,304 | ||||||||||||
Thailand | — | 2,036,726 | — | 2,036,726 | ||||||||||||
Turkey | — | 4,776,719 | — | 4,776,719 | ||||||||||||
United Kingdom | 13,621,809 | 48,327,070 | — | 61,948,879 | ||||||||||||
United States | 7,591,074 | 3,637,305 | 3,319,918 | 14,548,297 | ||||||||||||
Short-Term Investments | — | 8,627,390 | — | 8,627,390 | ||||||||||||
Securities Lending Collateral | — | 25,477,313 | — | 25,477,313 | ||||||||||||
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Total Value of Securities | $ | 124,704,093 | $ | 385,398,355 | $ | 3,319,918 | $ | 513,422,366 | ||||||||
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Foreign Currency Exchange Contracts | $ | — | $ | (2,687 | ) | $ | — | $ | (2,687 | ) |
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Table of Contents
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Large Cap Growth Fund | ||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 348,986,767 | $ | — | $ | 2,547,163 | $ | 351,533,930 | ||||||||
Consumer Staples | 74,307,119 | — | — | 74,307,119 | ||||||||||||
Energy | 18,586,520 | — | — | 18,586,520 | ||||||||||||
Financials | 67,143,731 | — | 77,269 | 67,221,000 | ||||||||||||
Healthcare | 315,182,832 | — | — | 315,182,832 | ||||||||||||
Industrials | 139,173,808 | — | — | 139,173,808 | ||||||||||||
Information Technology | 445,557,524 | 9,730,471 | — | 455,287,995 | ||||||||||||
Materials | 14,852,351 | — | — | 14,852,351 | ||||||||||||
Telecommunication Services | 3,092,620 | — | — | 3,092,620 | ||||||||||||
Utilities | 2,766,192 | — | — | 2,766,192 | ||||||||||||
Convertible Preferred Stock | — | — | 3,945,620 | 3,945,620 | ||||||||||||
U.S. Master Limited Partnerships | 7,174,813 | — | — | 7,174,813 | ||||||||||||
Short-Term Investments | — | 53,370,101 | — | 53,370,101 | ||||||||||||
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Total Value of Securities | $ | 1,436,824,277 | $ | 63,100,572 | $ | 6,570,052 | $ | 1,506,494,901 | ||||||||
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Optimum Large Cap Value Fund | ||||||||||||||||||||
Securities | Level 1 | Level 2 | Total | |||||||||||||||||
Common Stock | ||||||||||||||||||||
Consumer Discretionary | $ | 103,259,201 | $ | — | $ | 103,259,201 | ||||||||||||||
Consumer Staples | 111,528,205 | 25,534,770 | 137,062,975 | |||||||||||||||||
Energy | 155,426,200 | — | 155,426,200 | |||||||||||||||||
Financials | 305,858,432 | — | 305,858,432 | |||||||||||||||||
Healthcare | 116,091,211 | 3,965,274 | 120,056,485 | |||||||||||||||||
Industrials | 161,449,079 | — | 161,449,079 | |||||||||||||||||
Information Technology | 133,118,004 | — | 133,118,004 | |||||||||||||||||
Materials | 54,697,936 | — | 54,697,936 | |||||||||||||||||
Telecommunication Services | 11,994,172 | 2,738,452 | 14,732,624 | |||||||||||||||||
Utilities | 5,052,778 | — | 5,052,778 | |||||||||||||||||
Short-Term Investments | — | 27,107,046 | 27,107,046 | |||||||||||||||||
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Total Value of Securities | $ | 1,158,475,218 | $ | 59,345,542 | $ | 1,217,820,760 | ||||||||||||||
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Optimum Small-Mid Cap Growth Fund | ||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ 65,389,203 | $ 2,027,790 | $ — | $ 67,416,993 | ||||||||||||
Consumer Staples | 9,425,125 | — | — | 9,425,125 | ||||||||||||
Energy | 8,582,854 | — | — | 8,582,854 | ||||||||||||
Financials | 76,848,057 | — | — | 76,848,057 | ||||||||||||
Healthcare | 87,895,881 | — | — | 87,895,881 | ||||||||||||
Industrials | 98,508,182 | — | — | 98,508,182 | ||||||||||||
Information Technology | 106,289,315 | — | 357,517 | 106,646,832 | ||||||||||||
Materials | 12,426,787 | — | — | 12,426,787 | ||||||||||||
Telecommunication Services | 5,331,326 | — | — | 5,331,326 | ||||||||||||
Convertible Preferred Stock | — | — | 2,775,044 | 2,775,044 | ||||||||||||
Preferred Stock | — | — | 5,080,030 | 5,080,030 | ||||||||||||
Short-Term Investments | — | 21,561,042 | — | 21,561,042 | ||||||||||||
Total Value of Securities | $470,696,730 | $23,588,832 | $8,212,591 | $502,498,153 |
Optimum Small-Mid Cap Value Fund | ||||||||||||||||
Securities | Level 1 | Level 2 | Total | |||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ 46,887,842 | $ — | $ 46,887,842 | |||||||||||||
Consumer Staples | 12,025,486 | — | 12,025,486 | |||||||||||||
Energy | 19,121,260 | — | 19,121,260 | |||||||||||||
Financials | 44,096,973 | — | 44,096,973 | |||||||||||||
Healthcare | 26,554,614 | — | 26,554,614 | |||||||||||||
Industrials | 112,542,278 | — | 112,542,278 | |||||||||||||
Information Technology | 92,056,961 | 1,123,544 | 93,180,505 | |||||||||||||
Materials | 56,497,585 | — | 56,497,585 | |||||||||||||
Telecommunication Services | 4,465,019 | — | 4,465,019 | |||||||||||||
Utilities | 3,357,930 | — | 3,357,930 | |||||||||||||
Exchange-Traded Fund | 1,729,920 | — | 1,729,920 | |||||||||||||
U.S. Master Limited Partnership | 2,577,630 | — | 2,577,630 | |||||||||||||
Short-Term Investments | — | 54,232,255 | 54,232,255 | |||||||||||||
Total Value of Securities | $421,913,498 | $55,355,799 | $477,269,297 |
The securities deemed worthless on the “Schedules of investments” are considered to be Level 3 investments in these tables.
As a result of utilizing international fair value pricing at Sept. 30, 2015, the majority of Optimum International Fund and a portion of Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund’s common stock investments were categorized as Level 2.
During the six months ended Sept. 30, 2015, 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 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’ NAV is determined) are 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 NAV 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 between levels at the beginning of the period.
(continues | ) | 105 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
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 (except for Optimum Small-Mid Cap Growth Fund). Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to each Fund’s net assets at the end of the period.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value for Optimum Small-Mid Cap Growth Fund:
Common Stock | Convertible Preferred Stock | Preferred Stock | Total | ||||||||||||||||||||||||||||||||||||||||||
Beginning balance March 31, 2015 | $133,374 | $ 717,534 | $5,544,101 | $6,395,009 | |||||||||||||||||||||||||||||||||||||||||
Purchases | — | 1,973,626 | 474,105 | 2,447,731 | |||||||||||||||||||||||||||||||||||||||||
Sales | — | — | (744,963 | ) | (744,963 | ) | |||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 224,143 | 83,884 | (193,213 | ) | 114,814 | ||||||||||||||||||||||||||||||||||||||||
Ending balance Sept. 30, 2015 | $357,517 | $2,775,044 | $5,080,030 | $8,212,591 | |||||||||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) from investments still held at the end of the period | $224,143 | $ 83,884 | $ (44,731 | ) | $ 263,296 |
Sensitivity Analysis for Optimum Small-Mid Cap Growth Fund
Valuation: 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. Each Fund fair values its financial instruments at fair value using independent pricing sources under the policies approved by the Board. The Pricing Committee is the committee formed by the advisor to develop pricing policies and procedures and to provide oversight of the pricing function for the Funds.
When market quotations are not readily available for one or more portfolio securities, the Funds’ NAV shall be calculated by using the “fair value” of the securities as determined by the Pricing Committee. Such “fair value” is the amount that a Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination should be based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the size of the holding, (iii) the initial cost of the security, (iv) the existence of any contractual restrictions of the security’s disposition, (v) the price and extent of public trading in similar securities of the issuer or of comparable companies, (vi) quotations or evaluated prices from broker/dealers and/or pricing services, (vii) information obtained from the issuer, analysts, and/or appropriate stock exchange (for exchange-traded securities), (viii) an analysis of the company’s financial statements, and (ix) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The Pricing Committee, or its delegate, employs various methods for calibrating these valuation approaches, including due diligence of the Funds’ pricing vendors and periodic back-testing of the prices that are fair valued under these procedures and reviews of any market related activity. The pricing of all securities fair valued by the Pricing Committee is subsequently reported to and approved by the Board on a quarterly basis.
Quantitative information about Level 3 fair value measurements for Optimum Small-Mid Cap Growth Fund:
Fair Value at Sept. 30, 2015 | Valuation Techniques | Unobservable Input | Range (Weighted Average) | |||||||
Common stock $357,517 | Valuation from client or fair value committee | Market pricing of securities | N/A | |||||||
Convertible Preferred stock $2,775,044 | Valuation from client or fair value committee | Market pricing of securities | N/A | |||||||
Preferred stock $5,080,030 | Valuation from client or fair value committee | Market pricing of securities | N/A |
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Table of Contents
4. Capital Shares
Transactions in capital shares were as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | ||||||||||||||||||||||
Six months ended 9/30/15 | Year ended 3/31/15 | Six months ended 9/30/15 | Year ended 3/31/15 | Six months ended 9/30/15 | Year ended 3/31/15 | |||||||||||||||||||
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Shares sold: | ||||||||||||||||||||||||
Class A | 297,830 | 701,373 | 58,159 | 144,856 | 72,591 | 238,790 | ||||||||||||||||||
Class B | — | 2,158 | — | 625 | — | — | ||||||||||||||||||
Class C | 1,266,981 | 2,431,086 | 212,216 | 449,982 | 273,199 | 739,198 | ||||||||||||||||||
Institutional Class | 26,122,469 | 57,659,471 | 4,711,367 | 14,726,160 | 8,413,177 | 25,086,102 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | — | 101,608 | — | 9,420 | — | 293,955 | ||||||||||||||||||
Class B | — | 359 | — | 49 | — | 2,683 | ||||||||||||||||||
Class C | — | 258,942 | — | 5,556 | — | 1,166,611 | ||||||||||||||||||
Institutional Class | — | 4,439,558 | — | 683,957 | — | 7,964,010 | ||||||||||||||||||
27,687,280 | 65,594,555 | 4,981,742 | 16,020,605 | 8,758,967 | 35,491,349 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class A | (386,471 | ) | (896,505 | ) | (72,689 | ) | (168,763 | ) | (223,244 | ) | (515,858 | ) | ||||||||||||
Class B | — | (55,793 | ) | — | (16,823 | ) | — | (47,783 | ) | |||||||||||||||
Class C | (1,523,567 | ) | (2,506,285 | ) | (261,380 | ) | (385,205 | ) | (951,100 | ) | (1,385,681 | ) | ||||||||||||
Institutional Class | (18,476,556 | ) | (32,380,914 | ) | (3,454,060 | ) | (21,241,770 | ) | (7,515,859 | ) | (13,882,557 | ) | ||||||||||||
(20,386,594 | ) | (35,839,497 | ) | (3,788,129 | ) | (21,812,561 | ) | (8,690,203 | ) | (15,831,879 | ) | |||||||||||||
Net increase (decrease) | 7,300,686 | 29,755,058 | 1,193,613 | (5,791,956 | ) | 68,764 | 19,659,470 |
Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||||||||||||||||||
Six months ended | Year ended | Six months ended | Year ended | Six months ended | ||||||||||||||||||||
9/30/15 | 3/31/15 | 9/30/15 | 3/31/15 | 9/30/15 | 3/31/15 | |||||||||||||||||||
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Shares sold: | ||||||||||||||||||||||||
Class A | 81,657 | 245,216 | 18,048 | 48,945 | 18,729 | 40,325 | ||||||||||||||||||
Class C | 265,588 | 713,968 | 58,366 | 145,303 | 56,061 | 126,685 | ||||||||||||||||||
Institutional Class | 8,419,016 | 19,341,523 | 3,744,708 | 8,637,127 | 4,453,829 | 9,504,226 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | — | 24,712 | — | 44,321 | — | 32,193 | ||||||||||||||||||
Class B | — | 186 | — | 323 | — | 295 | ||||||||||||||||||
Class C | — | 26,420 | — | 176,249 | — | 136,318 | ||||||||||||||||||
Institutional Class | — | 911,059 | — | 2,854,903 | — | 2,434,118 | ||||||||||||||||||
8,766,261 | 21,263,084 | 3,821,122 | 11,907,171 | 4,528,619 | 12,274,160 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class A | (192,530 | ) | (451,499 | ) | (38,140 | ) | (94,337 | ) | (33,634 | ) | (80,560 | ) | ||||||||||||
Class B | — | (42,763 | ) | — | (8,898 | ) | — | (8,274 | ) | |||||||||||||||
Class C | (673,383 | ) | (1,113,280 | ) | (159,014 | ) | (228,076 | ) | (121,526 | ) | (227,298 | ) | ||||||||||||
Institutional Class | (6,170,373 | ) | (13,915,080 | ) | (3,130,063 | ) | (5,717,697 | ) | (2,882,932 | ) | (5,333,870 | ) | ||||||||||||
(7,036,286 | ) | (15,522,622 | ) | (3,327,217 | ) | (6,049,008 | ) | (3,038,092 | ) | (5,650,002 | ) | |||||||||||||
Net increase | 1,729,975 | 5,740,462 | 493,905 | 5,858,163 | 1,490,527 | 6,624,158 |
(continues | ) | 107 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
4. Capital Shares (continued)
Certain shareholders may exchange shares of one class for another class in the same Fund. For the six months ended Sept. 30, 2015 and year ended March 31, 2015, each Fund had the following exchange transactions. These exchange transactions are included as subscriptions and redemptions in the table above and the “Statements of changes in net assets.”
Six months ended 9/30/15 | Year ended 3/31/15 | |||||||||||||||||||||||||||||
Exchange Redemptions | Exchange Subscriptions | Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||||||||||
Class C Shares | Class A | Value | Class C Shares | Institutional Class Shares | Value | |||||||||||||||||||||||||
Optimum Fixed Income Fund | 10,722 | 10,688 | $ | 102,288 | 978 | 973 | $ | 9,437 | ||||||||||||||||||||||
Optimum International Fund | 1,512 | 1,476 | 17,448 | 133 | 129 | 1,532 | ||||||||||||||||||||||||
Optimum Large Cap Growth Fund | 4,535 | 4,109 | 73,970 | 381 | 336 | 5,988 | ||||||||||||||||||||||||
Optimum Large Cap Value Fund | 3,867 | 3,821 | 61,640 | 362 | 357 | 5,700 | ||||||||||||||||||||||||
Optimum Small-Mid Cap Growth Fund | 837 | 753 | 11,843 | 68 | 59 | 962 | ||||||||||||||||||||||||
Optimum Small-Mid Cap Value Fund | 652 | 587 | 7,731 | 60 | 52 | 764 |
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 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. 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. 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.
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.
During the six months ended Sept. 30, 2015, Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, and Optimum Small-Mid Cap Growth 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/or to facilitate or expedite the settlement of portfolio transactions.
During the six months ended Sept. 30, 2015, Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, and Optimum Small-Mid Cap Growth Fund held foreign currency exchange contracts which are reflected on the “Statements of operations” under “Net realized and unrealized gain (loss) on foreign currency exchange contracts.” Optimum Small-Mid Cap Value Fund did not hold any foreign currency exchange contracts during the six months ended Sept. 30, 2015.
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
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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. The Fund posted $6,628,030 in securities collateral as margin for open futures contracts, which is presented on the “Statements of assets and liabilities” as “Cash collateral due from brokers.”
During the six months ended Sept. 30, 2015, 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.
Transactions in options written during the six months ended Sept. 30, 2015 for Optimum Fixed Income Fund were as follows:
Call options | Number of contracts | Premiums | ||||||
Options outstanding March 31, 2015 | 2,200,159 | $ | 113,934 | |||||
Options written | 71,124,816 | 1,111,504 | ||||||
Options expired | (45,201,383 | ) | (460,679 | ) | ||||
Options terminated in closing purchase transactions | (923,393 | ) | (242,154 | ) | ||||
|
|
|
| |||||
Options outstanding Sept. 30, 2015 | 27,200,199 | $ | 522,605 | |||||
|
|
|
| |||||
Put options | Number of contracts | Premiums | ||||||
Options outstanding March 31, 2015 | 41,700,159 | $ | 159,598 | |||||
Options written | 332,046,624 | 1,940,894 | ||||||
Options expired | (88,100,261 | ) | (551,256 | ) | ||||
Options terminated in closing purchase transactions | (66,846,229 | ) | (279,388 | ) | ||||
|
|
|
| |||||
Options outstanding Sept. 30, 2015 | 218,800,293 | $ | 1,269,848 | |||||
|
|
|
|
During the six months ended Sept. 30, 2015, 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, to facilitate investments in portfolio securities, and to manage the Fund’s exposure to changes in foreign currencies.
(continues | ) | 109 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
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 use inflation swaps to hedge the inflation risk in nominal bonds, thereby creating synthetic inflation-indexed bonds. 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.
Inflation Swaps. Inflation swap agreements involve commitments to pay a regular stream of inflation-indexed cash payments in exchange for receiving a stream of nominal interest payments (or vice versa), where both payment streams are based on notional amounts. The nominal interest payments may be based on either a fixed interest rate or variable interest rate such as the London Interbank Offered Rate (LIBOR). The change in value of swap contracts outstanding, if any, is recorded as unrealized appreciation or depreciation. A realized gain or loss is recorded on maturity or termination of the swap contract. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated, for bilateral swap contracts, by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
During the six months ended Sept. 30, 2015, Optimum Fixed Income Fund used inflation swaps to hedge the inflation risk in nominal bonds (i.e., non-inflation-protected bonds) thereby creating “synthetic” inflation-indexed bonds.
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. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by (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, 2015, 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.
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, 2015, 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.
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As disclosed in the footnotes to the “Schedules of investments,” at Sept. 30, 2015, the notional value of the protection sold was EUR 7,000,000 and USD 94,360,000, 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, 2015, net unrealized depreciation of the protection sold was $1,485,151.
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, 2015, Optimum Fixed Income Fund used CDS contracts to hedge against credit events, 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, 2015, for bilateral swap contracts, Optimum Fixed Income Fund posted $3,031,000 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 $2,345,566 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, 2015, the Fund received $9,455,000 in cash collateral and $1,535,245 in securities collateral for certain open derivatives. Cash collateral received is presented as “Cash collateral due to brokers” on the “Statements of assets and liabilities.”
Fair values of derivative instruments for Optimum Fixed Income Fund as of Sept. 30, 2015 were as follows:
Asset Derivatives Fair Value | |||||||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts | Interest rate Contracts | Credit Contracts | Total | |||||||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | $7,048,746 | $ — | $ — | $ 7,048,746 | |||||||||||||||||||||
Variation margin due from broker on futures contracts* | 15,879 | 3,672,094 | — | 3,687,973 | |||||||||||||||||||||
Unrealized appreciation on swap contracts | — | 182,475 | 498,180 | 680,655 | |||||||||||||||||||||
Variation margin due from broker on centrally cleared swap contracts | — | 418,669 | 37,093 | 455,762 | |||||||||||||||||||||
Total | $7,064,625 | $4,273,238 | $535,273 | $11,873,136 | |||||||||||||||||||||
Liability Derivatives Fair Value | |||||||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts | Interest Contracts | Credit Contracts | Total | |||||||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | $ (972,608 | ) | $ — | $ — | $(972,608 | ) | |||||||||||||||||||
Variation margin due to broker on futures contracts* | (3,378,754 | ) | (1,585,953 | ) | — | (4,964,707 | ) | ||||||||||||||||||
Options written, at value | (692,888 | ) | (652,894 | ) | — | (1,345,782 | ) | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | (9,886,901 | ) | (1,581,047 | ) | (11,467,948 | ) | ||||||||||||||||||
Total | $(5,044,250 | ) | $(12,125,748 | ) | $(1,581,047 | ) | $(18,751,045 | ) |
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts are opened through Sept. 30, 2015. Only current day variation margin is reported on Optimum Fixed Income Fund’s “Statements of assets and liabilities.”
(continues | ) | 111 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
The effect of derivative instruments on the Optimum Fixed Income Fund’s “Statements of operations” for the six months ended Sept. 30, 2015 was as follows:
Net Realized Gain (Loss) on: | |||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Written | Swap Contracts | Total | |||||||||||||||||||||
Currency contracts | $ | 4,210,363 | $ | (106,776 | ) | $ | 658,663 | $ | — | $ | 4,762,250 | ||||||||||||||
Interest rate contracts | — | (1,246,488 | ) | 611,493 | 2,721,576 | 2,086,581 | |||||||||||||||||||
Credit contracts | — | — | 39,207 | 115,194 | 154,401 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 4,210,363 | $ | (1,353,264 | ) | $ | 1,309,363 | $ | 2,836,770 | $ | 7,003,232 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
Net Change in Unrealized Appreciation (Depreciation) of: | |||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Written | Swap Contracts | Total | |||||||||||||||||||||
Currency contracts | $ | (1,790,859 | ) | $ | (2,443,815 | ) | $ | (55,358 | ) | $ | — | $ | (4,290,032 | ) | |||||||||||
Interest rate contracts | — | 1,932,635 | 453,443 | (6,373,080 | ) | (3,987,002 | ) | ||||||||||||||||||
Credit contracts | — | — | (19,476 | ) | (1,017,164 | ) | (1,036,640 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | (1,790,859 | ) | $ | (511,180 | ) | $ | 378,609 | $ | (7,390,244 | ) | $ | (9,313,674 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
Derivatives generally. The tables below summarize the average balance of derivative holdings by the Funds during the six months ended Sept. 30, 2015. During the six months ended Sept. 30, 2015, Optimum Small-Mid Cap Value Fund did not enter into any derivative contracts.
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 | 81,957,424 | USD | 538,114 | USD | 25,365 | USD | 7,075 | USD | 18,662 | ||||||||||
Futures contracts | 187,073,486 | — | — | — | — | |||||||||||||||
Options contracts | 526,238 | — | — | — | — | |||||||||||||||
CDS contracts | EUR | 3,178,032 | — | — | — | — | ||||||||||||||
USD | 11,036,851 | — | — | — | — | |||||||||||||||
Inflation swap contracts | 242,520 | — | — | — | — | |||||||||||||||
Interest rate swap contracts | BRL | 14,729,134 | — | — | — | — | ||||||||||||||
EUR | 7,936,220 | — | — | — | — | |||||||||||||||
GBP | 3,200,000 | |||||||||||||||||||
MXN | 768,003,150 | |||||||||||||||||||
USD | 227,202,283 | — | — | — | — |
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Table of Contents
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 | USD | 293,092,183 | USD | 450,541 | USD | 59,845 | USD | 10,102 | USD | 11,079 | ||||||||||
Futures contracts | 802,312,187 | — | — | — | — | |||||||||||||||
Options contracts | 716,090 | — | — | — | — | |||||||||||||||
CDS contracts | EUR | 3,487,402 | — | — | — | — | ||||||||||||||
USD | 40,979,748 | — | — | — | — |
*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 expanded disclosure requirements on the offsetting of certain assets and liabilities. The 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 require 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 clarified 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 was 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, each Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain 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, each Fund may, under certain 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), 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 on the “Statements of assets and liabilities.”
(continues | ) | 113 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
6. Offsetting (continued)
At Sept. 30, 2015, Optimum Fixed Income Fund and Optimum International 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 | $ | 559,365 | $ | (197,693 | ) | $ | 361,672 | ||||||||
BNP Paribas | 75,822 | (95,260 | ) | (19,438 | ) | ||||||||||
Citigroup Global Markets | 4,732,271 | (166,505 | ) | 4,565,766 | |||||||||||
Deutsche Bank | 1,606,876 | (314,519 | ) | 1,292,357 | |||||||||||
Goldman Sachs | 49,583 | — | 49,583 | ||||||||||||
Hong Kong Shanghai Bank | 11,676 | — | 11,676 | ||||||||||||
JPMorgan Chase Bank | 832,197 | (1,037,919 | ) | (205,722 | ) | ||||||||||
Morgan Stanley Capital | 451,264 | — | 451,264 | ||||||||||||
Toronto Dominion Bank | 11,630 | (5,953 | ) | — | |||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 8,330,684 | $ | (1,817,849 | ) | $ | 6,512,835 | ||||||||
|
|
|
|
|
|
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 Exposure(a) | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | 361,672 | $ | (110,705 | ) | $ | — | $ | — | $ | — | $ | 250,967 | |||||||||||||||||
BNP Paribas | (19,438 | ) | — | — | — | — | (19,438 | ) | ||||||||||||||||||||||
Citigroup Global Markets | 4,565,766 | — | (4,565,766 | ) | — | — | — | |||||||||||||||||||||||
Deutsche Bank | 1,292,357 | — | (1,292,357 | ) | — | — | — | |||||||||||||||||||||||
Goldman Sachs | 49,583 | — | — | — | — | 49,583 | ||||||||||||||||||||||||
Hong Kong Shanghai Bank | 11,676 | — | — | — | — | 11,676 | ||||||||||||||||||||||||
JPMorgan Chase Bank | (205,722 | ) | — | — | — | — | (205,722 | ) | ||||||||||||||||||||||
Morgan Stanley Capital | 451,264 | — | (70,000 | ) | — | — | 381,264 | |||||||||||||||||||||||
Toronto Dominion Bank | 5,677 | — | — | — | — | 5,677 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 6,512,835 | $ | (110,705 | ) | $ | (5,928,123 | ) | $ | — | $ | — | $ | 474,007 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
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|
|
Optimum International Fund
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
Brown Brothers Harriman | $ | — | $ | (1,713 | ) | $ | (1,713 | ) | |||||||
BNY Mellon | 2,268 | (1,467 | ) | 801 | |||||||||||
State Street Bank | — | (1,775 | ) | (1,775 | ) | ||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 2,268 | $ | (4,955 | ) | $ | (2,687 | ) | |||||||
|
|
|
|
|
|
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Table of Contents
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 Exposure(a) | ||||||||||||||||||||||||
Brown Brothers Harriman | $ | (1,713 | ) | $ | — | $ | — | $ | — | $ | — | $ | (1,713 | ) | ||||||||||||||||
BNY Mellon | 801 | — | — | — | — | 801 | ||||||||||||||||||||||||
State Street Bank | (1,775 | ) | — | — | — | — | (1,775 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (2,687 | ) | $ | — | $ | — | $ | — | $ | — | $ | (2,687 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
Repurchase agreements are entered into by a Fund under Master Repurchase Agreements (each, an “MRA”). The MRA permits a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, a Fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund would recognize a liability with respect to such excess collateral. The liability reflects a Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of Sept. 30, 2015, the following tables is a summary of each Fund’s repurchase agreements by counterparty which are subject to offset under an MRA:
Optimum Fixed Income Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 10,959,999 | $ | (10,959,999 | ) | $ | — | $ | (10,959,999 | ) | $ | — | |||||||||||||
Bank of Montreal | 18,266,665 | (18,266,665 | ) | — | (18,266,665 | ) | — | ||||||||||||||||||
BNP Paribas | 32,933,336 | (32,933,336 | ) | — | (32,933,336 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 62,160,000 | $ | (62,160,000 | ) | $ | — | $ | (62,160,000 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum International Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 491,754 | $ | (491,754 | ) | $ | — | $ | (491,754 | ) | $ | — | |||||||||||||
Bank of Montreal | 819,590 | (819,590 | ) | — | (819,590 | ) | — | ||||||||||||||||||
BNP Paribas | 1,477,656 | (1,477,656 | ) | — | (1,477,656 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 2,789,000 | $ | (2,789,000 | ) | $ | — | $ | (2,789,000 | ) | $ | — | |||||||||||||
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(continues | ) | 115 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
6. Offsetting (continued)
Optimum Large Cap Growth Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 5,874,778 | $ | (5,874,778 | ) | $ | — | $ | (5,874,778 | ) | $ | — | |||||||||||||
Bank of Montreal | 9,791,297 | (9,791,297 | ) | — | (9,791,297 | ) | — | ||||||||||||||||||
BNP Paribas | 17,652,925 | (17,652,925 | ) | — | (17,652,925 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 33,319,000 | $ | (33,319,000 | ) | $ | — | $ | (33,319,000 | ) | $ | — | |||||||||||||
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|
|
|
|
|
|
| ||||||||||||||||
Optimum Large Cap Value Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 4,013,201 | $ | (4,013,201 | ) | $ | — | $ | (4,013,201 | ) | $ | — | |||||||||||||
Bank of Montreal | 6,688,667 | (6,688,667 | ) | — | (6,688,667 | ) | — | ||||||||||||||||||
BNP Paribas | 12,059,132 | (12,059,132 | ) | — | (12,059,132 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 22,761,000 | $ | (22,761,000 | ) | $ | — | $ | (22,761,000 | ) | $ | — | |||||||||||||
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|
|
|
|
|
Optimum Small-Mid Cap Growth Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 1,611,910 | $ | (1,611,910 | ) | $ | — | $ | (1,611,910 | ) | $ | — | |||||||||||||
Bank of Montreal | 2,686,516 | (2,686,516 | ) | — | (2,686,516 | ) | — | ||||||||||||||||||
BNP Paribas | 4,843,574 | (4,843,574 | ) | — | (4,843,574 | ) | — | ||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 9,142,000 | $ | (9,142,000 | ) | $ | — | $ | (9,142,000 | ) | $ | — | |||||||||||||
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|
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|
|
|
|
|
|
|
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 4,444,125 | $ | (4,444,125 | ) | $ | — | $ | (4,444,125 | ) | $ | — | |||||||||||||
Bank of Montreal | 7,406,874 | (7,406,874 | ) | — | (7,406,874 | ) | — | ||||||||||||||||||
BNP Paribas | 13,354,001 | (13,354,001 | ) | — | (13,354,001 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 25,205,000 | $ | (25,205,000 | ) | $ | — | $ | (25,205,000 | ) | $ | — | |||||||||||||
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|
(a)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default.
Reverse repurchase agreements
Borrowed bond agreements, repurchase, reverse repurchase transactions, and treasury roll transactions are entered into by Optimum Fixed Income Fund under MRA which permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With reverse repurchase transactions, borrowed bond agreements and treasury roll transactions, typically the Fund and
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the counterparties are permitted to sell, repledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered unsecured creditors with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of Sept. 30, 2015, the following table is a summary of Optimum Fixed Income Fund’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Optimum Fixed Income Fund | |||||||||||||||||||||||||
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Pledged | Net Collateral Pledged | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | (609,000 | ) | $ | 609,000 | $ | — | $ | 609,000 | $ | — | ||||||||||||||
BNP Paribas | (949,000 | ) | 949,000 | — | 949,000 | — | |||||||||||||||||||
RBC Capital Markets | (1,721,000 | ) | 1,721,000 | — | 1,721,000 | — | |||||||||||||||||||
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|
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|
|
| ||||||||||||||||
Total | $ | (3,279,000 | ) | $ | 3,279,000 | $ | — | $ | 3,279,000 | $ | — | ||||||||||||||
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In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Fund’s obligation to repurchase the securities.
Securities Lending
Securities lending transactions are entered into by Optimum International Fund under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
As of Sept. 30, 2015, the following table is a summary of Optimum International Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value | Cash Collateral Received(b) | Fair value of Non-Cash Collateral Received(b) | Net Amount | Collateral Value | |||||
The Bank of New York Mellon | $25,873,541 | $(25,477,313) | $(1,088,896) | $(692,668) | $25,477,313 |
(a)Net exposure represents the net receivable (payable) that would be due from (to) the counterparty in the event of default.
(b) Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes.
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
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Notes to financial statements
Optimum Fund Trust
7. Securities Lending (continued)
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 the 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 NAV 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 NAV 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.
Investments purchased with cash collateral are presented on the schedules of investments under the caption “Securities Lending Collateral.” At Sept. 30, 2015, 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.
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.
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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, 2015. 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 promulgated under the Securities Act of 1933 (the Act), as amended, and other securities which may not be readily marketable. The Funds may also invest in securities exempt from registration under Section 4(a)(2) of the Act, which exempts from registration transactions by an issuer not involving any public offering. The relative illiquidity of these securities may impair the Funds from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Funds’ Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Funds’ limitation on investments in illiquid 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.”
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Notes to financial statements
Optimum Fund Trust
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 May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share.” The amendments in this update are effective for the Funds for fiscal years beginning after Dec. 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at NAV per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. At this time, management is evaluating the implications of ASU No. 2015-07 and its impact on the financial statement disclosures has not yet been determined.
11. General Motors Term Loan Litigation
Optimum Fixed Income Fund received notice of a litigation proceeding related to a General Motors Corporation (G.M.) term loan participation previously held by the Fund in 2009.We believe the matter subject to the litigation notice will likely lead to a recovery from the Fund of certain amounts received by the Fund because a U.S. Court of Appeals has ruled that the Fund and similarly situated investors were unsecured creditors rather than secured lenders of G. M. as a result of an erroneous UCC filing made by a third party. The Fund received the full principal on the loans in 2009 after the G.M. bankruptcy. However, based upon the court ruling the estate is seeking to recover such amounts arguing that, as unsecured creditors, the Fund should not have received payment in full. Based upon currently available information related to the litigation and the Fund’s potential exposure, the Fund booked a net liability of $970,052 that resulted in a decrease in the Fund’s net asset value to reflect this likely recovery.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to Sept. 30, 2015 that would require recognition or disclosure in the Funds’ financial statements.
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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, 2015
At a meeting held Sept. 17-18, 2015, 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, 2015 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 and subsidiary of Broadridge Inc. (“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. In this regard, the Independent Trustees reviewed with independent counsel their legal duties and obligations in connection with the approval and/or renewal of investment management and other agreements with DMC, its affiliates and the sub-advisers and discussed, in detail, the matters related to such approvals. While the Investment Management Agreement and related Sub-Advisory Agreements for all Funds were considered at this Meeting, the Board dealt with each Fund separately. 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. Following discussions in this regard, 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 (including Management personnel who had recently joined the firm or been promoted over the past year), the quality and thoroughness of the monitoring of each Fund’s investment performance, 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 Sept. 17-18, 2015 meeting), particular attention in assessing performance was given to the Lipper Reports furnished in connection with the contract renewals. The Lipper Reports prepared for
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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, 2015 (continued)
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, 2015, as well as the three, five and ten year periods ended that date. In addition, the Board reviewed calendar year returns for each of the Fund’s sub-advisers. 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 plus bond 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 in the lowest performing quintile of its Performance Universe for the previous three year period, the second lowest performing quintile of such Universe for the previous five year period, and in the second highest performing quintile of such Universe for the previous ten year period. The Board discussed with Management the reasons for the Fund’s relative underperformance. Given that the Fund had demonstrated a good performance track record over the longer, ten year period, the Trustees found such overall comparative results to be acceptable.
Optimum International Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional international multi-cap growth 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, five year and ten year periods. The Board discussed with Management the reasons for the Fund’s relative underperformance. It was noted that EARNEST Partners, LLC (“EARNEST”) was appointed as a sub-adviser to the Fund in October 2013, and that EARNEST’s sleeve of the Fund had outperformed the Fund’s benchmark on a gross performance basis during 2014. In addition, Management noted that Acadian Asset Management LLC (“Acadian”) had recently replaced BlackRock Advisers, LLC as the second sub-adviser on the Fund in January 2015 and that Acadian’s early performance returns had been encouraging. While the Trustees were not satisfied with the Fund’s overall comparative performance noted in the Lipper Report, they believed Management was taking appropriate actions to improve performance, noting the appointments of both EARNEST and Acadian as sub-advisers to the Fund.
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 highest performing quintile of its Lipper Performance Universe for the one year period, and on an annualized basis to be in the highest performing quintile of its Lipper Universe for the three year period, the second highest quintile of the Performance Universe for the five year period, and the middle performing quintile for the ten year period. 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 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 Lipper Performance Universe for the one year period, and on an annualized basis to be in the lowest performing quintile of its Lipper Universe for the three year period and the second lowest performing quintile of the Performance Universe for each of five and ten year periods. The Trustees discussed with Management the reasons for the relative underperformance for the Fund. Management noted that a significant amount of the Fund’s overall underperformance had related to the Fund’s severe underperformance versus the Fund’s benchmark in 2014. Except with respect to performance in 2014, both sub-advisers on the Fund (Massachusetts Financial Services Company and Herndon Capital Management, LLC (“Herndon”)) had performed well over the past five full calendar years, and the Fund had beaten its benchmark on a gross performance basis in 2010, 2011 (Herndon’s first full year as a sub-adviser to the Fund), 2012 and 2013. In addition, the Fund outperformed its benchmark on a gross performance basis for the 6 months ended June 30, 2015. 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 second lowest performing quintile of its Lipper Performance Universe for the one year period, and on an annualized basis to be in the second lowest performing quintile of such Universe for the previous three and five year periods 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. It was also noted that the Fund had performed relatively better when looking at calendar year returns in 2012 and 2014. While the Trustees were not satisfied with such comparative results and intend to closely monitor future performance, they
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believe that Management is reviewing such performance closely and has confidence in Management’s ability to determine whether measures should be taken in order to address such performance.
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 lowest performing quintile of its Lipper Performance Universe for the one year period, and on an annualized basis to also be in the lowest performing quintile of such Universe for the three year period, the second lowest performing quintile of such Universe for the five year period, and the lowest performing quintile of such Universe for the ten year period. The Trustees discussed with Management the reasons for the Fund’s relative underperformance. Despite the Fund’s underperformance versus its benchmark in 2014, it was noted that the Fund had outperformed its benchmark in 3 of the 4 calendar years prior to 2014 on a gross performance basis and the Fund was outperforming its benchmark on a year-to-date, gross performance basis through June 30, 2015. 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.
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 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 12 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 and investment management fees (taking into account expense waivers) of each Fund to be the highest or towards the highest in its respective Lipper Expense Group. The Lipper Report also provided information on the actual total expenses (taking into account expense waivers) for each Fund versus a broader Lipper Expense Universe. This portion of the Lipper Report showed that the Funds’ actual total expense percentile rankings versus the Lipper Expense Universe materially improved as compared to the Funds’ rankings versus the 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, 2016, which were the same or more favorable to shareholders of each Fund than the caps on expenses that were applicable through July 29, 2015. The Trustees also noted that Management had agreed to a restructuring and overall reduction in fees charged to the Funds through several mechanisms: a lowering of the Funds’ fees by service providers affiliated with DMC that was fully completed on Jan. 1, 2014; a reduction 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 effective on Nov. 1, 2013; and Management agreeing 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. The Trustees noted that the Funds’ overall expenses were lower as a result of the above initiatives. 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 the information made available by the sub-advisers 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
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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, 2015 (continued)
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 of 2002, 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 $567 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, Optimum Large Cap Growth Fund and Optimum Small-Mid Cap Value Fund, as of June 30, 2015, 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.
Proxy Results
At Special Meetings of Shareholders of Optimum Fund Trust (the “Trust”), on behalf of Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Value Fund, Optimum Large Cap Growth Fund, Optimum Small-Mid Cap Value Fund, and Optimum Small-Mid Cap Growth Fund (each, a “Fund” and together, the “Funds”) held on Sept. 15, 2015 and reconvened on Oct. 14, 2015, the shareholders of each Trust/each Fund voted to: (i) elect a Board of Trustees for each Trust; (ii) revise the fundamental investment restriction relating to lending for each Fund; (iii) approve the implementation of a new “manager of managers” order for each Fund; and (iv) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
At the reconvened meeting on Oct. 14, 2015, the following people were elected to serve as Independent Trustees: Robert J. Christian; Durant Adams Hunter; Pamela J. Moret; Stephen P. Mullin; Robert A. Rudell; and Jon Socolofsky. In addition, Shawn K. Lytle and Dan Arnold were elected to serve as Interested Trustees. In addition, shareholders approved the revision to the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
The Special Meeting of Shareholders of the Trust has been adjourned to Nov. 24, 2015 for the following proposals: (i) to approve the implementation of a new “manager of managers” order for each Fund and (ii) to revise the fundamental investment restriction relating to lending for each Fund. As of the print date of this Semiannual Report, the results of this adjourned meeting were not available.
The following proposals were submitted and passed by a vote of the shareholders on Oct. 14, 2015:
1. To elect a Board of Trustees for the Optimum Fund Trust.
A quorum of shares outstanding for the Trust was present, and the votes passed with a plurality of these shares. The results were as follows:
Dan Arnold
| ||||
Shares voted for | 206,656,234.380 | |||
Percentage of outstanding shares | 40.888 | % | ||
Percentage of shares voted | 97.982 | % | ||
Shares withheld | 4,256,558.200 | |||
Percentage of outstanding shares | 0.842 | % | ||
Percentage of shares voted | 2.018 | % |
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Robert J. Christian
| ||||
Shares voted for | 206,636,384.617 | |||
Percentage of outstanding shares | 40.884 | % | ||
Percentage of shares voted | 97.973 | % | ||
Shares withheld | 4,276,407.963 | |||
Percentage of outstanding shares | 0.846 | % | ||
Percentage of shares voted | 2.027 | % | ||
Durant Adams Hunter
| ||||
Shares voted for | 206,580,600.389 | |||
Percentage of outstanding shares | 40.873 | % | ||
Percentage of shares voted | 97.946 | % | ||
Shares withheld | 4,332,192.191 | |||
Percentage of outstanding shares | 0.857 | % | ||
Percentage of shares voted | 2.054 | % | ||
Shawn K. Lytle
| ||||
Shares voted for | 206,604,957.829 | |||
Percentage of outstanding shares | 40.878 | % | ||
Percentage of shares voted | 97.958 | % | ||
Shares withheld | 4,307,834.751 | |||
Percentage of outstanding shares | 0.852 | % | ||
Percentage of shares voted | 2.042 | % | ||
Pamela J. Moret
| ||||
Shares voted for | 206,643,941.916 | |||
Percentage of outstanding shares | 40.886 | % | ||
Percentage of shares voted | 97.977 | % | ||
Shares withheld | 4,268,850.664 | |||
Percentage of outstanding shares | 0.844 | % | ||
Percentage of shares voted | 2.023 | % | ||
Stephen P. Mullin
| ||||
Shares voted for | 206,625,290.728 | |||
Percentage of outstanding shares | 40.882 | % | ||
Percentage of shares voted | 97.968 | % | ||
Shares withheld | 4,287,501.852 | |||
Percentage of outstanding shares | 0.848 | % | ||
Percentage of shares voted | 2.032 | % | ||
Robert A. Rudell
| ||||
Shares voted for | 206,604,451.218 | |||
Percentage of outstanding shares | 40.878 | % | ||
Percentage of shares voted | 97.958 | % | ||
Shares withheld | 4,308,341.362 | |||
Percentage of outstanding shares | 0.852 | % | ||
Percentage of shares voted | 2.042 | % | ||
Jon Socolofsky
| ||||
Shares voted for | 206,561,757.896 | |||
Percentage of outstanding shares | 40.870 | % | ||
Percentage of shares voted | 97.938 | % | ||
Shares withheld | 4,351,034.684 | |||
Percentage of outstanding shares | 0.860 | % | ||
Percentage of shares voted | 2.062 | % |
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Other Fund information
(Unaudited)
Optimum Fund Trust
Proxy Results (continued)
2. To revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon Board demand.
A quorum of shares outstanding for the Trust was present, and the votes passed with a majority of those shares. The results were as follows:
Optimum Fund Trust
Shares voted for | 162,370,597.919 | |||
Percentage of outstanding shares | 32.126 | % | ||
Percentage of shares voted | 76.985 | % | ||
Shares voted against | 5,604,318.922 | |||
Percentage of outstanding shares | 1.109 | % | ||
Percentage of shares voted | 2.657 | % | ||
Shares abstained | 7,696,272.936 | |||
Percentage of outstanding shares | 1.522 | % | ||
Percentage of shares voted | 3.649 | % | ||
Broker non-votes | 35,241,602.803 |
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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
Dan H. Arnold
President — LPL Financial LLC
Robert J. Christian
Private Investor
Durant Adams Hunter
Managing Partner — Ridgeway Partners
Shawn K. Lytle
President — Delaware Investments Philadelphia, PA
Pamela J. Moret
Private Investor
Stephen Paul Mullin
President — Econsult Solutions, Inc.
Robert A. Rudell
Private Investor
Jon Edward Socolofsky
Private Investor | Affiliated officers
David F. Connor
Senior Vice President, General Counsel, and Secretary Optimum Fund Trust Philadelphia, PA
Daniel V. Geatens
Vice President and Treasurer Optimum Fund Trust Philadelphia, PA
Richard Salus
Senior Vice President and Chief Financial Officer Optimum Fund Trust Philadelphia, PA | Contact information
Investment manager
Delaware Management Company, a series of Delaware Management Business Trust Philadelphia, PA
National distributor
Delaware Distributors, L.P. Philadelphia, PA
Shareholder servicing, dividend disbursing, and transfer agent
Delaware Investments Fund Services Company 2005 Market Street Philadelphia, PA 19103-7094
For shareholders
800 914-0278
For securities dealers and financial institutions representatives only
800 362-7500
Website
optimummutualfunds.com | ||
Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Forms N-Q. Each Fund’s Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities and the Schedules of Investments included in the Funds’ most recent Forms N-Q are available without charge (i) upon request, by calling 800 914-0278; (ii) on the Funds’ 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 the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Funds’ website at optimummutualfunds.com; and (ii) on the SEC’s website at sec.gov. |
127 |
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/ SHAWN LYTLE | |
By: | Shawn Lytle |
Title: | Chief Executive Officer |
Date: | December 2, 2015 |
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/ SHAWN LYTLE | |
By: | Shawn Lytle |
Title: | Chief Executive Officer |
Date: | December 2, 2015 |
/s/ RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | December 2, 2015 |