UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-21335 | |
Exact name of registrant as specified in charter: | Optimum Fund Trust | |
Address of principal executive offices: | 2005 Market Street | |
Philadelphia, PA 19103 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
2005 Market Street | ||
Philadelphia, PA 19103 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | March 31 | |
Date of reporting period: | March 31, 2016 |
Item 1. Reports to Stockholders
Table of Contents
Optimum Fixed Income Fund
Optimum International Fund
Optimum Large Cap Growth Fund
Optimum Large Cap Value Fund
Optimum Small-Mid Cap Growth Fund
Optimum Small-Mid Cap Value Fund
Annual report
March 31, 2016
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Carefully consider the Funds’ investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Funds’ prospectus and, if available, their summary prospectus, which may be obtained by visiting optimummutualfunds.com or calling 800 914-0278. Investors should read the prospectus and, if available, the summary prospectus carefully before investing.
Table of Contents
Portfolio management reviews | ||||
1 | ||||
4 | ||||
6 | ||||
8 | ||||
10 | ||||
12 | ||||
Performance summaries | ||||
15 | ||||
18 | ||||
21 | ||||
24 | ||||
27 | ||||
30 | ||||
Disclosure of Fund expenses | 33 | |||
Security type / sector / country allocations and top 10 equity holdings | 37 | |||
Financial statements | ||||
40 | ||||
104 | ||||
107 | ||||
109 | ||||
112 | ||||
130 | ||||
Report of independent registered public accounting firm | 159 | |||
Other Fund information | 160 | |||
Board of trustees and officers addendum | 166 | |||
About the organization | 168 |
Neither Delaware Investments nor its affiliates noted in this document are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of Macquarie Bank Limited (MBL). MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
Unless otherwise noted, views expressed herein are current as of March 31, 2016, and subject to change for events occurring after such a date. Holdings are as of the date indicated and subject to change.
Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Funds’ distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
All third-party marks cited are the property of their respective owners.
© 2016 Delaware Management Holdings, Inc.
Table of Contents
April 12, 2016 (Unaudited)
Performance review (for the year ended March 31, 2016)
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Optimum Fixed Income Fund (Class A shares) | 1-year return | – 0.63% | ||
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Optimum Fixed Income Fund (Institutional Class shares) | 1-year return | – 0.48% | ||
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Barclays U.S. Aggregate Index (benchmark) | 1-year return | +1.96% | ||
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Past performance does not guarantee future results.
For complete, annualized performance for Optimum Fixed Income Fund, please see the table on page 15.
The performance of Class A shares excludes the applicable sales charge and reflects the reinvestment of all distributions.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts. Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Advisor
Delaware Management Company (DMC)
Sub-advisor
Pacific Investment Management Company LLC (PIMCO)
Market overview
The fiscal year ended March 31, 2016 was a challenge for global markets, triggered by concerns over economic growth, oil prices, and diverging monetary policy, with most risk assets delivering low or negative returns. Volatility drove markets and the U.S. dollar strengthened rapidly in 2015 before leveling off early in 2016.
The U.S. Federal Reserve increased rates in December 2015 for the first time in nearly a decade. While markets reacted reasonably well to this, the first quarter of 2016 was rocked with volatility as oil prices continued to fall, Japan announced further monetary policy easing, and China devalued its currency for the second time in five months. Recently, however, risk assets have recovered in response to strong U.S. economic data and a larger-than-expected European monetary stimulus program.
U.S. core bonds were volatile. Generally, rates fell in mid-2015 in response to China’s devaluation of the yuan, then rose after the Fed’s decision to raise interest rates, and fell again early in 2016 in response to plummeting oil prices, uncertainty surrounding China’s growth, and negative interest rates in Japan and Europe. High yield credit spreads widened during the Fund’s fiscal year, driven by commodity-linked sectors. Investment grade corporate credit spreads also widened, primarily due to record-breaking market supply.
The European Central Bank (ECB) exceeded market expectations by expanding its monetary easing program. China also eased and seemed to make progress in internationalizing the yuan, and Japan announced further monetary easing, unexpectedly taking interest rates into negative territory. Emerging market assets generally tumbled during the Fund’s fiscal year in anticipation of a slowdown in Chinese growth and in response to low oil prices.
Brazil and Russia entered a recession during the period, with Brazil experiencing a sharp contraction and elevated volatility in response to political uncertainty.
Source: Bloomberg
Fund performance
For the fiscal year, Optimum Fixed Income Fund underperformed its benchmark, the Barclays U.S. Aggregate Index. Both the DMC and PIMCO portions of the Fund trailed the benchmark. However, the PIMCO low duration component outpaced its benchmark, the BofA Merrill Lynch 1–3 Year U.S. Treasury Index. The following remarks describe factors that affected relative performance within the Fund’s respective portions.
DMC
Note: The portfolio-level discussion presented below appears in two sections. The first covers DMC’s portion of the Fund that focused on a multisector strategy, while the second covers its portion that focused on a short duration strategy.
Intermediate-term component
For the fiscal year ended March 31, 2016, DMC’s fixed-rate intermediate-term portion of Optimum Fixed Income Fund underperformed the Fund’s benchmark, the Barclays U.S. Aggregate Index.
The fiscal year presented many challenges to fixed income investors. Yields on shorter-maturity investments climbed in reaction to potential tightening of U.S. monetary conditions. Additionally, corporate sector risk premiums climbed as commodity prices declined significantly, and high-quality corporations deepened a trend of equity-friendly actions that employed leverage. Part of this period included further weakness in emerging market currencies and bonds. Meanwhile, agency mortgage-backed securities (MBS) seemed to be an island of relative tranquility.
DMC’s investment grade corporate bond investments lagged their benchmark peers (0.06% versus 0.93%). Industrial sector bonds
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Table of Contents
Portfolio management reviews
Optimum Fixed Income Fund
significantly detracted from overall performance. Energy and metals-and-mining bonds had weak results, as did the communications and financial sectors. However, DMC’s utility bonds outpaced their benchmark peers.
The DMC intermediate-term portion of the Fund had an average allocation of 8% to traditional high yield bonds during the period. Risk management was critical during the fiscal year as the significant downturn in the energy and commodities sectors weighed on results. Idiosyncratic credit events spread to other high yield sectors. Within DMC’s portion of the Fund, the high yield segment’s return of - 4.36% (before expenses) detracted 40 basis points from the Fund’s relative performance. (A basis point equals one hundredth of a percentage point.) Bank loan holdings fared better as demand from collateralized loan obligation securitizations helped dampen the risk premium increase.
In response to the challenging earnings environment, DMC had a higher weighting to bank loans relative to traditional high yield bonds in this portion of the Fund because of loans’ senior position in the capital structure and DMC’s attempt to smooth returns in a volatile environment. Convertible bond positions detracted from returns as equity markets confronted challenging growth parameters and the possibility of higher short-term rates. U.S. Treasury interest rate futures were used effectively to hedge adverse moves in interest rates and to adjust yield curve positioning. Commercial mortgage-backed securities were concentrated in high-quality seasoned securitizations, and in Freddie Mac multifamily BBB-rated deals.
Diversified floating-rate component
In managing its short duration, diversified floating-rate portion of the Fund, DMC focuses on a diversified group of floating-rate securities. During the fiscal year, those assets made up about 10% of the total DMC-managed assets within the Fund.
This component of the Fund trailed its benchmark, the London interbank offered rate (Libor), which is DMC’s internal benchmark for this portion of the Fund.
Investment grade credit made up an average of 48% of this portion of the Fund during the fiscal year. Financials, at 15% of this portion of the Fund, returned -2.55%, taking away 40 basis points from portfolio returns. Industrials — the largest high-grade credit sector allocation at 26% — returned -0.64%, trailing the benchmark. Utilities detracted from performance, but had only a 4% weighting in this component. Noncorporate positions contributed very little to performance. Emerging markets were relatively volatile and detracted from performance.
Below-investment-grade assets had mixed performance. A 28% allocation to bank loans was positive, while exposure to commodities hurt results. Energy-related securities significantly detracted, including independent exploration and production companies
ConocoPhillips and Chesapeake Energy. FMG Resources detracted in metals and mining. Weatherford International performed poorly in oilfield services. iHeartCommunications was a detractor within the media sector.
This portion of the Fund averaged 10% exposure to AAA-rated asset-backed securities, which outpaced Libor with a 0.61% total return. DMC continued to find the sector attractive due to its liquidity profile and risk management flexibility.
DMC used interest rate swaps in the diversified floating-rate portion of the Fund to hedge its allocation to fixed-rate bonds. These positions generally declined in value as rates fell.
Currencies, municipal bonds, and MBS did not contribute to performance in a significant way.
PIMCO
Note: The portfolio-level discussion presented below appears in two sections. The first covers PIMCO’s portion of the Fund that focused on an intermediate-term strategy, while the second covers its portion that focused on a low duration strategy.
Intermediate-term component
The intermediate-term component of PIMCO’s portion of the Fund underperformed its benchmark, the Barclays U.S. Aggregate Index.
Interest rate strategies were the largest detractors from performance. An overall underweight to U.S. duration hurt performance as yields on U.S. Treasurys generally fell. Additionally, yield curve positioning — specifically an underweight to the long end of the U.S. Treasury curve — was costly, as long rates declined the most.
Non-U.S. exposures detracted from performance — notably, a short to the front end of the United Kingdom yield curve as U.K. interest rates fell. Within the euro zone, an underweight to German bunds hurt performance, but was offset by an overweight to Spanish and Italian sovereign bonds as yields fell. Within emerging markets, modest exposure to Mexican local interest rates contributed to performance as their higher yield more than offset the effect of rising local rates.
Currency positioning was neutral to modestly positive for performance. A long-dollar bias against a basket of emerging market currencies aided performance as these currencies depreciated. This was partly offset by a long-dollar bias versus the euro, which appreciated late in the fiscal period.
As of the end of the Fund’s fiscal year, this portion of the Fund remains underweight to U.S. duration as the U.S. economy seems to be on solid footing and PIMCO anticipates continued normalization of monetary policy. However, the portfolio is more neutrally
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positioned regarding U.S. interest rates as global influences could continue to weigh on U.S. rates.
Low duration component
The low duration component of PIMCO’s portion of the Fund outperformed PIMCO’s internal benchmark, the BofA Merrill Lynch 1–3 Year U.S. Treasury Index.
Interest rate and spread sector strategies drove performance. Exposure to front-end core European interest rates contributed to returns as European yields fell amid supportive ECB monetary policy. Positive security selection within investment grade credit also contributed to performance despite the broader investment grade credit market trailing the overall fixed income market.
Positive security selection within investment grade credit aided performance. Within high yield credit, security selection and a focus on financial names contributed to performance as financials outperformed the broader high yield market for most of the fiscal period. An allocation to nonagency MBS added to returns as the sector gained from strong demand and limited supply.
Currency positioning contributed modestly to results. A long-dollar position against the Japanese yen and Australian dollar was positive as these currencies depreciated. This was partially offset by short exposure to the euro, which appreciated in the first three months of 2016.
At the end of the Fund’s fiscal period, PIMCO’s low duration portfolio remained underweight to U.S. duration as the U.S. economy seemed stable and monetary policy, in PIMCO’s view, is likely to continue to normalize. However, its portfolio was more neutrally positioned regarding U.S. interest rates.
In both the intermediate-term and low duration components of PIMCO’s portion of the Fund, the use of money market and government futures, currency forwards, options, and credit default swaps did not have a material effect on performance during the fiscal period.
The use of interest rate swaps to implement an underweight to the U.S. duration position that resulted in short exposure to swap rates in both components of PIMCO’s portion of the Fund negatively affected performance as swap rates outperformed Treasury rates.
PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. By diversifying strategies, or relying on multiple sources of value, the firm believes it has the potential to generate a solid track record with a high degree of consistency. Additionally, PIMCO’s investment process focuses on longer-term (three to five year) trends, recognizing that secular considerations such as demographics, political factors, and structural changes in the domestic and international economy exert powerful, sustained influences on interest rates.
During the fiscal year, PIMCO remained true to its basic core bond philosophy; however, two elements of that philosophy aim to ensure that the process is dynamic and continually improving. First, PIMCO’s commitment to seeking value across all bond market sectors, or maintaining as broad an opportunity set as possible, has led PIMCO to explore many newly created or newly liquid sectors. Second, PIMCO’s commitment to quantitative technology has led to a continual focus on improvement in the implementation of its philosophy as it continues to improve the tools it uses for assessing risk-reward trade-offs.
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Table of Contents
Portfolio management reviews
April 12, 2016 (Unaudited)
Performance review (for the year ended March 31, 2016)
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Optimum International Fund (Class A shares) | 1-year return | – 5.58% | ||
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Optimum International Fund (Institutional Class shares) | 1-year return | – 5.38% | ||
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MSCI EAFE Index (gross) (benchmark) | 1-year return | – 7.87% | ||
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MSCI EAFE Index (net) (benchmark) | 1-year return | – 8.27% | ||
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Past performance does not guarantee future results.
For complete, annualized performance for Optimum International Fund, please see the table on page 18.
The performance of Class A shares excludes the applicable sales charge and reflects the reinvestment of all distributions.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts. Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Acadian Asset Management LLC (Acadian)
EARNEST Partners LLC (EARNEST)
Market overview
Diminished expectations for global growth had a major effect on global markets throughout the Fund’s fiscal year ended March 31, 2016. International equity markets finished with returns deep in negative territory. The developed markets (as represented by the MSCI EAFE Index) and international markets (as represented by the MSCI ACWI ex-U.S. Index) declined roughly 8% and 9%, respectively, during the Fund’s fiscal year. Emerging markets, as represented by the MSCI Emerging Markets Index, declined 12%. In contrast, the U.S. large-cap market, as represented by the Russell 1000® Index, eked out positive returns of 0.5% during the Fund’s fiscal year.
Equity market performance over much of the Fund’s fiscal year was heavily influenced by three key drivers: a sharper-than-expected slowdown in Chinese economic growth; ongoing pressure on oil and commodity prices; and uncertainty surrounding the timing and magnitude of U.S. interest rate policy normalization.
During the last three months of 2015, the Chinese economy’s annual rate of growth was below 7% — the lowest in 25 years. This growth slowdown was particularly pronounced in international markets due to their reliance on Chinese trade. While China’s gross domestic product (GDP) — a measure of all goods and services produced in a country in a given year — continued to grow at a rate that outpaced every major economy in the world, the nation’s manufacturing sector throttled back. Prices for commodities were squeezed by China’s falling appetite; commodity export-dependent economies were particularly hard hit.
Energy prices were a focal point of investor interest during the Fund’s fiscal year. The price of crude oil slid through much of the period. By the close of the fiscal period, crude inventories were at levels not seen since the Great Depression, while Saudi Arabia and other major oil-producing nations had begun to explore the possibility of freezing output.
Speculation over a contemplated rate hike by the U.S. Federal Reserve overshadowed markets earlier in the fiscal period. The Fed initiated a 0.25-percentage-point hike in December 2015, which, by that point, was largely anticipated. This set the stage for a divergence in policy with monetary authorities in Europe and Japan, which have embraced negative interest rates.
Source: Bloomberg
Fund performance
In what was a challenging year for international equities, Optimum International Fund declined, but outperformed its benchmark, the MSCI EAFE (Europe, Australasia, Far East) Index. Acadian’s portion of the Fund turned in a positive performance, largely due to stock selection. However, EARNEST trailed the Fund’s benchmark due, in large part, to its relative overweight in emerging markets.
Acadian
Acadian’s portion of the Fund outperformed the MSCI EAFE Index during the Fund’s fiscal period. From a sector perspective, an underweight position in financials contributed to its relative performance. Low interest rates, oil pressures, and tightening regulations hurt the financial sector. Acadian’s overweight position in information technology was also a positive for its portion of the Fund — many companies within this sector reported better-than-expected earnings, while others benefited from a flurry of merger and acquisition activity. In terms of sector weightings that trailed the benchmark, Acadian’s underweight positions in consumer staples and telecommunication services hurt relative performance for its portion of the Fund. In reaction to the elevated levels of market
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volatility that characterized the fiscal period, investors were drawn by these sectors’ potential to offer downside protection and generally stable dividends.
Two holdings that helped drive positive performance in Acadian’s portion of the Fund were Galenica and Neste. Galenica’s shares climbed after the Swiss pharmaceutical firm reported an increase in first-half sales from a year earlier and raised its 2015 profit outlook. Finnish oil refiner and marketer Neste’s stock advanced after the company announced it would partner with Boeing, a U.S. manufacturer of commercial jetliners and defense, space, and security systems, to commercialize renewable aviation fuel.
In contrast, two holdings that detracted from Acadian’s portion of the Fund were Brazil-headquartered meat processor JBS and Australia & New Zealand Banking Group (ANZ). Shares of JBS fell after Brazil’s federal audit court said the company might have received special treatment from BNDES, the state-run national development bank. Meanwhile, ANZ’s shares fell after the lender, along with many of its peers, announced plans to raise capital to meet stricter regulatory requirements.
At the end of the fiscal period, Acadian still held JBS in its portion of the Fund, given this company’s highly favorable valuation characteristics. In addition, JBS had continued to show positive indicators from Acadian’s cash flow quality and peer momentum signals. Acadian sold ANZ out of the Fund in late September 2015.
As of the end of the fiscal year, Acadian’s largest overweight positions at the country level were Japan and Israel. Its portion of the Fund also held significant opportunistic exposures to Canada and South Korea. France, the United Kingdom, Germany, and Switzerland were Acadian’s largest underweight positions. In terms of sectors, Acadian held overweights in healthcare and information technology, while underweighting financials.
EARNEST
During the Fund’s fiscal period, EARNEST’s portion of the Fund posted a negative return that trailed that of its benchmark, the MSCI EAFE Index. EARNEST’s relative overweight to emerging markets accounted for a material portion of its underperformance.
Holdings within the consumer discretionary and financial sectors contributed to performance for EARNEST’s portion of the Fund, primarily due to stock selection. In contrast, holdings within industrials, materials, and consumer staples were the primary detractors. Additionally, EARNEST’s Japanese holdings trailed during the fiscal year. Its underweight to Japan also detracted from performance as the Japanese index was down 7%.
EARNEST’s portion of the Fund held an average weighting of 72% to developed markets and 28% to emerging markets during the fiscal
year. Stock selection in developed markets was uncharacteristically flat for the period, as macro events influenced markets substantially more than fundamentals.
EARNEST’s emerging markets holding PT Indofood was a strong performer. The company is a packaged goods leader in Indonesia’s instant-noodle market, benefiting from the demand for ready-to-eat noodles in locally popular flavors. Investors had been concerned over the pace of growth in Indonesia’s local economy, and emerging markets more broadly. But Indonesia expanded close to 5% in 2015 — faster than most developed countries. Consequently, PT Indofood’s sales grew during the fiscal year.
Statoil was a strong performer among EARNEST’s developed market holdings. Headquartered in Norway with offshore operations around the world, Statoil is one of the world’s largest oil and gas companies. Its management team continued to make strides in adapting to the low oil price environment. By focusing on cost savings and performance improvements, Statoil was able to reduce capital and operating costs by $1.9 billion during the 2015 calendar year, exceeding investors’ expectations by a wide margin.
An EARNEST holding that was a detractor was Erste Group Bank. Erste is an Austrian savings bank that has grown into one of the largest financial service providers in Central and Eastern Europe, with vast depositary franchises that span the Czech Republic and Romania, and extend into Hungary. These countries are considered relatively underbanked, so Erste can potentially take advantage of concentrated markets with little competition. During the fiscal year, investors were concerned about European banks’ profitability given the European Central Bank’s negative interest rate environment and, subsequently, shares of Erste were pulled down. At the end of the fiscal period, EARNEST continued to hold this company in its portion of the Fund, based on Erste’s improving credit performance, scale advantages, and increasing credit adoption in its region.
EARNEST holding Novartis also disappointed. A global pharmaceutical company based in Switzerland, Novartis is engaged in the development, manufacturing, and marketing of medicines. During the period, the company reported lower-than-expected sales numbers in its surgical equipment units, which are primarily sold in emerging market countries. Increased generic competition in its eye-care products division also punished the stock. At the end of the fiscal period, EARNEST continued to hold Novartis in its portion of the Fund, given the company’s positioning in both the generic and branded drug markets, strong intellectual property, and abundance of late-pipeline products.
Overall, Optimum International Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Table of Contents
Portfolio management reviews
April 12, 2016 (Unaudited)
Performance review (for the year ended March 31, 2016)
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Optimum Large Cap Growth Fund (Class A shares) | 1-year return | – 2.27% | ||
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Optimum Large Cap Growth Fund (Institutional Class shares) | 1-year return | – 2.00% | ||
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Russell 1000® Growth Index (benchmark) | 1-year return | +2.52% | ||
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Past performance does not guarantee future results.
For complete, annualized performance for Optimum Large Cap Growth Fund, please see the table on page 21.
The performance of Class A shares excludes the applicable sales charge and reflects the reinvestment of all distributions.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Fred Alger Management, Inc. (Alger)
T. Rowe Price Associates, Inc. (T. Rowe Price)
Market overview
Overcoming several volatile episodes, including the first market correction in four years, large-cap equities eked out a small gain for the fiscal year ended March 31, 2016. In the United States, an accommodative U.S. Federal Reserve finally raised rates by 0.25 percentage points near the end of 2015. Initially suggesting that it was considering an additional four increases in 2016, the Fed subsequently backed off when global markets sold off in January.
The pace of domestic economic activity continued to be slow, tempered by the strength of the dollar relative to most other global currencies, putting pressure on U.S. exports. Still, the economy in the U.S. was stronger than those of Europe and Japan, where low interest rates, weak currencies, and aggressive quantitative-easing programs continued. The deepening slowdown of China’s economy pressured many of the emerging market economies, and energy and commodity prices weakened.
Following a strong 2015 fourth quarter for U.S. stocks, investors grew concerned with the possibility that higher interest rates and slow economic growth globally might result in recession. The stock market declined sharply as 2016 began, but rallied later in the quarter, in part due to the Fed’s assurance that it would exercise caution in raising rates.
Source: Bloomberg
Fund performance
Optimum Large Cap Growth Fund significantly underperformed its benchmark, the Russell 1000 Growth Index, for the Fund’s fiscal year. Both sector allocation and stock picking detracted from performance within the portions of the Fund managed by Alger and T. Rowe Price. The healthcare sector was the most significant detractor, followed by consumer staples, in both Alger’s and T. Rowe Price’s portions of the Fund.
Alger
With its strategy of investing in companies undergoing “positive dynamic change,” Alger seeks what it views as high-quality, domestic growth stocks that can potentially generate strong earnings growth and free cash flow. Both sector allocation and stock selection were responsible for underperformance in Alger’s portion of the Fund for the Fund’s fiscal year.
The healthcare and consumer staples sectors were the leading detractors from performance in Alger’s portion of the Fund, in both cases owing to a combination of sector allocation and stock selection. Weak stock selection and an overweight of the healthcare sector negatively affected performance as the sector underperformed the benchmark. Conversely, an underweight in consumer staples proved costly. Normally a defensive sector with limited growth components, consumer staples was the second strongest-performing sector in the benchmark during the fiscal year.
SunEdison, primarily engaged in the development and operation of commercial and utility scale solar projects, was a leading detractor from performance in Alger’s portion of the Fund. The company undertook an aggressive construction and acquisition program, using high levels of debt to fund these activities. The business trend did not meet initial expectations and the company had difficulty servicing its debt obligations. When the company experienced this breakdown in fundamentals, Alger sold the shares.
Alger’s sell discipline calls for exiting a position when one of three criteria is met: The stock has achieved its price target, the company is
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experiencing deteriorating fundamentals, or there is a new high-conviction idea with greater risk-return potential.
Vertex Pharmaceuticals is a biotechnology company with key franchises in cystic fibrosis and inflammatory diseases. The shares detracted from performance when the development of a cystic fibrosis drug attracted fewer patient additions than investors initially expected. Alger believes the sales trajectory may be more unpredictable than originally anticipated, but remains confident that the market opportunity and earnings power remain intact. Alger continued to hold the shares as of the end of the fiscal year.
The information technology and materials sectors were the leading contributors to performance in Alger’s portion of the Fund during the fiscal year. Not only did the information technology sector outperform the benchmark as a whole, Alger’s investment in the sector received added benefits from both an overweight relative to the benchmark and stock selection. Although the materials sector performed poorly during the fiscal year, Alger’s portion of the Fund benefited from an underweight relative to the benchmark. Favorable stock selection contributed to performance as well.
Facebook, the world’s largest social network, was a leading contributor to performance in Alger’s portion of the Fund. Investors were heartened by the strong pace of Facebook’s growth. The company continues to take advertising dollars away from print and television. Alger believes Facebook is still in an early stage of creating a revenue stream. Although Facebook has 1.3 billion users worldwide and captures 20% of the time that these users spend online, it garners only 8% of total online advertising budgets. Alger believes that gap should narrow over time, driving growth well in excess of the overall market for the foreseeable future.
Alphabet, the parent company of Google, was another leading contributor to performance in Alger’s portion of the Fund. The company is a leading provider of search, search and display advertising, and the Android operating system. As Internet usage, broadband penetration, and user sophistication continue to increase on a global scale, Alger expects the percentage of media consumed online to increase as well. Desktop search growth is slowing, but mobile search, mobile display, and video revenue are all growing quickly and Alger believes Google is well positioned in each segment.
T. Rowe Price
T. Rowe Price’s portion of the Fund detracted from Fund performance relative to the benchmark. Overall stock selection was the primary reason for relative underperformance, but sector allocation was also significantly negative.
Stock selection in healthcare, including a large allocation to Valeant Pharmaceuticals, the second-weakest performing company in the benchmark, negatively affected relative performance in T. Rowe Price’s portion of the Fund. Valeant declined sharply in the last half of 2015 amid concerns over the company’s drug-pricing practices. Its struggles continued in 2016, as it came under investigation by the Securities and Exchange Commission and announced it would delay filing its financial statements to correct for a prior misstatement of revenue. T. Rowe Price eliminated the position during the Fund’s fiscal year.
Shares of Biogen declined sharply in the third quarter of 2015 as the biotechnology company reported a slowdown in sales growth for its blockbuster multiple sclerosis treatment Tecfidera. The slowdown was partially attributed to concerns about a rare side effect linked to a patient death. T. Rowe Price reduced the position in Biogen but retains a favorable long-term outlook based on the company’s compelling pipeline of new drugs.
Consumer staples was also a large detractor in T. Rowe Price’s portion of the Fund, largely due to a significant underweighting relative to the benchmark. The sector was the second-strongest performer in the benchmark for the fiscal period.
Information technology was the leading relative outperformer in T. Rowe Price’s portion of the Fund, mainly due to stock selection. Limited exposure to Apple boosted relative returns as shares declined in response to tempering expectations. While Apple demonstrated strength in China, iPhone sales fell short of expectations in the last half of 2015. T. Rowe Price owns the stock because it believes Apple is a high-quality, well-managed, and well-positioned company with a strong track record of delivering superior products. However, T. Rowe Price maintains a limited allocation in the belief that a decelerating product cycle could eventually hamper iPhone growth.
Consumer discretionary outperformed on a combination of stock selection and a favorable overweight compared to the benchmark. Shares of Amazon.com posted strong trailing 1-year returns, despite weakness in the first quarter of 2016. Throughout the Fund’s fiscal year, Amazon.com demonstrated solid growth in its core retail business and reported impressive results with sharp acceleration in revenue and margins in its Amazon Web Services cloud-computing unit.
Overall, Optimum Large Cap Growth Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Portfolio management reviews
April 12, 2016 (Unaudited)
Performance review (for the year ended March 31, 2016)
| ||||
Optimum Large Cap Value Fund (Class A shares) | 1-year return | – 4.54% | ||
| ||||
Optimum Large Cap Value Fund (Institutional Class shares) | 1-year return | – 4.29% | ||
| ||||
Russell 1000® Value Index (benchmark) | 1-year return | – 1.54% | ||
|
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Large Cap Value Fund, please see the table on page 24.
The performance of Class A shares excludes the applicable sales charge and reflects the reinvestment of all distributions.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Herndon Capital Management, LLC (Herndon)
Massachusetts Financial Services Company (MFS)
Market overview
Sluggish global growth, particularly among emerging market economies, marked the fiscal year ended March 31, 2016. As expected, the U.S. Federal Reserve raised interest rates a quarter percentage point in December 2015, from a range of 0 – 0.25% to a range of 0.25 – 0.50%, but Fed officials maintained caution for the rest of the fiscal year, as economic conditions overseas remained stagnant. Meanwhile, the central banks of other large developed economies, in particular the European Central Bank and the Bank of Japan, continued to embrace accommodative monetary policies.
The crash in the Chinese stock market unnerved investors around the globe. Although the Chinese government ramped up a wide range of monetary and fiscal measures to stimulate its struggling economy, bolster sentiment, and stabilize its currency, China’s economy only began to stabilize toward the end of the fiscal year.
Global declines in the cost of oil and other commodities generally had an adverse effect on earnings for U.S. companies, primarily those within the energy, materials, and industrial sectors.
The sharp rise in the U.S. dollar also weighed on earnings during this period, though dollar strength ebbed moderately late in the fiscal year. Exports were crimped by the U.S. dollar’s strength and falling demand in emerging markets.
Despite tighter financial conditions within the United States, workers simultaneously experienced a modest increase in real wages and falling gasoline prices. The combination helped sustain consumer
spending during the second half of the fiscal period. In particular, automobile demand reached near-record territory in early 2016.
Source: Bloomberg
Fund performance
Optimum Large Cap Value Fund posted negative returns and underperformed its benchmark, the Russell 1000 Value Index, for the fiscal year. Turbulence within the energy sector negatively affected Herndon’s portion of the Fund. In MFS’s portion of the Fund, an underweight allocation in technology and utilities and communications — combined with weak stock selection in healthcare — detracted from performance.
Herndon
Herndon maintains a consistent approach to managing the portfolio, regardless of market conditions. The management team employs a fundamental, bottom-up (stock-by-stock) investment process that identifies value-creating opportunities through the identification of individual stocks with strong fundamentals and attractive valuation characteristics.
Herndon’s portion of the Fund underperformed its benchmark. Performance was hampered primarily by the energy sector, which continued to be affected by negative sentiment and a continued decline in crude oil costs. The largest individual performance detractor for Herndon’s portion of the Fund was petroleum and natural gas explorer SM Energy, which was negatively affected by global trends within its industry. Herndon sold the holding during the Fund’s fiscal year.
An underweight position within the financial sector also detracted from performance in Herndon’s portion of the Fund. The lack of money center bank exposure hurt performance as investors gravitated toward these institutions, especially due to the continuation of the Greek debt crisis. Instead, Herndon’s focus within the sector was on asset management firms like Waddell & Reed; a
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stock that Herndon views as a value creating opportunity, and therefore continues to own in its portion of the Fund.
Positive stock selection as well as an overweight in consumer staples significantly contributed to performance in Herndon’s portion of the Fund. Individual stock contributors included tobacco giants Philip Morris International and Altria Group.
Stock selection also drove strong relative performance within the consumer discretionary sector, particularly as all three sector holdings within Herndon’s portion of the Fund — TJX, YUM! Brands, and Ross Stores — outperformed both the sector and benchmark returns.
At the end of the fiscal year, Herndon’s portion of the Fund held overweight positions in technology, materials, consumer staples, and energy, and underweight positions in financials, utilities, healthcare, and telecommunications.
At the end of the fiscal period, Herndon continues to seek out what it views as value-creating opportunities. Herndon strives to produce a portfolio that it believes should generate alpha (a measure of performance on a risk-adjusted basis) through the acquisition of what it considers to be high conviction, fundamentally sound, and significantly undervalued companies.
MFS
During all market environments, MFS’s investment philosophy and approach for its portion of the Fund is to identify high-quality, undervalued stocks that it believes offer the best potential for healthy long-term, risk-adjusted returns. During the Fund’s fiscal period, MFS noted that its investment opportunity set began to shift. Notably, for the first time since the global financial crisis, MFS saw opportunities in the market that were more distinguished by their valuation differential versus the market as opposed to their relative quality. MFS found many businesses (still considered above-average in quality) that faced significant fundamental challenges. These challenges caused their valuations to contract and present MFS with several valuation opportunities.
MFS’s portion of the Fund reported a small absolute return for the fiscal year and outpaced its benchmark. An overweight allocation and stock selection in the strong-performing consumer staples sector contributed to performance relative to the benchmark. In particular, an overweight position in tobacco giant Philip Morris International contributed to performance, as did holding shares of branded consumer foods manufacturer and marketer General Mills, which is not included in the benchmark.
An underweight allocation to the especially turbulent energy sector further strengthened MFS’s relative performance as did not owning
shares of oil and gas exploration and production company ConocoPhillips (a benchmark holding).
Performance within MFS’s portion of the Fund was further bolstered by strong stock selection within the special products and services sector, particularly from its position in management consulting firm Accenture, which is not represented within the benchmark.
Elsewhere, not owning shares of natural gas pipelines operator and benchmark holding Kinder Morgan helped relative performance in MFS’s portion of the Fund. MFS’s overweight positions in wireless telecommunications provider Verizon Communications, stock exchange Nasdaq, defense company Lockheed Martin, and insurance firm Chubb further contributed to relative returns, as did owning building and airplane controls manufacturer Honeywell International, which is not included in the benchmark.
An underweight allocation to the technology sector compared to the benchmark, in addition to the absence of software giant and benchmark holding Microsoft, hampered results in MFS’s portion of the Fund. Within the utilities and communications sector, an underweight in telecommunications company AT&T detracted from relative performance. MFS sold the position in AT&T by the end of the Fund’s fiscal year.
Other relative detractors included MFS’s lack of a position in diversified industrial conglomerate General Electric (a benchmark holding) and overweight positions in investment management firm Franklin Resources, healthcare services company Express Scripts, financial services firm Goldman Sachs, automotive parts manufacturer Johnson Controls, security systems company Tyco International, and building systems and aerospace products and services provider United Technologies. Media company Viacom also detracted from performance. While the media industry faces headwinds including lower ad volumes and an uptick in consumer adoption of lower priced “skinny bundle” solutions, MFS continued to hold a small position in Viacom as low market expectations translated to a very undemanding valuation for the business.
To a lesser extent, weak stock selection in the healthcare sector also dampened relative results. However, there were no stocks within this sector that were among the largest relative detractors for MFS’s portion of the Fund during the fiscal year.
Overall, Optimum Large Cap Value Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Portfolio management reviews
Optimum Small-Mid Cap Growth Fund
April 12, 2016 (Unaudited)
Performance review (for the year ended March 31, 2016)
| ||||
Optimum Small-Mid Cap Growth Fund (Class A shares) | 1-year return | – 16.77% | ||
| ||||
Optimum Small-Mid Cap Growth Fund (Institutional Class shares) | 1-year return | – 16.54% | ||
| ||||
Russell 2500™ Growth Index (benchmark) | 1-year return | – 9.57% | ||
|
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Small-Mid Cap Growth Fund, please see the table on page 27.
The performance of Class A shares excludes the applicable sales charge and reflects the reinvestment of all distributions.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Columbia Wanger Asset Management, LLC (CWAM)
Wellington Management Company, LLP (Wellington)
On March 17, 2016, the Board of Trustees of the Optimum Small-Mid Cap Growth Fund approved a proposal to terminate CWAM and Wellington as sub-advisors to the Fund and to appoint Peregrine Capital Management, Inc. and Columbus Circle Investors as their replacement sub-advisors to the Fund. The termination of CWAM and Wellington was effective on April 1, 2016. Please see the supplement to the Fund’s prospectus, dated March 24, 2016, for more information.
Market overview
Volatility reigned during the Fund’s fiscal year ended March 31, 2016, with a wide gap opening between the performance of small- and large-cap companies. While shares of larger-cap companies generally posted gains, as evidenced by a modest rise in the S&P 500® Index, shares of smaller-cap companies posted declines. Growth stocks outperformed value stocks, while equity markets in the United States outperformed overseas markets in both developed countries abroad and emerging markets.
The fiscal period began on an encouraging note, with U.S. equities reaching new peaks late in April 2015 and again in May. A steady flow of mergers and acquisitions, a rebound in hiring, and solid housing data all combined to fuel investors’ appetite for risk. Volatility returned to the markets in August and September, however, as oil prices plunged and the markets experienced a correction for the first time since October 2011.
Events overseas contributed to the volatility as well. Subpar global economic growth continued for a fourth straight year, with China’s slowdown heading the list of disappointments. Sharply depressed
prices for commodities and oil also took a toll on emerging-market economies and markets.
The U.S. Federal Reserve’s much-anticipated interest-rate hike finally arrived in December 2015. While markets initially reacted favorably, volatility returned and persisted into 2016, with equities plunging in January on fears that a recession was imminent.
In February, however, investors took a collective deep breath as economic indicators — an upward revision in the fourth-quarter gross domestic product (GDP), a reduction in the unemployment rate, and healthy housing data — showed that the U.S. economy remained on solid footing. With the Fed then signaling that it would limit further rate hikes for the rest of 2016, markets generally rebounded, providing the fiscal year with a relatively strong finish.
Source: Bloomberg
Fund performance
Optimum Small-Mid Cap Growth Fund significantly underperformed its benchmark, the Russell 2500 Growth Index, for the Fund’s fiscal year due, in part, to poor stock selection in the information technology sector by both sub-advisors. Additionally, within Wellington’s portion of the Fund, weak stock selection in the healthcare and industrials detracted notably from performance.
Wellington
Wellington’s portion of the Fund significantly underperformed the benchmark during the Fund’s fiscal year. Weak security selection within the healthcare, industrials, and information technology sectors detracted most from relative performance. Sector allocation, the residual effect of security-selection decisions, also detracted from relative performance, particularly an overweight to the energy sector and an underweight to the industrials sector. Stronger security selection within the energy sector and an overweight allocation to the financials sector partially offset weakness elsewhere in its portion of the Fund.
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Platform Specialty Products, a materials company, PTC Therapeutics, in the healthcare sector, and Nomad Foods, a consumer staples company, were among the largest detractors from performance in Wellington’s portion of the Fund. Foreign exchange rates adversely affected Platform Specialty Products, a producer of complex specialty chemicals. A significant and unexpected change in leadership there also added to investor uncertainty.
PTC Therapeutics, a pharmaceutical company focused on developing treatments for rare diseases, experienced a decline in its stock price after the Food and Drug Administration rejected its application for approval of a treatment for Duchenne muscular dystrophy.
Nomad Foods, a frozen foods company, underperformed after reporting slower-than-expected organic growth in its underlying brands during the fourth quarter of 2015. In addition, the company took on debt to finance its acquisitions. The company’s levered capital structure has been viewed as unattractive amid the market environment.
The leading contributors to Wellington’s portion of the Fund were Heartland Payment Systems and Mellanox Technologies, both members of the information technology sector. Heartland Payment Systems, a specialty payments service provider, saw a material price increase after Global Payments announced that it would acquire the company. The merger will combine two companies in the payments industry that are among the leaders in growing revenue organically (exclusive of mergers or acquisitions).
Mellanox Technologies, a major provider of semiconductors and interconnect solutions for servers, storage solutions, and switch data centers, outperformed during the fiscal period. The company is a leader in InfiniBand solutions for high-performance computing and recently acquired EZchip, enabling expansion into additional networking- and router-related markets.
CWAM
CWAM’s portion of the Fund underperformed its benchmark during the fiscal year, largely due to sector-allocation decisions. The two main detractors from performance were lack of exposure to utilities and an underweight in financials relative to the benchmark. Utilities was the strongest-performing sector during the period, and financials held up much better than the overall market. As a result, these positioning decisions negatively affected performance relative to the benchmark. In contrast, the CWAM portion benefited from its stock selection.
CWAM seeks quality growth companies at reasonable prices. Its low-turnover, bottom-up (stock-by-stock) fundamental investment strategy led to several modest positioning changes during the period. In its portion of the Fund, CWAM decreased exposure to certain industrials companies that it believed would be less competitive in the global marketplace, given the strong U.S. dollar. It trimmed
several biotech stocks after their valuations became quite expensive toward the middle of the period. Additionally, as valuations climbed generally through the first half of the period, diminishing the number of attractively priced investment opportunities, CWAM decided to concentrate more capital in those existing names in which it had high conviction. That resulted in a 10% reduction in the number of companies held in this portion of the Fund at the end of the fiscal period.
The two sectors that detracted the most from CWAM’s portion of the Fund were industrials and information technology. During the fiscal year, performance of industrials lagged due to a combination of poor stock selection and an overweight allocation relative to the benchmark. CWAM owned too many names with overseas revenue that were adversely affected by the strong U.S. dollar. Within the information technology sector, poor stock selection of software companies resulted in underperformance in the sector. During the last quarter of the fiscal year, as growth company stocks in general dropped sharply, several cloud-based software companies declined. Underperformers from the software sector included Cvent and Demandware.
The two largest detractors from performance in the CWAM portion of the Fund were Cepheid and SPS Commerce. Cepheid is a healthcare company focused on diagnostic testing. The company has great promise but had difficulty executing, and CWAM exited the position. After pushing the price of SPS Commerce shares up to a lofty valuation, investors had second thoughts and the stock sold off. SPS Commerce’s stock price fell as a temporary disruption in its sales group caused the company to set 2016 organic revenue growth guidance lower than investor expectations.
The consumer discretionary and healthcare sectors were the leading contributors to CWAM’s portion of the Fund during the fiscal year. The allocation to the consumer discretionary sector benefited from strong stock selection. Within healthcare, investments were made in biotech companies such as Synageva and Sarepta Therapeutics that are developing orphan drugs used to treat serious diseases that afflict only a small number of people. Several of these holdings performed quite well for the fiscal period. Among them, Synageva’s shares more than doubled in price when the company was acquired, and CWAM subsequently exited the position.
At the individual stock level, ExlService Holdings was a leading contributor to performance in the CWAM portion of the Fund. ExlService is a software company providing analytics and operational support to a variety of businesses. It experienced strong growth during the period.
Overall, Optimum Small-Mid Cap Growth Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Portfolio management reviews
Optimum Small-Mid Cap Value Fund
April 12, 2016 (Unaudited)
Performance review (for the year ended March 31, 2016)
| ||||
Optimum Small-Mid Cap Value Fund (Class A shares) | 1-year return | – 11.96% | ||
| ||||
Optimum Small-Mid Cap Value Fund (Institutional Class shares) | 1-year return | – 11.67% | ||
| ||||
Russell 2500™ Value Index (benchmark) | 1-year return | – 5.20% | ||
|
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Small-Mid Cap Value Fund please see the table on page 30.
The performance of Class A shares excludes the applicable sales charge and reflects the reinvestment of all distributions.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Advisor
Delaware Management Company (DMC)
Sub-advisors
LSV Asset Management (LSV)
Westwood Management Corp. (Westwood)
The Board of Trustees of the Fund approved the appointment of LSV Asset Management (“LSV”) as a sub-advisor to the Fund during the Fund’s fiscal year. LSV replaced The Delafield Group, a division of Tocqueville Asset Management L.P. (“Tocqueville”) and The Killen Group, Inc. (“Killen”) as a sub-advisor to Optimum Small-Mid Cap Value Fund. Please see the supplement to the Fund’s prospectus, dated Dec. 23, 2015, for more information.
Market overview
During the Fund’s fiscal year ended March 31, 2016, trends from prior years continued, dominated by elevated volatility and macroeconomic crosswinds. As all eyes remained on the Federal Reserve and other global central banks, the Fed’s long-awaited rate hike came in December 2015. At the same time, global growth concerns re-emerged, particularly in emerging markets, which led to large swings in currencies and further pressure on commodity prices. Crude oil prices continued to fall, exacerbated by supply pressures. Europe continued to dominate the headlines as a potential Greek exit from the euro zone was followed by a possible British departure from the European Union.
Despite all the volatility, the S&P 500® Index posted a small gain for the first quarter of 2016, recovering from the sharp decline late in 2015. The underlying fundamentals supporting U.S. consumers remained favorable, as unemployment remained low, wage growth trends looked encouraging, and housing remained a relative bright spot. While a “flight to safety” during the turbulence of early 2016 left the yield-sensitive sectors, including utilities and real estate investment trusts (REITs), at elevated valuations, investor sentiment continued to appear biased higher. Investors continued to await the
Fed’s next move, on the possibility that further divergence in monetary policy versus other global central banks could materially affect equity market direction.
Source: Bloomberg
Fund performance
Optimum Small-Mid Cap Value Fund underperformed its benchmark, the Russell 2500 Value Index, for the fiscal year. Westwood trailed primarily because of its underweight in utilities and from poor stock selection in the materials sector. Tocqueville also lagged the benchmark during the approximately nine months that it sub-advised its portion of the Fund. Tocqueville’s largest detractor from performance was its industrial and material exposure and a lack of exposure to the strong-performing financials sector. Killen also trailed the benchmark during its approximately nine months as a sub-advisor, hurt by consumer discretionary and energy holdings, its overweight in materials, and an underweight in financials. LSV outperformed the benchmark during the approximately two months that it managed a portion of the Fund.
Westwood
Westwood managed its portion of the Fund for the entire fiscal year. During this period, Westwood underperformed the Russell 2500 Value Index. Westwood employs a consistent and disciplined approach that seeks to protect capital in unfavorable market periods and provide attractive risk-adjusted long-term returns. A turbulent end to the Fund’s fiscal year saw a historic flight to safety and resulting appreciation in the utilities sector; Westwood’s relative underweight to the sector hurt performance in its portion of the Fund. In more normal environments, the healthcare sector would typically provide a similar defensive return profile. However, despite positive stock selection, the healthcare sector lagged the rise of the utilities sector, and Westwood’s overweight added to the underperformance.
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Westwood’s stock selection is driven primarily by extensive research as it seeks to identify what it views as attractively valued companies that it believes have limited downside risk based on strong fundamental underpinnings. Security selection in energy and consumer staples aided performance in Westwood’s portion of the Fund during the fiscal year. Westwood’s energy holdings, which are characterized by high-quality, low-cost acreage, performed better during this period of declining oil prices. Consumer staples stocks appreciated as investors preferred safety and benefited from improving dynamics for U.S. consumers. Security selection in the materials and consumer discretionary sectors hurt relative performance in Westwood’s portion of the Fund. Lower commodity prices and the strong U.S. dollar indirectly hurt holdings in both groups.
Businesses with secondary exposure to commodity markets were the weakest performers in Westwood’s portion of the Fund. Weak emerging-market demand trends and divergent U.S. and global central bank policies drove worldwide commodity weakness. Boise Cascade’s U.S. building products business fell victim to currency-fueled Brazilian plywood imports. CIT Group saw pressure in its infrastructure portfolio, as falling crude oil prices drove declining lease rates in assets such as tanker cars. Westwood sold both positions.
During the fiscal year, Teleflex and Equifax shares performed well. Teleflex earnings results were better than expected as management continued cost execution and portfolio optimization. Equifax posted strong sales gains, driven by improving consumer credit transactions.
Looking beyond the short-term volatility, Westwood has invested in what it believes are attractive investment opportunities in U.S. consumer-facing businesses. From household product companies to content-rich media companies to U.S. construction suppliers, Westwood has found companies with transparent free-cash-flow generation that has historically driven long-term investment outperformance of Westwood’s strategy. In contrast, yield-sensitive instruments like utilities are priced dearly today and appear relatively less attractive. Westwood believes that within relatively economically insulated businesses, healthcare looks opportune because there is growth outside of government-related reimbursement, with attractive valuations arising from headline pressures. As always, Westwood relies on its well-tested process of fundamental stock picking with a long-term view.
Killen
Killen managed its portion of the Fund from April 1, 2015 to Jan. 8, 2016. During this period, Killen underperformed the Russell 2500 Value Index.
Killen’s value-style strategy seeks overlooked and undervalued businesses. For the period that Killen managed its portion of the
Fund, it found contrarian investment opportunities in the consumer staples and industrial sectors. Killen’s economic view is that the overall U.S. economy continued to grow, but showed some signs of weakness as corporate profit margins pulled back. Additionally, a slowing Chinese economy weighed on stocks and weakened commodity prices. Killen sold out of more holdings than it added during the fiscal year because of the difficulty it encountered in identifying attractively priced, out-of-favor companies.
Over the past two years, and increasingly in 2015, global economic growth became less certain and financial markets more volatile. In Killen’s opinion, the volatility in stock prices has been magnified by the precipitous drop in the price of oil and other commodities. Furthermore, the impact of declining commodity prices upon the economies of countries such as Australia, Brazil, Canada, Russia, Saudi Arabia, and South Africa has resulted in a level of uncertainty that is unsettling to investors. One consequence has been the improved relative performance of assets with larger market capitalizations as compared to those with smaller market capitalizations.
This had a material negative effect on the prices of the small- and micro-cap stocks in Killen’s portion of the Fund during the fiscal year, as the average market capitalization of the stocks held by Killen was approximately $725 million, as compared to $990 million for the small-cap Russell 2000® Index and $37 billion for the large-cap S&P 500 Index.
Bebe Stores, a women’s apparel and accessories retailer, and Hallador Energy, a miner and producer of coal for the electric power generation industry, fell sharply and detracted from Killen’s portion of the Fund.
Bebe Stores suffered from out-of-favor styles that resulted in continued earnings losses and a deteriorating balance sheet. Killen sold Bebe as an expected management turnaround never took hold. Hallador Energy suffered from operating margin pressure caused by significant declines in the price of coal.
Granite Construction, a U.S. heavy civil construction contractor and construction materials producer, and Myriad Genetics, a molecular diagnostics company, contributed to performance within Killen’s portion of the Fund. Granite Construction benefited from a rising backlog, while Myriad Genetics gained from strong sales growth from its new myRisk Hereditary Cancer testing service.
Tocqueville
Tocqueville managed its portion of the Fund from April 1, 2015 to Jan. 8, 2016. During this period, Tocqueville underperformed the Russell 2500 Value Index.
Many of the holdings within Tocqueville’s portion of the Fund were in industrials and materials stocks, which were particularly vulnerable to
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Portfolio management reviews
Optimum Small-Mid Cap Value Fund
macroeconomic issues. While Tocqueville believes the internal operations of the companies it held in these sectors were generally satisfactory and their paths to value creation continued to progress, investors seemed to paint all companies with the same brush, and their market values declined. This industrial and material exposure was the largest detractor from Tocqueville’s performance. Lack of allocation to financials also hurt relative performance, as it was the benchmark’s strongest-performing sector, and represented nearly 40% of the benchmark.
Allegheny Technologies and Minerals Technologies were the two largest detractors. Allegheny was hurt by the collapse in commodity metals prices, while Minerals sold off because of business exposure to Chinese markets. Ingram Micro was the strongest individual contributor to performance of Tocqueville’s portion of the Fund. The company reported solid earnings throughout the year and made progress on its margin expansion targets. Avery Dennison was Tocqueville’s second strongest contributor. The stock benefited from good earnings performance, strong free cash flow, and cash allocation.
LSV
LSV began managing its portion of the Fund on Jan. 29, 2016. During this part of the Fund’s fiscal year, LSV’s portion of the Fund outpaced the Russell 2500 Value Index. Attribution suggests that the deep value positioning of LSV’s portion of the Fund was rewarded as value stocks performed better during the period. Stock selection was strong across sectors, particularly in the financials sector.
LSV believes that strong long-term results can be achieved by systematically exploiting the judgmental biases and behavioral weaknesses that influence the decisions of many investors.
Because LSV’s sector weights generally do not vary much from the benchmark weight, sector allocations generally have little effect on LSV’s performance. For the two-month period that LSV managed its portion of the Fund, an overweight allocation to materials and an underweight allocation to financials contributed to relative performance, as materials was the strongest-performing sector in the benchmark and financials had the second-lowest return in the benchmark.
The two largest contributors were Newport and ADT. Newport rose substantially and LSV’s portion of the Fund had a large overweight; ADT was up a fair bit and LSV had a sizeable overweight. Schweitzer-Mauduit International and Dean Foods were the two largest detractors. LSV’s portion of the Fund was overweight in both. These four stocks continue to look attractive in LSV’s model-driven stock ranking process and remain holdings in its portion of the Fund as of the end of the Fund’s fiscal year.
Overall, Optimum Small-Mid Cap Value Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
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Optimum Fixed Income Fund | March 31, 2016 | |
(Unaudited) |
The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com. Current performance may be lower or higher than the performance data quoted.
Fund and benchmark performance1,2
Average annual total returns through March 31, 2016 | 1 year | 5 years | 10 years | |||
Class A (Est. Aug. 1, 2003) | ||||||
Excluding sales charge | –0.63% | +2.82% | +4.96% | |||
Including sales charge | –5.12% | +1.88% | +4.48% | |||
Class C (Est. Aug. 1, 2003) | ||||||
Excluding sales charge | –1.39% | +2.11% | +4.26% | |||
Including sales charge | –2.36% | +2.11% | +4.26% | |||
Institutional Class (Est. Aug. 1, 2003) | ||||||
Excluding sales charge | –0.48% | +3.12% | +5.30% | |||
Including sales charge | –0.48% | +3.12% | +5.30% | |||
Barclays U.S. Aggregate Index | +1.96% | +3.78% | +4.89% |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Class A shares are sold with a maximum front-end sales charge of 4.50%, and have an annual distribution and service fee of 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 0.92% of the Fund’s average daily net assets from July 29, 2015, through July 29, 2016.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
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Performance summaries
Optimum Fixed Income Fund
Fund expense ratios | Class A | Class C | Institutional Class | |||
| ||||||
Total annual operating expenses (without fee waivers) | 1.17% | 1.92% | 0.92% | |||
Net expenses (including fee waivers, if any) | 1.17% | 1.92% | 0.92% | |||
Type of waiver | Contractual | Contractual | Contractual | |||
|
* The contractual waiver period is from July 29, 2015 to July 29, 2016. Prior to July 29, 2015, the contractual waiver was 0.95%.
Fixed income securities and bond funds can lose value, and investors can lose principal, as interest rates rise. They also may be affected by economic conditions that hinder an issuer’s ability to make interest and principal payments on its debt.
The Fund may also be subject to prepayment risk, the risk that the principal of a fixed income security that is held by the Fund may be prepaid prior to maturity, potentially forcing the Fund to reinvest that money at a lower interest rate.
High yielding, noninvestment grade bonds (junk bonds) involve higher risk than investment grade bonds. The high yield secondary market is particularly susceptible to liquidity problems when institutional investors, such as mutual funds and certain other financial institutions, temporarily stop buying bonds for regulatory, financial, or other reasons. In addition, a less liquid secondary market makes it more difficult for the Fund to obtain precise valuations of the high yield securities in its portfolio.
If and when we invest in forward foreign currency contracts or use other investments to hedge against currency risks, the Fund will be subject to special risks, including counterparty risk.
The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivative transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
The Fund may experience portfolio turnover in excess of 100%, which could result in higher transaction costs and tax liability.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2006 through March 31, 2016
Starting value (March 31, 2006) |
Ending value (March 31, 2016) | |||||||
| Optimum Fixed Income Fund — Institutional Class shares | $10,000 | $16,763 | |||||
| Barclays U.S. Aggregate Index | $10,000 | $16,127 | |||||
| Optimum Fixed Income Fund — Class A shares | $9,550 | $15,503 |
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2006, and includes the effect of a 4.50% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense
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limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table on page 16. Please note additional details on pages 15 through 17.
The graph also assumes $10,000 invested in the Barclays U.S. Aggregate Index as of March 31, 2006. The Barclays U.S. Aggregate Index measures the performance of publicly issued investment grade (Baa3/BBB- or better) corporate, U.S. government, mortgage- and asset-backed securities with at least one year to maturity and at least $250 million par amount outstanding.
The BofA Merrill Lynch 1–3 Year U.S. Treasury Index, mentioned on page 1, generally tracks the market for U.S. Treasury securities with maturities of one to three years.
Libor, mentioned on page 2, is a composite of the rates of interest at which banks borrow from one another in the London market, and it is a widely used benchmark for short-term interest rates.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
Nasdaq symbols |
CUSIPs | |||
Class A | OAFIX | 246118681 | ||
Class C | OCFIX | 246118665 | ||
Institutional Class | OIFIX | 246118657 |
(continues) 17
Table of Contents
Performance summaries
Optimum International Fund | March 31, 2016 | |
(Unaudited) |
The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com. Current performance may be lower or higher than the performance data quoted.
Fund and benchmark performance1,2
Average annual total returns through March 31, 2016
| 1 year
| 5 years
| 10 years
| |||||||
Class A (Est. Aug. 1, 2003) | ||||||||||
Excluding sales charge | –5.58% | +0.88% | +0.73% | |||||||
Including sales charge | –11.00% | –0.30% | +0.14% | |||||||
Class C (Est. Aug. 1, 2003) | ||||||||||
Excluding sales charge | –6.31% | +0.16% | +0.05% | |||||||
Including sales charge | –7.25% | +0.16% | +0.05% | |||||||
Institutional Class (Est. Aug. 1, 2003) | ||||||||||
Excluding sales charge | –5.38% | +1.19% | +1.06% | |||||||
Including sales charge | –5.38% | +1.19% | +1.06% | |||||||
MSCI EAFE Index (gross) | –7.87% | +2.76% | +2.27% | |||||||
MSCI EAFE Index (net) | –8.27% | +2.29% | +1.80% |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table below. Performance would have been lower had expense limitations not been in effect.
Class A shares are sold with a maximum front-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.25% of the Fund’s average daily net assets from July 29, 2015, through July 29, 2016.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
18
Table of Contents
Fund expense ratios | Class A | Class C | Institutional Class | |||
| ||||||
Total annual operating expenses (without fee waivers) | 1.47% | 2.22% | 1.22% | |||
Net expenses (including fee waivers, if any) | 1.47% | 2.22% | 1.22% | |||
Type of waiver | Contractual | Contractual | Contractual | |||
|
* The contractual waiver period is from July 29, 2015 to July 29, 2016. Prior to July 29, 2015, the contractual waiver was 1.25%.
International investments entail risks not ordinarily associated with U.S. investments including fluctuation in currency values, differences in accounting principles, or economic or political instability in other nations. Investing in emerging markets can be riskier than investing in established foreign markets due to increased volatility and lower trading volume.
The Funds may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivative transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
There is no guarantee that a dividend-paying stock will continue to pay dividends.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2006 through March 31, 2016
Starting value (March 31, 2006) |
Ending value (March 31, 2016) | |||||||
| MSCI EAFE Index (gross) | $10,000 | $12,515 | |||||
| MSCI EAFE Index (net) | $10,000 | $11,949 | |||||
| Optimum International Fund — Institutional Class shares | $10,000 | $11,110 | |||||
| Optimum International Fund — Class A shares | $9,425 | $10,137 |
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2006, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 18 through 20.
The graph also assumes $10,000 invested in the MSCI EAFE Index as of March 31, 2006. The MSCI EAFE Index measures equity market performance across developed market countries in Europe, Australasia, and the Far East. Index “gross” return approximates the maximum possible dividend reinvestment. Index “net” return approximates the minimum possible dividend reinvestment, after deduction of withholding tax at the highest possible rate.
(continues) 19
Table of Contents
Performance summaries
Optimum International Fund
Performance of a $10,000 Investment1 (continued)
The MSCI ACWI ex-U.S. Index, mentioned on page 4, is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance across developed and emerging markets worldwide, excluding the United States. Index “net” return approximates the minimum possible dividend reinvestment, after deduction of withholding tax at the highest possible rate.
The MSCI Emerging Markets Index, mentioned on page 4, is a free float-adjusted market capitalization index designed to measure equity market performance across emerging market countries worldwide. Index “net” return approximates the minimum possible dividend reinvestment, after deduction of withholding tax at the highest possible rate.
The Russell 1000 Index, mentioned on page 4, measures the performance of the large-cap segment of the U.S. equity universe.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
Nasdaq symbols |
CUSIPs | |||
Class A | OAIEX | 246118731 | ||
Class C | OCIEX | 246118715 | ||
Institutional Class | OIIEX | 246118699 |
20
Table of Contents
Optimum Large Cap Growth Fund | March 31, 2016 | |
(Unaudited) |
The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com. Current performance may be lower or higher than the performance data quoted.
Fund and benchmark performance1,2
Average annual total returns through March 31, 2016
| 1 year
| 5 years
| 10 years
| |||||||||
Class A (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –2.27% | +10.89% | +6.56% | |||||||||
Including sales charge | –7.91% | +9.58% | +5.94% | |||||||||
Class C (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –2.98% | +10.11% | +5.85% | |||||||||
Including sales charge | –3.85% | +10.11% | +5.85% | |||||||||
Institutional Class (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –2.00% | +11.21% | +6.91% | |||||||||
Including sales charge | –2.00% | +11.21% | +6.91% | |||||||||
Russell 1000 Growth Index | +2.52% | +12.38% | +8.28% |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Class A shares are sold with a maximum front-end sales charge of 5.75%, and have an annual distribution and service fee of 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.09% of the Fund’s average daily net assets from July 29, 2015, through July 29, 2016.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
(continues) 21
Table of Contents
Performance summaries
Optimum Large Cap Growth Fund
Fund expense ratios | Class A | Class C | Institutional Class | |||
| ||||||
Total annual operating expenses (without fee waivers) | 1.37% | 2.12% | 1.12% | |||
Net expenses (including fee waivers, if any) | 1.34% | 2.09% | 1.09% | |||
Type of waiver | Contractual | Contractual | Contractual | |||
|
* The contractual waiver period is from July 29, 2015 to July 29, 2016. Prior to July 29, 2015, the contractual waiver was 1.12%.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2006 through March 31, 2016
Starting value (March 31, 2006) |
Ending value (March 31, 2016) | |||||||
| Russell 1000 Growth Index | $10,000 | $22,164 | |||||
| Optimum Large Cap Growth Fund — Institutional Class shares | $10,000 | $19,507 | |||||
| Optimum Large Cap Growth Fund — Class A shares | $9,425 | $17,801 |
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2006, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 21 through 23.
The graph also assumes $10,000 invested in the Russell 1000 Growth Index as of March 31, 2006. The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values.
Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
22
Table of Contents
Stock symbols and CUSIP numbers
Nasdaq symbols |
CUSIPs | |||
Class A | OALGX | 246118707 | ||
Class C | OCLGX | 246118889 | ||
Institutional Class | OILGX | 246118871 |
(continues) 23
Table of Contents
Performance summaries
Optimum Large Cap Value Fund | March 31, 2016 | |
(Unaudited) |
The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com. Current performance may be lower or higher than the performance data quoted.
Fund and benchmark performance1,2
Average annual total returns through March 31, 2016
| 1 year
| 5 years
| 10 years
| |||||||||
Class A (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –4.54% | +7.75% | +5.02% | |||||||||
Including sales charge | –10.04% | +6.48% | +4.40% | |||||||||
Class C (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –5.19% | +6.99% | +4.32% | |||||||||
Including sales charge | –6.13% | +6.99% | +4.32% | |||||||||
Institutional Class (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –4.29% | +8.06% | +5.37% | |||||||||
Including sales charge | –4.29% | +8.06% | +5.37% | |||||||||
Russell 1000 Value Index | –1.54% | +10.25% | +5.72% |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Class A shares are sold with a maximum front-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.08% of the Fund’s average daily net assets from July 29, 2015, through July 29, 2016.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
24
Table of Contents
Fund expense ratios | Class A | Class C | Institutional Class | |||
| ||||||
Total annual operating expenses (without fee waivers) | 1.33% | 2.08% | 1.08% | |||
Net expenses (including fee waivers, if any) | 1.33% | 2.08% | 1.08% | |||
Type of waiver | Contractual | Contractual | Contractual | |||
|
*The contractual waiver period is from July 29, 2015 to July 29, 2016. Prior to July 29, 2015, the contractual waiver was 1.08%.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2006 through March 31, 2016
Starting value (March 31, 2006) |
Ending value (March 31, 2016) | |||||||
| Russell 1000 Value Index | $10,000 | $17,436 | |||||
| Optimum Large Cap Value Fund — Institutional Class shares | $10,000 | $16,876 | |||||
| Optimum Large Cap Value Fund — Class A shares | $9,425 | $15,386 |
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2006, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 24 through 26.
The graph also assumes $10,000 invested in the Russell 1000 Value Index as of March 31, 2006. The Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
(continues) 25
Table of Contents
Performance summaries
Optimum Large Cap Value Fund
Stock symbols and CUSIP numbers
Nasdaq symbols |
CUSIPs | |||
Class A | OALVX | 2461118863 | ||
Class C | OCLVX | 2461118848 | ||
Institutional Class | OILVX | 2461118830 |
26
Table of Contents
Optimum Small-Mid Cap Growth Fund | March 31, 2016 | |
(Unaudited) |
The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com. Current performance may be lower or higher than the performance data quoted.
Fund and benchmark performance1,2
Average annual total returns through March 31, 2016
| 1 year
| 5 years
| 10 years
| |||||||||
Class A (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –16.77% | +4.48% | +2.61% | |||||||||
Including sales charge | –21.56% | +3.24% | +2.01% | |||||||||
Class C (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –17.39% | +3.75% | +1.91% | |||||||||
Including sales charge | –18.09% | +3.75% | +1.91% | |||||||||
Institutional Class (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –16.54% | +4.80% | +2.94% | |||||||||
Including sales charge | –16.54% | +4.80% | +2.94% | |||||||||
Russell 2500 Growth Index | –9.57% | +8.77% | +6.99% |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Class A shares are sold with a maximum front-end sales charge of 5.75%, and have an annual distribution and service fee of 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.34% of the Fund’s average daily net assets from July 29, 2015, through July 29, 2016.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
(continues) 27
Table of Contents
Performance summaries
Optimum Small-Mid Cap Growth Fund
Fund expense ratios | Class A | Class C | Institutional Class | |||
| ||||||
Total annual operating expenses (without fee waivers) | 1.77% | 2.52% | 1.52% | |||
Net expenses (including fee waivers, if any) | 1.59% | 2.34% | 1.34% | |||
Type of waiver | Contractual | Contractual | Contractual | |||
|
*The contractual waiver period is from July 29, 2015 to July 29, 2016. Prior to July 29, 2015, the contractual waiver was 1.36%.
Investments in small and/or medium-sized companies typically exhibit greater risk and higher volatility than larger, more established companies.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2006 through March 31, 2016
Starting value (March 31, 2006) |
Ending value (March 31, 2016) | |||||||
| Russell 2500 Growth Index | $10,000 | $19,661 | |||||
| Optimum Small-Mid Cap Growth Fund — Institutional Class shares | $10,000 | $13,357 | |||||
| Optimum Small-Mid Cap Growth Fund — Class A shares | $9,425 | $12,198 |
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2006, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 27 through 29.
The graph also assumes $10,000 invested in the Russell 2500 Growth Index as of March 31, 2006. The Russell 2500 Growth Index measures the performance of the small- to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500 companies with higher price-to-book ratios and higher forecasted growth values.
Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® Investment Group.
The S&P 500 Index, mentioned on page 10, measures the performance of 500 mostly large-cap stocks weighted by market value, and is often used to represent performance of the U.S. stock market.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
28
Table of Contents
Stock symbols and CUSIP numbers
Nasdaq symbols |
CUSIPs | |||
Class A | OASGX | 246118822 | ||
Class C | OCSGX | 246118798 | ||
Institutional Class | OISGX | 246118780 |
(continues) 29
Table of Contents
Performance summaries
Optimum Small-Mid Cap Value Fund (Unaudited) | March 31, 2016 |
The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so your shares, when redeemed, may be worth more or less than their original cost. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com. Current performance may be lower or higher than the performance data quoted.
Fund and benchmark performance1,2
Average annual total returns through March 31, 2016
| 1 year
| 5 years
| 10 years
| |||||||||
Class A (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –11.96% | +4.03% | +2.77% | |||||||||
Including sales charge | –17.01% | +2.81% | +2.16% | |||||||||
Class C (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –12.62% | +3.32% | +2.08% | |||||||||
Including sales charge | –13.45% | +3.32% | +2.08% | |||||||||
Institutional Class (Est. Aug. 1, 2003) | ||||||||||||
Excluding sales charge | –11.67% | +4.34% | +3.11% | |||||||||
Including sales charge | –11.67% | +4.34% | +3.11% | |||||||||
Russell 2500 Value Index | –5.20% | +8.33% | +5.80% |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Class A shares are sold with a maximum front-end sales charge of 5.75%, and have an annual distribution and service fee of 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that no front-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
Institutional Class shares are available without sales or asset-based distribution charges only to certain eligible institutional accounts.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2 The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any 12b-1 fees and certain other expenses) from exceeding 1.27% of the Fund’s average daily net assets from July 29, 2015, through July 29, 2016.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
30
Table of Contents
Fund expense ratios | Class A | Class C | Institutional Class | |||
| ||||||
Total annual operating expenses (without fee waivers) | 1.68% | 2.43% | 1.43% | |||
Net expenses (including fee waivers, if any) | 1.52% | 2.27% | 1.27% | |||
Type of waiver | Contractual | Contractual | Contractual | |||
|
*The contractual waiver period is from July 29, 2015 to July 29, 2016. Prior to July 29, 2015, the contractual waiver was 1.35%.
Investing involves risk, including the possible loss of principal.
Investments in small and/or medium-sized companies typically exhibit greater risk and higher volatility than larger, more established companies.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2006 through March 31, 2016
Starting value (March 31, 2006) |
Ending value (March 31, 2016) | |||||||
| Russell 2500 Value Index | $10,000 | $17,568 | |||||
| Optimum Small-Mid Cap Value Fund — Institutional Class shares | $10,000 | $13,581 | |||||
| Optimum Small-Mid Cap Value Fund — Class A shares | $9,425 | $12,384 |
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2006, and includes the effect of a 5.75% front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 30 through 32.
The graph also assumes $10,000 invested in the Russell 2500 Value Index as of March 31, 2006. The Russell 2500 Value Index measures the performance of the small- to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500 companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, mentioned on page 12, measures the performance of 500 mostly large-cap stocks weighted by market value, and is often used to represent performance of the U.S. stock market.
Russell Investment Group is the source and owner of the trademarks, service marks, and copyrights related to the Russell Index. Russell® is a trademark of Russell Investment Group.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index. Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
(continues) 31
Table of Contents
Performance summaries
Optimum Small-Mid Cap Value Fund
Stock symbols and CUSIP numbers
Nasdaq symbols |
CUSIPs | |||
Class A | OASVX | 246118772 | ||
Class C | OCSVX | 246118756 | ||
Institutional Class | OISVX | 246118749 |
32
Table of Contents
For the six-month period from October 1, 2015 to March 31, 2016 (Unaudited)
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. These following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from Oct. 1, 2015 to March 31, 2016.
Actual Expenses
The first section of the tables shown, “Actual Fund Return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second section of the tables shown, “Hypothetical 5% Return,” provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second section of each table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. Each Fund’s expenses shown in the tables reflect fee waivers in effect. The expenses shown in each table assume reinvestment of all dividends and distributions.
Optimum Fixed Income Fund
Expense analysis of an investment of $1,000
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratio | Expenses Paid During Period 10/1/15 to 3/31/16* | |||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $1,000.00 | $1,014.60 | 1.29% | $ 6.50 | ||||||||||
Class C | 1,000.00 | 1,011.10 | 2.04% | 10.26 | ||||||||||
Institutional Class | 1,000.00 | 1,016.10 | 1.04% | 5.24 | ||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $1,000.00 | $1,018.55 | 1.29% | $ 6.51 | ||||||||||
Class C | 1,000.00 | 1,014.80 | 2.04% | 10.28 | ||||||||||
Institutional Class | 1,000.00 | 1,019.80 | 1.04% | 5.25 |
Optimum International Fund
Expense analysis of an investment of $1,000
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratio | Expenses Paid During Period 10/1/15 to 3/31/16* | |||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $1,000.00 | $1,035.70 | 1.62% | $ 8.24 | ||||||||||
Class C | 1,000.00 | 1,031.90 | 2.37% | 12.04 | ||||||||||
Institutional Class | 1,000.00 | 1,037.20 | 1.37% | 6.98 | ||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $1,000.00 | $1,016.90 | 1.62% | $ 8.17 | ||||||||||
Class C | 1,000.00 | 1,013.15 | 2.37% | 11.93 | ||||||||||
Institutional Class | 1,000.00 | 1,018.15 | 1.37% | 6.91 |
(continues) 33
Table of Contents
Disclosure of Fund expenses
Optimum Large Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratio | Expenses Paid During Period 10/1/15 to 3/31/16* | |||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $1,000.00 | $1,033.80 | 1.48% | $ 7.53 | ||||||||||
Class C | 1,000.00 | 1,030.20 | 2.23% | 11.32 | ||||||||||
Institutional Class | 1,000.00 | 1,034.80 | 1.23% | 6.26 | ||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $1,000.00 | $1,017.60 | 1.48% | $ 7.47 | ||||||||||
Class C | 1,000.00 | 1,013.85 | 2.23% | 11.23 | ||||||||||
Institutional Class | 1,000.00 | 1,018.85 | 1.23% | 6.21 |
Optimum Large Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratio | Expenses Paid During Period 10/1/15 to 3/31/16* | |||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $1,000.00 | $1,044.70 | 1.47% | $ 7.51 | ||||||||||
Class C | 1,000.00 | 1,040.70 | 2.22% | 11.33 | ||||||||||
Institutional Class | 1,000.00 | 1,045.80 | 1.22% | 6.24 | ||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $1,000.00 | $1,017.65 | 1.47% | $ 7.41 | ||||||||||
Class C | 1,000.00 | 1,013.90 | 2.22% | 11.18 | ||||||||||
Institutional Class | 1,000.00 | 1,018.90 | 1.22% | 6.16 |
Optimum Small-Mid Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratio | Expenses Paid During Period 10/1/15 to 3/31/16* | |||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $1,000.00 | $ 940.70 | 1.71% | $ 8.30 | ||||||||||
Class C | 1,000.00 | 936.90 | 2.46% | 11.91 | ||||||||||
Institutional Class | 1,000.00 | 941.70 | 1.46% | 7.09 | ||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $1,000.00 | $1,016.45 | 1.71% | $ 8.62 | ||||||||||
Class C | 1,000.00 | 1,012.70 | 2.46% | 12.38 | ||||||||||
Institutional Class | 1,000.00 | 1,017.70 | 1.46% | 7.36 |
Optimum Small-Mid Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 10/1/15 | Ending Account Value 3/31/16 | Annualized Expense Ratio | Expenses Paid During Period 10/1/15 to 3/31/16* | |||||||||||
Actual Fund return† |
| |||||||||||||
Class A | $1,000.00 | $1,015.20 | 1.65% | $ 8.31 | ||||||||||
Class C | 1,000.00 | 1,011.10 | 2.40% | 12.07 | ||||||||||
Institutional Class | 1,000.00 | 1,016.10 | 1.40% | 7.06 | ||||||||||
Hypothetical 5% return (5% return before expenses) |
| |||||||||||||
Class A | $1,000.00 | $1,016.75 | 1.65% | $ 8.32 | ||||||||||
Class C | 1,000.00 | 1,013.00 | 2.40% | 12.08 | ||||||||||
Institutional Class | 1,000.00 | 1,018.00 | 1.40% | 7.06 |
*“Expenses Paid During Period” are equal to the relevant Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
34
Table of Contents
Security type / sector allocations
Optimum Fixed Income Fund
As of March 31, 2016 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Security type / sector | Percentage of net assets | |||
Agency Collateralized Mortgage Obligations | 5.69% | |||
Agency Mortgage-Backed Securities | 26.05% | |||
Agency Obligation | 0.05% | |||
Collateralized Debt Obligations | 1.80% | |||
Commercial Mortgage-Backed Securities | 4.59% | |||
Convertible Bonds | 0.71% | |||
Corporate Bonds | 35.10% | |||
Banking | 10.97% | |||
Basic Industry | 1.12% | |||
Brokerage | 0.31% | |||
Capital Goods | 0.74% | |||
Communications | 4.09% | |||
Consumer Cyclical | 3.30% | |||
Consumer Non-Cyclical | 3.13% | |||
Energy | 1.56% | |||
Finance Companies | 1.47% | |||
Insurance | 0.74% | |||
Natural Gas | 0.98% | |||
Real Estate | 1.44% | |||
Technology | 0.86% | |||
Transportation | 0.84% | |||
Utilities | 3.55% |
Security type / sector | Percentage of net assets | |||
Municipal Bonds | 1.90% | |||
Non-Agency Asset-Backed Securities | 4.82% | |||
Non-Agency Collateralized Mortgage Obligations | 2.57% | |||
Regional Bonds | 0.17% | |||
Senior Secured Loans | 4.53% | |||
Sovereign Bonds | 2.56% | |||
Supranational Banks | 0.55% | |||
U.S. Treasury Obligations | 18.87% | |||
Common Stock | 0.00% | |||
Convertible Preferred Stock | 0.11% | |||
Preferred Stock | 0.27% | |||
Options Purchased | 0.01% | |||
Short-Term Investments | 10.00% | |||
Total Value of Securities | 120.35% | |||
Options Written | (0.04%) | |||
Liabilities Net of Receivables and Other Assets | (20.31%) | |||
Total Net Assets | 100.00% |
(continues) 35
Table of Contents
Security type / country and sector allocations
Optimum International Fund
As of March 31, 2016 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Security type / country | Percentage of net assets | |||
Common Stock by Country | 98.30% | |||
Australia | 3.12% | |||
Austria | 2.69% | |||
Belgium | 0.54% | |||
Bermuda | 1.75% | |||
Brazil | 1.44% | |||
Canada | 4.10% | |||
China/Hong Kong | 4.82% | |||
Colombia | 0.49% | |||
Czech Republic | 0.57% | |||
Denmark | 0.87% | |||
Finland | 0.85% | |||
France | 4.30% | |||
Germany | 3.10% | |||
India | 2.96% | |||
Indonesia | 1.01% | |||
Ireland | 2.47% | |||
Israel | 2.80% | |||
Italy | 0.43% | |||
Japan | 18.43% | |||
Netherlands | 2.71% | |||
New Zealand | 0.49% | |||
Norway | 2.60% | |||
Peru | 1.00% | |||
Republic of Korea | 3.36% | |||
Singapore | 2.47% | |||
Spain | 1.55% | |||
Sweden | 1.20% | |||
Switzerland | 5.77% | |||
Taiwan | 3.00% |
Security type / country | Percentage of net assets | |||
Thailand | 0.25% | |||
Turkey | 1.20% | |||
United Kingdom | 13.02% | |||
United States | 2.94% | |||
Short-Term Investments | 1.02% | |||
Securities Lending Collateral | 4.02% | |||
Total Value of Securities | 103.34% | |||
Obligation to Return Securities Lending Collateral | (4.02%) | |||
Receivables and Other Assets Net of Liabilities | 0.68% | |||
Total Net Assets | 100.00% | |||
Common stock by sector | Percentage of net assets | |||
Consumer Discretionary | 12.66% | |||
Consumer Staples | 6.99% | |||
Diversified REITs | 0.17% | |||
Energy | 8.44% | |||
Financials | 20.03% | |||
Healthcare | 15.20% | |||
Industrials | 9.00% | |||
Information Technology | 9.38% | |||
Materials | 6.26% | |||
Telecommunication Services | 5.95% | |||
Utilities | 4.22% | |||
Total | 98.30% |
36
Table of Contents
Security type / sector allocations and top 10 equity holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Optimum Large Cap Growth Fund | ||||
As of March 31, 2016 (Unaudited) | ||||
Security type / sector | Percentage of net assets | |||
Common Stock² | 96.35% | |||
Consumer Discretionary | 21.92% | |||
Consumer Staples | 5.48% | |||
Energy | 0.77% | |||
Financials | 4.54% | |||
Healthcare | 18.30% | |||
Industrials | 10.38% | |||
Information Technology1 | 32.27% | |||
Materials | 1.32% | |||
Telecommunication Services | 1.37% | |||
Convertible Preferred Stock | 0.48% | |||
U.S. Master Limited Partnerships | 0.47% | |||
Short-Term Investments | 2.68% | |||
Total Value of Securities | 99.98% | |||
Receivables and Other Assets Net of Liabilities | 0.02% | |||
Total Net Assets | 100.00% |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
Optimum Large Cap Value Fund | ||||
As of March 31, 2016 (Unaudited) | ||||
Security type / sector | Percentage of net assets | |||
Common Stock | 97.72% | |||
Consumer Discretionary | 6.90% | |||
Consumer Staples | 10.64% | |||
Energy | 9.61% | |||
Financials | 24.73% | |||
Healthcare | 11.24% | |||
Industrials | 14.28% | |||
Information Technology | 12.88% | |||
Materials | 4.82% | |||
Telecommunication Services | 1.06% | |||
Utilities | 1.56% | |||
Short-Term Investments | 2.07% | |||
Total Value of Securities | 99.79% | |||
Receivables and Other Assets Net of Liabilities | 0.21% | |||
Total Net Assets | 100.00% |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Alphabet Class C | 5.22% | |||
Amazon.com | 5.10% | |||
Facebook Class A | 4.54% | |||
Apple | 3.91% | |||
Microsoft | 3.81% | |||
Visa Class A | 2.68% | |||
Allergan | 2.43% | |||
Priceline Group | 1.89% | |||
Alphabet Class A | 1.81% | |||
Honeywell International
|
| 1.69%
|
|
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Philip Morris International | 3.53% | |||
Accenture Class A (Ireland) | 2.64% | |||
United Parcel Service Class B | 2.33% | |||
Lockheed Martin | 2.28% | |||
JPMorgan Chase | 2.24% | |||
Altria Group | 2.13% | |||
Johnson & Johnson | 1.90% | |||
TJX | 1.88% | |||
CBOE Holdings | 1.70% | |||
American Express
|
| 1.65%
|
|
(continues) 37
Table of Contents
Security type / sector allocations and top 10 equity holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Optimum Small-Mid Cap Growth Fund | ||||
As of March 31, 2016 (Unaudited) | ||||
Security type / sector | Percentage of net assets | |||
Common Stock² | 93.00% | |||
Consumer Discretionary | 17.02% | |||
Consumer Staples | 0.66% | |||
Energy | 2.40% | |||
Financials | 11.44% | |||
Healthcare | 18.39% | |||
Industrials | 15.29% | |||
Information Technology2 | 25.19% | |||
Materials | 1.85% | |||
Telecommunication Services
|
| 0.76%
|
| |
Convertible Preferred Stock | 1.32% | |||
Exchange-Traded Fund | 0.65% | |||
Short-Term Investments | 4.96% | |||
Total Value of Securities | 99.93% | |||
Receivables and Other Assets Net of Liabilities | 0.07% | |||
Total Net Assets | 100.00% |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
CoStar Group | 1.75% | |||
Middleby | 1.50% | |||
WNS Holdings ADR | 1.47% | |||
Toro | 1.32% | |||
MarketAxess Holdings | 1.29% | |||
Drew Industries | 1.20% | |||
Panera Bread Class A | 1.20% | |||
Mellanox Technologies (Israel) | 1.13% | |||
Guidewire Software | 1.12% | |||
Associated Banc-Corp
|
| 1.12%
|
|
Optimum Small-Mid Cap Value Fund | ||||
As of March 31, 2016 (Unaudited) | ||||
Security type / sector | Percentage of net assets | |||
Common Stock² | 96.73% | |||
Consumer Discretionary | 14.30% | |||
Consumer Staples | 4.30% | |||
Energy | 3.27% | |||
Financials3 | 25.82% | |||
Healthcare | 8.51% | |||
Industrials | 13.71% | |||
Information Technology | 15.10% | |||
Materials | 6.16% | |||
Telecommunication Services | 0.77% | |||
Utilities
|
| 4.79%
|
| |
Short-Term Investments | 2.92% | |||
Total Value of Securities | 99.65% | |||
Receivables and Other Assets Net of Liabilities | 0.35% | |||
Total Net Assets | 100.00% |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Pitney Bowes | 1.54% | |||
Huntington Ingalls Industries | 1.27% | |||
Amdocs | 1.21% | |||
Patterson | 1.18% | |||
Booz Allen Hamilton Holding | 1.18% | |||
j2 Global | 1.17% | |||
Energizer Holdings | 1.12% | |||
Teleflex | 1.09% | |||
PolyOne | 1.06% | |||
Cooper
|
| 1.05%
|
|
38
Table of Contents
1To monitor compliance with Optimum Large Cap Growth Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940 (1940 Act)). The Information Technology sector consisted of diversified financial services, commercial services, computers, internet and telecommunications, semiconductors, and software. As of March 31, 2016, such amounts, as percentage of total net assets, were 4.07%, 0.60%, 3.96%, 14.25%, 1.85%, and 7.54%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Information Technology sector for financial reporting purposes may exceed 25%.
2To monitor compliance with Optimum Small-Mid Cap Growth Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the 1940 Act). The Information Technology sector consisted of commercial services, computers, electrical components & equipment, internet, semiconductors, software, and telecommunications. As of March 31, 2016, such amounts, as percentage of total net assets, were 3.06%, 5.27%, 1.98%, 2.21%, 3.41%, 8.50%, and 0.76% respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Information Technology sector for financial reporting purposes may exceed 25%.
3To monitor compliance with Optimum Small-Mid Cap Value Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Industrials sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the 1940 Act). The Financials sector consisted of banks, diversified financial services, insurance, investment companies, real estate investment trust, and savings and loans. As of March 31, 2016, such amounts, as percentage of total net assets, were 9.05%, 0.30%, 6.17%, 0.74%, 8.65%, and 0.91%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Financials sector for financial reporting purposes may exceed 25%.
(continues) 39
Table of Contents
Optimum Fixed Income Fund
March 31, 2016
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations – 5.69% |
| |||||||
| ||||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2015-C03 1M1 1.933% 7/25/25 ● | 276,761 | $ | 277,012 | |||||
Series 2015-C03 2M1 1.933% 7/25/25 ● | 260,318 | 260,277 | ||||||
Series 2015-C04 2M1 2.133% 4/25/28 ● | 121,046 | 121,184 | ||||||
Series 2016-C02 1M1 2.585% 9/25/28 ● | 35,000 | 35,038 | ||||||
Fannie Mae Grantor Trust | ||||||||
Series 1999-T2 A1 7.50% 1/19/39 ● | 11,298 | 12,946 | ||||||
Series 2002-T4 A3 7.50% 12/25/41 | 40,043 | 46,982 | ||||||
Series 2004-T1 1A2 6.50% 1/25/44 | 12,131 | 13,863 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series 2004-W4 A5 5.50% 6/25/34 | 1,256,278 | 1,313,524 | ||||||
Series 2004-W11 1A2 6.50% 5/25/44 | 60,681 | 72,694 | ||||||
Fannie Mae REMICs | ||||||||
Series 1996-46 ZA 7.50% 11/25/26 | 8,247 | 9,351 | ||||||
Series 1999-19 PH 6.00% 5/25/29 | 146,661 | 167,180 | ||||||
Series 2001-14 Z 6.00% 5/25/31 | 8,821 | 10,102 | ||||||
Series 2002-90 A1 6.50% 6/25/42 | 10,619 | 12,470 | ||||||
Series 2002-90 A2 6.50% 11/25/42 | 35,332 | 40,140 | ||||||
Series 2003-26 AT 5.00% 11/25/32 | 52,378 | 52,985 | ||||||
Series 2005-70 PA 5.50% 8/25/35 | 85,311 | 96,978 | ||||||
Series 2005-110 MB 5.50% 9/25/35 | 93,350 | 99,683 | ||||||
Series 2007-30 OE 3.793% 4/25/37 @W^ | 4,085,772 | 3,794,478 | ||||||
Series 2007-114 A6 0.633% 10/27/37 ● | 4,354,940 | 4,335,588 | ||||||
Series 2008-15 SB 6.167% 8/25/36 ●S | 179,840 | 37,771 | ||||||
Series 2008-24 ZA 5.00% 4/25/38 | 18,665,512 | 20,890,284 | ||||||
Series 2009-2 AS 5.267% 2/25/39 @●S | 1,779,480 | 242,298 | ||||||
Series 2009-68 SA 6.317% 9/25/39 @●S | 402,042 | 73,712 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
Fannie Mae REMICs | ||||||||
Series 2009-94 AC 5.00% 11/25/39 | 250,192 | $ | 275,380 | |||||
Series 2010-41 PN 4.50% 4/25/40 | 475,000 | 521,003 | ||||||
Series 2010-43 HJ 5.50% 5/25/40 | 138,343 | 156,983 | ||||||
Series 2010-96 DC 4.00% 9/25/25 | 664,290 | 706,709 | ||||||
Series 2010-123 FE 0.913% 11/25/40 ● | 3,032,125 | 3,051,678 | ||||||
Series 2010-129 SM 5.567% 11/25/40 ●S | 1,429,026 | 235,911 | ||||||
Series 2011-15 SA 6.627% 3/25/41 ●S | 1,446,417 | 311,167 | ||||||
Series 2011-118 DC 4.00% 11/25/41 | 1,755,193 | 1,853,571 | ||||||
Series 2012-98 MI 3.00% 8/25/31 S | 2,045,374 | 207,830 | ||||||
Series 2012-122 SD 5.667% 11/25/42 ●S | 1,856,129 | 428,311 | ||||||
Series 2013-38 AI 3.00% 4/25/33 S | 1,969,015 | 255,152 | ||||||
Series 2013-43 IX 4.00% 5/25/43 S | 5,347,179 | 1,247,097 | ||||||
Series 2013-44 DI 3.00% 5/25/33 S | 3,022,699 | 393,652 | ||||||
Series 2013-55 AI 3.00% 6/25/33 S | 2,312,395 | 302,320 | ||||||
Series 2014-36 ZE 3.00% 6/25/44 | 641,276 | 602,447 | ||||||
Series 2014-68 BS 5.717% 11/25/44 ●S | 1,969,259 | 382,060 | ||||||
Series 2014-90 SA 5.717% 1/25/45 ●S | 5,510,358 | 1,213,979 | ||||||
Series 2015-27 SA 6.017% 5/25/45 ●S | 735,224 | 162,418 | ||||||
Series 2015-44 Z 3.00% 9/25/43 | 1,580,112 | 1,549,111 | ||||||
Fannie Mae Whole Loan Trust | ||||||||
Series 2004-W15 1A1 6.00% 8/25/44 | 59,251 | 66,108 | ||||||
Freddie Mac REMICs | ||||||||
Series 1730 Z 7.00% 5/15/24 | 41,606 | 46,929 | ||||||
Series 2165 PE 6.00% 6/15/29 | 120,339 | 137,639 | ||||||
Series 2326 ZQ 6.50% 6/15/31 | 67,465 | 76,147 | ||||||
Series 2557 WE 5.00% 1/15/18 | 99,099 | 101,586 |
40
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
Freddie Mac REMICs | ||||||||
Series 2827 TE 5.00% 4/15/33 | 33,156 | $ | 33,276 | |||||
Series 3143 BC 5.50% 2/15/36 | 2,949,463 | 3,317,949 | ||||||
Series 3289 SA 6.314% 3/15/37 @●S | 1,341,965 | 257,240 | ||||||
Series 3656 PM 5.00% 4/15/40 | 511,644 | 568,551 | ||||||
Series 4065 DE 3.00% 6/15/32 | 120,000 | 125,830 | ||||||
Series 4109 AI 3.00% 7/15/31 S | 800,537 | 82,631 | ||||||
Series 4120 IK 3.00% 10/15/32 S | 2,951,374 | 369,182 | ||||||
Series 4146 IA 3.50% 12/15/32 S | 1,560,809 | 236,233 | ||||||
Series 4159 KS 5.714% 1/15/43 ●S | 1,346,687 | 327,817 | ||||||
Series 4181 DI 2.50% 3/15/33 S | 939,330 | 107,437 | ||||||
Series 4185 LI 3.00% 3/15/33 S | 739,147 | 98,481 | ||||||
Series 4191 CI 3.00% 4/15/33 S | 308,214 | 37,959 | ||||||
Series 4435 DY 3.00% 2/15/35 | 1,305,000 | 1,332,296 | ||||||
Series 4453 DI 3.50% 11/15/33 S | 772,434 | 82,868 | ||||||
Freddie Mac Strips | ||||||||
Series 267 S5 5.564% 8/15/42 ●S | 2,000,847 | 430,076 | ||||||
Series 299 S1 5.564% 1/15/43 ●S | 1,515,509 | 337,405 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2015-DNA1 M1 1.333% 10/25/27 ● | 458,354 | 456,963 | ||||||
Series 2015-DNA3 M1 1.783% 4/25/28 ● | 311,410 | 311,915 | ||||||
Freddie Mac Structured Pass Through Securities | ||||||||
Series T-54 2A 6.50% 2/25/43 ¨ | 17,771 | 21,349 | ||||||
Series T-58 2A 6.50% 9/25/43 ¨ | 9,215 | 10,881 | ||||||
GNMA | ||||||||
Series 2008-65 SB 5.568% 8/20/38 @●S | 1,238,318 | 207,142 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
GNMA | ||||||||
Series 2009-2 SE 5.388% 1/20/39 @●S | 3,603,720 | $ | 585,048 | |||||
Series 2010-113 KE 4.50% 9/20/40 | 1,170,000 | 1,324,563 | ||||||
Series 2011-H21 FT 1.17% 10/20/61 ● | 12,081,375 | 12,097,829 | ||||||
Series 2011-H23 FA 1.125% 10/20/61 ● | 8,075,041 | 8,055,655 | ||||||
Series 2012-H08 FB 1.025% 3/20/62 ● | 1,231,988 | 1,224,330 | ||||||
Series 2012-H18 NA 0.945% 8/20/62 ● | 719,604 | 713,079 | ||||||
Series 2012-H29 SA 0.94% 10/20/62 ● | 5,671,773 | 5,606,179 | ||||||
Series 2015-133 AL 3.00% 5/20/45 | 1,725,000 | 1,707,266 | ||||||
Series 2015-H10 FA 1.025% 4/20/65 ● | 17,335,011 | 16,939,215 | ||||||
Series 2015-H11 FC 0.975% 5/20/65 ● | 2,240,361 | 2,182,754 | ||||||
Series 2015-H12 FB 1.025% 5/20/65 ● | 8,784,756 | 8,704,347 | ||||||
Series 2015-H20 FB 1.025% 8/20/65 ● | 2,292,802 | 2,238,425 | ||||||
Series 2016-H06 FD 1.345% 7/20/65 ● | 2,300,000 | 2,289,219 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations | 118,723,118 | |||||||
|
| |||||||
| ||||||||
Agency Mortgage-Backed Securities – 26.05% |
| |||||||
| ||||||||
Fannie Mae | ||||||||
5.50% 3/1/37 | 27,274 | 30,029 | ||||||
5.50% 7/1/37 | 171,150 | 186,753 | ||||||
6.50% 8/1/17 | 3,563 | 3,623 | ||||||
Fannie Mae ARM | ||||||||
2.113% 7/1/37 ● | 73,943 | 77,869 | ||||||
2.411% 5/1/43 ● | 432,679 | 443,959 | ||||||
2.496% 11/1/35 ● | 52,026 | 55,051 | ||||||
2.553% 6/1/43 ● | 147,392 | 151,496 | ||||||
2.576% 8/1/35 ● | 17,045 | 17,938 | ||||||
2.913% 7/1/45 ● | 295,405 | 305,216 | ||||||
3.082% 4/1/44 ● | 1,651,969 | 1,721,249 | ||||||
3.204% 4/1/44 ● | 467,721 | 488,580 | ||||||
3.241% 3/1/44 ● | 607,728 | 636,109 | ||||||
3.276% 9/1/43 ● | 388,315 | 406,445 | ||||||
6.099% 8/1/37 ● | 35,842 | 35,968 | ||||||
Fannie Mae Relocation 30 yr | ||||||||
5.00% 11/1/33 | 743 | 805 |
(continues) 41
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae Relocation 30 yr | ||||||||
5.00% 1/1/34 | 2,018 | $ | 2,137 | |||||
5.00% 11/1/34 | 8,045 | 8,734 | ||||||
5.00% 4/1/35 | 6,605 | 7,091 | ||||||
5.00% 10/1/35 | 10,377 | 11,364 | ||||||
5.00% 1/1/36 | 17,551 | 19,173 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
2.50% 10/1/27 | 110,521 | 113,990 | ||||||
2.50% 12/1/27 | 290,726 | 299,870 | ||||||
2.50% 4/1/28 | 178,029 | 184,259 | ||||||
2.50% 9/1/28 | 400,100 | 414,837 | ||||||
3.00% 9/1/30 | 871,910 | 912,821 | ||||||
3.00% 2/1/31 | 558,678 | 585,007 | ||||||
3.00% 3/1/31 | 926,000 | 969,867 | ||||||
3.50% 7/1/26 | 268,503 | 283,614 | ||||||
3.50% 12/1/28 | 121,898 | 129,896 | ||||||
4.00% 5/1/24 | 1,710,799 | 1,819,997 | ||||||
4.00% 7/1/24 | 8,792 | 9,354 | ||||||
4.00% 5/1/25 | 178,383 | 190,183 | ||||||
4.00% 7/1/25 | 616,873 | 659,374 | ||||||
4.00% 9/1/25 | 21,253 | 22,652 | ||||||
4.00% 11/1/25 | 899,188 | 959,962 | ||||||
4.00% 1/1/26 | 24,385 | 26,068 | ||||||
4.00% 12/1/26 | 298,274 | 318,847 | ||||||
4.00% 1/1/27 | 22,755 | 24,326 | ||||||
4.00% 5/1/27 | 666,462 | 713,275 | ||||||
4.00% 8/1/27 | 389,597 | 416,325 | ||||||
4.50% 8/1/18 | 42,065 | 43,512 | ||||||
4.50% 7/1/20 | 141,743 | 147,110 | ||||||
5.00% 12/1/20 | 33,727 | 36,039 | ||||||
5.00% 6/1/23 | 61,219 | 65,288 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
3.00% 2/1/33 | 53,512 | 55,770 | ||||||
3.00% 8/1/33 | 194,384 | 202,950 | ||||||
3.00% 1/1/36 | 2,300,267 | 2,383,099 | ||||||
3.50% 4/1/33 | 52,704 | 55,734 | ||||||
3.50% 9/1/33 | 280,410 | 298,797 | ||||||
4.00% 1/1/31 | 90,769 | 97,766 | ||||||
4.00% 2/1/31 | 254,378 | 274,041 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 7/1/42 | 366,453 | 376,703 | ||||||
3.00% 10/1/42 | 225,087 | 231,756 | ||||||
3.00% 12/1/42 | 956,162 | 983,016 | ||||||
3.00% 1/1/43 | 2,186,206 | 2,247,554 | ||||||
3.00% 2/1/43 | 233,770 | 240,334 | ||||||
3.00% 4/1/43 | 1,663,754 | 1,710,346 | ||||||
3.00% 5/1/43 | 347,849 | 357,555 | ||||||
4.00% 10/1/40 | 33,745 | 36,153 | ||||||
4.00% 11/1/40 | 204,825 | 219,453 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
4.00% 7/1/41 | 674,734 | $ | 725,148 | |||||
4.00% 8/1/43 | 164,822 | 177,340 | ||||||
4.00% 7/1/44 | 706,003 | 761,953 | ||||||
4.50% 5/1/35 | 130,171 | 142,751 | ||||||
4.50% 8/1/35 | 253,918 | 277,333 | ||||||
4.50% 9/1/35 | 205,999 | 225,018 | ||||||
4.50% 7/1/36 | 119,012 | 129,883 | ||||||
4.50% 6/1/38 | 484,465 | 529,664 | ||||||
4.50% 4/1/39 | 2,673,969 | 2,918,318 | ||||||
4.50% 5/1/39 | 867,719 | 945,148 | ||||||
4.50% 6/1/39 | 1,044,857 | 1,138,346 | ||||||
4.50% 11/1/39 | 540,599 | 596,285 | ||||||
4.50% 4/1/40 | 48,518 | 52,951 | ||||||
4.50% 11/1/40 | 277,501 | 302,813 | ||||||
4.50% 2/1/41 | 2,312,843 | 2,524,716 | ||||||
4.50% 3/1/41 | 346,284 | 377,958 | ||||||
4.50% 4/1/41 | 876,456 | 956,432 | ||||||
4.50% 8/1/41 | 301,209 | 333,894 | ||||||
4.50% 10/1/41 | 1,814,635 | 1,981,465 | ||||||
4.50% 12/1/41 | 1,512,321 | 1,649,683 | ||||||
4.50% 1/1/42 | 9,340,828 | 10,191,320 | ||||||
4.50% 1/1/43 | 943,625 | 1,028,913 | ||||||
4.50% 9/1/43 | 785,823 | 857,139 | ||||||
4.50% 6/1/44 | 3,464,210 | 3,782,017 | ||||||
4.50% 8/1/44 | 6,404,494 | 6,974,465 | ||||||
4.50% 10/1/44 | 2,865,827 | 3,129,806 | ||||||
4.50% 1/1/45 | 2,247,591 | 2,445,427 | ||||||
4.50% 2/1/45 | 6,314,138 | 6,891,967 | ||||||
5.00% 3/1/34 | 3,750 | 4,168 | ||||||
5.00% 4/1/34 | 21,764 | 24,176 | ||||||
5.00% 8/1/34 | 36,010 | 39,996 | ||||||
5.00% 4/1/35 | 8,412 | 9,416 | ||||||
5.00% 10/1/35 | 320,605 | 355,315 | ||||||
5.00% 11/1/35 | 95,363 | 105,660 | ||||||
5.00% 2/1/37 | 283,514 | 314,891 | ||||||
5.00% 4/1/37 | 89,680 | 99,424 | ||||||
5.00% 8/1/37 | 231,691 | 256,858 | ||||||
5.00% 12/1/37 | 4,464 | 4,934 | ||||||
5.00% 3/1/38 | 185,485 | 205,013 | ||||||
5.00% 6/1/38 | 11,841 | 13,088 | ||||||
5.00% 2/1/39 | 6,517 | 7,203 | ||||||
5.00% 5/1/40 | 112,702 | 124,851 | ||||||
5.50% 12/1/32 | 18,057 | 20,434 | ||||||
5.50% 2/1/33 | 52,456 | 59,292 | ||||||
5.50% 12/1/33 | 27,816 | 31,749 | ||||||
5.50% 11/1/34 | 93,329 | 105,636 | ||||||
5.50% 12/1/34 | 105,561 | 119,524 | ||||||
5.50% 2/1/35 | 1,327,466 | 1,510,111 |
42
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
5.50% 3/1/35 | 49,543 | $ | 56,024 | |||||
5.50% 6/1/35 | 65,894 | 74,568 | ||||||
5.50% 1/1/36 | 503,008 | 569,595 | ||||||
5.50% 4/1/36 | 1,317,480 | 1,485,407 | ||||||
5.50% 7/1/36 | 577,417 | 653,865 | ||||||
5.50% 9/1/36 | 746,947 | 845,282 | ||||||
5.50% 1/1/37 | 385,387 | 431,944 | ||||||
5.50% 2/1/37 | 506,246 | 569,305 | ||||||
5.50% 8/1/37 | 22,673 | 25,631 | ||||||
5.50% 9/1/37 | 508,428 | 571,668 | ||||||
5.50% 1/1/38 | 398,610 | 448,418 | ||||||
5.50% 2/1/38 | 224,097 | 252,622 | ||||||
5.50% 3/1/38 | 176,835 | 200,418 | ||||||
5.50% 6/1/38 | 97,413 | 109,646 | ||||||
5.50% 7/1/38 | 177,788 | 200,069 | ||||||
5.50% 11/1/38 | 1,370,661 | 1,539,359 | ||||||
5.50% 1/1/39 | 877,278 | 992,463 | ||||||
5.50% 2/1/39 | 6,698,725 | 7,567,392 | ||||||
5.50% 10/1/39 | 764,780 | 860,047 | ||||||
5.50% 3/1/40 | 1,751,114 | 1,983,445 | ||||||
5.50% 7/1/40 | 241,791 | 271,986 | ||||||
5.50% 3/1/41 | 2,611,825 | 2,955,614 | ||||||
5.50% 9/1/41 | 2,907,590 | 3,284,766 | ||||||
6.00% 4/1/35 | 286,338 | 330,366 | ||||||
6.00% 5/1/36 | 65,210 | 74,318 | ||||||
6.00% 6/1/36 | 31,492 | 35,981 | ||||||
6.00% 9/1/36 | 29,476 | 33,623 | ||||||
6.00% 12/1/36 | 34,859 | 39,895 | ||||||
6.00% 2/1/37 | 101,330 | 115,634 | ||||||
6.00% 5/1/37 | 257,016 | 292,914 | ||||||
6.00% 6/1/37 | 19,218 | 22,154 | ||||||
6.00% 7/1/37 | 187,655 | 213,830 | ||||||
6.00% 8/1/37 | 183,850 | 210,414 | ||||||
6.00% 9/1/37 | 666,078 | 761,030 | ||||||
6.00% 11/1/37 | 5,893 | 6,723 | ||||||
6.00% 5/1/38 | 1,092,438 | 1,246,235 | ||||||
6.00% 8/1/38 | 132,799 | 151,323 | ||||||
6.00% 9/1/38 | 875,838 | 1,002,815 | ||||||
6.00% 10/1/38 | 45,567 | 51,957 | ||||||
6.00% 11/1/38 | 85,644 | 98,482 | ||||||
6.00% 12/1/38 | 245,736 | 282,665 | ||||||
6.00% 1/1/39 | 153,103 | 174,459 | ||||||
6.00% 9/1/39 | 476,686 | 543,910 | ||||||
6.00% 10/1/39 | 1,748,834 | 2,015,489 | ||||||
6.00% 3/1/40 | 144,029 | 164,414 | ||||||
6.00% 7/1/40 | 554,926 | 633,044 | ||||||
6.00% 9/1/40 | 123,429 | 140,646 | ||||||
6.00% 11/1/40 | 56,377 | 65,061 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Fannie Mae S.F. 30 yr | ||||||||
6.00% 5/1/41 | 792,709 | $ | 903,650 | |||||
6.00% 6/1/41 | 788,135 | 900,336 | ||||||
6.00% 7/1/41 | 3,741,556 | 4,276,048 | ||||||
6.50% 11/1/33 | 5,724 | 6,562 | ||||||
6.50% 2/1/36 | 89,404 | 108,288 | ||||||
6.50% 3/1/36 | 89,166 | 101,979 | ||||||
6.50% 6/1/36 | 212,295 | 251,725 | ||||||
6.50% 2/1/38 | 42,145 | 51,218 | ||||||
6.50% 11/1/38 | 11,568 | 14,117 | ||||||
6.50% 3/1/40 | 1,877,382 | 2,188,796 | ||||||
7.50% 3/1/32 | 440 | 522 | ||||||
7.50% 4/1/32 | 1,871 | 2,208 | ||||||
7.50% 6/1/32 | 1,509 | 1,644 | ||||||
Fannie Mae S.F. 30 yr TBA | ||||||||
3.00% 4/1/46 | 39,000,000 | 40,005,467 | ||||||
3.00% 5/1/46 | 75,229,000 | 77,009,806 | ||||||
3.00% 6/1/46 | 36,432,000 | 37,217,172 | ||||||
3.50% 5/1/46 | 76,000,000 | 79,550,629 | ||||||
4.00% 4/1/46 | 31,000,000 | 33,121,563 | ||||||
4.00% 5/1/46 | 65,000,000 | 69,346,875 | ||||||
4.50% 4/1/46 | 13,239,000 | 14,405,687 | ||||||
4.50% 5/1/46 | 32,000,000 | 34,780,000 | ||||||
4.50% 6/1/46 | 2,060,000 | 2,236,307 | ||||||
Freddie Mac ARM | ||||||||
2.498% 7/1/36 ● | 37,578 | 39,170 | ||||||
2.523% 1/1/44 ● | 1,077,505 | 1,106,791 | ||||||
2.57% 4/1/34 ● | 2,044 | 2,166 | ||||||
2.592% 12/1/33 ● | 51,597 | 54,411 | ||||||
2.781% 10/1/45 ● | 411,072 | 424,232 | ||||||
2.807% 5/1/37 ● | 380,588 | 406,103 | ||||||
2.83% 9/1/45 ● | 2,395,597 | 2,475,052 | ||||||
2.944% 10/1/45 ● | 588,818 | 609,259 | ||||||
2.955% 11/1/44 ● | 227,209 | 235,838 | ||||||
3.107% 3/1/46 ● | 842,000 | 873,657 | ||||||
5.426% 2/1/38 ● | 90,911 | 96,248 | ||||||
Freddie Mac Relocation 30 yr | 254 | 276 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
3.50% 10/1/26 | 104,467 | 111,250 | ||||||
4.00% 4/1/25 | 41,201 | 43,992 | ||||||
4.00% 5/1/25 | 54,039 | 57,698 | ||||||
4.00% 8/1/25 | 181,725 | 193,534 | ||||||
4.00% 11/1/26 | 233,279 | 246,651 | ||||||
4.50% 5/1/20 | 97,531 | 101,560 | ||||||
4.50% 9/1/26 | 255,318 | 273,934 | ||||||
5.00% 6/1/18 | 20,745 | 21,421 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
3.50% 1/1/34 | 471,462 | 497,219 |
(continues) 43
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Freddie Mac S.F. 20 yr | ||||||||
3.50% 9/1/35 | 554,352 | $ | 584,095 | |||||
4.00% 8/1/35 | 133,956 | 144,418 | ||||||
4.00% 10/1/35 | 669,953 | 721,046 | ||||||
5.50% 10/1/23 | 59,326 | 65,823 | ||||||
5.50% 8/1/24 | 17,801 | 19,758 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
3.00% 10/1/42 | 423,852 | 435,341 | ||||||
3.00% 11/1/42 | 362,126 | 373,412 | ||||||
4.50% 4/1/39 | 105,960 | 116,839 | ||||||
4.50% 10/1/39 | 252,410 | 274,671 | ||||||
5.50% 3/1/34 | 40,535 | 45,537 | ||||||
5.50% 12/1/34 | 36,873 | 41,582 | ||||||
5.50% 6/1/36 | 22,385 | 25,159 | ||||||
5.50% 11/1/36 | 48,710 | 54,375 | ||||||
5.50% 12/1/36 | 10,528 | 11,786 | ||||||
5.50% 4/1/38 | 207,842 | 232,671 | ||||||
5.50% 6/1/38 | 29,018 | 32,481 | ||||||
5.50% 6/1/39 | 218,221 | 244,274 | ||||||
5.50% 3/1/40 | 123,860 | 138,563 | ||||||
5.50% 8/1/40 | 468,035 | 523,461 | ||||||
5.50% 1/1/41 | 131,483 | 146,840 | ||||||
5.50% 6/1/41 | 4,838,844 | 5,428,533 | ||||||
6.00% 2/1/36 | 307,759 | 354,209 | ||||||
6.00% 3/1/36 | 278,024 | 319,496 | ||||||
6.00% 1/1/38 | 46,357 | 52,679 | ||||||
6.00% 6/1/38 | 131,272 | 149,341 | ||||||
6.00% 8/1/38 | 214,094 | 246,995 | ||||||
6.00% 5/1/40 | 329,488 | 376,320 | ||||||
6.00% 7/1/40 | 347,756 | 396,267 | ||||||
6.50% 11/1/33 | 28,015 | 32,469 | ||||||
6.50% 1/1/35 | 110,020 | 125,245 | ||||||
6.50% 8/1/38 | 31,681 | 36,065 | ||||||
6.50% 4/1/39 | 198,968 | 226,502 | ||||||
7.00% 1/1/38 | 25,467 | 28,436 | ||||||
Freddie Mac S.F. 30 yr TBA | 6,000,000 | 6,280,558 | ||||||
GNMA I S.F. 30 yr | ||||||||
5.00% 6/15/40 | 73,210 | 81,285 | ||||||
7.00% 12/15/34 | 201,516 | 244,869 | ||||||
GNMA II S.F. 30 yr | 6,029 | 6,652 | ||||||
GNMA II S.F. 30 yr TBA | 6,000,000 | 6,403,360 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities | 543,216,371 | |||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Agency Obligation – 0.05% |
| |||||||
| ||||||||
Federal National Mortgage Association | 1,000,000 | $ | 1,000,622 | |||||
|
| |||||||
Total Agency Obligation | 1,000,622 | |||||||
|
| |||||||
| ||||||||
Collateralized Debt Obligations – 1.80% |
| |||||||
| ||||||||
ACAS CLO | ||||||||
Series 2007-1A A1S 144A 0.834% 4/20/21 #● | 100,192 | 99,931 | ||||||
ALM VII | ||||||||
Series 2012-7A A1 144A 2.04% 10/19/24 #● | 250,000 | 246,355 | ||||||
Avery Point III CLO | ||||||||
Series 2013-3A A 144A 2.02% 1/18/25 #● | 1,000,000 | 984,610 | ||||||
Avery Point VI CLO | ||||||||
Series 2015-6A A 144A 2.071% 8/5/27 #● | 250,000 | 247,674 | ||||||
Benefit Street Partners CLO IV | ||||||||
Series 2014-IVA A1A 144A 2.114% 7/20/26 #● | 2,400,000 | 2,375,681 | ||||||
BlueMountain CLO | ||||||||
Series 2014-4 144A 2.136% 11/30/26 #● | 500,000 | 495,578 | ||||||
Carlyle Global Market Strategies CLO | ||||||||
Series 2012-1A AR 144A 1.854% 4/20/22 #● | 4,800,000 | 4,776,240 | ||||||
Series 2014-2A A 144A 2.088% 5/15/25 #● | 1,500,000 | 1,487,245 | ||||||
Cavalry CLO V | ||||||||
Series 2014-5A A 144A 1.99% 1/16/24 #● | 400,000 | 398,662 | ||||||
Cent CLO 20 144A | 429,000 | 423,451 | ||||||
Cent CLO 21 | ||||||||
Series 2014-21A A1B 144A 2.011% 7/27/26 #● | 1,250,000 | 1,235,779 | ||||||
CIFC Funding | ||||||||
Series 2014-2A A1L 144A 2.105% 5/24/26 #● | 250,000 | 248,049 | ||||||
Cordatus CLO I | ||||||||
Series 2006-1X A1 0.152% 1/30/24 ● | EUR 3,085,407 | 3,473,030 | ||||||
Doral CLO II | ||||||||
Series 2012-2A A1R 144A 1.885% 5/26/23 #● | 365,793 | 362,358 | ||||||
Elm CLO | ||||||||
Series 2014-1A A 144A 2.02% 1/17/23 #● | 586,632 | 584,360 |
44
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Collateralized Debt Obligations (continued) |
| |||||||
| ||||||||
Fraser Sullivan CLO VII | ||||||||
Series 2012-7A A1R 144A 1.699% 4/20/23 #● | 284,514 | $ | 282,836 | |||||
Harvest CLO | ||||||||
Series V-A1D 0.205% 4/5/24 ● | EUR 1,730,157 | 1,946,124 | ||||||
JFIN CLO | ||||||||
Series 2015-2A AX 144A 1.965% 10/19/26 #● | 180,000 | 178,640 | ||||||
Jubilee CDO I-R | ||||||||
Series I-RX A 0.127% 7/30/24 ● | EUR 2,585,618 | 2,898,880 | ||||||
KVK CLO | ||||||||
Series 2012-1A A 144A 1.992% 7/15/23 #● | 610,150 | 607,110 | ||||||
Lockwood Grove CLO | ||||||||
Series 2014-1A A1 144A 1.989% 1/25/24 #● | 400,000 | 397,357 | ||||||
Madison Park Funding IX | ||||||||
Series 2012-9AR AR 144A 1.908% 8/15/22 #● | 500,000 | 498,193 | ||||||
Magnetite IX | ||||||||
Series 2014-9A A1 144A 2.039% 7/25/26 #● | 2,405,000 | 2,383,576 | ||||||
Malin CLO | ||||||||
Series 2007-1A A1 144A 0.029% 5/7/23 #● | EUR 242,625 | 274,482 | ||||||
Neuberger Berman CLO XIX | ||||||||
Series 2015-19A A1 144A 2.042% 7/15/27 #● | 1,300,000 | 1,286,567 | ||||||
Neuberger Berman CLO XVII | ||||||||
Series 2014-17A A 144A 2.089% 8/4/25 #● | 1,100,000 | 1,092,373 | ||||||
OHA Credit Partners VI | ||||||||
Series 2012-6A AR 144A 1.838% 5/15/23 #● | 4,458,673 | 4,427,204 | ||||||
Queen Street CLO II | ||||||||
Series 2007-1X A1 0.088% 8/15/24 ● | EUR 39,944 | 45,162 | ||||||
Shackleton CLO | ||||||||
Series 2015-VIII 144A 1.837% 10/20/27 #● | 250,000 | 247,900 | ||||||
Stoney Lane Funding I | ||||||||
Series 2007-1A A1 144A 0.86% 4/18/22 #● | 545,485 | 533,081 | ||||||
Symphony CLO VII | ||||||||
Series 2011-7A A 144A 1.871% 7/28/21 #● | 230,725 | 230,296 | ||||||
Venture XI CLO | ||||||||
Series 2012-11AR AR 144A 1.918% 11/14/22 #● | 750,000 | 745,781 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Collateralized Debt Obligations (continued) |
| |||||||
| ||||||||
Venture XXI CLO | 285,000 | $ | 281,794 | |||||
Voya CLO | ||||||||
Series 2012-2AR AR 144A 1.922% 10/15/22 #● | 200,000 | 199,108 | ||||||
Westwood CDO II | 1,540,204 | 1,513,321 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 37,508,788 | |||||||
|
| |||||||
| ||||||||
Commercial Mortgage-Backed Securities – 4.59% |
| |||||||
| ||||||||
BAMLL Commercial Mortgage Securities Trust | ||||||||
Series 2015-ASHF A 144A 1.656% 1/15/28 #● | 900,000 | 895,176 | ||||||
Banc of America Commercial Mortgage Trust | ||||||||
Series 2007-4 AM 5.808% 2/10/51 ● | 505,000 | 524,223 | ||||||
Bank of America Re-REMIC Trust | ||||||||
Series BALL 2009-UB2 A4AA 144A 5.664% 2/24/51 #● | 1,905,941 | 1,934,121 | ||||||
BBCMS Trust | ||||||||
Series 2015-RRI A 144A 1.586% 5/15/32 #● | 5,100,000 | 5,044,336 | ||||||
Series 2015-STP 144A 3.323% 9/10/28 # | 4,500,000 | 4,641,453 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
Series 2011-C1 A2 144A 3.759% 4/15/44 # | 5,391 | 5,387 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2014-GC25 A4 3.635% 10/10/47 | 1,100,000 | 1,162,215 | ||||||
Series 2015-GC27 A5 3.137% 2/10/48 | 3,085,000 | 3,142,302 | ||||||
COMM Mortgage Trust | ||||||||
Series 2014-CR19 A5 3.796% 8/10/47 | 470,000 | 507,882 | ||||||
Series 2014-CR20 A4 3.59% 11/10/47 | 910,000 | 968,890 | ||||||
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,363,858 | ||||||
Series 2015-CR23 A4 3.497% 5/10/48 | 1,110,000 | 1,168,760 |
(continues) 45
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||||
| ||||||||||
Commercial Mortgage Trust | ||||||||||
Series 2006-GG7 A4 5.892% 7/10/38 ● | 176,913 | $ | 177,173 | |||||||
CSMC | ||||||||||
Series 2010-UD1 A 144A 5.775% 12/16/49 #● | 1,627,536 | 1,646,705 | ||||||||
DBUBS Mortgage Trust | ||||||||||
Series 2011-LC1A A3 144A 5.002% 11/10/46 # | 2,050,000 | 2,311,952 | ||||||||
Series 2011-LC1A C 144A 5.699% 11/10/46 #● | 815,000 | 891,631 | ||||||||
FREMF Mortgage Trust | ||||||||||
Series 2011-K10 B 144A 4.631% 11/25/49 #● | 245,000 | 262,659 | ||||||||
Series 2011-K13 B 144A 4.61% 1/25/48 #● | 650,000 | 696,764 | ||||||||
Series 2011-K15 B 144A 4.949% 8/25/44 #● | 75,000 | 81,558 | ||||||||
Series 2012-K22 B 144A 3.686% 8/25/45 #● | 665,000 | 665,915 | ||||||||
Series 2012-K708 B 144A 3.751% 2/25/45 #● | 1,705,000 | 1,754,632 | ||||||||
Series 2012-K708 C 144A 3.751% 2/25/45 #● | 230,000 | 228,792 | ||||||||
Series 2013-K33 B 144A 3.503% 8/25/46 #● | 505,000 | 506,876 | ||||||||
Series 2013-K712 B 144A 3.369% 5/25/45 #● | 2,215,000 | 2,224,767 | ||||||||
Series 2013-K713 B 144A 3.165% 4/25/46 #● | 1,215,000 | 1,211,023 | ||||||||
Series 2013-K713 C 144A 3.165% 4/25/46 #● | 1,000,000 | 985,882 | ||||||||
German Residential Funding | ||||||||||
Series 2013-1 A 0.949% 8/27/24 ● | EUR | 3,969,850 | 4,555,689 | |||||||
Series 2013-1 B 1.399% 8/27/24 ● | EUR | 2,861,985 | 3,287,591 | |||||||
Series 2013-2 A 0.799% 11/27/24 ● | EUR | 2,822,320 | 3,238,815 | |||||||
GRACE Mortgage Trust | ||||||||||
Series 2014-GRCE A 144A 3.369% 6/10/28 # | 2,200,000 | 2,315,793 | ||||||||
GS Mortgage Securities Trust | ||||||||||
Series 2010-C1 A2 144A 4.592% 8/10/43 # | 1,415,000 | 1,546,241 | ||||||||
Series 2010-C1 C 144A 5.635% 8/10/43 #● | 375,000 | 406,252 | ||||||||
Series 2014-GC24 A5 3.931% 9/10/47 | 1,800,000 | 1,948,077 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Hilton USA Trust | ||||||||
Series 2013-HLT AFX 144A 2.662% 11/5/30 # | 5,040,000 | $ | 5,046,631 | |||||
Series 2013-HLT BFX 144A 3.367% 11/5/30 # | 1,620,000 | 1,622,098 | ||||||
Hyatt Hotel Portfolio Trust | ||||||||
Series 2015-HYT A 144A 1.686% 11/15/29 #● | 900,000 | 891,799 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C18 A1 1.254% 2/15/47 | 777,346 | 772,985 | ||||||
Series 2014-C22 B 4.561% 9/15/47 ● | 470,000 | 488,719 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2005-CB11 E 5.499% 8/12/37 ● | 230,000 | 249,087 | ||||||
Series 2005-LDP5 D 5.529% 12/15/44 ● | 420,000 | 419,049 | ||||||
Series 2006-LDP8 A1A 5.397% 5/15/45 | 419,450 | 420,471 | ||||||
Series 2006-LDP8 AM 5.44% 5/15/45 | 5,268,000 | 5,312,548 | ||||||
Series 2007-LDPX A3 5.42% 1/15/49 | 1,027,319 | 1,048,367 | ||||||
Series 2011-C5 C 144A 5.323% 8/15/46 #● | 410,000 | 438,178 | ||||||
Series 2016-ATRM A 144A 2.962% 10/5/28 # | 2,700,000 | 2,709,406 | ||||||
LB-UBS Commercial Mortgage Trust | ||||||||
Series 2004-C1 A4 4.568% 1/15/31 | 21,263 | 21,325 | ||||||
Series 2006-C6 AJ 5.452% 9/15/39 ● | 920,000 | 901,483 | ||||||
Series 2006-C6 AM 5.413% 9/15/39 | 2,445,000 | 2,473,821 | ||||||
ML-CFC Commercial Mortgage Trust | ||||||||
Series 2007-7 A4 5.737% 6/12/50 ● | 902,267 | 931,746 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2015-C23 A4 3.719% 7/15/50 | 630,000 | 673,628 | ||||||
Series 2015-C26 A5 3.531% 10/15/48 | 4,000,000 | 4,208,859 | ||||||
Series 2015-C27 ASB 3.557% 12/15/47 | 2,200,000 | 2,335,167 |
46
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
| ||||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2005-HQ7 C 5.19% 11/14/42 ● | 314,542 | $ | 314,049 | |||||
Series 2015-XLF1 A 144A 1.588% 8/14/31 #● | 1,648,922 | 1,642,294 | ||||||
Morgan Stanley Re-REMIC Trust | ||||||||
Series 2009-GG10 A4A 144A 5.794% 8/12/45 #● | 3,907,348 | 3,999,023 | ||||||
RFTI | ||||||||
Series 2015-FL1 A 144A 2.186% 8/15/30 #● | 2,200,000 | 2,195,366 | ||||||
TimberStar Trust I | ||||||||
Series 2006-1A A 144A 5.668% 10/15/36 # | 415,000 | 421,146 | ||||||
Wachovia Bank Commercial Mortgage Trust | ||||||||
Series 2006-C28 A4FL 144A 0.591% 10/15/48 #● | 839,037 | 832,783 | ||||||
Series 2007-C31 A5FL 144A 0.651% 4/15/47 #● | 400,000 | 389,307 | ||||||
Series 2007-C32 A4FL 144A 0.616% 6/15/49 #● | 700,000 | 686,073 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2012-LC5 A3 2.918% 10/15/45 | 1,020,000 | 1,053,163 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 95,801,961 | |||||||
|
| |||||||
| ||||||||
Convertible Bonds – 0.71% |
| |||||||
| ||||||||
Alaska Communications Systems Group 6.25% exercise price $10.28, maturity date 5/1/18 @ | 614,000 | 581,765 | ||||||
BGC Partners 4.50% exercise price $9.84, maturity date 7/15/16 | 557,000 | 571,621 | ||||||
Blackstone Mortgage Trust 5.25% exercise price $28.36, maturity date 12/1/18 | 662,000 | 692,617 | ||||||
Blucora 4.25% exercise price $21.66, maturity date 4/1/19 | 275,000 | 209,000 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Convertible Bonds (continued) |
| |||||||
| ||||||||
Campus Crest Communities Operating Partnership 144A 4.75% exercise price $25.00, maturity date 10/15/18 #@ | 550,000 | $ | 546,563 | |||||
Cardtronics 1.00% exercise price $52.35, maturity date 12/1/20 | 552,000 | 535,785 | ||||||
Cemex 3.72% exercise price $11.90, maturity date 3/15/20 | 391,000 | 359,720 | ||||||
Chart Industries 2.00% exercise price $69.03, maturity date 8/1/18 @ | 616,000 | 550,165 | ||||||
Ciena 144A 3.75% exercise price $20.17, maturity date 10/15/18 # | 278,000 | 330,125 | ||||||
Clearwire Communications 144A 8.25% exercise price $19.90, maturity date 12/1/40 #@ | 125,000 | 125,000 | ||||||
GAIN Capital Holdings 4.125% exercise price $12.00, maturity date 12/1/18 @ | 314,000 | 291,431 | ||||||
General Cable 4.50% exercise price $32.77, maturity date 11/15/29 @f | 580,000 | 319,000 | ||||||
Gilead Sciences 1.625% exercise price $22.33, maturity date 5/1/16 | 131,000 | 539,066 | ||||||
HealthSouth 2.00% exercise price $38.08, maturity date 12/1/43 | 489,000 | 544,013 | ||||||
Helix Energy Solutions Group 3.25% exercise price $25.02, maturity date 3/15/32 | 410,000 | 324,925 | ||||||
Hologic 2.00% exercise price $31.18, maturity date 3/1/42 f | 259,000 | 335,405 | ||||||
Huron Consulting Group 1.25% exercise price $79.89, maturity date 10/1/19 | 135,000 | 131,878 | ||||||
inContact 144A 2.50% exercise price $14.23, maturity date 4/1/22 # | 507,000 | 470,876 | ||||||
Infinera 1.75% exercise price $12.58, maturity date 6/1/18 | 159,000 | 226,774 |
(continues) 47
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Convertible Bonds (continued) |
| |||||||
| ||||||||
Intel 3.25% exercise price $21.18, maturity date 8/1/39 | 200,000 | $ | 318,501 | |||||
Jefferies Group 3.875% exercise price $44.35, maturity date 11/1/29 | 522,000 | 514,170 | ||||||
Liberty Interactive 144A 1.00% exercise price $64.06, maturity date 9/30/43 # | 571,000 | 492,487 | ||||||
Meritor 4.00% exercise price $26.73, maturity date 2/15/27 f | 849,000 | 798,060 | ||||||
Microchip Technology 1.625% exercise price $66.05, maturity date 2/15/25 | 224,000 | 231,560 | ||||||
New Mountain Finance 5.00% exercise price $15.93, maturity date 6/15/19 @ | 91,000 | 88,498 | ||||||
Novellus Systems 2.625% exercise price $34.23, maturity date 5/15/41 | 268,000 | 654,255 | ||||||
Nuance Communications 2.75% exercise price $32.30, maturity date 11/1/31 | 30,000 | 30,131 | ||||||
NXP Semiconductors 1.00% exercise price $102.84, maturity date 12/1/19 | 262,000 | 291,148 | ||||||
PROS Holdings 144A 2.00% exercise price $33.79, maturity date 12/1/19 # | 540,000 | 417,825 | ||||||
Spectrum Pharmaceuticals 2.75% exercise price $10.53, maturity date 12/15/18 @ | 374,000 | 333,561 | ||||||
Spirit Realty Capital 3.75% exercise price $13.10, maturity date 5/15/21 @ | 631,000 | 636,130 | ||||||
Synchronoss Technologies 0.75% exercise price $53.17, maturity date 8/15/19 | 513,000 | 496,969 | ||||||
Titan Machinery 3.75% exercise price $43.17, maturity date 5/1/19 @ | 128,000 | 100,800 | ||||||
TPG Specialty Lending 4.50% exercise price $25.83, maturity date 12/15/19 @ | 355,000 | 351,450 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Convertible Bonds (continued) |
| |||||||||
| ||||||||||
Vector Group | ||||||||||
1.75% exercise price $24.64, expiration date 4/15/20 ● | 484,000 | $ | 537,543 | |||||||
2.50% exercise price $15.98, expiration date 1/15/19 ● | 147,000 | 220,261 | ||||||||
VEREIT 3.75% exercise price $14.99, maturity date 12/15/20 @ | 626,000 | 599,789 | ||||||||
|
| |||||||||
Total Convertible Bonds | 14,798,867 | |||||||||
|
| |||||||||
| ||||||||||
Corporate Bonds – 35.10% |
| |||||||||
| ||||||||||
Banking – 10.97% | ||||||||||
Abbey National Treasury Services | ||||||||||
1.142% 3/13/17 ● | 225,000 | 224,703 | ||||||||
1.475% 8/24/18 ● | 730,000 | 724,765 | ||||||||
Ally Financial | ||||||||||
3.50% 7/18/16 | 200,000 | 200,600 | ||||||||
4.75% 9/10/18 | 200,000 | 203,500 | ||||||||
5.50% 2/15/17 | 2,500,000 | 2,552,050 | ||||||||
ANZ New Zealand International 144A | 200,000 | 202,162 | ||||||||
Australia & New Zealand Banking Group | CAD | 151,000 | 118,699 | |||||||
Banco Bilbao Vizcaya Argentaria | EUR | 400,000 | 418,123 | |||||||
Banco Espirito Santo | EUR | 1,900,000 | 529,692 | |||||||
Banco Nacional de Comercio Exterior SNC 144A | 540,000 | 545,130 | ||||||||
Bank Nederlandse Gemeenten | ||||||||||
144A 0.694% 7/14/17 #● | 1,174,000 | 1,172,177 | ||||||||
5.25% 5/20/24 | AUD | 292,000 | 257,850 | |||||||
Bank of America | ||||||||||
0.934% 6/15/17 ● | 3,800,000 | 3,775,942 | ||||||||
1.662% 1/15/19 ● | 830,000 | 826,244 | ||||||||
2.60% 1/15/19 | 1,200,000 | 1,221,108 | ||||||||
2.625% 10/19/20 | 3,355,000 | 3,381,974 | ||||||||
3.30% 1/11/23 | 716,000 | 723,105 | ||||||||
4.45% 3/3/26 | 2,275,000 | 2,348,366 | ||||||||
5.65% 5/1/18 | 3,300,000 | 3,544,200 |
48
Table of Contents
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Banking (continued) | ||||||||||
Bank of America | ||||||||||
5.75% 12/1/17 | 700,000 | $ | 744,131 | |||||||
6.00% 9/1/17 | 3,200,000 | 3,383,062 | ||||||||
6.40% 8/28/17 | 1,000,000 | 1,063,247 | ||||||||
6.875% 4/25/18 | 4,125,000 | 4,531,535 | ||||||||
7.625% 6/1/19 | 800,000 | 931,686 | ||||||||
Bank of New York Mellon | ||||||||||
1.115% 9/11/19 ● | 830,000 | 817,055 | ||||||||
2.15% 2/24/20 | 1,960,000 | 1,975,104 | ||||||||
2.50% 4/15/21 | 180,000 | 183,682 | ||||||||
Barclays 4.375% 1/12/26 | 1,045,000 | 1,027,465 | ||||||||
Barclays Bank | 1,200,000 | 1,292,250 | ||||||||
BB&T | ||||||||||
1.276% 2/1/19 ● | 750,000 | 741,835 | ||||||||
1.494% 6/15/18 ● | 65,000 | 64,995 | ||||||||
5.25% 11/1/19 | 1,241,000 | 1,362,475 | ||||||||
BBVA Banco Continental | 900,000 | 901,575 | ||||||||
BBVA Bancomer | ||||||||||
144A 6.50% 3/10/21 # | 435,000 | 477,413 | ||||||||
144A 7.25% 4/22/20 # | 100,000 | 111,500 | ||||||||
BNP Paribas 144A | 2,300,000 | 2,228,125 | ||||||||
Branch Banking & Trust | ||||||||||
3.625% 9/16/25 | 250,000 | 262,175 | ||||||||
3.80% 10/30/26 | 775,000 | 824,082 | ||||||||
CIT Group | ||||||||||
5.25% 3/15/18 | 6,100,000 | 6,325,700 | ||||||||
144A 5.50% 2/15/19 # | 2,800,000 | 2,903,600 | ||||||||
Citigroup | ||||||||||
1.498% 7/30/18 ● | 3,300,000 | 3,288,599 | ||||||||
4.05% 7/30/22 | 150,000 | 156,323 | ||||||||
8.40% 4/29/49 ● | 1,900,000 | 2,092,375 | ||||||||
Citizens Financial Group | 965,000 | 999,486 | ||||||||
City National 5.25% 9/15/20 | 770,000 | 864,354 | ||||||||
Compass Bank | 1,145,000 | 1,075,916 | ||||||||
Cooperatieve Rabobank | ||||||||||
2.50% 9/4/20 | NOK | 1,740,000 | 220,680 | |||||||
2.50% 1/19/21 | 775,000 | 782,777 | ||||||||
4.375% 8/4/25 | 2,000,000 | 2,063,134 | ||||||||
6.875% 3/19/20 | EUR | 2,400,000 | 3,229,319 | |||||||
Credit Agricole 144A | 200,000 | 198,030 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Banking (continued) | ||||||||||
Credit Suisse Group Funding Guernsey | ||||||||||
2.75% 3/26/20 | 2,449,000 | $ | 2,419,034 | |||||||
144A 3.125% 12/10/20 # | 1,445,000 | 1,438,581 | ||||||||
3.75% 3/26/25 | 905,000 | 866,174 | ||||||||
3.80% 9/15/22 | 3,350,000 | 3,338,898 | ||||||||
DBS Bank | ||||||||||
144A 3.625% 9/21/22 #● | 700,000 | 717,508 | ||||||||
3.625% 9/21/22 ● | 200,000 | 205,002 | ||||||||
DNB Bank 144A | 3,300,000 | 3,358,806 | ||||||||
Eksportfinans | ||||||||||
2.375% 5/25/16 | 500,000 | 500,560 | ||||||||
5.50% 5/25/16 | 800,000 | 804,612 | ||||||||
5.50% 6/26/17 | 600,000 | 625,446 | ||||||||
Export-Import Bank of Korea | ||||||||||
1.492% 9/17/16 ● | 900,000 | 902,001 | ||||||||
2.125% 2/11/21 | 625,000 | 627,736 | ||||||||
4.375% 9/15/21 | 700,000 | 781,972 | ||||||||
5.00% 4/11/22 | 2,000,000 | 2,309,194 | ||||||||
5.125% 6/29/20 | 1,500,000 | 1,690,083 | ||||||||
Fifth Third Bancorp | 435,000 | 442,151 | ||||||||
Fifth Third Bank | ||||||||||
1.528% 8/20/18 ● | 905,000 | 903,573 | ||||||||
3.85% 3/15/26 | 985,000 | 1,011,097 | ||||||||
Goldman Sachs Group | ||||||||||
1.288% 5/22/17 ● | 1,800,000 | 1,798,976 | ||||||||
1.779% 4/23/20 ● | 1,800,000 | 1,789,886 | ||||||||
1.834% 9/15/20 ● | 1,700,000 | 1,689,333 | ||||||||
2.236% 11/29/23 ● | 875,000 | 873,303 | ||||||||
3.55% 2/12/21 | CAD | 100,000 | 81,188 | |||||||
3.577% 8/21/19 ● | AUD | 140,000 | 106,671 | |||||||
5.20% 12/17/19 | NZD | 206,000 | 148,840 | |||||||
5.95% 1/18/18 | 700,000 | 750,994 | ||||||||
6.25% 9/1/17 | 1,100,000 | 1,171,193 | ||||||||
HBOS 1.336% 9/6/17 ● | 500,000 | 496,512 | ||||||||
HSBC Bank 144A | 620,000 | 616,918 | ||||||||
HSBC Holdings | ||||||||||
3.40% 3/8/21 | 1,500,000 | 1,531,777 | ||||||||
6.00% 12/29/49 ● | EUR | 300,000 | 324,325 | |||||||
6.375% 3/29/49 ● | 1,900,000 | 1,800,250 | ||||||||
Huntington Bancshares | 630,000 | 640,825 | ||||||||
ICICI Bank | ||||||||||
144A 4.00% 3/18/26 # | 480,000 | 482,762 | ||||||||
4.75% 11/25/16 | 2,600,000 | 2,651,792 |
(continues) 49
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Banking (continued) | ||||||||||
Industrial & Commercial Bank of China 144A | 595,000 | $ | 612,922 | |||||||
ING Bank 144A | 4,500,000 | 4,487,441 | ||||||||
JPMorgan Chase | ||||||||||
1.251% 1/28/19 ● | 574,000 | 571,708 | ||||||||
2.25% 1/23/20 | 10,275,000 | 10,361,793 | ||||||||
2.75% 6/23/20 | 105,000 | 107,588 | ||||||||
3.30% 4/1/26 | 3,765,000 | 3,800,293 | ||||||||
4.25% 11/2/18 | NZD | 570,000 | 402,381 | |||||||
4.40% 7/22/20 | 400,000 | 435,517 | ||||||||
5.30% 12/29/49 ● | 2,300,000 | 2,311,500 | ||||||||
6.30% 4/23/19 | 300,000 | 339,428 | ||||||||
7.90% 4/29/49 ● | 500,000 | 500,625 | ||||||||
JPMorgan Chase Bank | ||||||||||
0.962% 6/13/16 ● | 500,000 | 500,056 | ||||||||
4.375% 11/30/21 ● | EUR | 2,600,000 | 2,991,859 | |||||||
6.00% 10/1/17 | 600,000 | 637,133 | ||||||||
KBC Bank | 2,200,000 | 2,381,500 | ||||||||
KeyBank | ||||||||||
3.18% 5/22/22 | 250,000 | 253,299 | ||||||||
3.30% 6/1/25 | 1,240,000 | 1,272,111 | ||||||||
6.95% 2/1/28 | 1,220,000 | 1,519,597 | ||||||||
KeyCorp | 2,500,000 | 2,543,613 | ||||||||
KFW | 600,000 | 599,973 | ||||||||
Korea Development Bank | 850,000 | 880,225 | ||||||||
Lloyds Bank | ||||||||||
1.398% 8/17/18 ● | 3,200,000 | 3,191,171 | ||||||||
1.75% 5/14/18 | 400,000 | 399,202 | ||||||||
144A 12.00% 12/29/49 #● | 4,800,000 | 6,472,128 | ||||||||
Lloyds Banking Group | ||||||||||
144A 4.582% 12/10/25 # | 710,000 | 697,427 | ||||||||
4.65% 3/24/26 | 580,000 | 575,955 | ||||||||
7.625% 12/29/49 ● | GBP | 500,000 | 696,630 | |||||||
7.875% 12/29/49 ● | GBP | 200,000 | 278,273 | |||||||
Mitsubishi UFJ Trust & Banking | ||||||||||
144A 2.45% 10/16/19 # | 500,000 | 506,732 | ||||||||
144A 2.65% 10/19/20 # | 500,000 | 508,741 | ||||||||
Mizuho Bank 144A | 600,000 | 606,218 | ||||||||
Morgan Stanley | ||||||||||
1.469% 1/24/19 ● | 369,000 | 366,489 | ||||||||
1.761% 1/27/20 ● | 845,000 | 839,955 | ||||||||
2.125% 4/25/18 | 3,450,000 | 3,475,661 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Banking (continued) | ||||||||||
Morgan Stanley | ||||||||||
3.125% 8/5/21 | CAD | 387,000 | $ | 307,544 | ||||||
3.875% 1/27/26 | 1,885,000 | 1,970,466 | ||||||||
3.95% 4/23/27 | 140,000 | 140,460 | ||||||||
5.00% 9/30/21 | AUD | 359,000 | 290,692 | |||||||
5.45% 1/9/17 | 700,000 | 722,313 | ||||||||
MUFG Capital Finance 4 | EUR | 100,000 | 116,498 | |||||||
National City Bank | 325,000 | 322,748 | ||||||||
Oesterreichische Kontrollbank | 1,540,000 | 1,539,860 | ||||||||
PNC Bank | ||||||||||
1.85% 7/20/18 | 700,000 | 706,423 | ||||||||
2.30% 6/1/20 | 500,000 | 505,320 | ||||||||
2.45% 11/5/20 | 530,000 | 539,365 | ||||||||
2.60% 7/21/20 | 700,000 | 715,811 | ||||||||
3.30% 10/30/24 | 745,000 | 779,244 | ||||||||
6.875% 4/1/18 | 1,415,000 | 1,550,189 | ||||||||
PNC Funding | 225,000 | 232,764 | ||||||||
Regions Bank | 595,000 | 594,329 | ||||||||
Royal Bank of Canada | 2,300,000 | 2,322,625 | ||||||||
Royal Bank of Scotland Group | ||||||||||
4.80% 4/5/26 | 1,340,000 | 1,347,785 | ||||||||
144A 6.99% 10/29/49 #● | 300,000 | 328,500 | ||||||||
9.50% 3/16/22 ● | 2,000,000 | 2,119,290 | ||||||||
Santander Bank | 1,400,000 | 1,387,716 | ||||||||
Santander UK Group Holdings | ||||||||||
2.875% 10/16/20 | 440,000 | 438,647 | ||||||||
3.125% 1/8/21 | 550,000 | 554,081 | ||||||||
Societe Generale 144A | 3,600,000 | 3,471,923 | ||||||||
State Street | ||||||||||
2.55% 8/18/20 | 1,000,000 | 1,030,543 | ||||||||
3.10% 5/15/23 | 525,000 | 530,592 | ||||||||
3.55% 8/18/25 | 990,000 | 1,054,637 | ||||||||
Sumitomo Mitsui Banking | 1,000,000 | 995,000 | ||||||||
Sumitomo Mitsui Financial Group 2.316% 3/9/21 ● | 2,300,000 | 2,322,816 | ||||||||
SunTrust Banks | ||||||||||
2.35% 11/1/18 | 535,000 | 539,033 | ||||||||
2.90% 3/3/21 | 490,000 | 497,715 | ||||||||
SVB Financial Group 3.50% 1/29/25 | 2,205,000 | 2,183,345 |
50
Table of Contents
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Banking (continued) | ||||||||||
Swedbank 144A | 1,335,000 | $ | 1,351,331 | |||||||
Toronto-Dominion Bank | ||||||||||
1.168% 4/30/18 ● | 835,000 | 833,292 | ||||||||
2.125% 4/7/21 | 750,000 | 748,725 | ||||||||
2.50% 12/14/20 | 1,130,000 | 1,151,224 | ||||||||
Turkiye Is Bankasi 144A | 590,000 | 590,106 | ||||||||
UBS | ||||||||||
4.75% 5/22/23 ● | 400,000 | 406,230 | ||||||||
5.875% 12/20/17 | 1,163,000 | 1,246,451 | ||||||||
7.25% 2/22/22 ● | 2,100,000 | 2,164,787 | ||||||||
7.625% 8/17/22 | 500,000 | 573,400 | ||||||||
UBS Group Funding Jersey | ||||||||||
144A 2.95% 9/24/20 # | 1,100,000 | 1,104,794 | ||||||||
144A 3.00% 4/15/21 # | 3,165,000 | 3,174,495 | ||||||||
144A 4.125% 9/24/25 # | 870,000 | 872,936 | ||||||||
144A 4.125% 4/15/26 # | 1,135,000 | 1,136,578 | ||||||||
US Bancorp | ||||||||||
2.35% 1/29/21 | 1,700,000 | 1,727,093 | ||||||||
3.60% 9/11/24 @ | 1,275,000 | 1,345,049 | ||||||||
US Bank 0.848% 1/30/17 ● | 850,000 | 850,468 | ||||||||
USB Capital IX 3.50% | 1,820,000 | 1,349,075 | ||||||||
Wells Fargo | ||||||||||
1.298% 1/30/20 ● | 1,430,000 | 1,417,316 | ||||||||
2.50% 3/4/21 | 605,000 | 613,065 | ||||||||
2.55% 12/7/20 | 3,750,000 | 3,821,246 | ||||||||
3.50% 9/12/29 | GBP | 196,000 | 291,016 | |||||||
3.55% 9/29/25 | 1,500,000 | 1,574,453 | ||||||||
Woori Bank | ||||||||||
144A 2.875% 10/2/18 # | 565,000 | 579,796 | ||||||||
144A 4.75% 4/30/24 # | 800,000 | 842,151 | ||||||||
Zions Bancorporation | 830,000 | 850,539 | ||||||||
|
| |||||||||
228,891,082 | ||||||||||
|
| |||||||||
Basic Industry – 1.12% | ||||||||||
AECOM 5.875% 10/15/24 | 1,215,000 | 1,257,525 | ||||||||
Ball 5.25% 7/1/25 | 610,000 | 642,787 | ||||||||
BHP Billiton Finance | ||||||||||
3.00% 3/30/20 | AUD | 250,000 | 186,514 | |||||||
3.25% 9/25/24 | GBP | 123,000 | 179,653 | |||||||
BHP Billiton Finance USA | ||||||||||
0.879% 9/30/16 ● | 500,000 | 498,502 | ||||||||
144A 6.25% 10/19/75 #● | 490,000 | 494,900 | ||||||||
CF Industries 6.875% 5/1/18 | 1,655,000 | 1,801,570 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Basic Industry (continued) | ||||||||
Corp Nacional del Cobre de Chile | ||||||||
144A 3.875% 11/3/21 # | 565,000 | $ | 579,462 | |||||
144A 4.50% 9/16/25 # | 320,000 | 327,017 | ||||||
Domtar 9.50% 8/1/16 | 327,000 | 335,829 | ||||||
Dow Chemical | 2,322,000 | 2,763,969 | ||||||
Georgia-Pacific | ||||||||
144A 2.539% 11/15/19 # | 1,050,000 | 1,055,201 | ||||||
8.00%1/15/24 | 1,927,000 | 2,488,393 | ||||||
Gerdau Holdings 144A | 100,000 | 96,750 | ||||||
Gerdau Trade 144A | 250,000 | 199,687 | ||||||
Glencore Finance Canada | ||||||||
144A 3.60% 1/15/17 # | 500,000 | 500,530 | ||||||
144A 5.80% 11/15/16 # | 300,000 | 303,766 | ||||||
GTL Trade Finance 144A | 255,000 | 209,342 | ||||||
Heathrow Funding 144A | 200,000 | 217,110 | ||||||
INVISTA Finance 144A | 1,060,000 | 1,022,900 | ||||||
Klabin Finance 144A | 370,000 | 350,261 | ||||||
Lundin Mining 144A | 460,000 | 441,600 | ||||||
LyondellBasell Industries | 500,000 | 534,523 | ||||||
Methanex 4.25% 12/1/24 | 750,000 | 627,372 | ||||||
Mexichem 144A | 550,000 | 495,687 | ||||||
MMC Norilsk Nickel | ||||||||
144A 5.55% 10/28/20 # | 258,000 | 264,747 | ||||||
144A 6.625% 10/14/22 # | 605,000 | 633,928 | ||||||
NOVA Chemicals 144A | 1,156,000 | 1,127,100 | ||||||
OCP | ||||||||
144A 4.50% 10/22/25 # | 1,180,000 | 1,131,720 | ||||||
144A 6.875% 4/25/44 # | 210,000 | 218,635 | ||||||
PolyOne 5.25% 3/15/23 | 290,000 | 290,000 | ||||||
PPG Industries | 685,000 | 695,283 | ||||||
Rio Tinto Finance USA | 420,000 | 419,977 | ||||||
Southern Copper | ||||||||
5.375% 4/16/20 | 25,000 | 26,813 | ||||||
5.875% 4/23/45 | 905,000 | 807,499 |
(continues) 51
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Basic Industry (continued) | ||||||||||
WR Grace & Co-Conn 144A | 130,000 | $ | 135,525 | |||||||
|
| |||||||||
23,362,077 | ||||||||||
|
| |||||||||
Brokerage – 0.31% | ||||||||||
Affiliated Managers Group | 830,000 | 816,804 | ||||||||
Bear Stearns | ||||||||||
6.40% 10/2/17 | 700,000 | 749,043 | ||||||||
7.25% 2/1/18 | 2,000,000 | 2,197,166 | ||||||||
Jefferies Group | ||||||||||
6.45% 6/8/27 | 331,000 | 349,564 | ||||||||
6.50% 1/20/43 | 220,000 | 196,578 | ||||||||
Lazard Group | ||||||||||
3.75% 2/13/25 | 2,100,000 | 1,941,912 | ||||||||
6.85% 6/15/17 | 215,000 | 226,634 | ||||||||
|
| |||||||||
6,477,701 | ||||||||||
|
| |||||||||
Capital Goods – 0.74% | ||||||||||
Cemex | ||||||||||
144A 5.875% 3/25/19 # | 200,000 | 201,500 | ||||||||
144A 6.50% 12/10/19 # | 325,000 | 335,156 | ||||||||
144A 7.25% 1/15/21 # | 560,000 | 583,800 | ||||||||
144A 7.75% 4/16/26 # | 300,000 | 308,220 | ||||||||
Crane | ||||||||||
2.75% 12/15/18 | 170,000 | 173,342 | ||||||||
4.45% 12/15/23 | 1,180,000 | 1,236,471 | ||||||||
Embraer Netherlands Finance | 635,000 | 561,181 | ||||||||
Fortune Brands Home & Security 3.00% 6/15/20 | 580,000 | 587,654 | ||||||||
General Electric | ||||||||||
1.001% 5/5/26 ● | 920,000 | 838,902 | ||||||||
144A 3.80% 6/18/19 # | 345,000 | 367,957 | ||||||||
4.25% 1/17/18 | NZD | 140,000 | 98,560 | |||||||
4.65% 10/17/21 | 89,000 | 101,610 | ||||||||
5.55% 5/4/20 | 470,000 | 542,199 | ||||||||
6.00% 8/7/19 | 1,025,000 | 1,182,243 | ||||||||
Lafarge 6.50% 7/15/16 | 200,000 | 202,990 | ||||||||
Lockheed Martin | ||||||||||
2.50% 11/23/20 | 360,000 | 369,130 | ||||||||
3.10% 1/15/23 | 2,700,000 | 2,804,582 | ||||||||
3.55% 1/15/26 | 725,000 | 769,522 | ||||||||
Masco 3.50% 4/1/21 | 1,265,000 | 1,280,813 | ||||||||
Owens-Brockway Glass Container 144A | 240,000 | 250,500 | ||||||||
Parker-Hannifin | 65,000 | 68,455 |
Principal amount° | Value (U.S. $) | |||||||||
| ||||||||||
Corporate Bonds (continued) |
| |||||||||
| ||||||||||
Capital Goods (continued) | ||||||||||
Reynolds Group Issuer | 170,000 | $ | 175,100 | |||||||
Siemens Financierings-maatschappij | ||||||||||
144A 0.909% 5/25/18 #● | 610,000 | 607,796 | ||||||||
144A 2.90% 5/27/22 # | 600,000 | 625,027 | ||||||||
TransDigm 6.50% 7/15/24 | 65,000 | 64,818 | ||||||||
Union Andina de Cementos | ||||||||||
144A 5.875% 10/30/21 # | 340,000 | 341,700 | ||||||||
USG 6.30% 11/15/16 | 800,000 | 822,000 | ||||||||
|
| |||||||||
15,501,228 | ||||||||||
|
| |||||||||
Communications – 4.09% |
| |||||||||
21st Century Fox America | 1,000,000 | 1,073,362 | ||||||||
Alibaba Group Holding | 3,700,000 | 3,741,070 | ||||||||
Altice US Finance I 144A | 500,000 | 515,937 | ||||||||
America Movil | 620,000 | 687,263 | ||||||||
AT&T | ||||||||||
1.559% 6/30/20 ● | 2,210,000 | 2,188,795 | ||||||||
2.80% 2/17/21 | 2,200,000 | 2,258,148 | ||||||||
3.40% 5/15/25 | 2,300,000 | 2,309,773 | ||||||||
3.60% 2/17/23 | 3,735,000 | 3,885,969 | ||||||||
4.125% 2/17/26 | 1,090,000 | 1,153,409 | ||||||||
Bell Canada 3.35% 3/22/23 | CAD | 219,000 | 177,397 | |||||||
CC Holdings GS V | 450,000 | 464,640 | ||||||||
CCO Holdings | ||||||||||
144A 5.125% 5/1/23 # | 440,000 | 448,800 | ||||||||
5.25% 9/30/22 | 290,000 | 299,425 | ||||||||
CCO Safari II | ||||||||||
144A 4.464% 7/23/22 # | 700,000 | 732,472 | ||||||||
144A 4.908% 7/23/25 # | 2,790,000 | 2,947,244 | ||||||||
CenturyLink | ||||||||||
5.80% 3/15/22 | 1,160,000 | 1,120,386 | ||||||||
6.75% 12/1/23 | 359,000 | 350,474 | ||||||||
Cequel Communications Holdings I 144A | 435,000 | 432,825 | ||||||||
Cisco Systems | 1,545,000 | 1,576,833 | ||||||||
Colombia Telecomunicaciones | 875,000 | 796,337 | ||||||||
Columbus International 144A | 595,000 | 635,906 | ||||||||
Comcast 3.15% 3/1/26 | 4,330,000 | 4,513,852 |
52 |
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Communications (continued) |
| |||||||
Crown Castle Towers | ||||||||
144A 3.663% 5/15/25 # | 110,000 | $ | 111,720 | |||||
144A 4.883% 8/15/20 # | 2,090,000 | 2,241,211 | ||||||
CSC Holdings 5.25% 6/1/24 | 1,604,000 | 1,433,575 | ||||||
Deutsche Telekom International Finance | GBP | 36,000 | 64,332 | |||||
Digicel Group 144A | 1,080,000 | 931,500 | ||||||
DISH DBS 5.00% 3/15/23 | 555,000 | 491,175 | ||||||
Frontier Communications 144A 8.875% 9/15/20 # | 805,000 | 839,213 | ||||||
Gray Television | 695,000 | 736,700 | ||||||
Grupo Televisa | 570,000 | 607,050 | ||||||
GTP Acquisition Partners I | 530,000 | 522,193 | ||||||
KT 144A 1.75% 4/22/17 # | 900,000 | 900,891 | ||||||
Level 3 Financing | 966,000 | 981,697 | ||||||
Millicom International Cellular | ||||||||
144A 6.00% 3/15/25 # | 675,000 | 628,594 | ||||||
144A 6.625% 10/15/21 # | 685,000 | 692,706 | ||||||
Mobile Telesystems OJSC via MTS International Funding | 670,000 | 765,448 | ||||||
Myriad International Holdings | 700,000 | 706,926 | ||||||
NBCUniversal Enterprise | 840,000 | 839,026 | ||||||
Neptune Finco 144A | 240,000 | 260,076 | ||||||
Nielsen Finance 144A | 355,000 | 365,650 | ||||||
Numericable-SFR 144A | 485,000 | 475,300 | ||||||
Omnicom Group | 775,000 | 795,507 | ||||||
Orange 2.75% 9/14/16 | 100,000 | 100,753 | ||||||
SBA Tower Trust | ||||||||
144A 2.24% 4/16/18 # | 735,000 | 730,142 | ||||||
144A 2.898% 10/15/19 # | 600,000 | 602,839 | ||||||
Scripps Networks Interactive | 300,000 | 300,787 | ||||||
SES 144A 3.60% 4/4/23 # | 395,000 | 387,845 | ||||||
SES GLOBAL Americas Holdings 144A | 1,495,000 | 1,374,872 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Communications (continued) |
| |||||||
Sinclair Television Group | 1,405,000 | $ | 1,419,050 | |||||
Sirius XM Radio 144A | 1,732,000 | 1,766,640 | ||||||
Sky 144A 3.75% 9/16/24 # | 3,070,000 | 3,173,975 | ||||||
Sprint Communications | ||||||||
6.00% 12/1/16 | 4,400,000 | 4,394,500 | ||||||
144A 7.00% 3/1/20 # | 265,000 | 266,325 | ||||||
144A 9.00% 11/15/18 # | 790,000 | 831,475 | ||||||
9.125% 3/1/17 | 100,000 | 102,250 | ||||||
Telefonica Emisiones | 1,750,000 | 1,768,858 | ||||||
Time Warner 4.85% 7/15/45 | 1,150,000 | 1,174,423 | ||||||
Time Warner Cable | ||||||||
5.50% 9/1/41 | 250,000 | 248,770 | ||||||
6.75% 7/1/18 | 1,500,000 | 1,651,202 | ||||||
T-Mobile USA | ||||||||
6.125% 1/15/22 | 515,000 | 534,313 | ||||||
6.836% 4/28/23 | 380,000 | 402,800 | ||||||
Tribune Media 144A | 628,000 | 615,113 | ||||||
UPCB Finance IV 144A | 488,000 | 496,540 | ||||||
Verizon Communications | ||||||||
2.382% 9/14/18 ● | 1,550,000 | 1,588,496 | ||||||
2.50% 9/15/16 | 38,000 | 38,297 | ||||||
2.625% 2/21/20 | 800,000 | 823,908 | ||||||
3.00% 11/1/21 | 5,000 | 5,202 | ||||||
3.25% 2/17/26 | EUR | 323,000 | 432,458 | |||||
3.65% 9/14/18 | 1,400,000 | 1,473,755 | ||||||
4.50% 9/15/20 | 2,000,000 | 2,210,288 | ||||||
4.862% 8/21/46 | 1,707,000 | 1,807,368 | ||||||
5.15% 9/15/23 | 2,400,000 | 2,774,467 | ||||||
Vimpel Communications | 620,000 | 665,793 | ||||||
Virgin Media Secured Finance | 990,000 | 994,950 | ||||||
VTR Finance 144A | 1,255,000 | 1,226,763 | ||||||
Wind Acquisition Finance | 395,000 | 359,450 | ||||||
WPP Finance 2010 5.625% 11/15/43 | 225,000 | 233,492 | ||||||
Zayo Group 6.00% 4/1/23 | 695,000 | 697,168 | ||||||
|
| |||||||
85,376,134 | ||||||||
|
|
(continues) 53
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Consumer Cyclical – 3.30% |
| |||||||
American Axle & Manufacturing | 415,000 | $ | 430,044 | |||||
American Honda Finance | 435,000 | 435,321 | ||||||
AutoZone 6.95% 6/15/16 | 300,000 | 303,504 | ||||||
CVS Health | ||||||||
2.80% 7/20/20 | 4,490,000 | 4,664,585 | ||||||
3.875% 7/20/25 | 655,000 | 708,183 | ||||||
144A 5.00% 12/1/24 # | 241,000 | 276,773 | ||||||
CVS Pass Through Trust 144A | 86,277 | 93,636 | ||||||
Daimler 2.75% 12/10/18 | NOK | 1,870,000 | 234,758 | |||||
Daimler Finance North America | ||||||||
144A 0.956% 8/1/17 #● | 540,000 | 536,902 | ||||||
144A 0.985% 3/10/17 #● | 650,000 | 647,225 | ||||||
144A 1.329% 8/3/17 #● | 4,500,000 | 4,499,757 | ||||||
144A 2.00% 8/3/18 # | 3,800,000 | 3,833,501 | ||||||
Delphi Automotive | 300,000 | 306,609 | ||||||
DR Horton | ||||||||
3.75% 3/1/19 | 200,000 | 204,500 | ||||||
4.00% 2/15/20 | 200,000 | 207,000 | ||||||
Ford Motor 7.45% 7/16/31 | 745,000 | 973,027 | ||||||
Ford Motor Credit | ||||||||
1.154% 9/8/17 ● | 500,000 | 493,797 | ||||||
2.24% 6/15/18 | 4,430,000 | 4,437,996 | ||||||
2.943% 1/8/19 | 700,000 | 711,269 | ||||||
3.20% 1/15/21 | 4,600,000 | 4,706,881 | ||||||
3.336% 3/18/21 | 495,000 | 509,957 | ||||||
5.00% 5/15/18 | 1,300,000 | 1,373,391 | ||||||
General Motors Financial | ||||||||
3.00% 9/25/17 | 3,400,000 | 3,432,620 | ||||||
3.45% 4/10/22 | 1,160,000 | 1,140,500 | ||||||
4.375% 9/25/21 | 600,000 | 620,869 | ||||||
4.75% 8/15/17 | 900,000 | 929,379 | ||||||
5.25% 3/1/26 | 730,000 | 764,973 | ||||||
Home Depot | ||||||||
2.00% 4/1/21 | 900,000 | 909,652 | ||||||
3.00% 4/1/26 | 1,305,000 | 1,371,693 | ||||||
Host Hotels & Resorts | ||||||||
3.75% 10/15/23 | 1,270,000 | 1,241,074 | ||||||
4.50% 2/1/26 | 45,000 | 45,590 | ||||||
Hyundai Capital America | ||||||||
144A 2.125% 10/2/17 # | 615,000 | 616,764 | ||||||
144A 2.55% 2/6/19 # | 715,000 | 720,077 | ||||||
144A 3.00% 3/18/21 # | 580,000 | 587,539 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Consumer Cyclical (continued) |
| |||||||
Hyundai Capital Services | 205,000 | $ | 205,021 | |||||
Kia Motors 3.625% 6/14/16 | 900,000 | 903,382 | ||||||
Landry’s 144A | 515,000 | 543,325 | ||||||
Lear 5.25% 1/15/25 | 495,000 | 515,419 | ||||||
Lowe’s 1.055% 9/10/19 ● | 520,000 | 519,387 | ||||||
Marriott International | 650,000 | 673,052 | ||||||
MGM Resorts International | ||||||||
6.00% 3/15/23 | 1,033,000 | 1,074,320 | ||||||
7.50% 6/1/16 | 100,000 | 100,875 | ||||||
10.00% 11/1/16 | 700,000 | 730,929 | ||||||
Nemak 144A | 665,000 | 686,613 | ||||||
Newell Rubbermaid | 155,000 | 160,993 | ||||||
Nissan Motor Acceptance | 1,700,000 | 1,714,178 | ||||||
O’Reilly Automotive | 485,000 | 500,003 | ||||||
PACCAR Financial | 835,000 | 837,118 | ||||||
QVC 5.45% 8/15/34 | 690,000 | 611,708 | ||||||
RCI Banque 144A | 900,000 | 900,776 | ||||||
Sally Holdings 5.75% 6/1/22 | 15,000 | 15,769 | ||||||
Schaeffler Holding Finance | EUR | 1,300,000 | 1,535,222 | |||||
Signet UK Finance | 1,290,000 | 1,280,445 | ||||||
Starwood Hotels & Resorts Worldwide | ||||||||
3.75% 3/15/25 @ | 1,565,000 | 1,626,755 | ||||||
4.50% 10/1/34 @ | 160,000 | 153,451 | ||||||
Toyota Credit Canada | CAD | 100,000 | 77,686 | |||||
Toyota Finance Australia | ||||||||
2.25% 8/31/16 | NOK | 110,000 | 13,337 | |||||
3.04% 12/20/16 | NZD | 760,000 | 524,549 | |||||
Toyota Motor Credit | 420,000 | 435,394 | ||||||
Tupy Overseas 144A | 500,000 | 467,500 | ||||||
Volkswagen International Finance 144A | 1,620,000 | 1,612,268 | ||||||
Wyndham Worldwide | 700,000 | 706,773 |
54 |
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Consumer Cyclical (continued) |
| |||||||
Wynn Las Vegas 144A | 6,600,000 | $ | 6,245,250 | |||||
ZF North America Capital | 400,000 | 406,000 | ||||||
|
| |||||||
68,746,844 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 3.13% |
| |||||||
Actavis Funding | ||||||||
1.30% 6/15/17 | 900,000 | 897,073 | ||||||
2.35% 3/12/18 | 500,000 | 506,145 | ||||||
3.00% 3/12/20 | 1,300,000 | 1,339,920 | ||||||
3.45% 3/15/22 | 1,000,000 | 1,039,514 | ||||||
Amgen | ||||||||
1.218% 5/22/19 ● | 1,000,000 | 991,726 | ||||||
2.30% 6/15/16 | 25,000 | 25,073 | ||||||
4.00% 9/13/29 | GBP | 216,000 | 331,014 | |||||
Anheuser-Busch InBev Finance | ||||||||
1.016% 2/1/19 ● | 340,000 | 338,210 | ||||||
1.90% 2/1/19 | 400,000 | 405,879 | ||||||
2.65% 2/1/21 | 400,000 | 411,309 | ||||||
3.65% 2/1/26 | 6,190,000 | 6,517,383 | ||||||
Anheuser-Busch InBev Worldwide | 1,000,000 | 1,128,196 | ||||||
AstraZeneca | 1,300,000 | 1,348,242 | ||||||
BAT International Finance | 700,000 | 720,287 | ||||||
Bayer US Finance 144A | 295,000 | 294,580 | ||||||
Becton Dickinson | 1,330,000 | 1,516,775 | ||||||
Boston Scientific | 3,800,000 | 3,884,428 | ||||||
Campbell Soup | 1,135,000 | 1,174,411 | ||||||
Celgene 3.25% 8/15/22 | 925,000 | 956,547 | ||||||
Cencosud 144A | 730,000 | 739,553 | ||||||
ConAgra Foods | 260,000 | 259,826 | ||||||
DaVita HealthCare Partners | 2,371,000 | 2,353,217 | ||||||
ENA Norte Trust 144A | 509,297 | 519,483 | ||||||
Gilead Sciences | 500,000 | 515,229 | ||||||
HCA | 1,700,000 | 1,745,730 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Consumer Non-Cyclical (continued) |
| |||||||
HCA | 1,561,000 | $ | 1,580,029 | |||||
HealthSouth | ||||||||
5.125% 3/15/23 | 235,000 | 235,294 | ||||||
5.75% 11/1/24 | 178,000 | 181,204 | ||||||
5.75% 9/15/25 | 190,000 | 192,945 | ||||||
HPHT Finance 15 144A | 200,000 | 202,327 | ||||||
Imperial Brands Finance | ||||||||
144A 2.05% 2/11/18 # | 270,000 | 270,898 | ||||||
144A 2.05% 7/20/18 # | 1,300,000 | 1,304,212 | ||||||
144A 2.95% 7/21/20 # | 700,000 | 720,331 | ||||||
JB y Cia 144A | 1,290,000 | 1,301,146 | ||||||
JBS Investments 144A | 435,000 | 432,825 | ||||||
JBS USA | ||||||||
144A 5.75% 6/15/25 # | 210,000 | 184,800 | ||||||
144A 5.875% 7/15/24 # | 320,000 | 290,400 | ||||||
Johnson & Johnson | 370,000 | 389,532 | ||||||
Kroger 1.15% 10/17/16 ● | 420,000 | 420,271 | ||||||
Mallinckrodt International Finance 144A | 887,000 | 787,213 | ||||||
Medtronic 0.726% 2/27/17 ● | 1,430,000 | 1,428,383 | ||||||
Merck | ||||||||
0.978% 5/18/18 ● | 680,000 | 681,957 | ||||||
0.996% 2/10/20 ● | 900,000 | 896,048 | ||||||
NuVasive 144A | 278,000 | 298,850 | ||||||
PepsiCo | ||||||||
0.972% 10/13/17 ● | 700,000 | 701,777 | ||||||
2.85% 2/24/26 | 1,240,000 | 1,273,823 | ||||||
4.45% 4/14/46 | 355,000 | 396,824 | ||||||
Perrigo Finance Unlimited | 1,975,000 | 2,015,655 | ||||||
Pfizer 0.934% 6/15/18 ● | 754,000 | 752,730 | ||||||
Prestige Brands 144A | 277,000 | 281,848 | ||||||
Reynolds American | ||||||||
3.25% 6/12/20 | 216,000 | 226,104 | ||||||
4.00% 6/12/22 | 1,105,000 | 1,202,462 | ||||||
4.45% 6/12/25 | 2,085,000 | 2,298,273 | ||||||
St. Jude Medical | 125,000 | 127,954 | ||||||
Stryker | ||||||||
2.625% 3/15/21 | 870,000 | 888,174 | ||||||
3.50% 3/15/26 | 300,000 | 311,539 |
(continues) 55
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Consumer Non-Cyclical (continued) |
| |||||||
Sysco 3.30% 7/15/26 | 2,000,000 | $ | 2,032,924 | |||||
Tenet Healthcare | 380,000 | 383,800 | ||||||
Total System Services | ||||||||
3.80% 4/1/21 | 300,000 | 308,865 | ||||||
4.80% 4/1/26 | 1,040,000 | 1,075,201 | ||||||
Tyson Foods 2.65% 8/15/19 | 1,500,000 | 1,539,558 | ||||||
United Rentals North America | ||||||||
5.50% 7/15/25 | 1,351,000 | 1,349,028 | ||||||
5.75% 11/15/24 | 27,000 | 27,135 | ||||||
Valeant Pharmaceuticals International | EUR | 4,200,000 | 3,542,519 | |||||
Zimmer Biomet Holdings | ||||||||
3.375% 11/30/21 | 1,290,000 | 1,327,949 | ||||||
4.625% 11/30/19 | 1,270,000 | 1,374,585 | ||||||
|
| |||||||
65,197,142 | ||||||||
|
| |||||||
Energy – 1.56% | ||||||||
BG Energy Capital 144A | 600,000 | 627,313 | ||||||
BP Capital Markets | 160,000 | 172,700 | ||||||
Chevron 1.162% 3/3/22 ● | 1,575,000 | 1,475,318 | ||||||
CNOOC Finance 2015 | 495,000 | 496,377 | ||||||
ConocoPhillips | 1,075,000 | 987,366 | ||||||
Devon Energy | 500,000 | 489,994 | ||||||
Energy Transfer Partners | 395,000 | 359,640 | ||||||
Enterprise Products Operating | 315,000 | 309,595 | ||||||
Exxon Mobil | 1,125,000 | 1,093,818 | ||||||
Lukoil International Finance | 315,000 | 313,740 | ||||||
Murphy Oil USA | 580,000 | 603,200 | ||||||
Noble Energy | 705,000 | 602,546 | ||||||
Occidental Petroleum | ||||||||
3.40% 4/15/26 | 610,000 | 616,590 | ||||||
4.40% 4/15/46 | 685,000 | 691,149 | ||||||
Pertamina Persero | ||||||||
144A 4.30% 5/20/23 # | 460,000 | 449,851 | ||||||
144A 5.625% 5/20/43 # | 455,000 | 403,010 | ||||||
Petrobras Global Finance | 200,000 | 199,760 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Energy (continued) |
| |||||||
Petrobras Global Finance | ||||||||
2.238% 5/20/16 ● | 4,200,000 | $ | 4,195,800 | |||||
2.762% 1/15/19 ● | 1,400,000 | 1,141,140 | ||||||
3.002% 3/17/17 ● | 600,000 | 580,560 | ||||||
3.522% 3/17/20 ● | 160,000 | 123,600 | ||||||
4.375% 5/20/23 | 1,000,000 | 732,200 | ||||||
4.875% 3/17/20 | 470,000 | 392,309 | ||||||
5.375% 1/27/21 | 600,000 | 497,478 | ||||||
5.875% 3/1/18 | 1,615,000 | 1,554,115 | ||||||
6.125% 10/6/16 | 100,000 | 101,270 | ||||||
6.25% 3/17/24 | 800,000 | 641,760 | ||||||
6.75% 1/27/41 | 300,000 | 217,200 | ||||||
6.85% 6/5/15 | 2,700,000 | 1,896,750 | ||||||
7.25% 3/17/44 | 600,000 | 451,500 | ||||||
7.875% 3/15/19 | 700,000 | 673,050 | ||||||
Petroleos Mexicanos | ||||||||
3.50% 7/23/20 | 215,000 | 211,238 | ||||||
144A 6.375% 2/4/21 # | 170,000 | 181,730 | ||||||
6.50% 6/2/41 | 390,000 | 369,135 | ||||||
144A 6.875% 8/4/26 # | 245,000 | 265,825 | ||||||
Petronas Global Sukuk 144A | 965,000 | 971,810 | ||||||
Regency Energy Partners | ||||||||
5.50% 4/15/23 | 220,000 | 196,664 | ||||||
5.875% 3/1/22 | 965,000 | 938,638 | ||||||
Shell International Finance | ||||||||
0.828% 11/15/16 ● | 340,000 | 339,986 | ||||||
1.071% 5/11/20 ● | 595,000 | 578,088 | ||||||
Sinopec Group Overseas Development 2012 | 500,000 | 506,501 | ||||||
Sinopec Group Overseas Development 2014 144A | 500,000 | 501,420 | ||||||
Southwestern Energy | 1,000,000 | 842,500 | ||||||
Statoil 1.08% 11/8/18 ● | 835,000 | 825,355 | ||||||
Woodside Finance | ||||||||
144A 3.65% 3/5/25 # | 485,000 | 451,384 | ||||||
144A 4.60% 5/10/21 # | 200,000 | 207,475 | ||||||
144A 8.75% 3/1/19 # | 1,125,000 | 1,294,070 | ||||||
YPF | ||||||||
144A 8.50% 3/23/21 # | 295,000 | 296,106 | ||||||
144A 8.75% 4/4/24 # | 480,000 | 477,600 | ||||||
|
| |||||||
32,546,224 | ||||||||
|
| |||||||
Finance Companies – 1.47% |
| |||||||
AerCap Ireland Capital | 800,000 | 823,000 |
56 |
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Finance Companies (continued) |
| |||||||
AerCap Ireland Capital | 575,000 | $ | 588,656 | |||||
American Express | 6,600,000 | 7,242,748 | ||||||
American Express Credit | 1,500,000 | 1,469,697 | ||||||
Citicorp Lease Pass Through Trust Series 1999-1 144A | 200,000 | 234,426 | ||||||
Corp Financiera de Desarrollo | ||||||||
144A 4.75% 7/15/25 # | 690,000 | 714,150 | ||||||
144A 5.25% 7/15/29 #● | 315,000 | 318,150 | ||||||
GE Capital International | 251,000 | 257,303 | ||||||
International Lease Finance | ||||||||
5.75% 5/15/16 | 900,000 | 902,506 | ||||||
144A 6.75% 9/1/16 # | 1,640,000 | 1,666,650 | ||||||
144A 7.125% 9/1/18 # | 100,000 | 109,250 | ||||||
8.75% 3/15/17 | 3,300,000 | 3,484,470 | ||||||
LeasePlan 144A | 1,600,000 | 1,595,307 | ||||||
Murray Street Investment | 4,700,000 | 4,843,825 | ||||||
Navient 7.25% 1/25/22 | 750,000 | 704,063 | ||||||
Peachtree Corners Funding | 860,000 | 862,547 | ||||||
Springleaf Finance | 3,300,000 | 3,415,500 | ||||||
Synchrony Financial | 500,000 | 483,583 | ||||||
Waha Aerospace | 945,000 | 986,722 | ||||||
|
| |||||||
30,702,553 | ||||||||
|
| |||||||
Insurance – 0.74% |
| |||||||
American International Group | 855,000 | 875,112 | ||||||
Berkshire Hathaway | ||||||||
2.75% 3/15/23 | 600,000 | 612,473 | ||||||
3.125% 3/15/26 | 1,035,000 | 1,062,561 | ||||||
Berkshire Hathaway Finance | 885,000 | 932,132 | ||||||
Highmark | ||||||||
144A 4.75% 5/15/21 #@ | 445,000 | 456,301 | ||||||
144A 6.125% 5/15/41 #@ | 160,000 | 167,681 | ||||||
Jackson National Life Global Funding 144A | 200,000 | 200,261 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Insurance (continued) | ||||||||
Liberty Mutual Group 144A | 320,000 | $ | 348,869 | |||||
MetLife Capital Trust IV 144A | 300,000 | 346,500 | ||||||
MetLife Capital Trust X 144A | 1,100,000 | 1,494,625 | ||||||
Metropolitan Life Global | 535,000 | 535,712 | ||||||
Prudential Financial | ||||||||
5.375% 5/15/45 ● | 765,000 | 758,306 | ||||||
5.625% 6/15/43 ● | 440,000 | 448,690 | ||||||
5.875% 9/15/42 ● | 555,000 | 580,669 | ||||||
TIAA Asset Management | ||||||||
144A 2.95% 11/1/19 # | 1,130,000 | 1,147,767 | ||||||
144A 4.125% 11/1/24 # | 1,460,000 | 1,511,558 | ||||||
Trinity Acquisition | ||||||||
3.50% 9/15/21 | 290,000 | 295,380 | ||||||
4.40% 3/15/26 | 330,000 | 335,434 | ||||||
USI 144A 7.75% 1/15/21 # | 92,000 | 92,345 | ||||||
Voya Financial | 875,000 | 818,125 | ||||||
XLIT | ||||||||
4.45% 3/31/25 | 1,125,000 | 1,116,023 | ||||||
5.50% 3/31/45 | 900,000 | 866,573 | ||||||
6.50% 12/29/49 ● | 565,000 | 392,675 | ||||||
|
| |||||||
15,395,772 | ||||||||
|
| |||||||
Natural Gas – 0.98% |
| |||||||
AmeriGas Finance | 435,000 | 448,050 | ||||||
Energy Transfer Partners | 694,000 | 767,886 | ||||||
EnLink Midstream Partners | 275,000 | 213,773 | ||||||
Enterprise Products Operating | 200,000 | 203,300 | ||||||
Florida Gas Transmission | 320,000 | 358,424 | ||||||
Kinder Morgan | ||||||||
2.00% 12/1/17 | 600,000 | 593,810 | ||||||
7.00% 6/15/17 | 800,000 | 839,577 | ||||||
Kinder Morgan | ||||||||
5.00% 10/1/21 | 620,000 | 633,306 | ||||||
5.95% 2/15/18 | 1,000,000 | 1,047,208 | ||||||
6.85% 2/15/20 | 700,000 | 765,509 |
(continues) 57
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Natural Gas (continued) |
| |||||||
Plains All American Pipeline | ||||||||
6.50% 5/1/18 | 800,000 | $ | 834,170 | |||||
8.75% 5/1/19 | 1,160,000 | 1,283,238 | ||||||
Ras Laffan Liquefied Natural | 1,429,800 | 1,529,886 | ||||||
Regency Energy Partners | 1,500,000 | 1,411,583 | ||||||
Rockies Express Pipeline | 500,000 | 501,250 | ||||||
Sabine Pass Liquefaction | 5,500,000 | 5,280,000 | ||||||
Texas Eastern Transmission | 800,000 | 838,212 | ||||||
Williams Partners | ||||||||
4.875% 5/15/23 | 1,800,000 | 1,565,159 | ||||||
7.25% 2/1/17 | 1,310,000 | 1,342,801 | ||||||
|
| |||||||
20,457,142 | ||||||||
|
| |||||||
Real Estate – 1.44% |
| |||||||
American Tower | ||||||||
2.80% 6/1/20 | 405,000 | 407,450 | ||||||
4.00% 6/1/25 | 1,440,000 | 1,488,325 | ||||||
4.40% 2/15/26 | 270,000 | 286,068 | ||||||
5.05% 9/1/20 | 500,000 | 543,565 | ||||||
American Tower Trust I 144A | 970,000 | 972,104 | ||||||
CBL & Associates | ||||||||
4.60% 10/15/24 | 865,000 | 788,779 | ||||||
5.25% 12/1/23 | 185,000 | 175,981 | ||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 690,000 | 649,173 | ||||||
5.25% 2/15/24 | 670,000 | 690,723 | ||||||
Crown Castle International | ||||||||
3.40% 2/15/21 | 560,000 | 568,969 | ||||||
4.45% 2/15/26 | 630,000 | 656,322 | ||||||
DDR | ||||||||
7.50% 4/1/17 | 940,000 | 990,523 | ||||||
7.875% 9/1/20 | 731,000 | 879,178 | ||||||
Digital Realty Trust | 2,100,000 | 2,149,025 | ||||||
Education Realty Operating | 950,000 | 941,023 | ||||||
Equinix 5.375% 4/1/23 | 1,203,000 | 1,251,120 | ||||||
GEO Group | ||||||||
5.125% 4/1/23 | 285,000 | 278,587 | ||||||
5.875% 10/15/24 | 285,000 | 288,919 | ||||||
Goodman Funding 144A | 5,300,000 | 6,109,978 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Real Estate (continued) | ||||||||
HCP 5.375% 2/1/21 | 2,300,000 | $ | 2,514,395 | |||||
Hospitality Properties Trust | 870,000 | 838,141 | ||||||
IRSA Propiedades | 440,000 | 441,760 | ||||||
Kimco Realty 3.40% 11/1/22 | 190,000 | 192,874 | ||||||
PLA Administradora Industrial | 670,000 | 648,225 | ||||||
Prologis 4.00% 1/15/18 | 300,000 | 310,628 | ||||||
Regency Centers | 213,000 | 223,359 | ||||||
Simon Property Group | ||||||||
2.50% 7/15/21 | 345,000 | 352,782 | ||||||
3.30% 1/15/26 | 430,000 | 446,798 | ||||||
Trust F 144A | 545,000 | 542,275 | ||||||
UDR 4.00% 10/1/25 | 290,000 | 301,813 | ||||||
VEREIT Operating Partnership | 500,000 | 497,500 | ||||||
WEA Finance 144A | 1,800,000 | 1,840,464 | ||||||
WP Carey 4.60% 4/1/24 | 695,000 | 708,129 | ||||||
|
| |||||||
29,974,955 | ||||||||
|
| |||||||
Technology – 0.86% | ||||||||
Apple | ||||||||
0.92% 5/6/19 ● | 840,000 | 835,960 | ||||||
3.25% 2/23/26 | 3,215,000 | 3,360,839 | ||||||
CDK Global 4.50% 10/15/24 | 700,000 | 694,558 | ||||||
Cisco Systems | 650,000 | 650,073 | ||||||
Denali International 144A | 700,000 | 740,163 | ||||||
eBay | ||||||||
1.096% 8/1/19 ● | 765,000 | 742,625 | ||||||
1.35% 7/15/17 | 500,000 | 499,125 | ||||||
First Data | ||||||||
144A 5.00% 1/15/24 # | 195,000 | 195,975 | ||||||
144A 5.75% 1/15/24 # | 1,165,000 | 1,169,252 | ||||||
144A 7.00% 12/1/23 # | 448,000 | 454,160 | ||||||
Hewlett Packard Enterprise | ||||||||
144A 2.45% 10/5/17 # | 300,000 | 302,069 | ||||||
144A 2.85% 10/5/18 # | 150,000 | 152,611 | ||||||
Intel 2.45% 7/29/20 | 200,000 | 207,106 | ||||||
International Business Machines | ||||||||
1.20% 11/6/21 ● | 690,000 | 676,477 | ||||||
1.625% 5/15/20 | 440,000 | 441,891 |
58
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Technology (continued) |
| |||||||
Jabil Circuit 7.75% 7/15/16 | 92,000 | $ | 93,391 | |||||
Micron Technology | 695,000 | 566,859 | ||||||
Oracle | ||||||||
1.13% 10/8/19 ● | 940,000 | 940,237 | ||||||
3.25% 5/15/30 | 915,000 | 923,888 | ||||||
QUALCOMM 3.00% 5/20/22 | 700,000 | 730,479 | ||||||
Samsung Electronics America | 745,000 | 744,382 | ||||||
Symantec 4.20% 9/15/20 | 2,000,000 | 2,070,516 | ||||||
Tencent Holdings 144A | 690,000 | 715,231 | ||||||
|
| |||||||
17,907,867 | ||||||||
|
| |||||||
Transportation – 0.84% |
| |||||||
Air Canada 2015-1 Class A Pass Through Trust 144A | 570,934 | 545,955 | ||||||
American Airlines 2011-1 | 381,613 | 403,556 | ||||||
American Airlines 2014-1 | 442,657 | 433,804 | ||||||
American Airlines 2015-1 | 367,418 | 358,692 | ||||||
American Airlines 2015-2 | 245,000 | 252,656 | ||||||
American Airlines 2016-1 | 485,000 | 498,944 | ||||||
AP Moeller - Maersk 144A | 200,000 | 196,006 | ||||||
Aviation Capital Group | ||||||||
144A 2.875% 9/17/18 # | 445,000 | 447,372 | ||||||
144A 4.875% 10/1/25 # | 495,000 | 490,669 | ||||||
144A 6.75% 4/6/21 # | 790,000 | 889,737 | ||||||
Burlington Northern Santa Fe | 1,440,000 | 1,607,738 | ||||||
Continental Airlines 2009-2 | ||||||||
7.25% 11/10/19 ¿ | 648,468 | 731,958 | ||||||
CSX 3.35% 11/1/25 | 1,270,000 | 1,310,401 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust | 277,221 | 319,150 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Transportation (continued) | ||||||||
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A | 1,531,984 | $ | 1,558,696 | |||||
FedEx 4.75% 11/15/45 | 340,000 | 361,282 | ||||||
Kansas City Southern 144A | 900,000 | 892,715 | ||||||
Latam Airlines 2015-1 | 500,000 | 437,500 | ||||||
Penske Truck Leasing | ||||||||
144A 3.30% 4/1/21 # | 855,000 | 852,927 | ||||||
144A 3.75% 5/11/17 # | 200,000 | 203,142 | ||||||
UAL 2009-1 Pass Through | 105,003 | 109,209 | ||||||
UAL 2009-2A Pass Through Trust 9.75% 1/15/17 ¿ | 460,541 | 484,227 | ||||||
United Airlines 2014-1 Class A Pass Through Trust | 339,598 | 351,059 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | 631,087 | 631,876 | ||||||
United Parcel Service | 2,210,000 | 2,456,039 | ||||||
US Airways 2012-2 Class A Pass Through Trust 4.625% 6/3/25 ¿ | 580,404 | 615,594 | ||||||
|
| |||||||
17,440,904 | ||||||||
|
| |||||||
Utilities – 3.55% |
| |||||||
AES 5.50% 4/15/25 | 1,940,000 | 1,881,800 | ||||||
AES Gener | ||||||||
144A 5.00% 7/14/25 # | 315,000 | 317,473 | ||||||
144A 5.25% 8/15/21 # | 525,000 | 558,446 | ||||||
144A 8.375% 12/18/73 #@● | 676,000 | 694,590 | ||||||
Alabama Power | 740,000 | 790,269 | ||||||
Ameren 3.65% 2/15/26 | 225,000 | 231,232 | ||||||
Ameren Illinois | ||||||||
3.25% 3/1/25 | 410,000 | 430,548 | ||||||
4.15% 3/15/46 | 695,000 | 740,607 | ||||||
9.75% 11/15/18 | 2,110,000 | 2,535,161 | ||||||
American Transmission | 2,445,000 | 2,722,104 | ||||||
American Water Capital | ||||||||
3.40% 3/1/25 | 215,000 | 226,731 | ||||||
4.30% 9/1/45 | 885,000 | 936,427 |
(continues) 59 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Utilities (continued) | ||||||||
Appalachian Power | ||||||||
3.40% 6/1/25 | 170,000 | $ | 174,262 | |||||
4.45% 6/1/45 | 585,000 | 605,650 | ||||||
Berkshire Hathaway Energy | 1,235,000 | 1,320,010 | ||||||
Black Hills 3.95% 1/15/26 @ | 310,000 | 325,697 | ||||||
Calpine | ||||||||
5.375% 1/15/23 | 438,000 | 426,778 | ||||||
5.50% 2/1/24 | 699,000 | 674,535 | ||||||
CenterPoint Energy | 35,000 | 36,205 | ||||||
Cleveland Electric Illuminating | 515,000 | 594,689 | ||||||
CMS Energy | ||||||||
3.60% 11/15/25 | 55,000 | 56,905 | ||||||
6.25% 2/1/20 | 1,080,000 | 1,242,143 | ||||||
ComEd Financing III | 680,000 | 736,054 | ||||||
Commonwealth Edison | 1,160,000 | 1,272,092 | ||||||
Consumers Energy | 275,000 | 291,108 | ||||||
Dominion Gas Holdings | 1,845,000 | 1,819,266 | ||||||
Dominion Resources | 65,000 | 66,981 | ||||||
DTE Energy 144A | 855,000 | 888,554 | ||||||
Duke Energy | ||||||||
1.625% 8/15/17 | 1,000,000 | 1,001,957 | ||||||
3.75% 4/15/24 | 1,145,000 | 1,199,109 | ||||||
4.80% 12/15/45 | 1,110,000 | 1,185,819 | ||||||
Duke Energy Carolinas | 545,000 | 556,462 | ||||||
Duke Energy Indiana | 835,000 | 835,287 | ||||||
Electricite de France | ||||||||
144A 1.084% 1/20/17 #● | 840,000 | 838,545 | ||||||
144A 5.25% 12/29/49 #● | 1,400,000 | 1,286,250 | ||||||
Enel 144A | 1,405,000 | 1,566,575 | ||||||
Enel Finance International | 550,000 | 647,702 | ||||||
Entergy 4.00% 7/15/22 | 1,120,000 | 1,189,290 | ||||||
Entergy Arkansas | ||||||||
3.50% 4/1/26 | 265,000 | 283,510 | ||||||
3.75% 2/15/21 | 200,000 | 215,898 | ||||||
Entergy Louisiana | 1,555,000 | 1,700,778 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) | ||||||||
| ||||||||
Utilities (continued) | ||||||||
Entergy Louisiana | 235,000 | $ | 240,734 | |||||
Exelon 144A | 1,330,000 | 1,381,012 | ||||||
FirstEnergy 2.75% 3/15/18 | 1,000,000 | 1,009,982 | ||||||
Great Plains Energy | 545,000 | 593,880 | ||||||
Indiana Michigan Power | 465,000 | 480,430 | ||||||
IPALCO Enterprises | 165,000 | 174,075 | ||||||
ITC Holdings 3.65% 6/15/24 | 70,000 | 70,193 | ||||||
Jersey Central Power & Light | 1,000,000 | 1,121,695 | ||||||
Kansas City Power & Light | 1,350,000 | 1,396,481 | ||||||
Laclede Group | 700,000 | 697,382 | ||||||
LG&E & KU Energy | ||||||||
3.75% 11/15/20 | 165,000 | 174,744 | ||||||
4.375% 10/1/21 | 1,555,000 | 1,686,895 | ||||||
Louisville Gas & Electric | 470,000 | 513,889 | ||||||
Majapahit Holding | 400,000 | 458,000 | ||||||
Metropolitan Edison 144A | 600,000 | 615,042 | ||||||
MidAmerican Energy | 1,965,000 | 2,114,071 | ||||||
National Rural Utilities | ||||||||
2.30% 11/1/20 | 105,000 | 106,966 | ||||||
2.70% 2/15/23 | 1,330,000 | 1,352,118 | ||||||
2.85% 1/27/25 | 30,000 | 30,576 | ||||||
3.25% 11/1/25 | 85,000 | 89,193 | ||||||
4.75% 4/30/43 ● | 1,640,000 | 1,583,666 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.40% 9/15/19 | 1,455,000 | 1,451,786 | ||||||
2.70% 9/15/19 | 450,000 | 455,260 | ||||||
3.625% 6/15/23 | 330,000 | 339,870 | ||||||
NV Energy 6.25% 11/15/20 | 935,000 | 1,080,804 | ||||||
Pedernales Electric | 620,000 | 759,675 | ||||||
Pennsylvania Electric | 1,380,000 | 1,453,210 | ||||||
Perusahaan Listrik Negara | 900,000 | 973,170 |
60
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Corporate Bonds (continued) |
| |||||||
| ||||||||
Utilities (continued) | ||||||||
Public Service Electric & Gas | 100,000 | $ | 102,371 | |||||
Public Service of New | 635,000 | 671,970 | ||||||
Public Service of Oklahoma | 1,300,000 | 1,422,417 | ||||||
Puget Energy | ||||||||
6.00% 9/1/21 | 340,000 | 388,127 | ||||||
6.50% 12/15/20 | 3,800,000 | 4,410,671 | ||||||
SCANA 4.125% 2/1/22 | 810,000 | 829,280 | ||||||
Southern 2.75% 6/15/20 | 2,955,000 | 2,998,929 | ||||||
Southwestern Electric Power | 690,000 | 771,347 | ||||||
Trans-Allegheny Interstate | 960,000 | 993,657 | ||||||
WEC Energy Group | 820,000 | 853,508 | ||||||
Westar Energy | 675,000 | 708,552 | ||||||
Wisconsin Electric Power | 555,000 | 606,479 | ||||||
Xcel Energy 3.30% 6/1/25 | 1,715,000 | 1,762,034 | ||||||
|
| |||||||
74,027,640 | ||||||||
|
| |||||||
Total Corporate Bonds | 732,005,265 | |||||||
|
| |||||||
| ||||||||
Municipal Bonds – 1.90% |
| |||||||
| ||||||||
American Municipal Power, Ohio (Combined | ||||||||
Series 2010 | 1,500,000 | 2,300,940 | ||||||
Atlanta, Georgia Water & | 480,000 | 562,483 | ||||||
Bay Area, California Toll | ||||||||
6.918% 4/1/40 | 800,000 | 1,104,384 | ||||||
7.043% 4/1/50 | 3,000,000 | 4,421,940 | ||||||
California State (Taxable Build America Bonds) | ||||||||
7.35% 11/1/39 | 1,000,000 | 1,473,760 | ||||||
7.60% 11/1/40 | 1,900,000 | 2,951,061 | ||||||
California State Various Purpose |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Municipal Bonds (continued) |
| |||||||
| ||||||||
(Taxable Build America Bonds) | ||||||||
7.30% 10/1/39 | 200,000 | $ | 293,326 | |||||
7.55% 4/1/39 | 1,900,000 | 2,909,660 | ||||||
Chicago, Illinois Transit | ||||||||
(Pension Funding) Series A | 1,800,000 | 2,158,524 | ||||||
(Retiree Health Care | 1,800,000 | 2,158,524 | ||||||
Clark County Department of | ||||||||
Series C 6.82% 7/1/45 | 600,000 | 892,050 | ||||||
Commonwealth of | ||||||||
Series A 5.00% 3/1/46 | 675,000 | 786,024 | ||||||
Dallas, Texas Area Rapid | ||||||||
Series A 5.00% 12/1/46 | 775,000 | 915,608 | ||||||
Los Angeles, California | 800,000 | 1,147,136 | ||||||
Municipal Electric Authority of | 1,800,000 | 2,162,070 | ||||||
New Jersey Turnpike Authority | ||||||||
Series E 5.00% 1/1/45 | 765,000 | 878,771 | ||||||
New York City Water & Sewer | 690,000 | 808,735 | ||||||
New York City, New York | ||||||||
Series C 5.00% 8/1/26 | 355,000 | 448,823 | ||||||
Series C 5.00% 8/1/27 | 510,000 | 639,484 | ||||||
New York City, New York | 700,000 | 881,839 |
(continues) 61
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Municipal Bonds (continued) |
| |||||||
| ||||||||
New York State Urban Development (Build America Bonds) | 800,000 | $ | 1,012,600 | |||||
New York State Urban Development (Personal Income Tax) | ||||||||
Series A 5.00% 3/15/26 | 400,000 | 511,236 | ||||||
Series A 5.00% 3/15/27 | 200,000 | 252,228 | ||||||
North Carolina State | ||||||||
Series A 5.00% 6/1/27 | 1,005,000 | 1,303,093 | ||||||
Oregon State Taxable Pension | 65,000 | 80,797 | ||||||
Pennsylvania Turnpike Commission | ||||||||
Series B-1 1.38% | 750,000 | 744,705 | ||||||
Port Authority of New York & New Jersey Consolidated Bonds (One Hundred Sixty-Fifth Series) | 3,300,000 | 4,118,202 | ||||||
Texas State Transportation Commission | ||||||||
Series A 5.00% 10/1/44 | 320,000 | 377,165 | ||||||
Texas Water Development Board | ||||||||
Series A 5.00% 10/15/45 | 755,000 | 897,370 | ||||||
University of California | ||||||||
Series Y-1 0.934% | 500,000 | 499,845 | ||||||
|
| |||||||
Total Municipal Bonds | 39,692,383 | |||||||
|
| |||||||
| ||||||||
Non-Agency Asset-Backed Securities – 4.82% |
| |||||||
| ||||||||
ABFC Trust | ||||||||
Series 2006-HE1 A2D 0.653% 1/25/37 ● | 457,211 | 267,651 | ||||||
Accredited Mortgage Loan Trust | ||||||||
Series 2006-2 A4 0.693% 9/25/36 ● | 3,500,000 | 2,919,730 | ||||||
Series 2007-1 A3 0.563% 2/25/37 ● | 2,157,276 | 2,046,410 | ||||||
AEP Texas Central Transition Funding II | ||||||||
Series 2006-A A4 5.17% 1/1/18 | 329,129 | 341,980 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
American Express Credit Account Master Trust | ||||||||
Series 2013-1 A 0.856% 2/16/21 ● | 500,000 | $ | 501,037 | |||||
Series 2013-2 A 0.856% 5/17/21 ● | 530,000 | 530,846 | ||||||
Series 2014-1 A 0.806% 12/15/21 ● | 1,000,000 | 998,126 | ||||||
American Express Credit Account Secured Note Trust | ||||||||
Series 2012-4 A 0.676% 5/15/20 ● | 3,190,000 | 3,186,990 | ||||||
Ameriquest Mortgage Securities Asset-Backed Pass Through Certificates | ||||||||
Series 2005-R5 M2 0.893% 7/25/35 ¿● | 1,400,000 | 1,340,496 | ||||||
Series 2005-R7 M2 0.933% 9/25/35 ¿● | 2,000,000 | 1,775,028 | ||||||
Argent Securities Asset-Backed Pass Through Certificates | ||||||||
Series 2003-W9 M1 1.471% 1/25/34 ¿● | 335,797 | 309,031 | ||||||
Argent Securities Trust | ||||||||
Series 2006-M1 A2C 0.583% 7/25/36 ● | 1,429,635 | 537,284 | ||||||
Series 2006-M1 A2D 0.673% 7/25/36 ● | 1,429,635 | 551,595 | ||||||
Series 2006-W4 A2C 0.593% 5/25/36 ● | 734,126 | 235,518 | ||||||
Avis Budget Rental Car Funding AESOP | ||||||||
Series 2011-3A A 144A 3.41% 11/20/17 # | 565,000 | 569,258 | ||||||
Series 2013-1A A 144A 1.92% 9/20/19 # | 700,000 | 693,714 | ||||||
Series 2014-1A A 144A 2.46% 7/20/20 # | 665,000 | 665,012 | ||||||
BA Credit Card Trust | ||||||||
Series 2014-A2 A 0.706% 9/16/19 ● | 1,000,000 | 1,000,000 | ||||||
Series 2014-A3 A 0.726% 1/15/20 ● | 1,170,000 | 1,170,349 | ||||||
Series 2015-A1 A 0.766% 6/15/20 ● | 3,185,000 | 3,187,248 | ||||||
Bear Stearns Asset-Backed Securities Trust | ||||||||
Series 2007-SD1 22A1 2.177% 10/25/36 ● | 232,461 | 158,592 |
62
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
Series 2005-FR1 M2 1.103% 6/25/35 ● | 2,000,000 | $ | 1,709,678 | |||||
Series 2007-HE2 1A2 0.603% 3/25/37 ● | 499,758 | 502,082 | ||||||
California Republic Auto Receivables Trust | ||||||||
Series 2013-1 A2 144A 1.41% 9/17/18 # | 80,908 | 80,913 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
Series 2007-A1 A1 0.486% 11/15/19 ● | 500,000 | 499,205 | ||||||
Series 2007-A5 A5 0.476% 7/15/20 ● | 1,380,000 | 1,374,515 | ||||||
Centex Home Equity Loan Trust | ||||||||
Series 2002-A AF6 5.54% 1/25/32 | 2,614 | 2,607 | ||||||
Chase Issuance Trust | ||||||||
Series 2007-A2 A2 0.486% 4/15/19 ● | 550,000 | 549,080 | ||||||
Series 2007-A12 A12 0.486% 8/15/19 ● | 500,000 | 498,203 | ||||||
Series 2013-A6 A6 0.856% 7/15/20 ● | 500,000 | 500,542 | ||||||
Series 2013-A9 A 0.856% 11/16/20 ● | 3,150,000 | 3,156,733 | ||||||
Series 2014-A5 A5 0.806% 4/15/21 ● | 500,000 | 499,531 | ||||||
Chesapeake Funding | ||||||||
Series 2014-1A A 144A 0.861% 3/7/26 #● | 713,461 | 711,443 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
Series 2006-A8 A8 0.662% 12/17/18 ● | 500,000 | 499,369 | ||||||
Series 2013-A2 A2 0.712% 5/26/20 ● | 1,450,000 | 1,448,122 | ||||||
Series 2013-A4 A4 0.852% 7/24/20 ● | 500,000 | 500,716 | ||||||
Series 2013-A7 A7 0.872% 9/10/20 ● | 500,000 | 501,255 | ||||||
Series 2014-A9 A9 0.682% 11/23/18 ● | 2,475,000 | 2,475,000 | ||||||
Citicorp Residential Mortgage Trust | ||||||||
Series 2006-3 A5 5.948% 11/25/36 f | 900,000 | 890,590 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Citigroup Mortgage Loan Trust | ||||||||
Series 2007-FS1 1A1 144A 4.547% 10/25/37 #f | 2,708,952 | $ | 2,476,245 | |||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2004-3 2A 0.833% 8/25/34 ● | 59,986 | 56,196 | ||||||
Series 2005-AB2 2A3 1.203% 11/25/35 ● | 713,914 | 686,613 | ||||||
Series 2006-1 AF6 4.946% 7/25/36 ● | 1,086,525 | 1,065,010 | ||||||
Series 2006-26 2A4 0.653% 6/25/37 ● | 2,000,000 | 1,378,856 | ||||||
Series 2007-6 2A4 0.743% 9/25/37 ● | 914,758 | 429,453 | ||||||
CWABS Asset-Backed Certificates Trust | ||||||||
Series 2005-7 MV3 1.013% 11/25/35 ● | 400,000 | 360,932 | ||||||
Series 2006-11 1AF6 4.712% 9/25/46 ● | 466,875 | 719,850 | ||||||
Series 2006-17 2A2 0.583% 3/25/47 ● | 3,931,484 | 3,459,110 | ||||||
Dell Equipment Finance Trust 2015-2 | ||||||||
Series 2015-2 A1 144A 0.53% 10/24/16 # | 883,533 | 883,534 | ||||||
Discover Card Execution Note Trust | ||||||||
Series 2012-A4 A4 0.806% 11/15/19 ● | 600,000 | 600,962 | ||||||
Series 2013-A1 A1 0.736% 8/17/20 ● | 450,000 | 449,887 | ||||||
Series 2013-A6 A6 0.886% 4/15/21 ● | 2,000,000 | 2,003,059 | ||||||
Series 2014-A1 A1 0.866% 7/15/21 ● | 1,940,000 | 1,941,553 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
Series 2014-1 A2 0.836% 2/15/19 ● | 750,000 | 748,655 | ||||||
Series 2014-4 A2 0.786% 8/15/19 ● | 1,240,000 | 1,235,710 | ||||||
GE Dealer Floorplan Master Note Trust | ||||||||
Series 2013-1 A 0.832% 4/20/18 ● | 550,000 | 550,000 | ||||||
Series 2014-2 A 0.882% 10/20/19 ● | 1,000,000 | 993,704 |
(continues) 63
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Golden Credit Card Trust | ||||||||
Series 2014-2A A 144A | 420,000 | $ | 415,094 | |||||
GreatAmerica Leasing Receivables Funding | ||||||||
Series 2013-1 B 144A 1.44% 5/15/18 # | 100,000 | 99,797 | ||||||
GSAMP Trust | ||||||||
Series 2006-FM3 A2D 0.663% 11/25/36 ● | 1,263,906 | 667,925 | ||||||
Series 2006-HE6 A3 0.583% 8/25/36 ● | 1,120,227 | 825,112 | ||||||
Series 2007-SEA1 A 144A | 1,185,870 | 1,066,450 | ||||||
HOA Funding | ||||||||
Series 2014-1A A2 144A | 1,047,600 | 935,686 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust | ||||||||
Series 2007-A 2A3 0.673% 4/25/37 ● | 1,905,745 | 1,089,861 | ||||||
HSI Asset Securitization Trust | ||||||||
Series 2006-HE1 2A1 0.483% 10/25/36 ● | 37,568 | 18,213 | ||||||
JPMorgan Mortgage Acquisition Trust | ||||||||
Series 2006-CW2 AV5 | 500,000 | 397,007 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2006-FF1 M2 0.723% 8/25/36 ● | 2,000,000 | 1,919,641 | ||||||
MMAF Equipment Finance | ||||||||
Series 2014-AA A4 144A 1.59% 2/8/22 # | 810,000 | 804,432 | ||||||
Morgan Stanley ABS Capital I Trust | ||||||||
Series 2007-HE1 A2C 0.583% 11/25/36 ● | 6,374,436 | 3,598,008 | ||||||
Series 2007-HE5 A2D 0.773% 3/25/37 ● | 4,188,544 | 1,903,964 | ||||||
New Century Home Equity Loan Trust | ||||||||
Series 2005-1 M2 1.153% 3/25/35 ● | 571,132 | 481,192 | ||||||
Option One Mortgage Loan Trust | ||||||||
Series 2007-4 2A4 0.743% 4/25/37 ● | 7,973,572 | 4,502,684 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
| ||||||||
Option One Mortgage Loan Trust 2005-1 | ||||||||
Series 2005-1 M1 1.213% 2/25/35 ● | 2,155,252 | $ | 1,630,833 | |||||
Penarth Master Issuer | ||||||||
Series 2015-2A A1 144A | 4,400,000 | 4,385,242 | ||||||
PFS Financing | ||||||||
Series 2015-AA A 144A | 250,000 | 246,802 | ||||||
RAAC Trust | ||||||||
Series 2005-SP2 2A 0.733% 6/25/44 ● | 689,545 | 578,619 | ||||||
RAMP Trust | ||||||||
Series 2006-RZ5 A2 0.613% 8/25/46 ● | 459,134 | 443,305 | ||||||
Series 2007-RZ1 A2 0.593% 2/25/37 ● | 897,681 | 810,123 | ||||||
Rise | ||||||||
Series 2014-1 A 4.75% 2/15/39 ● | 2,558,171 | 2,513,403 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
Series 2014-5 A2B 0.836% 4/16/18 ● | 103,138 | 103,133 | ||||||
SLM Student Loan Trust | ||||||||
Series 2008-9 A 2.119% 4/25/23 ● | 2,647,554 | 2,617,953 | ||||||
Series 2012-5 A2 0.733% 6/25/19 ● | 587,260 | 581,519 | ||||||
Soundview Home Loan Trust | ||||||||
Series 2006-OPT2 A3 0.613% 5/25/36��● | 2,680,698 | 2,518,110 | ||||||
Series 2006-WF2 A1 0.563% 12/25/36 ● | 817,428 | 781,022 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2003-BC2 M1 1.813% 4/25/33 ● | 36,745 | 29,877 | ||||||
Trade MAPS 1 | ||||||||
Series 2013-1A A 144A | 500,000 | 496,778 | ||||||
VOLT XLI | ||||||||
Series 2016-NPL1 A1 144A | 2,274,209 | 2,271,523 | ||||||
VOLT XLII | ||||||||
Series 2016-NPL2 A1 144A | 2,300,000 | 2,297,240 | ||||||
|
| |||||||
Total Non-Agency | 100,455,356 | |||||||
|
|
64
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Collateralized Mortgage |
| |||||||
| ||||||||
Alternative Loan Trust | ||||||||
Series 2004-J1 1A1 | 2,240 | $ | 2,267 | |||||
Series 2004-J2 7A1 | 1,130 | 1,126 | ||||||
Alternative Loan Trust Resecuritization | ||||||||
Series 2008-2R 3A1 | 1,726,114 | 1,365,112 | ||||||
ARM Trust | ||||||||
Series 2004-5 3A1 | 1,176,255 | 1,161,143 | ||||||
Series 2005-10 3A31 | 453,876 | 392,493 | ||||||
Series 2006-2 1A4 | 1,382,284 | 1,219,209 | ||||||
Bank of America Alternative Loan Trust | ||||||||
Series 2005-3 2A1 | 20,206 | 20,170 | ||||||
Series 2005-6 7A1 | 69,037 | 67,427 | ||||||
Bank of America Funding Trust | ||||||||
Series 2006-I 1A1 | 545,553 | 545,964 | ||||||
Bank of America Mortgage Trust | ||||||||
Series 2003-D 2A1 | 577,513 | 576,849 | ||||||
Bear Stearns ARM Trust | ||||||||
Series 2003-5 2A1 | 91,539 | 90,782 | ||||||
Series 2005-2 A2 | 161,933 | 162,717 | ||||||
Series 2005-5 A1 | 1,652,096 | 1,654,973 | ||||||
Chase Mortgage Finance Trust | ||||||||
Series 2005-A1 3A1 | 200,131 | 180,747 | ||||||
ChaseFlex Trust | ||||||||
Series 2006-1 A4 | 420,000 | 348,169 | ||||||
CHL Mortgage Pass Through Trust | ||||||||
Series 2003-21 A1 | 1,539 | 1,539 | ||||||
Series 2007-4 1A1 | 1,742,898 | 1,542,689 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
Claris ABS | ||||||||
Series 2011-1 A | EUR | 4,352,166 | $ | 4,910,691 | ||||
CSMC Mortgage-Backed Trust | ||||||||
Series 2005-1R 2A5 144A | 2,108,315 | 1,859,269 | ||||||
Series 2007-1 5A14 | 394,186 | 336,930 | ||||||
Series 2007-3 4A6 | 393,317 | 313,193 | ||||||
Series 2007-3 4A12 | 393,317 | 60,166 | �� | |||||
Series 2007-3 4A15 | 174,645 | 163,305 | ||||||
Deutsche Mortgage Securities Re-REMIC Trust Certificates | ||||||||
Series 2005-WF1 1A3 | 256,325 | 253,078 | ||||||
Eurosail-UK | ||||||||
Series 2007-4X A2A 0.891% 6/13/45 ● | GBP | 107,825 | 153,766 | |||||
First Horizon Mortgage Pass Through Trust | ||||||||
Series 2005-AR2 2A1 | 159,330 | 150,252 | ||||||
GMACM Mortgage Loan Trust | ||||||||
Series 2006-J1 A1 | 80,306 | 74,716 | ||||||
Goldman Sachs Mortgage Securities Trust Trust | ||||||||
Series 2016-RENT A 144A | 2,300,000 | 2,376,714 | ||||||
GSMPS Mortgage Loan Trust | ||||||||
Series 1998-3 A 144A | 6,077 | 6,178 | ||||||
GSR Mortgage Loan Trust | ||||||||
Series 2007-AR1 2A1 | 1,554,337 | 1,276,088 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2006-A6 2A4L | 893,265 | 777,369 | ||||||
Series 2006-A7 2A2 | 172,800 | 151,975 | ||||||
Series 2007-A1 6A1 | 331,352 | 326,425 | ||||||
Series 2014-2 B1 144A | 87,131 | 89,580 | ||||||
Series 2014-2 B2 144A | 87,131 | 88,227 | ||||||
Series 2015-4 B1 144A | 502,649 | 489,119 |
(continues) 65
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
JPMorgan Mortgage Trust | ||||||||
Series 2015-4 B2 144A | 359,739 | $ | 342,791 | |||||
Series 2015-5 B2 144A | 545,163 | 508,707 | ||||||
Series 2015-6 B1 144A | 366,067 | 377,058 | ||||||
Series 2015-6 B2 144A | 356,173 | 359,787 | ||||||
JPMorgan Trust | ||||||||
Series 2015-1 B1 144A | 659,167 | 650,799 | ||||||
Lehman Mortgage Trust | ||||||||
Series 2007-10 2A2 | 2,440,301 | 1,884,218 | ||||||
Ludgate Funding | ||||||||
Series 2006-1X A2A | GBP | 2,039,259 | 2,643,006 | |||||
Series 2008-W1X A1 | GBP | 922,919 | 1,223,638 | |||||
Mansard Mortgages 2007-1 Parent | ||||||||
Series 2007-1X A2 | GBP | 978,631 | 1,254,082 | |||||
MASTR Alternative Loan Trust | ||||||||
Series 2004-3 8A1 | 4,059 | 4,168 | ||||||
Series 2004-5 6A1 | 55,328 | 57,876 | ||||||
MASTR ARM Trust | ||||||||
Series 2003-6 1A2 | 3,749 | 3,681 | ||||||
Series 2004-4 4A1 | 134,457 | 130,344 | ||||||
MASTR Asset Securitization Trust | ||||||||
Series 2003-9 2A7 | 46,155 | 45,975 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2004-A1 2A2 | 8,610 | 8,606 | ||||||
Opteum Mortgage Acceptance Trust | ||||||||
Series 2006-1 2A1 | 1,208,864 | 1,220,966 | ||||||
RALI Trust | ||||||||
Series 2004-QS2 CB | 38,662 | 39,773 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
RFMSI Trust | ||||||||
Series 2004-S9 1A23 | 2,932,978 | $ | 2,932,030 | |||||
Series 2004-S9 2A1 | 107,932 | 108,248 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2004-5 A3 | 299,626 | 276,518 | ||||||
Series 2007-1 4A1 | 952,459 | 759,455 | ||||||
Series 2013-11 B1 144A | 401,324 | 399,080 | ||||||
Series 2015-1 B2 144A | 384,741 | 388,350 | ||||||
Structured ARM Loan Trust | ||||||||
Series 2005-22 1A4 | 1,825,380 | 1,441,732 | ||||||
Series 2006-1 7A4 | 881,903 | 701,280 | ||||||
Structured Asset Mortgage Investments II Trust | ||||||||
Series 2005-AR5 A2 | 714,018 | 670,585 | ||||||
Structured Asset Securities Trust | ||||||||
Series 2005-6 4A1 | 48,609 | 48,993 | ||||||
Thrones | ||||||||
Series 2013-1 A | GBP | 1,876,399 | 2,684,686 | |||||
WaMu Mortgage Pass Through Certificates Trust | ||||||||
Series 2005-AR13 A1A1 | 4,654,489 | 4,278,810 | ||||||
Series 2005-AR16 1A3 | 765,862 | 714,347 | ||||||
Series 2007-HY1 3A3 | 385,195 | 346,425 | ||||||
Series 2007-HY7 4A1 | 835,780 | 765,658 | ||||||
Washington Mutual Alternative Mortgage Pass Through Trust | ||||||||
Series 2005-1 5A2 | 43,950 | 20,062 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2005-AR16 2A1 | 199,649 | 200,199 | ||||||
Series 2006-2 3A1 | 123,126 | 124,958 |
66
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
| ||||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2006-3 A11 | 129,789 | $ | 131,702 | |||||
Series 2006-6 1A3 | 66,560 | 64,916 | ||||||
Series 2006-AR5 2A1 | 73,594 | 68,534 | ||||||
Series 2006-AR11 A6 | 1,017,732 | 951,217 | ||||||
Series 2006-AR17 A1 | 611,243 | 574,364 | ||||||
Series 2007-10 1A36 | 425,231 | 422,237 | ||||||
WinWater Mortgage Loan Trust | ||||||||
Series 2015-3 B1 144A | 544,130 | 555,241 | ||||||
|
| |||||||
Total Non-Agency | 53,575,519 | |||||||
|
| |||||||
| ||||||||
Regional Bonds – 0.17%D |
| |||||||
| ||||||||
Argentina – 0.03% | ||||||||
Provincia de Buenos Aires | 630,000 | 663,075 | ||||||
|
| |||||||
663,075 | ||||||||
|
| |||||||
Australia – 0.05% | ||||||||
New South Wales Treasury | AUD | 916,900 | 784,880 | |||||
Queensland Treasury 144A | AUD | 446,000 | 349,090 | |||||
|
| |||||||
1,133,970 | ||||||||
|
| |||||||
Canada – 0.03% | ||||||||
Province of Ontario Canada | CAD | 551,000 | 452,853 | |||||
Province of Quebec Canada | CAD | 155,000 | 163,959 | |||||
|
| |||||||
616,812 | ||||||||
|
| |||||||
Spain – 0.06% | ||||||||
Autonomous Community of Catalonia 4.95% 2/11/20 | EUR | 1,100,000 | 1,253,623 | |||||
|
| |||||||
1,253,623 | ||||||||
|
| |||||||
Total Regional Bonds | 3,667,480 | |||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans – 4.53%« |
| |||||||
| ||||||||
Accudyne Industries Borrower 1st Lien 4.00% 12/13/19 | 234,521 | $ | 205,353 | |||||
Air Medical Group Holdings Tranche B 1st Lien | 1,983,628 | 1,938,997 | ||||||
Albertson’s Tranche B4 1st Lien 5.50% 8/25/21 | 1,507,973 | 1,511,272 | ||||||
Altice Financing Tranche B 1st Lien 5.25% 2/4/22 | 1,171,150 | 1,170,785 | ||||||
Amaya Holdings 1st Lien | 1,212,052 | 1,121,754 | ||||||
American Airlines Tranche B1 1st Lien | ||||||||
3.00% 11/23/16 | 87,220 | 87,270 | ||||||
3.50% 5/23/19 | 1,254,553 | 1,254,553 | ||||||
American Tire Distributors 1st Lien 5.25% 9/26/21 | 411,470 | 410,527 | ||||||
Applied Systems 1st Lien | 256,435 | 254,191 | ||||||
Applied Systems 2nd Lien | 753,128 | 714,059 | ||||||
Arnhold & S Bleichroeder Holdings Tranche B 1st Lien | 957,600 | 945,630 | ||||||
Atkore International 2nd Lien | 299,000 | 277,323 | ||||||
Avago Technologies Cayman Finance Tranche B 1st Lien | 5,445,000 | 5,424,957 | ||||||
Berry Plastics Group 1st Lien | 333,386 | 333,895 | ||||||
BJ’s Wholesale Club 2nd Lien | 985,000 | 909,648 | ||||||
BJ’s Wholesale Club Tranche B 1st Lien | 227,770 | 221,862 | ||||||
Blue Ribbon 1st Lien | 706,329 | 704,563 | ||||||
Blue Ribbon 2nd Lien | 290,000 | 282,388 | ||||||
Builders FirstSource Tranche B 1st Lien | 1,473,217 | 1,464,470 | ||||||
Burlington Coat Factory Warehouse Tranche B3 1st Lien 4.25% 8/13/21 | 177,074 | 177,184 | ||||||
Caesars Growth Properties Holdings Tranche B 1st Lien | 782,221 | 643,377 | ||||||
Calpine Tranche B 1st Lien | 199,500 | 198,690 | ||||||
CCO Safari III Tranche H 1st Lien 3.25% 8/24/21 | 167,000 | 166,896 |
(continues) 67 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
CCO Safari III Tranche I 1st Lien 3.50% 1/21/23 | 500,000 | $ | 501,206 | |||||
CDS US Intermediate Holdings 2nd Lien | 160,000 | 146,400 | ||||||
CityCenter Holdings Tranche B 1st Lien 4.25% 10/16/20 | 446,998 | 447,324 | ||||||
ColourOZ Investment 2 1st Lien 4.50% 9/7/21 | 443,765 | 432,671 | ||||||
CommScope Tranche B 1st Lien 3.75% 12/29/22 | 598,990 | 596,744 | ||||||
Communications Sales & Leasing Tranche B 1st Lien | 316,977 | 307,547 | ||||||
Community Health Systems Tranche F 1st Lien | 418,477 | 415,306 | ||||||
Community Health Systems Tranche G 1st Lien | 518,527 | 510,461 | ||||||
Community Health Systems Tranche H 1st Lien | 1,303,747 | 1,284,436 | ||||||
DAE Aviation Holdings 1st Lien 5.25% 7/7/22 | 547,250 | 543,830 | ||||||
DaVita Healthcare Partners Tranche B 1st Lien | 741,788 | 744,221 | ||||||
Dell International Tranche C 1st Lien 3.75% 10/29/18 | 5,011,265 | 5,015,615 | ||||||
Emdeon 1st Lien | 505,056 | 503,478 | ||||||
FCA US Tranche B 1st Lien | 258,695 | 258,630 | ||||||
First Data Tranche B 1st Lien | ||||||||
4.182% 7/10/22 | 918,000 | 913,888 | ||||||
4.432% 3/24/21 | 1,526,681 | 1,524,869 | ||||||
First Data Tranche C1 1st Lien | 1,118,087 | 1,117,308 | ||||||
Flint Group 2nd Lien | 235,000 | 216,788 | ||||||
Flint Group Tranche C 1st Lien | 73,360 | 72,076 | ||||||
Flying Fortress Tranche B 1st Lien 3.50% 4/30/20 | 1,151,000 | 1,151,000 | ||||||
FMG Resources August 2006 Pty 1st Lien | 508,696 | 431,120 | ||||||
Gardner Denver 1st Lien | 1,480,555 | 1,343,603 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Gates Global 1st Lien | 1,211,308 | $ | 1,145,443 | |||||
GCP Applied Technologies Tranche B 1st Lien | 515,000 | 516,931 | ||||||
Green Energy Partners/Stonewall Tranche B 1st Lien 6.50% 11/13/21 | 326,000 | 306,440 | ||||||
HCA Tranche B4 1st Lien | 694,696 | 695,485 | ||||||
HCA Tranche B6 1st Lien | 231,000 | 232,279 | ||||||
Hilton Worldwide Finance Tranche B2 1st Lien | 2,993,585 | 2,998,075 | ||||||
Houghton International 1st Lien 4.00% 12/20/19 | 110,741 | 106,311 | ||||||
Houghton International 2nd Lien 9.50% 12/21/20 @ | 205,000 | 195,775 | ||||||
Huntsman International Tranche B 1st Lien | ||||||||
3.75% 10/1/21 | 95,788 | 95,249 | ||||||
4.25% 3/31/23 | 260,000 | 259,350 | ||||||
Hyperion Insurance Group Tranche B 1st Lien | 836,550 | 790,540 | ||||||
IASIS Healthcare Tranche B 1st Lien 4.50% 5/3/18 | 537,179 | 535,164 | ||||||
IBC Capital 1st Lien | 150,196 | 137,179 | ||||||
Ineos US Finance Tranche B 1st Lien | ||||||||
3.75% 12/15/20 | 977,763 | 965,133 | ||||||
4.25% 3/31/22 | 262,349 | 259,110 | ||||||
JC Penney 1st Lien | 1,271,490 | 1,273,715 | ||||||
Keurig Green Mountain Tranche B 1st Lien | 1,173,867 | 1,179,492 | ||||||
KIK Custom Products 1st Lien | 1,580,978 | 1,517,739 | ||||||
Kinetic Concepts Tranche E1 1st Lien 4.50% 5/4/18 | 667,952 | 665,134 | ||||||
Kraton Polymers Tranche B 1st Lien 6.00% 1/6/22 | 1,250,000 | 1,182,291 | ||||||
Landry’s Tranche B 1st Lien | 494,730 | 493,616 | ||||||
Las Vegas Sands Tranche B | 199,490 | 199,568 | ||||||
Level 3 Financing Tranche B 1st Lien 4.00% 1/15/20 | 655,000 | 657,456 |
68
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
LTS Buyer 1st Lien | 10,698 | $ | 10,602 | |||||
LTS Buyer 2nd Lien | 627,238 | 602,148 | ||||||
MacDermid Tranche B 1st Lien | 441,466 | 427,497 | ||||||
Marina District Tranche B 1st Lien 6.50% 8/15/18 | 1,212,096 | 1,213,990 | ||||||
Mauser Holdings 2nd Lien | 85,000 | 74,056 | ||||||
MGM Resorts International 1st Lien 3.50% 12/20/19 | 136,629 | 136,515 | ||||||
Microsemi Tranche B 1st Lien | 671,691 | 675,637 | ||||||
Mohegan Tribal Gaming Authority Tranche B | 1,516,010 | 1,470,057 | ||||||
MPH Acquisition Tranche B 1st Lien 3.75% 3/31/21 | 1,703,263 | 1,689,637 | ||||||
Neptune Finco 1st Lien | 655,000 | 657,293 | ||||||
NRG Energy Tranche B | 1,476,712 | 1,464,829 | ||||||
Numericable US 1st Lien | 1,222,740 | 1,211,277 | ||||||
Numericable US Tranche B2 1st Lien 4.50% 5/21/20 | 1,057,837 | 1,052,180 | ||||||
NXP Tranche B1 1st Lien | 997,500 | 1,001,318 | ||||||
ON Semiconductor Tranche B 1st Lien 5.25% 3/31/23 | 845,000 | 847,958 | ||||||
Panda Hummel Tranche B1 1st Lien 7.00% 10/27/22 | 315,000 | 292,950 | ||||||
Panda Liberty Tranche B 1st Lien 7.50% 8/21/20 | 1,131,000 | 1,034,865 | ||||||
PET Acquisition Merger Sub Tranche B1 1st Lien | 1,285,000 | 1,283,796 | ||||||
Prime Security Services Borrower 1st Lien | 495,779 | 492,061 | ||||||
Prime Security Services Borrower 2nd Lien | 1,410,000 | 1,304,250 | ||||||
Republic of Angola (Unsecured) | 1,850,000 | 1,544,750 | ||||||
Reynolds Group Holdings Tranche B 1st Lien | 1,233,883 | 1,234,934 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Rite Aid 2nd Lien | 365,500 | $ | 367,328 | |||||
Sable International Finance Tranche B1 1st Lien | 1,150,000 | 1,150,360 | ||||||
Sable International Finance Tranche B2 1st Lien | 945,000 | 944,409 | ||||||
SAM Finance Tranche B 1st Lien 4.25% 12/17/20 | 687,507 | 685,932 | ||||||
Sensus USA | ||||||||
4.75% 5/9/17 | 877,148 | 873,859 | ||||||
8.50% 5/9/18 @ | 295,000 | 293,525 | ||||||
SIG Combibloc PurchaseCo Tranche B 1st Lien | 59,400 | 59,273 | ||||||
Sinclair Television Group Tranche B1 1st Lien | 3,028,222 | 3,026,330 | ||||||
Solera Tranche B 1st Lien | 1,460,000 | 1,460,130 | ||||||
Spectrum Brands 1st Lien | 463,053 | 465,223 | ||||||
Stardust Finance Holdings Tranche B 1st Lien | 1,591,910 | 1,574,001 | ||||||
Summit Materials Tranche B 1st Lien 4.00% 7/17/22 | 545,875 | 542,463 | ||||||
SUPERVALU 1st Lien | 46,560 | 45,694 | ||||||
Surgical Care Affiliates Tranche B 1st Lien | 602,778 | 602,401 | ||||||
Team Health Tranche B 1st Lien 4.50% 11/23/22 | 1,211,963 | 1,212,720 | ||||||
T-Mobile USA Tranche B 1st Lien 3.50% 11/9/22 | 1,211,963 | 1,218,191 | ||||||
TransDigm Tranche E 1st Lien | 219,784 | 216,268 | ||||||
Tribune Media Tranche B 1st Lien 3.75% 12/27/20 | 545,875 | 544,278 | ||||||
Univar USA Tranche B 1st Lien | 176,115 | 173,877 | ||||||
Univision Communications 1st Lien 4.00% 3/1/20 | 916,766 | 908,745 | ||||||
Univision Communications Tranche C4 1st Lien | 1,026,547 | 1,017,748 | ||||||
USI Tranche B 1st Lien | 481,761 | 475,137 |
(continues) 69 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Senior Secured Loans« (continued) |
| |||||||
| ||||||||
Weight Watchers International 1st Lien 3.45% 4/2/16 | 268,112 | $ | 264,760 | |||||
Western Digital Tranche B 1st Lien 6.25% 3/30/23 | 650,000 | 643,094 | ||||||
WideOpen West Finance Tranche B 1st Lien | 150,965 | 150,069 | ||||||
Windstream Services Tranche B6 1st Lien | 455,000 | 452,382 | ||||||
|
| |||||||
Total Senior Secured Loans | 94,396,437 | |||||||
|
| |||||||
| ||||||||
Sovereign Bonds – 2.56%D |
| |||||||
| ||||||||
Australia – 0.01% | ||||||||
Australia Government Bond 3.75% 4/21/37 | AUD | 352,000 | 297,228 | |||||
|
| |||||||
297,228 | ||||||||
|
| |||||||
Brazil – 0.52% | ||||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||
144A 6.369% 6/16/18 # | 1,500,000 | 1,554,720 | ||||||
144A 6.50% 6/10/19 # | 2,500,000 | 2,590,000 | ||||||
Brazil Letras do Tesouro Nacional 14.141% 7/1/16 ^ | BRL | 18,600,000 | 5,004,735 | |||||
Brazil Notas do Tesouro Nacional Series F 10.00% 1/1/23 | BRL | 2,326,000 | 548,090 | |||||
Brazilian Government International Bond | ||||||||
5.00% 1/27/45 | 1,120,000 | 901,600 | ||||||
10.25% 1/10/28 | BRL | 800,000 | 176,880 | |||||
|
| |||||||
10,776,025 | ||||||||
|
| |||||||
Canada – 0.01% | ||||||||
Canadian Government Bond 2.75% 12/1/48 | CAD | 171,000 | 154,523 | |||||
|
| |||||||
154,523 | ||||||||
|
| |||||||
Colombia – 0.03% | ||||||||
Colombia Government International Bond | ||||||||
4.50% 1/28/26 | 200,000 | 205,250 | ||||||
5.00% 6/15/45 | 500,000 | 467,500 | ||||||
|
| |||||||
672,750 | ||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) |
| |||||||
| ||||||||
Costa Rica – 0.03% | ||||||||
Costa Rica Government International Bond | 841,000 | $ | 649,673 | |||||
|
| |||||||
649,673 | ||||||||
|
| |||||||
Croatia – 0.03% | ||||||||
Croatia Government International Bond | 655,000 | 716,938 | ||||||
|
| |||||||
716,938 | ||||||||
|
| |||||||
Cyprus – 0.08% | ||||||||
Cyprus Government International Bond 3.875% 5/6/22 | EUR | 1,400,000 | 1,630,338 | |||||
|
| |||||||
1,630,338 | ||||||||
|
| |||||||
Dominican Republic – 0.07% |
| |||||||
Dominican Republic International Bond | ||||||||
144A 6.875% 1/29/26 # | 700,000 | 745,500 | ||||||
144A 7.50% 5/6/21 # | 700,000 | 764,750 | ||||||
|
| |||||||
1,510,250 | ||||||||
|
| |||||||
Hungary – 0.03% | ||||||||
Hungary Government International Bond | 580,000 | 650,838 | ||||||
|
| |||||||
650,838 | ||||||||
|
| |||||||
Indonesia – 0.04% | ||||||||
Indonesia Government International Bond | ||||||||
144A 4.875% 5/5/21 # | 650,000 | 701,060 | ||||||
144A 5.125% 1/15/45 # | 200,000 | 199,302 | ||||||
|
| |||||||
900,362 | ||||||||
|
| |||||||
Kazakhstan – 0.02% | ||||||||
Kazakhstan Government International Bond | 405,000 | 418,466 | ||||||
|
| |||||||
418,466 | ||||||||
|
| |||||||
Mexico – 1.02% | ||||||||
Mexican Bonos | ||||||||
5.75% 3/5/26 | MXN | 72,182,400 | 4,122,771 | |||||
6.50% 6/9/22 | MXN | 4,055,000 | 246,286 | |||||
8.00% 6/11/20 | MXN | 19,500,000 | 1,247,460 | |||||
8.50% 12/13/18 | MXN | 240,000,000 | 15,201,743 |
70 |
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) |
| |||||||
| ||||||||
Mexico (continued) |
| |||||||
Mexico Government International Bond | ||||||||
3.60% 1/30/25 | 200,000 | $ | 204,500 | |||||
4.60% 1/23/46 | 200,000 | 195,750 | ||||||
|
| |||||||
21,218,510 | ||||||||
|
| |||||||
Mongolia – 0.02% |
| |||||||
Mongolia Government International Bond 144A 10.875% 4/6/21 # | 500,000 | 501,937 | ||||||
|
| |||||||
501,937 | ||||||||
|
| |||||||
Namibia – 0.01% |
| |||||||
Namibia International Bonds 144A 5.25% 10/29/25 # | 200,000 | 194,000 | ||||||
|
| |||||||
194,000 | ||||||||
|
| |||||||
New Zealand – 0.00% |
| |||||||
New Zealand Government Bond 4.50% 4/15/27 | NZD | 69,000 | 54,706 | |||||
|
| |||||||
54,706 | ||||||||
|
| |||||||
Norway – 0.01% |
| |||||||
Norway Government Bond 144A 1.50% 2/19/26 # | NOK | 1,502,000 | 186,609 | |||||
|
| |||||||
186,609 | ||||||||
|
| |||||||
Panama – 0.03% |
| |||||||
Panama Government International Bond 3.875% 3/17/28 | 655,000 | 663,188 | ||||||
|
| |||||||
663,188 | ||||||||
|
| |||||||
Paraguay – 0.04% |
| |||||||
Paraguay Government International Bond 144A 5.00% 4/15/26 # | 800,000 | 806,000 | ||||||
|
| |||||||
806,000 | ||||||||
|
| |||||||
Peru – 0.06% |
| |||||||
Peruvian Government International Bond | ||||||||
4.125% 8/25/27 | 775,000 | 815,688 | ||||||
144A 6.95% 8/12/31 # | PEN | 1,157,000 | 340,370 | |||||
|
| |||||||
1,156,058 | ||||||||
|
| |||||||
Philippines – 0.02% |
| |||||||
Philippine Government International Bond 6.25% 1/14/36 | PHP | 20,000,000 | 485,422 | |||||
|
| |||||||
485,422 | ||||||||
|
|
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) |
| |||||||
| ||||||||
Poland – 0.19% |
| |||||||
Poland Government Bond | ||||||||
2.50% 7/25/26 | PLN | 8,756,000 | $ | 2,280,678 | ||||
3.25% 7/25/25 | PLN | 5,727,000 | 1,601,987 | |||||
|
| |||||||
3,882,665 | ||||||||
|
| |||||||
Portugal – 0.01% |
| |||||||
Portugal Government International Bond 144A 5.125% 10/15/24 # | 131,000 | 132,986 | ||||||
|
| |||||||
132,986 | ||||||||
|
| |||||||
Republic of Korea – 0.08% |
| |||||||
Inflation Linked Korea Treasury Bond 1.125% 6/10/23 | KRW | 1,088,947,971 | 954,604 | |||||
Republic of Korea 7.125% 4/16/19 | 700,000 | 815,080 | ||||||
|
| |||||||
1,769,684 | ||||||||
|
| |||||||
Serbia – 0.03% |
| |||||||
Republic of Serbia 144A 4.875% 2/25/20 # | 665,000 | 676,743 | ||||||
|
| |||||||
676,743 | ||||||||
|
| |||||||
Singapore – 0.03% |
| |||||||
Temasek Financial I 144A 2.375% 1/23/23 # | 560,000 | 567,351 | ||||||
|
| |||||||
567,351 | ||||||||
|
| |||||||
Sri Lanka – 0.04% |
| |||||||
Sri Lanka Government International Bond 144A 6.125% 6/3/25 # | 880,000 | 809,380 | ||||||
|
| |||||||
809,380 | ||||||||
|
| |||||||
United Kingdom – 0.04% |
| |||||||
United Kingdom Gilt | ||||||||
1.75% 9/7/22 | GBP | 100,000 | 150,092 | |||||
3.25% 1/22/44 | GBP | 270,500 | 465,347 | |||||
3.50% 1/22/45 | GBP | 138,800 | 250,437 | |||||
|
| |||||||
865,876 | ||||||||
|
| |||||||
Uruguay – 0.05% |
| |||||||
Uruguay Government International Bond 4.375% 10/27/27 | 953,000 | 981,590 | ||||||
|
| |||||||
981,590 | ||||||||
|
|
(continues) 71
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Sovereign BondsD (continued) |
| |||||||
| ||||||||
Zambia – 0.01% |
| |||||||
Zambia Government International Bond 144A 8.97% 7/30/27 # | 200,000 | $ | 166,000 | |||||
|
| |||||||
166,000 | ||||||||
|
| |||||||
Total Sovereign Bonds (cost $53,502,415) | 53,496,096 | |||||||
|
| |||||||
| ||||||||
Supranational Banks – 0.55% |
| |||||||
| ||||||||
Asian Development Bank 0.50%3/24/20 | AUD | 420,000 | 293,907 | |||||
European Bank for Reconstruction & Development 7.375% 4/15/19 | IDR | 9,200,000,000 | 688,716 | |||||
Inter-American Development Bank | ||||||||
0.842% 10/15/20 ● | 1,490,000 | 1,483,137 | ||||||
6.00% 9/5/17 | INR | 67,600,000 | 1,012,476 | |||||
International Bank for Reconstruction & Development | ||||||||
0.511% 4/17/19 ● | 440,000 | 438,295 | ||||||
0.78% 12/16/17 ● | 585,000 | 584,964 | ||||||
1.625% 3/9/21 | 1,250,000 | 1,259,057 | ||||||
2.50% 11/25/24 | 440,000 | 461,678 | ||||||
3.50% 1/22/21 | NZD | 3,654,000 | 2,585,535 | |||||
3.75% 2/10/20 | NZD | 500,000 | 357,527 | |||||
4.625% 10/6/21 | NZD | 380,000 | 283,275 | |||||
International Finance | ||||||||
0.677% 1/9/19 ● | 600,000 | 599,912 | ||||||
2.125% 4/7/26 | 1,300,000 | 1,311,693 | ||||||
3.625% 5/20/20 | NZD | 163,000 | 116,043 | |||||
|
| |||||||
Total Supranational Banks (cost $11,426,099) |
| 11,476,215 | ||||||
|
| |||||||
| ||||||||
U.S. Treasury Obligations – 18.87% |
| |||||||
| ||||||||
U.S. Treasury Bonds | ||||||||
2.50% 2/15/45 | 43,900,000 | 42,817,075 | ||||||
2.50% 2/15/46 | 5,900,000 | 5,752,960 | ||||||
2.75% 8/15/42 | 900,000 | 929,584 | ||||||
2.75% 11/15/42 | 1,400,000 | 1,443,722 | ||||||
2.875% 5/15/43 | 2,200,000 | 2,318,765 | ||||||
2.875% 8/15/45 | 26,720,000 | 28,107,142 | ||||||
3.00% 5/15/42 | 7,300,000 | 7,928,486 | ||||||
3.00% 11/15/44 | 2,500,000 | 2,698,438 | ||||||
3.00% 11/15/45 | 27,029,000 | 29,180,752 | ||||||
3.125% 8/15/44 ¥ | 10,000,000 | 11,065,230 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
U.S. Treasury Obligations (continued) |
| |||||||
| ||||||||
U.S. Treasury Floating Rate Note 0.403% 10/31/17 ●¥ | 36,090,000 | $ | 36,095,847 | |||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.125% 4/15/20 | 8,093,440 | 8,269,060 | ||||||
0.125% 7/15/22 | 721,168 | 734,469 | ||||||
0.125% 7/15/24 | 35,520,612 | 35,683,403 | ||||||
0.375% 7/15/25 | 2,497,600 | 2,554,056 | ||||||
0.625% 1/15/26 | 6,480,955 | 6,780,446 | ||||||
0.75% 2/15/42 | 419,392 | 408,061 | ||||||
0.75% 2/15/45 | 4,829,232 | 4,683,476 | ||||||
1.00% 2/15/46 | 599,928 | 626,562 | ||||||
1.75% 1/15/28 | 31,913,434 | 37,048,465 | ||||||
2.00% 1/15/26 | 3,819,744 | 4,477,057 | ||||||
2.375% 1/15/25 | 22,724,210 | 27,087,076 | ||||||
2.375% 1/15/27 | 6,073,716 | 7,426,818 | ||||||
2.50% 1/15/29 | 12,723,124 | 16,001,810 | ||||||
3.875% 4/15/29 | 273,819 | 392,511 | ||||||
U.S. Treasury Notes | ||||||||
0.75% 10/31/17 ¥ | 10,000,000 | 10,004,880 | ||||||
1.25% 3/31/21 | 22,015,000 | 22,041,220 | ||||||
1.375% 1/31/21 | 7,190,000 | 7,241,962 | ||||||
1.625% 2/15/26 | 1,295,000 | 1,276,233 | ||||||
2.00% 10/31/21 | 1,600,000 | 1,654,344 | ||||||
2.125% 9/30/21 | 20,900,000 | 21,760,077 | ||||||
2.25% 11/15/25 | 8,680,000 | 9,033,979 | ||||||
|
| |||||||
Total U.S. Treasury Obligations (cost $385,300,767) | 393,523,966 | |||||||
|
| |||||||
| Number o shares | f
| ||||||
| ||||||||
Common Stock – 0.00% | ||||||||
| ||||||||
Century Communications @=† | 1,975,00 | 0 | 0 | |||||
|
| |||||||
Total Common Stock (cost $59,790) | 0 | |||||||
|
| |||||||
| ||||||||
Convertible Preferred Stock – 0.11% |
| |||||||
| ||||||||
Bank of America 7.25% exercise price $50.00, expiration date 12/31/49 | 20 | 3 | 231,014 | |||||
Crown Castle International 4.50% exercise price $85.77, expiration date 11/1/16 | 3,10 | 0 | 332,320 |
72 |
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Convertible Preferred Stock (continued) |
| |||||||
| ||||||||
Exelon 6.50% exercise price $43.75, expiration date 6/1/17 | 6,250 | $ | 307,687 | |||||
Halcon Resources 5.75% exercise price $30.78, expiration date 12/31/49 @ | 248 | 8,556 | ||||||
Huntington Bancshares 8.50% exercise price $11.95, expiration date 12/31/49 @ | 305 | 414,800 | ||||||
Maiden Holdings 7.25% exercise price $15.17, expiration date 9/15/16 | 8,465 | 411,230 | ||||||
T-Mobile US 5.50% exercise price $31.02, expiration date 12/15/17 | 3,927 | 259,967 | ||||||
Wells Fargo 7.50% exercise price $156.71, expiration date 12/31/49 | 321 | 386,808 | ||||||
|
| |||||||
Total Convertible Preferred Stock (cost $2,524,618) | 2,352,382 | |||||||
|
| |||||||
| ||||||||
Preferred Stock – 0.27% | ||||||||
| ||||||||
General Electric 5.00% ● | 2,448,000 | 2,524,500 | ||||||
Integrys Energy Group 6.00% @● | 35,650 | 941,385 | ||||||
PNC Preferred Funding Trust II 144A 1.856% #● | 2,000,000 | 1,685,000 | ||||||
USB Realty 144A 1.769% #@● | 500,000 | 400,000 | ||||||
|
| |||||||
Total Preferred Stock (cost $5,464,066) | 5,550,885 | |||||||
|
| |||||||
Number of contracts | ||||||||
| ||||||||
Options Purchased – 0.01% |
| |||||||
| ||||||||
Call Swaption – 0.00% | ||||||||
5 yr IRS pay a fixed rate 1.15% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 4/21/16 | 4,800,000 | 11,376 | ||||||
|
| |||||||
11,376 | ||||||||
|
| |||||||
Currency Call Option – 0.00% | ||||||||
USD vs JPY strike price $116, expiration date 4/7/16 | 1,500,000 | 201 | ||||||
|
| |||||||
201 | ||||||||
|
|
Number of contracts | Value (U.S. $) | |||||||
| ||||||||
Options Purchased (continued) |
| |||||||
| ||||||||
Fixed Income Put Option – 0.00% |
| |||||||
U.S. Treasury 5 yr Notes Future strike price $112.50, expiration date 5/20/16 | 935 | $ | 0 | |||||
|
| |||||||
0 | ||||||||
|
| |||||||
Put Swaptions – 0.01% | ||||||||
1 yr IRS pay a fixed rate 1.15% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/5/16 | 78,500,000 | 7,222 | ||||||
1 yr IRS pay a fixed rate 1.25% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/5/16 | 121,300,000 | 4,973 | ||||||
1 yr IRS pay a fixed rate 1.25% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/5/16 | 191,900,000 | 7,868 | ||||||
1 yr IRS pay a fixed rate 1.25% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 7/5/16 | 57,300,000 | 2,349 | ||||||
2 yr IRS pay a fixed rate 1.32% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 4/11/16 | 17,900,000 | 0 | ||||||
10 yr IRS pay a fixed rate 2.58% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/12/16 | 4,400,000 | 27 | ||||||
10 yr IRS pay a fixed rate 2.58% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/23/16 | 10,300,000 | 247 | ||||||
30 yr IRS pay a fixed rate 2.905% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 8/20/18 | 4,400,000 | 216,845 | ||||||
|
| |||||||
239,531 | ||||||||
|
| |||||||
Total Options Purchased (premium paid $1,066,172) | 251,108 | |||||||
|
|
(continues) 73
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments – 10.00% |
| |||||||
| ||||||||
Discount Notes – 5.67%¹ |
| |||||||
Federal Home Loan Bank | ||||||||
0.27% 4/8/16 | 12,400,000 | $ | 12,399,516 | |||||
0.27% 5/24/16 | 1,300,000 | 1,299,522 | ||||||
0.305% 4/27/16 | 7,000,000 | 6,998,992 | ||||||
0.306% 4/15/16 | 7,833,392 | 7,832,781 | ||||||
0.308% 4/21/16 | 5,152,845 | 5,152,273 | ||||||
0.318% 4/22/16 | 10,788,527 | 10,787,264 | ||||||
0.32% 4/13/16 | 3,830,194 | 3,829,938 | ||||||
0.32% 5/20/16 | 8,841,015 | 8,838,009 | ||||||
0.335% 5/2/16 | 9,577,748 | 9,575,689 | ||||||
0.34% 5/19/16 | 1,208,722 | 1,208,320 | ||||||
0.357% 5/18/16 | 18,858,985 | 18,852,837 | ||||||
0.38% 7/18/16 | 5,321,234 | 5,315,647 | ||||||
0.385% 6/8/16 | 7,932,902 | 7,928,404 | ||||||
0.387% 5/27/16 | 10,875,291 | 10,871,061 | ||||||
0.425% 8/15/16 | 7,384,464 | 7,373,586 | ||||||
|
| |||||||
118,263,839 | ||||||||
|
| |||||||
Discounted Commercial Papers – 0.33%¹ |
| |||||||
ENI Finance USA | ||||||||
1.30% 6/2/16 | 4,500,000 | 4,495,669 | ||||||
1.30% 6/3/16 | 2,300,000 | 2,297,743 | ||||||
|
| |||||||
6,793,412 | ||||||||
|
| |||||||
Repurchase Agreements – 3.51% |
| |||||||
Bank of America Merrill Lynch 0.23%, dated 3/31/16, to be repurchased on 4/1/16, repurchase price $15,662,559 (collateralized by U.S. government obligations 2.50% 7/15/16; market value $15,975,713) | 15,662,459 | 15,662,459 | ||||||
Bank of Montreal 0.29%, dated 3/31/16, to be repurchased on 4/1/16, repurchase price $26,104,309 (collateralized by U.S. government obligations 0.00%–8.75% 5/26/16–11/30/22; market value $26,626,184) | 26,104,099 | 26,104,099 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements (continued) |
| |||||||
BNP Paribas 0.30%, dated 3/31/16, to be repurchased on 4/1/16, repurchase price $31,526,705 (collateralized by U.S. government obligations 0.00%–4.75% 5/15/16–8/15/44; market value $32,156,972) | 31,526,442 | $ | 31,526,442 | |||||
|
| |||||||
73,293,000 | ||||||||
|
| |||||||
U.S. Treasury Obligations – 0.49%¹ |
| |||||||
U.S. Treasury Bills | ||||||||
0.17% 4/21/16 | 8,900,000 | 8,899,511 | ||||||
0.18% 4/28/16 | 1,000,000 | 999,876 | ||||||
0.285% 4/14/16 | 231,000 | 230,992 | ||||||
|
| |||||||
10,130,379 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $208,460,121) | 208,480,630 | |||||||
|
| |||||||
Total Value of Securities Before Options Written – 120.35% (cost $2,496,104,943) | $ | 2,509,973,449 | ||||||
|
| |||||||
Number of contracts | ||||||||
| ||||||||
Options Written – (0.04%) |
| |||||||
| ||||||||
Call Swaptions – (0.01%) |
| |||||||
2 yr IRS pay a fixed rate 0.95% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 4/11/16 (MSC) | (16,000,000 | ) | (32,016 | ) | ||||
3 yr IRS pay a fixed rate 1.45% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 6/25/16 (BAML) | (30,100,000 | ) | (67,304 | ) | ||||
10 yr IRS pay a fixed rate 0.40% and receive a floating rate based on 6-month EURIBOR expiration date 6/14/16 (BNP) | (1,900,000 | ) | (6,618 | ) |
74 |
Table of Contents
Number of contracts | Value (U.S. $) | |||||||
| ||||||||
Options Written (continued) | ||||||||
| ||||||||
10 yr IRS pay a fixed rate 0.45% and receive a floating rate based on 6-month EURIBOR expiration date 6/15/16 (CITI) | (4,000,000 | ) | $ | (20,286 | ) | |||
10 yr IRS pay a fixed rate 0.45% and receive a floating rate based on 6-month EURIBOR expiration date 6/15/16 (GSC) | (800,000 | ) | (4,057 | ) | ||||
|
| |||||||
(130,281 | ) | |||||||
|
| |||||||
Currency Call Options – (0.01%) |
| |||||||
AUD vs USD strike price $0.75 expiration date 4/22/16 (CITI) | (3,100,000 | ) | (68,148 | ) | ||||
AUD vs USD strike price $0.76, expiration date 4/7/16 (BNP) | (2,010,000 | ) | (15,793 | ) | ||||
EUR vs USD strike price $1.13, expiration date 5/4/16 (JPMC) | (5,700,000 | ) | (114,582 | ) | ||||
USD vs CAD strike price $1.37, expiration date 4/1/16 (CITI) | (3,500,000 | ) | (1,232 | ) | ||||
USD vs MXN strike price $18.30, expiration date 5/3/16 (JPMC) | (2,800,000 | ) | (6,608 | ) | ||||
USD vs MXN strike price $18.30, expiration date 5/5/16 (JPMC) | (3,200,000 | ) | (8,448 | ) | ||||
|
| |||||||
(214,811 | ) | |||||||
|
| |||||||
Currency Put Option – (0.01%) |
| |||||||
USD vs MXN strike price $18.30, expiration date 4/15/16 (CITI) | (4,500,000 | ) | (138,200 | ) | ||||
|
| |||||||
(138,200 | ) | |||||||
|
| |||||||
Fixed Income Put Options – 0.00% |
| |||||||
Euro-Bund Futures strike price $161, expiration date 4/22/16 (EURX) | (92 | ) | (14,656 | ) | ||||
Euro-Bund Futures strike price $161, expiration date 5/26/16 (EURX) | (50 | ) | (27,310 | ) | ||||
Euro-Bund Futures strike price $162, expiration date 4/22/16 (EURX) | (100 | ) | (34,137 | ) |
Number of contracts | Value (U.S. $) | |||||||
| ||||||||
Options Written (continued) | ||||||||
| ||||||||
Fixed Income Put Options (continued) |
| |||||||
U.S. Treasury 10 yr Notes Future strike price $129.25, expires 4/22/16 (CBOT) | (62 | ) | $ | (10,656 | ) | |||
U.S. Treasury 10 yr Notes Future strike price $129.50, expires 4/22/16 (CBOT) | (60 | ) | (13,125 | ) | ||||
|
| |||||||
(99,884 | ) | |||||||
|
| |||||||
Put Swaptions – (0.01%) | ||||||||
2 yr IRS pay a fixed rate 1.00% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/25/16 (MSC) | (22,100,000 | ) | (18,210 | ) | ||||
2 yr IRS pay a fixed rate 2.50% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/12/16 (MSC) | (42,300,000 | ) | 0 | |||||
2 yr IRS pay a fixed rate 2.50% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 5/23/16 (MSC) | (98,300,000 | ) | (197 | ) | ||||
3 yr IRS pay a fixed rate 2.05% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 6/24/16 (BAML) | (30,100,000 | ) | (20,919 | ) | ||||
5 yr IRS pay a fixed rate 2.80% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 8/20/18 (MSC) | (19,500,000 | ) | (146,757 | ) | ||||
10 yr IRS pay a fixed rate 0.90% and receive a floating rate based on 6-month EURIBOR expiration date 6/14/16 (BNP) | (1,900,000 | ) | (3,366 | ) |
(continues) 75
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Number of contracts | Value (U.S. $) | |||||||
| ||||||||
Options Written (continued) | ||||||||
| ||||||||
Put Swaptions (continued) | ||||||||
10 yr IRS pay a fixed rate 0.95% and receive a floating rate based on 6-month EURIBOR expiration date 6/15/16 (CITI) | (4,000,000 | ) | $ | (5,544 | ) | |||
10 yr IRS pay a fixed rate 0.95% and receive a floating rate based on 6-month EURIBOR expiration date 6/15/16 (GSC) | (800,000 | ) | (1,109 | ) | ||||
10 yr IRS pay a fixed rate 1.87% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 4/18/16 (BAML) | (13,600,000 | ) | (8,718 | ) | ||||
10 yr IRS pay a fixed rate 2.00% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 4/25/16 (MSC) | (12,600,000 | ) | (3,427 | ) | ||||
10 yr IRS pay a fixed rate 2.02% and receive a floating rate based on 3-month USD-ICE LIBOR expiration date 4/11/16 (JPMC) | (6,200,000 | ) | (43 | ) | ||||
iTraxx Europe 5 yr CDS 1.30%, expiration date 4/20/16 (BNP) | (12,500,000 | ) | (57 | ) | ||||
|
| |||||||
(208,347 | ) | |||||||
|
| |||||||
Total Options Written | (791,523 | ) | ||||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2016, the aggregate value of Rule 144A securities was $302,862,646, which represents 14.52% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
@ | Illiquid security. At March 31, 2016, the aggregate value of illiquid securities was $32,035,438, which represents 1.54% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
¿ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
❆ | 100% of the income received was in the form of cash. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2016, the aggregate value of fair valued securities was $0, which represents 0.00% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
¹ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
‡ | Non-income-producing security. Security is currently in default. |
● | Variable rate security. The rate shown is the rate as of March 31, 2016. Interest rates reset periodically. |
¥ | Fully or partially pledged as collateral for futures contracts and reverse repurchase agreements. |
D | Securities have been classified by country of origin. |
S | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
W | Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security. |
^ | Zero coupon security. The rate shown is the yield at the time of purchase. |
« | Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at March 31, 2016. |
f | Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at March 31, 2016. |
76 |
Table of Contents
The following foreign currency exchange contracts, futures contracts, reverse repurchase agreements, and swap contracts were outstanding at March 31, 2016:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
BAML | AUD | (1,851,426 | ) | USD | 1,333,772 | 4/7/16 | $ | (84,994 | ) | |||||||||
BAML | AUD | (1,084,000 | ) | USD | 790,272 | 5/13/16 | (38,984 | ) | ||||||||||
BAML | CAD | (2,230,184 | ) | USD | 1,654,657 | 4/7/16 | (62,548 | ) | ||||||||||
BAML | CAD | 5,877,000 | USD | (4,345,935 | ) | 5/13/16 | 179,374 | |||||||||||
BAML | EUR | (2,911,000 | ) | USD | 3,311,240 | 4/1/16 | (1,290 | ) | ||||||||||
BAML | EUR | 2,423,547 | USD | (2,640,782 | ) | 4/7/16 | 117,579 | |||||||||||
BAML | EUR | (9,333,000 | ) | USD | 10,326,316 | 5/13/16 | (307,791 | ) | ||||||||||
BAML | JPY | (42,600,000 | ) | USD | 380,474 | 4/4/16 | 1,902 | |||||||||||
BAML | JPY | (91,996,216 | ) | USD | 814,557 | 4/7/16 | (3,075 | ) | ||||||||||
BAML | JPY | (171,100,000 | ) | USD | 1,505,764 | 5/2/16 | (15,991 | ) | ||||||||||
BAML | JPY | (207,400,000 | ) | USD | 1,829,057 | 5/13/16 | (16,064 | ) | ||||||||||
BAML | MXN | 6,422,000 | USD | (360,009 | ) | 5/20/16 | 9,955 | |||||||||||
BAML | MYR | (2,702,158 | ) | USD | 645,156 | 5/24/16 | (51,664 | ) | ||||||||||
BAML | NZD | (3,121,572 | ) | USD | 2,049,968 | 4/7/16 | (106,883 | ) | ||||||||||
BAML | RUB | 78,521,096 | USD | (1,158,470 | ) | 4/7/16 | 7,985 | |||||||||||
BAML | SGD | (61,000 | ) | USD | 43,366 | 5/24/16 | (1,878 | ) | ||||||||||
BAML | THB | 27,746,060 | USD | (761,000 | ) | 5/24/16 | 26,647 | |||||||||||
BAML | TWD | 9,960,090 | USD | (296,784 | ) | 5/24/16 | 13,078 | |||||||||||
BNP | AUD | (1,278,816 | ) | USD | 910,660 | 4/7/16 | (69,309 | ) | ||||||||||
BNP | EUR | 394,000 | USD | (446,601 | ) | 4/1/16 | 1,745 | |||||||||||
BNP | GBP | (168,000 | ) | USD | 244,235 | 5/13/16 | 2,915 | |||||||||||
BNP | INR | 38,831,774 | USD | (581,140 | ) | 4/7/16 | 4,514 | |||||||||||
BNP | JPY | 332,721,042 | USD | (2,954,000 | ) | 4/1/16 | 2,450 | |||||||||||
BNP | JPY | 69,310,724 | USD | (616,000 | ) | 4/4/16 | (58 | ) | ||||||||||
BNP | MXN | (228,749,212 | ) | USD | 12,775,436 | 5/20/16 | (402,575 | ) | ||||||||||
BNP | MYR | (15,838,448 | ) | USD | 3,638,513 | 5/24/16 | (445,835 | ) | ||||||||||
BNP | NOK | (70,039 | ) | USD | 13,911 | 4/7/16 | (22,374 | ) | ||||||||||
CITI | AUD | (1,465,000 | ) | USD | 1,078,687 | 5/13/16 | (42,033 | ) | ||||||||||
CITI | BRL | (68,463,662 | ) | USD | 18,482,712 | 5/3/16 | (385,338 | ) | ||||||||||
CITI | CAD | 6,093,000 | USD | (4,515,424 | ) | 5/13/16 | 176,205 | |||||||||||
CITI | EUR | 853,000 | USD | (949,797 | ) | 5/13/16 | 22,118 | |||||||||||
CITI | GBP | (7,229,000 | ) | USD | 10,100,091 | 4/4/16 | (282,684 | ) | ||||||||||
CITI | INR | 23,338,266 | USD | (342,404 | ) | 5/24/16 | 7,044 | |||||||||||
CITI | JPY | 42,600,000 | USD | (377,713 | ) | 4/4/16 | 859 | |||||||||||
CITI | KRW | 770,953,500 | USD | (639,000 | ) | 5/24/16 | 33,001 | |||||||||||
CITI | MXN | (84,191,000 | ) | USD | 4,806,300 | 5/20/16 | (43,859 | ) | ||||||||||
CITI | MYR | (33,597,611 | ) | USD | 7,716,738 | 5/24/16 | (947,262 | ) | ||||||||||
CITI | THB | 3,769,500 | USD | (105,000 | ) | 5/24/16 | 2,008 | |||||||||||
DB | BRL | 68,546,820 | USD | (18,571,341 | ) | 5/3/16 | 319,626 | |||||||||||
DB | JPY | (580,400,000 | ) | USD | 5,163,586 | 4/1/16 | 6,343 | |||||||||||
DB | JPY | (1,381,900,000 | ) | USD | 12,357,171 | 5/13/16 | 63,187 | |||||||||||
DB | MYR | 20,636,127 | USD | (4,818,803 | ) | 5/24/16 | 502,749 | |||||||||||
DB | PLN | 8,755,507 | USD | (2,351,102 | ) | 4/4/16 | (4,738 | ) | ||||||||||
DB | RUB | (334,698,900 | ) | USD | 4,670,000 | 5/18/16 | (246,515 | ) | ||||||||||
DB | THB | (111,334,396 | ) | USD | 3,125,614 | 5/24/16 | (34,915 | ) |
(continues) 77
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
DB | TWD | 10,552,820 | USD | (312,815 | ) | 5/24/16 | $ | 15,487 | ||||||||||
GSC | EUR | 2,582,000 | USD | (2,926,761 | ) | 4/1/16 | 11,388 | |||||||||||
GSC | EUR | 485,000 | USD | (552,344 | ) | 4/4/16 | (393 | ) | ||||||||||
GSC | JPY | 247,712,107 | USD | (2,202,000 | ) | 4/1/16 | (912 | ) | ||||||||||
GSC | JPY | 326,016,308 | USD | (2,903,000 | ) | 4/4/16 | (5,797 | ) | ||||||||||
HSBC | GBP | (502,482 | ) | USD | 697,274 | 4/7/16 | (24,431 | ) | ||||||||||
JPMC | BRL | (18,600,000 | ) | USD | 4,971,932 | 7/5/16 | (62,714 | ) | ||||||||||
JPMC | CAD | (15,522,000 | ) | USD | 11,302,834 | 5/13/16 | (649,156 | ) | ||||||||||
JPMC | EUR | (44,929,000 | ) | USD | 50,205,216 | 5/13/16 | (987,306 | ) | ||||||||||
JPMC | JPY | 223,471,000 | USD | (1,986,650 | ) | 5/13/16 | 1,445 | |||||||||||
JPMC | KRW | (1,037,881,750 | ) | USD | 837,460 | 4/7/16 | (68,393 | ) | ||||||||||
JPMC | KRW | (712,219,300 | ) | USD | 583,547 | 5/24/16 | (37,258 | ) | ||||||||||
JPMC | MXN | 37,500,000 | USD | (2,083,912 | ) | 5/20/16 | 76,425 | |||||||||||
JPMC | MYR | 31,240,516 | USD | (7,336,182 | ) | 5/24/16 | 719,982 | |||||||||||
JPMC | PLN | (864,314 | ) | USD | 216,087 | 4/7/16 | (15,523 | ) | ||||||||||
JPMC | RUB | 338,354,638 | USD | (4,388,943 | ) | 5/18/16 | 581,272 | |||||||||||
JPMC | SEK | 813,406 | USD | (95,185 | ) | 4/7/16 | 5,034 | |||||||||||
JPMC | THB | 75,579,220 | USD | (2,110,633 | ) | 5/24/16 | 34,889 | |||||||||||
JPMC | TWD | (25,235,837 | ) | USD | 751,290 | 5/24/16 | (33,807 | ) | ||||||||||
TD | GBP | (583,700 | ) | USD | 842,927 | 4/7/16 | 4,570 | |||||||||||
TD | JPY | 60,018,033 | USD | (533,410 | ) | 4/7/16 | 12 | |||||||||||
TD | MXN | 40,179,607 | USD | (2,334,802 | ) | 4/1/16 | (9,465 | ) | ||||||||||
TD | NZD | (1,751,101 | ) | USD | 1,200,826 | 4/7/16 | (9,097 | ) | ||||||||||
UBS | INR | 29,939,186 | USD | (438,442 | ) | 4/7/16 | 13,095 | |||||||||||
|
| |||||||||||||||||
$ | (2,558,026 | ) | ||||||||||||||||
|
|
Futures Contracts
Contracts to Buy (Sell) | Notional Cost (Proceeds) | Notional Value | Expiration Date | Unrealized Appreciation (Depreciation) | ||||||||||
(4) 90 Day Euro | $ | (989,605 | ) | $ | (989,650 | ) | 12/19/17 | $ | (45 | ) | ||||
(40) 90 Day Euro | (9,815,354 | ) | (9,843,000 | ) | 12/17/19 | (27,646 | ) | |||||||
(56) 90 Day Euro | (13,771,891 | ) | (13,828,500 | ) | 9/18/18 | (56,609 | ) | |||||||
(235) 90 Day Euro | (57,914,207 | ) | (58,068,500 | ) | 6/19/18 | (154,293 | ) | |||||||
(542) 90 Day Euro | (133,749,101 | ) | (134,023,050 | ) | 3/20/18 | (273,949 | ) | |||||||
(1,055) 90 Day Euro | (259,754,685 | ) | (260,321,250 | ) | 12/18/18 | (566,565 | ) | |||||||
(428) 90 Day Euro | (104,873,019 | ) | (105,962,100 | ) | 9/19/17 | (1,089,081 | ) | |||||||
(915) 90 Day Sterling | (163,041,553 | ) | (162,874,789 | ) | 6/21/18 | 166,764 | ||||||||
(123) 90 Day Sterling | (21,820,107 | ) | (21,921,143 | ) | 9/21/17 | (101,036 | ) | |||||||
(1,117) 90 Day Sterling | (198,300,484 | ) | (198,912,061 | ) | 3/22/18 | (611,577 | ) | |||||||
151 Australian 3 yr Bonds | 11,329,926 | 11,357,297 | 6/16/16 | 27,371 | ||||||||||
(60) E-mini S&P 500 Index | (6,077,085 | ) | (6,154,500 | ) | 6/20/16 | (77,415 | ) | |||||||
57 Euro-Bobl | 8,518,028 | 8,503,185 | 6/9/16 | (14,843 | ) | |||||||||
16 U.S. Treasury 10 yr Notes | 2,029,684 | 2,086,250 | 6/22/16 | 56,567 | ||||||||||
2,200 U.S. Treasury 5 yr Notes | 265,891,855 | 266,560,938 | 7/1/16 | 669,082 | ||||||||||
249 U.S. Treasury Long Bonds | 40,927,834 | 40,944,937 | 6/22/16 | 17,103 | ||||||||||
|
|
|
| |||||||||||
$ | (641,409,764 | ) | $ | (2,036,172 | ) | |||||||||
|
|
|
|
78
Table of Contents
Swap Contracts
CDS Contracts2
Counterparty | Swap Referenced Obligation | Notional Value3 | Annual Protection Payments | Termination Date | Upfront Payments Paid (Received) | Unrealized Appreciation (Depreciation)4 | ||||||||||||||
Protection Purchased / Moody’s ratings: | ||||||||||||||||||||
ICE | JPMC - CDX.NA.HY.255 | 9,710,000 | 5.00% | 12/20/20 | $ | (206,620 | ) | $ | (71,145 | ) | ||||||||||
ICE | JPMC - iTraxx Europe Crossover Series 25 Version 17 | EUR | 2,945,000 | 5.00% | 6/20/21 | (272,778 | ) | (33,088 | ) | |||||||||||
JPMC | CDX.EM.256 | 5,276,000 | 1.00% | 6/20/21 | 446,586 | 11,888 | ||||||||||||||
|
| |||||||||||||||||||
$ | (92,345 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Protection Sold / Moody’s ratings: | ||||||||||||||||||||
BAML | Citigroup CDS 6.125% 5/15/18 Baa1 | 2,800,000 | 1.00% | 12/20/20 | (5,612 | ) | 16,639 | |||||||||||||
BAML | Volkswagen International CDS 5.375% 5/22/18 A3 | EUR | 1,800,000 | 1.00% | 12/20/16 | (8,250 | ) | 12,485 | ||||||||||||
BNP | Volvo Treasury CDS 5.00% 5/31/17 Baa2 | EUR | 200,000 | 1.00% | 12/20/20 | (5,501 | ) | 5,027 | ||||||||||||
CITI | BorgWarner CDS 8.00% 10/1/19 Baa1 | 2,800,000 | 1.00% | 12/20/20 | (55,484 | ) | 83,608 | |||||||||||||
CITI | Finmeccanica Finance 5 yr CDS 5.75% 12/12/19 Ba1 | EUR | 300,000 | 5.00% | 3/20/19 | 30,436 | 9,645 | |||||||||||||
CITI | Mexico LA 5 yr CDS 5.95% 3/19/19 A3 | 1,900,000 | 1.00% | 9/20/20 | (43,637 | ) | 12,338 | |||||||||||||
CITI | Volvo Treasury CDS 5.00% 5/31/17 Baa2 | EUR | 200,000 | 1.00% | 12/20/20 | (4,016 | ) | 3,541 | ||||||||||||
DB | CMBX.NA.AAA.8 | 14,200,000 | 0.50% | 10/17/57 | (956,207 | ) | 316,835 | |||||||||||||
JPMC | Mexico LA 5 yr CDS 5.95% 3/19/19 A3 | 14,300,000 | 1.00% | 12/20/19 | 101,443 | (197,480 | ) | |||||||||||||
JPMC | Mexico LA 5 yr CDS 5.95% 3/19/19 A3 | 2,000,000 | 1.00% | 9/20/20 | (49,045 | ) | 16,099 | |||||||||||||
JPMC | Volkswagen International 2 yr CDS 5.375% 5/22/18 A3 | EUR | 2,500,000 | 1.00% | 12/20/17 | (39,384 | ) | 38,416 | ||||||||||||
MSC | Volvo Treasury CDS 5.00% 5/31/17 Baa2 | EUR | 200,000 | 1.00% | 12/20/20 | (3,521 | ) | 3,047 | ||||||||||||
|
| |||||||||||||||||||
$ | 320,200 | |||||||||||||||||||
|
|
Inflation Swap Contracts9
Notional Value3 | Expiration Date | Description | Unrealized Appreciation (Depreciation) | |||||
4,400,000 | 9/23/16 | Agreement with BAML to receive the notional amount 1 year zero coupon multiplied by the non-revised CPI and to pay the notional amount multiplied by the fixed rate of 0.415% | $ | 10,835 |
(continues) 79
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Interest Rate Swap Contracts10
Counterparty | Swap Referenced Obligation | Notional Value3 | Fixed Interest Rate Received (Paid) | Variable Interest Rate Received (Paid) | Termination Date | Upfront Payments Paid (Received) | Unrealized Appreciation (Depreciation)4 | |||||||||||||||||
CME | BAML - 10 yr USD-BBA-LIBOR 3M | 7,430,000 | 2.05% | 0.628% | 1/12/26 | $ | — | $ | 274,779 | |||||||||||||||
CME | BAML - 30 yr USD-BBA-LIBOR 3M | 4,550,000 | 2.48% | 0.628% | 1/14/46 | — | 343,074 | |||||||||||||||||
CME | BAML - 30 yr USD-BBA-LIBOR 3M | 4,235,000 | 2.52% | 0.628% | 1/12/46 | — | 357,897 | |||||||||||||||||
CME | BAML - 30 yr USD-BBA-LIBOR 3M | 3,360,000 | 2.50% | 0.628% | 1/12/46 | — | 268,127 | |||||||||||||||||
CME | JPMC - 2 yr TIEE-Banxico 28D | MXN | 139,300,000 | 4.04% | 0.406% | 2/3/17 | (11,262 | ) | (10,146 | ) | ||||||||||||||
CME | JPMC - 10 yr TIEE-Banxico 28D | MXN | 13,700,000 | 5.98% | 0.407% | 8/26/24 | (14,594 | ) | 18,704 | |||||||||||||||
CME | JPMC - 10 yr TIEE-Banxico 28D | MXN | 162,900,000 | 6.96% | 0.406% | 7/27/20 | 580,047 | 113,508 | ||||||||||||||||
CME | JPMC - 10 yr TIEE-Banxico 28D | MXN | 126,600,000 | 5.50% | 4.067% | 9/2/20 | (211,857 | ) | 163,989 | |||||||||||||||
CME | JPMC - 10 yr TIEE-Banxico 28D | MXN | 7,500,000 | 5.99% | 4.062% | 1/30/26 | 2,103 | (4,669 | ) | |||||||||||||||
CME | JPMC - 10 yr TIEE-Banxico 28D | MXN | 312,900,000 | 5.99% | 0.407% | 1/8/30 | (582,342 | ) | (168,139 | ) | ||||||||||||||
CME | JPMC - 10 yr USD-BBA-LIBOR 3M | 4,815,000 | 2.84% | 0.634% | 2/26/24 | — | (487,039 | ) | ||||||||||||||||
CME | JPMC - 10 yr USD-BBA-LIBOR 3M | 10,700,000 | 2.35% | 0.620% | 8/5/25 | — | (698,422 | ) | ||||||||||||||||
CME | JPMC - 15 yr USD-OIS-COMPOUND | 17,700,000 | 0.50% | 0.370% | 6/18/16 | (3,459 | ) | (1,362 | ) | |||||||||||||||
CME | JPMC - 2 yr TIEE-Banxico 28D | MXN | 96,300,000 | 4.39% | 4.061% | 7/28/17 | — | (4,629 | ) | |||||||||||||||
CME | JPMC - 3 yr USD-BBA-LIBOR 3M | 3,700,000 | 1.28% | 0.639% | 9/16/17 | — | (25,811 | ) | ||||||||||||||||
CME | JPMC - 30 yr USD-BBA-LIBOR 3M | 28,500,000 | 2.75% | 0.639% | 12/16/45 | (406,683 | ) | (3,514,604 | ) | |||||||||||||||
CME | JPMC - 30 yr USD-BBA-LIBOR 3M | 1,400,000 | 2.50% | 0.628% | 6/15/46 | (59,988 | ) | (45,606 | ) | |||||||||||||||
CME | JPMC - 4 yr USD-BBA-LIBOR 3M | 1,600,000 | 2.00% | 0.639% | 12/16/19 | (6,105 | ) | (50,105 | ) | |||||||||||||||
CME | JPMC - 5 yr TIEE-Banxico 28D | MXN | 35,400,000 | 5.62% | 4.062% | 6/2/20 | 14,454 | 27,032 | ||||||||||||||||
CME | JPMC - 5 yr TIEE-Banxico 28D | MXN | 121,500,000 | 5.50% | 4.062% | 9/22/20 | — | 93,831 | ||||||||||||||||
CME | JPMC - 5 yr USD-BBA-LIBOR 3M | 1,700,000 | 2.00% | 0.639% | 12/16/20 | (23,617 | ) | (42,418 | ) | |||||||||||||||
CME | JPMC - 5 yr USD-BBA-LIBOR 3M | 2,900,000 | 2.00% | 0.625% | 6/15/21 | (92,825 | ) | (14,780 | ) |
80
Table of Contents
Counterparty | Swap Referenced Obligation | Notional Value3 | Fixed Interest Rate Received (Paid) | Variable Interest Rate Received (Paid) | Termination Date | Upfront Payments Paid (Received) | Unrealized Appreciation (Depreciation)4 | |||||||||||||||||||
CME | JPMC - 7 yr TIEE-Banxico 28D | MXN | 160,800,000 | 5.82% | 4.065% | 1/12/23 | $ | 55,540 | $ | 25,916 | ||||||||||||||||
CME | JPMC - 7 yr USD-BBA-LIBOR 3M | 2,800,000 | 2.22% | 0.617% | 5/12/21 | — | (141,570 | ) | ||||||||||||||||||
CME | JPMC - 7 yr USD-BBA-LIBOR 3M | 1,750,000 | 2.24% | 0.621% | 7/28/21 | — | (92,409 | ) | ||||||||||||||||||
CME | JPMC - 7 yr USD-BBA-LIBOR 3M | 3,750,000 | 2.00% | 0.634% | 5/26/22 | — | (151,221 | ) | ||||||||||||||||||
CME | JPMC - 7 yr USD-BBA-LIBOR 3M | 1,700,000 | 2.25% | 0.639% | 12/16/22 | 14,262 | (109,821 | ) | ||||||||||||||||||
CME | JPMC - GBP-BBA-LIBOR 6M | GBP | 3,200,000 | 1.50% | 0.744% | 12/16/17 | (4,673 | ) | (51,771 | ) | ||||||||||||||||
CME | JPMC - 2 yr GBP-BBA-LIBOR 6M | GBP | 2,900,000 | 1.50% | 0.684% | 9/21/18 | (4,134 | ) | (50,003 | ) | ||||||||||||||||
LCH | JPMC - 10 yr USD-BBA-LIBOR 3M | 7,300,000 | 2.50% | 0.639% | 12/16/25 | (74,761 | ) | (512,494 | ) | |||||||||||||||||
LCH | JPMC - 10 yr USD-BBA-LIBOR 3M | 900,000 | 2.25% | 0.280% | 6/15/26 | (3,319 | ) | (44,715 | ) | |||||||||||||||||
LCH | JPMC - 30 yr USD-BBA-LIBOR 3M | 31,000,000 | 2.50% | 0.628% | 6/15/46 | (1,979,797 | ) | (546,483 | ) | |||||||||||||||||
LCH | JPMC - 5 yr USD-BBA-LIBOR 3M | 47,800,000 | 2.00% | 0.639% | 12/16/20 | 178,470 | (2,055,551 | ) | ||||||||||||||||||
LCH | JPMC - 5 yr USD-BBA-LIBOR 3M | 40,400,000 | 2.00% | 0.628% | 6/15/21 | (1,364,195 | ) | (156,318 | ) | |||||||||||||||||
LCH | JPMC - 7 yr USD-BBA-LIBOR 3M | 44,300,000 | 2.25% | 0.639% | 12/16/22 | 393,081 | (2,921,965 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | (10,215,194 | ) | ||||||||||||||||||||||||
|
|
Reverse Repurchase Agreement11
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Repurchase Price | |||||||||||
BAML - U.S. Treasury Note | 0.65% | 3/30/16 | 4/4/16 | $ | (3,308,250 | ) | $ | (3,308,298 | ) |
The use of foreign currency exchange contracts, futures contracts, reverse repurchase agreement, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts, notional values, and reverse repurchase agreements presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
The type of underlying collateral and the remaining maturity of open reverse repurchase agreement in relation to the reverse repurchase agreement is as follows:
Remaining Contracted Maturity of the Agreement
Reverse Repurchase Agreement | Up to 30 days | Total | ||||
U.S. Treasury Obligation | $(3,308,250) | $ | (3,308,250 | ) |
1 See Note 7 in “Notes to financial statements.”
(continues) 81
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
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 agreement.
3 Notional value shown is stated in U.S. dollars unless noted that the swap is denominated in another currency.
4 Unrealized appreciation (depreciation) does not include periodic interest payments on swap contracts accrued daily in the amount of $(1,159,875).
5 Markit’s North American High Yield CDX Index, or the CDX.NA.HY Index, is composed of one hundred (100) of the most liquid North American entities with high yield credit ratings that trade in the CDS market.
6 Markit’s Emerging Markets CDX Index, or the CDX.EM Index is composed of fourteen sovereign issuers from the following regions: Latin America, Middle east, Eastern Europe, Africa and Asia.
7 Markit’s iTraxx® Europe Crossover index is composed of up to fifty (50) European entities with non-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.
9 Inflation swap agreements involve commitments to pay a regular stream of inflation-indexed cash payments in exchange for receiving a stream of nominal interest payments (or vice versa), where both payment streams are based on notional amounts. The nominal interest payments may be based on either a fixed interest rate or variable interest rate such as London Interbank Offered Rate (LIBOR). The change in value of swap contracts outstanding, if any, is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded on maturity or termination of the swap contract. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the index swap contract’s remaining life, to the extent that the amount is positive.
10 An interest rate swap agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or
termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts.
11 See Note 1 in “Notes to financial statements.”
Summary of abbreviations:
ARM – Adjustable Rate Mortgage
AUD – Australian Dollar
BAML – Bank of America Merrill Lynch
BBA – LIBOR – British Bankers Association Rate
BNP – BNP Paribas
BRL – Brazilian Real
CAD – Canadian Dollar
CBOT – Chicago Board of Trade
CDO – Collateralized Debt Obligation
CDS – Credit Default Swap
CETIP – Brazil CETIP Deposito Interbancario (Interbank Deposit) Rate
CITI – Citigroup Global Markets
CLO – Collateralized Loan Obligation
CME – Chicago Mercantile Exchange Inc.
CPI – Consumer Price Index
DB – Deutsche Bank
EUR – European Monetary Unit
EURIBOR – Euro Interbank Offer Rate
EURX – Euronext Exchange
GBP – British Pound Sterling
GNMA – Government National Mortgage Association
GSC – Goldman Sachs Capital
GSMPS – | Goldman Sachs Reperforming Mortgage Securities |
HSBC – Hong Kong Shanghai Bank
ICE LIBOR – | Intercontinental Exchange London Interbank Offered Rate |
IDR – Indonesian Rupiah
INR – Indian Rupee
IRS – Interest Rate Swaptions
JPMC – JPMorgan Chase Bank
JPY – Japanese Yen
KRW – South Korean Won
LB – Lehman Brothers
LCH – London Clearing House
M – Month
MASTR – Mortgage Asset Securitization Transactions, Inc.
MBIA – MBIA Insurance Group
MSC – Morgan Stanley Capital
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NZD – New Zealand Dollar
OIS – COMPOUND – Overnight Indexed Swaps Federal Funds Compound Rate
PEN – Peruvian Nuevo Sol
82 |
Table of Contents
Summary of abbreviations: (continued)
PHP – Philippine Peso
PIK – Payment-in-Kind
PLN – Polish Zloty
REMIC – Real Estate Mortgage Investment Conduit
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
S.F. – Single Family
TBA – To be announced
TD – Toronto Dominion Bank
THB – Thailand Baht
TIEE – Banxico – Interbank Equilibrium Interest Rate Banco de Mexico
TWD – Taiwan Dollar
UBS – Union Bank of Switzerland
USD – U.S. Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
83
Table of Contents
Schedules of investments
Optimum International Fund
March 31, 2016
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 98.30%D |
| |||||||
| ||||||||
Australia – 3.12% | ||||||||
BHP Billiton ADR * | 80,788 | $ | 2,092,409 | |||||
Caltex Australia | 53,068 | 1,383,909 | ||||||
Cochlear | 31,291 | 2,453,780 | ||||||
Orora | 1,005,896 | 1,927,674 | ||||||
Qantas Airways † | 2,425,942 | 7,568,596 | ||||||
St Barbara † | 1,785,311 | 2,737,060 | ||||||
|
| |||||||
18,163,428 | ||||||||
|
| |||||||
Austria – 2.69% | ||||||||
Conwert Immobilien Invest † | 229,038 | 3,672,169 | ||||||
Erste Group Bank † | 154,555 | 4,343,943 | ||||||
Schoeller-Bleckmann Oilfield Equipment * | 57,834 | 3,521,456 | ||||||
voestalpine | 123,006 | 4,115,775 | ||||||
|
| |||||||
15,653,343 | ||||||||
|
| |||||||
Belgium – 0.54% | ||||||||
Delhaize Group | 30,323 | 3,165,792 | ||||||
|
| |||||||
3,165,792 | ||||||||
|
| |||||||
Bermuda – 1.75% | ||||||||
Everest Re Group | 51,638 | 10,194,890 | ||||||
|
| |||||||
10,194,890 | ||||||||
|
| |||||||
Brazil – 1.44% | ||||||||
Banco Bradesco ADR | 365,691 | 2,724,398 | ||||||
Banco do Brasil | 358,100 | 1,944,047 | ||||||
JBS | 572,300 | 1,741,260 | ||||||
Qualicorp † | 483,067 | 2,001,779 | ||||||
|
| |||||||
8,411,484 | ||||||||
|
| |||||||
Canada – 4.10% | ||||||||
Alimentation Couche-Tard Class B | 15,900 | 707,619 | ||||||
Bank of Nova Scotia | 78,800 | 3,850,961 | ||||||
BCE | 17,617 | 802,278 | ||||||
CGI Group Class A † | 70,100 | 3,350,227 | ||||||
Constellation Software | 3,600 | 1,474,067 | ||||||
Dominion Diamond | 96,800 | 1,073,278 | ||||||
H&R Real Estate Investment Trust | 61,200 | 989,096 | ||||||
Magna International Class A | 112,154 | 4,821,219 | ||||||
Rogers Communications Class B | 71,626 | 2,866,473 | ||||||
Royal Bank of Canada | 15,900 | 916,109 | ||||||
Sun Life Financial | 90,300 | 2,913,240 | ||||||
Tourmaline Oil † | 6,200 | 131,280 | ||||||
|
| |||||||
23,895,847 | ||||||||
|
| |||||||
China/Hong Kong – 4.82% |
| |||||||
Anhui Conch Cement | 1,328,500 | 3,562,144 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
China/Hong Kong (continued) |
| |||||||
China Oilfield Services * | 2,898,000 | $ | 2,263,902 | |||||
China Telecom | 3,326,000 | 1,757,894 | ||||||
CLP Holdings | 889,500 | 8,043,781 | ||||||
Hong Kong Exchanges and Clearing | 34,400 | 828,365 | ||||||
Industrial & Commercial Bank of China | 5,164,000 | 2,889,100 | ||||||
Orient Overseas International * | 1,040,500 | 4,017,219 | ||||||
Swire Pacific Class A | 209,000 | 2,249,673 | ||||||
TravelSky Technology | 43,000 | 70,398 | ||||||
Weichai Power * | 1,389,000 | 1,555,997 | ||||||
Yue Yuen Industrial Holdings | 255,500 | 877,758 | ||||||
|
| |||||||
28,116,231 | ||||||||
|
| |||||||
Colombia – 0.49% | ||||||||
Bancolombia ADR | 82,954 | 2,835,368 | ||||||
|
| |||||||
2,835,368 | ||||||||
|
| |||||||
Czech Republic – 0.57% | ||||||||
Komercni banka | 14,992 | 3,311,219 | ||||||
|
| |||||||
3,311,219 | ||||||||
|
| |||||||
Denmark – 0.87% | ||||||||
H. Lundbeck † | 81,021 | 2,674,924 | ||||||
Vestas Wind Systems | 34,341 | 2,422,775 | ||||||
|
| |||||||
5,097,699 | ||||||||
|
| |||||||
Finland – 0.85% | ||||||||
Neste | 150,980 | 4,968,460 | ||||||
|
| |||||||
4,968,460 | ||||||||
|
| |||||||
France – 4.30% | ||||||||
Atos | 27,604 | 2,248,370 | ||||||
Christian Dior | 6,782 | 1,230,128 | ||||||
Derichebourg | 140,436 | 434,662 | ||||||
Gecina | 7,404 | 1,019,426 | ||||||
Ipsen | 20,818 | 1,195,574 | ||||||
IPSOS | 33,336 | 778,765 | ||||||
Metropole Television | 38,968 | 710,576 | ||||||
Peugeot † | 116,087 | 1,989,357 | ||||||
Safran | 59,267 | 4,146,206 | ||||||
SCOR | 16,499 | 585,755 | ||||||
Societe Generale | 91,582 | 3,384,778 | ||||||
Sodexo * | 43,892 | 4,731,762 | ||||||
Thales | 29,752 | 2,606,820 | ||||||
|
| |||||||
25,062,179 | ||||||||
|
| |||||||
Germany – 3.10% | ||||||||
Continental | 21,033 | 4,786,690 | ||||||
Deutsche Lufthansa † | 417,193 | 6,743,453 | ||||||
Merck | 10,453 | 871,983 |
84 |
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Germany (continued) |
| |||||||
Nordex † | 31,425 | $ | 862,316 | |||||
ProSiebenSat.1 Media | 51,431 | 2,644,377 | ||||||
Stroeer | 13,148 | 826,601 | ||||||
TUI | 84,474 | 1,318,326 | ||||||
|
| |||||||
18,053,746 | ||||||||
|
| |||||||
India – 2.96% | ||||||||
Britannia Industries | 21,615 | 876,873 | ||||||
Hindustan Unilever | 80,266 | 1,053,891 | ||||||
ICICI Bank ADR | 704,840 | 5,046,654 | ||||||
Tata Consultancy Services | 87,160 | 3,317,141 | ||||||
Yes Bank | 533,134 | 6,964,213 | ||||||
|
| |||||||
17,258,772 | ||||||||
|
| |||||||
Indonesia – 1.01% | ||||||||
Indofood Sukses Makmur | 4,918,100 | 2,679,734 | ||||||
Telekomunikasi Indonesia Persero | 12,715,200 | 3,188,389 | ||||||
|
| |||||||
5,868,123 | ||||||||
|
| |||||||
Ireland – 2.47% | ||||||||
ICON † | 191,393 | 14,373,614 | ||||||
|
| |||||||
14,373,614 | ||||||||
|
| |||||||
Israel – 2.80% | ||||||||
Bank Hapoalim BM | 842,393 | 4,373,155 | ||||||
Plus500 | 91,064 | 805,017 | ||||||
Taro Pharmaceutical Industries † | 42,699 | 6,116,632 | ||||||
Teva Pharmaceutical Industries ADR | 93,778 | 5,018,061 | ||||||
|
| |||||||
16,312,865 | ||||||||
|
| |||||||
Italy – 0.43% | ||||||||
A2A | 899,260 | 1,169,595 | ||||||
La Doria | 45,778 | 686,036 | ||||||
Recordati | 26,065 | 652,506 | ||||||
|
| |||||||
2,508,137 | ||||||||
|
| |||||||
Japan – 18.43% | ||||||||
Adastria | 53,400 | 1,620,339 | ||||||
Astellas Pharma | 127,200 | 1,691,366 | ||||||
Chubu Electric Power | 287,400 | 4,013,053 | ||||||
Daiichi Sankyo | 137,400 | 3,055,165 | ||||||
Daito Trust Construction | 23,300 | 3,308,312 | ||||||
Daiwa House Industry | 224,600 | 6,318,216 | ||||||
Denso | 204,900 | 8,236,417 | ||||||
Fujitsu | 207,000 | 766,237 | ||||||
Gurunavi | 56,900 | 1,351,403 | ||||||
Hisamitsu Pharmaceutical | 15,200 | 679,337 | ||||||
Hitachi | 733,000 | 3,429,720 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Japan (continued) | ||||||||
Iida Group Holdings | 173,800 | $ | 3,389,675 | |||||
Japan Airlines | 42,200 | 1,545,590 | ||||||
Kaken Pharmaceutical | 37,300 | 2,256,991 | ||||||
KDDI | 58,300 | 1,557,153 | ||||||
Konami Holdings | 62,200 | 1,840,384 | ||||||
Medipal Holdings | 43,600 | 690,348 | ||||||
Mixi | 50,000 | 1,857,035 | ||||||
Mizuho Financial Group | 756,400 | 1,129,778 | ||||||
Morinaga | 180,000 | 916,433 | ||||||
Nexon | 133,500 | 2,276,303 | ||||||
Nichi-iko Pharmaceutical | 52,200 | 1,204,062 | ||||||
Nichirei | 191,000 | 1,554,543 | ||||||
Nippon Steel & Sumitomo Metal | 164,500 | 3,160,060 | ||||||
Nippon Telegraph & Telephone | 131,000 | 5,642,969 | ||||||
Nissha Printing | 91,800 | 1,344,230 | ||||||
NTT DATA | 72,300 | 3,629,615 | ||||||
NTT DOCOMO | 71,900 | 1,630,679 | ||||||
Obayashi | 344,000 | 3,392,776 | ||||||
Otsuka Holdings | 118,500 | 4,304,305 | ||||||
Rohto Pharmaceutical | 31,700 | 577,413 | ||||||
Secom | 114,100 | 8,481,590 | ||||||
Sumitomo Mitsui Financial Group | 136,300 | 4,132,175 | ||||||
Suzuken | 82,300 | 2,797,081 | ||||||
Taisei | 269,000 | 1,778,275 | ||||||
Terumo | 26,100 | 935,746 | ||||||
T-Gaia | 78,900 | 913,472 | ||||||
Tokyo Electric Power † | 841,400 | 4,627,719 | ||||||
Yamazaki Baking | 256,000 | 5,393,185 | ||||||
|
| |||||||
107,429,150 | ||||||||
|
| |||||||
Netherlands – 2.71% | ||||||||
Core Laboratories * | 72,251 | 8,121,735 | ||||||
Heineken | 39,365 | 3,567,797 | ||||||
Royal Dutch Shell Class A | 168,729 | 4,097,210 | ||||||
|
| |||||||
15,786,742 | ||||||||
|
| |||||||
New Zealand – 0.49% | ||||||||
Spark New Zealand | 690,389 | 1,741,769 | ||||||
Xero Private Placement † | 104,850 | 1,118,248 | ||||||
|
| |||||||
2,860,017 | ||||||||
|
| |||||||
Norway – 2.60% | ||||||||
DNB | 502,218 | 5,938,829 | ||||||
Norsk Hydro | 869,829 | 3,581,408 | ||||||
Statoil ADR | 230,296 | 3,583,406 | ||||||
Telenor | 128,284 | 2,075,873 | ||||||
|
| |||||||
15,179,516 | ||||||||
|
|
(continues) 85
Table of Contents
Schedules of investments
Optimum International Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Peru – 1.00% | ||||||||
Credicorp | 44,603 | $ | 5,843,439 | |||||
|
| |||||||
5,843,439 | ||||||||
|
| |||||||
Republic of Korea – 3.36% | ||||||||
Hyundai Mobis | 21,005 | 4,573,492 | ||||||
Korea Electric Power | 80,594 | 4,242,531 | ||||||
Samsung Electronics | 8,556 | 9,815,908 | ||||||
SK Hynix | 39,595 | 974,641 | ||||||
|
| |||||||
19,606,572 | ||||||||
|
| |||||||
Singapore – 2.47% | ||||||||
DBS Group Holdings | 548,200 | 6,255,382 | ||||||
Singapore Airlines | 461,000 | 3,905,939 | ||||||
Singapore Exchange | 297,300 | 1,753,559 | ||||||
United Industrial | 1,143,000 | 2,493,171 | ||||||
|
| |||||||
14,408,051 | ||||||||
|
| |||||||
Spain – 1.55% | ||||||||
Amadeus IT Holding | 210,973 | 9,048,094 | ||||||
|
| |||||||
9,048,094 | ||||||||
|
| |||||||
Sweden – 1.20% | ||||||||
Getinge Class B | 259,021 | 5,969,615 | ||||||
Swedish Match | 30,719 | 1,042,855 | ||||||
|
| |||||||
7,012,470 | ||||||||
|
| |||||||
Switzerland – 5.77% | ||||||||
Credit Suisse Group ADR | 149,483 | 2,112,195 | ||||||
dorma+kaba Holding Class B † | 1,556 | 994,397 | ||||||
Galenica | 4,855 | 7,301,056 | ||||||
Lonza Group † | 36,991 | 6,259,098 | ||||||
Nestle | 36,651 | 2,738,676 | ||||||
Novartis ADR | 86,985 | 6,301,193 | ||||||
Roche Holding | 30,333 | 7,466,924 | ||||||
Zehnder Group | 11,237 | 455,183 | ||||||
|
| |||||||
3,628,722 | ||||||||
|
| |||||||
Taiwan – 3.00% | ||||||||
Advanced Semiconductor Engineering | 5,249,000 | 6,107,850 | ||||||
AU Optronics | 4,201,000 | 1,262,232 | ||||||
Chunghwa Telecom | 656,000 | 2,231,916 | ||||||
Taiwan Semiconductor Manufacturing | 1,561,000 | 7,857,383 | ||||||
|
| |||||||
17,459,381 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common StockD (continued) |
| |||||||
| ||||||||
Thailand – 0.25% | ||||||||
Tipco Asphalt NVDR | 2,077,900 | $ | 1,476,620 | |||||
|
| |||||||
1,476,620 | ||||||||
|
| |||||||
Turkey – 1.20% | ||||||||
Akbank | 1,318,216 | 3,751,896 | ||||||
Turkiye Garanti Bankasi | 1,108,578 | 3,241,778 | ||||||
|
| |||||||
6,993,674 | ||||||||
|
| |||||||
United Kingdom – 13.02% | ||||||||
ARM Holdings ADR * | 269,115 | 11,757,634 | ||||||
Associated British Foods | 15,139 | 728,186 | ||||||
British American Tobacco | 40,185 | 2,360,572 | ||||||
Compass Group | 75,319 | 1,328,413 | ||||||
Debenhams | 1,953,525 | 2,109,924 | ||||||
Diageo | 254,024 | 6,864,502 | ||||||
Great Portland Estates | 189,242 | 1,978,695 | ||||||
HSBC Holdings | 358,082 | 2,231,527 | ||||||
Inchcape | 208,795 | 2,169,645 | ||||||
International Consolidated Airlines Group | 540,981 | 4,300,606 | ||||||
Investec | 329,179 | 2,423,015 | ||||||
ITV | 1,145,466 | 3,968,163 | ||||||
Kingfisher | 419,430 | 2,269,265 | ||||||
Land Securities Group | 74,437 | 1,177,081 | ||||||
Legal & General Group | 758,466 | 2,562,144 | ||||||
Markit † | 24,316 | 859,571 | ||||||
Mondi | 267,988 | 5,142,234 | ||||||
National Grid | 176,813 | 2,506,971 | ||||||
Persimmon | 146,785 | 4,395,596 | ||||||
Project White @=† | 60,572 | 1,553,758 | ||||||
Rio Tinto ADR * | 116,601 | 3,296,310 | ||||||
Sainsbury (J.) | 481,227 | 1,909,681 | ||||||
Shire | 140,979 | 8,016,226 | ||||||
|
| |||||||
75,909,719 | ||||||||
|
| |||||||
United States – 2.94% | ||||||||
Carnival | 166,715 | 8,797,551 | ||||||
Carnival - London Stock Exchange | 70,302 | 3,788,441 | ||||||
Project Star @=† | 142 | 3,409,855 | ||||||
Project Star Series G @=† | 47 | 1,128,614 | ||||||
|
| |||||||
17,124,461 | ||||||||
|
| |||||||
Total Common Stock | 573,017,825 | |||||||
|
|
86 |
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments – 1.02% |
| |||||||
| ||||||||
Discount Notes – 0.89%≠ |
| |||||||
Federal Home Loan Bank |
| |||||||
0.32% 4/13/16 | 150,782 | $ | 150,772 | |||||
0.32% 5/20/16 | 608,606 | 608,399 | ||||||
0.335% 5/2/16 | 548,882 | 548,764 | ||||||
0.34% 5/19/16 | 39,775 | 39,762 | ||||||
0.346% 4/22/16 | 355,287 | 355,245 | ||||||
0.362% 5/18/16 | 1,118,997 | 1,118,633 | ||||||
0.37% 4/15/16 | 232,302 | 232,284 | ||||||
0.375% 4/21/16 | 151,133 | 151,116 | ||||||
0.38% 7/18/16 | 366,308 | 365,923 | ||||||
0.385% 6/8/16 | 768,857 | 768,421 | ||||||
0.387% 5/27/16 | 686,497 | 686,230 | ||||||
0.53% 8/15/16 | 206,414 | 206,110 | ||||||
|
| |||||||
5,231,659 | ||||||||
|
| |||||||
Repurchase Agreements – 0.13% |
| |||||||
Bank of America Merrill Lynch 0.23%, dated 3/31/16, to be repurchased on 4/1/16, repurchase price $158,991 (collateralized by U.S. government obligations 2.50% 7/15/16; market value $162,170) | 158,990 | 158,990 | ||||||
Bank of Montreal | 264,984 | 264,984 | ||||||
BNP Paribas | 320,026 | 320,026 | ||||||
|
| |||||||
744,000 | ||||||||
|
| |||||||
Total Short-Term Investments (cost $5,974,912) | 5,975,659 | |||||||
|
|
Value (U.S. $) | ||||||||
| ||||||||
Total Value of Securities Before Securities Lending Collateral – 99.32% (cost $599,507,067) | $578,993,484 | |||||||
|
| |||||||
Number of shares | ||||||||
| ||||||||
Securities Lending Collateral** – 4.02% |
| |||||||
| ||||||||
Separate Account Optimum International Fund | 23,444,624 | 23,444,624 | ||||||
|
| |||||||
Total Securities Lending Collateral (cost $23,444,624) | 23,444,624 | |||||||
|
|
Total Value of Securities – 103.34%n (cost $622,951,691) | $602,438,108 | |||||||
|
|
* | Fully or partially on loan. | |
** | See Note 9 in “Notes to financial statements” for additional information on securities lending collateral and non-cash collateral. | |
@ | Illiquid security. At March 31, 2016, the aggregate value of illiquid securities was $6,092,227, which represents 1.05% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” | |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31, 2016, the aggregate value of fair valued securities was $6,092,227, which represents 1.05% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” | |
≠ | The rate shown is the effective yield at the time of purchase. | |
n | Includes $25,271,845 of securities loaned. | |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
† | Non-income-producing security. | |
D | Securities have been classified by country of origin. Aggregate classification by business sectors has been presented on page 36 in “Security type / country and sector allocations.” |
(continues) 87
Table of Contents
Schedules of investments
Optimum International Fund
The following foreign currency exchange contracts were outstanding at March 31, 2016:1
Foreign Currency Exchange Contracts
Counterparty | Contract to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||
BBH | EUR | (5,430 | ) | USD | 6,186 | 4/4/16 | $ | 6 | ||||||||||
BBH | HKD | 312,109 | USD | (40,257 | ) | 4/1/16 | (23 | ) | ||||||||||
BBH | HKD | 105,849 | USD | (13,648 | ) | 4/5/16 | (4 | ) | ||||||||||
|
| |||||||||||||||||
$ | (21 | ) | ||||||||||||||||
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1 See Note 7 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
BBH – Brown Brothers Harriman
EUR – European Monetary Unit
HKD - Hong Kong Dollar
NVDR – Non-Voting Depository Receipt
USD - U.S. Dollar
See accompanying notes, which are an integral part of the financial statements.
88
Table of Contents
Optimum Large Cap Growth Fund
March 31, 2016
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 96.35%² |
| |||||||
| ||||||||
Consumer Discretionary – 21.92% |
| |||||||
Amazon.com † | 129,250 | $ | 76,727,970 | |||||
AutoZone † | 10,400 | 8,285,576 | ||||||
BorgWarner | 120,800 | 4,638,720 | ||||||
CarMax † | 60,900 | 3,111,990 | ||||||
CBS Class B | 162,050 | 8,927,335 | ||||||
Coach | 94,750 | 3,798,527 | ||||||
Comcast Class A | 204,100 | 12,466,428 | ||||||
Ctrip.com International ADR † | 37,250 | 1,648,685 | ||||||
Delphi Automotive (United Kingdom) | 176,500 | 13,241,030 | ||||||
Dollar General | 47,650 | 4,078,840 | ||||||
Dollar Tree † | 35,000 | 2,886,100 | ||||||
Ferrari (Italy) † | 79,890 | 3,331,413 | ||||||
Flipkart Limited @=† | 1,530 | 184,671 | ||||||
Flipkart Limited Series A @=† | 522 | 63,005 | ||||||
Flipkart Limited Series C @=† | 921 | 111,165 | ||||||
Flipkart Limited Series E @=† | 1,712 | 206,638 | ||||||
Flipkart Limited Series G @=† | 7,188 | 867,592 | ||||||
Flipkart Limited Series H @=† | 6,977 | 842,124 | ||||||
Hanesbrands | 254,350 | 7,208,279 | ||||||
Hilton Worldwide Holdings | 184,500 | 4,154,940 | ||||||
Home Depot | 31,150 | 4,156,345 | ||||||
Jarden † | 181,900 | 10,723,005 | ||||||
Las Vegas Sands | 131,550 | 6,798,504 | ||||||
Lowe’s | 139,750 | 10,586,063 | ||||||
Marriott International Class A | 80,000 | 5,694,400 | ||||||
McDonald’s | 59,400 | 7,465,392 | ||||||
MGM Resorts International † | 397,770 | 8,528,189 | ||||||
Netflix † | 73,450 | 7,508,793 | ||||||
Newell Rubbermaid | 177,450 | 7,859,261 | ||||||
NIKE Class B | 133,550 | 8,209,319 | ||||||
Norwegian Cruise Line Holdings † | 108,350 | 5,990,671 | ||||||
Priceline Group † | 22,100 | 28,486,016 | ||||||
PVH | 8,300 | 822,198 | ||||||
Ross Stores | 69,100 | 4,000,890 | ||||||
Royal Caribbean Cruises | 79,050 | 6,493,957 | ||||||
ServiceMaster Global Holdings † | 105,550 | 3,977,124 | ||||||
Signet Jewelers (Bermuda) | 44,150 | 5,475,925 | ||||||
Starbucks | 206,350 | 12,319,095 | ||||||
Tesla Motors † | 36,220 | 8,322,269 | ||||||
Time Warner | 49,500 | 3,591,225 | ||||||
Tractor Supply | 74,400 | 6,730,224 | ||||||
Walt Disney | 95,200 | 9,454,312 | ||||||
|
| |||||||
329,974,205 | ||||||||
|
| |||||||
Consumer Staples – 5.48% |
| |||||||
Church & Dwight | 47,600 | 4,387,768 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Consumer Staples (continued) |
| |||||||
Costco Wholesale | 34,400 | $ | 5,420,752 | |||||
CVS Health | 130,450 | 13,531,579 | ||||||
Kraft Heinz | 36,450 | 2,863,512 | ||||||
Kroger | 143,700 | 5,496,525 | ||||||
Mead Johnson Nutrition | 8,750 | 743,487 | ||||||
Molson Coors Brewing Class B | 113,750 | 10,940,475 | ||||||
PepsiCo | 144,950 | 14,854,476 | ||||||
Philip Morris International | 132,150 | 12,965,237 | ||||||
Walgreens Boots Alliance | 133,050 | 11,208,132 | ||||||
|
| |||||||
82,411,943 | ||||||||
|
| |||||||
Energy – 0.77% | ||||||||
Anadarko Petroleum | 90,050 | 4,193,629 | ||||||
Devon Energy | 58,600 | 1,607,984 | ||||||
EOG Resources | 32,100 | 2,329,818 | ||||||
Halliburton | 31,050 | 1,109,106 | ||||||
Schlumberger | 8,900 | 656,375 | ||||||
Weatherford International (Switzerland) † | 225,400 | 1,753,612 | ||||||
|
| |||||||
11,650,524 | ||||||||
|
| |||||||
Financials – 4.54% | ||||||||
American Tower | 132,800 | 13,594,736 | ||||||
Bank of America | 275,099 | 3,719,338 | ||||||
BlackRock | 5,200 | 1,770,964 | ||||||
Blackstone Mortgage Trust | 194,500 | 5,224,270 | ||||||
Citizens Financial Group | 106,570 | 2,232,641 | ||||||
Crown Castle International | 106,250 | 9,190,625 | ||||||
Goldman Sachs Group | 4,750 | 745,655 | ||||||
Intercontinental Exchange | 34,600 | 8,135,844 | ||||||
LendingClub † | 96,650 | 802,195 | ||||||
McGraw Hill Financial | 20,950 | 2,073,631 | ||||||
Morgan Stanley | 429,300 | 10,736,793 | ||||||
State Street | 76,100 | 4,453,372 | ||||||
Synchrony Financial † | 33,306 | 954,550 | ||||||
TD Ameritrade Holding | 147,400 | 4,647,522 | ||||||
WeWork Companies @=† | 2,473 | 93,094 | ||||||
|
| |||||||
68,375,230 | ||||||||
|
| |||||||
Healthcare – 18.30% | ||||||||
Acadia Healthcare † | 15,950 | 879,005 | ||||||
ACADIA Pharmaceuticals † | 69,250 | 1,936,230 | ||||||
Aetna | 75,600 | 8,493,660 | ||||||
Alexion Pharmaceuticals † | 89,300 | 12,432,346 | ||||||
Allergan † | 136,718 | 36,644,525 | ||||||
Anthem | 73,900 | 10,271,361 | ||||||
Biogen † | 48,600 | 12,651,552 | ||||||
BioMarin Pharmaceutical † | 72,600 | 5,988,048 | ||||||
Boston Scientific † | 191,450 | 3,601,175 |
(continues) 89
Table of Contents
Schedules of investments
Optimum Large Cap Growth Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Healthcare (continued) |
| |||||||
Bristol-Myers Squibb | 381,700 | $ | 24,382,996 | |||||
Celgene † | 164,600 | 16,474,814 | ||||||
Cigna | 44,200 | 6,066,008 | ||||||
DexCom † | 16,750 | 1,137,493 | ||||||
Edwards Lifesciences † | 66,500 | 5,865,965 | ||||||
Eli Lilly | 46,450 | 3,344,865 | ||||||
Gilead Sciences | 153,600 | 14,109,696 | ||||||
HCA Holdings † | 43,959 | 3,431,000 | ||||||
Hologic † | 31,900 | 1,100,550 | ||||||
Humana | 47,550 | 8,699,273 | ||||||
Illumina † | 14,300 | 2,318,173 | ||||||
Incyte † | 61,900 | 4,485,893 | ||||||
Intuitive Surgical † | 19,100 | 11,480,055 | ||||||
McKesson | 41,600 | 6,541,600 | ||||||
Pacira Pharmaceuticals † | 59,450 | 3,149,661 | ||||||
Pfizer | 99,400 | 2,946,216 | ||||||
Regeneron Pharmaceuticals † | 11,000 | 3,964,840 | ||||||
STERIS (United Kingdom) | 50,850 | 3,612,893 | ||||||
Stryker | 82,350 | 8,835,331 | ||||||
Thermo Fisher Scientific | 103,315 | 14,628,371 | ||||||
UnitedHealth Group | 176,250 | 22,718,625 | ||||||
Vertex Pharmaceuticals † | 166,050 | 13,199,315 | ||||||
|
| |||||||
275,391,535 | ||||||||
|
| |||||||
Industrials – 10.38% | ||||||||
3M | 15,700 | 2,616,091 | ||||||
American Airlines Group | 362,800 | 14,878,428 | ||||||
Boeing | 125,650 | 15,950,011 | ||||||
Canadian Pacific Railway (Canada) | 32,200 | 4,272,618 | ||||||
Danaher | 211,900 | 20,100,834 | ||||||
Delta Air Lines | 118,250 | 5,756,410 | ||||||
Eaton | 41,800 | 2,615,008 | ||||||
FedEx | 25,900 | 4,214,448 | ||||||
Flowserve | 79,206 | 3,517,538 | ||||||
General Electric | 132,715 | 4,219,010 | ||||||
HD Supply Holdings † | 214,950 | 7,108,397 | ||||||
Honeywell International | 226,400 | 25,368,120 | ||||||
IHS Class A † | 12,100 | 1,502,336 | ||||||
Kansas City Southern | 11,700 | 999,765 | ||||||
Lockheed Martin | 23,300 | 5,160,950 | ||||||
Roper Technologies | 34,500 | 6,305,565 | ||||||
Stericycle † | 24,550 | 3,097,965 | ||||||
Tyco International (Switzerland) | 131,650 | 4,832,871 | ||||||
Union Pacific | 36,453 | 2,899,836 | ||||||
United Continental Holdings † | 142,750 | 8,545,015 | ||||||
United Rentals † | 14,900 | 926,631 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Industrials (continued) |
| |||||||
Verisk Analytics Class A † | 50,450 | $ | 4,031,964 | |||||
Wabtec | 91,700 | 7,270,893 | ||||||
|
| |||||||
156,190,704 | ||||||||
|
| |||||||
Information Technology – 32.27% |
| |||||||
Adobe Systems † | 75,800 | 7,110,040 | ||||||
Alibaba Group Holding ADR † | 29,105 | 2,300,168 | ||||||
Alliance Data Systems † | 9,505 | 2,091,100 | ||||||
Alphabet Class A † | 35,700 | 27,235,530 | ||||||
Alphabet Class C † | 105,528 | 78,613,083 | ||||||
Apple | 540,200 | 58,876,398 | ||||||
Arista Networks † | 17,550 | 1,107,405 | ||||||
ASML Holding (Netherlands) | 52,500 | 5,270,475 | ||||||
Broadcom | 49,610 | 7,664,745 | ||||||
Cisco Systems | 43,650 | 1,242,715 | ||||||
comScore † | 31,800 | 955,272 | ||||||
Dropbox Class A @=† | 61,727 | 473,654 | ||||||
Electronic Arts † | 84,950 | 5,616,045 | ||||||
Facebook Class A † | 598,929 | 68,337,799 | ||||||
Fiserv † | 49,200 | 5,046,936 | ||||||
Lam Research | 11,850 | 978,810 | ||||||
LinkedIn Class A † | 41,700 | 4,768,395 | ||||||
MasterCard Class A | 199,300 | 18,833,850 | ||||||
Microsemi † | 57,800 | 2,214,318 | ||||||
Microsoft | 1,038,350 | 57,348,071 | ||||||
Mobileye (Israel) † | 179,500 | 6,693,555 | ||||||
NetSuite † | 51,200 | 3,506,688 | ||||||
NXP Semiconductors (Netherlands) † | 143,950 | 11,670,027 | ||||||
Oracle | 52,850 | 2,162,093 | ||||||
Palo Alto Networks † | 34,100 | 5,563,074 | ||||||
PayPal Holdings † | 124,000 | 4,786,400 | ||||||
Red Hat † | 3,300 | 245,883 | ||||||
Sabre | 144,700 | 4,184,724 | ||||||
salesforce.com † | 260,900 | 19,262,247 | ||||||
Seagate Technology | 22,300 | 768,235 | ||||||
ServiceNow † | 98,330 | 6,015,829 | ||||||
Tencent Holdings (China) (Hong Kong Exchange) | 507,900 | 10,370,985 | ||||||
VeriSign † | 81,300 | 7,198,302 | ||||||
Visa Class A | 526,965 | 40,302,283 | ||||||
Yahoo † | 185,150 | 6,815,371 | ||||||
|
| |||||||
485,630,505 | ||||||||
|
| |||||||
Materials – 1.32% | ||||||||
Air Products & Chemicals | 10,500 | 1,512,525 | ||||||
Ashland | 47,100 | 5,179,116 | ||||||
Celanese Class A | 16,650 | 1,090,575 | ||||||
EI du Pont de Nemours | 34,350 | 2,175,042 |
90
Table of Contents
Number of shares | Value (U.S. $) | |||||||||
| ||||||||||
Common Stock² (continued) |
| |||||||||
| ||||||||||
Materials (continued) |
| |||||||||
Martin Marietta Materials | 18,300 | $ | 2,919,033 | |||||||
PPG Industries | 28,000 | 3,121,720 | ||||||||
Sherwin-Williams | 13,700 | 3,899,979 | ||||||||
|
| |||||||||
19,897,990 | ||||||||||
|
| |||||||||
Telecommunication Services – 1.37% |
| |||||||||
AT&T | 180,250 | 7,060,393 | ||||||||
Level 3 Communications † | 67,700 | 3,577,945 | ||||||||
T-Mobile US † | 94,900 | 3,634,670 | ||||||||
Verizon Communications | 116,550 | 6,303,024 | ||||||||
|
| |||||||||
20,576,032 | ||||||||||
|
| |||||||||
Total Common Stock | 1,450,098,668 | |||||||||
|
| |||||||||
| ||||||||||
Convertible Preferred Stock – 0.48% |
| |||||||||
| ||||||||||
Airbnb Private Placement @=† | 36,741 | 3,054,400 | ||||||||
LivingSocial Private Placement Series F @=† | 14,824 | 0 | ||||||||
Magic Leap =† | 43,435 | 950,416 | ||||||||
Uber Technologies Series G @=† | 34,197 | 1,489,402 | ||||||||
WeWork Companies Series E @=† | 22,244 | 837,357 | ||||||||
Xiaoju Kuaizhi (China) @=† | 32,416 | 941,609 | ||||||||
|
| |||||||||
Total Convertible Preferred Stock | 7,273,184 | |||||||||
|
| |||||||||
| ||||||||||
U.S. Master Limited Partnerships – 0.47% |
| |||||||||
| ||||||||||
Blackstone Group | 229,650 | 6,441,683 | ||||||||
Carlyle Group | 34,350 | 579,828 | ||||||||
|
| |||||||||
Total U.S. Master Limited Partnerships | 7,021,511 | |||||||||
|
| |||||||||
Principal amount° | ||||||||||
| ||||||||||
Short-Term Investments – 2.68% |
| |||||||||
| ||||||||||
Discount Notes – 1.62%≠ |
| |||||||||
Federal Home Loan Bank | ||||||||||
0.32% 4/13/16 | 1,952,897 | 1,952,766 | ||||||||
0.32% 5/20/16 | 1,415,377 | 1,414,895 | ||||||||
0.335% 5/2/16 | 1,824,166 | 1,823,774 | ||||||||
0.336% 4/22/16 | 3,268,581 | 3,268,199 | ||||||||
0.34% 5/19/16 | 285,117 | 285,022 | ||||||||
0.364% 5/18/16 | 6,799,320 | 6,797,103 | ||||||||
0.37% 4/15/16 | 1,447,565 | 1,447,452 |
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Discount Notes≠ (continued) | ||||||||
Federal Home Loan Bank | ||||||||
0.375% 4/21/16 | 870,394 | $ | 870,297 | |||||
0.38% 7/18/16 | 851,887 | 850,993 | ||||||
0.385% 6/8/16 | 1,234,489 | 1,233,789 | ||||||
0.387% 5/27/16 | 3,777,566 | 3,776,097 | ||||||
0.53% 8/15/16 | 750,946 | 749,840 | ||||||
|
| |||||||
24,470,227 | ||||||||
|
| |||||||
Repurchase Agreements – 1.06% |
| |||||||
Bank of America Merrill Lynch | 3,403,758 | 3,403,758 | ||||||
Bank of Montreal | 5,672,930 | 5,672,930 | ||||||
BNP Paribas | 6,851,312 | 6,851,312 | ||||||
|
| |||||||
15,928,000 | ||||||||
|
| |||||||
Total Short-Term Investments | 40,398,227 | |||||||
|
| |||||||
Total Value of Securities – 99.98% | $ | 1,504,791,590 | ||||||
|
|
(continues) 91
Table of Contents
Schedules of investments
Optimum Large Cap Growth Fund
@ | Illiquid security. At March 31, 2016, the aggregate value of illiquid securities was $9,164,711, which represents 0.61% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31,2016, the aggregate value of fair valued securities was $10,115,127, which represents 0.67% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
92
Table of Contents
Optimum Large Cap Value Fund
March 31, 2016
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 97.72% |
| |||||||
| ||||||||
Consumer Discretionary – 6.90% |
| |||||||
Advance Auto Parts | 13,646 | $ | 2,188,000 | |||||
Bed Bath & Beyond † | 24,121 | 1,197,366 | ||||||
Comcast Class A Special | 139,106 | 8,496,594 | ||||||
Delphi Automotive (United Kingdom) | 58,893 | 4,418,153 | ||||||
Harley-Davidson | 65,173 | 3,345,330 | ||||||
Johnson Controls | 135,590 | 5,283,942 | ||||||
Newell Rubbermaid | 50,651 | 2,243,333 | ||||||
Omnicom Group | 129,358 | 10,766,466 | ||||||
Ross Stores | 75,408 | 4,366,123 | ||||||
Target | 60,270 | 4,959,016 | ||||||
Time | 7,229 | 111,616 | ||||||
Time Warner | 79,340 | 5,756,117 | ||||||
TJX | 303,337 | 23,766,454 | ||||||
Viacom Class B | 57,592 | 2,377,398 | ||||||
Walt Disney | 18,030 | 1,790,559 | ||||||
Yum Brands | 74,654 | 6,110,430 | ||||||
|
| |||||||
87,176,897 | ||||||||
|
| |||||||
Consumer Staples – 10.64% |
| |||||||
Altria Group | 430,204 | 26,956,583 | ||||||
Archer-Daniels-Midland | 136,043 | 4,939,721 | ||||||
Campbell Soup | 93,432 | 5,960,027 | ||||||
CVS Health | 119,226 | 12,367,313 | ||||||
Danone (France) | 73,196 | 5,206,441 | ||||||
Diageo (United Kingdom) | 285,164 | 7,705,999 | ||||||
General Mills | 173,157 | 10,969,496 | ||||||
JM Smucker | 10,869 | 1,411,231 | ||||||
Nestle (Switzerland) | 145,944 | 10,905,389 | ||||||
Philip Morris International | 455,148 | 44,654,570 | ||||||
Procter & Gamble | 41,184 | 3,389,855 | ||||||
|
| |||||||
134,466,625 | ||||||||
|
| |||||||
Energy – 9.61% |
| |||||||
Baker Hughes | 10,235 | 448,600 | ||||||
California Resources | 1,290 | 1,330 | ||||||
Chevron | 78,305 | 7,470,297 | ||||||
Devon Energy | 371,050 | 10,181,612 | ||||||
EOG Resources | 77,368 | 5,615,369 | ||||||
Exxon Mobil | 124,509 | 10,407,707 | ||||||
Marathon Petroleum | 395,656 | 14,710,490 | ||||||
National Oilwell Varco | 101,226 | 3,148,129 | ||||||
Noble (United Kingdom) | 1,390,230 | 14,388,882 | ||||||
Occidental Petroleum | 91,279 | 6,246,222 | ||||||
Oceaneering International | 283,697 | 9,430,088 | ||||||
Schlumberger | 101,693 | 7,499,859 | ||||||
Tesoro | 171,696 | 14,767,573 | ||||||
Valero Energy | 266,727 | 17,107,870 | ||||||
|
| |||||||
121,424,028 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Financials – 24.73% |
| |||||||
American Express | 339,653 | $ | 20,854,694 | |||||
Aon (United Kingdom) | 102,345 | 10,689,935 | ||||||
Bank of New York Mellon | 187,649 | 6,911,113 | ||||||
BB&T | 103,302 | 3,436,858 | ||||||
BlackRock | 18,819 | 6,409,187 | ||||||
CBOE Holdings | 328,248 | 21,444,442 | ||||||
CBRE Group Class A † | 212,630 | 6,127,997 | ||||||
Chubb (Switzerland) | 103,800 | 12,367,770 | ||||||
Citigroup | 119,127 | 4,973,552 | ||||||
Discover Financial Services | 272,563 | 13,878,908 | ||||||
Eaton Vance | 377,972 | 12,669,621 | ||||||
Federated Investors Class B | 215,097 | 6,205,548 | ||||||
Franklin Resources | 473,901 | 18,505,834 | ||||||
Goldman Sachs Group | 72,797 | 11,427,673 | ||||||
JPMorgan Chase | 478,899 | 28,360,399 | ||||||
McGraw Hill Financial | 177,380 | 17,557,072 | ||||||
MetLife | 231,111 | 10,155,017 | ||||||
Moody’s | 145,074 | 14,008,345 | ||||||
Nasdaq | 106,389 | 7,062,102 | ||||||
PNC Financial Services Group | 60,855 | 5,146,507 | ||||||
Prudential Financial | 72,121 | 5,208,579 | ||||||
State Street | 83,934 | 4,911,818 | ||||||
Synchrony Financial † | 198,894 | 5,700,302 | ||||||
Travelers | 126,509 | 14,764,865 | ||||||
U.S. Bancorp | 297,299 | 12,067,366 | ||||||
Waddell & Reed Financial Class A | 494,942 | 11,650,935 | ||||||
Wells Fargo | 413,595 | 20,001,454 | ||||||
|
| |||||||
312,497,893 | ||||||||
|
| |||||||
Healthcare – 11.24% |
| |||||||
Abbott Laboratories | 168,914 | 7,065,673 | ||||||
AbbVie | 296,146 | 16,915,860 | ||||||
Allergan † | 7,391 | 1,981,010 | ||||||
Cigna | 22,780 | 3,126,327 | ||||||
Endo International (Ireland) † | 41,596 | 1,170,927 | ||||||
Express Scripts Holding † | 63,306 | 4,348,489 | ||||||
Gilead Sciences | 121,197 | 11,133,156 | ||||||
Jazz Pharmaceuticals (Ireland) † | 38,911 | 5,079,831 | ||||||
Johnson & Johnson | 222,132 | 24,034,682 | ||||||
McKesson | 13,151 | 2,067,995 | ||||||
Medtronic (Ireland) | 190,386 | 14,278,950 | ||||||
Merck | 182,065 | 9,633,059 | ||||||
Mylan † | 233,494 | 10,822,447 | ||||||
Novartis (Switzerland) | 23,532 | 1,705,767 | ||||||
Pfizer | 506,562 | 15,014,498 |
(continues) 93
Table of Contents
Schedules of investments
Optimum Large Cap Value Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock (continued) |
| |||||||
| ||||||||
Healthcare (continued) | ||||||||
Roche Holding (Switzerland) | 6,694 | $ | 1,647,829 | |||||
St. Jude Medical | 72,181 | 3,969,955 | ||||||
Thermo Fisher Scientific | 57,318 | 8,115,656 | ||||||
|
| |||||||
142,112,111 | ||||||||
|
| |||||||
Industrials – 14.28% | ||||||||
3M | 84,105 | 14,014,416 | ||||||
Canadian National Railway (Canada) | 59,199 | 3,697,570 | ||||||
Caterpillar | 28,814 | 2,205,424 | ||||||
Cummins | 15,023 | 1,651,629 | ||||||
Danaher | 103,334 | 9,802,263 | ||||||
Deere | 22,552 | 1,736,278 | ||||||
Eaton (Ireland) | 109,008 | 6,819,540 | ||||||
Equifax | 13,109 | 1,498,228 | ||||||
Honeywell International | 129,073 | 14,462,630 | ||||||
Illinois Tool Works | 56,015 | 5,738,177 | ||||||
Ingersoll-Rand | 31,291 | 1,940,355 | ||||||
Lockheed Martin | 130,021 | 28,799,652 | ||||||
Northrop Grumman | 32,833 | 6,497,651 | ||||||
Pentair (United Kingdom) | 53,690 | 2,913,219 | ||||||
Rockwell Collins | 148,005 | 13,647,541 | ||||||
Stanley Black & Decker | 32,767 | 3,447,416 | ||||||
Tyco International | 232,398 | 8,531,331 | ||||||
Union Pacific | 54,199 | 4,311,530 | ||||||
United Parcel Service Class B | 279,553 | 29,484,455 | ||||||
United Rentals † | 96,339 | 5,991,322 | ||||||
United Technologies | 132,459 | 13,259,146 | ||||||
|
| |||||||
180,449,773 | ||||||||
|
| |||||||
Information Technology – 12.88% |
| |||||||
Accenture Class A (Ireland) | 289,203 | 33,374,026 | ||||||
Alliance Data Systems † | 41,866 | 9,210,520 | ||||||
Analog Devices | 37,481 | 2,218,500 | ||||||
Apple | 165,578 | 18,046,346 | ||||||
Fidelity National Information Services | 88,961 | 5,632,121 | ||||||
Fiserv † | 31,886 | 3,270,866 | ||||||
Harris | 160,702 | 12,512,258 | ||||||
Hewlett Packard Enterprise | 617,077 | 10,940,775 | ||||||
HP | 205,565 | 2,532,561 | ||||||
International Business Machines | 52,687 | 7,979,446 | ||||||
MasterCard Class A | 131,446 | 12,421,647 | ||||||
Oracle | 133,922 | 5,478,749 | ||||||
Texas Instruments | 160,717 | 9,228,370 | ||||||
Western Digital | 312,355 | 14,755,650 | ||||||
Western Union | 786,918 | 15,179,648 | ||||||
|
| |||||||
162,781,483 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||||
| ||||||||||
Common Stock (continued) |
| |||||||||
| ||||||||||
Materials – 4.82% | ||||||||||
CF Industries Holdings | 246,667 | $ | 7,730,544 | |||||||
Crown Holdings † | 67,778 | 3,361,111 | ||||||||
EI du Pont de Nemours | 85,942 | 5,441,847 | ||||||||
LyondellBasell Industries Class A | 150,456 | 12,876,024 | ||||||||
Monsanto | 27,172 | 2,384,071 | ||||||||
NewMarket | 35,169 | 13,936,068 | ||||||||
PPG Industries | 136,318 | 15,198,094 | ||||||||
|
| |||||||||
60,927,759 | ||||||||||
|
| |||||||||
Telecommunication Services – 1.06% |
| |||||||||
Verizon Communications | 219,026 | 11,844,926 | ||||||||
Vodafone Group (United Kingdom) | 504,341 | 1,602,284 | ||||||||
|
| |||||||||
13,447,210 | ||||||||||
|
| |||||||||
Utilities – 1.56% | ||||||||||
AES | 1,053,462 | 12,430,852 | ||||||||
Duke Energy | 69,782 | 5,630,012 | ||||||||
Xcel Energy | 38,475 | 1,609,026 | ||||||||
|
| |||||||||
19,669,890 | ||||||||||
|
| |||||||||
Total Common Stock | 1,234,953,669 | |||||||||
|
| |||||||||
Principal amount° | ||||||||||
| ||||||||||
Short-Term Investments – 2.07% |
| |||||||||
| ||||||||||
Discount Notes – 0.20%≠ | ||||||||||
Federal Home Loan Bank | ||||||||||
0.32% 5/20/16 | 736,970 | 736,719 | ||||||||
0.335% 5/2/16 | 3,355 | 3,355 | ||||||||
0.34% 5/18/16 | 256,175 | 256,091 | ||||||||
0.34% 5/19/16 | 2,021 | 2,020 | ||||||||
0.37% 4/15/16 | 311,129 | 311,104 | ||||||||
0.375% 4/21/16 | 199,655 | 199,632 | ||||||||
0.375% 4/22/16 | 157,367 | 157,349 | ||||||||
0.38% 7/18/16 | 443,568 | 443,102 | ||||||||
0.385% 6/8/16 | 75,806 | 75,763 | ||||||||
0.387% 5/27/16 | 68,901 | 68,874 | ||||||||
0.53% 8/15/16 | 255,743 | 255,366 | ||||||||
|
| |||||||||
2,509,375 | ||||||||||
|
|
94
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements – 1.87% | ||||||||
Bank of America Merrill Lynch | 5,061,188 | $ | 5,061,188 | |||||
Bank of Montreal | 8,435,314 | 8,435,314 | ||||||
BNP Paribas | 10,187,498 | 10,187,498 | ||||||
|
| |||||||
23,684,000 | ||||||||
|
| |||||||
Total Short-Term Investments | 26,193,375 | |||||||
|
| |||||||
Total Value of Securities – 99.79% | $ | 1,261,147,044 | ||||||
|
|
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
See accompanying notes, which are an integral part of the financial statements.
95
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
March 31, 2016
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 93.00%² |
| |||||||
| ||||||||
Consumer Discretionary – 17.02% |
| |||||||
Brunswick | 69,339 | $ | 3,326,885 | |||||
Cato Class A | 67,133 | 2,587,977 | ||||||
Cavco Industries † | 50,992 | 4,765,712 | ||||||
Choice Hotels International | 57,639 | 3,115,388 | ||||||
ClubCorp Holdings | 180,877 | 2,539,513 | ||||||
Diamond Resorts International † | 181,434 | 4,408,846 | ||||||
Dick’s Sporting Goods | 60,827 | 2,843,662 | ||||||
Dorman Products † | 46,810 | 2,547,400 | ||||||
Drew Industries | 86,214 | 5,557,354 | ||||||
Fiesta Restaurant Group † | 51,134 | 1,676,173 | ||||||
Five Below † | 75,214 | 3,109,347 | ||||||
Gentex | 154,783 | 2,428,545 | ||||||
Gentherm † | 66,582 | 2,769,145 | ||||||
G-III Apparel Group † | 41,165 | 2,012,557 | ||||||
HSN | 26,639 | 1,393,486 | ||||||
iRobot † | 37,328 | 1,317,678 | ||||||
Jack in the Box | 25,778 | 1,646,441 | ||||||
Kate Spade † | 7,700 | 196,504 | ||||||
Liberty TripAdvisor Holdings Class A † | 61,103 | 1,354,043 | ||||||
Panera Bread Class A † | 27,111 | 5,553,146 | ||||||
Papa John’s International | 61,818 | 3,349,917 | ||||||
Pool | 21,411 | 1,878,601 | ||||||
Samsonite International | 559,030 | 1,873,679 | ||||||
ServiceMaster Global Holdings † | 60,243 | 2,269,956 | ||||||
Steven Madden † | 119,615 | 4,430,540 | ||||||
Texas Roadhouse | 107,959 | 4,704,853 | ||||||
Vail Resorts | 24,244 | 3,241,423 | ||||||
Zoe’s Kitchen † | 47,392 | 1,847,814 | ||||||
|
| |||||||
78,746,585 | ||||||||
|
| |||||||
Consumer Staples – 0.66% |
| |||||||
Greencore Group (Ireland) | 387,361 | 2,086,302 | ||||||
Nomad Foods (United Kingdom) † | 109,108 | 983,063 | ||||||
|
| |||||||
3,069,365 | ||||||||
|
| |||||||
Energy – 2.40% | ||||||||
Carrizo Oil & Gas† | 68,002 | 2,102,622 | ||||||
Core Laboratories (Netherlands) | 19,359 | 2,176,145 | ||||||
Diamondback Energy † | 26,863 | 2,073,286 | ||||||
PDC Energy † | 38,996 | 2,318,312 | ||||||
QEP Resources | 173,495 | 2,448,014 | ||||||
|
| |||||||
11,118,379 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Financials – 11.44% | ||||||||
Allied World Assurance Holdings (Switzerland) | 44,864 | $ | 1,567,548 | |||||
Associated Banc-Corp | 288,894 | 5,182,758 | ||||||
Assurant | 19,784 | 1,526,336 | ||||||
Colliers International Group (Canada) | 90,059 | 3,409,634 | ||||||
EverBank Financial | 45,760 | 690,518 | ||||||
Extra Space Storage | 21,013 | 1,963,875 | ||||||
First American Financial | 84,887 | 3,235,044 | ||||||
First Busey | 56,630 | 1,159,782 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital | 125,002 | 2,402,538 | ||||||
HFF Class A | 17,006 | 468,175 | ||||||
Kennedy-Wilson Holdings | 131,593 | 2,881,887 | ||||||
Lakeland Financial | 53,715 | 2,459,073 | ||||||
LegacyTexas Financial Group | 55,912 | 1,098,671 | ||||||
MarketAxess Holdings | 47,827 | 5,970,244 | ||||||
MB Financial | 74,343 | 2,412,430 | ||||||
PrivateBancorp | 60,223 | 2,324,608 | ||||||
Sandy Spring Bancorp | 52,176 | 1,452,058 | ||||||
SEI Investments | 48,506 | 2,088,183 | ||||||
Sterling Bancorp | 93,016 | 1,481,745 | ||||||
SVB Financial Group † | 32,646 | 3,331,524 | ||||||
United Community Banks | 105,283 | 1,944,577 | ||||||
Virtu Financial Class A | 102,202 | 2,259,686 | ||||||
WisdomTree Investments | 142,689 | 1,630,935 | ||||||
|
| |||||||
52,941,829 | ||||||||
|
| |||||||
Healthcare – 18.39% | ||||||||
ABIOMED † | 22,000 | 2,085,820 | ||||||
Acadia Healthcare † | 55,424 | 3,054,417 | ||||||
Aerie Pharmaceuticals † | 46,889 | 570,170 | ||||||
Agios Pharmaceuticals † | 16,644 | 675,746 | ||||||
Akorn † | 58,282 | 1,371,376 | ||||||
Amn Healthcare Services † | 107,698 | 3,619,730 | ||||||
Anacor Pharmaceuticals † | 18,675 | 998,179 | ||||||
BioCryst Pharmaceuticals † | 25,529 | 72,247 | ||||||
Bio-Techne | 29,391 | 2,778,037 | ||||||
Bluebird Bio † | 10,760 | 457,300 | ||||||
Cambrex † | 46,287 | 2,036,628 | ||||||
Cepheid † | 31,532 | 1,051,908 | ||||||
DexCom † | 47,221 | 3,206,778 | ||||||
Envision Healthcare Holdings † | 103,444 | 2,110,258 | ||||||
Five Prime Therapeutics † | 55,938 | 2,272,761 | ||||||
Galapagos ADR † | 46,955 | 1,963,658 | ||||||
Healthcare Services Group | 49,000 | 1,803,690 | ||||||
HealthSouth | 103,149 | 3,881,497 |
96
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Healthcare (continued) | ||||||||
Insulet † | 120,117 | $ | 3,983,080 | |||||
Intercept Pharmaceuticals † | 4,902 | 629,760 | ||||||
Intersect ENT † | 64,081 | 1,217,539 | ||||||
Ironwood Pharmaceuticals † | 60,499 | 661,859 | ||||||
LeMaitre Vascular | 2,899 | 44,993 | ||||||
LifePoint Health † | 36,363 | 2,518,138 | ||||||
Ligand Pharmaceuticals Class B † | 25,436 | 2,723,941 | ||||||
Medidata Solutions † | 84,949 | 3,288,376 | ||||||
MEDNAX † | 46,975 | 3,035,526 | ||||||
Mettler-Toledo International † | 13,808 | 4,760,446 | ||||||
Novavax † | 216,046 | 1,114,797 | ||||||
Otonomy † | 46,979 | 700,927 | ||||||
Portola Pharmaceuticals † | 26,200 | 534,480 | ||||||
PTC Therapeutics † | 40,643 | 261,741 | ||||||
Repligen † | 97,000 | 2,601,540 | ||||||
Sarepta Therapeutics † | 45,362 | 885,466 | ||||||
Seattle Genetics † | 81,036 | 2,843,553 | ||||||
Team Health Holdings † | 24,239 | 1,013,433 | ||||||
TESARO † | 37,754 | 1,662,309 | ||||||
Ultragenyx Pharmaceutical † | 46,633 | 2,952,335 | ||||||
Veeva Systems Class A † | 124,250 | 3,111,220 | ||||||
VWR † | 150,629 | 4,076,021 | ||||||
West Pharmaceutical Services | 38,000 | 2,634,160 | ||||||
Wright Medical Group (Netherlands) † | 37,628 | 624,625 | ||||||
Zeltiq Aesthetics † | 117,371 | 3,187,796 | ||||||
|
| |||||||
85,078,261 | ||||||||
|
| |||||||
Industrials – 15.29% | ||||||||
Advanced Drainage Systems | 74,012 | 1,576,456 | ||||||
Advisory Board † | 56,692 | 1,828,317 | ||||||
Altra Industrial Motion @ | 78,174 | 2,171,674 | ||||||
AMETEK | 34,163 | 1,707,467 | ||||||
Applied Industrial Technologies | 22,000 | 954,800 | ||||||
Astronics † | 22,778 | 868,981 | ||||||
CEB | 37,670 | 2,438,379 | ||||||
Donaldson | 73,647 | 2,350,076 | ||||||
ESCO Technologies | 89,920 | 3,505,082 | ||||||
Generac Holdings † | 108,156 | 4,027,729 | ||||||
Heartland Express | 59,534 | 1,104,356 | ||||||
HEICO Class A | 65,857 | 3,134,793 | ||||||
Knight Transportation | 150,314 | 3,930,711 | ||||||
Knoll | 101,421 | 2,195,765 | ||||||
Korn/Ferry International | 53,693 | 1,518,975 | ||||||
Landstar System | 62,066 | 4,010,084 | ||||||
Masonite International † | 56,676 | 3,712,278 | ||||||
Middleby † | 65,213 | 6,962,792 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Industrials (continued) | ||||||||
Moog Class A † | 41,626 | $ | 1,901,476 | |||||
Navigant Consulting † | 80,058 | 1,265,717 | ||||||
Nordson | 21,079 | 1,602,847 | ||||||
Oshkosh | 56,252 | 2,299,019 | ||||||
PGT † | 176,924 | 1,740,932 | ||||||
Toro | 71,103 | 6,123,390 | ||||||
UniFirst | 33,142 | 3,616,455 | ||||||
WageWorks † | 40,780 | 2,063,876 | ||||||
WESCO International † | 38,845 | 2,123,656 | ||||||
|
| |||||||
70,736,083 | ||||||||
|
| |||||||
Information Technology – 25.19% |
| |||||||
ANSYS † | 40,894 | 3,658,377 | ||||||
Arista Networks † | 21,489 | 1,355,956 | ||||||
Atlassian (United Kingdom) † | 78,428 | 1,972,464 | ||||||
CalAmp † | 90,625 | 1,624,906 | ||||||
Cavium † | 20,940 | 1,280,690 | ||||||
CoreLogic † | 56,123 | 1,947,468 | ||||||
CoStar Group † | 43,154 | 8,120,288 | ||||||
Cvent † | 83,522 | 1,787,371 | ||||||
Demandware † | 64,469 | 2,520,738 | �� | |||||
Entegris † | 87,651 | 1,193,807 | ||||||
EPAM Systems † | 24,314 | 1,815,526 | ||||||
ExlService Holdings † | 70,499 | 3,651,848 | ||||||
Fair Isaac | 37,477 | 3,975,935 | ||||||
First Solar † | 20,870 | 1,428,969 | ||||||
Global Payments | 34,800 | 2,272,440 | ||||||
GoDaddy Class A † | 52,429 | 1,695,030 | ||||||
Guidewire Software † | 95,442 | 5,199,680 | ||||||
Heartland Payment Systems | 16,321 | 1,576,119 | ||||||
HubSpot † | 51,720 | 2,256,026 | ||||||
Infinera † | 34,400 | 552,464 | ||||||
IPG Photonics † | 31,512 | 3,027,673 | ||||||
j2 Global | 40,647 | 2,503,042 | ||||||
Littelfuse | 20,081 | 2,472,172 | ||||||
M/A-COM Technology Solutions Holdings † | 54,152 | 2,371,316 | ||||||
Manhattan Associates † | 73,914 | 4,203,489 | ||||||
MAXIMUS | 85,663 | 4,509,300 | ||||||
Mellanox Technologies (Israel) † | 96,238 | 5,228,611 | ||||||
Monolithic Power Systems | 40,072 | 2,550,182 | ||||||
NetSuite † | 25,991 | 1,780,124 | ||||||
NIC @ | 118,614 | 2,138,610 | ||||||
Pure Storage Class A † | 14,700 | 201,243 | ||||||
Pure Storage Class B @=† | 36,123 | 469,798 | ||||||
Q2 Holdings † | 36,800 | 884,672 | ||||||
Rogers † | 38,326 | 2,294,578 |
(continues) 97
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
Rubicon Technology † | 166,780 | $ | 121,749 | |||||
SPS Commerce † | 50,867 | 2,184,229 | ||||||
SS&C Technologies Holdings | 37,696 | 2,390,680 | ||||||
SunPower † | 87,629 | 1,957,632 | ||||||
Telogis @= | 185,242 | 296,387 | ||||||
Tyler Technologies † | 32,373 | 4,163,492 | ||||||
Ultimate Software Group † | 13,101 | 2,535,044 | ||||||
Verint Systems † | 13,216 | 441,150 | ||||||
Virtusa † | 84,695 | 3,172,675 | ||||||
WEX † | 26,306 | 2,192,868 | ||||||
WNS Holdings ADR @† | 222,168 | 6,807,228 | ||||||
Zebra Technologies † | 14,842 | 1,024,098 | ||||||
Zendesk † | 119,573 | 2,502,663 | ||||||
Zillow Group † | 9,860 | 251,923 | ||||||
Zillow Group Class C † | 83,177 | 1,973,790 | ||||||
|
| |||||||
116,536,520 | ||||||||
|
| |||||||
Materials – 1.85% | ||||||||
Headwaters † | 220,856 | 4,381,783 | ||||||
KapStone Paper & Packaging | 123,419 | 1,709,353 | ||||||
Platform Specialty Products † | 289,796 | 2,492,246 | ||||||
|
| |||||||
8,583,382 | ||||||||
|
| |||||||
Telecommunication Services – 0.76% |
| |||||||
Lumos Networks † | 273,780 | 3,515,335 | ||||||
|
| |||||||
3,515,335 | ||||||||
|
| |||||||
Total Common Stock | 430,325,739 | |||||||
|
| |||||||
| ||||||||
Convertible Preferred Stock – 1.32% |
| |||||||
| ||||||||
Cloudera@= | 30,243 | 531,370 | ||||||
DocuSign | ||||||||
Series B @= | 1,166 | 18,994 | ||||||
Series B-1 @= | 349 | 5,685 | ||||||
Series C @= | 4,474 | 72,881 | ||||||
Series D @= | 838 | 13,651 | ||||||
Series E @= | 21,664 | 352,907 | ||||||
DraftKings | ||||||||
Series D @= | 56,648 | 168,443 | ||||||
Series D-1 @= | 50,706 | 195,091 | ||||||
Honest@= | 15,249 | 699,929 | ||||||
MarkLogic@= | 83,588 | 968,785 | ||||||
Nutanix@= | 40,185 | 578,664 | ||||||
Telogis@= | 252,269 | 1,109,984 | ||||||
Veracode Series 8@= | 30,584 | 651,745 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Convertible Preferred Stock (continued) |
| |||||||
| ||||||||
Zuora@= | 209,844 | $ | 740,749 | |||||
|
| |||||||
Total Convertible Preferred Stock (cost $5,659,123) | 6,108,878 | |||||||
|
| |||||||
| ||||||||
Exchange-Traded Fund – 0.65% |
| |||||||
| ||||||||
iShares Russell 2000 Growth ETF | 22,734 | 3,016,347 | ||||||
|
| |||||||
Total Exchange-Traded Fund | 3,016,347 | |||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 4.96% |
| |||||||
| ||||||||
Repurchase Agreements – 4.96% |
| |||||||
Bank of America Merrill Lynch | 4,901,985 | 4,901,985 | ||||||
Bank of Montreal | 8,169,974 | 8,169,974 | ||||||
BNP Paribas | 9,867,041 | 9,867,041 | ||||||
|
| |||||||
Total Short-Term Investments | 22,939,000 | |||||||
|
| |||||||
Total Value of Securities – 99.93% | $ | 462,389,964 | ||||||
|
|
98
Table of Contents
@ | Illiquid security. At March 31, 2016, the aggregate value of illiquid securities was $17,992,575, which represents 3.89% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
= | Security is being fair valued in accordance with the Fund’s fair valuation policy. At March 31,2016, the aggregate value of fair valued securities was $6,875,063, which represents 1.49% of the Fund’s net assets. See Note 1 in “Notes to financial statements.” |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
99
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Value Fund
March 31, 2016
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock – 96.73%² |
| |||||||
| ||||||||
Consumer Discretionary – 14.30% |
| |||||||
AMC Networks Class A † | 65,800 | $ | 4,273,052 | |||||
American Eagle Outfitters | 62,200 | 1,036,874 | ||||||
Bed Bath & Beyond † | 23,600 | 1,171,504 | ||||||
Bloomin’ Brands | 72,500 | 1,223,075 | ||||||
Brinker International | 40,700 | 1,870,165 | ||||||
Cable One | 9,937 | 4,343,761 | ||||||
Children’s Place | 10,400 | 868,088 | ||||||
ClubCorp Holdings | 216,655 | 3,041,836 | ||||||
Cooper-Standard Holding † | 17,300 | 1,242,832 | ||||||
Dick’s Sporting Goods | 96,500 | 4,511,375 | ||||||
Dillard’s Class A | 29,200 | 2,479,372 | ||||||
Goodyear Tire & Rubber | 65,000 | 2,143,700 | ||||||
H&R Block | 120,868 | 3,193,332 | ||||||
Hanesbrands | 76,500 | 2,168,010 | ||||||
Harley-Davidson | 38,300 | 1,965,939 | ||||||
Haverty Furniture | 43,900 | 928,924 | ||||||
Helen of Troy † | 46,160 | 4,786,330 | ||||||
Interval Leisure Group | 70,800 | 1,022,352 | ||||||
Jarden † | 57,880 | 3,412,026 | ||||||
Kohl’s | 30,200 | 1,407,622 | ||||||
Lear | 14,200 | 1,578,614 | ||||||
Lions Gate Entertainment | 100,611 | 2,198,350 | ||||||
Marcus | 64,800 | 1,227,960 | ||||||
Marriott Vacations Worldwide | 21,700 | 1,464,750 | ||||||
Nordstrom | 41,500 | 2,374,215 | ||||||
Scripps Networks Interactive Class A | 12,800 | 838,400 | ||||||
Shoe Carnival | 40,700 | 1,097,272 | ||||||
Sonic Automotive Class A | 76,300 | 1,410,024 | ||||||
Tenneco † | 26,400 | 1,359,864 | ||||||
Time | 278,950 | 4,306,988 | ||||||
Unifi † | 40,900 | 937,019 | ||||||
|
| |||||||
65,883,625 | ||||||||
|
| |||||||
Consumer Staples – 4.30% |
| |||||||
Cal-Maine Foods | 32,800 | 1,702,648 | ||||||
Dean Foods | 87,300 | 1,512,036 | ||||||
Edgewell Personal Care | 27,700 | 2,230,681 | ||||||
Energizer Holdings | 127,424 | 5,161,946 | ||||||
Ingles Markets Class A | 35,400 | 1,327,500 | ||||||
J&J Snack Foods | 20,124 | 2,179,027 | ||||||
Pilgrim’s Pride † | 59,400 | 1,508,760 | ||||||
Sanderson Farms | 17,400 | 1,569,132 | ||||||
SUPERVALU † | 124,600 | 717,696 | ||||||
Universal | 33,100 | 1,880,411 | ||||||
|
| |||||||
19,789,837 | ||||||||
|
| |||||||
Energy – 3.27% | ||||||||
Ardmore Shipping (Ireland) | 95,000 | 802,750 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Energy (continued) |
| |||||||
Bristow Group | 39,700 | $ | 751,124 | |||||
Diamondback Energy † | 27,642 | 2,133,410 | ||||||
HollyFrontier | 50,600 | 1,787,192 | ||||||
PDC Energy † | 47,600 | 2,829,820 | ||||||
REX American Resources † | 21,200 | 1,175,964 | ||||||
Rowan | 82,100 | 1,321,810 | ||||||
RSP Permian † | 97,600 | 2,834,304 | ||||||
Ship Finance International (Norway) | 56,900 | 790,341 | ||||||
Western Refining | 22,100 | 642,889 | ||||||
|
| |||||||
15,069,604 | ||||||||
|
| |||||||
Financials – 25.82% | ||||||||
Alexandria Real Estate Equities | 51,392 | 4,671,019 | ||||||
American Financial Group | 34,600 | 2,434,802 | ||||||
Annaly Capital Management | 139,300 | 1,429,218 | ||||||
Apollo Commercial Real Estate Finance | 77,600 | 1,264,880 | ||||||
Ares Capital | 77,800 | 1,154,552 | ||||||
Aspen Insurance Holdings (Bermuda) | 37,600 | 1,793,520 | ||||||
Assurant | 18,600 | 1,434,990 | ||||||
Assured Guaranty (Bermuda) | 34,400 | 870,320 | ||||||
Banc of California | 145,400 | 2,544,500 | ||||||
BankUnited | 121,100 | 4,170,684 | ||||||
Blackstone Mortgage Trust | 41,500 | 1,114,690 | ||||||
BOK Financial | 27,300 | 1,491,126 | ||||||
CBL & Associates Properties | 63,700 | 758,030 | ||||||
Central Pacific Financial | 47,900 | 1,042,783 | ||||||
CNA Financial | 77,900 | 2,506,822 | ||||||
CNO Financial Group | 127,400 | 2,283,008 | ||||||
Cousins Properties | 189,900 | 1,971,162 | ||||||
East West Bancorp | 62,600 | 2,033,248 | ||||||
Endurance Specialty Holdings (Bermuda) | 35,000 | 2,286,900 | ||||||
Everest Re Group (Bermuda) | 14,900 | 2,941,707 | ||||||
First Busey | 53,800 | 1,101,824 | ||||||
FirstMerit | 123,500 | 2,599,675 | ||||||
Franklin Street Properties | 86,900 | 922,009 | ||||||
Getty Realty | 76,100 | 1,509,063 | ||||||
Hancock Holding | 90,900 | 2,087,064 | ||||||
Hanmi Financial | 47,900 | 1,054,758 | ||||||
Hanover Insurance Group | 22,500 | 2,029,950 | ||||||
Home Bancshares | 105,250 | 4,309,987 | ||||||
Hospitality Properties Trust | 104,300 | 2,770,208 | ||||||
Huntington Bancshares | 215,900 | 2,059,686 | ||||||
International Bancshares | 63,600 | 1,568,376 |
100
Table of Contents
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Financials (continued) | ||||||||
Lexington Realty Trust | 188,400 | $ | 1,620,240 | |||||
Mack-Cali Realty | 81,400 | 1,912,900 | ||||||
Medical Properties Trust | 176,700 | 2,293,566 | ||||||
MGIC Investment † | 107,200 | 822,224 | ||||||
New Mountain Finance | 87,800 | 1,109,792 | ||||||
Old National Bancorp | 86,500 | 1,054,435 | ||||||
One Liberty Properties | 62,200 | 1,393,902 | ||||||
Opus Bank | 61,433 | 2,088,722 | ||||||
Piedmont Office Realty Trust | 58,900 | 1,196,259 | ||||||
Piper Jaffray † | 27,400 | 1,357,944 | ||||||
Preferred Apartment Communities | 45,100 | 571,868 | ||||||
PrivateBancorp | 108,700 | 4,195,820 | ||||||
Prospect Capital | 159,200 | 1,157,384 | ||||||
PS Business Parks | 22,300 | 2,241,373 | ||||||
Radian Group | 69,500 | 861,800 | ||||||
Reinsurance Group of America | 21,200 | 2,040,500 | ||||||
RenaissanceRe Holdings (Bermuda) | 12,700 | 1,521,841 | ||||||
Select Income REIT | 88,800 | 2,046,840 | ||||||
Senior Housing Properties Trust | 123,300 | 2,205,837 | ||||||
STAG Industrial | 119,300 | 2,428,948 | ||||||
Starwood Property Trust | 81,600 | 1,544,688 | ||||||
Summit Hotel Properties | 162,100 | 1,940,337 | ||||||
TCF Financial | 184,600 | 2,263,196 | ||||||
TriCo Bancshares | 45,200 | 1,144,464 | ||||||
Unum Group | 87,800 | 2,714,776 | ||||||
Validus Holdings (Bermuda) | 39,200 | 1,849,848 | ||||||
VEREIT | 228,500 | 2,026,795 | ||||||
Washington Federal | 73,500 | 1,664,775 | ||||||
Wintrust Financial | 98,000 | 4,345,320 | ||||||
Zions Bancorporation | 127,693 | 3,091,447 | ||||||
|
| |||||||
118,918,402 | ||||||||
|
| |||||||
Healthcare – 8.51% | ||||||||
Community Health Systems † | 38,400 | 710,784 | ||||||
CONMED | 54,200 | 2,273,148 | ||||||
Cooper | 31,400 | 4,834,658 | ||||||
Haemonetics † | 130,800 | 4,575,384 | ||||||
Integra LifeSciences Holdings † | 35,200 | 2,371,072 | ||||||
Kindred Healthcare | 107,600 | 1,328,860 | ||||||
Lannett † | 34,600 | 620,378 | ||||||
Owens & Minor | 51,149 | 2,067,443 | ||||||
Patterson | 116,974 | 5,442,800 | ||||||
PerkinElmer | 42,500 | 2,102,050 | ||||||
Premier Class A † | 96,600 | 3,222,576 |
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Healthcare (continued) | ||||||||
Quest Diagnostics @ | 32,200 | $ | 2,300,690 | |||||
SciClone Pharmaceuticals † | 81,300 | 894,300 | ||||||
Teleflex | 32,000 | 5,024,320 | ||||||
United Therapeutics † | 12,900 | 1,437,447 | ||||||
|
| |||||||
39,205,910 | ||||||||
|
| |||||||
Industrials – 13.71% | ||||||||
ACCO Brands † | 176,600 | 1,585,868 | ||||||
ADT | 71,000 | 2,929,460 | ||||||
Aircastle | 71,800 | 1,596,832 | ||||||
Alaska Air Group | 14,800 | 1,213,896 | ||||||
Altra Industrial Motion @ | 41,700 | 1,158,426 | ||||||
Apogee Enterprises | 55,000 | 2,413,950 | ||||||
B/E Aerospace | 47,800 | 2,204,536 | ||||||
Briggs & Stratton | 39,700 | 949,624 | ||||||
Crane | 19,100 | 1,028,726 | ||||||
Deluxe | 29,800 | 1,862,202 | ||||||
Ennis | 45,800 | 895,390 | ||||||
Equifax | 38,407 | 4,389,536 | ||||||
Fluor | 27,100 | 1,455,270 | ||||||
GATX | 20,400 | 969,000 | ||||||
Hawaiian Holdings † | 37,700 | 1,779,063 | ||||||
Herman Miller | 130,000 | 4,015,700 | ||||||
Hillenbrand | 31,600 | 946,420 | ||||||
Huntington Ingalls Industries | 42,870 | 5,870,618 | ||||||
ITT | 38,900 | 1,435,021 | ||||||
JetBlue Airways † | 69,200 | 1,461,504 | ||||||
Kaman | 28,100 | 1,199,589 | ||||||
Moog Class A † | 19,600 | 895,328 | ||||||
Oshkosh | 24,800 | 1,013,576 | ||||||
Pitney Bowes | 329,600 | 7,099,584 | ||||||
Ryder System | 36,000 | 2,332,080 | ||||||
Spirit AeroSystems Holdings Class A † | 36,100 | 1,637,496 | ||||||
Tetra Tech | 16,500 | 492,030 | ||||||
Timken | 24,600 | 823,854 | ||||||
Trinity Industries | 50,400 | 922,824 | ||||||
TrueBlue † | 96,451 | 2,522,194 | ||||||
Wabash National † | 130,500 | 1,722,600 | ||||||
Woodward | 44,256 | 2,302,197 | ||||||
|
| |||||||
63,124,394 | ||||||||
|
| |||||||
Information Technology – 15.10% |
| |||||||
Amdocs | 92,500 | 5,588,850 | ||||||
Amkor Technology † | 116,700 | 687,363 | ||||||
AVG Technologies (Netherlands) † | 118,661 | 2,462,216 | ||||||
Avnet | 38,900 | 1,723,270 | ||||||
Benchmark Electronics † | 58,100 | 1,339,205 |
(continues) 101
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Value Fund
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Information Technology (continued) |
| |||||||
Blucora † | 70,300 | $ | 362,748 | |||||
Booz Allen Hamilton Holding | 179,474 | 5,434,473 | ||||||
Broadridge Financial Solutions | 71,276 | 4,227,380 | ||||||
Brocade Communications Systems | 452,900 | 4,791,682 | ||||||
Cardtronics † | 124,700 | 4,487,953 | ||||||
Cirrus Logic † | 53,200 | 1,937,012 | ||||||
Convergys | 78,500 | 2,179,945 | ||||||
CSG Systems International | 31,400 | 1,418,024 | ||||||
Fabrinet (Thailand) † | 32,600 | 1,054,610 | ||||||
Flextronics International † | 204,000 | 2,460,240 | ||||||
FLIR Systems | 140,007 | 4,613,231 | ||||||
Ingram Micro Class A | 50,500 | 1,813,455 | ||||||
IXYS | 58,800 | 659,736 | ||||||
j2 Global | 87,400 | 5,382,092 | ||||||
Jabil Circuit | 43,700 | 842,099 | ||||||
Mentor Graphics | 50,500 | 1,026,665 | ||||||
NCR † | 80,300 | 2,403,379 | ||||||
Newport † | 82,600 | 1,899,800 | ||||||
OSI Systems † | 49,351 | 3,231,997 | ||||||
Plantronics | 27,500 | 1,077,725 | ||||||
Sanmina † | 59,300 | 1,386,434 | ||||||
Tech Data † | 23,100 | 1,773,387 | ||||||
Teradata † | 27,800 | 729,472 | ||||||
Teradyne | 73,300 | 1,582,547 | ||||||
Western Union | 51,400 | 991,506 | ||||||
|
| |||||||
69,568,496 | ||||||||
|
| |||||||
Materials – 6.16% | ||||||||
Albemarle | 38,562 | 2,465,269 | ||||||
Cabot | 40,400 | 1,952,532 | ||||||
CF Industries Holdings | 41,900 | 1,313,146 | ||||||
Chemtura † | 26,500 | 699,600 | ||||||
Clearwater Paper @† | 25,400 | 1,232,154 | ||||||
Domtar | 45,500 | 1,842,750 | ||||||
Eastman Chemical | 15,700 | 1,134,011 | ||||||
KapStone Paper & Packaging | 290,400 | 4,022,040 | ||||||
Mosaic | 56,000 | 1,512,000 | ||||||
Packaging Corp of America | 24,100 | 1,455,640 | ||||||
PolyOne | 161,600 | 4,888,400 | ||||||
Reliance Steel & Aluminum | 25,300 | 1,750,507 | ||||||
Schweitzer-Mauduit International | 32,700 | 1,029,396 | ||||||
Sonoco Products | 28,100 | 1,364,817 | ||||||
Stepan | 31,100 | 1,719,519 | ||||||
|
| |||||||
28,381,781 | ||||||||
|
|
Number of shares | Value (U.S. $) | |||||||
| ||||||||
Common Stock² (continued) |
| |||||||
| ||||||||
Telecommunication Services – 0.77% |
| |||||||
Inteliquent | 82,300 | $ | 1,320,915 | |||||
Iridium Communications † | 178,100 | 1,401,647 | ||||||
magicJack VocalTec (Israel) † | 123,200 | 808,192 | ||||||
|
| |||||||
3,530,754 | ||||||||
|
| |||||||
Utilities – 4.79% | ||||||||
Alliant Energy | 56,416 | 4,190,580 | ||||||
CenterPoint Energy | 142,200 | 2,974,824 | ||||||
NorthWestern | 69,542 | 4,294,219 | ||||||
OGE Energy | 122,300 | 3,501,449 | ||||||
Otter Tail | 50,200 | 1,486,924 | ||||||
Pinnacle West Capital | 44,900 | 3,370,643 | ||||||
Questar | 90,000 | 2,232,000 | ||||||
|
| |||||||
22,050,639 | ||||||||
|
| |||||||
Total Common Stock | 445,523,442 | |||||||
|
| |||||||
Principal amount° | ||||||||
| ||||||||
Short-Term Investments – 2.92% |
| |||||||
| ||||||||
Discount Notes – 0.00%≠ |
| |||||||
Federal Home Loan Bank | ||||||||
0.331% 4/22/16 | 6,734 | 6,733 | ||||||
0.335% 5/2/16 | 10,066 | 10,063 | ||||||
|
| |||||||
16,796 | ||||||||
|
| |||||||
Repurchase Agreements – 2.92% |
| |||||||
Bank of America Merrill Lynch | 2,871,868 | 2,871,868 | ||||||
Bank of Montreal | 4,786,446 | 4,786,446 |
102
Table of Contents
Principal amount° | Value (U.S. $) | |||||||
| ||||||||
Short-Term Investments (continued) |
| |||||||
| ||||||||
Repurchase Agreements (continued) |
| |||||||
BNP Paribas | 5,780,686 | $ | 5,780,686 | |||||
|
| |||||||
13,439,000 | ||||||||
|
| |||||||
Total Short-Term Investments | 13,455,796 | |||||||
|
| |||||||
Total Value of Securities – 99.65% | $ | 458,979,238 | ||||||
|
|
@ | Illiquid security. At March 31, 2016, the aggregate value of illiquid securities was $4,691,270, which represents 1.02% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
† | Non-income-producing security. |
See accompanying notes, which are an integral part of the financial statements.
103
Table of Contents
Statements of assets and liabilities
Optimum Fund Trust
March 31, 2016
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||
Investments, at value1,2 | $ | 2,301,492,819 | $ | 573,017,825 | $ | 1,464,393,363 | $ | 1,234,953,669 | $ | 439,450,964 | $ | 445,523,442 | ||||||||||||||||||
Short-term investments, at value3 | 208,480,630 | 5,975,659 | 40,398,227 | 26,193,375 | 22,939,000 | 13,455,796 | ||||||||||||||||||||||||
Short-term investments held as collateral for loaned securities, at value4 | — | 23,444,624 | — | — | — | — | ||||||||||||||||||||||||
Cash | 20,328,836 | 75,479 | — | 279,596 | 81,560 | 2,090,318 | ||||||||||||||||||||||||
Cash collateral due from brokers | 7,008,875 | — | — | — | — | — | ||||||||||||||||||||||||
Foreign currencies, at value5 | 2,968,130 | 517,197 | — | 17,263 | — | — | ||||||||||||||||||||||||
Receivable for securities sold | 390,012,533 | 311,687 | 16,209,038 | 2,685,638 | — | — | ||||||||||||||||||||||||
Dividends and interest receivable | 12,413,729 | 3,417,173 | 714,612 | 2,140,750 | 236,612 | 710,219 | ||||||||||||||||||||||||
Receivable for fund shares sold | 3,468,099 | 861,239 | 2,144,577 | 1,884,620 | 833,552 | 800,226 | ||||||||||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 2,964,883 | 6 | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on interest rate swap contracts | 1,686,857 | — | — | — | — | — | ||||||||||||||||||||||||
Upfront payments on interest rate swap contracts | 1,237,957 | — | — | — | — | — | ||||||||||||||||||||||||
Upfront payments paid on CDS contracts | 578,465 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on credit default swap contracts | 529,568 | — | — | — | — | — | ||||||||||||||||||||||||
Swap payments receivable | 368,933 | — | — | — | — | — | ||||||||||||||||||||||||
Variation margin due from brokers on futures contracts | 228,612 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation on inflation swap contracts | 10,835 | — | — | — | — | — | ||||||||||||||||||||||||
Securities lending income receivable | — | 18,215 | — | — | — | — | ||||||||||||||||||||||||
Other assets6 | 415,736 | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total assets | 2,954,195,497 | 607,639,104 | 1,523,859,817 | 1,268,154,911 | 463,541,688 | 462,580,001 | ||||||||||||||||||||||||
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104
Table of Contents
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||
Reverse repurchase agreement payable | $ | 3,308,250 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Options written, at value7 | 791,523 | — | — | — | — | — | ||||||||||||||||||||||||
Cash overdraft | — | — | 7,123,681 | — | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 829,110,349 | 144,696 | 8,981,567 | 2,108,870 | — | 1,145,370 | ||||||||||||||||||||||||
Cash collateral due to brokers | 4,869,000 | — | — | — | — | — | ||||||||||||||||||||||||
Payable for fund shares redeemed | 1,786,010 | 401,243 | 1,176,714 | 948,107 | 302,569 | 318,266 | ||||||||||||||||||||||||
Swap payments payable | 1,253,343 | — | — | — | — | — | ||||||||||||||||||||||||
Variation margin due to broker on centrally cleared interest rate swap contracts | 844,459 | — | — | — | — | — | ||||||||||||||||||||||||
Dividend disbursing and transfer agent fees payable | 351,211 | 96,640 | 250,666 | 211,575 | 76,399 | 76,464 | ||||||||||||||||||||||||
Variation margin due to broker on centrally cleared credit default swap contracts | 29,662 | — | — | — | — | — | ||||||||||||||||||||||||
Interest payable for reverse repurchase agreements | 202 | — | — | — | — | — | ||||||||||||||||||||||||
Obligation to return securities lending collateral | — | 23,444,624 | — | — | — | — | ||||||||||||||||||||||||
Investment management fees payable | 870,538 | 373,274 | 840,539 | 698,888 | 302,958 | 297,735 | ||||||||||||||||||||||||
Other accrued expenses | 308,960 | 127,937 | 192,234 | 151,082 | 90,289 | 81,679 | ||||||||||||||||||||||||
Administration expenses payable | 154,686 | 56,491 | 119,495 | 105,814 | 45,839 | 45,878 | ||||||||||||||||||||||||
Distribution fees payable to affiliates | 138,430 | 28,370 | 103,174 | 93,465 | 15,145 | 13,548 | ||||||||||||||||||||||||
Accounting fees payable to affiliates | 12,534 | 3,449 | 8,946 | 7,551 | 2,727 | 2,729 | ||||||||||||||||||||||||
Trustees’ fees and expenses payable | 46,357 | 12,956 | 33,454 | 28,090 | 10,282 | 10,236 | ||||||||||||||||||||||||
Unrealized depreciation on interest rate swap contracts | 11,057,592 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 5,522,909 | 27 | — | — | — | — | ||||||||||||||||||||||||
Upfront receipts on interest rate swap contracts | 4,843,610 | — | — | — | — | — | ||||||||||||||||||||||||
Upfront receipts on credit default swap contracts | 1,650,056 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation on credit default swap contracts | 272,051 | — | — | — | — | — | ||||||||||||||||||||||||
Bond proceeds payable6 | 1,385,788 | — | — | — | — | — | ||||||||||||||||||||||||
Other liabilities | 1,637 | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total liabilities | 868,609,157 | 24,689,707 | 18,830,470 | 4,353,442 | 846,208 | 1,991,905 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Net Assets | $ | 2,085,586,340 | $ | 582,949,397 | $ | 1,505,029,347 | $ | 1,263,801,469 | $ | 462,695,480 | $ | 460,588,096 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Assets Consist of: | ||||||||||||||||||||||||||||||
Paid-in capital | $ | 2,113,923,687 | $ | 630,284,986 | $ | 1,327,950,757 | $ | 1,055,505,321 | $ | 477,607,569 | $ | 445,252,942 | ||||||||||||||||||
Undistributed (accumulated) net investment income (loss) | 5,660,130 | 1,160,288 | (1,408,686 | ) | 3,365,536 | (1,156,797 | ) | (167,745 | ) | |||||||||||||||||||||
Accumulated net realized gain (loss) | (32,849,937 | ) | (27,987,574 | ) | 3,029,492 | (38,447,800 | ) | (19,519,417 | ) | (26,710,592 | ) | |||||||||||||||||||
Net unrealized appreciation (depreciation) of investments | 13,868,506 | (20,513,583 | ) | 175,458,972 | 243,386,966 | 5,764,308 | 42,213,491 | |||||||||||||||||||||||
Net unrealized appreciation (depreciation) of foreign currencies | (100,662 | ) | 5,301 | (1,188 | ) | (8,554 | ) | (183 | ) | — | ||||||||||||||||||||
Net unrealized appreciation (depreciation) of foreign currency exchange contracts | (2,558,026 | ) | (21 | ) | — | — | — | — | ||||||||||||||||||||||
Net unrealized depreciation of futures contracts | (2,036,172 | ) | — | — | — | — | — | |||||||||||||||||||||||
Net unrealized appreciation of written option contracts | 815,193 | — | — | — | — | — | ||||||||||||||||||||||||
Net unrealized depreciation of swap contracts | (11,136,379 | ) | — | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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| |||||||||||||||||||
Total Net Assets | $ | 2,085,586,340 | $ | 582,949,397 | $ | 1,505,029,347 | $ | 1,263,801,469 | $ | 462,695,480 | $ | 460,588,096 | ||||||||||||||||||
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(continues) 105
Table of Contents
Statements 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 | $ | 39,544,791 | $ | 9,117,403 | $ | 33,787,449 | $ | 30,502,305 | $ | 5,039,770 | $ | 4,302,296 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 4,218,175 | 832,938 | 2,256,784 | 2,015,967 | 460,202 | 373,010 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.37 | $ | 10.95 | $ | 14.97 | $ | 15.13 | $ | 10.95 | $ | 11.53 | ||||||||||||||||||
Sales charge | 4.50 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | ||||||||||||||||||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 9.81 | $ | 11.62 | $ | 15.88 | $ | 16.05 | $ | 11.62 | $ | 12.23 | ||||||||||||||||||
Class C: | ||||||||||||||||||||||||||||||
Net assets | $ | 153,266,685 | $ | 31,777,368 | $ | 114,906,933 | $ | 103,693,171 | $ | 16,972,234 | $ | 15,136,094 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 16,365,775 | 2,972,162 | 8,615,345 | 6,919,107 | 1,766,027 | 1,473,285 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.37 | $ | 10.69 | $ | 13.34 | $ | 14.99 | $ | 9.61 | $ | 10.27 | ||||||||||||||||||
Institutional Class: | ||||||||||||||||||||||||||||||
Net assets | $ | 1,892,774,864 | $ | 542,054,626 | $ | 1,356,334,965 | $ | 1,129,605,993 | $ | 440,683,476 | $ | 441,149,706 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited | ||||||||||||||||||||||||||||||
authorization, no par | 201,992,691 | 49,198,200 | 86,043,628 | 74,517,812 | 37,838,367 | 36,276,182 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.37 | $ | 11.02 | $ | 15.76 | $ | 15.16 | $ | 11.65 | $ | 12.16 | ||||||||||||||||||
| ||||||||||||||||||||||||||||||
1Investments, at cost | $ | 2,287,644,822 | $ | 593,532,155 | $ | 1,288,937,697 | $ | 991,567,061 | $ | 433,686,656 | $ | 403,309,952 | ||||||||||||||||||
2Including securities on loan | — | 25,271,845 | — | — | — | — | ||||||||||||||||||||||||
3Short-term investments, at cost | 208,460,121 | 5,974,912 | 40,394,921 | 26,193,017 | 22,939,000 | 13,455,795 | ||||||||||||||||||||||||
4Short-term investments held as collateral for loaned securities, at cost | — | 23,444,624 | — | — | — | — | ||||||||||||||||||||||||
5Foreign currencies, at cost | 2,943,583 | 517,059 | — | 17,295 | — | — | ||||||||||||||||||||||||
6See Note 13 in “Notes to financial statements.” | (970,052 | ) | — | — | — | — | — | |||||||||||||||||||||||
7Premium received | (1,606,716 | ) | — | — | — | — | — |
See accompanying notes, which are an integral part of the financial statements.
106
Table of Contents
Optimum Fund Trust
Year ended March 31, 2016
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 | $ | 68,773,773 | $ | 17,283 | $ | 63,083 | $ | 39,847 | $ | 28,954 | $ | 58,833 | ||||||||||||||||||
Dividends | 480,040 | 13,551,608 | 12,441,052 | 31,656,852 | 2,940,446 | 6,147,295 | ||||||||||||||||||||||||
Securities lending income | — | 100,858 | — | — | — | — | ||||||||||||||||||||||||
Foreign tax withheld | (1,431 | ) | (1,174,244 | ) | (19,939 | ) | (104,644 | ) | (4,465 | ) | (8,804 | ) | ||||||||||||||||||
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| |||||||||||||||||||
69,252,382 | 12,495,505 | 12,484,196 | 31,592,055 | 2,964,935 | 6,197,324 | |||||||||||||||||||||||||
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| |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||
Management fees | 11,123,072 | 4,201,846 | 11,573,820 | 8,980,697 | 5,684,697 | 4,951,125 | ||||||||||||||||||||||||
Distribution expenses — Class A | 103,369 | 24,353 | 94,366 | 82,259 | 15,448 | 12,016 | ||||||||||||||||||||||||
Distribution expenses — Class C | 1,596,949 | 340,492 | 1,273,125 | 1,124,919 | 202,774 | 169,662 | ||||||||||||||||||||||||
Dividend disbursing and transfer agent fees and expenses | 4,172,209 | 1,109,588 | 3,188,818 | 2,595,431 | 1,059,745 | 1,004,824 | ||||||||||||||||||||||||
Administration expenses | 1,818,480 | 640,245 | 1,475,620 | 1,269,605 | 612,342 | 584,561 | ||||||||||||||||||||||||
Reports and statements to shareholders expenses | 1,503,621 | 542,639 | 1,365,064 | 1,056,397 | 458,830 | 436,219 | ||||||||||||||||||||||||
Accounting fees | 751,494 | 197,782 | 572,668 | 465,700 | 188,298 | 178,353 | ||||||||||||||||||||||||
Custodian fees | 204,495 | 162,299 | 84,073 | 49,519 | 56,030 | 35,331 | ||||||||||||||||||||||||
Trustees’ fees and expenses | 193,266 | 52,031 | 147,808 | 119,741 | 48,643 | 45,836 | ||||||||||||||||||||||||
Professional fees | 184,692 | 90,104 | 134,219 | 112,500 | 65,390 | 58,649 | ||||||||||||||||||||||||
Pricing fees | 137,050 | 34,244 | 1,406 | 1,378 | 1,672 | 1,595 | ||||||||||||||||||||||||
Registration fees | 91,924 | 70,025 | 82,850 | 74,376 | 67,032 | 61,516 | ||||||||||||||||||||||||
Insurance fees | 41,068 | 11,563 | 28,332 | 24,864 | 10,033 | 9,557 | ||||||||||||||||||||||||
Interest expense | 9,849 | — | — | — | — | — | ||||||||||||||||||||||||
Tax services | 204 | 4,000 | 1,121 | 356 | 1,344 | 416 | ||||||||||||||||||||||||
Other | 17,219 | 8,609 | 17,102 | 15,043 | 8,502 | 8,310 | ||||||||||||||||||||||||
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| |||||||||||||||||||
21,948,961 | 7,489,820 | 20,040,392 | 15,972,785 | 8,480,780 | 7,557,970 | |||||||||||||||||||||||||
Less expenses waived | (99,971 | ) | (9,753 | ) | (345,935 | ) | (88,357 | ) | (968,876 | ) | (704,939 | ) | ||||||||||||||||||
Less expense paid indirectly | (502 | ) | (504 | ) | (551 | ) | (552 | ) | (539 | ) | (544 | ) | ||||||||||||||||||
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Total operating expenses | 21,848,488 | 7,479,563 | 19,693,906 | 15,883,876 | 7,511,365 | 6,852,487 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Net Investment Income (Loss) | 47,403,894 | 5,015,942 | (7,209,710 | ) | 15,708,179 | (4,546,430 | ) | (655,163 | ) | |||||||||||||||||||||
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(continues) 107
Table of Contents
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: | ||||||||||||||||||||||||||||||
Investments1, 2 | $ | (22,406,415 | ) | $ | (10,723,434 | ) | $ | 96,758,577 | $ | 1,442,736 | $ | 22,927,512 | $ | (16,509,557 | ) | |||||||||||||||
Foreign currencies | (13,866,966 | ) | (405,289 | ) | (6,463 | ) | (26,925 | ) | 3,594 | (15,535 | ) | |||||||||||||||||||
Foreign currency exchange contracts | 11,394,962 | 172,502 | 1,345 | 15,171 | (3,508 | ) | (6,985 | ) | ||||||||||||||||||||||
Futures contracts | (1,769,925 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options purchased | (647,538 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options written | 2,779,167 | — | — | — | — | — | ||||||||||||||||||||||||
Swap contracts | (3,112,404 | ) | — | — | — | — | — | |||||||||||||||||||||||
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| |||||||||||||||||||
Net realized gain (loss) | (27,629,119 | ) | (10,956,221 | ) | 96,753,459 | 1,430,982 | 22,927,598 | (16,532,077 | ) | |||||||||||||||||||||
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Net change in unrealized appreciation (depreciation) of: | ||||||||||||||||||||||||||||||
Investments3 | (10,810,766 | ) | (23,285,834 | ) | (122,894,134 | ) | (75,779,619 | ) | (111,069,459 | ) | (45,599,031 | ) | ||||||||||||||||||
Foreign currencies | 460,007 | 81,884 | 523 | 9,607 | (183 | ) | 7,450 | |||||||||||||||||||||||
Foreign currency exchange contracts | (10,425,024 | ) | 3 | — | — | 5 | — | |||||||||||||||||||||||
Futures contracts | (1,270,618 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options purchased | (815,064 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options written | 747,130 | — | — | — | — | — | ||||||||||||||||||||||||
Swap contracts | (7,977,584 | ) | — | — | — | — | — | |||||||||||||||||||||||
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Net change in unrealized appreciation (depreciation) | (30,091,919 | ) | (23,203,947 | ) | (122,893,611 | ) | (75,770,012 | ) | (111,069,637 | ) | (45,591,581 | ) | ||||||||||||||||||
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Net Realized and Unrealized Loss | (57,721,038 | ) | (34,160,168 | ) | (26,140,152 | ) | (74,339,030 | ) | (88,142,039 | ) | (62,123,658 | ) | ||||||||||||||||||
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Net Decrease in Net Assets Resulting from Operations | $ | (10,317,144 | ) | $ | (29,144,226 | ) | $ | (33,349,862 | ) | $ | (58,630,851 | ) | $ | (92,688,469 | ) | $ | (62,778,821 | ) | ||||||||||||
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1Includes $2,170 capital gain taxes paid for Optimum Fixed Income Fund.
2Includes loss contingencies on General Motors Corporation term loan of $ 970,052 for Optimum Fixed Income Fund. See Note 13 in “Notes to financial statements.”
3Includes $1,557 capital gain taxes accrued for Optimum Fixed Income Fund.
See accompanying notes, which are an integral part of the financial statements.
108
Table of Contents
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | |||||||||||||||||||
Year ended | Year ended | |||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/16 | 3/31/15 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||
Net investment income | $ | 47,403,894 | $ | 42,877,210 | $ | 5,015,942 | $ | 4,523,479 | ||||||||||||
Net realized gain (loss) | (27,629,119 | ) | 25,410,989 | (10,956,221 | ) | 241,844 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | (30,091,919 | ) | 12,041,383 | (23,203,947 | ) | (50,036,874 | ) | |||||||||||||
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Net increase (decrease) in net assets resulting from operations | (10,317,144 | ) | 80,329,582 | (29,144,226 | ) | (45,271,551 | ) | |||||||||||||
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Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Net investment income: | ||||||||||||||||||||
Class A | (1,085,313 | ) | (972,785 | ) | (50,629 | ) | (112,096 | ) | ||||||||||||
Class B | — | (3,454 | ) | — | (616 | ) | ||||||||||||||
Class C | (3,029,706 | ) | (2,477,203 | ) | — | (62,325 | ) | |||||||||||||
Institutional Class | (54,756,893 | ) | (42,437,451 | ) | (4,309,148 | ) | (8,097,595 | ) | ||||||||||||
Net realized gain: | ||||||||||||||||||||
Class A | (85,457 | ) | — | — | — | |||||||||||||||
Class C | (332,935 | ) | — | — | — | |||||||||||||||
Institutional Class | (3,939,345 | ) | — | — | — | |||||||||||||||
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(63,229,649 | ) | (45,890,893 | ) | (4,359,777 | ) | (8,272,632 | ) | |||||||||||||
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Capital Share Transactions: | ||||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||||
Class A | 4,608,270 | 6,766,684 | 1,203,348 | 1,745,456 | ||||||||||||||||
Class B | — | 20,913 | — | 7,604 | ||||||||||||||||
Class C | 20,019,238 | 23,437,353 | 4,103,792 | 5,301,094 | ||||||||||||||||
Institutional Class | 480,837,856 | 556,695,575 | 183,077,658 | 179,026,388 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||
Class A | 1,167,080 | 971,831 | 50,419 | 111,087 | ||||||||||||||||
Class B | — | 3,454 | — | 616 | ||||||||||||||||
Class C | 3,361,112 | 2,477,203 | — | 62,286 | ||||||||||||||||
Institutional Class | 58,657,351 | 42,420,198 | 4,306,426 | 8,094,257 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
568,650,907 | 632,793,211 | 192,741,643 | 194,348,788 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed: | ||||||||||||||||||||
Class A | (7,872,126 | ) | (8,655,227 | ) | (1,788,908 | ) | (2,032,127 | ) | ||||||||||||
Class B | — | (539,075 | ) | — | (202,237 | ) | ||||||||||||||
Class C | (30,460,309 | ) | (24,148,962 | ) | (5,982,044 | ) | (4,538,818 | ) | ||||||||||||
Institutional Class | (406,639,728 | ) | (312,691,990 | ) | (92,688,776 | ) | (248,326,505 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(444,972,163 | ) | (346,035,254 | ) | (100,459,728 | ) | (255,099,687 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in net assets derived from capital share transactions | 123,678,744 | 286,757,957 | 92,281,915 | (60,750,899 | ) | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | 50,131,951 | 321,196,646 | 58,777,912 | (114,295,082 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of year | 2,035,454,389 | 1,714,257,743 | 524,171,485 | 638,466,567 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 2,085,586,340 | $ | 2,035,454,389 | $ | 582,949,397 | $ | 524,171,485 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed net investment income | $ | 5,660,130 | $ | 16,614,976 | $ | 1,160,288 | $ | 735,684 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
(continues) 109
Table of Contents
Statements of changes in net assets
Optimum Fund Trust
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||||||
Year ended | Year ended | |||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/16 | 3/31/15 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | (7,209,710 | ) | $ | (4,885,325 | ) | $ | 15,708,179 | $ | 11,815,748 | ||||||||||
Net realized gain | 96,753,459 | 157,438,499 | 1,430,982 | 29,402,152 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (122,893,611 | ) | 70,631,033 | (75,770,012 | ) | 24,708,461 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (33,349,862 | ) | 223,184,207 | (58,630,851 | ) | 65,926,361 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Net investment income: | ||||||||||||||||||||
Class A | — | — | (321,261 | ) | (389,161 | ) | ||||||||||||||
Class B | — | — | — | (2,891 | ) | |||||||||||||||
Class C | — | — | (274,376 | ) | (410,056 | ) | ||||||||||||||
Institutional Class | — | — | (14,327,950 | ) | (14,234,137 | ) | ||||||||||||||
Net realized gain: | ||||||||||||||||||||
Class A | (3,719,537 | ) | (4,725,705 | ) | — | — | ||||||||||||||
Class B | — | (39,437 | ) | — | — | |||||||||||||||
Class C | (13,957,426 | ) | (17,001,096 | ) | — | — | ||||||||||||||
Institutional Class | (136,563,101 | ) | (132,344,945 | ) | — | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(154,240,064 | ) | (154,111,183 | ) | (14,923,587 | ) | (15,036,245 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||||
Class A | 2,170,167 | 3,915,387 | 2,199,582 | 3,834,210 | ||||||||||||||||
Class C | 8,435,040 | 11,171,034 | 8,104,091 | 11,105,595 | ||||||||||||||||
Institutional Class | 290,002,877 | 428,853,799 | 254,483,230 | 304,551,900 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||
Class A | 3,677,396 | 4,683,628 | 317,257 | 385,440 | ||||||||||||||||
Class B | — | 39,437 | — | 2,891 | ||||||||||||||||
Class C | 13,948,506 | 16,990,698 | 274,091 | 409,674 | ||||||||||||||||
Institutional Class | 136,409,018 | 132,270,741 | 14,310,905 | 14,226,052 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
454,643,004 | 597,924,724 | 279,689,156 | 334,515,762 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed: | ||||||||||||||||||||
Class A | (8,356,642 | ) | (8,493,939 | ) | (6,085,917 | ) | (7,080,917 | ) | ||||||||||||
Class B | — | (736,843 | ) | — | (674,306 | ) | ||||||||||||||
Class C | (27,572,016 | ) | (20,959,718 | ) | (20,750,036 | ) | (17,325,453 | ) | ||||||||||||
Institutional Class | (317,836,544 | ) | (238,712,891 | ) | (220,344,722 | ) | (219,519,999 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(353,765,202 | ) | (268,903,391 | ) | (247,180,675 | ) | (244,600,675 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets derived from capital share transactions | 100,877,802 | 329,021,333 | 32,508,481 | 89,915,087 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (86,712,124 | ) | 398,094,357 | (41,045,957 | ) | 140,805,203 | ||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of year | 1,591,741,471 | 1,193,647,114 | 1,304,847,426 | 1,164,042,223 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 1,505,029,347 | $ | 1,591,741,471 | $ | 1,263,801,469 | $ | 1,304,847,426 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Undistributed (accumulated) net investment income (loss) | $ | (1,408,686 | ) | $ | — | $ | 3,365,536 | $ | 2,591,084 | |||||||||||
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
110
Table of Contents
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Year ended | Year ended | |||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/16 | 3/31/15 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||
Net investment loss | $ | (4,546,430 | ) | $ | (4,466,323 | ) | $ | (655,163 | ) | $ | (2,180,018 | ) | ||||||||
Net realized gain (loss) | 22,927,598 | 60,176,405 | (16,532,077 | ) | 28,637,953 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (111,069,637 | ) | (8,698,398 | ) | (45,591,581 | ) | (28,259,569 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | (92,688,469 | ) | 47,011,684 | (62,778,821 | ) | (1,801,634 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Return of capital: | ||||||||||||||||||||
Class A | (108 | ) | — | (325 | ) | — | ||||||||||||||
Class C | (416 | ) | — | (1,284 | ) | — | ||||||||||||||
Institutional Class | (8,917 | ) | — | (31,607 | ) | — | ||||||||||||||
Net realized gain: | ||||||||||||||||||||
Class A | (848,264 | ) | (654,511 | ) | (181,566 | ) | (441,863 | ) | ||||||||||||
Class B | — | (4,518 | ) | — | (3,938 | ) | ||||||||||||||
Class C | (3,111,096 | ) | (2,336,871 | ) | (716,111 | ) | (1,690,812 | ) | ||||||||||||
Institutional Class | (64,692,634 | ) | (43,752,716 | ) | (16,831,364 | ) | (34,758,367 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(68,661,435 | ) | (46,748,616 | ) | (17,762,257 | ) | (36,894,980 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||||
Class A | 451,922 | 740,727 | 413,183 | 571,508 | ||||||||||||||||
Class C | 1,541,727 | 1,992,629 | 1,260,654 | 1,621,958 | ||||||||||||||||
Institutional Class | 118,186,291 | 136,228,092 | 116,775,502 | 139,212,657 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||
Class A | 837,719 | 647,712 | 181,312 | 439,827 | ||||||||||||||||
Class B | — | 4,518 | — | 3,938 | ||||||||||||||||
Class C | 3,109,916 | 2,335,600 | 716,788 | 1,689,461 | ||||||||||||||||
Institutional Class | 64,636,607 | 43,731,065 | 16,847,228 | 34,741,502 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
188,764,182 | 185,680,343 | 136,194,667 | 178,280,851 | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Cost of shares redeemed: | ||||||||||||||||||||
Class A | (1,341,729 | ) | (1,418,846 | ) | (923,567 | ) | (1,130,853 | ) | ||||||||||||
Class B | — | (125,696 | ) | — | (108,596 | ) | ||||||||||||||
Class C | (3,951,373 | ) | (3,128,298 | ) | (3,003,693 | ) | (2,902,357 | ) | ||||||||||||
Institutional Class | (117,328,470 | ) | (90,053,069 | ) | (115,400,981 | ) | (77,610,272 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
(122,621,572 | ) | (94,725,909 | ) | (119,328,241 | ) | (81,752,078 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase in net assets derived from capital share transactions | 66,142,610 | 90,954,434 | 16,866,426 | 96,528,773 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net Increase (Decrease) in Net Assets | (95,207,294 | ) | 91,217,502 | (63,674,652 | ) | 57,832,159 | ||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of year | 557,902,774 | 466,685,272 | 524,262,748 | 466,430,589 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year | $ | 462,695,480 | $ | 557,902,774 | $ | 460,588,096 | $ | 524,262,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Accumulated net investment loss | $ | (1,156,797 | ) | $ | (1,040,171 | ) | $ | (167,745 | ) | $ | (742,120 | ) | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
(continues) 111
Table of Contents
Optimum Fixed Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income1 | 0.202 | 0.203 | 0.213 | 0.225 | 0.293 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.278 | ) | 0.194 | (0.353 | ) | 0.302 | 0.338 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.076 | ) | 0.397 | (0.140 | ) | 0.527 | 0.631 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.254 | ) | (0.217 | ) | (0.142 | ) | (0.172 | ) | (0.342 | ) | |||||||||||||||
Net realized gain | (0.020 | ) | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.274 | ) | (0.217 | ) | (0.170 | ) | (0.387 | ) | (0.471 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 9.370 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (0.63% | ) | 4.21% | (1.40% | ) | 5.47% | 6.71% | ||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 39,545 | $ | 43,144 | $ | 43,241 | $ | 41,210 | $ | 40,620 | |||||||||||||||
Ratio of expenses to average net assets | 1.23% | 1.17% | 1.31% | 1.35% | 1.35% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.23% | 1.17% | 1.34% | 1.40% | 1.44% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 2.13% | 2.11% | 2.24% | 2.27% | 3.01% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.13% | 2.11% | 2.21% | 2.22% | 2.92% | ||||||||||||||||||||
Portfolio turnover3 | 536% | 482% | 323% | 208% | 211% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
3 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC’s low-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the years ended March 31, 2016, 2015, and 2014. |
See accompanying notes, which are an integral part of the financial statements.
112
Table of Contents
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 9.710 | $ | 9.530 | $ | 9.840 | $ | 9.710 | $ | 9.540 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income1 | 0.131 | 0.131 | 0.148 | 0.161 | 0.229 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.269 | ) | 0.194 | (0.351 | ) | 0.292 | 0.350 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.138 | ) | 0.325 | (0.203 | ) | 0.453 | 0.579 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.182 | ) | (0.145 | ) | (0.079 | ) | (0.108 | ) | (0.280 | ) | |||||||||||||||
Net realized gain | (0.020 | ) | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.202 | ) | (0.145 | ) | (0.107 | ) | (0.323 | ) | (0.409 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 9.370 | $ | 9.710 | $ | 9.530 | $ | 9.840 | $ | 9.710 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (1.39% | ) | 3.44% | (2.06% | ) | 4.69% | 6.15% | ||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 153,266 | $ | 166,154 | $ | 161,353 | $ | 155,728 | $ | 154,778 | |||||||||||||||
Ratio of expenses to average net assets | 1.98% | 1.92% | 1.99% | 2.00% | 2.00% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.98% | 1.92% | 2.02% | 2.05% | 2.09% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 1.38% | 1.36% | 1.56% | 1.62% | 2.36% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.38% | 1.36% | 1.53% | 1.57% | 2.27% | ||||||||||||||||||||
Portfolio turnover3 | 536% | 482% | 323% | 208% | 211% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
3 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC’s low-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the years ended March 31, 2016, 2015, and 2014. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 113
Table of Contents
Financial highlights
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | 0.226 | 0.227 | 0.244 | 0.260 | 0.327 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.278 | ) | 0.194 | (0.350 | ) | 0.301 | 0.338 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.052 | ) | 0.421 | (0.106 | ) | 0.561 | 0.665 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | (0.278 | ) | (0.241 | ) | (0.176 | ) | (0.206 | ) | (0.376 | ) | ||||||||||
Net realized gain | (0.020 | ) | — | (0.028 | ) | (0.215 | ) | (0.129 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (0.298 | ) | (0.241 | ) | (0.204 | ) | (0.421 | ) | (0.505 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.370 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (0.48% | ) | 4.47% | (1.05% | ) | 5.72% | 7.20% | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,892,775 | $ | 1,826,156 | $ | 1,509,156 | $ | 1,297,154 | $ | 1,014,595 | ||||||||||
Ratio of expenses to average net assets | 0.98% | 0.92% | 0.99% | 1.00% | 1.00% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.98% | 0.92% | 1.02% | 1.05% | 1.09% | |||||||||||||||
Ratio of net investment income to average net assets | 2.38% | 2.36% | 2.56% | 2.62% | 3.36% | |||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.38% | 2.36% | 2.53% | 2.57% | 3.27% | |||||||||||||||
Portfolio turnover3 | 536% | 482% | 323% | 208% | 211% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
3 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC’s low-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the years ended March 31, 2016, 2015, and 2014. |
See accompanying notes, which are an integral part of the financial statements.
114
Table of Contents
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 11.660 | $ | 12.570 | $ | 10.970 | $ | 10.420 | $ | 11.200 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income1 | 0.083 | 0.062 | 0.142 | 0.185 | 0.192 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.734 | ) | (0.846 | ) | 1.540 | 0.620 | (0.790 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.651 | ) | (0.784 | ) | 1.682 | 0.805 | (0.598 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.059 | ) | (0.126 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.059 | ) | (0.126 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 10.950 | $ | 11.660 | $ | 12.570 | $ | 10.970 | $ | 10.420 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (5.58% | ) | (6.25% | ) | 15.31% | 8.10% | (5.30% | ) | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 9,117 | $ | 10,291 | $ | 11,277 | $ | 9,553 | $ | 9,318 | |||||||||||||||
Ratio of expenses to average net assets | 1.56% | 1.47% | 1.68% | 1.75% | 1.75% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.56% | 1.47% | 1.68% | 1.84% | 1.84% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 0.74% | 0.51% | 1.20% | 1.81% | 1.84% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.74% | 0.51% | 1.20% | 1.72% | 1.75% | ||||||||||||||||||||
Portfolio turnover | 47% | 117% | 126% | 70% | 50% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 115
Table of Contents
Financial highlights
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 11.410 | $ | 12.290 | $ | 10.760 | $ | 10.230 | $ | 10.950 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | (0.001 | ) | (0.028 | ) | 0.061 | 0.116 | 0.122 | |||||||||||||
Net realized and unrealized gain (loss) | (0.719 | ) | (0.832 | ) | 1.512 | 0.606 | (0.773 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.720 | ) | (0.860 | ) | 1.573 | 0.722 | (0.651 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | — | (0.020 | ) | (0.043 | ) | (0.192 | ) | (0.069 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | — | (0.020 | ) | (0.043 | ) | (0.192 | ) | (0.069 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 10.690 | $ | 11.410 | $ | 12.290 | $ | 10.760 | $ | 10.230 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (6.31% | ) | (7.00% | ) | 14.56% | 7.37% | (5.94% | ) | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 31,777 | $ | 35,996 | $ | 37,893 | $ | 32,064 | $ | 32,995 | ||||||||||
Ratio of expenses to average net assets | 2.31% | 2.22% | 2.36% | 2.40% | 2.40% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.31% | 2.22% | 2.36% | 2.49% | 2.49% | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.01% | ) | (0.24% | ) | 0.52% | 1.16% | 1.19% | |||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.01% | ) | (0.24% | ) | 0.52% | 1.07% | 1.10% | |||||||||||||
Portfolio turnover | 47% | 117% | 126% | 70% | 50% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
116
Table of Contents
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 11.740 | $ | 12.660 | $ | 11.050 | $ | 10.490 | $ | 11.300 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income1 | 0.111 | 0.093 | 0.182 | 0.223 | 0.229 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.743 | ) | (0.856 | ) | 1.551 | 0.627 | (0.793 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.632 | ) | (0.763 | ) | 1.733 | 0.850 | (0.564 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.088 | ) | (0.157 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.088 | ) | (0.157 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 11.020 | $ | 11.740 | $ | 12.660 | $ | 11.050 | $ | 10.490 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (5.38% | ) | (6.04% | ) | 15.79% | 8.41% | (4.93% | ) | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 542,055 | $ | 477,884 | $ | 589,098 | $ | 426,258 | $ | 252,539 | |||||||||||||||
Ratio of expenses to average net assets | 1.31% | 1.22% | 1.36% | 1.40% | 1.40% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.31% | 1.22% | 1.36% | 1.49% | 1.49% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 0.99% | 0.76% | 1.52% | 2.16% | 2.19% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.99% | 0.76% | 1.52% | 2.07% | 2.10% | ||||||||||||||||||||
Portfolio turnover | 47% | 117% | 126% | 70% | 50% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 117
Table of Contents
Financial highlights
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 17.000 | $ | 16.390 | $ | 14.530 | $ | 13.480 | $ | 12.430 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)1 | (0.102 | ) | (0.083 | ) | (0.099 | ) | 0.014 | (0.040 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.200 | ) | 2.711 | 3.631 | 1.042 | 1.090 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.302 | ) | 2.628 | 3.532 | 1.056 | 1.050 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | — | — | — | (0.006 | ) | — | |||||||||||||||||||
Net realized gain | (1.728 | ) | (2.018 | ) | (1.672 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (1.728 | ) | (2.018 | ) | (1.672 | ) | (0.006 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 14.970 | $ | 17.000 | $ | 16.390 | $ | 14.530 | $ | 13.480 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (2.27% | ) | 17.27% | 25.17% | 7.76% | 8.45% | |||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 33,787 | $ | 40,790 | $ | 39,044 | $ | 34,182 | $ | 34,170 | |||||||||||||||
Ratio of expenses to average net assets | 1.42% | 1.37% | 1.54% | 1.60% | 1.61% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.44% | 1.37% | 1.55% | 1.63% | 1.64% | ||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.62% | ) | (0.50% | ) | (0.62% | ) | 0.10% | (0.34% | ) | ||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.64% | ) | (0.50% | ) | (0.63% | ) | 0.07% | (0.37% | ) | ||||||||||||||||
Portfolio turnover | 88% | 86% | 98% | 102% | 89% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
118
Table of Contents
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | ||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 15.440 | $ | 15.160 | $ | 13.630 | $ | 12.720 | $ | 11.820 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss1 | (0.203 | ) | (0.189 | ) | (0.192 | ) | (0.069 | ) | (0.112 | ) | ||||||||||
Net realized and unrealized gain (loss) | (0.169 | ) | 2.487 | 3.394 | 0.979 | 1.012 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.372 | ) | 2.298 | 3.202 | 0.910 | 0.900 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net realized gain | (1.728 | ) | (2.018 | ) | (1.672 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total dividends and distributions | (1.728 | ) | (2.018 | ) | (1.672 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.340 | $ | 15.440 | $ | 15.160 | $ | 13.630 | $ | 12.720 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return2 | (2.98% | ) | 16.44% | 24.27% | 7.15% | 7.61% | ||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 114,907 | $ | 137,892 | $ | 127,540 | $ | 115,242 | $ | 120,183 | ||||||||||
Ratio of expenses to average net assets | 2.17% | 2.12% | 2.22% | 2.25% | 2.26% | |||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.19% | 2.12% | 2.23% | 2.28% | 2.29% | |||||||||||||||
Ratio of net investment loss to average net assets | (1.37% | ) | (1.25% | ) | (1.30% | ) | (0.55% | ) | (0.99% | ) | ||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.39% | ) | (1.25% | ) | (1.31% | ) | (0.58% | ) | (1.02% | ) | ||||||||||
Portfolio turnover | 88% | 86% | 98% | 102% | 89% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 119
Table of Contents
Financial highlights
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 17.760 | $ | 17.000 | $ | 14.970 | $ | 13.880 | $ | 12.760 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)1 | (0.064 | ) | (0.044 | ) | (0.049 | ) | 0.062 | 0.002 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.208 | ) | 2.822 | 3.754 | 1.068 | 1.118 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.272 | ) | 2.778 | 3.705 | 1.130 | 1.120 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | — | — | (0.003 | ) | (0.040 | ) | — | ||||||||||||||||||
Net realized gain | (1.728 | ) | (2.018 | ) | (1.672 | ) | — | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (1.728 | ) | (2.018 | ) | (1.675 | ) | (0.040 | ) | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 15.760 | $ | 17.760 | $ | 17.000 | $ | 14.970 | $ | 13.880 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (2.00% | ) | 17.55% | 25.51% | 8.25% | 8.78% | |||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,356,335 | $ | 1,413,059 | $ | 1,026,377 | $ | 728,104 | $ | 650,869 | |||||||||||||||
Ratio of expenses to average net assets | 1.17% | 1.12% | 1.22% | 1.25% | 1.26% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.19% | 1.12% | 1.23% | 1.28% | 1.29% | ||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.37% | ) | (0.25% | ) | (0.30% | ) | 0.45% | 0.01% | |||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.39% | ) | (0.25% | ) | (0.31% | ) | 0.42% | (0.02% | ) | ||||||||||||||||
Portfolio turnover | 88% | 86% | 98% | 102% | 89% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
120
Table of Contents
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 16.010 | $ | 15.360 | $ | 12.900 | $ | 11.750 | $ | 11.060 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income1 | 0.165 | 0.124 | 0.157 | 0.173 | 0.133 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.890 | ) | 0.692 | 2.399 | 1.259 | 0.635 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.725 | ) | 0.816 | 2.556 | 1.432 | 0.768 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.155 | ) | (0.166 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.155 | ) | (0.166 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 15.130 | $ | 16.010 | $ | 15.360 | $ | 12.900 | $ | 11.750 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (4.54% | ) | 5.34% | 19.96% | 12.48% | 7.01% | |||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 30,502 | $ | 35,952 | $ | 37,299 | $ | 32,995 | $ | 31,478 | |||||||||||||||
Ratio of expenses to average net assets | 1.40% | 1.33% | 1.50% | 1.57% | 1.57% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.41% | 1.33% | 1.51% | 1.59% | 1.60% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 1.07% | 0.79% | 1.12% | 1.48% | 1.25% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.06% | 0.79% | 1.11% | 1.46% | 1.22% | ||||||||||||||||||||
Portfolio turnover | 39% | 35% | 37% | 49% | 57% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 121
Table of Contents
Financial highlights
Optimum Large Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 15.850 | $ | 15.220 | $ | 12.780 | $ | 11.590 | $ | 10.930 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income1 | 0.049 | 0.007 | 0.061 | 0.096 | 0.063 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.871 | ) | 0.674 | 2.389 | 1.254 | 0.612 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.822 | ) | 0.681 | 2.450 | 1.350 | 0.675 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.038 | ) | (0.051 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.038 | ) | (0.051 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 14.990 | $ | 15.850 | $ | 15.220 | $ | 12.780 | $ | 11.590 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (5.19% | ) | 4.48% | 19.17% | 11.85% | 6.19% | |||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 103,693 | $ | 122,772 | $ | 123,541 | $ | 111,806 | $ | 111,557 | |||||||||||||||
Ratio of expenses to average net assets | 2.15% | 2.08% | 2.18% | 2.22% | 2.22% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.16% | 2.08% | 2.19% | 2.24% | 2.25% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 0.32% | 0.04% | 0.44% | 0.83% | 0.60% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.31% | 0.04% | 0.43% | 0.81% | 0.57% | ||||||||||||||||||||
Portfolio turnover | 39% | 35% | 37% | 49% | 57% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
122
Table of Contents
Optimum Large Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 16.040 | $ | 15.390 | $ | 12.920 | $ | 11.800 | $ | 11.110 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income1 | 0.204 | 0.165 | 0.203 | 0.214 | 0.171 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.890 | ) | 0.690 | 2.410 | 1.255 | 0.631 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (0.686 | ) | 0.855 | 2.613 | 1.469 | 0.802 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.194 | ) | (0.205 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.194 | ) | (0.205 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 15.160 | $ | 16.040 | $ | 15.390 | $ | 12.920 | $ | 11.800 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (4.29% | ) | 5.60% | 20.31% | 12.92% | 7.32% | |||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,129,606 | $ | 1,146,123 | $ | 1,002,553 | $ | 730,785 | $ | 617,485 | |||||||||||||||
Ratio of expenses to average net assets | 1.15% | 1.08% | 1.18% | 1.22% | 1.22% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.16% | 1.08% | 1.19% | 1.24% | 1.25% | ||||||||||||||||||||
Ratio of net investment income to average net assets | 1.32% | 1.04% | 1.44% | 1.83% | 1.60% | ||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.31% | 1.04% | 1.43% | 1.81% | 1.57% | ||||||||||||||||||||
Portfolio turnover | 39% | 35% | 37% | 49% | 57% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 123
Table of Contents
Financial highlights
Optimum Small-Mid Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 15.370 | $ | 15.570 | $ | 14.260 | $ | 13.000 | $ | 13.900 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment loss1 | (0.148 | ) | (0.164 | ) | (0.193 | ) | (0.079 | ) | (0.169 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (2.264 | ) | 1.442 | 3.073 | 1.653 | 0.064 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (2.412 | ) | 1.278 | 2.880 | 1.574 | (0.105 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Return of capital | — | 2 | — | — | — | — | |||||||||||||||||||
Net realized gain | (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 10.950 | $ | 15.370 | $ | 15.570 | $ | 14.260 | $ | 13.000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return3 | (16.77% | ) | 8.93% | 21.63% | 12.50% | 0.33% | |||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 5,040 | $ | 7,050 | $ | 7,158 | $ | 6,415 | $ | 5,989 | |||||||||||||||
Ratio of expenses to average net assets | 1.66% | 1.63% | 1.76% | 1.86% | 1.90% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.85% | 1.77% | 1.96% | 2.05% | 2.06% | ||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.09% | ) | (1.09% | ) | (1.28% | ) | (0.62% | ) | (1.34% | ) | |||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.28% | ) | (1.23% | ) | (1.48% | ) | (0.81% | ) | (1.50% | ) | |||||||||||||||
Portfolio turnover | 104% | 72% | 58% | 78% | 82% |
1 | The average shares outstanding method has been applied for per share information. |
2 | For the year ended March 31, 2016, return of capital distribution of $108 for Class A calculated to a de minimis amount of $0.000 per share. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
124
Table of Contents
Optimum Small-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 13.860 | $ | 14.290 | $ | 13.280 | $ | 12.220 | $ | 13.200 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment loss1 | (0.223 | ) | (0.252 | ) | (0.274 | ) | (0.151 | ) | (0.237 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (2.019 | ) | 1.300 | 2.854 | 1.525 | 0.052 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (2.242 | ) | 1.048 | 2.580 | 1.374 | (0.185 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Return of capital | — | 2 | — | — | — | — | |||||||||||||||||||
Net realized gain | (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 9.610 | $ | 13.860 | $ | 14.290 | $ | 13.280 | $ | 12.220 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return3 | (17.39% | ) | 8.08% | 20.82% | 11.73% | (0.27% | ) | ||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 16,972 | $ | 23,206 | $ | 22,581 | $ | 20,921 | $ | 20,992 | |||||||||||||||
Ratio of expenses to average net assets | 2.41% | 2.38% | 2.45% | 2.51% | 2.55% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.60% | 2.52% | 2.65% | 2.70% | 2.71% | ||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.84% | ) | (1.84% | ) | (1.97% | ) | (1.27% | ) | (1.99% | ) | |||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (2.03% | ) | (1.98% | ) | (2.17% | ) | (1.46% | ) | (2.15% | ) | |||||||||||||||
Portfolio turnover | 104% | 72% | 58% | 78% | 82% |
1 | The average shares outstanding method has been applied for per share information. |
2 | For the year ended March 31, 2016, return of capital distribution of $416 for Class C calculated to a de minimis amount of $0.000 per share. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 125
Table of Contents
Financial highlights
Optimum Small-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 16.170 | $ | 16.270 | $ | 14.780 | $ | 13.420 | $ | 14.270 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment loss1 | (0.120 | ) | (0.132 | ) | (0.152 | ) | (0.036 | ) | (0.128 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (2.392 | ) | 1.510 | 3.212 | 1.710 | 0.073 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (2.512 | ) | 1.378 | 3.060 | 1.674 | (0.055 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Return of capital | — | 2 | — | — | — | — | |||||||||||||||||||
Net realized gain | (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 11.650 | $ | 16.170 | $ | 16.270 | $ | 14.780 | $ | 13.420 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return3 | (16.54% | ) | 9.18% | 22.03% | 12.94% | 0.68% | |||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 440,683 | $ | 527,647 | $ | 436,823 | $ | 321,441 | $ | 321,641 | |||||||||||||||
Ratio of expenses to average net assets | 1.41% | 1.38% | 1.45% | 1.51% | 1.55% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.60% | 1.52% | 1.65% | 1.70% | 1.71% | ||||||||||||||||||||
Ratio of net investment loss to average net assets | (0.84% | ) | (0.84% | ) | (0.97% | ) | (0.27% | ) | (0.99% | ) | |||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.03% | ) | (0.98% | ) | (1.17% | ) | (0.46% | ) | (1.15% | ) | |||||||||||||||
Portfolio turnover | 104% | 72% | 58% | 78% | 82% |
1 | The average shares outstanding method has been applied for per share information. |
2 | For the year ended March 31, 2016, return of capital distribution of $8,916 for Institutional Class calculated to a de minimis amount of $0.000 per share. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
126
Table of Contents
Optimum Small-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 13.640 | $ | 14.880 | $ | 13.740 | $ | 12.590 | $ | 12.610 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment loss1 | (0.043 | ) | (0.092 | ) | (0.092 | ) | (0.027 | ) | (0.044 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (1.579 | ) | (0.032 | ) | 2.873 | 1.609 | 0.148 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (1.622 | ) | (0.124 | ) | 2.781 | 1.582 | 0.104 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Return of capital | (0.001 | ) | — | — | — | — | |||||||||||||||||||
Net realized gain | (0.487 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.488 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 11.530 | $ | 13.640 | $ | 14.880 | $ | 13.740 | $ | 12.590 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (11.96% | ) | (0.69% | ) | 21.85% | 13.23% | 1.01% | ||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 4,302 | $ | 5,440 | $ | 6,058 | $ | 5,711 | $ | 5,372 | |||||||||||||||
Ratio of expenses to average net assets | 1.61% | 1.62% | 1.70% | 1.76% | 1.79% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.75% | 1.68% | 1.86% | 1.98% | 1.98% | ||||||||||||||||||||
Ratio of net investment loss to average net assets | (0.35% | ) | (0.65% | ) | (0.64% | ) | (0.22% | ) | (0.38% | ) | |||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.49% | ) | (0.71% | ) | (0.80% | ) | (0.44% | ) | (0.57% | ) | |||||||||||||||
Portfolio turnover3 | 90% | 31% | 33% | 36% | 30% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
3 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2016, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
(continues) 127
Table of Contents
Financial highlights
Optimum Small-Mid Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 12.300 | $ | 13.630 | $ | 12.800 | $ | 11.830 | $ | 11.930 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment loss1 | (0.122 | ) | (0.179 | ) | (0.175 | ) | (0.100 | ) | (0.113 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (1.420 | ) | (0.035 | ) | 2.646 | 1.502 | 0.137 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (1.542 | ) | (0.214 | ) | 2.471 | 1.402 | 0.024 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Return of capital | (0.001 | ) | — | — | — | — | |||||||||||||||||||
Net realized gain | (0.487 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.488 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net asset value, end of period | $ | 10.270 | $ | 12.300 | $ | 13.630 | $ | 12.800 | $ | 11.830 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total return2 | (12.62% | ) | (1.45% | ) | 21.08% | 12.45% | 0.39% | ||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 15,136 | $ | 19,245 | $ | 20,846 | $ | 20,058 | $ | 19,986 | |||||||||||||||
Ratio of expenses to average net assets | 2.36% | 2.37% | 2.40% | 2.41% | 2.44% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.50% | 2.43% | 2.56% | 2.63% | 2.63% | ||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.10% | ) | (1.40% | ) | (1.34% | ) | (0.87% | ) | (1.03% | ) | |||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.24% | ) | (1.46% | ) | (1.50% | ) | (1.09% | ) | (1.22% | ) | |||||||||||||||
Portfolio turnover3 | 90% | 31% | 33% | 36% | 30% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
3 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2016, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
128
Table of Contents
Optimum Small-Mid Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Year ended | |||||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||
Net asset value, beginning of period | $ | 14.310 | $ | 15.530 | $ | 14.230 | $ | 12.990 | $ | 12.960 | |||||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income (loss)1 | (0.013 | ) | (0.059 | ) | (0.050 | ) | 0.016 | (0.004 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (1.649 | ) | (0.045 | ) | 2.995 | 1.661 | 0.158 | ||||||||||||||||||
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|
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|
|
|
|
|
| ||||||||||||||||
Total from investment operations | (1.662 | ) | (0.104 | ) | 2.945 | 1.677 | 0.154 | ||||||||||||||||||
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|
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|
|
|
|
|
| ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | — | — | (0.004 | ) | (0.005 | ) | — | ||||||||||||||||||
Net realized gain | (0.487 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||
Return of capital | (0.001 | ) | — | — | — | — | |||||||||||||||||||
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|
|
|
|
|
|
|
| ||||||||||||||||
Total dividends and distributions | (0.488 | ) | (1.116 | ) | (1.645 | ) | (0.437 | ) | (0.124 | ) | |||||||||||||||
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| ||||||||||||||||
Net asset value, end of period | $ | 12.160 | $ | 14.310 | $ | 15.530 | $ | 14.230 | $ | 12.990 | |||||||||||||||
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|
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| ||||||||||||||||
Total return2 | (11.67% | ) | (0.53% | ) | 22.29% | 13.56% | 1.37% | ||||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 441,150 | $ | 499,578 | $ | 439,417 | $ | 318,758 | $ | 310,737 | |||||||||||||||
Ratio of expenses to average net assets | 1.36% | 1.37% | 1.40% | 1.41% | 1.44% | ||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.50% | 1.43% | 1.56% | 1.63% | 1.63% | ||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.10% | ) | (0.40% | ) | (0.34% | ) | 0.13% | (0.03% | ) | ||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.24% | ) | (0.46% | ) | (0.50% | ) | (0.09% | ) | (0.22% | ) | |||||||||||||||
Portfolio turnover3 | 90% | 31% | 33% | 36% | 30% |
1 | The average shares outstanding method has been applied for per share information. |
2 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
3 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Fund’s fiscal year ending March 31, 2016, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
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Optimum Fund Trust
March 31, 2016
Optimum Fund Trust (Trust) is organized as a Delaware statutory trust and offers six series: Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund, (each, a Fund, or collectively, the Funds). The Trust is an open-end investment company. The Funds are considered diversified under the Investment Company Act of 1940 (1940 Act), as amended, and offer Class A, Class C, and Institutional Class shares. Class A shares are sold with a maximum front-end sales charge of 4.50% for Optimum Fixed Income Fund and 5.75% for Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) of 1.00% if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Effective Nov. 4, 2014, all remaining shares of Class B were converted to Class A shares. Class C shares are sold with a CDSC of 1.00%, if redeemed during the first 12 months. Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors.
The investment objective of Optimum Fixed Income Fund is to seek a high level of income. The Fund may also seek growth of capital.
The investment objective of Optimum International Fund is to seek long-term growth of capital. The Fund may also seek income.
The investment objective of Optimum Large Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Large Cap Value Fund is to seek long-term growth of capital. The Fund may also seek income.
The investment objective of Optimum Small-Mid Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Small-Mid Cap Value Fund is to seek long-term growth of capital.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Funds.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Open-end investment company securities are valued at net asset value (NAV) per share, as reported by the underlying investment company. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, inflation swap contracts, interest rate swap options contracts (swaptions) and interest rate swap contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Each Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before each Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant
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events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, each Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as each Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Funds evaluate tax positions taken or expected to be taken in the course of preparing each Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Fund’s tax positions taken for all open federal income tax years (March 31, 2013–March 31, 2016) and has concluded that no provision for federal income tax is required in any Fund’s financial statements. In regard to foreign taxes only, each Fund has open tax years in certain foreign countries in which it invests that may date back to the inception of each Fund.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of the Funds on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements — Each Fund may purchase certain U.S. government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with each Fund’s custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on March 31, 2016, and matured on the next business day.
Reverse Repurchase Agreements — Optimum Fixed Income Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells securities to a bank or broker/dealer and agrees to repurchase the securities at an agreed upon date and price. The Fund will maintain in a segregated account, cash, cash equivalents, or U.S. government securities in an amount sufficient to cover its obligations under reverse repurchase agreements with broker/dealers (but no collateral is required on reverse repurchase agreements with banks). The Fund will subject its investments in reverse repurchase agreements to the borrowing provisions set forth in the 1940 Act. The use of reverse repurchase agreements by the Fund creates leverage, which increases the Fund’s investment risk. If the income and gains on securities purchased with the proceeds of reverse repurchase agreements exceed the costs of the agreements, the Fund’s earnings or NAV will increase faster than otherwise would be the case; conversely, if the income and gains fail to exceed the costs, earnings or NAV would decline faster than otherwise would be the case. For the year ended March 31, 2016, the Fund had average reverse repurchase agreements of $1,254,328, for which it paid interest at an average rate of 0.79%. At March 31, 2016, the Fund posted $3,301,610 in securities collateral for reverse repurchase agreements, which comprised of U.S. treasury obligations.
To Be Announced Trades (TBA) — Optimum Fixed Income Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (examples: when issued, delayed delivery, forward commitment, or TBA transactions) consistent with the Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Fund on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Funds’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Funds generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), which is due to changes in foreign exchange rates is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, the realized gains and losses are included on the “Statements of operations” under “Net realized and unrealized gain (loss) on investments.“ The Funds report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
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Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
Use of Estimates — Each Fund is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, each Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to a Fund are charged directly to that Fund. Other expenses common to various funds within the Trust are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Funds are aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Each Fund may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. Each Fund declares and pays distributions from net investment income and net realized gain on investments, if any, at least annually. The Funds may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Each Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the year ended March 31, 2016.
Each Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included on the ”Statements of operations“ under ”Dividend disbursing and transfer agent fees and expenses“ with the corresponding expense offset shown under ”Less expense paid indirectly.“ For the year ended March 31, 2016, each Fund earned the following amounts under this agreement:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||
$502 | $504 | $551 | $552 | $539 | $544 |
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
Delaware Management Company (DMC), a series of Delaware Management Business Trust, furnishes investment management services to each Fund and has full discretion and responsibility, subject to the overall supervision of the 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.
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In accordance with the terms of its respective investment management agreement, DMC is entitled to receive an annual fee equal to the following percentage rates of the average daily net assets of each Fund:
Optimum Fixed Income Fund | 0.7000% of net assets up to $25 million | |
0.6500% of net assets from $25 million to $100 million | ||
0.6000% of net assets from $100 million to $500 million | ||
0.5500% of net assets from $500 million to $1 billion | ||
0.5000% of net assets from $1 billion to $2.5 billion | ||
0.4750% of net assets over $2.5 billion | ||
Optimum International Fund | 0.8750% of net assets up to $50 million | |
0.8000% of net assets from $50 million to $100 million | ||
0.7800% of net assets from $100 million to $300 million | ||
0.7650% of net assets from $300 million to $400 million | ||
0.7300% of net assets over $400 million | ||
Optimum Large Cap Growth Fund | 0.8000% of net assets up to $250 million | |
0.7875% of net assets from $250 million to $300 million | ||
0.7625% of net assets from $300 million to $400 million | ||
0.7375% of net assets from $400 million to $500 million | ||
0.7250% of net assets from $500 million to $1 billion | ||
0.7100% of net assets from $1 billion to $1.5 billion | ||
0.7000% of net assets over $1.5 billion | ||
Optimum Large Cap Value Fund | 0.8000% of net assets up to $100 million | |
0.7375% of net assets from $100 million to $250 million | ||
0.7125% of net assets from $250 million to $500 million | ||
0.6875% of net assets from $500 million to $1 billion | ||
0.6675% of net assets from $1 billion to $1.5 billion | ||
0.6475% of net assets over $1.5 billion | ||
Optimum Small-Mid Cap Growth Fund | 1.1000% of net assets | |
Optimum Small-Mid Cap Value Fund | 1.0500% of net assets up to $75 million | |
1.0250% of net assets from $75 million to $150 million | ||
1.0000% of net assets over $150 million |
DMC has entered into sub-advisory agreements for the Trust as follows: Optimum Fixed Income Fund – Pacific Investment Management Company, LLC (PIMCO); Optimum International Fund – Acadian Asset Management LLC (Acadian), and EARNEST Partners, LLC (EARNEST); Optimum Large Cap Growth Fund – T. Rowe Price Associates, Inc. (T. Rowe Price), and Fred Alger Management, Inc. (Alger); Optimum Large Cap Value Fund – Massachusetts Financial Services Company (MFS) and Herndon Capital Management, LLC (Herndon); Optimum Small-Mid Cap Growth Fund – Columbia Wanger Asset Management, LLC (CWAM) and Wellington Management Company, LLP (Wellington Management); Optimum Small-Mid Cap Value Fund – LSV Asset Management (LSV) and Westwood Management Corp. (Westwood). Prior to Jan. 8, 2016, The Killen Group, Inc. (Killen), and The Delafield Group, a division of Tocqueville Asset Management L.P. (Tocqueville) were sub-advisors for Optimum Small-Mid Cap Value Fund.
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Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
For the year ended March 31, 2016, DMC paid the following sub-advisory fees:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||
$2,507,413 | $2,140,257 | $5,602,794 | $3,748,108 | $3,752,926 | $2,632,851 |
DMC has contractually agreed to waive that portion, if any, of its management fee and/or pay/reimburse each Fund to the extent necessary to ensure that total annual fund operating expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale and dividend interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations (collectively, nonroutine expenses)) do not exceed the following percentages of each Fund’s average daily net assets. For purposes of these waivers and reimbursements, nonroutine expenses may also include such additional costs and expenses as may be agreed upon from time to time by the Board and DMC. These waivers and reimbursements may be terminated only by agreement of DMC and the Funds.
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||
Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2015 – July 29, 2016 | 0.92% | 1.25% | 1.09% | 1.08% | 1.34% | 1.27% | ||||||
Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2014 – July 29, 2015 | 0.95% | 1.25% | 1.12% | 1.08% | 1.36% | 1.35% |
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Trust. Those services include overseeing the Funds’ pricing process, the calculation and payment of fund expenses, and financial reporting in shareholder reports, registration statements and other regulatory filings. DIFSC also manages the process for the payment of dividends and distributions and the dissemination of Funds’ NAVs and performance data. For these services, the Funds pay DIFSC an asset-based fee, plus certain out-of-pocket expenses and transactional charges. DIFSC fees are calculated based on the aggregate daily net assets of the Trust at the following annual rate: 0.0075% of the first $3 billion; 0.0070% of the next $2 billion; 0.0065% of the next $2.5 billion; 0.0055% of the next $2.5 billion; and 0.0050% of aggregate average daily net assets in excess of $10 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Trust on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting fees.” For the year ended March 31, 2016, each Fund was charged for these services as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||
$146,818 | $38,616 | $111,930 | $90,980 | $36,785 | $34,843 |
DIFSC provides the Trust with administrative services including: preparation, filing and maintaining governing documents; preparation of materials and reports for the Board; and preparation and filing of registration statements and other regulatory filings. For these administrative services, each Fund pays DIFSC a fee at an annual rate (plus out-of-pocket expenses) of 0.120% of assets up to $500 million of the Funds’ average daily net assets; 0.095% of assets from $500 million to $1 billion; and 0.070% of assets over $1 billion.
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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 0.200% of the Trust’s total average daily net assets, subject to certain minimums, plus out-of-pocket expenses. Pursuant to a sub-transfer agency agreement between 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.”
DDLP, an affiliate of DMC, serves as the national distributor of each Fund’s shares pursuant to a Distribution Agreement. Pursuant to the Distribution Agreement and Rule 12b-1 plan, each Fund pays DDLP an annual distribution and service fee of 0.25% of the average daily net assets of the Class A shares and 1.00% of the average daily net assets of the Class C shares.
For the year ended March 31, 2016, DDLP earned commissions on sales of Class A shares for each Fund as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||
$46,435 | $3,641 | $9,681 | $10,588 | $1,695 | $1,477 |
For the year ended March 31, 2016, DDLP received gross CDSC commissions on redemptions of each Fund’s Class C shares, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares. The amounts received were as follows:
Optimum 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 | |||||
$14,297 | $2,449 | $7,102 | $7,325 | $1,138 | $1,112 |
DMC, DIFSC and DDLP are indirect, wholly owned subsidiaries of Delaware Management Holdings, Inc. Certain officers of DMC, DIFSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Funds.
Cross trades for the year ended March 31, 2016, were executed by the Funds pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the procedures adopted by the Board. Pursuant to these procedures, for the year ended March 31, 2016, the Funds engaged in securities purchases and securities sales, which resulted in net realized gain (loss) as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Small-Mid Cap Growth Fund | |||||||||||||
Purchases | $ | 1,879,823 | $ | — | $ | — | |||||||||
Sales | 149,712 | 388,363 | 11,109,965 | ||||||||||||
Net realized gain (loss) | (34,745 | ) | 65 | 6,239 |
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Notes to financial statements
Optimum Fund Trust
3. Investments
For the year ended March 31, 2016, each Fund made purchases and sales of investments securities other than short-term investments as follows:
Optimum | Optimum | Optimum | Optimum | Optimum | Optimum | |||||||||||||||||||
Purchases other than U.S. government securities | $5,919,857,416 | $340,408,399 | $1,343,202,539 | $520,001,338 | $515,707,091 | $436,588,698 | ||||||||||||||||||
Purchases of U.S. government securities | 6,535,739,547 | — | — | — | — | — | ||||||||||||||||||
Sales other than U.S. government securities | 5,592,659,746 | 245,879,957 | 1,398,457,061 | 481,647,908 | 529,906,500 | 395,254,401 | ||||||||||||||||||
Sales of U.S. government securities | 6,534,959,489 | — | — | — | — | — | ||||||||||||||||||
At March 31, 2016, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes for each Fund were as follows: |
|
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum | Optimum | |||||||||||||||||||
Cost of investments | $ | 2,508,699,701 | $ | 624,496,629 | $ | 1,353,230,319 | $ | 1,031,539,195 | $ | 462,729,257 | $ | 418,851,284 | ||||||||||||
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Aggregate unrealized appreciation of investments | $ | 45,647,455 | $ | 56,599,832 | $ | 211,049,232 | $ | 283,842,553 | $ | 36,170,247 | $ | 50,790,310 | ||||||||||||
Aggregate unrealized depreciation of investments | (44,373,707 | ) | (78,658,353 | ) | (59,487,961 | ) | (54,234,704 | ) | (36,509,540 | ) | (10,662,356 | ) | ||||||||||||
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Net unrealized appreciation (depreciation) of investments | $ | 1,273,748 | $ | (22,058,521 | ) | $ | 151,561,271 | $ | 229,607,849 | $ | (339,293 | ) | $ | 40,127,954 | ||||||||||
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U.S. GAAP defines fair value as the price that each Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. Each Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts) |
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Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities) |
Level 3 – | Significant unobservable inputs, including each Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following tables summarize the valuation of each Fund’s investments by fair value hierarchy levels as of March 31, 2016:
Optimum Fixed Income Fund | ||||||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Assets: | ||||||||||||||||||||
Agency, Asset- & Mortgage-Backed Securities1 | $ | — | $ | 947,984,495 | $ | 2,297,240 | $ | 950,281,735 | ||||||||||||
Corporate Debt | — | 746,804,132 | — | 746,804,132 | ||||||||||||||||
Foreign Debt | — | 68,639,791 | — | 68,639,791 | ||||||||||||||||
Municipal Bonds | — | 39,692,383 | — | 39,692,383 | ||||||||||||||||
Senior Secured Loans1 | — | 89,190,869 | 5,205,568 | 94,396,437 | ||||||||||||||||
Common Stock | — | — | — | — | ||||||||||||||||
Convertible Preferred Stock1 | 2,112,812 | 239,570 | — | 2,352,382 | ||||||||||||||||
Preferred Stock1 | 941,385 | 4,609,500 | — | 5,550,885 | ||||||||||||||||
U.S. Treasury Obligations | — | 393,523,966 | — | 393,523,966 | ||||||||||||||||
Short-Term Investments | — | 208,480,630 | — | 208,480,630 | ||||||||||||||||
Options Purchased | — | 251,108 | — | 251,108 | ||||||||||||||||
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| |||||||||||||
Total Value of Securities | $ | 3,054,197 | $ | 2,499,416,444 | $ | 7,502,808 | $ | 2,509,973,449 | ||||||||||||
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Foreign Currency Exchange Contracts | $ | — | $ | (2,558,026 | ) | $ | — | $ | (2,558,026 | ) | ||||||||||
Futures Contracts | (2,036,172 | ) | — | — | (2,036,172 | ) | ||||||||||||||
Swap Contracts | — | (9,976,504 | ) | — | (9,976,504 | ) | ||||||||||||||
Reverse Repurchase Agreements | — | (3,308,250 | ) | — | (3,308,250 | ) | ||||||||||||||
Options Written1 | (99,884 | ) | (691,639 | ) | — | (791,523 | ) |
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments, and Level 3 investments represent the following percentages of the total market value of these security types:
Level 1 | Level 2 | Level 3 | Total | |||||
Agency, Asset & Mortgage-Backed Securities | — | 99.76% | 0.24% | 100.00% | ||||
Senior Secured Loans | — | 94.49% | 5.51% | 100.00% | ||||
Convertible Preferred Stock | 89.82% | 10.18% | — | 100.00% | ||||
Preferred Stock | 16.96% | 83.04% | — | 100.00% | ||||
Options Written | 12.62% | 87.38% | — | 100.00% |
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Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum International Fund | ||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | ||||||||||||||||
Australia | $ | 18,163,428 | $ | — | $ | — | $ | 18,163,428 | ||||||||
Austria | 15,653,343 | — | — | 15,653,343 | ||||||||||||
Belgium | 3,165,792 | — | — | 3,165,792 | ||||||||||||
Bermuda | 10,194,890 | — | — | 10,194,890 | ||||||||||||
Brazil | 8,411,484 | — | — | 8,411,484 | ||||||||||||
Canada | 23,895,847 | — | — | 23,895,847 | ||||||||||||
China/Hong Kong | 28,116,231 | — | — | 28,116,231 | ||||||||||||
Colombia | 2,835,368 | — | — | 2,835,368 | ||||||||||||
Czech Republic | 3,311,219 | — | — | 3,311,219 | ||||||||||||
Denmark | 5,097,699 | — | — | 5,097,699 | ||||||||||||
Finland | 4,968,460 | — | — | 4,968,460 | ||||||||||||
France | 25,062,179 | — | — | 25,062,179 | ||||||||||||
Germany | 18,053,746 | — | — | 18,053,746 | ||||||||||||
India | 17,258,772 | — | — | 17,258,772 | ||||||||||||
Indonesia | 5,868,123 | — | — | 5,868,123 | ||||||||||||
Ireland | 14,373,614 | — | — | 14,373,614 | ||||||||||||
Israel | 16,312,865 | — | — | 16,312,865 | ||||||||||||
Italy | 2,508,137 | — | — | 2,508,137 | ||||||||||||
Japan | 107,429,150 | — | — | 107,429,150 | ||||||||||||
Netherlands | 15,786,742 | — | — | 15,786,742 | ||||||||||||
New Zealand | 2,860,017 | — | — | 2,860,017 | ||||||||||||
Norway | 15,179,516 | — | — | 15,179,516 | ||||||||||||
Peru | 5,843,439 | — | — | 5,843,439 | ||||||||||||
Republic of Korea | 19,606,572 | — | — | 19,606,572 | ||||||||||||
Singapore | 14,408,051 | — | — | 14,408,051 | ||||||||||||
Spain | 9,048,094 | — | — | 9,048,094 | ||||||||||||
Sweden | 7,012,470 | — | — | 7,012,470 | ||||||||||||
Switzerland | 33,628,722 | — | — | 33,628,722 | ||||||||||||
Taiwan | 17,459,381 | — | — | 17,459,381 | ||||||||||||
Thailand | 1,476,620 | — | — | 1,476,620 | ||||||||||||
Turkey | 6,993,674 | — | — | 6,993,674 | ||||||||||||
United Kingdom | 74,355,961 | 1,553,758 | — | 75,909,719 | ||||||||||||
United States | 12,585,992 | — | 4,538,469 | 17,124,461 | ||||||||||||
Short-Term Investments | — | 5,975,659 | — | 5,975,659 | ||||||||||||
Securities Lending Collateral | — | 23,444,624 | — | 23,444,624 | ||||||||||||
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|
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|
|
| |||||||||
Total Value of Securities | $ | 566,925,598 | $ | 30,974,041 | $ | 4,538,469 | $ | 602,438,108 | ||||||||
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Foreign Currency Exchange Contracts | $ | — | $ | (21 | ) | $ | — | $ | (21 | ) |
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Optimum Large Cap Growth Fund | ||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 327,699,010 | $ | — | $ | 2,275,195 | $ | 329,974,205 | ||||||||
Consumer Staples | 82,411,943 | — | — | 82,411,943 | ||||||||||||
Energy | 11,650,524 | — | — | 11,650,524 | ||||||||||||
Financials | 68,282,136 | — | 93,094 | 68,375,230 | ||||||||||||
Healthcare | 275,391,535 | — | — | 275,391,535 | ||||||||||||
Industrials | 156,190,704 | — | — | 156,190,704 | ||||||||||||
Information Technology | 485,156,851 | — | 473,654 | 485,630,505 | ||||||||||||
Materials | 19,897,990 | — | — | 19,897,990 | ||||||||||||
Telecommunication Services | 20,576,032 | — | — | 20,576,032 | ||||||||||||
Convertible Preferred Stock1 | — | 950,416 | 6,322,768 | 7,273,184 | ||||||||||||
U.S. Master Limited Partnerships | 7,021,511 | — | — | 7,021,511 | ||||||||||||
Short-Term Investments | — | 40,398,227 | — | 40,398,227 | ||||||||||||
|
|
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|
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|
|
| |||||||||
Total Value of Securities | $ | 1,454,278,236 | $ | 41,348,643 | $ | 9,164,711 | $ | 1,504,791,590 | ||||||||
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1Security type is valued across multiple levels. The amounts attributed to Level 2 investments and Level 3 investments represent 13.07% and 86.93%, respectively, of the total market value of this security type. Level 2 investments represent investments with observable inputs or matrix-priced investments while Level 3 investments represent investments without observable inputs.
Optimum Large Cap Value Fund | ||||||||||||
Securities | Level 1 | Level 2 | Total | |||||||||
Common Stock | $ | 1,234,953,669 | $ | — | $ | 1,234,953,669 | ||||||
Short-Term Investments | — | 26,193,375 | 26,193,375 | |||||||||
|
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|
|
| |||||||
Total Value of Securities | $ | 1,234,953,669 | $ | 26,193,375 | $ | 1,261,147,044 | ||||||
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|
|
Optimum Small-Mid Cap Growth Fund | ||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | ||||||||||||||||
Consumer Discretionary | $ | 78,746,585 | $ | — | $ | — | $ | 78,746,585 | ||||||||
Consumer Staples | 3,069,365 | — | — | 3,069,365 | ||||||||||||
Energy | 11,118,379 | — | — | 11,118,379 | ||||||||||||
Financials | 52,941,829 | — | — | 52,941,829 | ||||||||||||
Healthcare | 85,078,261 | — | — | 85,078,261 | ||||||||||||
Industrials | 70,736,083 | — | — | 70,736,083 | ||||||||||||
Information Technology | 115,770,335 | 469,798 | 296,387 | 116,536,520 | ||||||||||||
Materials | 8,583,382 | — | — | 8,583,382 | ||||||||||||
Telecommunication Services | 3,515,335 | — | — | 3,515,335 | ||||||||||||
Convertible Preferred Stock | — | — | 6,108,878 | 6,108,878 | ||||||||||||
Exchange-Traded Funds | 3,016,347 | — | — | 3,016,347 | ||||||||||||
Short-Term Investments | — | 22,939,000 | — | 22,939,000 | ||||||||||||
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| |||||||||
Total Value of Securities | $ | 432,575,901 | $ | 23,408,798 | $ | 6,405,265 | $ | 462,389,964 | ||||||||
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(continues) 139
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Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Small-Mid Cap Value Fund | |||||||||||||||
Securities | Level 1 | Level 2 | Total | ||||||||||||
Common Stock | $ | 445,523,442 | $ | — | $ | 445,523,442 | |||||||||
Short-Term Investments | — | 13,455,796 | 13,455,796 | ||||||||||||
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Total Value of Securities | $ | 445,523,442 | $ | 13,455,796 | $ | 458,979,238 | |||||||||
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Securities valued at zero on the “Schedules of investments” are considered to be Level 3 investments in these tables.
During the year ended March 31, 2016, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Funds. This does not include transfers between Level 1 investments and Level 2 investments due to the Funds utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities in each Fund occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that the Funds’ NAV is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. Each Fund’s policy is to recognize transfers between levels at the beginning of the period.
A reconciliation of Level 3 investments is presented when each Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to each Fund’s net assets. With the exception of Optimum Small-Mid Cap Growth Fund, management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to each Fund’s net assets at the end of the period.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value for Optimum Small-Mid Cap Growth Fund:
Common Stock | Convertible Preferred Stock | Total | |||||||||||||
Beginning balance March 31, 2015 | $ | 133,374 | $ | 6,261,635 | $ | 6,395,009 | |||||||||
Purchases | — | 2,447,731 | 2,447,731 | ||||||||||||
Sales | — | (1,313,030 | ) | (1,313,030 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 163,013 | (1,287,458 | ) | (1,124,445 | ) | ||||||||||
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Ending balance March 31, 2016 | $ | 296,387 | $ | 6,108,878 | $ | 6,405,265 | |||||||||
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Net change in unrealized appreciation (depreciation) from investments still held at the end of the period | $ | 163,013 | $ | (1,128,716 | ) | $ | (965,703 | ) |
Sensitivity Analysis for Optimum Small-Mid Cap Growth Fund
Valuation: Each Fund fair values its financial instruments at fair value using independent pricing sources under the policies approved by the Board. The Pricing Committee is the committee formed by the advisor to develop pricing policies and procedures and to provide oversight of the pricing function for the Funds.
When market quotations are not readily available for one or more portfolio securities, the Funds’ NAV shall be calculated by using the “fair value” of the securities as determined by the Pricing Committee. Such “fair value” is the amount that a Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination should be based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the size of the holding, (iii) the initial cost of the security, (iv) the existence of any contractual restrictions of the security’s disposition, (v) the price and extent of public trading in similar securities of the issuer or of comparable companies, (vi) quotations or evaluated prices from
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broker/dealers and/or pricing services, (vii) information obtained from the issuer, analysts, and/or appropriate stock exchange (for exchange-traded securities), (viii) an analysis of the company’s financial statements, and (ix) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The Pricing Committee, or its delegate, employs various methods for calibrating these valuation approaches, including due diligence of the Funds’ pricing vendors and periodic back-testing of the prices that are fair valued under these procedures and reviews of any market related activity. The pricing of all securities fair valued by the Pricing Committee is subsequently reported to and approved by the Board on a quarterly basis.
Quantitative information about Level 3 fair value measurements for Optimum Small-Mid Cap Growth Fund:
Assets | Value | Valuation | Unobservable | Range of Unobservable Inputs | Weighted Average Discounted Enterprise Value / Revenue Multiple | |||||
Common stock | $296,387 | Comparable Company Approach | Discounted Enterprise Value / Revenue Multiple | 3.7x | NA | |||||
Convertible preferred stock | 5,745,344 | Comparable Company Approach | Enterprise Value / Revenue Multiple | 2.2x to 6.0x | 4.0x | |||||
363,534 | Probability Weighted Expected Return Method |
Forward Enterprise Value / Revenue Multiple | 3.7x | NA | ||||||
Total convertible preferred stock | 6,108,878 | |||||||||
Total | $6,405,265 |
A significant change to the inputs may result in a significant change to the valuation.
4. Dividend and Distribution Information
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Additionally, distributions from net gains on foreign currency transactions and net short-term gains on sales of investment securities are treated as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the years ended March 31, 2016 and 2015 were as follows:
Year ended March 31, 2016
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 | |||||||||||||||||||||||||
Ordinary income | $ | 62,183,208 | $ | 4,359,777 | $ | 15,880,220 | $ | 14,923,587 | $ | 269,821 | $ | 303,097 | ||||||||||||||||||
Long-term capital gains | 1,046,441 | — | 138,359,844 | — | 68,382,173 | 17,425,944 | ||||||||||||||||||||||||
Return of Capital | — | — | — | — | 9,441 | 33,216 | ||||||||||||||||||||||||
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Total | $ | 63,229,649 | $ | 4,359,777 | $ | 154,240,064 | $ | 14,923,587 | $ | 68,661,435 | $ | 17,762,257 | ||||||||||||||||||
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(continues) 141
Table of Contents
Notes to financial statements
Optimum Fund Trust
Year ended March 31, 2015
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 | |||||||||||||||||||||||||
Ordinary income | $ | 45,890,893 | $ | 8,272,632 | $ | 46,602,612 | $ | 15,036,245 | $ | 5,821,786 | $ | 128,414 | ||||||||||||||||||
Long-term capital gains | — | — | 107,508,571 | — | 40,926,830 | 36,766,566 | ||||||||||||||||||||||||
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Total | $ | 45,890,893 | $ | 8,272,632 | $ | 154,111,183 | $ | 15,036,245 | $ | 46,748,616 | $ | 36,894,980 | ||||||||||||||||||
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5. Components of Net Assets on a Tax Basis
As of March 31, 2016, the components of net assets on a tax basis were as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | ||||||||||
Shares of beneficial interest | $ | 2,113,923,687 | $ | 630,284,986 | $ | 1,327,950,757 | ||||||
Undistributed ordinary income | 3,500,100 | 1,202,104 | — | |||||||||
Undistributed long-term capital gains | — | — | 26,927,193 | |||||||||
Capital loss carryforwards | (14,024,629 | ) | (26,484,452 | ) | — | |||||||
Qualified late year ordinary losses deferred | — | — | (1,408,686 | ) | ||||||||
Straddle losses deferred | (8,413,823 | ) | — | — | ||||||||
Other temporary difference* | (970,052 | ) | — | — | ||||||||
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | (8,428,943 | ) | (22,053,241 | ) | 151,560,083 | |||||||
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Net assets | $ | 2,085,586,340 | $ | 582,949,397 | $ | 1,505,029,347 | ||||||
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Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||
Share of beneficial interest | $ | 1,055,505,321 | $ | 477,607,569 | $ | 445,252,942 | |||||||||
Undistributed ordinary income | 3,365,536 | — | — | ||||||||||||
Capital loss carryforwards | (13,066,441 | ) | — | — | |||||||||||
Qualified late year ordinary losses deferred | — | (1,156,797 | ) | — | |||||||||||
Qualified late year capital losses deferred | (11,602,242 | ) | (13,415,816 | ) | (24,792,800 | ) | |||||||||
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | 229,599,295 | (339,476 | ) | 40,127,954 | |||||||||||
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Net assets | $ | 1,263,801,469 | $ | 462,695,480 | $ | 460,588,096 | |||||||||
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*See Note 13.
The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral of losses on wash sales, tax deferral of losses on straddles, mark-to-market of foreign currency exchange contracts, mark-to-market of futures contracts, tax recognition of unrealized gain on passive foreign investment companies, tax treatment of contingent payment on debt instruments, amortization of premium on convertible securities, treasury inflation protected securities, troubled debt, partnership interest and swap contracts.
Qualified late year ordinary and capital losses (including currency and specified gain/loss items) represent losses realized from Jan. 1, 2016 through March 31, 2016 and Nov. 1, 2015 through March 31, 2016, respectively, that in accordance with federal income tax regulations, the Funds have elected to defer and treat as having arisen in the following fiscal year.
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to tax treatment of net operating losses, redesignation of dividends and distributions, gain (loss) on foreign currency transactions, tax treatment of partnerships, amortization of premium on convertible securities, CDS contracts, foreign capital gain tax,
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contingent payment on debt instruments, sale of passive foreign investment companies, and paydown gains (losses) of asset- and mortgage-backed securities. Results of operations and net assets were not affected by these reclassifications. For the year ended March 31, 2016, the Funds recorded the following reclassifications:
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 | |||||||||||||||||||||||||
Undistributed (accumulated) net investment income (loss) | $ | 513,172 | $ | (231,561 | ) | $ | 5,801,024 | $ | (10,140 | ) | $ | 4,429,804 | $ | 1,229,538 | ||||||||||||||||
Accumulated net realized gain (loss) | (513,172 | ) | 231,561 | (350,755 | ) | 10,140 | 269,735 | 326,366 | ||||||||||||||||||||||
Paid-in capital | — | — | (5,450,269 | ) | — | (4,699,539 | ) | (1,555,904 | ) |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At March 31, 2016, Optimum Large Cap Value Fund utilized $6,850,321 of capital loss carryforwards.
At March 31, 2016, Optimum Fixed Income Fund, Optimum Large Cap Growth, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund did not have any capital loss carryforwards outstanding. Capital loss carryforwards remaining at March 31, 2016 will expire as follows:
Year of | Optimum International Fund | Optimum Large Cap Value Fund | ||
3/31/18 | $4,316,656 | $13,066,441 |
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, each Fund is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Losses incurred that will be carried forward under the Act are as follows:
Loss Carryforward Character
| ||||||||
Short-term | Long-term | |||||||
Optimum Fixed Income Fund | $ 5,564,709 | $8,459,920 | ||||||
Optimum International Fund | 18,690,282 | 3,477,514 |
(continues) 143
Table of Contents
Notes to financial statements
Optimum Fund Trust
6. Capital Shares
Transactions in capital shares were as follows:
Optimum | Optimum | Optimum | ||||||||||||||||||||||
Fixed Income | International | Large Cap | ||||||||||||||||||||||
Fund | Fund | Growth Fund | ||||||||||||||||||||||
Year ended | Year ended | Year ended | ||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/16 | 3/31/15 | 3/31/16 | 3/31/15 | |||||||||||||||||||
| ||||||||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class A | 484,087 | 701,373 | 106,661 | 144,856 | 134,056 | 238,790 | ||||||||||||||||||
Class B | — | 2,158 | — | 625 | — | — | ||||||||||||||||||
Class C | 2,109,294 | 2,431,086 | 370,858 | 449,982 | 569,981 | 739,198 | ||||||||||||||||||
Institutional Class | 50,670,245 | 57,659,471 | 16,417,062 | 14,726,160 | 16,932,034 | 25,086,102 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | 126,444 | 101,608 | 4,638 | 9,420 | 233,634 | 293,955 | ||||||||||||||||||
Class B | — | 359 | — | 49 | — | 2,683 | ||||||||||||||||||
Class C | 363,757 | 258,942 | — | 5,556 | 992,070 | 1,166,611 | ||||||||||||||||||
Institutional Class | 6,368,876 | 4,439,558 | 394,001 | 683,957 | 8,237,260 | 7,964,010 | ||||||||||||||||||
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|
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|
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|
| |||||||||||||
60,122,703 | 65,594,555 | 17,293,220 | 16,020,605 | 27,099,035 | �� | 35,491,349 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class A | (831,370 | ) | (896,505 | ) | (160,976 | ) | (168,763 | ) | (510,659 | ) | (515,858 | ) | ||||||||||||
Class B | — | (55,793 | ) | — | (16,823 | ) | — | (47,783 | ) | |||||||||||||||
Class C | (3,222,618 | ) | (2,506,285 | ) | (552,865 | ) | (385,205 | ) | (1,879,403 | ) | (1,385,681 | ) | ||||||||||||
Institutional Class | (43,001,210 | ) | (32,380,914 | ) | (8,328,689 | ) | (21,241,770 | ) | (18,670,206 | ) | (13,882,557 | ) | ||||||||||||
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|
|
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|
|
|
|
|
| |||||||||||||
(47,055,198 | ) | (35,839,497 | ) | (9,042,530 | ) | (21,812,561 | ) | (21,060,268 | ) | (15,831,879 | ) | |||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) | 13,067,505 | 29,755,058 | 8,250,690 | (5,791,956 | ) | 6,038,767 | 19,659,470 | |||||||||||||||||
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Optimum | Optimum | Optimum | ||||||||||||||||||||||
Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||||||||||||
Value Fund | Growth Fund | Value Fund | ||||||||||||||||||||||
Year ended | Year ended | Year ended | ||||||||||||||||||||||
3/31/16 | 3/31/15 | 3/31/16 | 3/31/15 | 3/31/16 | 3/31/15 | |||||||||||||||||||
| ||||||||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class A | 143,327 | 245,216 | 33,959 | 48,945 | 33,499 | 40,325 | ||||||||||||||||||
Class C | 531,160 | 713,968 | 127,921 | 145,303 | 113,119 | 126,685 | ||||||||||||||||||
Institutional Class | 16,516,757 | 19,341,523 | 8,398,792 | 8,637,127 | 8,991,621 | 9,504,226 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class A | 20,818 | 24,712 | 70,219 | 44,321 | 15,444 | 32,193 | ||||||||||||||||||
Class B | — | 186 | — | 323 | — | 295 | ||||||||||||||||||
Class C | 18,116 | 26,420 | 296,465 | 176,249 | 68,396 | 136,318 | ||||||||||||||||||
Institutional Class | 937,805 | 911,060 | 5,097,525 | 2,854,903 | 1,361,942 | 2,434,118 | ||||||||||||||||||
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| |||||||||||||
18,167,983 | 21,263,085 | 14,024,881 | 11,907,171 | 10,584,021 | 12,274,160 | |||||||||||||||||||
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| |||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class A | (394,347 | ) | (451,499 | ) | (102,565 | ) | (94,337 | ) | (74,853 | ) | (80,560 | ) | ||||||||||||
Class B | — | (42,763 | ) | — | (8,898 | ) | — | (8,274 | ) | |||||||||||||||
Class C | (1,375,133 | ) | (1,113,280 | ) | (332,514 | ) | (228,076 | ) | (273,196 | ) | (227,298 | ) | ||||||||||||
Institutional Class | (14,408,404 | ) | (13,915,081 | ) | (8,288,503 | ) | (5,717,697 | ) | (8,979,943 | ) | (5,333,870 | ) | ||||||||||||
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| |||||||||||||
(16,177,884 | ) | (15,522,623 | ) | (8,723,582 | ) | (6,049,008 | ) | (9,327,992 | ) | (5,650,002 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase | 1,990,099 | 5,740,462 | 5,301,299 | 5,858,163 | 1,256,029 | 6,624,158 | ||||||||||||||||||
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144
Table of Contents
Effective Nov. 4, 2014, all remaining shares of Class B were converted to Class A shares. For the year ended March 31, 2015, the following shares and values were converted from Class B to Class A. The amounts are included in Class B redemptions and Class A subscriptions in the tables above and the “Statements of changes in net assets.”
Year ended | ||||||||||||
3/31/15 | ||||||||||||
Class B Shares | Class A Shares | Value | ||||||||||
Optimum Fixed Income Fund | 24,014 | 24,039 | $ | 232,918 | ||||||||
Optimum International Fund | 6,634 | 6,516 | 76,569 | |||||||||
Optimum Large Cap Growth Fund | 19,395 | 17,924 | 302,553 | |||||||||
Optimum Large Cap Value Fund | 17,595 | 17,473 | 276,645 | |||||||||
Optimum Small-Mid Cap Growth Fund | 3,651 | 3,368 | 51,725 | |||||||||
Optimum Small-Mid Cap Value Fund | 3,776 | 3,481 | 48,518 |
Certain shareholders may exchange shares of one class for another class in the same Fund. For the years ended March 31, 2016 and 2015, each Fund had the following exchange transactions. These exchange transactions are included as subscriptions and redemptions in the table above and the “Statements of changes in net assets.”
Year ended | Year ended | |||||||||||||||||||||||||||||
3/31/16 | 3/31/15 | |||||||||||||||||||||||||||||
Exchange | Exchange | Exchange | Exchange | |||||||||||||||||||||||||||
Redemptions | Subscriptions | Redemptions | Subscriptions | |||||||||||||||||||||||||||
Class C Shares | Class A Shares | Value | Class C Shares | Institutional Class Shares | Value | |||||||||||||||||||||||||
Optimum Fixed Income Fund | 10,722 | 10,688 | $ | 102,288 | 978 | 973 | $ | 9,437 | ||||||||||||||||||||||
Optimum International Fund | 1,512 | 1,476 | 17,488 | 133 | 129 | 1,532 | ||||||||||||||||||||||||
Optimum Large Cap Growth Fund | 4,535 | 4,109 | 73,970 | 381 | 336 | 5,988 | ||||||||||||||||||||||||
Optimum Large Cap Value Fund | 3,867 | 3,821 | 61,640 | 362 | 357 | 5,700 | ||||||||||||||||||||||||
Optimum Small-Mid Cap Growth Fund | 837 | 753 | 11,843 | 68 | 59 | 962 | ||||||||||||||||||||||||
Optimum Small-Mid Cap Value Fund | 652 | 587 | 7,731 | 60 | 52 | 764 |
7. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — Each Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Fund may also enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Fund may enter into these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Funds and the counterparty and by the posting of collateral by the counterparty to the Funds to cover the Funds’ exposure to the counterparty.
(continues) 145
Table of Contents
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
During the year ended March 31, 2016, the Funds used foreign currency exchange contracts to fix the U.S. dollar value of a security between trade date and settlement date, to hedge the U.S. dollar value of securities the Funds already own that are denominated in foreign currencies, and to facilitate or expedite the settlement of portfolio transactions.
During the year ended March 31, 2016, the Funds held foreign currency exchange contracts which are reflected on the “Statements of operations” under “Net realized and unrealized gain (loss) on foreign currency exchange contracts.”
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. Optimum Fixed Income Fund may use futures in the normal course of pursuing its investment objective. Optimum Fixed Income Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. The Fund posted $4,590,265 in securities collateral as margin for open futures contracts, which is presented on the “Schedules of investments.”
During the year ended March 31, 2016, Optimum Fixed Income Fund used futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions and to facilitate investments in portfolio securities.
Options Contracts — Optimum Fixed Income Fund may enter into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Fund’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
Transactions in options written during the year ended March 31, 2016 for Optimum Fixed Income Fund were as follows:
Call options | Number of contracts | Premiums | ||||||||
Options outstanding March 31, 2015 | 2,200,159 | $ | 113,933 | |||||||
Options written | 205,134,858 | 1,635,298 | ||||||||
Options expired | (96,901,383 | ) | (954,387 | ) | ||||||
Options terminated in closing purchase transactions | (37,323,634 | ) | (539,742 | ) | ||||||
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|
|
| |||||||
Options outstanding March 31, 2016 | 73,110,000 | $ | 255,102 | |||||||
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|
146
Table of Contents
Put options | Number of contracts | Premiums | ||||||||
Options outstanding March 31, 2015 | 41,700,159 | $ | 159,598 | |||||||
Options written | 558,748,155 | 3,369,867 | ||||||||
Options expired | (212,701,390 | ) | (1,509,350 | ) | ||||||
Options terminated in closing purchase transactions | (119,346,560 | ) | (668,501 | ) | ||||||
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|
|
| |||||||
Options outstanding March 31, 2016 | 268,400,364 | $ | 1,351,614 | |||||||
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|
|
|
During the year ended March 31, 2016, Optimum Fixed Income Fund used options contracts to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions, to adjust the Fund’s overall exposure to certain markets, to receive premiums for writing options, to facilitate investments in portfolio securities, to protect the value of portfolio securities, and to manage the Fund’s exposure to changes in foreign currencies.
Swap Contracts — Optimum Fixed Income Fund may enter into currency swap contracts, index swap contracts, inflation swaps, interest rate swap contracts, and CDS contracts in the normal course of pursuing its investment objective. The Fund may invest in interest rate swaps to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. The Fund may use currency swaps to protect against currency fluctuations. The Fund may use inflation swaps to hedge the inflation risk in nominal bonds, thereby creating synthetic inflation-indexed bonds. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at least BBB- by Standard & Poor’s Financial Services LLC. (S&P) or Baa3 by Moody’s Investors Service Inc. (Moody’s) or is determined to be of equivalent credit quality by DMC.
Inflation Swaps. Inflation swap agreements involve commitments to pay a regular stream of inflation-indexed cash payments in exchange for receiving a stream of nominal interest payments (or vice versa), where both payment streams are based on notional amounts. The nominal interest payments may be based on either a fixed interest rate or variable interest rate such as the London Interbank Offered Rate (LIBOR). The change in value of swap contracts outstanding, if any, is recorded as unrealized appreciation or depreciation. A realized gain or loss is recorded on maturity or termination of the swap contract. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated, for bilateral swap contracts, by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
During the year ended March 31, 2016, Optimum Fixed Income Fund used inflation swaps to hedge the inflation risk in nominal bonds (i.e., non-inflation-protected bonds) thereby creating “synthetic” inflation-indexed bonds.
Interest Rate Swaps. An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, an interest rate swap involves payments received by Optimum Fixed Income Fund from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Fund receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty and (2) for cleared swaps, trading these instruments through a central counterparty.
During the year ended March 31, 2016, Optimum Fixed Income Fund entered into interest rate swap contracts to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates.
(continues) 147
Table of Contents
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the year ended March 31, 2016, Optimum Fixed Income Fund entered into CDS contracts as a purchaser and seller of protection, as a hedge against credit events. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for central cleared CDS basket trades, as determined by the applicable central counterparty.
As disclosed in the footnotes to the “Schedules of investments,” at March 31, 2016, the notional value of the protection sold was EUR 5,200,000 and USD 38,000,000, which reflects the maximum potential amount Optimum Fixed Income Fund would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, the quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement has been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At March 31, 2016, net unrealized appreciation of the protection sold was $320,200.
CDS contracts may involve greater risks than if Optimum Fixed Income Fund had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Fund’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty and (2) for cleared swaps, trading these instruments through a central counterparty.
During the year ended March 31, 2016, Optimum Fixed Income Fund used CDS contracts to hedge against credit events, to enhance total return, and to gain exposure to certain securities or markets.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event Optimum Fixed Income Fund terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the “Schedules of investments.”
148
Table of Contents
Fair values of derivative instruments for Optimum Fixed Income Fund as of March 31, 2016 were as follows:
Asset Derivatives Fair Value | ||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts | Interest rate Contracts | Credit Contracts | Total | ||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts | $ | 2,964,883 | $ | — | $ | — | $ | 2,964,883 | ||||||||||||
Variation margin due from broker on futures contracts* | 166,764 | 770,123 | — | 936,887 | ||||||||||||||||
Unrealized appreciation on swap contracts | — | 1,697,692 | 529,568 | 2,227,260 | ||||||||||||||||
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|
|
|
|
|
| |||||||||||||
Total | $ | 3,131,647 | $ | 2,467,815 | $ | 529,568 | $ | 6,129,030 | ||||||||||||
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|
|
|
|
|
Liability Derivatives Fair Value | |||||||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts | Equity Contracts | Interest Contracts | Credit Contracts | Total | ||||||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts | $ | (5,522,909 | ) | $ | — | $ | — | $ | — | $ | (5,522,909 | ) | |||||||||||||
Variation margin due to broker on futures contracts* | (2,880,801 | ) | (77,415 | ) | (14,843 | ) | — | (2,973,059 | ) | ||||||||||||||||
Options written, at value | (353,010 | ) | — | (438,456 | ) | (57 | ) | (791,523 | ) | ||||||||||||||||
Variation margin due to broker on centrally cleared swap contracts | — | — | (844,459 | ) | (29,662 | ) | (874,121 | ) | |||||||||||||||||
Unrealized depreciation on swap contracts | — | — | (11,057,592 | ) | (272,051 | ) | (11,329,643 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | (8,756,720 | ) | $ | (77,415 | ) | $ | (12,355,350 | ) | $ | (301,770 | ) | $ | (21,491,255 | ) | ||||||||||
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|
|
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through March 31, 2016. Only current day variation margin is reported on Optimum Fixed Income Fund’s “Statements of assets and liabilities.”
The effect of derivative instruments on Optimum Fixed Income Fund’s “Statements of operations” for the year ended March 31, 2016 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Options Written | Swap Contracts | Total | |||||||||||||||||||||||||
Currency contracts | $ | 11,394,962 | $ | (4,292,658 | ) | $ | (24,783 | ) | $ | 1,142,872 | $ | — | $ | 8,220,393 | ||||||||||||||||
Equity contracts | — | 142,778 | — | — | — | 142,778 | ||||||||||||||||||||||||
Interest rate contracts | — | 2,379,955 | (622,755 | ) | 1,597,088 | (2,800,892 | ) | 553,396 | ||||||||||||||||||||||
Credit contracts | — | — | — | 39,207 | (311,512 | ) | (272,305 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 11,394,962 | $ | (1,769,925 | ) | $ | (647,538 | ) | $ | 2,779,167 | $ | (3,112,404 | ) | $ | 8,644,262 | |||||||||||||||
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|
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|
|
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|
|
|
Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options purchased | Options Written | Swap Contracts | Total | |||||||||||||||||||||||||
Currency contracts | $ | (10,425,024 | ) | $ | (1,794,977 | ) | $ | (7,509 | ) | $ | (163,759 | ) | $ | — | $ | (12,391,269 | ) | |||||||||||||
Equity contracts | — | (77,415 | ) | — | — | — | (77,415 | ) | ||||||||||||||||||||||
Interest rate contracts | — | 601,774 | (807,555 | ) | 899,461 | (8,520,890 | ) | (7,827,210 | ) | |||||||||||||||||||||
Credit contracts | — | — | — | 11,428 | 543,306 | 554,734 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Total | $ | (10,425,024 | ) | $ | (1,270,618 | ) | $ | (815,064 | ) | $ | 747,130 | $ | (7,977,584 | ) | $ | (19,741,160 | ) | |||||||||||||
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|
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|
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|
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|
|
|
|
(continues) 149
Table of Contents
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
Derivatives generally. The tables below summarize the average balance of derivative holdings by the Funds during the year ended March 31, 2016.
Long Derivative Volume | ||||||||||||||||||||||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | ||||||||||||||||||||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 92,318,914 | USD | 708,781 | USD | 14,043 | USD | 3,551 | USD | 18,389 | ||||||||||||||||||||||||||
Futures contracts (average notional value) | 268,039,209 | — | — | — | — | |||||||||||||||||||||||||||||||
Options contracts (average notional value) | 497,033 | — | — | — | — | |||||||||||||||||||||||||||||||
CDS contracts (average notional value)* | EUR | 3,294,743 | — | — | — | — | ||||||||||||||||||||||||||||||
USD | 14,641,707 | — | — | — | — | |||||||||||||||||||||||||||||||
Inflation swap contracts (average notional value)** | 2,313,043 | — | — | — | — | |||||||||||||||||||||||||||||||
Interest rate swap contracts (average notional value)** | BRL | 37,583,004 | — | — | — | — | ||||||||||||||||||||||||||||||
CAD | 5,434,783 | — | — | — | — | |||||||||||||||||||||||||||||||
EUR | 3,983,794 | — | — | — | — | |||||||||||||||||||||||||||||||
GBP | 4,322,134 | — | — | — | — | |||||||||||||||||||||||||||||||
MXN | 980,743,083 | — | — | — | — | |||||||||||||||||||||||||||||||
USD | 229,257,648 | — | — | — | — | |||||||||||||||||||||||||||||||
Short Derivative Volume | ||||||||||||||||||||||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | ||||||||||||||||||||||||||||||||
Foreign currency exchange contracts (average cost) | USD | 273,917,153 | USD | 339,153 | USD | 31,192 | USD | 17,400 | USD | 8,042 | ||||||||||||||||||||||||||
Futures contracts (average notional value) | 943,808,157 | — | — | — | — | |||||||||||||||||||||||||||||||
Options contracts (average notional value) | 838,948 | — | — | — | — | |||||||||||||||||||||||||||||||
CDS contracts (average notional value)* | EUR | 4,987,352 | — | — | — | — | ||||||||||||||||||||||||||||||
USD | 43,672,660 | — | — | — | — |
*Long represents buying protection and short represents selling protection.
**Long represents receiving fixed interest payments and short represents paying fixed interest payments.
At March 31, 2016, for bilateral derivative contracts, Optimum Fixed Income Fund posted $1,070,000 in cash collateral for certain open derivatives, which is presented as “Cash collateral due from brokers” on the “Statements of assets and liabilities.” Optimum Fixed Income Fund posted $5,938,875 in cash collateral for certain centrally cleared derivatives, which is presented as “Cash collateral due from brokers” on the “Statements of assets and liabilities.” At March 31, 2016, the Fund received $4,869,000 in cash collateral and $630,307 in securities collateral for certain open derivatives. Cash collateral received is presented as “Cash collateral due to brokers” on the “Statements of assets and liabilities.”
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Table of Contents
8. Offsetting
In December 2011, the Financial Accounting Standards Board (FASB) issued guidance that expanded disclosure requirements on the offsetting of certain assets and liabilities. The disclosures are required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset on the “Statements of assets and liabilities” and require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarified which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing.
In order to better define its contractual rights and to secure rights that will help the Funds mitigate its counterparty risk, each Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy, or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statements of assets and liabilities.”
At March 31, 2016, Optimum Fixed Income Fund and Optimum International Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Optimum Fixed Income Fund | |||||||||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
Bank of America Merrill Lynch | $ | 449,007 | $ | (704,286 | ) | $ | (255,279 | ) | |||||||
BNP Paribas | 52,753 | (948,288 | ) | (895,535 | ) | ||||||||||
Citigroup Global Markets | 377,617 | (1,850,616 | ) | (1,472,999 | ) | ||||||||||
Deutsche Bank | 1,224,227 | (286,168 | ) | 938,059 | |||||||||||
Goldman Sachs | 13,167 | (8,094 | ) | 5,073 | |||||||||||
Hong Kong Shanghai Bank | — | (24,431 | ) | (24,431 | ) | ||||||||||
JPMorgan Chase Bank | 1,572,038 | (2,125,232 | ) | (553,194 | ) | ||||||||||
Morgan Stanley Capital | 827,606 | (16,016 | ) | 811,590 | |||||||||||
Toronto Dominion Bank | 4,582 | (18,562 | ) | (13,980 | ) | ||||||||||
UBS | 13,095 | — | 13,095 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total | $ | 4,534,092 | $ | (5,981,693 | ) | $ | (1,447,601 | ) | |||||||
|
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|
(continues) 151
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Notes to financial statements
Optimum Fund Trust
8. Offsetting (continued)
Optimum Fixed Income Fund | ||||||||||||||||||||||||||||||
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(a) | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | (255,279 | ) | $ | — | $ | — | $ | — | $ | 255,279 | $ | — | |||||||||||||||||
BNP Paribas | (895,535 | ) | — | — | — | 780,000 | (115,535 | ) | ||||||||||||||||||||||
Citigroup Global Markets | (1,472,999 | ) | — | — | — | — | (1,472,999 | ) | ||||||||||||||||||||||
Deutsche Bank | 938,059 | — | (190,000 | ) | — | — | 748,059 | |||||||||||||||||||||||
Goldman Sachs | 5,073 | — | — | — | — | 5,073 | ||||||||||||||||||||||||
Hong Kong Shanghai Bank | (24,431 | ) | — | — | — | — | (24,431 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank | (553,194 | ) | — | — | — | — | (553,194 | ) | ||||||||||||||||||||||
Morgan Stanley Capital | 811,590 | — | (811,590 | ) | — | — | — | |||||||||||||||||||||||
Toronto Dominion Bank | (13,980 | ) | — | — | — | — | (13,980 | ) | ||||||||||||||||||||||
UBS | 13,095 | — | — | — | — | 13,095 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (1,447,601 | ) | $ | �� | $ | (1,001,590 | ) | $ | — | $ | 1,035,279 | $ | (1,413,912 | ) | |||||||||||||||
|
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|
|
|
|
Optimum International Fund | |||||||||||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | ||||||||||||
Brown Brothers Harriman | $ | 6 | $ | (27 | ) | $ | (21 | ) |
Optimum International Fund | ||||||||||||||||||||||||||||||
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(a) | ||||||||||||||||||||||||
Brown Brothers Harriman | $ | (21 | ) | $ | — | $ | — | $ | — | $ | — | $ | (21 | ) |
Repurchase Agreements
Repurchase agreements are entered into by a Fund under Master Repurchase Agreements (each, an “MRA”). The MRA permits a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, a Fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund would recognize a liability with respect to such excess collateral. The liability reflects a Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2016, the following tables are a summary of each Fund’s repurchase agreements by counterparty which are subject to offset under an MRA:
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Optimum Fixed Income Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 15,662,459 | $ | (15,662,459 | ) | $ | — | $ | (15,662,459 | ) | $ | — | |||||||||||||
Bank of Montreal | 26,104,099 | (26,104,099 | ) | — | (26,104,099 | ) | — | ||||||||||||||||||
BNP Paribas | 31,526,442 | (31,526,442 | ) | — | (31,526,442 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 73,293,000 | $ | (73,293,000 | ) | $ | — | $ | (73,293,000 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum International Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 158,990 | $ | (158,990 | ) | $ | — | $ | (158,990 | ) | $ | — | |||||||||||||
Bank of Montreal | 264,984 | (264,984 | ) | — | (264,984 | ) | — | ||||||||||||||||||
BNP Paribas | 320,026 | (320,026 | ) | — | (320,026 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 744,000 | $ | (744,000 | ) | $ | — | $ | (744,000 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum Large Cap Growth Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 3,403,758 | $ | (3,403,758 | ) | $ | — | $ | (3,403,758 | ) | $ | — | |||||||||||||
Bank of Montreal | 5,672,930 | (5,672,930 | ) | — | (5,672,930 | ) | — | ||||||||||||||||||
BNP Paribas | 6,851,312 | (6,851,312 | ) | — | (6,851,312 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 15,928,000 | $ | (15,928,000 | ) | $ | — | $ | (15,928,000 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum Large Cap Value Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 5,061,188 | $ | (5,061,188 | ) | $ | — | $ | (5,061,188 | ) | $ | — | |||||||||||||
Bank of Montreal | 8,435,314 | (8,435,314 | ) | — | (8,435,314 | ) | — | ||||||||||||||||||
BNP Paribas | 10,187,498 | (10,187,498 | ) | — | (10,187,498 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 23,684,000 | $ | (23,684,000 | ) | $ | — | $ | (23,684,000 | ) | $ | — | |||||||||||||
|
|
|
|
|
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|
(continues) 153
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Notes to financial statements
Optimum Fund Trust
8. Offsetting (continued)
Optimum Small-Mid Cap Growth Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 4,901,985 | $ | (4,901,985 | ) | $ | — | $ | (4,901,985 | ) | $ | — | |||||||||||||
Bank of Montreal | 8,169,974 | (8,169,974 | ) | — | (8,169,974 | ) | — | ||||||||||||||||||
BNP Paribas | 9,867,041 | (9,867,041 | ) | — | (9,867,041 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 22,939,000 | $ | (22,939,000 | ) | $ | — | $ | (22,939,000 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Counterparty | Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Net Collateral Received | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | 2,871,868 | $ | (2,871,868 | ) | $ | — | $ | (2,871,868 | ) | $ | — | |||||||||||||
Bank of Montreal | 4,786,446 | (4,786,446 | ) | — | (4,786,446 | ) | — | ||||||||||||||||||
BNP Paribas | 5,780,686 | (5,780,686 | ) | — | (5,780,686 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | 13,439,000 | $ | (13,439,000 | ) | $ | — | $ | (13,439,000 | ) | $ | — | |||||||||||||
|
|
|
|
|
|
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|
|
Reverse repurchase agreements
Borrowed bond agreements, repurchase, reverse repurchase transactions, and treasury roll transactions are entered into by Optimum Fixed Income Fund under MRA which permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With reverse repurchase transactions, borrowed bond agreements and treasury roll transactions, typically the Fund and the counterparties are permitted to sell, repledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of March 31, 2016, the following table is a summary of Optimum Fixed Income Fund’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Optimum Fixed Income Fund | |||||||||||||||||||||||||
Counterparty | Reverse Repurchase Agreements | Fair Value of Non-Cash Collateral Received | Cash Collateral Pledged | Net Collateral Pledged | Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch | $ | (3,308,250 | ) | $ | 3,308,250 | $ | — | $ | 3,308,250 | $ | — |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Fund’s obligation to repurchase the securities.
Securities Lending
154
Table of Contents
Securities lending transactions are entered into by Optimum International Fund under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
As of March 31, 2016, the following table is a summary of Optimum International Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value | Cash Collateral Received | Fair value of Non-Cash Collateral Received | Net Exposure(a) | ||||||||||||||||
The Bank of New York Mellon | $25,271,845 | $(23,444,624 | ) | $(2,787,326 | ) | $(960,105 | ) |
(a)Net exposure represents the net receivable (payable) that would be due from (to) the counterparty in the event of default.
9. Securities Lending
Each Fund may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities that 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.
Prior to Dec. 29, 2015, cash collateral received was generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust), a pooled account established by BNY Mellon for the use of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust sought to maintain a NAV per unit of $1.00. Under the previous investment guidelines, the Collective Trust was permitted to invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust would generally have a dollar-weighted average portfolio maturity of 60 days or less.
On Dec. 29, 2015, the assets in the Collective Trust were transferred to 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 U.S. 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; and asset-backed securities.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Funds or, at the discretion of the lending agent, replace the loaned securities. The Funds continue to record dividends or interest, as applicable, on the securities loaned and are subject to changes in value of the securities loaned that may occur during the term of the loan. The Funds have
(continues) 155
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Notes to financial statements
Optimum Fund Trust
9. Securities Lending (continued)
the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Funds receive loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Funds, the security lending agent, and the borrower. The Funds record security lending income net of allocations to the security lending agent and the borrower.
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 a Fund’s cash collateral account may be less than the amount a Fund would be required to return to the borrowers of the securities and that Fund would be required to make up for this shortfall.
Investments purchased with cash collateral are presented on the “Schedules of investments” under the caption “Securities Lending Collateral.” At March 31, 2016, Optimum Fixed Income Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund had no securities on loan.
10. Credit and Market Risk
Some countries in which the Funds may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Funds may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Funds.
Optimum Fixed Income Fund invests in high yield fixed income securities, which are securities rated lower than BBB by S&P and lower than Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Optimum Fixed Income Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
Optimum Fixed Income Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Optimum Fixed Income Fund invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the
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underlying mortgages and consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund invest a significant portion of their assets in small- and mid-sized companies. Investments in small- and mid-sized companies may be more volatile than investments in larger companies for a number of reasons, which include more limited financial resources or a dependence on narrow product lines.
Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund may invest in REITs and are subject to the risks associated with that industry. If a Fund holds real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the year ended March 31, 2016. The Funds’ REIT holdings are also affected by interest rate changes, particularly if the REITs they hold use floating rate debt to finance their ongoing operations.
Each Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933 (the Act), as amended, and other securities which may not be readily marketable. The Funds may also invest in securities exempt from registration under Section 4(a)(2) of the Act, which exempts from registration transactions by an issuer not involving any public offering. The relative illiquidity of these securities may impair the Funds from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the 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 and illiquid securities have been identified on the “Schedules of investments.” When monitoring compliance with the Funds’ illiquid limit, certain holdings that are common to multiple clients of the investment manager may be aggregated and considered illiquid in the aggregate solely for monitoring purposes. For purposes of determining illiquidity for financial reporting purposes, only the holdings of these Funds will be considered.
11. Contractual Obligations
Each Fund enters into contracts in the normal course of business that contain a variety of indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. However, each Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of loss to be remote.
12. Recent Accounting Pronouncements
In May 2015, the FASB issued Accounting Standards Update (“ASU”) No. 2015-07 regarding “Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share.” The amendments in this update are effective for the Funds for fiscal years beginning after Dec. 15, 2015, and interim periods within those fiscal years. ASU No. 2015-07 will eliminate the requirement to categorize investments in the fair value hierarchy if their fair value is measured at NAV per share (or its equivalent) using the practical expedient in the FASB’s fair value measurement guidance. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.
13. General Motors Term Loan Litigation
Optimum Fixed Income Fund received notice of a litigation proceeding related to a General Motors Corporation (G.M.) term loan participation previously held by the Fund in 2009. We believe the matter subject to the litigation notice will likely lead to a recovery from the Fund of certain amounts received by the Fund because a U.S. Court of Appeals has ruled that the Fund and similarly situated investors were unsecured creditors rather than secured lenders of G.M. as a result of an erroneous Uniform Commercial Code filing made by a third party. The Fund received the full principal on the loans in 2009 after the G.M. bankruptcy. However, based upon the court ruling the estate is seeking to recover such amounts arguing that, as unsecured creditors, the Fund should not have received payment in full. Based upon currently available information
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Notes to financial statements
Optimum Fund Trust
related to the litigation and the Fund’s potential exposure, the Fund recorded a liability of $1,385,788 and an asset of $415,736 based on the expected recoveries to unsecured creditors as of March 31, 2016 that resulted in a net decrease in the Fund’s NAV to reflect this likely recovery.
14. Subsequent Events
On March 17, 2016, the Board approved a proposal to terminate CWAM and Wellington Management as sub-advisors and to appoint Peregrine Capital Management (Peregrine) and Columbus Circle Investors (CCI) as sub-advisors to Optimum Small-Mid Cap Growth Fund. The termination of CWAM and Wellington Management was effective on April 1, 2016.
Management has determined that no other material events or transactions occurred subsequent to March 31, 2016 that would require recognition or disclosure in the Funds’ financial statements.
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registered public accounting firm
To the Board of Trustees of Optimum Fund Trust and the Shareholders of
Optimum Fixed Income Fund
Optimum International Fund
Optimum Large Cap Growth Fund
Optimum Large Cap Value Fund
Optimum Small-Mid Cap Growth Fund
Optimum Small-Mid Cap Value Fund
In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund (constituting Optimum Fund Trust, hereafter referred to as the “Funds”) at March 31, 2016, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2016 by correspondence with the custodian and brokers and the application of alternative auditing procedures where confirmations of security purchases had not been received, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
May 26, 2016
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(Unaudited)
Optimum Fund Trust
Tax Information
The information set forth below is for each Fund’s fiscal year as required by federal income tax laws. Shareholders, however, must report distributions on a calendar year basis for income tax purposes, which may include distributions for portions of two fiscal years of the Funds. Accordingly, the information needed by shareholders for income tax purposes will be sent to them in January of each year. Please consult your tax advisor for proper treatment of this information.
All disclosures are based on financial information available as of the date of this annual report and, accordingly are subject to change. For any and all items requiring reporting, it is the intention of the Funds to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
For the fiscal year ended March 31, 2016, each Fund reports distributions paid during the year as follows:
(A) Long-Term Capital Gains Distributions (Tax Basis) | (B) Ordinary Income Distributions* (Tax Basis) | (C) Return of Capital Distributions (Tax Basis) | Total Distributions (Tax Basis) | (D) Qualifying Dividends1 | ||||||||||||||
Optimum Fixed Income Fund | 1.65% | 98.35% | — | 100.00% | — | |||||||||||||
Optimum International Fund | — | 100.00% | — | 100.00% | 81.10% | |||||||||||||
Optimum Large Cap Growth Fund | 89.70% | 10.30% | — | 100.00% | 28.71% | |||||||||||||
Optimum Large Cap Value Fund | — | 100.00% | — | 100.00% | 100.00% | |||||||||||||
Optimum Small-Mid Cap Growth Fund | 99.60% | 0.39% | 0.01% | 100.00% | — | |||||||||||||
Optimum Small-Mid Cap Value Fund | 98.11% | 1.70% | 0.19% | 100.00% | — |
(A), (B) and (C) are based on a percentage of each Fund’s total distributions.
(D) is based on a percentage of each Fund’s ordinary income distributions.
1Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
*For the fiscal year ended March 31, 2016, certain dividends paid by the Funds may be subject to a maximum tax rate of 20%. The percentage of dividends paid by the Funds from ordinary income reported as qualified income are as reported in the following table. Complete information will be computed and reported in conjunction with your 2016 Form 1099-DIV.
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 | |||||||||
— | 81.10% | 30.62% | 100.00% | — | — |
Optimum International Fund intends to pass through foreign tax credits in the maximum amount of $786,889. The gross foreign source income earned during the fiscal year 2016 by the Fund was $13,551,608.
Board Consideration of Optimum Small-Mid Cap Value Fund Sub-Advisory Agreement at a Meeting Held December 16-17, 2015 and Optimum Small-Mid Cap Growth Fund Sub-Advisory Agreements at a Meeting Held March 17-18, 2016
At a meeting held on December 16-17, 2015, the Board of Trustees of Optimum Fund Trust, including a majority of non-interested or independent Trustees (the “Independent Trustees”), approved a new Sub-Advisory Agreement between Delaware Management Company (“DMC” or “Management”) and LSV Asset Management (“LSV”) for the Optimum Small-Mid Cap Value Fund (the “Smid Value Fund”). LSV replaced The Delafield Group, a division of Tocqueville Asset Management L.P. (“Tocqueville”), and The Killen Group, Inc. (“Killen”) as a sub-advisor to the Smid Value Fund.
In addition, at a meeting held on March 17-18, 2016, the Board of Trustees, including the Independent Trustees, approved a new Sub-Advisory Agreement between DMC and each of Columbus Circle Investors (“CCI”) and Peregrine Capital Management, Inc. (“Peregrine”) for the Optimum Small-Mid Cap Growth Fund (the “Smid Growth Fund”, and together with the Smid Value Fund, the “Funds”). CCI and Peregrine replaced Columbia Wanger Asset Management, LLC (“CWAM”) and Wellington Management Company LLP (“Wellington Management”) as sub-advisors to the Smid Growth Fund. LSV, CCI and Peregrine may also be referenced as “Sub-Advisor(s)” below.
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In reaching such decisions, the Board considered and reviewed information about each of the Sub-Advisors, including its personnel, operations and financial condition, which had been provided by the Sub-Advisors. The Board also reviewed material furnished by DMC (with the assistance of its consultant, LPL Financial LLC), including: a memorandum from DMC reviewing the Sub-Advisory Agreements and the various services proposed to be rendered by the Sub-Advisors; research and analysis concerning DMC’s proposal of the Sub-Advisors for the Funds; a description of the proposed sub-advisory fees under each of the Sub-Advisory Agreements, along with fees that each Sub-Advisor charges comparable accounts; information concerning each Sub-Advisor’s organizational structure and the experience of its investment management personnel; a “due diligence” report describing various material items in relation to each Sub-Advisor’s personnel, organization and policies; copies of each Sub-Advisor’s Form ADV, compliance policies and procedures and its Code of Ethics; and a copy of the Sub-Advisory Agreements.
In considering such information and materials, the Independent Trustees received assistance and advice from and met separately with independent counsel. The materials prepared by Management specifically in connection with the approval of the Sub-Advisory Agreements were sent to the Independent Trustees in advance of the Board Meetings. 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. In considering the nature, extent and quality of the services to be provided by the Sub-Advisors, the Board reviewed the services to be provided by the Sub-Advisors pursuant to the Sub-Advisory Agreements, noting specifically that each Sub-Advisory Agreement contains substantially similar provisions to those in the Sub-Advisory agreements of the prior sub-advisors, except for the provisions relating to the fees. The Board reviewed materials provided by the Sub-Advisors regarding the experience and qualifications of personnel who will be responsible for managing each Sub-Advisor’s portion of their respective Fund. The Board also placed weight on the performance of representative Sub-Advisor portfolios that utilized the investment process and parameters that would be employed by each Sub-Advisor on behalf of the portion of its respective Fund (each a “Sub-Advisor Account(s)”). The Board also considered that each Sub-Advisor would co-manage the Fund with another adviser. For Smid Value Fund, LSV would co-manage with Westwood Management Corp. (“Westwood”). For Smid Growth Fund, CCI and Peregrine would co-manage with each other. The Board considered the compatibility of the two advisers’ investment philosophies and methodologies for each Fund. Based upon these considerations, the Board was satisfied with the nature and quality of the overall services to be provided by the Sub-Advisors to each Fund and its shareholders and was confident in the abilities of the Sub-Advisors to provide quality services to the Funds and their shareholders.
Investment performance. The Board reviewed information on the performance of the Sub-Advisor Accounts over various time periods. The Board also reviewed a “combination analysis” showing various performance metrics that would have resulted from combining the performance of each Sub-Advisor Account with the performance of each Fund’s co-manager over various time periods measured in several different ways. In respect to such analysis for the Smid Value Fund, the Board noted that LSV’s investment style was expected to complement that followed by Westwood, and that LSV’s investment strategy was expected to provide a better balance to Westwood’s investment philosophy than Killen and Tocqueville had provided. Based on CCI / Peregrine’s historical portfolio characteristics, the Board noted that the CCI / Peregrine combination for the Smid Growth Fund was expected to produce a portfolio more in line with the Fund’s benchmark than the CWAM / Wellington Management combination, while still seeking to provide excess returns to the Smid Growth Fund’s benchmark. The Board believed such information and analysis evidenced the benefits to the Funds and high quality of portfolio management services expected to be provided by the Sub-Advisors under the Sub-Advisory Agreements.
Comparative expenses. In considering the appropriateness of the sub-advisory fees to be charged by the Sub-Advisors, 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 the Sub-Advisors, as more fully described above. The Board noted that the sub-advisory fees are paid by DMC and are not additional fees borne by the Funds. The Board also noted that the sub-advisory fees to be paid by DMC to the Sub-Advisors were the product of arms-length negotiations between DMC and the Sub-Advisors, and the Board considered the allocation of the investment management fees charged to the Fund between DMC and the Sub-Advisors in light of the nature, extent and quality of the investment management services provided, and to be provided by, DMC and the Sub-Advisors. In particular, the Board was provided with a description of fees to be charged by LSV under its Sub-Advisory Agreement for the Smid Value Fund, which showed them to be slightly lower than the sub-advisory fees charged by each of Killen and Tocqueville under its respective Sub-Advisory agreement at the Fund’s current amount of assets under management. The Board was also provided with a description of fees to be charged by each of CCI and Peregrine under its Sub-Advisory Agreement for the Smid Growth Fund, which showed them to be lower than the sub-advisory fees charged by each of CWAM and Wellington Management under their respective Sub-Advisory agreements at
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Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Small-Mid Cap Value Fund Sub-Advisory Agreement at a Meeting Held December 16-17, 2015 and Optimum Small-Mid Cap Growth Fund Sub-Advisory Agreements at a Meeting Held March 17-18, 2016 (continued)
the Fund’s current amount of assets under management. The Board discussed the impact that the differences in fees would have on DMC’s profitability for each Fund, and the Board discussed with Management how such difference in fees would be taken into consideration when Management evaluated expense caps for the Funds. The Board also was provided with information showing that each Sub-Advisor’s fees were competitive with those charged by that Sub-Advisor to other comparable investment companies or accounts, and was informed by Management that each Sub-Advisor’s fees were competitive with fees of other investment managers being considered as possible sub-advisors to the respective Fund. The Board also noted that the management fee paid by each 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 each Sub-Advisor under its Sub-Advisory Agreement were acceptable in relation to the services being provided.
Profitability and economies of scale. The Board was informed that the Sub-Advisors may receive certain fall-out benefits in connection with their relationship with the Funds, such as benefits relating to soft-dollar arrangements. Information about each Sub-Advisor’s profitability from its relationship with its respective Fund was not available because it had not begun to provide services to the Fund. The Trustees also noted that economies of scale are shared with the Smid Value 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 considered that the asset size of the Smid Value Fund, as of Nov. 30, 2015, exceeded the last fee breakpoint under its respective investment management agreement. The Trustees noted, however, that the actual investment management fee charged to the Fund was also limited as a result of management expense caps, and while intending to monitor the need for additional breakpoints, believed it unlikely that meaningful economies of scale currently existed in the management of such Fund. For the Smid Growth Fund, the Board noted that it has a fixed investment management fee of 1.1% at all asset levels without breakpoints, but in view of the nature of the Smid Growth Fund, its asset level of approximately $433 million at Feb. 29, 2016, and the fact that the actual investment management fee charged the Smid Growth Fund was reduced as a result of management expense caps, the Trustees believed that no meaningful economies of scale currently existed.
Proxy Results
At a Special Meeting of Shareholders of Optimum Fund Trust (the “Trust”), on behalf of Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Value Fund, Optimum Large Cap Growth Fund, Optimum Small-Mid Cap Value Fund, and Optimum Small-Mid Cap Growth Fund (each, a “Fund” and together, the “Funds”) held on Sept. 15, 2015 and reconvened on October 14, 2015 and Nov. 24, 2015 and Jan. 8, 2016, the shareholders of the Trust / each Fund voted to: (i) elect a Board of Trustees for the Trust; (ii) revise the fundamental investment restriction relating to lending for each Fund; (iii) approve the implementation of a new “manager of managers” order for each Fund; and (iv) revise provisions of the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand.
At the reconvened meeting on Oct. 14, 2015, the following people were elected to serve as Independent Trustees: Robert J. Christian; Durant Adams Hunter; Pamela J. Moret; Stephen P. Mullin; Robert A. Rudell; and Jon Socolofsky. In addition, Shawn Lytle and Dan Arnold were elected to serve as Interested Trustees. In addition, shareholders approved the revision to the Trust’s Agreement and Declaration of Trust related to shareholder disclosure of certain information upon board demand. Details of the shareholder meeting results for these proposals were included in the Trust’s semiannual report to shareholders, dated Sept. 30, 2015.
At the reconvened meeting held on Nov. 24, 2015 for the Optimum Fixed Income Fund and held on Jan. 8, 2016 for the other five Funds within the Trust, the following proposals were approved: (i) to revise the fundamental investment restriction relating to lending for each Fund and (ii) to approve the implementation of a new “manager of managers” order for each Fund.
The following proposals were submitted and passed by a vote of the Optimum Fixed Income Fund shareholders on Nov. 24, 2015, and such proposals were also submitted and passed by a vote of the shareholders of the other five Funds within the Trust on Jan. 8, 2016:
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1. To revise the fundamental investment restriction relating to lending.
A quorum of the shares outstanding for each Fund was present, and the votes passed with a majority of those shares. The results were as follows:
Optimum Fixed Income Fund | ||||
Shares voted for | 89,962,605.493 | |||
Percentage of outstanding shares | 41.978 | % | ||
Percentage of shares voted | 81.439 | % | ||
Shares voted against | 3,590,077.102 | |||
Percentage of outstanding shares | 1.675 | % | ||
Percentage of shares voted | 3.250 | % | ||
Shares abstained | 4,962,543.409 | |||
Percentage of outstanding shares | 2.315 | % | ||
Percentage of shares voted | 4.492 | % | ||
Broker non-votes | 11,952,367.277 | |||
Optimum Small-Mid Cap Value Fund | ||||
Shares voted for | 15,759,548.608 | |||
Percentage of outstanding shares | 42.037 | % | ||
Percentage of shares voted | 83.720 | % | ||
Shares voted against | 610,294.665 | |||
Percentage of outstanding shares | 1.628 | % | ||
Percentage of shares voted | 3.243 | % | ||
Shares abstained | 1,206,579.594 | |||
Percentage of outstanding shares | 3.218 | % | ||
Percentage of shares voted | 6.409 | % | ||
Broker non-votes | 1,247,856.069 | |||
Optimum International Fund | ||||
Shares voted for | 18,453,272.996 | |||
Percentage of outstanding shares | 40.550 | % | ||
Percentage of shares voted | 80.201 | % | ||
Shares voted against | 704,677.353 | |||
Percentage of outstanding shares | 1.548 | % | ||
Percentage of shares voted | 3.062 | % | ||
Shares abstained | 1,347,756.567 | |||
Percentage of outstanding shares | 2.962 | % | ||
Percentage of shares voted | 5.857 | % | ||
Broker non-votes | 2,402,182.776 | |||
Optimum Large Cap Growth Fund | ||||
Shares voted for | 35,789,653.205 | |||
Percentage of outstanding shares | 39.359 | % | ||
Percentage of shares voted | 77.360 | % | ||
Shares voted against | 1,400,852.810 | |||
Percentage of outstanding shares | 1.540 | % | ||
Percentage of shares voted | 3.028 | % | ||
Shares abstained | 2,691,597.241 | |||
Percentage of outstanding shares | 2.960 | % | ||
Percentage of shares voted | 5.818 | % | ||
Broker non-votes | 6,381,788.422 |
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Other Fund information
(Unaudited)
Optimum Fund Trust
Proxy Results (continued)
Optimum Large Cap Value Fund | ||||
Shares voted for | 32,530,883.284 | |||
Percentage of outstanding shares | 39.542 | % | ||
Percentage of shares voted | 77.710 | % | ||
Shares voted against | 1,240,466.024 | |||
Percentage of outstanding shares | 1.508 | % | ||
Percentage of shares voted | 2.964 | % | ||
Shares abstained | 2,415,424.621 | |||
Percentage of outstanding shares | 2.936 | % | ||
Percentage of shares voted | 5.769 | % | ||
Broker non-votes | 5,675,607.177 | |||
Optimum Small-Mid Cap Growth Fund | ||||
Shares voted for | 14,554,485.384 | |||
Percentage of outstanding shares | 41.698 | % | ||
Percentage of shares voted | 82.920 | % | ||
Shares voted against | 571,490.351 | |||
Percentage of outstanding shares | 1.637 | % | ||
Percentage of shares voted | 3.256 | % | ||
Shares abstained | 1,100,642.250 | |||
Percentage of outstanding shares | 3.799 | % | ||
Percentage of shares voted | 7.554 | % | ||
Broker non-votes | 1,326,021.299 |
2. To approve the implementation of a new “Manager of Managers” order.
A quorum of the shares outstanding for each Fund was present, and the votes passed with a majority of those shares. The results were as follows:
Optimum Fixed Income Fund | ||||
Shares voted for | 90,340,198.503 | |||
Percentage of outstanding shares | 42.154 | % | ||
Percentage of shares voted | 81.780 | % | ||
Shares voted against | 3,404,584.856 | |||
Percentage of outstanding shares | 1.588 | % | ||
Percentage of shares voted | 3.082 | % | ||
Shares abstained | 4,770,442.645 | |||
Percentage of outstanding shares | 2.226 | % | ||
Percentage of shares voted | 4.319 | % | ||
Broker non-votes | 11,952,367.277 | |||
Optimum Small-Mid Cap Value Fund | ||||
Shares voted for | 15,824,451.892 | |||
Percentage of outstanding shares | 42.210 | % | ||
Percentage of shares voted | 84.065 | % | ||
Shares voted against | 609,254.948 | |||
Percentage of outstanding shares | 1.625 | % | ||
Percentage of shares voted | 3.237 | % | ||
Shares abstained | 1,142,716.027 | |||
Percentage of outstanding shares | 3.048 | % | ||
Percentage of shares voted | 6.070 | % | ||
Broker non-votes | 1,247,856.069 |
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Optimum International Fund | ||||
Shares voted for | 18,453,272.996 | |||
Percentage of outstanding shares | 40.550 | % | ||
Percentage of shares voted | 80.201 | % | ||
Shares voted against | 704,677.353 | |||
Percentage of outstanding shares | 1.548 | % | ||
Percentage of shares voted | 3.062 | % | ||
Shares abstained | 1,448,919.443 | |||
Percentage of outstanding shares | 3.184 | % | ||
Percentage of shares voted | 6.297 | % | ||
Broker non-votes | 2,402,182.776 | |||
Optimum Large Cap Growth Fund | ||||
Shares voted for | 36,016,685.424 | |||
Percentage of outstanding shares | 39.608 | % | ||
Percentage of shares voted | 77.851 | % | ||
Shares voted against | 1,369,182.657 | |||
Percentage of outstanding shares | 1.506 | % | ||
Percentage of shares voted | 2.960 | % | ||
Shares abstained | 2,496,235.175 | |||
Percentage of outstanding shares | 2.745 | % | ||
Percentage of shares voted | 5.395 | % | ||
Broker non-votes | 6,381,788.422 | |||
Optimum Large Cap Value Fund | ||||
Shares voted for | 32,709,089.052 | |||
Percentage of outstanding shares | 39.759 | % | ||
Percentage of shares voted | 78.135 | % | ||
Shares voted against | 1,260,385.079 | |||
Percentage of outstanding shares | 1.532 | % | ||
Percentage of shares voted | 3.011 | % | ||
Shares abstained | 2,217,299.798 | |||
Percentage of outstanding shares | 2.695 | % | ||
Percentage of shares voted | 5.297 | % | ||
Broker non-votes | 5,675,607.177 | |||
Optimum Small-Mid Cap Growth Fund | ||||
Shares voted for | 14,633,262.591 | |||
Percentage of outstanding shares | 41.924 | % | ||
Percentage of shares voted | 83.368 | % | ||
Shares voted against | 562,119.844 | |||
Percentage of outstanding shares | 1.601 | % | ||
Percentage of shares voted | 3.203 | % | ||
Shares abstained | 1,031,235.550 | |||
Percentage of outstanding shares | 2.954 | % | ||
Percentage of shares voted | 5.875 | % | ||
Broker non-votes | 1,326,021.299 |
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Board of trustees and officers addendum
Optimum Fund Trust
A mutual fund is governed by a Board of Trustees, which has oversight responsibility for the management of a fund’s business affairs. Trustees establish procedures and oversee and review the performance of the investment manager, the distributor and others that perform services for the fund. The independent fund trustees, in particular, are advocates for shareholder interests. The following is a list of the Trustees and Officers of the Trust with certain background and related information.
Name, Address, and Age | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund or Officer | Other Directorships Held by Trustee or Officer | |||||
INTERESTED TRUSTEES | ||||||||||
Dan H. Arnold2 | Trustee | September 19, 2012 | President — | 6 | None | |||||
2005 Market Street | to present | LPL Financial LLC | ||||||||
Philadelphia, PA 19103 | (2015-Present) | |||||||||
Age 51 | Chief Financial Officer | |||||||||
LPL Financial LLC | ||||||||||
(2012-2015) | ||||||||||
Managing Director, Head of Strategy — | ||||||||||
LPL Financial LLC | ||||||||||
(2011-2012) | ||||||||||
Divisional President of Institutional | ||||||||||
Services — | ||||||||||
LPL Financial LLC | ||||||||||
(2007-2011) | ||||||||||
Shawn K. Lytle2,4 | Trustee, | Trustee since | Mr. Lytle has served as | 6 | Trustee — | |||||
2005 Market Street | President and Chief | October 14, 2015; | President of | Delaware Investments® | ||||||
Philadelphia, PA 19103 | Executive Officer | President and Chief | Delaware Investments3 | Family of Funds | ||||||
Executive Officer | since June 2015 | (64 funds) | ||||||||
Age 46 | since June 2015 | and was the Regional Head | (September 2015-present) | |||||||
of Americas for UBS Global | ||||||||||
Asset Management | ||||||||||
from 2010 through 2015.
| ||||||||||
INDEPENDENT TRUSTEES | ||||||||||
Robert J. Christian | Chairman | November 1, 2007 | Private Investor | 6 | Trustee — FundVantage | |||||
2005 Market Street | and Trustee | to present | (2006-Present) | Trust (34 mutual funds) | ||||||
Philadelphia, PA 19103 | (2007-present) | |||||||||
Chief Investment Officer | ||||||||||
Age 67 | Wilmington Trust Corporation | |||||||||
(Trust Bank) | ||||||||||
(1996-2006) | ||||||||||
Durant Adams Hunter | Trustee | July 17, 2003 | Managing Partner — Ridgeway Partners | 6 | None | |||||
2005 Market Street | to present | (Executive Recruiting) | ||||||||
Philadelphia, PA 19103 | (2004-Present) | |||||||||
Age 67 | ||||||||||
Pamela J. Moret | Trustee | October 1, 2013 | Private Investor | 6 | Director – Blue Cross | |||||
2005 Market Street | to present | (2015–Present) | Blue Shield of Minnesota | |||||||
Philadelphia, PA 19103 | (2014-present) | |||||||||
Chief Executive Officer — | ||||||||||
Age 60 | brightpeak financial | |||||||||
(2011-June 2015) | ||||||||||
Senior Vice President — | ||||||||||
Thrivent Financial for Lutherans | ||||||||||
(2002-June 2015) |
166
Table of Contents
Name, Address, and Age | Position(s) Held with Fund(s) | Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund or Officer | Other Directorships Held by Trustee or Officer | |||||
INDEPENDENT TRUSTEES (continued) | ||||||||||
Stephen Paul Mullin | Trustee | July 17, 2003 | President — | 6 | None | |||||
2005 Market Street | to present | Econsult Solutions, Inc. | ||||||||
Philadelphia, PA 19103 | (Economic Consulting) | |||||||||
(2013-Present) | ||||||||||
Age 60 | ||||||||||
Senior Vice President — | ||||||||||
Econsult Corporation | ||||||||||
(Economic Consulting) | ||||||||||
(2000-2013) | ||||||||||
Robert A. Rudell | Trustee | July 17, 2003 | Private Investor | 6 | Director and Independent | |||||
2005 Market Street | to present | (2002–Present) | Chairman — | |||||||
Philadelphia, PA 19103 | Heartland Funds | |||||||||
(3 mutual funds) | ||||||||||
Age 67 | (2005-present) | |||||||||
Jon Edward | Trustee | July 17, 2003 | President — H&S | 6 | None | |||||
Socolofsky | to present | Enterprises of Minocqua, LLC | ||||||||
2005 Market Street | (Commercial real estate developer) | |||||||||
Philadelphia, PA 19103 | (2005-Present) | |||||||||
Age 70 | Private Investor | |||||||||
(2002–Present) | ||||||||||
OFFICERS | ||||||||||
David F. Connor | Senior Vice President, | Senior Vice President | Mr. Connor has served in | 6 | None4 | |||||
2005 Market Street | General Counsel, | since May 2013; | various capacities at | |||||||
Philadelphia, PA 19103 | and Secretary | General Counsel | different times at | |||||||
since May 2015; | Delaware Investments3. | |||||||||
Age 52 | Secretary since | |||||||||
October 2005 | ||||||||||
Daniel V. Geatens | Vice President | September 20, 2007 | Mr. Geatens has served in | 6 | None4 | |||||
2005 Market Street | and Treasurer | to present | various capacities at | |||||||
Philadelphia, PA 19103 | different times at | |||||||||
Delaware Investments3. | ||||||||||
Age 43 | ||||||||||
Richard Salus | Senior | January 1, 2006 | Mr. Salus has served in | 6 | None4 | |||||
2005 Market Street | Vice President | to present | various executive capacities | |||||||
Philadelphia, PA 19103 | and | at different times at | ||||||||
Chief Financial | Delaware Investments3. | |||||||||
Age 52
| Officer
|
1 | The term “Fund Complex” refers to the Funds in the Optimum Fund Trust. |
2 | “Interested persons” of the Funds by virtue of their executive and management positions or relationships with the Fund’s service providers or sub-service providers. |
3 | Delaware Investments is the marketing name for Delaware Management Holdings, Inc. and its subsidiaries, including the Trust’s manager, principal underwriter and service agent. |
4 | Messrs. Lytle, Connor, Geatens, and Salus also serve in similar capacities for the Delaware Investments® Family of Funds, a fund complex also managed and distributed by Delaware Investments with 64 funds. |
The Statement of Additional Information for the Funds includes additional information about the Trustees and Officers and is available, without charge, upon request by calling your financial advisor or 800 914-0278.
(continues) 167
Table of Contents
This annual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the fact sheet for the most recently completed calendar quarter. The prospectus sets forth details about charges, expenses, investment objectives, and operating policies of the investment company. You should read the prospectus carefully before you invest. The figures in this report represent past results that are not a guarantee of future results. The return and principal value of an investment in the investment company will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Board of trustees
Dan H. Arnold
President — LPL Financial LLC
Shawn K. Lytle
President — Delaware Investments Philadelphia, PA
Robert J. Christian
Private Investor
Durant Adams Hunter
Managing Partner — Ridgeway Partners
Pamela J. Moret
Private Investor
Stephen Paul Mullin
President — Econsult Solutions, Inc.
Robert A. Rudell
Private Investor
Jon Edward Socolofsky
Private Investor | Affiliated officers
David F. Connor
Senior Vice President, General Counsel, and Secretary Optimum Fund Trust Philadelphia, PA
Daniel V. Geatens
Vice President and Treasurer Optimum Fund Trust Philadelphia, PA
Richard Salus
Senior Vice President and Chief Financial Officer Optimum Fund Trust Philadelphia, PA | Contact information
Investment manager
Delaware Management Company, a series of Delaware Management Business Trust Philadelphia, PA
National distributor
Delaware Distributors, L.P. Philadelphia, PA
Shareholder servicing, dividend disbursing, and transfer agent
Delaware Investments Fund Services Company 2005 Market Street Philadelphia, PA 19103-7094
For shareholders
800 914-0278
For securities dealers and financial institutions representatives only
800 362-7500
Website
optimummutualfunds.com | ||
Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Forms N-Q. Each Fund’s Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities and the Schedules of Investments included in the Funds’ most recent Forms N-Q are available without charge (i) upon request, by calling 800 914-0278; (ii) on the Funds’ website at optimummutualfunds.com; and (iii) on the SEC’s website at sec.gov. Each Fund’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330. | ||||
Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Funds’ website at optimummutualfunds.com; and (ii) on the SEC’s website at sec.gov. |
168
Item 2. Code of Ethics
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. A copy of the registrant’s Code of Business Ethics has been posted on the Delaware Investments Internet Web site at www.delawareinvestments.com/optimum-funds. Any amendments to the Code of Business Ethics, and information on any waiver from its provisions granted by the registrant, will also be posted on this Web site within five business days of such amendment or waiver and will remain on the Web site for at least 12 months.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees/Directors has determined that certain members of the registrant’s Audit Committee are audit committee financial experts, as defined below. For purposes of this item, an “audit committee financial expert” is a person who has the following attributes:
a. An understanding of generally accepted accounting principles and financial statements;
b. The ability to assess the general application of such principles in connection with the accounting for estimates, accruals, and reserves;
c. Experience preparing, auditing, analyzing, or evaluating financial statements that present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements, or experience actively supervising one or more persons engaged in such activities;
d. An understanding of internal controls and procedures for financial reporting; and
e. An understanding of audit committee functions.
An “audit committee financial expert” shall have acquired such attributes through:
a. Education and experience as a principal financial officer, principal accounting officer, controller, public accountant, or auditor or experience in one or more positions that involve the performance of similar functions;
b. Experience actively supervising a principal financial officer, principal accounting officer, controller, public accountant, auditor, or person performing similar functions;
c. Experience overseeing or assessing the performance of companies or public accountants with respect to the preparation, auditing, or evaluation of financial statements; or
d. Other relevant experience.
The registrant’s Board of Trustees/Directors has also determined that each member of the registrant’s Audit Committee is independent. In order to be “independent” for purposes of this item, the Audit Committee member may not: (i) other than in his or her capacity as a member of the Board of Trustees/Directors or any committee thereof, accept directly or indirectly any consulting, advisory or other compensatory fee from the issuer; or (ii) be an “interested person” of the registrant as defined in Section 2(a)(19) of the Investment Company Act of 1940.
The names of the audit committee financial experts on the registrant’s Audit Committee are set forth below:
Robert J. Christian
Robert A. Rudell
Jon E. Socolofsky
Item 4. Principal Accountant Fees and Services
PricewaterhouseCoopers LLP (“PwC”), the Independent Accountant to the series portfolios of Optimum Fund Trust (“Funds”), has advised the Audit Committee of the Board of Trustees of the Funds (“Audit Committee”) that, as of the date of the filing of this Annual Report on Form N-CSR, it is in discussions with the staff of the Securities and Exchange Commission (“SEC Staff”), or the SEC, regarding the interpretation and application of Rule 2-01(c)(1)(ii)(A) of Regulation S-X, or the Loan Rule.
The Loan Rule prohibits accounting firms, such as PwC, from having certain financial relationships with their audit clients and affiliated entities. Specifically, the Loan Rule provides, in relevant part, that an accounting firm generally would not be independent if it receives a loan from a lender that is a “record or beneficial owner of more than ten percent of the audit client’s equity securities.” Under the SEC Staff’s interpretation of the Loan Rule, based on information provided to us by PwC, some of PwC’s relationships with its lenders who also own shares of one or more funds within the Delaware Investments Family of Funds investment company complex (which includes the Funds) implicate the Loan Rule, calling into question PwC’s independence with respect to the Funds. PwC believes that, in light of the facts of these lending relationships, its ability to exercise objective judgment with respect to the audit of the Funds has not been impaired.
The Audit Committee has considered the lending relationships described by PwC and has concluded that (1) the lending relationships did not affect PwC’s application of objective judgment in conducting its audits and issuing reports on the Funds’ financial statements; and (2) a reasonable investor with knowledge of the lending relationships described by PwC would reach the same conclusion. In making this determination, the Audit Committee considered, among other things, PwC’s description of the relevant lending relationships and PwC’s representation that its objectivity was not impaired in conducting its audit of the Funds’ financial statements. In connection with this determination, PwC advised the Audit Committee that it believes PwC is independent and it continues to have discussions with the SEC Staff.
If the SEC were ultimately to determine that PwC was not independent with respect to the Funds for certain time periods, the Funds’ filings with the SEC that contain the Funds’ financial statements for such periods would be non-compliant with the applicable securities laws. If the SEC determines that PwC was not independent, among other things, the Funds could be required to have independent audits conducted on the Funds’ previously audited financial statements by another registered public accounting firm for the affected periods. The time involved to conduct such independent audits may impair the Funds’ ability to issue shares. Any of the foregoing possible outcomes potentially could have a material adverse effect on the Funds.
(a) Audit fees.
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $148,500 for the fiscal year ended March 31, 2016.
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $144,200 for the fiscal year ended March 31, 2015.
(b) Audit-related fees.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended March 31, 2016.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the financial statements of the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $667,000 for the registrant’s fiscal year ended March 31, 2016. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These audit-related services were as follows: year-end audit procedures; reporting up and subsidiary statutory audits.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended March 31, 2015.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the financial statements of the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $612,000 for the registrant’s fiscal year ended March 31, 2015. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These audit-related services were as follows: year-end audit procedures; group reporting and subsidiary statutory audits.
(c) Tax fees.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant were $29,175 for the fiscal year ended March 31, 2016. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These tax-related services were as follows: review of income tax returns and review of annual excise distribution calculations.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2016.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant were $28,325 for the fiscal year ended March 31, 2015. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%. These tax-related services were as follows: review of income tax returns and review of annual excise distribution calculations.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2015.
(d) All other fees.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended March 31, 2016.
The aggregate fees billed for all services other than those set forth in paragraphs (b) and (c) of this Item provided by the registrant’s independent auditors to the registrant’s adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2016. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended March 31, 2015.
The aggregate fees billed for all services other than those set forth in paragraphs (b) and (c) of this Item provided by the registrant’s independent auditors to the registrant’s adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2015. The percentage of these fees relating to services approved by the registrant’s Audit Committee pursuant to the de minimis exception from the pre-approval requirement in Rule 2-01(c)(7)(i)(C) of Regulation S-X was 0%.
(e) The registrant’s Audit Committee has established pre-approval policies and procedures as permitted by Rule 2-01(c)(7)(i)(B) of Regulation S-X (the “Pre-Approval Policy”) with respect to services provided by the registrant’s independent auditors. Pursuant to the Pre-Approval Policy, the Audit Committee has pre-approved the services set forth in the table below with respect to the registrant up to the specified fee limits. Certain fee limits are based on aggregate fees to the registrant and other registrants within the Delaware Investments Family of Funds.
Service | Range of Fees |
Audit Services | |
Statutory audits or financial audits for new Funds | up to $25,000 per Fund |
Services associated with SEC registration statements (e.g., Form N-1A, Form N-14, etc.), periodic reports and other documents filed with the SEC or other documents issued in connection with securities offerings (e.g., comfort letters for closed-end Fund offerings, consents), and assistance in responding to SEC comment letters | up to $10,000 per Fund |
Consultations by Fund management as to the accounting or disclosure treatment of transactions or events and/or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies (Note: Under SEC rules, some consultations may be considered “audit-related services” rather than “audit services”) | up to $25,000 in the aggregate |
Audit-Related Services | |
Consultations by Fund management as to the accounting or disclosure treatment of transactions or events and /or the actual or potential impact of final or proposed rules, standards or interpretations by the SEC, FASB, or other regulatory or standard-setting bodies (Note: Under SEC rules, some consultations may be considered “audit services” rather than “audit-related services”) | up to $25,000 in the aggregate |
Tax Services | |
U.S. federal, state and local and international tax planning and advice (e.g., consulting on statutory, regulatory or administrative developments, evaluation of Funds’ tax compliance function, etc.) | up to $25,000 in the aggregate |
U.S. federal, state and local tax compliance (e.g., excise distribution reviews, etc.) | up to $5,000 per Fund |
Review of federal, state, local and international income, franchise and other tax returns | up to $5,000 per Fund |
Under the Pre-Approval Policy, the Audit Committee has also pre-approved the services set forth in the table below with respect to the registrant’s investment adviser and other entities controlling, controlled by or under common control with the investment adviser that provide ongoing services to the registrant (the “Control Affiliates”) up to the specified fee limit. This fee limit is based on aggregate fees to the investment adviser and its Control Affiliates.
Service | Range of Fees |
Non-Audit Services | |
Services associated with periodic reports and other documents filed with the SEC and assistance in responding to SEC comment letters | up to $10,000 in the aggregate |
The Pre-Approval Policy requires the registrant’s independent auditors to report to the Audit Committee at each of its regular meetings regarding all services initiated since the last such report was rendered, including those services authorized by the Pre-Approval Policy.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s independent auditors for services rendered to the registrant and to its investment adviser and other service providers under common control with the adviser were $10,036,000 and $7,530,526 for the registrant’s fiscal years ended March 31, 2016 and March 31, 2015, respectively.
(h) In connection with its selection of the independent auditors, the registrant’s Audit Committee has considered the independent auditors’ provision of non-audit services to the registrant’s investment adviser and other service providers under common control with the adviser that were not required to be pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X. The Audit Committee has determined that the independent auditors’ provision of these services is compatible with maintaining the auditors’ independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by the report to stockholders included herein (i.e., the registrant’s fourth fiscal quarter) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
(a) (1) Code of Ethics
Not applicable.
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
OPTIMUM FUND TRUST
/s/ SHAWN LYTLE | |||
By: | Shawn Lytle | ||
Title: | President and Chief Executive Officer | ||
Date: | June 3, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ SHAWN LYTLE | |||
By: | Shawn Lytle | ||
Title: | President and Chief Executive Officer | ||
Date: | June 3, 2016 |
/s/ RICHARD SALUS | |||
By: | Richard Salus | ||
Title: | Chief Financial Officer | ||
Date: | June 3, 2016 |