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: | September 30, 2022 |
Item 1. Reports to Stockholders
Semiannual 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
September 30, 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 September 30, 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.
For the six-month period from April 1, 2022 to September 30, 2022 (Unaudited)
The investment objective of Optimum Fixed Income Fund is to seek a high level of income, and it may also seek growth of capital.
The investment objective of Optimum International Fund is to seek long-term growth of capital, and it may also seek income.
The investment objective of Optimum Large Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Large Cap Value Fund is to seek long-term growth of capital, and it may also seek income.
The investment objective of Optimum Small-Mid Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Small-Mid Cap Value Fund is to seek long-term growth of capital.
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 April 1, 2022 to September 30, 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
Beginning Account Value 4/1/22 | Ending Account Value 9/30/22 | Annualized Expense Ratio | Expenses Paid During Period 4/1/22 to 9/30/22* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 893.90 | 1.06 | % | $ | 5.03 | ||||||||
Class C | 1,000.00 | 890.70 | 1.81 | % | 8.58 | |||||||||||
Institutional Class | 1,000.00 | 894.90 | 0.81 | % | 3.85 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.75 | 1.06 | % | $ | 5.37 | ||||||||
Class C | 1,000.00 | 1,015.99 | 1.81 | % | 9.15 | |||||||||||
Institutional Class | 1,000.00 | 1,021.01 | 0.81 | % | 4.10 |
Optimum International Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/22 | Ending Account Value 9/30/22 | Annualized Expense Ratio | Expenses Paid During Period 4/1/22 to 9/30/22* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 745.30 | 1.32 | % | $ | 5.78 | ||||||||
Class C | 1,000.00 | 742.50 | 2.07 | % | 9.04 | |||||||||||
Institutional Class | 1,000.00 | 746.80 | 1.07 | % | 4.69 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.45 | 1.32 | % | $ | 6.68 | ||||||||
Class C | 1,000.00 | 1,014.69 | 2.07 | % | 10.45 | |||||||||||
Institutional Class | 1,000.00 | 1,019.70 | 1.07 | % | 5.42 |
(continues) | 1 |
Disclosure of Fund expenses
Optimum Large Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/22 | Ending Account Value 9/30/22 | Annualized Expense Ratio | Expenses Paid During Period 4/1/22 to 9/30/22* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 725.90 | 1.19 | % | $ | 5.15 | ||||||||
Class C | 1,000.00 | 723.10 | 1.94 | % | 8.38 | |||||||||||
Institutional Class | 1,000.00 | 726.50 | 0.94 | % | 4.07 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.10 | 1.19 | % | $ | 6.02 | ||||||||
Class C | 1,000.00 | 1,015.34 | 1.94 | % | 9.80 | |||||||||||
Institutional Class | 1,000.00 | 1,020.36 | 0.94 | % | 4.76 |
Optimum Large Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/22 | Ending Account Value 9/30/22 | Annualized Expense Ratio | Expenses Paid During Period 4/1/22 to 9/30/22* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 842.20 | 1.17 | % | $ | 5.40 | ||||||||
Class C | 1,000.00 | 839.30 | 1.92 | % | 8.85 | |||||||||||
Institutional Class | 1,000.00 | 843.10 | 0.92 | % | 4.25 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.20 | 1.17 | % | $ | 5.92 | ||||||||
Class C | 1,000.00 | 1,015.44 | 1.92 | % | 9.70 | |||||||||||
Institutional Class | 1,000.00 | 1,020.46 | 0.92 | % | 4.66 |
Optimum Small-Mid Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/22 | Ending Account Value 9/30/22 | Annualized Expense Ratio | Expenses Paid During Period 4/1/22 to 9/30/22* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 808.00 | 1.54 | % | $ | 6.98 | ||||||||
Class C | 1,000.00 | 805.10 | 2.29 | % | 10.36 | |||||||||||
Institutional Class | 1,000.00 | 809.20 | 1.29 | % | 5.85 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.35 | 1.54 | % | $ | 7.79 | ||||||||
Class C | 1,000.00 | 1,013.59 | 2.29 | % | 11.56 | |||||||||||
Institutional Class | 1,000.00 | 1,018.60 | 1.29 | % | 6.53 |
Optimum Small-Mid Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/22 | Ending Account Value 9/30/22 | Annualized Expense Ratio | Expenses Paid During Period 4/1/22 to 9/30/22* | |||||||||||||
Actual Fund return† | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 784.60 | 1.44 | % | $ | 6.44 | ||||||||
Class C | 1,000.00 | 781.30 | 2.19 | % | 9.78 | |||||||||||
Institutional Class | 1,000.00 | 785.30 | 1.19 | % | 5.33 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.85 | 1.44 | % | $ | 7.28 | ||||||||
Class C | 1,000.00 | 1,014.09 | 2.19 | % | 11.06 | |||||||||||
Institutional Class | 1,000.00 | 1,019.10 | 1.19 | % | 6.02 |
*“Expenses Paid During Period” are equal to the relevant Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
†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 Underlying Funds.
2
Security type / sector allocations
Optimum Fixed Income Fund
As of September 30, 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.
Security type / sector | Percentage of net assets | |||
Agency Asset-Backed Securities | 0.02 | % | ||
Agency Collateralized Mortgage Obligations | 2.66 | % | ||
Agency Commercial Mortgage-Backed Securities | 0.06 | % | ||
Agency Mortgage-Backed Securities | 22.22 | % | ||
Agency Obligation | 0.52 | % | ||
Collateralized Debt Obligations | 6.32 | % | ||
Convertible Bonds | 0.16 | % | ||
Corporate Bonds | 35.67 | % | ||
Banking | 10.50 | % | ||
Basic Industry | 1.42 | % | ||
Brokerage | 0.25 | % | ||
Capital Goods | 1.07 | % | ||
Communications | 3.13 | % | ||
Consumer Cyclical | 2.63 | % | ||
Consumer Non-Cyclical | 3.44 | % | ||
Energy | 2.96 | % | ||
Finance Companies | 2.02 | % | ||
Industrials | 0.45 | % | ||
Insurance | 0.78 | % | ||
Real Estate Investment Trusts | 0.83 | % | ||
Technology | 1.54 | % | ||
Transportation | 1.56 | % | ||
Utilities | 3.09 | % | ||
Municipal Bonds | 0.79 | % | ||
Non-Agency Asset-Backed Securities | 2.18 | % | ||
Non-Agency Collateralized Mortgage Obligations | 1.61 | % | ||
Non-Agency Commercial Mortgage-Backed Securities | 4.73 | % | ||
Loan Agreements | 2.82 | % | ||
Sovereign Bonds | 5.79 | % | ||
Supranational Banks | 0.00 | % | ||
US Treasury Obligations | 12.69 | % | ||
Common Stocks | 0.02 | % | ||
Preferred Stock | 0.01 | % | ||
Options Purchased | 0.19 | % | ||
Short-Term Investments | 28.49 | % | ||
Total Value of Securities Before Options Written | 126.95 | % | ||
Options Written | (0.60 | %) | ||
Liabilities Net of Receivables and Other Assets | (26.35 | %) | ||
Total Net Assets | 100.00 | % |
(continues) | 3 |
Security type / sector and country allocations
Optimum International Fund
As of September 30, 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.
Security type / country | Percentage of net assets | |||
Common Stocks by Country | 97.08 | % | ||
Australia | 5.49 | % | ||
Austria | 0.67 | % | ||
Belgium | 0.00 | % | ||
Brazil | 2.83 | % | ||
Canada | 3.23 | % | ||
China/Hong Kong | 11.03 | % | ||
Czech Republic | 0.02 | % | ||
Denmark | 4.96 | % | ||
Egypt | 0.00 | % | ||
Finland | 0.72 | % | ||
France | 5.11 | % | ||
Germany | 7.85 | % | ||
Greece | 0.07 | % | ||
Hong Kong | 0.00 | % | ||
Hungary | 0.26 | % | ||
India | 2.80 | % | ||
Indonesia | 0.88 | % | ||
Iraq | 0.00 | % | ||
Ireland | 3.16 | % | ||
Israel | 1.91 | % | ||
Italy | 0.90 | % | ||
Japan | 12.50 | % | ||
Luxembourg | 0.04 | % | ||
Malaysia | 0.13 | % | ||
Mexico | 0.29 | % | ||
Netherlands | 4.89 | % | ||
New Zealand | 0.02 | % | ||
Norway | 1.13 | % | ||
Panama | 0.56 | % | ||
Philippines | 0.02 | % | ||
Poland | 0.31 | % | ||
Portugal | 0.00 | % | ||
Republic of Korea | 4.18 | % | ||
Russia | 0.00 | % | ||
Singapore | 0.03 | % | ||
South Africa | 1.26 | % | ||
Spain | 1.26 | % | ||
Sweden | 1.98 | % | ||
Switzerland | 6.68 | % | ||
Taiwan | 3.81 | % | ||
Thailand | 1.34 | % | ||
Turkey | 0.04 | % | ||
Ukraine | 0.14 | % | ||
United Arab Emirates | 0.15 | % | ||
United Kingdom | 2.18 | % | ||
United States | 2.25 | % | ||
Preferred Stocks | 1.01 | % | ||
Short-Term Investments | 1.05 | % | ||
Total Value of Securities | 99.14 | % | ||
Receivables and Other Assets Net of Liabilities | 0.86 | % | ||
Total Net Assets | 100.00 | % | ||
Common stocks and preferred stocks by sector | Percentage of net assets | |||
Communication Services | 6.58 | % | ||
Consumer Discretionary | 10.11 | % | ||
Consumer Staples | 4.81 | % | ||
Energy | 5.02 | % | ||
Financials | 15.70 | % | ||
Healthcare | 8.96 | % | ||
Industrials | 19.47 | % | ||
Information Technology | 16.15 | % | ||
Materials | 9.38 | % | ||
Real Estate | 0.39 | % | ||
Utilities | 1.52 | % | ||
Total | 98.09 | % |
4
Security type / sector allocations and top 10 equity holdings
Optimum Large Cap Growth Fund
As of September 30, 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.
Security type / sector | Percentage of net assets | |||
Common Stocks ◆ | 97.30 | % | ||
Communication Services | 8.19 | % | ||
Consumer Discretionary | 17.00 | % | ||
Consumer Staples | 3.62 | % | ||
Energy | 0.82 | % | ||
Financials | 2.31 | % | ||
Healthcare | 16.75 | % | ||
Industrials | 7.91 | % | ||
Information Technology* | 39.12 | % | ||
Materials | 0.82 | % | ||
Real Estate | 0.76 | % | ||
Exchange-Traded Fund | 0.25 | % | ||
Short-Term Investments | 2.51 | % | ||
Total Value of Securities | 100.06 | % | ||
Liabilities Net of Receivables and Other Assets | (0.06 | %) | ||
Total Net Assets | 100.00 | % |
◆ Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting.
*To monitor compliance with the Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector for this Fund consisted of Commercial Services, Computers, Diversified Financial Services, Internet, Machinery-Diversified, Semiconductors, and Software. As of September 30, 2022, such amounts, as a percentage of total net assets were 1.92%, 10.30%, 6.84%, 1.95%, 0.24%, 5.74%, and 12.13%, 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.
Top 10 equity holdings | Percentage of net assets | |||
Apple | 10.00 | % | ||
Amazon.com | 7.85 | % | ||
Microsoft | 6.87 | % | ||
UnitedHealth Group | 4.92 | % | ||
Visa Class A | 4.67 | % | ||
Tesla | 2.81 | % | ||
NVIDIA | 2.36 | % | ||
Mastercard Class A | 2.17 | % | ||
Alphabet Class C | 2.06 | % | ||
Alphabet Class A | 1.87 | % |
(continues) | 5 |
Security type / sector allocations and top 10 equity holdings
Optimum Large Cap Value Fund
As of September 30, 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.
Security type / sector | Percentage of net assets | |||
Common Stocks | 98.59 | % | ||
Communication Services | 5.81 | % | ||
Consumer Discretionary | 4.43 | % | ||
Consumer Staples | 4.99 | % | ||
Energy | 6.99 | % | ||
Financials | 22.46 | % | ||
Healthcare | 19.00 | % | ||
Industrials | 15.38 | % | ||
Information Technology | 7.70 | % | ||
Materials | 3.84 | % | ||
Real Estate | 2.23 | % | ||
Utilities | 5.76 | % | ||
Short-Term Investments | 1.45 | % | ||
Total Value of Securities | 100.04 | % | ||
Liabilities Net of Receivables and Other Assets | (0.04 | %) | ||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
JPMorgan Chase & Co. | 2.96 | % | ||
Johnson & Johnson | 2.81 | % | ||
Northrop Grumman | 2.26 | % | ||
ConocoPhillips | 2.25 | % | ||
Thermo Fisher Scientific | 2.13 | % | ||
Duke Energy | 1.88 | % | ||
Honeywell International | 1.64 | % | ||
Exxon Mobil | 1.63 | % | ||
Comcast Class A | 1.59 | % | ||
Lowe’s | 1.57 | % |
6
Security type / sector allocations and top 10 equity holdings
Optimum Small-Mid Cap Growth Fund
As of September 30, 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.
Security type / sector | Percentage of net assets | |||
Common Stocks ◆ | 96.88 | % | ||
Communication Services | 0.74 | % | ||
Consumer Discretionary | 9.59 | % | ||
Consumer Staples | 6.02 | % | ||
Energy | 3.03 | % | ||
Financials | 5.39 | % | ||
Healthcare* | 27.40 | % | ||
Industrials | 20.41 | % | ||
Information Technology | 22.22 | % | ||
Materials | 1.74 | % | ||
Real Estate | 0.34 | % | ||
Convertible Preferred Stock | 0.02 | % | ||
Warrant | 0.00 | % | ||
Short-Term Investments | 3.13 | % | ||
Total Value of Securities | 100.03 | % | ||
Liabilities Net of Receivables and Other Assets | (0.03 | %) | ||
Total Net Assets | 100.00 | % |
◆ Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting.
*To monitor compliance with the Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Healthcare 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 Healthcare sector consisted of Biotechnology, Commercial Services, Healthcare-Products, Healthcare-Services, Pharmaceuticals, and Software. As of September 30, 2022, such amounts, as a percentage of total net assets were 5.27%, 1.06%, 7.92%, 4.84%, 2.76%, and 5.55%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentage in the Healthcare 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.
Top 10 equity holdings | Percentage of net assets | |||
Evolent Health Class A | 2.75 | % | ||
Option Care Health | 1.48 | % | ||
Celsius Holdings | 1.42 | % | ||
Axonics | 1.39 | % | ||
BJ’s Wholesale Club Holdings | 1.31 | % | ||
Matador Resources | 1.31 | % | ||
DoubleVerify Holdings | 1.29 | % | ||
Academy Sports & Outdoors | 1.29 | % | ||
Enphase Energy | 1.28 | % | ||
Dycom Industries | 1.26 | % |
(continues) | 7 |
Security type / sector allocations and top 10 equity holdings
Optimum Small-Mid Cap Value Fund
As of September 30, 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.
Security type / sector | Percentage of net assets | |||
Common Stocks | 98.25 | % | ||
Communication Services | 6.53 | % | ||
Consumer Discretionary | 10.90 | % | ||
Consumer Staples | 3.80 | % | ||
Energy | 6.47 | % | ||
Financials | 19.77 | % | ||
Healthcare | 6.06 | % | ||
Industrials | 13.73 | % | ||
Information Technology | 9.46 | % | ||
Materials | 11.76 | % | ||
Real Estate | 8.12 | % | ||
Utilities | 1.65 | % | ||
Short-Term Investments | 1.64 | % | ||
Total Value of Securities | 99.89 | % | ||
Receivables and Other Assets Net of Liabilities | 0.11 | % | ||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Nexstar Media Group Class A | 2.93 | % | ||
Silgan Holdings | 2.86 | % | ||
Gaming and Leisure Properties | 2.29 | % | ||
Ziff Davis | 1.71 | % | ||
PacWest Bancorp | 1.66 | % | ||
Ashland | 1.61 | % | ||
DT Midstream | 1.60 | % | ||
Lithia Motors | 1.45 | % | ||
BWX Technologies | 1.45 | % | ||
Starwood Property Trust | 1.44 | % |
8
Optimum Fixed Income Fund
September 30, 2022 (Unaudited)
Principal amount° | Value (US $) | ||||||
Agency Asset-Backed Securities – 0.02% | |||||||
SLM Student Loan Trust Series 2003-11 A6 144A 3.843% (LIBOR03M + 0.55%) 12/15/25 #, ● | 9,543 | $ | 9,529 | ||||
Series 2008-9 A 4.283% (LIBOR03M + 1.50%) 4/25/23 ● | 542,879 | 538,578 | |||||
Total Agency Asset-Backed Securities (cost $552,509) | 548,107 | ||||||
Agency Collateralized Mortgage Obligations – 2.66% | |||||||
Fannie Mae Connecticut Avenue Securities Series 2017-C04 2M2 5.934% (LIBOR01M + 2.85%) 11/25/29 ● | 286,003 | 287,784 | |||||
Fannie Mae Grantor Trust Series 1999-T2 A1 7.50% 1/19/39 ● | 3,373 | 3,437 | |||||
Series 2004-T1 1A2 6.50% 1/25/44 | 3,235 | 3,342 | |||||
Fannie Mae REMIC Trust Series 2004-W11 1A2 6.50% 5/25/44 | 23,759 | 24,519 | |||||
Series 2004-W15 1A1 6.00% 8/25/44 | 16,028 | 16,249 | |||||
Fannie Mae REMICs Series 1999-19 PH 6.00% 5/25/29 | 27,696 | 28,277 | |||||
Series 2001-14 Z 6.00% 5/25/31 | 1,713 | 1,730 | |||||
Series 2007-30 OE 1.784% 4/25/37 Ω, ^ | 1,316,774 | 968,910 | |||||
Series 2008-24 ZA 5.00% 4/25/38 | 4,362,491 | 4,361,582 | |||||
Series 2009-2 AS 2.616% (5.70% minus LIBOR01M, Cap 5.70%) 2/25/39 Σ, ● | 244,263 | 17,017 | |||||
Series 2009-68 SA 3.666% (6.75% minus LIBOR01M, Cap 6.75%) 9/25/39 Σ, ● | 94,023 | 7,821 | |||||
Series 2011-118 DC 4.00% 11/25/41 | 263,804 | 249,690 | |||||
Fannie Mae REMICs Series 2017-40 GZ 3.50% 5/25/47 | 399,984 | 360,726 | |||||
Series 2017-95 FA 2.723% (LIBOR01M + 0.35%, Floor 0.35%) 11/25/47 ● | 242,153 | 237,397 | |||||
Freddie Mac REMICs Series 2165 PE 6.00% 6/15/29 | 25,407 | 26,002 | |||||
Series 3143 BC 5.50% 2/15/36 | 719,534 | 736,063 | |||||
Series 3289 SA 3.932% (6.75% minus LIBOR01M, Cap 6.75%) 3/15/37 Σ, ● | 294,759 | 29,951 | |||||
Series 4676 KZ 2.50% 7/15/45 | 383,526 | 335,678 | |||||
Freddie Mac Structured Agency Credit Risk REMIC Trust Series 2019-DNA4 M2 144A 5.034% (LIBOR01M + 1.95%) 10/25/49 #, ● | 128,618 | 127,882 | |||||
Series 2019-HQA4 M2 144A 5.134% (LIBOR01M + 2.05%) 11/25/49 #, ● | 76,028 | 75,787 | |||||
Series 2020-DNA2 M2 144A 4.934% (LIBOR01M + 1.85%) 2/25/50 #, ● | 229,983 | 226,425 | |||||
Series 2020-DNA6 M2 144A 4.281% (SOFR + 2.00%) 12/25/50 #, ● | 3,328,294 | 3,272,119 | |||||
Series 2021-DNA1 M2 144A 4.081% (SOFR + 1.80%) 1/25/51 #, ● | 6,183,430 | 5,906,744 | |||||
Series 2021-DNA3 M2 144A 4.381% (SOFR + 2.10%) 10/25/33 #, ● | 2,500,000 | 2,381,193 | |||||
Series 2021-DNA5 M2 144A 3.931% (SOFR + 1.65%) 1/25/34 # | 3,039,158 | 2,963,663 |
9
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 2021-HQA1 M2 144A 4.531% (SOFR + 2.25%) 8/25/33 # | 7,000,000 | $ | 6,414,131 | ||||
Series 2021-HQA2 M2 144A 4.331% (SOFR + 2.05%) 12/25/33 #, ● | 5,000,000 | 4,439,780 | |||||
Series 2022-DNA1 M2 144A 4.781% (SOFR + 2.50%) 1/25/42 # | 3,000,000 | 2,617,495 | |||||
Series 2022-DNA2 M2 144A 6.031% (SOFR + 3.75%) 2/25/42 #, ● | 1,000,000 | 913,751 | |||||
Freddie Mac Structured Pass Through Certificates Series T-54 2A 6.50% 2/25/43 ◆ | 9,882 | 10,403 | |||||
Series T-58 2A 6.50% 9/25/43 ◆ | 3,587 | 3,642 | |||||
GNMA Series 2008-65 SB 2.986% (6.00% minus LIBOR01M, Cap 6.00%) 8/20/38 Σ, ● | 250,967 | 13,758 | |||||
Series 2009-2 SE 2.806% (5.82% minus LIBOR01M, Cap 5.82%) 1/20/39 Σ, ● | 838,126 | 59,487 | |||||
Series 2011-H21 FT 3.646% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61 ● | 3,639,030 | 3,630,051 | |||||
Series 2011-H23 FA 3.057% (LIBOR01M + 0.70%, Cap 11.00%, Floor 0.70%) 10/20/61 ● | 2,345,139 | 2,335,111 | |||||
Series 2012-H08 FB 2.957% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 3/20/62 ● | 284,419 | 282,879 | |||||
Series 2012-H18 NA 2.877% (LIBOR01M + 0.52%, Cap 10.50%, Floor 0.52%) 8/20/62 ● | 178,610 | 177,606 | |||||
Series 2012-H29 SA 2.872% (LIBOR01M + 0.515%, Cap 12.00%, Floor 0.515%) 10/20/62 ● | 2,904,985 | 2,880,333 | |||||
Series 2013-113 LY 3.00% 5/20/43 | 173,000 | 155,889 | |||||
Series 2015-H10 FA 2.957% (LIBOR01M + 0.60%, Cap 7.50%) 4/20/65 ● | 8,284,951 | 8,185,034 | |||||
Series 2015-H11 FC 2.907% (LIBOR01M + 0.55%, Cap 7.50%, Floor 0.55%) 5/20/65 ● | 972,150 | 960,790 | |||||
Series 2015-H12 FB 2.957% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 5/20/65 ● | 4,110,511 | 4,068,905 | |||||
Series 2015-H20 FB 2.957% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 8/20/65 ● | 1,150,101 | 1,137,723 | |||||
Series 2015-H30 FD 2.957% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 10/20/65 ● | 64,601 | 64,216 | |||||
Series 2016-H06 FD 3.277% (LIBOR01M + 0.92%, Cap 7.50%, Floor 0.92%) 7/20/65 ● | 1,158,432 | 1,153,569 | |||||
Series 2017-163 ZK 3.50% 11/20/47 | 2,771,735 | 2,587,378 | |||||
Total Agency Collateralized Mortgage Obligations (cost $67,854,089) | 64,741,919 |
10
Principal amount° | Value (US $) | ||||||
Agency Commercial Mortgage-Backed Securities – 0.06% | |||||||
Freddie Mac Multifamily Structured Pass Through Certificates Series X3FX A2FX 3.00% 6/25/27 ◆ | 1,070,000 | $ | 1,007,547 | ||||
FREMF Mortgage Trust Series 2017-K71 B 144A 3.881% 11/25/50 #, ● | 470,000 | 428,703 | |||||
Total Agency Commercial Mortgage-Backed Securities (cost $1,516,973) | 1,436,250 | ||||||
Agency Mortgage-Backed Securities – 22.22% | |||||||
Fannie Mae 5.50% 3/1/37 | 4,747 | 4,760 | |||||
Fannie Mae S.F. 15 yr 2.00% 3/1/36 | 3,280,988 | 2,895,629 | |||||
2.50% 7/1/36 | 6,109,882 | 5,552,238 | |||||
Fannie Mae S.F. 20 yr 2.00% 3/1/41 | 2,990,487 | 2,505,365 | |||||
2.00% 5/1/41 | 2,738,137 | 2,294,344 | |||||
3.00% 9/1/37 | 1,382,728 | 1,274,745 | |||||
Fannie Mae S.F. 30 yr 2.00% 12/1/50 | 8,007,761 | 6,524,416 | |||||
2.00% 1/1/51 | 4,445,586 | 3,623,529 | |||||
2.00% 2/1/51 | 3,800,609 | 3,099,786 | |||||
2.00% 3/1/51 | 5,609,222 | 4,566,421 | |||||
2.00% 5/1/51 | 1,212,074 | 986,351 | |||||
2.00% 8/1/51 | 1,396,717 | 1,135,646 | |||||
2.00% 1/1/52 | 3,954,196 | 3,218,722 | |||||
2.50% 10/1/50 | 1,432,798 | 1,211,168 | |||||
2.50% 1/1/51 | 2,937,723 | 2,485,568 | |||||
2.50% 7/1/51 | 1,278,039 | 1,078,647 | |||||
2.50% 8/1/51 | 7,347,177 | 6,214,893 | |||||
2.50% 2/1/52 | 5,894,324 | 4,963,689 | |||||
2.50% 4/1/52 | 66,092 | 55,591 | |||||
3.00% 10/1/42 | 1,257,375 | 1,127,722 | |||||
3.00% 4/1/43 | 418,507 | 375,003 | |||||
3.00% 1/1/47 | 1,694,782 | 1,517,475 | |||||
3.00% 11/1/48 | 664,894 | 591,310 | |||||
3.00% 12/1/49 | 3,674,357 | 3,238,957 | |||||
3.00% 3/1/50 | 1,660,879 | 1,471,639 | |||||
3.00% 7/1/50 | 803,816 | 705,287 | |||||
3.00% 5/1/51 | 553,740 | 486,811 | |||||
3.00% 7/1/51 | 4,623,410 | 4,057,991 | |||||
3.00% 8/1/51 | 1,700,519 | 1,488,681 | |||||
3.00% 12/1/51 | 518,545 | 455,581 | |||||
3.50% 2/1/47 | 2,329,408 | 2,139,618 | |||||
3.50% 7/1/47 | 1,859,146 | 1,708,003 | |||||
3.50% 12/1/47 | 381,359 | 347,765 | |||||
3.50% 1/1/48 | 887,170 | 811,523 | |||||
3.50% 2/1/48 | 1,627,688 | 1,487,420 | |||||
3.50% 7/1/48 | 1,225,884 | 1,121,313 | |||||
3.50% 11/1/48 | 1,005,514 | 919,694 | |||||
3.50% 1/1/50 | 1,316,664 | 1,196,229 | |||||
3.50% 3/1/50 | 627,697 | 573,912 | |||||
3.50% 8/1/50 | 5,266,482 | 4,810,762 | |||||
3.50% 1/1/52 | 985,888 | 889,708 | |||||
3.50% 3/1/52 | 3,665,682 | 3,325,897 | |||||
3.50% 4/1/52 | 2,648,789 | 2,389,047 | |||||
3.50% 5/1/52 | 3,291,541 | 2,982,171 | |||||
4.00% 10/1/40 | 9,004 | 8,583 | |||||
4.00% 11/1/40 | 37,481 | 35,547 | |||||
4.00% 3/1/46 | 54,732 | 51,986 | |||||
4.00% 3/1/47 | 3,148,256 | 2,988,680 | |||||
4.00% 4/1/47 | 499,112 | 473,196 | |||||
4.00% 6/1/48 | 2,280,828 | 2,158,884 | |||||
4.00% 9/1/48 | 2,766,166 | 2,613,988 | |||||
4.00% 10/1/48 | 2,444,975 | 2,322,870 | |||||
4.00% 1/1/49 | 44,446 | 41,998 | |||||
4.00% 3/1/49 | 126,506 | 119,536 | |||||
4.00% 6/1/49 | 567,416 | 535,373 | |||||
4.50% 5/1/35 | 28,379 | 27,669 | |||||
4.50% 8/1/35 | 48,052 | 46,853 | |||||
4.50% 9/1/35 | 56,015 | 54,748 | |||||
4.50% 5/1/39 | 174,870 | 171,468 | |||||
4.50% 6/1/40 | 134,323 | 131,767 | |||||
4.50% 7/1/40 | 169,612 | 163,235 | |||||
4.50% 4/1/41 | 13,023 | 12,478 | |||||
4.50% 1/1/42 | 1,873,954 | 1,827,300 | |||||
4.50% 5/1/46 | 122,510 | 120,031 | |||||
4.50% 4/1/48 | 695,489 | 684,488 | |||||
4.50% 7/1/48 | 136,335 | 131,182 | |||||
4.50% 8/1/48 | 98,339 | 94,633 | |||||
4.50% 9/1/48 | 227,789 | 219,781 | |||||
4.50% 12/1/48 | 199,324 | 192,492 | |||||
4.50% 1/1/49 | 3,006,479 | 2,917,280 | |||||
4.50% 1/1/50 | 2,039,753 | 1,986,119 | |||||
5.00% 3/1/34 | 890 | 895 | |||||
5.00% 4/1/34 | 4,257 | 4,285 | |||||
5.00% 8/1/34 | 8,154 | 8,214 | |||||
5.00% 4/1/35 | 1,703 | 1,664 | |||||
5.00% 12/1/37 | 707 | 695 | |||||
5.00% 3/1/38 | 43,166 | 42,866 | |||||
5.00% 6/1/38 | 877 | 856 | |||||
5.00% 5/1/40 | 66,220 | 66,740 | |||||
5.00% 7/1/47 | 351,048 | 353,812 | |||||
5.00% 7/1/52 | 3,672,887 | 3,593,139 | |||||
5.50% 12/1/33 | 7,821 | 7,809 |
11
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Agency Mortgage-Backed Securities (continued) | |||||||
Fannie Mae S.F. 30 yr 5.50% 2/1/35 | 137,730 | $ | 142,713 | ||||
5.50% 5/1/44 | 4,676,213 | 4,827,551 | |||||
6.00% 9/1/36 | 6,383 | 6,492 | |||||
6.00% 8/1/38 | 12,874 | 13,090 | |||||
6.00% 12/1/38 | 2,839 | 2,984 | |||||
6.00% 6/1/41 | 974,091 | 1,023,387 | |||||
6.00% 7/1/41 | 3,296,363 | 3,463,939 | |||||
6.00% 1/1/42 | 820,396 | 861,963 | |||||
6.50% 11/1/33 | 1,588 | 1,636 | |||||
6.50% 2/1/36 | 26,347 | 27,333 | |||||
6.50% 3/1/36 | 47,352 | 48,802 | |||||
6.50% 6/1/36 | 35,203 | 36,500 | |||||
6.50% 2/1/38 | 10,070 | 10,378 | |||||
6.50% 11/1/38 | 2,047 | 2,140 | |||||
Fannie Mae S.F. 30 yr TBA 2.00% 10/1/52 | 50,200,000 | 40,634,546 | |||||
2.50% 10/1/52 | 37,400,000 | 31,371,442 | |||||
3.00% 11/1/52 | 173,000,000 | 150,481,905 | |||||
3.50% 11/1/52 | 72,100,000 | 64,836,963 | |||||
4.50% 10/1/52 | 6,500,000 | 6,191,758 | |||||
5.00% 10/1/52 | 9,441,000 | 9,196,172 | |||||
5.50% 10/1/52 | 20,319,000 | 20,195,182 | |||||
Freddie Mac ARM 2.00% (LIBOR12M + 1.625%, Cap 10.50%, Floor 1.625%) 2/1/38 ● | 12,478 | 12,300 | |||||
3.555% (LIBOR12M + 2.18%, Cap 10.517%, Floor 2.18%) 5/1/37 ● | 44,313 | 45,163 | |||||
Freddie Mac S.F. 15 yr 2.00% 12/1/35 | 2,476,590 | 2,191,218 | |||||
3.00% 3/1/35 | 7,362,293 | 6,842,532 | |||||
Freddie Mac S.F. 20 yr 2.00% 3/1/41 | 3,406,594 | 2,853,620 | |||||
2.50% 6/1/41 | 6,131,954 | 5,273,770 | |||||
3.00% 4/1/42 | 1,793,590 | 1,590,533 | |||||
5.50% 10/1/23 | 1,490 | 1,485 | |||||
5.50% 8/1/24 | 1,362 | 1,357 | |||||
Freddie Mac S.F. 30 yr 2.00% 4/1/51 | 1,440,187 | 1,172,124 | |||||
2.00% 9/1/51 | 4,927,810 | 4,005,963 | |||||
2.50% 10/1/50 | 2,541,392 | 2,154,855 | |||||
2.50% 11/1/50 | 2,340,676 | 1,977,961 | |||||
2.50% 2/1/51 | 4,357,695 | 3,687,508 | |||||
2.50% 10/1/51 | 6,705,624 | 5,668,686 | |||||
3.00% 11/1/46 | 2,350,969 | 2,091,446 | |||||
3.00% 11/1/49 | 2,330,324 | 2,044,624 | |||||
3.00% 1/1/50 | 644,895 | 568,595 | |||||
3.00% 12/1/50 | 177,628 | 156,192 | |||||
3.00% 5/1/51 | 5,764,142 | 5,111,400 | |||||
3.00% 8/1/51 | 1,525,976 | 1,336,677 | |||||
3.50% 8/1/48 | 18,979 | 17,333 | |||||
3.50% 9/1/48 | 1,605,241 | 1,467,712 | |||||
3.50% 11/1/48 | 4,615,447 | 4,220,804 | |||||
3.50% 4/1/52 | 2,097,603 | 1,894,729 | |||||
4.00% 12/1/45 | 446,983 | 425,765 | |||||
4.00% 7/1/47 | 145,886 | 138,325 | |||||
4.00% 10/1/47 | 1,404,379 | 1,323,624 | |||||
4.00% 9/1/52 | 2,018,000 | 1,875,305 | |||||
4.50% 8/1/48 | 827,935 | 801,797 | |||||
4.50% 1/1/49 | 2,946,787 | 2,847,252 | |||||
4.50% 3/1/49 | 179,031 | 173,178 | |||||
4.50% 4/1/49 | 727,103 | 706,384 | |||||
4.50% 8/1/49 | 1,569,408 | 1,525,452 | |||||
5.00% 7/1/52 | 6,154,448 | 6,022,066 | |||||
5.50% 9/1/41 | 1,341,352 | 1,387,101 | |||||
5.50% 9/1/52 | 2,519,000 | 2,548,127 | |||||
5.50% 11/1/52 | 2,567,000 | 2,554,486 | |||||
6.50% 11/1/33 | 14,113 | 14,560 | |||||
6.50% 1/1/35 | 41,446 | 43,427 | |||||
7.00% 1/1/38 | 5,076 | 5,067 | |||||
GNMA I S.F. 30 yr 3.00% 8/15/45 | 4,859,236 | 4,336,222 | |||||
3.00% 3/15/50 | 371,326 | 328,066 | |||||
GNMA II S.F. 30 yr 3.00% 8/20/50 | 758,570 | 685,263 | |||||
5.50% 5/20/37 | 58,784 | 60,844 | |||||
6.00% 4/20/34 | 1,720 | 1,719 | |||||
GNMA II S.F. 30 yr TBA 4.00% 10/20/52 | 6,000,000 | 5,602,735 | |||||
Total Agency Mortgage-Backed Securities (cost $583,689,262) | �� | 541,296,395 | |||||
Agency Obligation – 0.52% | |||||||
Federal Home Loan Banks 3.05% (SOFR + 0.01%) 1/4/23 ● | 12,600,000 | 12,600,669 | |||||
Total Agency Obligation (cost $12,600,000) | 12,600,669 | ||||||
Collateralized Debt Obligations – 6.32% | |||||||
522 Funding CLO Series 2018-3AAR 144A 3.75% (LIBOR03M + 1.04%, Floor 1.04%) 10/20/31 #, ● | 1,200,000 | 1,164,662 |
12
Principal amount° | Value (US $) | ||||||
Collateralized Debt Obligations (continued) | |||||||
Adagio V CLO DAC Series V-AARR 144A 0.72% (EUR003M + 0.72%, Floor 0.72%) 10/15/31 #, ● | EUR | 1,100,000 | $ | 1,034,809 | |||
AMMC CLO 16 Series 2015-16A AR2 144A 3.463% (LIBOR03M + 0.98%, Floor 0.98%) 4/14/29 #, ● | 735,961 | 727,413 | |||||
Anchorage Capital CLO 9 Series 2016-9A AR2 144A 3.652% (LIBOR03M + 1.14%, Floor 1.14%) 7/15/32 #, ● | 1,800,000 | 1,748,961 | |||||
Anchorage Capital CLO 11 Series 2019-11AAR 144A 3.899% (LIBOR03M + 1.14%, Floor 1.14%) 7/22/32 #, ● | 1,200,000 | 1,163,345 | |||||
Apex Credit CLO Series 2018-1A A2 144A 3.813% (LIBOR03M + 1.03%) 4/25/31 #, ● | 2,400,000 | 2,313,924 | |||||
Apidos CLO XXIV Series 2016-24A A1AL 144A 3.66% (LIBOR03M + 0.95%, Floor 0.95%) 10/20/30 #, ● | 1,350,000 | 1,314,153 | |||||
Aqueduct European CLO DAC Series 2017-1AAR 144A 0.687% (EUR003M + 0.64%, Floor 0.64%) 7/20/30 #, ● | EUR | 1,728,522 | 1,623,312 | ||||
Ares European CLO Series 7A A1RR 144A 0.66% (EUR003M + 0.66%, Floor 0.66%) 10/15/30 #, ● | EUR | 1,296,636 | 1,225,694 | ||||
Ares European CLO X DAC Series 10AAR 144A 0.78% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, ● | EUR | 2,700,000 | 2,502,281 | ||||
Ares European CLO XII DAC Series 12AAR 144A 0.897% (EUR003M + 0.85%, Floor 0.85%) 4/20/32 #, ● | EUR | 300,000 | 278,170 | ||||
Ares European CLO XIV DAC Series 14A A 144A 1.162% (EUR003M + 1.12%, Floor 1.12%) 10/21/33 #, ● | EUR | 3,750,000 | 3,517,037 | ||||
Ares XL CLO Series 2016-40A A1RR 144A 3.382% (LIBOR03M + 0.87%, Floor 0.87%) 1/15/29 #, ● | 1,876,640 | 1,842,645 | |||||
Ares XXXIX CLO Series 2016-39A A1R2 144A 3.79% (LIBOR03M + 1.05%, Floor 1.05%) 4/18/31 #, ● | 1,500,000 | 1,459,488 | |||||
Atrium XII Series 12AAR 144A 3.589% (LIBOR03M + 0.83%) 4/22/27 #, ● | 2,105,095 | 2,069,398 | |||||
Aurium CLO IV DAC Series 4AAR 144A 0.732% (EUR003M + 0.73%, Floor 0.73%) 1/16/31 #, ● | EUR | 3,000,000 | 2,810,048 | ||||
Bain Capital Euro CLO DAC Series 2018-2AAR 144A 0.787% (EUR003M + 0.74%, Floor 0.74%) 1/20/32 #, ● | EUR | 1,300,000 | 1,222,867 | ||||
Benefit Street Partners CLO XII Series 2017-12A A1R 144A 3.462% (LIBOR03M + 0.95%, Floor 0.95%) 10/15/30 #, ● | 500,000 | 489,362 |
13
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Collateralized Debt Obligations (continued) | |||||||
Benefit Street Partners CLO XVII Series 2019-17AAR 144A 3.592% (LIBOR03M + 1.08%, Floor 1.08%) 7/15/32 #, ● | 700,000 | $ | 678,918 | ||||
Black Diamond CLO DAC Series 2019-1A A1R 144A 1.301% (EUR003M + 0.98%, Floor 0.98%) 5/15/32 #, ● | EUR | 300,000 | 281,499 | ||||
Blackrock European CLO VII DAC Series 7AAR 144A 0.62% (EUR003M + 0.62%, Floor 0.62%) 10/15/31 #, ● | EUR | 2,200,000 | 2,050,051 | ||||
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 | 1,315,121 | ||||
BNPP AM Euro CLO DAC Series 2018-1AAR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/15/31 #, ● | EUR | 250,000 | 235,218 | ||||
Series 2019-1AAR 144A 0.945% (EUR003M + 0.82%, Floor 0.82%) 7/22/32 #, ● | EUR | 1,000,000 | 914,685 | ||||
Cairn CLO IV DAC Series 2014-4AARRR 144A 0.838% (EUR003M + 0.60%, Floor 0.60%) 4/30/31 #, ● | EUR | 1,578,843 | 1,499,458 | ||||
Cairn CLO X DAC Series 2018-10AAR 144A 0.78% (EUR003M + 0.78%, Floor 0.78%) 10/15/31 #, ● | EUR | 1,400,000 | 1,296,664 | ||||
Carlyle Euro CLO DAC Series 2017-3A A1R 144A 0.70% (EUR003M + 0.70%, Floor 0.70%) 1/15/31 #, ● | EUR | 1,900,000 | 1,799,979 | ||||
Series 2019-2A A1R 144A 1.211% (EUR003M + 0.89%, Floor 0.89%) 8/15/32 #, ● | EUR | 600,000 | 557,054 | ||||
Carlyle Global Market Strategies CLO Series 2013-1A A1RR 144A 3.872% (LIBOR03M + 0.95%, Floor 0.95%) 8/14/30 #, ● | 2,500,000 | 2,458,315 | |||||
Carlyle Global Market Strategies Euro CLO Series 2014-2A AR1 144A 1.071% (EUR003M + 0.75%, Floor 0.75%) 11/15/31 #, ● | EUR | 1,500,000 | 1,405,204 | ||||
CARLYLE US CLO Series 2017-1A A1R 144A 3.71% (LIBOR03M + 1.00%, Floor 1.00%) 4/20/31 #, ● | 1,500,000 | 1,467,751 | |||||
CVC Cordatus Loan Fund VII DAC Series 7AARR 144A 1.63% (EUR003M + 0.63%, Floor 0.63%) 9/15/31 #, ● | EUR | 1,200,000 | 1,118,541 | ||||
Dryden 27 R Euro CLO DAC Series 2017-27AAR 144A 0.66% (EUR003M + 0.66%, Floor 0.66%) 4/15/33 #, ● | EUR | 2,200,000 | 2,020,383 | ||||
Dryden 36 Senior Loan Fund Series 2014-36A AR3 144A 3.532% (LIBOR03M + 1.02%, Floor 1.02%) 4/15/29 #, ● | 3,346,116 | 3,294,478 |
14
Principal amount° | Value (US $) | ||||||
Collateralized Debt Obligations (continued) | |||||||
Dryden 52 Euro CLO DAC Series 2017-52AAR 144A 1.181% (EUR003M + 0.86%, Floor 0.86%) 5/15/34 #, ● | EUR | 2,200,000 | $ | 2,060,094 | |||
Euro-Galaxy III CLO DAC Series 2013-3AARRR 144A 0.765% (EUR003M + 0.62%, Floor 0.62%) 4/24/34 #, ● | EUR | 4,000,000 | 3,724,410 | ||||
FS Rialto Series 2022-FL4 A 144A 4.184% (SOFR + 1.90%, Floor 1.90%) 1/19/39 #, ● | 3,500,000 | 3,417,536 | |||||
Galaxy XXI CLO Series 2015-21AAR 144A 3.73% (LIBOR03M + 1.02%) 4/20/31 #, ● | 1,650,000 | 1,613,700 | |||||
GoldenTree Loan Management EUR CLO DAC Series 3AAR 144A 0.947% (EUR003M + 0.90%, Floor 0.90%) 1/20/32 #, ● | EUR | 300,000 | 278,783 | ||||
Goldentree Loan Management US CLO 2 Series 2017-2AAR 144A 3.62% (LIBOR03M + 0.91%, Floor 0.91%) 11/20/30 #, ● | 3,300,000 | 3,229,829 | |||||
Harvest CLO XI DAC Series 11AARR 144A 1.77% (EUR003M + 0.65%, Floor 0.65%) 6/26/30 #, ● | EUR | 1,680,916 | 1,579,225 | ||||
Harvest CLO XVI DAC Series 16AARR 144A 0.64% (EUR003M + 0.64%, Floor 0.64%) 10/15/31 #, ● | EUR | 2,000,000 | 1,862,879 | ||||
Harvest CLO XXI DAC Series 21A A2R 144A 1.04% 7/15/31 # | EUR | 250,000 | 214,794 | ||||
HGI CRE CLO Series 2022-FL3 A 144A 3.984% (SOFR + 1.70%, Floor 1.70%) 4/20/37 #, ● | 3,000,000 | 2,932,239 | |||||
Invesco Euro CLO I DAC Series 1A A1R 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 7/15/31 #, ● | EUR | 250,000 | 233,468 | ||||
Jubilee CLO DAC Series 2014-11AARR 144A 0.61% (EUR003M + 0.61%, Floor 0.61%) 4/15/30 #, ● | EUR | 1,700,000 | 1,611,777 | ||||
Series 2014-12AARRR 144A 0.60% (EUR003M + 0.60%, Floor 0.60%) 4/15/30 #, ● | EUR | 600,000 | 569,925 | ||||
Series 2016-17A A1RR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, ● | EUR | 1,400,000 | 1,301,340 | ||||
Series 2016-17A A2RR 144A 0.65% (EUR003M + 0.65%, Floor 0.65%) 4/15/31 #, ● | EUR | 500,000 | 466,141 | ||||
KKR CLO 18 Series 18 AR 144A 3.68% (LIBOR03M + 0.94%, Floor 0.94%) 7/18/30 #, ● | 500,000 | 490,422 | |||||
Laurelin DAC Series 2016-1AARR 144A 0.767% (EUR003M + 0.72%, Floor 0.72%) 10/20/31 #, ● | EUR | 2,100,000 | 1,969,676 | ||||
LCM XIII Series 13A AR3 144A 3.608% (LIBOR03M + 0.87%, Floor 0.87%) 7/19/27 #, ● | 3,487,079 | 3,426,529 |
15
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Collateralized Debt Obligations (continued) | |||||||
LCM XV Series 15A AR2 144A 3.71% (LIBOR03M + 1.00%, Floor 1.00%) 7/20/30 #, ● | 3,300,000 | $ | 3,234,957 | ||||
Man GLG Euro CLO III DAC Series 3AAR 144A 0.68% (EUR003M + 0.68%, Floor 0.68%) 10/15/30 #, ● | EUR | 1,094,826 | 1,029,378 | ||||
Man GLG Euro CLO V DAC Series 5A A1R 144A 1.69% (EUR003M + 0.69%, Floor 0.69%) 12/15/31 #, ● | EUR | 1,900,000 | 1,783,079 | ||||
Man GLG US CLO Series 2018-1A A1R 144A 3.85% (LIBOR03M + 1.14%) 4/22/30 #, ● | 3,000,000 | 2,931,399 | |||||
Marathon CLO Series 2021-16A A1A 144A 3.712% (LIBOR03M + 1.20%, Floor 1.20%) 4/15/34 #, ● | 1,250,000 | 1,203,208 | |||||
Marathon CLO V Series 2013-5A A1R 144A 3.854% (LIBOR03M + 0.87%) 11/21/27 #, ● | 51,516 | 51,341 | |||||
Mountain View CLO X Series 2015-10AAR 144A 3.275% (LIBOR03M + 0.82%, Floor 0.82%) 10/13/27 #, ● | 456,182 | 453,095 | |||||
Oak Hill European Credit Partners IV DAC Series 2015-4A A1RE 144A 0.777% (EUR003M + 0.73%, Floor 0.73%) 1/20/32 #, ● | EUR | 296,529 | 281,547 | ||||
Oaktree CLO Series 2019-4A A1R 144A 3.83% (LIBOR03M + 1.12%, Floor 1.12%) 10/20/32 #, ● | 500,000 | 481,439 | |||||
OCP Euro CLO DAC Series 2020-4AAR 144A 1.005% (EUR003M + 0.88%, Floor 0.88%) 9/22/34 #, ● | EUR | 1,900,000 | 1,760,564 | ||||
OZLM IX Series 2014-9A A1A3 144A 3.81% (LIBOR03M + 1.10%, Floor 1.10%) 10/20/31 #, ● | 500,000 | 485,962 | |||||
OZLM XVI Series 2017-16A A1R 144A 3.952% (LIBOR03M + 1.03%, Floor 1.03%) 5/16/30 #, ● | 2,600,000 | 2,549,498 | |||||
OZLM XXIV Series 2019-24A A1AR 144A 3.87% (LIBOR03M + 1.16%, Floor 1.16%) 7/20/32 #, ● | 2,100,000 | 2,023,268 | |||||
Palmer Square European Loan Funding DAC Series 2021-1A A 144A 0.78% (EUR003M + 0.78%, Floor 0.78%) 4/15/31 #, ● | EUR | 1,847,093 | 1,738,991 | ||||
Palmer Square Loan Funding Series 2021-3A A1 144A 3.51% (LIBOR03M + 0.80%, Floor 0.80%) 7/20/29 #, ● | 556,104 | 545,340 | |||||
Series 2021-4A A1 144A 3.312% (LIBOR03M + 0.80%, Floor 0.80%) 10/15/29 #, ● | 2,176,138 | 2,133,674 | |||||
Sculptor European CLO V DAC Series 5AAR 144A 0.79% (EUR003M + 0.79%, Floor 0.79%) 1/14/32 #, ● | EUR | 3,300,000 | 3,087,237 |
16
Principal amount° | Value (US $) | ||||||
Collateralized Debt Obligations (continued) | |||||||
Segovia European CLO DAC Series 2019-6AAR 144A 0.927% (EUR003M + 0.88%, Floor 0.88%) 7/20/32 #, ● | EUR | 1,600,000 | $ | 1,490,303 | |||
Signal Peak CLO 5 Series 2018-5A A 144A 3.893% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #, ● | 1,800,000 | 1,762,216 | |||||
Sound Point CLO IX Series 2015-2AARRR 144A 3.92% (LIBOR03M + 1.21%, Floor 1.21%) 7/20/32 #, ● | 2,600,000 | 2,518,766 | |||||
Sound Point CLO XIV Series 2016-3A AR2 144A 3.773% (LIBOR03M + 0.99%, Floor 0.99%) 1/23/29 #, ● | 3,867,421 | 3,817,686 | |||||
Sound Point CLO XVI Series 2017-2AAR 144A 3.763% (LIBOR03M + 0.98%) 7/25/30 #, ● | 4,400,000 | 4,299,632 | |||||
Stratus CLO Series 2021-3A A 144A 3.66% (LIBOR03M + 0.95%, Floor 0.95%) 12/29/29 #, ● | 1,881,422 | 1,848,787 | |||||
Symphony Static CLO I Series 2021-1A A 144A 3.613% (LIBOR03M + 0.83%, Floor 0.83%) 10/25/29 #, ● | 459,204 | 450,271 | |||||
TCI-Symphony CLO Series 2017-1AAR 144A 3.442% (LIBOR03M + 0.93%, Floor 0.93%) 7/15/30 #, ● | 1,000,000 | 980,326 | |||||
THL Credit Wind River CLO Series 2019-3AAR 144A 3.592% (LIBOR03M + 1.08%, Floor 1.08%) 4/15/31 #, ● | 3,100,000 | 3,011,681 | |||||
Tikehau CLO DAC Series 2015-1AARR 144A 1.13% (EUR003M + 0.87%, Floor 0.87%) 8/4/34 #, ● | EUR | 2,000,000 | 1,857,938 | ||||
Toro European CLO 6 DAC Series 6AAR 144A 0.92% (EUR003M + 0.92%, Floor 0.92%) 1/12/32 #, ● | EUR | 300,000 | 277,918 | ||||
Toro European CLO 7 DAC Series 7AARE 144A 1.131% (EUR003M + 0.81%, Floor 0.81%) 2/15/34 #, ● | EUR | 1,900,000 | 1,764,936 | ||||
Venture 32 CLO Series 2018-32A A1 144A 3.84% (LIBOR03M + 1.10%, Floor 1.10%) 7/18/31 #, ● | 500,000 | 487,102 | |||||
Venture 34 CLO Series 2018-34A A 144A 3.742% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #, ● | 2,500,000 | 2,432,642 | |||||
Venture 38 CLO Series 2019-38A A1R 144A 3.942% (LIBOR03M + 1.16%, Floor 1.16%) 7/30/32 #, ● | 2,900,000 | 2,808,128 | |||||
Venture 42 CLO Series 2021-42A A1A 144A 3.642% (LIBOR03M + 1.13%, Floor 1.13%) 4/15/34 #, ● | 1,300,000 | 1,234,990 | |||||
Venture XVII CLO Series 2014-17AARR 144A 3.392% (LIBOR03M + 0.88%) 4/15/27 #, ● | 279,465 | 274,820 |
17
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Collateralized Debt Obligations (continued) | |||||||
Venture XXIV CLO Series 2016-24AARR 144A 3.61% (LIBOR03M + 0.90%, Floor 0.90%) 10/20/28 #, ● | 423,272 | $ | 414,935 | ||||
Venture XXVI CLO Series 2017-26AAR 144A 3.81% (LIBOR03M + 1.10%, Floor 1.10%) 1/20/29 #, ● | 3,334,068 | 3,284,260 | |||||
Vibrant CLO IV Series 2016-4A A1RR 144A 3.83% (LIBOR03M + 1.12%, Floor 1.12%) 7/20/32 #, ● | 1,300,000 | 1,260,415 | |||||
Vibrant CLO VI Series 2017-6AAR 144A 4.477% (LIBOR03M + 0.95%) 6/20/29 #, ● | 2,028,872 | 1,991,910 | |||||
Vibrant CLO VII Series 2017-7A A1R 144A 3.75% (LIBOR03M + 1.04%, Floor 1.04%) 9/15/30 #, ● | 4,500,000 | 4,412,646 | |||||
Vibrant CLO XI Series 2019-11A A1R1 144A 3.83% (LIBOR03M + 1.12%, Floor 1.12%) 7/20/32 #, ● | 1,500,000 | 1,459,206 | |||||
Voya Series 2012-4A A1R3 144A 3.512% (LIBOR03M + 1.00%) 10/15/30 #, ● | 1,400,000 | 1,368,938 | |||||
Voya CLO Series 2014-4A A1RA 144A 3.583% (LIBOR03M + 1.10%) 7/14/31 #, ● | 842,321 | 823,249 | |||||
Total Collateralized Debt Obligations (cost $172,729,680) | 153,991,333 | ||||||
Convertible Bonds – 0.16% | |||||||
Kaman 3.25% exercise price $65.26, maturity date 5/1/24 | 2,540,000 | 2,396,490 | |||||
Spirit Airlines 1.00% exercise price $49.07, maturity date 5/15/26 | 1,906,000 | 1,632,489 | |||||
Total Convertible Bonds (cost $4,262,233) | 4,028,979 | ||||||
Corporate Bonds – 35.67% | |||||||
Banking – 10.50% | |||||||
Access Bank 144A 6.125% 9/21/26 # | 425,000 | 322,609 | |||||
144A 9.125% 10/7/26 #, µ, Ψ | 475,000 | 351,500 | |||||
Akbank TAS 144A 6.80% 2/6/26 # | 610,000 | 545,277 | |||||
Banco Bilbao Vizcaya Argentaria 5.875% 9/24/23 µ, Ψ | EUR | 800,000 | 718,776 | ||||
Banco Continental 144A 2.75% 12/10/25 # | 915,000 | 799,477 | |||||
Banco de Bogota 144A 6.25% 5/12/26 # | 405,000 | 379,327 | |||||
Banco GNB Sudameris 144A 7.50% 4/16/31 #, µ | 420,000 | 307,375 | |||||
Banco Industrial 144A 4.875% 1/29/31 #, µ | 320,000 | 292,960 | |||||
Banco Mercantil del Norte 144A 8.375% 10/14/30 #, µ, Ψ | 375,000 | 343,912 | |||||
Banco Nacional de Panama 144A 2.50% 8/11/30 # | 200,000 | 147,015 | |||||
Banco Santander 2.958% 3/25/31 | 1,000,000 | 759,600 | |||||
3.496% 3/24/25 | 1,000,000 | 953,592 | |||||
3.892% 5/24/24 | 1,400,000 | 1,363,780 | |||||
4.175% 3/24/28 µ | 1,200,000 | 1,083,021 | |||||
Bancolombia 4.875% 10/18/27 µ | 415,000 | 371,560 | |||||
Bangkok Bank 144A 5.00% 9/23/25 #, µ, Ψ | 280,000 | 248,354 | |||||
Bank Hapoalim 144A 3.255% 1/21/32 #, µ | 835,000 | 697,951 | |||||
Bank Leumi Le-Israel 144A 3.275% 1/29/31 #, µ | 300,000 | 256,525 | |||||
144A 5.125% 7/27/27 #, µ | 535,000 | 526,241 |
18
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
Bank of America 2.482% 9/21/36 µ | 12,865,000 | $ | 9,311,618 | ||||
2.551% 2/4/28 µ | 905,000 | 788,234 | |||||
2.972% 2/4/33 µ | 665,000 | 520,692 | |||||
3.384% 4/2/26 µ | 500,000 | 472,551 | |||||
3.55% 3/5/24 µ | 2,100,000 | 2,083,972 | |||||
3.864% 7/23/24 µ | 2,200,000 | 2,170,793 | |||||
3.974% 2/7/30 µ | 3,400,000 | 3,030,710 | |||||
4.125% 1/22/24 | 200,000 | 198,511 | |||||
4.30% 1/28/25 µ, Ψ | 900,000 | 739,132 | |||||
4.948% 7/22/28 µ | 3,905,000 | 3,756,107 | |||||
6.125% 4/27/27 µ, Ψ | 865,000 | 819,587 | |||||
Bank of China 144A 5.00% 11/13/24 # | 455,000 | 455,284 | |||||
Bank of New York Mellon 4.70% 9/20/25 µ, Ψ | 2,560,000 | 2,457,600 | |||||
Barclays 3.33% 11/24/42 µ | 1,300,000 | 824,797 | |||||
3.375% 4/2/25 µ | EUR | 500,000 | 483,583 | ||||
4.302% (LIBOR03M + 1.38%) 5/16/24 ● | 1,800,000 | 1,799,181 | |||||
4.972% 5/16/29 µ | 3,000,000 | 2,703,945 | |||||
5.20% 5/12/26 | 3,035,000 | 2,890,171 | |||||
5.501% 8/9/28 µ | 2,195,000 | 2,059,958 | |||||
6.375% 12/15/25 µ, Ψ | GBP | 500,000 | 461,275 | ||||
7.125% 6/15/25 µ, Ψ | GBP | 1,800,000 | 1,746,369 | ||||
7.25% 3/15/23 µ, Ψ | GBP | 700,000 | 753,209 | ||||
7.75% 9/15/23 µ, Ψ | 400,000 | 370,500 | |||||
Barclays Bank 7.625% 11/21/22 | 439,000 | 439,034 | |||||
BBVA Bancomer 144A 5.875% 9/13/34 #, µ | 400,000 | 343,056 | |||||
BNP Paribas 144A 1.904% 9/30/28 #, µ | 1,800,000 | 1,455,079 | |||||
144A 2.159% 9/15/29 #, µ | 600,000 | 470,018 | |||||
144A 2.871% 4/19/32 #, µ | 300,000 | 227,248 | |||||
144A 3.052% 1/13/31 #, µ | 2,600,000 | 2,071,133 | |||||
144A 7.375% 8/19/25 #, µ, Ψ | 700,000 | 662,605 | |||||
7.375% 8/19/25 µ, Ψ | 500,000 | 473,289 | |||||
CIMB Bank 144A 2.125% 7/20/27 # | 550,000 | 479,030 | |||||
Citigroup 3.07% 2/24/28 µ | 865,000 | 771,934 | |||||
3.20% 10/21/26 | 1,000,000 | 917,172 | |||||
3.785% 3/17/33 µ | 900,000 | 755,597 | |||||
4.00% 12/10/25 µ, Ψ | 900,000 | 760,500 | |||||
4.044% 6/1/24 µ | 1,800,000 | 1,786,294 | |||||
4.075% 4/23/29 µ | 3,400,000 | 3,081,346 | |||||
5.61% 9/29/26 µ | 3,070,000 | 3,055,196 | |||||
Cooperatieve Rabobank 3.75% 7/21/26 | 1,350,000 | 1,245,294 | |||||
4.375% 8/4/25 | 2,000,000 | 1,913,047 | |||||
Credit Agricole 144A 2.811% 1/11/41 # | 1,995,000 | 1,186,194 | |||||
Credit Suisse Group 144A 2.593% 9/11/25 #, µ | 1,105,000 | 1,006,013 | |||||
3.80% 6/9/23 | 2,300,000 | 2,264,150 | |||||
144A 3.869% 1/12/29 #, µ | 1,065,000 | 870,172 | |||||
144A 4.194% 4/1/31 #, µ | 2,500,000 | 1,969,483 | |||||
144A 4.50% 9/3/30 #, µ, Ψ | 820,000 | 488,285 | |||||
144A 6.25% 12/18/24 #, µ, Ψ | 2,000,000 | 1,720,740 | |||||
144A 6.375% 8/21/26 #, µ, Ψ | 1,900,000 | 1,387,000 | |||||
144A 6.442% 8/11/28 #, µ | 4,490,000 | 4,181,196 | |||||
7.50% 12/11/23 µ, Ψ | 400,000 | 368,670 | |||||
Deutsche Bank 2.129% 11/24/26 µ | 700,000 | 595,040 | |||||
3.547% 9/18/31 µ | 4,135,000 | 3,158,423 | |||||
3.729% 1/14/32 µ | 3,115,000 | 2,101,566 | |||||
3.742% 1/7/33 µ | 2,296,000 | 1,491,918 | |||||
3.961% 11/26/25 µ | 5,700,000 | 5,325,382 | |||||
6.119% 7/14/26 µ | 3,000,000 | 2,915,985 | |||||
Development Bank of Kazakhstan 144A 2.95% 5/6/31 # | 300,000 | 234,573 | |||||
Emirates NBD Bank PJSC 2.625% 2/18/25 | 495,000 | 468,823 | |||||
Fifth Third Bancorp 2.55% 5/5/27 | 1,201,000 | 1,069,611 | |||||
3.65% 1/25/24 | 790,000 | 775,739 | |||||
3.95% 3/14/28 | 1,119,000 | 1,045,748 |
19
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
Fifth Third Bancorp 4.337% 4/25/33 µ | 855,000 | $ | 759,117 | ||||
Fifth Third Bank 3.85% 3/15/26 | 835,000 | 789,506 | |||||
Goldman Sachs Group 0.673% 3/8/24 µ | 700,000 | 684,472 | |||||
1.431% 3/9/27 µ | 2,000,000 | 1,721,224 | |||||
1.542% 9/10/27 µ | 3,993,000 | 3,377,507 | |||||
3.102% 2/24/33 µ | 635,000 | 505,122 | |||||
3.615% 3/15/28 µ | 3,990,000 | 3,635,175 | |||||
4.223% 5/1/29 µ | 4,700,000 | 4,278,408 | |||||
Hana Bank 144A 1.25% 12/16/26 # | 345,000 | 297,874 | |||||
HSBC Holdings 1.589% 5/24/27 µ | 2,200,000 | 1,841,106 | |||||
2.848% 6/4/31 µ | 2,700,000 | 2,070,483 | |||||
2.871% 11/22/32 µ | 2,000,000 | 1,459,697 | |||||
2.999% 3/10/26 µ | 700,000 | 647,636 | |||||
3.961% (LIBOR03M + 1.00%) 5/18/24 ● | 1,000,000 | 988,204 | |||||
4.30% 3/8/26 | 200,000 | 191,814 | |||||
4.70% 3/9/31 µ, Ψ | 500,000 | 356,333 | |||||
5.21% 8/11/28 µ | 500,000 | 467,969 | |||||
5.875% 9/28/26 µ, Ψ | GBP | 500,000 | 446,335 | ||||
Huntington National Bank 4.552% 5/17/28 µ | 645,000 | 621,628 | |||||
ICICI Bank 144A 4.00% 3/18/26 # | 335,000 | 319,442 | |||||
Intesa Sanpaolo 144A 4.00% 9/23/29 # | 1,300,000 | 1,076,794 | |||||
7.75% 1/11/27 µ, Ψ | EUR | 200,000 | 173,714 | ||||
JPMorgan Chase & Co. 1.764% 11/19/31 µ | 4,730,000 | 3,462,049 | |||||
1.953% 2/4/32 µ | 1,170,000 | 867,110 | |||||
2.595% 2/24/26 µ | 1,500,000 | 1,396,195 | |||||
2.947% 2/24/28 µ | 1,100,000 | 973,899 | |||||
2.963% 1/25/33 µ | 500,000 | 393,639 | |||||
3.22% 3/1/25 µ | 500,000 | 484,155 | |||||
3.328% 4/22/52 µ | 455,000 | 301,156 | |||||
4.005% 4/23/29 µ | 900,000 | 812,717 | |||||
4.60% 2/1/25 µ, Ψ | 1,185,000 | 1,035,216 | |||||
4.851% 7/25/28 µ | 4,060,000 | 3,902,522 | |||||
4.912% 7/25/33 µ | 775,000 | 715,701 | |||||
5.00% 8/1/24 µ, Ψ | 400,000 | 360,950 | |||||
Lloyds Banking Group 2.438% 2/5/26 µ | 300,000 | 275,869 | |||||
3.50% 4/1/26 µ | EUR | 200,000 | 192,184 | ||||
Lloyds Banking Group 3.75% 3/18/28 µ | 1,400,000 | 1,260,066 | |||||
Mitsubishi UFJ Financial Group 2.193% 2/25/25 | 1,700,000 | 1,578,746 | |||||
2.559% 2/25/30 | 1,800,000 | 1,446,900 | |||||
Mizuho Financial Group 2.226% 5/25/26 µ | 1,600,000 | 1,452,729 | |||||
2.564% 9/13/31 | 1,400,000 | 1,030,241 | |||||
2.591% 5/25/31 µ | 2,000,000 | 1,567,113 | |||||
3.261% 5/22/30 µ | 3,100,000 | 2,605,106 | |||||
Morgan Stanley 0.495% 10/26/29 µ | EUR | 2,000,000 | 1,560,193 | ||||
1.928% 4/28/32 µ | 1,415,000 | 1,035,150 | |||||
2.475% 1/21/28 µ | 650,000 | 568,800 | |||||
2.484% 9/16/36 µ | 5,700,000 | 4,092,823 | |||||
3.625% 1/20/27 | 4,000,000 | 3,725,565 | |||||
Nationwide Building Society 144A 2.972% 2/16/28 #, µ | 800,000 | 688,569 | |||||
144A 3.766% 3/8/24 #, µ | 800,000 | 791,217 | |||||
144A 4.302% 3/8/29 #, µ | 5,200,000 | 4,632,274 | |||||
NatWest Group 4.80% 4/5/26 | 5,000,000 | 4,799,503 | |||||
5.125% 5/12/27 µ, Ψ | GBP | 500,000 | 419,586 | ||||
NBK SPC 144A 1.625% 9/15/27 #, µ | 1,065,000 | 916,658 | |||||
NongHyup Bank 144A 0.875% 7/28/24 # | 430,000 | 401,006 | |||||
Nykredit Realkredit 2.00% 10/1/53 | DKK | 7,191,708 | 685,605 | ||||
Oversea-Chinese Banking 144A 4.25% 6/19/24 # | 660,000 | 651,890 | |||||
PNC Bank 2.70% 11/1/22 | 250,000 | 249,747 | |||||
3.875% 4/10/25 | 1,145,000 | 1,109,957 | |||||
4.05% 7/26/28 | 2,400,000 | 2,204,433 | |||||
PNC Financial Services Group 2.60% 7/23/26 | 1,635,000 | 1,493,115 | |||||
6.00% 5/15/27 µ, Ψ | 645,000 | 599,850 | |||||
6.20% 9/15/27 µ, Ψ | 1,090,000 | 1,032,775 | |||||
QNB Finance 2.625% 5/12/25 | 1,160,000 | 1,090,203 |
20
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
Santander UK Group Holdings 3.823% 11/3/28 µ | 3,200,000 | $ | 2,752,825 | ||||
Shinhan Financial Group 144A 3.34% 2/5/30 #, µ | 410,000 | 384,252 | |||||
Societe Generale 144A 4.25% 4/14/25 # | 3,600,000 | 3,426,027 | |||||
144A 4.677% 6/15/27 # | 3,500,000 | 3,337,245 | |||||
7.875% 12/18/23 µ, Ψ | 500,000 | 480,625 | |||||
Standard Chartered 7.75% 4/2/23 µ, Ψ | 300,000 | 292,647 | |||||
State Street 2.203% 2/7/28 µ | 1,210,000 | 1,062,189 | |||||
Sumitomo Mitsui Financial Group 1.474% 7/8/25 | 2,600,000 | 2,340,880 | |||||
2.222% 9/17/31 | 2,300,000 | 1,724,042 | |||||
SVB Financial Group 1.80% 10/28/26 | 490,000 | 421,720 | |||||
1.80% 2/2/31 | 775,000 | 555,635 | |||||
4.00% 5/15/26 µ, Ψ | 2,110,000 | 1,604,583 | |||||
4.57% 4/29/33 µ | 2,910,000 | 2,554,688 | |||||
Toronto-Dominion Bank 4.108% 6/8/27 | 2,710,000 | 2,558,543 | |||||
Truist Bank 2.636% 9/17/29 µ | 5,182,000 | 4,831,941 | |||||
Truist Financial 1.887% 6/7/29 µ | 3,485,000 | 2,855,097 | |||||
4.916% 7/28/33 µ | 1,375,000 | 1,244,518 | |||||
4.95% 9/1/25 µ, Ψ | 1,465,000 | 1,411,220 | |||||
UBS 5.125% 5/15/24 | 200,000 | 195,487 | |||||
UBS Group 0.25% 11/5/28 µ | EUR | 1,000,000 | 789,636 | ||||
144A 1.364% 1/30/27 #, µ | 400,000 | 342,105 | |||||
144A 3.126% 8/13/30 #, µ | 2,000,000 | 1,643,784 | |||||
144A 4.125% 9/24/25 # | 1,774,000 | 1,695,025 | |||||
144A 4.703% 8/5/27 #, µ | 920,000 | 873,108 | |||||
UniCredit 7.50% 6/3/26 µ, Ψ | EUR | 600,000 | 518,200 | ||||
144A 7.83% 12/4/23 # | 2,900,000 | 2,924,836 | |||||
US Bancorp 2.215% 1/27/28 µ | 705,000 | 621,938 | |||||
US Bancorp 2.491% 11/3/36 µ | 950,000 | 715,507 | |||||
2.677% 1/27/33 µ | 735,000 | 591,701 | |||||
3.375% 2/5/24 | 2,915,000 | 2,866,973 | |||||
3.60% 9/11/24 | 1,275,000 | 1,252,290 | |||||
3.95% 11/17/25 | 2,820,000 | 2,750,548 | |||||
US Bank 3.40% 7/24/23 | 815,000 | 808,816 | |||||
Virgin Money UK 3.375% 4/24/26 µ | GBP | 100,000 | 98,591 | ||||
4.00% 9/25/26 µ | GBP | 800,000 | 792,514 | ||||
Wells Fargo & Co. 3.196% 6/17/27 µ | 900,000 | 820,412 | |||||
3.584% 5/22/28 µ | 5,300,000 | 4,800,048 | |||||
3.90% 3/15/26 µ, Ψ | 1,000,000 | 846,250 | |||||
4.611% 4/25/53 µ | 1,120,000 | 911,608 | |||||
4.808% 7/25/28 µ | 2,720,000 | 2,596,943 | |||||
255,765,953 | |||||||
Basic Industry – 1.42% | |||||||
AngloGold Ashanti Holdings 3.375% 11/1/28 | 850,000 | 690,126 | |||||
Antofagasta 144A 5.625% 5/13/32 # | 355,000 | 328,375 | |||||
Braskem Netherlands Finance 144A 4.50% 1/31/30 # | 370,000 | 299,681 | |||||
Celanese US Holdings 6.05% 3/15/25 | 590,000 | 576,902 | |||||
6.165% 7/15/27 | 2,095,000 | 1,985,382 | |||||
Corp Nacional del Cobre de Chile 144A 3.70% 1/30/50 # | 225,000 | 149,258 | |||||
144A 4.25% 7/17/42 # | 200,000 | 149,552 | |||||
CSN Resources 144A 5.875% 4/8/32 # | 625,000 | 456,250 | |||||
First Quantum Minerals 144A 6.875% 10/15/27 # | 360,000 | 324,803 | |||||
144A 7.50% 4/1/25 # | 2,740,000 | 2,640,771 | |||||
FMG Resources August 2006 144A 6.125% 4/15/32 # | 7,300,000 | 6,283,548 | |||||
Freeport Indonesia 144A 5.315% 4/14/32 # | 435,000 | 362,137 |
21
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Basic Industry (continued) | |||||||
GC Treasury Center 144A 5.20% 3/30/52 # | 450,000 | $ | 360,891 | ||||
Georgia-Pacific 8.00% 1/15/24 | 2,242,000 | 2,332,122 | |||||
ICL Group 144A 6.375% 5/31/38 # | 270,000 | 258,760 | |||||
INEOS Styrolution Group 144A 2.25% 1/16/27 # | EUR | 500,000 | 378,649 | ||||
International Flavors & Fragrances 144A 3.268% 11/15/40 # | 1,685,000 | 1,166,541 | |||||
JSW Steel 144A 5.05% 4/5/32 # | 305,000 | 217,533 | |||||
LYB International Finance III 3.375% 10/1/40 | 2,005,000 | 1,378,158 | |||||
MEGlobal Canada 144A 5.00% 5/18/25 # | 400,000 | 391,814 | |||||
Methanex 5.25% 12/15/29 | 2,515,000 | 2,005,411 | |||||
Metinvest 144A 7.75% 10/17/29 # | 307,000 | 137,198 | |||||
Newmont 2.25% 10/1/30 | 1,875,000 | 1,453,207 | |||||
2.60% 7/15/32 | 1,160,000 | 885,915 | |||||
2.80% 10/1/29 | 3,850,000 | 3,191,796 | |||||
Novelis 144A 4.75% 1/30/30 # | 835,000 | 686,813 | |||||
OCP 144A 3.75% 6/23/31 # | 200,000 | 152,440 | |||||
144A 5.125% 6/23/51 # | 240,000 | 153,700 | |||||
144A 6.875% 4/25/44 # | 250,000 | 205,156 | |||||
Phosagro OAO Via Phosagro Bond Funding DAC 144A 3.949% 4/24/23 # | 380,000 | 230,841 | |||||
Sasol Financing USA 4.375% 9/18/26 | 580,000 | 506,888 | |||||
Stillwater Mining 144A 4.00% 11/16/26 # | 575,000 | 476,617 | |||||
Vale Overseas 3.75% 7/8/30 | 400,000 | 324,668 | |||||
Vedanta Resources Finance II 144A 8.95% 3/11/25 # | 845,000 | 576,099 | |||||
Volcan Cia Minera 144A 4.375% 2/11/26 # | 292,000 | 241,548 | |||||
Westlake 3.125% 8/15/51 | 4,310,000 | 2,661,265 | |||||
34,620,815 | |||||||
Brokerage – 0.25% | |||||||
Charles Schwab 5.375% 6/1/25 µ, Ψ | 2,495,000 | 2,438,862 | |||||
Jefferies Group 2.625% 10/15/31 | 2,925,000 | 2,126,405 | |||||
6.45% 6/8/27 | 331,000 | 336,178 | |||||
6.50% 1/20/43 | 880,000 | 827,876 | |||||
XP 144A 3.25% 7/1/26 # | 405,000 | 350,609 | |||||
6,079,930 | |||||||
Capital Goods – 1.07% | |||||||
Abertis Infraestructuras Finance 3.248% 11/24/25 µ, Ψ | EUR | 1,500,000 | 1,196,981 | ||||
Aeropuerto Internacional de Tocumen 144A 5.125% 8/11/61 # | 200,000 | 143,395 | |||||
Aeropuertos Argentina 2000 144A 8.50% 8/1/31 # | 595,724 | 439,197 | |||||
Ardagh Metal Packaging Finance USA 144A 3.25% 9/1/28 # | 4,600,000 | 3,758,315 | |||||
Boeing 1.95% 2/1/24 | 2,000,000 | 1,920,297 | |||||
3.25% 2/1/28 | 3,400,000 | 2,971,140 | |||||
3.75% 2/1/50 | 5,355,000 | 3,500,853 | |||||
Caterpillar 2.60% 4/9/30 | 25,000 | 21,305 | |||||
Cellnex Finance 144A 3.875% 7/7/41 # | 3,159,000 | 1,981,909 | |||||
GCC 144A 3.614% 4/20/32 # | 630,000 | 510,741 | |||||
Hutama Karya Persero 144A 3.75% 5/11/30 # | 454,000 | 403,996 | |||||
IHS Holding 144A 5.625% 11/29/26 # | 640,000 | 509,600 | |||||
Klabin Austria 144A 3.20% 1/12/31 # | 425,000 | 309,607 | |||||
Otis Worldwide 3.112% 2/15/40 | 1,173,000 | 830,415 | |||||
3.362% 2/15/50 | 202,000 | 136,729 |
22
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Capital Goods (continued) | ||||||||
Rolls-Royce 144A 5.75% 10/15/27 # | 1,000,000 | $ | 870,860 | |||||
Rutas 2 and 7 Finance 144A 2.741% 9/30/36 #, ^ | 729,833 | 442,301 | ||||||
SAN Miguel Industrias Pet 144A 3.50% 8/2/28 # | 860,000 | 696,523 | ||||||
Standard Industries 144A 3.375% 1/15/31 # | 1,568,000 | 1,106,067 | ||||||
State Agency of Roads of Ukraine 144A 6.25% 6/24/30 # | 575,000 | 108,646 | ||||||
Summit Digitel Infrastructure 144A 2.875% 8/12/31 # | 785,000 | 570,643 | ||||||
Teledyne Technologies | ||||||||
2.25% 4/1/28 | 1,980,000 | 1,653,454 | ||||||
2.75% 4/1/31 | 1,730,000 | 1,366,874 | ||||||
UltraTech Cement 144A 2.80% 2/16/31 # | 660,000 | 510,764 | ||||||
25,960,612 | ||||||||
Communications – 3.13% | ||||||||
Alibaba Group Holding 2.70% 2/9/41 | 465,000 | 284,645 | ||||||
Altice Financing 144A 5.00% 1/15/28 # | 580,000 | 448,015 | ||||||
Altice France | ||||||||
2.125% 2/15/25 | EUR | 1,900,000 | 1,636,621 | |||||
144A 5.50% 10/15/29 # | 1,375,000 | 1,037,993 | ||||||
Amazon.com | ||||||||
1.50% 6/3/30 | 1,000,000 | 790,006 | ||||||
2.50% 6/3/50 | 1,460,000 | 916,036 | ||||||
3.60% 4/13/32 | 1,275,000 | 1,160,594 | ||||||
America Movil 4.70% 7/21/32 | 530,000 | 497,371 | ||||||
AT&T | ||||||||
2.55% 12/1/33 | 2,673,000 | 1,981,517 | ||||||
3.50% 6/1/41 | 1,680,000 | 1,213,581 | ||||||
3.50% 9/15/53 | 7,070,000 | 4,722,540 | ||||||
Axian Telecom 144A 7.375% 2/16/27 # | 380,000 | 346,750 | ||||||
B2W Digital 144A 4.375% 12/20/30 # | 550,000 | 375,078 | ||||||
CCO Holdings 144A 4.25% 1/15/34 # | 5,700,000 | 4,093,313 | ||||||
CCO Holdings | ||||||||
144A 4.50% 8/15/30 # | 500,000 | 396,653 | ||||||
144A 5.00% 2/1/28 # | 900,000 | 777,569 | ||||||
Charter Communications Operating | ||||||||
3.85% 4/1/61 | 1,540,000 | 903,018 | ||||||
4.40% 12/1/61 | 4,252,000 | 2,719,316 | ||||||
4.908% 7/23/25 | 430,000 | 419,696 | ||||||
5.05% 3/30/29 | 3,800,000 | 3,502,454 | ||||||
Comcast | ||||||||
3.20% 7/15/36 | 1,830,000 | 1,419,064 | ||||||
3.70% 4/15/24 | 2,970,000 | 2,922,873 | ||||||
Connect Finco 144A 6.75% 10/1/26 # | 1,740,000 | 1,524,053 | ||||||
CSC Holdings 144A 4.625% 12/1/30 # | 890,000 | 606,824 | ||||||
CT Trust 144A 5.125% 2/3/32 # | 750,000 | 565,939 | ||||||
Discovery Communications 4.00% 9/15/55 | 9,190,000 | 5,438,496 | ||||||
Frontier Communications Holdings 144A 5.875% 10/15/27 # | 1,165,000 | 1,046,764 | ||||||
JD.com 3.875% 4/29/26 | 525,000 | 498,213 | ||||||
MercadoLibre 3.125% 1/14/31 | 480,000 | 348,821 | ||||||
Silknet JSC 144A 8.375% 1/31/27 # | 380,000 | 360,050 | ||||||
Sprint 7.625% 3/1/26 | 200,000 | 207,198 | ||||||
Sprint Spectrum 144A 4.738% 9/20/29 # | 915,625 | 902,997 | ||||||
Telefonica Moviles Chile 144A 3.537% 11/18/31 # | 425,000 | 334,764 | ||||||
Tencent Holdings | ||||||||
144A 2.88% 4/22/31 # | 370,000 | 299,427 | ||||||
144A 3.68% 4/22/41 # | 400,000 | 288,034 | ||||||
Time Warner Cable 7.30% 7/1/38 | 2,120,000 | 2,021,109 | ||||||
Time Warner Entertainment 8.375% 3/15/23 | 1,415,000 | 1,435,024 | ||||||
T-Mobile USA 1.50% 2/15/26 | 2,915,000 | 2,561,723 |
23
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Communications (continued) | ||||||||
T-Mobile USA | ||||||||
2.40% 3/15/29 | 1,850,000 | $ | 1,511,962 | |||||
2.55% 2/15/31 | 550,000 | 436,247 | ||||||
3.00% 2/15/41 | 4,640,000 | 3,109,622 | ||||||
3.30% 2/15/51 | 1,500,000 | 979,997 | ||||||
3.75% 4/15/27 | 2,150,000 | 1,986,945 | ||||||
3.875% 4/15/30 | 1,400,000 | 1,242,678 | ||||||
Turkcell Iletisim Hizmetleri 144A 5.80% 4/11/28 # | 585,000 | 465,180 | ||||||
VEON Holdings 144A 3.375% 11/25/27 # | 760,000 | 392,350 | ||||||
Verizon Communications | ||||||||
2.10% 3/22/28 | 1,100,000 | 929,106 | ||||||
2.355% 3/15/32 | 1,570,000 | 1,205,470 | ||||||
2.55% 3/21/31 | 800,000 | 639,561 | ||||||
2.875% 11/20/50 | 1,100,000 | 675,631 | ||||||
3.40% 3/22/41 | 1,845,000 | 1,351,494 | ||||||
4.005% (LIBOR03M + 1.10%) 5/15/25 ● | 3,200,000 | 3,218,252 | ||||||
4.50% 8/10/33 | 6,325,000 | 5,710,027 | ||||||
Vmed O2 UK Financing I 144A 4.25%1/31/31 # | 1,885,000 | 1,432,600 | ||||||
76,291,261 | ||||||||
Consumer Cyclical – 2.63% | ||||||||
Alsea 144A 7.75% 12/14/26 # | 615,000 | 572,759 | ||||||
Aptiv | ||||||||
3.10% 12/1/51 | 4,171,000 | 2,343,992 | ||||||
3.25% 3/1/32 | 957,000 | 763,115 | ||||||
Arcos Dorados 144A 6.125% 5/27/29 # | 405,000 | 367,673 | ||||||
AutoNation 3.85% 3/1/32 | 2,240,000 | 1,773,149 | ||||||
Carnival 144A 4.00% 8/1/28 # | 730,000 | 590,110 | ||||||
144A 7.625% 3/1/26 # | 2,103,000 | 1,601,466 | ||||||
Daimler Trucks Finance North America 144A 2.375% 12/14/28 # | 3,120,000 | 2,548,890 | ||||||
Falabella 144A 3.375% 1/15/32 # | 425,000 | 318,040 | ||||||
Ford Motor Credit 1.744% 7/19/24 | EUR | 300,000 | 271,596 | |||||
2.30% 2/10/25 | 345,000 | 306,159 | ||||||
2.33% 11/25/25 | EUR | 200,000 | 172,162 | |||||
Ford Motor Credit | ||||||||
2.386% 2/17/26 | EUR | 500,000 | 427,868 | |||||
2.70% 8/10/26 | 700,000 | 581,448 | ||||||
2.748% 6/14/24 | GBP | 100,000 | 100,792 | |||||
2.90% 2/16/28 | 765,000 | 602,358 | ||||||
2.90% 2/10/29 | 500,000 | 379,610 | ||||||
3.25% 9/15/25 | EUR | 1,000,000 | 890,243 | |||||
3.55% 10/7/22 | 1,500,000 | 1,501,230 | ||||||
4.535% 3/6/25 | GBP | 1,100,000 | 1,100,440 | |||||
4.542% 8/1/26 | 1,514,000 | 1,350,209 | ||||||
5.125% 6/16/25 | 600,000 | 567,135 | ||||||
Future Retail 144A 5.60% 1/22/25 # | 565,000 | 33,900 | ||||||
General Motors | ||||||||
5.40% 10/2/23 | 685,000 | 685,374 | ||||||
5.40% 10/15/29 | 5,800,000 | 5,355,352 | ||||||
5.60% 10/15/32 | 500,000 | 446,963 | ||||||
6.125% 10/1/25 | 685,000 | 685,915 | ||||||
6.60% 4/1/36 | 1,652,000 | 1,548,190 | ||||||
General Motors Financial | ||||||||
4.35% 4/9/25 | 875,000 | 845,868 | ||||||
5.25% 3/1/26 | 2,570,000 | 2,503,945 | ||||||
5.70% 9/30/30 µ, ψ | 1,780,000 | 1,532,346 | ||||||
Hilton Domestic Operating | ||||||||
144A 3.625% 2/15/32 # | 700,000 | 537,284 | ||||||
144A 4.00% 5/1/31 # | 700,000 | 566,965 | ||||||
Hilton Grand Vacations Borrower Escrow 144A 5.00% 6/1/29 # | 900,000 | 727,718 | ||||||
Hyatt Hotels | ||||||||
1.80% 10/1/24 | 300,000 | 281,526 | ||||||
2.71% (SOFR + 1.05%) 10/1/23 ● | 400,000 | 400,000 | ||||||
Hyundai Capital Services 144A 0.75% 9/15/23 # | 1,800,000 | 1,726,023 | ||||||
InRetail Consumer 144A 3.25% 3/22/28 # | 530,000 | 441,941 | ||||||
Kia 144A 2.375% 2/14/25 # | 635,000 | 590,783 | ||||||
Marriott International 3.50% 10/15/32 | 900,000 | 725,403 | ||||||
Melco Resorts Finance 144A 5.375% 12/4/29 # | 200,000 | 121,900 |
24
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Cyclical (continued) | ||||||||
Melco Resorts Finance 5.75% 7/21/28 | 200,000 | $ | 129,000 | |||||
MGM China Holdings | ||||||||
144A 4.75% 2/1/27 # | 725,000 | 564,902 | ||||||
144A 5.25% 6/18/25 # | 400,000 | 335,508 | ||||||
MGM Resorts International 4.75% 10/15/28 | 4,967,000 | 4,168,372 | ||||||
Nemak 144A 3.625% 6/28/31 # | 600,000 | 405,345 | ||||||
Nissan Motor | ||||||||
144A 3.043% 9/15/23 # | 1,800,000 | 1,750,821 | ||||||
144A 4.345% 9/17/27 # | 2,700,000 | 2,330,966 | ||||||
144A 4.81% 9/17/30 # | 800,000 | 649,192 | ||||||
Nissan Motor Acceptance | ||||||||
144A 2.45% 9/15/28 # | 300,000 | 226,300 | ||||||
144A 3.875% 9/21/23 # | 3,000,000 | 2,947,931 | ||||||
Royal Caribbean Cruises 144A 5.50% 4/1/28 # | 1,270,000 | 892,581 | ||||||
Sands China | ||||||||
2.80% 3/8/27 | 200,000 | 159,207 | ||||||
3.35% 3/8/29 | 400,000 | 297,705 | ||||||
3.75% 8/8/31 | 740,000 | 532,050 | ||||||
4.30% 1/8/26 | 400,000 | 341,287 | ||||||
5.90% 8/8/28 | 1,800,000 | 1,516,959 | ||||||
Studio City Finance 144A 6.50% 1/15/28 # | 495,000 | 242,304 | ||||||
Turkiye Sise ve Cam Fabrikalari 144A 6.95% 3/14/26 # | 660,000 | 608,880 | ||||||
Warnermedia Holdings | ||||||||
144A 3.638% 3/15/25 # | 400,000 | 379,172 | ||||||
144A 3.755% 3/15/27 # | 4,335,000 | 3,883,936 | ||||||
144A 4.279% 3/15/32 # | 340,000 | 280,149 | ||||||
144A 5.05% 3/15/42 # | 800,000 | 599,996 | ||||||
144A 5.141% 3/15/52 # | 1,825,000 | 1,329,928 | ||||||
Wynn Macau | ||||||||
5.50% 1/15/26 | 200,000 | 151,984 | ||||||
5.50% 10/1/27 | 200,000 | 138,380 | ||||||
144A 5.625% 8/26/28 # | 440,000 | 293,946 | ||||||
64,044,641 | ||||||||
Consumer Non-Cyclical – 3.44% | ||||||||
1375209 BC 144A 9.00% 1/30/28 # | 498,949 | 497,702 | ||||||
AbbVie | ||||||||
2.85% 5/14/23 | 900,000 | 890,461 | ||||||
2.95% 11/21/26 | 1,920,000 | 1,760,901 | ||||||
3.75% 11/14/23 | 1,200,000 | 1,187,247 | ||||||
4.05% 11/21/39 | 3,193,000 | 2,577,530 | ||||||
Amgen | ||||||||
2.20% 2/21/27 | 3,300,000 | 2,934,841 | ||||||
2.80% 8/15/41 | 7,060,000 | 4,836,229 | ||||||
Anheuser-Busch InBev Worldwide 4.50% 6/1/50 | 2,407,000 | 1,987,905 | ||||||
Ashtead Capital | ||||||||
144A 1.50% 8/12/26 # | 665,000 | 558,341 | ||||||
144A 2.45% 8/12/31 # | 585,000 | 430,828 | ||||||
Bacardi 144A 4.45% 5/15/25 # | 500,000 | 479,877 | ||||||
BAT Capital 2.259% 3/25/28 | 1,500,000 | 1,195,423 | ||||||
BAT International Finance 1.668% 3/25/26 | 1,065,000 | 921,789 | ||||||
Bausch Health | ||||||||
144A 11.00% 9/30/28 # | 887,009 | 718,477 | ||||||
144A 14.00% 10/15/30 # | 177,402 | 97,571 | ||||||
Baxter International 3.132% 12/1/51 | 2,336,000 | 1,498,220 | ||||||
Becton Dickinson Euro Finance 1.336% 8/13/41 | EUR | 700,000 | 414,147 | |||||
Bellis Acquisition 3.25% 2/16/26 | GBP | 3,300,000 | 2,791,129 | |||||
Bidvest Group UK 144A 3.625% 9/23/26 # | 780,000 | 665,574 | ||||||
Bristol-Myers Squibb 3.70% 3/15/52 | 630,000 | 484,530 | ||||||
Centene 3.375% 2/15/30 | 1,000,000 | 819,675 |
25
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Non-Cyclical (continued) | ||||||||
Central American Bottling 144A 5.25% 4/27/29 # | 435,000 | $ | 377,943 | |||||
Cia Cervecerias Unidas 144A 3.35% 1/19/32 # | 590,000 | 498,969 | ||||||
Coca-Cola Icecek 144A 4.50% 1/20/29 # | 640,000 | 526,892 | ||||||
Coty 144A 5.00% 4/15/26 # | 1,500,000 | 1,367,492 | ||||||
CSL Finance | ||||||||
144A 4.05% 4/27/29 # | 430,000 | 396,595 | ||||||
144A 4.75% 4/27/52 # | 695,000 | 600,419 | ||||||
CVS Health | ||||||||
2.70% 8/21/40 | 2,755,000 | 1,814,880 | ||||||
3.75% 4/1/30 | 780,000 | 694,818 | ||||||
4.30% 3/25/28 | 4,098,000 | 3,872,276 | ||||||
4.78% 3/25/38 | 2,400,000 | 2,108,743 | ||||||
5.05% 3/25/48 | 2,635,000 | 2,326,715 | ||||||
CVS Pass Through Trust 144A 5.773% 1/10/33 #, ◆ | 62,340 | 60,385 | ||||||
Danone 144A 2.589% 11/2/23 # | 1,500,000 | 1,467,107 | ||||||
Gilead Sciences 4.15% 3/1/47 | 3,305,000 | 2,633,256 | ||||||
Global Payments 3.20% 8/15/29 | 2,150,000 | 1,794,328 | ||||||
GSK Consumer Healthcare Capital UK 144A 3.125% 3/24/25 # | 500,000 | 472,411 | ||||||
GSK Consumer Healthcare Capital US 144A 3.375% 3/24/29 # | 500,000 | 436,603 | ||||||
HCA | ||||||||
144A 3.125% 3/15/27 # | 4,000,000 | 3,546,731 | ||||||
4.125% 6/15/29 | 3,400,000 | 2,986,295 | ||||||
7.58% 9/15/25 | 30,000 | 31,308 | ||||||
Indofood CBP Sukses Makmur 3.541% 4/27/32 | 465,000 | 348,759 | ||||||
International Container Terminal Services 4.75% 6/17/30 | 745,000 | 672,363 | ||||||
JBS USA LUX 144A 3.00% 2/2/29 # | 1,466,000 | 1,201,323 | ||||||
Kernel Holding 144A 6.50% 10/17/24 # | 375,000 | 148,125 | ||||||
MARB BondCo 144A 3.95% 1/29/31 # | 410,000 | 297,379 | ||||||
MHP Lux 144A 6.25% 9/19/29 # | 425,000 | 211,863 | ||||||
Mondelez International 2.125% 3/17/24 | 500,000 | 480,450 | ||||||
Natura & Co. Luxembourg Holdings 144A 6.00% 4/19/29 # | 420,000 | 346,462 | ||||||
PayPal Holdings | ||||||||
3.90% 6/1/27 | 325,000 | 311,717 | ||||||
4.40% 6/1/32 | 2,365,000 | 2,206,496 | ||||||
Pilgrim’s Pride 144A 5.875% 9/30/27 # | 1,458,000 | 1,421,185 | ||||||
Regeneron Pharmaceuticals | ||||||||
1.75% 9/15/30 | 825,000 | 625,638 | ||||||
2.80% 9/15/50 | 1,170,000 | 709,808 | ||||||
Royalty Pharma | ||||||||
1.75% 9/2/27 | 7,625,000 | 6,312,501 | ||||||
3.35% 9/2/51 | 1,298,000 | 785,503 | ||||||
3.55% 9/2/50 | 1,250,000 | 782,072 | ||||||
Takeda Pharmaceutical | ||||||||
3.025% 7/9/40 | 985,000 | 699,432 | ||||||
3.175% 7/9/50 | 4,797,000 | 3,196,188 | ||||||
Tenet Healthcare | ||||||||
144A 4.25% 6/1/29 # | 1,790,000 | 1,484,707 | ||||||
144A 6.125% 10/1/28 # | 1,815,000 | 1,593,032 | ||||||
Teva Pharmaceutical Finance Netherlands III | ||||||||
5.125% 5/9/29 | 365,000 | 301,988 | ||||||
6.75% 3/1/28 | 385,000 | 354,235 | ||||||
United Rentals North America 3.875% 2/15/31 | 869,000 | 708,574 | ||||||
UnitedHealth Group 3.70% 5/15/27 | 600,000 | 571,574 | ||||||
Viatris | ||||||||
1.65% 6/22/25 | 320,000 | 284,837 | ||||||
2.30% 6/22/27 | 265,000 | 216,735 | ||||||
2.70% 6/22/30 | 1,940,000 | 1,443,887 | ||||||
4.00% 6/22/50 | 450,000 | 270,322 | ||||||
83,749,718 |
26
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy – 2.96% | ||||||||
Acu Petroleo Luxembourg 144A 7.50% 7/13/35 # | 460,000 | $ | 367,185 | |||||
Azure Power Energy 144A 3.575% 8/19/26 # | 381,505 | 288,036 | ||||||
BP Capital Markets 4.875% 3/22/30 µ, Ψ | 2,750,000 | 2,373,594 | ||||||
BP Capital Markets America 2.721% 1/12/32 | 1,465,000 | 1,191,477 | ||||||
Canacol Energy 144A 5.75% 11/24/28 # | 680,000 | 515,651 | ||||||
CNX Resources 144A 6.00% 1/15/29 # | 2,275,000 | 2,081,113 | ||||||
ConocoPhillips 3.80% 3/15/52 | 1,575,000 | 1,208,628 | ||||||
Continental Resources 144A 2.875% 4/1/32 # | 1,195,000 | 876,712 | ||||||
Crestwood Midstream Partners 144A 6.00% 2/1/29 # | 1,737,000 | 1,556,977 | ||||||
Devon Energy 4.75% 5/15/42 | 530,000 | 432,831 | ||||||
Diamondback Energy 4.25% 3/15/52 | 515,000 | 377,255 | ||||||
Ecopetrol | ||||||||
4.625% 11/2/31 | 445,000 | 312,156 | ||||||
5.375% 6/26/26 | 265,000 | 239,926 | ||||||
EIG Pearl Holdings 144A 3.545% 8/31/36 # | 710,000 | 568,349 | ||||||
Energean Israel Finance 144A 4.875% 3/30/26 # | 425,000 | 377,187 | ||||||
Energo-Pro 144A 8.50% 2/4/27 # | 670,000 | 625,241 | ||||||
Energy Transfer | ||||||||
4.95% 5/15/28 | 700,000 | 654,335 | ||||||
5.25% 4/15/29 | 655,000 | 616,857 | ||||||
5.50% 6/1/27 | 3,200,000 | 3,121,173 | ||||||
6.25% 4/15/49 | 4,420,000 | 3,934,196 | ||||||
6.50% 11/15/26 µ, Ψ | 3,380,000 | 2,952,781 | ||||||
Enterprise Products Operating | ||||||||
3.20% 2/15/52 | 4,365,000 | 2,794,451 | ||||||
3.30% 2/15/53 | 570,000 | 372,355 | ||||||
EQT 6.125% 2/1/25 ● | 1,100,000 | 1,103,014 | ||||||
Galaxy Pipeline Assets Bidco 144A 2.94% 9/30/40 # | 732,045 | 558,632 | ||||||
Geopark 144A 5.50% 1/17/27 # | 555,000 | 434,069 | ||||||
Guara Norte 144A 5.198% 6/15/34 # | 608,498 | 485,584 | ||||||
Indika Energy Capital IV 144A 8.25% 10/22/25 # | 645,000 | 604,920 | ||||||
KazTransGas JSC 144A 4.375% 9/26/27 # | 896,000 | 761,600 | ||||||
Kosmos Energy 144A 7.75% 5/1/27 # | 425,000 | 339,025 | ||||||
Medco Laurel Tree 144A 6.95% 11/12/28 # | 645,000 | 501,517 | ||||||
MPLX | ||||||||
1.75% 3/1/26 | 685,000 | 600,120 | ||||||
4.125% 3/1/27 | 2,000,000 | 1,867,545 | ||||||
Murphy Oil 5.875% 12/1/27 | 1,730,000 | 1,620,664 | ||||||
NuStar Logistics | ||||||||
5.625% 4/28/27 | 205,000 | 179,031 | ||||||
6.375% 10/1/30 | 2,337,000 | 2,004,845 | ||||||
Oil and Gas Holding 144A 7.625% 11/7/24 # | 200,000 | 198,917 | ||||||
ONEOK | ||||||||
4.35% 3/15/29 | 1,500,000 | 1,343,617 | ||||||
7.50% 9/1/23 | 2,840,000 | 2,877,681 | ||||||
PDC Energy 5.75% 5/15/26 | 1,205,000 | 1,116,402 | ||||||
Pertamina Persero 144A 3.65% 7/30/29 # | 197,000 | 171,437 | ||||||
Petrobras Global Finance 6.75% 6/3/50 | 240,000 | 195,932 | ||||||
Petroleos Mexicanos | ||||||||
5.95% 1/28/31 | 600,000 | 406,209 | ||||||
6.70% 2/16/32 | 76,000 | 53,439 | ||||||
6.75% 9/21/47 | 390,000 | 218,055 | ||||||
6.95% 1/28/60 | 419,000 | 232,541 | ||||||
7.69% 1/23/50 | 240,000 | 147,362 | ||||||
Petronas Capital 144A 2.48% 1/28/32 # | 200,000 | 164,455 |
27
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
Petronas Capital 144A 3.50% 4/21/30 # | 440,000 | $ | 401,962 | |||||
PTTEP Treasury Center 144A 2.587% 6/10/27 # | 695,000 | 615,287 | ||||||
Qatar Energy | ||||||||
144A 1.375% 9/12/26 # | 280,000 | 244,423 | ||||||
144A 2.25% 7/12/31 # | 345,000 | 278,684 | ||||||
Rio Oil Finance Trust Series 2014-1 9.25% 7/6/24 | 72,583 | 73,368 | ||||||
SA Global Sukuk 144A 2.694% 6/17/31 # | 425,000 | 359,351 | ||||||
Sabine Pass Liquefaction | ||||||||
5.625% 3/1/25 | 1,455,000 | 1,455,144 | ||||||
5.75% 5/15/24 | 8,496,000 | 8,531,641 | ||||||
Santos Finance 144A 3.649% 4/29/31 # | 1,700,000 | 1,323,615 | ||||||
Saudi Arabian Oil | ||||||||
144A 3.50% 11/24/70 # | 220,000 | 142,459 | ||||||
144A 4.25% 4/16/39 # | 530,000 | 455,465 | ||||||
Southwestern Energy 7.75% 10/1/27 | 2,050,000 | 2,088,108 | ||||||
Sweihan PV Power PJSC 144A 3.625% 1/31/49 # | 427,080 | 340,240 | ||||||
Targa Resources 4.20% 2/1/33 | 300,000 | 250,317 | ||||||
Targa Resources Partners 5.00% 1/15/28 | 765,000 | 709,273 | ||||||
Tengizchevroil Finance Co. International 144A 2.625% 8/15/25 # | 484,000 | 402,930 | ||||||
Tennessee Gas Pipeline 144A 2.90% 3/1/30 # | 6,275,000 | 5,145,489 | ||||||
Thaioil Treasury Center 144A 2.50% 6/18/30 # | 410,000 | 321,200 | ||||||
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 370,000 | 318,068 | ||||||
Tullow Oil 144A 10.25% 5/15/26 # | 410,000 | 347,096 | ||||||
UEP Penonome II 144A 6.50% 10/1/38 # | 308,302 | 266,681 | ||||||
Uzbekneftegaz 144A 4.75% 11/16/28 # | 200,000 | 152,000 | ||||||
Valero Energy 3.65% 12/1/51 | 1,773,000 | 1,211,970 | ||||||
Woodside Finance 144A 3.70% 9/15/26 # | 400,000 | 370,733 | ||||||
YPF 144A 6.95% 7/21/27 # | 670,000 | 393,200 | ||||||
72,223,783 | ||||||||
Finance Companies – 2.02% | ||||||||
AerCap Ireland Capital DAC | ||||||||
1.65% 10/29/24 | 500,000 | 457,238 | ||||||
2.45% 10/29/26 | 1,445,000 | 1,220,800 | ||||||
3.00% 10/29/28 | 3,660,000 | 2,938,446 | ||||||
3.40% 10/29/33 | 3,183,000 | 2,314,013 | ||||||
3.50% 1/15/25 | 300,000 | 282,218 | ||||||
3.65% 7/21/27 | 4,760,000 | 4,163,632 | ||||||
4.45% 10/1/25 | 1,200,000 | 1,133,926 | ||||||
4.45% 4/3/26 | 150,000 | 140,107 | ||||||
4.50% 9/15/23 | 460,000 | 453,616 | ||||||
4.625% 10/15/27 | 745,000 | 670,126 | ||||||
6.50% 7/15/25 | 1,350,000 | 1,348,524 | ||||||
Agile Group Holdings 5.50% 5/17/26 | 345,000 | 96,754 | ||||||
Air Lease | ||||||||
2.875% 1/15/26 | 2,050,000 | 1,837,049 | ||||||
2.875% 1/15/32 | 2,380,000 | 1,797,206 | ||||||
3.00% 2/1/30 | 7,215,000 | 5,722,349 | ||||||
3.375% 7/1/25 | 670,000 | 624,888 | ||||||
4.125% 12/15/26 µ, Ψ | 715,000 | 492,433 | ||||||
4.25% 2/1/24 | 900,000 | 886,548 | ||||||
4.625% 10/1/28 | 2,115,000 | 1,900,868 | ||||||
Aircastle 4.125% 5/1/24 | 2,500,000 | 2,403,861 | ||||||
Ally Financial 4.70% 5/15/26 µ, Ψ | 1,260,000 | 986,120 | ||||||
Aviation Capital Group 144A 3.875% 5/1/23 # | 1,000,000 | 982,097 | ||||||
Avolon Holdings Funding 144A 2.528% 11/18/27 # | 116,000 | 90,907 | ||||||
China Evergrande Group 10.00% 4/11/23 | 550,000 | 36,509 |
28
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Finance Companies (continued) | ||||||||
CIFI Holdings Group | ||||||||
5.25% 5/13/26 | 250,000 | $ | 54,375 | |||||
6.45% 11/7/24 | 430,000 | 97,172 | ||||||
Country Garden Holdings | ||||||||
2.70% 7/12/26 | 285,000 | 89,989 | ||||||
4.20% 2/6/26 | 254,000 | 88,900 | ||||||
DAE Funding | ||||||||
144A 1.55% 8/1/24 # | 200,000 | 182,882 | ||||||
144A 1.625% 2/15/24 # | 1,500,000 | 1,406,609 | ||||||
3.375% 3/20/28 | 2,700,000 | 2,297,921 | ||||||
GE Capital UK Funding Unlimited 5.875% 1/18/33 | GBP | 300,000 | 311,526 | |||||
Goodman HK Finance 4.375% 6/19/24 | 1,095,000 | 1,076,623 | ||||||
Huarong Finance 2019 3.875% 11/13/29 | 550,000 | 376,063 | ||||||
Indigo Group 1.625% 4/19/28 | EUR | 1,700,000 | 1,435,862 | |||||
Jyske Realkredit 1.50% 10/1/53 | DKK | 1 | 0 | |||||
KeyCorp 4.789% 6/1/33 µ | 820,000 | 753,023 | ||||||
Logicor Financing 3.25% 11/13/28 | EUR | 3,400,000 | 2,917,403 | |||||
MAF Global Securities 7.875% 6/30/27 µ, Ψ | 415,000 | 409,036 | ||||||
OneMain Finance 6.125% 3/15/24 | 1,500,000 | 1,447,155 | ||||||
Owl Rock Capital 2.875% 6/11/28 | 500,000 | 381,518 | ||||||
Realkredit Danmark 2.00% 10/1/53 | DKK | 2,895,025 | 274,143 | |||||
Samhallsbyggnadsbolaget i Norden 1.125% 9/4/26 | EUR | 900,000 | 665,593 | |||||
Sirius Real Estate 1.125% 6/22/26 | EUR | 2,400,000 | 1,932,041 | |||||
49,178,069 | ||||||||
Industrials – 0.45% | ||||||||
Burlington Northern Santa Fe | ||||||||
2.875% 6/15/52 | 1,615,000 | 1,059,021 | ||||||
4.45% 1/15/53 | 1,325,000 | 1,153,061 | ||||||
Cemex 144A 5.45% 11/19/29 # | 31,000 | 27,763 | ||||||
Eaton 4.15% 3/15/33 | 2,055,000 | 1,859,644 | ||||||
Holcim Finance Luxembourg | ||||||||
0.50% 4/23/31 | EUR | 1,100,000 | 761,758 | |||||
0.625% 4/6/30 | EUR | 1,000,000 | 729,766 | |||||
Inversiones La Construccion 144A 4.75% 2/7/32 # | 635,000 | 471,386 | ||||||
Lockheed Martin | ||||||||
3.90% 6/15/32 | 1,095,000 | 1,016,570 | ||||||
4.15% 6/15/53 | 815,000 | 684,127 | ||||||
Parker-Hannifin 4.25% 9/15/27 | 3,395,000 | 3,239,007 | ||||||
11,002,103 | ||||||||
Insurance – 0.78% | ||||||||
AIA Group | ||||||||
144A 3.375% 4/7/30 # | 375,000 | 333,615 | ||||||
144A 3.90% 4/6/28 # | 1,000,000 | 938,963 | ||||||
Aon 2.90% 8/23/51 | 4,930,000 | 3,062,936 | ||||||
Arthur J. Gallagher & Co. 3.50% 5/20/51 | 1,834,000 | 1,250,731 | ||||||
Athora Netherlands 2.375% 5/17/24 | EUR | 2,100,000 | 2,003,197 | |||||
Brighthouse Financial | ||||||||
3.85% 12/22/51 | 2,970,000 | 1,804,143 | ||||||
4.70% 6/22/47 | 1,035,000 | 735,148 | ||||||
5.625% 5/15/30 | 850,000 | 797,913 | ||||||
Brown & Brown | ||||||||
2.375% 3/15/31 | 404,000 | 302,274 | ||||||
4.95% 3/17/52 | 1,429,000 | 1,162,260 | ||||||
Fairfax Financial Holdings 4.625% 4/29/30 | 1,000,000 | 900,442 | ||||||
Jackson Financial | ||||||||
3.125% 11/23/31 | 1,570,000 | 1,185,114 | ||||||
4.00% 11/23/51 | 1,909,000 | 1,197,301 | ||||||
MetLife 3.85% 9/15/25 µ, Ψ | 1,520,000 | 1,363,584 | ||||||
Prudential Financial 3.70% 3/13/51 | 1,660,000 | 1,225,878 | ||||||
Sagicor Financial 144A 5.30% 5/13/28 # | 765,000 | 716,652 | ||||||
18,980,151 |
29
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Real Estate Investment Trusts – 0.83% | ||||||||
American Homes 4 Rent 3.625% 4/15/32 | 1,685,000 | $ | 1,391,585 | |||||
American Tower | ||||||||
2.30% 9/15/31 | 1,600,000 | 1,199,744 | ||||||
3.00% 6/15/23 | 600,000 | 592,518 | ||||||
3.375% 5/15/24 | 500,000 | 487,180 | ||||||
3.65% 3/15/27 | 300,000 | 274,725 | ||||||
American Tower Trust #1 Series 13 2A 144A 3.07% 3/15/48 # | 1,285,000 | 1,276,082 | ||||||
CIBANCO Institucion de Banca Multiple Trust 144A 4.375% 7/22/31 # | 645,000 | 455,247 | ||||||
Cromwell Ereit Lux Finco 2.125% 11/19/25 | EUR | 600,000 | 467,479 | |||||
Crown Castle | ||||||||
2.10% 4/1/31 | 1,308,000 | 982,276 | ||||||
4.30% 2/15/29 | 2,745,000 | 2,521,166 | ||||||
EPR Properties 4.50% 6/1/27 | 1,700,000 | 1,469,868 | ||||||
GLP Capital 4.00% 1/15/30 | 2,600,000 | 2,176,795 | ||||||
Iron Mountain 144A 5.25% 7/15/30 # | 966,000 | 801,452 | ||||||
Iron Mountain Information Management Services 144A 5.00% 7/15/32 # | 3,080,000 | 2,388,503 | ||||||
MPT Operating Partnership 3.692% 6/5/28 | GBP | 1,600,000 | 1,323,507 | |||||
VICI Properties | ||||||||
4.75% 2/15/28 | 100,000 | 92,165 | ||||||
4.95% 2/15/30 | 2,390,000 | 2,164,946 | ||||||
144A 5.75% 2/1/27 # | 145,000 | 136,945 | ||||||
20,202,183 | ||||||||
Technology – 1.54% | ||||||||
Autodesk 2.40% 12/15/31 | 2,390,000 | 1,863,005 | ||||||
Broadcom | ||||||||
144A 3.137% 11/15/35 # | 2,789,000 | 1,960,109 | ||||||
144A 3.419% 4/15/33 # | 1,600,000 | 1,224,150 | ||||||
144A 3.469% 4/15/34 # | 6,257,000 | 4,705,767 | ||||||
Broadcom 144A 4.926% 5/15/37 # | 816,000 | 674,386 | ||||||
Broadridge Financial Solutions 2.60% 5/1/31 | 2,698,000 | 2,141,186 | ||||||
CA Magnum Holdings 144A 5.375% 10/31/26 # | 418,000 | 352,201 | ||||||
CDW | ||||||||
2.67% 12/1/26 | 465,000 | 404,201 | ||||||
3.276% 12/1/28 | 4,143,000 | 3,465,184 | ||||||
Entegris Escrow 144A 4.75% 4/15/29 # | 1,230,000 | 1,086,182 | ||||||
Fidelity National Information Services 4.70% 7/15/27 | 520,000 | 501,311 | ||||||
Fiserv 3.50% 7/1/29 | 3,500,000 | 3,048,701 | ||||||
KLA 4.95% 7/15/52 | 1,520,000 | 1,384,517 | ||||||
Lenovo Group 144A 6.536% 7/27/32 # | 445,000 | 410,212 | ||||||
Micron Technology 2.703% 4/15/32 | 875,000 | 637,927 | ||||||
NXP | ||||||||
2.70% 5/1/25 | 180,000 | 167,102 | ||||||
3.125% 2/15/42 | 925,000 | 591,259 | ||||||
3.25% 5/11/41 | 1,740,000 | 1,145,052 | ||||||
3.875% 6/18/26 | 3,250,000 | 3,037,157 | ||||||
4.875% 3/1/24 | 3,280,000 | 3,243,695 | ||||||
5.55% 12/1/28 | 440,000 | 425,475 | ||||||
SK Hynix | ||||||||
144A 1.50% 1/19/26 # | 600,000 | 520,121 | ||||||
144A 2.375% 1/19/31 # | 610,000 | 451,928 | ||||||
TD SYNNEX | ||||||||
2.375% 8/9/28 | 800,000 | 645,929 | ||||||
2.65% 8/9/31 | 1,200,000 | 896,201 | ||||||
TSMC Global 144A 4.625% 7/22/32 # | 535,000 | 507,918 | ||||||
Workday | ||||||||
3.50% 4/1/27 | 200,000 | 185,291 | ||||||
3.70% 4/1/29 | 310,000 | 278,401 | ||||||
3.80% 4/1/32 | 1,895,000 | 1,647,028 | ||||||
37,601,596 | ||||||||
Transportation – 1.56% | ||||||||
Air Canada 144A 3.875% 8/15/26 # | 300,000 | 258,000 | ||||||
American Airlines 144A 5.50% 4/20/26 # | 500,000 | 470,418 |
30
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Transportation (continued) | ||||||||
American Airlines 2015-1 Class A Pass Through Trust 3.375% 11/1/28 ◆ | 1,171,921 | $ | 975,092 | |||||
American Airlines 2016-1 Class AA Pass Through Trust 3.575% 7/15/29 ◆ | 500,065 | 446,459 | ||||||
American Airlines 2016-3 Class AA Pass Through Trust 3.00% 4/15/30 ◆ | 970,824 | 840,225 | ||||||
American Airlines 2019-1 Class AA Pass Through Trust 3.15% 8/15/33 ◆ | 172,886 | 144,175 | ||||||
American Airlines 2021-1 Class A Pass Through Trust 2.875% 1/11/36 ◆ | 100,000 | 81,221 | ||||||
Azul Investments | ||||||||
144A 5.875% 10/26/24 # | 430,000 | 310,476 | ||||||
144A 7.25% 6/15/26 # | 400,000 | 247,226 | ||||||
British Airways 2018-1 Class AA Pass Through Trust 144A 3.80% 3/20/33 #, ◆ | 1,107,917 | 995,028 | ||||||
British Airways 2019-1 Class AA Pass Through Trust 144A 3.30% 6/15/34 #, ◆ | 271,052 | 229,717 | ||||||
Canadian Pacific Railway 2.45% 12/2/31 | 1,665,000 | 1,334,697 | ||||||
Delta Air Lines | ||||||||
144A 7.00% 5/1/25 # | 5,349,000 | 5,389,203 | ||||||
7.375% 1/15/26 | 1,858,000 | 1,881,225 | ||||||
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A 5.125% 11/30/24 #, ◆ | 138,308 | 137,895 | ||||||
ERAC USA Finance 144A 2.70% 11/1/23 # | 300,000 | 292,132 | ||||||
Gol Finance 144A 8.00% 6/30/26 # | 410,000 | 251,666 | ||||||
Grupo Aeromexico 144A 8.50% 3/17/27 # | 5,000,000 | 4,399,246 | ||||||
Kansas City Southern 3.00% 5/15/23 | 500,000 | 494,439 | ||||||
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | 652,725 | 558,410 | ||||||
Mileage Plus Holdings 144A 6.50% 6/20/27 # | 4,750,000 | 4,658,040 | ||||||
Misc Capital Two Labuan 144A 3.75% 4/6/27 # | 760,000 | 688,801 | ||||||
Penske Truck Leasing | ||||||||
144A 3.95% 3/10/25 # | 1,000,000 | 959,842 | ||||||
144A 4.45% 1/29/26 # | 2,100,000 | 2,008,717 | ||||||
Southwest Airlines 5.125% 6/15/27 | 2,250,000 | 2,206,382 | ||||||
United Airlines | ||||||||
144A 4.375% 4/15/26 # | 2,005,000 | 1,792,951 | ||||||
144A 4.625% 4/15/29 # | 4,961,000 | 4,117,481 | ||||||
United Airlines 2020-1 Class A Pass Through Trust 5.875% 4/15/29 ◆ | 1,555,364 | 1,500,197 | ||||||
US Airways 2012-2 Class A Pass Through Trust 4.625% 12/3/26 ◆ | 315,619 | 285,183 | ||||||
US Airways 2013-A Class A Pass Through Trust 3.95% 5/15/27 ◆ | 47,625 | 42,214 | ||||||
37,996,758 | ||||||||
Utilities – 3.09% | ||||||||
Abu Dhabi National Energy PJSC 144A 2.00% 4/29/28 # | 665,000 | 565,432 | ||||||
AES Andes 144A 7.125% 3/26/79 #, µ | 605,000 | 531,916 | ||||||
Alfa Desarrollo 144A 4.55% 9/27/51 # | 498,177 | 329,930 | ||||||
American Water Capital 4.45% 6/1/32 | 4,035,000 | 3,750,952 |
31
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Utilities (continued) | ||||||||
Baltimore Gas and Electric 4.55% 6/1/52 | 1,395,000 | $ | 1,201,299 | |||||
Boston Gas 144A 3.757% 3/16/32 # | 500,000 | 421,712 | ||||||
Calpine | ||||||||
144A 4.50% 2/15/28 # | 453,000 | 400,081 | ||||||
144A 5.00% 2/1/31 # | 1,535,000 | 1,221,871 | ||||||
144A 5.125% 3/15/28 # | 454,000 | 390,867 | ||||||
Cikarang Listrindo 144A 4.95% 9/14/26 # | 540,000 | 491,845 | ||||||
Clean Renewable Power Mauritius 144A 4.25% 3/25/27 # | 429,750 | 343,654 | ||||||
CLP Power Hong Kong Financing 2.875% 4/26/23 | 240,000 | 237,866 | ||||||
Consorcio Transmantaro 144A 5.20% 4/11/38 # | 480,000 | 411,396 | ||||||
Duke Energy 4.875% 9/16/24 µ, Ψ | 1,630,000 | 1,464,950 | ||||||
Duke Energy Indiana 3.25% 10/1/49 | 1,265,000 | 861,323 | ||||||
Enel Finance International | ||||||||
144A 1.875% 7/12/28 # | 665,000 | 517,816 | ||||||
144A 2.25% 7/12/31 # | 725,000 | 504,291 | ||||||
144A 2.875% 7/12/41 # | 2,085,000 | 1,193,101 | ||||||
ENN Energy Holdings 144A 2.625% 9/17/30 # | 605,000 | 489,720 | ||||||
Entergy Arkansas 4.20% 4/1/49 | 870,000 | 713,799 | ||||||
Entergy Louisiana 4.95% 1/15/45 | 235,000 | 210,881 | ||||||
Entergy Mississippi 3.85% 6/1/49 | 1,465,000 | 1,102,864 | ||||||
Entergy Texas 3.55% 9/30/49 | 700,000 | 494,241 | ||||||
Essential Utilities | ||||||||
2.704% 4/15/30 | 695,000 | 569,940 | ||||||
3.351% 4/15/50 | 675,000 | 445,394 | ||||||
Evergy Kansas Central 3.45% 4/15/50 | 1,185,000 | 843,169 | ||||||
Eversource Energy 2.90% 3/1/27 | 915,000 | 831,617 | ||||||
Fells Point Funding Trust 144A 3.046% 1/31/27 # | 850,000 | 758,395 | ||||||
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 875,000 | 686,268 | ||||||
Georgia Power 4.70% 5/15/32 | 3,200,000 | 3,002,348 | ||||||
Greenko Power II 144A 4.30% 12/13/28 # | 459,425 | 362,371 | ||||||
Israel Electric 144A 3.75% 2/22/32 # | 630,000 | 543,857 | ||||||
JSW Hydro Energy 144A 4.125% 5/18/31 # | 519,800 | 408,625 | ||||||
Louisville Gas and Electric 4.25% 4/1/49 | 2,685,000 | 2,172,628 | ||||||
Minejesa Capital 144A 5.625% 8/10/37 # | 400,000 | 286,550 | ||||||
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | 500,000 | 393,528 | ||||||
NextEra Energy Capital Holdings | ||||||||
0.65% 3/1/23 | 2,800,000 | 2,757,717 | ||||||
3.00% 1/15/52 | 1,105,000 | 707,821 | ||||||
5.00% 7/15/32 | 2,625,000 | 2,509,957 | ||||||
Oglethorpe Power 3.75% 8/1/50 | 1,620,000 | 1,141,228 | ||||||
Oryx Funding 144A 5.80% 2/3/31 # | 660,000 | 589,739 | ||||||
Pacific Gas and Electric | ||||||||
2.10% 8/1/27 | 9,195,000 | 7,445,864 | ||||||
3.00% 6/15/28 | 800,000 | 660,458 | ||||||
3.25% 6/1/31 | 420,000 | 321,070 | ||||||
3.30% 3/15/27 | 700,000 | 607,235 | ||||||
3.30% 8/1/40 | 7,168,000 | 4,603,667 | ||||||
3.50% 6/15/25 | 400,000 | 361,042 | ||||||
3.50% 8/1/50 | 4,510,000 | 2,755,562 | ||||||
3.837% (SOFR + 1.15%) 11/14/22 ● | 700,000 | 698,482 | ||||||
4.20% 3/1/29 | 3,200,000 | 2,720,886 | ||||||
4.40% 3/1/32 | 1,300,000 | 1,071,848 | ||||||
4.50% 7/1/40 | 1,100,000 | 802,667 |
32
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Utilities (continued) | ||||||||
Pacific Gas and Electric 4.95% 7/1/50 | 516,000 | $ | 379,114 | |||||
Pedernales Electric Cooperative 144A 6.202% 11/15/32 # | 620,000 | 626,753 | ||||||
Perusahaan Listrik Negara | ||||||||
144A 3.875% 7/17/29 # | 605,000 | 516,531 | ||||||
144A 4.125% 5/15/27 # | 300,000 | 278,177 | ||||||
144A 5.25% 5/15/47 # | 185,000 | 136,981 | ||||||
PG&E 5.25% 7/1/30 | 1,625,000 | 1,386,499 | ||||||
Saudi Electricity Global Sukuk Co. 4 4.222% 1/27/24 | 515,000 | 509,379 | ||||||
Sempra Energy 4.875% 10/15/25 µ, Ψ | 575,000 | 536,188 | ||||||
Sociedad de Transmision Austral 144A 4.00% 1/27/32 # | 420,000 | 341,276 | ||||||
Southern California Edison | ||||||||
3.45% 2/1/52 | 3,037,000 | 2,050,102 | ||||||
3.65% 2/1/50 | 1,525,000 | 1,047,823 | ||||||
4.00% 4/1/47 | 880,000 | 643,565 | ||||||
4.875% 3/1/49 | 2,330,000 | 1,955,864 | ||||||
Southern California Gas 2.95% 4/15/27 | 2,600,000 | 2,376,717 | ||||||
Southern Co. Gas Capital 5.15% 9/15/32 | 1,901,000 | 1,819,743 | ||||||
System Energy Resources 2.14% 12/9/25 | 800,000 | 720,983 | ||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 165,000 | 158,606 | ||||||
Vistra Operations 144A 5.125% 5/13/25 # | 949,000 | 920,037 | ||||||
75,316,078 | ||||||||
Total Corporate Bonds (cost $1,041,823,469) | 869,013,651 | |||||||
Municipal Bonds – 0.79% | ||||||||
American Municipal Power, Ohio (Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | 1,500,000 | 1,997,190 | ||||||
Chicago, Illinois Transit Authority Sales Tax Receipts Revenue (Pension Funding) Series A 6.899% 12/1/40 | 1,800,000 | 2,024,262 | ||||||
(Retiree Health Care Funding) Series B 6.899% 12/1/40 | 1,800,000 | 2,040,390 | ||||||
Commonwealth of Puerto Rico (Restructured) | ||||||||
Series A-1 2.993% 7/1/24 ^ | 162,917 | 149,817 | ||||||
Series A-1 4.00% 7/1/33 | 489,634 | 431,676 | ||||||
Series A-1 4.00% 7/1/35 | 355,609 | 304,860 | ||||||
Series A-1 4.00% 7/1/37 | 377,735 | 310,944 | ||||||
Series A-1 4.364% 7/1/33 ^ | 630,112 | 348,402 | ||||||
Series A-1 5.625% 7/1/29 | 411,775 | 421,863 | ||||||
GDB Debt Recovery Authority of Puerto Rico (Taxable) 7.50% 8/20/40 | 3,711,688 | 3,266,286 | ||||||
Golden State, California Tobacco Securitization (Senior) Series A1 2.587% 6/1/29 | 1,700,000 | 1,415,556 | ||||||
Municipal Electric Authority of Georgia (Build America Bonds Plant Vogtle Units 3 & 4 Project) 6.655% 4/1/57 | 1,728,000 | 1,912,343 | ||||||
New Jersey Transportation Trust Fund Authority (Build America Bonds) Series C 5.754% 12/15/28 | 1,590,000 | 1,593,593 |
33
Schedules of investments
Optimum Fixed Income Fund
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 | $ | 716,121 | |||||
New York State Urban Development (Build America Bonds) Series E 5.77% 3/15/39 | 800,000 | 827,992 | ||||||
Pennsylvania Higher Education Assistance Agency Revenue (Student Loans) Series 2006-2 A-3 2.913% (LIBOR03M + 0.13%) 10/25/36 ● | 263,398 | 255,523 | ||||||
South Carolina Public Service Authority (Santee Cooper) Series D 4.77% 12/1/45 | 145,000 | 129,779 | ||||||
West Virginia Tobacco Settlement Finance Authority (Class 1 Senior Current Interest Bonds) | ||||||||
Series A 1.82% 6/1/26 | 250,000 | 220,988 | ||||||
Series A 2.351% 6/1/28 | 300,000 | 253,710 | ||||||
Series A 2.551% 6/1/29 | 300,000 | 249,654 | ||||||
Series A 2.951% 6/1/31 | 500,000 | 406,780 | ||||||
Total Municipal Bonds (cost $21,429,942) | 19,277,729 | |||||||
Non-Agency Asset-Backed Securities – 2.18% | ||||||||
ABFC Trust Series 2006-HE1 A2D 3.304% (LIBOR01M + 0.22%, Floor 0.22%) 1/25/37 ● | 259,256 | 155,758 | ||||||
Argent Securities Trust Series 2006-M1 A2C 3.384% (LIBOR01M + 0.30%, Floor 0.30%) 7/25/36 ● | 1,106,240 | 321,236 | ||||||
Argent Securities Trust Series 2006-W4 A2C 3.404% (LIBOR01M + 0.32%, Floor 0.32%) 5/25/36 ● | 577,174 | 148,847 | ||||||
Bear Stearns Asset- Backed Securities I Trust Series 2005-FR1 M2 4.089% (LIBOR01M + 1.01%, Floor 1.01%) 6/25/35 ● | 1,045,844 | 1,028,848 | ||||||
Bear Stearns Asset- Backed Securities Trust Series 2007-SD1 22A1 3.436% 10/25/36 ● | 99,961 | 60,362 | ||||||
Centex Home Equity Loan Trust Series 2002-A AF6 5.54% 1/25/32 | 214 | 209 | ||||||
CIT Mortgage Loan Trust Series 2007-1 1M1 144A 4.584% (LIBOR01M + 1.50%, Floor 1.50%) 10/25/37 #, ● | 3,600,000 | 3,349,171 | ||||||
Citicorp Residential Mortgage Trust Series 2006-3 A5 4.575% 11/25/36 ● | 253,182 | 241,313 | ||||||
Countrywide Asset- Backed Certificates Trust Series 2004-3 2A 3.484% (LIBOR01M + 0.40%, Floor 0.40%) 8/25/34 ● | 28,890 | 27,199 | ||||||
Series 2005-3 MV7 5.034% (LIBOR01M + 1.95%, Floor 1.95%) 8/25/35 ● | 4,200,000 | 4,012,649 | ||||||
Series 2006-1 AF6 4.461% 7/25/36 ● | 33,755 | 31,561 | ||||||
Series 2006-11 1AF6 6.15% 9/25/46 ● | 36,589 | 33,193 | ||||||
Series 2006-17 2A2 3.384% (LIBOR01M + 0.30%, Floor 0.30%) 3/25/47 ● | 627,152 | 607,628 | ||||||
Series 2006-26 2A4 3.304% (LIBOR01M + 0.22%, Floor 0.22%) 6/25/37 ● | 1,056,865 | 1,014,800 |
34
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) | ||||||||
Countrywide Asset- Backed Certificates Trust Series 2007-6 2A4 3.394% (LIBOR01M + 0.31%, Floor 0.31%) 9/25/37 ● | 931,153 | $ | 802,512 | |||||
DataBank Issuer Series 2021-1A A2 144A 2.06% 2/27/51 # | 1,600,000 | 1,373,810 | ||||||
Diamond Infrastructure Funding Series 2021-1A A 144A 1.76% 4/15/49 # | 4,700,000 | 3,858,105 | ||||||
Domino’s Pizza Master Issuer Series 2021-1A A2I 144A 2.662% 4/25/51 # | 7,307,500 | 6,017,609 | ||||||
EquiFirst Mortgage Loan Trust Series 2004-2 M7 6.084% (LIBOR01M + 3.00%, Floor 3.00%) 10/25/34 ● | 662,361 | 652,503 | ||||||
First Franklin Mortgage Loan Trust Series 2006-FF5 2A3 3.404% (LIBOR01M + 0.32%, Floor 0.32%) 4/25/36 ● | 686,447 | 663,883 | ||||||
Fremont Home Loan Trust Series 2004-B M1 3.954% (LIBOR01M + 0.87%, Floor 0.87%) 5/25/34 ● | 2,043,460 | 1,931,914 | ||||||
GE-WMC Mortgage Securities Trust Series 2006-1 A2B 3.384% (LIBOR01M + 0.30%, Floor 0.30%) 8/25/36 ● | 1,676,160 | 777,082 | ||||||
GSAMP Trust Series 2006-FM3 A2D 3.314% (LIBOR01M + 0.23%, Floor 0.23%) 11/25/36 ● | 786,308 | 385,393 | ||||||
GSAMP Trust Series 2007-SEA1 A 144A 3.384% (LIBOR01M + 0.30%, Floor 0.30%) 12/25/36 #, ● | 478,681 | 445,116 | ||||||
Hardee’s Funding Series 2018-1A A2II 144A 4.959% 6/20/48 # | 480,000 | 449,642 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series 2007-A 2A3 3.324% (LIBOR01M + 0.24%, Floor 0.24%) 4/25/37 ● | 1,107,828 | 759,551 | ||||||
HSI Asset Securitization Trust Series 2006-HE1 2A1 3.184% (LIBOR01M + 0.10%, Floor 0.10%) 10/25/36 ● | 21,916 | 9,416 | ||||||
JPMorgan Chase Bank Series 2021-3 B 144A 0.76% 2/26/29 # | 776,503 | 742,949 | ||||||
JPMorgan Mortgage Acquisition Trust Series 2006-CW2 AV5 3.324% (LIBOR01M + 0.24%, Floor 0.24%) 8/25/36 ● | 222,207 | 220,957 | ||||||
Lendingpoint Asset Securitization Trust Series 2021-B A 144A 1.11% 2/15/29 # | 353,555 | 347,475 | ||||||
Long Beach Mortgage Loan Trust Series 2006-1 2A4 3.684% (LIBOR01M + 0.60%, Floor 0.60%) 2/25/36 ● | 2,423,110 | 2,083,427 | ||||||
Series 2006-7 1A 3.394% (LIBOR01M + 0.31%, Floor 0.31%) 8/25/36 ● | 2,327,779 | 1,237,611 | ||||||
Morgan Stanley ABS Capital I Trust Series 2007-HE1 A2C 3.234% (LIBOR01M + 0.15%, Floor 0.15%) 11/25/36 ● | 3,735,636 | 2,298,192 |
35
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) | ||||||||
Morgan Stanley ABS Capital I Trust Series 2007-HE5 A2D 3.424% (LIBOR01M + 0.34%, Floor 0.34%) 3/25/37 ● | 2,752,796 | $ | 1,272,347 | |||||
New Century Home Equity Loan Trust Series 2005-1 M2 3.804% (LIBOR01M + 0.72%, Cap 12.50%, Floor 0.72%) 3/25/35 ● | 233,599 | 227,513 | ||||||
Option One Mortgage Loan Trust Series 2005-1 M1 3.864% (LIBOR01M + 0.78%, Floor 0.78%) 2/25/35 ● | 1,115,144 | 1,056,791 | ||||||
Series 2007-4 2A4 3.394% (LIBOR01M + 0.31%, Floor 0.31%) 4/25/37 ● | 4,926,762 | 2,972,924 | ||||||
PFS Financing Series 2021-A A 144A 0.71% 4/15/26 # | 1,800,000 | 1,679,357 | ||||||
RAAC Trust Series 2005-SP2 2A 3.684% (LIBOR01M + 0.60%, Cap 14.00%, Floor 0.60%) 6/25/44 ● | 184,536 | 155,229 | ||||||
Sofi Professional Loan Program Series 2016-F A2 144A 3.02% 2/25/40 # | 99,137 | 95,017 | ||||||
Soundview Home Loan Trust Series 2006-OPT1 2A4 3.624% (LIBOR01M + 0.54%, Floor 0.54%) 3/25/36 ● | 136,125 | 134,081 | ||||||
Structured Asset Investment Loan Trust Series 2003-BC2 M1 4.464% (LIBOR01M + 1.38%, Floor 1.38%) 4/25/33 ● | 15,777 | 14,964 | ||||||
Structured Asset Securities Mortgage Loan Trust | ||||||||
Series 2006-BC1 A6 3.354% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36 ● | 998,452 | 907,538 | ||||||
Series 2006-BC2 A1 3.239% (LIBOR01M + 0.16%, Floor 0.16%) 9/25/36 ● | 3,122,583 | 2,182,102 | ||||||
Towd Point Mortgage Trust Series 2017-1 A1 144A 2.75% 10/25/56 #, ● | 142,533 | 140,360 | ||||||
Series 2017-2 A1 144A 2.75% 4/25/57 #, ● | 17,751 | 17,586 | ||||||
Series 2017-4 M1 144A 3.25% 6/25/57 #, ● | 615,000 | 542,103 | ||||||
Series 2018-1 A1 144A 3.00% 1/25/58 #, ● | 165,530 | 160,475 | ||||||
Series 2019-4 A1 144A 2.90% 10/25/59 #, ● | 5,707,274 | 5,373,617 | ||||||
Total Non-Agency Asset-Backed Securities (cost $59,987,572) | 53,021,925 | |||||||
Non-Agency Collateralized Mortgage Obligations – 1.61% | ||||||||
Alternative Loan Trust Resecuritization Series 2008-2R 3A1 6.00% 8/25/37 ● | 808,769 | 426,932 | ||||||
ARM Mortgage Trust | ||||||||
Series 2005-10 3A31 2.909% 1/25/36 ● | 39,201 | 35,606 | ||||||
Series 2006-2 1A4 3.228% 5/25/36 ● | 342,447 | 306,913 | ||||||
Banc of America Funding Trust | ||||||||
Series 2005-E 7A1 2.534% (12MTA + 1.43%, Floor 1.43%) 6/20/35 ● | 66,503 | 53,900 | ||||||
Series 2006-I 1A1 3.226% 12/20/36 ● | 78,675 | 76,958 | ||||||
Banc of America Mortgage Trust Series 2003-D 2A1 3.998% 5/25/33 ● | 34,021 | 33,465 |
36
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
Bear Stearns ARM Trust Series 2003-5 2A1 3.363% 8/25/33 ● | 15,164 | $ | 14,552 | |||||
Chase Mortgage Finance Trust Series 2005-A1 3A1 2.958% 12/25/35 ● | 40,917 | 35,931 | ||||||
CHL Mortgage Pass Through Trust Series 2007-4 1A1 6.00% 5/25/37 ◆ | 673,127 | 326,482 | ||||||
Connecticut Avenue Securities Trust | ||||||||
Series 2018-R07 1M2 144A 5.484% (LIBOR01M + 2.40%) 4/25/31 #, ● | 82,601 | 82,298 | ||||||
Series 2019-R01 2M2 144A 5.534% (LIBOR01M + 2.45%) 7/25/31 #, ● | 53,993 | 53,886 | ||||||
Series 2019-R02 1M2 144A 5.384% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/31 #, ● | 187,786 | 187,309 | ||||||
Series 2019-R07 1M2 144A 5.184% (LIBOR01M + 2.10%) 10/25/39 #, ● | 269,624 | 268,148 | ||||||
Series 2020-R01 1M2 144A 5.134% (LIBOR01M + 2.05%, Floor 2.05%) 1/25/40 #, ● | 787,228 | 775,762 | ||||||
Series 2022-R01 1M2 144A 4.181% (SOFR + 1.90%) 12/25/41 #, ● | 1,500,000 | 1,365,944 | ||||||
Series 2022-R02 2M2 144A 5.281% (SOFR + 3.00%) 1/25/42 #, ● | 900,000 | 821,690 | ||||||
CSMC Mortgage-Backed Trust | ||||||||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 502,450 | 366,530 | ||||||
Series 2007-1 5A14 6.00% 2/25/37 | 145,179 | 89,578 | ||||||
CSMC Mortgage-Backed Trust | ||||||||
Series 2007-3 4A6 3.334% (LIBOR01M + 0.25%, Cap 7.00%, Floor 0.25%) 4/25/37 ● | 74,580 | 61,003 | ||||||
Series 2007-3 4A12 3.666% (6.75% minus LIBOR01M, Cap 6.75%) 4/25/37 Σ ● | 74,580 | 10,164 | ||||||
Series 2007-3 4A15 5.50% 4/25/37 | 33,116 | 27,068 | ||||||
Flagstar Mortgage Trust Series 2021-2 A6 144A 2.50% 4/25/51 #, ● | 834,623 | 717,202 | ||||||
GMACM Mortgage Loan Trust Series 2006-J1 A1 5.75% 4/25/36 | 16,670 | 14,089 | ||||||
GS Mortgage-Backed Securities Trust | ||||||||
Series 2021-PJ4 A8 144A 2.50% 9/25/51 #, ● | 2,206,173 | 1,897,999 | ||||||
Series 2021-PJ7 A2 144A 2.50% 1/25/52 #, ● | 2,263,264 | 1,797,263 | ||||||
GSR Mortgage Loan Trust Series 2007-AR1 2A1 3.035% 3/25/47 ● | 372,099 | 251,210 | ||||||
JPMorgan Alternative Loan Trust Series 2007-A2 11A1 3.444% (LIBOR01M + 0.36%, Cap 11.50%, Floor 0.36%) 6/25/37 ● | 2,978,049 | 1,687,249 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2006-A6 2A4L 3.41% 10/25/36 ● | 177,560 | 148,420 | ||||||
Series 2006-A7 2A2 3.258% 1/25/37 ● | 34,468 | 30,165 | ||||||
Series 2007-A1 6A1 3.201% 7/25/35 ● | 43,015 | 41,618 | ||||||
Series 2014-2 B1 144A 3.418% 6/25/29 #, ● | 21,186 | 18,238 |
37
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) | ||||||||
JPMorgan Mortgage Trust Series 2014-2 B2 144A 3.418% 6/25/29 #, ● | 21,186 | $ | 18,171 | |||||
Series 2015-4 B1 144A 3.556% 6/25/45 #, ● | 484,928 | 428,120 | ||||||
Series 2015-4 B2 144A 3.556% 6/25/45 #, ● | 207,259 | 182,483 | ||||||
Series 2015-5 B2 144A 3.586% 5/25/45 #, ● | 385,140 | 374,808 | ||||||
Series 2015-6 B1 144A 3.532% 10/25/45 #, ● | 195,832 | 179,247 | ||||||
Series 2015-6 B2 144A 3.532% 10/25/45 #, ● | 190,539 | 174,123 | ||||||
Series 2016-4 B1 144A 3.805% 10/25/46 #, ● | 180,592 | 160,050 | ||||||
Series 2016-4 B2 144A 3.805% 10/25/46 #, ● | 329,248 | 288,644 | ||||||
Series 2017-1 B3 144A 3.45% 1/25/47 #, ● | 842,713 | 702,404 | ||||||
Series 2017-2 A3 144A 3.50% 5/25/47 #, ● | 53,025 | 46,306 | ||||||
Series 2020-2 A3 144A 3.50% 7/25/50 #, ● | 154,531 | 136,944 | ||||||
Series 2020-5 A3 144A 3.00% 12/25/50 #, ● | 884,562 | 749,185 | ||||||
Series 2020-7 A3 144A 3.00% 1/25/51 #, ● | 472,799 | 395,828 | ||||||
Series 2021-1 A3 144A 2.50% 6/25/51 #, ● | 728,064 | 577,065 | ||||||
Series 2021-10 A3 144A 2.50% 12/25/51 #, ● | 1,526,049 | 1,211,839 | ||||||
Series 2021-13 B1 144A 3.144% 4/25/52 #, ● | 1,951,911 | 1,521,443 | ||||||
Lehman Mortgage Trust Series 2007-10 2A2 6.50% 1/25/38 | 1,177,916 | 407,040 | ||||||
Ludgate Funding | ||||||||
Series 2006-1X A2A 2.768% (BP0003M + 0.19%) 12/1/60 ● | GBP | 1,061,410 | 1,113,285 | |||||
Series 2008-W1X A1 2.289% (BP0003M + 0.60%) 1/1/61 ● | GBP | 466,578 | 501,735 | |||||
Mansard Mortgages Series 2007-1X A2 1.945% (SONIA + 0.299%) 4/15/47 ● | GBP | 488,373 | 527,152 | |||||
MASTR Alternative Loan Trust | ||||||||
Series 2004-3 8A1 7.00% 4/25/34 | 1,119 | 1,103 | ||||||
Series 2004-5 6A1 7.00% 6/25/34 | 17,413 | 17,070 | ||||||
MASTR ARM Trust Series 2004-4 4A1 2.775% 5/25/34 ● | 34,307 | 32,479 | ||||||
Merrill Lynch Mortgage Investors Trust Series 2004-A1 2A2 2.726% 2/25/34 ● | 1,791 | 1,722 | ||||||
Morgan Stanley Residential Mortgage Loan Trust | ||||||||
Series 2020-1 A2A 144A 2.50% 12/25/50 #, ● | 755,027 | 594,811 | ||||||
Series 2021-1 A2 144A 2.50% 3/25/51 #, ● | 676,772 | 538,272 | ||||||
Series 2021-4 A3 144A 2.50% 7/25/51 #, ● | 765,395 | 604,893 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2018-RPL1 A1 144A 3.50% 12/25/57 #, ● | 129,440 | 124,279 | ||||||
Series 2019-RPL3 A1 144A 2.75% 7/25/59 #, ● | 3,191,478 | 2,988,433 | ||||||
RALI Series Trust | ||||||||
Series 2007-QA5 2A1 5.923% 9/25/37 ● | 1,975,675 | 1,483,383 | ||||||
Series 2007-QH8 A 1.778% 10/25/37 ● | 1,140,416 | 1,018,286 |
38
Principal amount° | Value (US $) | ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) | |||||||||
RCKT Mortgage Trust | |||||||||
Series 2021-1 A1 144A 2.50% 3/25/51 #, ● | 752,950 | $ | 597,919 | ||||||
Series 2021-6 A1 144A 2.50% 12/25/51 #, ● | 1,564,239 | 1,242,166 | |||||||
Reperforming Loan REMIC Trust Series 2006-R1 AF1 144A 3.424% (LIBOR01M + 0.34%, Cap 9.50%, Floor 0.34%) 1/25/36 #, ● | 520,224 | 496,014 | |||||||
RFMSI Trust Series 2004-S9 2A1 4.75% 12/25/19 | 28 | 31 | |||||||
Sequoia Mortgage Trust | |||||||||
Series 2004-5 A3 3.308% (LIBOR06M + 0.56%, Cap 11.50%, Floor 0.56%) 6/20/34 ● | 83,901 | 77,889 | |||||||
Series 2007-1 4A1 3.034% 9/20/46 ● | 229,438 | 162,792 | |||||||
Series 2015-1 B2 144A 3.917% 1/25/45 #, ● | 130,876 | 121,136 | |||||||
Series 2017-5 B2 144A 3.798% 8/25/47 #, ● | 2,880,704 | 2,471,505 | |||||||
Series 2020-4 A2 144A 2.50% 11/25/50 #, ● | 591,853 | 469,992 | |||||||
Structured ARM Loan Trust Series 2006-1 7A4 2.732% 2/25/36 ● | 68,601 | 61,732 | |||||||
Structured Asset Mortgage Investments II Trust | |||||||||
Series 2005-AR5 A2 3.493% (LIBOR01M + 0.50%, Cap 11.00%, Floor 0.50%) 7/19/35 ● | 123,672 | 115,762 | |||||||
Trinity Square Series 2021-1A A 144A 2.496% (SONIA + 0.85%) 7/15/59 #, ● | GBP | 3,212,843 | 3,558,174 | ||||||
WaMu Mortgage Pass Through Certificates Trust | |||||||||
Series 2005-AR16 1A3 2.758% 12/25/35 ◆, ● | 170,641 | 158,574 | |||||||
Series 2007-HY1 3A3 3.208% 2/25/37 ◆, ● | 113,754 | 104,996 | |||||||
Series 2007-HY7 4A1 3.853% 7/25/37 ◆, ● | 226,888 | 213,722 | |||||||
Wells Fargo Mortgage- Backed Securities Trust | |||||||||
Series 2006-AR11 A6 4.056% 8/25/36 ● | 109,580 | 102,849 | |||||||
Series 2020-1 A1 144A 3.00% 12/25/49 #, ● | 142,385 | 119,480 | |||||||
Total Non-Agency Collateralized Mortgage Obligations (cost $48,180,938) | 39,198,908 | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – 4.73% | |||||||||
BANK | |||||||||
Series 2017-BNK5 B 3.896% 6/15/60 ● | 605,000 | 537,184 | |||||||
Series 2017-BNK7 A5 3.435% 9/15/60 | 710,000 | 650,893 | |||||||
Series 2019-BN20 A3 3.011% 9/15/62 | 8,000,000 | 6,932,415 | |||||||
Series 2019-BN21 A5 2.851% 10/17/52 | 2,100,000 | 1,797,642 | |||||||
Series 2022-BNK39 A4 2.928% 2/15/55 | 2,784,000 | 2,317,196 | |||||||
Series 2022-BNK39 B 3.348% 2/15/55 ● | 1,353,000 | 1,076,673 | |||||||
Series 2022-BNK39 C 3.379% 2/15/55 ● | 797,000 | 591,999 | |||||||
Series 2022-BNK40 B 3.507% 3/15/64 ● | 1,800,000 | 1,432,150 | |||||||
Series 2022-BNK41 A4 3.916% 4/15/65 ● | 2,000,000 | 1,797,656 | |||||||
Benchmark Mortgage Trust | |||||||||
Series 2020-B17 A5 2.289% 3/15/53 | 3,460,000 | 2,822,257 | |||||||
Series 2020-B20 A5 2.034% 10/15/53 | 13,250,000 | 10,455,400 | |||||||
Series 2020-B21 A5 1.978% 12/17/53 | 1,300,000 | 1,019,761 |
39
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||||||
Benchmark Mortgage Trust | |||||||
Series 2020-B22 A5 1.973% 1/15/54 | 2,050,000 | $ | 1,599,374 | ||||
Series 2021-B24 A5 2.584% 3/15/54 | 6,790,000 | 5,542,851 | |||||
Series 2021-B29 A5 2.388% 9/15/54 | 6,000,000 | 4,786,885 | |||||
Series 2022-B32 B 3.202% 1/15/55 ● | 1,800,000 | 1,395,636 | |||||
Series 2022-B32 C 3.572% 1/15/55 ● | 2,200,000 | 1,630,249 | |||||
Series 2022-B33 B 3.736% 3/15/55 ● | 900,000 | 739,816 | |||||
Series 2022-B33 C 3.736% 3/15/55 ● | 900,000 | 689,991 | |||||
BMO Mortgage Trust Series 2022-C1 A5 3.374% 2/15/55 ● | 600,000 | 518,375 | |||||
Cantor Commercial Real Estate Lending | |||||||
Series 2019-CF1 A5 3.786% 5/15/52 | 2,340,000 | 2,142,041 | |||||
Series 2019-CF2 A5 2.874% 11/15/52 | 4,000,000 | 3,431,766 | |||||
Series 2019-CF3 A4 3.006% 1/15/53 | 800,000 | 684,350 | |||||
CD Mortgage Trust | |||||||
Series 2017-CD6 B 3.911% 11/13/50 ● | 440,000 | 388,075 | |||||
Series 2019-CD8 A4 2.912% 8/15/57 | 8,775,000 | 7,531,974 | |||||
CFCRE Commercial Mortgage Trust Series 2016-C7 A3 3.838% 12/10/54 | 3,100,000 | 2,919,703 | |||||
Citigroup Commercial Mortgage Trust | |||||||
Series 2014-GC25 A4 3.635% 10/10/47 | 785,000 | 758,974 | |||||
Series 2015-GC27 A5 3.137% 2/10/48 | 1,400,000 | 1,336,337 | |||||
Series 2016-P3 A4 3.329% 4/15/49 | 1,305,000 | 1,222,098 | |||||
Series 2017-C4 A4 3.471% 10/12/50 | 635,000 | 582,517 | |||||
COMM Mortgage Trust Series 2013-WWP A2 | |||||||
144A 3.424% 3/10/31 # | 1,100,000 | 1,098,437 | |||||
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,121,121 | |||||
COMM Mortgage Trust Series 2015-3BP A | |||||||
144A 3.178% 2/10/35 # | 605,000 | 560,729 | |||||
Series 2015-CR23 A4 3.497% 5/10/48 | 780,000 | 743,351 | |||||
Series 2016-CR28 A4 3.762% 2/10/49 | 2,330,000 | 2,210,271 | |||||
DB-JPM Mortgage Trust | |||||||
Series 2016-C1 A4 3.276% 5/10/49 | 900,000 | 837,719 | |||||
GS Mortgage Securities Trust | |||||||
Series 2017-GS5 A4 3.674% 3/10/50 | 1,280,000 | 1,194,524 | |||||
Series 2017-GS6 A3 3.433% 5/10/50 | 1,935,000 | 1,785,502 | |||||
Series 2019-GC39 A4 3.567% 5/10/52 | 1,250,000 | 1,134,255 | |||||
Series 2019-GC42 A4 3.00% 9/1/52 | 5,000,000 | 4,336,700 | |||||
Series 2020-GC47 A5 2.377% 5/12/53 | 3,716,000 | 3,038,702 | |||||
JPM-BB Commercial Mortgage Securities Trust Series 2015-C31 A3 3.801% 8/15/48 | 7,784,753 | 7,424,624 | |||||
JPM-DB Commercial Mortgage Securities Trust | |||||||
Series 2016-C2 A4 3.144% 6/15/49 | 1,640,000 | 1,522,527 | |||||
Series 2016-C4 A3 3.141% 12/15/49 | 1,065,000 | 978,059 | |||||
Series 2017-C7 A5 3.409% 10/15/50 | 2,395,000 | 2,196,259 | |||||
JPMorgan Chase Commercial Mortgage Securities Trust | |||||||
Series 2013-LC11 B 3.499% 4/15/46 | 355,000 | 346,035 | |||||
Series 2016-JP2 AS 3.056% 8/15/49 | 1,250,000 | 1,104,245 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||
Series 2015-C26 A5 3.531% 10/15/48 | 960,000 | 911,093 | |||||
Series 2015-C27 ASB 3.557% 12/15/47 | 1,342,705 | 1,311,312 |
40
Principal amount° | Value (US $) | ||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C29 A4 3.325% 5/15/49 | 1,445,000 | $ | 1,349,204 | ||||
Morgan Stanley Capital I Trust | |||||||
Series 2019-L3 A4 3.127% 11/15/52 | 1,000,000 | 867,092 | |||||
Series 2020-HR8 A4 2.041% 7/15/53 | 4,415,000 | 3,503,985 | |||||
UBS-Barclays Commercial Mortgage Trust Series 2013-C5 B 144A 3.649% 3/10/46 #, ● | 480,000 | 468,329 | |||||
VMC Finance Series 2021-FL4 A 144A 4.093% (LIBOR01M + 1.10%, Floor 1.10%) 6/16/36 #, ● | 1,149,046 | 1,118,093 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
Series 2014-LC18 A5 3.405% 12/15/47 | 275,000 | 263,586 | |||||
Series 2015-NXS3 A4 3.617% 9/15/57 | 510,000 | 484,232 | |||||
Series 2016-BNK1 A3 2.652% 8/15/49 | 1,220,000 | 1,102,352 | |||||
Series 2020-C58 A4 2.092% 7/15/53 | 2,300,000 | 1,808,472 | |||||
Total Non-Agency Commercial Mortgage-Backed Securities (cost $135,768,443) | 115,153,048 | ||||||
Loan Agreements – 2.82% | |||||||
Acrisure 1st Lien 7.365% (LIBOR01M + 4.25%) 2/15/27 ● | 297,750 | 280,629 | |||||
Acrisure Tranche B 6.615% (LIBOR01M + 3.50%) 2/15/27 ● | 405,146 | 371,215 | |||||
Advantage Sales & Marketing Tranche B-1 7.054% (LIBOR01M + 4.50%) 10/28/27 ● | 699,345 | 627,225 | |||||
Amentum Government Services Holdings Tranche 3 7.392% (SOFR03M + 4.00%) 2/15/29 ● | 3,461,325 | 3,317,102 | |||||
Applied Systems 1st Lien 6.674% (LIBOR03M + 3.00%) 9/19/24 ● | 826,291 | 808,216 | |||||
Applied Systems 2nd Lien 9.174% (LIBOR03M + 5.50%) 9/19/25 ● | 2,058,605 | 2,032,872 | |||||
Avantor Funding Tranche B-5 5.365% (LIBOR01M + 2.25%) 11/8/27 ● | 661,903 | 647,148 | |||||
Bausch & Lomb 6.098% (SOFR01M + 3.35%) 5/10/27 ● | 1,236,900 | 1,152,120 | |||||
Bausch Health 8.098% (SOFR01M + 5.35%) 2/1/27 ● | 380,187 | 293,655 | |||||
Berry Global Tranche Z 4.178% (LIBOR01M + 1.75%) 7/1/26 ● | 617,900 | 599,621 | |||||
BMC Software 6.865% (LIBOR01M + 3.75%) 10/2/25 ● | 333,646 | 317,068 | |||||
BW Gas & Convenience Holdings Tranche B 6.615% (LIBOR01M + 3.50%) 3/31/28 ● | 1,041,812 | 994,931 | |||||
Caesars Resort Collection Tranche B 5.865% (LIBOR01M + 2.75%) 12/23/24 ● | 1,922,038 | 1,880,474 | |||||
Caesars Resort Collection Tranche B-1 6.615% (LIBOR01M + 3.50%) 7/21/25 ● | 899,137 | 889,208 | |||||
Calpine | |||||||
5.12% (LIBOR01M + 2.00%) 4/5/26 ● | 241,875 | 232,926 | |||||
5.62% (LIBOR01M + 2.50%) 12/16/27 ● | 254,295 | 246,167 | |||||
Camelot US Acquisition l 6.115% (LIBOR01M + 3.00%) 10/30/26 ● | 638,625 | 619,067 |
41
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||
Loan Agreements (continued) | |||||||
Carnival Tranche B 5.877% (LIBOR06M + 3.00%) 6/30/25 ● | 488,753 | $ | 447,209 | ||||
Castlelake Aviation One DAC 6.043% (LIBOR03M + 2.75%) 10/22/26 ● | 811,054 | 784,948 | |||||
CenturyLink Tranche B 5.365% (LIBOR01M + 2.25%) 3/15/27 ● | 979,849 | 893,587 | |||||
Charter Communications Operating Tranche B2 4.87% (LIBOR01M + 1.75%) 2/1/27 ● | 476,260 | 459,166 | |||||
Chemours Tranche B-2 4.87% (LIBOR01M + 1.75%) 4/3/25 ● | 817,995 | 766,870 | |||||
Connect US Finco 6.62% (LIBOR01M + 3.50%) 12/11/26 ● | 632,775 | 591,486 | |||||
Core & Main Tranche B-1 5.168% (LIBOR01M + 2.50%) 7/27/28 ● | 531,548 | 509,290 | |||||
CSC Holdings 5.068% (LIBOR01M + 2.25%) 7/17/25 ● | 307,938 | 295,043 | |||||
Delta Air Lines 6.46% (LIBOR03M + 3.75%) 10/20/27 ● | 500,000 | 502,466 | |||||
Electron Bidco 6.115% (LIBOR01M + 3.00%) 11/1/28 ● | 497,500 | 472,728 | |||||
Ensemble RCM 6.556% (LIBOR03M + 3.75%) 8/1/26 ● | 356,960 | 349,152 | |||||
Entegris Tranche B 5.684% (SOFR01M + 3.00%) 7/6/29 ● | 1,945,000 | 1,934,059 | |||||
Epicor Software 2nd Lien 10.865% (LIBOR01M + 7.75%) 7/31/28 ● | 735,000 | 719,933 | |||||
Epicor Software Tranche C 6.365% (LIBOR01M + 3.25%) 7/30/27 ● | 785,965 | 737,170 | |||||
Frontier Communications Tranche B 7.438% (LIBOR03M + 3.75%) 10/8/27 ● | 1,723,750 | 1,611,706 | |||||
Global Medical Response 6.814% (LIBOR01M + 4.25%) 10/2/25 ● | 857,851 | 744,186 | |||||
Hamilton Projects Acquiror 8.174% (LIBOR03M + 4.50%) 6/17/27 ● | 815,006 | 801,034 | |||||
Heartland Dental | |||||||
6.615% (LIBOR01M + 3.50%) 4/30/25 ● | 817,930 | 756,074 | |||||
7.084% (LIBOR01M + 4.00%) 4/30/25 ● | 454,250 | 422,907 | |||||
Hexion Holdings 1st Lien 7.263% (SOFR03M + 4.50%) 3/15/29 ● | 2,309,212 | 1,981,304 | |||||
Hilton Grand Vacations Borrower 6.115% (LIBOR01M + 3.00%) 8/2/28 ● | 990,000 | 958,857 | |||||
Hilton Worldwide Finance Tranche B-2 4.809% (LIBOR01M + 1.75%) 6/22/26 ● | 1,088,891 | 1,054,182 | |||||
HUB International 5.766% (LIBOR03M + 3.00%) 4/25/25 ● | 353,832 | 340,907 | |||||
Informatica 5.875% (LIBOR01M + 2.75%) 10/27/28 ● | 631,825 | 613,924 | |||||
IRB Holding Tranche B 5.696% (SOFR01M + 3.10%) 12/15/27 ● | 3,542,431 | 3,318,815 | |||||
LSF9 Atlantis Holdings Tranche B 10.803% (SOFR03M + 7.25%) 3/31/29 ● | 2,110,000 | 2,030,875 | |||||
Mileage Plus Holdings 8.777% (LIBOR03M + 5.25%) 6/20/27 ● | 950,000 | 955,259 | |||||
MPH Acquisition Holdings 7.32% (LIBOR03M + 4.25%) 9/1/28 ● | 1,782,000 | 1,651,321 | |||||
Numericable US Tranche B-13 6.905% (LIBOR03M + 4.00%) 8/14/26 ● | 129,937 | 118,243 | |||||
Organon & Co. 6.188% (LIBOR03M + 3.00%) 6/2/28 ● | 2,001,292 | 1,958,764 |
42
Principal amount° | Value (US $) | ||||||
Loan Agreements (continued) | |||||||
Pelican Products 7.294% (LIBOR03M + 4.25%) 12/29/28 ● | 277,900 | $ | 256,363 | ||||
Peraton Tranche B 1st Lien 6.865% (LIBOR01M + 3.75%) 2/1/28 ● | 1,020,304 | 969,671 | |||||
PG&E Tranche B 6.125% (LIBOR01M + 3.00%) 6/23/25 ● | 1,428,955 | 1,371,797 | |||||
Pilot Travel Centers Tranche B 5.134% (SOFR01M + 2.10%) 8/4/28 ● | 359,534 | 344,903 | |||||
Prestige Brands Tranche B5 5.115% (LIBOR01M + 2.00%) 7/3/28 ● | 9,077 | 9,069 | |||||
Pretium PKG Holdings 1st Lien 6.502% (LIBOR03M + 4.00%) 10/2/28 ● | 263,852 | 238,786 | |||||
Prime Security Services Borrower Tranche B-1 5.304% (LIBOR03M + 2.75%) 9/23/26 ● | 403,318 | 391,387 | |||||
RealPage 1st Lien 6.115% (LIBOR01M + 3.00%) 4/24/28 ● | 990,000 | 929,054 | |||||
Reynolds Group Holdings Tranche B-2 6.365% (LIBOR01M + 3.25%) 2/5/26 ● | 466,688 | 448,020 | |||||
Russell Investments US Institutional Holdco 6.615% (LIBOR01M + 3.50%) 5/30/25 ● | 130 | 121 | |||||
Ryan Specialty Group Tranche B-1 6.134% (SOFR01M + 3.10%) 9/1/27 ● | 583,100 | 565,607 | |||||
Sinclair Television Group Tranche B-4 6.884% (SOFR01M + 3.85%) 4/21/29 ● | 2,169,562 | 2,057,468 | |||||
SS&C Technologies Holdings Tranche B-3 4.865% (LIBOR01M + 1.75%) 4/16/25 ● | 178,047 | 172,750 | |||||
SS&C Technologies Holdings Tranche B-4 4.865% (LIBOR01M + 1.75%) 4/16/25 ● | 144,537 | 140,237 | |||||
Standard Industries 6.675% (LIBOR03M + 2.50%) 9/22/28 ● | 3,730,464 | 3,629,741 | |||||
Telenet Financing Tranche AR 4.818% (LIBOR01M + 2.00%) 4/28/28 ● | 545,000 | 520,475 | |||||
Terrier Media Buyer Tranche B 6.615% (LIBOR01M + 3.50%) 12/17/26 ● | 508,709 | 477,338 | |||||
TK Elevator Midco Tranche B 6.871% (LIBOR06M + 3.50%) 7/30/27 ● | 340,524 | 326,562 | |||||
Transdigm Tranche F 5.924% (LIBOR03M + 2.25%) 12/9/25 ● | 582,713 | 559,606 | |||||
UKG 1st Lien 5.535% (LIBOR03M + 3.25%) 5/4/26 ● | 1,640,948 | 1,556,337 | |||||
Ultimate Software Group 1st Lien 6.865% (LIBOR01M + 3.75%) 5/4/26 ● | 1,130,915 | 1,080,260 | |||||
United Airlines Tranche B 6.533% (LIBOR03M + 3.75%) 4/21/28 ● | 296,241 | 283,974 | |||||
US Foods Tranche B TBD 11/22/28 X | 1,492,500 | 1,462,184 | |||||
USI 6.924% (LIBOR03M + 3.25%) 12/2/26 ● | 163,093 | 157,792 | |||||
USI Tranche B 6.424% (LIBOR03M + 2.75%) 5/16/24 ● | 565,613 | 551,885 | |||||
Viasat 7.649% (SOFR01M + 4.614%) 3/2/29 ● | 2,783,025 | 2,473,413 | |||||
Vistra Operations 4.841% (LIBOR01M + 1.75%) 12/31/25 ● | 510,048 | 494,013 | |||||
White Cap Buyer 6.784% (SOFR01M + 3.75%) 10/19/27 ● | 358,200 | 336,410 | |||||
Zayo Group Holdings 6.115% (LIBOR01M + 3.00%) 3/9/27 ● | 2,954,377 | 2,482,732 |
43
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||||
Loan Agreements (continued) | |||||||||
Zekelman Industries 5.604% (LIBOR03M + 2.00%) 1/24/27 ● | 269,733 | $ | 258,494 | ||||||
Total Loan Agreements (cost $71,831,750) | 68,637,558 | ||||||||
Sovereign Bonds – 5.79%∆ | |||||||||
Albania – 0.01% | |||||||||
Albania Government International Bond 144A 3.50% 6/16/27 # | EUR | 150,000 | 127,742 | ||||||
127,742 | |||||||||
Angola – 0.02% | |||||||||
Angolan Government International Bonds | |||||||||
144A 8.25% 5/9/28 # | 200,000 | 158,176 | |||||||
8.25% 5/9/28 | 200,000 | 158,176 | |||||||
144A 8.75% 4/14/32 # | 200,000 | 148,830 | |||||||
465,182 | |||||||||
Argentina – 0.01% | |||||||||
Argentine Republic Government International Bonds | |||||||||
0.50% 7/9/30 ~ | 645,050 | 130,288 | |||||||
1.00% 7/9/29 | 31,833 | 6,162 | |||||||
1.50% 7/9/35 ~ | 674,580 | 122,871 | |||||||
259,321 | |||||||||
Armenia – 0.01% | |||||||||
Republic of Armenia International Bond 144A 3.60% 2/2/31 # | 200,000 | 136,220 | |||||||
136,220 | |||||||||
Azerbaijan – 0.01% | |||||||||
Republic of Azerbaijan International Bond 144A 3.50% 9/1/32 # | 319,000 | 257,895 | |||||||
257,895 | |||||||||
Bahrain – 0.01% | |||||||||
Bahrain Government International Bond 144A 7.375% 5/14/30 # | 300,000 | 286,774 | |||||||
286,774 | |||||||||
Bermuda – 0.02% | |||||||||
Bermuda Government International Bond 144A 5.00% 7/15/32 # | 400,000 | 380,799 | |||||||
380,799 | |||||||||
Brazil – 0.02% | |||||||||
Brazilian Government International Bonds | |||||||||
3.875% 6/12/30 | 532,000 | 440,807 | |||||||
4.75% 1/14/50 | 233,000 | 159,342 | |||||||
600,149 | |||||||||
Chile – 0.01% | |||||||||
Chile Government International Bonds | |||||||||
2.55% 1/27/32 | 258,000 | 203,015 | |||||||
3.50% 1/25/50 | 200,000 | 136,601 | |||||||
339,616 | |||||||||
Colombia – 0.03% | |||||||||
Colombia Government International Bonds | |||||||||
3.00% 1/30/30 | 272,000 | 195,454 | |||||||
3.25% 4/22/32 | 300,000 | 203,510 | |||||||
4.125% 2/22/42 | 217,000 | 123,920 | |||||||
5.00% 6/15/45 | 200,000 | 121,809 | |||||||
5.20% 5/15/49 | 200,000 | 124,058 | |||||||
768,751 | |||||||||
Costa Rica – 0.01% | |||||||||
Costa Rica Government International Bond 144A 5.625% 4/30/43 # | 200,000 | 143,079 | |||||||
143,079 | |||||||||
Dominican Republic – 0.03% | |||||||||
Dominican Republic International Bonds | |||||||||
144A 4.875% 9/23/32 # | 885,000 | 668,672 | |||||||
144A 5.50% 2/22/29 # | 200,000 | 172,899 | |||||||
841,571 | |||||||||
Ecuador – 0.01% | |||||||||
Ecuador Government International Bonds | |||||||||
144A 1.50% 7/31/40 #, ~ | 278,501 | 82,158 | |||||||
144A 2.50% 7/31/35 #, ~ | 328,384 | 108,893 |
44
Principal amount° | Value (US $) | ||||||||
Sovereign Bonds ∆ (continued) | |||||||||
Ecuador (continued) | |||||||||
Ecuador Government International Bonds | |||||||||
144A 5.50% 7/31/30 #, ~ | 125,307 | $ | 59,936 | ||||||
144A 6.61% 7/31/30 #, ^ | 35,470 | 10,352 | |||||||
261,339 | |||||||||
Egypt – 0.03% | |||||||||
Egypt Government International Bonds | |||||||||
144A 5.75% 5/29/24 # | 591,000 | 525,787 | |||||||
144A 8.70% 3/1/49 # | 359,000 | 200,127 | |||||||
725,914 | |||||||||
El Salvador – 0.00% | |||||||||
El Salvador Government International Bond 144A 7.125% 1/20/50 # | 275,000 | 89,375 | |||||||
89,375 | |||||||||
Gabon – 0.01% | |||||||||
Gabon Government International Bond 144A 6.625% 2/6/31 # | 200,000 | 132,094 | |||||||
132,094 | |||||||||
Georgia – 0.01% | |||||||||
Georgia Government International Bond 144A 2.75% 4/22/26 # | 200,000 | 171,021 | |||||||
171,021 | |||||||||
Ghana – 0.00% | |||||||||
Ghana Government International Bond 144A 7.75% 4/7/29 # | 230,000 | 88,205 | |||||||
88,205 | |||||||||
Guatemala – 0.02% | |||||||||
Guatemala Government Bonds | |||||||||
144A 4.875% 2/13/28 # | 400,000 | 362,892 | |||||||
144A 5.25% 8/10/29 # | 200,000 | 179,923 | |||||||
542,815 | |||||||||
Hong Kong – 0.03% | |||||||||
Airport Authority | |||||||||
144A 2.50% 1/12/32 # | 430,000 | 354,037 | |||||||
144A 3.25% 1/12/52 # | 425,000 | 307,804 | |||||||
661,841 | |||||||||
Indonesia – 0.01% | |||||||||
Indonesia Government International Bonds | |||||||||
144A 4.625% 4/15/43 # | 200,000 | 170,351 | |||||||
4.65% 9/20/32 | 200,000 | 188,086 | |||||||
358,437 | |||||||||
Israel – 0.11% | |||||||||
Israel Government International Bonds | |||||||||
2.75% 7/3/30 | 1,200,000 | 1,064,940 | |||||||
3.875% 7/3/50 | 200,000 | 161,917 | |||||||
State of Israel | |||||||||
3.375% 1/15/50 | 200,000 | 148,623 | |||||||
3.80% 5/13/60 | 1,600,000 | 1,218,818 | |||||||
2,594,298 | |||||||||
Ivory Coast – 0.02% | |||||||||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 590,000 | 451,350 | |||||||
451,350 | |||||||||
Japan – 4.82% | |||||||||
Japan Treasury Discount Bills | |||||||||
22.338% 10/17/22 ≠ | JPY | 12,000,000,000 | 82,916,786 | ||||||
35.735% 10/11/22 ≠ | JPY | 5,010,000,000 | 34,616,997 | ||||||
117,533,783 | |||||||||
Jordan – 0.01% | |||||||||
Jordan Government International Bond 144A 4.95% 7/7/25 # | 200,000 | 184,984 | |||||||
184,984 | |||||||||
Kazakhstan – 0.01% | |||||||||
Kazakhstan Government International Bond 144A 6.50% 7/21/45 # | 207,000 | 192,311 | |||||||
192,311 |
45
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | ||||||||
Sovereign Bonds ∆ (continued) | |||||||||
Kenya – 0.01% | |||||||||
Republic of Kenya Government International Bond 144A 8.00% 5/22/32 # | 200,000 | $ | 136,180 | ||||||
136,180 | |||||||||
Lebanon – 0.00% | |||||||||
Lebanon Government International Bond 6.25% 5/27/22 ‡ | 582,000 | 37,103 | |||||||
37,103 | |||||||||
Mexico – 0.01% | |||||||||
Mexico Government International Bonds | |||||||||
4.40% 2/12/52 | 225,000 | 155,782 | |||||||
4.875% 5/19/33 | 200,000 | 176,197 | |||||||
331,979 | |||||||||
Mongolia – 0.01% | |||||||||
Mongolia Government International Bond 144A 3.50%7/7/27 # | 200,000 | 148,998 | |||||||
148,998 | |||||||||
Morocco – 0.01% | |||||||||
Morocco Government International Bond 144A 2.375%12/15/27 # | 300,000 | 247,224 | |||||||
247,224 | |||||||||
Nigeria – 0.01% | |||||||||
Nigeria Government International Bond 144A 7.875%2/16/32 # | 537,000 | 347,106 | |||||||
347,106 | |||||||||
Oman – 0.02% | |||||||||
Oman Government International Bonds | |||||||||
144A 6.75% 1/17/48 # | 343,000 | 276,161 | |||||||
7.375% 10/28/32 | 200,000 | 200,289 | |||||||
476,450 | |||||||||
Pakistan – 0.00% | |||||||||
Pakistan Government International Bond 144A 7.375% 4/8/31 # | 200,000 | 75,008 | |||||||
75,008 | |||||||||
Panama – 0.02% | |||||||||
Panama Bonos del Tesoro 3.362% 6/30/31 | 200,000 | 174,500 | |||||||
Panama Government International Bond 144A 3.75% 4/17/26 # | 363,000 | 345,485 | |||||||
519,985 | |||||||||
Paraguay – 0.02% | |||||||||
Paraguay Government International Bonds | |||||||||
144A 4.95% 4/28/31 # | 300,000 | 268,033 | |||||||
144A 5.40% 3/30/50 # | 403,000 | 297,794 | |||||||
565,827 | |||||||||
Peru – 0.03% | |||||||||
Peruvian Government International Bonds | |||||||||
2.392% 1/23/26 | 323,000 | 293,551 | |||||||
2.844% 6/20/30 | 512,000 | 421,435 | |||||||
5.625% 11/18/50 | 35,000 | 33,105 | |||||||
748,091 | |||||||||
Philippines – 0.02% | |||||||||
Philippine Government International Bond 3.229% 3/29/27 | 510,000 | 475,854 | |||||||
475,854 | |||||||||
Qatar – 0.01% | |||||||||
Qatar Government International Bond 144A 4.40% 4/16/50 # | 400,000 | 352,791 | |||||||
352,791 | |||||||||
Republic of North Macedonia – 0.01% | |||||||||
North Macedonia Government International Bond 144A 3.675% 6/3/26 # | EUR | 150,000 | 129,140 | ||||||
129,140 | |||||||||
Romania – 0.05% | |||||||||
Romanian Government International Bonds | |||||||||
144A 1.75% 7/13/30 # | EUR | 1,800,000 | 1,147,502 | ||||||
144A 2.625% 12/2/40 # | EUR | 123,000 | 61,987 |
46
Principal amount° | Value (US $) | ||||||||
Sovereign Bonds ∆ (continued) | |||||||||
Romania (continued) | |||||||||
Romanian Government International Bonds 144A 3.375%1/28/50 # | EUR | 109,000 | $ | 55,344 | |||||
1,264,833 | |||||||||
Saudi Arabia – 0.03% | |||||||||
Saudi Government International Bonds | |||||||||
144A 3.25% 11/17/51 # | 400,000 | 272,772 | |||||||
144A 3.625% 3/4/28 # | 541,000 | 512,584 | |||||||
785,356 | |||||||||
Senegal – 0.01% | |||||||||
Senegal Government International Bonds | |||||||||
144A 5.375% 6/8/37 # | EUR | 200,000 | 118,441 | ||||||
144A 6.75% 3/13/48 # | 210,000 | 131,536 | |||||||
249,977 | |||||||||
Serbia – 0.01% | |||||||||
Serbia International Bonds | |||||||||
144A 1.00% 9/23/28 # | EUR | 200,000 | 131,449 | ||||||
144A 2.125% 12/1/30 # | 200,000 | 131,572 | |||||||
144A 3.125% 5/15/27 # | EUR | 100,000 | 80,180 | ||||||
343,201 | |||||||||
South Africa – 0.13% | |||||||||
Republic of South Africa Government International Bonds | |||||||||
4.85% 9/30/29 | 3,200,000 | 2,652,640 | |||||||
5.65% 9/27/47 | 200,000 | 129,131 | |||||||
5.75% 9/30/49 | 200,000 | 129,190 | |||||||
5.875% 6/22/30 | 268,000 | 231,485 | |||||||
3,142,446 | |||||||||
Sri Lanka – 0.01% | |||||||||
Sri Lanka Government International Bond 144A 6.20% 5/11/27 # | 453,000 | 115,700 | |||||||
115,700 | |||||||||
Trinidad and Tobago – 0.01% | |||||||||
Trinidad & Tobago Government International Bond 144A 4.50% 6/26/30 # | 200,000 | 182,010 | |||||||
182,010 | |||||||||
Turkey – 0.04% | |||||||||
Hazine Mustesarligi Varlik Kiralama 144A 5.125% 6/22/26 # | 200,000 | 182,600 | |||||||
Turkey Government International Bond 7.625% 4/26/29 | 500,000 | 426,971 | |||||||
Turkiye Ihracat Kredi Bankasi 144A 5.75% 7/6/26 # | 350,000 | 291,519 | |||||||
901,090 | |||||||||
Ukraine – 0.01% | |||||||||
Ukraine Government International Bond 144A 7.75% 9/1/28 # | 804,000 | 169,544 | |||||||
169,544 | |||||||||
Uruguay – 0.01% | |||||||||
Uruguay Government International Bond 4.375% 1/23/31 | 232,000 | 222,500 | |||||||
222,500 | |||||||||
Uzbekistan – 0.02% | |||||||||
Republic of Uzbekistan International Bonds | |||||||||
144A 3.90%10/19/31 # | 200,000 | 140,900 | |||||||
144A 5.375% 2/20/29 # | 448,000 | 376,831 | |||||||
517,731 | |||||||||
Total Sovereign Bonds (cost $156,388,460) | 141,080,990 | ||||||||
Supranational Banks – 0.00% | |||||||||
Banque Ouest Africaine de Developpement 144A 2.75%1/22/33 # | EUR | 200,000 | 143,793 | ||||||
Total Supranational Banks (cost $240,998) | 143,793 |
47
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
US Treasury Obligations – 12.69% | ||||||||
US Treasury Bonds | ||||||||
1.25% 5/15/50 | 1,800,000 | $ | 1,008,316 | |||||
1.375% 11/15/40 | 100,000 | 64,705 | ||||||
1.625% 11/15/50 | 13,500,000 | 8,387,929 | ||||||
1.75% 8/15/41 | 1,800,000 | 1,231,840 | ||||||
1.875% 2/15/41 | 52,800,000 | 37,427,159 | ||||||
1.875% 2/15/51 | 2,700,000 | 1,788,539 | ||||||
1.875% 11/15/51 | 5,100,000 | 3,374,965 | ||||||
2.00% 2/15/50 | 16,000,000 | 11,001,875 | ||||||
2.00% 8/15/51 | 8,475,000 | 5,792,795 | ||||||
2.25% 8/15/46 | 26,435,000 | 19,059,016 | ||||||
2.25% 2/15/52 | 5,475,000 | 3,979,641 | ||||||
2.50% 2/15/45 | 37,100,000 | 28,317,736 | ||||||
2.75% 8/15/42 | 900,000 | 731,918 | ||||||
2.75% 11/15/42 | 1,400,000 | 1,135,422 | ||||||
2.875% 5/15/43 | 2,200,000 | 1,815,172 | ||||||
2.875% 8/15/45 | 16,700,000 | 13,641,160 | ||||||
2.875% 5/15/52 | 13,210,000 | 11,081,952 | ||||||
3.00% 5/15/47 | 900,000 | 754,172 | ||||||
3.00% 8/15/48 | 3,770,000 | 3,191,614 | ||||||
3.00% 8/15/52 | 4,300,000 | 3,712,110 | ||||||
3.125% 5/15/48 | 1,490,000 | 1,289,578 | ||||||
US Treasury Floating Rate Note 3.405% (USBMMY3M + 0.04%) 7/31/24 ● | 27,305,000 | 27,273,987 | ||||||
US Treasury Floating Rate Notes 3.293% (USBMMY3M - 0.08%) 4/30/24 ● | 26,145,000 | 26,110,734 | ||||||
US Treasury Notes | ||||||||
0.50% 10/31/27 | 13,200,000 | 11,052,938 | ||||||
1.875% 8/31/24 ∞ | 2,170,000 | 2,075,571 | ||||||
2.00% 11/30/22 ∞ | 3,176,000 | 3,169,952 | ||||||
2.00% 6/30/24 ∞ | 7,700,000 | 7,405,836 | ||||||
2.125% 3/31/24 ∞ | 2,010,000 | 1,946,638 | ||||||
2.125% 11/30/24 ∞ | 11,130,000 | 10,641,324 | ||||||
2.25% 11/15/24 ∞ | 11,030,000 | 10,582,768 | ||||||
2.375% 2/29/24 ∞ | 4,000,000 | 3,895,000 | ||||||
2.375% 8/15/24 ∞ | 1,820,000 | 1,757,935 | ||||||
2.375% 3/31/29 | 7,190,000 | 6,512,005 | ||||||
2.50% 1/31/24 ∞ | 2,790,000 | 2,724,392 | ||||||
2.50% 5/31/24 | 3,470,000 | 3,370,034 | ||||||
2.625% 3/31/25 | 12,700,000 | 12,213,829 | ||||||
2.75% 5/15/25 | 9,415,000 | 9,061,569 | ||||||
2.75% 8/15/32 | 2,055,000 | 1,879,362 | ||||||
2.875% 11/30/23 ∞ | 2,500,000 | 2,459,424 | ||||||
2.875% 5/15/32 | 4,405,000 | 4,073,592 | ||||||
3.125% 8/31/27 | 545,000 | 522,859 | ||||||
US Treasury Strip Principal 2.26% 5/15/44 ^ | 4,290,000 | 1,767,663 | ||||||
Total US Treasury Obligations (cost $370,566,802) | 309,285,026 | |||||||
Number of shares | ||||||||
Common Stocks – 0.02% | ||||||||
Communication Services – 0.00% | ||||||||
Century Communications =, † | 1,975,000 | 0 | ||||||
0 | ||||||||
Transportation – 0.02% | ||||||||
Grupo Aeromexico † | 50,210 | 433,801 | ||||||
433,801 | ||||||||
Total Common Stocks (cost $880,472) | 433,801 | |||||||
Preferred Stock – 0.01% | ||||||||
General Electric 6.623% (LIBOR03M + 3.33%) w, ● | 300,000 | 281,680 | ||||||
Total Preferred Stock (cost $299,875) | 281,680 | |||||||
Notional amount* | ||||||||
Options Purchased – 0.19% | ||||||||
Put Swaptions – 0.19% | ||||||||
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 | 3,589,214 | ||||||
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 | 1,082,360 |
48
Notional amount* | Value (US $) | |||||||
Options Purchased (continued) | ||||||||
Put Swaptions (continued) | ||||||||
Total Options Purchased (premium paid $1,145,185) | 4,671,574 | |||||||
Number of shares | ||||||||
Short-Term Investments – 28.49% | ||||||||
Money Market Mutual Funds – 2.47% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.76%) | 15,046,753 | $ | 15,046,753 | |||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.74%) | 15,046,753 | 15,046,753 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 2.98%) | 15,046,753 | 15,046,753 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.80%) | 15,046,753 | 15,046,753 | ||||||
60,187,012 | ||||||||
Principal amount° | ||||||||
Repurchase Agreements – 26.02% | ||||||||
US Treasury repurchase agreement with Nomura Securities International 2.93%, dated 9/29/22, to be repurchased 10/3/22, repurchase price $317,377,474 (collateralized by US government obligations; 1.875% - 2.25%; market value $320,492,309) | 317,300,000 | 317,300,000 | ||||||
US Treasury repurchase agreement with Nomura Securities International 2.95%, dated 9/30/22, to be repurchased 10/4/22, repurchase price $316,625,944 (collateralized by US government obligations; 1.875% - 2.75%; market value $320,291,421) | 316,600,000 | 316,600,000 | ||||||
633,900,000 | ||||||||
Total Short-Term Investments (cost $694,087,012) | 694,087,012 | |||||||
Total Value of Securities Before Options Written–126.95% (cost $3,445,835,664) | 3,092,930,347 | |||||||
Notional amount* | ||||||||
Options Written – (0.60%) | ||||||||
Call Swaptions – (0.00%) | ||||||||
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 | ) | (3,222 | ) |
49
Schedules of investments
Optimum Fixed Income Fund
Notional amount* | Value (US $) | |||||||
Options Written (continued) | ||||||||
Call Swaptions (continued) | ||||||||
1 yr IRS pay a fixed rate 0.70% and receive a floating rate based on 3-month EURIBOR expiration date 4/26/23 (GS) | (4,200,000 | ) | $ | (386 | ) | |||
1 yr IRS pay a fixed rate 0.70% and receive a floating rate based on 3-month EURIBOR expiration date 4/28/23 (BNP) | (4,300,000 | ) | (404 | ) | ||||
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 | ) | (0 | ) | ||||
1 yr IRS pay a fixed rate 2.841% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/27/23 (GS) | (1,800,000 | ) | (3,156 | ) | ||||
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (DB) | (3,000,000 | ) | (5,431 | ) | ||||
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (GS) | (2,600,000 | ) | (4,707 | ) | ||||
1 yr IRS pay a fixed rate 2.973% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/25/23 (GS) | (1,800,000 | ) | (3,578 | ) | ||||
1 yr IRS pay a fixed rate 3.018% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/20/23 (GS) | (1,700,000 | ) | (3,470 | ) | ||||
1 yr IRS pay a fixed rate 3.14% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000 | ) | (3,943 | ) | ||||
1 yr IRS pay a fixed rate 3.19% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000 | ) | (4,139 | ) | ||||
1 yr IRS pay a fixed rate 3.225% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000 | ) | (4,281 | ) | ||||
(36,717 | ) | |||||||
Put Swaptions – (0.60%) | ||||||||
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 | ) | (5,089,178 | ) |
50
Notional amount* | Value (US $) | |||||||
Options Written (continued) | ||||||||
Put Swaptions (continued) | ||||||||
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 | ) | $ | (638,126 | ) | |||
1 yr IRS pay a fixed rate 2.25% and receive a floating rate based on 3-month EURIBOR expiration date 4/26/23 (GS) | (4,200,000 | ) | (37,088 | ) | ||||
1 yr IRS pay a fixed rate 2.25% and receive a floating rate based on 3-month EURIBOR expiration date 4/28/23 (BNP) | (4,300,000 | ) | (37,939 | ) | ||||
1 yr IRS pay a fixed rate 2.841% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/27/23 (GS) | (1,800,000 | ) | (27,250 | ) | ||||
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (DB) | (3,000,000 | ) | (43,738 | ) | ||||
1 yr IRS pay a fixed rate 2.92% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/13/23 (GS) | (2,600,000 | ) | (37,906 | ) | ||||
1 yr IRS pay a fixed rate 2.973% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/25/23 (GS) | (1,800,000 | ) | (25,564 | ) | ||||
1 yr IRS pay a fixed rate 3.018% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/20/23 (GS) | (1,700,000 | ) | (23,518 | ) | ||||
1 yr IRS pay a fixed rate 3.14% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000 | ) | (22,034 | ) | ||||
1 yr IRS pay a fixed rate 3.19% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000 | ) | (21,437 | ) | ||||
1 yr IRS pay a fixed rate 3.225% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 10/23/23 (GS) | (1,700,000 | ) | (21,024 | ) | ||||
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 | ) | (2,088,301 | ) |
51
Schedules of investments
Optimum Fixed Income Fund
Notional amount* | Value (US $) | |||||||
Options Written (continued) | ||||||||
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 | ) | $ | (6,554,768 | ) | |||
CDX.ITRX.EUR 37 5 yr strike price EUR 1.90, expiration date 11/16/22 (BNP) | (2,600,000 | ) | (2,516 | ) | ||||
CDX.ITRX.EUR 37 5 yr strike price EUR 1.90, expiration date 11/16/22 (JPMCB) | (3,100,000 | ) | (3,000 | ) | ||||
(14,673,387 | ) | |||||||
Total Options Written (premium received $2,270,042) | (14,710,104 | ) |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
† | 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.” |
∞ | Fully or partially pledged as collateral for futures and swap contracts. |
‡ | Non-income producing security. Security is currently in default. |
≠ | The rate shown is the effective yield at the time of purchase. |
~ | 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 September 30, 2022. |
Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 14 in “Security type / country and sector allocations.” |
w | Perpetual security with no stated maturity date. |
X | This loan will settle after September 30, 2022, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
m | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 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. |
S | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
W | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 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 September 30, 2022, the aggregate value of Rule 144A securities was $484,335,071, which represents 19.88% of the Fund’s net assets. See Note 7 in “Notes to financial statements.” |
Y | Perpetual security. Maturity date represents next call date. |
* | Notional amount shown is stated in USD unless noted that the swap is denominated in another currency. |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at September 30, 2022:1
Foreign Currency Exchange Contracts
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
BAML | AUD | 2,698,980 | USD | (1,851,027 | ) | 10/4/22 | $ | – | $ | (124,561 | ) | ||||||
BAML | EUR | (233,000 | ) | USD | 233,480 | 10/4/22 | 5,067 | – |
52
Foreign Currency Exchange Contracts
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
BAML | ZAR | 19,429,064 | USD | (1,223,608 | ) | 11/8/22 | $ | – | $ | (154,020 | ) | |||||||||
BAML | ZAR | 20,256,749 | USD | (1,141,357 | ) | 1/9/23 | – | (32,298 | ) | |||||||||||
BNP | COP | 1,508,200,000 | USD | (341,530 | ) | 10/24/22 | – | (15,959 | ) | |||||||||||
BNP | GBP | (6,943,000 | ) | USD | 8,083,677 | 10/4/22 | 330,808 | – | ||||||||||||
BNP | JPY | (3,852,074 | ) | USD | 26,612 | 10/4/22 | – | (12 | ) | |||||||||||
BNP | JPY | 1,765,301,304 | USD | (12,228,808 | ) | 11/2/22 | 7,688 | – | ||||||||||||
BNP | PLN | (20,766,066 | ) | USD | 4,471,183 | 10/17/22 | 293,439 | – | ||||||||||||
BNP | ZAR | 17,180,265 | USD | (1,071,354 | ) | 11/8/22 | – | (125,564 | ) | |||||||||||
CITI | BRL | 36,269,170 | USD | (6,910,387 | ) | 1/4/23 | – | (333,726 | ) | |||||||||||
CITI | CAD | (1,654,000 | ) | USD | 1,254,126 | 10/4/22 | 56,756 | – | ||||||||||||
CITI | DKK | 33,820,000 | USD | (4,439,537 | ) | 10/3/22 | 19,308 | – | ||||||||||||
CITI | DKK | (33,820,000 | ) | USD | 4,448,277 | 11/1/22 | – | (20,020 | ) | |||||||||||
CITI | EUR | (310,000 | ) | USD | 298,920 | 10/4/22 | – | (4,978 | ) | |||||||||||
CITI | GBP | 1,110,000 | USD | (1,259,106 | ) | 10/4/22 | – | (19,630 | ) | |||||||||||
CITI | MXN | (23,826,000 | ) | USD | 1,168,629 | 12/9/22 | 913 | – | ||||||||||||
CITI | ZAR | 30,614,380 | USD | (1,865,718 | ) | 11/14/22 | – | (181,237 | ) | |||||||||||
DB | GBP | (528,000 | ) | USD | 571,872 | 11/2/22 | – | (18,068 | ) | |||||||||||
DB | JPY | (5,010,000,000 | ) | USD | 37,096,657 | 10/11/22 | 2,444,975 | – | ||||||||||||
DB | JPY | (12,000,000,000 | ) | USD | 86,962,571 | 10/17/22 | 3,916,132 | – | ||||||||||||
DB | MXN | (14,510,000 | ) | USD | 705,296 | 10/27/22 | – | (11,484 | ) | |||||||||||
DB | ZAR | 10,804,156 | USD | (687,646 | ) | 12/12/22 | – | (94,647 | ) | |||||||||||
DB | ZAR | 8,244,054 | USD | (493,641 | ) | 2/13/23 | – | (43,601 | ) | |||||||||||
JPMCB | AUD | 1,951,191 | USD | (1,355,765 | ) | 10/4/22 | – | (107,639 | ) | |||||||||||
JPMCB | DKK | (33,875,000 | ) | USD | 4,557,919 | 10/3/22 | 91,823 | – | ||||||||||||
JPMCB | EUR | (88,901,000 | ) | USD | 89,519,968 | 10/4/22 | 2,368,875 | – | ||||||||||||
JPMCB | EUR | 89,444,000 | USD | (87,510,220 | ) | 10/4/22 | 173,184 | – | ||||||||||||
JPMCB | EUR | (89,444,000 | ) | USD | 87,686,398 | 11/2/22 | – | (179,191 | ) | |||||||||||
JPMCB | EUR | (1,114,000 | ) | USD | 1,121,833 | 11/18/22 | 26,230 | – | ||||||||||||
JPMCB | GBP | 1,050,000 | USD | (1,110,182 | ) | 10/4/22 | 62,295 | – | ||||||||||||
JPMCB | INR | 24,536,690 | USD | (305,403 | ) | 11/14/22 | – | (5,875 | ) | |||||||||||
JPMCB | KRW | (128,077,590 | ) | USD | 95,334 | 12/14/22 | 6,275 | – | ||||||||||||
TD | EUR | (6,452,284 | ) | USD | 6,610,931 | 11/18/22 | 267,836 | – | ||||||||||||
Total Foreign Currency Exchange Contracts | $ | 10,071,604 | $ | (1,472,510 | ) | |||||||||||||||
Futures Contracts Exchange-Traded
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||
5 | Euro-BTP | $ | 548,730 | $ | 573,677 | 12/8/22 | $ | – | $ | (24,947 | ) | $ | 5,638 | |||||||||||
(78) | Euro-Bund | (10,586,716 | ) | (11,137,038 | ) | 12/8/22 | 550,322 | – | (75,743 | ) | ||||||||||||||
(26) | Long 10 yr Gilt | (2,798,521 | ) | (3,189,379 | ) | 12/28/22 | 390,858 | – | 6,634 | |||||||||||||||
137 | US Treasury 3 yr Notes | 28,600,891 | 29,306,544 | 12/30/22 | – | (705,653 | ) | (39,602 | ) | |||||||||||||||
2,156 | US Treasury 5 yr Notes | 231,786,844 | 238,854,906 | 12/30/22 | – | (7,068,062 | ) | (572,698 | ) | |||||||||||||||
674 | US Treasury 10 yr Notes | 75,530,125 | 77,952,917 | 12/20/22 | – | (2,422,792 | ) | (263,285 | ) | |||||||||||||||
(366) | US Treasury 10 yr Ultra Notes | (43,365,281 | ) | (45,895,338 | ) | 12/20/22 | 2,530,057 | – | 183,000 |
53
Schedules of investments
Optimum Fixed Income Fund
Futures Contracts Exchange-Traded
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||
505 | US Treasury Long Bonds | $ | 63,835,156 | $ | 68,848,777 | 12/20/22 | $ | – | $ | (5,013,621 | ) | $ | (331,406 | ) | ||||||||||
(2) | US Treasury Long Bonds | (252,813 | ) | (274,495 | ) | 12/20/22 | 21,682 | – | 1,313 | |||||||||||||||
29 | US Treasury Ultra Bonds | 3,973,000 | 4,354,328 | 12/20/22 | – | (381,328 | ) | 4,875 | ||||||||||||||||
(3) | US Treasury Ultra Bonds | (411,000 | ) | (451,198 | ) | 12/20/22 | 40,198 | – | (47,125 | ) | ||||||||||||||
Total Futures Contracts | $ | 358,943,701 | $ | 3,533,117 | $ | (15,616,403 | ) | $ | (1,128,399 | ) |
Swap Contracts
CDS Contracts2
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||
Centrally Cleared: | |||||||||||||||||||||||||
Protection Purchased/Moody’s Ratings: | |||||||||||||||||||||||||
CDX.ITRX.EUR.345 12/20/25-Quarterly | EUR | 1,200,000 | 1.000% | $ | 1,159 | $ | (5,927 | ) | $ | 7,086 | $ | – | $ | (283,188 | ) | ||||||||||
Protection Sold Moody’s Ratings: | |||||||||||||||||||||||||
AT&T 2.45% 5/15/18 Baa2 6/20/24- Quarterly | 1,800,000 | 1.000% | (5,462 | ) | 17,734 | – | (23,196 | ) | (27,716 | ) | |||||||||||||||
Boeing 2.60% 10/20/25 Baa3 12/20/26-Quarterly | 4,100,000 | 1.000% | (154,011 | ) | (19,409 | ) | – | (134,602 | ) | (27,924 | ) | ||||||||||||||
Boeing 2.60% 10/30/25 Baa2 6/20/23-Quarterly | 1,400,000 | 1.000% | (873 | ) | 1,455 | – | (2,328 | ) | (8,529 | ) | |||||||||||||||
Boeing 2.60% 10/30/25 Baa2 6/26/26-Quarterly | 700,000 | 1.000% | (22,361 | ) | (3,851 | ) | – | (18,510 | ) | (6,916 | ) | ||||||||||||||
British Telecom 2.70% 10/9/22 Baa1 12/20/28-Quarterly | EUR | 1,600,000 | 1.000% | (78,386 | ) | (72,134 | ) | – | (6,252 | ) | 6,501 | ||||||||||||||
British Telecom 5.75% 12/7/28 Baa2 12/20/24-Quarterly | EUR | 2,800,000 | 1.000% | 11,496 | 44,093 | – | (32,597 | ) | (55,217 | ) | |||||||||||||||
CDX.ITRX.EUR.375 6/21/27-Quarterly | EUR | 900,000 | 1.000% | (10,392 | ) | (4,004 | ) | – | (6,388 | ) | 14,774 | ||||||||||||||
CDX.NA.IG.357 12/20/25-Quarterly | 400,000 | 1.000% | 3,055 | 6,801 | – | (3,746 | ) | (508,621 | ) |
54
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | |||||||||||||||||||
Protection Sold Moody’s Ratings (continued): | ||||||||||||||||||||||||||
CDX.NA.IG.367 6/20/26-Quarterly | 1,900,000 | 1.000% | $ | 10,722 | $ | 35,108 | $ | – | $ | (24,386 | ) | $ | (387,261 | ) | ||||||||||||
CDX.NA.IG.377 12/20/26-Quarterly | 300,000 | 1.000% | 1,068 | 5,610 | – | (4,542 | ) | 183,345 | ||||||||||||||||||
General Electric 2.70% 10/9/22 Baa1 12/20/26-Quarterly | 1,200,000 | 1.000% | (17,496 | ) | 10,969 | – | (28,465 | ) | 9,098 | |||||||||||||||||
General Electric 2.70% 10/9/22 Baa1 6/20/26- Quarterly | 600,000 | 1.000% | (5,453 | ) | 4,316 | – | (9,769 | ) | 1,575 | |||||||||||||||||
General Motors 5.70% 10/9/22 Baa1 12/20/26- Quarterly | 600,000 | 5.000% | 57,823 | 95,529 | – | (37,706 | ) | (11,026 | ) | |||||||||||||||||
Stellantis 5.00% 1/11/21 Baa3 6/20/26-Quarterly | EUR | 3,100,000 | 5.000% | 294,531 | 559,613 | – | (265,082 | ) | 21,594 | |||||||||||||||||
Tesco 1.00% 6/25/19 Baa3 6/20/28-Quarterly | EUR | 2,700,000 | 1.000% | (114,249 | ) | 672 | – | (114,921 | ) | (25,983 | ) | |||||||||||||||
Valeo 1.00% Baa3 6/20/26-Quarterly | EUR | 400,000 | 1.000% | (27,999 | ) | (5,431 | ) | – | (22,568 | ) | (287,790 | ) | ||||||||||||||
Valeo 1.00% Baa3 6/20/28-Quarterly | EUR | 3,000,000 | 1.000% | (398,960 | ) | (114,350 | ) | – | (284,610 | ) | 21,132 | |||||||||||||||
(455,788 | ) | 556,794 | 7,086 | (1,019,668 | ) | (1,372,152 | ) | |||||||||||||||||||
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% | 39,848 | 11,614 | 28,234 | – | – | |||||||||||||||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 6/20/26-Quarterly | 2,570,000 | 1.000% | 117,361 | 60,477 | 56,884 | – | – | |||||||||||||||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 9/20/27-Quarterly | 520,000 | 1.000% | 42,971 | 32,487 | 10,484 | – | – | |||||||||||||||||||
JPMCB Republic of Brazil 4.25% 1/7/25 Ba2 9/20/27-Quarterly | 520,000 | 1.000% | 42,971 | 31,798 | 11,173 | – | – | |||||||||||||||||||
Protection Sold Moody’s Ratings: | ||||||||||||||||||||||||||
DB CMBX.NA.AAA8 10/17/57-Monthly | 14,200,000 | 0.500% | (12,193 | ) | (806,607 | ) | 794,414 | – | – | |||||||||||||||||
JPMCB HOCHTIEF 1.00% 3/7/25 BBB 12/20/26-Quarterly | EUR | 1,100,000 | 5.000% | 96,453 | 215,291 | – | (118,838 | ) | – |
55
Schedules of investments
Optimum Fixed Income Fund
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||||
Protection Sold Moody’s Ratings (continued): | |||||||||||||||||||||||||||
JPMCB HOCHTIEF 5.00% 3/7/25 BBB 12/20/26-Quarterly | EUR | 1,100,000 | 5.000% | $ | 96,453 | $ | 213,560 | $ | – | $ | (117,107 | ) | $ | – | |||||||||||||
JPMCB Republic of South Africa 5.50% 3/9/20 Baa3 12/20/23-Quarterly | 700,000 | 1.000% | (7,804 | ) | (8,245 | ) | 441 | – | – | ||||||||||||||||||
416,060 | (249,625 | ) | 901,630 | (235,945 | ) | – | |||||||||||||||||||||
Total CDS Contracts | $ | (39,728 | ) | $ | 307,169 | $ | 908,716 | $ | (1,255,613 | ) | $ | (1,372,152 | ) |
IRS Contracts8 Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount3 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||
Centrally Cleared: | |||||||||||||||||||||||||
1 yr IRS10 3/24/23-(28 Days/28 Days) | MXN 172,990,000 | 5.66%/ (7.236)% | $ | (190,100 | ) | $ | (2,493 | ) | $ | – | $ | (187,607 | ) | $ | (163,906 | ) | |||||||||
2 yr IRS113/30/23- (Semiannually/ Quarterly) | 7,600,000 | 0.25%/ (3.755)% | 149,734 | (1,681 | ) | 151,415 | – | 174,932 | |||||||||||||||||
2 yr IRS12 8/10/24- (Semiannually/ Quarterly) | EUR 1,500,000 | (1.809)%/ 0.55% | (57,373 | ) | – | – | (57,373 | ) | (4 | ) | |||||||||||||||
3yr IRS13 1/2/25- (At Maturity/ At Maturity) | BRL 36,000,000 | 11.835%/ (13.65)% | 31,243 | – | 31,243 | – | 12,873 | ||||||||||||||||||
3yr IRS13 1/2/25- (At Maturity/ At Maturity) | BRL 37,000,000 | 11.80%/ (13.65)% | 26,971 | – | 26,971 | – | 7,985 | ||||||||||||||||||
3yr IRS13 1/2/25- (At Maturity/ At Maturity) | BRL 37,000,000 | 11.734%/ (13.65)% | 17,286 | – | 17,286 | – | (1,900 | ) | |||||||||||||||||
5 yr IRS11 2/18/26- (Semiannually/ Quarterly) | 42,100,000 | (3.755)%/ 0.64% | (4,708,194 | ) | (246,655 | ) | – | (4,461,539 | ) | (371,688 | ) | ||||||||||||||
5 yr IRS14 3/15/28- (Annually/ Annually) | GBP 27,600,000 | 2.25%/ (2.19)% | 3,648,032 | 1,688,417 | 1,959,615 | – | 2,271,810 | ||||||||||||||||||
5 yr IRS14 9/16/25- (Annually/ Annually) | GBP 5,700,000 | 0.50%/ (2.19)% | 827,171 | (36,153 | ) | 863,324 | – | 747,882 |
56
IRS Contracts8 Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount3 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||
Centrally Cleared (continued): | |||||||||||||||||||||||||
5 yr IRS13 1/4/27- (At Maturity/ At Maturity) | BRL 43,000,000 | 11.115%/ (13.65)% | $ | (168,045 | ) | $ | (239,775 | ) | $ | 71,730 | $ | – | $ | (2,537 | ) | ||||||||||
5 yr IRS12 4/11/27- (Annually/ Semiannually) | EUR 1,900,000 | (1.809)%/ 0.70% | (167,488 | ) | – | – | (167,488 | ) | 23,158 | ||||||||||||||||
5 yr IRS12 4/12/27- (Annually/ Semiannually) | EUR 3,800,000 | (1.809)%/ 0.65% | (343,065 | ) | – | – | (343,065 | ) | 48,950 | ||||||||||||||||
5 yr IRS12 5/13/27- (Annually/ Semiannually) | EUR 4,100,000 | (1.809)%/ 1.00% | (317,119 | ) | – | – | (317,119 | ) | 35,711 | ||||||||||||||||
5 yr IRS12 5/18/27- (Annually/ Semiannually) | EUR 2,000,000 | (1.809)%/ 1.00% | (155,478 | ) | – | – | (155,478 | ) | 17,312 | ||||||||||||||||
6 yr IRS13 1/4/27- (At Maturity/ At Maturity) | BRL 6,600,000 | 10.12%/ (13.65)% | 82,806 | – | 82,806 | – | 168,018 | ||||||||||||||||||
6 yr IRS13 1/4/27- (At Maturity/ At Maturity) | BRL 32,100,000 | 11.065%/ (13.65)% | (130,564 | ) | – | – | (130,564 | ) | 119,928 | ||||||||||||||||
6 yr IRS13 1/4/27- (At Maturity/ At Maturity) | BRL 67,700,000 | 10.995%/ (13.65)% | (318,789 | ) | – | – | (318,789 | ) | (398,710 | ) | |||||||||||||||
6 yr IRS13 1/4/27- (At Maturity/ At Maturity) | BRL 32,400,000 | 11.10%/ (13.65)% | (131,461 | ) | – | – | (131,461 | ) | 116,970 | ||||||||||||||||
7 yr IRS11 12/16/22- (Semiannually/ Quarterly) | 41,600,000 | 2.25%/ (3.755)% | 113,090 | (179,269 | ) | 292,359 | – | 1,072,438 | |||||||||||||||||
10 yr IRS11 10/1/31- (Semiannually/ Quarterly) | 8,600,000 | 1.80%/ (3.755)% | (1,351,392 | ) | 112,243 | – | (1,463,635 | ) | (176,556 | ) | |||||||||||||||
10 yr IRS11 5/18/32- (Annually/ Annually) | 9,900,000 | (1.853)%/ 1.05% | (1,392,889 | ) | – | – | (1,392,889 | ) | 38,301 | ||||||||||||||||
10 yr IRS12 3/15/33- (Annually/ Semiannually) | EUR 15,660,000 | (1.809)%/ 1.75% | (1,725,538 | ) | (1,963,569 | ) | 238,031 | – | (1,725,538 | ) | |||||||||||||||
10yr IRS11 7/15/32- (Annually/ Annually) | 16,200,000 | 1.857%/ (1.05)% | (2,265,161 | ) | – | – | (2,265,161 | ) | (18,108 | ) |
57
Schedules of investments
Optimum Fixed Income Fund
IRS Contracts8 Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/ Floating Rate) | Notional Amount3 | Fixed/ Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | ||||||||||||||||
Centrally Cleared (continued): | |||||||||||||||||||||||
30 yr IRS11 12/21/52- (Annually/ Annually) | 17,000,000 | 1.75%/ (1.05)% | $ | 4,171,535 | $ | 3,512,903 | $ | 658,632 | $ | – | $ | 481,721 | |||||||||||
Total IRS Contracts | $ | (4,354,788 | ) | $ | 2,643,968 | $ | 4,393,412 | $ | (11,392,168 | ) | $ | 2,479,042 |
The use of foreign currency exchange contracts and futures 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 5 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 $(790,578). |
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 EUR006M. |
13 | Rate resets based on Brazil CETIP Interbank Deposit. |
14 | Rate resets based on BP0012M. |
Summary of abbreviations:
12MTA – 12 Month Treasury Average
ABS – Asset-Backed Security
ARM – Adjustable Rate Mortgage
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
58
Summary of abbreviations: (continued)
CDOR06M – 6 Month Canadian Dollar Offered Rate
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
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
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
PJSC – Private Joint Stock Company
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
SONIA – Sterling Overnight Indexed Average
TBA – To be announced
TBD – To be determined
TD – TD Bank
USBMMY3M – US Treasury 3 Month Bill Money Market Yield yr – Year
Summary of currencies:
AUD – Australian Dollar
BRL – Brazilian Real
CAD – Canadian Dollar
COP – Colombian Peso
DKK – Danish Krone
EUR – European Monetary Unit
GBP – British Pound Sterling
INR – Indian Rupee
JPY – Japanese Yen
KRW – South Korean Won
MXN – Mexican Peso
PLN – Polish Zloty
USD – US Dollar
ZAR – South African Rand
See accompanying notes, which are an integral part of the financial statements.
59
Schedules of investments
Optimum International Fund
September 30, 2022 (Unaudited)
Number of shares | Value (US $) | ||||||
Common Stocks – 97.08%∆ | |||||||
Australia – 5.49% | |||||||
Australia & New Zealand Banking Group | 124,209 | $ | 1,818,271 | ||||
Australian Clinical Labs | 32,563 | 73,607 | |||||
Base Resources | 216,665 | 39,498 | |||||
BHP Group | 171,921 | 4,273,635 | |||||
BlueScope Steel | 352,361 | 3,422,005 | |||||
Cochlear | 19,819 | 2,461,869 | |||||
CSR | 23,001 | 65,547 | |||||
DGL Group † | 11,007 | 10,564 | |||||
EBOS Group | 47 | 989 | |||||
Enero Group | 23,974 | 44,397 | |||||
Glencore | 153,347 | 805,841 | |||||
GrainCorp Class A | 27,532 | 138,495 | |||||
Healius | 84,206 | 181,139 | |||||
Iluka Resources | 40,247 | 233,006 | |||||
Incitec Pivot | 298,052 | 677,733 | |||||
New Hope | 130,039 | 525,292 | |||||
Nufarm | 262,892 | 842,461 | |||||
OceanaGold † | 131,300 | 213,867 | |||||
Orica | 23,139 | 196,996 | |||||
Pilbara Minerals † | 576,919 | 1,664,549 | |||||
Rio Tinto | 145,013 | 7,846,056 | |||||
Sonic Healthcare | 21,968 | 428,490 | |||||
South32 | 2,193,916 | 5,208,159 | |||||
Telstra | 53,921 | 133,143 | |||||
Wagners Holding † | 20,675 | 10,592 | |||||
Whitehaven Coal | 1,085,991 | 6,300,763 | |||||
37,616,964 | |||||||
Austria – 0.67% | |||||||
ANDRITZ | 29,128 | 1,232,691 | |||||
AT&S Austria Technologie & Systemtechnik | 505 | 16,518 | |||||
EVN | 7,308 | 121,686 | |||||
OMV | 86,234 | 3,121,081 | |||||
Raiffeisen Bank International | 5,440 | 64,359 | |||||
Zumtobel Group | 4,204 | 24,579 | |||||
4,580,914 | |||||||
Belgium – 0.00% | |||||||
Ascencio | 175 | 8,695 | |||||
8,695 | |||||||
Brazil – 2.83% | |||||||
Gerdau ADR | 585,632 | 2,647,056 | |||||
Marfrig Global Foods | 247,300 | 454,317 | |||||
MercadoLibre † | 17,847 | 14,773,390 | |||||
Transmissora Alianca de Energia Eletrica | 98,100 | 709,424 | |||||
Unipar Carbocloro | 4,074 | 64,376 | |||||
Yara International | 21,615 | 758,582 | |||||
19,407,145 | |||||||
Canada – 3.23% | |||||||
Advantage Energy † | 41,200 | 296,171 | |||||
Alaris Equity Partners Income | 10,277 | 110,407 | |||||
Algoma Steel Group | 19,200 | 123,705 | |||||
Atco Class I | 18,133 | 557,242 | |||||
Bird Construction | 33,900 | 146,266 | |||||
Black Diamond Group | 5,800 | 15,955 | |||||
Bonterra Energy † | 3,562 | 17,586 | |||||
Canadian Utilities Class A | 16,900 | 439,582 | |||||
Canfor † | 12,800 | 186,345 | |||||
Cardinal Energy | 4,304 | 22,122 | |||||
Celestica † | 54,897 | 462,592 | |||||
Constellation Software | 3,768 | 5,243,012 | |||||
Crew Energy † | 70,025 | 261,070 | |||||
DRI Healthcare Trust | 5,500 | 30,260 | |||||
Dundee Precious Metals | 33,400 | 148,461 | |||||
E-L Financial | 100 | 61,968 | |||||
Finning International | 46,000 | 808,542 | |||||
iA Financial | 2,900 | 147,357 | |||||
Linamar | 1,900 | 74,014 | |||||
Major Drilling Group International † | 5,600 | 33,689 | |||||
Martinrea International | 12,198 | 75,501 | |||||
Methanex | 61,600 | 1,962,138 | |||||
Mullen Group | 7,400 | 76,285 | |||||
Neo Performance Materials | 2,267 | 16,723 | |||||
New Gold † | 136,354 | 119,992 | |||||
North West | 682 | 15,794 | |||||
NuVista Energy † | 90,543 | 643,014 | |||||
Pason Systems | 7,400 | 70,821 | |||||
Pet Valu Holdings | 3,100 | 77,985 | |||||
PHX Energy Services | 10,600 | 44,430 | |||||
Pizza Pizza Royalty | 15,000 | 137,257 | |||||
Richelieu Hardware | 1,297 | 35,989 | |||||
Ritchie Bros Auctioneers | 82,021 | 5,124,672 | |||||
Shopify Class A † | 95,597 | 2,575,383 | |||||
TMX Group | 11,728 | 1,078,771 | |||||
Torex Gold Resources † | 4,200 | 30,314 | |||||
Total Energy Services | 7,700 | 36,010 | |||||
TransAlta | 37,000 | 327,050 | |||||
Uni-Select † | 4,000 | 105,636 | |||||
Wajax | 1,700 | 22,891 | |||||
Western Forest Products | 65,984 | 63,053 | |||||
Westshore Terminals Investment | 13,400 | 257,261 | |||||
Winpak | 914 | 29,729 | |||||
22,113,045 |
60
Number of shares | Value (US $) | ||||||
Common Stocks∆ (continued) | |||||||
China/Hong Kong – 11.03% | |||||||
37 Interactive Entertainment Network Technology Group Class A | 1,106,600 | $ | 2,707,524 | ||||
AIA Group | 1,538,200 | 12,806,910 | |||||
Alibaba Group Holding † | 349,800 | 3,490,773 | |||||
Asia Cement China Holdings | 312,198 | 128,067 | |||||
Build King Holdings | 77,164 | 6,476 | |||||
Canny Elevator Class A | 113,100 | 104,151 | |||||
China BlueChemical Class H | 500,000 | 103,346 | |||||
China Coal Energy Class H | 172,000 | 154,953 | |||||
China Construction Bank Class H | 9,884,000 | 5,705,064 | |||||
China Design Group Class A | 180,700 | 199,719 | |||||
China Display Optoelectronics Technology Holdings † | 344,000 | 15,832 | |||||
China South Publishing & Media Group Class A | 216,845 | 300,436 | |||||
Chinese Universe Publishing and Media Group Class A | 575,900 | 678,668 | |||||
Chongqing Rural Commercial Bank Class H | 434,000 | 140,747 | |||||
Consun Pharmaceutical Group | 44,000 | 18,791 | |||||
Dah Sing Financial Holdings | 30,000 | 68,151 | |||||
Daqin Railway Class A | 2,243,700 | 2,138,541 | |||||
Dare Power Dekor Home Class A | 98,000 | 110,768 | |||||
Fufeng Group | 160,000 | 81,631 | |||||
Futu Holdings ADR † | 32,191 | 1,200,402 | |||||
G-bits Network Technology Xiamen Class A | 26,800 | 934,732 | |||||
Hangzhou Tigermed Consulting Class H | 194,500 | 1,563,726 | |||||
Hong Kong Exchanges & Clearing | 147,000 | 5,024,815 | |||||
Huayu Automotive Systems Class A | 484,600 | 1,123,350 | |||||
Inner Mongolia Yitai Coal Class H | 15,000 | 19,723 | |||||
Jingjin Equipment Class A | 34,634 | 129,339 | |||||
Jiutian Chemical Group | 1,258,400 | 67,175 | |||||
Johnson Electric Holdings | 38,000 | 37,934 | |||||
Lansen Pharmaceutical Holdings † | 24,176 | 4,065 | |||||
Lenovo Group | 2,572,000 | 1,779,040 | |||||
Luolai Lifestyle Technology Class A | 534,892 | 770,170 | |||||
Meituan Class B † | 269,100 | 5,655,529 | |||||
Natural Food International Holding Class H | 344,000 | 19,659 | |||||
Orient Overseas International | 116,491 | 2,027,301 | |||||
Pacific Basin Shipping | 164,930 | 50,928 | |||||
PAX Global Technology | 113,000 | 85,521 | |||||
PetroChina Class H | 1,724,000 | 704,755 | |||||
PICC Property & Casualty Class H | 576,000 | 595,632 | |||||
Ping An Healthcare and Technology † | 691,400 | 1,300,189 | |||||
Ping An Insurance Group Co. of China Class H | 1,004,000 | 5,008,750 | |||||
Pony Testing International Group Class A | 43,400 | 213,422 | |||||
Prosus † | 55,251 | 2,874,523 | |||||
SGIS Songshan Class A | 2,090,200 | 881,851 | |||||
Sinopec Engineering Group Class H | 34,001 | 13,587 | |||||
Sinotruk Hong Kong | 243,052 | 201,959 | |||||
Suzhou Gold Mantis Construction Decoration Class A † | 838,900 | 533,700 | |||||
Ten Pao Group Holdings | 32,183 | 5,318 | |||||
Tencent Holdings | 228,500 | 7,717,889 | |||||
Tencent Music Entertainment Group ADR † | 605,212 | 2,457,161 | |||||
Texhong Textile Group | 104,524 | 71,192 | |||||
Tian Di Science & Technology Class A | 1,137,500 | 761,212 | |||||
United Laboratories International Holdings | 222,000 | 92,187 | |||||
Wuxi Biologics Cayman † | 227,000 | 1,351,296 | |||||
Yue Yuen Industrial Holdings | 21,000 | 26,784 | |||||
Zhejiang Runtu Class A | 418,589 | 475,328 | |||||
Zhejiang Semir Garment Class A | 1,163,378 | 782,548 | |||||
Zhenro Properties Group † | 1,431,000 | 45,360 | |||||
75,568,600 | |||||||
Czech Republic – 0.02% | |||||||
CEZ | 4,455 | 152,662 | |||||
152,662 | |||||||
Denmark – 4.96% | |||||||
Ambu Class B | 137,089 | 1,191,173 | |||||
AP Moller - Maersk Class B | 2,741 | 4,981,024 | |||||
Chr Hansen Holding | 65,487 | 3,225,840 | |||||
Demant † | 5,300 | 131,024 | |||||
DSV | 54,642 | 6,401,175 | |||||
Genmab † | 9,656 | 3,106,371 | |||||
Novo Nordisk Class B | 76,783 | 7,648,954 | |||||
Novozymes Class B | 121,339 | 6,097,542 | |||||
Pandora | 24,338 | 1,138,197 | |||||
Solar Class B | 614 | 40,189 | |||||
33,961,489 | |||||||
Egypt – 0.00% | |||||||
ElSewedy Electric † | 13,000 | 5,026 | |||||
5,026 |
61
Schedules of investments
Optimum International Fund
Number of shares | Value (US $) | ||||||
Common Stocks∆ (continued) | |||||||
Finland – 0.72% | |||||||
Kone Class B | 125,027 | $ | 4,817,105 | ||||
Orion Class A | 1,418 | 60,314 | |||||
QT Group † | 2 | 76 | |||||
Vaisala Class A | 805 | 29,506 | |||||
4,907,001 | |||||||
France – 5.11% | |||||||
ABC arbitrage | 4,110 | 25,779 | |||||
Alten | 1,283 | 140,989 | |||||
Aubay | 452 | 19,259 | |||||
Danone | 132,590 | 6,269,562 | |||||
Dassault Aviation | 4,595 | 522,777 | |||||
Dassault Systemes | 192,747 | 6,654,604 | |||||
Derichebourg | 2,657 | 10,587 | |||||
Edenred | 152,517 | 7,026,573 | |||||
Engie SA | 14,527 | 167,204 | |||||
Ipsen | 7,085 | 655,718 | |||||
IPSOS | 23,199 | 1,036,744 | |||||
Kering | 8,957 | 3,972,866 | |||||
Nexans | 29,096 | 2,590,070 | |||||
Sartorius Stedim Biotech | 15,080 | 4,625,591 | |||||
Thales | 11,153 | 1,228,994 | |||||
Virbac | 331 | 86,100 | |||||
35,033,417 | |||||||
Germany – 7.85% | |||||||
Atoss Software | 919 | 102,428 | |||||
Bayer | 79,230 | 3,650,486 | |||||
BioNTech ADR | 17,513 | 2,362,154 | |||||
Carl Zeiss Meditec | 10,019 | 1,040,716 | |||||
Deutsche Bank | 70,959 | 525,379 | |||||
Deutsche Boerse | 80,699 | 13,228,725 | |||||
HUGO BOSS | 15,317 | 713,173 | |||||
Mercedes-Benz Group | 6,821 | 344,918 | |||||
Merck | 34,861 | 5,643,326 | |||||
Rational | 11,244 | 5,445,717 | |||||
Rheinmetall | 459 | 70,671 | |||||
RWE | 95,245 | 3,500,826 | |||||
SAP | 101,360 | 8,260,350 | |||||
Scout24 | 161,614 | 8,098,547 | |||||
Wacker Chemie | 7,450 | 765,905 | |||||
Westwing Group † | 2 | 11 | |||||
53,753,332 | |||||||
Greece – 0.07% | |||||||
National Bank of Greece † | 154,581 | 455,138 | |||||
Thrace Plastics Holding and Co. | 15,514 | 54,770 | |||||
509,908 | |||||||
Hong Kong – 0.00% | |||||||
Perennial Energy Holdings | 226,875 | 23,468 | |||||
23,468 | |||||||
Hungary – 0.26% | |||||||
MOL Hungarian Oil & Gas | 189,107 | 1,050,247 | |||||
OTP Bank | 38,678 | 705,606 | |||||
1,755,853 | |||||||
India – 2.80% | |||||||
AurionPro Solutions | 13,221 | 71,996 | |||||
CESC | 280,118 | 264,661 | |||||
Deccan Cements | 5,297 | 34,030 | |||||
Dhampur Bio Organics † | 47,510 | 87,864 | |||||
Dwarikesh Sugar Industries | 162,577 | 190,720 | |||||
EID Parry India | 25,171 | 184,122 | |||||
GAIL India | 1,732,071 | 1,840,797 | |||||
Gujarat Ambuja Exports | 14,343 | 48,917 | |||||
Gujarat Industries Power | 34,719 | 37,359 | |||||
Gujarat Narmada Valley Fertilizers & Chemicals | 71,443 | 558,890 | |||||
Housing Development Finance | 385,196 | 10,746,788 | |||||
ICICI Lombard General Insurance | 279,574 | 3,939,511 | |||||
ITC | 15,882 | 64,548 | |||||
ITD Cementation India | 71,924 | 99,881 | |||||
Kirloskar Industries | 1,576 | 33,151 | |||||
Mangalam Cement | 6,512 | 29,933 | |||||
NTPC | 174,436 | 340,684 | |||||
Oracle Financial Services Software | 1,076 | 39,224 | |||||
Ram Ratna Wires | 14,990 | 38,791 | |||||
RITES | 22,086 | 88,290 | |||||
Rupa & Co. | 325 | 1,278 | |||||
Savita Oil Technologies | 24,350 | 86,983 | |||||
Shree Digvijay Cement | 11,266 | 9,175 | |||||
Siyaram Silk Mills | 7,386 | 39,219 | |||||
SJVN | 185,188 | 70,296 | |||||
Techno Electric & Engineering | 5,276 | 17,008 | |||||
Technocraft Industries India † | 2,371 | 23,282 | |||||
Triveni Turbine | 22,086 | 63,353 | |||||
VST Industries | 973 | 38,602 | |||||
Wonderla Holidays † | 13,722 | 63,480 | |||||
Yasho Industries | 10 | 194 | |||||
19,153,027 | |||||||
Indonesia – 0.88% | |||||||
ABM Investama | 312,200 | 80,851 | |||||
Adaro Energy Indonesia | 9,630,698 | 2,483,582 | |||||
Akasha Wira International † | 37,900 | 17,845 | |||||
Blue Bird | 479,300 | 42,548 | |||||
Bukit Asam | 2,032,100 | 553,426 | |||||
Bumitama Agri | 133,900 | 53,038 | |||||
Indo Tambangraya Megah | 41,400 | 111,851 | |||||
Indo-Rama Synthetics | 40,800 | 18,372 | |||||
MD Pictures † | 1,411,300 | 267,848 |
62
Number of shares | Value (US $) | ||||||
Common Stocks∆ (continued) | |||||||
Indonesia (continued) | |||||||
Media Nusantara Citra | 3,028,300 | $ | 164,518 | ||||
MNC Energy Investments † | 2,180,600 | 19,332 | |||||
Panin Financial | 10,077,600 | 324,283 | |||||
Perusahaan Gas Negara | 5,979,800 | 684,873 | |||||
Samudera Indonesia | 8,496 | 1,250 | |||||
Sawit Sumbermas Sarana | 1,152,600 | 97,805 | |||||
Timah | 373,374 | 32,636 | |||||
United Tractors | 516,200 | 1,108,356 | |||||
6,062,414 | |||||||
Iraq – 0.00% | |||||||
Gulf Keystone Petroleum | 9,433 | 20,841 | |||||
20,841 | |||||||
Ireland – 3.16% | |||||||
CRH | 116,382 | 3,741,899 | |||||
CRH (London Stock Exchange) | 117,588 | 3,771,834 | |||||
Kingspan Group | 134,655 | 6,066,824 | |||||
Ryanair Holdings ADR † | 137,637 | 8,040,754 | |||||
21,621,311 | |||||||
Israel – 1.91% | |||||||
Bank Hapoalim | 181,329 | 1,530,680 | |||||
Bank Leumi Le-Israel | 548,934 | 4,688,317 | |||||
Check Point Software Technologies † | 35,989 | 4,031,488 | |||||
FIBI Holdings | 4,934 | 221,589 | |||||
ICL Group | 293,939 | 2,355,759 | |||||
Isracard | 1,860 | 5,099 | |||||
Israel | 731 | 280,565 | |||||
13,113,497 | |||||||
Italy – 0.90% | |||||||
Azimut Holding | 12,755 | 181,928 | |||||
Banca IFIS | 17,439 | 192,562 | |||||
FinecoBank Banca Fineco | 452,978 | 5,594,503 | |||||
MFE-MediaForEurope Class A | 54,041 | 15,828 | |||||
Recordati Industria Chimica e Farmaceutica | 5,628 | 205,976 | |||||
6,190,797 | |||||||
Japan – 12.50% | |||||||
A&A Material | 1,800 | 10,610 | |||||
Achilles | 3,900 | 35,060 | |||||
ADEKA | 5,100 | 76,146 | |||||
Advanced Media † | 6,500 | 41,087 | |||||
AGS | 3,000 | 13,442 | |||||
Akatsuki | 2,700 | 38,891 | |||||
Alfresa Holdings | 4,700 | 54,776 | |||||
Alps Alpine | 63,800 | 461,201 | |||||
Alps Logistics | 3,100 | 22,128 | |||||
Amiyaki Tei | 1,200 | 24,166 | |||||
Anest Iwata | 7,200 | 42,633 | |||||
Arisawa Manufacturing | 11,000 | 93,260 | |||||
Asia Pile Holdings | 7,200 | 23,972 | |||||
Avant Group | 2,000 | 19,988 | |||||
Benesse Holdings | 3,300 | 49,134 | |||||
BIPROGY | 3,800 | 82,348 | |||||
BML | 10,600 | 239,269 | |||||
Brother Industries | 55,000 | 950,211 | |||||
Chiba Kogyo Bank | 10,300 | 20,107 | |||||
COLOPL † | 5,200 | 24,436 | |||||
Computer Engineering & Consulting | 5,700 | 57,984 | |||||
Cosel | 6,400 | 36,298 | |||||
CTI Engineering | 2,000 | 39,185 | |||||
Cybernet Systems | 600 | 3,754 | |||||
Dai Nippon Toryo | 4,200 | 20,740 | |||||
Daihatsu Diesel Manufacturing | 6,500 | 22,181 | |||||
Dai-ichi Life Holdings | 28,700 | 456,339 | |||||
Daiken | 4,200 | 52,993 | |||||
Daito Trust Construction | 13,900 | 1,300,238 | |||||
Daitron | 2,300 | 31,872 | |||||
Daiwa House Industry | 45,600 | 927,167 | |||||
Daiwa Industries | 4,700 | 37,232 | |||||
Denso | 132,600 | 6,062,893 | |||||
Digital Arts | 1,000 | 43,299 | |||||
Doshisha | 6,100 | 60,887 | |||||
Eizo | 13,400 | 337,186 | |||||
Elecom | 23,800 | 237,192 | |||||
Elematec | 9,800 | 84,768 | |||||
en Japan | 11,700 | 180,513 | |||||
Enigmo | 5,800 | 19,952 | |||||
Enplas | 5,300 | 148,631 | |||||
FANUC | 45,300 | 6,360,769 | |||||
FCC | 2,900 | 26,498 | |||||
Financial Products Group | 10,500 | 82,104 | |||||
Fudo Tetra | 3,700 | 37,717 | |||||
Fuji Seal International | 3,700 | 39,183 | |||||
Fujitsu | 23,400 | 2,565,857 | |||||
Fuso Pharmaceutical Industries | 600 | 8,168 | |||||
Gakujo | 2,600 | 25,623 | |||||
Glory | 9,000 | 132,105 | |||||
H.U. Group Holdings | 7,600 | 138,361 | |||||
Hamakyorex | 1,400 | 30,337 | |||||
Heiwa | 4,600 | 71,148 | |||||
Hisamitsu Pharmaceutical | 1,700 | 39,907 | |||||
Hosokawa Micron | 1,900 | 32,297 | |||||
Ichiken | 3,100 | 38,160 | |||||
Ichikoh Industries | 9,200 | 24,326 | |||||
Ichiyoshi Securities | 10,500 | 43,107 | |||||
ID Holdings | 3,000 | 17,951 |
63
Schedules of investments
Optimum International Fund
Number of shares | Value (US $) | ||||||
Common Stocks∆ (continued) | |||||||
Japan (continued) | |||||||
Ines | 3,900 | $ | 39,330 | ||||
I-Net | 2,300 | 19,962 | |||||
Infocom | 7,000 | 92,235 | |||||
I-PEX | 9,200 | 79,030 | |||||
ISB | 3,100 | 26,252 | |||||
Ishihara Sangyo Kaisha | 10,800 | 76,286 | |||||
Itfor | 8,900 | 46,870 | |||||
IwaiCosmo Holdings | 3,800 | 31,841 | |||||
Izumi | 2,100 | 45,266 | |||||
JAC Recruitment | 8,500 | 130,154 | |||||
Japan Exchange Group | 325,200 | 4,395,098 | |||||
Japan Lifeline | 5,900 | 39,429 | |||||
Japan Post Insurance | 73,900 | 1,035,050 | |||||
Japan System Techniques | 4,000 | 33,332 | |||||
JP-Holdings | 14,500 | 27,174 | |||||
Kanamoto | 9,800 | 139,999 | |||||
Kandenko | 6,700 | 38,518 | |||||
Kanematsu Electronics | 5,700 | 157,219 | |||||
Kenko Mayonnaise | 3,000 | 32,293 | |||||
Keyence | 12,200 | 4,032,839 | |||||
Kokuyo | 21,500 | 272,498 | |||||
Konoike Transport | 8,800 | 86,710 | |||||
Kuraray | 25,700 | 179,674 | |||||
Kyokuto Securities | 8,400 | 38,638 | |||||
Lifedrink | 2,400 | 28,041 | |||||
Marvelous | 9,000 | 41,457 | |||||
Maxell | 4,400 | 41,656 | |||||
Meiko Network Japan | 11,000 | 46,062 | |||||
Meisei Industrial | 4,800 | 23,298 | |||||
Meitec | 2,700 | 42,720 | |||||
Melco Holdings | 3,200 | 68,731 | |||||
MIMAKI ENGINEERING | 9,200 | 42,476 | |||||
Miroku Jyoho Service | 14,900 | 148,551 | |||||
Mitsuba | 8,000 | 21,372 | |||||
Mitsubishi Electric | 117,900 | 1,066,765 | |||||
Mitsubishi Research Institute | 7,500 | 231,072 | |||||
MIXI | 19,200 | 304,778 | |||||
MonotaRO | 375,400 | 5,760,457 | |||||
MORESCO | 2,700 | 20,160 | |||||
Morito | 4,900 | 23,924 | |||||
MS&AD Insurance Group Holdings | 22,000 | 582,620 | |||||
Musashino Bank | 2,600 | 30,694 | |||||
Naigai Trans Line | 1,600 | 22,533 | |||||
Nidec | 99,300 | 5,558,432 | |||||
Nihon Kohden | 5,400 | 114,727 | |||||
Nihon Parkerizing | 6,200 | 39,949 | |||||
Nintendo | 114,000 | 4,598,111 | |||||
Nippon Kayaku | 4,300 | 34,429 | |||||
Nippon Telegraph & Telephone | 148,900 | 4,016,178 | |||||
Nisshinbo Holdings | 61,600 | 447,223 | |||||
Nitto Denko | 2,300 | 124,535 | |||||
Nitto Kohki | 2,100 | 22,649 | |||||
Nitto Seiko | 6,700 | 23,802 | |||||
NS Solutions | 2,000 | 48,248 | |||||
OBIC Business Consultants | 600 | 18,519 | |||||
Okabe | 5,100 | 22,881 | |||||
Okamura | 2,700 | 25,756 | |||||
Okinawa Cellular Telephone | 3,800 | 66,929 | |||||
Oracle Corp. Japan | 1,000 | 53,005 | |||||
Osaka Organic Chemical Industry | 2,500 | 35,094 | |||||
Osaki Electric | 19,600 | 67,676 | |||||
Otsuka Holdings | 5,900 | 186,823 | |||||
PC Depot | 16,500 | 30,611 | |||||
Pilot | 1,900 | 71,835 | |||||
Pronexus | 2,600 | 17,190 | |||||
QB Net Holdings | 2,500 | 23,400 | |||||
Recruit Holdings | 23,400 | 674,052 | |||||
Riken | 3,300 | 52,100 | |||||
Sakai Chemical Industry | 2,200 | 28,490 | |||||
Sangetsu | 11,200 | 123,840 | |||||
Sankyu | 1,500 | 43,562 | |||||
Sanshin Electronics | 5,700 | 65,884 | |||||
Sega Sammy Holdings | 25,000 | 340,489 | |||||
Seiko Epson | 41,600 | 568,025 | |||||
Sekisui Kasei | 7,100 | 19,536 | |||||
Shibusawa Warehouse | 1,600 | 22,378 | |||||
Shimano | 32,700 | 5,116,408 | |||||
Shinnihon | 4,000 | 19,521 | |||||
Shiseido | 147,100 | 5,155,448 | |||||
SIGMAXYZ Holdings | 1,400 | 10,904 | |||||
SMC | 12,800 | 5,209,221 | |||||
SMK | 1,300 | 20,935 | |||||
SMS | 4,400 | 88,891 | |||||
Soda Nikka | 4,600 | 18,759 | |||||
Sodick | 12,100 | 63,486 | |||||
Soliton Systems KK | 16,300 | 114,651 | |||||
Sompo Holdings | 18,400 | 736,209 | |||||
Sony Group | 105,600 | 6,802,168 | |||||
Space | 2,900 | 17,096 | |||||
SRA Holdings | 3,400 | 70,054 | |||||
Star Micronics | 10,200 | 114,794 | |||||
Step | 1,800 | 22,158 | |||||
Studio Alice | 1,300 | 19,335 | |||||
Sumitomo Seika Chemicals | 1,100 | 22,734 | |||||
Sun-Wa Technos | 2,700 | 23,739 | |||||
Suzuken | 8,800 | 200,496 | |||||
T&D Holdings | 21,100 | 200,556 | |||||
Takaoka Toko | 1,800 | 21,996 | |||||
Takara Standard | 12,700 | 113,795 |
64
Number of shares | Value (US $) | ||||||
Common Stocks∆ (continued) | |||||||
Japan (continued) | |||||||
Take And Give Needs † | 5,400 | $ | 60,861 | ||||
T-Gaia | 30,550 | 346,226 | |||||
TOA ROAD | 600 | 24,279 | |||||
Tochigi Bank | 15,400 | 29,257 | |||||
Toell | 2,500 | 12,869 | |||||
Tokio Marine Holdings | 22,200 | 394,563 | |||||
Tokuyama | 8,700 | 104,799 | |||||
Transcosmos | 5,000 | 129,839 | |||||
Trend Micro | 2,200 | 118,498 | |||||
Trusco Nakayama | 7,600 | 104,877 | |||||
Tsubakimoto Chain | 4,600 | 97,151 | |||||
TV Asahi Holdings | 7,100 | 68,840 | |||||
USS | 5,800 | 89,576 | |||||
V Technology | 1,400 | 24,779 | |||||
Vector | 6,700 | 50,838 | |||||
VINX | 2,800 | 28,056 | |||||
Warabeya Nichiyo Holdings | 2,600 | 39,913 | |||||
Workman | 2,100 | 66,522 | |||||
Wowow | 2,000 | 18,378 | |||||
Yachiyo Industry | 5,500 | 23,576 | |||||
YAMADA Consulting Group | 1,600 | 13,235 | |||||
Yamaichi Electronics | 4,000 | 49,330 | |||||
Yushin Precision Equipment | 6,700 | 32,680 | |||||
Zenrin | 8,800 | 54,335 | |||||
ZIGExN | 18,200 | 43,068 | |||||
85,636,908 | |||||||
Luxembourg – 0.04% | |||||||
Eurofins Scientific | 4,716 | 279,962 | |||||
279,962 | |||||||
Malaysia – 0.13% | |||||||
Hap Seng Plantations Holdings | 6,900 | 2,872 | |||||
Hong Leong Financial Group | 60,700 | 240,795 | |||||
Kuala Lumpur Kepong | 67,300 | 299,787 | |||||
Lingkaran Trans Kota Holdings | 42,600 | 45,475 | |||||
Magni-Tech Industries | 35,100 | 13,207 | |||||
Sarawak Oil Palms | 66,900 | 31,507 | |||||
Sime Darby | 258,000 | 118,653 | |||||
Ta Ann Holdings | 130,900 | 91,181 | |||||
United Plantations | 6,700 | 20,704 | |||||
864,181 | |||||||
Mexico – 0.29% | |||||||
Alpek | 418,701 | 545,115 | |||||
Grupo Financiero Inbursa Class O † | 198,588 | 315,244 | |||||
Ternium ADR | 40,244 | 1,102,283 | |||||
1,962,642 | |||||||
Netherlands – 4.89% | |||||||
Adyen † | 3,932 | 4,903,841 | |||||
ASML Holding | 16,004 | 6,630,122 | |||||
Brunel International | 4,916 | 41,023 | |||||
IMCD | 70,488 | 8,357,169 | |||||
NN Group | 1,809 | 70,359 | |||||
OCI | 23,864 | 873,699 | |||||
Randstad | 47,538 | 2,051,781 | |||||
TKH Group CVA | 1,206 | 39,069 | |||||
Topicus.com † | 74,810 | 3,597,119 | |||||
Van Lanschot Kempen CVA † | 1,316 | 25,333 | |||||
Wolters Kluwer | 70,835 | 6,897,460 | |||||
33,486,975 | |||||||
New Zealand – 0.02% | |||||||
Channel Infrastructure NZ † | 20,418 | 16,073 | |||||
Mainfreight | 2,193 | 82,672 | |||||
NZME | 26,652 | 17,262 | |||||
116,007 | |||||||
Norway – 1.13% | |||||||
Aker Carbon Capture † | 2,349,390 | 3,003,853 | |||||
Equinor | 139,264 | 4,592,750 | |||||
Kongsberg Gruppen | 3,616 | 109,737 | |||||
Western Bulk Chartering | 8,266 | 29,490 | |||||
7,735,830 | |||||||
Panama – 0.56% | |||||||
Copa Holdings Class A † | 56,922 | 3,814,343 | |||||
3,814,343 | |||||||
Philippines – 0.02% | |||||||
Ginebra San Miguel | 33,690 | 58,856 | |||||
LT Group | 368,500 | 51,803 | |||||
110,659 | |||||||
Poland – 0.31% | |||||||
Asseco Poland | 20,055 | 279,184 | |||||
Bank Handlowy w Warszawie | 3,186 | 34,825 | |||||
Bank Millennium † | 1,256 | 836 | |||||
Grupa Azoty † | 26,566 | 179,687 | |||||
PGE Polska Grupa Energetyczna † | 94,135 | 118,422 | |||||
Polski Koncern Naftowy ORLEN | 3,207 | 34,427 | |||||
Powszechny Zaklad Ubezpieczen | 319,276 | 1,481,322 | |||||
2,128,703 | |||||||
Portugal – 0.00% | |||||||
Sonae | 13,626 | 10,990 | |||||
10,990 | |||||||
Republic of Korea – 4.18% | |||||||
BNK Financial Group | 55,107 | 230,087 | |||||
Coupang † | 256,412 | 4,274,388 | |||||
Creas F&C | 894 | 14,049 | |||||
Crown Confectionery | 1,504 | 8,308 |
65
Schedules of investments
Optimum International Fund
Number of shares | Value (US $) | ||||||
Common Stocks∆ (continued) | |||||||
Republic of Korea (continued) | |||||||
DGB Financial Group | 8,243 | $ | 39,966 | ||||
e-Credible | 971 | 11,499 | |||||
Hana Financial Group | 9,782 | 240,197 | |||||
Handsome | 3,352 | 59,659 | |||||
Hyundai Engineering & Construction | 11,114 | �� | 288,247 | ||||
Hyundai Marine & Fire Insurance | 7,199 | 146,565 | |||||
JB Financial Group | 46,074 | 223,009 | |||||
KB Financial Group | 34,254 | 1,034,421 | |||||
Keyang Electric Machinery | 9,000 | 14,805 | |||||
KT | 144,489 | 3,632,093 | |||||
KT ADR | 210,130 | 2,567,789 | |||||
KT&G | 47,316 | 2,856,940 | |||||
LG Electronics | 3,689 | 200,185 | |||||
LX Semicon | 4,179 | 218,820 | |||||
Sambo Corrugated Board | 3,798 | 24,173 | |||||
Samsung Card | 5,928 | 124,541 | |||||
Samsung Electronics | 226,477 | 8,316,066 | |||||
Sangsangin | 14,436 | 73,854 | |||||
SeAH Holdings | 322 | 20,790 | |||||
SGC e Tec E&C | 532 | 14,373 | |||||
Shinhan Financial Group | 170,133 | 3,952,045 | |||||
SIMMTECH HOLDINGS | 14,030 | 27,713 | |||||
28,614,582 | |||||||
Russia – 0.00% | |||||||
Magnit PJSC = | 32,259 | 0 | |||||
MMC Norilsk Nickel PJSC ADR = | 100,954 | 0 | |||||
0 | |||||||
Singapore – 0.03% | |||||||
Geo Energy Resources | 121,400 | 30,593 | |||||
Riverstone Holdings | 143,000 | 57,250 | |||||
Samudera Shipping Line | 237,400 | 136,045 | |||||
223,888 | |||||||
South Africa – 1.26% | |||||||
AECI | 18,805 | 89,641 | |||||
African Rainbow Minerals | 1,375 | 18,575 | |||||
Anglo American | 115,720 | 3,474,588 | |||||
Discovery † | 784,298 | 4,527,811 | |||||
Ninety One | 21,208 | 40,987 | |||||
Omnia Holdings | 7,530 | 28,002 | |||||
Sappi † | 87,489 | 210,856 | |||||
Thungela Resources | 13,260 | 246,659 | |||||
8,637,119 | |||||||
Spain – 1.26% | |||||||
Amadeus IT Group † | 126,691 | 5,873,730 | |||||
Corp ACCIONA Energias Renovables | 13,262 | 494,996 | |||||
Industria de Diseno Textil | 94,454 | 1,949,213 | |||||
Laboratorios Farmaceuticos Rovi | 7,439 | 319,698 | |||||
8,637,637 | |||||||
Sweden – 1.98% | |||||||
Atlas Copco | 925,718 | 7,673,288 | |||||
Careium † | 276 | 223 | |||||
Doro † | 416 | 552 | |||||
Epiroc Class B | 466,396 | 5,881,096 | |||||
Instalco | 115 | 461 | |||||
Paradox Interactive | 4 | 64 | |||||
13,555,684 | |||||||
Switzerland – 6.68% | |||||||
Cie Financiere Richemont Class A | 74,698 | 7,051,149 | |||||
Huber + Suhner | 1,129 | 89,148 | |||||
Kuehne + Nagel International | 40,191 | 8,184,172 | |||||
Leonteq | 1,259 | 58,590 | |||||
Nestle | 95,326 | 10,310,205 | |||||
Novartis | 599 | 45,666 | |||||
Roche Holding | 30,248 | 9,846,715 | |||||
Sonova Holding | 16,330 | 3,593,596 | |||||
Straumann Holding | 25,976 | 2,375,770 | |||||
Temenos | 36,915 | 2,488,696 | |||||
Wizz Air Holdings † | 64,997 | 1,130,611 | |||||
Zehnder Group | 11,237 | 568,423 | |||||
45,742,741 | |||||||
Taiwan – 3.81% | |||||||
Aaeon Technology | 8,000 | 18,658 | |||||
Asustek Computer | 161,000 | 1,180,598 | |||||
C Sun Manufacturing | 30,987 | 44,257 | |||||
ChipMOS Technologies | 1,229,000 | 1,155,754 | |||||
Emerging Display Technologies | 104,000 | 65,180 | |||||
Evergreen Marine Taiwan | 345,600 | 1,575,737 | |||||
Everlight Electronics | 59,000 | 64,528 | |||||
Formosan Rubber Group | 56,000 | 35,438 | |||||
General Interface Solution Holding | 91,000 | 218,201 | |||||
Greatek Electronics | 11,000 | 17,033 | |||||
Group Up Industrial | 17,000 | 45,328 | |||||
Hon Hai Precision Industry | 816,000 | 2,612,928 | |||||
Lite-On Technology | 312,000 | 625,769 | |||||
Novatek Microelectronics | 260,000 | 1,779,472 | |||||
Pou Chen | 712,000 | 636,437 | |||||
Radiant Opto-Electronics | 19,000 | 60,019 | |||||
Realtek Semiconductor | 149,000 | 1,257,871 | |||||
Sea ADR † | 34,541 | 1,936,023 | |||||
Sercomm | 98,000 | 242,107 | |||||
Taiwan Semiconductor Manufacturing | 931,000 | 12,340,770 | |||||
Topkey | 17,000 | 83,361 | |||||
Unitech Computer | 31,000 | 28,127 |
66
Number of shares | Value (US $) | ||||||
Common Stocks∆ (continued) | |||||||
Taiwan (continued) | |||||||
Yuanta Financial Holding | 66,562 | $ | 40,820 | ||||
26,064,416 | |||||||
Thailand – 1.34% | |||||||
Advanced Information Technology | |||||||
NVDR | 276,200 | 41,604 | |||||
Bangkok Bank NVDR | 245,000 | 882,967 | |||||
Banpu NVDR | 3,413,500 | 1,106,607 | |||||
Bumrungrad Hospital NVDR | 30,600 | 183,474 | |||||
Haad Thip NVDR | 28,200 | 21,807 | |||||
Indorama Ventures NVDR | 486,100 | 498,767 | |||||
Kasikornbank NVDR | 6,000 | 22,799 | |||||
Krung Thai Bank NVDR | 1,229,230 | 542,355 | |||||
MK Restaurants Group | 37,000 | 56,978 | |||||
PTT Exploration & Production NVDR | 459,100 | 1,957,701 | |||||
PTT Global Chemical NVDR | 77,600 | 84,920 | |||||
PTT NVDR | 3,694,800 | 3,322,627 | |||||
Sabina NVDR | 115,400 | 75,221 | |||||
Somboon Advance Technology NVDR | 71,300 | 37,815 | |||||
Star Petroleum Refining | 864,500 | 242,234 | |||||
Thai Oil | 87,000 | 117,926 | |||||
Univanich Palm Oil NVDR | 88,500 | 15,809 | |||||
9,211,611 | |||||||
Turkey – 0.04% | |||||||
Ayen Enerji | 6,430 | 8,584 | |||||
Dogus Otomotiv Servis ve Ticaret | 37,206 | 194,709 | |||||
Torunlar Gayrimenkul Yatirim Ortakligi † | 53,618 | 22,844 | |||||
Yapi ve Kredi Bankasi | 191,094 | 73,066 | |||||
299,203 | |||||||
Ukraine – 0.14% | |||||||
Ferrexpo | 709,394 | 946,977 | |||||
946,977 | |||||||
United Arab Emirates – 0.15% | |||||||
Air Arabia PJSC | 446,850 | 253,010 | |||||
Dubai Islamic Bank PJSC | 244,953 | 397,397 | |||||
Emaar Properties PJSC | 236,567 | 371,204 | |||||
1,021,611 | |||||||
United Kingdom – 2.18% | |||||||
AG Barr | 8,562 | 43,463 | |||||
Bloomsbury Publishing | 7,978 | 32,664 | |||||
Coca-Cola Europacific Partners | 61,362 | 2,615,248 | |||||
Experian | 211,039 | 6,177,660 | |||||
Frasers Group † | 15,284 | 114,555 | |||||
Gem Diamonds | 5,047 | 1,733 | |||||
Greggs | 19 | 359 | |||||
Haleon ADR † | 33,219 | 202,304 | |||||
Howden Joinery Group | 44,362 | 247,830 | |||||
Inchcape | 4,504 | 34,104 | |||||
Indivior † | 268,661 | 851,828 | |||||
Investec | 312,725 | 1,245,452 | |||||
Just Eat Takeaway.com † | 31,006 | 483,063 | |||||
Man Group | 188,536 | 466,830 | |||||
ME GROUP INTERNATIONAL | 10,392 | 9,863 | |||||
NatWest Group | 164,654 | 410,108 | |||||
Ninety One | 13,874 | 28,194 | |||||
Oxford Nanopore Technologies † | 652,024 | 1,839,182 | |||||
Polar Capital Holdings | 20,918 | 96,927 | |||||
14,901,367 | |||||||
United States – 2.25% | |||||||
Atlassian Class A † | 11,678 | 2,459,270 | |||||
Computershare | 105,399 | 1,681,122 | |||||
GSK | 87,080 | 1,257,671 | |||||
GSK ADR | 98,016 | 2,884,611 | |||||
Jasper Infotech =, †, p | 225,780 | 254,696 | |||||
Jasper Infotech Series G =, †, p | 74,730 | 84,301 | |||||
JBS | 725,900 | 3,396,464 | |||||
QIAGEN † | 2,927 | 120,826 | |||||
Sims | 60,615 | 518,115 | |||||
Spotify Technology † | 31,501 | 2,718,536 | |||||
Viemed Healthcare † | 6,348 | 38,189 | |||||
15,413,801 | |||||||
Total Common Stocks (cost $929,796,394) | 664,977,243 | ||||||
Preferred Stocks – 1.01%∆ | |||||||
Brazil – 0.85% | |||||||
Cia Paranaense de Energia 9.52% ω | 509,000 | 620,876 | |||||
Petroleo Brasileiro 35.34% ω | 931,600 | 5,174,068 | |||||
5,794,944 | |||||||
Germany – 0.16% | |||||||
Schaeffler 10.18% ω | 39,145 | 175,572 | |||||
Villeroy & Boch 5.71% ω | 733 | 9,698 | |||||
Volkswagen 5.78% ω | 7,630 | 932,325 | |||||
1,117,595 | |||||||
Total Preferred Stocks (cost $6,807,209) | 6,912,539 |
67
Schedules of investments
Optimum International Fund
Number of shares | Value (US $) | ||||||
Short-Term Investments – 1.05% | |||||||
Money Market Mutual Funds – 1.05% | |||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.76%) | 1,799,217 | $ | 1,799,217 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.74%) | 1,799,217 | 1,799,217 | |||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 2.98%) | 1,799,218 | 1,799,218 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.80%) | 1,799,217 | 1,799,217 | |||||
Total Short-Term Investments (cost $7,196,869) | 7,196,869 | ||||||
Total Value of Securities–99.14% (cost $943,800,472) | $ | 679,086,651 |
∆ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 4 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.” |
p | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At September 30, 2022, the aggregate value of restricted securities was $389,763 which represented percentage of 0.05% of the Fund’s net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. |
w | Perpetual security with no stated maturity date. |
Restricted Securities
Investments | Date of Acquisition | Cost | Value | |||||||
Jasper Infotech | 5/7/14 | $ | 999,482 | $ | 254,696 | |||||
Jasper Infotech Series G | 10/29/14 | 396,443 | 84,301 | |||||||
Total | $ | 1,395,925 | $ | 338,997 |
The following foreign currency exchange contracts were outstanding at September 30, 2022:1
Foreign Currency Exchange Contracts
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||
BNYM | DKK | (1,800,882) | USD | 237,286 | 10/4/22 | $ | – | $ | (159 | ) | ||||||||
BNYM | EGP | (475,164) | USD | 24,236 | 10/3/22 | 61 | – | |||||||||||
BNYM | HKD | (609,597) | USD | 77,646 | 10/3/22 | – | (18 | ) | ||||||||||
BNYM | NZD | 706 | USD | (397) | 10/3/22 | – | (2 | ) | ||||||||||
JPMCB | CAD | (203,425) | USD | 148,470 | 10/3/22 | 1,205 | – | |||||||||||
SCB | AUD | (653,210) | USD | 419,559 | 10/4/22 | 1,718 | – | |||||||||||
SSB | CHF | (437,729) | USD | 444,467 | 10/4/22 | 683 | – | |||||||||||
SSB | JPY | (36,203,987) | USD | 250,149 | 10/3/22 | – | (68 | ) | ||||||||||
Total Foreign Currency Exchange Contracts | $ | 3,667 | $ | (247 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 5 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
BNYM – Bank of New York Mellon
CVA – Certified Dutch Certificate
JPMCB – JPMorgan Chase Bank
NVDR – Non-Voting Depositary Receipt
PJSC – Private Joint Stock Company
68
Summary of abbreviations: (continued)
SCB – Standard Chartered Bank
SSB – State Street Bank
Summary of currencies:
AUD – Australian Dollar
CAD – Canadian Dollar
CHF – Swiss Franc
DKK – Danish Krone
EGP – Egypt Pound
HKD – Hong Kong Dollar
JPY – Japanese Yen
NZD – New Zealand Dollar
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
69
Schedules of investments
Optimum Large Cap Growth Fund
September 30, 2022 (Unaudited)
Number of shares | Value (US $) | ||||||
Common Stocks – 97.30%◆ | |||||||
Communication Services – 8.19% | |||||||
Alphabet Class A † | 282,200 | $ | 26,992,430 | ||||
Alphabet Class C † | 309,936 | 29,800,346 | |||||
Meta Platforms Class A † | 189,230 | 25,674,726 | |||||
Netflix † | 82,886 | 19,514,680 | |||||
Sea ADR † | 90,250 | 5,058,513 | |||||
Walt Disney † | 121,010 | 11,414,873 | |||||
118,455,568 | |||||||
Consumer Discretionary – 17.00% | |||||||
Advance Auto Parts | 66,630 | 10,416,934 | |||||
Amazon.com † | 1,004,140 | 113,467,820 | |||||
Aptiv † | 105,833 | 8,277,199 | |||||
Chipotle Mexican Grill † | 10,858 | 16,316,968 | |||||
Lululemon Athletica † | 50,000 | 13,978,000 | |||||
Magic Leap Class A = | 2,058 | 37,541 | |||||
NIKE Class B | 249,800 | 20,763,376 | |||||
Pool | 15,627 | 4,972,668 | |||||
Sonos † | 74,610 | 1,037,079 | |||||
Tesla † | 153,300 | 40,662,825 | |||||
Tractor Supply | 53,010 | 9,853,499 | |||||
Wingstop | 49,100 | 6,158,122 | |||||
245,942,031 | |||||||
Consumer Staples – 3.62% | |||||||
Constellation Brands Class A | 62,793 | 14,422,296 | |||||
Costco Wholesale | 33,600 | 15,868,272 | |||||
Estee Lauder Class A | 20,176 | 4,355,999 | |||||
Monster Beverage † | 203,220 | 17,672,011 | |||||
52,318,578 | |||||||
Energy – 0.82% | |||||||
EOG Resources | 105,511 | 11,788,744 | |||||
11,788,744 | |||||||
Financials – 2.31% | |||||||
JPMorgan Chase & Co. | 21,600 | 2,257,200 | |||||
Marsh & McLennan | 24,500 | 3,657,605 | |||||
MSCI | 21,300 | 8,984,127 | |||||
S&P Global | 60,546 | 18,487,721 | |||||
33,386,653 | |||||||
Healthcare – 16.75% | |||||||
ABIOMED † | 14,200 | 3,488,372 | |||||
Alcon | 238,820 | 13,894,548 | |||||
Dexcom † | 194,500 | 15,665,030 | |||||
Edwards Lifesciences † | 80,600 | 6,659,978 | |||||
Genmab † | 18,320 | 5,893,612 | |||||
IDEXX Laboratories † | 17,900 | 5,831,820 | |||||
Insulet † | 14,100 | 3,234,540 | |||||
Intuitive Surgical † | 134,937 | 25,292,591 | |||||
Maravai LifeSciences Holdings Class A † | 164,140 | 4,190,494 | |||||
Regeneron Pharmaceuticals † | 29,550 | 20,356,109 | |||||
Stryker | 61,500 | 12,456,210 | |||||
Thermo Fisher Scientific | 52,430 | 26,591,972 | |||||
UnitedHealth Group | 140,980 | 71,200,539 | |||||
Waters † | 22,570 | 6,083,292 | |||||
Zoetis | 145,000 | 21,502,050 | |||||
242,341,157 | |||||||
Industrials – 7.91% | |||||||
Acuity Brands | 37,400 | 5,889,378 | |||||
Advanced Drainage Systems | 47,753 | 5,939,041 | |||||
Copart † | 33,400 | 3,553,760 | |||||
Donaldson | 42,949 | 2,104,931 | |||||
Eaton | 113,290 | 15,108,354 | |||||
JB Hunt Transport Services | 46,700 | 7,304,814 | |||||
Nordson | 27,238 | 5,781,810 | |||||
Raytheon Technologies | 198,990 | 16,289,322 | |||||
Uber Technologies † | 386,345 | 10,238,143 | |||||
United Parcel Service Class B | 107,280 | 17,330,011 | |||||
Westinghouse Air Brake Technologies | 60,300 | 4,905,405 | |||||
WW Grainger | 35,270 | 17,253,731 | |||||
Yaskawa Electric | 95,700 | 2,754,065 | |||||
114,452,765 | |||||||
Information Technology – 39.12% | |||||||
Adobe † | 35,640 | 9,808,128 | |||||
Advanced Micro Devices † | 166,845 | 10,571,299 | |||||
Adyen 144A #, † | 6,061 | 7,559,050 | |||||
Analog Devices | 62,600 | 8,722,684 | |||||
Apple | 1,046,036 | 144,562,175 | |||||
Applied Materials | 140,200 | 11,486,586 | |||||
ASML Holding | 18,070 | 7,505,375 | |||||
ASML Holding (New York Shares) | 11,369 | 4,709,939 | |||||
Atlassian Class A † | 58,830 | 12,389,010 | |||||
Block † | 63,200 | 3,475,368 | |||||
Cognex | 32,900 | 1,363,705 | |||||
DocuSign † | 73,900 | 3,951,433 | |||||
Intel | 224,900 | 5,795,673 | |||||
Keyence | 6,300 | 2,082,531 | |||||
Mastercard Class A | 110,400 | 31,391,136 | |||||
Microsoft | 426,700 | 99,378,430 | |||||
NVIDIA | 281,608 | 34,184,395 | |||||
Okta † | 21,200 | 1,205,644 | |||||
Palo Alto Networks † | 153,210 | 25,094,266 | |||||
Paycom Software † | 21,000 | 6,929,790 | |||||
PayPal Holdings † | 194,553 | 16,745,177 | |||||
Salesforce † | 148,460 | 21,354,486 | |||||
Shopify Class A † | 72,230 | 1,945,876 | |||||
Splunk † | 113,845 | 8,561,144 | |||||
Unity Software † | 81,400 | 2,593,404 |
70
Number of shares | Value (US $) | ||||||
Common Stocks◆ (continued) | |||||||
Information Technology (continued) | |||||||
Visa Class A | 380,478 | $ | 67,591,917 | ||||
Workday Class A † | 68,320 | 10,399,670 | |||||
Zscaler † | 26,951 | 4,429,936 | |||||
565,788,227 | |||||||
Materials – 0.82% | |||||||
Ecolab | 19,427 | 2,805,647 | |||||
Sherwin-Williams | 44,500 | 9,111,375 | |||||
11,917,022 | |||||||
Real Estate – 0.76% | |||||||
Equinix | 19,380 | 11,024,119 | |||||
11,024,119 | |||||||
Total Common Stocks (cost $1,258,532,648) | 1,407,414,864 | ||||||
Exchange-Traded Fund – 0.25% | |||||||
iShares Russell 1000 Growth ETF | 17,431 | 3,667,482 | |||||
Total Exchange-Traded Fund (cost $3,740,478) | 3,667,482 | ||||||
Short-Term Investments – 2.51% | |||||||
Money Market Mutual Funds – 2.51% | |||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.76%) | 9,060,483 | 9,060,483 | |||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.74%) | 9,060,484 | 9,060,484 | |||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 2.98%) | 9,060,485 | 9,060,485 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.80%) | 9,060,484 | 9,060,484 | |||||
Total Short-Term Investments (cost $36,241,936) | 36,241,936 | ||||||
Total Value of Securities–100.06% (cost $1,298,515,062) | $ | 1,447,324,282 |
◆ | Narrow industries are utilized for compliance purposes for concentration 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.” |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2022, the aggregate value of Rule 144A securities was $7,559,050, which represents 0.52% of the Fund’s net assets. See Note 7 in “Notes to financial statements.” |
The following foreign currency exchange contracts were outstanding at September 30, 2022:1
Foreign Currency Exchange Contracts
Counterparty | Currency to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | |||||||||
BAML | JPY | (253,369,725) | USD | 1,767,169 | 12/30/22 | $ | (3,181) | ||||||
JPMCB | EUR | (5,020,689) | USD | 4,932,802 | 12/30/22 | (25,911) | |||||||
Total Foreign Currency Exchange Contracts | $ | (29,092) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 5 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
BAML – Bank of America Merrill Lynch
ETF – Exchange-Traded Fund
JPMCB – JPMorgan Chase Bank
71
Schedules of investments
Optimum Large Cap Growth Fund
Summary of abbreviations: (continued)
MSCI – Morgan Stanley Capital International
S&P – Standard & Poor’s Financial Services LLC
Summary of currencies:
EUR – European Monetary Unit
JPY – Japanese Yen
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
72
Optimum Large Cap Value Fund
September 30, 2022 (Unaudited)
Number of shares | Value (US $) | ||||||
Common Stocks – 98.59% | |||||||
Communication Services – 5.81% | |||||||
Alphabet Class A † | 196,639 | $ | 18,808,520 | ||||
Charter Communications Class A † | 26,406 | 8,010,260 | |||||
Comcast Class A | 911,262 | 26,727,315 | |||||
Fox Class A | 280,288 | 8,599,236 | |||||
Meta Platforms Class A † | 94,893 | 12,875,082 | |||||
Verizon Communications | 300,257 | 11,400,758 | |||||
Walt Disney † | 121,779 | 11,487,413 | |||||
97,908,584 | |||||||
Consumer Discretionary – 4.43% | |||||||
Darden Restaurants | 79,591 | 10,053,935 | |||||
General Motors | 243,942 | 7,828,099 | |||||
Lowe’s | 140,472 | 26,382,046 | |||||
Marriott International Class A | 64,041 | 8,974,706 | |||||
Target | 144,216 | 21,400,212 | |||||
74,638,998 | |||||||
Consumer Staples – 4.99% | |||||||
Archer-Daniels-Midland | 36,983 | 2,975,282 | |||||
Diageo | 293,432 | 12,351,588 | |||||
Kimberly-Clark | 58,794 | 6,616,677 | |||||
Mondelez International Class A | 149,876 | 8,217,701 | |||||
Nestle | 111,712 | 12,082,471 | |||||
PepsiCo | 136,210 | 22,237,645 | |||||
Procter & Gamble | 53,488 | 6,752,860 | |||||
Reckitt Benckiser Group | 63,935 | 4,237,708 | |||||
Tyson Foods Class A | 128,692 | 8,484,663 | |||||
83,956,595 | |||||||
Energy – 6.99% | |||||||
ConocoPhillips | 370,513 | 37,918,300 | |||||
EOG Resources | 180,846 | 20,205,924 | |||||
Exxon Mobil | 313,986 | 27,414,118 | |||||
Phillips 66 | 75,342 | 6,081,606 | |||||
Pioneer Natural Resources | 61,149 | 13,240,593 | |||||
Schlumberger | 358,009 | 12,852,523 | |||||
117,713,064 | |||||||
Financials – 22.46% | |||||||
Allstate | 82,359 | 10,256,166 | |||||
American Express | 142,001 | 19,157,355 | |||||
Aon Class A | 78,403 | 21,001,812 | |||||
Bank of America | 701,457 | 21,184,001 | |||||
Berkshire Hathaway Class B † | 40,256 | 10,749,157 | |||||
BlackRock | 39,301 | 21,626,554 | |||||
Charles Schwab | 198,757 | 14,284,666 | |||||
Chubb | 99,832 | 18,157,444 | |||||
Citigroup | 210,193 | 8,758,742 | |||||
Goldman Sachs Group | 24,313 | 7,124,925 | |||||
Hartford Financial Services Group | 182,799 | 11,322,570 | |||||
Intercontinental Exchange | 98,937 | 8,938,958 | |||||
JPMorgan Chase & Co. | 477,871 | 49,937,519 | |||||
KKR & Co. | 103,825 | 4,464,475 | |||||
Marsh & McLennan | 129,447 | 19,325,143 | |||||
Moody’s | 22,398 | 5,445,178 | |||||
Morgan Stanley | 197,111 | 15,573,740 | |||||
Nasdaq | 265,803 | 15,065,714 | |||||
PNC Financial Services Group | 63,334 | 9,463,366 | |||||
Progressive | 165,681 | 19,253,789 | |||||
Prudential Financial | 111,169 | 9,536,077 | |||||
State Street | 164,594 | 10,008,961 | |||||
Travelers | 122,201 | 18,721,193 | |||||
Truist Financial | 338,090 | 14,720,439 | |||||
Wells Fargo & Co. | 352,754 | 14,187,766 | |||||
378,265,710 | |||||||
Healthcare – 19.00% | |||||||
Abbott Laboratories | 118,195 | 11,436,548 | |||||
AbbVie | 73,673 | 9,887,653 | |||||
AmerisourceBergen | 86,968 | 11,769,379 | |||||
Baxter International | 170,872 | 9,203,166 | |||||
Boston Scientific † | 604,686 | 23,419,489 | |||||
Bristol-Myers Squibb | 213,653 | 15,188,592 | |||||
Cigna | 85,491 | 23,721,188 | |||||
CVS Health | 185,439 | 17,685,317 | |||||
Danaher | 28,904 | 7,465,614 | |||||
Eli Lilly & Co. | 45,500 | 14,712,425 | |||||
Horizon Therapeutics † | 78,665 | 4,868,577 | |||||
Johnson & Johnson | 289,205 | 47,244,529 | |||||
McKesson | 38,907 | 13,223,322 | |||||
Medtronic | 123,072 | 9,938,064 | |||||
Merck & Co. | 290,146 | 24,987,374 | |||||
Pfizer | 447,088 | 19,564,571 | |||||
Roche Holding | 10,709 | 3,486,130 | |||||
Thermo Fisher Scientific | 70,862 | 35,940,498 | |||||
UnitedHealth Group | 32,117 | 16,220,370 | |||||
319,962,806 | |||||||
Industrials – 15.38% | |||||||
Canadian National Railway | 46,819 | 5,055,984 | |||||
Caterpillar | 58,717 | 9,634,285 | |||||
CSX | 358,659 | 9,554,676 | |||||
Eaton | 92,247 | 12,302,060 | |||||
Emerson Electric | 106,760 | 7,816,967 | |||||
Equifax | 56,891 | 9,752,824 | |||||
General Dynamics | 55,055 | 11,681,019 | |||||
Honeywell International | 165,296 | 27,599,473 | |||||
Illinois Tool Works | 69,424 | 12,541,446 | |||||
Johnson Controls International | 214,766 | 10,570,783 | |||||
Masco | 110,041 | 5,137,814 | |||||
Northrop Grumman | 80,799 | 38,001,386 |
73
Schedules of investments
Optimum Large Cap Value Fund
Number of shares | Value (US $) | ||||||
Common Stocks (continued) | |||||||
Industrials (continued) | |||||||
Otis Worldwide | 37,642 | $ | 2,401,560 | ||||
Owens Corning | 87,374 | 6,868,470 | |||||
PACCAR | 56,505 | 4,728,904 | |||||
Parker-Hannifin | 52,317 | 12,676,932 | |||||
Quanta Services | 112,572 | 14,340,547 | |||||
Raytheon Technologies | 172,369 | 14,110,126 | |||||
Southwest Airlines † | 219,754 | 6,777,213 | |||||
Stanley Black & Decker | 53,673 | 4,036,746 | |||||
Textron | 167,230 | 9,742,820 | |||||
Trane Technologies | 58,868 | 8,524,675 | |||||
Union Pacific | 77,968 | 15,189,726 | |||||
259,046,436 | |||||||
Information Technology – 7.70% | |||||||
Accenture Class A | 61,750 | 15,888,275 | |||||
Analog Devices | 41,822 | 5,827,477 | |||||
Broadcom | 19,147 | 8,501,459 | |||||
Cisco Systems | 193,323 | 7,732,920 | |||||
Global Payments | 73,917 | 7,986,732 | |||||
Intel | 110,629 | 2,850,909 | |||||
KLA | 29,796 | 9,017,164 | |||||
Micron Technology | 146,381 | 7,333,688 | |||||
Microsoft | 46,731 | 10,883,650 | |||||
Motorola Solutions | 58,177 | 13,029,903 | |||||
NXP Semiconductors | 53,071 | 7,828,503 | |||||
ON Semiconductor † | 198,944 | 12,400,180 | |||||
Texas Instruments | 131,175 | 20,303,267 | |||||
129,584,127 | |||||||
Materials – 3.84% | |||||||
Air Products and Chemicals | 41,900 | 9,751,387 | |||||
DuPont de Nemours | 188,547 | 9,502,769 | |||||
Huntsman | 282,763 | 6,939,004 | |||||
International Flavors & Fragrances | 34,589 | 3,141,719 | |||||
Martin Marietta Materials | 35,734 | 11,509,564 | |||||
PPG Industries | 102,385 | 11,332,995 | |||||
Sherwin-Williams | 42,559 | 8,713,955 | |||||
Westrock | 124,284 | 3,839,133 | |||||
64,730,526 | |||||||
Real Estate – 2.23% | |||||||
American Tower | 41,669 | 8,946,334 | |||||
Boston Properties | 72,408 | 5,428,428 | |||||
Equity LifeStyle Properties | 87,994 | 5,529,543 | |||||
Prologis | 139,431 | 14,166,190 | |||||
Public Storage | 12,148 | 3,557,056 | |||||
37,627,551 | |||||||
Utilities – 5.76% | |||||||
American Electric Power | 57,981 | 5,012,457 | |||||
Dominion Energy | 192,119 | 13,277,344 | |||||
Duke Energy | 341,252 | 31,743,261 | |||||
NextEra Energy | 194,958 | 15,286,657 | |||||
Southern | 238,566 | 16,222,488 | |||||
Xcel Energy | 240,856 | 15,414,784 | |||||
96,956,991 | |||||||
Total Common Stocks (cost $1,350,035,552) | 1,660,391,388 | ||||||
Short-Term Investments – 1.45% | |||||||
Money Market Mutual Funds – 1.45% | |||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.76%) | 6,098,825 | 6,098,825 | |||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.74%) | 6,098,824 | 6,098,824 | |||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 2.98%) | 6,098,824 | 6,098,824 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.80%) | 6,098,825 | 6,098,825 | |||||
Total Short-Term Investments (cost $24,395,298) | 24,395,298 | ||||||
Total Value of Securities–100.04% (cost $1,374,430,850) | $ | 1,684,786,686 |
† | Non-income producing security. |
See accompanying notes, which are an integral part of the financial statements.
74
Optimum Small-Mid Cap Growth Fund
September 30, 2022 (Unaudited)
Number of shares | Value (US $) | ||||||
Common Stocks – 96.88%◆ | |||||||
Communication Services – 0.74% | |||||||
Endeavor Group Holdings Class A † | 181,125 | $ | 3,669,593 | ||||
Lions Gate Entertainment Class B † | 112,191 | 779,727 | |||||
4,449,320 | |||||||
Consumer Discretionary – 9.59% | |||||||
Academy Sports & Outdoors | 184,751 | 7,792,797 | |||||
Burlington Stores † | 14,314 | 1,601,593 | |||||
Deckers Outdoor † | 16,032 | 5,011,764 | |||||
Duolingo † | 35,445 | 3,375,427 | |||||
Five Below † | 17,037 | 2,345,484 | |||||
Floor & Decor Holdings Class A † | 37,963 | 2,667,280 | |||||
Fox Factory Holding † | 22,182 | 1,754,153 | |||||
Hyatt Hotels Class A † | 31,222 | 2,527,733 | |||||
International Game Technology | 214,611 | 3,390,854 | |||||
Monro | 28,306 | 1,230,179 | |||||
Ollie’s Bargain Outlet Holdings † | 44,212 | 2,281,339 | |||||
On Holding Class A † | 155,030 | 2,488,231 | |||||
Papa John’s International | 29,662 | 2,076,637 | |||||
Skyline Champion † | 46,756 | 2,471,990 | |||||
Sonos † | 94,984 | 1,320,278 | |||||
Topgolf Callaway Brands † | 110,971 | 2,137,301 | |||||
Visteon † | 43,701 | 4,634,928 | |||||
Wingstop | 49,737 | 6,238,015 | |||||
Xometry Class A † | 44,439 | 2,523,691 | |||||
57,869,674 | |||||||
Consumer Staples – 6.02% | |||||||
BJ’s Wholesale Club Holdings † | 108,734 | 7,916,923 | |||||
Celsius Holdings † | 94,402 | 8,560,373 | |||||
elf Beauty † | 185,002 | 6,959,775 | |||||
Hostess Brands † | 279,069 | 6,485,564 | |||||
Lamb Weston Holdings | 42,535 | 3,291,358 | |||||
Performance Food Group † | 73,360 | 3,150,812 | |||||
36,364,805 | |||||||
Energy – 3.03% | |||||||
Callon Petroleum † | 51,060 | 1,787,610 | |||||
Matador Resources | 161,765 | 7,913,544 | |||||
Range Resources | 273,586 | 6,910,782 | |||||
Ranger Oil Class A | 53,128 | 1,670,876 | |||||
18,282,812 | |||||||
Financials – 5.39% | |||||||
BRP Group Class A † | 200,833 | 5,291,950 | |||||
Essent Group | 74,754 | 2,606,672 | |||||
Evercore Class A | 21,923 | 1,803,167 | |||||
Focus Financial Partners Class A † | 52,867 | 1,665,839 | |||||
Goosehead Insurance Class A † | 35,818 | 1,276,553 | |||||
Kinsale Capital Group | 20,241 | 5,169,956 | |||||
Open Lending Class A † | 56,231 | 452,097 | |||||
Palomar Holdings † | 39,129 | 3,275,880 | |||||
Ryan Specialty Holdings Class A † | 89,948 | 3,653,688 | |||||
Stifel Financial | 59,774 | 3,102,868 | |||||
Triumph Bancorp † | 47,477 | 2,580,375 | |||||
Virtu Financial Class A | 80,915 | 1,680,605 | |||||
32,559,650 | |||||||
Healthcare – 27.40% | |||||||
Acadia Healthcare † | 95,444 | 7,461,812 | |||||
AdaptHealth † | 185,462 | 3,482,976 | |||||
Adaptive Biotechnologies † | 75,872 | 540,209 | |||||
Alignment Healthcare † | 392,467 | 4,646,809 | |||||
Allscripts Healthcare Solutions † | 165,314 | 2,517,732 | |||||
Amicus Therapeutics † | 198,531 | 2,072,664 | |||||
AMN Healthcare Services † | 28,190 | 2,987,012 | |||||
Apellis Pharmaceuticals † | 24,489 | 1,672,599 | |||||
AtriCure † | 50,686 | 1,981,823 | |||||
Avantor † | 175,242 | 3,434,743 | |||||
Avid Bioservices † | 113,187 | 2,164,135 | |||||
Axonics † | 118,903 | 8,375,527 | |||||
Axsome Therapeutics † | 25,807 | 1,151,508 | |||||
Azenta | 29,510 | 1,264,799 | |||||
BioLife Solutions † | 72,984 | 1,660,386 | |||||
Blueprint Medicines † | 27,420 | 1,806,704 | |||||
CONMED | 31,613 | 2,534,414 | |||||
Cytokinetics † | 113,776 | 5,512,447 | |||||
Evolent Health Class A † | 461,593 | 16,585,037 | |||||
Haemonetics † | 39,909 | 2,954,463 | |||||
Halozyme Therapeutics † | 64,438 | 2,547,879 | |||||
HealthEquity † | 50,806 | 3,412,639 | |||||
ICON † | 24,323 | 4,470,081 | |||||
Insmed † | 88,223 | 1,900,323 | |||||
Ionis Pharmaceuticals † | 30,258 | 1,338,311 | |||||
Iovance Biotherapeutics † | 59,375 | 568,813 | |||||
iRhythm Technologies † | 16,577 | 2,076,767 | |||||
Molina Healthcare † | 21,887 | 7,219,208 | |||||
Neurocrine Biosciences † | 21,252 | 2,257,175 | |||||
Novocure † | 9,966 | 757,217 | |||||
Oak Street Health † | 211,026 | 5,174,358 | |||||
Omnicell † | 38,445 | 3,345,868 | |||||
Option Care Health † | 284,644 | 8,957,747 | |||||
Pacira BioSciences † | 36,655 | 1,949,679 | |||||
Phreesia † | 86,249 | 2,197,625 | |||||
Privia Health Group † | 222,084 | 7,564,181 | |||||
Repligen † | 14,901 | 2,788,126 | |||||
Sarepta Therapeutics † | 18,340 | 2,027,304 | |||||
Shockwave Medical † | 18,071 | 5,025,003 | |||||
Silk Road Medical † | 70,992 | 3,194,640 | |||||
STAAR Surgical † | 64,139 | 4,525,006 | |||||
Syneos Health † | 65,723 | 3,098,839 |
75
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Number of shares | Value (US $) | ||||||
Common Stocks◆ (continued) | |||||||
Healthcare (continued) | |||||||
Tandem Diabetes Care † | 47,026 | $ | 2,250,194 | ||||
TransMedics Group † | 34,469 | 1,438,736 | |||||
Ultragenyx Pharmaceutical † | 29,361 | 1,215,839 | |||||
United Therapeutics † | 30,487 | 6,383,368 | |||||
US Physical Therapy | 23,970 | 1,822,199 | |||||
ViewRay † | 295,853 | 1,076,905 | |||||
165,391,829 | |||||||
Industrials – 20.41% | |||||||
A O Smith | 19,915 | 967,471 | |||||
Advanced Drainage Systems | 26,854 | 3,339,832 | |||||
AECOM | 94,561 | 6,465,136 | |||||
ASGN † | 47,476 | 4,290,406 | |||||
Atkore † | 26,910 | 2,093,867 | |||||
AZEK † | 83,002 | 1,379,493 | |||||
Boise Cascade | 30,798 | 1,831,249 | |||||
Carlisle | 9,756 | 2,735,680 | |||||
ChargePoint Holdings † | 207,458 | 3,062,080 | |||||
Chart Industries † | 35,824 | 6,604,154 | |||||
Clarivate † | 119,071 | 1,118,077 | |||||
Core & Main Class A † | 123,311 | 2,804,092 | |||||
Driven Brands Holdings † | 153,381 | 4,291,600 | |||||
Dycom Industries † | 79,535 | 7,597,979 | |||||
FTI Consulting † | 21,483 | 3,559,948 | |||||
GXO Logistics † | 39,081 | 1,370,180 | |||||
Herc Holdings | 21,492 | 2,232,589 | |||||
Hubbell | 33,291 | 7,423,893 | |||||
IAA † | 38,232 | 1,217,689 | |||||
ICF International | 33,191 | 3,618,483 | |||||
KAR Auction Services † | 102,896 | 1,149,348 | |||||
KBR | 83,846 | 3,623,824 | |||||
Knight-Swift Transportation Holdings | 52,595 | 2,573,473 | |||||
Kratos Defense & Security Solutions † | 149,402 | 1,517,924 | |||||
Masonite International † | 34,993 | 2,494,651 | |||||
Mercury Systems † | 48,581 | 1,972,389 | |||||
Plug Power † | 198,114 | 4,162,375 | |||||
Quanta Services | 49,789 | 6,342,621 | |||||
RBC Bearings † | 21,279 | 4,421,989 | |||||
Schneider National Class B | 97,474 | 1,978,722 | |||||
Shoals Technologies Group Class A † | 311,257 | 6,707,588 | |||||
SPX Technologies † | 55,436 | 3,061,176 | |||||
Sterling Check † | 122,059 | 2,153,121 | |||||
Vicor † | 34,761 | 2,055,766 | |||||
Wabash National | 125,797 | 1,957,401 | |||||
WillScot Mobile Mini Holdings † | 171,021 | 6,897,277 | |||||
Zurn Elkay Water Solutions | 88,139 | 2,159,406 | |||||
123,232,949 | |||||||
Information Technology – 22.22% | |||||||
Arista Networks † | 16,644 | 1,878,941 | |||||
Axcelis Technologies † | 36,139 | 2,188,578 | |||||
Black Knight † | 62,622 | 4,053,522 | |||||
Box Class A † | 153,609 | 3,746,524 | |||||
Braze † | 58,424 | 2,034,908 | |||||
Calix † | 105,479 | 6,448,986 | |||||
Ciena † | 90,255 | 3,649,010 | |||||
CyberArk Software † | 21,353 | 3,201,669 | |||||
DoubleVerify Holdings † | 285,110 | 7,797,758 | |||||
EngageSmart † | 145,058 | 3,001,250 | |||||
Enphase Energy † | 27,753 | 7,700,625 | |||||
Evo Payments Class A † | 103,568 | 3,448,814 | |||||
Flywire † | 196,666 | 4,515,451 | |||||
FormFactor † | 52,079 | 1,304,579 | |||||
Gitlab Class A † | 58,337 | 2,988,021 | |||||
HashiCorp Class A † | 92,628 | 2,981,695 | |||||
Impinj † | 24,363 | 1,949,771 | |||||
Itron † | 37,675 | 1,586,494 | |||||
Jamf Holding † | 126,732 | 2,808,381 | |||||
JFrog † | 125,182 | 2,767,774 | |||||
LiveRamp Holdings † | 88,856 | 1,613,625 | |||||
Lumentum Holdings † | 46,030 | 3,156,277 | |||||
Manhattan Associates † | 38,770 | 5,157,573 | |||||
Monolithic Power Systems | 9,656 | 3,508,990 | |||||
Nutanix Class A † | 108,955 | 2,269,533 | |||||
Onto Innovation † | 36,813 | 2,357,873 | |||||
PagerDuty † | 135,105 | 3,116,872 | |||||
PAR Technology † | 51,897 | 1,532,518 | |||||
Paylocity Holding † | 23,641 | 5,711,193 | |||||
Procore Technologies † | 80,324 | 3,974,432 | |||||
PTC † | 39,967 | 4,180,548 | |||||
Pure Storage Class A † | 124,081 | 3,396,097 | |||||
Silicon Motion Technology ADR | 29,300 | 1,910,067 | |||||
Sprout Social Class A † | 43,367 | 2,631,510 | |||||
SS&C Technologies Holdings | 74,618 | 3,563,010 | |||||
Synaptics † | 18,072 | 1,789,309 | |||||
Teradyne | 23,084 | 1,734,763 | |||||
Verra Mobility † | 181,373 | 2,787,703 | |||||
WEX † | 14,447 | 1,833,902 | |||||
Wolfspeed † | 63,437 | 6,556,848 | |||||
Zuora Class A † | 175,929 | 1,298,356 | |||||
134,133,750 | |||||||
Materials – 1.74% | |||||||
Element Solutions | 230,196 | 3,745,289 | |||||
Livent † | 74,771 | 2,291,731 | |||||
Orion Engineered Carbons | 155,264 | 2,072,775 | |||||
Steel Dynamics | 33,755 | 2,394,917 | |||||
10,504,712 |
76
Number of shares | Value (US $) | ||||||
Common Stocks◆ (continued) | |||||||
Real Estate – 0.34% | |||||||
Ryman Hospitality Properties | 27,853 | $ | 2,049,702 | ||||
2,049,702 | |||||||
Total Common Stocks (cost $614,227,108) | 584,839,203 | ||||||
Convertible Preferred Stock – 0.02% | |||||||
Honest Series D =, †, p | 15,249 | 112,819 | |||||
Total Convertible Preferred Stock (cost $697,718) | 112,819 | ||||||
Warrant – 0.00% | |||||||
DraftKings strike price $25, expiration date 4/23/25 =, † | 399 | 0 | |||||
Total Warrant (cost $0) | 0 | ||||||
Short-Term Investments – 3.13% | |||||||
Money Market Mutual Funds – 3.13% | |||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.76%) | 4,730,323 | 4,730,323 | |||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.74%) | 4,730,323 | 4,730,323 | |||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 2.98%) | 4,730,324 | 4,730,324 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.80%) | 4,730,323 | 4,730,323 | |||||
Total Short-Term Investments (cost $18,921,293) | 18,921,293 | ||||||
Total Value of Securities–100.03% (cost $633,846,119) | $ | 603,873,315 |
◆ | Narrow industries are utilized for compliance purposes for concentration 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.” |
p | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At September 30, 2022, the aggregate value of restricted securities was $112,819, which represented 0.02% of the Fund’s net assets. See Note 8 in “Notes to financial statements” and the following table, for additional details on restricted securities. |
Restricted Securities
Investments | Date of Acquisition | Cost | Value | ||||||
Honest Series D | 8/3/15 | $ | 697,718 | $ | 112,819 |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
77
Schedules of investments
Optimum Small-Mid Cap Value Fund
September 30, 2022 (Unaudited)
Number of shares | Value (US $) | ||||||
Common Stocks – 98.25% | |||||||
Communication Services – 6.53% | |||||||
AMC Networks Class A † | 30,800 | $ | 625,240 | ||||
Audacy † | 206,300 | 79,652 | |||||
Cars.com † | 56,200 | 646,300 | |||||
Gray Television | 65,200 | 933,664 | |||||
John Wiley & Sons Class A | 195,900 | 7,358,004 | |||||
Lumen Technologies | 150,400 | 1,094,912 | |||||
Nexstar Media Group Class A | 106,208 | 17,720,805 | |||||
Paramount Global Class B | 37,200 | 708,288 | |||||
Ziff Davis † | 151,695 | 10,388,074 | |||||
39,554,939 | |||||||
Consumer Discretionary – 10.90% | |||||||
Aaron’s | 45,700 | 444,204 | |||||
American Axle & Manufacturing Holdings † | 114,200 | 779,986 | |||||
Bluegreen Vacations Holding | 38,900 | 642,628 | |||||
BorgWarner | 41,200 | 1,293,680 | |||||
Brunswick | 21,300 | 1,394,085 | |||||
Capri Holdings † | 15,000 | 576,600 | |||||
Dick’s Sporting Goods | 47,100 | 4,928,544 | |||||
Foot Locker | 48,800 | 1,519,144 | |||||
Goodyear Tire & Rubber † | 70,000 | 706,300 | |||||
Guess? | 47,500 | 696,825 | |||||
H&R Block | 40,400 | 1,718,616 | |||||
Harley-Davidson | 43,800 | 1,527,744 | |||||
Haverty Furniture | 43,900 | 1,093,110 | |||||
Helen of Troy † | 28,141 | 2,713,918 | |||||
Kohl’s | 47,900 | 1,204,685 | |||||
Lear | 11,700 | 1,400,373 | |||||
Leslie’s † | 386,248 | 5,681,708 | |||||
Lithia Motors | 41,041 | 8,805,347 | |||||
Macy’s | 48,400 | 758,428 | |||||
Malibu Boats Class A † | 19,500 | 935,805 | |||||
MDC Holdings | 54,648 | 1,498,448 | |||||
Modine Manufacturing † | 76,800 | 993,792 | |||||
Mohawk Industries † | 13,600 | 1,240,184 | |||||
Nordstrom | 28,400 | 475,132 | |||||
ODP † | 29,100 | 1,022,865 | |||||
Penske Automotive Group | 28,619 | 2,816,968 | |||||
PulteGroup | 53,000 | 1,987,500 | |||||
PVH | 17,600 | 788,480 | |||||
Qurate Retail Series A | 97,500 | 195,975 | |||||
Sally Beauty Holdings † | 65,000 | 819,000 | |||||
Shoe Carnival | 400 | 8,576 | |||||
Sleep Number † | 14,600 | 493,626 | |||||
Smith & Wesson Brands | 67,800 | 703,086 | |||||
Sonic Automotive Class A | 53,300 | 2,307,890 | |||||
Toll Brothers | 49,500 | 2,079,000 | |||||
Travel + Leisure | 12,500 | 426,500 | |||||
Victoria’s Secret & Co. † | 187,278 | 5,453,535 | |||||
Whirlpool | 21,600 | 2,911,896 | |||||
Winnebago Industries | 19,400 | 1,032,274 | |||||
66,076,457 | |||||||
Consumer Staples – 3.80% | |||||||
Bunge | 27,600 | 2,278,932 | |||||
Energizer Holdings | 32,000 | 804,480 | |||||
Ingles Markets Class A | 28,500 | 2,257,485 | |||||
Ingredion | 30,700 | 2,471,964 | |||||
J M Smucker | 7,300 | 1,003,093 | |||||
Molson Coors Beverage Class B | 82,900 | 3,978,371 | |||||
Nu Skin Enterprises Class A | 16,800 | 560,616 | |||||
Pilgrim’s Pride † | 4,100 | 94,382 | |||||
Spectrum Brands Holdings | 130,471 | 5,092,283 | |||||
Sprouts Farmers Market † | 92,100 | 2,555,775 | |||||
Universal | 13,100 | 603,124 | |||||
Weis Markets | 18,500 | 1,317,940 | |||||
23,018,445 | |||||||
Energy – 6.47% | |||||||
APA | 51,700 | 1,767,623 | |||||
Arch Resources | 10,300 | 1,221,580 | |||||
CNX Resources † | 59,500 | 924,035 | |||||
DT Midstream | 187,248 | 9,716,298 | |||||
HF Sinclair | 87,000 | 4,684,080 | |||||
Magnolia Oil & Gas Class A | 374,742 | 7,423,639 | |||||
Marathon Oil | 185,700 | 4,193,106 | |||||
National Energy Services Reunited † | 118,000 | 700,920 | |||||
PDC Energy | 42,600 | 2,461,854 | |||||
SFL | 97,100 | 884,581 | |||||
Viper Energy Partners | 149,842 | 4,294,472 | |||||
World Fuel Services | 39,900 | 935,256 | |||||
39,207,444 | |||||||
Financials – 19.77% | |||||||
Affiliated Managers Group | 9,500 | 1,062,575 | |||||
Ally Financial | 91,200 | 2,538,096 | |||||
American Financial Group | 16,900 | 2,077,517 | |||||
Annaly Capital Management | 52,450 | 900,042 | |||||
Apollo Commercial Real Estate Finance | 77,600 | 644,080 | |||||
Ares Capital | 85,300 | 1,439,864 | |||||
Associated Banc-Corp | 121,500 | 2,439,720 | |||||
Assured Guaranty | 25,900 | 1,254,855 | |||||
B Riley Financial | 15,900 | 707,868 | |||||
Banco Latinoamericano de Comercio Exterior Class E | 59,900 | 782,294 | |||||
BGC Partners Class A | 1,467,780 | 4,608,829 | |||||
Cathay General Bancorp | 47,800 | 1,838,388 | |||||
Citizens Financial Group | 63,200 | 2,171,552 |
78
Number of shares | Value (US $) | ||||||
Common Stocks (continued) | |||||||
Financials (continued) | |||||||
CNA Financial | 85,600 | $ | 3,158,640 | ||||
CNO Financial Group | 144,200 | 2,591,274 | |||||
Columbia Banking System | 241,066 | 6,964,397 | |||||
Customers Bancorp † | 58,809 | 1,733,689 | |||||
Donnelley Financial Solutions † | 27,300 | 1,009,281 | |||||
Equitable Holdings | 68,200 | 1,797,070 | |||||
Essent Group | 26,800 | 934,516 | |||||
Everest Re Group | 6,300 | 1,653,372 | |||||
Federal Agricultural Mortgage Class C | 10,050 | 996,357 | |||||
Fidelity National Financial | 51,500 | 1,864,300 | |||||
First American Financial | 38,200 | 1,761,020 | |||||
First BanCorp | 89,200 | 1,220,256 | |||||
First Busey | 74,400 | 1,635,312 | |||||
First Horizon | 81,600 | 1,868,640 | |||||
First Merchants | 169,535 | 6,557,614 | |||||
FS KKR Capital | 57,750 | 978,863 | |||||
Hancock Whitney | 31,300 | 1,433,853 | |||||
Hanmi Financial | 56,800 | 1,345,024 | |||||
Heritage Insurance Holdings | 27,300 | 61,698 | |||||
HomeStreet | 39,900 | 1,149,519 | |||||
Hope Bancorp | 122,400 | 1,547,136 | |||||
Jefferies Financial Group | 61,300 | 1,808,350 | |||||
Lazard Class A | 37,700 | 1,199,991 | |||||
Lincoln National | 33,300 | 1,462,203 | |||||
MGIC Investment | 107,200 | 1,374,304 | |||||
New Mountain Finance | 95,300 | 1,098,809 | |||||
Oaktree Specialty Lending | 4,294 | 25,764 | |||||
OFG Bancorp | 69,200 | 1,738,996 | |||||
OneMain Holdings | 34,600 | 1,021,392 | |||||
Pacific Premier Bancorp | 157,506 | 4,876,386 | |||||
PacWest Bancorp | 444,854 | 10,053,700 | |||||
Radian Group | 69,500 | 1,340,655 | |||||
Redwood Trust | 119,100 | 683,634 | |||||
Regions Financial | 179,100 | 3,594,537 | |||||
Reinsurance Group of America | 17,800 | 2,239,418 | |||||
Rithm Capital | 131,300 | 961,116 | |||||
Starwood Property Trust | 478,600 | 8,720,092 | |||||
Synovus Financial | 55,900 | 2,096,809 | |||||
Umpqua Holdings | 44,000 | 751,960 | |||||
Universal Insurance Holdings | 41,300 | 406,805 | |||||
Unum Group | 75,700 | 2,937,160 | |||||
Victory Capital Holdings Class A | 39,300 | 916,083 | |||||
Voya Financial | 25,200 | 1,524,600 | |||||
Zions Bancorp | 83,200 | 4,231,552 | |||||
119,791,827 | |||||||
Healthcare – 6.06% | |||||||
Catalyst Pharmaceuticals † | 186,900 | 2,397,927 | |||||
DaVita † | 22,800 | 1,887,156 | |||||
Enovis † | 120,809 | 5,565,671 | |||||
Exelixis † | 84,300 | 1,321,824 | |||||
Innoviva † | 86,900 | 1,008,909 | |||||
Ironwood Pharmaceuticals † | 167,200 | 1,732,192 | |||||
Jazz Pharmaceuticals † | 24,720 | 3,294,929 | |||||
Lannett † | 44,200 | 19,890 | |||||
LivaNova † | 62,990 | 3,198,002 | |||||
Quest Diagnostics | 11,600 | 1,423,204 | |||||
Select Medical Holdings | 134,200 | 2,965,820 | |||||
Syneos Health † | 142,109 | 6,700,439 | |||||
United Therapeutics † | 15,370 | 3,218,171 | |||||
Universal Health Services Class B | 22,600 | 1,992,868 | |||||
36,727,002 | |||||||
Industrials – 13.73% | |||||||
ABM Industries | 22,900 | 875,467 | |||||
ACCO Brands | 146,000 | 715,400 | |||||
Acuity Brands | 13,900 | 2,188,833 | |||||
AGCO | 42,100 | 4,048,757 | |||||
Alaska Air Group † | 28,900 | 1,131,435 | |||||
Allison Transmission Holdings | 55,500 | 1,873,680 | |||||
Apogee Enterprises | 36,200 | 1,383,564 | |||||
ArcBest | 27,300 | 1,985,529 | |||||
Atkore † | 42,100 | 3,275,801 | |||||
Atlas Air Worldwide Holdings † | 4,970 | 474,983 | |||||
BWX Technologies | 174,429 | 8,785,989 | |||||
CoreCivic † | 56,200 | 496,808 | |||||
Covenant Logistics Group | 59,100 | 1,696,170 | |||||
Crane Holdings | 20,600 | 1,803,324 | |||||
Deluxe | 29,800 | 496,170 | |||||
Ennis | 45,800 | 921,954 | |||||
Esab | 112,398 | 3,749,597 | |||||
GXO Logistics † | 151,932 | 5,326,736 | |||||
Hawaiian Holdings † | 45,300 | 595,695 | |||||
Hillenbrand | 31,174 | 1,144,709 | |||||
Huntington Ingalls Industries | 6,200 | 1,373,300 | |||||
IAA † | 131,934 | 4,202,098 | |||||
Kaman | 106,232 | 2,967,060 | |||||
KAR Auction Services † | 538,363 | 6,013,515 | |||||
ManpowerGroup | 26,300 | 1,701,347 | |||||
Moog Class A | 24,000 | 1,688,400 | |||||
MSC Industrial Direct Class A | 18,200 | 1,325,142 | |||||
Oshkosh | 14,800 | 1,040,292 | |||||
Owens Corning | 35,500 | 2,790,655 | |||||
Primoris Services | 66,384 | 1,078,740 | |||||
Quanex Building Products | 54,980 | 998,437 | |||||
REV Group | 85,200 | 939,756 | |||||
Ryder System | 16,800 | 1,268,232 | |||||
SkyWest † | 39,400 | 640,644 | |||||
Snap-on | 9,300 | 1,872,555 |
79
Schedules of investments
Optimum Small-Mid Cap Value Fund
Number of shares | Value (US $) | ||||||
Common Stocks (continued) | |||||||
Industrials (continued) | |||||||
Textron | 16,800 | $ | 978,768 | ||||
Timken | 37,000 | 2,184,480 | |||||
Triton International | 43,700 | 2,391,701 | |||||
United Airlines Holdings † | 34,400 | 1,119,032 | |||||
XPO Logistics † | 81,624 | 3,633,900 | |||||
83,178,655 | |||||||
Information Technology – 9.46% | |||||||
ACI Worldwide † | 343,964 | 7,188,848 | |||||
Amdocs | 22,500 | 1,787,625 | |||||
Amkor Technology | 102,600 | 1,749,330 | |||||
Arrow Electronics † | 24,580 | 2,266,030 | |||||
BM Technologies † | 9,050 | 60,544 | |||||
Cirrus Logic † | 10,400 | 715,520 | |||||
Consensus Cloud Solutions † | 61,917 | 2,928,674 | |||||
CSG Systems International | 18,200 | 962,416 | |||||
Diodes † | 10,500 | 681,555 | |||||
Ebix | 33,273 | 631,189 | |||||
Euronet Worldwide † | 53,314 | 4,039,069 | |||||
Jabil | 74,000 | 4,270,540 | |||||
Kimball Electronics † | 74,200 | 1,272,530 | |||||
Methode Electronics | 37,800 | 1,404,270 | |||||
NCR † | 37,200 | 707,172 | |||||
NetApp | 32,700 | 2,022,495 | |||||
NETGEAR † | 12,082 | 242,123 | |||||
Sanmina † | 59,300 | 2,732,544 | |||||
Seagate Technology Holdings | 17,100 | 910,233 | |||||
Silicon Motion Technology ADR | 40,942 | 2,669,009 | |||||
TD SYNNEX | 20,400 | 1,656,276 | |||||
Teledyne Technologies † | 10,855 | 3,663,237 | |||||
TTM Technologies † | 84,100 | 1,108,438 | |||||
Ultra Clean Holdings † | 38,400 | 988,800 | |||||
Verint Systems † | 235,379 | 7,904,027 | |||||
Vishay Precision Group † | 35,910 | 1,062,577 | |||||
Western Union | 66,100 | 892,350 | |||||
Xerox Holdings | 61,300 | 801,804 | |||||
57,319,225 | |||||||
Materials – 11.76% | |||||||
Ashland | 102,400 | 9,724,928 | |||||
Axalta Coating Systems † | 364,473 | 7,675,801 | |||||
Berry Global Group † | 48,200 | 2,242,746 | |||||
Cabot | 27,500 | 1,756,975 | |||||
Celanese | 14,200 | 1,282,828 | |||||
Chemours | 49,500 | 1,220,175 | |||||
Eastman Chemical | 19,400 | 1,378,370 | |||||
FMC | 67,560 | 7,141,092 | |||||
Greif Class A | 34,400 | 2,049,208 | |||||
Huntsman | 70,700 | 1,734,978 | |||||
Koppers Holdings | 48,050 | 998,479 | |||||
Mativ Holdings | 32,700 | 722,016 | |||||
Mosaic | 82,800 | 4,001,724 | |||||
O-I Glass † | 59,800 | 774,410 | |||||
Packaging Corp of America | 13,000 | 1,459,770 | |||||
Reliance Steel & Aluminum | 21,500 | 3,749,815 | |||||
Resolute Forest Products † | 34,440 | 688,800 | |||||
Silgan Holdings | 412,393 | 17,337,002 | |||||
Steel Dynamics | 41,800 | 2,965,710 | |||||
Trinseo | 22,200 | 406,704 | |||||
Tronox Holdings Class A | 38,500 | 471,625 | |||||
Westrock | 48,000 | 1,482,720 | |||||
71,265,876 | |||||||
Real Estate – 8.12% | |||||||
American Assets Trust | 37,200 | 956,784 | |||||
Apple Hospitality REIT | 114,600 | 1,611,276 | |||||
Armada Hoffler Properties | 100,700 | 1,045,266 | |||||
Brixmor Property Group | 80,400 | 1,484,988 | |||||
CareTrust REIT | 57,900 | 1,048,569 | |||||
City Office REIT | 137,000 | 1,365,890 | |||||
CTO Realty Growth | 46,500 | 871,410 | |||||
Franklin Street Properties | 93,612 | 246,200 | |||||
Gaming and Leisure Properties | 313,163 | 13,854,331 | |||||
Howard Hughes † | 50,130 | 2,776,701 | |||||
Industrial Logistics Properties Trust | 63,789 | 350,839 | |||||
Iron Mountain | 25,700 | 1,130,029 | |||||
Kite Realty Group Trust | 63,600 | 1,095,192 | |||||
Medical Properties Trust | 621,685 | 7,373,184 | |||||
National Health Investors | 17,900 | 1,011,887 | |||||
Newmark Group Class A | 465,221 | 3,749,681 | |||||
Office Properties Income Trust | 45,688 | 641,916 | |||||
Omega Healthcare Investors | 53,300 | 1,571,817 | |||||
Piedmont Office Realty Trust Class A | 78,300 | 826,848 | |||||
Plymouth Industrial REIT | 57,000 | 958,170 | |||||
RPT Realty | 104,000 | 786,240 | |||||
Sabra Health Care REIT | 112,200 | 1,472,064 | |||||
Service Properties Trust | 104,300 | 541,317 | |||||
Tanger Factory Outlet Centers | 122,610 | 1,677,305 | |||||
Uniti Group | 107,160 | 744,762 | |||||
49,192,666 | |||||||
Utilities – 1.65% | |||||||
National Fuel Gas | 44,100 | 2,714,355 | |||||
NRG Energy | 70,400 | 2,694,208 | |||||
UGI | 45,200 | 1,461,316 | |||||
Vistra | 148,900 | 3,126,900 | |||||
9,996,779 | |||||||
Total Common Stocks (cost $634,202,880) | 595,329,315 |
80
Number of shares | Value (US $) | ||||||
Short-Term Investments – 1.64% | |||||||
Money Market Mutual Funds – 1.64% | |||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 2.76%) | 2,476,896 | $ | 2,476,896 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 2.74%) | 2,476,895 | 2,476,895 | |||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 2.98%) | 2,476,895 | 2,476,895 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 2.80%) | 2,476,896 | 2,476,896 | |||||
Total Short-Term Investments (cost $9,907,582) | 9,907,582 | ||||||
Total Value of Securities–99.89% (cost $644,110,462) | $ | 605,236,897 |
† | Non-income producing security. |
Summary of abbreviations:
ADR – American Depositary Receipt
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
81
Statement of assets and liabilities
Optimum Fund Trust
September 30, 2022 (Unaudited)
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||||||||||||||
Assets: | |||||||||||||||||||||||
Investments, at value* | $ | 3,090,184,347 | $ | 679,086,651 | $ | 1,447,324,282 | $ | 1,684,786,686 | $ | 603,873,315 | $ | 605,236,897 | |||||||||||
Cash | 4,589,497 | – | 43,447 | 49,811 | 7,244 | 6,671 | |||||||||||||||||
Cash collateral due from brokers | 7,108,725 | – | – | – | – | – | |||||||||||||||||
Foreign currencies, at valueΔ | 4,493,752 | 462,090 | – | 18,829 | – | – | |||||||||||||||||
Receivable for securities sold | 226,915,465 | 1,343,683 | 6,561,176 | 2,959,067 | 6,368,379 | 523,536 | |||||||||||||||||
Dividends and interest receivable | 14,793,988 | 2,748,243 | 237,673 | 2,208,092 | 107,741 | 1,096,997 | |||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 10,071,604 | 3,667 | – | – | – | – | |||||||||||||||||
Receivable for fund shares sold | 5,571,117 | 2,080,765 | 3,382,996 | 2,416,253 | 1,138,397 | 1,043,365 | |||||||||||||||||
Variation margin due from CITI on centrally cleared interest rate swap contracts | 1,406,604 | – | – | – | – | – | |||||||||||||||||
Variation margin due from Credit Suisse on centrally cleared interest rate swap contracts | 1,072,438 | – | – | – | – | – | |||||||||||||||||
Unrealized appreciation on over the counter credit default swap contracts | 901,630 | – | – | – | – | – | |||||||||||||||||
Swap payments receivable | 428,618 | – | – | – | – | – | |||||||||||||||||
Prepaid expenses | 17,417 | 29,655 | 29,230 | 25,003 | 32,770 | 29,336 | |||||||||||||||||
Foreign tax reclaims receivable | – | 2,208,363 | 49,815 | 395,345 | – | – | |||||||||||||||||
Total Assets | 3,367,555,202 | 687,963,117 | 1,457,628,619 | 1,692,859,086 | 611,527,846 | 607,936,802 |
82
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 | ||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Options written, at valueΣ | 14,710,104 | – | – | – | – | – | |||||||||||||||||
Due to custodian | – | 999,656 | – | – | – | – | |||||||||||||||||
Payable for securities purchased | 898,695,317 | – | 7,797,541 | 2,617,180 | 6,236,518 | 375,733 | |||||||||||||||||
Payable for fund shares redeemed | 6,460,877 | 1,019,100 | 1,994,784 | 4,421,388 | 951,310 | 956,349 | |||||||||||||||||
Cash collateral due to brokers | 3,971,000 | – | – | – | – | – | |||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 1,472,510 | 247 | 29,092 | – | – | – | |||||||||||||||||
Variation margin due to brokers on centrally cleared credit default swap contracts | 1,372,152 | – | – | – | – | – | |||||||||||||||||
Investment management fees payable to affiliates | 1,211,818 | 332,579 | 253,095 | 1,435,741 | 514,712 | 468,236 | |||||||||||||||||
Other accrued expenses | 928,706 | 627,678 | 1,003,877 | 92,422 | 142,752 | 187,359 | |||||||||||||||||
Variation margin due to CITI on futures contracts | 736,230 | – | – | – | – | – | |||||||||||||||||
Swap payments payable | 651,304 | – | – | – | – | ��� | |||||||||||||||||
Variation margin due to HSBC on future contracts | 392,169 | – | – | – | – | – | |||||||||||||||||
Upfront payments received on over the counter credit default swap contracts | 249,625 | – | – | – | – | – | |||||||||||||||||
Unrealized depreciation on over the counter credit default swap contracts | 235,945 | – | – | – | – | – | |||||||||||||||||
Distribution fees payable to affiliates | 120,900 | 26,780 | 98,121 | 107,402 | 17,212 | 15,407 | |||||||||||||||||
Total Liabilities | 931,208,657 | 3,006,040 | 11,176,510 | 8,674,133 | 7,862,504 | 2,003,084 | |||||||||||||||||
Total Net Assets | $ | 2,436,346,545 | $ | 684,957,077 | $ | 1,446,452,109 | $ | 1,684,184,953 | $ | 603,665,342 | $ | 605,933,718 | |||||||||||
Net Assets Consist of: | |||||||||||||||||||||||
Paid-in capital | $ | 2,886,734,359 | $ | 969,093,755 | $ | 1,223,182,759 | $ | 1,257,531,410 | $ | 674,908,188 | $ | 602,002,063 | |||||||||||
Total distributable earnings (loss) | (450,387,814 | ) | (284,136,678 | ) | 223,269,350 | 426,653,543 | (71,242,846 | ) | 3,931,655 | ||||||||||||||
Total Net Assets | $ | 2,436,346,545 | $ | 684,957,077 | $ | 1,446,452,109 | $ | 1,684,184,953 | $ | 603,665,342 | $ | 605,933,718 |
83
Statement of assets and liabilities
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Net Asset Value | ||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||
Net assets | $ | 17,434,312 | $ | 4,141,095 | $ | 15,497,887 | $ | 17,461,253 | $ | 2,858,532 | $ | 2,274,645 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,153,982 | 450,366 | 1,074,281 | 1,000,555 | 287,923 | 194,647 | ||||||||||||||||||
Net asset value per share | $ | 8.09 | $ | 9.19 | $ | 14.43 | $ | 17.45 | $ | 9.93 | $ | 11.69 | ||||||||||||
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) | $ | 8.47 | $ | 9.75 | $ | 15.31 | $ | 18.51 | $ | 10.54 | $ | 12.40 | ||||||||||||
Class C: | ||||||||||||||||||||||||
Net assets | $ | 55,068,159 | $ | 11,100,172 | $ | 40,458,190 | $ | 45,453,287 | $ | 7,325,640 | $ | 6,032,761 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 6,826,574 | 1,249,495 | 3,789,629 | 2,654,175 | 1,158,939 | 612,023 | ||||||||||||||||||
Net asset value per share | $ | 8.07 | $ | 8.88 | $ | 10.68 | $ | 17.13 | $ | 6.32 | $ | 9.86 | ||||||||||||
Institutional Class: | ||||||||||||||||||||||||
Net assets | $ | 2,363,844,074 | $ | 669,715,810 | $ | 1,390,496,032 | $ | 1,621,270,413 | $ | 593,481,170 | $ | 597,626,312 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 292,054,913 | 72,112,502 | 85,819,629 | 92,532,905 | 50,524,524 | 47,630,957 | ||||||||||||||||||
Net asset value per share | $ | 8.09 | $ | 9.29 | $ | 16.20 | $ | 17.52 | $ | 11.75 | $ | 12.55 | ||||||||||||
*Investments, at cost | $ | 3,443,080,235 | $ | 943,800,472 | $ | 1,298,515,062 | $ | 1,374,430,850 | $ | 633,846,119 | $ | 644,110,462 | ||||||||||||
DForeign currencies, at cost | 4,566,616 | 459,007 | – | 19,092 | – | – | ||||||||||||||||||
ΣOptions written, premium received | (2,270,042 | ) | – | – | – | – | – |
See accompanying notes, which are an integral part of the financial statements.
84
Optimum Fund Trust
Six months ended September 30, 2022 (Unaudited)
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||
Interest | $ | 40,185,357 | $ | – | $ | – | $ | 39 | $ | 22 | $ | 53 | ||||||||||||
Dividends | 362,972 | 21,043,458 | 5,197,701 | 22,059,371 | 1,101,541 | 9,009,654 | ||||||||||||||||||
Foreign tax withheld | (12,383 | ) | (2,022,602 | ) | (71,932 | ) | (77,863 | ) | (1,024 | ) | (4,563 | ) | ||||||||||||
40,535,946 | 19,020,856 | 5,125,769 | 21,981,547 | 1,100,539 | 9,005,144 | |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Management fees | 6,626,640 | 2,994,168 | 5,764,020 | 6,047,877 | 3,357,879 | 3,237,068 | ||||||||||||||||||
Distribution expenses – Class A | 24,407 | 6,389 | 23,522 | 25,645 | 4,081 | 3,554 | ||||||||||||||||||
Distribution expenses – Class C | 322,749 | 72,843 | 257,568 | 282,758 | 44,081 | 39,610 | ||||||||||||||||||
Dividend disbursing and transfer agent fees and expenses | 2,457,501 | 750,916 | 1,520,091 | 1,742,209 | 613,796 | 663,009 | ||||||||||||||||||
Accounting and administration expenses | 325,803 | 118,319 | 207,880 | 237,677 | 101,910 | 108,766 | ||||||||||||||||||
Reports and statements to shareholders expenses | 171,259 | 76,177 | 133,418 | 127,240 | 71,870 | 69,804 | ||||||||||||||||||
Trustees’ fees and expenses | 159,545 | 54,141 | 121,192 | 114,011 | 41,197 | 43,527 | ||||||||||||||||||
Custodian fees | 75,089 | 184,493 | 36,196 | 16,139 | 10,982 | 11,924 | ||||||||||||||||||
Legal fees | 49,033 | 16,494 | 35,213 | 35,910 | 12,431 | 13,418 | ||||||||||||||||||
Audit and tax fees | 33,851 | 28,563 | 15,204 | 13,674 | 13,822 | 14,327 | ||||||||||||||||||
Registration fees | 28,384 | 22,410 | 22,410 | 26,916 | 19,425 | 22,112 | ||||||||||||||||||
Other | 803,026 | 276,504 | 431,335 | 485,622 | 182,887 | 187,947 | ||||||||||||||||||
11,077,287 | 4,601,417 | 8,568,049 | 9,155,678 | 4,474,361 | 4,415,066 | |||||||||||||||||||
Less expenses waived | – | (153,804 | ) | (483,692 | ) | (66,542 | ) | (151,151 | ) | (100,268 | ) | |||||||||||||
Total operating expenses | 11,077,287 | 4,447,613 | 8,084,357 | 9,089,136 | 4,323,210 | 4,314,798 | ||||||||||||||||||
Net Investment Income (Loss) | 29,458,659 | 14,573,243 | (2,958,588 | ) | 12,892,411 | (3,222,671 | ) | 4,690,346 |
See accompanying notes, which are an integral part of the financial statements.
85
Statements of operations
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||
Investments | $ | (67,687,297 | ) | $ | (31,942,783 | ) | $ | 10,054,658 | $ | 71,966,558 | $ | (65,220,182 | ) | $ | 13,626,089 | |||||||||
Foreign currencies | (10,228,164 | ) | (250,873 | ) | (41,637 | ) | (17,641 | ) | – | – | ||||||||||||||
Foreign currency exchange contracts | 19,649,119 | (434,952 | ) | 310,763 | 12,763 | – | – | |||||||||||||||||
Futures contracts | (20,765,686 | ) | – | – | – | – | – | |||||||||||||||||
Options purchased | (849,453 | ) | – | – | – | – | – | |||||||||||||||||
Options written | 1,319,003 | – | – | – | – | – | ||||||||||||||||||
Swap contracts | (4,501,810 | ) | – | – | – | – | – | |||||||||||||||||
Net realized gain (loss) | (83,064,288 | ) | (32,628,608 | ) | 10,323,784 | 71,961,680 | (65,220,182 | ) | 13,626,089 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||
Investments | (235,241,158 | ) | (215,875,343 | ) | (552,905,019 | ) | (404,748,372 | ) | (74,778,453 | ) | (186,076,719 | ) | ||||||||||||
Foreign currencies | 201,925 | (170,185 | ) | (2,206 | ) | (31,130 | ) | – | – | |||||||||||||||
Foreign currency exchange contracts | 5,732,361 | 2,438 | (26,923 | ) | – | – | – | |||||||||||||||||
Futures contracts | (1,246,508 | ) | – | – | – | – | – | |||||||||||||||||
Options purchased | 2,906,248 | – | – | – | – | – | ||||||||||||||||||
Options written | (7,504,642 | ) | – | – | – | – | – | |||||||||||||||||
Swap contracts | (462,182 | ) | – | – | – | – | – | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | (235,613,956 | ) | (216,043,090 | ) | (552,934,148 | ) | (404,779,502 | ) | (74,778,453 | ) | (186,076,719 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss) | (318,678,244 | ) | (248,671,698 | ) | (542,610,364 | ) | (332,817,822 | ) | (139,998,635 | ) | (172,450,630 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (289,219,585 | ) | $ | (234,098,455 | ) | $ | (545,568,952 | ) | $ | (319,925,411 | ) | $ | (143,221,306 | ) | $ | (167,760,284 | ) |
See accompanying notes, which are an integral part of the financial statements.
86
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | |||||||||||||||
Six months ended 9/30/22 (Unaudited) | Year ended 3/31/22 | Six months ended 9/30/22 (Unaudited) | Year ended 3/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 29,458,659 | $ | 47,689,857 | $ | 14,573,243 | $ | 16,571,020 | ||||||||
Net realized gain (loss) | (83,064,288 | ) | (15,185,917 | ) | (32,628,608 | ) | 90,713,286 | |||||||||
Net change in unrealized appreciation (depreciation) | (235,613,956 | ) | (176,045,683 | ) | (216,043,090 | ) | (182,286,962 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | (289,219,585 | ) | (143,541,743 | ) | (234,098,455 | ) | (75,002,656 | ) | ||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | – | (445,644 | ) | – | (935,580 | ) | ||||||||||
Class C | – | (903,556 | ) | – | (2,624,537 | ) | ||||||||||
Institutional Class | – | (62,740,572 | ) | – | (131,716,221 | ) | ||||||||||
– | (64,089,772 | ) | – | (135,276,338 | ) | |||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 501,513 | 2,096,123 | 117,484 | 291,952 | ||||||||||||
Class C | 951,191 | 4,702,930 | 216,601 | 513,464 | ||||||||||||
Institutional Class | 202,578,992 | 536,712,198 | 66,281,121 | 183,482,627 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | – | 445,467 | – | 934,059 | ||||||||||||
Class C | – | 901,741 | – | 2,623,663 | ||||||||||||
Institutional Class | – | 62,651,359 | – | 131,589,404 | ||||||||||||
204,031,696 | 607,509,818 | 66,615,206 | 319,435,169 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (2,174,535 | ) | (3,907,042 | ) | (577,143 | ) | (1,232,452 | ) | ||||||||
Class C | (10,559,490 | ) | (14,255,701 | ) | (2,357,735 | ) | (3,918,149 | ) | ||||||||
Institutional Class | (308,455,735 | ) | (374,235,438 | ) | (72,124,441 | ) | (108,163,697 | ) | ||||||||
(321,189,760 | ) | (392,398,181 | ) | (75,059,319 | ) | (113,314,298 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | (117,158,064 | ) | 215,111,637 | (8,444,113 | ) | 206,120,871 | ||||||||||
Net Increase (Decrease) in Net Assets | (406,377,649 | ) | 7,480,122 | (242,542,568 | ) | (4,158,123 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 2,842,724,194 | 2,835,244,072 | 927,499,645 | 931,657,768 | ||||||||||||
End of period | $ | 2,436,346,545 | $ | 2,842,724,194 | $ | 684,957,077 | $ | 927,499,645 |
See accompanying notes, which are an integral part of the financial statements.
87
Statements of changes in net assets
Optimum Fund Trust
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||
Six months ended 9/30/22 (Unaudited) | Year ended 3/31/22 | Six months ended 9/30/22 (Unaudited) | Year ended 3/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (2,958,588 | ) | $ | (12,484,104 | ) | $ | 12,892,411 | $ | 19,434,127 | ||||||
Net realized gain (loss) | 10,323,784 | 144,862,997 | 71,961,680 | 76,570,435 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (552,934,148 | ) | (77,452,169 | ) | (404,779,502 | ) | 143,971,671 | |||||||||
Net increase (decrease) in net assets resulting from operations | (545,568,952 | ) | 54,926,724 | (319,925,411 | ) | 239,976,233 | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | – | (4,030,585 | ) | – | (1,692,706 | ) | ||||||||||
Class C | – | (14,214,509 | ) | – | (4,345,895 | ) | ||||||||||
Institutional Class | – | (268,587,340 | ) | – | (140,961,810 | ) | ||||||||||
– | (286,832,434 | ) | – | (147,000,411 | ) | |||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 255,063 | 1,407,951 | 174,499 | 1,277,268 | ||||||||||||
Class C | 529,265 | 814,700 | 291,602 | 931,257 | ||||||||||||
Institutional Class | 152,336,493 | 327,269,912 | 126,334,829 | 309,558,547 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | – | 4,028,511 | – | 1,691,946 | ||||||||||||
Class C | – | 14,196,121 | – | 4,339,611 | ||||||||||||
Institutional Class | – | 268,007,460 | – | 140,692,925 | ||||||||||||
153,120,821 | 615,724,655 | 126,800,930 | 458,491,554 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (2,341,567 | ) | (6,494,547 | ) | (2,688,200 | ) | (4,535,773 | ) | ||||||||
Class C | (8,032,552 | ) | (17,531,920 | ) | (9,911,000 | ) | (14,131,077 | ) | ||||||||
Institutional Class | (138,136,162 | ) | (304,236,214 | ) | (186,487,847 | ) | (274,794,124 | ) | ||||||||
(148,510,281 | ) | (328,262,681 | ) | (199,087,047 | ) | (293,460,974 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 4,610,540 | 287,461,974 | (72,286,117 | ) | 165,030,580 | |||||||||||
Net Increase (Decrease) in Net Assets | (540,958,412 | ) | 55,556,264 | (392,211,528 | ) | 258,006,402 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 1,987,410,521 | 1,931,854,257 | 2,076,396,481 | 1,818,390,079 | ||||||||||||
End of period | $ | 1,446,452,109 | $ | 1,987,410,521 | $ | 1,684,184,953 | $ | 2,076,396,481 |
See accompanying notes, which are an integral part of the financial statements.
88
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||
Six months ended 9/30/22 (Unaudited) | Year ended 3/31/22 | Six months ended 9/30/22 (Unaudited) | Year ended 3/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (3,222,671 | ) | $ | (7,456,623 | ) | $ | 4,690,346 | $ | (207,768 | ) | |||||
Net realized gain (loss) | (65,220,182 | ) | 107,582,819 | 13,626,089 | 43,412,983 | |||||||||||
Net change in unrealized appreciation (depreciation) | (74,778,453 | ) | (143,726,772 | ) | (186,076,719 | ) | 5,101,235 | |||||||||
Net increase (decrease) in net assets resulting from operations | (143,221,306 | ) | (43,600,576 | ) | (167,760,284 | ) | 48,306,450 | |||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | – | (1,302,134 | ) | – | (222,223 | ) | ||||||||||
Class C | – | (4,763,873 | ) | – | (669,877 | ) | ||||||||||
Institutional Class | – | (199,510,449 | ) | – | (47,505,314 | ) | ||||||||||
– | (205,576,456 | ) | – | (48,397,414 | ) | |||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 46,163 | 260,330 | 15,500 | 221,806 | ||||||||||||
Class C | 130,431 | 188,430 | 61,448 | 132,722 | ||||||||||||
Institutional Class | 58,767,542 | 141,732,994 | 53,823,062 | 135,324,597 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | – | 1,300,064 | – | 221,983 | ||||||||||||
Class C | – | 4,762,017 | – | 669,620 | ||||||||||||
Institutional Class | – | 198,911,276 | – | 47,459,076 | ||||||||||||
58,944,136 | 347,155,111 | 53,900,010 | 184,029,804 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class A | (334,335 | ) | (1,198,026 | ) | (405,617 | ) | (891,600 | ) | ||||||||
Class C | (1,325,468 | ) | (3,440,330 | ) | (1,497,092 | ) | (2,796,339 | ) | ||||||||
Institutional Class | (56,970,900 | ) | (103,282,138 | ) | (70,543,286 | ) | (104,727,298 | ) | ||||||||
(58,630,703 | ) | (107,920,494 | ) | (72,445,995 | ) | (108,415,237 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 313,433 | 239,234,617 | (18,545,985 | ) | 75,614,567 | |||||||||||
Net Increase (Decrease) in Net Assets | (142,907,873 | ) | (9,942,415 | ) | (186,306,269 | ) | 75,523,603 | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 746,573,215 | 756,515,630 | 792,239,987 | 716,716,384 | ||||||||||||
End of period | $ | 603,665,342 | $ | 746,573,215 | $ | 605,933,718 | $ | 792,239,987 |
See accompanying notes, which are an integral part of the financial statements.
89
Optimum Fixed Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.04 | $ | 9.70 | $ | 9.67 | $ | 9.46 | $ | 9.35 | $ | 9.39 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.09 | 0.14 | 0.15 | 0.21 | 0.23 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.04 | ) | (0.61 | ) | 0.37 | 0.29 | 0.08 | (0.05 | ) | |||||||||||||||
Total from investment operations | (0.95 | ) | (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 | $ | 8.09 | $ | 9.04 | $ | 9.70 | $ | 9.67 | $ | 9.46 | $ | 9.35 | ||||||||||||
Total return3 | (10.61% | ) | (4.99% | ) | 5.21% | 5.24% | 4 | 3.37% | 1.81% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 17,435 | $ | 21,244 | $ | 24,142 | $ | 24,827 | $ | 26,613 | $ | 30,150 | ||||||||||||
Ratio of expenses to average net assets5 | 1.06% | 1.05% | 1.06% | 1.07% | 1.08% | 1.10% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.00% | 1.40% | 1.52% | 2.11% | 2.43% | 2.29% | ||||||||||||||||||
Portfolio turnover | 96% | 219% | 6 | 217% | 6 | 361% | 6 | 453% | 403% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
6 | 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.
90
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.05 | $ | 9.69 | $ | 9.67 | $ | 9.45 | $ | 9.34 | $ | 9.38 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.06 | 0.08 | 0.13 | 0.16 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.03 | ) | (0.59 | ) | 0.35 | 0.30 | 0.07 | (0.05 | ) | |||||||||||||||
Total from investment operations | (0.98 | ) | (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 | $ | 8.07 | $ | 9.05 | $ | 9.69 | $ | 9.67 | $ | 9.45 | $ | 9.34 | ||||||||||||
Total return3 | (10.93% | ) | (5.55% | ) | 4.30% | 4.55% | 4 | 2.52% | 1.06% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 55,068 | $ | 71,985 | $ | 85,821 | $ | 85,853 | $ | 92,295 | $ | 105,194 | ||||||||||||
Ratio of expenses to average net assets5 | 1.81% | 1.80% | 1.81% | 1.82% | 1.83% | 1.85% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.25% | 0.65% | 0.77% | 1.36% | 1.68% | 1.54% | ||||||||||||||||||
Portfolio turnover | 96% | 219% | 6 | 217% | 6 | 361% | 6 | 453% | 403% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
6 | 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.
91
Financial highlights
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.03 | $ | 9.68 | $ | 9.66 | $ | 9.45 | $ | 9.34 | $ | 9.39 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.10 | 0.16 | 0.18 | 0.23 | 0.25 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.04 | ) | (0.59 | ) | 0.36 | 0.29 | 0.08 | (0.05 | ) | |||||||||||||||
Total from investment operations | (0.94 | ) | (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 | $ | 8.09 | $ | 9.03 | $ | 9.68 | $ | 9.66 | $ | 9.45 | $ | 9.34 | ||||||||||||
Total return3 | (10.51% | ) | (4.65% | ) | 5.37% | 5.52% | 4 | 3.65% | 1.96% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 2,363,844 | $ | 2,749,495 | $ | 2,725,281 | $ | 2,378,904 | $ | 2,249,912 | $ | 1,882,394 | ||||||||||||
Ratio of expenses to average net assets5 | 0.81% | 0.80% | 0.81% | 0.82% | 0.83% | 0.85% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.25% | 1.65% | 1.77% | 2.36% | 2.68% | 2.54% | ||||||||||||||||||
Portfolio turnover | 96% | 219% | 6 | 217% | 6 | 361% | 6 | 453% | 403% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | General Motors term loan litigation were included in total return. If excluded, the impact on the total return would be 0.04% lower. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
6 | 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.
92
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.33 | $ | 15.40 | $ | 9.93 | $ | 12.59 | $ | 14.42 | $ | 12.27 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.18 | 0.22 | 0.16 | 0.20 | 0.17 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.32 | ) | (1.20 | ) | 5.59 | (2.61 | ) | (1.00 | ) | 2.29 | ||||||||||||||
Total from investment operations | (3.14 | ) | (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 | $ | 9.19 | $ | 12.33 | $ | 15.40 | $ | 9.93 | $ | 12.59 | $ | 14.42 | ||||||||||||
Total return3 | (25.47% | ) | (7.55% | )4 | 58.20% | 4 | (19.62 | )4 | (5.33% | ) | 19.74% | 4 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 4,141 | $ | 6,071 | $ | 7,494 | $ | 5,121 | $ | 7,275 | $ | 8,704 | ||||||||||||
Ratio of expenses to average net assets5 | 1.32% | 1.34% | 1.34% | 1.37% | 1.37% | 1.36% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.36% | 1.36% | 1.35% | 1.39% | 1.37% | 1.36% | ||||||||||||||||||
Ratio of net investment income to average net assets | 3.37% | 1.46% | 1.21% | 1.62% | 1.30% | 0.90% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 3.33% | 1.44% | 1.20% | 1.60% | 1.30% | 0.90% | ||||||||||||||||||
Portfolio turnover | 28% | 106% | 71% | 51% | 63% | 52% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
93
Financial highlights
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.96 | $ | 14.98 | $ | 9.68 | $ | 12.27 | $ | 14.06 | $ | 11.98 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.14 | 0.10 | 0.06 | 0.11 | 0.07 | 0.02 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.22 | ) | (1.15 | ) | 5.43 | (2.54 | ) | (0.98 | ) | 2.23 | ||||||||||||||
Total from investment operations | (3.08 | ) | (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 | $ | 8.88 | $ | 11.96 | $ | 14.98 | $ | 9.68 | $ | 12.27 | $ | 14.06 | ||||||||||||
Total return3 | (25.75% | ) | (8.21% | )4 | 56.92% | 4 | (20.16% | )4 | (6.07% | ) | 18.82% | 4 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 11,100 | $ | 17,442 | $ | 22,367 | $ | 15,138 | $ | 21,763 | $ | 28,046 | ||||||||||||
Ratio of expenses to average net assets5 | 2.07% | 2.09% | 2.09% | 2.12% | 2.12% | 2.11% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 2.11% | 2.11% | 2.10% | 2.14% | 2.12% | 2.11% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.61% | 0.71% | 0.46% | 0.87% | 0.55% | 0.15% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.57% | 0.69% | 0.45% | 0.85% | 0.55% | 0.15% | ||||||||||||||||||
Portfolio turnover | 28% | 106% | 71% | 51% | 63% | 52% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
94
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.44 | $ | 15.52 | $ | 10.00 | $ | 12.68 | $ | 14.52 | $ | 12.35 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.20 | 0.26 | 0.19 | 0.24 | 0.21 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.35 | ) | (1.21 | ) | 5.64 | (2.63 | ) | (1.02 | ) | 2.31 | ||||||||||||||
Total from investment operations | (3.15 | ) | (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 | $ | 9.29 | $ | 12.44 | $ | 15.52 | $ | 10.00 | $ | 12.68 | $ | 14.52 | ||||||||||||
Total return3 | (25.32% | ) | (7.31% | )4 | 58.64% | 4 | (19.44% | )4 | (5.09% | ) | 20.05% | 4 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 669,716 | $ | 903,987 | $ | 901,797 | $ | 406,933 | $ | 524,925 | $ | 629,934 | ||||||||||||
Ratio of expenses to average net assets5 | 1.07% | 1.09% | 1.09% | 1.12% | 1.12% | 1.11% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.11% | 1.11% | 1.10% | 1.14% | 1.12% | 1.11% | ||||||||||||||||||
Ratio of net investment income to average net assets | 3.61% | 1.71% | 1.46% | 1.87% | 1.55% | 1.15% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 3.57% | 1.69% | 1.45% | 1.85% | 1.55% | 1.15% | ||||||||||||||||||
Portfolio turnover | 28% | 106% | 71% | 51% | 63% | 52% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
95
Financial highlights
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 19.88 | $ | 22.49 | $ | 15.51 | $ | 16.70 | $ | 17.22 | $ | 16.84 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.05 | ) | (0.19 | ) | (0.14 | ) | (0.07 | ) | (0.03 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (5.40 | ) | 1.26 | 9.03 | (0.53 | ) | 1.82 | 3.70 | ||||||||||||||||
Total from investment operations | (5.45 | ) | 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 | $ | 14.43 | $ | 19.88 | $ | 22.49 | $ | 15.51 | $ | 16.70 | $ | 17.22 | ||||||||||||
Total return3 | (27.41% | )4 | 2.49% | 4 | 57.75% | (4.03% | ) | 11.60% | 22.17% | 4 | ||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 15,498 | $ | 23,861 | $ | 27,906 | $ | 22,363 | $ | 29,605 | $ | 32,254 | ||||||||||||
Ratio of expenses to average net assets5 | 1.19% | 1.22% | 1.23% | 1.24% | 1.25% | 1.26% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.25% | 5.62% | 1.23% | 1.24% | 1.25% | 1.26% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.57% | ) | (0.80% | ) | (0.65% | ) | (0.38% | ) | (0.19% | ) | (0.31% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.63% | ) | (5.20% | ) | (0.65% | ) | (0.38% | ) | (0.19% | ) | (0.31% | ) | ||||||||||||
Portfolio turnover | 36% | 25% | 27% | 29% | 25% | 77% | 6 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
6 | 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.
96
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.77 | $ | 17.63 | $ | 12.52 | $ | 13.68 | $ | 14.62 | $ | 14.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.08 | ) | (0.28 | ) | (0.24 | ) | (0.16 | ) | (0.14 | ) | (0.17 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (4.01 | ) | 1.10 | 7.26 | (0.41 | ) | 1.51 | 3.24 | ||||||||||||||||
Total from investment operations | (4.09 | ) | 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 | $ | 10.68 | $ | 14.77 | $ | 17.63 | $ | 12.52 | $ | 13.68 | $ | 14.62 | ||||||||||||
Total return3 | (27.69% | )4 | 1.72% | 4 | 56.56% | (4.71% | ) | 10.74% | 21.30% | 4 | ||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 40,458 | $ | 65,193 | $ | 79,209 | $ | 63,237 | $ | 83,010 | $ | 97,658 | ||||||||||||
Ratio of expenses to average net assets5 | 1.94% | 1.97% | 1.98% | 1.99% | 2.00% | 2.01% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 2.00% | 7.87% | 1.98% | 1.99% | 2.00% | 2.01% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.33% | ) | (1.55% | ) | (1.40% | ) | (1.13% | ) | (0.94% | ) | (1.06% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.39% | ) | (7.45% | ) | (1.40% | ) | (1.13% | ) | (0.94% | ) | (1.06% | ) | ||||||||||||
Portfolio turnover | 36% | 25% | 27% | 29% | 25% | 77% | 6 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
6 | 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.
97
Financial highlights
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 22.30 | $ | 24.79 | $ | 16.93 | $ | 18.13 | $ | 18.46 | $ | 17.81 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | (0.03 | ) | (0.14 | ) | (0.09 | ) | (0.02 | ) | 0.01 | (0.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (6.07 | ) | 1.33 | 9.86 | (0.59 | ) | 1.97 | 3.92 | ||||||||||||||||
Total from investment operations | (6.10 | ) | 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 | $ | 16.20 | $ | 22.30 | $ | 24.79 | $ | 16.93 | $ | 18.13 | $ | 18.46 | ||||||||||||
Total return3 | (27.35% | )4 | 2.75% | 4 | 58.11% | (3.77% | ) | �� | 11.86% | 22.50% | 4 | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,390,496 | $ | 1,898,357 | $ | 1,824,739 | $ | 1,392,797 | $ | 1,563,552 | $ | 1,610,343 | ||||||||||||
Ratio of expenses to average net assets5 | 0.94% | 0.97% | 0.98% | 0.99% | 1.00% | 1.01% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.00% | 4.87% | 0.98% | 0.99% | 1.00% | 1.01% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.32% | ) | (0.55% | ) | (0.40% | ) | (0.13% | ) | 0.06% | (0.06% | ) | |||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.38% | ) | (4.45% | ) | (0.40% | ) | (0.13% | ) | 0.06% | (0.06% | ) | |||||||||||||
Portfolio turnover | 36% | 25% | 27% | 29% | 25% | 77% | 6 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
6 | 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.
98
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 20.72 | $ | 19.72 | $ | 13.22 | $ | 15.83 | $ | 15.89 | $ | 15.42 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.11 | 0.16 | 0.17 | 0.20 | 0.19 | 0.17 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.38 | ) | 2.37 | 6.52 | (2.37 | ) | 0.38 | 1.19 | ||||||||||||||||
Total from investment operations | (3.27 | ) | 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 | $ | 17.45 | $ | 20.72 | $ | 19.72 | $ | 13.22 | $ | 15.83 | $ | 15.89 | ||||||||||||
Total return3 | (15.78% | )4 | 12.91% | 50.73% | (14.37% | ) | 3.79% | 8.68% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 17,461 | $ | 23,414 | $ | 23,730 | $ | 17,123 | $ | 23,742 | $ | 26,448 | ||||||||||||
Ratio of expenses to average net assets5 | 1.17% | 1.18% | 1.19% | 1.20% | 1.20% | 1.21% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.18% | 1.18% | 1.19% | 1.20% | 1.20% | 1.21% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.14% | 0.76% | 1.04% | 1.19% | 1.23% | 1.05% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.13% | 0.76% | 1.04% | 1.19% | 1.23% | 1.05% | ||||||||||||||||||
Portfolio turnover | 8% | 9% | 20% | 23% | 22% | 25% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
99
Financial highlights
Optimum Large Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 20.41 | $ | 19.44 | $ | 13.06 | $ | 15.65 | $ | 15.69 | $ | 15.25 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.04 | – | 0.05 | 0.07 | 0.07 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.32 | ) | 2.34 | 6.42 | (2.35 | ) | 0.38 | 1.17 | ||||||||||||||||
Total from investment operations | (3.28 | ) | 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 | $ | 17.13 | $ | 20.41 | $ | 19.44 | $ | 13.06 | $ | 15.65 | $ | 15.69 | ||||||||||||
Total return3 | (16.07% | )4 | 12.07% | 49.61% | (15.04% | ) | 3.05% | 7.82% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 45,453 | $ | 64,602 | $ | 69,778 | $ | 50,036 | $ | 69,415 | $ | 82,610 | ||||||||||||
Ratio of expenses to average net assets5 | 1.92% | 1.93% | 1.94% | 1.95% | 1.95% | 1.96% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.93% | 1.93% | 1.94% | 1.95% | 1.95% | 1.96% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.38% | 0.01% | 0.29% | 0.44% | 0.48% | 0.30% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.37% | 0.01% | 0.29% | 0.44% | 0.48% | 0.30% | ||||||||||||||||||
Portfolio turnover | 8% | 9% | 20% | 23% | 22% | 25% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
100
Optimum Large Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 20.78 | $ | 19.77 | $ | 13.25 | $ | 15.87 | $ | 15.93 | $ | 15.46 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.13 | 0.21 | 0.21 | 0.24 | 0.23 | 0.21 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.39 | ) | 2.39 | 6.54 | (2.38 | ) | 0.38 | 1.19 | ||||||||||||||||
Total from investment operations | (3.26 | ) | 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 | $ | 17.52 | $ | 20.78 | $ | 19.77 | $ | 13.25 | $ | 15.87 | $ | 15.93 | ||||||||||||
Total return3 | (15.69% | )4 | 13.22% | 51.11% | (14.19% | ) | 4.08% | 8.90% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,621,271 | $ | 1,988,380 | $ | 1,724,882 | $ | 1,217,465 | $ | 1,474,723 | $ | 1,372,505 | ||||||||||||
Ratio of expenses to average net assets5 | 0.92% | 0.93% | 0.94% | 0.95% | 0.95% | 0.96% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 0.93% | 0.93% | 0.94% | 0.95% | 0.95% | 0.96% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.39% | 1.01% | 1.29% | 1.44% | 1.48% | 1.30% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.38% | 1.01% | 1.29% | 1.44% | 1.48% | 1.30% | ||||||||||||||||||
Portfolio turnover | 8% | 9% | 20% | 23% | 22% | 25% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
101
Financial highlights
Optimum Small-Mid Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.29 | $ | 18.05 | $ | 10.17 | $ | 13.43 | $ | 15.51 | $ | 13.31 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.07 | ) | (0.20 | ) | (0.18 | ) | (0.15 | ) | (0.17 | ) | (0.16 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (2.29 | ) | (0.15 | ) | 10.98 | (1.77 | ) | 1.20 | 3.03 | |||||||||||||||
Total from investment operations | (2.36 | ) | (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 | $ | 9.93 | $ | 12.29 | $ | 18.05 | $ | 10.17 | $ | 13.43 | $ | 15.51 | ||||||||||||
Total return3 | (19.20% | ) | (5.76% | ) | 109.54% | (16.32% | ) | 8.69% | 21.88% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 2,858 | $ | 3,864 | $ | 5,016 | $ | 3,241 | $ | 4,788 | $ | 5,414 | ||||||||||||
Ratio of expenses to average net assets4 | 1.54% | 1.56% | 1.56% | 1.54% | 1.54% | 1.55% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 1.59% | 1.57% | 1.58% | 1.63% | 1.65% | 1.63% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.21% | ) | (1.19% | ) | (1.18% | ) | (1.11% | ) | (1.11% | ) | (1.07% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.26% | ) | (1.20% | ) | (1.20% | ) | (1.20% | ) | (1.22% | ) | (1.15% | ) | ||||||||||||
Portfolio turnover | 58% | 98% | 111% | 93% | 82% | 89% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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 the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
102
Optimum Small-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 7.85 | $ | 13.43 | $ | 8.02 | $ | 10.94 | $ | 13.32 | $ | 11.59 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.07 | ) | (0.23 | ) | (0.23 | ) | (0.20 | ) | (0.24 | ) | (0.23 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.46 | ) | 0.06 | 8.56 | (1.38 | ) | 0.97 | 2.63 | ||||||||||||||||
Total from investment operations | (1.53 | ) | (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 | $ | 6.32 | $ | 7.85 | $ | 13.43 | $ | 8.02 | $ | 10.94 | $ | 13.32 | ||||||||||||
Total return3 | (19.49% | ) | (6.51% | ) | 108.02% | (16.95% | ) | 7.81% | 21.06% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 7,326 | $ | 10,474 | $ | 14,372 | $ | 9,353 | $ | 13,510 | $ | 15,925 | ||||||||||||
Ratio of expenses to average net assets4 | 2.29% | 2.31% | 2.31% | 2.29% | 2.29% | 2.30% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 2.34% | 2.32% | 2.33% | 2.38% | 2.40% | 2.38% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (1.96% | ) | (1.94% | ) | (1.93% | ) | (1.86% | ) | (1.86% | ) | (1.82% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (2.01% | ) | (1.95% | ) | (1.95% | ) | (1.95% | ) | (1.97% | ) | (1.90% | ) | ||||||||||||
Portfolio turnover | 58% | 98% | 111% | 93% | 82% | 89% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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 the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
103
Financial highlights
Optimum Small-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.52 | $ | 20.37 | $ | 11.25 | $ | 14.69 | $ | 16.63 | $ | 14.19 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.06 | ) | (0.18 | ) | (0.16 | ) | (0.12 | ) | (0.14 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (2.71 | ) | (0.26 | ) | 12.20 | (1.98 | ) | 1.31 | 3.24 | |||||||||||||||
Total from investment operations | (2.77 | ) | (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 | $ | 11.75 | $ | 14.52 | $ | 20.37 | $ | 11.25 | $ | 14.69 | $ | 16.63 | ||||||||||||
Total return3 | (19.08% | ) | (5.54% | ) | 110.06% | (16.14% | ) | 8.97% | 22.22% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 593,481 | $ | 732,235 | $ | 737,128 | $ | 406,140 | $ | 494,476 | $ | 494,894 | ||||||||||||
Ratio of expenses to average net assets4 | 1.29% | 1.31% | 1.31% | 1.29% | 1.29% | 1.30% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 1.34% | 1.32% | 1.33% | 1.38% | 1.40% | 1.38% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.96% | ) | (0.94% | ) | (0.93% | ) | (0.86% | ) | (0.86% | ) | (0.82% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.01% | ) | (0.95% | ) | (0.95% | ) | (0.95% | ) | (0.97% | ) | (0.90% | ) | ||||||||||||
Portfolio turnover | 58% | 98% | 111% | 93% | 82% | 89% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
104
Optimum Small-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.90 | $ | 14.93 | $ | 8.36 | $ | 12.14 | $ | 13.66 | $ | 13.77 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.07 | (0.04 | ) | 0.19 | 0.10 | 0.11 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | (3.28 | ) | 1.01 | 6.92 | (3.50 | ) | (0.69 | ) | 0.59 | |||||||||||||||
Total from investment operations | (3.21 | ) | 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 | $ | 11.69 | $ | 14.90 | $ | 14.93 | $ | 8.36 | $ | 12.14 | $ | 13.66 | ||||||||||||
Total return3 | (21.54% | ) | 6.45% | 86.21% | (29.10% | ) | (3.83% | ) | 4.59% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 2,275 | $ | 3,328 | $ | 3,765 | $ | 1,970 | $ | 3,266 | $ | 3,856 | ||||||||||||
Ratio of expenses to average net assets4 | 1.44% | 1.46% | 1.49% | 1.47% | 1.46% | 1.48% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 1.47% | 1.46% | 1.50% | 1.52% | 1.54% | 1.54% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.07% | (0.26% | ) | 1.65% | 0.79% | 0.87% | 0.40% | |||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 1.04% | (0.26% | ) | 1.64% | 0.74% | 0.79% | 0.34% | |||||||||||||||||
Portfolio turnover | 23% | 17% | 85% | 5 | 33% | 32% | 31% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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 the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Expense ratios do not include expenses of any investment companies 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.
105
Financial highlights
Optimum Small-Mid Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.62 | $ | 12.78 | $ | 7.22 | $ | 10.54 | $ | 12.01 | $ | 12.21 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.02 | (0.13 | ) | 0.09 | – | 3 | 0.01 | (0.04 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (2.78 | ) | 0.87 | 5.94 | (3.02 | ) | (0.60 | ) | 0.53 | |||||||||||||||
Total from investment operations | (2.76 | ) | 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 | $ | 9.86 | $ | 12.62 | $ | 12.78 | $ | 7.22 | $ | 10.54 | $ | 12.01 | ||||||||||||
Total return4 | (21.87% | ) | 5.70% | 84.75% | (29.65% | ) | (4.50% | ) | 3.85% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 6,033 | $ | 9,318 | $ | 11,354 | $ | 6,042 | $ | 9,508 | $ | 12,030 | ||||||||||||
Ratio of expenses to average net assets5 | 2.19% | 2.21% | 2.24% | 2.22% | 2.21% | 2.23% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 2.22% | 2.21% | 2.25% | 2.27% | 2.29% | 2.29% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.32% | (1.01% | ) | 0.90% | 0.04% | 0.12% | (0.35% | ) | ||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.29% | (1.01% | ) | 0.89% | (0.01% | ) | 0.04% | (0.41% | ) | |||||||||||||||
Portfolio turnover | 23% | 17% | 85% | 6 | 33% | 32% | 31% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | 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 the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Expense ratios do not include expenses of any investment companies in which the Fund invests. |
6 | 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.
106
Optimum Small-Mid Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months ended 9/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 3/31/22 | 3/31/21 | 3/31/20 | 3/31/19 | 3/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 15.98 | $ | 15.94 | $ | 8.90 | $ | 12.90 | $ | 14.45 | $ | 14.52 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.10 | – | 0.23 | 0.14 | 0.16 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.53 | ) | 1.08 | 7.37 | (3.73 | ) | (0.73 | ) | 0.63 | |||||||||||||||
Total from investment operations | (3.43 | ) | 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 | $ | 12.55 | $ | 15.98 | $ | 15.94 | $ | 8.90 | $ | 12.90 | $ | 14.45 | ||||||||||||
Total return3 | (21.47% | ) | 6.74% | 86.63% | (28.92% | ) | (3.55% | ) | 4.87% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 597,626 | $ | 779,594 | $ | 701,597 | $ | 366,656 | $ | 506,814 | $ | 442,808 | ||||||||||||
Ratio of expenses to average net assets4 | 1.19% | 1.21% | 1.24% | 1.22% | 1.21% | 1.23% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived4 | 1.22% | 1.21% | 1.25% | 1.27% | 1.29% | 1.29% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.33% | (0.01% | ) | 1.90% | 1.04% | 1.12% | 0.65% | |||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 1.30% | (0.01% | ) | 1.89% | 0.99% | 1.04% | 0.59% | |||||||||||||||||
Portfolio turnover | 23% | 17% | 85% | 5 | 33% | 32% | 31% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
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. Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Expense ratios do not include expenses of any investment companies 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.
107
Optimum Fund Trust
September 30, 2022 (Unaudited)
Optimum Fund Trust (Trust) is organized as a Delaware statutory trust and offers six series: Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund, (each, a Fund, or 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 have no upfront sales charge, but 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 the 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 companies 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 by each Fund’s valuation designee, Delaware Management Company (DMC). Subject to the oversight of each Fund’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities with that are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. 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. Restricted securities and private placements are valued at fair value.
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 six months ended September 30, 2022, and for all open tax years (years ended March 31, 2019–March 31, 2022), 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
108
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 six months ended September 30, 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 September 30, 2022, and matured by October 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 six months ended September 30, 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 six months ended September 30, 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 exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current
(continues) | 109 |
Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
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.
Derivative Financial Instruments — The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/ or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Funds can realize on an investment and/or may result in lower distributions paid to shareholders. Each Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
Segregation and Collateralizations — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Funds may deliver collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged/received to cover obligations of the Funds under derivative contracts, if any, will be reported separately on the “Statement of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedules of investments.”
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. Income and capital gain distributions from any investment companies (Underlying Funds) in which the Funds invest are recorded on the ex-dividend date. 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.
110
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
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) | 111 |
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 Baillie Gifford Overseas Limited (Baillie Gifford); Optimum Large Cap Growth Fund – ClearBridge Investments LLC (ClearBridge) and effective July 22, 2022, American Century Investment Management, Inc. (American Century); Optimum Large Cap Value Fund – Massachusetts Financial Services Company (MFS) and Rothschild & Co (Rothschild); Optimum Small-Mid Cap Growth Fund – Principal Dynamic Investors (Principal; formerly known as, Columbus Circle Investors) and Peregrine Capital Management, LLC (PCM); Optimum Small-Mid Cap Value Fund – LSV Asset Management (LSV) and Cardinal Capital Management LLC (Cardinal). Prior to July 22, 2022, T. Rowe Price Associates, Inc. was also a sub-advisor for Optimum Large Cap Growth Fund.
For the six months ended September 30, 2022, DMC paid the following sub-advisory fees:
Sub- advisory fees | ||||
Optimum Fixed Income Fund | $ | 1,534,594 | ||
Optimum International Fund | 1,614,056 | |||
Optimum Large Cap Growth Fund | 2,448,958 | |||
Optimum Large Cap Value Fund | 2,758,346 | |||
Optimum Small-Mid Cap Growth Fund | 1,589,038 | |||
Optimum Small-Mid Cap Value Fund | 1,575,633 |
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.
Fund | Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2021 – July 28, 2022 | Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2022 – July 29, 2023 | ||
Optimum Fixed Income Fund | 0.83% | 0.83% | ||
Optimum International Fund | 1.09% | 1.04% | ||
Optimum Large Cap Growth Fund | 0.96% | 0.89% | ||
Optimum Large Cap Value Fund | 0.92% | 0.92% | ||
Optimum Small-Mid Cap Growth Fund | 1.29% | 1.29% | ||
Optimum Small-Mid Cap Value Fund | 1.20% | 1.18% |
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
112
of dividends and distribution and dissemination of Funds’ NAV and performance data. For these services the Funds pay DIFSC an asset-based 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 six months ended September 30, 2022, each Fund paid for these services as follows:
Fund | Fees | |||
Optimum Fixed Income Fund | $ | 178,218 | ||
Optimum International Fund | 59,092 | |||
Optimum Large Cap Growth Fund | 67,528 | |||
Optimum Large Cap Value Fund | 75,456 | |||
Optimum Small-Mid Cap Growth Fund | 28,015 | |||
Optimum Small-Mid Cap Value Fund | 30,361 |
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 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 a 12b-1 fees.
For the six months ended September 30, 2022, DDLP earned commissions on sales of Class A shares for each Fund as follows:
Fund | Class A | |||
Optimum Fixed Income Fund | $800 | |||
Optimum International Fund | 241 | |||
Optimum Large Cap Growth Fund | 716 | |||
Optimum Large Cap Value Fund | 667 | |||
Optimum Small-Mid Cap Growth Fund | 88 | |||
Optimum Small-Mid Cap Value Fund | 94 |
For the six months ended September 30, 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 | $ | 791 | ||
Optimum International Fund | 420 | |||
Optimum Large Cap Growth Fund | 858 | |||
Optimum Large Cap Value Fund | 966 | |||
Optimum Small-Mid Cap Growth Fund | 152 | |||
Optimum Small-Mid Cap Value Fund | 109 |
(continues) | 113 |
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 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 any Underlying Funds at different times.
3. Investments
For the six months ended September 30, 2022, each Fund made purchases and sales of investments securities other than short-term investments as follows:
Fund | Purchases other than US government securities | Purchases of US government securities | Sales other than US government securities | Sales of US government securities | ||||||||||||
Optimum Fixed Income Fund | $ | 174,580,307 | $ | 2,189,193,051 | $ | 314,855,076 | $ | 2,128,809,450 | ||||||||
Optimum International Fund | 229,180,033 | – | 221,847,242 | – | ||||||||||||
Optimum Large Cap Growth Fund | 596,753,697 | – | 575,839,082 | – | ||||||||||||
Optimum Large Cap Value Fund | 155,605,087 | – | 202,932,050 | – | ||||||||||||
Optimum Small-Mid Cap Growth Fund | 369,368,283 | – | 383,784,571 | – | ||||||||||||
Optimum Small-Mid Cap Value Fund | 225,381,008 | – | 338,154,990 | – |
At September 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At September 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Fund were as follows:
Fund | Cost of investments and derivatives | Aggregate unrealized appreciation of investments and derivatives | Aggregate unrealized depreciation of investments and derivatives | Net unrealized appreciation (depreciation) of investments and derivatives | ||||||||||||
Optimum Fixed Income Fund | $ | 3,443,761,330 | $ | 19,431,125 | $ | (395,596,920 | ) | $ | (376,165,795 | ) | ||||||
Optimum International Fund | 943,800,472 | 24,217,420 | (288,927,821 | ) | (264,710,401 | ) | ||||||||||
Optimum Large Cap Growth Fund | 1,298,515,062 | 308,636,910 | (159,856,782 | ) | 148,780,128 | |||||||||||
Optimum Large Cap Value Fund | 1,374,430,850 | 403,847,151 | (93,491,315 | ) | 310,355,836 | |||||||||||
Optimum Small-Mid Cap Growth Fund | 633,846,119 | 46,635,313 | (76,608,117 | ) | (29,972,804 | ) | ||||||||||
Optimum Small-Mid Cap Value Fund | 644,110,462 | 71,354,236 | (110,227,801 | ) | (38,873,565 | ) |
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
114
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 September 30, 2022:
Optimum Fixed Income Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Agency Asset-Backed Securities | $ | – | $ | 548,107 | $– | $ | 548,107 | |||||||||
Agency Collateralized Mortgage Obligations | – | 64,741,919 | – | 64,741,919 | ||||||||||||
Agency Commercial Mortgage-Backed Securities | – | 1,436,250 | – | 1,436,250 | ||||||||||||
Agency Mortgage-Backed Securities | – | 541,296,395 | – | 541,296,395 | ||||||||||||
Agency Obligation | – | 12,600,669 | – | 12,600,669 | ||||||||||||
Collateralized Debt Obligations | – | 153,991,333 | – | 153,991,333 | ||||||||||||
Common Stocks | 433,801 | – | – | 1 | 433,801 | |||||||||||
Convertible Bonds | – | 4,028,979 | – | 4,028,979 | ||||||||||||
Corporate Bonds | – | 869,013,651 | – | 869,013,651 | ||||||||||||
Loan Agreements | – | 68,637,558 | – | 68,637,558 | ||||||||||||
Municipal Bonds | – | 19,277,729 | – | 19,277,729 | ||||||||||||
Non-Agency Asset-Backed Securities | – | 53,021,925 | – | 53,021,925 | ||||||||||||
Non-Agency Collateralized Mortgage Obligations | – | 39,198,908 | – | 39,198,908 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | – | 115,153,048 | – | 115,153,048 | ||||||||||||
Preferred Stock | – | 281,680 | – | 281,680 | ||||||||||||
Sovereign Bonds | – | 141,080,990 | – | 141,080,990 | ||||||||||||
Supranational Banks | – | 143,793 | – | 143,793 |
(continues) | 115 |
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Fixed Income Fund | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
US Treasury Obligations | $ | – | $ | 309,285,026 | $ | – | $ | 309,285,026 | |||||||||
Options Purchased | – | 4,671,574 | – | 4,671,574 | |||||||||||||
Short-Term Investments2 | 60,187,012 | 633,900,000 | – | 694,087,012 | |||||||||||||
Total Value of Securities Before Options Written | $ | 60,620,813 | $ | 3,032,309,534 | $ | – | $ | 3,092,930,347 | |||||||||
Liabilities: | |||||||||||||||||
Options Written | $ | – | $ | (14,710,104 | ) | $ | – | $ | (14,710,104 | ) | |||||||
Derivatives3 | |||||||||||||||||
Assets: | |||||||||||||||||
Centrally Cleared Credit Default Swaps | $ | – | $ | 7,086 | $ | – | $ | 7,086 | |||||||||
Centrally Cleared Interest Rate Swaps | – | (2,036,488 | ) | – | (2,036,488 | ) | |||||||||||
Foreign Currency Exchange Contracts | – | 10,071,604 | – | 10,071,604 | |||||||||||||
Futures Contracts | 3,508,170 | – | – | 3,508,170 | |||||||||||||
OTC Credit Default Swaps | – | 901,630 | – | 901,630 | |||||||||||||
Liabilities: | |||||||||||||||||
Centrally Cleared Credit Default Swaps | $ | – | $ | (1,019,668 | ) | $ | – | $ | (1,019,668 | ) | |||||||
Centrally Cleared Interest Rate Swaps | – | (4,962,268 | ) | – | (4,962,268 | ) | |||||||||||
Futures Contracts | (15,591,456 | ) | – | – | (15,591,456 | ) | |||||||||||
OTC Credit Default Swaps | – | (235,945 | ) | – | (235,945 | ) | |||||||||||
Foreign Currency Exchange Contracts | – | (1,472,510 | ) | – | (1,472,510 | ) |
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 | 8.67% | 91.33% | – | 100.00% |
3Foreign currency exchange contracts, futures contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
116
Optimum International Fund | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Securities | |||||||||||||||||
Assets: | |||||||||||||||||
Common Stocks | |||||||||||||||||
Australia | $ | 253,365 | $ | 37,363,599 | $– | $ | 37,616,964 | ||||||||||
Austria | – | 4,580,914 | – | 4,580,914 | |||||||||||||
Belgium | 8,695 | – | – | 8,695 | |||||||||||||
Brazil | 19,407,145 | – | – | 19,407,145 | |||||||||||||
Canada | 22,113,045 | – | – | 22,113,045 | |||||||||||||
China/Hong Kong | 3,789,695 | 71,778,905 | – | 75,568,600 | |||||||||||||
Czech Republic | 152,662 | – | – | 152,662 | |||||||||||||
Denmark | – | 33,961,489 | – | 33,961,489 | |||||||||||||
Egypt | – | 5,026 | – | 5,026 | |||||||||||||
Finland | 89,820 | 4,817,181 | – | 4,907,001 | |||||||||||||
France | 25,779 | 35,007,638 | – | 35,033,417 | |||||||||||||
Germany | 2,362,165 | 51,391,167 | – | 53,753,332 | |||||||||||||
Greece | – | 509,908 | – | 509,908 | |||||||||||||
Hong Kong | – | 23,468 | – | 23,468 | |||||||||||||
Hungary | – | 1,755,853 | – | 1,755,853 | |||||||||||||
India | 87,864 | 19,065,163 | – | 19,153,027 | |||||||||||||
Indonesia | 612,713 | 5,449,701 | – | 6,062,414 | |||||||||||||
Iraq | – | 20,841 | – | 20,841 | |||||||||||||
Ireland | 8,040,754 | 13,580,557 | – | 21,621,311 | |||||||||||||
Israel | 4,031,488 | 9,082,009 | – | 13,113,497 | |||||||||||||
Italy | – | 6,190,797 | – | 6,190,797 | |||||||||||||
Japan | 28,041 | 85,608,867 | – | 85,636,908 | |||||||||||||
Luxembourg | – | 279,962 | – | 279,962 | |||||||||||||
Malaysia | 139,528 | 724,653 | – | 864,181 | |||||||||||||
Mexico | 1,962,642 | – | – | 1,962,642 | |||||||||||||
Netherlands | 3,597,119 | 29,889,856 | – | 33,486,975 | |||||||||||||
New Zealand | – | 116,007 | – | 116,007 | |||||||||||||
Norway | – | 7,735,830 | – | 7,735,830 | |||||||||||||
Panama | 3,814,343 | – | – | 3,814,343 | |||||||||||||
Philippines | – | 110,659 | – | 110,659 | |||||||||||||
Poland | – | 2,128,703 | – | 2,128,703 | |||||||||||||
Portugal | – | 10,990 | – | 10,990 | |||||||||||||
Republic of Korea | 6,842,177 | 21,772,405 | – | 28,614,582 | |||||||||||||
Russia | – | – | – | 1 | – | ||||||||||||
Singapore | 57,250 | 166,638 | – | 223,888 | |||||||||||||
South Africa | 395,862 | 8,241,257 | – | 8,637,119 | |||||||||||||
Spain | – | 8,637,637 | – | 8,637,637 | |||||||||||||
Sweden | 552 | 13,555,132 | – | 13,555,684 | |||||||||||||
Switzerland | – | 45,742,741 | – | 45,742,741 | |||||||||||||
Taiwan | 1,936,023 | 24,128,393 | – | 26,064,416 | |||||||||||||
Thailand | – | 9,211,611 | – | 9,211,611 | |||||||||||||
Turkey | 73,066 | 226,137 | – | 299,203 | |||||||||||||
Ukraine | – | 946,977 | – | 946,977 | |||||||||||||
United Arab Emirates | – | 1,021,611 | – | 1,021,611 |
(continues) | 117 |
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum International Fund | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
United Kingdom | $ | 2,954,269 | $ | 11,947,098 | $ | – | $ | 14,901,367 | |||||||||
United States | 11,617,896 | 3,456,908 | 338,997 | 15,413,801 | |||||||||||||
Preferred Stocks2 | 5,804,642 | 1,107,897 | – | 6,912,539 | |||||||||||||
Short-Term Investments | 7,196,869 | – | – | 7,196,869 | |||||||||||||
Total Value of Securities | $ | 107,395,469 | $ | 571,352,185 | $ | 338,997 | $ | 679,086,651 | |||||||||
Derivatives3 | |||||||||||||||||
Assets: | |||||||||||||||||
Foreign Currency Exchange Contracts | $ | – | $ | 3,667 | $ | – | $ | 3,667 | |||||||||
Liabilities: | |||||||||||||||||
Foreign Currency Exchange Contracts | $ | – | $ | (247 | ) | $ | – | $ | (247 | ) | |||||||
1The security that has been valued at zero on the “Schedule of investments” is considered to be Level 3 investment in this table. 2Security 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 | 83.97% | 16.03% | – | 100.00% |
3Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
Optimum Large Cap Growth Fund | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Securities | |||||||||||||||||
Assets: | |||||||||||||||||
Common Stocks | |||||||||||||||||
Communication Services | $ | 118,455,568 | $ | – | $ | – | $ | 118,455,568 | |||||||||
Consumer Discretionary | 245,904,490 | – | 37,541 | 245,942,031 | |||||||||||||
Consumer Staples | 52,318,578 | – | – | 52,318,578 | |||||||||||||
Energy | 11,788,744 | – | – | 11,788,744 | |||||||||||||
Financials | 33,386,653 | – | – | 33,386,653 | |||||||||||||
Healthcare | 236,447,545 | 5,893,612 | – | 242,341,157 | |||||||||||||
Industrials | 111,698,700 | 2,754,065 | – | 114,452,765 | |||||||||||||
Information Technology | 551,436,707 | 14,351,520 | – | 565,788,227 | |||||||||||||
Materials | 11,917,022 | – | – | 11,917,022 | |||||||||||||
Real Estate | 11,024,119 | – | – | 11,024,119 | |||||||||||||
Exchange-Traded Fund | 3,667,482 | – | – | 3,667,482 | |||||||||||||
Short-Term Investments | 36,241,936 | – | – | 36,241,936 | |||||||||||||
Total Value of Securities | $ | 1,424,287,544 | $ | 22,999,197 | $ | 37,541 | $ | 1,447,324,282 |
118
Optimum Large Cap Growth Fund | |||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Derivatives | |||||||||||||||||
Liabilities: | |||||||||||||||||
Foreign Currency Exchange Contracts | $ | – | $ | (29,092 | ) | $ | – | $ | (29,092 | ) |
Optimum Large Cap Value Fund | |||||||||||||
Level 1 | Level 2 | Total | |||||||||||
Securities | |||||||||||||
Assets: | |||||||||||||
Common Stocks | |||||||||||||
Communication Services | $ | 97,908,584 | $ | – | $ | 97,908,584 | |||||||
Consumer Discretionary | 74,638,998 | – | 74,638,998 | ||||||||||
Consumer Staples | 55,284,828 | 28,671,767 | 83,956,595 | ||||||||||
Energy | 117,713,064 | – | 117,713,064 | ||||||||||
Financials | 378,265,710 | – | 378,265,710 | ||||||||||
Healthcare | 316,476,676 | 3,486,130 | 319,962,806 | ||||||||||
Industrials | 259,046,436 | – | 259,046,436 | ||||||||||
Information Technology | 129,584,127 | – | 129,584,127 | ||||||||||
Materials | 64,730,526 | – | 64,730,526 | ||||||||||
Real Estate | 37,627,551 | – | 37,627,551 | ||||||||||
Utilities | 96,956,991 | – | 96,956,991 | ||||||||||
Short-Term Investments | 24,395,298 | – | 24,395,298 | ||||||||||
Total Value of Securities | $ | 1,652,628,789 | $ | 32,157,897 | $ | 1,684,786,686 | |||||||
Optimum Small-Mid Cap Growth Fund | |||||||||||||
Level 1 | Level 3 | Total | |||||||||||
Securities | |||||||||||||
Assets: | |||||||||||||
Common Stocks | |||||||||||||
Communication Services | $ | 4,449,320 | $ | – | $ | 4,449,320 | |||||||
Consumer Discretionary | 57,869,674 | – | 57,869,674 | ||||||||||
Consumer Staples | 36,364,805 | – | 36,364,805 | ||||||||||
Energy | 18,282,812 | – | 18,282,812 | ||||||||||
Financials | 32,559,650 | – | 32,559,650 | ||||||||||
Healthcare | 165,391,829 | – | 165,391,829 | ||||||||||
Industrials | 123,232,949 | – | 123,232,949 | ||||||||||
Information Technology | 134,133,750 | – | 134,133,750 | ||||||||||
Materials | 10,504,712 | – | 10,504,712 | ||||||||||
Real Estate | 2,049,702 | – | 2,049,702 | ||||||||||
Convertible Preferred Stock | – | 112,819 | 112,819 | ||||||||||
Warrant | – | – | 1 | – | |||||||||
Short-Term Investments | 18,921,293 | – | 18,921,293 | ||||||||||
Total Value of Securities | $ | 603,760,496 | $ | 112,819 | $ | 603,873,315 |
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) | 119 |
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Small- Mid Cap Value Fund | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 595,329,315 | |||
Short-Term Investments | 9,907,582 | ||||
Total Value of Securities | $ | 605,236,897 |
During the six months ended September 30, 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 period 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 period. There were no Level 3 investments during the six months ended September 30, 2022 for Optimum Large Cap Value Fund and Optimum Small-Mid Cap Value Fund.
4. Capital Shares
Transactions in capital shares were as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | ||||||||||||||||||||||
Six months ended 9/30/22 | Year ended 3/31/22 | Six months ended 9/30/22 | Year ended 3/31/22 | Six months ended 9/30/22 | Year ended 3/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class A | 58,576 | 215,701 | 10,620 | 19,379 | 15,616 | 61,385 | ||||||||||||||||||
Class C | 111,026 | 483,347 | 20,846 | 36,576 | 42,668 | 47,758 | ||||||||||||||||||
Institutional Class | 23,607,625 | 55,439,041 | 6,077,370 | 12,374,567 | 8,223,282 | 12,849,994 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | – | 46,354 | – | 68,985 | – | 174,848 | ||||||||||||||||||
Class C | – | 93,541 | – | 199,366 | – | 827,280 | ||||||||||||||||||
Institutional Class | – | 6,532,988 | – | 9,640,249 | – | 10,375,821 | ||||||||||||||||||
23,777,227 | 62,810,972 | 6,108,836 | 22,339,122 | 8,281,566 | 24,337,086 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class A | (253,689 | ) | (402,965 | ) | (52,603 | ) | (82,626 | ) | (141,654 | ) | (276,791 | ) | ||||||||||||
Class C | (1,241,323 | ) | (1,472,911 | ) | (229,945 | ) | (270,224 | ) | (667,847 | ) | (954,129 | ) | ||||||||||||
Institutional Class | (36,051,779 | ) | (38,892,090 | ) | (6,642,989 | ) | (7,444,551 | ) | (7,537,686 | ) | (11,697,929 | ) | ||||||||||||
(37,546,791 | ) | (40,767,966 | ) | (6,925,537 | ) | (7,797,401 | ) | (8,347,187 | ) | (12,928,849 | ) | |||||||||||||
Net increase (decrease) | (13,769,564 | ) | 22,043,006 | (816,701 | ) | 14,541,721 | (65,621 | ) | 11,408,237 |
120
Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | ||||||||||||||||||||||
Six months ended 9/30/22 | Year ended 3/31/22 | Six months ended 9/30/22 | Year ended 3/31/22 | Six months ended 9/30/22 | Year ended 3/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class A | 9,052 | 61,311 | 4,293 | 16,863 | 1,099 | 14,428 | ||||||||||||||||||
Class C | 15,397 | 45,465 | 18,660 | 17,759 | 5,309 | 10,069 | ||||||||||||||||||
Institutional Class | 6,521,317 | 14,725,442 | 4,591,567 | 7,825,151 | 3,702,171 | 8,217,523 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | – | 82,094 | – | 92,334 | – | 14,769 | ||||||||||||||||||
Class C | – | 213,249 | – | 527,940 | – | 52,519 | ||||||||||||||||||
Institutional Class | – | 6,813,217 | – | 11,960,991 | – | 2,947,769 | ||||||||||||||||||
6,545,766 | 21,940,778 | 4,614,520 | 20,441,038 | 3,708,579 | 11,257,077 | |||||||||||||||||||
�� | ||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class A | (138,449 | ) | (216,722 | ) | (30,820 | ) | (72,707 | ) | (29,749 | ) | (58,053 | ) | ||||||||||||
Class C | (526,280 | ) | (682,864 | ) | (193,461 | ) | (282,130 | ) | (131,773 | ) | (212,324 | ) | ||||||||||||
Institutional Class | (9,684,403 | ) | (13,083,114 | ) | (4,495,637 | ) | (5,546,157 | ) | (4,854,684 | ) | (6,386,303 | ) | ||||||||||||
(10,349,132 | ) | (13,982,700 | ) | (4,719,918 | ) | (5,900,994 | ) | (5,016,206 | ) | (6,656,680 | ) | |||||||||||||
Net increase (decrease) | (3,803,366 | ) | 7,958,078 | (105,398 | ) | 14,540,044 | (1,307,627 | ) | 4,600,397 |
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 table above and on the previous page and the “Statements of changes in net assets.” For the year ended March 31, 2022, each Fund had the following exchange transactions:
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||
Class A Shares | Class C Shares | Class A Shares | Institutional Class Shares | Value | ||||||||||||||||
Optimum Fixed Income Fund Year ended | ||||||||||||||||||||
3/31/22 | – | 2,980 | 1,440 | 1,539 | $ | 28,533 | ||||||||||||||
Optimum International Fund Year ended | ||||||||||||||||||||
3/31/22 | – | 769 | 746 | – | 12,194 | |||||||||||||||
Optimum Large Cap Growth Fund Year ended | ||||||||||||||||||||
3/31/22 | 1,765 | 3,658 | 2,163 | 2,189 | 115,652 | |||||||||||||||
Optimum Large Cap Value Fund Year ended | ||||||||||||||||||||
3/31/22 | – | 1,907 | 1,492 | 383 | 39,838 |
(continues) | 121 |
Notes to financial statements
Optimum Fund Trust
4. Capital Shares (continued)
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||
Class A Shares | Class C Shares | Class A Shares | Institutional Class Shares | Value | ||||||||||||||||
Optimum Small-Mid Cap Growth Fund Year ended | ||||||||||||||||||||
3/31/22 | 686 | 666 | 494 | 580 | $ | 17,780 | ||||||||||||||
Optimum Small-Mid Cap Value Fund Year ended | ||||||||||||||||||||
3/31/22 | – | 371 | 316 | – | 4,966 |
For the six months ended September 30, 2022, each Fund did not have any exchange transactions.
5. 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 six months ended September 30, 2022, Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund did not use foreign currency exchange contracts.
During the six months ended September 30, 2022, Optimum Fixed Income Fund and Optimum Large Cap Growth Fund each 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 six months ended September 30, 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 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
122
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 $2,236,845 and $2,598,000 cash collateral as margin for open futures contracts. Securities collateral are presented on the “Schedules of investments.”
During the six months ended September 30, 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 each Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting each 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 six months ended September 30, 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 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. Swap agreements are bilaterally negotiated agreements between a Fund and counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over the counter market (OTC swaps). If the OTC swap entered is one of the swaps identified by a relevant regulator as a swap that is required to be cleared, then it will be cleared through a third party, known as a central counterparty or derivatives clearing organization (centrally cleared swaps).
Interest Rate Swaps. An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, an interest rate swap involves payments received by Optimum Fixed Income Fund from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Fund receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the
(continues) | 123 |
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
amount is positive. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended September 30, 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 six months ended September 30, 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 September 30, 2022, the notional value of the protection sold was EUR17,900,000 and USD33,595,000, 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 September 30, 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 September 30, 2022, net unrealized depreciation of the protection sold was $437,562.
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 six months ended September 30, 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 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
124
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 September 30, 2022, for bilateral derivative contracts, Optimum Fixed Income Fund received $634,557 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 $8,267,943 in securities collateral comprised of US treasury obligations for certain open centrally cleared derivative contracts. At September 30, 2022, for bilateral derivative contracts, the Fund received $7,726,000 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 September 30, 2022 were as follows:
Optimum Fixed Income Fund Asset Derivatives Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Credit Contracts | Total | ||||||||||||
Unrealized appreciation on foreign currency exchange contracts | $ | 10,071,604 | $ | – | $ | – | $ | 10,071,604 | ||||||||
Variation margin due from brokers on futures contracts* | – | 3,533,117 | – | 3,533,117 | ||||||||||||
Variation margin due from brokers on centrally cleared credit default swap contracts* | – | – | 7,086 | 7,086 | ||||||||||||
Variation margin due from brokers on centrally cleared interest rate swap contracts* | – | 4,393,412 | – | 4,393,412 | ||||||||||||
Unrealized appreciation on over the counter credit default swap contracts | – | – | 901,630 | 901,630 | ||||||||||||
Options purchased** | – | 4,671,574 | – | 4,671,574 | ||||||||||||
Total | 10,071,604 | $ | 12,598,103 | $ | 908,716 | $ | 23,578,423 | |||||||||
Optimum Fixed Income Fund Liability Derivatives Fair Value | ||||||||||||||||
Statement of Assets and Liabilities Location | Currency Contracts | Interest Rate Contracts | Credit Contracts | Total | ||||||||||||
Unrealized depreciation on foreign currency exchange contracts | $ | (1,472,510 | ) | $ | – | $ | – | $ | (1,472,510 | ) | ||||||
Variation margin due to brokers on futures contracts* | – | (15,516,403 | ) | – | (15,516,403 | ) | ||||||||||
Variation margin due to brokers on centrally cleared credit default swap contracts* | – | – | (1,019,668 | ) | (1,019,668 | ) | ||||||||||
Variation margin due to brokers on centrally cleared interest rate swap contracts* | – | (11,392,168 | ) | – | (11,392,168 | ) | ||||||||||
Unrealized depreciation on over the counter credit default swap contracts | – | – | (235,945 | ) | (235,945 | ) | ||||||||||
Options written, at value | – | (5,517 | ) | (14,704,587 | ) | (14,710,104 | ) | |||||||||
Total | $ | (1,472,510 | ) | $ | (16,015,332 | ) | $ | (15,960,200 | ) | $ | (33,448,042 | ) |
*Includes cumulative appreciation (depreciation) of futures contracts, centrally cleared CDS contracts, and centrally cleared swap contracts from the date the contracts were opened through September 30, 2022. Only current day variation margin is reported on Optimum Fixed Income Fund’s “Statements of assets and liabilities.”
**Included with “Investments, at value.”
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Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
The effect of derivative instruments on Optimum Fixed Income Fund’s “Statements of operations” for the six months ended September 30, 2022 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Options Written | Swap Contracts | Total | |||||||||||||||||||||||||
Currency contracts | $ | 19,649,119 | $ | – | $ | (849,453 | ) | $ | – | $ | (3,387,570 | ) | $ | 15,412,096 | ||||||||||||||||
Interest rate contracts | – | (20,765,686 | ) | – | 379,591 | – | (20,386,095 | ) | ||||||||||||||||||||||
Equity contracts | – | – | – | 560,695 | (323,444 | ) | 237,251 | |||||||||||||||||||||||
Credit contracts | – | – | – | 378,717 | (790,796 | ) | (412,079 | ) | ||||||||||||||||||||||
Total | $ | 19,649,119 | $ | (20,765,686 | ) | $ | (849,453 | ) | $ | 1,319,003 | $ | (4,501,810 | ) | $ | (5,148,827 | ) |
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Options Written | Swap Contracts | Total | |||||||||||||||||||||||||
Currency contracts | $ | 5,732,361 | $ | – | $ | (383,110 | ) | $ | 164,301 | $ | – | $ | 5,513,552 | |||||||||||||||||
Interest rate contracts | – | (1,246,508 | ) | 3,289,358 | (7,668,943 | ) | 126,508 | (5,499,585 | ) | |||||||||||||||||||||
Credit contracts | – | – | – | – | (588,690 | ) | (588,690 | ) | ||||||||||||||||||||||
Total | $ | 5,732,361 | $ | (1,246,508 | ) | $ | 2,906,248 | $ | (7,504,642 | ) | $ | (462,182 | ) | $ | (574,723 | ) |
During the six months ended September 30, 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.”
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The table below summarizes the average balance of derivative holdings by each Fund during the six months ended September 30, 2022:
Long Derivative Volume | ||||||||||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||||||||
Foreign currency exchange contracts (average notional value) | USD | 50,354,039 | USD | 635,052 | USD | 220,342 | USD | 4,832 | ||||||||||||||||
Futures contracts (average notional value) | 435,999,923 | – | – | – | ||||||||||||||||||||
Options contracts (average notional value)* | 3,760,843 | – | – | – | ||||||||||||||||||||
CDS contracts (average notional value)** | EUR | 5,692,063 | EUR | – | EUR | – | EUR | – | ||||||||||||||||
CDS contracts (average notional value)** | USD | 4,803,571 | USD | – | USD | – | USD | – | ||||||||||||||||
Interest rate swap contracts (average notional value) | BRL | 245,223,333 | BRL | – | BRL | – | BRL | – | ||||||||||||||||
Interest rate swap contracts (average notional value) | CAD | 58,261,905 | CAD | – | CAD | – | CAD | – | ||||||||||||||||
Interest rate swap contracts (average notional value) | EUR | 10,971,587 | EUR | – | EUR | – | EUR | – | ||||||||||||||||
Interest rate swap contracts (average notional value) | GBP | 34,071,429 | GBP | – | GBP | – | GBP | – | ||||||||||||||||
Interest rate swap contracts (average notional value) | MXN | 634,963,968 | MXN | – | MXN | – | MXN | – | ||||||||||||||||
Interest rate swap contracts (average notional value) | USD | $ | 125,025,397 | USD | $ | – | USD | $ | – | USD | $ | – |
Short Derivative Volume | ||||||||||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||||||||
Foreign currency exchange contracts (average notional value) | USD | $ | 241,005,594 | USD | $ | 599,601 | USD | $ | 3,359,651 | USD | $ | 16,883 | ||||||||||||
Futures contracts (average notional value) | 95,335,026 | – | – | – | ||||||||||||||||||||
Options contracts (average notional value)* | 10,849,158 | – | – | – | ||||||||||||||||||||
CDS contracts (average notional value)** | EUR | 22,433,333 | EUR | – | EUR | – | EUR | – | ||||||||||||||||
CDS contracts (average notional value)** | USD | 72,381,130 | USD | – | USD | – | USD | – |
*Long represents purchased options and short represents written options.
**Long represents buying protection and short represents selling protection.
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
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Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
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.”
At September 30, 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
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||||||||||
Bank of America Merrill Lynch | $ | 2,709,965 | $ | (5,978,721 | ) | $ | (3,268,756 | ) | ||||||
BNP Paribas | 746,213 | (665,140 | ) | 81,073 | ||||||||||
Citigroup | 76,977 | (559,591 | ) | (482,614 | ) | |||||||||
Deutsche Bank | 7,168,202 | (193,425 | ) | 6,974,777 | ||||||||||
Goldman Sachs | 377,482 | (4,899,857 | ) | (4,522,375 | ) | |||||||||
JPMorgan Chase Bank | 2,835,898 | (528,793 | ) | 2,307,105 | ||||||||||
Morgan Stanley Capital | 821,491 | (1,827,431 | ) | (1,005,940 | ) | |||||||||
TD Bank | 267,836 | – | 267,836 | |||||||||||
Total | $ | 15,004,064 | $ | (14,652,958 | ) | $ | 351,106 |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | |||||||||||||||||||||||
Bank of America Merrill Lynch | $ | (3,268,756 | ) | $ | – | $ | – | $ | 3,225,942 | $ | – | $ | (42,814 | ) | |||||||||||||||
BNP Paribas | 81,073 | – | – | – | – | 81,073 | |||||||||||||||||||||||
Citigroup | (482,614 | ) | – | – | 407,296 | – | (75,318 | ) | |||||||||||||||||||||
Deutsche Bank | 6,974,777 | – | (6,140,000 | ) | – | – | 834,777 | ||||||||||||||||||||||
Goldman Sachs | (4,522,375 | ) | – | – | 4,522,375 | – | – | ||||||||||||||||||||||
JPMorgan Chase Bank | 2,307,105 | – | (1,846,000 | ) | – | – | 461,105 | ||||||||||||||||||||||
Morgan Stanley Capital | (1,005,940 | ) | – | – | 972,691 | – | (33,249 | ) | |||||||||||||||||||||
TD Bank | 267,836 | – | (267,836 | ) | – | – | – | ||||||||||||||||||||||
Total | $ | 351,106 | $ | – | $ | (8,253,836 | ) | $ | 9,128,304 | $ | – | $ | 1,225,574 |
Optimum International Fund
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
Bank of New York Mellon | $ | 61 | $ | (179 | ) | $ | (118 | ) | |||||||
JPMorgan Chase Bank | 1,205 | – | 1,205 | ||||||||||||
State Street Bank | 2,401 | (68 | ) | 2,333 | |||||||||||
Total | $ | 3,667 | $ | 247 | $ | 3,420 |
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Counterparty | Net Position | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||||||||||||||||||||
Bank of New York Mellon | $ | (118 | ) | $ | – | $ | – | $ | – | $ | – | $ | (118 | ) | ||||||||||||||||
JPMorgan Chase Bank | 1,205 | – | – | – | – | 1,205 | ||||||||||||||||||||||||
State Street Bank | 2,333 | – | – | – | – | 2,333 | ||||||||||||||||||||||||
Total | $ | 3,420 | $ | – | $ | – | $ | – | $ | – | $ | 3,420 |
Optimum Large Cap Growth Fund
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
Bank of America Merrill Lynch | $ | – | $ | (3,181 | ) | $ | (3,181 | ) | |||||||
JPMorgan Chase Bank | – | (25,911 | ) | (25,911 | ) | ||||||||||
Total | $ | – | $ | (29,092 | ) | $ | (29,092 | ) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | (3,181 | ) | $ | – | $ | – | $ | – | $ | – | $ | (3,181 | ) | ||||||||||||||||
JPMorgan Chase Bank | (25,911 | ) | – | – | – | – | (25,911 | ) | ||||||||||||||||||||||
Total | $ | (29,092 | ) | $ | – | $ | – | $ | – | $ | – | $ | (29,092 | ) |
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 September 30, 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 | ||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received(a) | Cash Collateral Received | Net Collateral Received | Net Exposure(b) | |||||||||||||||
Nomura Securities International | $ | 633,900,000 | $ | (633,900,000 | ) | $– | $ | (633,900,000 | ) | $– |
(a) The value of the related collateral exceeded the value of the derivatives, repurchase agreements, and securities lending transactions as of September 30, 2022, as applicable.
(b) Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default.
6. 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
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Notes to financial statements
Optimum Fund Trust
6. Securities Lending (continued)
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; 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 six months ended September 30, 2022, each Fund had no securities on loan.
7. Credit and Market Risk
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
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,
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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 Funds’ 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 invest 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.
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 Standard & Poor’s Financial Services LLC, lower than Baa3 by Moody’s Investors Service, Inc., 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 period ended September 30, 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
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Notes to financial statements
Optimum Fund Trust
7. Credit and Market Risk (continued)
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.
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 six months ended September 30, 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.”
8. 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.
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9. 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. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. 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.
10. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to September 30, 2022, that would require recognition or disclosure in the Funds’ financial statements.
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(Unaudited)
Optimum Fund Trust
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Funds have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated the Senior Manager of the US Investment Risk Group of Macquarie Asset Management as the Program Administrator for each Fund in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund’s liquidity risk; (2) classification of each of the Fund’s portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of each Fund’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting each Fund’s acquisition of Illiquid investments if, immediately after the acquisition, each Fund would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if each Fund’s holdings of Illiquid assets exceed 15% of the Fund’s net assets. Funds with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Fund’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Funds during both normal and reasonably foreseeable stressed conditions; and (3) each Fund’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of each Fund’s portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value.
At a meeting of the Board held on June 14-16, 2022, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2021 through March 31, 2022. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and each Fund’s liquidity needs. Each Fund complied with its HLIM at all times during the reporting period. In response to increased market volatility and liquidity constraints related to US sanctions against Russia during the reporting period, additional analysis was performed over Russian exposure to determine any impact to applicable Funds.
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 21-22, 2022
At a meeting held September 21-22, 2022 (the “Meeting”), the Board of Trustees (the “Board” or “Trustees”), including a majority of the non-interested or Independent Trustees, approved: (i) the renewal of the Investment Management Agreement between Delaware Management Company (“DMC” or “Management”) and Optimum Fund Trust (the “Trust”), on behalf of each of the six separate series within the Trust (each, a “Fund” or collectively, the “Funds”); and (ii) the continuation of Sub-Advisory Agreements for the other existing sub-advisers of all the Funds, excluding American Century Investment Management, Inc. (“American Century”), which was previously approved at a Board meeting held on June 15-16, 2022 as described in more detail below.
In reaching its decisions with regard to the Investment Management and Sub-Advisory Agreements, the Board took into account information furnished and discussed throughout the year at quarterly Board meetings, as well as information furnished specifically for the agreement reviews conducted at the Meeting. Information furnished at Board meetings throughout the year included an analysis by DMC (with the assistance of its consultant, LPL Financial LLC, “LPL”) of the investment performance of each Fund and its sub-adviser(s), presentations given to the Board by portfolios managers from DMC and each unaffiliated sub-adviser on a rotating basis, and compliance reports and related certifications furnished in regards to DMC and each sub-adviser. Material furnished specifically in connection with the approvals (or otherwise available to the Board) included: a memorandum from DMC discussing and analyzing the performance of each Fund and its respective sub-
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adviser(s); information on the fees charged by DMC and each unaffiliated sub-adviser showing their competitiveness with those charged by them to other comparable investment companies or accounts; copies of the Investment Management and Sub-Advisory Agreements; a “due diligence” report describing various material items in relation to the personnel, organization and policies of DMC and the sub-advisers; and information on the fees received and other benefits realized by DMC (and its affiliates) and the sub-advisers in performing services for the Funds, as well as the revenues and expenses incurred by DMC and its affiliates in performing such services. Information furnished specifically in connection with the approval process also included a report for each Fund prepared by Lipper Inc. (“Lipper”), an independent third-party analyst and subsidiary of Broadridge Inc. (“Broadridge”), comparing, among other things, each Fund’s investment performance and various expenses with those of other mutual funds deemed comparable by Lipper (“Lipper Report”).
In considering such materials, the Independent Trustees received assistance and advice from and met separately with their independent legal counsel (both prior to and at the Meeting). In this regard, the Independent Trustees reviewed with independent legal counsel their duties and obligations in connection with the approval of investment management and other agreements with DMC, its affiliates and the sub-advisers and discussed, in detail, the matters related to such approvals. The Independent Trustees also met with representatives of Broadridge at the Meeting to allow Broadridge the opportunity to expand on certain aspects of the Lipper Report.
The materials prepared by Management specifically in connection with the approval of the Investment Management Agreement and the related Sub-Advisory Agreements were provided to the Independent Trustees in advance of the Meeting. While the Investment Management Agreement and related Sub-Advisory Agreements for all Funds were considered at the Meeting, the Board dealt with each Fund separately. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decisions. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, Extent and Quality of Services. Following discussions in this regard, the Trustees were satisfied with the nature, extent and quality of the services provided by DMC and its affiliates to each of the Funds. The Board’s view was based upon factors such as the background and experience of the executives and other Management personnel involved in the Funds’ operations, the quality and thoroughness of the monitoring of each Fund’s investment performance, reports furnished by DMC as to adherence with various compliance and procedural matters, such as the Code of Ethics and fair value pricing, the monitoring of various service providers to the Funds, and DMC’s success in obtaining meaningful information on a timely basis from each of the Fund’s sub-advisers. Particular attention was given to the analysis of sub-adviser performance for each Fund, including the complementary nature of investment strategies employed by the sub-advisers (and DMC with respect to the Optimum Fixed Income Fund) to each of the Funds.
In considering the nature of the services provided by Macquarie Investment Management Austria Kapitalanlage AG (“MIMAK”), Macquarie Investment Management Europe Limited, and Macquarie Investment Management Global Limited (“MIMGL”) to the Optimum Fixed Income Fund (collectively, the “Affiliated Sub-Advisers”), the Board considered that, unlike the unaffiliated sub-advisers who make all of the investment related decisions with respect to a sub-advised portfolio of a Fund, the relationship between DMC and the Affiliated Sub-Advisers on the Optimum Fixed Income Fund is currently one in which DMC may seek investment advice and recommendations from its Affiliated Sub-Advisers but that DMC retains primary responsibility for the day-to-day management of DMC’s portion of the Optimum Fixed Income Fund’s portfolio. It was also noted that, for the year ended March 31, 2022, and the period from April 1, 2022 to June 30, 2022, MIMAK and MIMGL were not paid any fees by DMC pursuant to their Sub-Advisory Agreements.
The nature of the services provided by the existing sub-advisers to each Fund was considered primarily in respect to the investment performance of the Funds as described further in the “Investment Performance” section below. The Board also considered the adherence by each sub-adviser (and DMC with respect to the Optimum Fixed Income Fund) with the investment policies and restrictions of the Funds advised, as well as their adherence to various compliance and other procedures based on reports of Management’s review of sub-adviser (and DMC with respect to the Optimum Fixed Income Fund) compliance activities, as well as certifications and materials furnished in connection with Board meetings and the contract approvals.
Based upon these considerations, the Board was satisfied with the nature, extent and quality of the overall services to be provided by the existing sub-advisers to each Fund, as applicable, and its shareholders and was confident in the abilities of these sub-advisers and DMC to provide quality services to the Funds and their shareholders.
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Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 21-22, 2022 (continued)
Investment Performance. The Board placed significant emphasis on the investment performance of each Fund. While consideration was given to performance reports and discussions held throughout the year (including a detailed discussion of the investment performance of each Fund and its sub-advisers contained in a memorandum from DMC provided to the Board prior to the Meeting), particular attention in assessing performance was given to the Lipper Reports furnished in connection with the contract approvals. The Lipper Reports prepared for each individual Fund showed the annualized total return investment performance of its Institutional Class shares in comparison with a Performance Universe selected by Lipper for the one year period ended June 30, 2022, as well as the three, five and ten year periods ended on that date. In addition, the Board was provided with benchmark returns and gross performance returns for the Funds and each of their respective sub-advisers for various calendar years and periods ended June 30, 2022. The Trustees also compared Fund and sub-adviser performance to other industry benchmarks and reviewed rolling twelve-month and thirty-six-month return rankings (relative to each Fund’s respective Morningstar peer group) for the Funds, as part of their evaluation of investment performance. The following summarizes the performance results for each Fund and the Board’s view of such performance.
Optimum Fixed Income Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional core plus bond funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the second lowest performing quintile of its Performance Universe for the one, three, and five-year periods, and in the lowest performing quintile of its Performance Universe for the ten-year period. It was also noted that the Fund had outperformed its benchmark on a gross performance basis for the three, five, ten-year and since inception periods ended June 30, 2022. After further discussions with Management regarding the Fund’s performance and portfolio positioning, the Trustees found the overall comparative performance results of the Fund to be acceptable given the Fund’s ability to beat its benchmark consistently over longer time periods.
Optimum International Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional international multi-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the lowest performing quintile of its Performance Universe for the one, three, five, and ten-year periods. It was also noted that the Fund had outperformed its benchmark on a gross performance basis for the ten-year and since inception periods ended June 30, 2022. The Trustees acknowledged that this was a significant reversal from the strong relative performance versus the Fund’s Performance Universe noted in the Lipper Reports for the prior year ended June 30, 2021 and that this reversal was primarily due to the recent underperformance of Baillie Gifford Overseas Limited (“Baillie Gifford”) on its portion of the Fund. Although the Board was not satisfied with the recent downward trend of the overall Fund’s comparative performance, the Board recognized that Acadian Asset Management LLC had continued to perform well on its portion of the Fund. The Board also acknowledged Management’s analysis that Baillie Gifford’s recent underperformance was primarily due to its growth-focused investment strategy being historically out of favor compared to more value-driven strategies within the Performance Universe, and that Management would continue to monitor Baillie Gifford’s performance for signs of improvement as market conditions evolved going forward.
Optimum Large Cap Growth Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional large-cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the lowest performing quintile of its Performance Universe for the one, three, and five-year periods, and in the second lowest performing quintile of its Performance Universe for the ten-year period. Management noted to the Board that the Fund’s Index (the Russell 1000 Growth Index) has become heavily weighted to a few, large technology companies over time, and discussed the impact of such large capitalization concentration on Fund and sub-adviser performance relative to the Index. The Trustees also noted that Management recommended, and the Board approved, American Century as a new sub-adviser to the Fund to be paired with ClearBridge Investments, LLC (the Fund’s other sub-adviser as of American Century’s appointment) in an attempt to benefit the Fund’s performance going forward. The details of American Century’s appointment are noted below. In addition, the Board acknowledged that Management was continuing to evaluate other options to improve the Fund’s performance going forward. Although the Board was not satisfied with the historical comparative performance for the Fund, the Board believed that Management was taking appropriate actions to attempt to improve the Fund’s performance, which included the recent appointment of American Century as a sub-adviser to the Fund.
Optimum Large Cap Value Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional large-cap value funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the
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middle performing quintile of its Performance Universe for the one and three-year periods, in the second lowest performing quintile of its Performance Universe for the five-year period, and in the lowest performing quintile of its Performance Universe for the ten-year period. In addition, the Board noted that the Fund had outperformed its benchmark on a gross performance basis for the one, three, and five-year and since inception periods ended June 30, 2022. The Board found the overall comparative performance results of the Fund to be acceptable.
Optimum Small-Mid Cap Growth Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small-cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the second highest performing quintile of its Performance Universe for the one and ten-year periods, and in the highest performing quintile of its Performance Universe for the three and five-year periods. In addition, the Board noted that the Fund had outperformed its benchmark on a gross basis for the one, three, five, and ten-year and since inception periods ended June 30, 2022. The Board found the overall comparative performance results of the Fund to be satisfactory.
Optimum Small-Mid Cap Value Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the second highest quintile of its Performance Universe for the one-year period, in the middle performing quintile of its Performance Universe for the three-year period, in the second lowest performing quintile of its Performance Universe for the five-year period, and in the lowest performing quintile for the ten-year period. In addition, the Board noted that the Fund had outperformed its benchmark on a gross basis for the one and three-year periods ended June 30, 2022. Management also noted that Cardinal Capital Management, L.L.C. (“Cardinal”) had been added as a sub-adviser to the Fund in October 2020 and reiterated its belief that Cardinal’s approach to investing should add attractive diversification qualities to the style of investing utilized by LSV Asset Management (the Fund’s other sub-adviser). The Board believed that Management had taken appropriate action in an effort to improve performance with its recommendation to appoint Cardinal as a sub-adviser to the Fund and was encouraged by the Fund’s improving performance results over the shorter term with the sub-adviser pairing of Cardinal and LSV. Accordingly, the Board found the overall comparative performance results of the Fund to be acceptable.
Comparative Expenses. In considering the appropriateness of the investment management fees charged to the Funds, the Board also reviewed and considered the investment management fees in light of the nature, extent and quality of the investment management services provided, and to be provided, by DMC and each sub-adviser, as more fully discussed above. The Board noted that the sub-advisory fees are paid by DMC to each sub-adviser and are not additional fees borne by the Funds. The Board also noted that the sub-advisory fees paid, and to be paid, by DMC to each unaffiliated sub-adviser were the product of arms-length negotiations between DMC and each such sub-adviser. The Trustees considered DMC’s belief that the sub-advisory fees paid by DMC to each sub-adviser were competitive, fair and reasonable in light of the nature, extent and quality of the services furnished by each such sub-adviser to the Funds. The Board also considered the allocation of the investment management fees charged to the Funds between DMC and each sub-adviser in light of the nature, extent and quality of the investment management services provided, and to be provided by, DMC and each sub-adviser. The Trustees considered various other products, portfolios and entities that are advised by DMC and each unaffiliated sub-adviser, as applicable, as well as their relative fees and reasons for differences with respect thereto and any potential conflicts of interest.
Attention was also given to a comparative analysis of each Fund’s Institutional Class share expenses, including investment management fees, in comparison to a group of other multi-advised institutional funds constituting its Lipper Expense Universe. Lipper expense data is based upon information for the twelve months covered by each Fund’s most recent annual report which reflects historical asset levels which may be different from those currently existing, particularly in a period of market volatility. While recognizing such inherent limitations and the fact that expense ratios generally increase as assets decline and decrease as assets grow, the Trustees believed that the independent analysis conducted by Lipper remained an appropriate measure of comparative expenses. The Lipper Report rankings showed the actual total expenses (taking into account expense waivers) to be in the second highest quintile (i.e., the quintile having the second highest expenses) for the Optimum Fixed Income Fund and the Optimum Large Cap Value Fund versus their respective Lipper Expense Universe and in the highest expense quintile for the other four Optimum Funds versus their respective Lipper Expense Universes. The Lipper Report rankings showed actual investment management fees (taking into account fee waivers) to be in the middle quintile for the Optimum Fixed Income Fund, in the second highest quintile for the Optimum International Fund and the Optimum Large Cap Value Fund, and in the highest quintile for the other three Optimum Funds versus their respective Lipper Expense Universe. The Lipper Report also noted that the contractual management fees for each of the Funds other than Optimum Small-Mid Cap Growth Fund was below or near the median of its respective group of solutions-based funds constituting its Lipper Expense Group. The Lipper Report also showed the percentile ranking for each Fund versus the Fund’s Expense Universe and Performance Universe on a combined basis, and it showed that recent performance for certain Funds had hurt their relative rankings for the most recent period. In addition, Management provided supplemental expense information showing that the Funds’ actual total
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Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 21-22, 2022 (continued)
expenses were competitive versus other Funds managed by sub-advisors that are primarily distributed through an asset allocation platform. The Board also considered the favorable impact of the Fee Restructuring (as defined below) on the Funds’ actual total expense ratios. The Trustees noted that such expense ratios have trended down since the Fee Restructuring and that, based on discussions with the Independent Trustees, Management would continue to explore opportunities to reduce Fund expenses in the future.
The Trustees noted that DMC, since inception, had waived fees to the extent necessary to keep expenses of each Fund from exceeding a designated percentage of the applicable Fund’s average daily net assets, and that the Trustees had also previously discussed in detail the current cap on expenses in effect for each Fund through July 29, 2023. The Trustees also noted that Management had previously agreed to various restructurings and overall reductions in fees charged to the Funds through several mechanisms, including a fee restructuring with regard to the investment management, administration and transfer agency fee schedules for each of the Funds to reduce the Funds’ total expenses going forward that became effective April 1, 2017 (the “Fee Restructuring”). In particular, the Fee Restructuring has also resulted in DMC allocating more to the Funds’ expense waivers for the period through July 29, 2023 as the Funds’ average assets under management increased during its most recent fiscal year.
While intending to continuously monitor the fee structure of each Fund, the Trustees found the expense structure of each Fund to be acceptable in view of the nature and structure of Fund operations, and Management’s cap on expenses, and taking into account the aforementioned Fee Restructuring.
DMC’s Profitability; Economies of Scale. Based on the asset size of each Fund and the reimbursement and/or waiver of expenses by DMC, as well as other profitability information furnished to them by DMC and within the Lipper Report, the Trustees did not believe that the level of profit being realized by DMC and its affiliates from services provided to any of the Funds was excessive. Trustees were also given the information made available by the sub-advisers on profits being realized by sub-advisers in relation to the services being provided to the Funds or in relation to the sub-advisers’ overall investment advisory business, but believed such information to be of limited relevance since the fees paid to the unaffiliated sub-advisers were the product of arms-length negotiations between DMC and each such sub-adviser, and the fees paid to each sub-adviser are paid by DMC and not the Funds. The Board also took into account Management’s expenditures in improving shareholder services provided to the Funds, as well as the need to meet regulatory and compliance requirements resulting from recent SEC and other regulatory requirements. The Board was also provided with information on potential fall-out benefits derived or to be derived by DMC and its affiliates or the sub-advisers in connection with their relationship to the Funds, such as the fees received for non-investment management services provided to the Funds by certain affiliates of DMC, soft dollar arrangements, and commissions paid to affiliated broker-dealers. The Trustees recognized that as the Funds’ assets grow, economies of scale may result in DMC realizing a larger profit margin on management services provided to a Fund. The Trustees also noted that economies of scale are shared with a Fund and its shareholders through investment management fee breakpoints so that as a Fund grows in size, its effective investment management fee rate declines.
Board Consideration of Sub-Advisory Agreement with American Century Investment Management, Inc. at Meeting Held June 15, 2022
At a meeting held June 15, 2022, the Board of Trustees (the “Board” or “Trustees”), including a majority of disinterested or Independent Trustees, approved a Sub-Advisory Agreement (the “Sub-Advisory Agreement”) between Delaware Management Company (“DMC” or “Management”) and American Century Investment Management, Inc. (“American Century”) for Optimum Large Cap Growth Fund (the “Fund”). American Century replaced T. Rowe Price Associates, Inc. (“T. Rowe Price”) as a sub-advisor to the Fund as of July 22, 2022.
In reaching the decision to approve the Sub-Advisory Agreement, the Board considered and reviewed information about American Century, including its personnel, operations and financial condition, which had been provided by American Century. The Board also reviewed material furnished by DMC (with the assistance of LPL Financial LLC, “LPL”), including: a memorandum from DMC reviewing the Sub-Advisory Agreement and the various services proposed to be rendered by American Century; research and analysis concerning DMC’s proposal of American Century; a description of American Century’s proposed sub-advisory fees under the Sub-Advisory Agreement, along with fees that American Century charges other comparable investment companies or accounts; information concerning American Century’s organizational structure and the experience of its investment management personnel; a “due diligence” summary report describing various material items in
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relation to American Century’s personnel, organization and policies; a copy of American Century’s Form ADV brochure, summaries of America Century’s compliance policies and procedures and its Code of Ethics; and a copy of the Sub-Advisory Agreement.
In considering such materials, the Independent Trustees received assistance and advice from and met separately with independent counsel. In this regard, the Independent Trustees reviewed with independent legal counsel their duties and obligations in connection with the review of the Sub-Advisory Agreement and discussed, in detail, the matters related to such approval. The materials prepared by the DMC specifically in connection with the approval of the Sub-Advisory Agreement were sent to the Independent Trustees in advance of the Meeting. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decision. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, Extent and Quality of Services. In considering the nature, extent and quality of the services to be provided by American Century, the Board specifically considered that the Sub-Advisory Agreement contains substantially similar provisions to those in the prior T. Rowe Price sub-advisory agreement, except for the provisions relating to the sub-advisory fees. The Board reviewed materials provided by American Century regarding the experience and qualifications of personnel who will be responsible for managing the portion of the Fund to be sub-advised by American Century. The Board also placed weight on the performance of a representative American Century portfolio that utilized the investment process and parameters that would be employed by American Century on behalf of its portion of the Fund (the “American Century Account”). The Board also considered that American Century would serve as a sub-advisor of the Fund with another sub-advisor, ClearBridge Investments, LLC (“ClearBridge”). The Board considered the compatibility of the two sub-advisors’ investment philosophies and methodologies that they would each employ for the Fund. Lastly, the Board took into account that American Century has historically had an investment philosophy that seeks to generate superior returns by making long-term investments in businesses that have accelerated growth. Based upon these considerations, the Board was satisfied with the nature and quality of the overall services to be provided by American Century to the Fund and its shareholders and was confident in the abilities of American Century to provide quality services to the Fund and its shareholders.
Investment Performance. The Board reviewed information on the performance of the American Century Account over various time periods. The Board also reviewed a “combination analysis” showing various performance metrics that would have resulted from combining the performance of the American Century Account with the performance of ClearBridge in managing its portion of the Fund over various time periods. The Board noted DMC’s belief, based on the historical combination analysis, that the investment strategy to be employed by American Century on behalf of its portion of the Fund would be a good complement to the type of investment philosophy followed by ClearBridge, and that American Century’s investment strategy would provide a better balance to ClearBridge’s investment philosophy as compared to the investment strategy utilized by T. Rowe Price. The Board believed such information and analysis evidenced the benefits to the Fund and quality of portfolio management services expected to be provided by American Century under the Sub-Advisory Agreement.
Sub-advisory Fees. In considering the appropriateness of the sub-advisory fees to be charged by American Century, the Board reviewed and considered the sub-advisory fees in light of the nature, extent and quality of the sub-advisory services to be provided by American Century, as more fully described above. The Board noted that American Century’s sub-advisory fees are paid by DMC and are not additional fees borne by the Fund. The Board also noted that the sub-advisory fees to be paid by DMC to American Century were the product of arms-length negotiations between DMC and American Century, and the Board considered the allocation of the investment management fees charged to the Fund between DMC and American Century in light of the nature, extent and quality of the investment management services provided, and to be provided by, DMC and American Century. In particular, the Board was provided with a description of fees to be charged by American Century under the Sub-Advisory Agreement for the Fund, which showed them to be lower than the sub-advisory fees charged by T. Rowe Price under its sub-advisory agreement at the Fund’s current amount of assets under management. The Board considered the impact that the differences in fees would have on DMC’s profitability. The Board also was provided with information showing that American Century’s sub-advisory fees for the Fund were competitive with those charged by American Century to other comparable investment companies or accounts, and was informed by DMC that American Century’s sub-advisory fees were competitive with fees of other investment managers being considered as possible sub-advisors to the Fund. The Board also noted that the management fee paid by the Fund to DMC would stay the same at current asset levels. Based upon such facts, the Board believed that the fees to be charged by American Century under the Sub-Advisory Agreement were acceptable in relation to the services to be provided.
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Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Sub-Advisory Agreement with American Century Investment Management, Inc. at Meeting Held June 15, 2022 (continued)
Profitability, Economies of Scale and Fall-Out Benefits. Information about American Century’s profitability from its relationship with the Fund was not available because it had not begun to provide services to the Fund. The Trustees noted that economies of scale are shared with the Fund and its shareholders through investment management fee breakpoints so that as the Fund grows in size, its effective investment management fee rate declines. The Board was also provided with information on potential fall-out benefits derived or to be derived by American Century in connection with its relationship to the Fund, such as soft dollar arrangements.
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This semiannual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the fact sheet for the most recently completed calendar quarter. The prospectus sets forth details about charges, expenses, investment objectives, and operating policies of the investment company. You should read the prospectus carefully before you invest. The figures in this report represent past results that are not a guarantee of future results. The return and principal value of an investment in the investment company will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Board of trustees
Brett Wright Head of Client Solutions Group, Macquarie
Robert Pettman Executive Vice President, Product and
Kevin G. Chavers Private Investor
Robert J. Christian Private Investor
Dianna Gonzales-Burdin Private Investor
Mark K. Hancock President - The Glenmore Group
Durant Adams Hunter Private Investor
Pamela J. Moret Private Investor
Stephen P. Mullin President – Econsult Solutions, Inc. | Edward Ramos Private Investor
Robert A. Rudell Private Investor
Susan M. Stalnecker Senior Advisor – Boston Consulting Group
Affiliated officers
David F. Connor Senior Vice President Philadelphia, PA
Daniel V. Geatens Senior Vice President, Treasurer,
A.G. Ciavarelli Senior Vice President | Investment manager Delaware Management Company, a series
National distributor Delaware Distributors, L.P.
Shareholder servicing, dividend disbursing, and transfer agent
For shareholders, securities dealers and financial institutions representatives
Website optimummutualfunds.com | ||
Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on 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. | ||||
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/shareholder/proxy-voting-information; and (ii) on the SEC’s website at sec.gov. |
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Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial 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/RACHEL E. JACOBS | |
By: | Rachel E. Jacobs |
Title: | President and Chief Executive Officer |
Date: | December 8, 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/RACHEL E. JACOBS | |
By: | Rachel E. Jacobs |
Date: | December 8, 2022 |
/s/DANIEL V. GEATENS | |
By: | Daniel V. Geatens |
Title: | Chief Financial Officer |
Date: | December 8, 2022 |