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: | 610 Market Street |
Philadelphia, PA 19106 | |
Name and address of agent for service: | Anthony G. Ciavarelli, Esq. |
610 Market Street | |
Philadelphia, PA 19106 | |
Registrant’s telephone number, including area code: | (800) 523-1918 |
Date of fiscal year end: | March 31 |
Date of reporting period: | March 31, 2022 |
Item 1. Reports to Stockholders
Annual report
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
March 31, 2022
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 prospectuses, which may be obtained by visiting optimummutualfunds.com/ literature or calling 800 914-0278. Investors should read the prospectus and, if available, the summary prospectus carefully before investing.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Funds are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of March 31, 2022, and subject to change for events occurring after such date.
The Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM which includes investment products and advisory services distributed and offered by and referred through affiliates which include Delaware Distributors, L.P., a registered broker/dealer and member of the Financial Industry Regulatory Authority (FINRA), and Macquarie Investment Management Business Trust (MIMBT), a Securities and Exchange Commission (SEC)-registered investment advisor. Investment advisory services are provided by a series of MIMBT. 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.
© 2022 Macquarie Management Holdings, Inc.
Portfolio management review
Optimum Fixed Income Fund
March 31, 2022 (Unaudited)
Performance review (for the year ended March 31, 2022) | |||
Optimum Fixed Income Fund (Institutional Class shares)* | 1-year return | -4.55% | |
Optimum Fixed Income Fund (Class A shares)* | 1-year return | -4.89% | |
Bloomberg US Aggregate Index (benchmark) | 1-year return | -4.15% |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Fixed Income Fund, please see the table on page 19.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions. Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
*Total returns for the report period presented in the table differs from the return in “Financial highlights.” The total returns presented in the above table are calculated based on the net asset value (NAV) at which shareholder transactions were processed. The total returns presented in “Financial highlights” are calculated in the same manner, but also takes into account certain adjustments that are necessary under US generally accepted accounting principles (US GAAP) required in the annual report.
Fund objective
The Fund seeks a high level of income and may also seek growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisor
Pacific Investment Management Company LLC (PIMCO)
Market review
After a volatile 2020 calendar year, the distribution of vaccines and the easing of lockdowns helped 2021 start on a good note and an economic rebound followed, although the emergence of new variants of COVID-19 weighed on markets during the second half of 2021. The speed of the economic recovery, coupled with the volatile path of the virus, contributed to significant friction in both goods and labor markets. This contributed to elevated inflation. During the pandemic, consumers shifted away from spending on services toward purchasing goods, which drove a relative price adjustment.
Continued economic recovery defined the Fund’s fiscal year as well as increasing concerns about inflation and central bank policy in the US and globally. The US Consumer Price Index accelerated from a 2.6% year-over-year increase in March 2021 to 7.9% in February 2022. The US labor markets transitioned from robust to tight, with unemployment declining to 3.6% in March 2022 from 6% in March 2021, and labor market participation beginning its return to normal.
From the start of the Fund’s fiscal year in April through the end of 2021, markets continued to rise relatively steadily, with the S&P 500® Index notching numerous record highs while generating a return of 21.22% for the nine months. There was an overall lack of volatility in 2021, with the S&P 500 Index's biggest loss at approximately 5%. Investors increased their focus on Treasury inflation-protected securities (TIPS) as a hedge for unknown inflation risks, with TIPS, as represented by the Bloomberg US TIPS Index, returning 7.54% for the April-December 2021 period. While the S&P 500 Index continued its strong rally, emerging markets equities had negative total returns for the 9-month period from April through December 2021. High yield spreads ended 2021 substantially tighter, while changes in investment grade spreads were more muted. US Treasury yields rose across the curve, with the 10-year yield ending 2021 at 1.51% and fixed income markets generally posting positive returns, with the Bloomberg US Aggregate Index returning 1.89% from April 1 through the end of 2021.
January 2022 was a volatile month as both risk assets and safe-haven assets generally declined. The potential for higher, longer inflation, coupled with hawkish comments from US Federal Reserve Chairman Jerome Powell, triggered a broad market selloff. In February, worries shifted from the pandemic to the impending confrontation in Ukraine. Russia invaded Ukraine during the latter half of the month, resulting in a flight to safety and losses across global equity and credit markets. Punitive sanctions against Russia led to heightened supply chain concerns. Commodity prices jumped, and West Texas Intermediate (WTI) crude oil surpassed $100 a barrel for the first time since 2014.
In late March, investor concerns eased somewhat. While the Fed raised US interest rates by 0.25 percentage points, as expected, it highlighted upside inflationary risks and revised its “dot plot” projections to reflect seven total expected rate hikes this year – in contrast to the Bank of England (BoE)’s dovish messaging that accompanied its own quarter-point rate hike. Despite the Fed’s relatively hawkish tone, US equities rose following the Fed’s announcement. The BoE noted risks to growth stemming from the Russia-Ukraine conflict. Commodities markets, including metals, energy, and agriculture, remained strained.
The 2-year Treasury yield rose from 0.16% to 2.33% during the Fund's fiscal year. The yield curve flattened dramatically, raising concerns about its inversion and the rising risk of recession. Meanwhile, primary mortgage rates escalated from 3.3% in
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Portfolio management review
Optimum Fixed Income Fund
December 2021 to 4.9% in March 2022 after about two years of being near all-time lows. The housing market, having benefited from low interest rates, limited inventory, and robust demand, showed early signs of deceleration.
Source: Bloomberg, unless noted otherwise.
Fund performance
For the fiscal year ended March 31, 2022, Optimum Fixed Income Fund underperformed its benchmark, the Bloomberg US Aggregate Index. Before fees, each of the Fund’s component parts, managed by DMC and PIMCO, outperformed the return of the benchmark. The following remarks describe factors that affected relative performance within these respective portions.
DMC
For the fiscal year ended March 31, 2022, DMC’s portion of Optimum Fixed Income Fund outperformed its benchmark, the Bloomberg US Aggregate Index, on a gross of fees basis.
Within broad fixed income, absolute returns reflected one of the asset class’s more severe negative-return periods in the past 50+ years, as interest rates rose during the period from 1.7% to 2.3% for the 10-year Treasury. DMC aimed to capitalize on the recovery, manage rising interest rate risk, and tactically – that is, realize gains from – monetize spread sector outperformance. Consequently, DMC adopted a short duration position, while reducing risk across high yield and emerging markets debt. DMC also sought to build a liquid capital reserve of Treasurys and agency residential mortgage-backed securities (RMBS) as a source of capital for a more volatile period in 2022. Some of the capital was subsequently deployed in March 2022 as spreads widened beyond long-term averages.
Against this backdrop, DMC’s short duration contributed to performance as interest rates rose, particularly in the first quarter of 2022. While DMC’s allocation to high yield declined through 2021 toward the low end of its range, the overweight benefited relative returns, as high yield outperformed all other major sectors within fixed income. DMC’s underweight to RMBS was also beneficial. Conversely, the allocation to emerging markets debt was the principal detractor from returns as spreads widened, particularly in the first quarter of 2022, on increasing Fed tightening concerns and geopolitical risks stemming from the Russian invasion of Ukraine. Lastly, DMC had a modest allocation to US-dollar-denominated Russian and Ukrainian debt, predominantly via corporate securities. The invasion and ensuing sanctions had a negative effect on these securities, detracting from performance in DMC’s portion of the Fund.
High yield corporates were the most significant contributor to excess returns in DMC’s portion of the Fund, including a tactical allocation to European securities that was deployed and monetized in March 2022. The allocation was additive as the sector outperformed Treasurys. DMC’s consistent allocation of approximately 5% to bank loans also contributed to relative performance as the sector benefited from strong investor demand in a rising rate environment.
DMC’s underweight to RMBS contributed to the performance of its portion of the Fund as spreads widened on growing concerns over an accelerated end of quantitative easing and start of quantitative tightening.
Emerging markets debt detracted from performance in DMC’s portion of the Fund. DMC’s allocation of approximately 9% at fiscal year end, though reduced from the start of the fiscal year, was detrimental to performance. The sector offered better yield and selection opportunities than developed counterparts but ultimately suffered from a shift in monetary policy and Russia’s invasion of Ukraine.
DMC’s overweight to commercial mortgage-backed securities (CMBS) modestly detracted from performance in its portion of the Fund, with spread widening in the final quarter of the fiscal year having a net negative impact on returns as DMC maintained an allocation of approximately 9% throughout the fiscal year.
Contributions from security selection reflected DMC’s focus on a diverse set of bottom-up (bond-by-bond) opportunities as market volatility increased. Specifically, its allocation to Puerto Rico securities prior to the court decision to restructure Puerto Rico bonds in default was beneficial as the outcome was positive, leading the bonds to outperform. In addition, DMC’s allocation to convertible securities issued by Spirit Airlines Inc. during the first quarter of 2022’s bout of volatility contributed to relative returns as the bonds benefited first from the Frontier Airlines bid and then from a higher bid from JetBlue Airways.
The two leading individual detractors from performance were emerging markets corporates within headline-prone jurisdictions. Specifically, DMC’s allocation to US-dollar-denominated investment grade Russian private oil company LUKOIL detracted from returns, as the modest allocation suffered in the aftermath of the Russian invasion of Ukraine as securities initially dipped below $50. DMC believes LUKOIL is likely to weather the geopolitical risk and, at these valuations, DMC continues to hold the security.
The second notable detractor from returns was US-dollar-denominated debt of Kaisa Group Holdings Ltd., a Chinese property issuer. DMC held a position of less than 0.1% in an effort to capitalize in a diversified manner on the property market disruption. As the Chinese government initially disappointed in its willingness to support the market, the issuer underperformed. DMC modestly reduced its allocation in August 2021 but continues to hold this
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modest exposure given what it views as attractive valuations relative to potential outcomes.
With a focus on agility in a period more prone to volatility and potential for higher interest rates, DMC retained a short duration position and modestly increased its allocation to investment grade securities in March 2022 as spreads widened beyond long-term averages. Although DMC increased its high yield allocation modestly, it began monetizing the returns when markets quickly reversed course. As of fiscal year end, DMC maintained an overweight to high-quality securitized credit such as CMBS, an underweight to agency RMBS, and a sub-average allocation to structural “plus sectors” such as high yield and emerging markets debt.
During the fiscal year, DMC used a variety of derivatives, including Treasury futures, primarily used to manage yield curve risk. It also used credit default swaps and currency hedges. The use of derivatives added slightly more than 0.50% to performance for DMC’s portion of the Fund for the fiscal year.
PIMCO
PIMCO’s portion of the Fund outperformed its benchmark, the Bloomberg US Aggregate Index, for the 12 months ended March 31, 2022, on a gross of fees basis.
PIMCO’s interest rate strategies detracted from performance in its portion of the Fund. An overall underweight to US duration added to PIMCO’s performance as US Treasury yields rose during the fiscal year. However, this was more than offset by the negative effect from PIMCO’s yield curve positioning, including its focus on intermediate rates as front-end and intermediate rates rose more than long-end rates. Overall, non-US interest rate strategies detracted from performance in PIMCO’s portion of the Fund, including its exposure to Italian and Canadian interest rates. Contributions from short exposure to UK interest rates partially offset this, however, as yields in these regions rose. Lastly, emerging market interest rate strategies detracted from performance in PIMCO’s portion of the Fund, including an allocation to Brazilian and Mexican local rates.
Spread sector strategies added to returns in PIMCO’s portion of the Fund during the fiscal year. Select exposure to non-agency mortgages contributed to performance as these securities benefited from continued strong fundamentals. An underweight to agency mortgage-backed securities (MBS) added to PIMCO’s performance as the sector underperformed like-duration Treasurys. PIMCO’s relative value positioning within agency MBS also added to performance. An underweight to investment grade corporate credit also helped performance in PIMCO’s portion of the Fund as the sector underperformed like-duration Treasurys. Lastly, an allocation to US TIPS contributed to PIMCO’s performance as inflation expectations rose.
Currency strategies were positive for performance in PIMCO’s portion of the Fund, including exposure to a basket of Latin American emerging market currencies that appreciated relative to the US dollar during the fiscal year.
At fiscal year end, PIMCO was neutral to modestly underweight duration, favoring US interest rates along with hedges in select regions and countries such as the UK. PIMCO also had some diversifying rate exposure in Europe, mainly Denmark and Italy.
Regarding spread strategies, PIMCO’s portion of the Fund was underweight investment grade corporate credit, maintaining diversified credit exposures with a bias toward shorter-maturity and high-quality names while de-emphasizing generic corporate credit exposure. PIMCO actively sought compelling name and sector exposure given dispersion within the credit market. Within agency MBS, PIMCO continues to seek relative value opportunities. PIMCO also continues to favor senior positions in mortgage credit given the asset’s inherent fundamental strength and deleveraging nature.
PIMCO remains tactical with currency positioning and sees the potential to find more individual foreign exchange opportunities over time. It will continue to seek opportunities from overshoots and undershoots that provide what PIMCO considers to be attractive risk-reward profiles and the ability to diversify sources of return.
PIMCO used credit default swaps, forwards, futures, interest rate swaps, options, and swaptions during the fiscal year, but these derivatives did not have a material impact on performance within its portion of the Fund during the reporting period.
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Portfolio management review
Optimum International Fund
March 31, 2022 (Unaudited)
Performance review (for the year ended March 31, 2022) | |||
Optimum International Fund (Institutional Class shares) | 1-year return | -7.31% | |
Optimum International Fund (Class A shares) | 1-year return | -7.55% | |
MSCI ACWI ex USA Index (net) (benchmark) | 1-year return | -1.48% | |
MSCI ACWI ex USA Index (gross) | 1-year return | -1.04% |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum International Fund, please see the table on page 22
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks long-term growth of capital and may also seek income.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Acadian Asset Management LLC (Acadian)
Baillie Gifford Overseas Limited (Baillie Gifford)
Market review
Markets were volatile during the fiscal year, rising and falling within each quarter, but largely unchanged through the first nine months of the fiscal year ended March 31, 2022. In the final quarter of the 12-month period, equities fell sharply before recovering somewhat in the final month of the period.
There were four key drivers of performance in the markets during the Fund’s fiscal year: the effects of new COVID-19 strains on economic activity, the worsening geopolitical situation on the Russia-Ukraine border, multi-decade high inflation levels, and growing concerns that central banks would be forced to tighten monetary policy to curb inflation.
The pandemic’s continued impact on the global economy was evident throughout much of the Fund’s fiscal year. The appearance of several variants, including Delta and Omicron, resulted in sharp spikes in the number of infections in the US, China, and Europe, forcing ports and factories to close worldwide. In turn, there were raw material shortages and supply-side bottlenecks. Supply chain disruptions were so severe that global auto production fell as much as 60% between April and September.
The buildup of Russian troops on the Ukraine border and the subsequent invasion in February were also impactful, as sanctions and disruptions to the European oil and natural gas supply took a toll on the economies of both Europe and Russia. The US was also affected, as evidenced by gasoline prices rising to more than $6 per gallon in some markets.
The increase in energy prices added to the unease that inflation was out of control. Rising prices were a significant concern throughout the fiscal year, as inflation – initially dismissed by the US Federal Reserve as “transitory” – rose to levels not seen in decades. With headlines blaring that consumer prices were rising at a 4% to 6% annual rate, the Fed and other central banks began to take a more hawkish stance, ending stimulus measures, raising interest rates, and curtailing asset-purchasing programs.
Although global markets sustained a modest loss during the fiscal year, in a familiar pattern, developed markets outperformed, led by a strong US market, while emerging markets lagged. Most notably, China underperformed, weighed down by the effects of new regulations on its real estate and technology sectors, and the default of China Evergrande Group, China’s second largest property developer.
Source: Bloomberg, unless noted otherwise.
Fund performance
For the fiscal year ended March 31, 2022, Optimum International Fund underperformed its benchmark, the MSCI ACWI (All Country World) Index ex USA Index (net). Acadian’s portion of the Fund outperformed the benchmark (net of fees) while Baillie Gifford’s portion of the Fund underperformed. Stock selection was a key factor in both Acadian’s and Baillie Gifford’s portions of the Fund, providing a boost to performance for the former and detracting from the latter. Country allocations, particularly to China, also played a role in both portions of the Fund, with an underweight proving beneficial in Acadian’s portion and detrimental in Baillie Gifford’s as investors’ concern with new regulations and the default of China Evergrande hurt performance.
Acadian
Acadian focuses on its disciplined, value-focused, multi-factor approach and attempts to manage the Fund with consistency,
4
objectivity, and appropriate risk controls. Acadian believes that the coronavirus pandemic has created a new set of challenges for global equities and that the current situation is fluid and evolving. In these circumstances, Acadian's approach is to maintain a calm and measured perspective, mitigating human emotion. Acadian's investment process aims to invest in securities that deliver returns over the long run, and does not rely on market timing. Acadian's investment process is designed to attempt to capture alpha by exploiting behaviorally-based mispricings within and across global equity markets.
Acadian’s portion of the Fund benefited from a combination of stock selection and overweight positions in energy and materials. Throughout the entire 12-month period, but especially in the latter months as the Russia-Ukraine conflict escalated, energy and commodity prices rose, contributing to strong returns in the energy and materials sectors.
However, the surge in inflation, which stunted consumer confidence and resulted in underperformance in the consumer discretionary sector, partially offset these gains. While Acadian’s underweight of the consumer discretionary sector in its portion of the Fund was beneficial, Acadian’s exposure to the financial sector detracted from performance.
On a country basis, Acadian’s portion of the Fund also benefited from a combination of stock selection and an overweight position in Australia, and a combination of stock selection and an overweight exposure to Israel. Underweight positions in the United Kingdom and Canada reduced these gains, as did stock selection in Switzerland.
Two holdings that contributed to Acadian’s portion of the Fund were South32 Ltd. and Alibaba Group Holdings Ltd. The share price of South32, an Australian-based mining & metals company, soared on a string of positive production results across its portfolio. The shares got a further boost from favorable operating margins that were propelled by higher commodity prices.
Alibaba Group, a China-based online and mobile commerce behemoth, experienced a slump in its share price over the 12-month period, the result of intense pressure from regulatory uncertainty over the past year. Acadian did not hold Alibaba in its portion of the Fund and therefore benefited from an underweight position in the stock.
In contrast, two holdings that detracted from Acadian’s portion of the Fund were Nintendo Co. Ltd. and Koninklijke Philips NV. Nintendo’s shares tumbled after the Japanese video game company once again confronted claims that its game controllers violate data-patent rights. The share price of Koninklijke Philips declined over the fiscal period, as the unprecedented scale of global supply-chain disruptions impaired operations. Ongoing product recalls, including Philips’ Respironics most recent recall of select ventilators, underscored product safety and quality management risks, resulting in a costly repair and replacement program, and accelerating the decline in stock prices. Acadian eliminated both positions from its portion of the Fund in the third quarter of 2021.
At the end of the Fund's fiscal period, Acadian had its largest overweight country positions in Taiwan, Denmark, and Australia. Japan, the UK, and Canada were the largest underweight positions. At the sector level, the emphasis was on healthcare, energy, and materials, while consumer discretionary and financials were considerably underweighted.
Baillie Gifford
Baillie Gifford maintains its investment philosophy and process through changing market environments. Baillie Gifford fundamentally believes in long-term investing, and that share prices ultimately follow earnings growth. Baillie Gifford is focused on finding companies whose ability to generate earnings growth is independent of a particular market environment.
The financials and healthcare sectors were the largest detractors from performance in Baillie Gifford’s portion of the Fund during the 12-month period. Stock selection was the root cause of the underperformance. There was also a slight drag on performance from asset allocation within both sectors. Baillie Gifford had underweight positions in both financials and healthcare, which proved detrimental as those sectors rose.
Information technology (IT) made a marginal contribution to Baillie Gifford’s portion of the Fund. A small stock selector contribution was offset by a small asset allocation drag. IT was the only sector to contribute positively to performance during the Fund’s fiscal period.
Baillie Gifford’s portion of the Fund was also hindered during the fiscal year as several Chinese companies that had benefited from a return of consumer demand early in the period once again underperformed as the new COVID-19 variants took hold. The conflict in Ukraine also hurt performance, as two small Russian investments were revalued to zero.
IMCD NV and Kingspan Group PLC both contributed positively to Baillie Gifford’s portion of the Fund during the fiscal year. IMCD, a Dutch specialty chemicals distributor, continued its merger and acquisition strategy into 2021 and 2022 with the addition of more than 200 million euros in sales across 11 acquisitions. IMCD has increased group profit 10% over the last five years through acquisitions versus 5% organically.
Kingspan Group, the family-owned Irish manufacturer of commercial and residential insulation materials, performed strongly for Baillie Gifford’s portion of the Fund after providing support for the green
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Portfolio management review
Optimum International Fund
infrastructure sector. The company upgraded its outlook for 2022 but still cautions that supply-chain issues remain.
Ping An Healthcare & Technology Co. Ltd. and Tencent Music Entertainment Group both detracted from performance in Baillie Gifford’s portion of the Fund. Ping An was among the Chinese technology companies affected by investors concerned with new regulations. However, the company’s operational story remained strong, in Baillie Gifford’s opinion. Ping An utilizes artificial-intelligence (AI)-based software to make diagnoses. Medical consultations continued to grow, as does the software’s ability to recognize illness. Right now, although AI is “assisting” in diagnosis, regulators have yet to approve its use as a replacement for a doctor’s diagnosis.
Tencent Music Entertainment, the Chinese music-streaming business, continued to grow significantly across multiple platforms.
The company reported a record 4.9 million net new users as part of its first-quarter earnings release. The announcement of further organic investment, particularly in long-form audio (LFA), weighed on shares in the latter part of the Fund’s fiscal year but is an investment Baillie Gifford believes will ultimately help build out the network. The entire Tencent network integrates Tencent Cloud Real-time Communication Network, Instant Messaging Network, and Streaming Media Distribution Network. Combined, the services provide infrastructure for music and live streaming.
Overall, Optimum International Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Portfolio management review
Optimum Large Cap Growth Fund
March 31, 2022 (Unaudited)
Performance review (for the year ended March 31, 2022) | |||||
Optimum Large Cap Growth Fund (Institutional Class shares) | 1-year return | +2.75 | % | ||
Optimum Large Cap Growth Fund (Class A shares) | 1-year return | +2.49 | % | ||
Russell 1000® Growth Index (benchmark) | 1-year return | +14.98 | % |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Large Cap Growth Fund, please see the table on page 25.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Fund objective
The Fund seeks long-term growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisors
ClearBridge Investments, LLC (ClearBridge)
T. Rowe Price Associates, Inc. (T. Rowe Price)
Market review
Equities markets in the US climbed steadily through the first nine months of the fiscal year ended March 31, 2022, buoyed by robust corporate earnings, ample liquidity, and progress in bringing the global pandemic under control. Widespread vaccination spurred a reopening of most parts of the global economy and contributed to a healthy labor market that restored most of the jobs that had been lost due to pandemic lockdowns and related restrictions on economic activity.
Even as equities were rising, inflation and strained supply chains began to dampen investors’ enthusiasm. Although the US Federal Reserve initially declared that inflation was transitory, prices continued to rise, and in February 2022, the US Consumer Price Index showed the largest year-over-year increase in 40 years, adding to market volatility that had begun in January.
Stocks slumped further when Russia invaded Ukraine in late February, prompting the US and many other nations, especially in Europe, to respond with broad and damaging economic sanctions targeting key Russian individuals and institutions.
In March 2022, attempting to take control of inflation, the Fed raised rates 0.25%, its first increase since 2018. At the time, the Fed indicated that additional rates were forthcoming, that the size of the increases could grow to 0.5%, and that it would begin drawing down its balance sheet.
In the final weeks of the 12-month period, equities did recover somewhat and, despite the pressures of inflation, the war in Ukraine, supply chain disruptions, and the ongoing pandemic, the large cap S&P 500® Index advanced 15.65% for the 12-month period. Large-cap growth stocks maintained an edge over their value counterpart, with the benchmark Russell 1000 Growth Index rising 14.98% for the year while the Russell 1000® Value Index added 11.67%.
Source: Bloomberg, unless noted otherwise.
Fund performance
Optimum Large Cap Growth Fund underperformed its benchmark, the Russell 1000 Growth Index, for the Fund’s fiscal year ended March 31, 2022. Both ClearBridge’s and T. Rowe Price’s portions of the Fund underperformed the benchmark, citing adverse stock selection and, in the case of ClearBridge, adverse sector allocation decisions as well. In ClearBridge’s portion of the Fund, stock selection in the communication services, information technology (IT) and consumer discretionary sectors, an underweight to the IT sector, and an overweight to the consumer discretionary sector detracted from relative performance. In T. Rowe Price’s portion of the Fund, the IT, communication services, and consumer discretionary sectors were the major detractors, while the healthcare and materials sectors contributed to relative returns.
ClearBridge
ClearBridge normally invests in equity securities (or other instruments with similar economic characteristics) of US companies with large market capitalizations. ClearBridge’s core holdings are large-capitalization companies that it believes to be dominant in their industries due to product, distribution, or service strength.
After making aggressive positioning moves to increase the up capture of the Fund during the 12-month period, ClearBridge’s actions over the last year focused on adding exposure to secular trends such as: ecommerce and payments through the additions of Nike Inc. and PayPal Holdings Inc.; gaming through the purchase of Unity Software Inc.; electrification of the economy via Eaton Corp. PLC; and a shift in healthcare to innovative and market leading
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Portfolio management review
Optimum Large Cap Growth Fund
medical device makers, such as Intuitive Surgical Inc. and DexCom Inc., that ClearBridge thinks should benefit from a renewed focus on elective procedures and treatment of chronic conditions.
Communication services was the primary detractor from performance in ClearBridge’s portion of the Fund. In the second half of the fiscal period, ClearBridge’s overweight to social media and digital advertising platform Meta Platforms Inc. (Facebook) negatively affected results. Shares declined following fourth-quarter earnings results and first-quarter revenue guidance that were weaker than expected.
Weakness in the digital payments space held back several IT holdings in ClearBridge’s portion of the Fund, including Fidelity National Information Services Inc. and PayPal Holdings Inc.,as the pandemic eased its grip on the economy and consumers returned to brick-and-mortar establishments.
ClearBridge initiated a position in PayPal after the shares had already fallen 40% from their all-time high but PayPal's muted outlook was not fully priced in at that point. Nevertheless, ClearBridge believes PayPal is fundamentally holding share in the digital payments industry and is set up for continued growth in ecommerce once reopening headwinds pass. The company onboarded nearly 120 million net new users over the last few years; naturally, many users will churn off the platform. ClearBridge also sees the company’s strategy to add additional use cases to its wallet such as investing, crypto, savings accounts, and bill pay as catalysts to accelerate revenue growth over time. In addition, ClearBridge believes Venmo continues to be under-monetized, and a new partnership with Amazon.com will be something to watch. Therefore, ClearBridge continues to hold PayPal in its portion of the Fund.
Fidelity National Information Services has topped earnings forecasts the last two quarters, but investors are focused on the merchant business which has been decelerating year over year. Concerns remain that the company is not competitive with new/modern acquirers in its merchant segment; however, the company expects to deliver double-digit revenue growth in this area given its expanding capabilities and ongoing merchant wins and remains undervalued versus peers. 2022 results remain heavily dependent on the speed of the travel/spending recovery. While current quarter guidance came in below expectations, the company’s full-year earnings and revenue forecasts are in-line to slightly higher than Wall Street, providing optimism over continued improvement. ClearBridge believes Fidelity National Information Services remains a good way to participate in the growth of digital payments and discretionary travel spending and therefore continues to hold it in its portion of the Fund.
Two other IT holdings contributed but could not fully offset the sector’s losses. Palo Alto Networks Inc., a provider of enterprise security solutions, got a boost from the threats posed by the Russian-Ukraine conflict. Microsoft Corp., developer of the Windows and Office family of products among others, has proven to be defensive through periods of market turbulence and this fiscal year was no exception.
Alibaba Group Holding Ltd., in the consumer discretionary sector, is a Chinese ecommerce and digital payments provider that detracted from ClearBridge’s portion of the Fund. Its shares declined as the company faced increased regulatory scrutiny from the Chinese government and a return of COVID-19 adversely affected ecommerce activity. ClearBridge continues to view Alibaba as a durable business with the potential for sustained revenue and profit growth due to its size, balance sheet, and importance to the Chinese economy.
Additional communications sector detractors from performance in ClearBridge's portion of the Fund were Netflix Inc., Sea Ltd., and Walt Disney Co. Netflix is a leading provider of streaming media programming. After being a prime beneficiary of increased viewing patterns during the stay-at-home period of COVID-19, Netflix is recalibrating how to measure and forecast subscriber growth as global economies fully reopen. The company's stock fell sharply after Netflix modestly reduced its net subscriber additions for the first quarter of 2022, causing us to question its ability to continue to deliver double-digit subscriber growth. While Netflix has suffered further subscriber declines and price pressures in international markets, ClearBridge believes it is taking aggressive actions to address these issues, and ClearBridge remains convinced that its thesis for owning the stock is intact. Sea is a Singapore-based platform for ecommerce, digital payments, and gaming. Sea underperformed owing to a general sell-off in higher multiple stocks and weakening of its gaming segment. In gaming, the company has seen a slowdown in bookings growth in the wake of economic reopening – a trend seen at other gaming platforms like Roblox. ClearBridge remains optimistic about Sea due to what it views as its compelling growth opportunity in ecommerce and digital payments, businesses where it has a strong execution track record. Walt Disney is an entertainment company that conducts operations in media networks, studio entertainment, theme parks and resorts, consumer products, and interactive media. Disney detracted from the performance of ClearBridge's portion of the Fund owing to weakness in Disney+ subscriber momentum. ClearBridge believes Disney's slowdown is largely tied to production delays as the company aims to significantly expand content availability and subscriber momentum has begun to show signs of improvement.
The healthcare sector was the primary contributor to performance in ClearBridge’s portion of the Fund, led by strong operating results from UnitedHealth Group Inc. UnitedHealth continues to offer consistent growth from a diversified, scaled base of healthcare insurance and service businesses. ClearBridge also realized strong
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results from Thermo Fisher Scientific Inc., a diversified provider of life sciences solutions, analytical instruments, specialty diagnostics, and laboratory products and services. Animal health provider Zoetis Inc. was another notable contributor.
T. Rowe Price
T. Rowe Price normally invests in stocks of large-capitalization companies with one or more of the following characteristics: strong cash flow and an above-average rate of earnings growth; the ability to sustain earnings momentum during economic downturns; and occupation of a lucrative niche in the economy and ability to expand even during times of slow economic growth. As the US and the world work to return to normal, T. Rowe Price is monitoring several key market themes.
IT was the leading relative underperformer in T. Rowe Price’s portion of the Fund, due primarily to weak stock choices led by underweight positions in Apple Inc. and NVIDIA Corp. Shares of Apple gained over the 12-month period, driven by the strength of the iPad and Mac, which benefited from coronavirus-pandemic tailwinds. Shares of NVIDIA also climbed higher during the fiscal year as the company’s data center business showed signs of reacceleration, underpinned by the demand for chips that can support artificial intelligence (AI) and deep learning applications.
Communication services also hampered relative performance in T. Rowe Price’s portion of the Fund, due to unfavorable stock picks coupled with an overweight allocation. Within the sector, holdings in Sea Ltd. and Snap Inc. detracted from relative performance. Shares of Sea traded lower in response to disappointing guidance for its gaming business. T. Rowe Price believes Sea’s platform is well positioned to gain share in Southeast Asia’s high-margin online gaming market and expand its reach to additional emerging market countries. Shares of Snap, the company behind Snapchat and other camera-based applications, sold off when results were affected by the one-two punch of Apple’s new consumer-tracking restrictions and by the combination of supply chain disruptions and labor shortages. Snap's control of the impressionable and highly engaged youth demographic, relatively low ad load, and culture of innovation combine to form what T. Rowe Price views as a tightly coiled monetization spring. T. Rowe Price believes that network effects and innovations in technology will continue to drive user growth and engagement, paving the way for potential earnings growth over time and continues to hold Sea and Snap in its portion of the Fund.
Consumer discretionary also hampered relative performance in T. Rowe Price’s portion of the Fund due to weak stock picks such as Rivian Automotive Inc. Shares of Rivian came under pressure as the early-stage electric-vehicle maker was penalized for various items, including a small production target miss in 2021, the departure of its COO, an inflation-driven price increase, and lowered 2022 delivery guidance due to supply chain issues. T. Rowe Price strongly believes that Rivian’s recent underperformance equates to short-term noise for a young company that is implementing new technologies in a notoriously difficult industry during a material global supply chain disruption amid record levels of inflation and thinks Rivian is well positioned to benefit from the automotive industry’s electrification. T. Rowe Price continues to hold Rivian in its portion of the Fund.
In contrast, the healthcare sector contributed to T. Rowe Price’s portion of the Fund, due to stock selection coupled with an underweight exposure. Shares of UnitedHealth Group Inc. traded higher as the company guided earnings growth higher for 2022. Shares of HCA Healthcare Inc. benefited from the increase in demand for hospital services, leading to higher patient volumes and outpatient surgeries. The company also unveiled plans to build a new free-standing emergency facility in Central Florida. Additionally, investors appeared to react positively to news of a stock buyback and a dividend increase.
A significant underweight exposure to the materials sector also positively affected relative returns in T. Rowe Price’s portion of the Fund.
Overall, Optimum Large Cap Growth Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Portfolio management review
Optimum Large Cap Value Fund
March 31, 2022 (Unaudited)
Performance review (for the year ended March 31, 2022) | |||||
Optimum Large Cap Value Fund (Institutional Class shares) | 1-year return | +13.22 | % | ||
Optimum Large Cap Value Fund (Class A shares) | 1-year return | +12.91 | % | ||
Russell 1000® Value Index (benchmark) | 1-year return | +11.67 | % |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Large Cap Value Fund, please see the table on page 28.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks long-term growth of capital and may also seek income.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Massachusetts Financial Services Company (MFS)
Rothschild & Co
Market review
US equities performed well in the first nine months of the fiscal year ended March 31, 2022, before entering a spate of volatility that marred the opening months of the new year. Equities regained much of their footing in March, however, delivering a gain of 15.65% for the 12-month period, as measured by the S&P 500® Index.
There were challenges throughout the period. Multiple waves of COVID-19, including the highly transmissible Delta and Omicron variants, briefly interrupted the markets’ rise, as did the onset of inflation, which the US Federal Reserve initially labeled as transitory. Supply chain disruptions, notably in important commodity markets, and a tight labor market also caused brief investor stumbles. But low unemployment and continued healthy corporate profits were more than sufficient to keep equity markets advancing through the end of 2021.
As 2022 began, however, just as the Omicron wave of the pandemic appeared to recede in much of the world, markets experienced a geopolitical shock as Russia first built up troops on Ukraine’s border and then launched a full-scale invasion. Given Europe's heavy reliance on imported oil and gas from Russia, European markets were among the hardest hit. Energy prices spiked in the wake of the invasion, adding to an already multidecade high level of inflation. Non-energy commodities rose sharply as well. Both the equity and fixed income markets experienced significant upticks in volatility.
The ripple effects from the Russian invasion further complicated central banks’ efforts to rein in inflation. Energy shocks have historically resulted in global growth slowdowns, if not pullbacks, so policymakers find themselves in the difficult position of trying to restrain inflation without tipping economies into recession. Accordingly, expectations for central banks to aggressively tighten monetary policy have moderated.
Against an environment of rising labor and raw materials prices, higher interest rates, and waning fiscal and monetary stimulus, investors have become increasingly anxious that corporate profit margins may be past peak for this cycle. That said, tentative signs of some supply chain bottlenecks easing, low levels of unemployment across developed markets, and the loosening of coronavirus restrictions seem to be supportive for the macroeconomic backdrop.
Source: Bloomberg, unless noted otherwise.
Fund performance
Optimum Large Cap Value Fund outperformed its benchmark, the Russell 1000 Value Index, for the fiscal year ended March 31, 2022. While the Rothschild & Co portion of the Fund outperformed the benchmark return, the MFS portion of the Fund slightly underperformed.
In Rothschild & Co’s portion of the Fund, outperformance was supported largely by favorable stock selection. Sector allocation also contributed positively to relative returns. While a modest cash position acted as a headwind to relative performance during a period of healthy absolute returns, Rothschild & Co’s overweight position in energy contributed to performance owing to a sharp rise in oil prices against the backdrop of supply constraints. Rothschild & Co’s stock selection was especially positive in the technology, manufacturing, and healthcare sectors, more than offsetting weakness in the basic materials, consumer services, and transportation sectors. An underweight position in energy and adverse stock selection in the materials sector hindered performance in the MFS portion of the Fund. Advantageous stock selection in the industrials sector partially offset this, however. An underweight position and stock selection in
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the consumer discretionary sector contributed to performance in the MFS portion of the Fund.
MFS
MFS has maintained a consistent investment approach since this strategy’s inception. For its portion of the Fund, MFS uses a long-term time horizon in making investment decisions. MFS maintains a disciplined investment philosophy and process that is always focused on investing in high-quality companies trading at inexpensive valuations. As was the case last year, MFS continued to assess the impact of significant changes to the global economic outlook and equity markets. Over the past year, these included rising inflation, interest rates, uncertain monetary policy, slowing growth, the war in Ukraine, and the ongoing pandemic.
As energy prices climbed throughout the period, the sector performed well and detracted from performance in the MFS portion of the Fund, which was underweight the sector. Not owning integrated oil and gas company Exxon Mobil Corp. detracted from performance, as did the combination of first underweighting and later exiting a position in integrated energy company Chevron Corp. As a result, MFS missed the shares’ significant rally toward the end of the Fund’s fiscal year.
Security selection in the materials sector hampered relative results in the MFS portion of the Fund, led by an overweight position in coatings company PPG Industries Inc.
In other sectors, MFS did not own insurance and investment firm Berkshire Hathaway Inc. and health insurance and Medicare-Medicaid provider UnitedHealth Group Inc. Both decisions detracted from performance. MFS maintained overweight positions in shares of diversified financial services firm Citigroup Inc., global financial services firm JPMorgan Chase & Co., media and technology company Comcast Corp., power and hand tools provider Stanley Black & Decker Inc., and diversified technology and manufacturing company Honeywell International Inc., all of which weighed on relative returns.
In the industrials sector, MFS maintained an overweight holding of global security company Northrop Grumman Corp. that contributed positively to relative performance. Northrop Grumman Corp. is engaged in the provision of security services including cybersecurity for computers and communications. MFS avoided a position in aerospace firm The Boeing Co., which performed poorly, thereby also contributing to relative returns.
Stocks in other sectors that contributed positively to relative performance in the MFS portion of the Fund included overweight positions in shares of risk-management and human-capital consulting services provider Aon PLC, risk and insurance consulting firm Marsh & McLennan Cos. Inc., property and casualty insurance provider Chubb Ltd., health services and information technology company McKesson Corp., oil and gas company ConocoPhillips, and IT servicing firm Accenture PLC. Avoiding poor-performing diversified entertainment firm The Walt Disney Co. and telecommunication services provider AT&T Inc. also added to positive results.
Rothschild & Co
Rothschild & Co employs an integrated approach that balances quantitative analysis, fundamental research, and risk management guidelines to identify stocks of companies it believes possess attractive relative valuation and an ability to exceed market expectations. Rothschild & Co’s investment process has been stable through many market cycles, maintaining a consistent approach even as economic and market environments fluctuate. That said, the market environment experienced during the most recent fiscal period was unprecedented, reflecting the pandemic and the resulting government fiscal support and central bank monetary support. Unprecedented monetary support accompanied by two shocks in two years to global supply chains has significantly raised inflationary expectations above the Fed’s comfort level. We believe that such environments characterized by volatility can unearth opportunities as pricing inefficiencies develop at the stock level, which is where we focus our attention.
Although the technology sector underperformed within the benchmark, the Rothschild & Co portion of the Fund benefited from advantageous stock selection in the sector, both in terms of what it owned, including Alphabet Inc., Broadcom Inc., and Microsoft Corp., and what it avoided, including an underweight position in Intel Corp. and no exposure to Salesforce Inc.
Manufacturing was also a strong contributor to performance in the Rothschild & Co portion of the Fund, as defense companies Lockheed Martin Corp. and Northrop Grumman Corp. both benefited from the war in Ukraine.
Individual stocks that contributed to performance in the Rothschild & Co portion of the Fund included ConocoPhillips, an energy exploration and production company. The rise in crude oil prices that resulted, in part, from the Russian invasion of Ukraine drove share prices here. Schlumberger NV, the largest US oilfield services company with a focus on international markets, also contributed to performance significantly.
Rothschild & Co’s portion of the Fund underperformed in the basic materials sector largely because of its lack of investment in commodity-specific industries, such as copper and steel, which rallied on the supply constraints caused by the Russia-Ukraine crisis. Rothschild & Co’s direct commodity exposure lies exclusively in the oil sector, which aided performance.
11
Portfolio management review
Optimum Large Cap Value Fund
Although the utilities sector outperformed the overall benchmark by a wide margin, one of Rothschild & Co’s holdings in the sector, NextEra Energy Inc., did not keep pace with the peer group and detracted from performance.
Individual stocks that detracted from the Rothschild & Co portion of the Fund included Global Payments Inc., which provides electronic transaction processing, information systems, and services. The stock underperformed despite reporting above-consensus revenue and earnings and providing optimistic longer-term financial targets.
Southwest Airlines Co. also detracted from performance in the Rothschild & Co portion of the Fund. Southwest is a budget-friendly airline operator with its exposure predominantly in the US. The stock has lagged as the recovery has been choppy. Rothschild & Co continues to hold the shares given that Southwest has one of the strongest balance sheets among peers and the least exposure to business travel, which is recovering slowly and could be structurally impaired.
Overall, Optimum Large Cap Value Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Portfolio management review
Optimum Small-Mid Cap Growth Fund
March 31, 2022 (Unaudited)
Performance review (for the year ended March 31, 2022) | ||||
Optimum Small-Mid Cap Growth Fund (Institutional Class shares) | 1-year return | -5.54% | ||
Optimum Small-Mid Cap Growth Fund (Class A shares) | 1-year return | -5.76% | ||
Russell 2500TM Growth Index (benchmark) | 1-year return | -10.12% |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Small-Mid Cap Growth Fund, please see the table on page 31.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks long-term growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Columbus Circle Investors (CCI)
Peregrine Capital Management, LLC (PCM)
Market review
Rising COVID-19 infections, a rapid increase in inflation, continued supply chain bottlenecks, and the onset of the conflict in Ukraine led to increased market volatility during the fiscal year. With a meaningful portion of the US population fully vaccinated, the reopening of the broader economy progressed quickly early in the Fund’s fiscal year. This drove significant pent-up demand for goods and services and put immense pressure on global supply chains, logistics networks, and labor forces to keep up.
A global spike in the Delta and Omicron variants of COVID-19, coupled with the continuing conflict in Ukraine, then put further stress on worldwide supply chains. This helped push inflation to historically high levels and forced the US Federal Reserve to pivot to a more hawkish stance despite early signs of a slowing economy.
Stocks faced broad selling pressure in March 2022, as growth equities led the market lower and smaller-cap stocks lagged their larger-cap peers. A confluence of tighter monetary policy with an intensification of unsettling geopolitical events in Europe sparked global stagflation fears, causing many investors to dump shares of more speculative stocks.
Source: Bloomberg, unless noted otherwise.
Fund performance
Optimum Small-Mid Cap Growth Fund declined, although it outperformed its benchmark, the Russell 2500 Growth Index, for the fiscal year. Both CCI’s and PCM’s portions of the Fund outperformed the benchmark. Although both growth and value stocks lost ground during the Fund’s fiscal period, CCI’s portion of the Fund benefited on a relative basis from its comparatively balanced positioning in both cyclical and secularly driven growth stories and the market’s focus on rewarding stronger fundamentals. PCM’s high growth yet valuation sensitive approach generated strong relative outperformance during the fiscal year, despite the economic uncertainty. Outperformance in PCM’s portion of the Fund relative to the benchmark was due to stock selection in the healthcare and industrial sectors.
CCI
CCI uses a growth-oriented investment philosophy of “positive momentum and positive surprise” to strive to invest in what CCI views as strong companies getting stronger and in companies whose fundamentals are exceeding investor expectations.
Due to favorable stock selection, the healthcare and financials sectors were the leading contributors in CCI’s portion of the Fund. Conversely, unfavorable stock selection in the information technology (IT) sector and an underweight in the real estate sector detracted from CCI’s portion of the Fund.
Arista Networks Inc. a provider of cloud networking solutions, was CCI’s largest contributor to performance in its portion of the Fund for the fiscal year. The company benefited from a multi-year upgrade cycle within its hyperscale segment as customers such as Facebook and Microsoft upgraded their networks. Share gains within Arista Network’s enterprise segment also contributed.
Matador Resources Co., an energy company focused on the development of oil reserves in the Delaware and Eagle Ford shale areas of Texas, was the second largest contributor to performance within CCI’s portion of the Fund. Continued improvements in horizontal drilling and well-completion techniques, along with significantly higher oil prices, combined to propel oil and gas economics higher. In addition, the favorable commodity price backdrop improved Matador’s free cash flow outlook, creating an opportunity for potential dividend and stock buyback announcements.
13
Portfolio management review
Optimum Small-Mid Cap Growth Fund
Natera Inc., a genetic testing company focused on prenatal testing (NIPT), organ transplant rejection, and cancer recurrence monitoring, detracted the most from performance in CCI’s portion of the Fund. Its shares declined despite continued robust fundamentals that supported CCI’s investment thesis. CCI attributes the decline in shares to profit-taking in highly valued growth stocks when the market rotated toward cyclical and value shares during 2021. Notably, the stock came under further pressure after CCI exited its position in Natera.
Levi Strauss & Co., a leading apparel company focused on denim, also detracted from performance in CCI’s portion of the Fund. Despite strong quarterly results, supported by a cyclical recovery and a new jeans fashion cycle, shares declined as the market struggled with increasing cost inflation, supply chain headwinds, and the potential impact of higher inflation on consumer spending, leading CCI to exit the holding.
CCI believes slower economic growth ahead with a more restrictive Fed should favor the discipline it follows in its portion of the Fund as the market increasingly gravitates toward companies that can demonstrate continued positive momentum and positive earnings surprises. Recent leading economic indicators, including weaker purchasing managers’ indices (PMIs), waning consumer confidence, and a brief yield curve inversion, all seem supportive of this view. Given CCI’s belief that the risks associated with cyclical companies are likely to increase, CCI began to add more durable-secularly driven, positively surprising, growth stocks typical of its investment discipline to its portion of the Fund. CCI thinks these companies have the potential to stand out and may disproportionately benefit as growth becomes increasingly scarce.
CCI’s portion of the Fund is most overweight the healthcare sector. CCI recently increased its weighting in what it views as medical technology companies with innovative products that can benefit from robust secular demand and the resumption of medical procedures as COVID-19 recedes. CCI’s portion of the Fund is also overweight the communication services sector, particularly those companies experiencing strong demand from digital business models in software, advertising, and entertainment.
CCI’s portion of the Fund is most underweight the consumer discretionary sector, as fading stimulus payments along with persistently high inflation are likely to squeeze consumer pocketbooks, prompting a pullback in consumer spending. CCI also continues to have no exposure to the real estate sector, as real estate investment trusts (REITs) are at risk from rising interest rates.
CCI's portion of the Fund did not hold derivatives during the fiscal year.
PCM
The healthcare and industrials sectors were the strongest contributors to performance for PCM’s portion of the Fund for the fiscal year. Contribution from the healthcare sector was broad based, with favorable stock selection across life sciences, healthcare technology, biotechnology, and healthcare provider holdings. An underweight position to the biotechnology industry group also contributed to performance for PCM’s portion of the Fund. Within the industrials sector, improved economic visibility and attractive valuations drove a resurgence in many of the market’s more cyclical areas. PCM’s electronic equipment and professional services holdings were notable contributors for the Fund’s fiscal period.
The energy and real estate sectors detracted the most from performance within PMC’s portion of the Fund. Driven by the continued economic recovery as well as the Russia-Ukraine war, global energy prices rose rapidly, driving strong stock performance across the energy sector. PCM’s portion of the Fund was underweight energy during the 12-month period, which detracted from relative results. PCM’s underweight position to the outperforming real estate sector also was a modest detractor.
The principal contributor to PCM’s portion of the Fund for the fiscal year was Mimecast Ltd. Mimecast is a leading provider of cloud-based email security solutions focused on small- and medium-sized businesses. Email security is a top priority for any organization, especially with the work-from-home trend significantly increasing a company’s exposure to email-based threats. As a result, demand for Mimecast’s security products accelerated throughout the Fund’s fiscal period, with increasing order sizes and the strong up-sell of new products to both new and existing customers. Given Mimecast’s strong growth prospects and rapid consolidation within the cybersecurity space, private equity firm Permira acquired the company in December.
Another significant contributor was Steel Dynamics Inc., one of the largest US steel producers and metal recyclers. Coupled with a strong pricing environment, the company has benefited from an improved economic backdrop as demand for steel remained robust. Not only has Steel Dynamics seen particular strength in the nonresidential construction market, PCM thinks that the eventual recovery in automotive production volumes should be additive to its future growth as well. As a result of these strong end-market dynamics, free cash flow was robust, enabling the company to repurchase roughly 8% of its total outstanding shares in calendar year 2021.
The leading detractor from performance in PCM’s portion of the Fund was Sleep Number Corp., a designer and manufacturer of premium mattresses. Since consumers spent more time in their homes during the pandemic, demand for home goods, including mattresses, had
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been strong. And while the demand environment for the company’s products remains favorable, supply chain delays hurt sales and earnings results for much of the fiscal year. A shortage of semiconductors used in the adjustable base of the beds caused persistent delays in customer deliveries during the fiscal year, leading the stock to underperform. PCM continues to hold Sleep Number in its portion of the Fund.
Tactile Systems Technology Inc. also detracted from performance in PCM’s portion of the Fund. Tactile Systems designs and manufactures medical devices used for the treatment of lymphedema, an underdiagnosed and undertreated affliction affecting 1.4 million new patients annually. COVID-19-related headwinds were the primary driver of the stock’s weakness for the Fund’s fiscal period. With multiple variants emerging over the period, patients were unpredictable in their willingness to return to their doctors’ offices. Meanwhile, vaccine mandates at both the federal and company level hurt Tactile Systems’ ability to attract and retain its salesforce. While this led to volatile sales and earnings results during the 12-month period, PCM believes the company’s valuation remains attractive for its long-term growth potential, especially as the economy continues to reopen. PCM continues to hold Tactile Systems in its portion of the Fund.
PCM’s process focuses on rapidly growing small-cap companies trading at valuations that in PCM’s opinion do not yet reflect that strong growth. PCM’s portion of the Fund is currently most overweight companies in the industrial and financial sectors, and most underweight in consumer discretionary.
PCM's portion of the Fund did not hold derivatives during the fiscal year.
15
Portfolio management review
Optimum Small-Mid Cap Value Fund
March 31, 2022 (Unaudited)
Performance review (for the year ended March 31, 2022) | ||||
Optimum Small-Mid Cap Value Fund (Institutional Class shares) | 1-year return | +6.74% | ||
Optimum Small-Mid Cap Value Fund (Class A shares) | 1-year return | +6.45% | ||
Russell 2500™ Value Index (benchmark) | 1-year return | +7.73% |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Small-Mid Cap Value Fund, please see the table on page 34.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Fund objective
The Fund seeks long-term growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisors
LSV Asset Management (LSV)
Cardinal Capital Management LLC (Cardinal)
Market review
Small- and mid-cap value equities in the US performed well in the beginning of the Fund’s fiscal year ended March 31, 2022, as the COVID-19 vaccination rollout continued to accelerate globally, supporting a rebound in economic activity. Later in the period, global supply chain disruptions hurt company results and rising inflation eroded investor optimism. Markets, however, proved to be reasonably resilient despite these challenges and the emergence of the Delta and Omicron COVID-19 variants. Strong earnings continued to support elevated equity valuations as market indices finished the calendar year of 2021 with notably strong performances.
In the first quarter of 2022, however, Russia’s invasion of Ukraine and the resulting humanitarian crisis jolted markets as numerous sanctions caused a commodity supply shock and increased inflationary pressures. Within the US, value stocks broadly held up well relative to growth stocks during the period. Representing US small- to mid-cap stocks, the Russell 2500 Value Index was up 7.7% while the Russell 2500TM Growth Index dropped 10.1% for the fiscal year.
Overall, large-cap stocks significantly outpaced small- and small-to-mid-cap stocks, as the S&P 500® Index rose more 15.6% for the fiscal year. Small- to mid-cap stock performance was inconsistent as economically sensitive sectors, such as energy and materials, significantly outperformed while consumer discretionary, information technology, and industrials stocks lagged. Outside of this, defensive investments such as utilities, consumer staples, and real estate all fared better, reflecting investors' increased appetite for a degree of certainty and security.
Source: Bloomberg, unless noted otherwise.
Fund performance
Optimum Small-Mid Cap Value Fund underperformed its benchmark, the Russell 2500 Value Index, for the fiscal year. LSV’s portion of the Fund outperformed the benchmark for the fiscal year, benefiting from its deeper value positioning relative to the benchmark. Cardinal’s portion of the Fund trailed the benchmark for the fiscal year because of its lack of exposure to commodity-sensitive and more cyclical stocks.
LSV
The positive impact of LSV’s portion of the Fund relative to the benchmark was evident in stock selection, where that portion of the Fund’s deeper value positioning relative to the benchmark contributed to performance. Stock selection was particularly strong in the financials, healthcare, and technology sectors. Sector selection detracted mostly because of an underweight to energy stocks. This had a significant effect on relative performance, as energy stocks outperformed the broader market by a wide margin. An overweight to consumer discretionary stocks also detracted from performance.
LSV’s portion of the Fund was broadly diversified with 223 stocks, during the fiscal year, which limited the potential impact of any one position on relative performance. The two leading contributors to relative performance were The Mosaic Co., the largest US producer of potash and phosphate fertilizer, and Atkore Inc., a leading provider of electrical, safety, and infrastructure solutions. Both companies benefited from the continued favorable environment for high-quality companies that are generating cash and paying dividends. LSV believes both stocks remain attractively valued, and it continues to hold them in its portion of the Fund.
The two leading performance detractors from LSV’s portion of the Fund were Whirlpool Corp. and Sleep Number Corp. Whirlpool, which markets and distributes major home appliances and related
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products, was the largest detractor within LSV’s portion of the Fund. There does not appear to be any discernible reason for the stock’s decline during the quarter other than headwinds created by a potential economic slowdown. 2021 was a good year for Whirlpool, as consumer demand was strong and gross profits and operating margins increased. LSV believes its low valuation is not justified. Whirlpool continues to rank highly in the LSV model and continues to be held in LSV’s portion of the Fund.
Sleep Number, a manufacturer of beds and bedding accessories, had earnings revised downward after supply chain pressures hurt its business. Sleep Number remains attractively valued by LSV’s model and is still held in LSV’s portion of the Fund.
As a contrarian deep value investor, LSV has patiently stuck to its discipline. LSV maintains a strong conviction that valuations matter and believes that conditions continue to be favorable for value stocks and in particular the deep value stocks it owns. Importantly, LSV believes that the deeply discounted stocks owned in LSV’s portion of the Fund are a high-quality blend of profitable companies that are generating cash, paying dividends, and buying back stock. LSV believes that overall quality profile is higher than the Russell 2500 Value Index and comparable to the core Russell 2500 Index. While the short-term environment resulting from the pandemic and Russia’s invasion of Ukraine remain uncertain, LSV believes the mid- to long-term prospects for holdings in its portion of the Fund are attractive. Regardless of current market sentiment, LSV remains committed to its disciplined deep value approach.
LSV’s portion of the Fund did not hold derivatives during the fiscal year.
Cardinal
While Cardinal's portion of the Fund kept pace with its benchmark, the Russell 2500 Value Index, for much of the fiscal year and added considerable value in late 2021 and early 2022, Russia's invasion of Ukraine and associated commodity-driven rally caused the portfolio to lag sharply in March, which offset the earlier outperformance. For the fiscal year, Cardinal's portion of the Fund slightly lagged the benchmark. Cardinal's focus on owning high-quality businesses and low exposure to commodity-sensitive and highly cyclical stocks drove the relative underperformance of Cardinal’s portion of the Fund.
In managing its portion of the Fund's assets, Cardinal employs a cash-flow-oriented investment process. Cardinal believes that a company's stock price is ultimately determined by its ability to generate excess cash flow and redeploy that cash to enhance shareholder value. The investment process involves making detailed five-year projections based on an analysis of the company's business and financials as well as discussions with the company's management and knowledgeable third parties. Cardinal looks for companies with significant free cash flow, stable and predictable business models, and a motivated and competent management team.
The leading detractors within Cardinal’s portion of the Fund were in the financials and materials sectors, while major contributors came in the healthcare and consumer discretionary sectors. In financials, stock selection and not owning insurance stocks were the main drivers of the underperformance. Cardinal tends not to own insurance companies because of what it believes is insufficient transparency into their operations and reserves. Specifically, shares of Columbia Banking System Inc. lagged other regional banks after it announced the acquisition of neighboring Umpqua Holdings at a premium valuation in October. Cardinal continues to hold shares of Columbia in its portion of the Fund as it is a beneficiary of a higher interest rate environment given its low-cost deposit base. Also, Columbia Bank anticipates substantial synergies from the merger with Umpqua, which should close by mid-year 2022, and Columbia’s shares now sell at a discount to other regional banks.
Stock selection and not owning metals and mining stocks were the leading detractors from performance in the materials sector for Cardinal’s portion of the Fund. Cardinal does not view most metals and mining stocks as sufficiently stable or predictable to consistently generate free cash flow or to possess attractive reinvestment opportunities. In addition, the stock price of Axalta Coating Systems Ltd. declined amid broad weakness in specialty chemicals stocks – a response to chip shortages and supply chain constraints that affected its automobile manufacturing customers and higher-than-expected raw material inflation. Cardinal’s portion of the Fund retained its shares of Axalta Coating Systems as Cardinal believes its earnings and cash flow will likely benefit when the supply chain untangles, pricing gains offset higher input costs, and global automobile manufacturing rebounds.
Stock selection and an underweight in the healthcare sector, particularly an underweight in biotechnology companies, were the leading contributors to performance for Cardinal’s portion of the Fund. Most biotechnology companies are not free-cash-flow-generating businesses, and their successes are often highly dependent upon a concentrated number of research projects, which led Cardinal to pass on these opportunities. Instead, shares of contract research service provider Syneos Health Inc. outpaced the healthcare sector as its free-cash-flow-generating business model permitted it to make accretive acquisitions and opportunistically repurchase shares. Cardinal’s portion of the Fund retained its shares of Syneos Health as of the end of the fiscal year in anticipation of further appreciation.
Nexstar Media Group Inc. also contributed to performance for Cardinal’s portion of the Fund for the fiscal year. Nexstar Media
17
Portfolio management review
Optimum Small-Mid Cap Value Fund
outpaced other companies in the communications services sector and used its healthy free cash flow to repurchase a significant amount of stock and make an acquisition to bolster its growing media content business. Cardinal’s portion of the Fund held the shares of Nexstar at the end of the fiscal year in anticipation of potential further appreciation.
An underweight to the consumer discretionary sector likewise contributed to the performance of Cardinal’s portion of the Fund as investors increasingly became concerned about the sustainability of consumer spending levels in the face of less government stimulus and higher interest rates, as well as the expected shift within consumer spending from goods toward services.
Cardinal's portion of the Fund did not hold derivatives during the fiscal year.
18
Performance summaries
Optimum Fixed Income Fund
March 31, 2022 (Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com/performance.
Fund and benchmark performance1,2 | Average annual total returns through March 31, 2022 | |||||||
1 year | 5 year | 10 year | ||||||
Class A (Est. August 1, 2003) | ||||||||
Excluding sales charge | -4.89%* | +2.08% | +1.99% | |||||
Including sales charge | -9.19% | +1.15% | +1.52% | |||||
Class C (Est. August 1, 2003) | ||||||||
Excluding sales charge | -5.44%* | +1.33% | +1.24% | |||||
Including sales charge | -6.38% | +1.33% | +1.24% | |||||
Institutional Class (Est. August 1, 2003) | ||||||||
Excluding sales charge | -4.55%* | +2.32% | +2.25% | |||||
Including sales charge | -4.55% | +2.32% | +2.25% | |||||
Bloomberg US Aggregate Index | -4.15% | +2.14% | +2.24% |
* | Total returns for the report period presented in the table differs from the return in “Financial highlights.” The total returns presented in the above table are calculated based on the net asset value (NAV) at which shareholder transactions were processed. The total returns presented in “Financial highlights” are calculated in the same manner, but also takes into account certain adjustments that are necessary under US generally accepted accounting principles required in the annual report. |
1 | Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares. |
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximum front-end sales charge of up to 4.50%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 | The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 0.83% of the Fund’s average daily net assets from July 29, 2021 through March 31, 2022. From April 1, 2021 through July 28, 2021, the expense waiver was 0.85% of the Fund's average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements. |
(continues) 19
Performance summaries
Optimum Fixed Income Fund
Fund expense ratios | Class A | Class C | Institutional Class | |||
Total annual operating expenses (without fee waivers) | 1.06% | 1.81% | 0.81% | |||
Net expenses (including fee waivers, if any) | 1.06% | 1.81% | 0.81% | |||
Type of waiver | Contractual | Contractual | Contractual |
* | The aggregate contractual waiver period covering this report is from July 29, 2020 to July 29, 2022. |
Fixed income securities and bond funds can lose value, and investors can lose principal, as interest rates rise. They also may be affected by economic conditions that hinder an issuer’s ability to make interest and principal payments on its debt. This includes prepayment risk, the risk that the principal of a bond that is held by a portfolio will be prepaid prior to maturity, at the time when interest rates are lower than what the bond was paying. A portfolio may then have to reinvest that money at a lower interest rate
High yielding, non-investment-grade bonds (junk bonds) involve higher risk than investment grade bonds. The high yield secondary market is particularly susceptible to liquidity problems when institutional investors, such as mutual funds and certain other financial institutions, temporarily stop buying bonds for regulatory, financial, or other reasons. In addition, a less liquid secondary market makes it more difficult to obtain precise valuations of the high yield securities.
Securities in the lowest of the rating categories considered to be investment grade (that is, Baa or BBB) have some speculative characteristics.
This document may mention bond ratings published by nationally recognized statistical rating organizations (NRSROs) Standard & Poor’s, Moody’s Investors Service, and Fitch, Inc. For securities rated by an NRSRO other than S&P, the rating is converted to the equivalent S&P credit rating. Bonds rated AAA are rated as having the highest quality and are generally considered to have the lowest degree of investment risk. Bonds rated AA are considered to be of high quality, but with a slightly higher degree of risk than bonds rated AAA. Bonds rated A are considered to have many favorable investment qualities, though they are somewhat more susceptible to adverse economic conditions. Bonds rated BBB are believed to be of medium-grade quality and generally riskier over the long term. Bonds rated BB, B, and CCC are regarded as having significant speculative characteristics, with BB indicating the least degree of speculation of the three.
If and when the Fund invests in forward foreign currency contracts or uses other investments to hedge against currency risks, the Fund will be subject to special risks, including counterparty risk.
The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivatives transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
Portfolio turnover is a measure of how frequently the managers buy and sell assets within a fund over a particular period. It is usually reported for a 12-month time period.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
20
Performance of a $10,000 investment1
Average annual total returns from March 31, 2012 through March 31, 2022
For period beginning March 31, 2012 through March 31, 2022 | Starting value | Ending value | |||||||||
![]() | Optimum Fixed Income Fund — Institutional Class shares | $ | 10,000 | $ | 12,491 | ||||||
![]() | Bloomberg US Aggregate Index | $ | 10,000 | $ | 12,480 | ||||||
![]() | Optimum Fixed Income Fund — Class A shares | $ | 9,550 | $ | 11,625 |
1 | The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2012, and includes the effect of a 4.50% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table on page 20. Please note additional details on pages 19 through 21. |
The graph also assumes $10,000 invested in the Bloomberg US Aggregate Index as of March 31, 2012. The Bloomberg US Aggregate Index is a broad composite that tracks the investment grade domestic bond market.
The S&P 500 Index, mentioned on page 1, measures the performance of 500 mostly large-cap stocks weighted by market value, and is often used to represent performance of the US stock market.
The US Consumer Price Index (CPI), mentioned on page 1, is a measure of inflation that is calculated by the US Department of Labor, representing changes in prices of all goods and services purchased for consumption by urban households.
The Bloomberg US TIPS Index, mentioned on page 1, measures the total return performance of the market for inflation-protected securities issued by the US Treasury.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
Nasdaq | ||||
symbols | CUSIPs | |||
Class A | OAFIX | 246118681 | ||
Class C | OCFIX | 246118665 | ||
Institutional Class | OIFIX | 246118657 |
(continues) 21
Performance summaries
Optimum International Fund
March 31, 2022 (Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com/performance.
Fund and benchmark performance1,2 | Average annual total returns through March 31, 2022 | |||||||
1 year | 5 year | 10 year | ||||||
Class A (Est. August 1, 2003) | ||||||||
Excluding sales charge | -7.55% | +5.76% | +5.21% | |||||
Including sales charge | -12.87% | +4.52% | +4.59% | |||||
Class C (Est. August 1, 2003) | ||||||||
Excluding sales charge | -8.21% | +4.98% | +4.45% | |||||
Including sales charge | -9.01% | +4.98% | +4.45% | |||||
Institutional Class (Est. August 1, 2003) | ||||||||
Excluding sales charge | -7.31% | +6.03% | +5.50% | |||||
Including sales charge | -7.31% | +6.03% | +5.50% | |||||
MSCI ACWI ex USA Index (net) | -1.48% | +6.76% | +5.55% | |||||
MSCI ACWI ex USA Index (gross) | -1.04% | +7.26% | +6.04% |
1 | Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares. |
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximum front-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 | The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.09% of the Fund’s average daily net assets from July 29, 2021 through March 31, 2022. From April 1, 2021 through July 28, 2021, the expense waiver was 1.17% of the Fund's average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements. |
22
Fund expense ratios | Class A | Class C | Institutional Class | |||
Total annual operating expenses (without fee waivers) | 1.35% | 2.10% | 1.10% | |||
Net expenses (including fee waivers, if any) | 1.34% | 2.09% | 1.09% | |||
Type of waiver | Contractual | Contractual | Contractual |
* | The aggregate contractual waiver period covering this report is from July 29, 2020 to July 29, 2022. |
International investments entail risks including fluctuation in currency values, differences in accounting principles, or economic or political instability. Investing in emerging markets can be riskier than investing in established foreign markets due to increased volatility, lower trading volume, and higher risk of market closures. In many emerging markets, there is substantially less publicly available information and the available information may be incomplete or misleading. Legal claims are generally more difficult to pursue.
The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivatives transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
There is no guarantee that dividend-paying stocks will continue to pay dividends.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 investment1
Average annual total returns from March 31, 2012 through March 31, 2022
For period beginning March 31, 2012 through March 31, 2022 | Starting value | Ending value | |||||||||
![]() | MSCI ACWI ex USA Index (gross) | $ | 10,000 | $ | 17,934 | ||||||
![]() | MSCI ACWI ex USA Index (net) | $ | 10,000 | $ | 17,168 | ||||||
![]() | Optimum International Fund — Institutional Class shares | $ | 10,000 | $ | 17,077 | ||||||
![]() | Optimum International Fund — Class A shares | $ | 9,425 | $ | 15,663 |
1 | The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2012, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 22 through 24. |
(continues) 23
Performance summaries
Optimum International Fund
The graph also assumes $10,000 invested in the MSCI ACWI (All Country World) ex USA Index as of March 31, 2012. The MSCI ACWI ex USA Index is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance across developed and emerging markets worldwide, excluding the United States. Index “gross” return approximates the maximum possible dividend reinvestment. Index “net” return approximates the minimum possible dividend reinvestment, after deduction of withholding tax at the highest possible rate.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
Nasdaq | ||||
symbols | CUSIPs | |||
Class A | OAIEX | 246118731 | ||
Class C | OCIEX | 246118715 | ||
Institutional Class | OOIIX | 246118699 |
24
Performance summaries
Optimum Large Cap Growth Fund
March 31, 2022 (Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com/performance.
Fund and benchmark performance1,2 | Average annual total returns through March 31, 2022 | |||||
1 year | 5 year | 10 year | ||||
Class A (Est. August 1, 2003) | ||||||
Excluding sales charge | +2.49% | +16.17% | +14.34% | |||
Including sales charge | -3.39% | +14.79% | +13.67% | |||
Class C (Est. August 1, 2003) | ||||||
Excluding sales charge | +1.72% | +15.31% | +13.52% | |||
Including sales charge | +0.88% | +15.31% | +13.52% | |||
Institutional Class (Est. August 1, 2003) | ||||||
Excluding sales charge | +2.75% | +16.46% | +14.66% | |||
Including sales charge | +2.75% | +16.46% | +14.66% | |||
Russell 1000 Growth Index | +14.98% | +20.88% | +17.04% |
1 | Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares. |
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximum front-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 | The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 0.96% of the Fund’s average daily net assets from July 29, 2021 through March 31, 2022. From April 1, 2021 through July 28, 2021, the expense waiver was 1.02% of the Fund's average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements. |
(continues) 25
Performance summaries
Optimum Large Cap Growth Fund
Fund expense ratios | Class A | Class C | Institutional Class | |||
Total annual operating expenses (without fee waivers) | 1.23% | 1.98% | 0.98% | |||
Net expenses (including fee waivers, if any) | 1.21% | 1.96% | 0.96% | |||
Type of waiver | Contractual | Contractual | Contractual |
* | The aggregate contractual waiver period covering this report is from July 29, 2020 to July 29, 2022. |
REIT investments are subject to many of the risks associated with direct real estate ownership, including change in economic conditions, credit risk, and interest rate fluctuations. A REIT fund’s tax status as a regulated investment company could be jeopardized if it holds real estate directly, as a result of defaults or receive rental income from real estate holdings.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 investment1
Average annual total returns from March 31, 2012 through March 31, 2022
For period beginning March 31, 2012 through March 31, 2022 | Starting value | Ending value | |||||||||
![]() | Russell 1000 Growth Index | $ | 10,000 | $ | 48,238 | ||||||
![]() | Optimum Large Cap Growth Fund — Institutional Class shares | $ | 10,000 | $ | 39,270 | ||||||
![]() | Optimum Large Cap Growth Fund — Class A shares | $ | 9,425 | $ | 36,014 |
1 | The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2012, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 25 through 27. |
The graph also assumes $10,000 invested in the Russell 1000 Growth Index as of March 31, 2012. The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the US equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000 Value Index, mentioned on page 7, measures the performance of the large-cap value segment of the US equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The US Consumer Price Index (CPI), mentioned on page 7, is a measure of inflation that is calculated by the US Department of Labor, representing changes in prices of all goods and services purchased for consumption by urban households.
26
The S&P 500 Index, mentioned on page 7, measures the performance of 500 mostly large-cap stocks weighted by market value, and is often used to represent performance of the US stock market.
Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
Nasdaq | ||||
symbols | CUSIPs | |||
Class A | OALGX | 246118707 | ||
Class C | OCLGX | 246118889 | ||
Institutional Class | OILGX | 246118871 |
(continues) 27
Performance summaries
Optimum Large Cap Value Fund
March 31, 2022 (Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com/performance.
Fund and benchmark performance1,2 | Average annual total returns through March 31, 2022 | |||||
1 year | 5 year | 10 year | ||||
Class A (Est. August 1, 2003) | ||||||
Excluding sales charge | +12.91% | +10.45% | +9.88% | |||
Including sales charge | +6.43% | +9.15% | +9.22% | |||
Class C (Est. August 1, 2003) | ||||||
Excluding sales charge | +12.07% | +9.62% | +9.08% | |||
Including sales charge | +11.07% | +9.62% | +9.08% | |||
Institutional Class (Est. August 1, 2003) | ||||||
Excluding sales charge | +13.22% | +10.72% | +10.17% | |||
Including sales charge | +13.22% | +10.72% | +10.17% | |||
Russell 1000 Value Index | +11.67% | +10.29% | +11.70% |
1 | Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares. |
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximum front-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 | The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 0.92% of the Fund’s average daily net assets from July 29, 2021 through March 31, 2022. From April 1, 2021 through July 28, 2021, the expense waiver was 0.97% of the Fund's average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements. |
28
Fund expense ratios | Class A | Class C | Institutional Class | |||
Total annual operating expenses (without fee waivers) | 1.19% | 1.94% | 0.94% | |||
Net expenses (including fee waivers, if any) | 1.17% | 1.92% | 0.92% | |||
Type of waiver | Contractual | Contractual | Contractual |
* | The aggregate contractual waiver period covering this report is from July 29, 2020 to July 29, 2022. |
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 investment1
Average annual total returns from March 31, 2012 through March 31, 2022
![](https://capedge.com/proxy/N-CSR/0001206774-22-001489/mimof4058581-ncsr6x1x1.jpg)
For period beginning March 31, 2012 through March 31, 2022 | Starting value | Ending value | |||||||||
![]() | Russell 1000 Value Index | $ | 10,000 | $ | 30,235 | ||||||
![]() | Optimum Large Cap Value Fund — Institutional Class shares | $ | 10,000 | $ | 26,345 | ||||||
![]() | Optimum Large Cap Value Fund — Class A shares | $ | 9,425 | $ | 24,165 |
1 | The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2011, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 28 through 30. |
The graph also assumes $10,000 invested in the Russell 1000 Value Index as of March 31, 2012. The Russell 1000 Value Index measures the performance of the large-cap value segment of the US equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, mentioned on page 10, measures the performance of 500 mostly large-cap stocks weighted by market value and is often used to represent performance of the US stock market.
Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
(continues) 29
Performance summaries
Optimum Large Cap Value Fund
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
Nasdaq | ||||
symbols | CUSIPs | |||
Class A | OALVX | 246118863 | ||
Class C | OCLVX | 246118848 | ||
Institutional Class | OILVX | 246118830 |
30
Performance summaries
Optimum Small-Mid Cap Growth Fund
March 31, 2022 (Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com/performance.
Fund and benchmark performance1,2 | Average annual total returns through March 31, 2022 | |||||
1 year | 5 year | 10 year | ||||
Class A (Est. August 1, 2003) | ||||||
Excluding sales charge | -5.76% | +16.96% | +12.68% | |||
Including sales charge | -11.18% | +15.59% | +12.02% | |||
Class C (Est. August 1, 2003) | ||||||
Excluding sales charge | -6.51% | +16.08% | +11.85% | |||
Including sales charge | -7.10% | +16.08% | +11.85% | |||
Institutional Class (Est. August 1, 2003) | ||||||
Excluding sales charge | -5.54% | +17.25% | +12.98% | |||
Including sales charge | -5.54% | +17.25% | +12.98% | |||
Russell 2500 Growth Index | -10.12% | +13.22% | +12.69% |
1 | Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares. |
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximum front-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 | The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.29% of the Fund’s average daily net assets from July 29, 2021 through March 31, 2022. From April 1, 2021 through July 28, 2021, the expense waiver was 1.32% of the Fund's average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements. |
(continues) 31
Performance summaries
Optimum Small-Mid Cap Growth Fund
Fund expense ratios | Class A | Class C | Institutional Class | |||
Total annual operating expenses (without fee waivers) | 1.58% | 2.33% | 1.33% | |||
Net expenses (including fee waivers, if any) | 1.54% | 2.29% | 1.29% | |||
Type of waiver | Contractual | Contractual | Contractual |
* | The aggregate contractual waiver period covering this report is from July 29, 2020 to July 29, 2022. |
Investments in small and/or medium-sized companies typically exhibit greater risk and higher volatility than larger, more established companies.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 investment1
Average annual total returns from March 31, 2012 through March 31, 2022
![](https://capedge.com/proxy/N-CSR/0001206774-22-001489/mimof4058581-ncsr6x4x1.jpg)
For period beginning March 31, 2012 through March 31, 2022 | Starting value | Ending value | |||||||||
![]() | Optimum Small-Mid Cap Growth Fund — Institutional Class shares | $ | 10,000 | $ | 33,893 | ||||||
![]() | Russell 2500 Growth Index | $ | 10,000 | $ | 33,033 | ||||||
![]() | Optimum Small-Mid Cap Growth Fund — Class A shares | $ | 9,425 | $ | 31,118 |
1 | The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2012, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 31 through 33. |
The graph also assumes $10,000 invested in the Russell 2500 Growth Index as of March 31, 2012. The Russell 2500 Growth Index measures the performance of the small- to mid-cap growth segment of the US equity universe. It includes those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
32
Stock symbols and CUSIP numbers
Nasdaq | ||||
symbols | CUSIPs | |||
Class A | OASGX | 246118822 | ||
Class C | OCSGX | 246118798 | ||
Institutional Class | OISGX | 246118780 |
(continues) 33
Performance summaries
Optimum Small-Mid Cap Value Fund
March 31, 2022 (Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com/performance.
Fund and benchmark performance1,2 | Average annual total returns through March 31, 2022 | |||||
1 year | 5 year | 10 year | ||||
Class A (Est. August 1, 2003) | ||||||
Excluding sales charge | +6.45% | +7.17% | +7.41% | |||
Including sales charge | +0.33% | +5.90% | +6.77% | |||
Class C (Est. August 1, 2003) | ||||||
Excluding sales charge | +5.70% | +6.38% | +6.63% | |||
Including sales charge | +4.71% | +6.38% | +6.63% | |||
Institutional Class (Est. August 1, 2003) | ||||||
Excluding sales charge | +6.74% | +7.45% | +7.69% | |||
Including sales charge | +6.74% | +7.45% | +7.69% | |||
Russell 2500 Value Index | +7.73% | +9.19% | +11.04% |
1 | Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares. |
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximum front-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 | The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.20% of the Fund’s average daily net assets from July 29, 2021 through March 31, 2022. From April 1, 2021 through July 28, 2021, the expense waiver was 1.25% of the Fund's average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements. |
34
Fund expense ratios | Class A | Class C | Institutional Class | |||
Total annual operating expenses (without fee waivers) | 1.50% | 2.25% | 1.25% | |||
Net expenses (including fee waivers, if any) | 1.45% | 2.20% | 1.20% | |||
Type of waiver | Contractual | Contractual | Contractual |
* | The aggregate contractual waiver period covering this report is from July 29, 2020 to July 29, 2022. |
Investments in small and/or medium-sized companies typically exhibit greater risk and higher volatility than larger, more established companies.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 investment1
Average annual total returns from March 31, 2012 through March 31, 2022
For period beginning March 31, 2012 through March 31, 2022 | Starting value | Ending value | |||||||||
![]() | Russell 2500 Value Index | $ | 10,000 | $ | 28,498 | ||||||
![]() | Optimum Small-Mid Cap Value Fund — Institutional Class shares | $ | 10,000 | $ | 20,978 | ||||||
![]() | Optimum Small-Mid Cap Value Fund — Class A shares | $ | 9,425 | $ | 19,256 |
1 | The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2012, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 34 through 36. |
The graph also assumes $10,000 invested in the Russell 2500 Value Index as of March 31, 2012. The Russell 2500 Value Index measures the performance of the small- to mid-cap value segment of the US equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, mentioned on page 16, measures the performance of 500 mostly large-cap stocks weighted by market value, and is often used to represent performance of the US stock market.
The Russell 2500 Growth Index, mentioned on page 16, measures the performance of the small- to mid-cap growth segment of the US equity universe. It includes those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values.
(continues) 35
Performance summaries
Optimum Small-Mid Cap Value Fund
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
Nasdaq | ||||
symbols | CUSIPs | |||
Class A | OASVX | 246118772 | ||
Class C | OCSVX | 246118756 | ||
Institutional Class | OISVX | 246118749 |
36
Disclosure of Fund expenses
For the six-month period from October 1, 2021 to March 31, 2022 (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 service (12b-1) fees; and other Fund expenses. The 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 October 1, 2021 to March 31, 2022.
Actual Expenses
The first section of the tables shown, “Actual Fund return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the tables shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of each table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The Funds’ expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Optimum Fixed Income Fund
Expense analysis of an investment of $1,000
Expenses | ||||||||||||
Paid | ||||||||||||
Beginning | Ending | During | ||||||||||
Account | Account | Annualized | Period | |||||||||
Value | Value | Expense | 10/1/21 to | |||||||||
10/1/21 | 3/31/22 | Ratio | 3/31/22* | |||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 934.67 | 1.05% | $ | 5.06 | |||||
Class C | 1,000.00 | 932.00 | 1.80% | 8.67 | ||||||||
Institutional Class | 1,000.00 | 936.10 | 0.80% | 3.86 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.70 | 1.05% | $ | 5.29 | |||||
Class C | 1,000.00 | 1,015.96 | 1.80% | 9.05 | ||||||||
Institutional Class | 1,000.00 | 1,020.94 | 0.80% | 4.03 |
Optimum International Fund
Expense analysis of an investment of $1,000
Expenses | ||||||||||||
Paid | ||||||||||||
Beginning | Ending | During | ||||||||||
Account | Account | Annualized | Period | |||||||||
Value | Value | Expense | 10/1/21 to | |||||||||
10/1/21 | 3/31/22 | Ratio | 3/31/22* | |||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 915.00 | 1.34% | $ | 6.40 | |||||
Class C | 1,000.00 | 911.80 | 2.09% | 9.96 | ||||||||
Institutional Class | 1,000.00 | 916.30 | 1.09% | 5.21 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.25 | 1.34% | $ | 6.74 | |||||
Class C | 1,000.00 | 1,014.51 | 2.09% | 10.50 | ||||||||
Institutional Class | 1,000.00 | 1,019.50 | 1.09% | 5.49 |
(continues) 37
Disclosure of Fund expenses
Optimum Large Cap Growth Fund
Expense analysis of an investment of $1,000
Expenses | ||||||||||||
Paid | ||||||||||||
Beginning | Ending | During | ||||||||||
Account | Account | Annualized | Period | |||||||||
Value | Value | Expense | 10/1/21 to | |||||||||
10/1/21 | 3/31/22 | Ratio | 3/31/22* | |||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 928.40 | 1.22% | $ | 5.87 | |||||
Class C | 1,000.00 | 924.90 | 1.97% | 9.45 | ||||||||
Institutional Class | 1,000.00 | 929.60 | 0.97% | 4.67 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.85 | 1.22% | $ | 6.14 | |||||
Class C | 1,000.00 | 1,015.11 | 1.97% | 9.90 | ||||||||
Institutional Class | 1,000.00 | 1,020.09 | 0.97% | 4.89 |
Optimum Large Cap Value Fund
Expense analysis of an investment of $1,000
Expenses | ||||||||||||
Paid | ||||||||||||
Beginning | Ending | During | ||||||||||
Account | Account | Annualized | Period | |||||||||
Value | Value | Expense | 10/1/21 to | |||||||||
10/1/21 | 3/31/22 | Ratio | 3/31/22* | |||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,067.40 | 1.18% | $ | 6.08 | |||||
Class C | 1,000.00 | 1,063.30 | 1.93% | 9.93 | ||||||||
Institutional Class | 1,000.00 | 1,068.90 | 0.93% | 4.80 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.05 | 1.18% | $ | 5.94 | |||||
Class C | 1,000.00 | 1,015.31 | 1.93% | 9.70 | ||||||||
Institutional Class | 1,000.00 | 1,020.29 | 0.93% | 4.68 |
Optimum Small-Mid Cap Growth Fund
Expense analysis of an investment of $1,000
Expenses | ||||||||||||
Paid | ||||||||||||
Beginning | Ending | During | ||||||||||
Account | Account | Annualized | Period | |||||||||
Value | Value | Expense | 10/1/21 to | |||||||||
10/1/21 | 3/31/22 | Ratio | 3/31/22* | |||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 923.90 | 1.56% | $ | 7.48 | |||||
Class C | 1,000.00 | 919.80 | 2.31% | 11.06 | ||||||||
Institutional Class | 1,000.00 | 925.00 | 1.31% | 6.29 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.15 | 1.56% | $ | 7.85 | |||||
Class C | 1,000.00 | 1,013.41 | 2.31% | 11.60 | ||||||||
Institutional Class | 1,000.00 | 1,018.40 | 1.31% | 6.59 |
Optimum Small-Mid Cap Value Fund
Expense analysis of an investment of $1,000
Expenses | ||||||||||||
Paid | ||||||||||||
Beginning | Ending | During | ||||||||||
Account | Account | Annualized | Period | |||||||||
Value | Value | Expense | 10/1/21 to | |||||||||
10/1/21 | 3/31/22 | Ratio | 3/31/22* | |||||||||
Actual Fund return† | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,042.10 | 1.46% | $ | 7.43 | |||||
Class C | 1,000.00 | 1,039.10 | 2.21% | 11.24 | ||||||||
Institutional Class | 1,000.00 | 1,043.80 | 1.21% | 6.17 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.65 | 1.46% | $ | 7.34 | |||||
Class C | 1,000.00 | 1,013.91 | 2.21% | 11.10 | ||||||||
Institutional Class | 1,000.00 | 1,018.90 | 1.21% | 6.09 |
* | “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 182/365 (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. |
In addition to the Funds' expenses reflected above and on the previous page, each Fund also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The tables above and on the previous page do not reflect the expenses of any applicable Underlying Funds.
38
Security type / sector allocations
Optimum Fixed Income Fund
As of March 31, 2022 (Unaudited)
Sector designations may be different from 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 from another fund’s sector designations.
Percentage | ||||
Security type / sector | of net assets | |||
Agency Asset-Backed Securities | 0.02% | |||
Agency Collateralized Mortgage Obligations | 2.84% | |||
Agency Commercial Mortgage-Backed Securities | 0.18% | |||
Agency Mortgage-Backed Securities | 18.98% | |||
Collateralized Debt Obligations | 6.33% | |||
Convertible Bonds | 0.16% | |||
Corporate Bonds | 36.56% | |||
Banking | 10.87% | |||
Basic Industry | 1.21% | |||
Brokerage | 0.26% | |||
Capital Goods | 1.13% | |||
Communications | 3.35% | |||
Consumer Cyclical | 2.91% | |||
Consumer Non-Cyclical | 3.68% | |||
Energy | 3.49% | |||
Finance Companies | 2.26% | |||
Industrials | 0.02% | |||
Insurance | 0.83% | |||
Real Estate Investment Trusts | 0.78% | |||
Technology | 1.28% | |||
Transportation | 1.69% | |||
Utilities | 2.80% | |||
Municipal Bonds | 1.13% | |||
Non-Agency Asset-Backed Securities | 2.21% | |||
Non-Agency Collateralized Mortgage Obligations | 1.69% | |||
Non-Agency Commercial Mortgage-Backed Securities | 4.97% | |||
Loan Agreements | 3.53% | |||
Sovereign Bonds | 2.54% | |||
Supranational Banks | 0.02% | |||
US Treasury Obligations | 12.44% | |||
Common Stocks | 0.03% | |||
Preferred Stock | 0.01% | |||
Options Purchased | 0.09% | |||
Short-Term Investments | 27.99% | |||
Total Value of Securities Before Options Written | 121.72% | |||
Options Written | (0.28%) | |||
Liabilities Net of Receivables and Other Assets | (21.44%) | |||
Total Net Assets | 100.00% |
(continues) 39
Security type / sector and country allocations
Optimum International Fund
As of March 31, 2022 (Unaudited)
Sector designations may be different from 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 from another fund’s sector designations.
Percentage | ||||
Security type / country | of net assets | |||
Common Stocks by Country | 96.99% | |||
Australia | 4.60% | |||
Austria | 0.83% | |||
Belgium | 0.39% | |||
Brazil | 2.26% | |||
Canada | 3.17% | |||
Chile | 0.10% | |||
China/Hong Kong | 10.40% | |||
Czech Republic | 0.03% | |||
Denmark | 4.90% | |||
Egypt | 0.00% | |||
Finland | 0.62% | |||
France | 3.19% | |||
Germany | 6.11% | |||
Greece | 0.13% | |||
Hungary | 0.34% | |||
India | 3.01% | |||
Indonesia | 0.23% | |||
Iraq | 0.00% | |||
Ireland | 2.83% | |||
Israel | 1.25% | |||
Italy | 1.51% | |||
Japan | 11.41% | |||
Luxembourg | 0.57% | |||
Malaysia | 0.11% | |||
Mexico | 0.40% | |||
Netherlands | 5.28% | |||
New Zealand | 0.00% | |||
Norway | 1.32% | |||
Panama | 0.43% | |||
Philippines | 0.01% | |||
Poland | 0.71% | |||
Republic of Korea | 5.06% | |||
Russia | 0.00% | |||
Singapore | 0.03% | |||
South Africa | 1.91% | |||
Spain | 0.82% | |||
Sweden | 2.37% | |||
Switzerland | 7.45% | |||
Taiwan | 6.62% | |||
Thailand | 0.61% | |||
Turkey | 0.04% | |||
Ukraine | 0.19% | |||
United Arab Emirates | 0.11% | |||
United Kingdom | 2.57% | |||
United States | 3.07% | |||
Preferred Stocks | 1.41% | |||
Warrants | 0.00% | |||
Short-Term Investments | 0.77% | |||
Total Value of Securities | 99.17% | |||
Receivables and Other Assets Net of Liabilities | 0.83% | |||
Total Net Assets | 100.00% | |||
Percentage | ||||
Common stocks and preferred stocks by sector | of net assets | |||
Communication Services | 5.74% | |||
Consumer Discretionary | 9.26% | |||
Consumer Staples | 4.16% | |||
Energy | 5.72% | |||
Financials | 15.09% | |||
Healthcare | 10.14% | |||
Industrials | 19.36% | |||
Information Technology | 17.43% | |||
Materials | 10.85% | |||
Real Estate | 0.16% | |||
Utilities | 0.49% | |||
Total | 98.40% |
40
Security type / sector allocations and top 10 equity holdings
Optimum Large Cap Growth Fund
As of March 31, 2022 (Unaudited)
Sector designations may be different from 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 from another fund’s sector designations.
Percentage | ||||
Security type / sector | of net assets | |||
Common Stocks ◆ | 97.28 | % | ||
Communication Services | 13.42 | % | ||
Consumer Discretionary | 21.47 | % | ||
Consumer Staples | 0.82 | % | ||
Financials | 1.15 | % | ||
Healthcare | 11.61 | % | ||
Industrials | 7.03 | % | ||
Information Technology* | 41.06 | % | ||
Real Estate | 0.72 | % | ||
Short-Term Investments | 2.53 | % | ||
Total Value of Securities | 99.81 | % | ||
Receivables and Other Assets Net of Liabilities | 0.19 | % | ||
Total Net Assets | 100.00 | % |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with Optimum Large Cap Growth Fund 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 Investment Company Act of 1940, as amended). The Information Technology sector for this Fund consisted of Advertising, Aerospace/Defense, Commercial Services, Computers, Diversified Financial Services, Internet, Semiconductors, and Software. As of March 31, 2022, such amounts, as percentage of total net assets, were 0.28%, 0.58%, 1.51%, 5.65%, 4.03%, 1.72%, 6.63%, and 20.66%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | ||||
Top 10 equity holdings | of net assets | |||
Amazon.com | 9.92 | % | ||
Microsoft | 8.55 | % | ||
Apple | 5.65 | % | ||
NVIDIA | 3.66 | % | ||
Meta Platforms Class A | 3.50 | % | ||
Visa Class A | 3.17 | % | ||
Tesla | 2.58 | % | ||
UnitedHealth Group | 2.50 | % | ||
Alphabet Class A | 2.44 | % | ||
Salesforce | 2.36 | % |
(continues) 41
Security type / sector allocations and top 10 equity holdings
Optimum Large Cap Value Fund
As of March 31, 2022 (Unaudited)
Sector designations may be different from 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 from another fund’s sector designations.
Percentage | ||||
Security type / sector | of net assets | |||
Common Stocks | 98.27 | % | ||
Communication Services | 5.33 | % | ||
Consumer Discretionary | 3.46 | % | ||
Consumer Staples | 5.24 | % | ||
Energy | 5.75 | % | ||
Financials | 23.88 | % | ||
Healthcare | 19.05 | % | ||
Industrials | 15.18 | % | ||
Information Technology | 8.45 | % | ||
Materials | 3.96 | % | ||
Real Estate | 2.40 | % | ||
Utilities | 5.57 | % | ||
Short-Term Investments | 1.50 | % | ||
Total Value of Securities | 99.77 | % | ||
Receivables and Other Assets Net of Liabilities | 0.23 | % | ||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | ||||
Top 10 equity holdings | of net assets | |||
JPMorgan Chase & Co. | 3.25 | % | ||
Johnson & Johnson | 2.81 | % | ||
Thermo Fisher Scientific | 2.08 | % | ||
Comcast Class A | 2.03 | % | ||
Duke Energy | 1.94 | % | ||
Northrop Grumman | 1.82 | % | ||
Medtronic | 1.75 | % | ||
ConocoPhillips | 1.72 | % | ||
Honeywell International | 1.62 | % | ||
UnitedHealth Group | 1.48 | % |
42
Security type / sector allocations and top 10 equity holdings
Optimum Small-Mid Cap Growth Fund
As of March 31, 2022 (Unaudited)
Sector designations may be different from 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 from another fund’s sector designations.
Percentage | ||||
Security type / sector | of net assets | |||
Common Stocks ◆ | 98.70 | % | ||
Communication Services | 3.58 | % | ||
Consumer Discretionary | 9.37 | % | ||
Consumer Staples | 3.16 | % | ||
Energy | 2.13 | % | ||
Financials | 7.12 | % | ||
Healthcare* | 25.58 | % | ||
Industrials | 17.08 | % | ||
Information Technology* | 25.88 | % | ||
Materials | 4.28 | % | ||
Real Estate | 0.52 | % | ||
Convertible Preferred Stock | 0.02 | % | ||
Warrant | 0.00 | % | ||
Short-Term Investments | 1.14 | % | ||
Total Value of Securities | 99.86 | % | ||
Receivables and Other Assets Net of Liabilities | 0.14 | % | ||
Total Net Assets | 100.00 | % |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with Optimum Small-Cap Growth Fund concentration guidelines as described in the Fund’s prospectus and Statement of Additional Information, the Healthcare and Information Technology sectors (as disclosed herein for financial reporting purposes) are subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Healthcare sector consisted of Biotechnology, Commercial Services, Healthcare-Products, Healthcare-Services, Pharmaceuticals, and Software. As of March 31, 2022, such amounts, as a percentage of total net assets were, 3.77%, 0.90%, 12.10%, 3.29%, 2.46%, and 3.06%, respectively. The Information Technology sector consisted of Commercial Services, Computers, Diversified Financial Services, Electrical Components & Equipment, Electronics, Energy-Alternate Sources, Internet, Semiconductors, Software and Telecommunications. As of March 31, 2022, such amounts, as a percentage of total net assets were, 1.88%, 4.03%, 0.27%, 0.53%, 0.22%, 1.43%, 1.16%, 5.31%, 9.58%, and 1.47%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentage in the Healthcare and Information Technology sector for financial reporting purposes may exceed 25%. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | ||||
Top 10 equity holdings | of net assets | |||
Evolent Health Class A | 2.06 | % | ||
Inspire Medical Systems | 1.60 | % | ||
Tenable Holdings | 1.52 | % | ||
Avantor | 1.43 | % | ||
Enphase Energy | 1.43 | % | ||
Envista Holdings | 1.28 | % | ||
Horizon Therapeutics | 1.28 | % | ||
FMC | 1.24 | % | ||
Chart Industries | 1.21 | % | ||
Entegris | 1.21 | % |
(continues) 43
Security type / sector allocations and top 10 equity holdings
Optimum Small-Mid Cap Value Fund
As of March 31, 2022 (Unaudited)
Sector designations may be different from 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 from another fund’s sector designations.
Percentage | ||||
Security type / sector | of net assets | |||
Common Stocks | 97.14 | % | ||
Communication Services | 6.72 | % | ||
Consumer Discretionary | 9.42 | % | ||
Consumer Staples | 4.51 | % | ||
Energy | 5.40 | % | ||
Financials | 19.16 | % | ||
Healthcare | 4.71 | % | ||
Industrials | 14.67 | % | ||
Information Technology | 11.03 | % | ||
Materials | 10.94 | % | ||
Real Estate | 9.12 | % | ||
Utilities | 1.46 | % | ||
Limited Partnerships | 0.46 | % | ||
Short-Term Investments | 2.35 | % | ||
Total Value of Securities | 99.95 | % | ||
Receivables and Other Assets Net of Liabilities | 0.05 | % | ||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | ||||
Top 10 equity holdings | of net assets | |||
Nexstar Media Group Class A | 2.77 | % | ||
PacWest Bancorp | 2.42 | % | ||
Silgan Holdings | 2.35 | % | ||
Gaming and Leisure Properties | 1.90 | % | ||
Ziff Davis | 1.85 | % | ||
Enovis | 1.69 | % | ||
Medical Properties Trust | 1.66 | % | ||
Lithia Motors | 1.56 | % | ||
Silicon Motion Technology ADR | 1.47 | % | ||
Spectrum Brands Holdings | 1.46 | % |
44
Schedules of investments
Optimum Fixed Income Fund
March 31, 2022
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Asset-Backed Securities — 0.02% | |||||||
SLM Student Loan | |||||||
Trust | |||||||
Series 2003-11 A6 | |||||||
144A 1.376% | |||||||
(LIBOR03M + | |||||||
0.55%) 12/15/25 #, ● | 56,066 | $ | 55,963 | ||||
Series 2008-9 A | |||||||
1.758% (LIBOR03M | |||||||
+ 1.50%) 4/25/23 ● | 588,075 | 589,098 | |||||
Total Agency Asset-Backed Securities | |||||||
(cost $644,420) | 645,061 | ||||||
Agency Collateralized Mortgage Obligations — 2.84% | |||||||
Fannie Mae | |||||||
Connecticut Avenue | |||||||
Securities | |||||||
Series 2017-C03 1M2 | |||||||
3.457% (LIBOR01M | |||||||
+ 3.00%) 10/25/29 ● | 5,024,062 | 5,129,725 | |||||
Series 2017-C04 2M2 | |||||||
3.307% (LIBOR01M | |||||||
+ 2.85%) 11/25/29 ● | 336,684 | 342,396 | |||||
Series 2018-C01 1M2 | |||||||
2.707% (LIBOR01M | |||||||
+ 2.25%, Floor | |||||||
2.25%) 7/25/30 ● | 941,907 | 949,000 | |||||
Series 2018-C03 1M2 | |||||||
2.607% (LIBOR01M | |||||||
+ 2.15%, Floor | |||||||
2.15%) 10/25/30 ● | 502,036 | 503,916 | |||||
Fannie Mae Grantor | |||||||
Trust | |||||||
Series 1999-T2 A1 | |||||||
7.50% 1/19/39 ● | 3,729 | 3,906 | |||||
Series 2004-T1 1A2 | |||||||
6.50% 1/25/44 | 3,584 | 3,905 | |||||
Fannie Mae REMIC | |||||||
Trust | |||||||
Series 2004-W11 1A2 | |||||||
6.50% 5/25/44 | 26,176 | 28,583 | |||||
Series 2004-W15 1A1 | |||||||
6.00% 8/25/44 | 18,327 | 19,595 | |||||
Fannie Mae REMICs | |||||||
Series 1999-19 PH | |||||||
6.00% 5/25/29 | 31,627 | 33,746 | |||||
Series 2001-14 Z | |||||||
6.00% 5/25/31 | 1,972 | 2,078 | |||||
Series 2007-30 OE | |||||||
1.784% | |||||||
4/25/37 Ω, ^ | 1,419,069 | 1,136,413 | |||||
Series 2008-24 ZA | |||||||
5.00% 4/25/38 | 4,875,004 | 5,172,869 | |||||
Fannie Mae REMICs | |||||||
Series 2009-2 AS | |||||||
5.243% (5.70% | |||||||
minus LIBOR01M, | |||||||
Cap 5.70%) | |||||||
2/25/39 Σ, ● | 276,575 | 34,040 | |||||
Series 2009-68 SA | |||||||
6.293% (6.75% | |||||||
minus LIBOR01M, | |||||||
Cap 6.75%) | |||||||
9/25/39 Σ, ● | 107,369 | 14,639 | |||||
Series 2011-118 DC | |||||||
4.00% 11/25/41 | 284,444 | 285,865 | |||||
Series 2017-40 GZ | |||||||
3.50% 5/25/47 | 393,056 | 392,455 | |||||
Series 2017-95 FA | |||||||
0.456% (LIBOR01M | |||||||
+ 0.35%, Floor | |||||||
0.35%) 11/25/47 ● | 264,344 | 263,590 | |||||
Freddie Mac REMICs | |||||||
Series 2165 PE | |||||||
6.00% 6/15/29 | 28,847 | 30,862 | |||||
Series 3143 BC | |||||||
5.50% 2/15/36 | 810,005 | 879,346 | |||||
Series 3289 SA | |||||||
6.353% (6.75% | |||||||
minus LIBOR01M, | |||||||
Cap 6.75%) | |||||||
3/15/37 Σ, ● | 301,740 | 51,970 | |||||
Series 4676 KZ | |||||||
2.50% 7/15/45 | 378,766 | 359,866 | |||||
Freddie Mac | |||||||
Structured Agency | |||||||
Credit Risk Debt | |||||||
Notes | |||||||
Series 2018-HQA1 M2 | |||||||
2.757% (LIBOR01M | |||||||
+ 2.30%) 9/25/30 ● | 722,689 | 723,169 | |||||
Series 2022-DNA2 M2 | |||||||
144A 3.849% | |||||||
(SOFR + 3.75%) | |||||||
2/25/42 #, ● | 1,000,000 | 977,825 | |||||
Freddie Mac | |||||||
Structured Agency | |||||||
Credit Risk REMIC | |||||||
Trust | |||||||
Series 2019-DNA4 M2 | |||||||
144A 2.407% | |||||||
(LIBOR01M + | |||||||
1.95%) 10/25/49 #, ● | 248,263 | 247,966 | |||||
Series 2019-HQA4 M2 | |||||||
144A 2.507% | |||||||
(LIBOR01M + | |||||||
2.05%) 11/25/49 #, ● | 197,057 | 197,057 |
45
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations (continued) | |||||||
Freddie Mac | |||||||
Structured Agency | |||||||
Credit Risk REMIC | |||||||
Trust | |||||||
Series 2020-DNA2 M2 | |||||||
144A 2.307% | |||||||
(LIBOR01M + | |||||||
1.85%) 2/25/50 #, ● | 290,880 | $ | 290,157 | ||||
Series 2020-DNA6 M2 | |||||||
144A 2.099% | |||||||
(SOFR + 2.00%) | |||||||
12/25/50 #, ● | 3,600,000 | 3,554,936 | |||||
Series 2021-DNA1 M2 | |||||||
144A 1.899% | |||||||
(SOFR + 1.80%) | |||||||
1/25/51 #, ● | 7,000,000 | 6,859,165 | |||||
Series 2021-DNA3 M2 | |||||||
144A 2.199% | |||||||
(SOFR + 2.10%) | |||||||
10/25/33 #, ● | 2,500,000 | 2,442,601 | |||||
Series 2021-DNA5 M2 | |||||||
144A 1.749% | |||||||
(SOFR + 1.65%) | |||||||
1/25/34 #, ● | 3,500,000 | 3,443,191 | |||||
Series 2021-HQA1 M2 | |||||||
144A 2.349% | |||||||
(SOFR + 2.25%) | |||||||
8/25/33 #, ● | 7,000,000 | 6,726,376 | |||||
Series 2021-HQA2 M2 | |||||||
144A 2.149% | |||||||
(SOFR + 2.05%) | |||||||
12/25/33 #, ● | 5,000,000 | 4,705,981 | |||||
Series 2022-DNA1 M2 | |||||||
144A 2.599% | |||||||
(SOFR + 2.50%) | |||||||
1/25/42 #, ● | 3,000,000 | 2,804,458 | |||||
Freddie Mac | |||||||
Structured Pass | |||||||
Through Certificates | |||||||
Series T-54 2A | |||||||
6.50% 2/25/43 ◆ | 10,276 | 11,664 | |||||
Series T-58 2A | |||||||
6.50% 9/25/43 ◆ | 3,901 | 4,191 | |||||
GNMA | |||||||
Series 2008-65 SB | |||||||
5.551% (6.00% | |||||||
minus LIBOR01M, | |||||||
Cap 6.00%) | |||||||
8/20/38 Σ, ● | 280,925 | 29,392 | |||||
Series 2009-2 SE | |||||||
5.371% (5.82% | |||||||
minus LIBOR01M, | |||||||
Cap 5.82%) | |||||||
1/20/39 Σ, ● | 935,235 | 97,945 | |||||
Series 2011-H21 FT | |||||||
1.108% (H15T1Y + | |||||||
0.70%, Cap | |||||||
15.25%, Floor | |||||||
0.70%) 10/20/61 ● | 4,252,592 | 4,237,357 | |||||
Series 2011-H23 FA | |||||||
0.806% (LIBOR01M | |||||||
+ 0.70%, Cap | |||||||
11.00%, Floor | |||||||
0.70%) 10/20/61 ● | 2,735,637 | 2,737,835 | |||||
Series 2012-H08 FB | |||||||
0.706% (LIBOR01M | |||||||
+ 0.60%, Cap | |||||||
11.00%, Floor | |||||||
0.60%) 3/20/62 ● | 359,483 | 359,128 | |||||
Series 2012-H18 NA | |||||||
0.626% (LIBOR01M | |||||||
+ 0.52%, Cap | |||||||
10.50%, Floor | |||||||
0.52%) 8/20/62 ● | 226,838 | 226,720 | |||||
Series 2012-H29 SA | |||||||
0.621% (LIBOR01M | |||||||
+ 0.515%, Cap | |||||||
12.00%, Floor | |||||||
0.515%) 10/20/62 ● | 3,051,302 | 3,043,030 | |||||
Series 2013-113 LY | |||||||
3.00% 5/20/43 | 173,000 | 172,220 | |||||
Series 2015-H10 FA | |||||||
0.706% (LIBOR01M | |||||||
+ 0.60%, Cap | |||||||
7.50%) 4/20/65 ● | 9,379,524 | 9,373,418 | |||||
Series 2015-H11 FC | |||||||
0.656% (LIBOR01M | |||||||
+ 0.55%, Cap | |||||||
7.50%, Floor 0.55%) | |||||||
5/20/65 ● | 1,104,435 | 1,102,370 | |||||
Series 2015-H12 FB | |||||||
0.706% (LIBOR01M | |||||||
+ 0.60%, Cap | |||||||
7.50%, Floor 0.60%) | |||||||
5/20/65 ● | 4,657,551 | 4,654,130 | |||||
Series 2015-H20 FB | |||||||
0.706% (LIBOR01M | |||||||
+ 0.60%, Cap | |||||||
7.50%, Floor 0.60%) | |||||||
8/20/65 ● | 1,260,026 | 1,259,181 | |||||
Series 2015-H30 FD | |||||||
0.706% (LIBOR01M | |||||||
+ 0.60%, Cap | |||||||
11.00%, Floor | |||||||
0.60%) 10/20/65 ● | 73,371 | 73,305 |
46
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations (continued) | |||||||
GNMA | |||||||
Series 2016-H06 FD | |||||||
1.026% (LIBOR01M | |||||||
+ 0.92%, Cap | |||||||
7.50%, Floor 0.92%) | |||||||
7/20/65 ● | 1,325,907 | $ | 1,334,666 | ||||
Series 2017-163 ZK | |||||||
3.50% 11/20/47 | 3,411,892 | 3,392,904 | |||||
Total Agency Collateralized Mortgage | |||||||
Obligations | |||||||
(cost $81,576,596) | 80,721,103 | ||||||
Agency Commercial Mortgage-Backed Securities – 0.18% | |||||||
Freddie Mac | |||||||
Multifamily | |||||||
Structured Pass | |||||||
Through Certificates | |||||||
Series X3FX A2FX | |||||||
3.00% 6/25/27 ◆ | 1,070,000 | 1,072,687 | |||||
FREMF Mortgage | |||||||
Trust | |||||||
Series 2013-K24 B | |||||||
144A 3.507% | |||||||
11/25/45 #, ● | 3,675,000 | 3,694,700 | |||||
Series 2017-K71 B | |||||||
144A 3.753% | |||||||
11/25/50 #, ● | 470,000 | 467,039 | |||||
Total Agency Commercial Mortgage-Backed | |||||||
Securities | |||||||
(cost $5,187,547) | 5,234,426 | ||||||
Agency Mortgage-Backed Securities – 18.98% | |||||||
Fannie Mae | |||||||
5.50% 3/1/37 | 4,848 | 5,025 | |||||
5.50% 7/1/37 | 2,632 | 2,671 | |||||
Fannie Mae S.F. 15 yr | |||||||
2.00% 3/1/36 | 3,524,314 | 3,428,789 | |||||
2.50% 7/1/36 | 12,815,657 | 12,685,094 | |||||
Fannie Mae S.F. 20 yr | |||||||
2.00% 3/1/41 | 3,168,933 | 2,974,126 | |||||
2.00% 5/1/41 | 2,880,913 | 2,703,854 | |||||
3.00% 9/1/37 | 1,530,075 | 1,526,878 | |||||
Fannie Mae S.F. 30 yr | |||||||
2.00% 12/1/50 | 8,355,485 | 7,782,212 | |||||
2.00% 1/1/51 | 4,635,821 | 4,317,672 | |||||
2.00% 2/1/51 | 4,002,759 | 3,726,365 | |||||
2.00% 3/1/51 | 6,677,866 | 6,215,261 | |||||
2.00% 5/1/51 | 1,264,063 | 1,176,027 | |||||
2.00% 8/1/51 | 1,456,911 | 1,354,415 | |||||
2.00% 1/1/52 | 4,103,837 | 3,821,757 | |||||
2.50% 10/1/50 | 1,508,209 | 1,442,582 | |||||
2.50% 1/1/51 | 3,121,762 | 2,984,422 | |||||
2.50% 5/1/51 | 1,167,163 | 1,115,101 | |||||
2.50% 7/1/51 | 5,878,603 | 5,616,752 | |||||
2.50% 8/1/51 | 7,682,576 | 7,355,000 | |||||
2.50% 9/1/51 | 5,134,790 | 4,905,751 | |||||
2.50% 11/1/51 | 5,172,021 | 4,941,873 | |||||
2.50% 12/1/51 | 1,694,293 | 1,618,719 | |||||
2.50% 2/1/52 | 6,119,948 | 5,848,196 | |||||
3.00% 10/1/42 | 1,393,096 | 1,391,784 | |||||
3.00% 4/1/43 | 473,284 | 474,583 | |||||
3.00% 1/1/47 | 1,832,869 | 1,829,672 | |||||
3.00% 11/1/48 | 720,950 | 715,917 | |||||
3.00% 12/1/49 | 3,968,428 | 3,900,079 | |||||
3.00% 3/1/50 | 1,810,462 | 1,782,129 | |||||
3.00% 7/1/50 | 901,033 | 883,351 | |||||
3.00% 5/1/51 | 621,574 | 612,257 | |||||
3.00% 7/1/51 | 5,054,829 | 4,964,773 | |||||
3.00% 8/1/51 | 10,479,156 | 10,273,026 | |||||
3.00% 12/1/51 | 2,214,609 | 2,168,735 | |||||
3.50% 7/1/47 | 2,034,105 | 2,074,463 | |||||
3.50% 12/1/47 | 420,917 | 424,563 | |||||
3.50% 1/1/48 | 977,373 | 989,725 | |||||
3.50% 2/1/48 | 1,791,863 | 1,815,803 | |||||
3.50% 7/1/48 | 1,357,150 | 1,373,781 | |||||
3.50% 11/1/48 | 1,122,556 | 1,135,369 | |||||
3.50% 1/1/50 | 1,500,806 | 1,508,519 | |||||
3.50% 3/1/50 | 734,562 | 741,705 | |||||
3.50% 8/1/50 | 5,927,000 | 5,989,508 | |||||
3.50% 1/1/52 | 1,089,224 | 1,096,921 | |||||
3.50% 3/1/52 | 3,798,000 | 3,828,063 | |||||
3.50% 4/1/52 | 5,856,182 | 5,893,962 | |||||
4.00% 10/1/40 | 9,927 | 10,385 | |||||
4.00% 11/1/40 | 41,389 | 43,081 | |||||
4.00% 3/1/46 | 60,555 | 63,186 | |||||
4.00% 4/1/47 | 566,358 | 589,029 | |||||
4.00% 6/1/48 | 2,783,932 | 2,873,121 | |||||
4.00% 9/1/48 | 2,974,617 | 3,043,675 | |||||
4.00% 10/1/48 | 2,729,017 | 2,845,747 | |||||
4.00% 1/1/49 | 52,193 | 53,393 | |||||
4.00% 3/1/49 | 150,306 | 153,622 | |||||
4.00% 6/1/49 | 640,004 | 662,993 | |||||
4.50% 5/1/35 | 31,780 | 33,674 | |||||
4.50% 8/1/35 | 54,455 | 57,766 | |||||
4.50% 9/1/35 | 65,726 | 69,895 | |||||
4.50% 5/1/39 | 196,060 | 208,564 | |||||
4.50% 6/1/40 | 144,503 | 153,748 | |||||
4.50% 7/1/40 | 182,133 | 185,538 | |||||
4.50% 4/1/41 | 23,763 | 25,026 | |||||
4.50% 1/1/42 | 2,084,323 | 2,205,665 | |||||
4.50% 5/1/46 | 136,188 | 144,806 | |||||
4.50% 4/1/48 | 767,331 | 815,860 |
47
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Mortgage-Backed Securities (continued) | |||||||
Fannie Mae S.F. 30 yr | |||||||
4.50% 7/1/48 | 165,349 | $ | 171,683 | ||||
4.50% 8/1/48 | 120,669 | 125,258 | |||||
4.50% 9/1/48 | 248,965 | 259,882 | |||||
4.50% 12/1/48 | 253,342 | 262,460 | |||||
4.50% 1/1/49 | 3,384,030 | 3,550,930 | |||||
4.50% 1/1/50 | 2,364,185 | 2,494,899 | |||||
5.00% 3/1/34 | 995 | 1,075 | |||||
5.00% 4/1/34 | 4,398 | 4,752 | |||||
5.00% 8/1/34 | 9,098 | 9,836 | |||||
5.00% 4/1/35 | 1,756 | 1,850 | |||||
5.00% 12/1/37 | 1,072 | 1,145 | |||||
5.00% 3/1/38 | 59,954 | 64,775 | |||||
5.00% 6/1/38 | 1,760 | 1,856 | |||||
5.00% 5/1/40 | 67,555 | 73,077 | |||||
5.00% 7/1/47 | 393,750 | 425,793 | |||||
5.50% 12/1/33 | 8,088 | 8,621 | |||||
5.50% 2/1/35 | 154,917 | 170,580 | |||||
5.50% 5/1/44 | 7,286,549 | 7,979,044 | |||||
6.00% 9/1/36 | 10,212 | 10,963 | |||||
6.00% 8/1/38 | 28,998 | 31,062 | |||||
6.00% 12/1/38 | 3,319 | 3,708 | |||||
6.00% 6/1/41 | 1,112,785 | 1,238,299 | |||||
6.00% 7/1/41 | 3,699,449 | 4,129,888 | |||||
6.00% 1/1/42 | 930,275 | 1,038,348 | |||||
6.50% 11/1/33 | 1,636 | 1,756 | |||||
6.50% 2/1/36 | 27,348 | 29,969 | |||||
6.50% 3/1/36 | 48,765 | 52,350 | |||||
6.50% 6/1/36 | 37,902 | 41,418 | |||||
6.50% 2/1/38 | 16,159 | 17,544 | |||||
6.50% 11/1/38 | 2,361 | 2,608 | |||||
Fannie Mae S.F. 30 yr | |||||||
TBA | |||||||
2.00% 4/1/52 | 50,200,000 | 46,597,758 | |||||
2.50% 4/1/52 | 7,800,000 | 7,441,687 | |||||
2.50% 4/1/52 | 29,600,000 | 28,181,710 | |||||
3.00% 4/1/52 | 14,590,000 | 14,270,844 | |||||
3.00% 4/1/52 | 160,800,000 | 156,662,568 | |||||
3.50% 4/1/52 | 10,529,000 | 10,547,097 | |||||
Freddie Mac ARM | |||||||
2.00% (LIBOR12M | |||||||
+ 1.625%, Cap | |||||||
10.50%, Floor | |||||||
1.625%) 2/1/38 ● | 12,930 | 12,925 | |||||
2.43% (LIBOR12M | |||||||
+ 2.18%, Cap | |||||||
10.517%, Floor | |||||||
2.18%) 5/1/37 ● | 45,398 | 47,612 | |||||
Freddie Mac S.F. 15 yr | |||||||
2.00% 12/1/35 | 2,713,919 | 2,638,683 | |||||
3.00% 3/1/35 | 8,097,137 | 8,180,886 | |||||
Freddie Mac S.F. 20 yr | |||||||
2.00% 3/1/41 | 3,612,028 | 3,389,641 | |||||
2.00% 4/1/41 | 3,297,964 | 3,094,910 | |||||
2.50% 6/1/41 | 6,502,610 | 6,286,121 | |||||
3.00% 4/1/42 | 1,852,000 | 1,838,258 | |||||
5.50% 10/1/23 | 2,360 | 2,506 | |||||
5.50% 8/1/24 | 2,026 | 2,152 | |||||
Freddie Mac S.F. 30 yr | |||||||
2.00% 4/1/51 | 1,511,260 | 1,406,247 | |||||
2.00% 9/1/51 | 5,219,979 | 4,851,938 | |||||
2.50% 10/1/50 | 2,730,978 | 2,617,217 | |||||
2.50% 11/1/50 | 2,446,955 | 2,339,324 | |||||
2.50% 2/1/51 | 4,672,564 | 4,478,787 | |||||
2.50% 10/1/51 | 7,067,888 | 6,766,520 | |||||
3.00% 11/1/46 | 2,591,376 | 2,575,800 | |||||
3.00% 11/1/49 | 2,604,051 | 2,558,110 | |||||
3.00% 12/1/49 | 635,143 | 624,350 | |||||
3.00% 1/1/50 | 703,991 | 692,981 | |||||
3.00% 12/1/50 | 193,458 | 190,488 | |||||
3.00% 5/1/51 | 6,253,430 | 6,187,406 | |||||
3.00% 8/1/51 | 1,663,674 | 1,632,427 | |||||
3.00% 2/1/52 | 2,140,047 | 2,095,215 | |||||
3.50% 8/1/48 | 21,567 | 21,759 | |||||
3.50% 9/1/48 | 1,815,234 | 1,838,998 | |||||
3.50% 11/1/48 | 5,074,472 | 5,147,205 | |||||
3.50% 2/1/52 | 2,694,232 | 2,702,980 | |||||
4.00% 12/1/45 | 496,869 | 519,728 | |||||
4.00% 7/1/47 | 170,145 | 175,760 | |||||
4.00% 10/1/47 | 1,611,593 | 1,654,174 | |||||
4.00% 4/1/52 | 1,007,000 | 1,029,176 | |||||
4.50% 8/1/48 | 942,090 | 985,509 | |||||
4.50% 3/1/49 | 204,646 | 213,337 | |||||
4.50% 4/1/49 | 840,647 | 883,737 | |||||
4.50% 8/1/49 | 1,792,360 | 1,891,443 | |||||
5.50% 9/1/41 | 1,522,639 | 1,673,670 | |||||
6.50% 11/1/33 | 14,888 | 15,995 | |||||
6.50% 1/1/35 | 42,874 | 47,722 | |||||
7.00% 1/1/38 | 5,174 | 5,312 | |||||
GNMA I S.F. 30 yr | |||||||
3.00% 8/15/45 | 5,297,413 | 5,270,411 | |||||
3.00% 3/15/50 | 418,087 | 413,342 | |||||
GNMA II S.F. 30 yr | |||||||
3.00% 8/20/50 | 872,600 | 879,363 | |||||
5.50% 5/20/37 | 60,481 | 67,442 | |||||
6.00% 4/20/34 | 1,784 | 1,852 | |||||
GNMA II S.F. 30 yr | |||||||
TBA | |||||||
4.00% 4/1/52 | 6,000,000 | 6,118,125 | |||||
Total Agency Mortgage-Backed Securities | |||||||
(cost $556,858,553) | 539,630,641 |
48
Principal | |||||||||
amount° | Value (US $) | ||||||||
Collateralized Debt Obligations – 6.33% | |||||||||
Adagio V CLO DAC | |||||||||
Series V-A ARR | |||||||||
144A 0.72% | |||||||||
(EUR003M + | |||||||||
0.72%, Floor 0.72%) | |||||||||
10/15/31 #, ● | EUR | 1,100,000 | $ | 1,206,101 | |||||
AMMC CLO 16 | |||||||||
Series 2015-16A AR2 | |||||||||
144A 1.218% | |||||||||
(LIBOR03M + | |||||||||
0.98%, Floor 0.98%) | |||||||||
4/14/29 #, ● | 920,618 | 917,356 | |||||||
AMMC CLO 21 | |||||||||
Series 2017-21A A | |||||||||
144A 1.559% | |||||||||
(LIBOR03M + | |||||||||
1.25%) 11/2/30 #, ● | 2,400,000 | 2,397,403 | |||||||
Anchorage Capital | |||||||||
CLO 9 | |||||||||
Series 2016-9A AR2 | |||||||||
144A 1.381% | |||||||||
(LIBOR03M + | |||||||||
1.14%, Floor 1.14%) | |||||||||
7/15/32 #, ● | 1,800,000 | 1,783,528 | |||||||
Anchorage Capital | |||||||||
CLO 11 | |||||||||
Series 2019-11A AR | |||||||||
144A 1.399% | |||||||||
(LIBOR03M + | |||||||||
1.14%, Floor 1.14%) | |||||||||
7/22/32 #, ● | 1,200,000 | 1,197,544 | |||||||
Apex Credit CLO | |||||||||
Series 2018-1A A2 | |||||||||
144A 1.288% | |||||||||
(LIBOR03M + | |||||||||
1.03%) 4/25/31 #, ● | 2,400,000 | 2,356,807 | |||||||
Aqueduct European | |||||||||
CLO DAC | |||||||||
Series 2017-1A AR | |||||||||
144A 0.64% | |||||||||
(EUR003M + | |||||||||
0.64%, Floor 0.64%) | |||||||||
7/20/30 #, ● | EUR | 1,882,225 | 2,072,419 | ||||||
Ares European CLO | |||||||||
Series 7A A1RR | |||||||||
144A 0.66% | |||||||||
(EUR003M + | |||||||||
0.66%, Floor 0.66%) | |||||||||
10/15/30 #, ● | EUR | 1,298,728 | 1,429,151 | ||||||
Ares European CLO X | |||||||||
DAC | |||||||||
Series 10A AR 144A | |||||||||
0.78% (EUR003M + | |||||||||
0.78%, Floor 0.78%) | |||||||||
10/15/31 #, ● | EUR | 2,700,000 | 2,969,632 | ||||||
Ares European CLO | |||||||||
XII DAC | |||||||||
Series 12A AR 144A | |||||||||
0.85% (EUR003M + | |||||||||
0.85%, Floor 0.85%) | |||||||||
4/20/32 #, ● | EUR | 300,000 | 329,911 | ||||||
Ares European CLO | |||||||||
XIV DAC | |||||||||
Series 14A A 144A | |||||||||
1.12% (EUR003M + | |||||||||
1.12%, Floor 1.12%) | |||||||||
10/21/33 #, ● | EUR | 3,750,000 | 4,133,482 | ||||||
Ares XL CLO | |||||||||
Series 2016-40A A1RR | |||||||||
144A 1.111% | |||||||||
(LIBOR03M + | |||||||||
0.87%, Floor 0.87%) | |||||||||
1/15/29 #, ● | 2,083,108 | 2,069,389 | |||||||
Ares XXXIX CLO | |||||||||
Series 2016-39A A1R2 | |||||||||
144A 1.291% | |||||||||
(LIBOR03M + | |||||||||
1.05%, Floor 1.05%) | |||||||||
4/18/31 #, ● | 1,500,000 | 1,487,398 | |||||||
ASSURANT CLO | |||||||||
Series 2018-3A AR | |||||||||
144A 1.294% | |||||||||
(LIBOR03M + | |||||||||
1.04%, Floor 1.04%) | |||||||||
10/20/31 #, ● | 1,200,000 | 1,196,552 | |||||||
Atlas Senior Loan | |||||||||
Fund X | |||||||||
Series 2018-10A A | |||||||||
144A 1.331% | |||||||||
(LIBOR03M + | |||||||||
1.09%) 1/15/31 #, ● | 1,473,303 | 1,466,216 | |||||||
Atrium XII | |||||||||
Series 12A AR 144A | |||||||||
1.089% (LIBOR03M | |||||||||
+ 0.83%) | |||||||||
4/22/27 #, ● | 2,234,968 | 2,224,130 | |||||||
Aurium CLO IV DAC | |||||||||
Series 4A AR 144A | |||||||||
0.73% (EUR003M + | |||||||||
0.73%, Floor 0.73%) | |||||||||
1/16/31 #, ● | EUR | 3,000,000 | 3,303,836 | ||||||
Bain Capital Euro CLO | |||||||||
DAC | |||||||||
Series 2018-2A AR | |||||||||
144A 0.74% | |||||||||
(EUR003M + | |||||||||
0.74%, Floor 0.74%) | |||||||||
1/20/32 #, ● | EUR | 1,300,000 | 1,424,435 |
49
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Collateralized Debt Obligations (continued) | |||||||||
Benefit Street Partners | |||||||||
CLO XII | |||||||||
Series 2017-12A A1R | |||||||||
144A 1.191% | |||||||||
(LIBOR03M + | |||||||||
0.95%, Floor 0.95%) | |||||||||
10/15/30 #, ● | 500,000 | $ | 498,819 | ||||||
Benefit Street Partners | |||||||||
CLO XVII | |||||||||
Series 2019-17A AR | |||||||||
144A 1.321% | |||||||||
(LIBOR03M + | |||||||||
1.08%, Floor 1.08%) | |||||||||
7/15/32 #, ● | 700,000 | 694,225 | |||||||
Black Diamond CLO | |||||||||
DAC | |||||||||
Series 2019-1A A1R | |||||||||
144A 0.98% | |||||||||
(EUR003M + | |||||||||
0.98%, Floor 0.98%) | |||||||||
5/15/32 #, ● | EUR | 300,000 | 329,533 | ||||||
Blackrock European | |||||||||
CLO VII DAC | |||||||||
Series 7A AR 144A | |||||||||
0.62% (EUR003M + | |||||||||
0.62%, Floor 0.62%) | |||||||||
10/15/31 #, ● | EUR | 2,200,000 | 2,411,622 | ||||||
BlueMountain Fuji | |||||||||
EUR CLO III DAC | |||||||||
Series 3A A1R 144A | |||||||||
0.72% (EUR003M + | |||||||||
0.72%, Floor 0.72%) | |||||||||
1/15/31 #, ● | EUR | 1,400,000 | 1,541,412 | ||||||
BNPP AM Euro CLO | |||||||||
DAC | |||||||||
Series 2018-1A AR | |||||||||
144A 0.60% | |||||||||
(EUR003M + | |||||||||
0.60%, Floor 0.60%) | |||||||||
4/15/31 #, ● | EUR | 250,000 | 274,449 | ||||||
Series 2019-1A AR | |||||||||
144A 0.82% | |||||||||
(EUR003M + | |||||||||
0.82%, Floor 0.82%) | |||||||||
7/22/32 #, ● | EUR | 1,000,000 | 1,097,586 | ||||||
Cairn CLO IV DAC | |||||||||
Series 2014-4A ARRR | |||||||||
144A 0.60% | |||||||||
(EUR003M + | |||||||||
0.60%, Floor 0.60%) | |||||||||
4/30/31 #, ● | EUR | 1,600,000 | 1,755,697 | ||||||
Cairn CLO X DAC | |||||||||
Series 2018-10A AR | |||||||||
144A 0.78% | |||||||||
(EUR003M + | |||||||||
0.78%, Floor 0.78%) | |||||||||
10/15/31 #, ● | EUR | 1,400,000 | 1,537,522 | ||||||
Carlyle Euro CLO DAC | |||||||||
Series 2017-3A A1R | |||||||||
144A 0.70% | |||||||||
(EUR003M + | |||||||||
0.70%, Floor 0.70%) | |||||||||
1/15/31 #, ● | EUR | 1,900,000 | 2,078,836 | ||||||
Series 2019-2A A1R | |||||||||
144A 0.89% | |||||||||
(EUR003M + | |||||||||
0.89%, Floor 0.89%) | |||||||||
8/15/32 #, ● | EUR | 600,000 | 658,101 | ||||||
Carlyle Global Market | |||||||||
Strategies CLO | |||||||||
Series 13-1A A1RR | |||||||||
144A 1.409% | |||||||||
(LIBOR03M + | |||||||||
0.95%, Floor 0.95%) | |||||||||
8/14/30 #, ● | 2,500,000 | 2,492,970 | |||||||
Carlyle Global Market | |||||||||
Strategies Euro | |||||||||
CLO | |||||||||
Series 2014-2A AR1 | |||||||||
144A 0.75% | |||||||||
(EUR003M + | |||||||||
0.75%, Floor 0.75%) | |||||||||
11/15/31 #, ● | EUR | 1,500,000 | 1,645,997 | ||||||
CARLYLE US CLO | |||||||||
Series 2017-1A A1R | |||||||||
144A 1.254% | |||||||||
(LIBOR03M + | |||||||||
1.00%, Floor 1.00%) | |||||||||
4/20/31 #, ● | 1,500,000 | 1,496,487 | |||||||
CVC Cordatus Loan | |||||||||
Fund VII DAC | |||||||||
Series 7A ARR | |||||||||
144A 0.63% | |||||||||
(EUR003M + | |||||||||
0.63%, Floor 0.63%) | |||||||||
9/15/31 #, ● | EUR | 1,200,000 | 1,311,939 |
50
Principal | |||||||||
amount° | Value (US $) | ||||||||
Collateralized Debt Obligations (continued) | |||||||||
Dryden 27 R Euro CLO | |||||||||
DAC | |||||||||
Series 2017-27A AR | |||||||||
144A 0.66% | |||||||||
(EUR003M + | |||||||||
0.66%, Floor 0.66%) | |||||||||
4/15/33 #, ● | EUR | 2,200,000 | $ | 2,408,120 | |||||
Dryden 36 Senior Loan | |||||||||
Fund | |||||||||
Series 2014-36A AR3 | |||||||||
144A 1.261% | |||||||||
(LIBOR03M + | |||||||||
1.02%, Floor 1.02%) | |||||||||
4/15/29 #, ● | 3,458,365 | 3,441,599 | |||||||
Dryden 52 Euro CLO | |||||||||
DAC | |||||||||
Series 2017-52A AR | |||||||||
144A 0.86% | |||||||||
(EUR003M + | |||||||||
0.86%, Floor 0.86%) | |||||||||
5/15/34 #, ● | EUR | 2,200,000 | 2,415,438 | ||||||
Euro-Galaxy III CLO | |||||||||
DAC | |||||||||
Series 2013-3A ARRR | |||||||||
144A 0.62% | |||||||||
(EUR003M + | |||||||||
0.62%, Floor 0.62%) | |||||||||
4/24/34 #, ● | EUR | 4,000,000 | 4,364,842 | ||||||
FS Rialto | |||||||||
Series 2022-FL4 A | |||||||||
144A 2.20% (SOFR | |||||||||
+ 1.90%, Floor | |||||||||
1.90%) 1/19/39 #, ● | 3,500,000 | 3,500,749 | |||||||
Galaxy XXI CLO | |||||||||
Series 2015-21A AR | |||||||||
144A 2.083% | |||||||||
(LIBOR03M + | |||||||||
1.02%) 4/20/31 #, ● | 1,650,000 | 1,634,485 | |||||||
GoldenTree Loan | |||||||||
Management EUR | |||||||||
CLO DAC | |||||||||
Series 3A AR 144A | |||||||||
0.90% (EUR003M + | |||||||||
0.90%, Floor 0.90%) | |||||||||
1/20/32 #, ● | EUR | 300,000 | 328,879 | ||||||
Goldentree Loan | |||||||||
Management US | |||||||||
CLO 2 | |||||||||
Series 2017-2A AR | |||||||||
144A 1.164% | |||||||||
(LIBOR03M + | |||||||||
0.91%, Floor 0.91%) | |||||||||
11/20/30 #, ● | 3,300,000 | 3,273,465 | |||||||
Goldentree Loan | |||||||||
Management US | |||||||||
CLO 6 | |||||||||
Series 2019-6A AR | |||||||||
144A 1.561% | |||||||||
(TSFR03M + 1.32%, | |||||||||
Floor 1.32%) | |||||||||
4/20/35 #, ● | 1,700,000 | 1,692,811 | |||||||
Harvest CLO XI DAC | |||||||||
Series 11A ARR | |||||||||
144A 0.65% | |||||||||
(EUR003M + | |||||||||
0.65%, Floor 0.65%) | |||||||||
6/26/30 #, ● | EUR | 1,682,788 | 1,852,665 | ||||||
Harvest CLO XVI DAC | |||||||||
Series 16A ARR | |||||||||
144A 0.64% | |||||||||
(EUR003M + | |||||||||
0.64%, Floor 0.64%) | |||||||||
10/15/31 #, ● | EUR | 2,000,000 | 2,185,103 | ||||||
Harvest CLO XXI DAC | |||||||||
Series 21A A2R | |||||||||
144A 1.04% | |||||||||
7/15/31 # | EUR | 250,000 | 269,235 | ||||||
HGI CRE CLO | |||||||||
Series 2022-FL3 A | |||||||||
144A 1.844% | |||||||||
(SOFR + 1.70%, | |||||||||
Floor 1.70%) | |||||||||
1/19/27 #, ● | 3,000,000 | 3,000,921 | |||||||
ICG US CLO | |||||||||
Series 2014-1A A1A2 | |||||||||
144A 1.454% | |||||||||
(LIBOR03M + | |||||||||
1.20%, Floor 1.20%) | |||||||||
10/20/34 #, ● | 1,500,000 | 1,490,682 | |||||||
Invesco Euro CLO I | |||||||||
DAC | |||||||||
Series 1A A1R 144A | |||||||||
0.65% (EUR003M + | |||||||||
0.65%, Floor 0.65%) | |||||||||
7/15/31 #, ● | EUR | 250,000 | 273,466 | ||||||
Jubilee CLO DAC | |||||||||
Series 2014-11A ARR | |||||||||
144A 0.61% | |||||||||
(EUR003M + | |||||||||
0.61%, Floor 0.61%) | |||||||||
4/15/30 #, ● | EUR | 1,700,000 | 1,865,117 | ||||||
Series 2014-12A ARRR | |||||||||
144A 0.60% | |||||||||
(EUR003M + | |||||||||
0.60%, Floor 0.60%) | |||||||||
4/15/30 #, ● | EUR | 600,000 | 660,597 |
51
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Collateralized Debt Obligations (continued) | |||||||||
Jubilee CLO DAC | |||||||||
Series 2016-17A A1RR | |||||||||
144A 0.65% | |||||||||
(EUR003M + | |||||||||
0.65%, Floor 0.65%) | |||||||||
4/15/31 #, ● | EUR | 1,400,000 | $ | 1,532,564 | |||||
Series 2016-17A A2RR | |||||||||
144A 0.65% | |||||||||
(EUR003M + | |||||||||
0.65%, Floor 0.65%) | |||||||||
4/15/31 #, ● | EUR | 500,000 | 548,559 | ||||||
KKR CLO 18 | |||||||||
Series 18 AR 144A | |||||||||
1.181% (LIBOR03M | |||||||||
+ 0.94%, Floor | |||||||||
0.94%) 7/18/30 #, ● | 500,000 | 498,726 | |||||||
Laurelin DAC | |||||||||
Series 2016-1A ARR | |||||||||
144A 0.72% | |||||||||
(EUR003M + | |||||||||
0.72%, Floor 0.72%) | |||||||||
10/20/31 #, ● | EUR | 2,100,000 | 2,298,472 | ||||||
LCM XIII | |||||||||
Series 13A AR3 | |||||||||
144A 1.118% | |||||||||
(LIBOR03M + | |||||||||
0.87%, Floor 0.87%) | |||||||||
7/19/27 #, ● | 3,837,652 | 3,822,102 | |||||||
LCM XV | |||||||||
Series 15A AR2 | |||||||||
144A 1.254% | |||||||||
(LIBOR03M + | |||||||||
1.00%, Floor 1.00%) | |||||||||
7/20/30 #, ● | 3,300,000 | 3,289,658 | |||||||
Man GLG Euro CLO III | |||||||||
DAC | |||||||||
Series 3A AR 144A | |||||||||
0.68% (EUR003M + | |||||||||
0.68%, Floor 0.68%) | |||||||||
10/15/30 #, ● | EUR | 1,099,567 | 1,208,889 | ||||||
Man GLG Euro CLO V | |||||||||
DAC | |||||||||
Series 5A A1R 144A | |||||||||
0.69% (EUR003M + | |||||||||
0.69%, Floor 0.69%) | |||||||||
12/15/31 #, ● | EUR | 1,900,000 | 2,084,751 | ||||||
Man GLG US CLO | |||||||||
Series 2018-1A A1R | |||||||||
144A 1.394% | |||||||||
(LIBOR03M + | |||||||||
1.14%) 4/22/30 #, ● | 3,000,000 | 2,992,347 | |||||||
Marathon CLO | |||||||||
Series 2021-16A A1A | |||||||||
144A 1.441% | |||||||||
(LIBOR03M + | |||||||||
1.20%, Floor 1.20%) | |||||||||
4/15/34 #, ● | 1,250,000 | 1,247,215 | |||||||
Marathon CLO V | |||||||||
Series 2013-5A A1R | |||||||||
144A 1.35% | |||||||||
(LIBOR03M + | |||||||||
0.87%) 11/21/27 #, ● | 144,420 | 144,389 | |||||||
Midocean Credit CLO | |||||||||
IX | |||||||||
Series 2018-9A A1 | |||||||||
144A 1.404% | |||||||||
(LIBOR03M + | |||||||||
1.15%, Floor 1.15%) | |||||||||
7/20/31 #, ● | 1,250,000 | 1,247,045 | |||||||
Mountain View CLO X | |||||||||
Series 2015-10A AR | |||||||||
144A 1.064% | |||||||||
(LIBOR03M + | |||||||||
0.82%, Floor 0.82%) | |||||||||
10/13/27 #, ● | 758,189 | 757,303 | |||||||
Oak Hill European | |||||||||
Credit Partners IV | |||||||||
DAC | |||||||||
Series 2015-4A A1RE | |||||||||
144A 0.73% | |||||||||
(EUR003M + | |||||||||
0.73%, Floor 0.73%) | |||||||||
1/20/32 #, ● | EUR | 300,000 | 330,069 | ||||||
Oaktree CLO | |||||||||
Series 2019-4A A1R | |||||||||
144A 1.374% | |||||||||
(LIBOR03M + | |||||||||
1.12%, Floor 1.12%) | |||||||||
10/20/32 #, ● | 500,000 | 495,244 | |||||||
OCP Euro CLO DAC | |||||||||
Series 2020-4A AR | |||||||||
144A 0.88% | |||||||||
(EUR003M + | |||||||||
0.88%, Floor 0.88%) | |||||||||
9/22/34 #, ● | EUR | 1,900,000 | 2,079,423 | ||||||
Octagon Investment | |||||||||
Partners 51 | |||||||||
Series 2021-1A A | |||||||||
144A 1.404% | |||||||||
(LIBOR03M + | |||||||||
1.15%, Floor 1.15%) | |||||||||
7/20/34 #, ● | 1,750,000 | 1,733,317 |
52
Principal | |||||||||
amount° | Value (US $) | ||||||||
Collateralized Debt Obligations (continued) | |||||||||
OZLM IX | |||||||||
Series 2014-9A A1A3 | |||||||||
144A 1.354% | |||||||||
(LIBOR03M + | |||||||||
1.10%, Floor 1.10%) | |||||||||
10/20/31 #, ● | 500,000 | $ | 498,260 | ||||||
OZLM XVI | |||||||||
Series 2017-16A A1R | |||||||||
144A 1.489% | |||||||||
(LIBOR03M + | |||||||||
1.03%, Floor 1.03%) | |||||||||
5/16/30 #, ● | 2,600,000 | 2,592,876 | |||||||
OZLM XXIV | |||||||||
Series 2019-24A A1AR | |||||||||
144A 1.414% | |||||||||
(LIBOR03M + | |||||||||
1.16%, Floor 1.16%) | |||||||||
7/20/32 #, ● | 2,100,000 | 2,083,885 | |||||||
Palmer Square | |||||||||
European Loan | |||||||||
Funding DAC | |||||||||
Series 2021-1A A | |||||||||
144A 0.78% | |||||||||
(EUR003M + | |||||||||
0.78%, Floor 0.78%) | |||||||||
4/15/31 #, ● | EUR | 2,100,000 | 2,309,988 | ||||||
Palmer Square Loan | |||||||||
Funding | |||||||||
Series 2021-3A A1 | |||||||||
144A 1.054% | |||||||||
(LIBOR03M + | |||||||||
0.80%, Floor 0.80%) | |||||||||
7/20/29 #, ● | 613,719 | 609,363 | |||||||
Series 2021-4A A1 | |||||||||
144A 0.928% | |||||||||
(LIBOR03M + | |||||||||
0.80%, Floor 0.80%) | |||||||||
10/15/29 #, ● | 2,500,000 | 2,481,130 | |||||||
Sculptor European | |||||||||
CLO V DAC | |||||||||
Series 5A AR 144A | |||||||||
0.79% (EUR003M + | |||||||||
0.79%, Floor 0.79%) | |||||||||
1/14/32 #, ● | EUR | 3,300,000 | 3,614,287 | ||||||
Segovia European | |||||||||
CLO DAC | |||||||||
Series 2019-6A AR | |||||||||
144A 0.88% | |||||||||
(EUR003M + | |||||||||
0.88%, Floor 0.88%) | |||||||||
7/20/32 #, ● | EUR | 1,600,000 | 1,755,470 | ||||||
Signal Peak CLO 5 | |||||||||
Series 2018-5A A | |||||||||
144A 1.368% | |||||||||
(LIBOR03M + | |||||||||
1.11%, Floor 1.11%) | |||||||||
4/25/31 #, ● | 1,800,000 | 1,791,261 | |||||||
Sound Point CLO IX | |||||||||
Series 2015-2A ARRR | |||||||||
144A 1.464% | |||||||||
(LIBOR03M + | |||||||||
1.21%, Floor 1.21%) | |||||||||
7/20/32 #, ● | 2,600,000 | 2,584,494 | |||||||
Sound Point CLO XIV | |||||||||
Series 2016-3A AR2 | |||||||||
144A 1.249% | |||||||||
(LIBOR03M + | |||||||||
0.99%, Floor 0.99%) | |||||||||
1/23/29 #, ● | 4,968,045 | 4,949,693 | |||||||
Sound Point CLO XVI | |||||||||
Series 2017-2A AR | |||||||||
144A 1.238% | |||||||||
(LIBOR03M + | |||||||||
0.98%) 7/25/30 #, ● | 4,400,000 | 4,373,098 | |||||||
Sounds Point CLO | |||||||||
IV-R | |||||||||
Series 2013-3RA A | |||||||||
144A 1.391% | |||||||||
(LIBOR03M + | |||||||||
1.15%, Floor 1.15%) | |||||||||
4/18/31 #, ● | 1,000,000 | 995,942 | |||||||
Stratus CLO | |||||||||
Series 2021-3A A | |||||||||
144A 1.043% | |||||||||
(LIBOR03M + | |||||||||
0.95%, Floor 0.95%) | |||||||||
12/29/29 #, ● | 2,000,000 | 1,995,216 | |||||||
Symphony Static CLO | |||||||||
I | |||||||||
Series 2021-1A A | |||||||||
144A 0.959% | |||||||||
(LIBOR03M + | |||||||||
0.83%, Floor 0.83%) | |||||||||
10/25/29 #, ● | 500,000 | 498,533 | |||||||
TCI-Symphony CLO | |||||||||
Series 2017-1A AR | |||||||||
144A 1.171% | |||||||||
(LIBOR03M + | |||||||||
0.93%, Floor 0.93%) | |||||||||
7/15/30 #, ● | 1,000,000 | 992,190 |
53
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Collateralized Debt Obligations (continued) | |||||||||
THL Credit Wind River | |||||||||
CLO | |||||||||
Series 2019-3A AR | |||||||||
144A 1.321% | |||||||||
(LIBOR03M + | |||||||||
1.08%, Floor 1.08%) | |||||||||
4/15/31 #, ● | 3,100,000 | $ | 3,079,754 | ||||||
Tikehau CLO DAC | |||||||||
Series 2015-1A ARR | |||||||||
144A 0.87% | |||||||||
(EUR003M + | |||||||||
0.87%, Floor 0.87%) | |||||||||
8/4/34 #, ● | EUR | 2,000,000 | 2,193,939 | ||||||
Toro European CLO | |||||||||
DAC | |||||||||
Series 6A AR 144A | |||||||||
0.92% (EUR003M + | |||||||||
0.92%, Floor 0.92%) | |||||||||
1/12/32 #, ● | EUR | 300,000 | 329,599 | ||||||
Toro European CLO | |||||||||
7 DAC | |||||||||
Series 7A ARE | |||||||||
144A 0.81% | |||||||||
(EUR003M + | |||||||||
0.81%, Floor 0.81%) | |||||||||
2/15/34 #, ● | EUR | 1,900,000 | 2,083,666 | ||||||
Venture 32 CLO | |||||||||
Series 2018-32A A1 | |||||||||
144A 1.341% | |||||||||
(LIBOR03M + | |||||||||
1.10%, Floor 1.10%) | |||||||||
7/18/31 #, ● | 500,000 | 495,128 | |||||||
Venture 34 CLO | |||||||||
Series 2018-34A A | |||||||||
144A 1.471% | |||||||||
(LIBOR03M + | |||||||||
1.23%, Floor 1.23%) | |||||||||
10/15/31 #, ● | 2,500,000 | 2,490,717 | |||||||
Venture 38 CLO | |||||||||
Series 2019-38A A1R | |||||||||
144A 1.459% | |||||||||
(LIBOR03M + | |||||||||
1.16%, Floor 1.16%) | |||||||||
7/30/32 #, ● | 2,900,000 | 2,891,088 | |||||||
Venture 42 CLO | |||||||||
Series 2021-42A A1A | |||||||||
144A 2.174% | |||||||||
(LIBOR03M + | |||||||||
1.13%, Floor 1.13%) | |||||||||
4/15/34 #, ● | 1,300,000 | 1,280,539 | |||||||
Venture XVII CLO | |||||||||
Series 2014-17A ARR | |||||||||
144A 1.121% | |||||||||
(LIBOR03M + | |||||||||
0.88%) 4/15/27 #, ● | 297,302 | 295,296 | |||||||
Venture XXIV CLO | |||||||||
Series 2016-24A ARR | |||||||||
144A 1.154% | |||||||||
(LIBOR03M + | |||||||||
0.90%, Floor 0.90%) | |||||||||
10/20/28 #, ● | 447,618 | 446,619 | |||||||
Venture XXVI CLO | |||||||||
Series 2017-26A AR | |||||||||
144A 1.354% | |||||||||
(LIBOR03M + | |||||||||
1.10%, Floor 1.10%) | |||||||||
1/20/29 #, ● | 3,400,000 | 3,392,823 | |||||||
Vibrant CLO IV | |||||||||
Series 2016-4A A1RR | |||||||||
144A 1.252% | |||||||||
(LIBOR03M + | |||||||||
1.12%, Floor 1.12%) | |||||||||
7/20/32 #, ● | 1,300,000 | 1,289,762 | |||||||
Vibrant CLO VI | |||||||||
Series 2017-6A AR | |||||||||
144A 1.878% | |||||||||
(LIBOR03M + | |||||||||
0.95%) 6/20/29 #, ● | 2,683,873 | 2,679,506 | |||||||
Vibrant CLO VII | |||||||||
Series 2017-7A A1R | |||||||||
144A 1.294% | |||||||||
(LIBOR03M + | |||||||||
1.04%, Floor 1.04%) | |||||||||
9/15/30 #, ● | 4,500,000 | 4,489,128 | |||||||
Vibrant CLO XI | |||||||||
Series 2019-11A A1R1 | |||||||||
144A 1.374% | |||||||||
(LIBOR03M + | |||||||||
1.12%, Floor 1.12%) | |||||||||
7/20/32 #, ● | 1,500,000 | 1,491,802 | |||||||
Voya | |||||||||
Series 2012-4A A1R3 | |||||||||
144A 1.241% | |||||||||
(LIBOR03M + | |||||||||
1.00%) 10/15/30 #, ● | 1,400,000 | 1,391,173 | |||||||
Voya CLO | |||||||||
Series 2014-4A A1RA | |||||||||
144A 1.338% | |||||||||
(LIBOR03M + 1.10%) | |||||||||
7/14/31 #, ● | 842,321 | 834,922 | |||||||
Total Collateralized Debt Obligations | |||||||||
(cost $186,772,421) | 180,039,879 | ||||||||
Convertible Bonds — 0.16% | |||||||||
Kaman 3.25% exercise | |||||||||
price $65.26, | |||||||||
maturity date 5/1/24 | 2,540,000 | 2,619,502 |
54
Principal | |||||||||
amount° | Value (US $) | ||||||||
Convertible Bonds (continued) | |||||||||
Spirit Airlines 1.00% | |||||||||
exercise price | |||||||||
$49.07, maturity | |||||||||
date 5/15/26 | 2,166,000 | $ | 1,953,732 | ||||||
Total Convertible Bonds | |||||||||
(cost $4,473,141) | 4,573,234 | ||||||||
Corporate Bonds — 36.56% | |||||||||
Banking — 10.87% | |||||||||
Access Bank | |||||||||
144A 6.125% | |||||||||
9/21/26 # | 425,000 | 401,736 | |||||||
144A 9.125% | |||||||||
10/7/26 #, µ, ψ | 475,000 | 442,344 | |||||||
Akbank TAS 144A | |||||||||
6.80% 2/6/26 # | 610,000 | 595,808 | |||||||
Banco Bilbao Vizcaya | |||||||||
Argentaria 5.875% | |||||||||
9/24/23 µ, ψ | EUR | 1,200,000 | 1,374,792 | ||||||
Banco Continental | |||||||||
144A 2.75% | |||||||||
12/10/25 # | 915,000 | 837,403 | |||||||
Banco de Bogota 144A | |||||||||
6.25% 5/12/26 # | 405,000 | 414,637 | |||||||
Banco GNB Sudameris | |||||||||
144A 7.50% | |||||||||
4/16/31 #, µ | 420,000 | 391,709 | |||||||
Banco Industrial 144A | |||||||||
4.875% 1/29/31 #, µ | 545,000 | 531,021 | |||||||
Banco Mercantil del | |||||||||
Norte | |||||||||
144A 6.625% | |||||||||
1/24/32 #, µ, ψ | 425,000 | 392,700 | |||||||
144A 8.375% | |||||||||
10/14/30 #, µ, ψ | 375,000 | 392,104 | |||||||
Banco Nacional de | |||||||||
Panama 144A | |||||||||
2.50% 8/11/30 # | 200,000 | 177,033 | |||||||
Banco Santander | |||||||||
2.958% 3/25/31 | 1,000,000 | 925,739 | |||||||
3.496% 3/24/25 | 1,000,000 | 1,001,071 | |||||||
4.175% 3/24/28 µ | 1,200,000 | 1,206,892 | |||||||
Bangkok Bank 144A | |||||||||
5.00% | |||||||||
9/23/25 #, µ, ψ | 480,000 | 474,072 | |||||||
Bank Hapoalim 144A | |||||||||
3.255% 1/21/32 #, µ | 835,000 | 772,375 | |||||||
Bank Leumi Le-Israel | |||||||||
144A 3.275% | |||||||||
1/29/31 #, µ | 500,000 | 470,532 | |||||||
Bank of America | |||||||||
2.482% 9/21/36 µ | 12,865,000 | 11,081,120 | |||||||
2.551% 2/4/28 µ | 905,000 | 865,604 | |||||||
2.972% 2/4/33 µ | 665,000 | 623,814 | |||||||
3.384% 4/2/26 µ | 500,000 | 499,539 | |||||||
3.55% 3/5/24 µ | 2,100,000 | 2,112,985 | |||||||
3.864% 7/23/24 µ | 2,200,000 | 2,225,525 | |||||||
3.974% 2/7/30 µ | 3,400,000 | 3,458,737 | |||||||
4.125% 1/22/24 | 200,000 | 205,375 | |||||||
4.30% 1/28/25 µ, ψ | 900,000 | 856,125 | |||||||
Bank of China 144A | |||||||||
5.00% 11/13/24 # | 455,000 | 473,373 | |||||||
Bank of Georgia 144A | |||||||||
6.00% 7/26/23 # | 890,000 | 867,750 | |||||||
Bank of New York | |||||||||
Mellon 4.70% | |||||||||
9/20/25 µ, ψ | 2,560,000 | 2,627,840 | |||||||
Barclays | |||||||||
1.839% (LIBOR03M | |||||||||
+ 1.38%) 5/16/24 ● | 1,800,000 | 1,809,023 | |||||||
2.667% 3/10/32 µ | 1,025,000 | 920,782 | |||||||
3.33% 11/24/42 µ | 1,300,000 | 1,132,937 | |||||||
3.375% 4/2/25 µ | EUR | 500,000 | 577,178 | ||||||
3.811% 3/10/42 µ | 2,105,000 | 1,887,698 | |||||||
4.972% 5/16/29 µ | 3,000,000 | 3,142,624 | |||||||
5.20% 5/12/26 | 4,139,000 | 4,311,700 | |||||||
6.375% | |||||||||
12/15/25 µ, ψ | GBP | 500,000 | 679,899 | ||||||
7.125% | |||||||||
6/15/25 µ, ψ | GBP | 1,800,000 | 2,493,614 | ||||||
7.25% 3/15/23 µ, ψ | GBP | 700,000 | 946,011 | ||||||
7.75% 9/15/23 µ, ψ | 400,000 | 415,614 | |||||||
Barclays Bank 7.625% | |||||||||
11/21/22 | 439,000 | 450,124 | |||||||
BBVA Bancomer 144A | |||||||||
5.125% 1/18/33 #, µ | 410,000 | 387,710 | |||||||
BNP Paribas | |||||||||
144A 1.904% | |||||||||
9/30/28 #, µ | 1,800,000 | 1,614,231 | |||||||
144A 2.159% | |||||||||
9/15/29 #, µ | 600,000 | 534,691 | |||||||
144A 2.871% | |||||||||
4/19/32 #, µ | 300,000 | 273,439 | |||||||
144A 3.052% | |||||||||
1/13/31 #, µ | 2,600,000 | 2,436,726 | |||||||
144A 7.375% | |||||||||
8/19/25 #, µ, ψ | 700,000 | 754,737 | |||||||
7.375% | |||||||||
8/19/25 µ, ψ | 500,000 | 539,098 | |||||||
CIMB Bank 144A | |||||||||
2.125% 7/20/27 # | 550,000 | 521,122 | |||||||
Citigroup | |||||||||
2.75% 4/25/22 | 2,800,000 | 2,801,304 |
55
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Corporate Bonds (continued) | |||||||||
Banking (continued) | |||||||||
Citigroup | |||||||||
3.057% 1/25/33 µ | 840,000 | $ | 785,734 | ||||||
3.07% 2/24/28 µ | 865,000 | 843,432 | |||||||
3.20% 10/21/26 | 1,000,000 | 993,244 | |||||||
3.785% 3/17/33 µ | 2,000,000 | 1,984,923 | |||||||
4.00% | |||||||||
12/10/25 µ, ψ | 1,310,000 | 1,260,875 | |||||||
4.044% 6/1/24 µ | 1,800,000 | 1,823,564 | |||||||
4.05% 7/30/22 | 150,000 | 151,287 | |||||||
4.075% 4/23/29 µ | 3,400,000 | 3,468,819 | |||||||
Cooperatieve | |||||||||
Rabobank | |||||||||
3.75% 7/21/26 | 1,350,000 | 1,343,235 | |||||||
4.375% 8/4/25 | 2,000,000 | 2,034,245 | |||||||
Credit Agricole 144A | |||||||||
2.811% 1/11/41 # | 3,155,000 | 2,613,731 | |||||||
Credit Suisse Group | |||||||||
144A 2.593% | |||||||||
9/11/25 #, µ | 1,105,000 | 1,068,296 | |||||||
3.80% 6/9/23 | 2,300,000 | 2,321,780 | |||||||
144A 3.869% | |||||||||
1/12/29 #, µ | 1,065,000 | 1,040,745 | |||||||
144A 4.194% | |||||||||
4/1/31 #, µ | 4,045,000 | 3,997,381 | |||||||
144A 4.207% | |||||||||
6/12/24 #, µ | 410,000 | 413,775 | |||||||
144A 4.50% | |||||||||
9/3/30 #, µ, ψ | 820,000 | 711,350 | |||||||
144A 5.25% | |||||||||
2/11/27 #, µ, ψ | 885,000 | 820,838 | |||||||
144A 6.25% | |||||||||
12/18/24 #, µ, ψ | 2,000,000 | 2,022,414 | |||||||
144A 6.375% | |||||||||
8/21/26 #, µ, ψ | 1,900,000 | 1,880,183 | |||||||
7.50% | |||||||||
12/11/23 µ, ψ | 400,000 | 414,750 | |||||||
Credit Suisse Group | |||||||||
Funding Guernsey | |||||||||
3.80% 9/15/22 | 3,350,000 | 3,385,315 | |||||||
Deutsche Bank | |||||||||
2.129% 11/24/26 µ | 700,000 | 649,708 | |||||||
3.547% 9/18/31 µ | 4,135,000 | 3,905,727 | |||||||
3.729% 1/14/32 µ | 3,115,000 | 2,782,937 | |||||||
3.742% 1/7/33 µ | 2,296,000 | 2,032,143 | |||||||
3.961% 11/26/25 µ | 5,700,000 | 5,700,832 | |||||||
Development Bank of | |||||||||
Kazakhstan 144A | |||||||||
2.95% 5/6/31 # | 300,000 | 246,591 | |||||||
Emirates NBD Bank | |||||||||
2.625% 2/18/25 | 495,000 | 485,176 | |||||||
Fifth Third Bancorp | |||||||||
2.55% 5/5/27 | 1,201,000 | 1,162,368 | |||||||
3.65% 1/25/24 | 790,000 | 800,053 | |||||||
3.95% 3/14/28 | 1,119,000 | 1,146,357 | |||||||
Fifth Third Bank 3.85% | |||||||||
3/15/26 | 835,000 | 848,498 | |||||||
Goldman Sachs Group | |||||||||
0.523% 3/8/23 | 700,000 | 689,096 | |||||||
0.673% 3/8/24 µ | 700,000 | 685,469 | |||||||
1.431% 3/9/27 µ | 2,000,000 | 1,845,438 | |||||||
1.542% 9/10/27 µ | 3,993,000 | 3,654,887 | |||||||
3.102% 2/24/33 µ | 1,235,000 | 1,165,409 | |||||||
3.20% 2/23/23 | 2,200,000 | 2,220,468 | |||||||
3.615% 3/15/28 µ | 3,990,000 | 3,989,384 | |||||||
4.223% 5/1/29 µ | 4,700,000 | 4,816,912 | |||||||
Hana Bank 144A | |||||||||
1.25% 12/16/26 # | 345,000 | 317,757 | |||||||
HSBC Holdings | |||||||||
1.488% (LIBOR03M | |||||||||
+ 1.00%) 5/18/24 ● | 1,000,000 | 1,003,546 | |||||||
1.589% 5/24/27 µ | 2,200,000 | 2,010,818 | |||||||
2.848% 6/4/31 µ | 2,700,000 | 2,500,273 | |||||||
2.871% 11/22/32 µ | 1,200,000 | 1,092,272 | |||||||
2.999% 3/10/26 µ | 700,000 | 686,796 | |||||||
4.30% 3/8/26 | 200,000 | 205,424 | |||||||
4.70% 3/9/31 µ, ψ | 500,000 | 449,375 | |||||||
5.25% 9/16/22 µ, ψ | EUR | 1,900,000 | 2,130,875 | ||||||
5.875% | |||||||||
9/28/26 µ, ψ | GBP | 500,000 | 660,882 | ||||||
6.00% 5/22/27 µ, ψ | 800,000 | 816,000 | |||||||
ICICI Bank 144A | |||||||||
4.00% 3/18/26 # | 535,000 | 539,986 | |||||||
ING Groep 6.875% | |||||||||
4/16/22 µ, ψ | 200,000 | 200,471 | |||||||
Intesa Sanpaolo | |||||||||
144A 4.00% | |||||||||
9/23/29 # | 1,300,000 | 1,264,592 | |||||||
7.75% 1/11/27 µ, ψ | EUR | 200,000 | 246,466 | ||||||
JPMorgan Chase & | |||||||||
Co. | |||||||||
1.158% (LIBOR03M | |||||||||
+ 0.90%) 4/25/23 ● | 1,000,000 | 1,000,278 | |||||||
1.47% 9/22/27 µ | 475,000 | 438,280 | |||||||
2.545% 11/8/32 µ | 3,220,000 | 2,946,683 | |||||||
2.595% 2/24/26 µ | 1,500,000 | 1,472,131 | |||||||
2.947% 2/24/28 µ | 1,100,000 | 1,074,710 | |||||||
2.963% 1/25/33 µ | 1,670,000 | 1,576,129 | |||||||
3.22% 3/1/25 µ | 500,000 | 502,000 | |||||||
3.328% 4/22/52 µ | 455,000 | 422,579 | |||||||
4.005% 4/23/29 µ | 900,000 | 921,189 | |||||||
4.023% 12/5/24 µ | 4,730,000 | 4,807,742 |
56
Principal | |||||||||
amount° | Value (US $) | ||||||||
Corporate Bonds (continued) | |||||||||
Banking (continued) | |||||||||
JPMorgan Chase & | |||||||||
Co. | |||||||||
4.60% 2/1/25 µ, ψ | 1,185,000 | $ | 1,145,006 | ||||||
5.00% 8/1/24 µ, ψ | 400,000 | 398,920 | |||||||
Lloyds Banking Group | |||||||||
2.438% 2/5/26 µ | 300,000 | 289,571 | |||||||
3.50% 4/1/26 µ | EUR | 200,000 | 234,358 | ||||||
3.75% 3/18/28 µ | 1,400,000 | 1,397,674 | |||||||
Mitsubishi UFJ | |||||||||
Financial Group | |||||||||
2.193% 2/25/25 | 1,700,000 | 1,645,165 | |||||||
2.559% 2/25/30 | 1,800,000 | 1,671,167 | |||||||
Mizuho Financial | |||||||||
Group | |||||||||
2.226% 5/25/26 µ | 1,600,000 | 1,535,469 | |||||||
2.564% 9/13/31 | 1,400,000 | 1,226,540 | |||||||
2.591% 5/25/31 µ | 2,000,000 | 1,833,705 | |||||||
3.261% 5/22/30 µ | 3,100,000 | 3,008,578 | |||||||
Morgan Stanley | |||||||||
2.475% 1/21/28 µ | 650,000 | 620,628 | |||||||
2.484% 9/16/36 µ | 5,700,000 | 4,896,415 | |||||||
2.63% 2/18/26 µ | 1,000,000 | 981,666 | |||||||
3.625% 1/20/27 | 4,000,000 | 4,038,577 | |||||||
5.00% 11/24/25 | 2,075,000 | 2,189,272 | |||||||
Nationwide Building | |||||||||
Society | |||||||||
144A 2.972% | |||||||||
2/16/28 #, µ | 800,000 | 762,122 | |||||||
144A 3.766% | |||||||||
3/8/24 #, µ | 800,000 | 804,735 | |||||||
144A 4.302% | |||||||||
3/8/29 #, µ | 5,200,000 | 5,241,108 | |||||||
NatWest Group | |||||||||
1.976% (LIBOR03M | |||||||||
+ 1.47%) 5/15/23 ● | 1,000,000 | 1,001,037 | |||||||
3.498% 5/15/23 µ | 500,000 | 500,725 | |||||||
4.80% 4/5/26 | 5,000,000 | 5,174,228 | |||||||
5.125% | |||||||||
5/12/27 µ, ψ | GBP | 500,000 | 649,524 | ||||||
NBK SPC 144A | |||||||||
1.625% 9/15/27 #, µ | 1,065,000 | 975,598 | |||||||
NongHyup Bank 144A | |||||||||
0.875% 7/28/24 # | 430,000 | 410,219 | |||||||
Nykredit Realkredit | |||||||||
1.00% 10/1/50 | DKK | 75,085,359 | 9,751,119 | ||||||
1.00% 10/1/53 | DKK | 3,274,891 | 420,716 | ||||||
1.00% 10/1/53 | DKK | 998,864 | 126,639 | ||||||
1.50% 10/1/53 | DKK | 49,931,158 | 6,695,792 | ||||||
1.50% 10/1/53 | DKK | 37,954,097 | 5,175,995 | ||||||
2.00% 10/1/53 | DKK | 7,197,856 | 969,071 | ||||||
Oversea-Chinese | |||||||||
Banking 144A | |||||||||
4.25% 6/19/24 # | 660,000 | 673,426 | |||||||
PNC Bank | |||||||||
2.70% 11/1/22 | 250,000 | 251,428 | |||||||
3.875% 4/10/25 | 1,145,000 | 1,167,966 | |||||||
4.05% 7/26/28 | 2,400,000 | 2,468,563 | |||||||
PNC Financial | |||||||||
Services Group | |||||||||
2.60% 7/23/26 | 2,845,000 | 2,805,685 | |||||||
QNB Finance 2.625% | |||||||||
5/12/25 | 1,160,000 | 1,136,162 | |||||||
Santander UK Group | |||||||||
Holdings | |||||||||
3.823% 11/3/28 µ | 3,200,000 | 3,150,612 | |||||||
7.375% | |||||||||
6/24/22 µ, ψ | GBP | 2,200,000 | 2,925,447 | ||||||
Shinhan Financial | |||||||||
Group 144A 3.34% | |||||||||
2/5/30 #, µ | 410,000 | 404,206 | |||||||
Skandinaviska | |||||||||
Enskilda Banken | |||||||||
5.625% | |||||||||
5/13/22 µ, ψ | 600,000 | 602,936 | |||||||
Societe Generale | |||||||||
144A 4.25% | |||||||||
4/14/25 # | 3,600,000 | 3,583,110 | |||||||
7.875% | |||||||||
12/18/23 µ, ψ | 500,000 | 523,750 | |||||||
Standard Chartered | |||||||||
144A 7.50% | |||||||||
#, µ, ω | 500,000 | 500,000 | |||||||
7.75% 4/2/23 µ, ψ | 300,000 | 311,397 | |||||||
State Street 2.203% | |||||||||
2/7/28 µ | 1,210,000 | 1,160,855 | |||||||
Sumitomo Mitsui | |||||||||
Financial Group | |||||||||
1.474% 7/8/25 | 2,600,000 | 2,449,182 | |||||||
2.222% 9/17/31 | 2,300,000 | 2,038,207 | |||||||
SVB Financial Group | |||||||||
1.80% 10/28/26 | 795,000 | 739,849 | |||||||
1.80% 2/2/31 | 775,000 | 668,926 | |||||||
4.00% 5/15/26 µ, ψ | 2,345,000 | 2,172,056 | |||||||
Truist Bank 2.636% | |||||||||
9/17/29 µ | 5,182,000 | 5,098,690 | |||||||
Truist Financial | |||||||||
1.887% 6/7/29 µ | 3,485,000 | 3,171,223 | |||||||
4.95% 9/1/25 µ, ψ | 1,465,000 | 1,503,823 | |||||||
UBS | |||||||||
5.125% 5/15/24 | 200,000 | 204,961 |
57
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Corporate Bonds (continued) | |||||||||
Banking (continued) | |||||||||
UBS | |||||||||
7.625% 8/17/22 | 950,000 | $ | 964,382 | ||||||
UBS Group | |||||||||
144A 1.364% | |||||||||
1/30/27 #, µ | 400,000 | 367,993 | |||||||
144A 3.126% | |||||||||
8/13/30 #, µ | 2,000,000 | 1,925,845 | |||||||
144A 3.179% | |||||||||
2/11/43 #, µ | 650,000 | 578,794 | |||||||
144A 4.125% | |||||||||
9/24/25 # | 2,940,000 | 2,997,426 | |||||||
UniCredit | |||||||||
7.50% 6/3/26 µ, ψ | EUR | 600,000 | 718,943 | ||||||
144A 7.83% | |||||||||
12/4/23 # | 2,900,000 | 3,083,265 | |||||||
9.25% 6/3/22 µ, ψ | EUR | 400,000 | 449,138 | ||||||
US Bancorp | |||||||||
1.45% 5/12/25 | 1,565,000 | 1,497,572 | |||||||
2.215% 1/27/28 µ | 705,000 | 674,211 | |||||||
2.491% 11/3/36 µ | 950,000 | 853,522 | |||||||
2.677% 1/27/33 µ | 735,000 | 699,576 | |||||||
3.375% 2/5/24 | 2,915,000 | 2,956,249 | |||||||
3.60% 9/11/24 | 1,275,000 | 1,296,604 | |||||||
3.70% 1/15/27 µ, ψ | 930,000 | 843,975 | |||||||
3.95% 11/17/25 | 2,820,000 | 2,918,060 | |||||||
US Bank 3.40% | |||||||||
7/24/23 | 815,000 | 826,128 | |||||||
Virgin Money UK | |||||||||
3.375% 4/24/26 µ | GBP | 100,000 | 130,941 | ||||||
4.00% 9/25/26 µ | GBP | 800,000 | 1,069,117 | ||||||
4.00% 9/3/27 µ | GBP | 100,000 | 134,029 | ||||||
Wells Fargo & Co. | |||||||||
3.196% 6/17/27 µ | 900,000 | 888,999 | |||||||
3.526% 3/24/28 µ | 565,000 | 564,317 | |||||||
3.584% 5/22/28 µ | 5,300,000 | 5,298,120 | |||||||
3.90% 3/15/26 µ, ψ | 3,060,000 | 2,935,076 | |||||||
308,980,721 | |||||||||
Basic Industry — 1.21% | |||||||||
AngloGold Ashanti | |||||||||
Holdings 3.375% | |||||||||
11/1/28 | 850,000 | 799,058 | |||||||
Corp Nacional del | |||||||||
Cobre de Chile | |||||||||
144A 3.70% | |||||||||
1/30/50 # | 225,000 | 202,610 | |||||||
144A 4.25% | |||||||||
7/17/42 # | 200,000 | 194,561 | |||||||
CSN Inova Ventures | |||||||||
144A 6.75% | |||||||||
1/28/28 # | 525,000 | 544,622 | |||||||
CSN Resources 144A | |||||||||
5.875% 4/8/32 # | 1,745,000 | 1,696,890 | |||||||
First Quantum | |||||||||
Minerals | |||||||||
144A 6.875% | |||||||||
10/15/27 # | 360,000 | 377,478 | |||||||
144A 7.50% | |||||||||
4/1/25 # | 2,740,000 | 2,784,498 | |||||||
GC Treasury Center | |||||||||
144A 5.20% | |||||||||
3/30/52 # | 450,000 | 458,977 | |||||||
Georgia-Pacific 8.00% | |||||||||
1/15/24 | 2,242,000 | 2,439,322 | |||||||
ICL Group 144A | |||||||||
6.375% 5/31/38 # | 390,000 | 429,000 | |||||||
INEOS Styrolution | |||||||||
Group 144A 2.25% | |||||||||
1/16/27 # | EUR | 500,000 | 503,850 | ||||||
International Flavors & | |||||||||
Fragrances 144A | |||||||||
3.268% 11/15/40 # | 1,685,000 | 1,506,605 | |||||||
JSW Steel 144A 5.05% | |||||||||
4/5/32 # | 305,000 | 284,452 | |||||||
LYB International | |||||||||
Finance III 3.375% | |||||||||
10/1/40 | 2,005,000 | 1,799,981 | |||||||
MEGlobal Canada | |||||||||
144A 5.00% | |||||||||
5/18/25 # | 400,000 | 413,288 | |||||||
Methanex 5.25% | |||||||||
12/15/29 | 2,515,000 | 2,557,491 | |||||||
Metinvest 144A 7.75% | |||||||||
10/17/29 # | 307,000 | 136,615 | |||||||
Newmont | |||||||||
2.25% 10/1/30 | 2,320,000 | 2,123,199 | |||||||
2.60% 7/15/32 | 715,000 | 658,703 | |||||||
2.80% 10/1/29 | 3,850,000 | 3,687,575 | |||||||
OCP | |||||||||
144A 3.75% | |||||||||
6/23/31 # | 500,000 | 454,940 | |||||||
144A 4.50% | |||||||||
10/22/25 # | 320,000 | 321,475 | |||||||
144A 5.125% | |||||||||
6/23/51 # | 240,000 | 200,400 | |||||||
Olin 5.625% 8/1/29 | 705,000 | 715,134 | |||||||
Phosagro OAO via | |||||||||
Phosagro Bond | |||||||||
Funding DAC 144A | |||||||||
3.949% 4/24/23 # | 380,000 | 116,850 |
58
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Basic Industry (continued) | |||||||
Sasol Financing USA | |||||||
4.375% 9/18/26 | 580,000 | $ | 554,924 | ||||
5.875% 3/27/24 | 1,255,000 | 1,273,179 | |||||
Stillwater Mining 144A | |||||||
4.00% 11/16/26 # | 575,000 | 554,300 | |||||
Suzano Austria | |||||||
3.125% 1/15/32 | 465,000 | 412,729 | |||||
Vale Overseas 3.75% | |||||||
7/8/30 | 575,000 | 555,697 | |||||
Vedanta Resources | |||||||
Finance II 144A | |||||||
8.95% 3/11/25 # | 1,575,000 | 1,533,743 | |||||
Volcan Cia Minera | |||||||
144A 4.375% | |||||||
2/11/26 # | 615,000 | 589,656 | |||||
Westlake 3.125% | |||||||
8/15/51 | 4,310,000 | 3,557,122 | |||||
34,438,924 | |||||||
Brokerage – 0.26% | |||||||
Charles Schwab | |||||||
5.375% 6/1/25 µ, ψ | 2,495,000 | 2,582,325 | |||||
Jefferies Group | |||||||
2.625% 10/15/31 | 2,925,000 | 2,642,121 | |||||
6.45% 6/8/27 | 331,000 | 373,934 | |||||
6.50% 1/20/43 | 880,000 | 1,057,633 | |||||
XP 144A 3.25% | |||||||
7/1/26 # | 650,000 | 616,375 | |||||
7,272,388 | |||||||
Capital Goods – 1.13% | |||||||
Abertis Infraestructuras | |||||||
Finance 3.248% | |||||||
11/24/25 µ, ψ | EUR | 1,500,000 | 1,628,063 | ||||
Aeropuerto | |||||||
Internacional de | |||||||
Tocumen 144A | |||||||
5.125% 8/11/61 # | 200,000 | 182,772 | |||||
Aeropuertos Argentina | |||||||
2000 144A 8.50% | |||||||
8/1/31 # | 665,723 | 538,237 | |||||
Artera Services 144A | |||||||
9.033% 12/4/25 # | 1,365,000 | 1,365,546 | |||||
Boeing | |||||||
1.95% 2/1/24 | 2,000,000 | 1,956,643 | |||||
3.25% 2/1/28 | 3,400,000 | 3,281,778 | |||||
3.75% 2/1/50 | 5,355,000 | 4,785,015 | |||||
Caterpillar 2.60% | |||||||
4/9/30 | 25,000 | 24,414 | |||||
Cellnex Finance 144A | |||||||
3.875% 7/7/41 # | 3,884,000 | 3,162,314 | |||||
Cemex 144A 5.20% | |||||||
9/17/30 # | 475,000 | 473,352 | |||||
GCC 144A 3.614% | |||||||
4/20/32 # | 630,000 | 585,585 | |||||
HTA Group 144A | |||||||
7.00% 12/18/25 # | 420,000 | 416,396 | |||||
Hutama Karya Persero | |||||||
144A 3.75% | |||||||
5/11/30 # | 454,000 | 457,168 | |||||
IHS Holding 144A | |||||||
5.625% 11/29/26 # | 440,000 | 418,431 | |||||
Klabin Austria 144A | |||||||
3.20% 1/12/31 # | 425,000 | 371,191 | |||||
Otis Worldwide | |||||||
3.112% 2/15/40 | 1,173,000 | 1,035,170 | |||||
3.362% 2/15/50 | 202,000 | 179,454 | |||||
Rolls-Royce 144A | |||||||
5.75% 10/15/27 # | 1,000,000 | 1,028,345 | |||||
Rutas 2 and 7 Finance | |||||||
144A 2.741% | |||||||
9/30/36 #, ^ | 755,000 | 548,972 | |||||
SAN Miguel Industrias | |||||||
Pet 144A 3.50% | |||||||
8/2/28 # | 860,000 | 775,643 | |||||
Standard Industries | |||||||
144A 3.375% | |||||||
1/15/31 # | 1,568,000 | 1,374,360 | |||||
State Agency of Roads | |||||||
of Ukraine 144A | |||||||
6.25% 6/24/28 # | 575,000 | 244,375 | |||||
Summit Digitel | |||||||
Infrastructure 144A | |||||||
2.875% 8/12/31 # | 785,000 | 677,711 | |||||
TD SYNNEX | |||||||
144A 2.375% | |||||||
8/9/28 # | 800,000 | 721,683 | |||||
144A 2.65% | |||||||
8/9/31 # | 1,200,000 | 1,032,612 | |||||
Teledyne Technologies | |||||||
2.25% 4/1/28 | 1,980,000 | 1,840,684 | |||||
2.75% 4/1/31 | 1,730,000 | 1,606,007 | |||||
TransDigm 144A | |||||||
6.25% 3/15/26 # | 748,000 | 768,847 | |||||
UltraTech Cement | |||||||
144A 2.80% | |||||||
2/16/31 # | 660,000 | 580,495 | |||||
32,061,263 | |||||||
Communications – 3.35% | |||||||
Alibaba Group Holding | |||||||
2.70% 2/9/41 | 465,000 | 355,035 | |||||
Altice Financing 144A | |||||||
5.00% 1/15/28 # | 865,000 | 776,921 | |||||
Altice France | |||||||
2.125% 2/15/25 | EUR | 1,900,000 | 2,006,051 |
59
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||
amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Communications (continued) | |||||
Altice France | |||||
144A 5.50% | |||||
10/15/29 # | 1,375,000 | $ | 1,235,630 | ||
Amazon.com | |||||
1.20% 6/3/27 | 620,000 | 572,686 | |||
1.50% 6/3/30 | 1,000,000 | 896,085 | |||
AT&T | |||||
2.55% 12/1/33 | 2,673,000 | 2,380,146 | |||
3.10% 2/1/43 | 1,719,000 | 1,488,413 | |||
3.50% 6/1/41 | 1,680,000 | 1,551,169 | |||
3.50% 9/15/53 | 1,590,000 | 1,401,211 | |||
Axian Telecom 144A | |||||
7.375% 2/16/27 # | 380,000 | 376,045 | |||
B2W Digital 144A | |||||
4.375% 12/20/30 # | 550,000 | 474,501 | |||
CCO Holdings | |||||
144A 4.50% | |||||
8/15/30 # | 500,000 | 469,999 | |||
144A 5.00% | |||||
2/1/28 # | 900,000 | 892,269 | |||
Charter | |||||
Communications | |||||
Operating | |||||
3.85% 4/1/61 | 1,410,000 | 1,138,016 | |||
4.40% 12/1/61 | 4,987,000 | 4,358,969 | |||
4.464% 7/23/22 | 4,330,000 | 4,346,186 | |||
4.908% 7/23/25 | 430,000 | 446,331 | |||
5.05% 3/30/29 | 3,800,000 | 4,028,541 | |||
Comcast | |||||
3.20% 7/15/36 | 1,830,000 | 1,754,050 | |||
3.70% 4/15/24 | 2,970,000 | 3,033,310 | |||
Connect Finco 144A | |||||
6.75% 10/1/26 # | 1,740,000 | 1,772,529 | |||
CSC Holdings 144A | |||||
4.625% 12/1/30 # | 890,000 | 745,526 | |||
CT Trust 144A 5.125% | |||||
2/3/32 # | 750,000 | 750,330 | |||
Digicel Group Holdings | |||||
PIK 10.00% | |||||
4/1/24 > | 360,547 | 358,263 | |||
Discovery | |||||
Communications | |||||
4.00% 9/15/55 | 9,005,000 | 7,802,489 | |||
Frontier | |||||
Communications | |||||
Holdings 144A | |||||
5.875% 10/15/27 # | 1,165,000 | 1,158,639 | |||
JD.com 3.875% | |||||
4/29/26 | 525,000 | 523,220 | |||
Ooredoo International | |||||
Finance 144A | |||||
5.00% 10/19/25 # | 270,000 | 288,059 | |||
Rogers | |||||
Communications | |||||
144A 3.80% | |||||
3/15/32 # | 650,000 | 645,780 | |||
144A 4.55% | |||||
3/15/52 # | 820,000 | 817,590 | |||
Silknet JSC 144A | |||||
8.375% 1/31/27 # | 380,000 | 372,400 | |||
Sprint 7.625% 3/1/26 | 200,000 | 225,962 | |||
Sprint Spectrum 144A | |||||
4.738% 9/20/29 # | 1,098,750 | 1,122,297 | |||
Telefonica Moviles | |||||
Chile 144A 3.537% | |||||
11/18/31 # | 615,000 | 572,863 | |||
Tencent Holdings | |||||
144A 1.146% | |||||
(LIBOR03M + | |||||
0.91%) 4/11/24 #, ● | 200,000 | 199,404 | |||
144A 2.88% | |||||
4/22/31 # | 370,000 | 338,330 | |||
144A 3.68% | |||||
4/22/41 # | 400,000 | 354,428 | |||
Time Warner Cable | |||||
7.30% 7/1/38 | 2,120,000 | 2,579,513 | |||
Time Warner | |||||
Entertainment | |||||
8.375% 3/15/23 | 1,415,000 | 1,490,506 | |||
T-Mobile USA | |||||
1.50% 2/15/26 | 2,915,000 | 2,722,763 | |||
144A 2.40% | |||||
3/15/29 # | 1,850,000 | 1,695,627 | |||
2.55% 2/15/31 | 550,000 | 499,610 | |||
3.00% 2/15/41 | 4,640,000 | 3,934,558 | |||
3.30% 2/15/51 | 1,500,000 | 1,266,700 | |||
3.50% 4/15/25 | 895,000 | 901,840 | |||
3.75% 4/15/27 | 1,255,000 | 1,264,438 | |||
3.875% 4/15/30 | 1,400,000 | 1,407,367 | |||
Turkcell Iletisim | |||||
Hizmetleri 144A | |||||
5.80% 4/11/28 # | 585,000 | 530,958 | |||
VEON Holdings 144A | |||||
3.375% 11/25/27 # | 760,000 | 459,800 | |||
Verizon | |||||
Communications | |||||
1.606% (LIBOR03M | |||||
+ 1.10%) 5/15/25 ● | 3,200,000 | 3,243,095 | |||
2.10% 3/22/28 | 1,100,000 | 1,027,456 | |||
144A 2.355% | |||||
3/15/32 # | 1,570,000 | 1,420,693 | |||
2.55% 3/21/31 | 800,000 | 744,355 | |||
3.40% 3/22/41 | 1,845,000 | 1,734,476 | |||
3.875% 3/1/52 | 1,100,000 | 1,108,639 |
60
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Communications (continued) | |||||||
Verizon | |||||||
Communications | |||||||
4.50% 8/10/33 | 6,325,000 | $ | 6,803,022 | ||||
Vmed O2 UK | |||||||
Financing I 144A | |||||||
4.25% 1/31/31 # | 1,885,000 | 1,726,490 | |||||
Vodafone Group | |||||||
4.25% 9/17/50 | 1,070,000 | 1,070,080 | |||||
4.875% 6/19/49 | 4,385,000 | 4,786,917 | |||||
Ziggo Bond | |||||||
144A 3.375% | |||||||
2/28/30 # | EUR | 500,000 | 490,544 | ||||
144A 5.125% | |||||||
2/28/30 # | 300,000 | 279,740 | |||||
95,218,860 | |||||||
Consumer Cyclical – 2.91% | |||||||
Alsea 144A 7.75% | |||||||
12/14/26 # | 615,000 | 640,403 | |||||
Aptiv | |||||||
3.10% 12/1/51 | 4,171,000 | 3,325,280 | |||||
3.25% 3/1/32 | 957,000 | 908,247 | |||||
AutoNation 3.85% | |||||||
3/1/32 | 2,240,000 | 2,171,568 | |||||
Carnival | |||||||
144A 4.00% | |||||||
8/1/28 # | 730,000 | 679,853 | |||||
144A 7.625% | |||||||
3/1/26 # | 1,748,000 | 1,761,460 | |||||
Daimler Trucks | |||||||
Finance North | |||||||
America 144A | |||||||
2.375% 12/14/28 # | 3,120,000 | 2,843,133 | |||||
Falabella 144A 3.375% | |||||||
1/15/32 # | 425,000 | 397,186 | |||||
Ford Motor Credit | |||||||
1.744% 7/19/24 | EUR | 300,000 | 326,511 | ||||
2.30% 2/10/25 | 345,000 | 327,866 | |||||
2.33% 11/25/25 | EUR | 200,000 | 217,511 | ||||
2.386% 2/17/26 | EUR | 500,000 | 543,691 | ||||
2.70% 8/10/26 | 700,000 | 651,882 | |||||
2.748% 6/14/24 | GBP | 100,000 | 127,435 | ||||
2.90% 2/16/28 | 765,000 | 693,010 | |||||
2.90% 2/10/29 | 500,000 | 446,060 | |||||
3.25% 9/15/25 | EUR | 1,000,000 | 1,123,751 | ||||
3.55% 10/7/22 | 1,500,000 | 1,502,625 | |||||
4.535% 3/6/25 | GBP | 1,100,000 | 1,447,879 | ||||
4.542% 8/1/26 | 5,205,000 | 5,206,041 | |||||
5.125% 6/16/25 | 600,000 | 612,732 | |||||
Future Retail 144A | |||||||
5.60% 1/22/25 # | 565,000 | 316,400 | |||||
General Motors | |||||||
5.40% 10/2/23 | 685,000 | 709,053 | |||||
6.125% 10/1/25 | 685,000 | 736,006 | |||||
6.60% 4/1/36 | 1,652,000 | 1,923,424 | |||||
General Motors | |||||||
Financial | |||||||
2.40% 10/15/28 | 2,345,000 | 2,103,440 | |||||
3.10% 1/12/32 | 5,800,000 | 5,220,222 | |||||
4.35% 4/9/25 | 875,000 | 890,800 | |||||
5.25% 3/1/26 | 2,570,000 | 2,694,286 | |||||
5.70% 9/30/30 µ, ψ | 1,780,000 | 1,871,581 | |||||
Hilton Domestic | |||||||
Operating | |||||||
144A 3.625% | |||||||
2/15/32 # | 700,000 | 636,429 | |||||
144A 4.00% | |||||||
5/1/31 # | 2,300,000 | 2,175,294 | |||||
Hilton Grand Vacations | |||||||
Borrower Escrow | |||||||
144A 5.00% | |||||||
6/1/29 # | 900,000 | 859,986 | |||||
Hyatt Hotels | |||||||
1.30% 10/1/23 | 300,000 | 292,505 | |||||
1.35% (SOFR + | |||||||
1.05%) 10/1/23 ● | 400,000 | 401,405 | |||||
1.80% 10/1/24 | 300,000 | 288,915 | |||||
Hyundai Capital | |||||||
Services 144A | |||||||
0.75% 9/15/23 # | 1,800,000 | 1,741,285 | |||||
InRetail Consumer | |||||||
144A 3.25% | |||||||
3/22/28 # | 530,000 | 497,964 | |||||
Kia 144A 2.375% | |||||||
2/14/25 # | 635,000 | 617,827 | |||||
Lowe's 4.25% 4/1/52 | 695,000 | 719,972 | |||||
Magallanes | |||||||
144A 3.638% | |||||||
3/15/25 # | 400,000 | 402,857 | |||||
144A 3.755% | |||||||
3/15/27 # | 4,335,000 | 4,334,341 | |||||
144A 4.054% | |||||||
3/15/29 # | 330,000 | 332,018 | |||||
144A 4.279% | |||||||
3/15/32 # | 340,000 | 341,934 | |||||
144A 5.05% | |||||||
3/15/42 # | 800,000 | 817,683 | |||||
144A 5.141% | |||||||
3/15/52 # | 1,825,000 | 1,871,484 | |||||
Marriott International | |||||||
3.50% 10/15/32 | 900,000 | 858,333 |
61
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Cyclical (continued) | |||||||
Melco Resorts Finance | |||||||
144A 5.375% | |||||||
12/4/29 # | 200,000 | $ | 170,500 | ||||
5.75% 7/21/28 | 200,000 | 177,100 | |||||
MGM China Holdings | |||||||
144A 4.75% | |||||||
2/1/27 # | 725,000 | 639,254 | |||||
144A 5.25% | |||||||
6/18/25 # | 400,000 | 368,468 | |||||
MGM Resorts | |||||||
International 4.75% | |||||||
10/15/28 | 4,967,000 | 4,812,601 | |||||
Nemak 144A 3.625% | |||||||
6/28/31 # | 600,000 | 524,385 | |||||
Nissan Motor | |||||||
144A 3.043% | |||||||
9/15/23 # | 1,800,000 | 1,796,893 | |||||
144A 4.345% | |||||||
9/17/27 # | 2,700,000 | 2,665,515 | |||||
144A 4.81% | |||||||
9/17/30 # | 800,000 | 794,728 | |||||
Nissan Motor | |||||||
Acceptance | |||||||
144A 2.45% | |||||||
9/15/28 # | 300,000 | 262,623 | |||||
144A 3.875% | |||||||
9/21/23 # | 3,000,000 | 3,018,600 | |||||
Royal Caribbean | |||||||
Cruises 144A 5.50% | |||||||
4/1/28 # | 1,270,000 | 1,212,425 | |||||
Sands China | |||||||
144A 2.55% | |||||||
3/8/27 # | 200,000 | 174,700 | |||||
144A 3.10% | |||||||
3/8/29 # | 400,000 | 342,000 | |||||
144A 3.25% | |||||||
8/8/31 # | 200,000 | 164,000 | |||||
3.80% 1/8/26 | 400,000 | 380,500 | |||||
4.375% 6/18/30 | 490,000 | 444,915 | |||||
5.40% 8/8/28 | 1,800,000 | 1,773,396 | |||||
Scientific Games | |||||||
International 144A | |||||||
8.25% 3/15/26 # | 1,890,000 | 1,967,962 | |||||
Turkiye Sise ve Cam | |||||||
Fabrikalari 144A | |||||||
6.95% 3/14/26 # | 660,000 | 652,080 | |||||
Wynn Macau | |||||||
5.50% 1/15/26 | 200,000 | 182,213 | |||||
5.50% 10/1/27 | 200,000 | 173,389 | |||||
144A 5.625% | |||||||
8/26/28 # | 440,000 | 383,077 | |||||
82,690,892 | |||||||
Consumer Non-Cyclical – 3.68% | |||||||
AbbVie | |||||||
2.85% 5/14/23 | 900,000 | 905,830 | |||||
2.95% 11/21/26 | 1,920,000 | 1,904,851 | |||||
3.25% 10/1/22 | 300,000 | 301,127 | |||||
3.75% 11/14/23 | 1,200,000 | 1,223,578 | |||||
4.05% 11/21/39 | 3,193,000 | 3,290,193 | |||||
American Medical | |||||||
Systems Europe | |||||||
1.375% 3/8/28 | EUR | 1,300,000 | 1,409,056 | ||||
1.625% 3/8/31 | EUR | 1,300,000 | 1,402,227 | ||||
Amgen | |||||||
2.20% 2/21/27 | 3,300,000 | 3,179,141 | |||||
2.80% 8/15/41 | 7,060,000 | 6,080,977 | |||||
Anheuser-Busch InBev | |||||||
Worldwide | |||||||
4.50% 6/1/50 | 3,705,000 | 3,971,139 | |||||
4.70% 2/1/36 | 2,390,000 | 2,569,784 | |||||
Ashtead Capital | |||||||
144A 1.50% | |||||||
8/12/26 # | 665,000 | 604,473 | |||||
144A 2.45% | |||||||
8/12/31 # | 585,000 | 515,752 | |||||
Bacardi 144A 4.45% | |||||||
5/15/25 # | 500,000 | 512,243 | |||||
BAT Capital 2.259% | |||||||
3/25/28 | 1,500,000 | 1,348,571 | |||||
BAT International | |||||||
Finance 1.668% | |||||||
3/25/26 | 1,065,000 | 978,592 | |||||
Bausch Health 144A | |||||||
6.25% 2/15/29 # | 3,257,000 | 2,675,967 | |||||
Baxter International | |||||||
144A 3.132% | |||||||
12/1/51 # | 2,336,000 | 2,004,696 | |||||
Becton Dickinson Euro | |||||||
Finance 1.336% | |||||||
8/13/41 | EUR | 700,000 | 637,040 | ||||
Bellis Acquisition | |||||||
3.25% 2/16/26 | GBP | 3,300,000 | 4,015,834 | ||||
Bidvest Group UK | |||||||
144A 3.625% | |||||||
9/23/26 # | 780,000 | 732,241 | |||||
Bristol-Myers Squibb | |||||||
3.70% 3/15/52 | 630,000 | 635,046 | |||||
Centene 3.375% | |||||||
2/15/30 | 1,000,000 | 942,700 | |||||
Central American | |||||||
Bottling 144A 5.25% | |||||||
4/27/29 # | 625,000 | 622,769 | |||||
Cia Cervecerias | |||||||
Unidas 144A 3.35% | |||||||
1/19/32 # | 590,000 | 561,916 |
62
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Non-Cyclical (continued) | |||||||
Coca-Cola Icecek | |||||||
144A 4.50% | |||||||
1/20/29 # | 640,000 | $ | 603,930 | ||||
Coty 144A 5.00% | |||||||
4/15/26 # | 1,700,000 | 1,658,494 | |||||
CVS Health | |||||||
3.75% 4/1/30 | 780,000 | 794,704 | |||||
4.30% 3/25/28 | 4,913,000 | 5,147,878 | |||||
4.78% 3/25/38 | 1,030,000 | 1,128,327 | |||||
5.05% 3/25/48 | 2,635,000 | 2,991,946 | |||||
CVS Pass Through | |||||||
Trust 144A 5.773% | |||||||
1/10/33 #, ◆ | 64,516 | 70,538 | |||||
Danone 144A 2.589% | |||||||
11/2/23 # | 1,500,000 | 1,499,012 | |||||
Gilead Sciences 4.15% | |||||||
3/1/47 | 3,305,000 | 3,413,061 | |||||
Global Payments | |||||||
2.15% 1/15/27 | 740,000 | 695,742 | |||||
2.65% 2/15/25 | 1,839,000 | 1,801,222 | |||||
2.90% 11/15/31 | 725,000 | 661,413 | |||||
3.20% 8/15/29 | 2,150,000 | 2,045,238 | |||||
GSK Consumer | |||||||
Healthcare Capital | |||||||
UK 144A 3.125% | |||||||
3/24/25 # | 500,000 | 498,809 | |||||
GSK Consumer | |||||||
Healthcare Capital | |||||||
US 144A 3.375% | |||||||
3/24/29 # | 500,000 | 495,270 | |||||
HCA | |||||||
144A 3.125% | |||||||
3/15/27 # | 4,000,000 | 3,914,661 | |||||
4.125% 6/15/29 | 3,400,000 | 3,470,369 | |||||
7.58% 9/15/25 | 30,000 | 33,251 | |||||
Imperial Brands | |||||||
Finance 144A | |||||||
3.75% 7/21/22 # | 470,000 | 471,139 | |||||
Indigo Group 1.625% | |||||||
4/19/28 | EUR | 1,700,000 | 1,796,691 | ||||
International Container | |||||||
Terminal Services | |||||||
4.75% 6/17/30 | 745,000 | 746,341 | |||||
JBS USA LUX 144A | |||||||
3.00% 2/2/29 # | 1,466,000 | 1,359,019 | |||||
Kernel Holding 144A | |||||||
6.50% 10/17/24 # | 375,000 | 193,560 | |||||
MHP 144A 6.25% | |||||||
9/19/29 # | 425,000 | 190,719 | |||||
Mondelez International | |||||||
2.125% 3/17/24 | 500,000 | 496,677 | |||||
Pernod Ricard 144A | |||||||
4.25% 7/15/22 # | 150,000 | 151,082 | |||||
Pilgrim's Pride 144A | |||||||
5.875% 9/30/27 # | 1,458,000 | 1,473,958 | |||||
Prime Security | |||||||
Services Borrower | |||||||
144A 6.25% | |||||||
1/15/28 # | 3,020,000 | 2,960,264 | |||||
Regeneron | |||||||
Pharmaceuticals | |||||||
1.75% 9/15/30 | 825,000 | 716,999 | |||||
2.80% 9/15/50 | 1,170,000 | 938,303 | |||||
Royalty Pharma 1.75% | |||||||
9/2/27 | 7,625,000 | 6,933,111 | |||||
StoneCo 144A 3.95% | |||||||
6/16/28 # | 505,000 | 424,745 | |||||
Takeda | |||||||
Pharmaceutical | |||||||
3.025% 7/9/40 | 985,000 | 880,717 | |||||
3.175% 7/9/50 | 3,462,000 | 3,039,559 | |||||
Tenet Healthcare | |||||||
144A 4.25% | |||||||
6/1/29 # | 1,790,000 | 1,718,507 | |||||
144A 6.125% | |||||||
10/1/28 # | 1,815,000 | 1,846,499 | |||||
Teva Pharmaceutical | |||||||
Finance | |||||||
Netherlands III | |||||||
5.125% 5/9/29 | 365,000 | 351,349 | |||||
6.75% 3/1/28 | 385,000 | 404,400 | |||||
United Rentals North | |||||||
America 3.875% | |||||||
2/15/31 | 869,000 | 820,406 | |||||
Viatris | |||||||
1.65% 6/22/25 | 320,000 | 298,136 | |||||
2.30% 6/22/27 | 265,000 | 241,641 | |||||
2.70% 6/22/30 | 1,940,000 | 1,709,098 | |||||
4.00% 6/22/50 | 450,000 | 379,528 | |||||
104,492,056 | |||||||
Energy – 3.49% | |||||||
Abu Dhabi Crude Oil | |||||||
Pipeline 144A | |||||||
4.60% 11/2/47 # | 330,000 | 350,430 | |||||
Azure Power Energy | |||||||
144A 3.575% | |||||||
8/19/26 # | 395,117 | 376,695 | |||||
BP Capital Markets | |||||||
4.875% | |||||||
3/22/30 µ, ψ | 2,750,000 | 2,765,469 | |||||
BP Capital Markets | |||||||
America 2.721% | |||||||
1/12/32 | 1,465,000 | 1,380,477 |
63
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||
amount° | Value (US $) | ||||
Corporate Bonds (continued) | |||||
Energy (continued) | |||||
Canacol Energy 144A | |||||
5.75% 11/24/28 # | 1,245,000 | $ | 1,172,771 | ||
CNX Resources 144A | |||||
6.00% 1/15/29 # | 2,275,000 | 2,300,719 | |||
ConocoPhillips 3.80% | |||||
3/15/52 | 1,575,000 | 1,606,495 | |||
Continental Resources | |||||
4.375% 1/15/28 | 4,260,000 | 4,325,263 | |||
Crestwood Midstream | |||||
Partners 144A | |||||
6.00% 2/1/29 # | 1,737,000 | 1,734,099 | |||
Devon Energy 4.75% | |||||
5/15/42 | 530,000 | 562,006 | |||
Diamondback Energy | |||||
4.25% 3/15/52 | 515,000 | 510,309 | |||
Ecopetrol | |||||
4.625% 11/2/31 | 1,165,000 | 1,055,962 | |||
5.375% 6/26/26 | 385,000 | 390,080 | |||
EIG Pearl Holdings | |||||
144A 3.545% | |||||
8/31/36 # | 710,000 | 678,436 | |||
Energo-Pro 144A | |||||
8.50% 2/4/27 # | 670,000 | 636,500 | |||
Energy Transfer | |||||
4.95% 5/15/28 | 700,000 | 725,971 | |||
5.00% 10/1/22 | 1,500,000 | 1,512,317 | |||
5.25% 4/15/29 | 655,000 | 700,072 | |||
5.50% 6/1/27 | 3,200,000 | 3,442,737 | |||
6.25% 4/15/49 | 4,420,000 | 5,091,387 | |||
6.50% | |||||
11/15/26 µ, ψ | 3,380,000 | 3,330,315 | |||
Enterprise Products | |||||
Operating | |||||
3.20% 2/15/52 | 4,365,000 | 3,696,077 | |||
3.30% 2/15/53 | 570,000 | 488,219 | |||
EQT 6.625% 2/1/25 | 1,100,000 | 1,163,250 | |||
Equinor 1.75% | |||||
1/22/26 | 655,000 | 627,755 | |||
Galaxy Pipeline Assets | |||||
Bidco 144A 2.94% | |||||
9/30/40 # | 745,000 | 674,742 | |||
Geopark 144A 5.50% | |||||
1/17/27 # | 555,000 | 529,603 | |||
Guara Norte 144A | |||||
5.198% 6/15/34 # | 628,499 | 577,578 | |||
Indika Energy Capital | |||||
IV 144A 8.25% | |||||
10/22/25 # | 645,000 | 654,191 | |||
Investment Energy | |||||
Resources 144A | |||||
6.25% 4/26/29 # | 395,000 | 399,523 | |||
KazTransGas JSC | |||||
144A 4.375% | |||||
9/26/27 # | 896,000 | 811,418 | |||
Kosmos Energy 144A | |||||
7.75% 5/1/27 # | 425,000 | 419,024 | |||
Lukoil Capital DAC | |||||
144A 2.80% | |||||
4/26/27 # | 965,000 | 535,575 | |||
144A 3.60% | |||||
10/26/31 # | 865,000 | 462,775 | |||
Medco Laurel Tree | |||||
144A 6.95% | |||||
11/12/28 # | 1,185,000 | 1,158,731 | |||
MPLX | |||||
1.75% 3/1/26 | 685,000 | 642,775 | |||
4.125% 3/1/27 | 2,000,000 | 2,048,426 | |||
Murphy Oil 5.875% | |||||
12/1/27 | 2,587,000 | 2,636,800 | |||
NuStar Logistics | |||||
5.625% 4/28/27 | 205,000 | 201,013 | |||
6.375% 10/1/30 | 2,337,000 | 2,371,120 | |||
Oil and Gas Holding | |||||
144A 7.625% | |||||
11/7/24 # | 200,000 | 210,732 | |||
ONEOK | |||||
4.35% 3/15/29 | 1,500,000 | 1,533,413 | |||
7.50% 9/1/23 | 2,840,000 | 2,987,725 | |||
PDC Energy 5.75% | |||||
5/15/26 | 1,205,000 | 1,223,406 | |||
Pertamina Persero | |||||
144A 3.65% | |||||
7/30/29 # | 197,000 | 195,522 | |||
Petrobras Global | |||||
Finance | |||||
5.999% 1/27/28 | 3,500,000 | 3,679,042 | |||
6.75% 6/3/50 | 345,000 | 339,430 | |||
6.85% 6/5/15 | 1,700,000 | 1,597,439 | |||
7.25% 3/17/44 | 600,000 | 626,640 | |||
Petroleos Mexicanos | |||||
5.95% 1/28/31 | 1,655,000 | 1,529,965 | |||
6.70% 2/16/32 | 821,000 | 780,804 | |||
6.75% 9/21/47 | 390,000 | 317,741 | |||
7.69% 1/23/50 | 240,000 | 210,048 | |||
Petronas Capital | |||||
144A 2.48% | |||||
1/28/32 # | 200,000 | 186,563 | |||
144A 3.50% | |||||
4/21/30 # | 440,000 | 448,635 | |||
PTTEP Treasury | |||||
Center 144A | |||||
2.587% 6/10/27 # | 695,000 | 666,634 |
64
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Energy (continued) | |||||||
Qatar Energy | |||||||
144A 1.375% | |||||||
9/12/26 # | 280,000 | $ | 261,745 | ||||
144A 2.25% | |||||||
7/12/31 # | 645,000 | 594,996 | |||||
Rio Oil Finance Trust | |||||||
Series 2014-1 | |||||||
9.25% 7/6/24 | 89,035 | 93,390 | |||||
SA Global Sukuk 144A | |||||||
2.694% 6/17/31 # | 425,000 | 403,158 | |||||
Sabine Pass | |||||||
Liquefaction | |||||||
5.625% 3/1/25 | 1,455,000 | 1,539,317 | |||||
5.75% 5/15/24 | 8,496,000 | 8,896,253 | |||||
Santos Finance 144A | |||||||
3.649% 4/29/31 # | 1,700,000 | 1,590,233 | |||||
Saudi Arabian Oil | |||||||
144A 3.50% | |||||||
11/24/70 # | 220,000 | 186,840 | |||||
144A 4.25% | |||||||
4/16/39 # | 530,000 | 544,234 | |||||
Southwestern Energy | |||||||
7.75% 10/1/27 | 2,050,000 | 2,172,723 | |||||
Sweihan PV Power | |||||||
PJSC 144A 3.625% | |||||||
1/31/49 # | 2,425,000 | 2,248,741 | |||||
Targa Resources | |||||||
4.20% 2/1/33 | 300,000 | 303,156 | |||||
Tengizchevroil Finance | |||||||
Co International | |||||||
144A 2.625% | |||||||
8/15/25 # | 484,000 | 429,550 | |||||
Tennessee Gas | |||||||
Pipeline 144A | |||||||
2.90% 3/1/30 # | 6,275,000 | 5,894,953 | |||||
Transportadora de Gas | |||||||
del Sur 144A 6.75% | |||||||
5/2/25 # | 370,000 | 337,105 | |||||
Tullow Oil 144A | |||||||
10.25% 5/15/26 # | 610,000 | 622,301 | |||||
UEP Penonome II | |||||||
144A 6.50% | |||||||
10/1/38 # | 533,864 | 508,140 | |||||
Uzbekneftegaz 144A | |||||||
4.75% 11/16/28 # | 200,000 | 164,642 | |||||
Woodside Finance | |||||||
144A 3.70% | |||||||
9/15/26 # | 400,000 | 401,190 | |||||
YPF 144A 6.95% | |||||||
7/21/27 # | 970,000 | 727,752 | |||||
99,201,263 |
Finance Companies — 2.26% | |||||||
AerCap Ireland Capital | |||||||
DAC | |||||||
1.65% 10/29/24 | 500,000 | 472,623 | |||||
2.45% 10/29/26 | 1,445,000 | 1,338,588 | |||||
3.00% 10/29/28 | 2,300,000 | 2,125,494 | |||||
3.40% 10/29/33 | 4,543,000 | 4,081,013 | |||||
3.50% 1/15/25 | 300,000 | 295,018 | |||||
3.65% 7/21/27 | 4,760,000 | 4,620,188 | |||||
4.45% 10/1/25 | 1,200,000 | 1,205,396 | |||||
4.45% 4/3/26 | 150,000 | 151,702 | |||||
4.50% 9/15/23 | 460,000 | 463,702 | |||||
4.625% 7/1/22 | 1,100,000 | 1,106,175 | |||||
4.625% 10/15/27 | 745,000 | 760,921 | |||||
6.50% 7/15/25 | 1,350,000 | 1,430,733 | |||||
Air Lease | |||||||
2.875% 1/15/26 | 2,050,000 | 1,981,250 | |||||
2.875% 1/15/32 | 2,380,000 | 2,133,781 | |||||
3.00% 2/1/30 | 7,215,000 | 6,654,637 | |||||
3.375% 7/1/25 | 670,000 | 661,113 | |||||
4.125% | |||||||
12/15/26 µ, ψ | 715,000 | 609,538 | |||||
4.25% 2/1/24 | 900,000 | 910,405 | |||||
4.625% 10/1/28 | 2,115,000 | 2,157,775 | |||||
Aircastle 4.125% | |||||||
5/1/24 | 2,500,000 | 2,497,671 | |||||
Ally Financial 4.70% | |||||||
5/15/26 µ, ψ | 1,605,000 | 1,515,818 | |||||
Aviation Capital Group | |||||||
144A 3.875% | |||||||
5/1/23 # | 1,000,000 | 1,004,864 | |||||
Avolon Holdings | |||||||
Funding 144A | |||||||
2.528% 11/18/27 # | 116,000 | 102,675 | |||||
B3 SA - Brasil Bolsa | |||||||
Balcao 144A | |||||||
4.125% 9/20/31 # | 700,000 | 631,470 | |||||
BOC Aviation 3.00% | |||||||
5/23/22 | 300,000 | 300,161 | |||||
BOC Aviation USA | |||||||
144A 1.625% | |||||||
4/29/24 # | 415,000 | 398,873 | |||||
China Evergrande | |||||||
Group 10.00% | |||||||
4/11/23 | 550,000 | 71,500 | |||||
CIFI Holdings Group | |||||||
6.00% 7/16/25 | 245,000 | 204,575 | |||||
6.45% 11/7/24 | 430,000 | 384,850 | |||||
DAE Funding | |||||||
144A 1.55% | |||||||
8/1/24 # | 200,000 | 189,067 |
65
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Corporate Bonds (continued) | |||||||||
Finance Companies (continued) | |||||||||
DAE Funding | |||||||||
144A 1.625% | |||||||||
2/15/24 # | 1,500,000 | $ | 1,437,241 | ||||||
144A 3.375% | |||||||||
3/20/28 # | 845,000 | 794,300 | |||||||
3.375% 3/20/28 | 2,700,000 | 2,538,000 | |||||||
GE Capital UK | |||||||||
Funding Unlimited | |||||||||
5.875% 1/18/33 | GBP | 300,000 | 480,719 | ||||||
Goodman HK Finance | |||||||||
4.375% 6/19/24 | 1,095,000 | 1,118,281 | |||||||
Huarong Finance | |||||||||
2019 3.875% | |||||||||
11/13/29 | 550,000 | 499,813 | |||||||
Jyske Realkredit | |||||||||
1.50% 10/1/53 | DKK | 3,286,318 | 441,121 | ||||||
1.50% 10/1/53 | DKK | 5,291,294 | 698,893 | ||||||
Kaisa Group Holdings | |||||||||
9.375% 6/30/24 ‡ | 380,000 | 74,290 | |||||||
Logicor Financing | |||||||||
3.25% 11/13/28 | EUR | 3,400,000 | 3,888,147 | ||||||
MAF Global Securities | |||||||||
6.375% | |||||||||
3/20/26 µ, ψ | 395,000 | 398,219 | |||||||
Nordea Kredit | |||||||||
Realkreditaktieselskab | |||||||||
1.00% 10/1/50 | DKK | 2,281,290 | 296,968 | ||||||
1.50% 10/1/53 | DKK | 5,299,993 | 700,626 | ||||||
1.50% 10/1/53 | DKK | 1,892,439 | 253,820 | ||||||
1.50% 10/1/53 | DKK | 700,000 | 89,573 | ||||||
OneMain Finance | |||||||||
6.125% 3/15/24 | 1,500,000 | 1,539,248 | |||||||
Owl Rock Capital | |||||||||
2.875% 6/11/28 | 500,000 | 437,023 | |||||||
Realkredit Danmark | |||||||||
1.00% 10/1/50 | DKK | 12,994,632 | 1,687,881 | ||||||
1.00% 10/1/53 | DKK | 793,960 | 101,961 | ||||||
1.50% 10/1/53 | DKK | 9,656,197 | 1,295,282 | ||||||
1.50% 10/1/53 | DKK | 4,695,673 | 620,196 | ||||||
2.00% 10/1/53 | DKK | 2,898,952 | 390,491 | ||||||
Samhallsbyggnadsbolaget | |||||||||
i Norden 1.125% | |||||||||
9/4/26 | EUR | 900,000 | 907,269 | ||||||
Sirius Real Estate | |||||||||
1.125% 6/22/26 | EUR | 2,400,000 | 2,470,908 | ||||||
SMBC Aviation Capital | |||||||||
Finance DAC 144A | |||||||||
3.00% 7/15/22 # | 400,000 | 400,606 | |||||||
Times China Holdings | |||||||||
5.55% 6/4/24 | 440,000 | 200,200 | |||||||
64,222,652 |
Industrials — 0.02% | |||||||||
Inversiones La | |||||||||
Construccion 144A | |||||||||
4.75% 2/7/32 # | 635,000 | 594,880 | |||||||
594,880 | |||||||||
Insurance — 0.83% | |||||||||
AIA Group | |||||||||
144A 3.375% | |||||||||
4/7/30 # | 375,000 | 373,296 | |||||||
144A 3.90% | |||||||||
4/6/28 # | 1,000,000 | 1,020,139 | |||||||
Ambac Assurance | |||||||||
144A 5.10% #, ω | 29,743 | 33,907 | |||||||
Aon 2.90% 8/23/51 | 4,930,000 | 4,103,045 | |||||||
Arthur J Gallagher & | |||||||||
Co. 3.50% 5/20/51 | 1,834,000 | 1,636,653 | |||||||
Athene Global Funding | |||||||||
144A 2.192% | |||||||||
(LIBOR03M + | |||||||||
1.23%) 7/1/22 #, ● | 700,000 | 701,262 | |||||||
Athora Netherlands | |||||||||
2.375% 5/17/24 | EUR | 2,100,000 | 2,354,740 | ||||||
Brighthouse Financial | |||||||||
3.85% 12/22/51 | 1,735,000 | 1,451,163 | |||||||
4.70% 6/22/47 | 1,035,000 | 1,009,301 | |||||||
5.625% 5/15/30 | 850,000 | 933,554 | |||||||
Brown & Brown 4.95% | |||||||||
3/17/52 | 1,833,000 | 1,962,658 | |||||||
Fairfax Financial | |||||||||
Holdings 4.625% | |||||||||
4/29/30 | 1,000,000 | 1,029,558 | |||||||
Jackson Financial | |||||||||
144A 3.125% | |||||||||
11/23/31 # | 1,570,000 | 1,431,294 | |||||||
144A 4.00% | |||||||||
11/23/51 # | 1,909,000 | 1,617,948 | |||||||
MetLife 3.85% | |||||||||
9/15/25 µ, ψ | 1,520,000 | 1,502,824 | |||||||
Prudential Financial | |||||||||
3.70% 3/13/51 | 1,660,000 | 1,629,104 | |||||||
Sagicor Financial 144A | |||||||||
5.30% 5/13/28 # | 965,000 | 963,046 | |||||||
23,753,492 | |||||||||
Real Estate Investment Trusts — 0.78% | |||||||||
American Homes | |||||||||
4 Rent 3.625% | |||||||||
4/15/32 | 645,000 | 628,985 | |||||||
American Tower | |||||||||
2.30% 9/15/31 | 1,600,000 | 1,399,835 | |||||||
3.00% 6/15/23 | 600,000 | 602,162 | |||||||
3.375% 5/15/24 | 500,000 | 501,855 |
66
Principal | |||||||||
amount° | Value (US $) | ||||||||
Corporate Bonds (continued) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||
American Tower | |||||||||
3.65% 3/15/27 | 300,000 | $ | 299,400 | ||||||
American Tower Trust | |||||||||
# 1 144A 3.07% | |||||||||
3/15/48 # | 1,285,000 | 1,277,294 | |||||||
CIBANCO Institucion | |||||||||
de Banca Multiple | |||||||||
Trust 144A 4.375% | |||||||||
7/22/31 # | 645,000 | 540,226 | |||||||
Cromwell Ereit Lux | |||||||||
Finco 2.125% | |||||||||
11/19/25 | EUR | 600,000 | 649,600 | ||||||
Crown Castle | |||||||||
International | |||||||||
2.10% 4/1/31 | 1,308,000 | 1,133,086 | |||||||
4.30% 2/15/29 | 2,745,000 | 2,823,108 | |||||||
CyrusOne 1.45% | |||||||||
1/22/27 | EUR | 1,400,000 | 1,601,502 | ||||||
EPR Properties 4.50% | |||||||||
6/1/27 | 1,700,000 | 1,679,034 | |||||||
GLP Capital 4.00% | |||||||||
1/15/30 | 2,600,000 | 2,528,292 | |||||||
Iron Mountain 144A | |||||||||
5.25% 7/15/30 # | 966,000 | 947,994 | |||||||
Iron Mountain | |||||||||
Information | |||||||||
Management | |||||||||
Services 144A | |||||||||
5.00% 7/15/32 # | 3,080,000 | 2,892,105 | |||||||
MGM Growth | |||||||||
Properties | |||||||||
Operating | |||||||||
Partnership 5.75% | |||||||||
2/1/27 | 145,000 | 153,791 | |||||||
MPT Operating | |||||||||
Partnership 3.692% | |||||||||
6/5/28 | GBP | 1,600,000 | 2,044,920 | ||||||
Public Storage 0.50% | |||||||||
9/9/30 | EUR | 500,000 | 482,844 | ||||||
22,186,033 | |||||||||
Technology — 1.28% | |||||||||
Autodesk 2.40% | |||||||||
12/15/31 | 2,390,000 | 2,135,086 | |||||||
Broadcom | |||||||||
144A 3.137% | |||||||||
11/15/35 # | 2,789,000 | 2,462,927 | |||||||
144A 3.419% | |||||||||
4/15/33 # | 1,600,000 | 1,496,254 | |||||||
144A 3.469% | |||||||||
4/15/34 # | 6,257,000 | 5,807,883 |
Broadcom | |||||||
4.11% 9/15/28 | 816,000 | 827,451 | |||||
Broadridge Financial | |||||||
Solutions 2.60% | |||||||
5/1/31 | 2,698,000 | 2,447,433 | |||||
CDW | |||||||
2.67% 12/1/26 | 465,000 | 439,146 | |||||
3.276% 12/1/28 | 4,143,000 | 3,910,060 | |||||
Dell International | |||||||
5.45% 6/15/23 | 160,000 | 164,916 | |||||
Fiserv 3.50% 7/1/29 | 3,500,000 | 3,449,238 | |||||
Micron Technology | |||||||
2.703% 4/15/32 | 875,000 | 793,507 | |||||
NXP | |||||||
144A 2.70% | |||||||
5/1/25 # | 180,000 | 174,659 | |||||
144A 3.125% | |||||||
2/15/42 # | 925,000 | 798,111 | |||||
144A 3.25% | |||||||
5/11/41 # | 1,740,000 | 1,539,110 | |||||
144A 3.875% | |||||||
6/18/26 # | 3,250,000 | 3,264,744 | |||||
144A 4.625% | |||||||
6/1/23 # | 1,000,000 | 1,016,142 | |||||
144A 4.875% | |||||||
3/1/24 # | 3,280,000 | 3,371,787 | |||||
144A 5.55% | |||||||
12/1/28 # | 440,000 | 483,008 | |||||
SK Hynix | |||||||
144A 1.50% | |||||||
1/19/26 # | 600,000 | 555,689 | |||||
144A 2.375% | |||||||
1/19/31 # | 610,000 | 532,330 | |||||
Workday | |||||||
3.50% 4/1/27 | 200,000 | 200,084 | |||||
3.70% 4/1/29 | 310,000 | 310,972 | |||||
3.80% 4/1/32 | 320,000 | 319,786 | |||||
36,500,323 | |||||||
Transportation — 1.69% | |||||||
Acu Petroleo | |||||||
Luxembourg 144A | |||||||
7.50% 7/13/35 # | 460,000 | 425,817 | |||||
Air Canada 144A | |||||||
3.875% 8/15/26 # | 300,000 | 283,498 | |||||
American Airlines 144A | |||||||
5.50% 4/20/26 # | 500,000 | 504,452 | |||||
American Airlines | |||||||
2015-1 Class A | |||||||
Pass Through Trust | |||||||
3.375% 11/1/28 ♦ | 1,217,470 | 1,170,385 |
67
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Transportation (continued) | |||||||
American Airlines | |||||||
2016-1 Class AA | |||||||
Pass Through Trust | |||||||
3.575% 7/15/29 ♦ | 516,688 | $ | 490,912 | ||||
American Airlines | |||||||
2016-3 Class AA | |||||||
Pass Through Trust | |||||||
3.00% 4/15/30 ♦ | 1,003,380 | 934,797 | |||||
American Airlines | |||||||
2019-1 Class AA | |||||||
Pass Through Trust | |||||||
3.15% 8/15/33 ♦ | 178,314 | 167,499 | |||||
American Airlines | |||||||
2021-1 Class A | |||||||
Pass Through Trust | |||||||
2.875% 1/11/36 ♦ | 100,000 | 90,270 | |||||
Azul Investments | |||||||
144A 5.875% | |||||||
10/26/24 # | 430,000 | 378,886 | |||||
144A 7.25% | |||||||
6/15/26 # | 400,000 | 337,692 | |||||
British Airways 2018-1 | |||||||
Class AA Pass | |||||||
Through Trust 144A | |||||||
3.80% 3/20/33 #, ♦ | 1,164,756 | 1,148,756 | |||||
British Airways 2019-1 | |||||||
Class AA Pass | |||||||
Through Trust 144A | |||||||
3.30% 6/15/34 #, ♦ | 278,614 | 263,329 | |||||
Canadian Pacific | |||||||
Railway | |||||||
2.45% 12/2/31 | 1,665,000 | 1,548,521 | |||||
3.00% 12/2/41 | 245,000 | 220,914 | |||||
Delta Air Lines | |||||||
144A 7.00% | |||||||
5/1/25 # | 5,349,000 | 5,733,774 | |||||
7.375% 1/15/26 | 1,858,000 | 2,019,832 | |||||
Doric Nimrod Air | |||||||
Finance Alpha | |||||||
2012-1 Class A | |||||||
Pass Through Trust | |||||||
144A 5.125% | |||||||
11/30/24 #, ♦ | 273,243 | 271,242 | |||||
ERAC USA Finance | |||||||
144A 2.70% | |||||||
11/1/23 # | 300,000 | 299,832 | |||||
Gol Finance 144A | |||||||
8.00% 6/30/26 # | 410,000 | 369,080 | |||||
Grupo Aeromexico | |||||||
144A 8.50% | |||||||
3/17/27 # | 5,000,000 | 5,035,189 | |||||
Kansas City Southern | |||||||
3.00% 5/15/23 | 500,000 | 501,589 |
Lima Metro Line | |||||||
2 Finance 144A | |||||||
4.35% 4/5/36 # | 669,910 | 663,750 | |||||
Mileage Plus Holdings | |||||||
144A 6.50% | |||||||
6/20/27 # | 5,000,000 | 5,218,750 | |||||
Misc Capital Two | |||||||
Labuan 144A 3.75% | |||||||
4/6/27 # | 860,000 | 855,483 | |||||
Penske Truck Leasing | |||||||
144A 3.95% | |||||||
3/10/25 # | 1,000,000 | 1,011,747 | |||||
144A 4.45% | |||||||
1/29/26 # | 2,100,000 | 2,162,882 | |||||
144A 4.875% | |||||||
7/11/22 # | 300,000 | 302,675 | |||||
Southwest Airlines | |||||||
5.125% 6/15/27 | 3,650,000 | 3,906,772 | |||||
5.25% 5/4/25 | 1,680,000 | 1,765,668 | |||||
Union Pacific | |||||||
2.80% 2/14/32 | 630,000 | 605,655 | |||||
3.375% 2/14/42 | 190,000 | 184,030 | |||||
3.50% 2/14/53 | 365,000 | 358,189 | |||||
United Airlines | |||||||
144A 4.375% | |||||||
4/15/26 # | 2,005,000 | 1,974,925 | |||||
144A 4.625% | |||||||
4/15/29 # | 4,961,000 | 4,723,988 | |||||
United Airlines 2020-1 | |||||||
Class A Pass | |||||||
Through Trust | |||||||
5.875% 4/15/29 ♦ | 1,662,635 | 1,720,970 | |||||
US Airways 2012-2 | |||||||
Class A Pass | |||||||
Through Trust | |||||||
4.625% 12/3/26 ♦ | 331,655 | 319,550 | |||||
US Airways 2013-A | |||||||
Class A Pass | |||||||
Through Trust | |||||||
3.95% 5/15/27 ♦ | 50,961 | 48,673 | |||||
48,019,973 | |||||||
Utilities — 2.80% | |||||||
Abu Dhabi National | |||||||
Energy 144A 2.00% | |||||||
4/29/28 # | 665,000 | 621,389 | |||||
AEP Texas 2.40% | |||||||
10/1/22 | 200,000 | 200,335 | |||||
AES Andes 144A | |||||||
7.125% 3/26/79 #, µ | 605,000 | 608,216 |
68
Principal | |||||||||
amount° | Value (US $) | ||||||||
Corporate Bonds (continued) | |||||||||
Utilities (continued) | |||||||||
Alfa Desarrollo 144A | |||||||||
4.55% 9/27/51 # | 837,735 | $ | 728,369 | ||||||
Boston Gas 144A | |||||||||
3.757% 3/16/32 # | 500,000 | 501,080 | |||||||
Calpine | |||||||||
144A 4.50% | |||||||||
2/15/28 # | 453,000 | 442,672 | |||||||
144A 5.00% | |||||||||
2/1/31 # | 1,535,000 | 1,399,467 | |||||||
144A 5.125% | |||||||||
3/15/28 # | 454,000 | 433,304 | |||||||
Cikarang Listrindo | |||||||||
144A 4.95% | |||||||||
9/14/26 # | 540,000 | 535,834 | |||||||
Clean Renewable | |||||||||
Power Mauritius | |||||||||
144A 4.25% | |||||||||
3/25/27 # | 441,000 | 423,272 | |||||||
CLP Power Hong Kong | |||||||||
Financing 2.875% | |||||||||
4/26/23 | 240,000 | 240,419 | |||||||
Duke Energy 4.875% | |||||||||
9/16/24 µ, ψ | 2,330,000 | 2,360,593 | |||||||
Duke Energy Indiana | |||||||||
3.25% 10/1/49 | 1,265,000 | 1,128,867 | |||||||
Electricite de France | |||||||||
2.875% | |||||||||
12/15/26 µ, ψ | EUR | 2,400,000 | 2,477,885 | ||||||
Enel Finance | |||||||||
International | |||||||||
144A 1.875% | |||||||||
7/12/28 # | 665,000 | 600,725 | |||||||
144A 2.25% | |||||||||
7/12/31 # | 725,000 | 643,266 | |||||||
144A 2.875% | |||||||||
7/12/41 # | 2,085,000 | 1,727,035 | |||||||
ENN Energy Holdings | |||||||||
144A 2.625% | |||||||||
9/17/30 # | 605,000 | 543,416 | |||||||
Entergy 4.00% | |||||||||
7/15/22 | 300,000 | 300,816 | |||||||
Entergy Arkansas | |||||||||
4.20% 4/1/49 | 870,000 | 936,026 | |||||||
Entergy Louisiana | |||||||||
4.95% 1/15/45 | 235,000 | 244,060 | |||||||
Entergy Mississippi | |||||||||
3.85% 6/1/49 | 1,465,000 | 1,460,870 | |||||||
Entergy Texas 3.55% | |||||||||
9/30/49 | 700,000 | 661,695 | |||||||
Essential Utilities | |||||||||
2.704% 4/15/30 | 695,000 | 656,511 | |||||||
3.351% 4/15/50 | 675,000 | 602,664 |
Evergy Kansas Central | |||||||
3.45% 4/15/50 | 1,185,000 | 1,112,113 | |||||
Eversource Energy | |||||||
2.90% 3/1/27 | 915,000 | 898,139 | |||||
Fells Point Funding | |||||||
Trust 144A 3.046% | |||||||
1/31/27 # | 850,000 | 816,220 | |||||
FirstEnergy 3.35% | |||||||
7/15/22 | 200,000 | 200,245 | |||||
FirstEnergy | |||||||
Transmission 144A | |||||||
4.55% 4/1/49 # | 875,000 | 838,494 | |||||
Greenko Power II | |||||||
144A 4.30% | |||||||
12/13/28 # | 695,000 | 651,736 | |||||
Infraestructura | |||||||
Energetica Nova | |||||||
144A 4.875% | |||||||
1/14/48 # | 395,000 | 344,256 | |||||
Israel Electric 144A | |||||||
3.75% 2/22/32 # | 630,000 | 606,916 | |||||
JSW Hydro Energy | |||||||
144A 4.125% | |||||||
5/18/31 # | 289,500 | 269,833 | |||||
Louisville Gas and | |||||||
Electric 4.25% | |||||||
4/1/49 | 2,685,000 | 2,814,597 | |||||
Minejesa Capital 144A | |||||||
5.625% 8/10/37 # | 400,000 | 365,074 | |||||
Mong Duong Finance | |||||||
Holdings 144A | |||||||
5.125% 5/7/29 # | 720,000 | 649,915 | |||||
NextEra Energy | |||||||
Capital Holdings | |||||||
0.65% 3/1/23 | 2,800,000 | 2,761,023 | |||||
0.783% (SOFR + | |||||||
0.54%) 3/1/23 ● | 100,000 | 99,911 | |||||
3.00% 1/15/52 | 1,105,000 | 946,121 | |||||
Oglethorpe Power | |||||||
3.75% 8/1/50 | 1,620,000 | 1,528,697 | |||||
Oryx Funding 144A | |||||||
5.80% 2/3/31 # | 660,000 | 662,344 | |||||
Pacific Gas and | |||||||
Electric | |||||||
1.351% (SOFR + | |||||||
1.15%) 11/14/22 ● | 700,000 | 700,264 | |||||
2.10% 8/1/27 | 9,195,000 | 8,277,541 | |||||
3.00% 6/15/28 | 800,000 | 745,723 | |||||
3.25% 6/1/31 | 420,000 | 380,516 | |||||
3.30% 3/15/27 | 700,000 | 673,027 | |||||
3.30% 8/1/40 | 7,168,000 | 5,882,072 | |||||
3.50% 6/15/25 | 400,000 | 390,750 |
69
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Utilities (continued) | |||||||
Pacific Gas and | |||||||
Electric | |||||||
3.50% 8/1/50 | 4,510,000 | $ | 3,643,669 | ||||
4.20% 3/1/29 | 3,200,000 | 3,149,975 | |||||
4.40% 3/1/32 | 1,300,000 | 1,279,849 | |||||
4.50% 7/1/40 | 1,100,000 | 1,004,202 | |||||
4.95% 7/1/50 | 516,000 | 488,044 | |||||
Pedernales Electric | |||||||
Cooperative 144A | |||||||
6.202% 11/15/32 # | 620,000 | 703,913 | |||||
Perusahaan Listrik | |||||||
Negara | |||||||
144A 3.875% | |||||||
7/17/29 # | 605,000 | 595,111 | |||||
144A 4.125% | |||||||
5/15/27 # | 300,000 | 303,690 | |||||
144A 5.25% | |||||||
5/15/47 # | 185,000 | 184,620 | |||||
PG&E 5.25% 7/1/30 | 1,625,000 | 1,578,200 | |||||
Saudi Electricity Global | |||||||
Sukuk Co. 4 | |||||||
4.222% 1/27/24 | 715,000 | 729,968 | |||||
Sempra Energy | |||||||
4.875% | |||||||
10/15/25 µ, ψ | 1,055,000 | 1,062,913 | |||||
Sociedad de | |||||||
Transmision Austral | |||||||
144A 4.00% | |||||||
1/27/32 # | 780,000 | 757,793 | |||||
Southern California | |||||||
Edison | |||||||
3.45% 2/1/52 | 3,037,000 | 2,735,889 | |||||
3.65% 2/1/50 | 1,525,000 | 1,417,956 | |||||
4.00% 4/1/47 | 880,000 | 848,953 | |||||
4.875% 3/1/49 | 2,330,000 | 2,487,048 | |||||
Southern California | |||||||
Gas 2.95% 4/15/27 | 2,600,000 | 2,567,282 | |||||
System Energy | |||||||
Resources 2.14% | |||||||
12/9/25 | 800,000 | 762,821 | |||||
Trans-Allegheny | |||||||
Interstate Line 144A | |||||||
3.85% 6/1/25 # | 165,000 | 166,250 | |||||
79,562,459 | |||||||
Total Corporate Bonds | |||||||
(cost $1,092,888,590) | 1,039,196,179 |
Principal | |||||||
amount° | Value (US $) | ||||||
Municipal Bonds — 1.13% | |||||||
American Municipal | |||||||
Power, Ohio | |||||||
(Combined | |||||||
Hydroelectric | |||||||
Projects - Build | |||||||
America Bonds) | |||||||
Series B 8.084% | |||||||
2/15/50 | 1,500,000 | 2,488,335 | |||||
Chicago, Illinois Transit | |||||||
Authority Sales Tax | |||||||
Receipts Revenue | |||||||
(Pension Funding) | |||||||
Series A 6.899% | |||||||
12/1/40 | 1,800,000 | 2,315,862 | |||||
(Retiree Health | |||||||
Care Funding) | |||||||
Series B 6.899% | |||||||
12/1/40 | 1,800,000 | 2,315,862 | |||||
Commonwealth of | |||||||
Puerto Rico | |||||||
Series A 144A | |||||||
3.707% 6/1/22 # | 3,595,000 | 3,568,038 | |||||
Series A 144A | |||||||
5.00% 6/1/22 # | 1,965,000 | 1,982,194 | |||||
Series A 144A | |||||||
5.25% 6/1/22 # | 4,490,000 | 4,551,737 | |||||
Series A 5.25% 6/1/22 | 1,740,000 | 1,763,925 | |||||
GDB Debt Recovery | |||||||
Authority of Puerto | |||||||
Rico | |||||||
7.50% 8/20/40 | 4,156,411 | 3,907,027 | |||||
Golden State Tobacco | |||||||
Securitization | |||||||
(Senior) | |||||||
Series A1 2.587% 6/1/29 | 1,700,000 | 1,599,275 | |||||
Municipal Electric | |||||||
Authority of Georgia | |||||||
(Build America | |||||||
Bonds Plant Vogtle | |||||||
Units 3 & 4 Project) | |||||||
6.655% 4/1/57 | 1,748,000 | 2,371,774 | |||||
New Jersey | |||||||
Transportation Trust | |||||||
Fund Authority | |||||||
(Build America | |||||||
Bonds) | |||||||
Series C 5.754% | |||||||
12/15/28 | 1,590,000 | 1,754,279 |
70
Principal | |||||||
amount° | Value (US $) | ||||||
Municipal Bonds (continued) | |||||||
New York City, New | |||||||
York Transitional | |||||||
Finance Authority | |||||||
Future Tax Secured | |||||||
Revenue | |||||||
(Build America | |||||||
Bonds) Subordinate | |||||||
Series A-1 5.508% 8/1/37 | 700,000 | $ | 837,501 | ||||
New York State Urban | |||||||
Development | |||||||
(Build America | |||||||
Bonds) Series E | |||||||
5.77% 3/15/39 | 800,000 | 913,424 | |||||
Oregon State Taxable | |||||||
Pension | |||||||
5.892% 6/1/27 | 30,000 | 33,299 | |||||
Pennsylvania Higher | |||||||
Education | |||||||
Assistance Agency | |||||||
Revenue | |||||||
(Student Loans) | |||||||
Series 2006-2 A-3 0.388% | |||||||
(LIBOR03M + | |||||||
0.13%) 10/25/36 ● | 307,714 | 303,924 | |||||
South Carolina Public | |||||||
Service Authority | |||||||
(Santee Cooper) | |||||||
Series D 4.77% | |||||||
12/1/45 | 145,000 | 159,936 | |||||
West Virginia Tobacco | |||||||
Settlement Finance | |||||||
Authority | |||||||
(Class 1 Senior | |||||||
Current Interest | |||||||
Bonds) | |||||||
Series A 1.82% 6/1/26 | 250,000 | 233,520 | |||||
Series A 2.351% 6/1/28 | 300,000 | 279,282 | |||||
Series A 2.551% 6/1/29 | 300,000 | 279,375 | |||||
Series A 2.951% 6/1/31 | 500,000 | 469,385 | |||||
Total Municipal Bonds | |||||||
(cost $31,441,869) | 32,127,954 | ||||||
Non-Agency Asset-Backed Securities — 2.21% | |||||||
ABFC Trust | |||||||
Series 2006-HE1 A2D | |||||||
0.677% (LIBOR01M | |||||||
+ 0.22%, Floor | |||||||
0.22%) 1/25/37 ● | 270,675 | 177,964 | |||||
Argent Securities Trust | |||||||
Series 2006-M1 A2C | |||||||
0.757% (LIBOR01M | |||||||
+ 0.30%, Floor | |||||||
0.30%) 7/25/36 ● | 1,127,775 | 432,353 | |||||
Argent Securities Trust | |||||||
Series 2006-W4 A2C | |||||||
0.777% (LIBOR01M | |||||||
+ 0.32%, Floor | |||||||
0.32%) 5/25/36 ● | 589,085 | 178,395 | |||||
Avis Budget Rental | |||||||
Car Funding | |||||||
AESOP | |||||||
Series 2017-1A A | |||||||
144A 3.07% | |||||||
9/20/23 # | 500,000 | 501,498 | |||||
Series 2019-2A A | |||||||
144A 3.35% | |||||||
9/22/25 # | 1,660,000 | 1,665,330 | |||||
Bear Stearns Asset- | |||||||
Backed Securities I | |||||||
Trust | |||||||
Series 2005-FR1 M2 | |||||||
1.462% (LIBOR01M | |||||||
+ 1.005%, Floor | |||||||
1.005%) 6/25/35 ● | 1,153,861 | 1,144,108 | |||||
Bear Stearns Asset- | |||||||
Backed Securities | |||||||
Trust | |||||||
Series 2007-SD1 22A1 | |||||||
2.747% 10/25/36 ● | 104,665 | 66,297 | |||||
Centex Home Equity | |||||||
Loan Trust | |||||||
Series 2002-A AF6 | |||||||
5.54% 1/25/32 | 260 | 256 | |||||
CIT Mortgage Loan | |||||||
Trust | |||||||
Series 2007-1 1M1 | |||||||
144A 1.957% | |||||||
(LIBOR01M + | |||||||
1.50%, Floor 1.50%) | |||||||
10/25/37 #, ● | 3,600,000 | 3,607,466 | |||||
Citicorp Residential | |||||||
Mortgage Trust | |||||||
Series 2006-3 A5 | |||||||
4.844% 11/25/36 ● | 347,444 | 341,018 | |||||
Countrywide Asset- | |||||||
Backed Certificates | |||||||
Series 2004-3 2A | |||||||
0.857% (LIBOR01M | |||||||
+ 0.40%, Floor | |||||||
0.40%) 8/25/34 ● | 29,517 | 28,657 | |||||
Series 2006-1 AF6 | |||||||
4.52% 7/25/36 ● | 44,092 | 42,704 | |||||
Series 2006-26 2A4 | |||||||
0.677% (LIBOR01M | |||||||
+ 0.22%, Floor | |||||||
0.22%) 6/25/37 ● | 1,248,179 | 1,212,629 |
71
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Non-Agency Asset-Backed Securities (continued) | |||||||
Countrywide Asset- | |||||||
Backed Certificates | |||||||
Series 2007-6 2A4 | |||||||
0.767% (LIBOR01M | |||||||
+ 0.31%, Floor | |||||||
0.31%) 9/25/37 ● | 926,761 | $ | 857,835 | ||||
CWABS Asset-Backed | |||||||
Certificates Trust | |||||||
Series 2005-3 MV7 | |||||||
2.407% (LIBOR01M | |||||||
+ 1.95%, Floor | |||||||
1.95%) 8/25/35 ● | 4,200,000 | 4,190,594 | |||||
Series 2006-11 1AF6 | |||||||
6.15% 9/25/46 ● | 46,082 | 44,917 | |||||
Series 2006-17 2A2 | |||||||
0.607% (LIBOR01M | |||||||
+ 0.15%, Floor | |||||||
0.15%) 3/25/47 ● | 741,708 | 728,831 | |||||
DataBank Issuer | |||||||
Series 2021-1A A2 | |||||||
144A 2.06% | |||||||
2/27/51 # | 1,600,000 | 1,485,662 | |||||
Diamond Infrastructure | |||||||
Funding | |||||||
Series 2021-1A A | |||||||
144A 1.76% | |||||||
4/15/49 # | 4,700,000 | 4,255,568 | |||||
Domino's Pizza Master | |||||||
Issuer | |||||||
Series 2021-1A A2I | |||||||
144A 2.662% | |||||||
4/25/51 # | 7,344,500 | 6,809,211 | |||||
EquiFirst Mortgage | |||||||
Loan Trust | |||||||
Series 2004-2 M7 | |||||||
3.457% (LIBOR01M | |||||||
+ 3.00%, Floor | |||||||
3.00%) 10/25/34 ● | 662,361 | 676,450 | |||||
First Franklin Mortgage | |||||||
Loan Trust | |||||||
Series 2006-FF5 2A3 | |||||||
0.777% (LIBOR01M | |||||||
+ 0.32%, Floor | |||||||
0.32%) 4/25/36 ● | 687,074 | 668,278 | |||||
Fremont Home Loan | |||||||
Trust | |||||||
Series 2004-B M1 | |||||||
1.327% (LIBOR01M | |||||||
+ 0.87%, Floor | |||||||
0.87%) 5/25/34 ● | 2,111,522 | 2,053,161 | |||||
GE-WMC Mortgage | |||||||
Securities Trust | |||||||
Series 2006-1 A2B | |||||||
0.757% (LIBOR01M | |||||||
+ 0.30%, Floor | |||||||
0.30%) 8/25/36 ● | 1,744,210 | 942,255 | |||||
GSAMP Trust | |||||||
Series 2006-FM3 A2D | |||||||
0.687% (LIBOR01M | |||||||
+ 0.23%, Floor | |||||||
0.23%) 11/25/36 ● | 829,466 | 471,463 | |||||
Series 2007-SEA1 A | |||||||
144A 0.757% | |||||||
(LIBOR01M + | |||||||
0.30%, Floor 0.30%) | |||||||
12/25/36 #, ● | 546,516 | 520,951 | |||||
Hardee's Funding | |||||||
Series 2018-1A A2II | |||||||
144A 4.959% | |||||||
6/20/48 # | 482,500 | 484,892 | |||||
Home Equity Mortgage | |||||||
Loan Asset-Backed | |||||||
Trust | |||||||
Series 2007-A 2A3 | |||||||
0.697% (LIBOR01M | |||||||
+ 0.24%, Floor | |||||||
0.24%) 4/25/37 ● | 1,161,870 | 875,977 | |||||
HSI Asset | |||||||
Securitization Trust | |||||||
Series 2006-HE1 2A1 | |||||||
0.557% (LIBOR01M | |||||||
+ 0.10%, Floor | |||||||
0.10%) 10/25/36 ● | 22,735 | 10,868 | |||||
JPMorgan Chase Bank | |||||||
Series 2021-3 B | |||||||
144A 0.76% | |||||||
2/26/29 # | 1,022,566 | 993,331 | |||||
JPMorgan Mortgage | |||||||
Acquisition Trust | |||||||
Series 2006-CW2 AV5 | |||||||
0.697% (LIBOR01M | |||||||
+ 0.24%, Floor | |||||||
0.24%) 8/25/36 ● | 285,182 | 282,417 | |||||
Lendingpoint Asset | |||||||
Securitization Trust | |||||||
Series 2021-B A | |||||||
144A 1.11% | |||||||
2/15/29 # | 980,831 | 966,536 |
72
Principal | |||||||
amount° | Value (US $) | ||||||
Non-Agency Asset-Backed Securities (continued) | |||||||
Long Beach Mortgage | |||||||
Loan Trust | |||||||
Series 2006-1 2A4 | |||||||
1.057% (LIBOR01M | |||||||
+ 0.60%, Floor | |||||||
0.60%) 2/25/36 ● | 2,516,637 | $ | 2,309,562 | ||||
Series 2006-7 1A | |||||||
0.612% (LIBOR01M | |||||||
+ 0.155%, Floor | |||||||
0.155%) 8/25/36 ● | 2,417,026 | 1,395,256 | |||||
Morgan Stanley ABS | |||||||
Capital I Trust | |||||||
Series 2007-HE1 A2C | |||||||
0.607% (LIBOR01M | |||||||
+ 0.15%, Floor | |||||||
0.15%) 11/25/36 ● | 3,921,092 | 2,726,975 | |||||
Series 2007-HE5 A2D | |||||||
0.797% (LIBOR01M | |||||||
+ 0.34%, Floor | |||||||
0.34%) 3/25/37 ● | 2,882,130 | 1,478,581 | |||||
New Century Home | |||||||
Equity Loan Trust | |||||||
Series 2005-1 M2 | |||||||
1.177% (LIBOR01M | |||||||
+ 0.72%, Cap | |||||||
12.50%, Floor | |||||||
0.72%) 3/25/35 ● | 233,599 | 231,089 | |||||
Option One Mortgage | |||||||
Loan Trust | |||||||
Series 2005-1 M1 | |||||||
1.237% (LIBOR01M | |||||||
+ 0.78%, Floor | |||||||
0.78%) 2/25/35 ● | 1,278,368 | 1,256,239 | |||||
Series 2007-4 2A4 | |||||||
0.767% (LIBOR01M | |||||||
+ 0.31%, Floor | |||||||
0.31%) 4/25/37 ● | 5,103,635 | 3,446,822 | |||||
PFS Financing | |||||||
Series 2021-A A | |||||||
144A 0.71% | |||||||
4/15/26 # | 1,800,000 | 1,708,766 | |||||
RAAC Trust | |||||||
Series 2005-SP2 2A | |||||||
1.057% (LIBOR01M | |||||||
+ 0.60%, Cap | |||||||
14.00%, Floor | |||||||
0.60%) 6/25/44 ● | 212,095 | 191,552 | |||||
Sofi Professional Loan | |||||||
Program | |||||||
Series 2016-F A2 | |||||||
144A 3.02% | |||||||
2/25/40 # | 118,710 | 118,561 | |||||
Soundview Home Loan | |||||||
Trust | |||||||
Series 2006-OPT1 2A4 | |||||||
0.997% (LIBOR01M | |||||||
+ 0.54%, Floor | |||||||
0.54%) 3/25/36 ● | 151,387 | 150,673 | |||||
Structured Asset | |||||||
Investment Loan | |||||||
Trust | |||||||
Series 2003-BC2 M1 | |||||||
1.837% (LIBOR01M | |||||||
+ 1.38%, Floor | |||||||
1.38%) 4/25/33 ● | 15,777 | 15,482 | |||||
Structured Asset | |||||||
Securities Mortgage | |||||||
Loan Trust | |||||||
Series 2006-BC1 A6 | |||||||
0.727% (LIBOR01M | |||||||
+ 0.27%, Floor | |||||||
0.27%) 3/25/36 ● | 1,119,616 | 1,061,263 | |||||
Series 2006-BC2 A1 | |||||||
0.612% (LIBOR01M | |||||||
+ 0.155%, Floor | |||||||
0.155%) 9/25/36 ● | 3,277,915 | 2,476,212 | |||||
Towd Point Mortgage | |||||||
Trust | |||||||
Series 2017-1 A1 | |||||||
144A 2.75% | |||||||
10/25/56 #, ● | 238,309 | 238,305 | |||||
Series 2017-2 A1 | |||||||
144A 2.75% | |||||||
4/25/57 #, ● | 29,296 | 29,312 | |||||
Series 2017-4 M1 | |||||||
144A 3.25% | |||||||
6/25/57 #, ● | 615,000 | 593,069 | |||||
Series 2018-1 A1 | |||||||
144A 3.00% | |||||||
1/25/58 #, ● | 207,915 | 207,157 | |||||
Series 2019-4 A1 | |||||||
144A 2.90% | |||||||
10/25/59 #, ● | 6,488,748 | 6,371,234 | |||||
Total Non-Agency Asset-Backed Securities | |||||||
(cost $65,403,313) | 62,723,982 | ||||||
Non-Agency Collateralized Mortgage Obligations — 1.69% | |||||||
Alternative Loan Trust | |||||||
Resecuritization | |||||||
Series 2008-2R 3A1 | |||||||
6.00% 8/25/37 ● | 832,929 | 554,158 | |||||
ARM Mortgage Trust | |||||||
Series 2005-10 3A31 | |||||||
2.597% 1/25/36 ● | 75,305 | 71,184 | |||||
Series 2006-2 1A4 | |||||||
3.194% 5/25/36 ● | 359,692 | 344,623 |
73
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||||
Banc of America | |||||||
Funding Trust | |||||||
Series 2005-E 7A1 | |||||||
1.653% (COF 11 + | |||||||
1.43%, Floor 1.43%) | |||||||
6/20/35 ● | 67,679 | $ | 58,299 | ||||
Series 2006-I 1A1 | |||||||
2.125% 12/20/36 ● | 99,026 | 100,964 | |||||
Banc of America | |||||||
Mortgage Trust | |||||||
Series 2003-D 2A1 | |||||||
3.675% 5/25/33 ● | 34,954 | 36,397 | |||||
Bear Stearns ARM | |||||||
Trust | |||||||
Series 2003-5 2A1 | |||||||
2.594% 8/25/33 ● | 16,412 | 16,366 | |||||
Chase Mortgage | |||||||
Finance Trust | |||||||
Series 2005-A1 3A1 | |||||||
2.878% 12/25/35 ● | 42,846 | 40,504 | |||||
CHL Mortgage Pass | |||||||
Through Trust | |||||||
Series 2007-4 1A1 | |||||||
6.00% 5/25/37 ◆ | 693,956 | 406,238 | |||||
Connecticut Avenue | |||||||
Securities Trust | |||||||
Series 2018-R07 1M2 | |||||||
144A 2.857% | |||||||
(LIBOR01M + | |||||||
2.40%) 4/25/31 #, ● | 139,852 | 139,852 | |||||
Series 2019-R01 2M2 | |||||||
144A 2.907% | |||||||
(LIBOR01M + | |||||||
2.45%) 7/25/31 #, ● | 89,172 | 89,394 | |||||
Series 2019-R02 1M2 | |||||||
144A 2.757% | |||||||
(LIBOR01M + | |||||||
2.30%, Floor 2.30%) | |||||||
8/25/31 #, ● | 385,959 | 385,959 | |||||
Series 2019-R07 1M2 | |||||||
144A 2.557% | |||||||
(LIBOR01M + | |||||||
2.10%) 10/25/39 #, ● | 506,394 | 506,394 | |||||
Series 2020-R01 1M2 | |||||||
144A 2.507% | |||||||
(LIBOR01M + | |||||||
2.05%, Floor 2.05%) | |||||||
1/25/40 #, ● | 1,008,647 | 1,007,436 | |||||
Series 2022-R01 1M2 | |||||||
144A 1.999% | |||||||
(SOFR + 1.90%) | |||||||
12/25/41 #, ● | 1,500,000 | 1,430,498 | |||||
Connecticut Avenue | |||||||
Securities Trust | |||||||
Series 2022-R02 2M2 | |||||||
144A 3.099% | |||||||
(SOFR + 3.00%) | |||||||
1/25/42 #, ● | 900,000 | 878,563 | |||||
CSMC Mortgage- | |||||||
Backed Trust | |||||||
Series 2005-1R 2A5 | |||||||
144A 5.75% | |||||||
12/26/35 # | 561,820 | 461,095 | |||||
Series 2007-1 5A14 | |||||||
6.00% 2/25/37 | 150,347 | 117,196 | |||||
Series 2007-3 4A6 | |||||||
0.707% (LIBOR01M | |||||||
+ 0.25%, Cap | |||||||
7.00%, Floor 0.25%) | |||||||
4/25/37 ● | 88,266 | 74,870 | |||||
Series 2007-3 4A12 | |||||||
6.293% (6.75% | |||||||
minus LIBOR01M, | |||||||
Cap 6.75%) | |||||||
4/25/37 Σ, ● | 88,266 | 16,280 | |||||
Series 2007-3 4A15 | |||||||
5.50% 4/25/37 | 39,193 | 36,156 | |||||
Flagstar Mortgage | |||||||
Trust | |||||||
Series 2021-2 A6 | |||||||
144A 2.50% | |||||||
4/25/51 #, ● | 879,916 | 840,932 | |||||
GMACM Mortgage | |||||||
Loan Trust | |||||||
Series 2006-J1 A1 | |||||||
5.75% 4/25/36 | 18,815 | 18,016 | |||||
GS Mortgage-Backed | |||||||
Securities Trust | |||||||
Series 2021-PJ4 A8 | |||||||
144A 2.50% | |||||||
9/25/51 #, ● | 2,322,060 | 2,211,118 | |||||
Series 2021-PJ7 A2 | |||||||
144A 2.50% | |||||||
1/25/52 #, ● | 2,348,795 | 2,173,686 | |||||
GSR Mortgage Loan | |||||||
Trust | |||||||
Series 2007-AR1 2A1 | |||||||
2.741% 3/25/47 ● | 394,081 | 294,023 | |||||
JPMorgan Alternative | |||||||
Loan Trust | |||||||
Series 2007-A2 11A1 | |||||||
0.817% (LIBOR01M | |||||||
+ 0.36%, Cap | |||||||
11.50%, Floor | |||||||
0.36%) 6/25/37 ● | 3,162,584 | 2,105,157 |
74
Principal | |||||||||
amount° | Value (US $) | ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||||||
JPMorgan Mortgage | |||||||||
Trust | |||||||||
Series 2006-A6 2A4L | |||||||||
2.898% 10/25/36 ● | 192,475 | $ | 170,533 | ||||||
Series 2006-A7 2A2 | |||||||||
3.114% 1/25/37 ● | 37,966 | 35,167 | |||||||
Series 2007-A1 6A1 | |||||||||
2.614% 7/25/35 ● | 45,318 | 45,878 | |||||||
Series 2014-2 B1 | |||||||||
144A 3.419% | |||||||||
6/25/29 #, ● | 22,495 | 21,860 | |||||||
Series 2014-2 B2 | |||||||||
144A 3.419% | |||||||||
6/25/29 #, ● | 22,495 | 21,770 | |||||||
Series 2015-4 B1 | |||||||||
144A 3.57% | |||||||||
6/25/45 #, ● | 519,586 | 508,165 | |||||||
Series 2015-4 B2 | |||||||||
144A 3.57% | |||||||||
6/25/45 #, ● | 222,071 | 216,599 | |||||||
Series 2015-5 B2 | |||||||||
144A 2.266% | |||||||||
5/25/45 #, ● | 464,204 | 464,250 | |||||||
Series 2015-6 B1 | |||||||||
144A 3.532% | |||||||||
10/25/45 #, ● | 203,215 | 201,666 | |||||||
Series 2015-6 B2 | |||||||||
144A 3.532% | |||||||||
10/25/45 #, ● | 197,722 | 195,901 | |||||||
Series 2016-4 B1 | |||||||||
144A 3.808% | |||||||||
10/25/46 #, ● | 190,483 | 188,329 | |||||||
Series 2016-4 B2 | |||||||||
144A 3.808% | |||||||||
10/25/46 #, ● | 347,279 | 342,470 | |||||||
Series 2017-1 B3 | |||||||||
144A 3.46% | |||||||||
1/25/47 #, ● | 875,714 | 850,202 | |||||||
Series 2017-2 A3 | |||||||||
144A 3.50% | |||||||||
5/25/47 # | 57,738 | 56,530 | |||||||
Series 2020-2 A3 | |||||||||
144A 3.50% | |||||||||
7/25/50 #, ● | 179,292 | 177,716 | |||||||
Series 2020-5 A3 | |||||||||
144A 3.00% | |||||||||
12/25/50 #, ● | 957,338 | 939,516 | |||||||
Series 2020-7 A3 | |||||||||
144A 3.00% | |||||||||
1/25/51 # | 523,809 | 511,459 | |||||||
Series 2021-1 A3 | |||||||||
144A 2.50% | |||||||||
6/25/51 #, ● | 761,899 | 706,414 | |||||||
JPMorgan Mortgage | |||||||||
Trust | |||||||||
Series 2021-10 A3 | |||||||||
144A 2.50% | |||||||||
12/25/51 #, ● | 1,586,736 | 1,461,370 | |||||||
Series 2021-13 B1 | |||||||||
144A 3.15% | |||||||||
4/25/52 #, ● | 1,972,861 | 1,798,740 | |||||||
Lehman Mortgage | |||||||||
Trust | |||||||||
Series 2007-10 2A2 | |||||||||
6.50% 1/25/38 | 1,187,436 | 558,414 | |||||||
Ludgate Funding | |||||||||
Series 2006-1X A2A | |||||||||
1.056% (BP0003M | |||||||||
+ 0.19%) 12/1/60 ● | GBP | 1,141,952 | 1,438,461 | ||||||
Series 2008-W1X A1 | |||||||||
1.638% (BP0003M | |||||||||
+ 0.60%) 1/1/61 ● | GBP | 495,510 | 636,443 | ||||||
Mansard Mortgages | |||||||||
Series 2007-1X A2 | |||||||||
0.387% (SONIA3M | |||||||||
+ 0.299%) 4/15/47 ● | GBP | 520,216 | 658,642 | ||||||
MASTR Alternative | |||||||||
Loan Trust | |||||||||
Series 2004-3 8A1 | |||||||||
7.00% 4/25/34 | 1,183 | 1,177 | |||||||
Series 2004-5 6A1 | |||||||||
7.00% 6/25/34 | 18,157 | 18,257 | |||||||
MASTR ARM Trust | |||||||||
Series 2004-4 4A1 | |||||||||
2.274% 5/25/34 ● | 35,560 | 35,345 | |||||||
Merrill Lynch Mortgage | |||||||||
Investors Trust | |||||||||
Series 2004-A1 2A2 | |||||||||
2.294% 2/25/34 ● | 2,025 | 2,051 | |||||||
Morgan Stanley | |||||||||
Residential | |||||||||
Mortgage Loan | |||||||||
Trust | |||||||||
Series 2020-1 A2A | |||||||||
144A 2.50% | |||||||||
12/25/50 #, ● | 779,895 | 720,848 | |||||||
Series 2021-1 A2 | |||||||||
144A 2.50% | |||||||||
3/25/51 #, ● | 719,803 | 668,113 | |||||||
Series 2021-4 A3 | |||||||||
144A 2.50% | |||||||||
7/25/51 #, ● | 792,088 | 735,207 |
75
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||||||
New Residential | |||||||||
Mortgage Loan | |||||||||
Trust | |||||||||
Series 2018-RPL1 A1 | |||||||||
144A 3.50% | |||||||||
12/25/57 #, ● | 154,539 | $ | 154,840 | ||||||
Series 2019-RPL3 A1 | |||||||||
144A 2.75% | |||||||||
7/25/59 #, ● | 3,671,481 | 3,589,492 | |||||||
RALI Series Trust | |||||||||
Series 2007-QA5 2A1 | |||||||||
5.858% 9/25/37 ● | 2,108,934 | 1,749,224 | |||||||
Series 2007-QH8 A | |||||||||
1.016% 10/25/37 ● | 1,249,384 | 1,212,120 | |||||||
RCKT Mortgage Trust | |||||||||
Series 2021-1 A1 | |||||||||
144A 2.50% | |||||||||
3/25/51 #, ● | 788,813 | 730,876 | |||||||
Series 2021-6 A1 | |||||||||
144A 2.50% | |||||||||
12/25/51 #, ● | 1,631,135 | 1,511,330 | |||||||
Reperforming Loan | |||||||||
REMIC Trust | |||||||||
Series 2006-R1 AF1 | |||||||||
144A 0.797% | |||||||||
(LIBOR01M + | |||||||||
0.34%, Cap 9.50%, | |||||||||
Floor 0.34%) | |||||||||
1/25/36 #, ● | 590,577 | 586,470 | |||||||
Sequoia Mortgage | |||||||||
Trust | |||||||||
Series 2004-5 A3 | |||||||||
0.872% (LIBOR06M | |||||||||
+ 0.56%, Cap | |||||||||
11.50%, Floor | |||||||||
0.56%) 6/20/34 ● | 93,701 | 91,769 | |||||||
Series 2007-1 4A1 | |||||||||
2.837% 9/20/46 ● | 242,222 | 182,651 | |||||||
Series 2015-1 B2 | |||||||||
144A 3.916% | |||||||||
1/25/45 #, ● | 147,355 | 146,298 | |||||||
Series 2017-5 B2 | |||||||||
144A 3.803% | |||||||||
8/25/47 #, ● | 2,940,539 | 2,859,852 | |||||||
Series 2019-CH1 A1 | |||||||||
144A 4.50% | |||||||||
3/25/49 #, ● | 4,706 | 4,698 | |||||||
Series 2020-4 A2 | |||||||||
144A 2.50% | |||||||||
11/25/50 #, ● | 646,783 | 613,899 | |||||||
Structured ARM Loan | |||||||||
Trust | |||||||||
Series 2006-1 7A4 | |||||||||
2.827% 2/25/36 ● | 118,160 | 110,600 | |||||||
Structured Asset | |||||||||
Mortgage | |||||||||
Investments II Trust | |||||||||
Series 2005-AR5 A2 | |||||||||
0.949% (LIBOR01M | |||||||||
+ 0.50%, Cap | |||||||||
11.00%, Floor | |||||||||
0.50%) 7/19/35 ● | 135,566 | 130,432 | |||||||
Trinity Square | |||||||||
Series 2021-1A A | |||||||||
144A 0.936% | |||||||||
(SONIA3M + 0.85%) | |||||||||
7/15/59 #, ● | GBP | 3,536,508 | 4,643,337 | ||||||
WaMu Mortgage Pass | |||||||||
Through Certificates | |||||||||
Trust | |||||||||
Series 2005-AR16 1A3 | |||||||||
2.671% | |||||||||
12/25/35 ◆, ● | 181,466 | 182,873 | |||||||
Series 2007-HY1 3A3 | |||||||||
3.11% 2/25/37 ◆, ● | 125,366 | 122,799 | |||||||
Series 2007-HY7 4A1 | |||||||||
3.178% | |||||||||
7/25/37 ◆, ● | 242,838 | 242,872 | |||||||
Wells Fargo Mortgage- | |||||||||
Backed Securities | |||||||||
Trust | |||||||||
Series 2006-AR11 A6 | |||||||||
2.84% 8/25/36 ● | 122,815 | 119,561 | |||||||
Series 2020-1 A1 | |||||||||
144A 3.00% | |||||||||
12/25/49 #, ● | 154,607 | 152,702 | |||||||
Total Non-Agency Collateralized Mortgage | |||||||||
Obligations | |||||||||
(cost $51,922,107) | 47,941,546 | ||||||||
Non-Agency Commercial Mortgage-Backed Securities — 4.97% | |||||||||
BANK | |||||||||
Series 2017-BNK5 B | |||||||||
3.896% 6/15/60 ● | 605,000 | 597,249 | |||||||
Series 2017-BNK7 A5 | |||||||||
3.435% 9/15/60 | 710,000 | 712,636 | |||||||
Series 2019-BN20 A3 | |||||||||
3.011% 9/15/62 | 8,000,000 | 7,803,771 | |||||||
Series 2019-BN21 A5 | |||||||||
2.851% 10/17/52 | 2,100,000 | 2,027,680 | |||||||
Series 2019-BN23 A3 | |||||||||
2.92% 12/15/52 | 2,550,000 | 2,470,857 | |||||||
Series 2022-BNK39 A4 | |||||||||
2.928% 2/15/55 | 2,784,000 | 2,685,883 | |||||||
Series 2022-BNK39 B | |||||||||
3.239% 2/15/55 ● | 532,000 | 503,750 | |||||||
Series 2022-BNK39 C | |||||||||
3.27% 2/15/55 ● | 797,000 | 742,594 |
76
Principal | |||||||
amount° | Value (US $) | ||||||
Non-Agency Commercial Mortgage-Backed | |||||||
Securities (continued) | |||||||
BANK | |||||||
Series 2022-BNK40 B | |||||||
3.507% 3/15/64 ● | 1,800,000 | $ | 1,753,861 | ||||
Benchmark Mortgage | |||||||
Trust | |||||||
Series 2020-B17 A5 | |||||||
2.289% 3/15/53 | 3,460,000 | 3,196,725 | |||||
Series 2020-B20 A5 | |||||||
2.034% 10/15/53 | 10,650,000 | 9,605,837 | |||||
Series 2020-B21 A5 | |||||||
1.978% 12/17/53 | 1,300,000 | 1,165,323 | |||||
Series 2020-B22 A5 | |||||||
1.973% 1/15/54 | 2,050,000 | 1,836,813 | |||||
Series 2021-B24 A5 | |||||||
2.584% 3/15/54 | 6,790,000 | 6,381,535 | |||||
Series 2021-B25 A5 | |||||||
2.577% 4/15/54 | 5,550,000 | 5,213,327 | |||||
Series 2021-B29 A5 | |||||||
2.388% 9/15/54 | 6,000,000 | 5,544,592 | |||||
Series 2022-B32 B | |||||||
3.202% 1/15/55 ● | 1,800,000 | 1,672,213 | |||||
Series 2022-B32 C | |||||||
3.455% 1/15/55 ● | 2,200,000 | 2,044,058 | |||||
Series 2022-B33 B | |||||||
3.736% 3/15/55 ● | 900,000 | 880,173 | |||||
Series 2022-B33 C | |||||||
3.736% 3/15/55 ● | 900,000 | 850,675 | |||||
BMO Mortgage Trust | |||||||
Series 2022-C1 A5 | |||||||
3.374% 2/15/55 | 600,000 | 596,578 | |||||
Cantor Commercial | |||||||
Real Estate Lending | |||||||
Series 2019-CF1 A5 | |||||||
3.786% 5/15/52 | 2,340,000 | 2,377,312 | |||||
Series 2019-CF2 A5 | |||||||
2.874% 11/15/52 | 4,000,000 | 3,853,235 | |||||
Series 2019-CF3 A4 | |||||||
3.006% 1/15/53 | 800,000 | 771,841 | |||||
CD Mortgage Trust | |||||||
Series 2017-CD6 B | |||||||
3.911% 11/13/50 ● | 440,000 | 432,214 | |||||
Series 2019-CD8 A4 | |||||||
2.912% 8/15/57 | 8,775,000 | 8,460,549 | |||||
CFCRE Commercial | |||||||
Mortgage Trust | |||||||
Series 2016-C7 A3 | |||||||
3.839% 12/10/54 | 3,100,000 | 3,145,665 | |||||
Citigroup Commercial | |||||||
Mortgage Trust | |||||||
Series 2014-GC25 A4 | |||||||
3.635% 10/10/47 | 785,000 | 787,523 | |||||
Mortgage Trust | |||||||
Series 2015-GC27 A5 | |||||||
3.137% 2/10/48 | 1,400,000 | 1,390,658 | |||||
Series 2016-P3 A4 | |||||||
3.329% 4/15/49 | 1,305,000 | 1,300,514 | |||||
Series 2017-C4 A4 | |||||||
3.471% 10/12/50 | 635,000 | 635,627 | |||||
Series 2019-C7 A4 | |||||||
3.102% 12/15/72 | 7,455,000 | 7,284,230 | |||||
COMM Mortgage Trust | |||||||
Series 2013-WWP A2 | |||||||
144A 3.424% | |||||||
3/10/31 # | 1,100,000 | 1,109,927 | |||||
Series 2014-CR20 AM | |||||||
3.938% 11/10/47 | 2,225,000 | 2,216,768 | |||||
Series 2015-3BP A | |||||||
144A 3.178% | |||||||
2/10/35 # | 605,000 | 594,492 | |||||
Series 2015-CR23 A4 | |||||||
3.497% 5/10/48 | 780,000 | 782,389 | |||||
Series 2016-CR28 A4 | |||||||
3.762% 2/10/49 | 2,330,000 | 2,358,417 | |||||
DB-JPM Mortgage | |||||||
Trust | |||||||
Series 2016-C1 A4 | |||||||
3.276% 5/10/49 | 900,000 | 897,232 | |||||
GS Mortgage | |||||||
Securities Trust | |||||||
Series 2017-GS5 A4 | |||||||
3.674% 3/10/50 | 1,280,000 | 1,290,226 | |||||
Series 2017-GS6 A3 | |||||||
3.433% 5/10/50 | 1,935,000 | 1,931,231 | |||||
Series 2019-GC39 A4 | |||||||
3.567% 5/10/52 | 1,250,000 | 1,257,661 | |||||
Series 2019-GC42 A4 | |||||||
3.001% 9/1/52 | 5,000,000 | 4,860,262 | |||||
Series 2020-GC47 A5 | |||||||
2.377% 5/12/53 | 3,716,000 | 3,447,144 | |||||
JPM-BB Commercial | |||||||
Mortgage Securities | |||||||
Trust | |||||||
Series 2015-C31 A3 | |||||||
3.801% 8/15/48 | 8,763,866 | 8,797,907 | |||||
JPM-DB Commercial | |||||||
Mortgage Securities | |||||||
Trust | |||||||
Series 2016-C2 A4 | |||||||
3.144% 6/15/49 | 1,640,000 | 1,627,702 | |||||
Series 2016-C4 A3 | |||||||
3.141% 12/15/49 | 1,065,000 | 1,057,283 | |||||
Series 2017-C7 A5 | |||||||
3.409% 10/15/50 | 2,395,000 | 2,399,619 |
77
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Non-Agency Commercial Mortgage-Backed | |||||||
Securities (continued) | |||||||
JPMorgan Chase | |||||||
Commercial | |||||||
Mortgage Securities | |||||||
Trust | |||||||
Series 2013-LC11 B | |||||||
3.499% 4/15/46 | 355,000 | $ | 352,504 | ||||
Series 2016-JP2 AS | |||||||
3.056% 8/15/49 | 1,250,000 | 1,211,601 | |||||
Morgan Stanley Bank | |||||||
of America Merrill | |||||||
Lynch Trust | |||||||
Series 2015-C26 A5 | |||||||
3.531% 10/15/48 | 960,000 | 965,496 | |||||
Series 2015-C27 ASB | |||||||
3.557% 12/15/47 | 1,572,601 | 1,586,759 | |||||
Series 2016-C29 A4 | |||||||
3.325% 5/15/49 | 1,445,000 | 1,434,759 | |||||
Morgan Stanley | |||||||
Capital I Trust | |||||||
Series 2019-L3 A4 | |||||||
3.127% 11/15/52 | 1,000,000 | 972,374 | |||||
Series 2020-HR8 A4 | |||||||
2.041% 7/15/53 | 4,415,000 | 3,987,470 | |||||
UBS-Barclays | |||||||
Commercial | |||||||
Mortgage Trust | |||||||
Series 2013-C5 B | |||||||
144A 3.649% | |||||||
3/10/46 #, ● | 480,000 | 473,613 | |||||
VMC Finance | |||||||
Series 2021-FL4 A | |||||||
144A 1.568% | |||||||
(LIBOR01M + | |||||||
1.10%, Floor 1.10%) | |||||||
6/16/36 #, ● | 1,874,373 | 1,841,662 | |||||
Wells Fargo | |||||||
Commercial | |||||||
Mortgage Trust | |||||||
Series 2014-LC18 A5 | |||||||
3.405% 12/15/47 | 275,000 | 275,145 | |||||
Series 2015-NXS3 A4 | |||||||
3.617% 9/15/57 | 510,000 | 513,347 | |||||
Series 2016-BNK1 A3 | |||||||
2.652% 8/15/49 | 1,220,000 | 1,183,933 | |||||
Series 2017-C38 A5 | |||||||
3.453% 7/15/50 | 905,000 | 908,232 | |||||
Series 2020-C58 A4 | |||||||
2.092% 7/15/53 | 2,300,000 | 2,077,464 | |||||
Total Non-Agency Commercial Mortgage- | |||||||
Backed Securities | |||||||
(cost $150,259,034) | 141,138,117 | ||||||
Loan Agreements – 3.53% | |||||||
Acrisure 1st Lien | |||||||
4.75% (LIBOR01M | |||||||
+ 4.25%) 2/15/27 ● | 299,250 | 298,502 | |||||
Acrisure Tranche B | |||||||
3.957% (LIBOR01M | |||||||
+ 3.50%) 2/15/27 ● | 407,224 | 401,726 | |||||
Advantage Sales & | |||||||
Marketing Tranche | |||||||
B-1 5.25% | |||||||
(LIBOR03M + | |||||||
4.50%) 10/28/27 ● | 702,904 | 697,808 | |||||
Amentum Government | |||||||
Services Holdings | |||||||
Tranche 3 4.647% | |||||||
(SOFR01M + | |||||||
3.00%) 2/15/29 ● | 6,445,000 | 6,410,087 | |||||
Applied Systems 1st | |||||||
Lien 3.763% | |||||||
(LIBOR03M + | |||||||
3.00%) 9/19/24 ● | 837,656 | 833,317 | |||||
Applied Systems 2nd | |||||||
Lien 6.378% | |||||||
(LIBOR03M + | |||||||
5.50%) 9/19/25 ● | 2,087,212 | 2,081,343 | |||||
Aramark Services | |||||||
Tranche B-3 2.207% | |||||||
(LIBOR01M + | |||||||
1.75%) 3/11/25 ● | 359,075 | 353,240 | |||||
Aramark Services | |||||||
Tranche B-5 2.957% | |||||||
(LIBOR01M + | |||||||
2.50%) 4/6/28 ● | 377,049 | 372,964 | |||||
Aruba Investments | |||||||
Holdings 1st Lien | |||||||
4.50% (LIBOR03M | |||||||
+ 3.75%) 11/24/27 ● | 351,459 | 347,505 | |||||
Aruba Investments | |||||||
Holdings 2nd Lien | |||||||
4.50% (LIBOR03M | |||||||
+ 7.75%) 11/24/28 ● | 355,000 | 353,225 | |||||
AssuredPartners | |||||||
3.833% (LIBOR01M | |||||||
+ 3.50%) 2/12/27 ● | 935,895 | 926,097 | |||||
Avantor Funding | |||||||
Tranche B-5 2.75% | |||||||
(LIBOR01M + | |||||||
2.25%) 11/8/27 ● | 826,671 | 821,676 | |||||
Bausch Health 3.457% | |||||||
(LIBOR01M + | |||||||
3.00%) 6/2/25 ● | 213,250 | 211,851 | |||||
Bausch Health | |||||||
Tranche B TBD | |||||||
1/27/27 X | 385,000 | 381,941 |
78
Principal | |||||||
amount° | Value (US $) | ||||||
Loan Agreements (continued) | |||||||
Berry Global Tranche Z | |||||||
2.071% (LIBOR01M | |||||||
+ 1.75%) 7/1/26 ● | 617,900 | $ | 610,005 | ||||
Boxer Parent 4.756% | |||||||
(LIBOR03M + | |||||||
3.75%) 10/2/25 ● | 335,594 | 333,993 | |||||
BW Gas & | |||||||
Convenience Holdings | |||||||
Tranche B 4.00% | |||||||
(LIBOR01M + | |||||||
3.50%) 3/31/28 ● | 1,047,088 | 1,035,308 | |||||
BWay Holding 3.481% | |||||||
(LIBOR01M + | |||||||
3.25%) 4/3/24 ● | 153,175 | 151,356 | |||||
Caesars Resort | |||||||
Collection | |||||||
Tranche B 3.207% | |||||||
(LIBOR01M + | |||||||
2.75%) 12/23/24 ● | 1,976,273 | 1,968,862 | |||||
Caesars Resort | |||||||
Collection | |||||||
Tranche B-1 3.957% | |||||||
(LIBOR01M + | |||||||
3.50%) 7/21/25 ● | 1,871,515 | 1,863,716 | |||||
Calpine | |||||||
2.46% (LIBOR01M | |||||||
+ 2.00%) 4/5/26 ● | 243,125 | 240,086 | |||||
2.96% (LIBOR01M | |||||||
+ 2.50%) 12/16/27 ● | 255,589 | 254,012 | |||||
Camelot US | |||||||
Acquisition l 4.00% | |||||||
(LIBOR01M + | |||||||
3.00%) 10/30/26 ● | 641,875 | 636,900 | |||||
Carnival Tranche B | |||||||
3.75% (LIBOR03M | |||||||
+ 3.00%) 6/30/25 ● | 489,707 | 478,199 | |||||
Castlelake Aviation | |||||||
One DAC 3.576% | |||||||
(LIBOR03M + | |||||||
2.75%) 10/22/26 ● | 537,300 | 524,539 | |||||
CenturyLink Tranche B | |||||||
2.707% (LIBOR01M | |||||||
+ 2.25%) 3/15/27 ● | 984,887 | 960,418 | |||||
Change Healthcare | |||||||
Holdings 3.50% | |||||||
(LIBOR01M + | |||||||
2.50%) 3/1/24 ● | 171,021 | 170,319 | |||||
Charter | |||||||
Communications | |||||||
Operating | |||||||
Tranche B2 2.21% | |||||||
(LIBOR01M + | |||||||
1.75%) 2/1/27 ● | 478,715 | 475,274 | |||||
Chemours Tranche B-2 | |||||||
2.085% (LIBOR01M | |||||||
+ 1.75%) 4/3/25 ● | 822,785 | 804,478 | |||||
Connect US Finco | |||||||
4.50% (LIBOR01M | |||||||
+ 3.50%) 12/11/26 ● | 636,020 | 631,515 | |||||
Core & Main | |||||||
Tranche B-1 2.947% | |||||||
(LIBOR01M + | |||||||
2.50%) 7/27/28 ● | 534,233 | 528,974 | |||||
CSC Holdings | |||||||
2.647% (LIBOR01M | |||||||
+ 2.25%) 7/17/25 ● | 309,563 | 305,306 | |||||
2.897% (LIBOR01M | |||||||
+ 2.50%) 4/15/27 ● | 285,486 | 281,133 | |||||
DaVita Tranche B-1 | |||||||
2.207% (LIBOR01M | |||||||
+ 1.75%) 8/12/26 ● | 788,821 | 783,849 | |||||
Delta Air Lines 4.75% | |||||||
(LIBOR03M + | |||||||
3.75%) 10/20/27 ● | 500,000 | 517,656 | |||||
Ecovyst Catalyst | |||||||
Technologies 3.25% | |||||||
(LIBOR03M + | |||||||
2.50%) 6/9/28 ● | 406,925 | 402,754 | |||||
EFS Cogen Holdings I | |||||||
Tranche B 4.51% | |||||||
(LIBOR03M + | |||||||
3.50%) 10/1/27 ● | 465,156 | 454,690 | |||||
Electron Bidco 3.75% | |||||||
(LIBOR01M + | |||||||
3.25%) 11/1/28 ● | 500,000 | 495,375 | |||||
Ensemble RCM | |||||||
4.049% (LIBOR03M | |||||||
+ 3.75%) 8/3/26 ● | 358,800 | 357,903 | |||||
Entegris Tranche B | |||||||
TBD 3/2/29 X | 2,770,000 | 2,764,806 | |||||
Epicor Software 2nd | |||||||
Lien 8.75% | |||||||
(LIBOR01M + | |||||||
7.75%) 7/31/28 ● | 735,000 | 752,640 | |||||
Epicor Software | |||||||
Tranche C 4.00% | |||||||
(LIBOR01M + | |||||||
4.25%) 7/30/27 ● | 1,314,975 | 1,306,233 | |||||
Fertitta Entertainment | |||||||
Tranche B 4.50% | |||||||
(SOFR01M + | |||||||
4.00%) 1/26/29 ● | 987,567 | 983,359 | |||||
Frontier | |||||||
Communications | |||||||
Tranche B 4.813% | |||||||
(LIBOR03M + | |||||||
3.75%) 5/1/28 ● | 1,732,500 | 1,707,379 |
79
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||
amount° | Value (US $) | ||||||
Loan Agreements (continued) | |||||||
Gainwell Acquisition | |||||||
Tranche B 4.878% | |||||||
(LIBOR03M + | |||||||
4.00%) 10/1/27 ● | 1,194,875 | $ | 1,190,394 | ||||
Garda World Security | |||||||
Tranche B-2 4.71% | |||||||
(LIBOR01M + | |||||||
4.25%) 10/30/26 ● | 191,971 | 190,531 | |||||
Global Medical | |||||||
Response 5.25% | |||||||
(LIBOR03M + | |||||||
4.25%) 10/2/25 ● | 1,161,252 | 1,155,446 | |||||
Granite US Holdings | |||||||
Tranche B 4.656% | |||||||
(LIBOR01M + | |||||||
4.00%) 9/30/26 ● | 134,858 | 133,847 | |||||
Gray Television | |||||||
Tranche B-2 2.731% | |||||||
(LIBOR01M + | |||||||
2.50%) 2/7/24 ● | 1,018,322 | 1,013,761 | |||||
Hamilton Projects | |||||||
Acquiror 5.506% | |||||||
(LIBOR03M + | |||||||
4.50%) 6/17/27 ● | 912,933 | 898,481 | |||||
Heartland Dental | |||||||
3.957% (LIBOR01M | |||||||
+ 3.50%) 4/30/25 ● | 822,197 | 814,318 | |||||
4.447% (LIBOR01M | |||||||
+ 4.00%) 4/30/25 ● | 456,550 | 454,125 | |||||
Hexion Holdings 1st | |||||||
Lien 5.00% | |||||||
(SOFR01M + | |||||||
4.50%) 3/15/29 ● | 2,315,000 | 2,270,147 | |||||
Hilton Grand Vacations | |||||||
Borrower 3.50% | |||||||
(LIBOR01M + | |||||||
3.00%) 8/2/28 ● | 995,000 | 990,492 | |||||
Hilton Worldwide | |||||||
Finance | |||||||
Tranche B-2 2.207% | |||||||
(LIBOR01M + | |||||||
1.75%) 6/22/26 ● | 1,172,387 | 1,161,070 | |||||
HUB International | |||||||
3.017% (LIBOR03M | |||||||
+ 2.75%) 4/25/25 ● | 355,680 | 352,103 | |||||
Informatica 3.125% | |||||||
(LIBOR01M + | |||||||
2.75%) 10/27/28 ● | 635,000 | 628,650 | |||||
IQVIA Tranche B-3 | |||||||
2.756% (LIBOR03M | |||||||
+ 1.75%) 6/11/25 ● | 502,707 | 499,408 | |||||
IRB Holding Tranche B | |||||||
3.75% (SOFR03M + | |||||||
3.00%) 12/15/27 ● | 3,569,472 | 3,536,009 | |||||
JBS USA LUX 2.804% | |||||||
(LIBOR03M + | |||||||
2.00%) 5/1/26 ● | 160,050 | 158,850 | |||||
Kenan Advantage | |||||||
Group Tranche B | |||||||
4.50% (LIBOR03M | |||||||
+ 3.75%) 3/24/26 ● | 459,188 | 453,907 | |||||
Loyalty Ventures | |||||||
Tranche B 5.00% | |||||||
(LIBOR01M + | |||||||
4.50%) 11/3/27 ● | 122,656 | 120,126 | |||||
LSF9 Atlantis Holdings | |||||||
Tranche B TBD | |||||||
3/31/29 X | 1,800,000 | 1,776,001 | |||||
Medrisk 1st Lien | |||||||
4.50% (LIBOR01M | |||||||
+ 3.75%) 5/10/28 ● | 487,550 | 483,132 | |||||
Michaels Tranche B | |||||||
5.256% (LIBOR03M | |||||||
+ 4.25%) 4/15/28 ● | 1,204 | 1,129 | |||||
Mileage Plus Holdings | |||||||
6.25% (LIBOR03M | |||||||
+ 5.25%) 6/21/27 ● | 1,000,000 | 1,041,875 | |||||
MPH | |||||||
Acquisition Holdings | |||||||
4.758% (LIBOR03M | |||||||
+ 4.25%) 9/1/28 ● | 1,791,000 | 1,744,545 | |||||
Numericable US | |||||||
Tranche B-11 | |||||||
3.049% (LIBOR03M | |||||||
+ 2.75%) 7/31/25 ● | 344,611 | 336,427 | |||||
Numericable US | |||||||
Tranche B-13 | |||||||
4.506% (LIBOR01M | |||||||
+ 4.00%) 8/14/26 ● | 130,613 | 128,368 | |||||
Olympus Water US | |||||||
Holding 4.813% | |||||||
(LIBOR03M + | |||||||
3.75%) 11/9/28 ● | 573,563 | 560,145 | |||||
ON Semiconductor | |||||||
Tranche B-4 2.333% | |||||||
(LIBOR01M + | |||||||
2.00%) 9/19/26 ● | 1,261,829 | 1,258,937 | |||||
Organon & Co. 3.563% | |||||||
(LIBOR01M + | |||||||
3.00%) 6/2/28 ● | 2,072,958 | 2,064,213 | |||||
Pactiv Evergreen | |||||||
Group Holdings | |||||||
Tranche B-3 4.00% | |||||||
(LIBOR01M + | |||||||
3.50%) 9/25/28 ● | 298,500 | 291,187 | |||||
Pelican Products | |||||||
5.256% (LIBOR03M | |||||||
+ 4.25%) 12/29/28 ● | 279,300 | 274,063 |
80
Principal | |||||||
amount° | Value (US $) | ||||||
Loan Agreements (continued) | |||||||
Penn National Gaming | |||||||
Tranche B-1 3.00% | |||||||
(LIBOR01M + | |||||||
2.25%) 10/15/25 ● | 865,617 | $ | 861,366 | ||||
Peraton Tranche B 1st | |||||||
Lien 4.50% | |||||||
(LIBOR01M + | |||||||
3.75%) 2/1/28 ● | 1,025,579 | 1,018,619 | |||||
PG&E Tranche B | |||||||
3.50% (LIBOR03M | |||||||
+ 3.00%) 6/23/25 ● | 1,436,264 | 1,420,705 | |||||
Pilot Travel Centers | |||||||
Tranche B 2.457% | |||||||
(LIBOR01M + | |||||||
2.00%) 8/4/28 ● | 726,350 | 717,361 | |||||
PMHC II TBD 2/2/29 X | 1,900,000 | 1,814,975 | |||||
Pre-Paid Legal | |||||||
Services 4.25% | |||||||
(LIBOR01M + | |||||||
3.75%) 12/15/28 ● | 1,255,000 | 1,241,535 | |||||
Prestige Brands | |||||||
Tranche B5 2.50% | |||||||
(LIBOR01M + | |||||||
2.00%) 7/3/28 ● | 325,875 | 325,508 | |||||
Pretium PKG Holdings | |||||||
4.50% (LIBOR03M | |||||||
+ 4.00%) 10/2/28 ● | 708,225 | 689,634 | |||||
Prime Security | |||||||
Services Borrower | |||||||
Tranche B-1 3.50% | |||||||
(LIBOR03M + | |||||||
2.75%) 9/23/26 ● | 331,692 | 329,596 | |||||
Quest Software US | |||||||
Holdings 1st Lien | |||||||
4.75% (SOFR03M + | |||||||
4.25%) 2/1/29 ● | 920,000 | 907,515 | |||||
Quest Software US | |||||||
Holdings 2nd Lien | |||||||
8.15% (SOFR03M + | |||||||
7.65%) 2/1/30 ● | 285,000 | 276,806 | |||||
RealPage 1st Lien | |||||||
3.75% (LIBOR01M | |||||||
+ 3.25%) 4/24/28 ● | 995,000 | 985,299 | |||||
Reynolds Group | |||||||
Holdings | |||||||
Tranche B-2 3.707% | |||||||
(LIBOR01M + | |||||||
3.25%) 2/5/26 ● | 469,063 | 457,503 | |||||
Russell Investments | |||||||
US Institutional | |||||||
Holdco 4.50% | |||||||
(LIBOR03M + | |||||||
3.50%) 5/30/25 ● | 425,673 | 421,195 | |||||
Ryan Specialty Group | |||||||
Tranche B-1 3.75% | |||||||
(LIBOR01M + | |||||||
3.00%) 9/1/27 ● | 586,075 | 583,145 | |||||
Scientific Games | |||||||
International | |||||||
Tranche B-5 3.207% | |||||||
(LIBOR01M + | |||||||
2.75%) 8/14/24 ● | 737,328 | 734,666 | |||||
Sinclair Televison | |||||||
Group Tranche B-3 | |||||||
3.46% (LIBOR01M | |||||||
+ 3.00%) 4/1/28 ● | 635,768 | 620,828 | |||||
Spirit Aerosystems | |||||||
Tranche B 4.25% | |||||||
(LIBOR01M + | |||||||
3.75%) 1/15/25 ● | 775,217 | 775,120 | |||||
SS&C Technologies | |||||||
Tranche B-3 2.083% | |||||||
(LIBOR01M + | |||||||
1.75%) 4/16/25 ● | 179,028 | 176,678 | |||||
SS&C Technologies | |||||||
Tranche B-4 2.207% | |||||||
(LIBOR01M + | |||||||
1.75%) 4/16/25 ● | 145,331 | 143,423 | |||||
Standard Industries | |||||||
3.788% (LIBOR03M | |||||||
+ 3.50%) 9/22/28 ● | 4,767,922 | 4,752,426 | |||||
Stars Group Holdings | |||||||
2.474% (LIBOR03M | |||||||
+ 2.25%) 7/21/26 ● | 127,197 | 126,243 | |||||
Telenet Financing | |||||||
Tranche AR 2.397% | |||||||
(LIBOR01M + | |||||||
2.00%) 4/28/28 ● | 545,000 | 533,419 | |||||
Terrier Media Buyer | |||||||
Tranche B 3.957% | |||||||
(LIBOR01M + | |||||||
3.50%) 12/17/26 ● | 511,298 | 504,313 | |||||
Transdigm Tranche F | |||||||
2.707% (LIBOR01M | |||||||
+ 2.25%) 12/9/25 ● | 585,709 | 575,916 | |||||
TricorBraun 3.75% | |||||||
(LIBOR01M + | |||||||
3.25%) 3/3/28 ● | 481,508 | 470,502 | |||||
UKG 1st Lien 3.75% | |||||||
(LIBOR03M + | |||||||
3.25%) 5/4/26 ● | 2,439,214 | 2,422,445 | |||||
Ultimate Software | |||||||
Group 1st Lien | |||||||
4.756% (LIBOR01M | |||||||
+ 3.75%) 5/4/26 ● | 1,936,745 | 1,932,711 |
81
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Loan Agreements (continued) | |||||||||
United Airlines Tranche | |||||||||
B 4.50% | |||||||||
(LIBOR03M + | |||||||||
3.75%) 4/21/28 ● | 297,744 | $ | 294,767 | ||||||
United Rentals (North | |||||||||
America) 1.959% | |||||||||
(LIBOR01M + | |||||||||
1.75%) 10/31/25 ● | 48,250 | 48,409 | |||||||
US Foods TBD | |||||||||
11/22/28 X | 1,500,000 | 1,482,991 | |||||||
USI 4.256% | |||||||||
(LIBOR03M + | |||||||||
3.25%) 12/2/26 ● | 163,930 | 162,974 | |||||||
USI Tranche B 4.006% | |||||||||
(LIBOR03M + | |||||||||
3.00%) 5/16/24 ● | 568,589 | 565,874 | |||||||
Vertical Midco Tranche | |||||||||
B 4.019% | |||||||||
(LIBOR03M + | |||||||||
3.50%) 7/30/27 ● | 724,409 | 719,157 | |||||||
Viasat 5.00% | |||||||||
(SOFR01M + | |||||||||
4.50%) 3/2/29 ● | 3,790,000 | 3,733,150 | |||||||
Vistra Operations | |||||||||
2.204% (LIBOR01M | |||||||||
+ 1.75%) 12/31/25 ● | 512,928 | 508,537 | |||||||
White Cap Buyer | |||||||||
4.25% (SOFR01M + | |||||||||
3.75%) 10/19/27 ● | 360,000 | 356,288 | |||||||
Whole Earth Brands | |||||||||
5.50% (LIBOR03M | |||||||||
+ 4.50%) 2/5/28 ● | 380,208 | 376,405 | |||||||
Zayo Group Holdings | |||||||||
3.457% (LIBOR01M | |||||||||
+ 3.00%) 3/9/27 ● | 2,954,377 | 2,878,671 | |||||||
Zekelman Industries | |||||||||
2.457% (LIBOR01M | |||||||||
+ 2.00%) 1/24/27 ● | 270,775 | 266,713 | |||||||
Total Loan Agreements | |||||||||
(cost $100,535,998) | 100,467,394 | ||||||||
Sovereign Bonds – 2.54%Δ | |||||||||
Albania – 0.01% | |||||||||
Albania Government | |||||||||
International Bond | |||||||||
144A 3.50% | |||||||||
6/16/27 # | EUR | 150,000 | 161,304 | ||||||
161,304 | |||||||||
Angola – 0.01% | |||||||||
Angolan Government | |||||||||
International Bonds | |||||||||
144A 8.25% 5/9/28 | |||||||||
# | 200,000 | 204,461 | |||||||
Angolan Government | |||||||||
International Bonds | |||||||||
8.25% 5/9/28 | 200,000 | 204,461 | |||||||
408,922 | |||||||||
Argentina – 0.01% | |||||||||
Argentine Republic Government | |||||||||
International Bonds | |||||||||
0.50% 7/9/30 ~ | 645,050 | 217,711 | |||||||
1.00% 7/9/29 | 31,833 | 10,953 | |||||||
1.125% 7/9/35 ~ | 674,580 | 206,529 | |||||||
435,193 | |||||||||
Armenia – 0.01% | |||||||||
Republic of Armenia | |||||||||
International Bond | |||||||||
144A 3.60% | |||||||||
2/2/31 # | 200,000 | 158,923 | |||||||
158,923 | |||||||||
Azerbaijan – 0.01% | |||||||||
Republic of Azerbaijan | |||||||||
International Bond | |||||||||
144A 3.50% | |||||||||
9/1/32 # | 319,000 | 298,383 | |||||||
298,383 | |||||||||
Bahrain – 0.01% | |||||||||
Bahrain Government | |||||||||
International Bond | |||||||||
144A 7.375% | |||||||||
5/14/30 # | 300,000 | 326,273 | |||||||
326,273 | |||||||||
Brazil – 0.39% | |||||||||
Brazil Letras do | |||||||||
Tesouro Nacional | |||||||||
8.522% 10/1/22 ^ | BRL | 40,000,000 | 7,911,442 | ||||||
Brazil Notas do | |||||||||
Tesouro Nacional | |||||||||
Series F | |||||||||
10.00% 1/1/27 | BRL | 12,000,000 | 2,409,734 | ||||||
Brazilian Government | |||||||||
International Bonds | |||||||||
3.875% 6/12/30 | 532,000 | 491,382 | |||||||
4.75% 1/14/50 | 233,000 | 195,834 | |||||||
11,008,392 | |||||||||
Chile – 0.16% | |||||||||
Bonos de la Tesoreria | |||||||||
de la Republica en | |||||||||
pesos | |||||||||
144A 2.30% 10/1/28 | |||||||||
# | CLP | 2,740,000,000 | 2,724,893 |
82
Principal | |||||||||
amount° | Value (US $) | ||||||||
Sovereign Bonds Δ(continued) | |||||||||
Chile (continued) | |||||||||
Bonos de la Tesoreria | |||||||||
de la Republica en | |||||||||
pesos | |||||||||
144A 2.80% 10/1/33 | |||||||||
# | CLP | 1,630,000,000 | $ | 1,505,780 | |||||
Chile Government | |||||||||
International Bonds | |||||||||
2.55% 1/27/32 | 258,000 | 243,067 | |||||||
3.50% 1/25/50 | 200,000 | 183,588 | |||||||
4,657,328 | |||||||||
Colombia – 0.03% | |||||||||
Colombia Government | |||||||||
International Bonds | |||||||||
3.00% 1/30/30 | 272,000 | 234,653 | |||||||
3.25% 4/22/32 | 300,000 | 251,211 | |||||||
4.125% 2/22/42 | 217,000 | 170,076 | |||||||
5.00% 6/15/45 | 200,000 | 169,072 | |||||||
5.20% 5/15/49 | 200,000 | 171,204 | |||||||
996,216 | |||||||||
Costa Rica – 0.01% | |||||||||
Costa Rica | |||||||||
Government | |||||||||
International Bond | |||||||||
144A 5.625% | |||||||||
4/30/43 # | 200,000 | 176,002 | |||||||
176,002 | |||||||||
Cyprus – 0.05% | |||||||||
Cyprus Government | |||||||||
International Bond | |||||||||
3.875% 5/6/22 | EUR | 1,200,000 | 1,332,449 | ||||||
1,332,449 | |||||||||
Czech Republic – 0.02% | |||||||||
Czech Republic | |||||||||
Government Bond | |||||||||
2.40% 9/17/25 | CZK | 13,580,000 | 576,366 | ||||||
576,366 | |||||||||
Dominican Republic – 0.05% | |||||||||
Dominican Republic | |||||||||
International Bonds | |||||||||
144A 4.50% 1/30/30 | |||||||||
# | 367,000 | 337,644 | |||||||
144A 4.875% | |||||||||
9/23/32 # | 885,000 | 803,146 | |||||||
144A 5.50% 2/22/29 | |||||||||
# | 200,000 | 198,000 | |||||||
1,338,790 | |||||||||
Ecuador – 0.02% | |||||||||
Ecuador Government | |||||||||
International Bonds | |||||||||
144A 0.50% 7/31/40 | |||||||||
#, ~ | 278,501 | 158,330 | |||||||
144A 1.00% 7/31/35 | |||||||||
#, ~ | 328,384 | 215,095 | |||||||
144A 5.00% 7/31/30 | |||||||||
#, ~ | 125,307 | 104,194 | |||||||
144A 6.61% 7/31/30 | |||||||||
#, ^ | 35,470 | 19,580 | |||||||
497,199 | |||||||||
Egypt – 0.04% | |||||||||
Egypt Government | |||||||||
International Bonds | |||||||||
144A 5.75% 5/29/24 | |||||||||
# | 591,000 | 588,632 | |||||||
7.903% 2/21/48 | 400,000 | 326,038 | |||||||
144A 8.70% 3/1/49 | |||||||||
# | 359,000 | 307,939 | |||||||
1,222,609 | |||||||||
El Salvador – 0.00% | |||||||||
El Salvador | |||||||||
Government | |||||||||
International Bond | |||||||||
144A 7.125% | |||||||||
1/20/50 # | 275,000 | 124,440 | |||||||
124,440 | |||||||||
Gabon – 0.01% | |||||||||
Gabon Government | |||||||||
International Bond | |||||||||
144A 6.625% | |||||||||
2/6/31 # | 200,000 | 190,170 | |||||||
190,170 | |||||||||
Georgia – 0.01% | |||||||||
Georgia Government | |||||||||
International Bond | |||||||||
144A 2.75% | |||||||||
4/22/26 # | 200,000 | 172,625 | |||||||
172,625 | |||||||||
Ghana – 0.01% | |||||||||
Ghana Government | |||||||||
International Bond | |||||||||
144A 7.75% | |||||||||
4/7/29 # | 230,000 | 169,407 | |||||||
169,407 |
83
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Sovereign Bonds Δ(continued) | |||||||||
Guatemala – 0.01% | |||||||||
Guatemala | |||||||||
Government Bond | |||||||||
144A 4.875% | |||||||||
2/13/28 # | 400,000 | $ | 410,800 | ||||||
410,800 | |||||||||
Hong Kong – 0.03% | |||||||||
Airport Authority | |||||||||
144A 2.50% 1/12/32 | |||||||||
# | 430,000 | 400,584 | |||||||
144A 3.25% 1/12/52 | |||||||||
# | 425,000 | 380,373 | |||||||
780,957 | |||||||||
Hungary – 0.02% | |||||||||
Hungary Government | |||||||||
Bond | |||||||||
5.50% 6/24/25 | HUF | 181,390,000 | 531,923 | ||||||
531,923 | |||||||||
Indonesia – 0.11% | |||||||||
Indonesia Government | |||||||||
International Bonds | |||||||||
144A 4.625% | |||||||||
4/15/43 # | 200,000 | 209,180 | |||||||
5.25% 1/17/42 | 200,000 | 224,000 | |||||||
Indonesia Treasury | |||||||||
Bond | |||||||||
6.125% 5/15/28 | IDR | 40,390,000,000 | 2,778,157 | ||||||
3,211,337 | |||||||||
Israel – 0.11% | |||||||||
Israel Government | |||||||||
International Bonds | |||||||||
2.75% 7/3/30 | 1,200,000 | 1,189,861 | |||||||
3.875% 7/3/50 | 200,000 | 206,500 | |||||||
State of Israel | |||||||||
3.375% 1/15/50 | 200,000 | 190,000 | |||||||
3.80% 5/13/60 | 1,600,000 | 1,602,000 | |||||||
3,188,361 | |||||||||
Ivory Coast – 0.02% | |||||||||
Ivory Coast | |||||||||
Government | |||||||||
International Bond | |||||||||
144A 6.125% | |||||||||
6/15/33 # | 590,000 | 573,139 | |||||||
573,139 | |||||||||
Jordan – 0.01% | |||||||||
Jordan Government | |||||||||
International Bond | |||||||||
144A 4.95% | |||||||||
7/7/25 # | 200,000 | 199,786 | |||||||
199,786 | |||||||||
Kazakhstan – 0.01% | |||||||||
Kazakhstan | |||||||||
Government | |||||||||
International Bond | |||||||||
144A 6.50% | |||||||||
7/21/45 # | 207,000 | 239,344 | |||||||
239,344 | |||||||||
Kenya – 0.01% | |||||||||
Republic of Kenya | |||||||||
Government | |||||||||
International Bond | |||||||||
144A 8.00% | |||||||||
5/22/32 # | 200,000 | 194,515 | |||||||
194,515 | |||||||||
Lebanon – 0.00% | |||||||||
Lebanon Government | |||||||||
International Bond | |||||||||
6.25% 5/27/22 ‡ | 582,000 | 74,351 | |||||||
74,351 | |||||||||
Malaysia – 0.14% | |||||||||
Malaysia Government | |||||||||
Bond | |||||||||
3.955% 9/15/25 | MYR | 16,639,000 | 4,049,976 | ||||||
4,049,976 | |||||||||
Mexico – 0.05% | |||||||||
Mexican Bonos | |||||||||
8.50% 5/31/29 | MXN | 25,500,000 | 1,291,663 | ||||||
Mexico Government | |||||||||
International Bond | |||||||||
4.40% 2/12/52 | 225,000 | 207,134 | |||||||
1,498,797 | |||||||||
Mongolia – 0.02% | |||||||||
Mongolia Government | |||||||||
International Bonds | |||||||||
144A 3.50% 7/7/27 | |||||||||
# | 200,000 | 181,958 | |||||||
144A 5.625% 5/1/23 | |||||||||
# | 306,000 | 308,676 | |||||||
490,634 | |||||||||
Morocco – 0.01% | |||||||||
Morocco Government | |||||||||
International Bond | |||||||||
144A 2.375% | |||||||||
12/15/27 # | 300,000 | 274,494 | |||||||
274,494 |
84
Principal | |||||||||
amount° | Value (US $) | ||||||||
Sovereign Bonds Δ(continued) | |||||||||
Nigeria – 0.02% | |||||||||
Nigeria Government | |||||||||
International Bond | |||||||||
144A 7.875% | |||||||||
2/16/32 # | 537,000 | $ | 510,357 | ||||||
510,357 | |||||||||
North Macedonia – 0.01% | |||||||||
North Macedonia | |||||||||
Government | |||||||||
International Bond | |||||||||
144A 3.675% | |||||||||
6/3/26 # | EUR | 150,000 | 165,992 | ||||||
165,992 | |||||||||
Oman – 0.02% | |||||||||
Oman Government | |||||||||
International Bonds | |||||||||
144A 6.75% 1/17/48 | |||||||||
# | 343,000 | 343,629 | |||||||
7.375% 10/28/32 | 200,000 | 229,292 | |||||||
572,921 | |||||||||
Pakistan – 0.00% | |||||||||
Pakistan Government | |||||||||
International Bond | |||||||||
144A 7.375% | |||||||||
4/8/31 # | 200,000 | 149,400 | |||||||
149,400 | |||||||||
Panama – 0.02% | |||||||||
Panama Bonos del | |||||||||
Tesoro | |||||||||
3.362% 6/30/31 | 200,000 | 188,500 | |||||||
Panama Government | |||||||||
International Bond | |||||||||
144A 3.75% | |||||||||
4/17/26 # | 363,000 | 365,178 | |||||||
553,678 | |||||||||
Paraguay – 0.03% | |||||||||
Paraguay Government | |||||||||
International Bonds | |||||||||
144A 4.95% 4/28/31 | |||||||||
# | 300,000 | 314,628 | |||||||
144A 5.40% 3/30/50 | |||||||||
# | 403,000 | 409,549 | |||||||
724,177 | |||||||||
Peru – 0.04% | |||||||||
Peru Government | |||||||||
Bond | |||||||||
6.95% 8/12/31 | PEN | 663,000 | 185,035 | ||||||
Peruvian Government | |||||||||
International Bonds | |||||||||
2.392% 1/23/26 | 323,000 | 314,017 | |||||||
Peruvian Government | |||||||||
International Bonds | |||||||||
2.844% 6/20/30 | 512,000 | 492,109 | |||||||
5.625% 11/18/50 | 35,000 | 44,570 | |||||||
1,035,731 | |||||||||
Philippines – 0.02% | |||||||||
Philippine Government | |||||||||
International Bonds | |||||||||
3.229% 3/29/27 | 510,000 | 517,235 | |||||||
3.70% 3/1/41 | 200,000 | 194,670 | |||||||
711,905 | |||||||||
Poland – 0.02% | |||||||||
Republic of Poland | |||||||||
Government Bond | |||||||||
2.50% 4/25/24 | PLN | 2,487,000 | 558,815 | ||||||
558,815 | |||||||||
Qatar – 0.11% | |||||||||
Qatar Government | |||||||||
International Bonds | |||||||||
144A 4.40% 4/16/50 | |||||||||
# | 400,000 | 450,630 | |||||||
5.103% 4/23/48 | 2,200,000 | 2,696,274 | |||||||
3,146,904 | |||||||||
Romania – 0.07% | |||||||||
Romanian Government | |||||||||
International Bonds | |||||||||
144A 1.75% 7/13/30 | |||||||||
# | EUR | 1,800,000 | 1,690,201 | ||||||
144A 2.625% | |||||||||
12/2/40 # | EUR | 123,000 | 103,964 | ||||||
144A 3.375% | |||||||||
1/28/50 # | EUR | 109,000 | 96,967 | ||||||
1,891,132 | |||||||||
Russia – 0.01% | |||||||||
Russian Foreign | |||||||||
Bonds - Eurobonds | |||||||||
144A 4.25% 6/23/27 | |||||||||
# | 600,000 | 150,000 | |||||||
4.375% 3/21/29 | 200,000 | 40,000 | |||||||
144A 5.25% 6/23/47 | |||||||||
# | 200,000 | 48,000 | |||||||
238,000 | |||||||||
Saudi Arabia – 0.31% | |||||||||
Saudi Government | |||||||||
International Bonds | |||||||||
144A 2.875% 3/4/23 | |||||||||
# | 2,200,000 | 2,217,644 | |||||||
144A 3.25% | |||||||||
11/17/51 # | 400,000 | 353,595 |
85
Schedules of investments
Optimum Fixed Income Fund
Principal | |||||||||
amount° | Value (US $) | ||||||||
Sovereign Bonds Δ(continued) | |||||||||
Saudi Arabia (continued) | |||||||||
Saudi Government | |||||||||
International Bonds | |||||||||
144A 3.625% 3/4/28 | |||||||||
# | 541,000 | $ | 559,767 | ||||||
4.50% 10/26/46 | 800,000 | 843,881 | |||||||
144A 4.50% | |||||||||
10/26/46 # | 800,000 | 843,881 | |||||||
144A 5.00% 4/17/49 | |||||||||
# | 3,500,000 | 3,990,424 | |||||||
8,809,192 | |||||||||
Senegal – 0.01% | |||||||||
Senegal Government | |||||||||
International Bonds | |||||||||
144A 5.375% 6/8/37 | |||||||||
# | EUR | 200,000 | 188,401 | ||||||
144A 6.75% 3/13/48 | |||||||||
# | 210,000 | 181,984 | |||||||
370,385 | |||||||||
Serbia – 0.02% | |||||||||
Serbia International | |||||||||
Bonds | |||||||||
144A 1.00% 9/23/28 | |||||||||
# | EUR | 200,000 | 187,153 | ||||||
144A 2.125% | |||||||||
12/1/30 # | 200,000 | 167,910 | |||||||
144A 3.125% | |||||||||
5/15/27 # | EUR | 100,000 | 108,032 | ||||||
463,095 | |||||||||
South Africa – 0.13% | |||||||||
Republic of South | |||||||||
Africa Government | |||||||||
International Bonds | |||||||||
4.85% 9/30/29 | 3,200,000 | 3,136,762 | |||||||
5.65% 9/27/47 | 200,000 | 175,129 | |||||||
5.75% 9/30/49 | 200,000 | 175,252 | |||||||
5.875% 6/22/30 | 268,000 | 281,131 | |||||||
3,768,274 | |||||||||
Spain – 0.15% | |||||||||
Spain Government | |||||||||
Bond | |||||||||
0.00% 1/31/27 | EUR | 4,130,000 | 4,388,047 | ||||||
4,388,047 | |||||||||
Sri Lanka – 0.01% | |||||||||
Sri Lanka Government | |||||||||
International Bond | |||||||||
144A 6.20% | |||||||||
5/11/27 # | 453,000 | 215,175 | |||||||
215,175 | |||||||||
Trinidad and Tobago – 0.01% | |||||||||
Trinidad & Tobago | |||||||||
Government | |||||||||
International Bond | |||||||||
144A 4.50% | |||||||||
6/26/30 # | 200,000 | 195,000 | |||||||
195,000 | |||||||||
Turkey – 0.03% | |||||||||
Hazine Mustesarligi | |||||||||
Varlik Kiralama | |||||||||
144A 5.125% | |||||||||
6/22/26 # | 200,000 | 189,100 | |||||||
Turkey Government | |||||||||
International Bond | |||||||||
7.625% 4/26/29 | 500,000 | 489,145 | |||||||
Turkiye Ihracat Kredi | |||||||||
Bankasi | |||||||||
144A 5.75% | |||||||||
7/6/26 # | 350,000 | 321,379 | |||||||
999,624 | |||||||||
Ukraine – 0.01% | |||||||||
Ukraine Government | |||||||||
International Bond | |||||||||
144A 7.75% | |||||||||
9/1/26 # | 804,000 | 349,861 | |||||||
349,861 | |||||||||
United Kingdom – 0.00% | |||||||||
United Kingdom Gilt | |||||||||
1.75% 9/7/22 | GBP | 100,000 | 131,963 | ||||||
131,963 | |||||||||
Uruguay – 0.06% | |||||||||
Uruguay Government | |||||||||
International Bonds | |||||||||
4.375% 1/23/31 | 232,000 | 253,388 | |||||||
8.50% 3/15/28 | UYU | 62,100,000 | 1,482,095 | ||||||
1,735,483 | |||||||||
Uzbekistan – 0.02% | |||||||||
Republic of Uzbekistan | |||||||||
International Bonds | |||||||||
144A 3.90% | |||||||||
10/19/31 # | 200,000 | 177,210 | |||||||
144A 5.375% | |||||||||
2/20/29 # | 448,000 | 450,240 | |||||||
627,450 | |||||||||
Total Sovereign Bonds | |||||||||
(cost $76,140,214) | 72,281,966 |
86
Principal | |||||||||
amount° | Value (US $) | ||||||||
Supranational Banks – 0.02% | |||||||||
Banque Ouest | |||||||||
Africaine de | |||||||||
Developpement | |||||||||
144A 2.75% | |||||||||
1/22/33 # | EUR | 200,000 | $ | 204,968 | |||||
144A 5.00% | |||||||||
7/27/27 # | 406,000 | 410,430 | |||||||
Total Supranational Banks | |||||||||
(cost $639,178) | 615,398 | ||||||||
US Treasury Obligations – 12.44% | |||||||||
US Treasury Bonds | |||||||||
1.25% 5/15/50 | 1,800,000 | 1,344,797 | |||||||
1.375% 11/15/40 | 100,000 | 81,828 | |||||||
1.625% 11/15/50 | 13,500,000 | 11,079,492 | |||||||
1.75% 8/15/41 | 13,900,000 | 12,056,079 | |||||||
1.875% 2/15/41 | 52,800,000 | 47,054,906 | |||||||
1.875% 2/15/51 | 2,700,000 | 2,362,606 | |||||||
1.875% 11/15/51 | 13,405,000 | 11,762,887 | |||||||
2.00% 11/15/41 | 1,845,000 | 1,670,013 | |||||||
2.00% 2/15/50 | 16,000,000 | 14,431,875 | |||||||
2.00% 8/15/51 | 9,830,000 | 8,871,575 | |||||||
2.25% 8/15/46 | 26,435,000 | 24,751,833 | |||||||
2.25% 2/15/52 | 2,600,000 | 2,494,375 | |||||||
2.50% 2/15/45 | 37,100,000 | 36,169,602 | |||||||
2.75% 8/15/42 | 900,000 | 916,031 | |||||||
2.75% 11/15/42 | 1,400,000 | 1,423,215 | |||||||
2.875% 5/15/43 | 2,200,000 | 2,279,707 | |||||||
2.875% 8/15/45 | 16,700,000 | 17,424,753 | |||||||
3.00% 5/15/47 | 900,000 | 972,686 | |||||||
3.00% 8/15/48 | 3,770,000 | 4,119,977 | |||||||
3.125% 5/15/48 | 1,490,000 | 1,665,075 | |||||||
US Treasury Floating | |||||||||
Rate Note | |||||||||
0.706% | |||||||||
(USBMMY3M + | |||||||||
0.035%) 10/31/23 ● | 12,740,000 | 12,763,972 | |||||||
US Treasury Notes | |||||||||
0.50% 10/31/27 | 13,200,000 | 11,852,672 | |||||||
1.50% 2/15/25 | 12,260,000 | 11,918,061 | |||||||
1.875% 7/31/22 | 39,700,000 | 39,844,889 | |||||||
1.875% 8/31/24 ∞ | 2,170,000 | 2,140,163 | |||||||
1.875% 2/28/27 | 30,000 | 29,201 | |||||||
2.00% 11/30/22 | 7,700,000 | 7,733,942 | |||||||
2.00% 6/30/24 | 7,700,000 | 7,630,820 | |||||||
2.125% 3/31/24 ∞ | 2,010,000 | 2,001,991 | |||||||
2.125% 11/30/24 | 11,130,000 | 11,023,483 | |||||||
2.25% 3/31/24 | 460,000 | 459,398 | |||||||
2.25% 11/15/24 | 11,030,000 | 10,963,648 | |||||||
2.375% 2/29/24 ∞ | 4,000,000 | 4,005,234 | |||||||
2.375% 8/15/24 ∞ | 1,820,000 | 1,816,588 | |||||||
2.50% 1/31/24 ∞ | 2,790,000 | 2,799,972 | |||||||
2.50% 3/31/27 | 6,020,000 | 6,033,639 | |||||||
2.625% 3/31/25 | 12,700,000 | 12,743,160 | |||||||
2.875% 11/30/23 ∞ | 2,500,000 | 2,526,709 | |||||||
US Treasury Strip | |||||||||
Principal | |||||||||
2.26% 5/15/44 ^ | 4,290,000 | 2,395,300 | |||||||
Total US Treasury Obligations | |||||||||
(cost $377,319,305) | 353,616,154 | ||||||||
Number of | |||||||||
shares | |||||||||
Common Stocks – 0.03% | |||||||||
Communication Services – 0.00% | |||||||||
Century | |||||||||
Communications =, | |||||||||
† | 1,975,000 | 0 | |||||||
0 | |||||||||
Consumer Discretionary – 0.03% | |||||||||
Aeromexico Rights = | 50,210 | 820,682 | |||||||
820,682 | |||||||||
Total Common Stocks | |||||||||
(cost $880,502) | 820,682 | ||||||||
Preferred Stock – 0.01% | |||||||||
General Electric | |||||||||
4.156% (LIBOR03M | |||||||||
+ 3.33%) ω, ● | 300,000 | 288,750 | |||||||
Total Preferred Stock | |||||||||
(cost $299,875) | 288,750 | ||||||||
Number of | |||||||||
contracts | |||||||||
Options Purchased – 0.09% | |||||||||
Foreign Currency Put Options – 0.01% | |||||||||
GBP vs JPY, strike | |||||||||
price $148.00, | |||||||||
expiration date | |||||||||
8/23/22, notional | |||||||||
amount | |||||||||
$3,843,560,000 (JPMCB) | 25,970,000 | 247,201 | |||||||
AUD vs JPY, strike | |||||||||
price $78.00, | |||||||||
expiration date | |||||||||
8/23/22, notional | |||||||||
amount | |||||||||
$3,376,230,000 (JPMCB) | 43,285,000 | 135,909 | |||||||
383,110 |
87
Schedules of investments
Optimum Fixed Income Fund
Notional | |||||||||
amount | Value (US $) | ||||||||
Put Swaptions – 0.08% | |||||||||
30 yr IRS pay a fixed | |||||||||
rate 2.06% and | |||||||||
receive a floating | |||||||||
rate based on | |||||||||
3-month USD-ICE | |||||||||
LIBOR expiration | |||||||||
date 10/25/23 | |||||||||
(BOFA) | 15,500,000 | $ | 1,728,994 | ||||||
30 yr IRS pay a fixed | |||||||||
rate 2.102% and | |||||||||
receive a floating | |||||||||
rate based on | |||||||||
3-month USD-ICE | |||||||||
LIBOR expiration | |||||||||
date 9/15/23 (MS) | 4,800,000 | 502,675 | |||||||
Options Purchased | |||||||||
(premium paid $1,994,638) | 2,614,779 | ||||||||
Number of | |||||||||
shares | |||||||||
Short-Term Investments – 27.99% | |||||||||
Money Market Mutual Funds – 1.84% | |||||||||
BlackRock FedFund – | |||||||||
Institutional Shares | |||||||||
(seven-day effective | |||||||||
yield 0.23%) | 13,058,402 | 13,058,402 | |||||||
Fidelity Investments | |||||||||
Money Market | |||||||||
Government | |||||||||
Portfolio – Class I | |||||||||
(seven-day effective | |||||||||
yield 0.12%) | 13,058,402 | 13,058,402 | |||||||
GS Financial Square | |||||||||
Government Fund – | |||||||||
Institutional Shares | |||||||||
(seven-day effective | |||||||||
yield 0.25%) | 13,058,402 | 13,058,402 | |||||||
Morgan Stanley | |||||||||
Government | |||||||||
Portfolio – | |||||||||
Institutional Share | |||||||||
Class (seven-day | |||||||||
effective yield | |||||||||
0.23%) | 13,058,402 | 13,058,402 | |||||||
52,233,608 | |||||||||
Repurchase Agreements – 24.98% | |||||||||
US Treasury | |||||||||
repurchase | |||||||||
agreement with | |||||||||
BNP Paribas 0.28%, | |||||||||
dated 3/31/22, to be | |||||||||
repurchased 4/1/22, | |||||||||
repurchase price | |||||||||
$111,100,864 (collateralized | |||||||||
by US government | |||||||||
obligation; 1.625% | |||||||||
11/15/50; market | |||||||||
value $113,467,740) | 111,100,000 | 111,100,000 | |||||||
US Treasury | |||||||||
repurchase | |||||||||
agreement with | |||||||||
Standard Chartered | |||||||||
Bank 0.28%, dated | |||||||||
3/30/22, to be | |||||||||
repurchased 4/1/22, | |||||||||
repurchase price | |||||||||
$241,901,881 (collateralized | |||||||||
by US government | |||||||||
obligations; 1.875% | |||||||||
-4.375% 5/15/40 | |||||||||
-2/15/41; market | |||||||||
value $248,089,494) | 241,900,000 | 241,900,000 | |||||||
US Treasury | |||||||||
repurchase | |||||||||
agreement with | |||||||||
Standard Chartered | |||||||||
Bank 0.28%, dated | |||||||||
3/31/22, to be | |||||||||
repurchased 4/4/22, | |||||||||
repurchase price | |||||||||
$357,108,332 (collateralized | |||||||||
by US government | |||||||||
obligations; 1.375% | |||||||||
-3.875% 8/15/40 | |||||||||
-5/15/51; market | |||||||||
value $365,699,364) | 357,100,000 | 357,100,000 | |||||||
710,100,000 | |||||||||
US Treasury Obligations – 1.17%≠ | |||||||||
US Cash Management | |||||||||
Bills | |||||||||
0.487% 6/28/22 ^ | 10,600,000 | 10,586,708 | |||||||
0.649% 7/19/22 ^ | 14,700,000 | 14,670,179 |
88
Principal | |||||||
amount° | Value (US $) | ||||||
US Treasury Obligations (continued) | |||||||
US Treasury Bill | |||||||
0.456% 6/16/22 ∞ | 8,000,000 | $ | 7,993,075 | ||||
33,249,962 | |||||||
Total Short-Term Investments | |||||||
(cost $795,584,492) | 795,583,570 | ||||||
Total Value of Securities Before | |||||||
Options Written—121.72% | |||||||
(cost $3,580,821,793) | 3,460,260,815 |
Number of | |||||||
contracts | |||||||
Options Written — (0.28%) | |||||||
Foreign Currency Put Options — (0.01%) | |||||||
AUD vs JPY, strike | |||||||
price $72.00, | |||||||
expiration date | |||||||
8/23/22, notional | |||||||
amount | |||||||
($3,116,520,000) | |||||||
(JPMCB) | (43,285,000) | (60,181) | |||||
GBP vs JPY, strike | |||||||
price $140.00, | |||||||
expiration date | |||||||
8/23/22, notional | |||||||
amount | |||||||
($3,635,800,000) | |||||||
(JPMCB) | (25,970,000) | (104,120) | |||||
(164,301) | |||||||
Interest Call Options — (0.00%) | |||||||
Fannie Mae strike | |||||||
price $98.39, | |||||||
expiration date | |||||||
5/5/22, | |||||||
notional amount | |||||||
($305,010,938) | (3,100,000) | (1,984) | |||||
Fannie Mae strike | |||||||
price $98.62, | |||||||
expiration date | |||||||
5/5/22, | |||||||
notional amount | |||||||
($246,542,970) | (2,500,000) | (1,213) | |||||
Fannie Mae strike | |||||||
price $99.62, | |||||||
expiration date | |||||||
6/6/22, | |||||||
notional amount | |||||||
($298,851,564) | (3,000,000) | (8,070) | |||||
(11,267) | |||||||
Interest Put Options — (0.00%) | |||||||
Fannie Mae strike | |||||||
price $100.41, | |||||||
expiration date | |||||||
4/6/22, | |||||||
notional amount | |||||||
($210,869,532) | (2,100,000) | (50,068) | |||||
Fannie Mae strike | |||||||
price $97.62, | |||||||
expiration date | |||||||
6/6/22, | |||||||
notional amount | |||||||
($292,851,564) | (3,000,000) | (32,526) | |||||
(82,594) |
Notional | |||||||
amount | |||||||
Call Swaptions — (0.01%) | |||||||
1 yr IRS pay a fixed | |||||||
rate 0.55% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
3/31/23 (BNP) | (66,200,000) | (109,850) | |||||
1 yr IRS pay a fixed | |||||||
rate 0.87% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month USD-ICE | |||||||
LIBOR expiration | |||||||
date 11/2/22 (GS) | (156,100,000) | (23,103) | |||||
2 yr IRS pay a fixed | |||||||
rate 0.35% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
8/8/22 (DB) | (1,500,000) | (2,584) |
89
Schedules of investments
Optimum Fixed Income Fund
Notional | |||||||
amount | Value (US $) | ||||||
Call Swaptions (continued) | |||||||
5 yr IRS pay a fixed | |||||||
rate 0.45% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
4/8/22 (JPMCB) | (3,800,000) | $ | (8) | ||||
5 yr IRS pay a fixed | |||||||
rate 0.50% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
4/7/22 (BNP) | (1,900,000) | (39,671) | |||||
5 yr IRS pay a fixed | |||||||
rate 0.50% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
5/11/22 (GS) | (4,100,000) | (3,243) | |||||
5 yr IRS pay a fixed | |||||||
rate 0.50% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
5/16/22 (CITI) | (2,000,000) | (1,861) | |||||
(180,320) | |||||||
Put Swaptions — (0.26%) | |||||||
1 yr IRS pay a fixed | |||||||
rate 1.27% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month USD-ICE | |||||||
LIBOR expiration | |||||||
date 11/2/22 (GS) | (156,100,000) | (2,545,523) | |||||
1 yr IRS pay a fixed | |||||||
rate 2.10% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
3/31/23 (BNP) | (66,200,000) | (145,003) | |||||
2 yr IRS pay a fixed | |||||||
rate 0.55% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
8/8/22 (DB) | (1,500,000) | (11,954) | |||||
5 yr IRS pay a fixed | |||||||
rate 0.65% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
4/8/22 (JPMCB) | (3,800,000) | (49,070) | |||||
5 yr IRS pay a fixed | |||||||
rate 0.70% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
4/7/22 (BNP) | (1,900,000) | (19,516) | |||||
5 yr IRS pay a fixed | |||||||
rate 1.00% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
5/11/22 (GS) | (4,100,000) | (23,073) | |||||
5 yr IRS pay a fixed | |||||||
rate 1.00% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month EURIBOR | |||||||
expiration date | |||||||
5/16/22 (CITI) | (2,000,000) | (12,350) | |||||
5 yr IRS pay a fixed | |||||||
rate 1.96% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month USD-ICE | |||||||
LIBOR expiration | |||||||
date 9/15/23 (MS) | (24,000,000) | (924,168) |
90
Notional | |||||||
amount | Value (US $) | ||||||
Put Swaptions (continued) | |||||||
5 yr IRS pay a fixed | |||||||
rate 2.00% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month USD-ICE | |||||||
LIBOR expiration | |||||||
date 10/25/23 | |||||||
(BOFA) | (77,500,000) | $ | (2,907,102) | ||||
10 yr IRS pay a fixed | |||||||
rate 1.853% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month USD-ICE | |||||||
LIBOR expiration | |||||||
date 5/16/22 (MS) | (9,900,000) | (282,724) | |||||
10 yr IRS pay a fixed | |||||||
rate 1.875% and | |||||||
receive a floating | |||||||
rate based on | |||||||
3-month USD-ICE | |||||||
LIBOR expiration | |||||||
date 7/13/22 (DB) | (16,200,000) | (549,277) | |||||
CDX.ITRX.EUR 36 | |||||||
5 yr strike price | |||||||
$4.00, expiration | |||||||
date 4/20/22 | |||||||
(JPMCB) | (11,000,000) | (14,809) | |||||
CDX.ITRX.EUR 36 | |||||||
5 yr strike price | |||||||
$4.00, expiration | |||||||
date 4/20/22 (MS) | (8,800,000) | (11,847) | |||||
CDX.ITRX.EUR 36 | |||||||
5 yr strike price | |||||||
$4.25, expiration | |||||||
date 4/20/22 | |||||||
(BOFA) | (14,000,000) | (13,846) | |||||
CDX.NA.HY 37 5 yr | |||||||
strike price $100.00, | |||||||
expiration date | |||||||
4/20/22 (MS) | (1,600,000) | (870) | |||||
CDX.NA.HY 37 5 yr | |||||||
strike price $101.00, | |||||||
expiration date | |||||||
4/20/22 (MS) | (5,500,000) | (3,636) | |||||
CDX.NA.IG 37 5 yr | |||||||
strike price $0.85, | |||||||
expiration date | |||||||
5/18/22 (CITI) | (14,500,000) | (8,744) | |||||
CDX.NA.IG 37 5 yr | |||||||
strike price $0.85, | |||||||
expiration date | |||||||
5/18/22 (JPMCB) | (7,700,000) | (4,643) | |||||
CDX.NA.IG 37 5 yr | |||||||
strike price $0.90, | |||||||
expiration date | |||||||
4/20/22 (BOFA) | (14,600,000) | (2,015) | |||||
CDX.NA.IG 37 5 yr | |||||||
strike price $0.90, | |||||||
expiration date | |||||||
4/20/22 (JPMCB) | (3,200,000) | (442) | |||||
CDX.NA.IG 37 5 yr | |||||||
strike price $0.90, | |||||||
expiration date | |||||||
5/18/22 (BOFA) | (28,900,000) | (14,190) | |||||
CDX.NA.IG 37 5 yr | |||||||
strike price $0.95, | |||||||
expiration date | |||||||
5/18/22 (DB) | (5,600,000) | (2,268) | |||||
CDX.NA.IG 37 5 yr | |||||||
strike price $1.20, | |||||||
expiration date | |||||||
6/15/22 (MS) | (1,800,000) | (720) | |||||
(7,547,790) | |||||||
Total Options Written | |||||||
(premium received $3,050,852) | (7,986,272) |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
∞ | Fully or partially pledged as collateral for options, futures and swap contracts. |
~ | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Stated rate in effect at March 31, 2022. |
∆ | Securities have been classified by country of risk. |
X | This loan will settle after March 31, 2022, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
‡ | Non-income producing security. Security is currently in default. |
> | PIK. 40.98% of the income received was in cash and 59.02% was in principal. |
† | Non-income producing security. |
91
Schedules of investments
Optimum Fixed Income Fund
ω | Perpetual security with no stated maturity date. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2022. Rate will reset at a future date. |
◆ | 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. |
Σ | 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. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Ω | 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. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at March 31, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2022, the aggregate value of Rule 144A securities was $610,742,296, which represents 21.48% of the Fund's net assets. See Note 10 in “Notes to financial statements.” |
ψ | Perpetual security. Maturity date represents next call date. |
≠ | The rate shown is the effective yield at the time of purchase. |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at March 31, 2022:1
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | Unrealized | ||||||||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Appreciation | Depreciation | ||||||||||||||||
BAML | AUD | (2,823,567 | ) | USD | 2,113,363 | 4/4/22 | $ | 402 | $ | — | |||||||||||
BAML | AUD | 2,823,567 | USD | (2,114,004 | ) | 5/3/22 | — | (240 | ) | ||||||||||||
BAML | CAD | (667,000 | ) | USD | 526,037 | 4/4/22 | — | (7,494 | ) | ||||||||||||
BAML | COP | 1,508,200,000 | USD | (400,000 | ) | 4/25/22 | — | (1,591 | ) | ||||||||||||
BAML | DKK | (53,335,000 | ) | USD | 8,201,551 | 4/1/22 | 269,430 | — | |||||||||||||
BAML | DKK | 56,990,000 | USD | (8,504,860 | ) | 4/1/22 | — | (29,156 | ) | ||||||||||||
BAML | DKK | (56,990,000 | ) | USD | 8,534,229 | 7/1/22 | 26,958 | — | |||||||||||||
BAML | EUR | 98,529,000 | USD | (109,915,907 | ) | 4/4/22 | — | (906,379 | ) | ||||||||||||
BAML | EUR | (98,529,000 | ) | USD | 110,011,579 | 5/3/22 | 902,662 | — | |||||||||||||
BAML | GBP | 241,000 | USD | (316,853 | ) | 4/4/22 | — | (276 | ) | ||||||||||||
BAML | ZAR | 28,618,000 | USD | (1,867,885 | ) | 6/15/22 | 71,265 | — | |||||||||||||
BAML | ZAR | 19,429,064 | USD | (1,223,608 | ) | 11/8/22 | 70,387 | — | |||||||||||||
BNP | BRL | (42,700,000 | ) | USD | 7,351,168 | 4/4/22 | — | (1,606,367 | ) | ||||||||||||
BNP | BRL | 1,910,000 | USD | (375,024 | ) | 7/5/22 | 15,121 | — | |||||||||||||
BNP | CAD | (550,000 | ) | USD | 440,691 | 4/4/22 | 747 | — | |||||||||||||
BNP | DKK | (31,490,000 | ) | USD | 4,887,725 | 4/1/22 | 204,450 | — | |||||||||||||
BNP | EUR | (98,529,000 | ) | USD | 110,809,876 | 4/4/22 | 1,800,347 | — | |||||||||||||
BNP | GBP | 13,514,000 | USD | (17,793,208 | ) | 4/4/22 | — | (41,191 | ) | ||||||||||||
BNP | GBP | (13,755,000 | ) | USD | 18,460,754 | 4/4/22 | 392,159 | — |
92
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | Unrealized | ||||||||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Appreciation | Depreciation | ||||||||||||||||
BNP | GBP | (13,514,000 | ) | USD | 17,789,767 | 5/4/22 | $ | 40,744 | $ | — | |||||||||||
BNP | JPY | 2,420,280 | USD | (19,583 | ) | 4/4/22 | 299 | — | |||||||||||||
BNP | JPY | 1,779,321,731 | USD | (14,668,422 | ) | 5/6/22 | — | (41,428 | ) | ||||||||||||
BNP | MXN | (425,000 | ) | USD | 20,407 | 5/4/22 | — | (831 | ) | ||||||||||||
BNP | MXN | (18,829,000 | ) | USD | 900,159 | 7/1/22 | — | (30,765 | ) | ||||||||||||
BNP | MXN | (11,297,000 | ) | USD | 514,292 | 8/9/22 | — | (40,002 | ) | ||||||||||||
BNP | ZAR | 7,965,690 | USD | (503,826 | ) | 5/16/22 | 38,018 | — | |||||||||||||
BNP | ZAR | 32,392,222 | USD | (2,028,748 | ) | 8/16/22 | 149,830 | — | |||||||||||||
BNP | ZAR | 17,180,265 | USD | (1,071,354 | ) | 11/8/22 | 72,869 | — | |||||||||||||
CITI | BRL | (42,360,416 | ) | USD | 8,812,235 | 4/4/22 | — | (74,064 | ) | ||||||||||||
CITI | BRL | 60,530,217 | USD | (12,494,110 | ) | 5/3/22 | 102,430 | — | |||||||||||||
CITI | DKK | (87,415,000 | ) | USD | 13,626,074 | 4/1/22 | 625,488 | — | |||||||||||||
CITI | MXN | 3,628,000 | USD | (167,182 | ) | 4/18/22 | 14,647 | — | |||||||||||||
CITI | MXN | (5,607,000 | ) | USD | 265,701 | 6/15/22 | — | (12,299 | ) | ||||||||||||
DB | CAD | (820,000 | ) | USD | 645,338 | 4/4/22 | — | (10,577 | ) | ||||||||||||
DB | DKK | 155,819,571 | USD | (23,051,178 | ) | 4/1/22 | 122,724 | — | |||||||||||||
DB | DKK | (155,238,234 | ) | USD | 23,051,178 | 7/1/22 | — | (122,255 | ) | ||||||||||||
JPMCB | AUD | 5,164,000 | USD | (3,714,563 | ) | 4/4/22 | 149,817 | — | |||||||||||||
JPMCB | BRL | 85,060,416 | USD | (16,568,289 | ) | 4/4/22 | 1,275,544 | — | |||||||||||||
JPMCB | BRL | (1,910,000 | ) | USD | 347,576 | 7/5/22 | — | (42,569 | ) | ||||||||||||
JPMCB | BRL | (40,000,000 | ) | USD | 6,934,804 | 10/4/22 | — | (1,025,897 | ) | ||||||||||||
JPMCB | DKK | (44,510,000 | ) | USD | 6,905,680 | 4/1/22 | 286,038 | — | |||||||||||||
JPMCB | EUR | (6,000,000 | ) | USD | 6,661,020 | 4/4/22 | 22,800 | — | |||||||||||||
JPMCB | EUR | (4,950,000 | ) | USD | 5,611,270 | 5/20/22 | 125,514 | — | |||||||||||||
JPMCB | EUR | (1,114,000 | ) | USD | 1,226,253 | 6/24/22 | — | (10,380 | ) | ||||||||||||
JPMCB | INR | 24,063,939 | USD | (311,433 | ) | 5/20/22 | 3,195 | — | |||||||||||||
JPMCB | KRW | (128,675,037 | ) | USD | 104,764 | 5/20/22 | — | (1,074 | ) | ||||||||||||
JPMCB | MXN | (6,544,000 | ) | USD | 315,236 | 5/4/22 | — | (11,788 | ) | ||||||||||||
JPMCB | PEN | (688,800 | ) | USD | 182,996 | 6/24/22 | — | (2,792 | ) | ||||||||||||
TD | EUR | (5,570,000 | ) | USD | 6,275,124 | 5/20/22 | 102,263 | — | |||||||||||||
Total Foreign Currency Exchange Contracts | $ | 6,886,148 | $ | (4,019,415 | ) |
Futures Contracts
Exchange-Traded
Variation | |||||||||||||||||||||||||
Margin | |||||||||||||||||||||||||
Notional | Value/ | Value/ | Due from | ||||||||||||||||||||||
Notional | Cost | Expiration | Unrealized | Unrealized | (Due to) | ||||||||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Depreciation | Brokers | |||||||||||||||||||
126 | Euro-BTP | $ | 19,278,685 | $ | 20,056,170 | 6/8/22 | $ | — | $ | (777,485 | ) | $ | 172,141 | ||||||||||||
(77) | Euro-Bund | (13,514,857 | ) | (13,947,064 | ) | 6/8/22 | 432,207 | — | (132,328 | ) | |||||||||||||||
(25) | Long 10 yr Gilt | (3,981,345 | ) | (4,026,731 | ) | 6/28/22 | 45,386 | — | (13,782 | ) | |||||||||||||||
137 | US Treasury 3 yr Notes | 29,891,688 | 30,463,397 | 6/30/22 | — | (571,709 | ) | 33,180 | |||||||||||||||||
2,250 | US Treasury 5 yr Notes | 258,046,875 | 265,360,871 | 6/30/22 | — | (7,313,996 | ) | 316,395 | |||||||||||||||||
US Treasury 10 yr | |||||||||||||||||||||||||
957 | Notes | 117,591,375 | 121,040,501 | 6/21/22 | — | (3,449,126 | ) | 239,250 | |||||||||||||||||
US Treasury 10 yr | |||||||||||||||||||||||||
(47) | Notes | (5,775,125 | ) | (5,940,978 | ) | 6/21/22 | 165,853 | — | (39,032 | ) | |||||||||||||||
US Treasury 10 yr Ultra | |||||||||||||||||||||||||
(277) | Notes | (37,524,844 | ) | (38,771,023 | ) | 6/21/22 | 1,246,179 | — | (112,531 | ) |
93
Schedules of investments
Optimum Fixed Income Fund
Futures Contracts
Exchange-Traded
Variation | |||||||||||||||||||||||||
Margin | |||||||||||||||||||||||||
Notional | Value/ | Value/ | Due from | ||||||||||||||||||||||
Notional | Cost | Expiration | Unrealized | Unrealized | (Due to) | ||||||||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Depreciation | Brokers | |||||||||||||||||||
US Treasury Long | |||||||||||||||||||||||||
505 | Bonds | $ | 75,781,563 | $ | 78,069,424 | 6/21/22 | $ | — | $ | (2,287,861 | ) | $ | 315,625 | ||||||||||||
US Treasury Long | |||||||||||||||||||||||||
(2) | Bonds | (300,125 | ) | (308,823 | ) | 6/21/22 | 8,698 | — | (1,250 | ) | |||||||||||||||
US Treasury Ultra | |||||||||||||||||||||||||
(293) | Bonds | (51,897,625 | ) | (53,562,701 | ) | 6/21/22 | 1,665,076 | — | (311,313 | ) | |||||||||||||||
Total Futures Contracts | $ | 398,433,043 | $ | 3,563,399 | $ | (14,400,177 | ) | $ | 466,355 |
Swap Contracts
CDS Contracts2
Counterparty/ | Upfront | |||||||||||||||||||||||||
Reference Obligation/ | Payments | Variation Margin | ||||||||||||||||||||||||
Termination Date/ | Notional | Annual Protection | Paid | Unrealized | Unrealized | Due from | ||||||||||||||||||||
Payment Frequency | Amount3 | Payments | Value | (Received) | Appreciation4 | Depreciation4 | (Due to) Brokers | |||||||||||||||||||
Centrally Cleared: | ||||||||||||||||||||||||||
Protection Sold | ||||||||||||||||||||||||||
Moody's Ratings: | ||||||||||||||||||||||||||
AT&T 2.45% | ||||||||||||||||||||||||||
5/15/18 Baa2 6/20/24- | ||||||||||||||||||||||||||
Quarterly | 1,800,000 | 1.000% | $ | 15,145 | $ | 22,901 | $ | — | $ | (7,756 | ) | $ | (21,493 | ) | ||||||||||||
Boeing 2.60% | ||||||||||||||||||||||||||
10/20/25 Baa3 | ||||||||||||||||||||||||||
12/20/26-Quarterly | 4,100,000 | 1.000% | (84,052 | ) | (21,714 | ) | — | (62,338 | ) | (18,598 | ) | |||||||||||||||
Boeing 2.60% | ||||||||||||||||||||||||||
10/30/25 Baa2 | ||||||||||||||||||||||||||
6/20/23-Quarterly | 1,400,000 | 1.000% | 2,590 | 2,472 | 118 | — | (5,248 | ) | ||||||||||||||||||
Boeing 2.60% | ||||||||||||||||||||||||||
10/30/25 Baa2 | ||||||||||||||||||||||||||
6/26/26-Quarterly | 700,000 | 1.000% | (10,502 | ) | (4,370 | ) | — | (6,132 | ) | (4,925 | ) | |||||||||||||||
British Telecom 2.70% | ||||||||||||||||||||||||||
10/9/22 Baa1 12/20/28- | ||||||||||||||||||||||||||
Quarterly | EUR 1,600,000 | 1.000% | (39,757 | ) | (77,471 | ) | 37,714 | — | (363 | ) | ||||||||||||||||
British Telecom 5.75% | ||||||||||||||||||||||||||
12/7/28 Baa2 | ||||||||||||||||||||||||||
12/20/24-Quarterly | EUR 2,800,000 | 1.000% | 40,686 | 52,139 | — | (11,453 | ) | (45,718 | ) | |||||||||||||||||
CDX.ITRX.EUR.345 | ||||||||||||||||||||||||||
12/20/25-Quarterly | EUR 8,000,000 | 1.000% | 158,400 | 209,752 | — | (51,352 | ) | (16,225 | ) | |||||||||||||||||
CDX.ITRX.EUR.345 | ||||||||||||||||||||||||||
12/20/26-Quarterly | EUR 6,300,000 | 1.000% | 111,061 | 165,060 | — | (53,999 | ) | 102,732 | ||||||||||||||||||
CDX.ITRX.EUR.355 | ||||||||||||||||||||||||||
6/20/26-Quarterly | EUR 1,400,000 | 1.000% | 25,697 | 35,681 | — | (9,984 | ) | (238,124 | ) | |||||||||||||||||
CDX.ITRX.EUR.375 | ||||||||||||||||||||||||||
6/21/27-Quarterly | EUR 1,700,000 | 1.000% | 25,702 | 25,776 | — | (74 | ) | 26,313 | ||||||||||||||||||
CDX.NA.HY.376 | ||||||||||||||||||||||||||
12/20/26-Quarterly | 8,500,000 | 5.000% | 540,238 | 650,388 | — | (110,150 | ) | (331,261 | ) |
94
Counterparty/ | Upfront | ||||||||||||||||||||
Reference Obligation/ | Payments | Variation Margin | |||||||||||||||||||
Termination Date/ | Notional | Annual Protection | Paid | Unrealized | Unrealized | Due from | |||||||||||||||
Payment Frequency | Amount3 | Payments | Value | (Received) | Appreciation4 | Depreciation4 | (Due to) Brokers | ||||||||||||||
Protection Sold | |||||||||||||||||||||
Moody's Ratings | |||||||||||||||||||||
(continued): | |||||||||||||||||||||
CDX.NA.HY.386 | |||||||||||||||||||||
6/21/27-Quarterly | 1,400,000 | 5.000% | $ | 77,637 | $ | 69,060 | $ | 8,577 | $ | — | $ | (36,658 | ) | ||||||||
CDX.NA.IG.357 12/20/25- | |||||||||||||||||||||
Quarterly | 400,000 | 1.000% | 7,323 | 7,860 | — | (537 | ) | (191,769 | ) | ||||||||||||
CDX.NA.IG.367 | |||||||||||||||||||||
6/20/26-Quarterly | 1,900,000 | 1.000% | 34,497 | 39,839 | — | (5,342 | ) | (382,365 | ) | ||||||||||||
CDX.NA.IG.377 | |||||||||||||||||||||
12/20/26-Quarterly | 14,500,000 | 1.000% | 250,669 | 309,869 | — | (59,200 | ) | 340,421 | |||||||||||||
CDX.NA.IG.387 | |||||||||||||||||||||
6/21/27-Quarterly | 14,800,000 | 1.000% | 239,322 | 210,507 | 28,815 | — | 21,939 | ||||||||||||||
General Electric 2.70% | |||||||||||||||||||||
10/9/22 Baa1 | |||||||||||||||||||||
12/20/26-Quarterly | 1,200,000 | 1.000% | 10,393 | 12,272 | — | (1,879 | ) | 11,341 | |||||||||||||
General Electric 2.70% | |||||||||||||||||||||
10/9/22 Baa1 6/20/26- | |||||||||||||||||||||
Quarterly | 600,000 | 1.000% | 6,827 | 4,897 | 1,930 | — | 3,428 | ||||||||||||||
General Motors 5.70% | |||||||||||||||||||||
10/9/22 Baa1 12/20/26- | |||||||||||||||||||||
Quarterly | 600,000 | 5.000% | 85,715 | 106,873 | — | (21,158 | ) | 1,014 | |||||||||||||
Stellantis 5.00% | |||||||||||||||||||||
1/11/21 Baa3 6/20/26- | |||||||||||||||||||||
Quarterly | EUR 3,100,000 | 5.000% | 538,964 | 623,068 | — | (84,104 | ) | 116,667 | |||||||||||||
Telefonica | |||||||||||||||||||||
Emisiones 1.00% | |||||||||||||||||||||
5/12/20 Baa3 | |||||||||||||||||||||
6/20/28-Quarterly | EUR 1,300,000 | 1.000% | 2,412 | 995 | 1,417 | — | (14,990 | ) | |||||||||||||
Tesco 1.00% | |||||||||||||||||||||
6/25/19 Baa3 | |||||||||||||||||||||
6/20/28-Quarterly | EUR 2,700,000 | 1.000% | 17,582 | 721 | 16,861 | — | (25,189 | ) | |||||||||||||
Valeo 1.00% Baa3 | |||||||||||||||||||||
6/20/26-Quarterly | EUR 400,000 | 1.000% | (18,106 | ) | (6,059 | ) | — | (12,047 | ) | (287,164 | ) | ||||||||||
Valeo 1.00% Baa3 | |||||||||||||||||||||
6/20/28-Quarterly | EUR 3,000,000 | 1.000% | (315,059 | ) | (123,069 | ) | — | (191,990 | ) | (15,441 | ) | ||||||||||
1,723,384 | 2,317,447 | 95,432 | (689,495 | ) | (1,011,676 | ) | |||||||||||||||
Over-The-Counter: | |||||||||||||||||||||
Protection Purchased/ | |||||||||||||||||||||
Moody’s Ratings: | |||||||||||||||||||||
JPMCB Mexico 10.375% | |||||||||||||||||||||
1/28/33 Baa2 | |||||||||||||||||||||
6/22/26-Quarterly | 2,085,000 | 1.000% | (18,557 | ) | 13,177 | — | (31,734 | ) | — | ||||||||||||
JPMCB Republic of Brazil | |||||||||||||||||||||
4.25% 1/7/25 Ba2 | |||||||||||||||||||||
6/20/26-Quarterly | 2,570,000 | 1.000% | 71,691 | 68,627 | 3,064 | — | — |
95
Schedules of investments
Optimum Fixed Income Fund
Counterparty/ | Upfront | ||||||||||||||||||||||
Reference Obligation/ | Payments | Variation Margin | |||||||||||||||||||||
Termination Date/ | Notional | Annual Protection | Paid | Unrealized | Unrealized | Due from | |||||||||||||||||
Payment Frequency | Amount3 | Payments | Value | (Received) | Appreciation4 | Depreciation4 | (Due to) Brokers | ||||||||||||||||
Protection Sold | |||||||||||||||||||||||
Moody's Ratings: | |||||||||||||||||||||||
BAML Republic of | |||||||||||||||||||||||
Colombia 10.375% | |||||||||||||||||||||||
1/28/33 Baa2 6/20/22- | |||||||||||||||||||||||
Quarterly | 250,000 | 1.000% | $ | 347 | $ | (167 | ) | $ | 514 | $ | — | $ | — | ||||||||||
CITI Republic of Brazil | |||||||||||||||||||||||
4.25% 1/7/25 Ba2 | |||||||||||||||||||||||
6/20/22-Quarterly | 100,000 | 1.000% | 126 | (277 | ) | 403 | — | — | |||||||||||||||
CITI Republic of Colombia | |||||||||||||||||||||||
10.375% 1/28/33 | |||||||||||||||||||||||
Baa2 12/20/24- | |||||||||||||||||||||||
Quarterly | 200,000 | 1.000% | (748 | ) | 405 | — | (1,153 | ) | — | ||||||||||||||
DB CMBX.NA.AAA8 | |||||||||||||||||||||||
10/17/57-Monthly | 14,200,000 | 0.500% | 77,582 | (818,139 | ) | 895,721 | — | — | |||||||||||||||
GSC Republic of Brazil | |||||||||||||||||||||||
4.25% 1/7/25 Ba2 | |||||||||||||||||||||||
6/20/22-Quarterly | 500,000 | 1.000% | 631 | (1,423 | ) | 2,054 | — | — | |||||||||||||||
JPMCB HOCHTIEF | |||||||||||||||||||||||
1.00% 3/7/25 BBB | |||||||||||||||||||||||
12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 213,491 | 237,352 | — | (23,861 | ) | — | |||||||||||||||
JPMCB HOCHTIEF | |||||||||||||||||||||||
5.00% 3/7/25 BBB | |||||||||||||||||||||||
12/20/26-Quarterly | EUR 1,100,000 | 5.000% | 213,491 | 235,422 | — | (21,931 | ) | — | |||||||||||||||
JPMCB Republic of South | |||||||||||||||||||||||
Africa 5.50% | |||||||||||||||||||||||
3/9/20 Baa3 | |||||||||||||||||||||||
12/20/23-Quarterly | 700,000 | 1.000% | 1,143 | (11,636 | ) | 12,779 | — | — | |||||||||||||||
559,197 | (276,659 | ) | 914,535 | (78,679 | ) | — | |||||||||||||||||
Total CDS Contracts | $ | 2,282,581 | $ | 2,040,788 | $ | 1,009,967 | $ | (768,174 | ) | $ | (1,011,676 | ) |
IRS Contracts9 | |||||||||||||||||||||||
Reference | |||||||||||||||||||||||
Obligation/ | Fixed/ | ||||||||||||||||||||||
Termination Date/ | Floating | ||||||||||||||||||||||
Payment | Interest | Upfront | |||||||||||||||||||||
Frequency | Rate | Payments | Variation Margin | ||||||||||||||||||||
(Fixed Rate/ | Paid | Paid | Unrealized | Unrealized | Due from | ||||||||||||||||||
Floating Rate) | Notional Amount3 | (Received) | Value | (Received) | Appreciation4 | Depreciation4 | (Due to) Brokers | ||||||||||||||||
Centrally Cleared: | |||||||||||||||||||||||
1 yr IRS10 3/24/23- | |||||||||||||||||||||||
(28 Days/ | (4.797)%/ | ||||||||||||||||||||||
28 Days) | MXN 1,450,000,000 | 5.66% | $ | (1,795,694 | ) | $ | (41,577 | ) | $ | — | $ | (1,754,117 | ) | $ | (61,208 | ) | |||||||
2 yr IRS113/30/23- | |||||||||||||||||||||||
(Semiannually/ | 0.25%/ | ||||||||||||||||||||||
Quarterly) | 7,600,000 | (0.132)% | 125,408 | (3,390 | ) | 128,798 | — | 13,034 | |||||||||||||||
2 yr IRS12 1/2/23- | |||||||||||||||||||||||
(At Maturity/ At | 6.789%/ | ||||||||||||||||||||||
Maturity) | BRL 166,400,000 | (11.65)% | (1,595,083 | ) | (79,800 | ) | — | (1,515,283 | ) | (682,280 | ) |
96
IRS Contracts9 | |||||||||||||||||||||||
Reference | |||||||||||||||||||||||
Obligation/ | Fixed/ | ||||||||||||||||||||||
Termination Date/ | Floating | ||||||||||||||||||||||
Payment | Interest | Upfront | |||||||||||||||||||||
Frequency | Rate | Payments | Variation Margin | ||||||||||||||||||||
(Fixed Rate/ | Paid | Paid | Unrealized | Unrealized | Due from | ||||||||||||||||||
Floating Rate) | Notional Amount3 | (Received) | Value | (Received) | Appreciation4 | Depreciation4 | (Due to) Brokers | ||||||||||||||||
Centrally Cleared (continued): | |||||||||||||||||||||||
2 yr IRS13 6/17/22- | |||||||||||||||||||||||
(Semiannually/ | (1.50)%/ | ||||||||||||||||||||||
Semiannually) | CAD 4,000,000 | 0.448% | $ | 2,796 | $ | 8,196 | $ | — | $ | (5,400 | ) | $ | (69,474 | ) | |||||||||
3 yr IRS12 1/2/24- | |||||||||||||||||||||||
(At Maturity/ At | 7.515%/ | ||||||||||||||||||||||
Maturity) | BRL 11,870,000 | (11.65)% | (162,809 | ) | 2,262 | — | (165,071 | ) | (130,610 | ) | |||||||||||||
5 yr IRS11 2/18/26- | |||||||||||||||||||||||
(Quarterly/ | (0.64)%/ | ||||||||||||||||||||||
Semiannually) | 42,100,000 | 0.125% | (2,967,343 | ) | (283,175 | ) | — | (2,684,168 | ) | 240,268 | |||||||||||||
5 yr IRS13 3/3/25- | |||||||||||||||||||||||
(Semiannually/ | (1.29)%/ | ||||||||||||||||||||||
Semiannually) | CAD 800,000 | 0.45% | (26,921 | ) | 3,528 | — | (30,449 | ) | (1,683 | ) | |||||||||||||
5 yr IRS13 3/3/25- | |||||||||||||||||||||||
(Semiannually/ | (1.275)%/ | ||||||||||||||||||||||
Semiannually) | CAD 2,600,000 | 0.45% | (88,373 | ) | 10,526 | — | (98,899 | ) | (4,304 | ) | |||||||||||||
5 yr IRS13 3/3/25- | |||||||||||||||||||||||
(Semiannually/ | (1.276)%/ | ||||||||||||||||||||||
Semiannually) | CAD 1,600,000 | 0.45% | (54,347 | ) | 6,516 | — | (60,863 | ) | (2,180 | ) | |||||||||||||
5 yr IRS13 3/3/25- | |||||||||||||||||||||||
(Semiannually/ | (1.22)%/ | ||||||||||||||||||||||
Semiannually) | CAD 2,900,000 | 0.45% | (102,163 | ) | 7,898 | — | (110,061 | ) | (2,971 | ) | |||||||||||||
5 yr IRS13 3/4/25- | |||||||||||||||||||||||
(Semiannually/ | (1.235)%/ | ||||||||||||||||||||||
Semiannually) | CAD 20,500,000 | 0.45% | (715,252 | ) | 63,059 | — | (778,311 | ) | (31,071 | ) | |||||||||||||
5 yr IRS13 6/16/26- | |||||||||||||||||||||||
(Semiannually/ | (1.00)%/ | ||||||||||||||||||||||
Semiannually) | CAD 30,300,000 | 0.45% | (1,728,054 | ) | (374,381 | ) | — | (1,353,673 | ) | (180,487 | ) | ||||||||||||
5 yr IRS14 9/16/25- | |||||||||||||||||||||||
(Annually/ | 0.50%/ | ||||||||||||||||||||||
Annually) | GBP 5,700,000 | (0.05)% | 368,067 | (41,272 | ) | 409,339 | — | (207,962 | ) | ||||||||||||||
5 yr IRS14 9/21/27- | |||||||||||||||||||||||
(Annually/ | 0.50%/ | ||||||||||||||||||||||
Annually) | GBP 28,500,000 | (0.05)% | 2,481,917 | 2,296,620 | 185,297 | — | 1,033,809 | ||||||||||||||||
6 yr IRS12 1/4/27- | |||||||||||||||||||||||
(At Maturity/ At | 10.12%/ | ||||||||||||||||||||||
Maturity) | BRL 6,600,000 | (11.65)% | 61,599 | — | 61,599 | — | 111,316 | ||||||||||||||||
6 yr IRS12 1/4/27- | |||||||||||||||||||||||
(At Maturity/ At | 11.065%/ | ||||||||||||||||||||||
Maturity) | BRL 32,100,000 | (11.65)% | (4,028 | ) | — | — | (4,028 | ) | 55,687 | ||||||||||||||
6 yr IRS12 1/4/27- | |||||||||||||||||||||||
(At Maturity/ At | 10.995%/ | ||||||||||||||||||||||
Maturity) | BRL 67,700,000 | (11.65)% | (55,791 | ) | — | — | (55,791 | ) | 98,229 | ||||||||||||||
6 yr IRS12 1/4/27- | |||||||||||||||||||||||
(At Maturity/ At | 11.098%/ | ||||||||||||||||||||||
Maturity) | BRL 32,400,000 | (11.65)% | (5,282 | ) | — | — | (5,282 | ) | 55,684 |
97
Schedules of investments
Optimum Fixed Income Fund
IRS Contracts9 | |||||||||||||||||||||||
Reference | |||||||||||||||||||||||
Obligation/ | Fixed/ | ||||||||||||||||||||||
Termination Date/ | Floating | ||||||||||||||||||||||
Payment | Interest | Upfront | |||||||||||||||||||||
Frequency | Rate | Payments | Variation Margin | ||||||||||||||||||||
(Fixed Rate/ | Paid | Paid | Unrealized | Unrealized | Due from | ||||||||||||||||||
Floating Rate) | Notional Amount3 | (Received) | Value | (Received) | Appreciation4 | Depreciation4 | (Due to) Brokers | ||||||||||||||||
Centrally Cleared (continued): | |||||||||||||||||||||||
7 yr IRS11 | |||||||||||||||||||||||
12/16/22- | |||||||||||||||||||||||
(Semiannually/ | 2.25%/ | ||||||||||||||||||||||
Quarterly) | 41,600,000 | (0.118)% | $ | (192,944 | ) | $ | (1,335,081 | ) | $ | 1,142,137 | $ | — | $ | 1,555,174 | |||||||||
10 yr IRS11 | |||||||||||||||||||||||
10/1/31- | |||||||||||||||||||||||
(Quarterly/ | (1.80)%/ | ||||||||||||||||||||||
Semiannually) | 8,600,000 | 0.131% | (443,814 | ) | 118,492 | — | (562,306 | ) | (75,144 | ) | |||||||||||||
Total IRS Contracts | $ | (6,898,111 | ) | $ | 358,421 | $ | 1,927,170 | $ | (9,183,702 | ) | $ | 1,713,827 |
The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts and foreign currency exchange contracts presented above represent the Fund's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin are reflected in the Fund's net assets.
1 | See Note 7 in “Notes to financial statements." |
2 | 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). 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 CDS agreement. |
3 | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
4 | Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(1,178,479). |
5 | Markit’s iTraxx Europe Subordinated Financials Index, or the ITRX EUR SUB FIN, is comprised of 25 Financial entities from the Markit iTraxx® Europe Index referencing subordinated debt. |
6 | Markit’s North America High Yield CDX Index, or the CDX.NA.HY Index, is composed of 100 liquid North American entities with high yield credit ratings that trade is in the CDS market. |
7 | Markit’s North America Investment Grade Index, or the CDX.NA.IG Index, is composed of 125 liquid North American entities with investment grade credit ratings that trade in the CDS market. |
8 | Markit’s CMBX Index, or the CMBX.NA Index, is a synthetic tradable index referencing a basket of 25 commercial mortgage-backed securities in North America. Credit-quality rating are measured on a scale that generally ranges from AAA (highest) to BB (lowest). US Agency and US Agency mortgage-backed securities appear under US Government. |
9 | An IRS 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. |
10 | Rate resets based on MXIBTIIE. |
11 | Rate resets based on LIBOR03M. |
12 | Rate resets based on Brazil CETIP Interbank Deposit. |
13 | Rate resets based on CDOR06M. |
14 | Rate resets based on BP0012M. |
Summary of abbreviations:
ABS – Asset-Backed Security
ARM – Adjustable Rate Mortgage
98
Summary of abbreviations: (continued)
BAML – Bank of America Merrill Lynch
BB – Barclays Bank
BNP – BNP Paribas
BP0003M – 3 Month Sterling LIBOR Interest Rate
BP0012M – 12 Month Sterling LIBOR Interest Rate
BTP – Buoni del Tesoro Poliennali
CDOR06M – 6 Month Canadian Dollar Offered Rate
CDS – Credit Default Swap
CDX.ITRX.EUR – Credit Default Swap Index iTraxx Europe
CDX.NA.HY – Credit Default Swap Index North America High Yield
CDX.NA.IG – Credit Default Swap Index North America Investment Grade
CITI – Citigroup
CLO – Collateralized Loan Obligation
CMBX.NA – Commercial Mortgage-Backed Index North America
COF 11 – Cost of Funds for the 11th District of San Francisco
DAC – Designated Activity Company
DB – Deutsche Bank
EUR003M – EURIBOR EUR 3 Month
EURIBOR – Euro interbank offered rate
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
GS – Goldman Sachs
GSC – Goldman Sachs Bank USA
H15T1Y – US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
ICE – Intercontinental Exchange, Inc.
IRS – Interest Rate Swap
JPM – JPMorgan
JPMCB – JPMorgan Chase Bank
JSC – Joint Stock Company
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
LIBOR12M – ICE LIBOR USD 12 Month
MASTR – Mortgage Asset Securitization Transactions, Inc.
MS – Morgan Stanley
MXIBTIIE – Mexico 28 days interbank rate
PIK – Payment-in-kind
PJSC – Private Joint Stock Company
REMIC – Real Estate Mortgage Investment Conduit
Summary of abbreviations: (continued)
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
SONIA3M – 3 Month Sterling Overnight Indexed Average
TBA – To be announced
TBD – To be determined
TD – TD Bank
TSFR03M – 3 Month Term Secured Overnight Financing Rate
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
yr – Year
Summary of currencies:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
CLP – Chilean Peso
COP – Colombian Peso
CZK – Czech Koruna
DKK – Danish Krone
EUR – European Monetary Unit
GBP – British Pound Sterling
HUF – Hungarian Forint
IDR – Indonesian Rupiah
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
MYR – Malaysian Ringgit
PEN – Peruvian Sol
PLN – Polish Zloty
USD – US Dollar
UYU – Uruguayan Peso
ZAR – South African Rand
See accompanying notes, which are an integral part of the financial statements.
99
Schedules of investments
Optimum International Fund
March 31, 2022
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 96.99%∆ | ||||||
Australia – 4.60% | ||||||
Australian Clinical Labs | 32,563 | $ | 124,777 | |||
Base Resources | 216,665 | 56,746 | ||||
BHP Group | 27,890 | 1,075,089 | ||||
BlueScope Steel | 352,361 | 5,479,249 | ||||
Cochlear | 30,282 | 5,055,915 | ||||
DGL Group † | 11,007 | 26,843 | ||||
EBOS Group | 10,462 | 299,665 | ||||
Enero Group | 23,974 | 69,554 | ||||
GrainCorp Class A | 27,532 | 174,236 | ||||
Imdex | 48,464 | 98,146 | ||||
Incitec Pivot | 298,052 | 843,702 | ||||
Lynas Rare Earths † | 551,029 | 4,393,051 | ||||
Metals X † | 66,900 | 34,511 | ||||
Nufarm | 262,892 | 1,238,594 | ||||
Perseus Mining | 195,584 | 287,301 | ||||
Rio Tinto | 125,549 | 10,037,211 | ||||
South32 | 2,417,891 | 9,191,081 | ||||
Wagners Holding † | 20,675 | 22,867 | ||||
Whitehaven Coal | 1,323,156 | 4,108,782 | ||||
42,617,320 | ||||||
Austria – 0.83% | ||||||
ANDRITZ | 29,128 | 1,345,242 | ||||
AT&S Austria Technologie & | ||||||
Systemtechnik | 505 | 27,945 | ||||
EVN | 10,863 | 280,039 | ||||
OMV | 124,791 | 5,962,825 | ||||
Raiffeisen Bank International | 6,398 | 90,833 | ||||
Zumtobel Group | 4,204 | 34,089 | ||||
7,740,973 | ||||||
Belgium – 0.39% | ||||||
Umicore | 83,772 | 3,621,244 | ||||
3,621,244 | ||||||
Brazil – 2.26% | ||||||
Dexco | 44,610 | 137,549 | ||||
ERO Copper † | 9,300 | 136,210 | ||||
Marfrig Global Foods | 327,900 | 1,473,847 | ||||
MercadoLibre † | 15,308 | 18,208,560 | ||||
Transmissora Alianca de Energia | ||||||
Eletrica | 98,100 | 912,376 | ||||
Unipar Carbocloro | 3,704 | 76,335 | ||||
20,944,877 | ||||||
Canada – 3.17% | ||||||
Advantage Energy † | 41,200 | 287,047 | ||||
Alaris Equity Partners Income | 10,277 | 166,139 | ||||
Aritzia † | 2,600 | 106,130 | ||||
Artis Real Estate Investment Trust | 3,564 | 37,261 | ||||
Baytex Energy † | 109,700 | 478,235 | ||||
Birchcliff Energy | 12,927 | 86,445 | ||||
Bird Construction | 33,900 | 247,576 | ||||
Black Diamond Group | 5,800 | 22,780 | ||||
Canadian Natural Resources | 23,600 | 1,461,325 | ||||
Canfor † | 12,800 | 263,751 | ||||
Capstone Copper † | 106,600 | 602,857 | ||||
Cardinal Energy † | 4,304 | 26,303 | ||||
Celestica † | 54,897 | 652,976 | ||||
CI Financial | 14,700 | 233,526 | ||||
Colliers International Group | 286 | 37,294 | ||||
Constellation Software | 3,251 | 5,557,243 | ||||
Crew Energy † | 70,025 | 290,149 | ||||
Dexterra Group | 7,500 | 47,154 | ||||
E-L Financial | 100 | 70,632 | ||||
Fairfax Financial Holdings | 1,700 | 927,449 | ||||
Finning International | 24,800 | 746,688 | ||||
Gildan Activewear | 59,500 | 2,231,696 | ||||
iA Financial | 5,000 | 304,003 | ||||
Imperial Oil | 13,000 | 629,124 | ||||
International Petroleum † | 9,098 | 85,774 | ||||
Intertape Polymer Group | 4,366 | 138,578 | ||||
Linamar | 4,800 | 213,363 | ||||
MEG Energy † | 13,000 | 177,507 | ||||
Methanex | 14,000 | 763,412 | ||||
Neo Performance Materials | 1,900 | 23,132 | ||||
North West | 682 | 20,894 | ||||
NuVista Energy † | 90,543 | 765,540 | ||||
Obsidian Energy † | 49,400 | 437,829 | ||||
Parex Resources | 30,100 | 617,578 | ||||
Pason Systems | 3,600 | 44,087 | ||||
Peyto Exploration & Development | 1,507 | 15,285 | ||||
PHX Energy Services | 10,600 | 56,046 | ||||
Pizza Pizza Royalty | 5,900 | 66,544 | ||||
Primaris Real Estate Investment | ||||||
Trust | 15,600 | 193,292 | ||||
Richelieu Hardware | 7,097 | 258,527 | ||||
Ritchie Bros Auctioneers | 70,309 | 4,150,340 | ||||
Total Energy Services † | 7,700 | 48,042 | ||||
Tourmaline Oil | 112,000 | 5,160,341 | ||||
TransGlobe Energy | 13,339 | 48,554 | ||||
Trican Well Service † | 30,300 | 90,162 | ||||
Uni-Select † | 4,000 | 97,588 | ||||
Wajax | 1,700 | 26,870 | ||||
West Fraser Timber | 3,300 | 271,518 | ||||
Western Forest Products | 65,984 | 106,090 | ||||
29,390,676 | ||||||
Chile – 0.10% | ||||||
Cia Cervecerias Unidas ADR | 64,170 | 959,983 | ||||
959,983 |
100
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
China/Hong Kong – 10.40% | ||||||
37 Interactive Entertainment | ||||||
Network Technology Group | ||||||
Class A | 836,400 | $ | 3,072,703 | |||
AIA Group | 1,338,400 | 13,975,420 | ||||
Alibaba Group Holding † | 430,900 | 5,880,368 | ||||
Asia Cement China Holdings | 393,862 | 252,054 | ||||
ASM Pacific Technology | 56,400 | 567,804 | ||||
Build King Holdings | 80,674 | 8,618 | ||||
China BlueChemical Class H | 500,000 | 170,598 | ||||
China Construction Bank Class H | 9,884,000 | 7,403,760 | ||||
China Design Group Class A | 128,700 | 172,402 | ||||
China Display Optoelectronics | ||||||
Technology Holdings † | 344,000 | 19,154 | ||||
China Risun Group | 42,000 | 22,174 | ||||
China South Publishing & Media | ||||||
Group Class A | 216,845 | 323,290 | ||||
China Taiping Insurance Holdings | 415,200 | 503,627 | ||||
Chinese Universe Publishing and | ||||||
Media Group Class A | 575,900 | 1,021,889 | ||||
Chow Tai Fook Jewellery Group | 122,600 | 221,429 | ||||
Dah Sing Financial Holdings | 30,000 | 96,941 | ||||
Dazzle Fashion Class A | 184,660 | 472,715 | ||||
Fufeng Group | 160,000 | 63,103 | ||||
Futu Holdings ADR † | 27,730 | 902,889 | ||||
G-bits Network Technology Xiamen | ||||||
Class A | 26,800 | 1,515,371 | ||||
Hangzhou Tigermed Consulting | ||||||
Class H | 151,600 | 1,828,379 | ||||
Hebei Chengde Lulu Class A | 309,400 | 398,448 | ||||
Hong Kong Exchanges & Clearing | 128,200 | 6,009,160 | ||||
Inner Mongolia Yitai Coal Class H | 15,000 | 17,449 | ||||
JD.com Class A † | 8,829 | 250,863 | ||||
Jingjin Equipment Class A | 86,082 | 547,583 | ||||
JNBY Design | 77,000 | 91,370 | ||||
Lansen Pharmaceutical Holdings | 24,509 | 3,027 | ||||
Lenovo Group | 3,864,000 | 4,185,704 | ||||
Luolai Lifestyle Technology Class A | 565,792 | 1,151,962 | ||||
Meituan Class B † | 224,900 | 4,260,492 | ||||
Midland Holdings † | 38,000 | 4,041 | ||||
Nanjing Iron & Steel Class A | 586,300 | 332,210 | ||||
Opple Lighting Class A | 62,900 | 181,468 | ||||
Orient Overseas International | 116,491 | 3,068,648 | ||||
Pacific Basin Shipping | 164,930 | 88,308 | ||||
PAX Global Technology | 113,000 | 92,349 | ||||
PetroChina Class H | 1,724,000 | 875,476 | ||||
Ping An Healthcare and | ||||||
Technology † | 509,100 | 1,315,783 | ||||
Ping An Insurance Group Co. of | ||||||
China Class H | 863,000 | 6,033,289 | ||||
Prosus † | 46,305 | 2,497,129 | ||||
SGIS Songshan Class A | 2,477,300 | 1,709,261 | ||||
Shaanxi Coal Industry Class A | 1,041,000 | 2,699,697 | ||||
Shanghai Weaver Network Class A | 33,700 | 282,506 | ||||
Shanxi Taigang Stainless Steel | ||||||
Class A | 955,694 | 1,006,550 | ||||
Shenzhen Tagen Group Class A | 593,900 | 643,781 | ||||
Sinopec Engineering Group | ||||||
Class H | 34,001 | 17,321 | ||||
Sinotruk Hong Kong | 488,052 | 741,222 | ||||
Suzhou Gold Mantis Construction | ||||||
Decoration Class A | 401,400 | 344,826 | ||||
Ten Pao Group Holdings | 36,000 | 8,340 | ||||
Tencent Holdings | 195,200 | 8,997,616 | ||||
Tencent Music Entertainment | ||||||
Group ADR † | 516,494 | 2,515,326 | ||||
Texhong Textile Group | 104,524 | 129,011 | ||||
United Laboratories International | ||||||
Holdings | 222,000 | 116,104 | ||||
Vatti Class A | 1,891,881 | 1,632,823 | ||||
Wuxi Biologics Cayman † | 193,500 | 1,536,507 | ||||
Xiangpiaopiao Food Class A | 39,200 | 80,545 | ||||
Xinyu Iron & Steel Class A | 285,000 | 252,585 | ||||
Yue Yuen Industrial Holdings † | 21,000 | 33,886 | ||||
Zai Lab † | 439,590 | 2,017,446 | ||||
Zhejiang Semir Garment Class A | 1,600,478 | 1,709,021 | ||||
Zhenro Properties Group | 1,431,000 | 111,026 | ||||
96,484,847 | ||||||
Czech Republic – 0.03% | ||||||
CEZ | 7,660 | 321,285 | ||||
321,285 | ||||||
Denmark – 4.90% | ||||||
Ambu Class B | 115,920 | 1,706,476 | ||||
AP Moller - Maersk Class B | 2,780 | 8,353,799 | ||||
Chr Hansen Holding | 55,082 | 4,044,505 | ||||
Demant † | 46,807 | 2,118,247 | ||||
DSV | 39,288 | 7,529,766 | ||||
Genmab † | 6,254 | 2,258,652 | ||||
Novo Nordisk Class B | 93,499 | 10,370,548 | ||||
Novozymes Class B | 101,241 | 6,941,508 | ||||
Pandora | 21,292 | 2,028,369 | ||||
Solar Class B | 614 | 67,447 | ||||
45,419,317 | ||||||
Egypt – 0.00% | ||||||
ElSewedy Electric | 76,312 | 34,317 | ||||
34,317 | ||||||
Finland – 0.62% | ||||||
Kone Class B | 107,530 | 5,627,056 |
101
Schedules of investments
Optimum International Fund
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
Finland (continued) | ||||||
Orion Class A | 1,418 | $ | 64,237 | |||
QT Group † | 2 | 276 | ||||
Vaisala Class A | 805 | 38,427 | ||||
5,729,996 | ||||||
France – 3.19% | ||||||
Aubay | 452 | 29,957 | ||||
Danone | 117,302 | 6,480,114 | ||||
Dassault Systemes | 137,203 | 6,740,598 | ||||
Derichebourg | 2,657 | 27,689 | ||||
Edenred | 129,850 | 6,420,412 | ||||
Ipsen | 7,085 | 886,863 | ||||
IPSOS | 23,199 | 1,154,784 | ||||
Publicis Groupe | 31,282 | 1,898,619 | ||||
Sartorius Stedim Biotech | 5,572 | 2,281,259 | ||||
Societe Generale | 130,828 | 3,507,153 | ||||
Thermador Groupe | 255 | 26,658 | ||||
Virbac | 331 | 132,325 | ||||
29,586,431 | ||||||
Germany – 6.11% | ||||||
Atoss Software | 919 | 181,291 | ||||
Bastei Luebbe | 1,488 | 11,383 | ||||
Bayer | 73,384 | 5,019,399 | ||||
BioNTech ADR † | 15,292 | 2,608,203 | ||||
Carl Zeiss Meditec | 11,603 | 1,868,978 | ||||
Datagroup | 369 | 33,553 | ||||
Dermapharm Holding | 3,040 | 193,292 | ||||
Deutsche Boerse | 61,280 | 11,031,066 | ||||
Deutsche Post | 120,287 | 5,743,931 | ||||
Merck | 35,380 | 7,388,568 | ||||
Rational | 7,435 | 5,120,652 | ||||
SAP | 86,914 | 9,632,518 | ||||
Scout24 | 137,796 | 7,856,047 | ||||
Westwing Group † | 2 | 25 | ||||
56,688,906 | ||||||
Greece – 0.13% | ||||||
National Bank of Greece † | 310,281 | 1,142,872 | ||||
Thrace Plastics Holding and Co. | 17,069 | 99,596 | ||||
1,242,468 | ||||||
Hungary – 0.34% | ||||||
MOL Hungarian Oil | ||||||
& Gas † | 176,783 | 1,553,284 | ||||
OTP Bank † | 44,217 | 1,604,105 | ||||
3,157,389 | ||||||
India – 3.01% | ||||||
AurionPro Solutions † | 13,221 | 56,493 | ||||
Century Plyboards India | 3,295 | 30,952 | ||||
Coal India | 39,804 | 95,761 | ||||
Cosmo Films | 9,965 | 227,060 | ||||
Cyient | 21,795 | 265,214 | ||||
Deccan Cements | 5,297 | 38,637 | ||||
Dhampur Sugar Mills | 59,731 | 418,059 | ||||
Dwarikesh Sugar Industries | 162,577 | 266,879 | ||||
EID Parry India | 25,171 | 149,733 | ||||
EKI Energy Services | 1,000 | 103,526 | ||||
Finolex Industries | 202,422 | 410,300 | ||||
GAIL India | 682,031 | 1,394,788 | ||||
Greenply Industries | 21,297 | 61,342 | ||||
Gujarat Ambuja Exports | 60,892 | 207,620 | ||||
Gujarat Narmada Valley Fertilizers | ||||||
& Chemicals | 131,154 | 1,452,173 | ||||
HIL | 2,577 | 134,404 | ||||
Housing Development Finance | 327,093 | 10,227,572 | ||||
ICICI Lombard General Insurance | 232,305 | 4,052,338 | ||||
Indian Oil | 1,423,444 | 2,221,281 | ||||
INEOS Styrolution India | 10,204 | 130,529 | ||||
JK Lakshmi Cement | 72,262 | 451,449 | ||||
Kirloskar Industries | 1,576 | 32,149 | ||||
KPIT Technologies | 123,203 | 969,201 | ||||
Mangalam Cement | 6,512 | 33,203 | ||||
Mphasis | 621 | 27,475 | ||||
National Aluminium | 1,773,827 | 2,825,537 | ||||
Oracle Financial Services Software | 1,076 | 50,693 | ||||
Persistent Systems | 6,074 | 379,890 | ||||
Polyplex | 7,812 | 248,413 | ||||
Rupa & Co. | 325 | 1,865 | ||||
Savita Oil Technologies | 4,870 | 67,144 | ||||
Shree Digvijay Cement | 11,266 | 10,211 | ||||
Siyaram Silk Mills | 21,831 | 120,155 | ||||
Sonata Software | 21,610 | 209,631 | ||||
Tanla Platforms | 6,083 | 121,299 | ||||
Technocraft Industries India † | 2,371 | 30,644 | ||||
Triveni Engineering & Industries | 59,439 | 242,625 | ||||
Vardhman Textiles | 19,495 | 111,611 | ||||
Yasho Industries | 10 | 252 | ||||
27,878,108 | ||||||
Indonesia – 0.23% | ||||||
Adaro Energy Indonesia | 1,716,000 | 321,395 | ||||
Bank Tabungan Negara Persero | 577,900 | 68,788 | ||||
Bukit Asam | 1,230,200 | 281,102 | ||||
Telkom Indonesia Persero | 1,590,400 | 505,988 | ||||
Timah † | 373,374 | 47,235 | ||||
United Tractors | 516,200 | 916,260 | ||||
2,140,768 | ||||||
Iraq – 0.00% | ||||||
Gulf Keystone Petroleum | 9,433 | 29,327 | ||||
29,327 |
102
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
Ireland – 2.83% | ||||||
CRH | 116,382 | $ | 4,641,914 | |||
CRH (London Stock Exchange) | 87,683 | 3,502,206 | ||||
Kingspan Group | 94,496 | 9,236,685 | ||||
Ryanair Holdings ADR † | 101,377 | 8,831,964 | ||||
26,212,769 | ||||||
Israel – 1.25% | ||||||
Bank Leumi Le-Israel | 556,409 | 5,994,033 | ||||
Bezeq The Israeli | ||||||
Telecommunication † | 88,409 | 151,490 | ||||
Check Point Software | ||||||
Technologies † | 19,591 | 2,708,652 | ||||
Duniec Brothers | 1,067 | 70,201 | ||||
FIBI Holdings | 7,012 | 338,710 | ||||
ICL Group | 126,742 | 1,506,656 | ||||
Israel † | 731 | 422,842 | ||||
ZIM Integrated Shipping Services | 5,138 | 373,584 | ||||
11,566,168 | ||||||
Italy – 1.51% | ||||||
Aeffe † | 3,967 | 8,450 | ||||
Banca IFIS | 8,999 | 183,996 | ||||
Eni | 589,433 | 8,595,835 | ||||
FinecoBank Banca Fineco | 311,196 | 4,720,871 | ||||
Immobiliare Grande Distribuzione | ||||||
SIIQ † | 17,341 | 83,329 | ||||
MFE-MediaForEurope Class A † | 218,942 | 153,492 | ||||
Recordati Industria Chimica e | ||||||
Farmaceutica | 5,628 | 282,185 | ||||
14,028,158 | ||||||
Japan – 11.41% | ||||||
A&A Material | 1,800 | 13,049 | ||||
A&D HOLON Holdings | 9,400 | 73,869 | ||||
Achilles | 3,900 | 40,353 | ||||
Advanced Media † | 6,500 | 31,720 | ||||
AGS | 3,000 | 19,512 | ||||
Aichi Bank | 1,000 | 36,985 | ||||
Aizawa Securities Group | 3,500 | 20,943 | ||||
Akatsuki | 2,700 | 63,800 | ||||
Alps Alpine | 44,200 | 435,175 | ||||
Alps Logistics | 3,100 | 27,176 | ||||
Amano | 5,400 | 96,561 | ||||
Anest Iwata | 7,200 | 48,733 | ||||
Arisawa Manufacturing | 11,000 | 85,884 | ||||
Avant | 2,000 | 22,001 | ||||
Bank of Nagoya | 1,100 | 25,874 | ||||
BIPROGY | 9,600 | 243,558 | ||||
BML | 8,100 | 204,341 | ||||
Brother Industries | 54,300 | 987,468 | ||||
Canon | 249,100 | 6,071,562 | ||||
Canon Marketing Japan | 3,500 | 71,890 | ||||
Chiba Kogyo Bank | 10,300 | 22,051 | ||||
Computer Engineering & | ||||||
Consulting | 5,700 | 59,613 | ||||
Cosel | 6,400 | 42,085 | ||||
CTI Engineering | 2,000 | 37,186 | ||||
Cybernet Systems | 600 | 3,631 | ||||
Dai Nippon Toryo | 4,200 | 26,918 | ||||
Dai-ichi Life Holdings | 18,100 | 367,806 | ||||
Daiken | 2,200 | 38,994 | ||||
Daito Trust Construction | 3,300 | 350,277 | ||||
Daitron | 3,000 | 46,134 | ||||
Daiwa House Industry | 19,800 | 516,160 | ||||
Daiwa Industries | 4,700 | 41,732 | ||||
Densan System Holdings | 1,200 | 25,336 | ||||
Denso | 113,300 | 7,228,553 | ||||
Digital Holdings | 2,200 | 25,025 | ||||
Disco | 6,800 | 1,901,535 | ||||
Doshisha | 6,100 | 74,578 | ||||
Eizo | 13,400 | 392,218 | ||||
Elecom | 23,800 | 285,867 | ||||
Elematec | 9,800 | 83,296 | ||||
en Japan | 7,100 | 170,235 | ||||
Enplas | 5,300 | 117,270 | ||||
FANUC | 37,600 | 6,599,173 | ||||
FFRI Security † | 2,100 | 19,875 | ||||
France Bed Holdings | 5,600 | 39,625 | ||||
Fudo Tetra | 3,700 | 46,050 | ||||
Fujikura † | 68,340 | 345,903 | ||||
Fujitsu | 28,400 | 4,255,051 | ||||
Fuso Pharmaceutical Industries | 600 | 10,732 | ||||
Gakujo | 2,600 | 21,136 | ||||
Glory | 9,000 | 152,095 | ||||
H.U. Group Holdings | 7,600 | 180,499 | ||||
Hino Motors | 13,800 | 80,672 | ||||
Hioki EE | 700 | 39,961 | ||||
Hisamitsu Pharmaceutical | 1,700 | 50,620 | ||||
Hito Communications Holdings | 2,000 | 29,386 | ||||
Hosokawa Micron | 1,900 | 41,455 | ||||
Ichiken | 3,100 | 47,202 | ||||
Ichiyoshi Securities | 15,600 | 78,825 | ||||
ID Holdings | 3,000 | 20,708 | ||||
Ines | 3,900 | 51,940 | ||||
I-Net | 2,300 | 23,989 | ||||
Infocom | 7,000 | 120,469 | ||||
Internet Initiative Japan | 14,500 | 481,587 | ||||
I-PEX | 9,200 | 109,658 | ||||
ISB | 3,100 | 28,544 | ||||
Ishihara Sangyo Kaisha | 3,600 | 31,429 | ||||
Itfor | 8,900 | 57,085 |
103
Schedules of investments
Optimum International Fund
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
Japan (continued) | ||||||
IwaiCosmo Holdings | 3,800 | $ | 41,329 | |||
J Trust | 48,900 | 140,080 | ||||
JAC Recruitment | 8,500 | 128,389 | ||||
Japan Exchange Group | 277,400 | 5,150,738 | ||||
Japan Post Insurance | 21,700 | 377,909 | ||||
Japan System Techniques | 3,900 | 80,998 | ||||
JK Holdings | 2,300 | 22,538 | ||||
Kaga Electronics | 2,900 | 76,653 | ||||
Kanaden | 2,900 | 23,538 | ||||
Kanamoto | 9,800 | 160,121 | ||||
Kandenko | 6,700 | 45,710 | ||||
Kanematsu | 3,100 | 33,912 | ||||
Kanematsu Electronics | 5,700 | 178,549 | ||||
Koa | 4,500 | 52,325 | ||||
Kokuyo | 21,500 | 283,085 | ||||
Konoike Transport | 8,800 | 82,689 | ||||
Kyokuto Securities | 8,400 | 50,320 | ||||
Marvelous | 9,000 | 53,041 | ||||
Maxell | 4,400 | 43,075 | ||||
Mazda Motor | 162,500 | 1,194,472 | ||||
Meitec | 900 | 48,754 | ||||
Melco Holdings | 3,200 | 102,181 | ||||
MIMAKI ENGINEERING | 12,800 | 71,366 | ||||
Miraial | 2,100 | 29,827 | ||||
Miroku Jyoho Service | 14,900 | 172,725 | ||||
Mitsubishi Electric | 181,000 | 2,075,863 | ||||
Mitsubishi Research Institute | 8,400 | 274,487 | ||||
Mixi | 34,600 | 620,998 | ||||
MonotaRO | 318,200 | 6,829,315 | ||||
MORESCO | 2,700 | 25,114 | ||||
Morningstar Japan | 5,600 | 26,754 | ||||
Nachi-Fujikoshi | 2,200 | 75,101 | ||||
Naigai Trans Line | 1,600 | 24,983 | ||||
Nice | 1,400 | 22,388 | ||||
Nidec | 85,500 | 6,753,053 | ||||
Nihon House Holdings | 7,300 | 26,994 | ||||
Nihon Kohden | 5,400 | 129,718 | ||||
Nikkon Holdings | 3,100 | 51,730 | ||||
Nikon | 124,000 | 1,324,076 | ||||
Nintendo | 9,800 | 4,946,668 | ||||
Nippon Gas | 5,900 | 71,998 | ||||
Nippon Steel Trading | 1,000 | 43,287 | ||||
Nippon Telegraph & Telephone | 57,600 | 1,673,505 | ||||
Nissei ASB Machine | 1,100 | 27,864 | ||||
Nissei Plastic Industrial | 2,800 | 23,057 | ||||
Nisshinbo Holdings | 68,300 | 591,493 | ||||
Nisso | 5,600 | 34,373 | ||||
Nitto Seiko | 6,700 | 27,539 | ||||
NS Solutions | 5,400 | 161,826 | ||||
OBIC Business Consultants | 600 | 20,853 | ||||
Okabe | 5,100 | 28,766 | ||||
Okamura | 5,500 | 54,307 | ||||
Okinawa Cellular Telephone | 1,900 | 76,780 | ||||
Osaki Electric | 19,600 | 74,842 | ||||
Otsuka Holdings | 9,600 | 331,659 | ||||
Pilot | 3,900 | 167,483 | ||||
Pronexus | 2,600 | 22,529 | ||||
Recruit Holdings | 31,700 | 1,377,271 | ||||
Rheon Automatic Machinery | 7,100 | 58,888 | ||||
Riken | 3,300 | 65,862 | ||||
Rohm | 800 | 62,112 | ||||
Ryobi | 5,200 | 45,380 | ||||
Sakai Moving Service | 900 | 31,146 | ||||
Sanshin Electronics | 5,700 | 74,769 | ||||
Sanwa Holdings | 7,000 | 70,845 | ||||
Sanyo Denki | 1,900 | 75,975 | ||||
SCREEN Holdings | 5,000 | 498,376 | ||||
Seiko Epson | 89,000 | 1,337,039 | ||||
Sekisui Kasei | 7,100 | 25,327 | ||||
Shibuya | 4,100 | 81,546 | ||||
Shikoku Bank | 5,800 | 35,278 | ||||
Shimano | 28,600 | 6,549,639 | ||||
Shindengen Electric Manufacturing | 6,100 | 154,189 | ||||
Shinnihon | 4,000 | 23,826 | ||||
Shiseido | 93,500 | 4,722,543 | ||||
Shofu | 1,800 | 22,982 | ||||
SIGMAXYZ Holdings | 1,400 | 13,044 | ||||
SMC | 13,200 | 7,378,722 | ||||
SMK | 1,300 | 23,702 | ||||
Soda Nikka | 4,600 | 24,279 | ||||
Sodick | 12,100 | 77,246 | ||||
Soliton Systems KK | 16,300 | 217,424 | ||||
Sompo Holdings | 13,100 | 575,620 | ||||
Sony Group | 91,100 | 9,371,978 | ||||
Space | 2,900 | 22,834 | ||||
Sprix | 2,700 | 29,349 | ||||
SRA Holdings | 3,400 | 77,184 | ||||
Star Micronics | 10,200 | 127,963 | ||||
Studio Alice | 1,300 | 23,240 | ||||
Sumitomo Realty & Development | 4,300 | 119,004 | ||||
Sun-Wa Technos | 2,700 | 29,590 | ||||
Takaoka Toko | 1,800 | 21,661 | ||||
Takara Standard | 12,700 | 131,473 | ||||
T-Gaia | 30,550 | 408,185 | ||||
TOA ROAD | 600 | 23,649 | ||||
Tochigi Bank | 15,400 | 27,753 | ||||
Toho Gas | 5,900 | 131,323 | ||||
Tokio Marine Holdings | 7,400 | 430,630 | ||||
Tokuyama | 3,900 | 54,570 | ||||
Tokyo Seimitsu | 7,700 | 304,317 |
104
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
Japan (continued) | ||||||
Topcon | 8,900 | $ | 112,753 | |||
Toshiba TEC | 2,900 | 116,120 | ||||
Transcosmos | 7,200 | 186,980 | ||||
TRE Holdings | 2,800 | 45,260 | ||||
Trend Micro | 15,300 | 893,491 | ||||
Trusco Nakayama | 3,200 | 62,612 | ||||
Tsubakimoto Chain | 2,600 | 64,704 | ||||
TV Asahi Holdings | 7,100 | 87,330 | ||||
Uchida Yoko | 1,100 | 43,645 | ||||
Union Tool | 1,800 | 55,899 | ||||
UNITED | 4,400 | 66,614 | ||||
Unitika † | 9,900 | 23,459 | ||||
Usen-Next Holdings | 6,300 | 130,567 | ||||
VINX | 2,800 | 26,436 | ||||
Wakita & Co. | 3,000 | 24,542 | ||||
Wowow | 2,000 | 26,274 | ||||
YAMADA Consulting Group | 1,600 | 15,436 | ||||
Yamaichi Electronics | 4,000 | 60,611 | ||||
Yushin Precision Equipment | 6,700 | 36,788 | ||||
Zenrin | 8,800 | 71,549 | ||||
105,833,153 | ||||||
Luxembourg – 0.57% | ||||||
Eurofins Scientific | 49,452 | 4,891,930 | ||||
RTL Group | 7,146 | 396,199 | ||||
5,288,129 | ||||||
Malaysia – 0.11% | ||||||
Hap Seng Plantations Holdings | 6,900 | 4,145 | ||||
Hong Leong Financial Group | 60,700 | 282,947 | ||||
Kuala Lumpur Kepong | 67,300 | 403,344 | ||||
Magni-Tech Industries | 37,800 | 17,415 | ||||
Sime Darby | 258,000 | 146,950 | ||||
Ta Ann Holdings | 130,900 | 160,327 | ||||
United Plantations | 6,700 | 23,899 | ||||
1,039,027 | ||||||
Mexico – 0.40% | ||||||
Alpek | 418,701 | 575,740 | ||||
Arca Continental | 76,606 | 519,912 | ||||
Grupo Financiero Inbursa Class O | ||||||
† | 198,588 | 415,347 | ||||
Ternium ADR | 47,180 | 2,153,767 | ||||
3,664,766 | ||||||
Netherlands – 5.28% | ||||||
Adyen † | 2,425 | 4,803,185 | ||||
ASML Holding | 13,536 | 9,045,051 | ||||
Brunel International | 4,916 | 59,665 | ||||
EXOR | 50,680 | 3,852,679 | ||||
Heineken Holding | 40,196 | 3,147,477 | ||||
IMCD | 60,432 | 10,309,243 | ||||
Randstad | 67,178 | 4,041,087 | ||||
TKH Group CVA | 850 | 47,453 | ||||
Topicus.com † | 64,090 | 4,780,540 | ||||
Van Lanschot Kempen CVA | 1,316 | 35,022 | ||||
Wolters Kluwer | 82,588 | 8,804,412 | ||||
48,925,814 | ||||||
New Zealand – 0.00% | ||||||
Channel Infrastructure NZ † | 20,418 | 14,716 | ||||
Skellerup Holdings | 6,325 | 26,170 | ||||
40,886 | ||||||
Norway – 1.32% | ||||||
Aker BP | 7,789 | 290,521 | ||||
Aker Carbon Capture † | 1,992,250 | 5,123,433 | ||||
Equinor | 163,070 | 6,088,489 | ||||
Norsk Hydro | 72,851 | 707,811 | ||||
12,210,254 | ||||||
Panama – 0.43% | ||||||
Copa Holdings Class A † | 47,167 | 3,945,048 | ||||
3,945,048 | ||||||
Philippines – 0.01% | ||||||
Ginebra San Miguel | 33,690 | 72,270 | ||||
72,270 | ||||||
Poland – 0.71% | ||||||
Alior Bank † | 12,155 | 131,727 | ||||
Asseco Poland | 25,982 | 498,709 | ||||
Bank Handlowy w Warszawie | 6,409 | 97,300 | ||||
Bank Millennium † | 100,051 | 156,831 | ||||
Bank Polska Kasa Opieki | 49,578 | 1,325,221 | ||||
Budimex | 941 | 49,964 | ||||
Grupa Azoty † | 26,566 | 269,729 | ||||
Grupa Lotos † | 5,149 | 71,632 | ||||
ING Bank Slaski | 956 | 53,511 | ||||
KRUK | 3,664 | 271,134 | ||||
LiveChat Software | 806 | 19,571 | ||||
mBank † | 8,403 | 700,787 | ||||
PGE Polska Grupa Energetyczna | ||||||
† | 72,911 | 157,041 | ||||
Polskie Gornictwo Naftowe i | ||||||
Gazownictwo | 167,515 | 246,259 | ||||
Powszechny Zaklad Ubezpieczen | 319,276 | 2,555,859 | ||||
Wielton | 8,434 | 16,259 | ||||
6,621,534 | ||||||
Republic of Korea – 5.06% | ||||||
BNK Financial Group | 55,107 | 358,737 | ||||
Coupang † | 213,287 | 3,770,914 | ||||
Creas F&C | 894 | 32,938 | ||||
Daechang Forging | 7,219 | 27,102 |
105
Schedules of investments
Optimum International Fund
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
Republic of Korea (continued) | ||||||
DGB Financial Group | 8,243 | $ | 63,002 | |||
Hana Financial Group | 9,782 | 389,061 | ||||
Handsome | 3,352 | 98,135 | ||||
HYUNDAI | 1,360 | 18,371 | ||||
Hyundai Engineering & | ||||||
Construction | 53,181 | 2,081,992 | ||||
JB Financial Group | 46,074 | 319,296 | ||||
KB Financial Group | 79,118 | 3,964,912 | ||||
Keyang Electric Machinery =, † | 9,000 | 26,620 | ||||
Kolon Industries | 3,419 | 177,219 | ||||
KT | 147,921 | 4,332,677 | ||||
KT ADR | 210,130 | 3,013,264 | ||||
LG Electronics | 30,003 | 2,951,196 | ||||
LX Semicon | 4,179 | 494,719 | ||||
NH Investment & Securities | 60,594 | 566,587 | ||||
POSCO Holdings | 14,698 | 3,525,664 | ||||
Sambo Corrugated Board | 3,798 | 42,852 | ||||
Samsung Card | 13,434 | 357,247 | ||||
Samsung Electronics | 197,569 | 11,305,488 | ||||
Sangsangin | 14,436 | 112,725 | ||||
SeAH Holdings | 322 | 30,083 | ||||
Shinhan Financial Group | 233,517 | 7,932,278 | ||||
SIMMTECH HOLDINGS | 14,030 | 65,817 | ||||
Woori Financial Group | 66,908 | 838,605 | ||||
46,897,501 | ||||||
Russia – 0.00% | ||||||
Magnit PJSC GDR = | 161,296 | 0 | ||||
MMC Norilsk Nickel PJSC ADR = | 100,954 | 0 | ||||
0 | ||||||
Singapore – 0.03% | ||||||
IGG | 192,000 | 90,968 | ||||
Riverstone Holdings | 143,000 | 104,453 | ||||
Samudera Shipping Line | 198,400 | 127,559 | ||||
322,980 | ||||||
South Africa – 1.91% | ||||||
AECI | 18,805 | 150,507 | ||||
African Rainbow Minerals | 5,071 | 99,303 | ||||
Anglo American | 156,607 | 8,137,673 | ||||
Discovery † | 670,889 | 8,357,058 | ||||
Motus Holdings | 19,058 | 139,904 | ||||
Ninety One | 16,741 | 56,149 | ||||
Omnia Holdings | 7,530 | 38,752 | ||||
Sappi † | 87,489 | 340,676 | ||||
Sasol † | 17,333 | 419,044 | ||||
17,739,066 | ||||||
Spain – 0.82% | ||||||
Amadeus IT Group † | 107,781 | 7,007,716 | ||||
Laboratorios Farmaceuticos Rovi | 7,439 | 551,240 | ||||
7,558,956 | ||||||
Sweden – 2.37% | ||||||
Atlas Copco Class B | 193,907 | 8,793,593 | ||||
Careium † | 276 | 491 | ||||
Doro † | 416 | 1,195 | ||||
Epiroc Class B | 395,861 | 7,147,043 | ||||
Getinge Class B | 88,134 | 3,511,168 | ||||
Instalco | 115 | 860 | ||||
Paradox Interactive | 4 | 76 | ||||
Telefonaktiebolaget LM Ericsson | ||||||
Class B | 275,926 | 2,515,216 | ||||
21,969,642 | ||||||
Switzerland – 7.45% | ||||||
Cie Financiere Richemont | 62,082 | 7,869,197 | ||||
Comet Holding | 415 | 119,845 | ||||
EFG International † | 3,470 | 26,740 | ||||
Huber + Suhner | 2,665 | 249,285 | ||||
Kuehne + Nagel International | 47,846 | 13,584,875 | ||||
Leonteq | 1,259 | 100,802 | ||||
Nestle | 95,803 | 12,456,178 | ||||
Rieter Holding † | 469 | 75,898 | ||||
Roche Holding | 38,950 | 15,411,030 | ||||
Sonova Holding | 17,000 | 7,101,552 | ||||
Straumann Holding | 2,626 | 4,192,901 | ||||
Tecan Group | 421 | 166,438 | ||||
Temenos | 48,965 | 4,709,931 | ||||
Wizz Air Holdings † | 55,557 | 2,094,737 | ||||
Zehnder Group | 11,237 | 971,332 | ||||
69,130,741 | ||||||
Taiwan – 6.62% | ||||||
Acer | 2,665,000 | 2,762,306 | ||||
Arcadyan Technology | 177,000 | 743,886 | ||||
ASPEED Technology | 6,000 | 675,414 | ||||
Asustek Computer | 467,000 | 6,058,704 | ||||
C Sun Manufacturing | 55,085 | 94,454 | ||||
Chicony Electronics | 79,000 | 246,256 | ||||
ChipMOS Technologies | 1,527,000 | 2,706,544 | ||||
CTBC Financial Holding | 1,799,000 | 1,833,371 | ||||
Evergreen Marine Taiwan | 873,000 | 4,057,844 | ||||
Everlight Electronics | 59,000 | 99,455 | ||||
Formosan Rubber Group | 56,000 | 43,838 | ||||
Fubon Financial Holding | 369,148 | 980,169 | ||||
General Interface Solution Holding | 140,000 | 464,879 | ||||
Gigabyte Technology | 8,000 | 35,647 | ||||
Greatek Electronics | 11,000 | 28,283 | ||||
Hon Hai Precision Industry | 1,195,000 | 4,387,837 | ||||
Lite-On Technology | 885,000 | 2,091,056 |
106
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
Taiwan (continued) | ||||||
Macronix International | 395,000 | $ | 545,778 | |||
Nanya Technology | 126,000 | 300,570 | ||||
Novatek Microelectronics | 260,000 | 3,822,967 | ||||
Pegatron | 138,000 | 347,492 | ||||
Pou Chen | 712,000 | 779,464 | ||||
Powertech Technology | 151,000 | 497,407 | ||||
Radiant Opto-Electronics | 19,000 | 68,247 | ||||
Realtek Semiconductor | 149,000 | 2,213,362 | ||||
Sea ADR † | 30,687 | 3,675,996 | ||||
Silicon Motion Technology ADR | 24,012 | 1,604,482 | ||||
Sitronix Technology | 5,000 | 50,019 | ||||
Taishin Financial Holding | 1,971,000 | 1,402,125 | ||||
Taiwan Semiconductor | ||||||
Manufacturing | 794,000 | 16,287,736 | ||||
Topco Scientific | 22,000 | 129,637 | ||||
Unitech Computer | 40,000 | 51,155 | ||||
Weblink International | 15,000 | 22,347 | ||||
Wholetech System Hitech | 119,000 | 216,531 | ||||
Yield Microelectronics † | 12,525 | 39,733 | ||||
Yuanta Financial Holding | 2,216,080 | 2,030,229 | ||||
61,395,220 | ||||||
Thailand – 0.61% | ||||||
Advanced Information Technology | ||||||
NVDR | 276,200 | 61,793 | ||||
Bangkok Bank NVDR | 888,500 | 3,636,632 | ||||
Krung Thai Bank NVDR | 1,077,430 | 444,820 | ||||
PTT Exploration & Production | ||||||
NVDR | 50,500 | 217,586 | ||||
PTT Global Chemical NVDR | 77,600 | 117,979 | ||||
PTT NVDR | 139,500 | 160,764 | ||||
Siam Commercial Bank NVDR | 262,400 | 894,794 | ||||
Somboon Advance Technology | ||||||
NVDR | 176,900 | 110,365 | ||||
5,644,733 | ||||||
Turkey – 0.04% | ||||||
Anadolu Efes Biracilik Ve Malt | ||||||
Sanayii | 29,808 | 54,476 | ||||
KOC Holding | 103,421 | 279,563 | ||||
Yapi ve Kredi Bankasi | 191,094 | 53,097 | ||||
387,136 | ||||||
Ukraine – 0.19% | ||||||
Ferrexpo | 741,228 | 1,799,654 | ||||
1,799,654 | ||||||
United Arab Emirates – 0.11% | ||||||
Dubai Islamic Bank PJSC | 244,953 | 410,215 | ||||
Emirates NBD Bank PJSC | 143,887 | 585,494 | ||||
995,709 | ||||||
United Kingdom – 2.57% | ||||||
888 Holdings | 6,188 | 14,998 | ||||
AG Barr | 8,562 | 59,927 | ||||
Bloomsbury Publishing | 7,978 | 44,335 | ||||
Endava ADR † | 25,836 | 3,436,963 | ||||
Experian | 180,214 | 6,942,857 | ||||
Frasers Group † | 15,284 | 126,495 | ||||
Gem Diamonds | 5,047 | 3,753 | ||||
Greggs | 7,101 | 228,067 | ||||
Howden Joinery Group | 140,053 | 1,404,036 | ||||
Indivior † | 330,484 | 1,216,461 | ||||
Investec | 312,725 | 2,076,772 | ||||
Just Eat Takeaway.com † | 31,006 | 1,046,766 | ||||
Man Group | 188,536 | 575,342 | ||||
Ninety One | 13,874 | 46,439 | ||||
Oxford Nanopore Technologies † | 407,516 | 2,119,462 | ||||
Polar Capital Holdings | 20,918 | 170,644 | ||||
Prudential | 291,031 | 4,296,571 | ||||
23,809,888 | ||||||
United States – 3.07% | ||||||
Atlassian Class A † | 19,355 | 5,687,080 | ||||
GlaxoSmithKline | 10,234 | 221,432 | ||||
GlaxoSmithKline ADR | 122,521 | 5,337,015 | ||||
Inmode † | 630 | 23,253 | ||||
James Hardie Industries CDI | 187,773 | 5,632,834 | ||||
Jasper Infotech =, †, π | 225,780 | 305,195 | ||||
Jasper Infotech Series G =, †, π | 74,730 | 101,015 | ||||
JBS | 725,900 | 5,715,964 | ||||
Sims | 84,858 | 1,367,788 | ||||
Spotify Technology † | 26,743 | 4,038,728 | ||||
Viemed Healthcare † | 11,948 | 60,115 | ||||
28,490,419 | ||||||
Total Common Stocks | ||||||
(cost $950,888,319) | 899,577,853 | |||||
Preferred Stocks – 1.41%Δ | ||||||
Brazil – 1.40% | ||||||
Braskem Class A 16.93% ω | 465,016 | 4,321,937 | ||||
Cia Paranaense de Energia 9.68% | ||||||
ω | 826,300 | 1,319,012 | ||||
Petroleo Brasileiro 17.29% ω | 1,049,200 | 7,356,002 | ||||
12,996,951 | ||||||
Germany – 0.01% | ||||||
Jungheinrich 1.07% ω | 3,027 | 87,654 | ||||
Villeroy & Boch 5.71% ω | 733 | 19,369 | ||||
107,023 | ||||||
Total Preferred Stocks | ||||||
(cost $10,350,914) | 13,103,974 |
107
Schedules of investments
Optimum International Fund
Number of | |||||||
shares | Value (US $) | ||||||
Warrants – 0.00% | |||||||
Malaysia – 0.00% | |||||||
BP Plastics Holding, | |||||||
expiration date 12/14/26 † | 9,340 | $ | 766 | ||||
Total Warrants | |||||||
(cost $0) | 766 | ||||||
Short-Term Investments – 0.77% | |||||||
Money Market Mutual Funds – 0.77% | |||||||
BlackRock FedFund – Institutional | |||||||
Shares (seven-day effective | |||||||
yield 0.23%) | 1,777,349 | 1,777,349 | |||||
Fidelity Investments Money Market | |||||||
Government Portfolio – Class I | |||||||
(seven-day effective yield | |||||||
0.12%) | 1,777,349 | 1,777,349 | |||||
GS Financial Square Government | |||||||
Fund – Institutional Shares | |||||||
(seven-day effective yield | |||||||
0.25%) | 1,777,350 | 1,777,350 | |||||
Morgan Stanley Government | |||||||
Portfolio – Institutional Share | |||||||
Class (seven-day effective yield | |||||||
0.23%) | 1,777,349 | 1,777,349 | |||||
Total Short-Term Investments | |||||||
(cost $7,109,397) | 7,109,397 | ||||||
Total Value of Securities–99.17% | |||||||
(cost $968,348,630) | $ | 919,791,990 |
Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 13 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
π | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At March 31, 2022, the aggregate value of restricted securities was $406,210 which represented percentage of 0.04% of the Fund’s net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. |
ω | Perpetual security with no stated maturity date. |
Restricted Securities
Investments | Date of Acquisition | Cost | Value | |||||||
Jasper Infotech | 5/7/14 | $ | 999,482 | $ | 305,195 | |||||
Jasper Infotech Series G | 10/29/14 | 396,443 | 101,015 | |||||||
Total | $ | 1,395,925 | $ | 406,210 |
The following foreign currency exchange contracts were outstanding at March 31, 2022:1
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | Unrealized | ||||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Appreciation | Depreciation | ||||||||||||
BNYM | AUD | (88,090) | USD | 66,134 | 4/1/22 | $ | 216 | $ | – | ||||||||
BNYM | DKK | (470,954) | USD | 70,681 | 4/1/22 | 640 | – | ||||||||||
BNYM | GBP | (32,875) | USD | 43,203 | 4/4/22 | 18 | – | ||||||||||
BNYM | JPY | (2,738,925) | USD | 22,444 | 4/1/22 | – | (54 | ) | |||||||||
BNYM | JPY | (3,850,830) | USD | 31,653 | 4/4/22 | 20 | – | ||||||||||
BNYM | TWD | (463,664) | USD | 16,208 | 4/1/22 | 25 | – | ||||||||||
JPMCB | JPY | (21,049,637) | USD | 172,759 | 4/1/22 | – | (150 | ) | |||||||||
SSB | JPY | 29,995,373 | USD | (246,125) | 4/1/22 | 267 | – | ||||||||||
Total Foreign Currency Exchange Contracts | $ | 1,186 | $ | (204 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 7 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
BNYM – Bank of New York Mellon
108
Summary of abbreviations: (continued)
CDI – CHESS Depositary Interest
CVA – Certified Dutch Certificate
GDR – Global Depositary Receipt
GS – Goldman Sachs
JPMCB – JPMorgan Chase Bank
NVDR – Non-Voting Depositary Receipt
PJSC – Private Joint Stock Company
SSB – State Street Bank
Summary of currencies:
AUD – Australian Dollar
DKK – Danish Krone
GBP – British Pound Sterling
JPY – Japanese Yen
TWD – New Taiwan Dollar
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
109
Schedules of investments
Optimum Large Cap Growth Fund
March 31, 2022
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 97.28% ◆ | ||||||
Communication Services – 13.42% | ||||||
Activision Blizzard | 61,390 | $ | 4,917,953 | |||
Alphabet Class A † | 17,425 | 48,465,023 | ||||
Alphabet Class C † | 14,760 | 41,224,532 | ||||
Match Group † | 69,470 | 7,554,168 | ||||
Meta Platforms Class A † | 312,335 | 69,450,811 | ||||
Netflix † | 94,211 | 35,290,498 | ||||
ROBLOX Class A † | 83,635 | 3,867,282 | ||||
Sea ADR † | 177,234 | 21,230,861 | ||||
Snap Class A † | 376,072 | 13,534,831 | ||||
Spotify Technology † | 51,062 | 7,711,383 | ||||
Walt Disney † | 98,310 | 13,484,200 | ||||
266,731,542 | ||||||
Consumer Discretionary – 21.47% | ||||||
Advance Auto Parts | 66,630 | 13,789,745 | ||||
Airbnb Class A † | 29,681 | 5,098,009 | ||||
Alibaba Group Holding ADR † | 79,380 | 8,636,544 | ||||
Amazon.com † | 60,501 | 197,230,235 | ||||
Aptiv † | 105,833 | 12,669,268 | ||||
Booking Holdings † | 3,371 | 7,916,625 | ||||
Carvana † | 14,299 | 1,705,728 | ||||
Chipotle Mexican Grill † | 7,048 | 11,150,147 | ||||
Coupang † | 166,373 | 2,941,475 | ||||
DoorDash Class A † | 62,646 | 7,341,485 | ||||
Expedia Group † | 37,423 | 7,322,558 | ||||
Ferrari | 36,132 | 7,880,028 | ||||
Las Vegas Sands † | 135,643 | 5,272,443 | ||||
Lululemon Athletica † | 27,636 | 10,093,496 | ||||
Magic Leap Class A = | 2,058 | 37,542 | ||||
NIKE Class B | 113,000 | 15,205,280 | ||||
Peloton Interactive Class A † | 145,801 | 3,852,062 | ||||
Rivian Automotive Class A † | 172,404 | 8,661,577 | ||||
Ross Stores | 160,069 | 14,479,842 | ||||
Tesla † | 47,662 | 51,360,571 | ||||
Tractor Supply | 73,110 | 17,061,681 | ||||
Ulta Beauty † | 27,545 | 10,968,970 | ||||
Wynn Resorts † | 75,998 | 6,060,080 | ||||
426,735,391 | ||||||
Consumer Staples – 0.82% | ||||||
Monster Beverage † | 203,220 | 16,237,278 | ||||
16,237,278 | ||||||
Financials – 1.15% | ||||||
MarketAxess Holdings | 5,562 | 1,892,193 | ||||
S&P Global | 48,446 | 19,871,580 | ||||
Tradeweb Markets Class A | 12,652 | 1,111,731 | ||||
22,875,504 | ||||||
Healthcare – 11.61% | ||||||
Alcon | 185,020 | 14,677,637 | ||||
Align Technology † | 14,914 | 6,502,504 | ||||
Argenx ADR † | 10,454 | 3,296,251 | ||||
AstraZeneca ADR | 38,667 | 2,565,169 | ||||
Avantor † | 152,135 | 5,145,206 | ||||
BioMarin Pharmaceutical † | 23,890 | 1,841,919 | ||||
Cigna | 23,212 | 5,561,827 | ||||
Dexcom † | 32,700 | 16,729,320 | ||||
Eli Lilly & Co. | 36,032 | 10,318,484 | ||||
HCA Healthcare | 29,896 | 7,492,535 | ||||
Humana | 14,345 | 6,242,514 | ||||
Insulet † | 10,205 | 2,718,510 | ||||
Intuitive Surgical † | 106,914 | 32,253,815 | ||||
Stryker | 38,663 | 10,336,553 | ||||
Thermo Fisher Scientific | 50,230 | 29,668,349 | ||||
UnitedHealth Group | 97,569 | 49,757,263 | ||||
Zoetis | 135,600 | 25,572,804 | ||||
230,680,660 | ||||||
Industrials – 7.03% | ||||||
Airbus † | 61,998 | 7,481,205 | ||||
Cintas | 6,111 | 2,599,558 | ||||
Eaton | 113,290 | 17,192,891 | ||||
FedEx | 35,282 | 8,163,902 | ||||
Generac Holdings † | 24,083 | 7,158,913 | ||||
Raytheon Technologies | 191,090 | 18,931,286 | ||||
Roper Technologies | 18,258 | 8,621,975 | ||||
TransUnion | 66,089 | 6,829,637 | ||||
Uber Technologies † | 386,345 | 13,784,790 | ||||
United Parcel Service Class B | 120,980 | 25,945,371 | ||||
Verisk Analytics | 13,655 | 2,930,773 | ||||
WW Grainger | 38,970 | 20,100,336 | ||||
139,740,637 | ||||||
Information Technology – 41.06% | ||||||
Adobe † | 52,540 | 23,938,275 | ||||
Advanced Micro Devices † | 115,833 | 12,665,180 | ||||
Apple | 643,338 | 112,333,248 | ||||
ASML Holding | 44,725 | 29,873,169 | ||||
Atlassian Class A † | 84,467 | 24,818,939 | ||||
Bill.com Holdings † | 14,006 | 3,176,421 | ||||
Black Knight † | 106,118 | 6,153,783 | ||||
Block † | 18,228 | 2,471,717 | ||||
Block CDI † | 40,772 | 5,654,343 | ||||
Ceridian HCM Holding † | 33,688 | 2,302,912 | ||||
Datadog Class A † | 36,060 | 5,462,008 | ||||
Fidelity National Information | ||||||
Services | 85,590 | 8,594,948 | ||||
Fiserv † | 103,362 | 10,480,907 | ||||
Global Payments | 36,617 | 5,010,670 | ||||
HashiCorp Class A † | 9,008 | 486,432 | ||||
Intel | 191,300 | 9,480,828 | ||||
Intuit | 46,142 | 22,186,919 |
110
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks ◆ (continued) | ||||||
Information Technology (continued) | ||||||
Mastercard Class A | 48,195 | $ | 17,223,929 | |||
Microsoft | 550,935 | 169,858,770 | ||||
Monday.com † | 10,416 | 1,646,457 | ||||
MongoDB † | 17,382 | 7,710,481 | ||||
NVIDIA | 266,792 | 72,796,865 | ||||
NXP Semiconductors | 26,300 | 4,867,604 | ||||
Palo Alto Networks † | 54,770 | 34,094,873 | ||||
PayPal Holdings † | 144,010 | 16,654,757 | ||||
Salesforce † | 220,852 | 46,891,297 | ||||
SentinelOne Class A † | 126,970 | 4,918,818 | ||||
ServiceNow † | 29,007 | 16,153,708 | ||||
Snowflake Class A † | 18,900 | 4,330,557 | ||||
Splunk † | 113,845 | 16,918,505 | ||||
Taiwan Semiconductor | ||||||
Manufacturing ADR | 20,556 | 2,143,169 | ||||
Teledyne Technologies † | 24,307 | 11,488,217 | ||||
Toast Class A † | 4,618 | 100,349 | ||||
Trade Desk Class A † | 80,835 | 5,597,824 | ||||
Twilio Class A † | 15,131 | 2,493,740 | ||||
UiPath Class A † | 234,116 | 5,054,564 | ||||
Unity Software † | 81,400 | 8,075,694 | ||||
Visa Class A | 283,613 | 62,896,855 | ||||
Workday Class A † | 72,195 | 17,287,815 | ||||
Zoom Video Communications | ||||||
Class A † | 14,080 | 1,650,598 | ||||
815,946,145 | ||||||
Real Estate – 0.72% | ||||||
Equinix | 19,380 | 14,372,596 | ||||
14,372,596 | ||||||
Total Common Stocks | ||||||
(cost $1,231,605,514) | 1,933,319,753 | |||||
Short-Term Investments – 2.53% | ||||||
Money Market Mutual Funds – 2.53% | ||||||
BlackRock FedFund – | ||||||
Institutional Shares (seven- | ||||||
day effective yield 0.23%) | 12,565,968 | 12,565,968 | ||||
Fidelity Investments Money | ||||||
Market Government Portfolio | ||||||
– Class I (seven-day | ||||||
effective yield 0.12%) | 12,565,969 | 12,565,969 | ||||
GS Financial Square | ||||||
Government Fund – | ||||||
Institutional Shares (seven- | ||||||
day effective yield 0.25%) | 12,565,969 | 12,565,969 | ||||
Morgan Stanley Government | ||||||
Portfolio – Institutional Share | ||||||
Class (seven-day effective | ||||||
yield 0.23%) | 12,565,969 | 12,565,969 | ||||
Total Short-Term Investments | ||||||
(cost $50,263,875) | 50,263,875 | |||||
Total Value of | ||||||
Securities–99.81% | ||||||
(cost $1,281,869,389) | $ | 1,983,583,628 |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
The following foreign currency exchange contracts were outstanding at March 31, 2022:1
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | ||||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Depreciation | ||||||||||
BNYM | EUR | 356,112 | USD | (396,129) | 4/1/22 | $ | (2,169 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 7 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
BNYM – Bank of New York Mellon
111
Schedules of investments
Optimum Large Cap Growth Fund
Summary of abbreviations: (continued)
CDI – CHESS Depositary Interest
GS – Goldman Sachs
S&P – Standard & Poor’s Financial Services LLC
Summary of currencies:
EUR – European Monetary Unit
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
112
Optimum Large Cap Value Fund
March 31, 2022
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 98.27% | ||||||
Communication Services – 5.33% | ||||||
Alphabet Class A † | 10,092 | $ | 28,069,384 | |||
Charter Communications | ||||||
Class A † | 13,403 | 7,311,605 | ||||
Comcast Class A | 901,376 | 42,202,424 | ||||
Verizon Communications | 300,257 | 15,295,092 | ||||
Walt Disney † | 129,677 | 17,786,497 | ||||
110,665,002 | ||||||
Consumer Discretionary – 3.46% | ||||||
Darden Restaurants | 66,301 | 8,814,718 | ||||
General Motors † | 243,942 | 10,670,023 | ||||
Lowe's | 130,916 | 26,469,906 | ||||
Marriott International Class A † | 57,390 | 10,086,293 | ||||
Target | 74,319 | 15,771,978 | ||||
71,812,918 | ||||||
Consumer Staples – 5.24% | ||||||
Archer-Daniels-Midland | 45,268 | 4,085,890 | ||||
Colgate-Palmolive | 86,874 | 6,587,655 | ||||
Diageo | 304,251 | 15,433,004 | ||||
Kimberly-Clark | 60,962 | 7,508,080 | ||||
Mondelez International Class A | 157,212 | 9,869,769 | ||||
Nestle | 124,569 | 16,196,295 | ||||
PepsiCo | 142,820 | 23,905,212 | ||||
Procter & Gamble | 53,488 | 8,172,966 | ||||
Reckitt Benckiser Group | 65,432 | 4,991,543 | ||||
Tyson Foods Class A | 135,300 | 12,126,939 | ||||
108,877,353 | ||||||
Energy – 5.75% | ||||||
Chevron | 147,955 | 24,091,513 | ||||
ConocoPhillips | 356,362 | 35,636,200 | ||||
EOG Resources | 209,951 | 25,032,458 | ||||
Phillips 66 | 79,905 | 6,902,993 | ||||
Pioneer Natural Resources | 41,241 | 10,311,487 | ||||
Schlumberger | 423,411 | 17,491,108 | ||||
119,465,759 | ||||||
Financials – 23.88% | ||||||
Allstate | 82,359 | 11,407,545 | ||||
American Express | 149,528 | 27,961,736 | ||||
Aon Class A | 85,861 | 27,958,917 | ||||
Bank of America | 729,162 | 30,056,058 | ||||
Berkshire Hathaway Class B † | 40,256 | 14,206,745 | ||||
BlackRock | 39,404 | 30,111,355 | ||||
Charles Schwab | 211,365 | 17,820,183 | ||||
Chubb | 108,663 | 23,243,016 | ||||
Citigroup | 230,316 | 12,298,874 | ||||
Goldman Sachs Group | 31,812 | 10,501,141 | ||||
Hartford Financial Services | ||||||
Group | 194,896 | 13,995,482 | ||||
Intercontinental Exchange | 101,038 | 13,349,141 | ||||
JPMorgan Chase & Co. | 495,857 | 67,595,226 | ||||
KKR & Co. | 93,807 | 5,484,895 | ||||
Marsh & McLennan | 134,219 | 22,873,602 | ||||
Moody's | 16,287 | 5,495,397 | ||||
Morgan Stanley | 204,378 | 17,862,637 | ||||
Nasdaq | 88,601 | 15,788,698 | ||||
PNC Financial Services Group | 65,669 | 12,112,647 | ||||
Progressive | 171,790 | 19,582,342 | ||||
Prudential Financial | 116,642 | 13,783,585 | ||||
State Street | 178,786 | 15,575,836 | ||||
Travelers | 126,098 | 23,041,888 | ||||
Truist Financial | 352,014 | 19,959,194 | ||||
US Bancorp | 105,604 | 5,612,853 | ||||
Wells Fargo & Co. | 373,487 | 18,099,180 | ||||
495,778,173 | ||||||
Healthcare – 19.05% | ||||||
Abbott Laboratories | 122,552 | 14,505,255 | ||||
AbbVie | 101,796 | 16,502,150 | ||||
AmerisourceBergen | 88,612 | 13,709,162 | ||||
Baxter International | 170,872 | 13,249,415 | ||||
Boston Scientific † | 221,518 | 9,811,032 | ||||
Bristol-Myers Squibb | 227,437 | 16,609,724 | ||||
Cigna | 88,643 | 21,239,749 | ||||
CVS Health | 191,879 | 19,420,074 | ||||
Danaher | 51,202 | 15,019,083 | ||||
Eli Lilly & Co. | 46,443 | 13,299,882 | ||||
Horizon Therapeutics † | 65,943 | 6,937,863 | ||||
Johnson & Johnson | 329,255 | 58,353,864 | ||||
McKesson | 44,284 | 13,556,661 | ||||
Medtronic | 327,396 | 36,324,586 | ||||
Merck & Co. | 313,405 | 25,714,880 | ||||
Pfizer | 463,572 | 23,999,122 | ||||
Roche Holding | 8,639 | 3,418,123 | ||||
Thermo Fisher Scientific | 73,019 | 43,128,672 | ||||
UnitedHealth Group | 60,216 | 30,708,353 | ||||
395,507,650 | ||||||
Industrials – 15.18% | ||||||
Canadian National Railway | 48,545 | 6,511,826 | ||||
Caterpillar | 61,847 | 13,780,748 | ||||
CSX | 358,659 | 13,431,780 | ||||
Eaton | 102,205 | 15,510,631 | ||||
Emerson Electric | 114,412 | 11,218,097 | ||||
Equifax | 50,496 | 11,972,602 | ||||
General Dynamics | 20,956 | 5,054,168 | ||||
Honeywell International | 172,775 | 33,618,559 | ||||
Illinois Tool Works | 71,983 | 15,073,240 | ||||
Johnson Controls International | 204,087 | 13,381,985 | ||||
Lockheed Martin | 21,559 | 9,516,143 | ||||
Masco | 121,139 | 6,178,089 |
113
Schedules of investments
Optimum Large Cap Value Fund
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks (continued) | ||||||
Industrials (continued) | ||||||
Northrop Grumman | 84,469 | $ | 37,776,226 | |||
Otis Worldwide | 39,029 | 3,003,282 | ||||
Owens Corning | 93,412 | 8,547,198 | ||||
PACCAR | 56,505 | 4,976,395 | ||||
Parker-Hannifin | 53,245 | 15,108,801 | ||||
Quanta Services | 151,103 | 19,886,666 | ||||
Raytheon Technologies | 90,130 | 8,929,179 | ||||
Southwest Airlines † | 219,754 | 10,064,733 | ||||
Stanley Black & Decker | 55,652 | 7,779,593 | ||||
Textron | 167,230 | 12,438,567 | ||||
Trane Technologies | 61,038 | 9,320,503 | ||||
Union Pacific | 80,843 | 22,087,116 | ||||
315,166,127 | ||||||
Information Technology – 8.45% | ||||||
Accenture Class A | 71,766 | 24,201,648 | ||||
Analog Devices | 43,364 | 7,162,866 | ||||
Broadcom | 19,147 | 12,056,483 | ||||
Cisco Systems | 198,485 | 11,067,524 | ||||
Fidelity National Information | ||||||
Services | 76,534 | 7,685,544 | ||||
Global Payments | 76,575 | 10,478,523 | ||||
Intel | 255,847 | 12,679,777 | ||||
Micron Technology | 146,381 | 11,401,616 | ||||
Microsoft | 46,731 | 14,407,635 | ||||
Motorola Solutions | 59,623 | 14,440,691 | ||||
NXP Semiconductors | 50,019 | 9,257,516 | ||||
ON Semiconductor † | 251,121 | 15,722,686 | ||||
Texas Instruments | 136,011 | 24,955,298 | ||||
175,517,807 | ||||||
Materials – 3.96% | ||||||
Air Products and Chemicals | 43,221 | 10,801,360 | ||||
DuPont de Nemours | 152,855 | 11,247,071 | ||||
Huntsman | 302,974 | 11,364,555 | ||||
International Flavors & | ||||||
Fragrances | 29,535 | 3,878,832 | ||||
Martin Marietta Materials | 35,734 | 13,753,659 | ||||
PPG Industries | 106,159 | 13,914,260 | ||||
Sherwin-Williams | 44,128 | 11,015,231 | ||||
Westrock | 133,711 | 6,288,428 | ||||
82,263,396 | ||||||
Real Estate – 2.40% | ||||||
American Tower | 32,802 | 8,240,518 | ||||
Boston Properties | 76,561 | 9,861,057 | ||||
Equity LifeStyle Properties | 90,962 | 6,956,774 | ||||
Prologis | 122,483 | 19,778,555 | ||||
Public Storage | 12,595 | 4,915,576 | ||||
49,752,480 | ||||||
Utilities – 5.57% | ||||||
American Electric Power | 80,200 | 8,001,554 | ||||
Dominion Energy | 192,494 | 16,356,215 | ||||
Duke Energy | 361,803 | 40,398,923 | ||||
NextEra Energy | 173,670 | 14,711,586 | ||||
Southern | 247,362 | 17,936,219 | ||||
Xcel Energy | 253,525 | 18,296,899 | ||||
115,701,396 | ||||||
Total Common Stocks | ||||||
(cost $1,325,403,853) | 2,040,508,061 | |||||
Short-Term Investments – 1.50% | ||||||
Money Market Mutual Funds – 1.50% | ||||||
BlackRock FedFund – | ||||||
Institutional Shares (seven- | ||||||
day effective yield 0.23%) | 7,799,920 | 7,799,920 | ||||
Fidelity Investments Money | ||||||
Market Government Portfolio | ||||||
– Class I (seven-day effective | ||||||
yield 0.12%) | 7,799,918 | 7,799,918 | ||||
GS Financial Square | ||||||
Government Fund – | ||||||
Institutional Shares (seven- | ||||||
day effective yield 0.25%) | 7,799,918 | 7,799,918 | ||||
Morgan Stanley Government | ||||||
Portfolio – Institutional Share | ||||||
Class (seven-day effective | ||||||
yield 0.23%) | 7,799,919 | 7,799,919 | ||||
Total Short-Term Investments | ||||||
(cost $31,199,675) | 31,199,675 | |||||
Total Value of | ||||||
Securities–99.77% | ||||||
(cost $1,356,603,528) | $ | 2,071,707,736 |
† | Non-income producing security. |
Summary of abbreviations:
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
114
Optimum Small-Mid Cap Growth Fund
March 31, 2022
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 98.70% ◆ | ||||||
Communication Services – 3.58% | ||||||
Bumble Class A † | 151,597 | $ | 4,393,281 | |||
Endeavor Group Holdings | ||||||
Class A † | 190,195 | 5,614,556 | ||||
Lions Gate Entertainment | ||||||
Class B † | 111,369 | 1,673,876 | ||||
PubMatic Class A † | 104,315 | 2,724,708 | ||||
ZoomInfo Technologies Class A † | 139,602 | 8,339,824 | ||||
Zynga Class A † | 429,977 | 3,972,987 | ||||
26,719,232 | ||||||
Consumer Discretionary – 9.37% | ||||||
Academy Sports & Outdoors | 63,980 | 2,520,812 | ||||
American Eagle Outfitters | 149,801 | 2,516,657 | ||||
Boot Barn Holdings † | 43,857 | 4,157,205 | ||||
Burlington Stores † | 12,955 | 2,360,012 | ||||
Callaway Golf † | 110,158 | 2,579,900 | ||||
Churchill Downs | 26,107 | 5,790,011 | ||||
Five Below † | 14,217 | 2,251,546 | ||||
Fox Factory Holding † | 22,313 | 2,185,558 | ||||
Hayward Holdings † | 146,540 | 2,435,495 | ||||
Hyatt Hotels Class A † | 71,888 | 6,861,710 | ||||
International Game Technology | 357,027 | 8,811,426 | ||||
Mattel † | 198,756 | 4,414,371 | ||||
Media General CVR =, † | 49,291 | 0 | ||||
Monro | 28,098 | 1,245,865 | ||||
Ollie's Bargain Outlet Holdings † | 48,750 | 2,094,300 | ||||
Papa John's International | 26,788 | 2,820,241 | ||||
Planet Fitness Class A † | 48,354 | 4,084,946 | ||||
Skyline Champion † | 51,580 | 2,830,710 | ||||
Sleep Number † | 25,739 | 1,305,225 | ||||
Sonos † | 64,097 | 1,808,817 | ||||
Vail Resorts | 13,174 | 3,428,797 | ||||
Visteon † | 31,428 | 3,429,738 | ||||
69,933,342 | ||||||
Consumer Staples – 3.16% | ||||||
BJ's Wholesale Club Holdings † | 102,959 | 6,961,058 | ||||
elf Beauty † | 126,419 | 3,265,403 | ||||
Hostess Brands † | 310,362 | 6,809,342 | ||||
Lamb Weston Holdings | 47,234 | 2,829,789 | ||||
Performance Food Group † | 72,822 | 3,707,368 | ||||
23,572,960 | ||||||
Energy – 2.13% | ||||||
Callon Petroleum † | 39,503 | 2,333,837 | ||||
Matador Resources | 144,337 | 7,646,975 | ||||
Range Resources † | 194,176 | 5,899,067 | ||||
15,879,879 | ||||||
Financials – 7.12% | ||||||
Affiliated Managers Group | 37,612 | 5,301,412 | ||||
BRP Group Class A † | 206,248 | 5,533,634 | ||||
Essent Group | 74,206 | 3,058,029 | ||||
Evercore Class A | 21,762 | 2,422,546 | ||||
Focus Financial Partners Class A † | 52,480 | 2,400,435 | ||||
Goosehead Insurance Class A | 39,844 | 3,130,543 | ||||
Kinsale Capital Group | 20,150 | 4,594,603 | ||||
Open Lending Class A † | 55,820 | 1,055,556 | ||||
Palomar Holdings † | 53,665 | 3,434,023 | ||||
Ryan Specialty Group Holdings | ||||||
Class A † | 97,895 | 3,797,347 | ||||
Stifel Financial | 59,336 | 4,028,915 | ||||
SVB Financial Group † | 6,584 | 3,683,419 | ||||
Tradeweb Markets Class A | 45,223 | 3,973,745 | ||||
Triumph Bancorp † | 42,802 | 4,024,244 | ||||
Virtu Financial Class A | 73,020 | 2,717,804 | ||||
53,156,255 | ||||||
Healthcare – 25.58% | ||||||
Adaptive Biotechnologies † | 75,316 | 1,045,386 | ||||
Allscripts Healthcare Solutions † | 150,259 | 3,383,833 | ||||
Alphatec Holdings † | 490,218 | 5,637,507 | ||||
Amicus Therapeutics † | 189,649 | 1,795,976 | ||||
AMN Healthcare Services † | 31,400 | 3,275,962 | ||||
AtriCure † | 131,746 | 8,651,760 | ||||
Avantor † | 316,374 | 10,699,769 | ||||
Avid Bioservices † | 112,358 | 2,288,732 | ||||
Axonics † | 87,099 | 5,452,397 | ||||
Axsome Therapeutics † | 37,315 | 1,544,468 | ||||
BioLife Solutions † | 72,449 | 1,646,766 | ||||
Bio-Techne | 6,690 | 2,897,038 | ||||
Blueprint Medicines † | 29,093 | 1,858,461 | ||||
Cerus † | 340,454 | 1,869,092 | ||||
CONMED | 46,293 | 6,876,825 | ||||
Cytokinetics † | 49,964 | 1,839,175 | ||||
Envista Holdings † | 196,198 | 9,556,805 | ||||
Evolent Health Class A † | 476,933 | 15,404,936 | ||||
Haemonetics † | 44,320 | 2,801,910 | ||||
HealthEquity † | 50,782 | 3,424,738 | ||||
Horizon Therapeutics † | 90,446 | 9,515,824 | ||||
ICON † | 26,827 | 6,524,863 | ||||
Inari Medical † | 79,673 | 7,221,561 | ||||
Insmed † | 75,659 | 1,777,986 | ||||
Inspire Medical Systems † | 46,533 | 11,944,556 | ||||
Ionis Pharmaceuticals † | 30,035 | 1,112,496 | ||||
Iovance Biotherapeutics † | 59,563 | 991,724 | ||||
Jazz Pharmaceuticals † | 23,765 | 3,699,497 | ||||
Maravai LifeSciences Holdings | ||||||
Class A † | 124,091 | 4,376,690 | ||||
Mirati Therapeutics † | 9,043 | 743,515 | ||||
Neurocrine Biosciences † | 21,248 | 1,992,000 | ||||
Novocure † | 9,893 | 819,635 |
115
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks ◆ (continued) | ||||||
Healthcare (continued) | ||||||
Oak Street Health † | 59,268 | $ | 1,593,124 | |||
Omnicell † | 34,675 | 4,490,066 | ||||
Option Care Health † | 237,857 | 6,793,196 | ||||
Pacira BioSciences † | 30,018 | 2,290,974 | ||||
Phreesia † | 77,356 | 2,039,104 | ||||
Privia Health Group † | 74,904 | 2,002,184 | ||||
Sarepta Therapeutics † | 22,319 | 1,743,560 | ||||
Silk Road Medical † | 99,235 | 4,097,413 | ||||
Syneos Health † | 65,242 | 5,281,340 | ||||
Tactile Systems Technology † | 71,056 | 1,432,489 | ||||
Tandem Diabetes Care † | 17,999 | 2,093,104 | ||||
Tenet Healthcare † | 102,774 | 8,834,453 | ||||
Ultragenyx Pharmaceutical † | 29,146 | 2,116,582 | ||||
US Physical Therapy | 23,793 | 2,366,214 | ||||
ViewRay † | 293,685 | 1,151,245 | ||||
190,996,931 | ||||||
Industrials – 17.08% | ||||||
A O Smith | 19,769 | 1,263,041 | ||||
Acuity Brands | 19,895 | 3,766,124 | ||||
Advanced Drainage Systems | 29,612 | 3,518,202 | ||||
AECOM | 107,740 | 8,275,509 | ||||
ASGN † | 49,167 | 5,738,281 | ||||
Atkore † | 27,187 | 2,676,288 | ||||
AZEK † | 66,366 | 1,648,531 | ||||
Boise Cascade | 33,970 | 2,359,896 | ||||
Chart Industries † | 52,571 | 9,030,121 | ||||
Clarivate † | 118,198 | 1,980,998 | ||||
Core & Main Class A † | 128,718 | 3,113,688 | ||||
Dycom Industries † | 27,706 | 2,639,274 | ||||
FTI Consulting † | 21,540 | 3,386,519 | ||||
Herc Holdings | 30,095 | 5,028,574 | ||||
IAA † | 37,952 | 1,451,664 | ||||
ICF International | 40,878 | 3,848,255 | ||||
KAR Auction Services † | 102,142 | 1,843,663 | ||||
KBR | 92,480 | 5,061,430 | ||||
Knight-Swift Transportation | ||||||
Holdings | 52,210 | 2,634,517 | ||||
Korn Ferry | 29,679 | 1,927,354 | ||||
Kratos Defense & Security | ||||||
Solutions † | 111,179 | 2,276,946 | ||||
Masonite International † | 34,737 | 3,089,509 | ||||
Mercury Systems † | 48,225 | 3,108,101 | ||||
Middleby † | 23,795 | 3,900,952 | ||||
PGT Innovations † | 93,612 | 1,683,144 | ||||
Plug Power † | 226,168 | 6,470,666 | ||||
Quanta Services | 61,889 | 8,145,211 | ||||
Robert Half International | 34,080 | 3,891,254 | ||||
Schneider National Class B | 96,759 | 2,467,355 | ||||
SPX † | 62,726 | 3,099,292 | ||||
Sterling Check † | 121,164 | 3,202,365 | ||||
Sun Country Airlines Holdings † | 90,216 | 2,361,855 | ||||
Vicor † | 27,728 | 1,956,210 | ||||
Wabash National | 124,876 | 1,853,160 | ||||
WillScot Mobile Mini Holdings † | 166,362 | 6,509,745 | ||||
Woodward | 18,225 | 2,276,485 | ||||
127,484,179 | ||||||
Information Technology – 25.88% | ||||||
Arista Networks † | 39,792 | 5,530,292 | ||||
Bill.com Holdings † | 12,779 | 2,898,149 | ||||
Black Knight † | 62,611 | 3,630,812 | ||||
Box Class A † | 154,023 | 4,475,908 | ||||
Ciena † | 89,594 | 5,432,084 | ||||
CyberArk Software † | 21,219 | 3,580,706 | ||||
DoubleVerify Holdings † | 80,194 | 2,018,483 | ||||
Enphase Energy † | 52,818 | 10,657,616 | ||||
Entegris | 68,777 | 9,027,669 | ||||
Evo Payments Class A † | 103,550 | 2,390,970 | ||||
Flywire † | 65,734 | 2,010,146 | ||||
FormFactor † | 48,212 | 2,026,350 | ||||
Itron † | 31,180 | 1,642,562 | ||||
Jamf Holding † | 100,930 | 3,513,373 | ||||
Littelfuse | 15,759 | 3,930,452 | ||||
LiveRamp Holdings † | 88,204 | 3,297,948 | ||||
Lumentum Holdings † | 41,539 | 4,054,206 | ||||
Manhattan Associates † | 57,583 | 7,987,338 | ||||
Marqeta Class A † | 541,145 | 5,974,241 | ||||
MongoDB † | 15,069 | 6,684,458 | ||||
Monolithic Power Systems | 6,944 | 3,372,562 | ||||
Nutanix Class A † | 242,426 | 6,501,865 | ||||
ON Semiconductor † | 127,480 | 7,981,523 | ||||
Onto Innovation † | 36,544 | 3,175,308 | ||||
PagerDuty † | 113,189 | 3,869,932 | ||||
PAR Technology † | 51,517 | 2,078,196 | ||||
Paylocity Holding † | 28,134 | 5,789,133 | ||||
PTC † | 39,675 | 4,273,791 | ||||
Pure Storage Class A † | 254,665 | 8,992,221 | ||||
Qualtrics International Class A † | 258,493 | 7,379,975 | ||||
SentinelOne Class A † | 119,792 | 4,640,742 | ||||
Silicon Motion Technology ADR | 36,355 | 2,429,241 | ||||
Sprout Social Class A † | 31,945 | 2,559,433 | ||||
SS&C Technologies Holdings | 74,071 | 5,556,807 | ||||
Synaptics † | 17,940 | 3,579,030 | ||||
Tenable Holdings † | 196,794 | 11,372,725 | ||||
Teradyne | 22,915 | 2,709,241 | ||||
Verra Mobility † | 180,043 | 2,931,100 | ||||
WEX † | 14,341 | 2,559,152 | ||||
Wolfspeed † | 47,325 | 5,388,425 | ||||
Zendesk † | 22,592 | 2,717,592 |
116
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks ◆ (continued) | ||||||
Information Technology (continued) | ||||||
Zuora Class A † | 174,640 | $ | 2,616,107 | |||
193,237,864 | ||||||
Materials – 4.28% | ||||||
Aspen Aerogels † | 28,529 | 983,680 | ||||
Element Solutions | 382,499 | 8,376,728 | ||||
FMC | 70,519 | 9,278,185 | ||||
Orion Engineered Carbons | 175,973 | 2,810,289 | ||||
Sealed Air | 82,122 | 5,498,889 | ||||
Steel Dynamics | 37,230 | 3,106,099 | ||||
Summit Materials Class A † | 61,709 | 1,916,681 | ||||
31,970,551 | ||||||
Real Estate – 0.52% | ||||||
Compass Class A † | 167,353 | 1,315,394 | ||||
Ryman Hospitality Properties † | 27,880 | 2,586,428 | ||||
3,901,822 | ||||||
Total Common Stocks | ||||||
(cost $691,517,587) | 736,853,015 | |||||
Convertible Preferred Stock – 0.02% | ||||||
Honest Series D =, †, π | 15,249 | 167,939 | ||||
Total Convertible Preferred Stock | ||||||
(cost $697,718) | 167,939 | |||||
Warrant – 0.00% | ||||||
DraftKings strike price $25, | ||||||
expiration date 4/23/25 =, †, π | 399 | 0 | ||||
Total Warrant | ||||||
(cost $0) | 0 | |||||
Short-Term Investments – 1.14% | ||||||
Money Market Mutual Funds – 1.14% | ||||||
BlackRock FedFund – Institutional | ||||||
Shares (seven-day effective | ||||||
yield 0.23%) | 2,123,296 | 2,123,296 | ||||
Fidelity Investments Money Market | ||||||
Government Portfolio – Class I | ||||||
(seven-day effective yield | ||||||
0.12%) | 2,123,296 | 2,123,296 | ||||
GS Financial Square Government | ||||||
Fund – Institutional Shares | ||||||
(seven-day effective yield | ||||||
0.25%) | 2,123,296 | 2,123,296 | ||||
Morgan Stanley Government | ||||||
Portfolio – Institutional Share | ||||||
Class (seven-day effective yield | ||||||
0.23%) | 2,123,295 | 2,123,295 | ||||
Total Short-Term Investments | ||||||
(cost $8,493,183) | 8,493,183 | |||||
Total Value of Securities–99.86% | ||||||
(cost $700,708,488) | $ | 745,514,137 |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
π | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At March 31, 2022, the aggregate value of restricted securities was $167,939, which represented 0.02% of the Fund’s net assets. See Note 10 in “Notes to financial statements” and the following table, for additional details on restricted securities. |
Restricted Securities
Investments | Date of Acquisition | Cost | Value | |||||||
DraftKings strike price $25, expiration date | ||||||||||
4/23/25 | 5/18/20 | $ | – | $ | – | |||||
Honest Series D | 8/3/15 | 697,718 | 167,939 | |||||||
Total | $ | 697,718 | $ | 167,939 |
Summary of abbreviations:
ADR – American Depositary Receipt
CVR – Contingent Voting Rights
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
117
Schedules of investments
Optimum Small-Mid Cap Value Fund
March 31, 2022
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 97.14% | ||||||
Communication Services – 6.72% | ||||||
AMC Networks Class A † | 30,800 | $ | 1,251,404 | |||
Audacy † | 206,300 | 596,207 | ||||
Cars.com † | 56,200 | 810,966 | ||||
Gray Television | 65,200 | 1,438,964 | ||||
John Wiley & Sons Class A | 176,619 | 9,366,105 | ||||
Lumen Technologies | 150,400 | 1,695,008 | ||||
Nexstar Media Group Class A | 116,568 | 21,970,737 | ||||
Paramount Global Class B | 37,200 | 1,406,532 | ||||
Ziff Davis † | 151,695 | 14,681,042 | ||||
53,216,965 | ||||||
Consumer Discretionary – 9.42% | ||||||
Aaron's | 45,700 | 917,656 | ||||
American Axle & Manufacturing | ||||||
Holdings † | 114,200 | 886,192 | ||||
BorgWarner | 41,200 | 1,602,680 | ||||
Brunswick | 21,300 | 1,722,957 | ||||
Capri Holdings † | 15,000 | 770,850 | ||||
Dick's Sporting Goods | 47,100 | 4,710,942 | ||||
Foot Locker | 48,800 | 1,447,408 | ||||
Goodyear Tire & Rubber † | 70,000 | 1,000,300 | ||||
H&R Block | 40,400 | 1,052,016 | ||||
Harley-Davidson | 43,800 | 1,725,720 | ||||
Haverty Furniture | 43,900 | 1,203,738 | ||||
Helen of Troy † | 26,216 | 5,134,142 | ||||
Kohl's | 41,800 | 2,527,228 | ||||
Lear | 11,700 | 1,668,303 | ||||
Leslie's † | 64,754 | 1,253,637 | ||||
Lithia Motors | 41,041 | 12,317,225 | ||||
Macy's | 48,400 | 1,179,024 | ||||
Malibu Boats Class A † | 19,500 | 1,131,195 | ||||
MDC Holdings | 54,648 | 2,067,880 | ||||
Modine Manufacturing † | 76,800 | 691,968 | ||||
Nordstrom | 28,400 | 769,924 | ||||
ODP † | 29,100 | 1,333,653 | ||||
Penske Automotive Group | 28,619 | 2,682,173 | ||||
PulteGroup | 53,000 | 2,220,700 | ||||
Qurate Retail Series A | 97,500 | 464,100 | ||||
Sally Beauty Holdings † | 65,000 | 1,015,950 | ||||
Shoe Carnival | 400 | 11,664 | ||||
Sleep Number † | 14,600 | 740,366 | ||||
Smith & Wesson Brands | 67,800 | 1,025,814 | ||||
Sonic Automotive Class A | 53,300 | 2,265,783 | ||||
Tenneco Class A † | 26,400 | 483,648 | ||||
Toll Brothers | 49,500 | 2,327,490 | ||||
Travel + Leisure | 12,500 | 724,250 | ||||
Victoria's Secret & Co. † | 170,095 | 8,736,079 | ||||
Whirlpool | 21,600 | 3,732,048 | ||||
Winnebago Industries | 19,400 | 1,048,182 | ||||
74,592,885 | ||||||
Consumer Staples – 4.51% | ||||||
Bunge | 27,600 | 3,058,356 | ||||
Energizer Holdings | 32,000 | 984,320 | ||||
Ingles Markets Class A | 35,400 | 3,152,370 | ||||
Ingredion | 30,700 | 2,675,505 | ||||
J M Smucker | 23,500 | 3,182,135 | ||||
Molson Coors Beverage Class B | 82,900 | 4,425,202 | ||||
Nu Skin Enterprises Class A | 16,800 | 804,384 | ||||
Pilgrim's Pride † | 4,100 | 102,910 | ||||
Spectrum Brands Holdings | 130,471 | 11,575,387 | ||||
Sprouts Farmers Market † | 92,100 | 2,945,358 | ||||
Universal | 25,300 | 1,469,171 | ||||
Weis Markets | 18,500 | 1,321,270 | ||||
35,696,368 | ||||||
Energy – 5.40% | ||||||
APA | 51,700 | 2,136,761 | ||||
Arch Resources | 10,300 | 1,415,014 | ||||
CNX Resources † | 99,550 | 2,062,676 | ||||
DT Midstream | 125,602 | 6,815,165 | ||||
HF Sinclair | 103,500 | 4,124,475 | ||||
Magnolia Oil & Gas Class A | 375,496 | 8,880,480 | ||||
Marathon Oil | 185,700 | 4,662,927 | ||||
National Energy Services | ||||||
Reunited † | 118,000 | 991,200 | ||||
PDC Energy | 25,700 | 1,867,876 | ||||
SFL | 97,100 | 988,478 | ||||
Viper Energy Partners | 262,989 | 7,776,585 | ||||
World Fuel Services | 39,900 | 1,078,896 | ||||
42,800,533 | ||||||
Financials – 19.16% | ||||||
Ally Financial | 91,200 | 3,965,376 | ||||
American Financial Group | 27,780 | 4,045,323 | ||||
Annaly Capital Management | 209,800 | 1,476,992 | ||||
Apollo Commercial Real Estate | ||||||
Finance | 77,600 | 1,080,968 | ||||
Ares Capital | 85,300 | 1,787,035 | ||||
Associated Banc-Corp | 121,500 | 2,765,340 | ||||
Assured Guaranty | 25,900 | 1,648,794 | ||||
B Riley Financial | 15,900 | 1,112,364 | ||||
Banco Latinoamericano de | ||||||
Comercio Exterior Class E | 59,900 | 933,242 | ||||
BGC Partners Class A | 1,417,079 | 6,235,147 | ||||
Cathay General Bancorp | 33,600 | 1,503,600 | ||||
Citizens Financial Group | 63,200 | 2,864,856 | ||||
CNA Financial | 85,600 | 4,161,872 | ||||
CNO Financial Group | 144,200 | 3,617,978 | ||||
Columbia Banking System | 241,066 | 7,779,200 | ||||
Customers Bancorp † | 58,809 | 3,066,301 | ||||
Essent Group | 26,800 | 1,104,428 | ||||
Everest Re Group | 6,300 | 1,898,694 |
118
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks (continued) | ||||||
Financials (continued) | ||||||
Federal Agricultural Mortgage | ||||||
Class C | 10,050 | $ | 1,090,224 | |||
Fidelity National Financial | 51,500 | 2,515,260 | ||||
First American Financial | 38,200 | 2,476,124 | ||||
First BanCorp | 89,200 | 1,170,304 | ||||
First Busey | 74,400 | 1,885,296 | ||||
First Horizon | 97,700 | 2,294,973 | ||||
First Merchants | 157,013 | 6,531,741 | ||||
FS KKR Capital | 57,750 | 1,317,855 | ||||
Hancock Whitney | 31,300 | 1,632,295 | ||||
Hanmi Financial | 56,800 | 1,397,848 | ||||
Heritage Insurance Holdings | 27,300 | 194,922 | ||||
HomeStreet | 39,900 | 1,890,462 | ||||
Hope Bancorp | 122,400 | 1,968,192 | ||||
Jefferies Financial Group | 61,300 | 2,013,705 | ||||
Lazard Class A | 37,700 | 1,300,650 | ||||
Lincoln National | 33,300 | 2,176,488 | ||||
MGIC Investment | 107,200 | 1,452,560 | ||||
New Mountain Finance | 95,300 | 1,319,905 | ||||
New Residential Investment | 131,300 | 1,441,674 | ||||
Oaktree Specialty Lending | 4,294 | 31,647 | ||||
OFG Bancorp | 60,700 | 1,617,048 | ||||
OneMain Holdings | 34,600 | 1,640,386 | ||||
Pacific Premier Bancorp | 154,759 | 5,470,731 | ||||
PacWest Bancorp | 444,854 | 19,186,553 | ||||
Preferred Bank | 14,900 | 1,103,941 | ||||
Radian Group | 69,500 | 1,543,595 | ||||
Redwood Trust | 119,100 | 1,254,123 | ||||
Regions Financial | 179,100 | 3,986,766 | ||||
Reinsurance Group of America | 17,800 | 1,948,388 | ||||
Starwood Property Trust | 478,600 | 11,567,762 | ||||
Synovus Financial | 55,900 | 2,739,100 | ||||
Umpqua Holdings | 104,200 | 1,965,212 | ||||
Universal Insurance Holdings | 41,300 | 557,137 | ||||
Unum Group | 75,700 | 2,385,307 | ||||
Victory Capital Holdings Class A | 39,300 | 1,134,591 | ||||
Voya Financial | 25,200 | 1,672,020 | ||||
Zions Bancorp | 74,400 | 4,877,664 | ||||
151,799,959 | ||||||
Healthcare — 4.71% | ||||||
Amphastar Pharmaceuticals † | 25,253 | 906,583 | ||||
Catalyst Pharmaceuticals † | 186,900 | 1,549,401 | ||||
DaVita † | 22,800 | 2,578,908 | ||||
Innoviva † | 86,900 | 1,681,515 | ||||
Ironwood Pharmaceuticals † | 167,200 | 2,103,376 | ||||
Jazz Pharmaceuticals † | 24,720 | 3,848,162 | ||||
Lannett † | 44,200 | 34,825 | ||||
Owens & Minor | 49,800 | 2,192,196 | ||||
Quest Diagnostics | 11,600 | 1,587,576 | ||||
Select Medical Holdings | 121,000 | 2,902,790 | ||||
Syneos Health † | 137,805 | 11,155,315 | ||||
United Therapeutics † | 15,370 | 2,757,532 | ||||
Universal Health Services Class B | 22,600 | 3,275,870 | ||||
Vanda Pharmaceuticals † | 62,100 | 702,351 | ||||
37,276,400 | ||||||
Industrials — 14.67% | ||||||
ABM Industries | 22,900 | 1,054,316 | ||||
ACCO Brands | 146,000 | 1,168,000 | ||||
Acuity Brands | 13,900 | 2,631,270 | ||||
AGCO | 24,300 | 3,548,529 | ||||
Alaska Air Group † | 24,800 | 1,438,648 | ||||
Allison Transmission Holdings | 55,500 | 2,178,930 | ||||
Apogee Enterprises | 36,200 | 1,718,052 | ||||
ArcBest | 27,300 | 2,197,650 | ||||
Atkore † | 55,800 | 5,492,952 | ||||
Atlas Air Worldwide Holdings † | 24,100 | 2,081,517 | ||||
BWX Technologies | 154,321 | 8,311,729 | ||||
CoreCivic † | 56,200 | 627,754 | ||||
Covenant Logistics Group | 59,100 | 1,272,423 | ||||
Crane | 20,600 | 2,230,568 | ||||
Deluxe | 29,800 | 901,152 | ||||
Ennis | 45,800 | 845,926 | ||||
Enovis † | 337,197 | 13,417,069 | ||||
GXO Logistics † | 99,779 | 7,118,234 | ||||
Hawaiian Holdings † | 45,300 | 892,410 | ||||
Hillenbrand | 31,174 | 1,376,956 | ||||
Huntington Ingalls Industries | 12,300 | 2,453,112 | ||||
IAA † | 70,098 | 2,681,248 | ||||
JetBlue Airways † | 84,600 | 1,264,770 | ||||
Kaman | 106,232 | 4,618,967 | ||||
KAR Auction Services † | 538,363 | 9,717,452 | ||||
ManpowerGroup | 26,300 | 2,470,096 | ||||
MDU Resources Group | 75,400 | 2,009,410 | ||||
MillerKnoll | 17,900 | 618,624 | ||||
Moog Class A | 24,000 | 2,107,200 | ||||
Oshkosh | 14,800 | 1,489,620 | ||||
Owens Corning | 35,500 | 3,248,250 | ||||
Primoris Services | 66,384 | 1,581,267 | ||||
Quanex Building Products | 29,300 | 615,007 | ||||
REV Group | 85,200 | 1,141,680 | ||||
Ryder System | 16,800 | 1,332,744 | ||||
SkyWest † | 39,400 | 1,136,690 | ||||
Snap-on | 9,300 | 1,910,964 | ||||
Textron | 16,800 | 1,249,584 | ||||
Timken | 37,000 | 2,245,900 | ||||
Triton International | 43,700 | 3,066,866 | ||||
XPO Logistics † | 120,825 | 8,796,060 | ||||
116,259,596 |
119
Schedules of investments
Optimum Small-Mid Cap Value Fund
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks (continued) | ||||||
Information Technology — 11.03% | ||||||
ACI Worldwide † | 343,964 | $ | 10,831,426 | |||
Amdocs | 31,400 | 2,581,394 | ||||
Amkor Technology | 102,600 | 2,228,472 | ||||
Arrow Electronics † | 24,580 | 2,915,925 | ||||
Avaya Holdings † | 47,400 | 600,558 | ||||
BM Technologies † | 9,050 | 77,378 | ||||
Cirrus Logic † | 10,400 | 881,816 | ||||
Cognyte Software † | 291,708 | 3,299,218 | ||||
CSG Systems International | 18,200 | 1,156,974 | ||||
Diodes † | 10,500 | 913,395 | ||||
Ebix | 33,273 | 1,103,000 | ||||
Euronet Worldwide † | 53,314 | 6,938,817 | ||||
Jabil | 74,000 | 4,568,020 | ||||
Juniper Networks | 39,500 | 1,467,820 | ||||
Kimball Electronics † | 74,200 | 1,483,258 | ||||
Methode Electronics | 37,800 | 1,634,850 | ||||
NCR † | 37,200 | 1,495,068 | ||||
NetApp | 32,700 | 2,714,100 | ||||
NETGEAR † | 17,088 | 421,732 | ||||
Sanmina † | 59,300 | 2,396,906 | ||||
Seagate Technology Holdings | 17,100 | 1,537,290 | ||||
Silicon Motion Technology ADR | 174,392 | 11,652,873 | ||||
TD SYNNEX | 20,400 | 2,105,484 | ||||
Teledyne Technologies † | 13,371 | 6,319,536 | ||||
TTM Technologies † | 84,100 | 1,246,362 | ||||
Ultra Clean Holdings † | 38,400 | 1,627,776 | ||||
Verint Systems † | 190,486 | 9,848,126 | ||||
Vishay Precision Group † | 35,910 | 1,154,507 | ||||
Western Union | 51,400 | 963,236 | ||||
Xerox Holdings | 61,300 | 1,236,421 | ||||
87,401,738 | ||||||
Materials — 10.94% | ||||||
Arconic † | 9,000 | 230,580 | ||||
Ashland Global Holdings | 102,400 | 10,077,184 | ||||
Axalta Coating Systems † | 364,473 | 8,958,746 | ||||
Berry Global Group † | 48,200 | 2,793,672 | ||||
Cabot | 27,500 | 1,881,275 | ||||
Celanese | 14,200 | 2,028,754 | ||||
Chemours | 49,500 | 1,558,260 | ||||
Eastman Chemical | 19,400 | 2,173,964 | ||||
FMC | 87,338 | 11,491,061 | ||||
Greif Class A | 34,400 | 2,238,064 | ||||
Huntsman | 70,700 | 2,651,957 | ||||
Koppers Holdings | 48,050 | 1,322,336 | ||||
Mosaic | 82,800 | 5,506,200 | ||||
O-I Glass † | 59,800 | 788,164 | ||||
Reliance Steel & Aluminum | 21,500 | 3,942,025 | ||||
Resolute Forest Products | 80,700 | 1,041,837 | ||||
Schweitzer-Mauduit International | 32,700 | 899,250 | ||||
Silgan Holdings | 403,184 | 18,639,196 | ||||
Steel Dynamics | 41,800 | 3,487,374 | ||||
Trinseo | 22,200 | 1,063,824 | ||||
Tronox Holdings Class A | 38,500 | 761,915 | ||||
Valvoline | 28,700 | 905,772 | ||||
Westrock | 48,000 | 2,257,440 | ||||
86,698,850 | ||||||
Real Estate — 9.12% | ||||||
American Assets Trust | 37,200 | 1,409,508 | ||||
Apple Hospitality | 68,979 | 1,239,553 | ||||
Brixmor Property Group | 80,400 | 2,075,124 | ||||
CareTrust REIT | 57,900 | 1,117,470 | ||||
City Office REIT | 137,000 | 2,419,420 | ||||
Franklin Street Properties | 93,612 | 552,311 | ||||
Gaming and Leisure Properties | 319,851 | 15,010,607 | ||||
Howard Hughes † | 62,111 | 6,435,321 | ||||
Industrial Logistics Properties | ||||||
Trust | 63,789 | 1,446,097 | ||||
Iron Mountain | 47,800 | 2,648,598 | ||||
Kite Realty Group Trust | 63,600 | 1,448,172 | ||||
Medical Properties Trust | 621,685 | 13,142,421 | ||||
National Health Investors | 32,800 | 1,935,528 | ||||
Newmark Group Class A | 465,221 | 7,406,318 | ||||
Office Properties Income Trust | 45,688 | 1,175,552 | ||||
Omega Healthcare Investors | 53,300 | 1,660,828 | ||||
Piedmont Office Realty Trust | ||||||
Class A | 78,300 | 1,348,326 | ||||
Plymouth Industrial REIT | 57,000 | 1,544,700 | ||||
Retail Value | 5,741 | 17,567 | ||||
RPT Realty | 104,000 | 1,432,080 | ||||
Sabra Health Care REIT | 112,200 | 1,670,658 | ||||
Service Properties Trust | 104,300 | 920,969 | ||||
Summit Hotel Properties † | 63,000 | 627,480 | ||||
Tanger Factory Outlet Centers | 122,610 | 2,107,666 | ||||
Uniti Group | 107,160 | 1,474,522 | ||||
72,266,796 | ||||||
Utilities — 1.46% | ||||||
National Fuel Gas | 55,200 | 3,792,240 | ||||
NRG Energy | 70,400 | 2,700,544 | ||||
UGI | 45,200 | 1,637,144 | ||||
Vistra | 148,900 | 3,461,925 | ||||
11,591,853 | ||||||
Total Common Stocks | ||||||
(cost $624,271,252) | 769,601,943 |
120
Number of | |||||||
shares | Value (US $) | ||||||
Limited Partnerships — 0.46% | |||||||
Rattler Midstream | 257,852 | $ | 3,602,193 | ||||
Total Limited Partnerships | |||||||
(cost $1,729,730) | 3,602,193 | ||||||
Short-Term Investments — 2.35% | |||||||
Money Market Mutual Funds — 2.35% | |||||||
BlackRock FedFund – Institutional | |||||||
Shares (seven-day effective | |||||||
yield 0.23%) | 4,663,944 | 4,663,944 | |||||
Fidelity Investments Money Market | |||||||
Government Portfolio – Class I | |||||||
(seven-day effective yield | |||||||
0.12%) | 4,663,943 | 4,663,943 | |||||
GS Financial Square Government | |||||||
Fund – Institutional Shares | |||||||
(seven-day effective yield | |||||||
0.25%) | 4,663,943 | 4,663,943 | |||||
Morgan Stanley Government | |||||||
Portfolio – Institutional Share | |||||||
Class (seven-day effective yield | |||||||
0.23%) | 4,663,943 | 4,663,943 | |||||
Total Short-Term Investments | |||||||
(cost $18,655,773) | 18,655,773 | ||||||
Total Value of Securities—99.95% | |||||||
(cost $644,656,755) | $ | 791,859,909 |
† | Non-income producing security. |
Summary of abbreviations:
ADR – American Depositary Receipt
GS – Goldman Sachs
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
121
Statements of assets and liabilities
Optimum Fund Trust
March 31, 2022
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||||||||||
Assets: | ||||||||||||||||||||
Investments, at value* | $ | 3,460,260,815 | $ | 919,791,990 | $ | 1,983,583,628 | $ | 2,071,707,736 | $ | 745,514,137 | $ | 791,859,909 | ||||||||
Cash | 4,523,148 | 31,079 | 564,461 | 268,731 | 270,352 | 104,243 | ||||||||||||||
Cash collateral due from | ||||||||||||||||||||
brokers | 8,938,051 | — | — | — | — | — | ||||||||||||||
Foreign currencies, at valueΔ | 6,001,795 | 1,188,318 | 194 | 24,177 | — | — | ||||||||||||||
Receivable for securities sold | 364,272,478 | 667,298 | 2,982,444 | 1,229,817 | 4,875,074 | 1,676,060 | ||||||||||||||
Dividends and interest | ||||||||||||||||||||
receivable | 14,161,911 | 3,687,197 | 263,175 | 2,051,230 | 142,707 | 1,130,793 | ||||||||||||||
Receivable for fund shares | ||||||||||||||||||||
sold | 8,491,359 | 2,698,039 | 5,685,674 | 5,508,087 | 2,204,686 | 2,202,955 | ||||||||||||||
Unrealized appreciation on | ||||||||||||||||||||
foreign currency exchange | ||||||||||||||||||||
contracts | 6,886,148 | 1,186 | — | — | — | — | ||||||||||||||
Variation margin due from | ||||||||||||||||||||
Credit Suisse on centrally | ||||||||||||||||||||
cleared interest rate swap | ||||||||||||||||||||
contracts | 1,555,174 | — | — | — | — | — | ||||||||||||||
Unrealized appreciation on | ||||||||||||||||||||
over the counter credit | ||||||||||||||||||||
default swap contracts | 914,535 | — | — | — | — | — | ||||||||||||||
Variation margin due from | ||||||||||||||||||||
CITI on futures contracts | 503,539 | — | — | — | — | — | ||||||||||||||
Swap payments receivable | 387,086 | — | — | — | — | — | ||||||||||||||
Variation margin due from | ||||||||||||||||||||
CITI on centrally cleared | ||||||||||||||||||||
interest rate swap | ||||||||||||||||||||
contracts | 158,653 | — | — | — | — | — | ||||||||||||||
Foreign tax reclaims | ||||||||||||||||||||
receivable | — | 2,149,169 | 40,876 | 343,799 | — | — | ||||||||||||||
Total Assets | 3,877,054,692 | 930,214,276 | 1,993,120,452 | 2,081,133,577 | 753,006,956 | 796,973,960 |
122
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Options written, at valueΣ | $ | 7,986,272 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
Payable for securities | ||||||||||||||||||||||
purchased | 1,013,865,902 | 246,389 | 2,096,373 | 875,661 | 4,994,847 | 3,103,337 | ||||||||||||||||
Payable for fund shares | ||||||||||||||||||||||
redeemed | 4,139,368 | 1,050,175 | 1,847,562 | 2,028,072 | 592,505 | 785,443 | ||||||||||||||||
Unrealized depreciation on | ||||||||||||||||||||||
foreign currency exchange | ||||||||||||||||||||||
contracts | 4,019,415 | 204 | 2,169 | — | — | — | ||||||||||||||||
Investment management fees | ||||||||||||||||||||||
payable to affiliates | 1,194,373 | 570,198 | 1,053,705 | 1,116,887 | 566,597 | 592,816 | ||||||||||||||||
Variation margin due to | ||||||||||||||||||||||
brokers on centrally | ||||||||||||||||||||||
cleared credit default swap | ||||||||||||||||||||||
contracts | 1,011,676 | — | — | — | — | — | ||||||||||||||||
Swap payments payable | 470,976 | — | — | — | — | — | ||||||||||||||||
Dividend disbursing and | ||||||||||||||||||||||
transfer agent fees and | ||||||||||||||||||||||
expenses payable to | ||||||||||||||||||||||
affiliates | 437,142 | 137,863 | 288,884 | 311,457 | 110,864 | 120,628 | ||||||||||||||||
Upfront payments received on | ||||||||||||||||||||||
over the counter credit | ||||||||||||||||||||||
default swap contracts | 276,659 | — | — | — | — | — | ||||||||||||||||
Other accrued expenses | 264,927 | 95,707 | 187,162 | 173,658 | 66,811 | 51,826 | ||||||||||||||||
Pricing fees payable | 203,947 | 87,451 | 1,295 | 1,221 | 20,780 | 1,145 | ||||||||||||||||
Administration expenses | ||||||||||||||||||||||
payable to affiliates | 125,253 | 39,502 | 82,773 | 89,241 | 31,765 | 34,563 | ||||||||||||||||
Unrealized depreciation on | ||||||||||||||||||||||
over the counter credit | ||||||||||||||||||||||
default swap contracts | 78,679 | — | — | — | — | — | ||||||||||||||||
Trustees' fees and expenses | ||||||||||||||||||||||
payable to affiliates | 70,740 | 23,089 | 48,217 | 51,271 | 18,534 | 19,899 | ||||||||||||||||
Distribution fees payable to | ||||||||||||||||||||||
affiliates | 66,735 | 15,868 | 58,407 | 59,384 | 9,597 | 8,714 | ||||||||||||||||
Custody fees payable | 65,508 | 161,150 | 32,866 | 18,931 | 17,195 | 11,012 | ||||||||||||||||
Variation margin due to HSBC | ||||||||||||||||||||||
on future contracts | 37,184 | — | — | — | — | — | ||||||||||||||||
Accounting fees payable to | ||||||||||||||||||||||
affiliates | 15,742 | 5,197 | 10,518 | 11,313 | 4,246 | 4,590 | ||||||||||||||||
Capital gains tax payable | — | 281,838 | — | — | — | — | ||||||||||||||||
Total Liabilities | 1,034,330,498 | 2,714,631 | 5,709,931 | 4,737,096 | 6,433,741 | 4,733,973 | ||||||||||||||||
Total Net Assets | $ | 2,842,724,194 | $ | 927,499,645 | $ | 1,987,410,521 | $ | 2,076,396,481 | $ | 746,573,215 | $ | 792,239,987 | ||||||||||
Net Assets Consist of: | ||||||||||||||||||||||
Paid-in capital | $ | 3,003,892,423 | $ | 977,537,868 | $ | 1,218,572,219 | $ | 1,329,817,527 | $ | 674,594,755 | $ | 620,548,048 | ||||||||||
Total distributable earnings | ||||||||||||||||||||||
(loss) | (161,168,229 | ) | (50,038,223 | ) | 768,838,302 | 746,578,954 | 71,978,460 | 171,691,939 | ||||||||||||||
Total Net Assets | $ | 2,842,724,194 | $ | 927,499,645 | $ | 1,987,410,521 | $ | 2,076,396,481 | $ | 746,573,215 | $ | 792,239,987 |
123
Statements of assets and liabilities
Optimum Fund Trust
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||||
Net Asset Value | |||||||||||||||||||||||||
Class A: | |||||||||||||||||||||||||
Net assets | $ | 21,243,838 | $ | 6,070,854 | $ | 23,860,944 | $ | 23,414,392 | $ | 3,863,950 | $ | 3,327,726 | |||||||||||||
Shares of beneficial interest | |||||||||||||||||||||||||
outstanding, unlimited | |||||||||||||||||||||||||
authorization, no par | 2,349,095 | 492,349 | 1,200,319 | 1,129,952 | 314,450 | 223,297 | |||||||||||||||||||
Net asset value per share | $ | 9.04 | $ | 12.33 | $ | 19.88 | $ | 20.72 | $ | 12.29 | $ | 14.90 | |||||||||||||
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) | $ | 9.47 | $ | 13.08 | $ | 21.09 | $ | 21.98 | $ | 13.04 | $ | 15.81 | |||||||||||||
Class C: | |||||||||||||||||||||||||
Net assets | $ | 71,985,315 | $ | 17,441,655 | $ | 65,192,535 | $ | 64,601,841 | $ | 10,473,867 | $ | 9,318,243 | |||||||||||||
Shares of beneficial interest | |||||||||||||||||||||||||
outstanding, unlimited | |||||||||||||||||||||||||
authorization, no par | 7,956,871 | 1,458,594 | 4,414,808 | 3,165,058 | 1,333,740 | 738,487 | |||||||||||||||||||
Net asset value per share | $ | 9.05 | $ | 11.96 | $ | 14.77 | $ | 20.41 | $ | 7.85 | $ | 12.62 | |||||||||||||
Institutional Class: | |||||||||||||||||||||||||
Net assets | $ | 2,749,495,041 | $ | 903,987,136 | $ | 1,898,357,042 | $ | 1,988,380,248 | $ | 732,235,398 | $ | 779,594,018 | |||||||||||||
Shares of beneficial interest | |||||||||||||||||||||||||
outstanding, unlimited | |||||||||||||||||||||||||
authorization, no par | 304,499,067 | 72,678,121 | 85,134,033 | 95,695,991 | 50,428,594 | 48,783,470 | |||||||||||||||||||
Net asset value per share | $ | 9.03 | $ | 12.44 | $ | 22.30 | $ | 20.78 | $ | 14.52 | $ | 15.98 | |||||||||||||
____________________ | |||||||||||||||||||||||||
*Investments, at cost | $ | 3,580,821,793 | $ | 968,348,630 | $ | 1,281,869,389 | $ | 1,356,603,528 | $ | 700,708,488 | $ | 644,656,755 | |||||||||||||
ΔForeign currencies, at cost | 6,022,263 | 1,187,404 | 196 | 24,228 | — | — | |||||||||||||||||||
ΣOptions written, premium received | (3,050,852 | ) | — | — | — | — | — |
See accompanying notes, which are an integral part of the financial statements.
124
Statements of operations
Optimum Fund Trust
Year ended March 31, 2022
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Interest | $ | 72,105,454 | $ | — | $ | — | $ | — | $ | — | $ | 21 | ||||||||||||
Dividends | 22,686 | 30,760,086 | 8,873,136 | 38,780,458 | 2,837,682 | 9,221,025 | ||||||||||||||||||
Securities lending income | — | 667 | — | — | — | — | ||||||||||||||||||
Foreign tax withheld | (12,490 | ) | (3,222,829 | ) | (92,967 | ) | (99,626 | ) | (1,141 | ) | (5,343 | ) | ||||||||||||
72,115,650 | 27,537,924 | 8,780,169 | 38,680,832 | 2,836,541 | 9,215,703 | |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Management fees | 14,431,212 | 7,214,064 | 14,249,815 | 12,561,194 | 7,720,081 | 6,906,437 | ||||||||||||||||||
Distribution expenses — Class A | 58,677 | 17,746 | 69,803 | 60,444 | 11,369 | 8,934 | ||||||||||||||||||
Distribution expenses — Class C | 824,880 | 210,371 | 785,605 | 694,842 | 127,280 | 104,795 | ||||||||||||||||||
Dividend disbursing and transfer agent fees | ||||||||||||||||||||||||
and expenses | 5,354,324 | 1,792,492 | 3,825,758 | 3,623,389 | 1,421,526 | 1,407,552 | ||||||||||||||||||
Administration expenses | 1,517,549 | 506,228 | 1,082,072 | 1,023,138 | 399,982 | 396,402 | ||||||||||||||||||
Accounting fees | 583,812 | 220,149 | 425,741 | 404,753 | 182,141 | 181,635 | ||||||||||||||||||
Reports and statements to shareholders | ||||||||||||||||||||||||
expenses | 509,359 | 309,356 | 322,758 | 362,778 | 214,863 | 157,379 | ||||||||||||||||||
Trustees’ fees and expenses | 307,151 | 108,756 | 212,024 | 207,182 | 83,446 | 78,473 | ||||||||||||||||||
Pricing fees | 283,070 | 143,828 | 4,265 | 4,560 | 16,406 | 4,654 | ||||||||||||||||||
Professional fees | 184,597 | 98,947 | 134,634 | 121,977 | 68,758 | 71,289 | ||||||||||||||||||
Custodian fees | 164,648 | 404,573 | 69,154 | 53,031 | 36,458 | 27,257 | ||||||||||||||||||
Registration fees | 109,135 | 99,347 | 102,651 | 88,460 | 88,346 | 69,693 | ||||||||||||||||||
Insurance fees | 48,216 | 11,474 | 34,188 | 28,728 | 11,568 | 9,935 | ||||||||||||||||||
Tax services | 28,166 | 31,193 | 542 | 280 | 604 | 501 | ||||||||||||||||||
Other | 21,471 | 6,603 | 18,094 | 12,485 | 2,965 | 7,680 | ||||||||||||||||||
24,426,267 | 11,175,127 | 21,337,104 | 19,247,241 | 10,385,793 | 9,432,616 | |||||||||||||||||||
Less expenses waived | — | (207,810 | ) | (72,284 | ) | — | (92,108 | ) | (8,626 | ) | ||||||||||||||
Less expenses paid indirectly | (474 | ) | (413 | ) | (547 | ) | (536 | ) | (521 | ) | (519 | ) | ||||||||||||
Total operating expenses | 24,425,793 | 10,966,904 | 21,264,273 | 19,246,705 | 10,293,164 | 9,423,471 | ||||||||||||||||||
Net Investment Income (Loss) | 47,689,857 | 16,571,020 | (12,484,104 | ) | 19,434,127 | (7,456,623 | ) | (207,768 | ) |
See accompanying notes, which are an integral part of the financial statements.
125
Statements of operations
Optimum Fund Trust
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | ||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments1 | $ | (20,083,726 | ) | $ | 91,057,992 | $ | 144,862,007 | $ | 76,577,408 | $ | 107,582,923 | $ | 43,412,983 | ||||||||||
Foreign currencies | 1,376,758 | (335,373 | ) | 28,152 | (6,575 | ) | (759 | ) | — | ||||||||||||||
Foreign currency exchange contracts | 7,488,841 | (9,333 | ) | (27,162 | ) | (398 | ) | 655 | — | ||||||||||||||
Futures contracts | (5,128,009 | ) | — | — | — | — | — | ||||||||||||||||
Options purchased | (653,400 | ) | — | — | — | — | — | ||||||||||||||||
Options written | 717,637 | — | — | — | — | — | |||||||||||||||||
Swap contracts | 1,095,982 | — | — | — | — | — | |||||||||||||||||
Net realized gain (loss) | (15,185,917 | ) | 90,713,286 | 144,862,997 | 76,570,435 | 107,582,819 | 43,412,983 | ||||||||||||||||
Net change in unrealized appreciation | |||||||||||||||||||||||
(depreciation) of: | |||||||||||||||||||||||
Investments2 | (157,990,538 | ) | (182,258,425 | ) | (77,450,912 | ) | 143,968,000 | (143,726,772 | ) | 5,101,235 | |||||||||||||
Foreign currencies | 41,936 | (28,792 | ) | 908 | 3,671 | — | — | ||||||||||||||||
Foreign currency exchange contracts | 2,178,024 | 255 | (2,165 | ) | — | — | — | ||||||||||||||||
Futures contracts | (9,296,163 | ) | — | — | — | — | — | ||||||||||||||||
Options purchased | 512,425 | — | — | — | — | — | |||||||||||||||||
Options written | (4,984,924 | ) | — | — | — | — | — | ||||||||||||||||
Swap contracts | (6,506,443 | ) | — | — | — | — | — | ||||||||||||||||
Net change in unrealized appreciation | |||||||||||||||||||||||
(depreciation) | (176,045,683 | ) | (182,286,962 | ) | (77,452,169 | ) | 143,971,671 | (143,726,772 | ) | 5,101,235 | |||||||||||||
Net Realized and Unrealized Gain (Loss) | (191,231,600 | ) | (91,573,676 | ) | 67,410,828 | 220,542,106 | (36,143,953 | ) | 48,514,218 | ||||||||||||||
Net Increase (Decrease) in Net Assets | |||||||||||||||||||||||
Resulting from Operations | $ | (143,541,743 | ) | $ | (75,002,656 | ) | $ | 54,926,724 | $ | 239,976,233 | $ | (43,600,576 | ) | $ | 48,306,450 |
1 | Includes $(331,852) capital gains tax paid for Optimum International Fund. |
2 | Includes increase of $(281,838) capital gains tax accrued for Optimum International Fund. |
See accompanying notes, which are an integral part of the financial statements.
126
Statements of changes in net assets
Optimum Fund Trust
Optimum | Optimum | |||||||||||||||
Fixed Income | International | |||||||||||||||
Fund | Fund | |||||||||||||||
Year ended | Year ended | |||||||||||||||
3/31/22 | 3/31/21 | 3/31/22 | 3/31/21 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 47,689,857 | $ | 46,246,089 | $ | 16,571,020 | $ | 8,018,979 | ||||||||
Net realized gain (loss) | (15,185,917 | ) | 62,134,788 | 90,713,286 | 25,034,293 | |||||||||||
Net change in unrealized appreciation (depreciation) | (176,045,683 | ) | 22,005,406 | (182,286,962 | ) | 213,308,348 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (143,541,743 | ) | 130,386,283 | (75,002,656 | ) | 246,361,620 | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | (445,644 | ) | (1,182,087 | ) | (935,580 | ) | (139,401 | ) | ||||||||
Class C | (903,556 | ) | (3,495,380 | ) | (2,624,537 | ) | (288,872 | ) | ||||||||
Institutional Class | (62,740,572 | ) | (127,667,475 | ) | (131,716,221 | ) | (12,652,253 | ) | ||||||||
(64,089,772 | ) | (132,344,942 | ) | (135,276,338 | ) | (13,080,526 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 2,096,123 | 2,166,663 | 291,952 | 521,008 | ||||||||||||
Class C | 4,702,930 | 6,494,263 | 513,464 | 1,512,024 | ||||||||||||
Institutional Class | 536,712,198 | 596,611,343 | 183,482,627 | 344,491,714 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and | ||||||||||||||||
distributions: | ||||||||||||||||
Class A | 445,467 | 1,181,575 | 934,059 | 139,195 | ||||||||||||
Class C | 901,741 | 3,488,865 | 2,623,663 | 288,146 | ||||||||||||
Institutional Class | 62,651,359 | 127,196,433 | 131,589,404 | 12,637,812 | ||||||||||||
607,509,818 | 737,139,142 | 319,435,169 | 359,589,899 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (3,907,042 | ) | (4,154,651 | ) | (1,232,452 | ) | (1,059,088 | ) | ||||||||
Class C | (14,255,701 | ) | (10,267,325 | ) | (3,918,149 | ) | (2,734,121 | ) | ||||||||
Institutional Class | (374,235,438 | ) | (375,098,517 | ) | (108,163,697 | ) | (84,611,754 | ) | ||||||||
(392,398,181 | ) | (389,520,493 | ) | (113,314,298 | ) | (88,404,963 | ) | |||||||||
Increase in net assets derived from capital share transactions | 215,111,637 | 347,618,649 | 206,120,871 | 271,184,936 | ||||||||||||
Net Increase (Decrease) in Net Assets | 7,480,122 | 345,659,990 | (4,158,123 | ) | 504,466,030 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 2,835,244,072 | 2,489,584,082 | 931,657,768 | 427,191,738 | ||||||||||||
End of year | $ | 2,842,724,194 | $ | 2,835,244,072 | $ | 927,499,645 | $ | 931,657,768 |
See accompanying notes, which are an integral part of the financial statements.
127
Statements of changes in net assets
Optimum Fund Trust
Optimum | Optimum | |||||||||||||||
Large Cap | Large Cap | |||||||||||||||
Growth Fund | Value Fund | |||||||||||||||
Year ended | Year ended | |||||||||||||||
3/31/22 | 3/31/21 | 3/31/22 | 3/31/21 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (12,484,104 | ) | $ | (8,658,957 | ) | $ | 19,434,127 | $ | 20,033,341 | ||||||
Net realized gain | 144,862,997 | 307,841,231 | 76,570,435 | 72,785,306 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (77,452,169 | ) | 528,954,726 | 143,971,671 | 562,232,765 | |||||||||||
Net increase in net assets resulting from operations | 54,926,724 | 828,137,000 | 239,976,233 | 655,051,412 | ||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | (4,030,585 | ) | (2,330,191 | ) | (1,692,706 | ) | (227,116 | ) | ||||||||
Class C | (14,214,509 | ) | (8,141,363 | ) | (4,345,895 | ) | (325,729 | ) | ||||||||
Institutional Class | (268,587,340 | ) | (145,275,414 | ) | (140,961,810 | ) | (20,704,214 | ) | ||||||||
(286,832,434 | ) | (155,746,968 | ) | (147,000,411 | ) | (21,257,059 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 1,407,951 | 529,522 | 1,277,268 | 1,374,919 | ||||||||||||
Class C | 814,700 | 913,806 | 931,257 | 3,507,516 | ||||||||||||
Institutional Class | 327,269,912 | 237,257,735 | 309,558,547 | 285,934,921 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends | ||||||||||||||||
and distributions: | ||||||||||||||||
Class A | 4,028,511 | 2,329,081 | 1,691,946 | 227,019 | ||||||||||||
Class C | 14,196,121 | 8,119,104 | 4,339,611 | 324,729 | ||||||||||||
Institutional Class | 268,007,460 | 144,795,123 | 140,692,925 | 20,646,682 | ||||||||||||
615,724,655 | 393,944,371 | 458,491,554 | 312,015,786 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (6,494,547 | ) | (7,068,584 | ) | (4,535,773 | ) | (3,159,329 | ) | ||||||||
Class C | (17,531,920 | ) | (18,345,652 | ) | (14,131,077 | ) | (7,822,979 | ) | ||||||||
Institutional Class | (304,236,214 | ) | (587,462,462 | ) | (274,794,124 | ) | (401,061,413 | ) | ||||||||
(328,262,681 | ) | (612,876,698 | ) | (293,460,974 | ) | (412,043,721 | ) | |||||||||
Increase (decrease) in net assets derived from capital share | ||||||||||||||||
transactions | 287,461,974 | (218,932,327 | ) | 165,030,580 | (100,027,935 | ) | ||||||||||
Net Increase in Net Assets | 55,556,264 | 453,457,705 | 258,006,402 | 533,766,418 | ||||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 1,931,854,257 | 1,478,396,552 | 1,818,390,079 | 1,284,623,661 | ||||||||||||
End of year | $ | 1,987,410,521 | $ | 1,931,854,257 | $ | 2,076,396,481 | $ | 1,818,390,079 |
See accompanying notes, which are an integral part of the financial statements.
128
Optimum | Optimum | |||||||||||||||
Small-Mid Cap | Small-Mid Cap | |||||||||||||||
Growth Fund | Value Fund | |||||||||||||||
Year ended | Year ended | |||||||||||||||
3/31/22 | 3/31/21 | 3/31/22 | 3/31/21 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (7,456,623 | ) | $ | (6,022,712 | ) | $ | (207,768 | ) | $ | 10,131,162 | |||||
Net realized gain | 107,582,819 | 217,906,476 | 43,412,983 | 46,112,806 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (143,726,772 | ) | 224,979,499 | 5,101,235 | 279,835,046 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (43,600,576 | ) | 436,863,263 | 48,306,450 | 336,079,014 | |||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | (1,302,134 | ) | (794,941 | ) | (222,223 | ) | (134,611 | ) | ||||||||
Class C | (4,763,873 | ) | (2,933,106 | ) | (669,877 | ) | (421,984 | ) | ||||||||
Institutional Class | (199,510,449 | ) | (95,066,679 | ) | (47,505,314 | ) | (23,951,424 | ) | ||||||||
(205,576,456 | ) | (98,794,726 | ) | (48,397,414 | ) | (24,508,019 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 260,330 | 92,640 | 221,806 | 520,361 | ||||||||||||
Class C | 188,430 | 157,088 | 132,722 | 1,367,421 | ||||||||||||
Institutional Class | 141,732,994 | 156,669,492 | 135,324,597 | 128,890,149 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and | ||||||||||||||||
distributions: | ||||||||||||||||
Class A | 1,300,064 | 793,823 | 221,983 | 134,484 | ||||||||||||
Class C | 4,762,017 | 2,929,999 | 669,620 | 420,931 | ||||||||||||
Institutional Class | 198,911,276 | 94,747,412 | 47,459,076 | 23,930,685 | ||||||||||||
347,155,111 | 255,390,454 | 184,029,804 | 155,264,031 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (1,198,026 | ) | (1,566,133 | ) | (891,600 | ) | (540,067 | ) | ||||||||
Class C | (3,440,330 | ) | (4,487,246 | ) | (2,796,339 | ) | (1,519,315 | ) | ||||||||
Institutional Class | (103,282,138 | ) | (249,624,233 | ) | (104,727,298 | ) | (122,727,590 | ) | ||||||||
(107,920,494 | ) | (255,677,612 | ) | (108,415,237 | ) | (124,786,972 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 239,234,617 | (287,158 | ) | 75,614,567 | 30,477,059 | |||||||||||
Net Increase (Decrease) in Net Assets | (9,942,415 | ) | 337,781,379 | 75,523,603 | 342,048,054 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 756,515,630 | 418,734,251 | 716,716,384 | 374,668,330 | ||||||||||||
End of year | $ | 746,573,215 | $ | 756,515,630 | $ | 792,239,987 | $ | 716,716,384 |
See accompanying notes, which are an integral part of the financial statements.
129
Financial highlights
Optimum Fixed Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 9.70 | $ | 9.67 | $ | 9.46 | $ | 9.35 | $ | 9.39 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.14 | 0.15 | 0.21 | 0.23 | 0.22 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.61 | ) | 0.37 | 0.29 | 0.08 | (0.05 | ) | |||||||||||||
Total from investment operations | (0.47 | ) | 0.52 | 0.50 | 0.31 | 0.17 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.15 | ) | (0.15 | ) | (0.23 | ) | (0.20 | ) | (0.21 | ) | ||||||||||
Net realized gain | (0.04 | ) | (0.34 | ) | (0.06 | ) | — | — | ||||||||||||
Total dividends and distributions | (0.19 | ) | (0.49 | ) | (0.29 | ) | (0.20 | ) | (0.21 | ) | ||||||||||
Net asset value, end of period | $ | 9.04 | $ | 9.70 | $ | 9.67 | $ | 9.46 | $ | 9.35 | ||||||||||
Total return2 | (4.99% | ) | 5.21% | 5.24% | 3 | 3.37% | 1.81% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 21,244 | $ | 24,142 | $ | 24,827 | $ | 26,613 | $ | 30,150 | ||||||||||
Ratio of expenses to average net assets4 | 1.05% | 1.06% | 1.07% | 1.08% | 1.10% | |||||||||||||||
Ratio of net investment income to average net assets | 1.40% | 1.52% | 2.11% | 2.43% | 2.29% | |||||||||||||||
Portfolio turnover | 219% | 5 | 217% | 5 | 361% | 5 | 453% | 403% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
5 | The Fund accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
See accompanying notes, which are an integral part of the financial statements.
130
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 9.69 | $ | 9.67 | $ | 9.45 | $ | 9.34 | $ | 9.38 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.06 | 0.08 | 0.13 | 0.16 | 0.15 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.59 | ) | 0.35 | 0.30 | 0.07 | (0.05 | ) | |||||||||||||
Total from investment operations | (0.53 | ) | 0.43 | 0.43 | 0.23 | 0.10 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.07 | ) | (0.07 | ) | (0.15 | ) | (0.12 | ) | (0.14 | ) | ||||||||||
Net realized gain | (0.04 | ) | (0.34 | ) | (0.06 | ) | — | — | ||||||||||||
Total dividends and distributions | (0.11 | ) | (0.41 | ) | (0.21 | ) | (0.12 | ) | (0.14 | ) | ||||||||||
Net asset value, end of period | $ | 9.05 | $ | 9.69 | $ | 9.67 | $ | 9.45 | $ | 9.34 | ||||||||||
Total return2 | (5.55% | ) | 4.30% | 4.55% | 3 | 2.52% | 1.06% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 71,985 | $ | 85,821 | $ | 85,853 | $ | 92,295 | $ | 105,194 | ||||||||||
Ratio of expenses to average net assets4 | 1.80% | 1.81% | 1.82% | 1.83% | 1.85% | |||||||||||||||
Ratio of net investment income to average net assets | 0.65% | 0.77% | 1.36% | 1.68% | 1.54% | |||||||||||||||
Portfolio turnover | 219% | 5 | 217% | 5 | 361% | 5 | 453% | 403% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
5 | The Fund accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
See accompanying notes, which are an integral part of the financial statements.
131
Financial highlights
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 9.68 | $ | 9.66 | $ | 9.45 | $ | 9.34 | $ | 9.39 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.16 | 0.18 | 0.23 | 0.25 | 0.24 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.59 | ) | 0.36 | 0.29 | 0.08 | (0.05 | ) | |||||||||||||
Total from investment operations | (0.43 | ) | 0.54 | 0.52 | 0.33 | 0.19 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.18 | ) | (0.18 | ) | (0.25 | ) | (0.22 | ) | (0.24 | ) | ||||||||||
Net realized gain | (0.04 | ) | (0.34 | ) | (0.06 | ) | — | — | ||||||||||||
Total dividends and distributions | (0.22 | ) | (0.52 | ) | (0.31 | ) | (0.22 | ) | (0.24 | ) | ||||||||||
Net asset value, end of period | $ | 9.03 | $ | 9.68 | $ | 9.66 | $ | 9.45 | $ | 9.34 | ||||||||||
Total return2 | (4.65% | ) | 5.37% | 5.52% | 3 | 3.65% | 1.96% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 2,749,495 | $ | 2,725,281 | $ | 2,378,904 | $ | 2,249,912 | $ | 1,882,394 | ||||||||||
Ratio of expenses to average net assets4 | 0.80% | 0.81% | 0.82% | 0.83% | 0.85% | |||||||||||||||
Ratio of net investment income to average net assets | 1.65% | 1.77% | 2.36% | 2.68% | 2.54% | |||||||||||||||
Portfolio turnover | 219% | 5 | 217% | 5 | 361% | 5 | 453% | 403% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
5 | The Fund accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
See accompanying notes, which are an integral part of the financial statements.
132
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 15.40 | $ | 9.93 | $ | 12.59 | $ | 14.42 | $ | 12.27 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.22 | 0.16 | 0.20 | 0.17 | 0.12 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.20 | ) | 5.59 | (2.61 | ) | (1.00 | ) | 2.29 | ||||||||||||
Total from investment operations | (0.98 | ) | 5.75 | (2.41 | ) | (0.83 | ) | 2.41 | ||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.27 | ) | (0.12 | ) | (0.21 | ) | (0.18 | ) | (0.11 | ) | ||||||||||
Net realized gain | (1.82 | ) | (0.16 | ) | (0.04 | ) | (0.82 | ) | (0.15 | ) | ||||||||||
Total dividends and distributions | (2.09 | ) | (0.28 | ) | (0.25 | ) | (1.00 | ) | (0.26 | ) | ||||||||||
Net asset value, end of period | $ | 12.33 | $ | 15.40 | $ | 9.93 | $ | 12.59 | $ | 14.42 | ||||||||||
Total return2 | (7.55% | )3 | 58.20% | 3 | (19.62% | )3 | (5.33% | ) | 19.74% | 3 | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 6,071 | $ | 7,494 | $ | 5,121 | $ | 7,275 | $ | 8,704 | ||||||||||
Ratio of expenses to average net assets4 | 1.34% | 1.34% | 1.37% | 1.37% | 1.36% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 1.36% | 1.35% | 1.39% | 1.37% | 1.36% | |||||||||||||||
Ratio of net investment income to average net assets | 1.46% | 1.21% | 1.62% | 1.30% | 0.90% | |||||||||||||||
Ratio of net investment income to average net assets prior to | ||||||||||||||||||||
fees waived | 1.44% | 1.20% | 1.60% | 1.30% | 0.90% | |||||||||||||||
Portfolio turnover | 106% | 71% | 51% | 63% | 52% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Total return during the period reflects waiver by the manager and/or distributor. Performance would have been lower had the waiver not been in effect. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
133
Financial highlights
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 14.98 | $ | 9.68 | $ | 12.27 | $ | 14.06 | $ | 11.98 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.10 | 0.06 | 0.11 | 0.07 | 0.02 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.15 | ) | 5.43 | (2.54 | ) | (0.98 | ) | 2.23 | ||||||||||||
Total from investment operations | (1.05 | ) | 5.49 | (2.43 | ) | (0.91 | ) | 2.25 | ||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.15 | ) | (0.03 | ) | (0.12 | ) | (0.06 | ) | (0.02 | ) | ||||||||||
Net realized gain | (1.82 | ) | (0.16 | ) | (0.04 | ) | (0.82 | ) | (0.15 | ) | ||||||||||
Total dividends and distributions | (1.97 | ) | (0.19 | ) | (0.16 | ) | (0.88 | ) | (0.17 | ) | ||||||||||
Net asset value, end of period | $ | 11.96 | $ | 14.98 | $ | 9.68 | $ | 12.27 | $ | 14.06 | ||||||||||
Total return2 | (8.21% | )3 | 56.92% | 3 | (20.16% | )3 | (6.07% | ) | 18.82% | 3 | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 17,442 | $ | 22,367 | $ | 15,138 | $ | 21,763 | $ | 28,046 | ||||||||||
Ratio of expenses to average net assets4 | 2.09% | 2.09% | 2.12% | 2.12% | 2.11% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 2.11% | 2.10% | 2.14% | 2.12% | 2.11% | |||||||||||||||
Ratio of net investment income to average net assets | 0.71% | 0.46% | 0.87% | 0.55% | 0.15% | |||||||||||||||
Ratio of net investment income to average net assets prior to | ||||||||||||||||||||
fees waived | 0.69% | 0.45% | 0.85% | 0.55% | 0.15% | |||||||||||||||
Portfolio turnover | 106% | 71% | 51% | 63% | 52% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Total return during the period reflects waiver by the manager and/or distributor. Performance would have been lower had the waiver not been in effect. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
134
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 15.52 | $ | 10.00 | $ | 12.68 | $ | 14.52 | $ | 12.35 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.26 | 0.19 | 0.24 | 0.21 | 0.16 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.21 | ) | 5.64 | (2.63 | ) | (1.02 | ) | 2.31 | ||||||||||||
Total from investment operations | (0.95 | ) | 5.83 | (2.39 | ) | (0.81 | ) | 2.47 | ||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.31 | ) | (0.15 | ) | (0.25 | ) | (0.21 | ) | (0.15 | ) | ||||||||||
Net realized gain | (1.82 | ) | (0.16 | ) | (0.04 | ) | (0.82 | ) | (0.15 | ) | ||||||||||
Total dividends and distributions | (2.13 | ) | (0.31 | ) | (0.29 | ) | (1.03 | ) | (0.30 | ) | ||||||||||
Net asset value, end of period | $ | 12.44 | $ | 15.52 | $ | 10.00 | $ | 12.68 | $ | 14.52 | ||||||||||
Total return2 | (7.31% | )3 | 58.64% | 3 | (19.44% | )3 | (5.09% | ) | 20.05% | 3 | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 903,987 | $ | 901,797 | $ | 406,933 | $ | 524,925 | $ | 629,934 | ||||||||||
Ratio of expenses to average net assets4 | 1.09% | 1.09% | 1.12% | 1.12% | 1.11% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 1.11% | 1.10% | 1.14% | 1.12% | 1.11% | |||||||||||||||
Ratio of net investment income to average net assets | 1.71% | 1.46% | 1.87% | 1.55% | 1.15% | |||||||||||||||
Ratio of net investment income to average net assets prior to | ||||||||||||||||||||
fees waived | 1.69% | 1.45% | 1.85% | 1.55% | 1.15% | |||||||||||||||
Portfolio turnover | 106% | 71% | 51% | 63% | 52% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
135
Financial highlights
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 22.49 | $ | 15.51 | $ | 16.70 | $ | 17.22 | $ | 16.84 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (0.19 | ) | (0.14 | ) | (0.07 | ) | (0.03 | ) | (0.06 | ) | ||||||||||
Net realized and unrealized gain (loss) | 1.26 | 9.03 | (0.53 | ) | 1.82 | 3.70 | ||||||||||||||
Total from investment operations | 1.07 | 8.89 | (0.60 | ) | 1.79 | 3.64 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain | (3.68 | ) | (1.91 | ) | (0.59 | ) | (2.31 | ) | (3.26 | ) | ||||||||||
Total dividends and distributions | (3.68 | ) | (1.91 | ) | (0.59 | ) | (2.31 | ) | (3.26 | ) | ||||||||||
Net asset value, end of period | $ | 19.88 | $ | 22.49 | $ | 15.51 | $ | 16.70 | $ | 17.22 | ||||||||||
Total return2 | 2.49% | 3 | 57.75% | (4.03% | ) | 11.60% | 22.17% | 3 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 23,861 | $ | 27,906 | $ | 22,363 | $ | 29,605 | $ | 32,254 | ||||||||||
Ratio of expenses to average net assets4 | 1.22% | 1.23% | 1.24% | 1.25% | 1.26% | |||||||||||||||
Ratio of net investment loss to average net assets | (0.80% | ) | (0.65% | ) | (0.38% | ) | (0.19% | ) | (0.31% | ) | ||||||||||
Portfolio turnover | 25% | 27% | 29% | 25% | 77% | 5 |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Total return during the period reflects waiver by the manager and/or distributor. Performance would have been lower had the waiver not been in effect. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
5 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of the sub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
See accompanying notes, which are an integral part of the financial statements.
136
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 17.63 | $ | 12.52 | $ | 13.68 | $ | 14.62 | $ | 14.81 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (0.28 | ) | (0.24 | ) | (0.16 | ) | (0.14 | ) | (0.17 | ) | ||||||||||
Net realized and unrealized gain (loss) | 1.10 | 7.26 | (0.41 | ) | 1.51 | 3.24 | ||||||||||||||
Total from investment operations | 0.82 | 7.02 | (0.57 | ) | 1.37 | 3.07 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain | (3.68 | ) | (1.91 | ) | (0.59 | ) | (2.31 | ) | (3.26 | ) | ||||||||||
Total dividends and distributions | (3.68 | ) | (1.91 | ) | (0.59 | ) | (2.31 | ) | (3.26 | ) | ||||||||||
Net asset value, end of period | $ | 14.77 | $ | 17.63 | $ | 12.52 | $ | 13.68 | $ | 14.62 | ||||||||||
Total return2 | 1.72% | 3 | 56.56% | (4.71% | ) | 10.74% | 21.30% | 3 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 65,193 | $ | 79,209 | $ | 63,237 | $ | 83,010 | $ | 97,658 | ||||||||||
Ratio of expenses to average net assets4 | 1.97% | 1.98% | 1.99% | 2.00% | 2.01% | |||||||||||||||
Ratio of net investment loss to average net assets | (1.55% | ) | (1.40% | ) | (1.13% | ) | (0.94% | ) | (1.06% | ) | ||||||||||
Portfolio turnover | 25% | 27% | 29% | 25% | 77% | 5 |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Total return during the period reflects waiver by the manager and/or distributor. Performance would have been lower had the waiver not been in effect. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
5 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of the sub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
See accompanying notes, which are an integral part of the financial statements.
137
Financial highlights
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 24.79 | $ | 16.93 | $ | 18.13 | $ | 18.46 | $ | 17.81 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | (0.14 | ) | (0.09 | ) | (0.02 | ) | 0.01 | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) | 1.33 | 9.86 | (0.59 | ) | 1.97 | 3.92 | ||||||||||||||
Total from investment operations | 1.19 | 9.77 | (0.61 | ) | 1.98 | 3.91 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain | (3.68 | ) | (1.91 | ) | (0.59 | ) | (2.31 | ) | (3.26 | ) | ||||||||||
Total dividends and distributions | (3.68 | ) | (1.91 | ) | (0.59 | ) | (2.31 | ) | (3.26 | ) | ||||||||||
Net asset value, end of period | $ | 22.30 | $ | 24.79 | $ | 16.93 | $ | 18.13 | $ | 18.46 | ||||||||||
Total return2 | 2.75% | 3 | 58.11% | (3.77% | ) | 11.86% | 22.50% | 3 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,898,357 | $ | 1,824,739 | $ | 1,392,797 | $ | 1,563,552 | $ | 1,610,343 | ||||||||||
Ratio of expenses to average net assets4 | 0.97% | 0.98% | 0.99% | 1.00% | 1.01% | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.55% | ) | (0.40% | ) | (0.13% | ) | 0.06% | (0.06% | ) | |||||||||||
Portfolio turnover | 25% | 27% | 29% | 25% | 77% | 5 |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
5 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of the sub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
See accompanying notes, which are an integral part of the financial statements.
138
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 19.72 | $ | 13.22 | $ | 15.83 | $ | 15.89 | $ | 15.42 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.16 | 0.17 | 0.20 | 0.19 | 0.17 | |||||||||||||||
Net realized and unrealized gain (loss) | 2.37 | 6.52 | (2.37 | ) | 0.38 | 1.19 | ||||||||||||||
Total from investment operations | 2.53 | 6.69 | (2.17 | ) | 0.57 | 1.36 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.23 | ) | (0.10 | ) | (0.20 | ) | (0.18 | ) | (0.16 | ) | ||||||||||
Net realized gain | (1.30 | ) | (0.09 | ) | (0.24 | ) | (0.45 | ) | (0.73 | ) | ||||||||||
Total dividends and distributions | (1.53 | ) | (0.19 | ) | (0.44 | ) | (0.63 | ) | (0.89 | ) | ||||||||||
Net asset value, end of period | $ | 20.72 | $ | 19.72 | $ | 13.22 | $ | 15.83 | $ | 15.89 | ||||||||||
Total return2 | 12.91% | 50.73% | (14.37% | ) | 3.79% | 8.68% | ||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 23,414 | $ | 23,730 | $ | 17,123 | $ | 23,742 | $ | 26,448 | ||||||||||
Ratio of expenses to average net assets3 | 1.18% | 1.19% | 1.20% | 1.20% | 1.21% | |||||||||||||||
Ratio of net investment income to average net assets | 0.76% | 1.04% | 1.19% | 1.23% | 1.05% | |||||||||||||||
Portfolio turnover | 9% | 20% | 23% | 22% | 25% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
139
Financial highlights
Optimum Large Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 19.44 | $ | 13.06 | $ | 15.65 | $ | 15.69 | $ | 15.25 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | — | 0.05 | 0.07 | 0.07 | 0.05 | |||||||||||||||
Net realized and unrealized gain (loss) | 2.34 | 6.42 | (2.35 | ) | 0.38 | 1.17 | ||||||||||||||
Total from investment operations | 2.34 | 6.47 | (2.28 | ) | 0.45 | 1.22 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.07 | ) | — | (0.07 | ) | (0.04 | ) | (0.05 | ) | |||||||||||
Net realized gain | (1.30 | ) | (0.09 | ) | (0.24 | ) | (0.45 | ) | (0.73 | ) | ||||||||||
Total dividends and distributions | (1.37 | ) | (0.09 | ) | (0.31 | ) | (0.49 | ) | (0.78 | ) | ||||||||||
Net asset value, end of period | $ | 20.41 | $ | 19.44 | $ | 13.06 | $ | 15.65 | $ | 15.69 | ||||||||||
Total return2 | 12.07% | 49.61% | (15.04% | ) | 3.05% | 7.82% | ||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 64,602 | $ | 69,778 | $ | 50,036 | $ | 69,415 | $ | 82,610 | ||||||||||
Ratio of expenses to average net assets3 | 1.93% | 1.94% | 1.95% | 1.95% | 1.96% | |||||||||||||||
Ratio of net investment income to average net assets | 0.01% | 0.29% | 0.44% | 0.48% | 0.30% | |||||||||||||||
Portfolio turnover | 9% | 20% | 23% | 22% | 25% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
140
Optimum Large Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 19.77 | $ | 13.25 | $ | 15.87 | $ | 15.93 | $ | 15.46 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.21 | 0.21 | 0.24 | 0.23 | 0.21 | |||||||||||||||
Net realized and unrealized gain (loss) | 2.39 | 6.54 | (2.38 | ) | 0.38 | 1.19 | ||||||||||||||
Total from investment operations | 2.60 | 6.75 | (2.14 | ) | 0.61 | 1.40 | ||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.29 | ) | (0.14 | ) | (0.24 | ) | (0.22 | ) | (0.20 | ) | ||||||||||
Net realized gain | (1.30 | ) | (0.09 | ) | (0.24 | ) | (0.45 | ) | (0.73 | ) | ||||||||||
Total dividends and distributions | (1.59 | ) | (0.23 | ) | (0.48 | ) | (0.67 | ) | (0.93 | ) | ||||||||||
Net asset value, end of period | $ | 20.78 | $ | 19.77 | $ | 13.25 | $ | 15.87 | $ | 15.93 | ||||||||||
Total return2 | 13.22% | 51.11% | (14.19% | ) | 4.08% | 8.90% | ||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,988,380 | $ | 1,724,882 | $ | 1,217,465 | $ | 1,474,723 | $ | 1,372,505 | ||||||||||
Ratio of expenses to average net assets3 | 0.93% | 0.94% | 0.95% | 0.95% | 0.96% | |||||||||||||||
Ratio of net investment income to average net assets | 1.01% | 1.29% | 1.44% | 1.48% | 1.30% | |||||||||||||||
Portfolio turnover | 9% | 20% | 23% | 22% | 25% |
1 | Calculated using average shares outstanding. |
2 | Total 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
141
Financial highlights
Optimum Small-Mid Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 18.05 | $ | 10.17 | $ | 13.43 | $ | 15.51 | $ | 13.31 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (0.20 | ) | (0.18 | ) | (0.15 | ) | (0.17 | ) | (0.16 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 10.98 | (1.77 | ) | 1.20 | 3.03 | |||||||||||||
Total from investment operations | (0.35 | ) | 10.80 | (1.92 | ) | 1.03 | 2.87 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain | (5.41 | ) | (2.92 | ) | (1.34 | ) | (3.11 | ) | (0.67 | ) | ||||||||||
Total dividends and distributions | (5.41 | ) | (2.92 | ) | (1.34 | ) | (3.11 | ) | (0.67 | ) | ||||||||||
Net asset value, end of period | $ | 12.29 | $ | 18.05 | $ | 10.17 | $ | 13.43 | $ | 15.51 | ||||||||||
Total return2 | (5.76% | ) | 109.54% | (16.32% | ) | 8.69% | 21.88% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 3,864 | $ | 5,016 | $ | 3,241 | $ | 4,788 | $ | 5,414 | ||||||||||
Ratio of expenses to average net assets3 | 1.56% | 1.56% | 1.54% | 1.54% | 1.55% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived3 | 1.57% | 1.58% | 1.63% | 1.65% | 1.63% | |||||||||||||||
Ratio of net investment loss to average net assets | (1.19% | ) | (1.18% | ) | (1.11% | ) | (1.11% | ) | (1.07% | ) | ||||||||||
Ratio of net investment loss to average net assets prior to fees | ||||||||||||||||||||
waived | (1.20% | ) | (1.20% | ) | (1.20% | ) | (1.22% | ) | (1.15% | ) | ||||||||||
Portfolio turnover | 98% | 111% | 93% | 82% | 89% |
1 | Calculated using average shares outstanding. |
2 | Total 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 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
142
Optimum Small-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 13.43 | $ | 8.02 | $ | 10.94 | $ | 13.32 | $ | 11.59 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (0.23 | ) | (0.23 | ) | (0.20 | ) | (0.24 | ) | (0.23 | ) | ||||||||||
Net realized and unrealized gain (loss) | 0.06 | 8.56 | (1.38 | ) | 0.97 | 2.63 | ||||||||||||||
Total from investment operations | (0.17 | ) | 8.33 | (1.58 | ) | 0.73 | 2.40 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain | (5.41 | ) | (2.92 | ) | (1.34 | ) | (3.11 | ) | (0.67 | ) | ||||||||||
Total dividends and distributions | (5.41 | ) | (2.92 | ) | (1.34 | ) | (3.11 | ) | (0.67 | ) | ||||||||||
Net asset value, end of period | $ | 7.85 | $ | 13.43 | $ | 8.02 | $ | 10.94 | $ | 13.32 | ||||||||||
Total return2 | (6.51% | ) | 108.02% | (16.95% | ) | 7.81% | 21.06% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 10,474 | $ | 14,372 | $ | 9,353 | $ | 13,510 | $ | 15,925 | ||||||||||
Ratio of expenses to average net assets3 | 2.31% | 2.31% | 2.29% | 2.29% | 2.30% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived3 | 2.32% | 2.33% | 2.38% | 2.40% | 2.38% | |||||||||||||||
Ratio of net investment loss to average net assets | (1.94% | ) | (1.93% | ) | (1.86% | ) | (1.86% | ) | (1.82% | ) | ||||||||||
Ratio of net investment loss to average net assets prior to fees | ||||||||||||||||||||
waived | (1.95% | ) | (1.95% | ) | (1.95% | ) | (1.97% | ) | (1.90% | ) | ||||||||||
Portfolio turnover | 98% | 111% | 93% | 82% | 89% |
1 | Calculated using average shares outstanding. |
2 | Total 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 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
143
Financial highlights
Optimum Small-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 20.37 | $ | 11.25 | $ | 14.69 | $ | 16.63 | $ | 14.19 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (0.18 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | (0.13 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.26 | ) | 12.20 | (1.98 | ) | 1.31 | 3.24 | |||||||||||||
Total from investment operations | (0.44 | ) | 12.04 | (2.10 | ) | 1.17 | 3.11 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain | (5.41 | ) | (2.92 | ) | (1.34 | ) | (3.11 | ) | (0.67 | ) | ||||||||||
Total dividends and distributions | (5.41 | ) | (2.92 | ) | (1.34 | ) | (3.11 | ) | (0.67 | ) | ||||||||||
Net asset value, end of period | $ | 14.52 | $ | 20.37 | $ | 11.25 | $ | 14.69 | $ | 16.63 | ||||||||||
Total return2 | (5.54% | ) | 110.06% | (16.14% | ) | 8.97% | 22.22% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 732,235 | $ | 737,128 | $ | 406,140 | $ | 494,476 | $ | 494,894 | ||||||||||
Ratio of expenses to average net assets3 | 1.31% | 1.31% | 1.29% | 1.29% | 1.30% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived3 | 1.32% | 1.33% | 1.38% | 1.40% | 1.38% | |||||||||||||||
Ratio of net investment loss to average net assets | (0.94% | ) | (0.93% | ) | (0.86% | ) | (0.86% | ) | (0.82% | ) | ||||||||||
Ratio of net investment loss to average net assets prior to fees | ||||||||||||||||||||
waived | (0.95% | ) | (0.95% | ) | (0.95% | ) | (0.97% | ) | (0.90% | ) | ||||||||||
Portfolio turnover | 98% | 111% | 93% | 82% | 89% |
1 | Calculated using average shares outstanding. |
2 | Total 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 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
144
Optimum Small-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 14.93 | $ | 8.36 | $ | 12.14 | $ | 13.66 | $ | 13.77 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | 0.19 | 0.10 | 0.11 | 0.06 | ||||||||||||||
Net realized and unrealized gain (loss) | 1.01 | 6.92 | (3.50 | ) | (0.69 | ) | 0.59 | |||||||||||||
Total from investment operations | 0.97 | 7.11 | (3.40 | ) | (0.58 | ) | 0.65 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.12 | ) | (0.09 | ) | (0.11 | ) | (0.06 | ) | (0.07 | ) | ||||||||||
Net realized gain | (0.88 | ) | (0.45 | ) | (0.27 | ) | (0.88 | ) | (0.69 | ) | ||||||||||
Total dividends and distributions | (1.00 | ) | (0.54 | ) | (0.38 | ) | (0.94 | ) | (0.76 | ) | ||||||||||
Net asset value, end of period | $ | 14.90 | $ | 14.93 | $ | 8.36 | $ | 12.14 | $ | 13.66 | ||||||||||
Total return2 | 6.45% | 86.21% | (29.10% | ) | (3.83% | ) | 4.59% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 3,328 | $ | 3,765 | $ | 1,970 | $ | 3,266 | $ | 3,856 | ||||||||||
Ratio of expenses to average net assets3 | 1.46% | 1.49% | 1.47% | 1.46% | 1.48% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived3 | 1.46% | 1.50% | 1.52% | 1.54% | 1.54% | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.26% | ) | 1.65% | 0.79% | 0.87% | 0.40% | ||||||||||||||
Ratio of net investment income (loss) to average net assets prior | ||||||||||||||||||||
to fees waived | (0.26% | ) | 1.64% | 0.74% | 0.79% | 0.34% | ||||||||||||||
Portfolio turnover | 17% | 85% | 4 | 33% | 32% | 31% |
1 | Calculated using average shares outstanding. |
2 | Total 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 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
4 | As a result of Cardinal Capital Management LLC replacing Westwood Management Corp. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2021, the Fund’s portfolio turnover rate increased during the year ended March 31, 2021. |
See accompanying notes, which are an integral part of the financial statements.
145
Financial highlights
Optimum Small-Mid Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 12.78 | $ | 7.22 | $ | 10.54 | $ | 12.01 | $ | 12.21 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | (0.13 | ) | 0.09 | —2 | 0.01 | (0.04 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.87 | 5.94 | (3.02 | ) | (0.60 | ) | 0.53 | |||||||||||||
Total from investment operations | 0.74 | 6.03 | (3.02 | ) | (0.59 | ) | 0.49 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.02 | ) | (0.02 | ) | (0.03 | ) | — | — | ||||||||||||
Net realized gain | (0.88 | ) | (0.45 | ) | (0.27 | ) | (0.88 | ) | (0.69 | ) | ||||||||||
Total dividends and distributions | (0.90 | ) | (0.47 | ) | (0.30 | ) | (0.88 | ) | (0.69 | ) | ||||||||||
Net asset value, end of period | $ | 12.62 | $ | 12.78 | $ | 7.22 | $ | 10.54 | $ | 12.01 | ||||||||||
Total return3 | 5.70% | 84.75% | (29.65% | ) | (4.50% | ) | 3.85% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 9,318 | $ | 11,354 | $ | 6,042 | $ | 9,508 | $ | 12,030 | ||||||||||
Ratio of expenses to average net assets4 | 2.21% | 2.24% | 2.22% | 2.21% | 2.23% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 2.21% | 2.25% | 2.27% | 2.29% | 2.29% | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.01% | ) | 0.90% | 0.04% | 0.12% | (0.35% | ) | |||||||||||||
Ratio of net investment income (loss) to average net assets prior | ||||||||||||||||||||
to fees waived | (1.01% | ) | 0.89% | (0.01% | ) | 0.04% | (0.41% | ) | ||||||||||||
Portfolio turnover | 17% | 85% | 5 | 33% | 32% | 31% |
1 | Calculated using average shares outstanding. |
2 | Amount is less than $0.005 per share. |
3 | Total 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 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. |
4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
5 | As a result of Cardinal Capital Management LLC replacing Westwood Management Corp. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2021, the Fund’s portfolio turnover rate increased during the year ended March 31, 2021. |
See accompanying notes, which are an integral part of the financial statements.
146
Optimum Small-Mid Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | ||||||||||||||||
Net asset value, beginning of period | $ | 15.94 | $ | 8.90 | $ | 12.90 | $ | 14.45 | $ | 14.52 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | — | 0.23 | 0.14 | 0.16 | 0.10 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.08 | 7.37 | (3.73 | ) | (0.73 | ) | 0.63 | |||||||||||||
Total from investment operations | 1.08 | 7.60 | (3.59 | ) | (0.57 | ) | 0.73 | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.16 | ) | (0.11 | ) | (0.14 | ) | (0.10 | ) | (0.11 | ) | ||||||||||
Net realized gain | (0.88 | ) | (0.45 | ) | (0.27 | ) | (0.88 | ) | (0.69 | ) | ||||||||||
Total dividends and distributions | (1.04 | ) | (0.56 | ) | (0.41 | ) | (0.98 | ) | (0.80 | ) | ||||||||||
Net asset value, end of period | $ | 15.98 | $ | 15.94 | $ | 8.90 | $ | 12.90 | $ | 14.45 | ||||||||||
Total return2 | 6.74% | 86.63% | (28.92% | ) | (3.55% | ) | 4.87% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 779,594 | $ | 701,597 | $ | 366,656 | $ | 506,814 | $ | 442,808 | ||||||||||
Ratio of expenses to average net assets3 | 1.21% | 1.24% | 1.22% | 1.21% | 1.23% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived3 | 1.21% | 1.25% | 1.27% | 1.29% | 1.29% | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01% | ) | 1.90% | 1.04% | 1.12% | 0.65% | ||||||||||||||
Ratio of net investment income (loss) to average net assets prior | ||||||||||||||||||||
to fees waived | (0.01% | ) | 1.89% | 0.99% | 1.04% | 0.59% | ||||||||||||||
Portfolio turnover | 17% | 85% | 4 | 33% | 32% | 31% |
1 | Calculated using average shares outstanding. |
2 | Total 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 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. |
3 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
4 | As a result of Cardinal Capital Management LLC replacing Westwood Management Corp. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2021, the Fund’s portfolio turnover rate increased during the year ended March 31, 2021. |
See accompanying notes, which are an integral part of the financial statements.
147
Notes to financial statements
Optimum Fund Trust
March 31, 2022
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 together, the Funds). The Trust is an open-end investment company. Each Fund is considered diversified under the Investment Company Act of 1940, as amended (1940 Act), and offers 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 C shares are sold with a contingent deferred sales charge (CDSC) of 1.00%, which will be incurred 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.
1. Significant Accounting Policies
Each Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Funds.
Security Valuation — Equity securities, 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 traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, interest rate swap contracts, CDS and interest rate swap options contracts (swaptions) 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 (CMOs), commercial mortgage securities, and US 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. Open-end investment company securities are valued at their published net asset value (NAV). Investments in repurchase agreements are generally valued at par, which approximates fair value, each business day. 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 Trust’s 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-US markets because, among other things, most foreign markets close well before each Fund values its securities, generally as of 4:00pm Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. 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). Restricted securities are valued at fair value using methods approved by the Board.
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. Each Fund evaluates 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 or expected to be taken on each Fund’s federal income tax returns through the year ended
148
March 31, 2022 and for all open tax years (years ended March 31, 2019–March 31, 2021), and has concluded that no provision for federal income tax is required in each 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. If applicable, each Fund recognize interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statements of operations.” During the year ended March 31, 2022, the Funds did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of each Fund on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — Each Fund may purchase certain US 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 March 31, 2022, and matured by April 4, 2022.
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 US 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. During the year ended March 31, 2022, the Fund did not enter into any reverse repurchase agreements.
Short Sales — Optimum Large Cap Value Fund may make short sales in an attempt to protect against declines in an individual security or the overall market, to manage duration, or for such other purposes consistent with the Fund’s investment objective and strategies. Typically, short sales are transactions in which the Fund sells a security it does not own and, at the time a short sale is effected, the Fund incurs an obligation to replace the security borrowed at whatever its price may be at the time the Fund purchases it for delivery to the lender. The price at such time may be more or less than the price at which the security was sold by the Fund. When a short sale transaction is closed out by delivery of the security, any gain or loss on the transaction generally is taxable as short-term capital gain or loss. Until the security is replaced, the Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold. The proceeds of the short sale, and potentially additional margin, will be retained by the broker from whom the security is borrowed, to the extent necessary to meet margin requirements, until the short position is closed out. There were no short sales for the year ended March 31, 2022.
Mortgage Dollar Rolls — Optimum Fixed Income Fund entered into mortgage dollar rolls in which the Fund sells mortgage securities for delivery in the current month, realizing a gain (loss), and simultaneously enter into contracts to repurchase somewhat similar (same type, coupon and maturity) securities on a specified future date. During the roll period, the Fund forgo principal and interest paid on the securities. The Fund is compensated by the interest earned on the cash proceeds of the initial sale and by the lower repurchase price at the future date. The difference between the sale proceeds and the lower repurchase price is recorded as a realized gain on investment transactions. The Fund maintains a segregated account, the dollar value of which is at least equal to its obligations, with respect to dollar rolls. The Fund is subject to the risk that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. The Fund is subject to leverage risk on certain transactions, such as the loans of portfolio securities, and the use of when issued or delayed delivery transactions or derivative instruments, may give rise to leverage, magnifying gains and losses and causing the Fund to be more volatile than if it had not been leveraged. The use of such transactions entails a heightened risk of loss.
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 US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in
(continues) 149
Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
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), attributable to changes in foreign exchange rates, is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, the realized gains and losses are included on the “Statements of operations” under “Net realized 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 — The preparation of financial statements in conformity with US 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 certain 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. Premiums on callable debt securities are amortized to interest income to the earliest call date 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, which are estimated. Distributions received from investments in master limited partnerships are recorded as return of capital on investments on the ex-dividend date. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Funds are aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Each Fund may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. Each Fund declares and pays distributions from net investment income and net realized gain on investments, if any, at least annually. The Funds may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Each Fund receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement are included on the “Statements of operations” under “Custodian fees” with the corresponding expenses offset included under “Less expenses paid indirectly.” There were no such earnings credits for the year ended March 31, 2022.
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 $1, the expenses paid under this arrangement are included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the year ended March 31, 2022, each Fund earned the following amounts under this arrangement:
Fund | Earnings Credits | |||
Optimum Fixed Income Fund | $474 | |||
Optimum International Fund | 413 | |||
Optimum Large Cap Growth Fund | 547 | |||
Optimum Large Cap Value Fund | 536 | |||
Optimum Small-Mid Cap Growth Fund | 521 | |||
Optimum Small-Mid Cap Value Fund | 519 |
150
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust, furnishes investment management services to each Fund and has full discretion and responsibility, subject to the overall supervision of the Board, to select and contract with one or more investment sub-advisors to manage the investment operations and composition of each Fund, and to render investment advice for each Fund, including the purchase, retention, and dispositions of investments, securities, and cash contained in each Fund. The investment management agreement obligates DMC to implement decisions with respect to the allocation or reallocation of each Fund’s assets among one or more current or additional sub-advisors, and to monitor the sub-advisors’ compliance with the relevant Fund’s investment objective, policies and restrictions. DMC pays the sub-advisors out of its fees, which are calculated daily and paid monthly.
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, which is calculated daily and paid monthly:
Fund | Management Fee (annual rate as a percentage of average daily net assets) | |
Optimum Fixed Income Fund | 0.6000% of net assets up to $500 million | |
0.5500% of net assets from $500 million to $1 billion | ||
0.5000% of net assets from $1 billion to $1.5 billion | ||
0.4500% of net assets from $1.5 billion to $2 billion | ||
0.4250% of net assets from $2 billion to $2.5 billion | ||
0.4000% of net assets from $2.5 billion to $5 billion | ||
0.3750% of net assets over $5 billion | ||
Optimum International Fund | 0.7500% of net assets up to $500 million | |
0.7150% of net assets from $500 million to $1 billion | ||
0.7000% of net assets from $1 billion to $1.5 billion | ||
0.6750% of net assets from $1.5 billion to $2 billion | ||
0.6500% of net assets from $2 billion to $2.5 billion | ||
0.6000% of net assets over $2.5 billion | ||
Optimum Large Cap Growth Fund | 0.7500% of net assets up to $500 million | |
0.7000% of net assets from $500 million to $1 billion | ||
0.6500% of net assets from $1 billion to $1.5 billion | ||
0.6250% of net assets from $1.5 billion to $2 billion | ||
0.6000% of net assets from $2 billion to $2.5 billion | ||
0.5750% of net assets from $2.5 billion to $5 billion | ||
0.5500% of net assets over $5 billion | ||
Optimum Large Cap Value Fund | 0.7000% of net assets up to $500 million | |
0.6500% of net assets from $500 million to $1 billion | ||
0.6000% of net assets from $1 billion to $1.5 billion | ||
0.5750% of net assets from $1.5 billion to $2 billion | ||
0.5500% of net assets from $2 billion to $2.5 billion | ||
0.5250% of net assets from 2.5 billion to $5 billion | ||
0.5000% of net assets over $5 billion | ||
Optimum Small-Mid Cap Growth Fund | 1.1000% of net assets up to $250 million | |
1.0000% of net assets from $250 million to $500 million | ||
0.9000% of net assets from $500 million to $750 million | ||
0.8000% of net assets from $750 million to $1 billion | ||
0.7500% of net assets from $1 billion to $1.5 billion | ||
0.7000% of net assets over $1.5 billion |
(continues) 151
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Fund | Management Fee (annual rate as a percentage of average daily net assets) | |
Optimum Small-Mid Cap Value Fund | 1.0000% of net assets up to $250 million | |
0.9000% of net assets from $250 million to $500 million | ||
0.8000% of net assets from $500 million to $750 million | ||
0.7500% of net assets from $750 million to $1 billion | ||
0.7000% of net assets from $1 billion to $1.5 billion | ||
0.6500% of net assets over $1.5 billion |
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 effective April 28, 2021, Baillie Gifford Overseas Limited; Optimum Large Cap Growth Fund – T. Rowe Price Associates, Inc. (T. Rowe Price) and ClearBridge Investments LLC (ClearBridge); Optimum Large Cap Value Fund – Massachusetts Financial Services Company (MFS) and Rothschild & Co (Rothschild); Optimum Small-Mid Cap Growth Fund – Columbus Circle Investors (CCI) and Peregrine Capital Management, LLC (PCM); Optimum Small-Mid Cap Value Fund – LSV Asset Management (LSV) and Cardinal Capital Management LLC (Cardinal). Prior to April 28, 2021, EARNEST Partners LLC was also a sub-advisor for Optimum International Fund.
For the year ended March 31, 2022, DMC paid the following sub-advisory fees:
Sub-advisory fees | ||||
Optimum Fixed Income Fund | $3,353,307 | |||
Optimum International Fund | 3,804,632 | |||
Optimum Large Cap Growth Fund | 6,451,251 | |||
Optimum Large Cap Value Fund | 5,729,138 | |||
Optimum Small-Mid Cap Growth Fund | 3,690,004 | |||
Optimum Small-Mid Cap Value Fund | 3,358,114 |
DMC has contractually agreed to waive all or a portion, of its management fee and/or pay/reimburse expenses (excluding any distribution and service (12b-1) fees, acquired fund fees and expenses, taxes, interest, short sale dividend and 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), in order to prevent total annual fund operating expenses from exceeding the following percentage of each Fund’s average daily net assets. These expense waivers and reimbursements may be terminated only by agreement of DMC and each Fund. These waivers and reimbursements are accrued daily and received monthly.
Operating expense | Operating expense | |||
limitation as | limitation as | |||
a percentage | a percentage | |||
of average | of average | |||
daily net assets | daily net assets | |||
(per annum) | (per annum) | |||
for the period | for the period | |||
Fund | July 29, 2020 − July 28, 2021 | July 29, 2021 − July 29, 2022 | ||
Optimum Fixed Income Fund | 0.85% | 0.83% | ||
Optimum International Fund | 1.17% | 1.09% | ||
Optimum Large Cap Growth Fund | 1.02% | 0.96% | ||
Optimum Large Cap Value Fund | 0.97% | 0.92% | ||
Optimum Small-Mid Cap Growth Fund | 1.32% | 1.29% | ||
Optimum Small-Mid Cap Value Fund | 1.25% | 1.20% |
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Trust. These 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 distribution and dissemination of Funds’ NAV and performance data. For these services the Funds pay DIFSC an asset-based
152
fee, plus certain out-of-pocket expenses and transactional charges. DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of the Trust at the following annual rates: 0.0075% of the first $3.5 billion; 0.0070% of the next $2 billion; 0.0060% of the next $2 billion; and 0.0050% of aggregate average daily net assets in excess of $7.5 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 year ended March 31, 2022, each Fund was charged for these services as follows:
Fund | Fees | |
Optimum Fixed Income Fund | $189,636 | |
Optimum International Fund | 65,924 | |
Optimum Large Cap Growth Fund | 136,352 | |
Optimum Large Cap Value Fund | 129,157 | |
Optimum Small-Mid Cap Growth Fund | 52,926 | |
Optimum Small-Mid Cap Value Fund | 52,492 |
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, the Trust pays DIFSC the following fee as a percentage of the Trust’s average daily net assets (plus out-of-pocket expenses): 0.0525% of assets up to $7.5 billion; 0.0475% of assets from $7.5 billion to $10 billion; 0.0425% of assets from $10 billion to $12 billion; 0.0375% of assets from $12 billion to $14 billion and 0.0325% of assets over $14 billion.
DIFSC is also 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 0.18% of the Trust’s total average daily net assets, subject to a minimum fee of $2,000 per class per fund each month, plus out-of-pocket expenses. Pursuant to a 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 paid by the Funds and are also included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Delaware Distributors, L.P. (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 12b-1 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. The fees are calculated daily and paid monthly. Institutional Class shares do not pay 12b-1 fees.
For the year ended March 31, 2022, DDLP earned commissions on sales of Class A shares for each Fund as follows:
Fund | Class A | |||
Optimum Fixed Income Fund | $2,710 | |||
Optimum International Fund | 593 | |||
Optimum Large Cap Growth Fund | 3,877 | |||
Optimum Large Cap Value Fund | 3,573 | |||
Optimum Small-Mid Cap Growth Fund | 563 | |||
Optimum Small-Mid Cap Value Fund | 586 |
For the year ended March 31, 2022, 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:
Fund | Class C | |||
Optimum Fixed Income Fund | $2,840 | |||
Optimum International Fund | 118 | |||
Optimum Large Cap Growth Fund | 232 | |||
Optimum Large Cap Value Fund | 701 | |||
Optimum Small-Mid Cap Growth Fund | 47 | |||
Optimum Small-Mid Cap Value Fund | 58 |
(continues) 153
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
DMC, DIFSC, and DDLP are indirect, wholly owned subsidiaries of Macquarie 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.
In addition to the management fees and other expenses of a Fund, a Fund indirectly bears the investment management fees and other expenses of any investment companies (Underlying Funds) in which it invests. The amount of these fees and expenses incurred indirectly by a Fund will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of the Underlying Funds at different times.
3. Investments
For the year ended March 31, 2022, each Fund made purchases and sales of investments securities other than short-term investments as follows:
Purchases | Sales | |||||||||||||
other than | Purchases of | other than | Sales of | |||||||||||
US government | US government | US government | US government | |||||||||||
Fund | securities | securities | securities | securities | ||||||||||
Optimum Fixed Income Fund | $ | 847,613,059 | $5,805,811,865 | $ | 558,603,143 | $6,290,013,418 | ||||||||
Optimum International Fund | 1,111,212,255 | — | 1,019,247,221 | — | ||||||||||
Optimum Large Cap Growth Fund | 517,440,505 | — | 564,454,525 | — | ||||||||||
Optimum Large Cap Value Fund | 219,575,380 | — | 184,348,525 | — | ||||||||||
Optimum Small-Mid Cap Growth Fund | 776,502,417 | — | 739,588,538 | — | ||||||||||
Optimum Small-Mid Cap Value Fund | 151,040,468 | — | 128,734,627 | — |
The tax cost of investments and derivatives includes adjustments to net unrealized appreciation (depreciation), which may not necessarily be the final tax cost basis adjustments but which approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. At March 31, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purpose for the Fund were as follows:
Aggregate | Aggregate | Net unrealized | |||||||||||||
unrealized | unrealized | appreciation | |||||||||||||
Cost of | appreciation | depreciation | (depreciation) | ||||||||||||
investments | of investments | of investments | of investments | ||||||||||||
Fund | and derivatives | and derivatives | and derivatives | and derivatives | |||||||||||
Optimum Fixed Income Fund | $ | 3,572,020,833 | $ | 38,191,504 | $(172,922,578) | $(134,731,074 | ) | ||||||||
Optimum International Fund | 971,094,885 | 87,719,217 | (139,021,130) | (51,301,913 | ) | ||||||||||
Optimum Large Cap Growth Fund | 1,285,874,506 | 798,778,716 | (101,071,763) | 697,706,953 | |||||||||||
Optimum Large Cap Value Fund | 1,357,873,732 | 729,710,825 | (15,876,821) | 713,834,004 | |||||||||||
Optimum Small-Mid Cap Growth Fund | 704,240,739 | 92,929,500 | (51,656,102) | 41,273,398 | |||||||||||
Optimum Small-Mid Cap Value Fund | 644,903,807 | 175,471,515 | (28,515,413) | 146,956,102 |
US 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
154
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 as follows:
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and 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 and 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 March 31, 2022:
Optimum Fixed Income Fund | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Securities | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Agency Asset-Backed Securities | $ | — | $ | 645,061 | $ | — | $ | 645,061 | ||||||||||||
Agency Collateralized Mortgage | ||||||||||||||||||||
Obligations | — | 80,721,103 | — | 80,721,103 | ||||||||||||||||
Agency Commercial Mortgage- | ||||||||||||||||||||
Backed Securities | — | 5,234,426 | — | 5,234,426 | ||||||||||||||||
Agency Mortgage-Backed | ||||||||||||||||||||
Securities | — | 539,630,641 | — | 539,630,641 | ||||||||||||||||
Collateralized Debt Obligations | — | 180,039,879 | — | 180,039,879 | ||||||||||||||||
Common Stocks | — | — | 820,6821 | 820,682 | ||||||||||||||||
Convertible Bonds | — | 4,573,234 | — | 4,573,234 | ||||||||||||||||
Corporate Bonds | — | 1,039,196,179 | — | 1,039,196,179 | ||||||||||||||||
Loan Agreements | — | 100,467,394 | — | 100,467,394 | ||||||||||||||||
Municipal Bonds | — | 32,127,954 | — | 32,127,954 | ||||||||||||||||
Non-Agency Asset-Backed | ||||||||||||||||||||
Securities | — | 62,723,982 | — | 62,723,982 | ||||||||||||||||
Non-Agency Collateralized | ||||||||||||||||||||
Mortgage Obligations | — | 47,941,546 | — | 47,941,546 | ||||||||||||||||
Non-Agency Commercial | ||||||||||||||||||||
Mortgage-Backed Securities | — | 141,138,117 | — | 141,138,117 | ||||||||||||||||
Preferred Stock | — | 288,750 | — | 288,750 | ||||||||||||||||
Sovereign Bonds | — | 72,281,966 | — | 72,281,966 | ||||||||||||||||
Supranational Banks | — | 615,398 | — | 615,398 | ||||||||||||||||
US Treasury Obligations | — | 353,616,154 | — | 353,616,154 |
(continues) 155
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Fixed Income Fund | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Options Purchased | $ | — | $ | 2,614,779 | $ | — | $ | 2,614,779 | ||||||||||||
Short-Term Investments2 | 52,233,608 | 743,349,962 | — | 795,583,570 | ||||||||||||||||
Total Value of Securities Before | ||||||||||||||||||||
Options Written | $ | 52,233,608 | $ | 3,407,206,525 | $ | 820,682 | $ | 3,460,260,815 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Options Written | $ | — | $ | (7,986,272 | ) | $ | — | $ | (7,986,272 | ) | ||||||||||
Derivatives3 | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Centrally Cleared Credit Default | ||||||||||||||||||||
Swaps | $ | — | $ | 95,432 | $ | — | $ | 95,432 | ||||||||||||
Centrally Cleared Interest Rate | ||||||||||||||||||||
Swaps | — | 1,927,170 | — | 1,927,170 | ||||||||||||||||
Foreign Currency Exchange | ||||||||||||||||||||
Contracts | — | 6,886,148 | — | 6,886,148 | ||||||||||||||||
Futures Contracts | 3,563,399 | — | — | 3,563,399 | ||||||||||||||||
OTC Credit Default Swaps | — | 914,535 | — | 914,535 | ||||||||||||||||
Liabilities: | ||||||||||||||||||||
Centrally Cleared Credit Default | ||||||||||||||||||||
Swaps | $ | — | $ | (689,495 | ) | $ | — | $ | (689,495 | ) | ||||||||||
Centrally Cleared Interest Rate | ||||||||||||||||||||
Swaps | — | (9,183,702 | ) | — | (9,183,702 | ) | ||||||||||||||
Foreign Currency Exchange | ||||||||||||||||||||
Contracts | — | (4,019,415 | ) | — | (4,019,415 | ) | ||||||||||||||
Futures Contracts | (14,400,177 | ) | — | — | (14,400,177 | ) | ||||||||||||||
OTC Credit Default Swaps | — | (78,679 | ) | — | (78,679 | ) |
1 | The security that has been valued at zero on the “Schedule of investments” is considered to be Level 3 investment in this table. |
2 | Security 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 | |||||
Short-Term Investments | 6.57% | 93.43% | — | 100.00% |
3 | Foreign currency exchange contracts, futures contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
156
Optimum International Fund | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Securities | �� | |||||||||||||||||||
Assets: | ||||||||||||||||||||
Common Stocks | ||||||||||||||||||||
Australia | $ | 56,746 | $ | 42,560,574 | $ | — | $ | 42,617,320 | ||||||||||||
Austria | 34,089 | 7,706,884 | — | 7,740,973 | ||||||||||||||||
Belgium | — | 3,621,244 | — | 3,621,244 | ||||||||||||||||
Brazil | 20,032,501 | 912,376 | — | 20,944,877 | ||||||||||||||||
Canada | 29,304,902 | 85,774 | — | 29,390,676 | ||||||||||||||||
Chile | 959,983 | — | — | 959,983 | ||||||||||||||||
China/Hong Kong | 8,169,244 | 88,315,603 | — | 96,484,847 | ||||||||||||||||
Czech Republic | — | 321,285 | — | 321,285 | ||||||||||||||||
Denmark | — | 45,419,317 | — | 45,419,317 | ||||||||||||||||
Egypt | — | 34,317 | — | 34,317 | ||||||||||||||||
Finland | 102,664 | 5,627,332 | — | 5,729,996 | ||||||||||||||||
France | 26,658 | 29,559,773 | — | 29,586,431 | ||||||||||||||||
Germany | 2,608,203 | 54,080,703 | — | 56,688,906 | ||||||||||||||||
Greece | — | 1,242,468 | — | 1,242,468 | ||||||||||||||||
Hungary | — | 3,157,389 | — | 3,157,389 | ||||||||||||||||
India | 103,526 | 27,774,582 | — | 27,878,108 | ||||||||||||||||
Indonesia | 321,395 | 1,819,373 | — | 2,140,768 | ||||||||||||||||
Iraq | — | 29,327 | — | 29,327 | ||||||||||||||||
Ireland | 8,831,964 | 17,380,805 | — | 26,212,769 | ||||||||||||||||
Israel | 3,082,236 | 8,483,932 | — | 11,566,168 | ||||||||||||||||
Italy | — | 14,028,158 | — | 14,028,158 | ||||||||||||||||
Japan | — | 105,833,153 | — | 105,833,153 | ||||||||||||||||
Luxembourg | — | 5,288,129 | — | 5,288,129 | ||||||||||||||||
Malaysia | 846,618 | 192,409 | — | 1,039,027 | ||||||||||||||||
Mexico | 3,664,766 | — | — | 3,664,766 | ||||||||||||||||
Netherlands | 4,780,540 | 44,145,274 | — | 48,925,814 | ||||||||||||||||
New Zealand | 40,886 | — | — | 40,886 | ||||||||||||||||
Norway | — | 12,210,254 | — | 12,210,254 | ||||||||||||||||
Panama | 3,945,048 | — | — | 3,945,048 | ||||||||||||||||
Philippines | 72,270 | — | — | 72,270 | ||||||||||||||||
Poland | 514,968 | 6,106,566 | — | 6,621,534 | ||||||||||||||||
Republic of Korea | 6,784,178 | 40,086,703 | 26,620 | 46,897,501 | ||||||||||||||||
Russia | — | — | — | — | ||||||||||||||||
Singapore | 104,453 | 218,527 | — | 322,980 | ||||||||||||||||
South Africa | 674,784 | 17,064,282 | — | 17,739,066 | ||||||||||||||||
Spain | — | 7,558,956 | — | 7,558,956 | ||||||||||||||||
Sweden | 3,512,854 | 18,456,788 | — | 21,969,642 | ||||||||||||||||
Switzerland | — | 69,130,741 | — | 69,130,741 | ||||||||||||||||
Taiwan | 5,280,478 | 56,114,742 | — | 61,395,220 | ||||||||||||||||
Thailand | — | 5,644,733 | — | 5,644,733 | ||||||||||||||||
Turkey | 279,563 | 107,573 | — | 387,136 | ||||||||||||||||
Ukraine | — | 1,799,654 | — | 1,799,654 | ||||||||||||||||
United Arab Emirates | — | 995,709 | — | 995,709 | ||||||||||||||||
United Kingdom | 6,966,030 | 16,843,858 | — | 23,809,888 |
(continues) 157
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum International Fund | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
United States | $ | 20,862,155 | $ | 7,222,054 | $ | 406,210 | $ | 28,490,419 | ||||||||||||
Preferred Stocks1 | 12,996,951 | 107,023 | — | 13,103,974 | ||||||||||||||||
Warrants | 766 | — | — | 766 | ||||||||||||||||
Short-Term Investments | 7,109,397 | — | — | 7,109,397 | ||||||||||||||||
Total Value of Securities | $ | 152,070,816 | $ | 767,288,344 | $ | 432,830 | $ | 919,791,990 | ||||||||||||
Derivatives2 | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Foreign Currency Exchange | ||||||||||||||||||||
Contracts | $ | — | $ | 1,148 | $ | — | $ | 1,148 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Foreign Currency Exchange | ||||||||||||||||||||
Contracts | $ | — | $ | (166 | ) | $ | — | $ | (166 | ) |
1 | Security 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 | |||||
Preferred Stock | 99.18% | 0.82% | — | 100.00% |
2 | Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end. |
Optimum Large Cap Growth Fund | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Securities | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Common Stocks | ||||||||||||||||||||
Communication Services | $ | 266,731,542 | $ | — | $ | — | $ | 266,731,542 | ||||||||||||
Consumer Discretionary | 426,697,849 | — | 37,542 | 426,735,391 | ||||||||||||||||
Consumer Staples | 16,237,278 | — | — | 16,237,278 | ||||||||||||||||
Financials | 22,875,504 | — | — | 22,875,504 | ||||||||||||||||
Healthcare | 230,680,660 | — | — | 230,680,660 | ||||||||||||||||
Industrials | 132,259,432 | 7,481,205 | — | 139,740,637 | ||||||||||||||||
Information Technology | 815,946,145 | — | — | 815,946,145 | ||||||||||||||||
Real Estate | 14,372,596 | — | — | 14,372,596 | ||||||||||||||||
Short-Term Investments | 50,263,875 | — | — | 50,263,875 | ||||||||||||||||
Total Value of Securities | $ | 1,976,064,881 | $ | 7,481,205 | $ | 37,542 | $ | 1,983,583,628 | ||||||||||||
Derivatives1 | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Foreign Currency Exchange | ||||||||||||||||||||
Contracts | $ | — | $ | (2,169 | ) | $ | — | $ | (2,169 | ) |
1 | Foreign currency exchange contracts and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end. |
158
Optimum Large Cap Value Fund | |||||||||||||||
Level 1 | Level 2 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Common Stocks | |||||||||||||||
Communication Services | $ | 110,665,002 | $ | — | $ | 110,665,002 | |||||||||
Consumer Discretionary | 71,812,918 | — | 71,812,918 | ||||||||||||
Consumer Staples | 72,256,511 | 36,620,842 | 108,877,353 | ||||||||||||
Energy | 119,465,759 | — | 119,465,759 | ||||||||||||
Financials | 495,778,173 | — | 495,778,173 | ||||||||||||
Healthcare | 392,089,527 | 3,418,123 | 395,507,650 | ||||||||||||
Industrials | 315,166,127 | — | 315,166,127 | ||||||||||||
Information Technology | 175,517,807 | — | 175,517,807 | ||||||||||||
Materials | 82,263,396 | — | 82,263,396 | ||||||||||||
Real Estate | 49,752,480 | — | 49,752,480 | ||||||||||||
Utilities | 115,701,396 | — | 115,701,396 | ||||||||||||
Short-Term Investments | 31,199,675 | — | 31,199,675 | ||||||||||||
Total Value of Securities | $ | 2,031,668,771 | $ | 40,038,965 | $ | 2,071,707,736 |
Optimum Small-Mid Cap Growth Fund | |||||||||||||||
Level 1 | Level 3 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Common Stocks | |||||||||||||||
Communication Services | $ | 26,719,232 | $ | — | $ | 26,719,232 | |||||||||
Consumer Discretionary | 69,933,342 | —1 | 69,933,342 | ||||||||||||
Consumer Staples | 23,572,960 | — | 23,572,960 | ||||||||||||
Energy | 15,879,879 | — | 15,879,879 | ||||||||||||
Financials | 53,156,255 | — | 53,156,255 | ||||||||||||
Healthcare | 190,996,931 | — | 190,996,931 | ||||||||||||
Industrials | 127,484,179 | — | 127,484,179 | ||||||||||||
Information Technology | 193,237,864 | — | 193,237,864 | ||||||||||||
Materials | 31,970,551 | — | 31,970,551 | ||||||||||||
Real Estate | 3,901,822 | — | 3,901,822 | ||||||||||||
Convertible Preferred Stock | — | 167,939 | 167,939 | ||||||||||||
Warrant | — | —1 | — | ||||||||||||
Short-Term Investments | 8,493,183 | — | 8,493,183 | ||||||||||||
Total Value of Securities | $ | 745,346,198 | $ | 167,939 | $ | 745,514,137 |
1 | The security that has been valued at zero on the “Schedule of investments” is considered to be Level 3 investment in this table. |
(continues) 159
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Small- | |||||
Mid Cap Value | |||||
Fund | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 769,601,943 | |||
Limited Partnerships | 3,602,193 | ||||
Short-Term Investments | 18,655,773 | ||||
Total Value of Securities | $ | 791,859,909 |
During the year ended March 31, 2022, there were no transfers into or out of Level 3 investments. Each Fund’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Fund has a significant amount of Level 3 investments at the beginning or end of the year in relation to that Fund’s net assets. Management has determined not to provide a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to each Fund’s net assets at the beginning or end of the period. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to each Fund’s net assets at the end of the year. There were no Level 3 investments during the year ended March 31, 2022 for Optimum Large Cap Value Fund and Optimum Small-Mid Cap Value Fund.
4. Dividend and Distribution Information
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP. Additionally, distributions from net gains on foreign currency transactions and net short-term gains on sales of investment securities are treated as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the years ended March 31, 2022 and 2021 were as follows:
Long-term | |||||||||
Ordinary | capital | ||||||||
income | gains | Total | |||||||
Year ended March 31, 2022: | |||||||||
Optimum Fixed Income Fund | $ | 54,841,616 | $ | 9,248,156 | $ | 64,089,772 | |||
Optimum International Fund | 49,533,090 | 85,743,248 | 135,276,338 | ||||||
Optimum Large Cap Growth Fund | 36,304,860 | 250,527,574 | 286,832,434 | ||||||
Optimum Large Cap Value Fund | 32,078,023 | 114,922,388 | 147,000,411 | ||||||
Optimum Small-Mid Cap Growth Fund | 87,598,954 | 117,977,502 | 205,576,456 | ||||||
Optimum Small-Mid Cap Value Fund | 33,731,252 | 14,666,162 | 48,397,414 | ||||||
Year ended March 31, 2021: | |||||||||
Optimum Fixed Income Fund | 119,848,146 | 12,496,796 | 132,344,942 | ||||||
Optimum International Fund | 6,228,330 | 6,852,196 | 13,080,526 | ||||||
Optimum Large Cap Growth Fund | — | 155,746,968 | 155,746,968 | ||||||
Optimum Large Cap Value Fund | 12,631,808 | 8,625,251 | 21,257,059 | ||||||
Optimum Small-Mid Cap Growth Fund | 38,827,917 | 59,966,809 | 98,794,726 | ||||||
Optimum Small-Mid Cap Value Fund | 12,935,594 | 11,572,425 | 24,508,019 |
160
5. Components of Net Assets on a Tax Basis
As of March 31, 2022, the components of net assets on a tax basis were as follows:
Optimum | Optimum | Optimum | |||||||||||||
Fixed Income | International | Large Cap | |||||||||||||
Fund | Fund | Growth Fund | |||||||||||||
Shares of beneficial interest | $ | 3,003,892,423 | $ | 977,537,868 | $ | 1,218,572,219 | |||||||||
Undistributed ordinary income | 20,134,090 | 2,939,282 | — | ||||||||||||
Undistributed long-term capital gains | — | — | 74,079,760 | ||||||||||||
Qualified late year loss deferrals | (46,571,245 | ) | (1,675,592 | ) | (2,948,411 | ) | |||||||||
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | (134,731,074 | ) | (51,301,913 | ) | 697,706,953 | ||||||||||
Net assets | $ | 2,842,724,194 | $ | 927,499,645 | $ | 1,987,410,521 | |||||||||
Optimum | Optimum | Optimum | |||||||||||||
Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||||||
Value Fund | Growth Fund | Value Fund | |||||||||||||
Shares of beneficial interest | $ | 1,329,817,527 | $ | 674,594,755 | $ | 620,548,048 | |||||||||
Undistributed ordinary income | 7,480,596 | 341,443 | 3,344,305 | ||||||||||||
Undistributed long-term capital gains | 25,264,354 | 38,319,895 | 21,391,532 | ||||||||||||
Qualified late year loss deferrals | — | (7,956,276 | ) | — | |||||||||||
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | 713,834,004 | 41,273,398 | 146,956,102 | ||||||||||||
Net assets | $ | 2,076,396,481 | $ | 746,573,215 | $ | 792,239,987 |
The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral of losses on wash sales, tax deferral of losses on straddles, mark-to-market of foreign currency exchange contracts, mark-to-market of futures contracts, tax treatment of passive foreign investment companies (PFICs) and securities no longer considered PFICs, tax treatment of swap contracts, contingent payment debt instruments, and amortization of premium on convertible securities.
Qualified late year ordinary and capital losses (including currency and specified gain/loss items) represent losses realized from January 1, 2022 through March 31, 2022 and November 1, 2021 through March 31, 2022, respectively, that, in accordance with federal income tax regulations, the Funds have elected to defer and treat as having arisen in the following fiscal year.
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the tax treatment of net operating losses, foreign currency, swap, PFICs sold, and paydown gain (loss). Results of operations and net assets were not affected by these reclassifications. For the year ended March 31, 2022, the Funds recorded the following reclassifications:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | |||||||||||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||||||||||||||||||||||
Paid-in capital | $ | — | $ | — | $ | (9,536,872 | ) | $ | — | $ | — | $ | — | |||||||||||||||||
Total distributable | ||||||||||||||||||||||||||||||
earnings (loss) | — | — | 9,536,872 | — | — | — |
(continues) 161
Notes to financial statements
Optimum Fund Trust
6. Capital Shares
Transactions in capital shares were as follows:
Optimum | Optimum | Optimum | ||||||||||||||||
Fixed Income | International | Large Cap | ||||||||||||||||
Fund | Fund | Growth Fund | ||||||||||||||||
Year ended | Year ended | Year ended | ||||||||||||||||
3/31/22 | 3/31/21 | 3/31/22 | 3/31/21 | 3/31/22 | 3/31/21 | |||||||||||||
Shares sold: | ||||||||||||||||||
Class A | 215,701 | 214,344 | 19,379 | 42,548 | 61,385 | 24,623 | ||||||||||||
Class C | 483,347 | 645,634 | 36,576 | 127,165 | 47,758 | 59,129 | ||||||||||||
Institutional Class | 55,439,041 | 59,553,466 | 12,374,567 | 23,034,645 | 12,849,994 | 10,104,392 | ||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||
Class A | 46,354 | 118,632 | 68,985 | 9,957 | 174,848 | 107,133 | ||||||||||||
Class C | 93,541 | 349,586 | 199,366 | 21,141 | 827,280 | 475,357 | ||||||||||||
Institutional Class | 6,532,988 | 12,796,422 | 9,640,249 | 897,572 | 10,375,821 | 6,045,725 | ||||||||||||
62,810,972 | 73,678,084 | 22,339,122 | 24,133,028 | 24,337,086 | 16,816,359 | |||||||||||||
Shares redeemed: | ||||||||||||||||||
Class A | (402,965 | ) | (409,360 | ) | (82,626 | ) | (81,487 | ) | (276,791 | ) | (332,565 | ) | ||||||
Class C | (1,472,911 | ) | (1,018,927 | ) | (270,224 | ) | (219,798 | ) | (954,129 | ) | (1,092,060 | ) | ||||||
Institutional Class | (38,892,090 | ) | (37,110,081 | ) | (7,444,551 | ) | (6,500,763 | ) | (11,697,929 | ) | (24,816,099 | ) | ||||||
(40,767,966 | ) | (38,538,368 | ) | (7,797,401 | ) | (6,802,048 | ) | (12,928,849 | ) | (26,240,724 | ) | |||||||
Net increase (decrease) | 22,043,006 | 35,139,716 | 14,541,721 | 17,330,980 | 11,408,237 | (9,424,365 | ) |
162
Optimum | Optimum | Optimum | ||||||||||||||||
Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||||||
Value Fund | Growth Fund | Value Fund | ||||||||||||||||
Year ended | Year ended | Year ended | ||||||||||||||||
3/31/22 | 3/31/21 | 3/31/22 | 3/31/21 | 3/31/22 | 3/31/21 | |||||||||||||
Shares sold: | ||||||||||||||||||
Class A | 61,311 | 84,485 | 16,863 | 5,922 | 14,428 | 51,196 | ||||||||||||
Class C | 45,465 | 219,348 | 17,759 | 15,837 | 10,069 | 159,035 | ||||||||||||
Institutional Class | 14,725,442 | 16,814,763 | 7,825,151 | 8,228,182 | 8,217,523 | 10,278,203 | ||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||
Class A | 82,094 | 12,892 | 92,334 | 49,092 | 14,769 | 10,785 | ||||||||||||
Class C | 213,249 | 18,663 | 527,940 | 242,952 | 52,519 | 39,339 | ||||||||||||
Institutional Class | 6,813,217 | 1,170,447 | 11,960,991 | 5,194,485 | 2,947,769 | 1,799,300 | ||||||||||||
21,940,778 | 18,320,598 | 20,441,038 | 13,736,470 | 11,257,077 | 12,337,858 | |||||||||||||
Shares redeemed: | ||||||||||||||||||
Class A | (216,722 | ) | (189,771 | ) | (72,707 | ) | (95,622 | ) | (58,053 | ) | (45,527 | ) | ||||||
Class C | (682,864 | ) | (480,996 | ) | (282,130 | ) | (354,223 | ) | (212,324 | ) | (147,145 | ) | ||||||
Institutional Class | (13,083,114 | ) | (22,650,816 | ) | (5,546,157 | ) | (13,320,837 | ) | (6,386,303 | ) | (9,272,923 | ) | ||||||
(13,982,700 | ) | (23,321,583 | ) | (5,900,994 | ) | (13,770,682 | ) | (6,656,680 | ) | (9,465,595 | ) | |||||||
Net increase (decrease) | 7,958,078 | (5,000,985 | ) | 14,540,044 | (34,212 | ) | 4,600,397 | 2,872,263 |
Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the tables above and on the previous page and the “Statements of changes in net assets.” For the years ended March 31, 2022 and 2021 each Fund had the following exchange transactions.
Exchange Redemptions | Exchange Subscriptions | ||||||||||||||||||
Institutional | |||||||||||||||||||
Class A | Class C | Class A | Class | ||||||||||||||||
Shares | Shares | Shares | Shares | Value | |||||||||||||||
Optimum Fixed Income Fund | |||||||||||||||||||
Year ended | |||||||||||||||||||
3/31/22 | — | 2,980 | 1,440 | 1,539 | $ | 28,533 | |||||||||||||
3/31/21 | — | 3,186 | — | 3,174 | 32,437 | ||||||||||||||
Optimum International Fund | |||||||||||||||||||
Year ended | |||||||||||||||||||
3/31/22 | — | 769 | 746 | — | 12,194 | ||||||||||||||
3/31/21 | 620 | 2,101 | — | 2,642 | 31,911 | ||||||||||||||
Optimum Large Cap Growth Fund | |||||||||||||||||||
Year ended | |||||||||||||||||||
3/31/22 | 1,765 | 3,658 | 2,163 | 2,189 | 115,652 | ||||||||||||||
3/31/21 | 1,661 | 7,430 | — | 6,993 | 155,238 |
(continues) 163
Notes to financial statements
Optimum Fund Trust
6. Capital Shares (continued)
Exchange | |||||||||||||||||||
Redemptions | Exchange Subscriptions | ||||||||||||||||||
Institutional | |||||||||||||||||||
Class A | Class C | Class A | Class | ||||||||||||||||
Shares | Shares | Shares | Shares | Value | |||||||||||||||
Optimum Large Cap Value Fund | |||||||||||||||||||
Year ended | |||||||||||||||||||
3/31/22 | — | 1,907 | 1,492 | 383 | $ | 39,838 | |||||||||||||
3/31/21 | 1,559 | 2,273 | — | 3,783 | 60,996 | ||||||||||||||
Optimum Small-Mid Cap Growth Fund | |||||||||||||||||||
Year ended | |||||||||||||||||||
3/31/22 | 686 | 666 | 494 | 580 | 17,780 | ||||||||||||||
3/31/21 | 272 | 200 | — | 386 | 6,215 | ||||||||||||||
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Year ended | |||||||||||||||||||
3/31/22 | — | 371 | 316 | — | 4,966 | ||||||||||||||
3/31/21 | 338 | 470 | — | 697 | 8,045 |
7. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — Each Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Fund may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Fund may also enter into these contracts to hedge the US 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 year ended March 31, 2022, Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund did not use foreign currency exchange contracts.
During the year ended March 31, 2022, Optimum Fixed Income Fund used foreign currency exchange contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies to increase/decrease exposure to foreign currencies.
During the year ended March 31, 2022, Optimum International Fund, Optimum Large Cap Growth Fund, and Optimum Large Cap Value Fund each used foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the
164
last trading day of the contract and the price at which the agreement is made. Optimum Fixed Income Fund may use futures in the normal course of pursuing its investment objective. Optimum Fixed Income Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges US 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 securities collateral valued at $2,302,973 and $2,039,000 cash collateral as margin for open futures contracts. Securities collateral are presented on the “Schedules of investments.”
During the year ended March 31, 2022, 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, as a cash management tool, 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.
During the year ended March 31, 2022, 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 manage the Fund’s exposure to changes in foreign currencies, to adjust the Fund’s overall exposure to certain markets, and to receive premiums for writing options.
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.
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
(continues) �� 165
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
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 year ended March 31, 2022, Optimum Fixed Income Fund used 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 year ended March 31, 2022, 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 centrally cleared CDS basket trades, as determined by the applicable central counterparty.
As disclosed in the footnotes to the “Schedules of investments,” at March 31, 2022, the notional value of the protection sold was EUR34,500,000 and USD67,250,000, 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 March 31, 2022, there were no recourse provisions with third parties to recover any amounts paid under the credit derivative agreement (including any purchased credit protection) nor was any collateral held by the Fund and other third parties which the Fund can obtain in the occurrence of a credit event. At March 31, 2022, net unrealized appreciation of the protection sold was $270,462.
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, or (2) for cleared swaps, trading these instruments through a central counterparty.
During the year ended March 31, 2022, Optimum Fixed Income Fund used CDS contracts to hedge against credit events and to gain exposure to certain securities or markets.
Swaps Generally. For centrally cleared swaps, 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 by Optimum Fixed Income Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, Optimum Fixed Income 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
166
closed. 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 March 31, 2022, for bilateral derivative contracts, Optimum Fixed Income Fund posted $2,797,593 cash collateral for certain centrally cleared derivatives, which is included in “Cash collateral due from brokers” on the “Statements of assets and liabilities.” The Fund also posted $8,510,890 in securities collateral comprised of US treasury obligations for certain open centrally cleared derivative contracts. At March 31, 2022, for bilateral derivative contracts, the Fund received $1,180,981 in cash collateral, which is included in “Cash collateral due to brokers” on the “Statements of assets and liabilities.” Cash collateral is included on the “Statements of assets and liabilities” and securities collateral is presented on the “Schedules of investments.”
Fair values of derivative instruments as of March 31, 2022 were as follows:
Optimum Fixed Income Fund | |||||||||||||||
Asset Derivatives Fair Value | |||||||||||||||
Interest | |||||||||||||||
Statement of Assets and | Currency | Equity | Rate | Credit | |||||||||||
Liabilities Location | Contracts | Contracts | Contracts | Contracts | Total | ||||||||||
Unrealized appreciation on foreign currency | |||||||||||||||
exchange contracts | $ | 6,886,148 | $ | — | $ | — | $ | — | $ | 6,886,148 | |||||
Variation margin due from brokers on futures | |||||||||||||||
contracts* | — | — | 3,563,399 | — | 3,563,399 | ||||||||||
Variation margin due from brokers on | |||||||||||||||
centrally cleared credit default swap | |||||||||||||||
contracts* | — | — | — | 95,432 | 95,432 | ||||||||||
Variation margin due from brokers on | |||||||||||||||
centrally cleared interest rate swap | |||||||||||||||
contracts* | — | — | 1,927,170 | — | 1,927,170 | ||||||||||
Unrealized appreciation on over the counter | |||||||||||||||
credit default swap contracts | — | — | — | 914,535 | 914,535 | ||||||||||
Options purchased** | — | 2,614,779 | — | — | 2,614,779 | ||||||||||
Total | $ | 6,886,148 | $ | 2,614,779 | $ | 5,490,569 | $ | 1,009,967 | $ | 16,001,463 |
Liability Derivatives Fair Value | ||||||||||||||||||||
Interest | ||||||||||||||||||||
Statement of Assets and | Currency | Equity | Rate | Credit | ||||||||||||||||
Liabilities Location | Contracts | Contracts | Contracts | Contracts | Total | |||||||||||||||
Unrealized depreciation on foreign currency | ||||||||||||||||||||
exchange contracts | $ | (4,019,415 | ) | $ | — | $ | — | $ | — | $ | (4,019,415 | ) | ||||||||
Variation margin due to brokers on futures | ||||||||||||||||||||
contracts* | — | — | (14,400,177 | ) | — | (14,400,177 | ) | |||||||||||||
Variation margin due to brokers on centrally | ||||||||||||||||||||
cleared credit default swap contracts* | — | — | — | (689,495 | ) | (689,495 | ) | |||||||||||||
Variation margin due to brokers on centrally | ||||||||||||||||||||
cleared interest rate swap contracts* | — | — | (9,183,702 | ) | — | (9,183,702 | ) | |||||||||||||
Unrealized depreciation on over the counter | ||||||||||||||||||||
credit default swap contracts | — | — | — | (78,679 | ) | (78,679 | ) | |||||||||||||
Options written, at value | — | (7,986,272 | ) | — | — | (7,986,272 | ) | |||||||||||||
Total | $ | (4,019,415 | ) | $ | (7,986,272 | ) | $ | (23,583,879 | ) | $ | (768,174 | ) | $ | (36,357,740 | ) |
(continues) 167
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
*Includes cumulative appreciation (depreciation) of futures contracts, centrally cleared CDS contracts, and centrally cleared swap contracts from the date the contracts were opened through March 31, 2022. Only current day variation margin is reported on Optimum Fixed Income Fund’s “Statements of assets and liabilities.”
**Included with "Investments, at value."
The effect of derivative instruments on Optimum Fixed Income Fund's “Statement of operations” for the year ended March 31, 2022 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||||
Foreign | ||||||||||||||||||||||
Currency | ||||||||||||||||||||||
Exchange | Futures | Options | Options | Swap | ||||||||||||||||||
Contracts | Contracts | Purchased | Written | Contracts | Total | |||||||||||||||||
Currency | ||||||||||||||||||||||
contracts | $ | 7,488,841 | $ | — | $ | — | $ | — | $ | (1,361,648 | ) | $ | 6,127,193 | |||||||||
Interest rate | ||||||||||||||||||||||
contracts | — | (5,128,009 | ) | (653,400 | ) | 242,864 | 164,975 | (5,373,570 | ) | |||||||||||||
Equity | ||||||||||||||||||||||
contracts | — | — | — | 112,453 | — | 112,453 | ||||||||||||||||
Credit | ||||||||||||||||||||||
contracts | — | — | — | 362,320 | 2,292,655 | 2,654,975 | ||||||||||||||||
Total | $ | 7,488,841 | $ | (5,128,009 | ) | $ | (653,400 | ) | $ | 717,637 | $ | 1,095,982 | $ | 3,521,051 |
Net Change in Unrealized Appreciation (Depreciation) of: | |||||||||||||||||||||||
Foreign | |||||||||||||||||||||||
Currency | |||||||||||||||||||||||
Exchange | Futures | Options | Options | Swap | |||||||||||||||||||
Contracts | Contracts | Purchased | Written | Contracts | Total | ||||||||||||||||||
Currency | |||||||||||||||||||||||
contracts | $ | 2,178,024 | $ | (88,666 | ) | $ | (466,343 | ) | $ | 148,816 | $ | — | $ | 1,771,831 | |||||||||
Interest rate | |||||||||||||||||||||||
contracts | — | (9,207,497 | ) | 978,768 | (5,223,667 | ) | (5,481,490 | ) | (18,933,886 | ) | |||||||||||||
Equity | |||||||||||||||||||||||
contracts | — | — | — | (51,754 | ) | — | (51,754 | ) | |||||||||||||||
Credit | |||||||||||||||||||||||
contracts | — | — | — | 141,681 | (1,024,953 | ) | (883,272 | ) | |||||||||||||||
Total | $ | 2,178,024 | $ | (9,296,163 | ) | $ | 512,425 | $ | (4,984,924 | ) | $ | (6,506,443 | ) | $ | (18,097,081 | ) |
During the year ended March 31, 2022, Optimum International Fund, Optimum Large Cap Growth Fund, and Optimum Large Cap Value Fund experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statements of assets and liabilities” and/or “Statements of operations.”
168
The table below summarizes the average balance of derivative holdings by each Fund during the year ended March 31, 2022:
Long Derivative Volume | ||||||||||||||||||||
Optimum | Optimum | Optimum | Optimum | |||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | |||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | |||||||||||||||||
Foreign currency exchange contracts (average | ||||||||||||||||||||
notional value) | USD | $ | 26,050,764 | $ | 1,162,031 | $ | 49,208 | $ | 1,361 | |||||||||||
Futures contracts (average notional value) | 275,927,869 | — | — | — | ||||||||||||||||
Options contracts (average notional value)* | 1,015,075 | — | — | — | ||||||||||||||||
CDS contracts (average notional value)** | EUR | 13,766,798 | — | — | — | |||||||||||||||
USD | 4,537,372 | — | — | — | ||||||||||||||||
Interest rate swap contracts (average notional | ||||||||||||||||||||
value)*** | BRL | 388,765,613 | — | — | — | |||||||||||||||
CAD | 69,552,174 | — | — | — | ||||||||||||||||
MXN | 1,450,000,000 | — | — | — | ||||||||||||||||
USD | 50,700,000 | — | — | — | ||||||||||||||||
Short Derivative Volume | ||||||||||||||||||||
Optimum | Optimum | Optimum | Optimum | |||||||||||||||||
Fixed Income | International | Large Cap | Large Cap | |||||||||||||||||
Fund | Fund | Growth Fund | Value Fund | |||||||||||||||||
Foreign currency exchange contracts (average | ||||||||||||||||||||
notional value) | USD | $194,180,704 | $962,246 | $ | 43,193 | $ | 4,247 | |||||||||||||
Futures contracts (average notional value) | 149,100,355 | — | — | — | ||||||||||||||||
Options contracts (average notional value)* | 2,013,479 | — | — | — | ||||||||||||||||
CDS contracts (average notional value)** | EUR | 19,883,202 | — | — | — | |||||||||||||||
USD | 63,179,644 | — | — | — | ||||||||||||||||
Interest rate swap contracts (average notional | ||||||||||||||||||||
value)*** | BRL | 434,246,957 | — | — | — | |||||||||||||||
GBP | 34,962,846 | — | — | — | ||||||||||||||||
USD | 63,047,036 | — | — | — |
* | Long represents purchased options and short represents written options. |
** | Long represents buying protection and short represents selling protection. |
*** | Long represents receiving fixed interest payments and short represents paying fixed interest payments. |
8. Offsetting
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 in order to better define its contractual rights and to secure rights that will help each Fund mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain over-the-counter 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) 169
Notes to financial statements
Optimum Fund Trust
8. Offsetting (continued)
At March 31, 2022, the Funds 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
Gross Value of | |||||||||||||||||
Gross Value of | Derivative | ||||||||||||||||
Counterparty | Derivative Asset | Liability | Net Position | ||||||||||||||
Bank of America Merrill Lynch | $ | 2,263,022 | $ | (2,965,312 | ) | $ | (702,290 | ) | |||||||||
BNP Paribas | 2,714,584 | (1,800,208 | ) | 914,376 | |||||||||||||
Citigroup | 757,596 | (91,672 | ) | 665,924 | |||||||||||||
Deutsche Bank | 1,025,594 | (504,353 | ) | 521,241 | |||||||||||||
Goldman Sachs | 300,702 | (2,242,036 | ) | (1,941,334 | ) | ||||||||||||
JPMorgan Chase Bank | 1,936,544 | (1,199,401 | ) | 737,143 | |||||||||||||
Morgan Stanley Capital International | 301,677 | (863,654 | ) | (561,977 | ) | ||||||||||||
TD Bank | 102,263 | — | 102,263 | ||||||||||||||
Total | $ | 9,401,982 | $ | (9,666,636 | ) | $ | (264,654 | ) |
Fair Value of | Fair Value of | ||||||||||||||||||||||||||||||
Non-Cash | Cash Collateral | Non-Cash | Cash Collateral | ||||||||||||||||||||||||||||
Counterparty | Net Position | Collateral Received | Received(a) | Collateral Pledged | Pledged | Net Exposure(b) | |||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | (702,290 | ) | $ | — | $ | — | $ | — | $ | — | $ | (702,290 | ) | |||||||||||||||||
BNP Paribas | 914,376 | — | — | — | — | 914,376 | |||||||||||||||||||||||||
Citigroup | 665,924 | — | (665,924 | ) | — | — | — | ||||||||||||||||||||||||
Deutsche Bank | 521,241 | — | — | — | — | 521,241 | |||||||||||||||||||||||||
Goldman Sachs | (1,941,334 | ) | — | — | 1,941,334 | — | — | ||||||||||||||||||||||||
JPMorgan Chase Bank | 737,143 | — | (737,143 | ) | — | — | — | ||||||||||||||||||||||||
Morgan Stanley Capital | |||||||||||||||||||||||||||||||
International | (561,977 | ) | — | — | — | — | (561,977 | ) | |||||||||||||||||||||||
TD Bank | 102,263 | — | (102,263 | ) | — | — | — | ||||||||||||||||||||||||
Total | $ | (264,654 | ) | $ | — | $ | (1,505,330 | ) | $ | 1,941,334 | $ | — | $ | 171,350 |
Optimum International Fund
Gross Value of | ||||||||||||||||
Gross Value of | Derivative | |||||||||||||||
Counterparty | Derivative Asset | Liability | Net Position | |||||||||||||
Bank of New York Mellon | $ | 919 | $ | (54 | ) | $ | 865 | |||||||||
State Street Bank | 267 | — | 267 | |||||||||||||
Total | $ | 1,186 | $ | (54 | ) | $ | 1,132 |
Fair Value of | Fair Value of | |||||||||||||||||||||||||||||
Non-Cash | Cash Collateral | Non-Cash | Cash Collateral | |||||||||||||||||||||||||||
Counterparty | Net Position | Collateral Received(a) | Received | Collateral Pledged | Pledged | Net Exposure(b) | ||||||||||||||||||||||||
Bank of New York Mellon | $ | 865 | $ | — | $ | — | $ | — | $ | — | $ | 865 | ||||||||||||||||||
State Street Bank | 267 | — | — | — | — | 267 | ||||||||||||||||||||||||
Total | $ | 1,132 | $ | — | $ | — | $ | — | $ | — | $ | 1,132 |
Optimum Large Cap Growth Fund
Gross Value of | |||||
Gross Value of | Derivative | ||||
Counterparty | Derivative Asset | Liability | Net Position | ||
Bank of New York Mellon | $— | $(2,169) | $(2,169) |
170
Fair Value of | Fair Value of | |||||||||||||
Non-Cash | Cash Collateral | Non-Cash | Cash Collateral | |||||||||||
Counterparty | Net Position | Collateral Received(a) | Received | Collateral Pledged | Pledged | Net Exposure(b) | ||||||||
Bank of New York Mellon | $ | (2,169 | ) | $— | $— | $— | $— | $— |
Master Repurchase Agreements
Repurchase agreements are entered into by each Fund under master repurchase agreements (each, an MRA). The MRA permits each 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, each 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, each Fund would recognize a liability with respect to such excess collateral. The liability reflects each Fund's obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2022, the following table is a summary of each Fund's repurchase agreements by counterparty which are subject to offset under an MRA:
Optimum Fixed Income Fund | |||||||||||||||||||||
Fair Value of | |||||||||||||||||||||
Non-Cash | Cash | ||||||||||||||||||||
Repurchase | Collateral | Collateral | Net Collateral | Net | |||||||||||||||||
Counterparty | Agreements | Received(a) | Received | Received | Exposure(b) | ||||||||||||||||
BNP Paribas | $ | 111,100,000 | $ | (111,100,000 | ) | $ | — | $ | (111,100,000 | ) | $ | — | |||||||||
Standard Chartered Bank | 599,000,000 | (599,000,000 | ) | — | (599,000,000 | ) | — | ||||||||||||||
Total | $ | 710,100,000 | $ | (710,100,000 | ) | $ | — | $ | (710,100,000 | ) | $ | — |
(a) | The value of the related collateral exceeded the value of the derivatives, repurchase agreements, and securities lending transactions as of March 31, 2022, as applicable. |
(b) | Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
9. Securities Lending
Each Fund, along with other funds in the Delaware Funds, 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 US securities and foreign securities that are denominated and payable in US 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. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each fund of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations;
(continues) 171
Notes to financial statements
Optimum Fund Trust
9. Securities Lending (continued)
certain money market funds; and asset-backed securities. Each fund can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Fund or, at the discretion of the lending agent, replace the loaned securities. Each Fund continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. Each Fund has 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, each Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Fund, the security lending agent, and the borrower. Each Fund records security lending income net of allocations to the security lending agent and the borrower.
Each Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of each Fund’s cash collateral account may be less than the amount each Fund would be required to return to the borrowers of the securities and each Fund would be required to make up for this shortfall.
During the year ended March 31, 2022, each Fund had no securities on loan.
10. Credit and Market Risk
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance.
Beginning in late February 2022, global financial markets have experienced and may continue to experience significant volatility related to military action by Russia in Ukraine. As a result of this military action, the US and many other countries have imposed sanctions on Russia and certain Russian individuals, banks and corporations. The ongoing hostilities and resulting sanctions are expected to have a severe adverse effect on the region’s economies and more globally, including significant negative impact on markets for certain securities and commodities, such as oil and natural gas. Any cessation of trading on the Russian securities markets will impact the value and liquidity of certain portfolio holdings. The extent and duration of military action, sanctions, and resulting market disruptions are impossible to predict, but could be substantial and prolonged and impact your Fund’s performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Funds invests will cause the NAV of the Funds to fluctuate.
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 US. 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.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations.
172
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, "IBORs") could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
Optimum Fixed Income Fund invests in high yield fixed income securities, which are securities rated lower than BBB- by S&P, and lower than Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Optimum Fixed Income Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
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. There were no unfunded loan commitments at the year ended March 31, 2022.
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 CMOs. CMOs are debt securities issued by US 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 and may be subject to certain risks associated with ownership of securities of such 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.
(continues) 173
Notes to financial statements
Optimum Fund Trust
10. Credit and Market Risk (continued)
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 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 year ended March 31, 2022. 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. The Funds also invests in real estate acquired as a result of ownership of securities or other instruments, including issuers that invest, deal, or otherwise engage in transactions in real estate or interests therein. These instruments may include interests in private equity limited partnerships or limited liability companies that hold real estate investments (Real Estate Limited Partnerships). The Funds will limit their investments in Real Estate Limited Partnerships to 5% of their total assets at the time of purchase.
Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, and Optimum Small-Mid Cap Growth Fund invested in growth stocks (such as those in the technology sector), which reflect projections of future earnings and revenue. These prices may rise or fall dramatically depending on whether those projections are met. These companies’ stock prices may be more volatile, particularly over the short-term.
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, as amended (1933 Act), 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 1933 Act, which exempts from registration transactions by an issuer not involving any public offering. The relative illiquidity of these securities may impair each Fund from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Trust’s 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, 4(a)(2), and restricted securities have been identified on the “Schedules of investments.”
11. 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 each Fund's existing contracts and expects the risk of loss to be remote.
12. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. As of the financial reporting period, Management is evaluating the impact of applying this ASU.
13. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to March 31, 2022, that would require recognition or disclosure in the Funds’ financial statements.
174
Report of independent
registered public accounting firm
To the Board of Trustees of Optimum Fund Trust and Shareholders of 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
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of 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 (constituting Optimum Fund Trust, hereafter collectively referred to as the “Funds”) as of March 31, 2022, the related statements of operations for the year ended March 31, 2022, the statements of changes in net assets for each of the two years in the period ended March 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended March 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended March 31, 2022 and the financial highlights for each of the five years in the period ended March 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022 by correspondence with the custodian, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
May 31, 2022
We have served as the auditor of one or more investment companies in Optimum Fund Trust since 2010.
175
Other Fund information
(Unaudited)
Optimum Fund Trust
Tax Information
The information set forth below is for the Fund’s fiscal year as required by federal income tax laws. Shareholders, however, must report distributions on a calendar year basis for income tax purposes, which may include distributions for portions of two fiscal years of the Fund. Accordingly, the information needed by shareholders for income tax purposes will be sent to them in January of each year. Please consult your tax advisor for proper treatment of this information.
All disclosures are based on financial information available as of the date of this annual report and, accordingly are subject to change. For any and all items requiring reporting, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
For the fiscal year ended March 31, 2022, the Funds report distributions paid during the year as follows:
(A) | (B) | |||||||||||||||||||
Long-Term | Ordinary | |||||||||||||||||||
Capital Gains | Income | Total | (C) | |||||||||||||||||
Distributions | Distributions* | Distributions | Qualifying | |||||||||||||||||
(Tax Basis) | (Tax Basis) | (Tax Basis) | Dividends1 | |||||||||||||||||
Optimum Fixed Income Fund | 14.43 | % | 85.57 | % | 100.00 | % | — | |||||||||||||
Optimum International Fund | 63.38 | % | 36.62 | % | 100.00 | % | — | |||||||||||||
Optimum Large Cap Growth Fund | 87.34 | % | 12.66 | % | 100.00 | % | 20.92 | % | ||||||||||||
Optimum Large Cap Value Fund | 78.18 | % | 21.82 | % | 100.00 | % | 100.00 | % | ||||||||||||
Optimum Small-Mid Cap Growth Fund | 57.39 | % | 42.61 | % | 100.00 | % | — | |||||||||||||
Optimum Small-Mid Cap Value Fund | 30.30 | % | 69.70 | % | 100.00 | % | 32.08 | % |
(A) | and (B) are based on a percentage of the Fund’s total distributions. |
1 | Qualified dividends represent dividends which qualify for the corporate dividends received deduction. |
*For the fiscal year ended March 31, 2022, certain dividends paid by the Funds may be subject to a maximum tax rate of 20%. The percentage of dividends paid by the Funds from ordinary income reported as qualified income are as reported in the following table. Complete information will be computed and reported in conjunction with your 2022 Form 1099-DIV.
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||
Fixed Income | International | Large Cap | Large Cap | Small-Mid Cap | Small-Mid Cap | |||||
Fund | Fund | Growth Fund | Value Fund | Growth Fund | Value Fund | |||||
— | 39.96% | 23.69% | 100.00% | — | 34.52% |
For the fiscal year ended March 31, 2022, certain distributions paid by the Funds, determined to be Qualified Interest Income may be subject to relief from US tax withholding for foreign shareholders, as provided by the American Jobs Creation Act of 2004; the Tax Relief Unemployment Insurance Reauthorization, and Job Creations Act of 2010; and as extended by the American Taxpayer Relief Act of 2012. For the fiscal year ended March 31, 2022, the Funds have reported maximum distributions of Qualified Interest Income as follows:
Qualified | |||||
Interest Income | |||||
Optimum Fixed Income Fund | $ | 48,562,382 |
Optimum International Fund intends to pass through foreign tax credits in the maximum amount of $2,396,777. The gross foreign source income earned during the fiscal year 2022 by the Fund was $29,938,235.
The percentage of the ordinary dividends reported by Optimum Fixed Income Fund that is treated as a Section 163(j) interest dividend and thus is eligible to be treated as interest income for purposes of Section 163(j) and the regulations thereunder is 94.17%.
176
Board of trustees and officers addendum
Optimum Fund Trust
A mutual fund is governed by a Board of Trustees, which has oversight responsibility for the management of a fund’s business affairs. Trustees establish procedures and oversee and review the performance of the investment manager, the distributor and others that perform services for the fund. The independent fund trustees, in particular, are advocates for shareholder interests. The following is a list of the Trustees and Officers of the Trust with certain background and related information.
Number of | Other | |||||||||
Principal | Portfolios in Fund | Directorships | ||||||||
Name, | Position(s) | Occupation(s) | Complex1 Overseen | Held by | ||||||
Address, | Held with | Length of Time | During | by Trustee | Trustee | |||||
and Birth Date | Fund(s) | Served | Past 5 Years | or Officer | or Officer | |||||
INTERESTED TRUSTEES | ||||||||||
Brett W. Wright2 | Trustee, President, and | Since March 29, 2019 | Head of Client Solutions Group, Macquarie | 6 | None | |||||
610 Market Street | Chief Executive Officer | Asset Management — Americas | ||||||||
Philadelphia, PA 19106 | (2016-Present) | |||||||||
February 1970 | Head of Third-Party Distribution — Macquarie | |||||||||
Asset Management3 | ||||||||||
(2014-2016) | ||||||||||
Robert Pettman2 | Trustee | Since June 21, 2019 | Executive Vice President, Product and | 6 | None | |||||
610 Market Street | Platform Management — LPL Financial | |||||||||
Philadelphia, PA 19106 | (Financial services) | |||||||||
June 1979 | (2005-Present) | |||||||||
INDEPENDENT TRUSTEES | ||||||||||
Kevin G. Chavers | Trustee | Since August 26, 2021 | Private Investor | 6 | Director — Chimera | |||||
610 Market Street | (2021-Present) | Investment Corporation | ||||||||
Philadelphia, PA 19106 | Managing Director — BlackRock (Asset | (2021-Present) | ||||||||
August 1963 | management) | Director —SMBC | ||||||||
(2011-2021) | Americas Holdings, Inc. | |||||||||
(2021-Present) | ||||||||||
Director — Toorak Capital | ||||||||||
Partners | ||||||||||
(2021-Present) | ||||||||||
Robert J. Christian | Trustee | Trustee since | Private Investor | 6 | Trustee — FundVantage | |||||
610 Market Street | November 1, 2007 | (2006-Present) | Trust (34 mutual funds) | |||||||
Philadelphia, PA 19106 | (2007-Present) | |||||||||
February 1949 | Trustee — Third Avenue | |||||||||
Trust (3 mutual funds) | ||||||||||
(2019-Present) | ||||||||||
Trustee — Third Avenue | ||||||||||
Variable Series Trust | ||||||||||
(1 mutual fund) | ||||||||||
(2019-Present) | ||||||||||
Durant Adams Hunter | Trustee | Since July 17, 2003 | Private Investor | 6 | None | |||||
610 Market Street | (2020-Present) | |||||||||
Philadelphia, PA 19106 | Founder — Ridgeway Partners | |||||||||
November 1948 | (Executive recruiting) | |||||||||
(2004-2020) | ||||||||||
Pamela J. Moret | Chair and Trustee | Chair since | Private Investor | 6 | Director — Blue Cross | |||||
610 Market Street | January 1, 2022 and | (2015–Present) | Blue Shield of Minnesota | |||||||
Philadelphia, PA 19106 | Trustee since | Chief Executive Officer — brightpeak financial | (2014-Present) | |||||||
February 1956 | October 1, 2013 | (2011-2015) | ||||||||
Senior Vice President — Thrivent Financial for | ||||||||||
Lutherans | ||||||||||
(2002-2015) | ||||||||||
Stephen P. Mullin | Trustee | Since July 17, 2003 | Principal — Econsult Solutions, Inc. | 6 | None | |||||
610 Market Street | (2020-Present) | |||||||||
Philadelphia, PA 19106 | President — Econsult Solutions, Inc. | |||||||||
February 1956 | (2013-2020) |
(continues) 177
Board of trustees and officers addendum
Optimum Fund Trust
Number of | Other | |||||||||
Principal | Portfolios in Fund | Directorships | ||||||||
Name, | Position(s) | Occupation(s) | Complex1 Overseen | Held by | ||||||
Address, | Held with | Length of Time | During | by Trustee | Trustee | |||||
and Birth Date | Fund(s) | Served | Past 5 Years | or Officer | or Officer | |||||
Robert A. Rudell | Trustee | Since July 17, 2003 | Private Investor | 6 | Director and Independent | |||||
610 Market Street | (2002-Present) | Chairman — Heartland | ||||||||
Philadelphia, PA 19106 | Funds (3 mutual funds) | |||||||||
September 1948 | (2005-Present) | |||||||||
Susan M. Stalnecker | Trustee | Since | Senior Advisor — Boston Consulting Group | 6 | Trustee — Duke Health | |||||
610 Market Street | December 14, 2016 | (2016-Present) | System | |||||||
Philadelphia, PA 19106 | Vice President — Productivity & Shared | (2010-Present) | ||||||||
January 1953 | Services — E.I. du Pont de Nemours and | Director — Leidos | ||||||||
Company | (2016-Present) | |||||||||
(2012-2016) | Director — Bioventus | |||||||||
Vice President and Treasurer — E.I. du Pont | (2018-Present) | |||||||||
de Nemours and Company | ||||||||||
(2006-2012) | ||||||||||
OFFICERS | ||||||||||
David F. Connor | Senior Vice President | Senior Vice President | David F. Connor has served in various | 6 | None3 | |||||
610 Market Street | and Secretary | since May 2013; | capacities at different times at Macquarie Asset | |||||||
Philadelphia, PA 19106 | Secretary since October | Management.3 | ||||||||
December 1963 | 2005 | |||||||||
Daniel V. Geatens | Senior Vice President, | Treasurer since | Daniel V. Geatens has served in various | 6 | None3 | |||||
610 Market Street | Treasurer, and Chief | September 20, 2007; | capacities at different times at Macquarie Asset | |||||||
Philadelphia, PA 19106 | Financial Officer | Senior Vice President | Management.3 | |||||||
October 1972 | and Chief Financial | |||||||||
Officer since | ||||||||||
December 13, 2019 | ||||||||||
A.G. Ciavarelli | Senior Vice President, | Senior Vice President | A.G. Ciavarelli has served in various capacities | 6 | None3 | |||||
610 Market Street | General Counsel, and | and General Counsel | at different times at Macquarie Asset | |||||||
Philadelphia, PA 19106 | Assistant Secretary | since June 2021; | Management.3 | |||||||
July 1972 | Assistant Secretary | |||||||||
since December 2004 |
1 | The term “Fund Complex” refers to the Funds in the Optimum Fund Trust. |
2 | “Interested persons” of the Funds by virtue of their executive and management positions or relationships with the Fund’s service providers or sub-service providers. |
3 | Macquarie Asset Management is the marketing name for Macquarie Management Holdings, Inc. and its subsidiaries, including the Funds’ investment advisor, principal underwriter, and its transfer agent. Mr. Geatens also serves as the Chief Financial Officer and Treasurer for Macquarie Global Infrastructure Total Return Fund Inc., which has an affiliated investment manager. Messrs. Connor and Geatens also serve in similar capacities for the Delaware Funds by Macquarie®, a fund complex that has the same manager, principal underwriter, and transfer agent as the Trust. |
The Statement of Additional Information for the Funds includes additional information about the Trustees and Officers and is available, without charge, upon request by calling your financial advisor or 800 914-0278.
178
This annual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the fact sheet for the most recently completed calendar quarter. The prospectus sets forth details about charges, expenses, investment objectives, and operating policies of the investment company. You should read the prospectus carefully before you invest. The figures in this report represent past results that are not a guarantee of future results. The return and principal value of an investment in the investment company will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Board of trustees | Affiliated officers | Investment manager |
Delaware Management Company, a series | ||
Brett Wright | David F. Connor | of Macquarie Investment Management |
Head of Client Solutions Group, Macquarie | Senior Vice President | Business Trust, Philadelphia, PA |
Asset Management – Americas | and Secretary | |
Optimum Fund Trust | National distributor | |
Robert Pettman | Philadelphia, PA | Delaware Distributors, L.P. |
Executive Vice President, Product and | Philadelphia, PA | |
Platform Management – LPL Financial | Daniel V. Geatens | |
Senior Vice President, Treasurer, | Shareholder servicing, dividend | |
Kevin G. Chavers | and Chief Financial Officer | disbursing, and transfer agent |
Private Investor | Optimum Fund Trust | Delaware Investments Fund |
Philadelphia, PA | Services Company | |
Robert J. Christian | 610 Market Street | |
Private Investor | A.G. Ciavarelli | Philadelphia, PA 19106-2354 |
Senior Vice President | ||
Durant Adams Hunter | and General Counsel | For shareholders, securities dealers |
Private Investor | Optimum Fund Trust | and financial institutions |
Philadelphia, PA | representatives | |
Pamela J. Moret | 800 914-0278 | |
Private Investor | ||
Website | ||
Stephen P. Mullin | optimummutualfunds.com | |
President – Econsult Solutions, Inc. | ||
Robert A. Rudell | ||
Private Investor | ||
Susan M. Stalnecker | ||
Senior Advisor – Boston Consulting | ||
Group |
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 Form N-PORT. Each Fund’s Forms N-PORT, 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, are available without charge (i) upon request, by calling 800 914-0278; and (ii) on the SEC’s website at sec.gov. In addition, 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 Form N-PORT are available without charge on the Funds’ website at optimummutualfunds.com/literature. Each Fund’s Forms N-PORT 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/proxy; and (ii) on the SEC’s website at sec.gov. |
179
Item 2. Code of Ethics
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. A copy of the registrant’s Code of Business Ethics has been posted on the Optimum Mutual Funds’ Internet Web site at www.optimummutualfunds.com. Any amendments to the Code of Business Ethics, and information on any waiver from its provisions granted by the registrant, will also be posted on this Web site within five business days of such amendment or waiver and will remain on the Web site for at least 12 months.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees/Directors has determined that certain members of the registrant’s Audit Committee are audit committee financial experts, as defined below. For purposes of this item, an “audit committee financial expert” is a person who has the following attributes:
a. An understanding of generally accepted accounting principles and financial statements;
b. The ability to assess the general application of such principles in connection with the accounting for estimates, accruals, and reserves;
c. Experience preparing, auditing, analyzing, or evaluating financial statements that present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements, or experience actively supervising one or more persons engaged in such activities;
d. An understanding of internal controls and procedures for financial reporting; and
e. An understanding of audit committee functions.
An “audit committee financial expert” shall have acquired such attributes through:
a. Education and experience as a principal financial officer, principal accounting officer, controller, public accountant, or auditor or experience in one or more positions that involve the performance of similar functions;
b. Experience actively supervising a principal financial officer, principal accounting officer, controller, public accountant, auditor, or person performing similar functions;
c. Experience overseeing or assessing the performance of companies or public accountants with respect to the preparation, auditing, or evaluation of financial statements; or
d. Other relevant experience.
The registrant’s Board of Trustees/Directors has also determined that each member of the registrant’s Audit Committee is independent. In order to be “independent” for purposes of this item, the Audit Committee member may not: (i) other than in his or her capacity as a member of the Board of Trustees/Directors or any committee thereof, accept directly or indirectly any consulting, advisory or other compensatory fee from the issuer; or (ii) be an “interested person” of the registrant as defined in Section 2(a)(19) of the Investment Company Act of 1940.
The names of the audit committee financial experts on the registrant’s Audit Committee are set forth below:
Robert J. Christian
Pamela J. Moret
Robert A. Rudell
Susan M. Stalnecker, Chair
Item 4. Principal Accountant Fees and Services
(a) Audit fees.
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $163,955 for the fiscal year ended March 31, 2022.
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $159,180 for the fiscal year ended March 31, 2021.
(b) Audit-related fees.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended March 31, 2022.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the financial statements of the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $1,134,001 for the registrant’s fiscal year ended March 31, 2022. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These audit-related services were as follows: year-end audit procedures; group reporting and subsidiary statutory audits.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended March 31, 2021.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the financial statements of the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $903,282 for the registrant’s fiscal year ended March 31, 2021. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These audit-related services were as follows: year end audit procedures; group reporting and subsidiary statutory audits.
(c) Tax fees.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant were $30,050 for the fiscal year ended March 31, 2022. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These tax-related services were as follows: review of income tax returns and review of annual excise distribution calculations.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2022.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant were $29,175 for the fiscal year ended March 31, 2021. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These tax-related services were as follows: review of income tax returns and review of annual excise distribution calculations.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2021.
(d) All other fees.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended March 31, 2022.
The aggregate fees billed for all services other than those set forth in paragraphs (b) and (c) of this Item provided by the registrant’s independent auditors to the registrant’s adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2022. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended March 31, 2021.
The aggregate fees billed for all services other than those set forth in paragraphs (b) and (c) of this Item provided by the registrant’s independent auditors to the registrant’s adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2021. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%.
(e) The registrant’s Audit Committee has established pre-approval policies and procedures as permitted by Rule 2-01(c)(7)(i)(B) of Regulation S-X (the “Pre-Approval Policy”) with respect to services provided by the registrant’s independent auditors. Pursuant to the Pre-Approval Policy, the Audit Committee has pre-approved the services set forth in the table below with respect to the registrant up to the specified fee limits. Certain fee limits are based on aggregate fees to the registrant and other registrants within the Optimum Fund Trust.
Service | Range of Fees |
Audit Services | |
Statutory audits or financial audits for new Funds | up to $50,000 per Fund |
Services associated with SEC registration statements (e.g., Form N-1A, Form N-14, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., comfort letters for closed-end Fund offerings, consents), and assistance in responding to SEC comment letters | up to $10,000 per Fund |
Consultations by Fund management as to the accounting or disclosure treatment of transactions or events and/or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies (Note: Under SEC rules, some consultations may be considered “audit-related services” rather than “audit services”) | up to $25,000 in the aggregate |
Audit-Related Services | |
Consultations by Fund management as to the accounting or disclosure treatment of transactions or events and /or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies (Note: Under SEC rules, some consultations may be considered “audit services” rather than “audit-related services”) | up to $25,000 in the aggregate |
Tax Services | |
U.S. federal, state and local and international tax planning and advice (e.g., consulting on statutory, regulatory or administrative developments, evaluation of Funds’ tax compliance function, etc.) | up to $25,000 in the aggregate |
U.S. federal, state and local tax compliance (e.g., excise distribution reviews, etc.) | up to $5,000 per Fund |
Review of federal, state, local and international income, franchise and other tax returns | up to $5,000 per Fund |
Under the Pre-Approval Policy, the Audit Committee has also pre-approved the services set forth in the table below with respect to the registrant’s investment adviser and other entities controlling, controlled by or under common control with the investment adviser that provide ongoing services to the registrant (the “Control Affiliates”) up to the specified fee limit. This fee limit is based on aggregate fees to the investment adviser and its Control Affiliates.
Service | Range of Fees |
Non-Audit Services | |
Services associated with periodic reports and other documents filed with the SEC and assistance in responding to SEC comment letters | up to $10,000 in the aggregate |
The Pre-Approval Policy requires the registrant’s independent auditors to report to the Audit Committee at each of its regular meetings regarding all services initiated since the last such report was rendered, including those services authorized by the Pre-Approval Policy.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s independent auditors for services rendered to the registrant and to its investment adviser and other service providers under common control with the adviser were $9,044,000 and $8,455,000 for the registrant’s fiscal years ended March 31, 2022 and March 31, 2021, respectively.
(h) In connection with its selection of the independent auditors, the registrant’s Audit Committee has considered the independent auditors’ provision of non-audit services to the registrant’s investment adviser and other service providers under common control with the adviser that were not required to be pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X. The Audit Committee has determined that the independent auditors’ provision of these services is compatible with maintaining the auditors’ independence.
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 Company 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 officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)) and provide 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 (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the period covered by the report to stockholders included herein that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable
Item 13. Exhibits
(a) (1) Code of Ethics
Not applicable.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
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/BRETT W. WRIGHT | |
By: | Brett W. Wright |
Title: | President and Chief Executive Officer |
Date: | June 7, 2022 |
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/BRETT W. WRIGHT | |
By: | Brett W. Wright |
Title: | President and Chief Executive Officer |
Date: | June 7, 2022 |
/s/DANIEL V. GEATENS | |
By: | Daniel V. Geatens |
Title: | Chief Financial Officer |
Date: | June 7, 2022 |