UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-21335 |
Exact name of registrant as specified in charter: | Optimum Fund Trust |
Address of principal executive offices: | 2005 Market Street |
Philadelphia, PA 19103 | |
Name and address of agent for service: | David F. Connor, Esq. |
2005 Market Street | |
Philadelphia, PA 19103 | |
Registrant’s telephone number, including area code: | (800) 523-1918 |
Date of fiscal year end: | March 31 |
Date of reporting period: | September 30, 2019 |
Item 1. Reports to Stockholders
Table of Contents
Semiannual report
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
Optimum Small-Mid Cap Growth Fund |
Optimum Small-Mid Cap Value Fund |
September 30, 2019 |
Beginning on or about June 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your Fund’s shareholder reports will no longer be sent to you by mail, unless you specifically request them from the Fund or from your financial intermediary, such as a broker/dealer, bank, or insurance company. Instead, you will be notified by mail each time a report is posted on the website and provided with a link to access the report. |
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you do not need to take any action. |
You may elect to receive paper copies of all future shareholder reports free of charge. You can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by contacting us at 800 914-0278. If you own these shares through a financial intermediary, you may contact your financial intermediary to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held with the Optimum Funds or your financial intermediary.
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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 prospectuses, which may be obtained by visiting optimummutualfunds.com/literature or calling 800914-0278. Investors should read the prospectus and, if available, the summary prospectus carefully before investing. |
Table of Contents
1 | ||||
Security type / sector / country allocations | 3 | |||
Financial statements | ||||
8 | ||||
69 | ||||
72 | ||||
74 | ||||
77 | ||||
95 | ||||
120 | ||||
124 |
Other than Macquarie Bank Limited (MBL), none of the entities noted 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 MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Funds are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of Sept. 30, 2019, and subject to change for events occurring after such date.
The Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Macquarie Investment Management (MIM) is the marketing name for certain companies comprising the asset management division of Macquarie Group. Investment products and advisory services are distributed and offered by and referred through affiliates which includeDelaware Distributors, L.P. (DDLP), a registered broker/dealer and member of the Financial Industry Regulatory Authority; and Macquarie Investment Management Business Trust (MIMBT), which is a Securities and Exchange Commission-registered investment advisor. Investment advisory services are provided by the series of MIMBT. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
All third-party marks cited are the property of their respective owners.
© 2019 Macquarie Management Holdings, Inc.
Table of Contents
For thesix-month period from April 1, 2019 to September 30, 2019 (Unaudited)
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and service(12b-1) fees; and other Fund expenses. 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 entiresix-month period from April 1, 2019 to Sept. 30, 2019.
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. The Funds’ expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Optimum Fixed Income Fund
Expense analysis of an investment of $1,000
Beginning Account 4/1/19 | Ending Account Value 9/30/19 | Annualized Expense Ratio | Expenses Paid During Period 4/1/19 to 9/30/19* | |||||||||||||
Actual Fund return† |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,047.60 | 1.08 | % | $5.53 | |||||||||
Class C | 1,000.00 | 1,044.40 | 1.83 | % | 9.35 | |||||||||||
Institutional Class | 1,000.00 | 1,049.70 | 0.83 | % | 4.25 | |||||||||||
Hypothetical 5% return(5% return before expenses) |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.60 | 1.08 | % | $5.45 | |||||||||
Class C | 1,000.00 | 1,015.85 | 1.83 | % | 9.22 | |||||||||||
Institutional Class | 1,000.00 | 1,020.85 | 0.83 | % | 4.19 | |||||||||||
Optimum International Fund |
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Expense analysis of an investment of $1,000 |
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Beginning Account Value 4/1/19 | Ending Account Value 9/30/19 | Annualized Expense | Expenses Paid During Period 4/1/19 to 9/30/19* | |||||||||||||
Actual Fund return† |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 994.40 | 1.37 | % | $ 6.83 | |||||||||
Class C | 1,000.00 | 991.00 | 2.12 | % | 10.55 | |||||||||||
Institutional Class | 1,000.00 | 995.30 | 1.12 | % | 5.59 | |||||||||||
Hypothetical 5% return(5% return before expenses) |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.15 | 1.37 | % | $ 6.91 | |||||||||
Class C | 1,000.00 | 1,014.40 | 2.12 | % | 10.68 | |||||||||||
Institutional Class | 1,000.00 | 1,019.40 | 1.12 | % | 5.65 |
(continues) | 1 |
Table of Contents
Disclosure of Fund expenses
Optimum Large Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/19 | Ending Account Value 9/30/19 | Annualized Expense Ratio | Expenses Paid During Period 4/1/19 to 9/30/19* | |||||||||||||
Actual Fund return† |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,032.90 | 1.24 | % | $ 6.30 | |||||||||
Class C | 1,000.00 | 1,029.20 | 1.99 | % | 10.10 | |||||||||||
Institutional Class | 1,000.00 | 1,034.20 | 0.99 | % | 5.03 | |||||||||||
Hypothetical 5% return(5% return before expenses) |
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Class A | $ | 1,000.00 | $ | 1,018.80 | 1.24 | % | $ 6.26 | |||||||||
Class C | 1,000.00 | 1,015.05 | 1.99 | % | 10.02 | |||||||||||
Institutional Class | 1,000.00 | 1,020.05 | 0.99 | % | 5.00 |
Optimum Large Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/19 | Ending Account Value 9/30/19 | Annualized Expense Ratio | Expenses Paid During Period 4/1/19 to 9/30/19* | |||||||||||||
Actual Fund return† |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,065.10 | 1.20 | % | $ 6.20 | |||||||||
Class C | 1,000.00 | 1,060.70 | 1.95 | % | 10.05 | |||||||||||
Institutional Class | 1,000.00 | 1,066.20 | 0.95 | % | 4.91 | |||||||||||
Hypothetical 5% return(5% return before expenses) |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,019.00 | 1.20 | % | $ 6.06 | |||||||||
Class C | 1,000.00 | 1,015.25 | 1.95 | % | 9.82 | |||||||||||
Institutional Class | 1,000.00 | 1,020.25 | 0.95 | % | 4.80 |
OptimumSmall-Mid Cap Growth Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/19 | Ending Account Value 9/30/19 | Annualized Expense Ratio | Expenses Paid During Period 4/1/19 to 9/30/19* | |||||||||||||
Actual Fund return† |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 968.70 | 1.54 | % | $ 7.58 | |||||||||
Class C | 1,000.00 | 965.30 | 2.29 | % | 11.25 | |||||||||||
Institutional Class | 1,000.00 | 969.40 | 1.29 | % | 6.35 | |||||||||||
Hypothetical 5% return(5% return before expenses) |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.30 | 1.54 | % | $ 7.77 | |||||||||
Class C | 1,000.00 | 1,013.55 | 2.29 | % | 11.53 | |||||||||||
Institutional Class | 1,000.00 | 1,018.55 | 1.29 | % | 6.51 |
OptimumSmall-Mid Cap Value Fund
Expense analysis of an investment of $1,000
Beginning Account Value 4/1/19 | Ending Account Value 9/30/19 | Annualized Expense Ratio | Expenses Paid During Period 4/1/19 to 9/30/19* | |||||||||||||
Actual Fund return† |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,029.70 | 1.46 | % | $ 7.41 | |||||||||
Class C | 1,000.00 | 1,025.60 | 2.21 | % | 11.19 | |||||||||||
Institutional Class | 1,000.00 | 1,031.00 | 1.21 | % | 6.14 | |||||||||||
Hypothetical 5% return(5% return before expenses) |
| |||||||||||||||
Class A | $ | 1,000.00 | $ | 1,017.70 | 1.46 | % | $ 7.36 | |||||||||
Class C | 1,000.00 | 1,013.95 | 2.21 | % | 11.13 | |||||||||||
Institutional Class | 1,000.00 | 1,018.95 | 1.21 | % | 6.11 |
* “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 theone-half year period).
†Because actual returns reflect only the most recentsix-month period, the returns shown may differ significantly from fiscal year returns.
In addition to the Funds’ expenses reflected above, each Fund also indirectly bears its portion of the fees and expenses of the investment companies (Underlying Funds) in which it invests, including exchange-traded funds. The tables above do not reflect the expenses of the Underlying Funds.
2
Table of Contents
Security type / sector allocations
Optimum Fixed Income Fund
As of September 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager orsub-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 Asset-Backed Securities | 0.05 | % | ||
Agency Collateralized Mortgage Obligations | 3.09 | % | ||
Agency Commercial Mortgage-Backed Securities | 0.63 | % | ||
Agency Mortgage-Backed Securities | 34.52 | % | ||
Agency Obligation | 0.09 | % | ||
Collateralized Debt Obligations | 2.57 | % | ||
Convertible Bonds | 0.05 | % | ||
Corporate Bonds | 37.88 | % | ||
Banking | 11.01 | % | ||
Basic Industry | 1.66 | % | ||
Brokerage | 0.10 | % | ||
Capital Goods | 1.55 | % | ||
Communications | 4.32 | % | ||
Consumer Cyclical | 2.51 | % | ||
ConsumerNon-Cyclical | 3.42 | % | ||
Energy | 4.32 | % | ||
Finance Companies | 1.45 | % | ||
Industrial | 0.14 | % | ||
Insurance | 0.51 | % | ||
Natural Gas | 0.39 | % | ||
Real Estate Investment Trusts | 0.49 | % | ||
Technology | 2.17 | % | ||
Transportation | 0.75 | % | ||
Utilities | 3.09 | % |
Security type / sector | Percentage of net assets | |||
Municipal Bonds | 0.69 | % | ||
Non-Agency Asset-Backed Securities | 2.90 | % | ||
Non-Agency Collateralized Mortgage Obligations | 1.48 | % | ||
Non-Agency Commercial Mortgage-Backed Securities | 4.59 | % | ||
Regional Bonds | 0.14 | % | ||
Loan Agreements | 1.90 | % | ||
Sovereign Bonds | 1.49 | % | ||
Supranational Bank | 0.04 | % | ||
US Treasury Obligations | 29.48 | % | ||
Common Stock | 0.00 | % | ||
Convertible Preferred Stock | 0.04 | % | ||
Preferred Stock | 0.03 | % | ||
Short-Term Investments | 1.28 | % | ||
Total Value of Securities Before Options Written | 122.94 | % | ||
Options Written | 0.00 | % | ||
Liabilities Net of Receivables and Other Assets | (22.94 | %) | ||
Total Net Assets | 100.00 | % |
(continues) | 3 |
Table of Contents
Security type / country and sector allocations
Optimum International Fund
As of September 30, 2019 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager orsub-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 | 98.88% | |||
Australia | 2.68% | |||
Austria | 1.63% | |||
Belgium | 0.01% | |||
Brazil | 2.42% | |||
Cambodia | 0.08% | |||
Canada | 7.98% | |||
Chile | 0.99% | |||
China/Hong Kong | 10.10% | |||
Colombia | 0.66% | |||
Czech Republic | 0.31% | |||
Denmark | 1.03% | |||
Finland | 0.12% | |||
France | 4.58% | |||
Germany | 3.35% | |||
Greece | 0.02% | |||
Hungary | 0.29% | |||
India | 1.73% | |||
Indonesia | 0.00% | |||
Israel | 3.89% | |||
Italy | 2.21% | |||
Japan | 10.82% | |||
Luxembourg | 0.68% | |||
Malaysia | 0.04% | |||
Mexico | 1.02% | |||
Netherlands | 4.78% | |||
New Zealand | 0.11% | |||
Norway | 2.30% | |||
Philippines | 0.01% | |||
Poland | 0.08% | |||
Portugal | 0.01% | |||
Republic of Korea | 4.73% | |||
Russia | 0.06% | |||
Singapore | 1.26% | |||
South Africa | 0.19% | |||
Spain | 2.44% | |||
Sweden | 0.28% | |||
Switzerland | 4.72% | |||
Taiwan | 4.01% | |||
Thailand | 1.17% | |||
Turkey | 0.61% | |||
United Arab Emirates | 0.11% |
Security type / country | Percentage of net assets | |||
United Kingdom | 8.60% | |||
United States | 6.77% | |||
Preferred Stock | 0.02% | |||
Short-Term Investments | 0.66% | |||
Securities Lending Collateral | 2.44% | |||
Total Value of Securities | 102.00% | |||
Obligation to Return Securities Lending Collateral | (2.44% | ) | ||
Receivables and Other Assets Net of Liabilities | 0.44% | |||
Total Net Assets | 100.00% | |||
Common stock by sector | Percentage of net assets | |||
Communication Services | 4.97% | |||
Consumer Discretionary | 7.70% | |||
Consumer Staples | 6.04% | |||
Energy | 4.24% | |||
Financials1 | 26.67% | |||
Healthcare | 13.52% | |||
Industrials | 7.68% | |||
Information Technology | 14.92% | |||
Materials | 7.38% | |||
Real Estate | 2.06% | |||
Utilities | 3.70% | |||
Total |
|
98.88% |
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1To monitor compliance with Optimum International Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Financials sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended (1940 Act)). The Financials sector for this Fund consisted of Banks, Diversified Financial Services, Holding Companies Diversified, Insurance, Investment Companies, and Private Equity. As of Sept. 30, 2019, such amounts, as percentage of total net assets, were 18.86%, 1.01%, 0.05%, 6.06%, 0.60%, and 0.09%, 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%.
4
Table of Contents
Security type / sector allocations and top 10 equity holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager orsub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Optimum Large Cap Growth Fund
As of September 30, 2019 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock² | 98.04% | |||
Communication Services | 15.96% | |||
Consumer Discretionary | 18.10% | |||
Consumer Staples | 2.77% | |||
Energy | 0.86% | |||
Financials | 3.97% | |||
Healthcare | 12.09% | |||
Industrials | 10.33% | |||
Information Technology1 | 29.95% | |||
Materials | 2.04% | |||
Real Estate | 1.08% | |||
Utilities | 0.89% | |||
Convertible Preferred Stock | 0.48% | |||
Short-Term Investments | 1.29% | |||
Total Value of Securities | 99.81% | |||
Receivables and Other Assets Net of Liabilities | 0.19% | |||
Total Net Assets | 100.00% |
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Amazon.com | 7.15% | |||
Microsoft | 5.51% | |||
Facebook Class A | 5.23% | |||
Visa Class A | 4.16% | |||
Alphabet Class C | 3.11% | |||
Alibaba Group Holding ADR | 2.35% | |||
Alphabet Class A | 2.24% | |||
Boeing | 2.17% | |||
UnitedHealth Group | 2.13% | |||
Walt Disney | 2.04% |
Optimum Large Cap Value Fund
As of September 30, 2019 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock² | 98.40% | |||
Communication Services | 7.73% | |||
Consumer Discretionary | 2.07% | |||
Consumer Staples | 8.21% | |||
Energy | 5.93% | |||
Financials2 | 25.79% | |||
Healthcare | 14.64% | |||
Industrials | 14.01% | |||
Information Technology | 8.13% | |||
Materials | 3.36% | |||
Real Estate | 2.72% | |||
Utilities | 5.81% | |||
Short-Term Investments | 1.48% | |||
Total Value of Securities | 99.88% | |||
Receivables and Other Assets Net of Liabilities | 0.12% | |||
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 | |||
JPMorgan Chase & Co. | 4.30% | |||
Medtronic (Ireland) | 2.70% | |||
Comcast Class A | 2.63% | |||
Northrop Grumman | 2.01% | |||
Verizon Communications | 1.77% | |||
Procter & Gamble | 1.70% | |||
Pfizer | 1.63% | |||
Bank of America | 1.62% | |||
Chevron | 1.61% | |||
Johnson & Johnson | 1.58% |
(continues) | 5 |
Table of Contents
Security type / sector allocations and top 10 equity holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager orsub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
OptimumSmall-Mid Cap Growth Fund
As of September 30, 2019 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock² | 96.05% | |||
Communication Services | 1.03% | |||
Consumer Discretionary | 9.72% | |||
Consumer Staples | 2.33% | |||
Energy | 1.06% | |||
Financials | 7.16% | |||
Healthcare | 22.81% | |||
Industrials | 18.16% | |||
Information Technology3 | 30.34% | |||
Materials | 3.03% | |||
Real Estate | 0.41% | |||
Convertible Preferred Stock | 0.28% | |||
Short-Term Investments | 3.07% | |||
Total Value of Securities | 99.40% | |||
Receivables and Other Assets Net of Liabilities | 0.60% | |||
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 | |||
DexCom | 2.79% | |||
WEX | 1.69% | |||
Ambarella | 1.53% | |||
Keysight Technologies | 1.52% | |||
Zendesk | 1.50% | |||
SVB Financial Group | 1.46% | |||
Clean Harbors | 1.40% | |||
CoStar Group | 1.37% | |||
Tandem Diabetes Care | 1.36% | |||
AAR | 1.33% |
OptimumSmall-Mid Cap Value Fund
As of September 30, 2019 (Unaudited)
Security type / sector | Percentage of net assets | |||
Common Stock² | 98.55% | |||
Communication Services | 1.09% | |||
Consumer Discretionary | 10.75% | |||
Consumer Staples | 3.64% | |||
Energy | 3.68% | |||
Financials4 | 25.15% | |||
Healthcare | 4.62% | |||
Industrials | 14.37% | |||
Information Technology | 11.20% | |||
Materials | 7.61% | |||
Real Estate | 12.50% | |||
Utilities | 3.94% | |||
Short-Term Investments | 1.71% | |||
Total Value of Securities | 100.26% | |||
Liabilities Net of Receivables and Other Assets | (0.26% | ) | ||
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 | |||
Zions Bancorp | 1.94% | |||
TCF Financial | 1.75% | |||
Everest Re Group (Bermuda) | 1.58% | |||
Huntington Ingalls Industries | 1.36% | |||
Washington Federal | 1.32% | |||
IDACORP | 1.32% | |||
Alliant Energy | 1.27% | |||
First Hawaiian | 1.26% | |||
Physicians Realty Trust | 1.26% | |||
Assurant | 1.24% |
6
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, as amended (1940 Act)). The Information Technology sector for this Fund consisted of Commercial Services, Computers, Diversified Financial Services, Internet, Machinery-Diversified, Semiconductors, and Software. As of Sept. 30, 2019, such amounts, as percentage of total net assets, were 0.76%, 1.95%, 5.92%, 0.92%, 0.27%, 3.58%, and 16.55%, 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 Large Cap Value Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Financials sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the 1940 Act). The Financials sector for this Fund consisted of Banks, Commercial Services, Diversified Financial Services, and Insurance. As of Sept. 30, 2019, such amounts, as percentage of total net assets, were 13.83%, 0.40%, 4.37%, and 7.19%, 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%.
3To monitor compliance with OptimumSmall-Mid Cap Growth Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Information Technology (as disclosed herein for financial reporting purposes) are subdivided into a variety of “industries” (in accordance with the requirements of the 1940 Act). The Information Technology sector consisted of Commercial Services, Computers, Electronics, Energy-Alternate Sources, Internet, Semiconductors, Software, and Telecommunications. As of Sept. 30, 2019, such amounts, as percentage of total net assets, were 3.00%, 2.20%, 2.37%, 0.75%, 5.56%, 6.24%, 9.01%, and 1.21%, 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%.
4To monitor compliance with OptimumSmall-Mid Cap Value Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Financials sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the 1940 Act). The Financials sector for this Fund consisted of Banks, Diversified Financial Services, Insurance, Investment Companies, Multi-National, Real Estate Investment Trust, and Savings and Loans. As of Sept. 30, 2019, such amounts, as percentage of total net assets, were 9.73%, 2.36%, 9.27%, 0.61%, 0.08%, 0.75%, and 2.35%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Financials sector for financial reporting purposes may exceed 25%.
(continues) | 7 |
Table of Contents
Optimum Fixed Income Fund
September 30, 2019 (Unaudited)
Principal amount° | Value (US $) | |||||||
Agency Asset-Backed Securities – 0.05% |
| |||||||
SLM Student Loan Trust | ||||||||
Series2003-11 A6 144A 2.669% (LIBOR03M + 0.55%, Floor 0.29%) 12/15/25 #● | 241,785 | $ | 241,859 | |||||
Series2008-9 A 3.776% | ||||||||
(LIBOR03M + 1.50%) 4/25/23● | 854,070 | 859,109 | ||||||
|
| |||||||
Total Agency Asset-Backed | 1,100,968 | |||||||
|
| |||||||
Agency Collateralized Mortgage Obligations – 3.09% |
| |||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series2017-C04 2M2 4.868% (LIBOR01M + 2.85%) 11/25/29 ● | 420,000 | 432,769 | ||||||
Series2018-C02 2M2 4.218% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30● | 630,000 | 634,513 | ||||||
Series2018-C03 1M2 4.168% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30● | 740,000 | 745,671 | ||||||
Series2018-C05 1M2 4.368% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31● | 545,000 | 551,183 | ||||||
Fannie Mae Grantor Trust | ||||||||
Series1999-T2 A1 7.50% 1/19/39● | 6,188 | 6,727 | ||||||
Series2002-T4 A3 7.50% 12/25/41 | 21,821 | 25,403 | ||||||
Series2004-T1 1A2 6.50% 1/25/44 | 5,686 | 6,519 | ||||||
Fannie Mae Interest Strip Series 419 C3 3.00% 11/25/43S | 452,163 | 66,718 | ||||||
Fannie Mae REMIC Trust | ||||||||
Series2004-W4 A5 5.50% 6/25/34 | 100,311 | 100,885 | ||||||
Series2004-W11 1A2 6.50% 5/25/44 | 37,259 | 42,857 | ||||||
Series2004-W15 1A1 6.00% 8/25/44 | 32,271 | 36,332 | ||||||
Fannie Mae REMICs | ||||||||
Series1999-19 PH 6.00% 5/25/29 | 64,753 | 71,528 | ||||||
Series2001-14 Z 6.00% 5/25/31 | 3,795 | 4,144 |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Fannie Mae REMICs | ||||||||
Series2007-30 OE 1.801% 4/25/37W | 2,093,554 | $ | 1,866,258 | |||||
Series2008-15 SB 4.582% (6.60% minus LIBOR01M, Cap 6.60%) 8/25/36S● | 95,984 | 17,799 | ||||||
Series2008-24 ZA 5.00% 4/25/38 | 9,050,393 | 10,067,154 | ||||||
Series2009-2 AS 3.682% (5.70% minus LIBOR01M, Cap 5.70%) 2/25/39S● | 585,006 | 78,359 | ||||||
Series2009-68 SA 4.732% (6.75% minus LIBOR01M, Cap 6.75%) 9/25/39S● | 179,545 | 28,059 | ||||||
Series2011-118 DC 4.00% 11/25/41 | 883,395 | 939,094 | ||||||
Series2012-99 AI 3.50% 5/25/39S | 429,213 | 18,280 | ||||||
Series2012-115 MI 3.50% 3/25/42S | 181,902 | 16,441 | ||||||
Series2012-121 ID 3.00% 11/25/27S | 34,135 | 2,481 | ||||||
Series2012-137 WI 3.50% 12/25/32S | 266,291 | 31,671 | ||||||
Series2013-35 IG 3.00% 4/25/28S | 635,736 | 49,910 | ||||||
Series2013-103 SK 3.902% (5.92% minus LIBOR01M, Cap 5.92%) 10/25/43S● | 1,439,092 | 286,995 | ||||||
Series2015-43 PZ 3.50% 6/25/45 | 488,676 | 509,907 | ||||||
Series2015-89 AZ 3.50% 12/25/45 | 166,931 | 177,897 | ||||||
Series2016-36 SB 3.982% (6.00% minus LIBOR01M, Cap 6.00%) 3/25/43S● | 531,195 | 59,998 | ||||||
Series2016-40 IO 3.50% 7/25/36S | 209,439 | 24,429 | ||||||
Series2016-50 IB 3.00% 2/25/46S | 112,472 | 13,248 | ||||||
Series2016-62 SA 3.982% (6.00% minus LIBOR01M, Cap 6.00%) 9/25/46S● | 1,761,058 | 418,989 | ||||||
Series2016-64 CI 3.50% 7/25/43S | 766,428 | 54,318 |
8
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Fannie Mae REMICs | ||||||||
Series2016-99 DI 3.50% 1/25/46S | 503,975 | $ | 49,764 | |||||
Series2016-105 SA 3.982% (6.00% minus LIBOR01M, Cap 6.00%) 1/25/47S● | 1,062,151 | 189,409 | ||||||
Series2017-4 AI 3.50% 5/25/41S | 765,692 | 34,768 | ||||||
Series2017-4 BI 3.50% 5/25/41S | 471,903 | 26,898 | ||||||
Series2017-6 NI 3.50% 3/25/46S | 95,431 | 7,862 | ||||||
Series2017-12 JI 3.50% 5/25/40S | 412,565 | 33,270 | ||||||
Series2017-16 WI 3.00% 1/25/45S | 387,528 | 28,156 | ||||||
Series2017-25 BL 3.00% 4/25/47 | 157,000 | 158,691 | ||||||
Series2017-40 GZ 3.50% 5/25/47 | 360,171 | 395,271 | ||||||
Series2017-77 HZ 3.50% 10/25/47 | 511,534 | 536,363 | ||||||
Series2017-94 CZ 3.50% 11/25/47 | 320,784 | 336,111 | ||||||
Series2017-95 FA 2.58% (LIBOR01M + 0.35%, Floor 0.35%) 11/25/47● | 543,971 | 542,055 | ||||||
Freddie Mac REMICs | ||||||||
Series 2165 PE 6.00% 6/15/29 | 56,438 | 62,713 | ||||||
Series 3143 BC 5.50% 2/15/36 | 1,396,085 | 1,578,635 | ||||||
Series 3289 SA 4.723% (6.75% minus LIBOR01M, Cap 6.75%) 3/15/37S● | 610,485 | 116,433 | ||||||
Series 4050 EI 4.00% 2/15/39S | 668,227 | 28,342 | ||||||
Series 4150 UI 3.50% 8/15/32S | 1,722,311 | 120,153 | ||||||
Series 4342 CI 3.00% 11/15/33S | 320,505 | 27,955 | ||||||
Series 4504 IO 3.50% 5/15/42S | 351,979 | 18,915 | ||||||
Series 4527 CI 3.50% 2/15/44S | 1,118,458 | 118,941 | ||||||
Series 4543 HI 3.00% 4/15/44S | 466,940 | 44,645 |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Freddie Mac REMICs | ||||||||
Series 4618 SA 3.973% (6.00% minus LIBOR01M, Cap 6.00%) 9/15/46S● | 550,527 | $ | 132,738 | |||||
Series 4625 BI 3.50% 6/15/46S | 1,631,346 | 215,113 | ||||||
Series 4644 GI 3.50% 5/15/40S | 571,048 | 31,837 | ||||||
Series 4648 SA 3.973% (6.00% minus LIBOR01M, Cap 6.00%) 1/15/47S● | 1,210,705 | 234,167 | ||||||
Series 4665 NI 3.50% 7/15/41S | 2,302,683 | 105,041 | ||||||
Series 4667 CI 3.50% 7/15/40S | 63,931 | 2,679 | ||||||
Series 4667 LI 3.50% 10/15/43S | 313,638 | 20,642 | ||||||
Series 4669 QI 3.50% 6/15/41S | 189,174 | 13,125 | ||||||
Series 4673 WI 3.50% 9/15/43S | 697,010 | 34,877 | ||||||
Series 4674 GI 3.50% 10/15/40S | 59,134 | 2,274 | ||||||
Series 4676 KZ 2.50% 7/15/45 | 355,841 | 352,516 | ||||||
Freddie Mac Strips | 538,015 | 90,714 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
Series 2017-DNA1 M2 5.268% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29● | 750,000 | 786,275 | ||||||
Series 2017-DNA3 M2 4.518% (LIBOR01M + 2.50%) 3/25/30● | 315,000 | 321,726 | ||||||
Series 2017-HQA3 M2 4.368% (LIBOR01M + 2.35%) 4/25/30● | 790,000 | 799,185 | ||||||
Series 2018-HQA1 M2 4.318% (LIBOR01M + 2.30%) 9/25/30● | 955,000 | 964,271 | ||||||
Freddie Mac Structured Pass Through Certificates SeriesT-54 2A 6.50% 2/25/43¨ | 12,563 | 15,098 |
(continues) | 9 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Freddie Mac Structured Pass Through Certificates | 5,891 | $ | 6,711 | |||||
GNMA | ||||||||
Series2008-65 SB 3.956% (6.00% minus LIBOR01M, Cap 6.00%) 8/20/38S● | 537,127 | 80,368 | ||||||
Series2009-2 SE 3.776% (5.82% minus LIBOR01M, Cap 5.82%) 1/20/39S● | 1,691,086 | 268,053 | ||||||
Series2011-H21 FT 2.64% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61● | 6,994,363 | 7,021,047 | ||||||
Series2011-H23 FA 2.929% (LIBOR01M + 0.70%, Cap 11.00%, Floor 0.70%) 10/20/61● | 4,665,512 | 4,688,850 | ||||||
Series2012-108 KI 4.00% 8/16/42S | 1,606,133 | 263,204 | ||||||
Series2012-H08 FB 2.829% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 3/20/62● | 818,389 | 820,365 | ||||||
Series2012-H18 NA 2.749% (LIBOR01M + 0.52%, Cap 10.50%, Floor 0.52%) 8/20/62● | 465,536 | 465,730 | ||||||
Series2012-H29 SA 2.744% (LIBOR01M + 0.515%, Cap 12.00%, Floor 0.515%) 10/20/62● | 4,116,128 | 4,120,204 | ||||||
Series2013-113 LY 3.00% 5/20/43 | 173,000 | 180,963 | ||||||
Series2015-74 CI 3.00% 10/16/39S | 835,460 | 64,693 | ||||||
Series2015-142 AI 4.00% 2/20/44S | 224,777 | 16,984 | ||||||
Series2015-H10 FA 2.829% (LIBOR01M + 0.60%, Cap 7.50%) 4/20/65● | 13,082,499 | 13,070,200 | ||||||
Series2015-H11 FC 2.779% (LIBOR01M + 0.55%, Cap 7.50%, Floor 0.55%) 5/20/65● | 1,593,313 | 1,588,852 | ||||||
Series2015-H12 FB 2.829% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 5/20/65● | 6,704,097 | 6,698,073 |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
GNMA | ||||||||
Series2015-H20 FB 2.829% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 8/20/65● | 1,746,863 | $ | 1,745,167 | |||||
Series2015-H30 FD 2.829% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 10/20/65● | 123,943 | 124,303 | ||||||
Series2016-89 QS 4.006% (6.05% minus LIBOR01M, Cap 6.05%) 7/20/46S● | 886,759 | 185,464 | ||||||
Series2016-108 SK 4.006% (6.05% minus LIBOR01M, Cap 6.05%) 8/20/46S● | 1,424,300 | 328,692 | ||||||
Series2016-118 ES 4.056% (6.10% minus LIBOR01M, Cap 6.10%) 9/20/46S● | 911,818 | 193,622 | ||||||
Series2016-126 NS 4.056% (6.10% minus LIBOR01M, Cap 6.10%) 9/20/46S● | 975,621 | 207,984 | ||||||
Series2016-156 PB 2.00% 11/20/46 | 362,000 | 336,080 | ||||||
Series2016-H06 FD 3.149% (LIBOR01M + 0.92%, Cap 7.50%, Floor 0.92%) 7/20/65● | 1,766,825 | 1,785,869 | ||||||
Series2017-18 QI 4.00% 3/16/41S | 892,061 | 102,105 | ||||||
Series2017-18 QS 4.073% (6.10% minus LIBOR01M, Cap 6.10%) 2/16/47S● | 1,129,135 | 217,677 | ||||||
Series2017-34 DY 3.50% 3/20/47 | 230,000 | 252,817 | ||||||
Series2017-56 JZ 3.00% 4/20/47 | 306,402 | 318,497 | ||||||
Series2017-107 QZ 3.00% 8/20/45 | 231,555 | 236,942 | ||||||
Series2017-121 IL 3.00% 2/20/42S | 77,326 | 4,213 | ||||||
Series2017-130 YJ 2.50% 8/20/47 | 270,000 | 275,790 | ||||||
Series2017-134 ES 4.156% (6.20% minus LIBOR01M, Cap 6.20%) 9/20/47S● | 716,214 | 121,139 |
10
Table of Contents
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations (continued) |
| |||||||
GNMA | ||||||||
Series 2017-134 KI 4.00% 5/20/44S | 888,117 | $ | 89,781 | |||||
Series 2017-141 JS 4.156% (6.20% minus LIBOR01M, Cap 6.20%) 9/20/47S● | 1,126,606 | 201,842 | ||||||
Series 2017-144 EI 3.00% 12/20/44S | 1,469,746 | 76,146 | ||||||
Series 2017-163 ZK 3.50% 11/20/47 | 3,521,127 | 3,865,144 | ||||||
Series 2018-13 PZ 3.00% 1/20/48 | 231,265 | 230,971 | ||||||
Series 2018-34 TY 3.50% 3/20/48 | 196,000 | 206,839 | ||||||
Series 2018-37 SA 4.156% (6.20% minus LIBOR01M, Cap 6.20%) 3/20/48S● | 811,954 | 146,848 | ||||||
|
| |||||||
Total Agency Collateralized Mortgage Obligations | 76,572,393 | |||||||
|
| |||||||
Agency Commercial Mortgage-Backed Securities – 0.63% |
| |||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K058 A2 2.653% 8/25/26¨ | 685,000 | 711,393 | ||||||
Series X3FX A2FX 3.00% 6/25/27¨ | 1,070,000 | 1,119,726 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2011-K10 B 144A 4.781% 11/25/49 #● | 550,000 | 561,805 | ||||||
Series 2011-K15 B 144A 5.129% 8/25/44 #● | 75,000 | 78,351 | ||||||
Series 2012-K18 B 144A 4.393% 1/25/45 #● | 1,000,000 | 1,042,258 | ||||||
Series 2012-K22 B 144A 3.812% 8/25/45 #● | 665,000 | 689,910 | ||||||
Series 2013-K24 B 144A 3.622% 11/25/45 #● | 3,675,000 | 3,793,230 | ||||||
Series 2013-K25 C 144A 3.744% 11/25/45 #● | 500,000 | 515,323 | ||||||
Series 2013-K712 B 144A 3.401% 5/25/45 #● | 470,000 | 469,506 | ||||||
Series 2013-K713 B 144A 3.261% 4/25/46 #● | 285,000 | 285,714 | ||||||
Series 2013-K713 C 144A 3.261% 4/25/46 #● | 945,000 | 946,094 |
Principal amount° | Value (US $) | |||||||
Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
FREMF Mortgage Trust | ||||||||
Series 2014-K716 B 144A 4.079% 8/25/47 #● | 500,000 | $ | 513,990 | |||||
Series 2014-K717 B 144A 3.754% 11/25/47 #● | 1,225,000 | 1,255,315 | ||||||
Series 2014-K717 C 144A 3.754% 11/25/47 #● | 1,290,000 | 1,312,881 | ||||||
Series 2015-K48 B 144A 3.762% 8/25/48 #● | 655,000 | 677,442 | ||||||
Series 2015-K721 C 144A 3.681% 11/25/47 #● | 475,000 | 484,469 | ||||||
Series 2016-K53 B 144A 4.157% 3/25/49 #● | 280,000 | 298,557 | ||||||
Series 2016-K722 B 144A 3.973% 7/25/49 #● | 425,000 | 443,622 | ||||||
Series 2017-K71 B 144A 3.882% 11/25/50 #● | 470,000 | 496,504 | ||||||
|
| |||||||
Total Agency Commercial Mortgage-Backed Securities | 15,696,090 | |||||||
|
| |||||||
Agency Mortgage-Backed Securities – 34.52% |
| |||||||
Fannie Mae | ||||||||
5.50% 3/1/37 | 6,472 | 6,887 | ||||||
5.50% 7/1/37 | 12,621 | 12,991 | ||||||
Fannie Mae ARM | 8,673 | 9,123 | ||||||
Fannie Mae S.F. 15 yr | 27 | 27 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
3.00% 4/1/43 | 1,087,448 | 1,120,841 | ||||||
3.00% 11/1/46 | 8,602,147 | 8,813,143 | ||||||
3.00% 7/1/49 | 583,360 | 592,391 | ||||||
3.50% 2/1/48 | 4,182,893 | 4,368,756 | ||||||
3.50% 7/1/48 | 11,487,261 | 11,856,289 | ||||||
3.50% 6/1/49 | 27,984,853 | 28,765,186 | ||||||
4.00% 10/1/40 | 17,900 | 19,125 | ||||||
4.00% 11/1/40 | 103,295 | 110,354 | ||||||
4.00% 3/1/46 | 97,973 | 103,498 | ||||||
4.00% 9/1/48 | 15,426,899 | 16,031,389 | ||||||
4.00% 3/1/49 | 68,703,318 | 71,212,576 | ||||||
4.00% 4/1/49 | 48,459,352 | 50,246,737 | ||||||
4.50% 5/1/35 | 62,975 | 68,112 | ||||||
4.50% 8/1/35 | 111,019 | 120,067 | ||||||
4.50% 9/1/35 | 109,542 | 118,504 | ||||||
4.50% 5/1/39 | 414,847 | 448,879 | ||||||
4.50% 11/1/39 | 348,164 | 381,264 |
(continues) | 11 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Fannie Mae S.F. 30 yr | ||||||||
4.50% 6/1/40 | 376,077 | $ | 407,060 | |||||
4.50% 7/1/40 | 350,858 | 383,138 | ||||||
4.50% 4/1/41 | 67,925 | 73,601 | ||||||
4.50% 5/1/46 | 285,000 | 308,556 | ||||||
4.50% 4/1/48 | 1,563,000 | 1,692,171 | ||||||
4.50% 9/1/48 | 671,678 | 717,480 | ||||||
4.50% 12/1/48 | 2,799,930 | 2,954,021 | ||||||
5.00% 3/1/34 | 1,809 | 1,997 | ||||||
5.00% 4/1/34 | 11,456 | 12,647 | ||||||
5.00% 8/1/34 | 17,116 | 18,899 | ||||||
5.00% 4/1/35 | 4,824 | 5,299 | ||||||
5.00% 12/1/37 | 1,579 | 1,736 | ||||||
5.00% 3/1/38 | 125,539 | 137,969 | ||||||
5.00% 6/1/38 | 4,949 | 5,340 | ||||||
5.00% 2/1/39 | 3,999 | 4,276 | ||||||
5.00% 5/1/40 | 92,188 | 101,898 | ||||||
5.00% 6/1/44 | 795,832 | 883,010 | ||||||
5.00% 7/1/47 | 586,223 | 646,837 | ||||||
5.50% 12/1/33 | 11,522 | 12,630 | ||||||
5.50% 2/1/35 | 258,642 | 292,534 | ||||||
5.50% 5/1/44 | 10,374,709 | 11,717,271 | ||||||
5.50% 8/1/48 | 783,375 | 863,917 | ||||||
6.00% 9/1/36 | 15,145 | 17,034 | ||||||
6.00% 8/1/38 | 31,448 | 34,802 | ||||||
6.00% 12/1/38 | 6,133 | 7,060 | ||||||
6.00% 6/1/41 | 1,952,650 | 2,246,977 | ||||||
6.00% 7/1/41 | 4,114,802 | 4,736,504 | ||||||
6.00% 7/1/41 | 2,417,266 | 2,782,021 | ||||||
6.00% 1/1/42 | 1,711,152 | 1,969,205 | ||||||
6.50% 11/1/33 | 2,406 | 2,680 | ||||||
6.50% 2/1/36 | 31,864 | 36,485 | ||||||
6.50% 3/1/36 | 55,590 | 62,059 | ||||||
6.50% 6/1/36 | 82,735 | 95,373 | ||||||
6.50% 2/1/38 | 19,114 | 21,545 | ||||||
6.50% 11/1/38 | 5,448 | 6,493 | ||||||
Fannie Mae S.F. 30 yr TBA | ||||||||
3.00% 10/1/49 | 6,000,000 | 6,091,407 | ||||||
3.00% 11/1/49 | 24,600,000 | 24,959,391 | ||||||
3.00% 12/1/49 | 144,000,000 | 145,963,930 | ||||||
3.50% 10/1/49 | 1,723,000 | 1,767,758 | ||||||
3.50% 11/1/49 | 108,700,000 | 111,542,755 | ||||||
3.50% 11/1/49 | 75,000,000 | 76,961,425 | ||||||
4.00% 11/1/49 | 183,200,000 | 190,220,281 | ||||||
4.50% 10/1/49 | 6,100,000 | 6,423,586 | ||||||
Freddie Mac ARM | 14,756 | 15,403 |
Principal amount° | Value (US $) | |||||||
Agency Mortgage-Backed Securities (continued) |
| |||||||
Freddie Mac ARM | 149,672 | $ | 160,055 | |||||
Freddie Mac S.F. 20 yr | ||||||||
5.50% 10/1/23 | 14,622 | 15,801 | ||||||
5.50% 8/1/24 | 6,544 | 7,079 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
3.00% 12/1/48 | 19,673,741 | 20,130,278 | ||||||
3.50% 8/1/48 | 146,934 | 151,209 | ||||||
3.50% 9/1/48 | 5,614,485 | 5,786,049 | ||||||
3.50% 11/1/48 | 10,519,663 | 11,051,642 | ||||||
3.50% 10/1/49 | 4,277,000 | 4,395,281 | ||||||
4.50% 8/1/48 | 3,467,113 | 3,707,579 | ||||||
5.00% 12/1/44 | 1,190,915 | 1,315,915 | ||||||
5.50% 6/1/41 | 1,872,514 | 2,114,505 | ||||||
5.50% 9/1/41 | 2,943,004 | 3,324,281 | ||||||
6.00% 7/1/40 | 4,602,244 | 5,296,508 | ||||||
6.50% 11/1/33 | 20,750 | 23,526 | ||||||
6.50% 1/1/35 | 63,054 | 74,154 | ||||||
7.00% 1/1/38 | 18,019 | 20,766 | ||||||
GNMA II S.F. 30 yr | ||||||||
5.50% 5/20/37 | 112,437 | 126,298 | ||||||
6.00% 4/20/34 | 3,619 | 3,937 | ||||||
6.00% 2/20/39 | 117,214 | 131,407 | ||||||
6.00% 10/20/39 | 194,988 | 215,735 | ||||||
6.00% 2/20/40 | 474,201 | 538,559 | ||||||
6.00% 4/20/46 | 146,624 | 161,965 | ||||||
GNMA S.F. 30 yr TBA | 6,000,000 | 6,238,125 | ||||||
|
| |||||||
Total Agency Mortgage-Backed Securities | 856,603,254 | |||||||
|
| |||||||
Agency Obligation – 0.09% |
| |||||||
Federal Home Loan Mortgage 2.25% 11/24/20 | 2,300,000 | 2,311,570 | ||||||
|
| |||||||
Total Agency Obligation | 2,311,570 | |||||||
|
| |||||||
Collateralized Debt Obligations – 2.57% |
| |||||||
AMMC CLO 21 | 2,400,000 | 2,397,725 | ||||||
Apex Credit CLO | 1,275,000 | 1,274,753 |
12
Table of Contents
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) |
| |||||||
Apex Credit CLO Series 2018-1A A2 144A 3.306% (LIBOR03M + 1.03%) 4/25/31 #● | 2,400,000 | $ | 2,323,670 | |||||
Arbor Realty CLO Series 2017-FL3 A 144A 3.018% (LIBOR01M + 0.99%) 12/15/27 #● | 250,000 | 249,923 | ||||||
Arbour CLO IV Series 4A A2R 144A 0.87% (EUR003M + 0.87%, Floor 0.87%) 1/15/30 #● | EUR | 2,600,000 | 2,832,946 | |||||
Atlas Senior Loan Fund X Series 2018-10A A 144A 3.393% (LIBOR03M + 1.09%) 1/15/31 #● | 1,500,000 | 1,491,000 | ||||||
Atrium XII Series 12A AR 144A 3.108% (LIBOR03M + 0.83%) 4/22/27 #● | 2,500,000 | 2,498,750 | ||||||
BlueMountain CLO Series 2015-1A A1R 144A 3.633% (LIBOR03M + 1.33%) 4/13/27 #● | 364,186 | 364,732 | ||||||
Catamaran CLO Series 2013-1A AR 144A 3.106% (LIBOR03M + 0.85%) 1/27/28 #● | 3,500,000 | 3,482,654 | ||||||
CFIP CLO Series 2017-1A A 144A 3.52% (LIBOR03M + 1.22%) 1/18/30 #● | 2,300,000 | 2,294,689 | ||||||
CIFC Funding Series 2015-2A AR 144A 3.083% (LIBOR03M + 0.78%, Floor 0.78%) 4/15/27 #● | 2,031,213 | 2,028,759 | ||||||
Crown Point CLO 5 Series 2018-5A A 144A 3.243% (LIBOR03M + 0.94%) 7/17/28 #● | 400,000 | 398,826 | ||||||
Galaxy XXI CLO Series 2015-21A AR 144A 3.298% (LIBOR03M + 1.02%) 4/20/31 #● | 1,650,000 | 1,633,769 | ||||||
Jamestown CLO IV Series 2014-4A A1CR 144A 2.993% (LIBOR03M + 0.69%) 7/15/26 #● | 546,458 | 545,038 |
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) |
| |||||||
Jamestown CLO VII | 700,000 | $ | 698,756 | |||||
Jamestown CLO VIII | 1,500,000 | 1,498,098 | ||||||
Man GLG US CLO | 3,000,000 | 2,973,306 | ||||||
Marathon CLO V | 1,100,000 | 1,093,728 | ||||||
Mariner CLO 5 | 1,800,000 | 1,789,250 | ||||||
Midocean Credit CLO VIII Series 2018-8A A1 144A 3.286% (LIBOR03M + 1.15%) 2/20/31 #● | 1,750,000 | 1,735,818 | ||||||
Midocean Credit CLO IX Series 2018-9A A1 144A 3.428% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #● | 1,250,000 | 1,239,129 | ||||||
Monarch Grove CLO | 5,100,000 | 5,068,130 | ||||||
Mountain View CLO X | 2,000,000 | 1,998,670 | ||||||
OCP CLO | ||||||||
Series 2015-9A A1R 144A 3.103% (LIBOR03M + 0.80%) 7/15/27 #● | 2,100,000 | 2,098,673 | ||||||
Series 2015-10A A1R 144A 3.087% (LIBOR03M + 0.82%) 10/26/27 #● | 3,200,000 | 3,197,274 | ||||||
Series 2017-13A A1A 144A 3.563% (LIBOR03M + 1.26%) 7/15/30 #● | 1,000,000 | 1,001,079 |
(continues) | 13 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) |
| |||||||
Octagon Investment Partners XIX | 374,350 | $ | 374,329 | |||||
OFSI Fund VI | 176,878 | 176,790 | ||||||
OFSI Fund VII | 1,165,987 | 1,163,710 | ||||||
Sounds Point CLO IV-R | 1,000,000 | 992,070 | ||||||
Staniford Street CLO | 389,173 | 389,792 | ||||||
TICP CLO I | 1,200,000 | 1,197,230 | ||||||
Venture 33 CLO | 1,250,000 | 1,244,561 | ||||||
Venture 34 CLO | 2,500,000 | 2,488,613 | ||||||
Venture XVI CLO | 1,200,000 | 1,197,300 | ||||||
Venture XVII CLO | 400,000 | 399,186 | ||||||
Venture XX CLO | 1,947,914 | 1,945,586 | ||||||
Venture CDO | 490,000 | 489,857 |
Principal amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) |
| |||||||
Voya CLO | 606,896 | $ | 605,541 | |||||
WhiteHorse IX | 227,511 | 227,574 | ||||||
Z Capital Credit Partners CLO | 2,600,000 | 2,593,825 | ||||||
|
| |||||||
Total Collateralized Debt Obligations | 63,695,109 | |||||||
|
| |||||||
Convertible Bonds – 0.05% |
| |||||||
GAIN Capital Holdings 5.00% | 554,000 | 520,186 | ||||||
Huron Consulting Group | 826,000 | 824,745 | ||||||
|
| |||||||
Total Convertible Bonds (cost $1,394,029) | 1,344,931 | |||||||
|
| |||||||
Corporate Bonds – 37.88% |
| |||||||
Banking – 11.01% | ||||||||
Akbank T.A.S. 144A | 840,000 | 787,998 | ||||||
Ally Financial | ||||||||
3.75% 11/18/19 | 100,000 | 100,163 | ||||||
4.125% 3/30/20 | 1,000,000 | 1,008,750 | ||||||
8.00% 3/15/20 | 100,000 | 102,369 | ||||||
Banco Bilbao Vizcaya Argentaria | ||||||||
5.875%µy | EUR 400,000 | 462,286 | ||||||
6.75%µy | EUR 400,000 | 444,717 | ||||||
Banco de Credito del Peru | 375,000 | 375,469 | ||||||
Banco de Credito e Inversiones | 570,000 | 597,574 | ||||||
Banco Mercantil del Norte 144A 6.75%#µy | 315,000 | 315,409 | ||||||
Banco Santander 6.25%µy | EUR 1,300,000 | 1,498,409 | ||||||
Bangkok Bank 144A | 550,000 | 559,194 |
14
Table of Contents
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) |
| |||||||||||
Banking (continued) | ||||||||||||
Bank of America | ||||||||||||
2.625% 4/19/21 | 1,000,000 | $ | 1,009,560 | |||||||||
2.756% (LIBOR03M + 0.65%) 6/25/22● | 1,800,000 | 1,806,830 | ||||||||||
2.938% (LIBOR03M + 0.66%) 7/21/21● | 900,000 | 902,594 | ||||||||||
3.004% 12/20/23 µ | 1,896,000 | 1,937,411 | ||||||||||
3.194% 7/23/30 µ | 1,355,000 | 1,400,019 | ||||||||||
3.30% 1/11/23 | 716,000 | 740,682 | ||||||||||
3.458% 3/15/25 µ | 3,725,000 | 3,888,747 | ||||||||||
3.55% 3/5/24 µ | 2,100,000 | 2,185,037 | ||||||||||
3.864% 7/23/24 µ | 2,200,000 | 2,318,268 | ||||||||||
3.974% 2/7/30 µ | 3,400,000 | 3,725,094 | ||||||||||
4.125% 1/22/24 | 200,000 | 215,593 | ||||||||||
5.875%µy | 900,000 | 975,150 | ||||||||||
Bank of China 144A | 795,000 | 866,726 | ||||||||||
Bank of Georgia 144A | 690,000 | 711,634 | ||||||||||
Bank of Ireland | EUR | 300,000 | 340,410 | |||||||||
Bank of New York Mellon 2.994% (LIBOR03M + | 300,000 | 302,085 | ||||||||||
Bank of Nova Scotia | 4,500,000 | 4,500,517 | ||||||||||
Barclays | ||||||||||||
3.548% (LIBOR03M + | 1,800,000 | 1,792,141 | ||||||||||
4.61% 2/15/23 µ | 1,200,000 | 1,247,217 | ||||||||||
4.972% 5/16/29 µ | 3,000,000 | 3,295,134 | ||||||||||
7.125%µy | GBP | 1,800,000 | 2,349,560 | |||||||||
8.00%µy | 1,000,000 | 1,064,215 | ||||||||||
Barclays Bank | 1,800,000 | 1,985,787 | ||||||||||
BB&T | ||||||||||||
2.50% 8/1/24 | 809,000 | 816,067 | ||||||||||
3.75% 12/6/23 | 1,105,000 | 1,170,085 | ||||||||||
BBVA Bancomer 144A | 351,000 | 384,345 | ||||||||||
BBVA USA | ||||||||||||
2.875% 6/29/22 | 1,220,000 | 1,236,937 | ||||||||||
3.875% 4/10/25 | 1,145,000 | 1,193,243 | ||||||||||
BNP Paribas | ||||||||||||
144A 4.705% 1/10/25 #µ | 1,600,000 | 1,730,635 | ||||||||||
144A 7.375%#µy | 700,000 | 782,849 | ||||||||||
7.375%µy | 500,000 | 559,178 | ||||||||||
Branch Banking & Trust | 1,698,000 | 1,688,201 | ||||||||||
CIT Group 4.125% 3/9/21 | 400,000 | 408,000 |
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) |
| |||||||||||
Banking (continued) | ||||||||||||
Citigroup | ||||||||||||
2.65% 10/26/20 | 3,200,000 | $ | 3,220,083 | |||||||||
3.20% 10/21/26 | 1,000,000 | 1,033,261 | ||||||||||
4.044% 6/1/24 µ | 1,800,000 | 1,902,192 | ||||||||||
4.05% 7/30/22 | 150,000 | 157,090 | ||||||||||
4.075% 4/23/29 µ | 3,400,000 | 3,715,384 | ||||||||||
Citizens Bank | 950,000 | 956,754 | ||||||||||
Cooperatieve Rabobank | ||||||||||||
2.50% 1/19/21 | 500,000 | 503,007 | ||||||||||
2.697% (LIBOR03M + 0.43%) 4/26/21● | 500,000 | 501,929 | ||||||||||
3.75% 7/21/26 | 1,350,000 | 1,401,899 | ||||||||||
4.375% 8/4/25 | 2,000,000 | 2,160,638 | ||||||||||
5.50%µy | EUR | 1,800,000 | 2,024,299 | |||||||||
6.875% 3/19/20 | EUR | 2,500,000 | 2,812,025 | |||||||||
Credit Suisse Group | ||||||||||||
144A 2.593% 9/11/25 #µ | 1,190,000 | 1,179,617 | ||||||||||
144A 3.869% 1/12/29 #µ | 3,720,000 | 3,921,385 | ||||||||||
144A 4.207% 6/12/24 #µ | 1,435,000 | 1,512,303 | ||||||||||
144A 6.25%#µy | 2,035,000 | 2,157,751 | ||||||||||
144A 6.375%#µy | 1,900,000 | 1,971,250 | ||||||||||
Credit Suisse Group Funding Guernsey | ||||||||||||
2.75% 3/26/20 | 2,199,000 | 2,205,204 | ||||||||||
3.125% 12/10/20 | 250,000 | 252,407 | ||||||||||
3.80% 9/15/22 | 3,350,000 | 3,481,762 | ||||||||||
3.80% 6/9/23 | 2,300,000 | 2,403,234 | ||||||||||
DBS Group Holdings 144A | 530,000 | 563,838 | ||||||||||
Deutsche Bank | ||||||||||||
2.70% 7/13/20 | 500,000 | 499,053 | ||||||||||
3.273% (LIBOR03M + 0.97%) 7/13/20● | 100,000 | 99,776 | ||||||||||
4.25% 10/14/21 | 2,000,000 | 2,029,463 | ||||||||||
5.00% 2/14/22 | 3,100,000 | 3,211,138 | ||||||||||
Fifth Third Bancorp | ||||||||||||
3.65% 1/25/24 | 790,000 | 833,358 | ||||||||||
3.95% 3/14/28 | 2,490,000 | 2,728,245 | ||||||||||
Fifth Third Bank | 200,000 | 213,444 | ||||||||||
Goldman Sachs Group | ||||||||||||
2.876% 10/31/22 µ | 300,000 | 303,547 | ||||||||||
2.908% 6/5/23 µ | 600,000 | 608,189 | ||||||||||
3.20% 2/23/23 | 2,200,000 | 2,260,952 | ||||||||||
3.319% (LIBOR03M + 1.20%) 9/15/20● | 1,700,000 | 1,713,371 | ||||||||||
3.328% (LIBOR03M + 1.17%) 11/15/21● | 1,700,000 | 1,713,343 |
(continues) | 15 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||||
Corporate Bonds (continued) |
| |||||||||
Banking (continued) | ||||||||||
Goldman Sachs Group | ||||||||||
3.636% (LIBOR03M + 1.36%) 4/23/21● | 1,300,000 | $ | 1,318,016 | |||||||
4.223% 5/1/29 µ | 4,700,000 | 5,131,388 | ||||||||
6.00% 6/15/20 | 2,440,000 | 2,504,995 | ||||||||
HSBC Bank 144A | 500,000 | 509,076 | ||||||||
HSBC Holdings | ||||||||||
2.65% 1/5/22 | 200,000 | 201,506 | ||||||||
3.124% (LIBOR03M + 1.00%) 5/18/24● | 1,000,000 | 1,004,515 | ||||||||
3.40% 3/8/21 | 400,000 | 406,233 | ||||||||
4.30% 3/8/26 | 200,000 | 216,747 | ||||||||
Intesa Sanpaolo 144A | 1,300,000 | 1,296,152 | ||||||||
JPMorgan Chase & Co. | ||||||||||
2.739% 10/15/30 µ | 950,000 | 945,437 | ||||||||
3.176% (LIBOR03M + 0.90%) 4/25/23● | 1,000,000 | 1,006,283 | ||||||||
3.202% (LIBOR03M + 1.10%) 6/7/21● | 2,900,000 | 2,935,049 | ||||||||
3.22% 3/1/25 µ | 500,000 | 518,205 | ||||||||
3.797% 7/23/24 µ | 900,000 | 950,374 | ||||||||
4.005% 4/23/29 µ | 900,000 | 984,921 | ||||||||
4.023% 12/5/24 µ | 3,720,000 | 3,970,363 | ||||||||
5.00%µy | 1,870,000 | 1,923,763 | ||||||||
JPMorgan Chase Bank | 3,000,000 | 3,001,919 | ||||||||
KeyBank | ||||||||||
2.30% 9/14/22 | 730,000 | 733,983 | ||||||||
3.40% 5/20/26 | 1,995,000 | 2,081,531 | ||||||||
6.95% 2/1/28 | 1,220,000 | 1,533,674 | ||||||||
Lloyds Bank | ||||||||||
2.25% 8/14/22 | 8,400,000 | 8,394,813 | ||||||||
2.40% 3/17/20 | 400,000 | 400,727 | ||||||||
2.70% 8/17/20 | 1,500,000 | 1,510,850 | ||||||||
144A 12.00%#µy | 300,000 | 361,089 | ||||||||
Lloyds Banking Group | 2,900,000 | 2,910,387 | ||||||||
Mitsubishi UFJ Financial Group | ||||||||||
2.19% 9/13/21 | 2,350,000 | 2,347,328 | ||||||||
3.187% (LIBOR03M + 1.06%) 9/13/21● | 1,600,000 | 1,617,880 | ||||||||
3.218% 3/7/22 | 500,000 | 511,743 | ||||||||
3.535% 7/26/21 | 2,500,000 | 2,556,842 |
Principal amount° | Value (US $) | |||||||||||
Corporate Bonds (continued) |
| |||||||||||
Banking (continued) | ||||||||||||
Mitsubishi UFJ Trust & Banking 144A | 500,000 | $ | 503,323 | |||||||||
Mizuho Bank 144A | 1,100,000 | 1,101,539 | ||||||||||
Mizuho Financial Group | 1,900,000 | 1,922,939 | ||||||||||
Morgan Stanley | ||||||||||||
2.50% 4/21/21 | 3,500,000 | 3,523,455 | ||||||||||
2.731% (LIBOR03M + 0.55%) 2/10/21● | 3,000,000 | 3,002,862 | ||||||||||
3.125% 1/23/23 | 400,000 | 410,590 | ||||||||||
3.407% (LIBOR03M + 1.22%) 5/8/24● | 1,610,000 | 1,633,200 | ||||||||||
3.458% (LIBOR03M + 1.18%) 1/20/22● | 200,000 | 201,978 | ||||||||||
3.625% 1/20/27 | 4,000,000 | 4,230,765 | ||||||||||
3.737% 4/24/24 µ | 2,000,000 | 2,089,701 | ||||||||||
5.00% 11/24/25 | 1,355,000 | 1,519,397 | ||||||||||
5.50% 1/26/20 | 480,000 | 485,196 | ||||||||||
Nationwide Building Society | ||||||||||||
144A 3.766% 3/8/24 #µ | 800,000 | 821,987 | ||||||||||
144A 4.302% 3/8/29 #µ | 5,200,000 | 5,572,221 | ||||||||||
PNC Bank | ||||||||||||
2.70% 11/1/22 | 760,000 | 771,303 | ||||||||||
4.05% 7/26/28 | 1,350,000 | 1,488,963 | ||||||||||
PNC Financial Services Group | 2,200,000 | 2,229,456 | ||||||||||
Popular 6.125% 9/14/23 | 440,000 | 480,172 | ||||||||||
Royal Bank of Canada | 2,300,000 | 2,312,353 | ||||||||||
Royal Bank of Scotland Group | ||||||||||||
3.498% 5/15/23 µ | 500,000 | 506,918 | ||||||||||
4.80% 4/5/26 | 5,000,000 | 5,471,463 | ||||||||||
7.50%µy | 700,000 | 716,625 | ||||||||||
8.625%µy | 5,170,000 | 5,549,219 | ||||||||||
Santander UK | ||||||||||||
3.40% 6/1/21 | 500,000 | 508,806 | ||||||||||
3.75% 11/15/21 | 200,000 | 206,539 | ||||||||||
Santander UK Group Holdings | ||||||||||||
3.823% 11/3/28 µ | 3,200,000 | 3,297,534 | ||||||||||
7.375%µy | GBP | 2,200,000 | 2,865,771 | |||||||||
Societe Generale 144A | 3,600,000 | 3,762,222 | ||||||||||
State Bank of India 3.006% | 900,000 | 901,496 |
16
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
Sumitomo Mitsui Financial | 2,300,000 | $ | 2,342,446 | |||||
SunTrust Bank | ||||||||
2.45% 8/1/22 | 1,160,000 | 1,172,927 | ||||||
3.00% 2/2/23 | 585,000 | 599,987 | ||||||
3.30% 5/15/26 | 540,000 | 560,876 | ||||||
SunTrust Banks | ||||||||
2.70% 1/27/22 | 1,105,000 | 1,117,747 | ||||||
4.00% 5/1/25 | 250,000 | 270,459 | ||||||
Toronto-Dominion Bank 3.303% | 950,000 | 962,255 | ||||||
Turkiye Garanti Bankasi 144A | 590,000 | 606,675 | ||||||
UBS | ||||||||
144A 2.682% (LIBOR03M + 0.58%) 6/8/20 #● | 2,800,000 | 2,808,012 | ||||||
5.125% 5/15/24 | 200,000 | 215,785 | ||||||
7.625% 8/17/22 | 500,000 | 564,548 | ||||||
UBS Group 144A | 2,000,000 | 2,016,727 | ||||||
UBS Group Funding Switzerland | ||||||||
144A 3.00% 4/15/21 # | 2,400,000 | 2,429,438 | ||||||
144A 4.083% (LIBOR03M + 1.78%) 4/14/21 #● | 400,000 | 408,470 | ||||||
144A 4.125% 9/24/25 # | 870,000 | 940,767 | ||||||
6.875%µy | 2,445,000 | 2,542,947 | ||||||
7.125%µy | 540,000 | 567,675 | ||||||
UniCredit | ||||||||
144A 6.203% (LIBOR03M + 3.90%) 1/14/22 #● | 2,200,000 | 2,306,000 | ||||||
144A 7.83% 12/4/23 # | 2,900,000 | 3,402,436 | ||||||
US Bancorp | ||||||||
3.00% 7/30/29 | 1,200,000 | 1,239,573 | ||||||
3.375% 2/5/24 | 2,915,000 | 3,070,192 | ||||||
3.60% 9/11/24 | 1,275,000 | 1,357,754 | ||||||
3.95% 11/17/25 | 3,070,000 | 3,378,572 | ||||||
US Bank 3.40% 7/24/23 | 565,000 | 592,541 | ||||||
USB Capital IX 3.50% (LIBOR03M + 1.02%)y● | 1,130,000 | 965,043 | ||||||
Wells Fargo & Co. | ||||||||
2.55% 12/7/20 | 2,800,000 | 2,815,728 | ||||||
3.111% (LIBOR03M + 0.93%) 2/11/22● | 1,300,000 | 1,308,232 | ||||||
3.584% 5/22/28 µ | 5,300,000 | 5,619,147 | ||||||
Wells Fargo Bank 3.325% 7/23/21 µ | 2,250,000 | 2,270,720 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Banking (continued) | ||||||||
Woori Bank 144A | 800,000 | $ | 859,511 | |||||
|
| |||||||
273,220,452 | ||||||||
|
| |||||||
Basic Industry – 1.66% | ||||||||
Alpek 144A 4.25% 9/18/29 # | 425,000 | 428,931 | ||||||
BHP Billiton Finance USA | 2,595,000 | 2,692,364 | ||||||
Braskem Finance | 830,000 | 918,187 | ||||||
Braskem Netherlands Finance | 800,000 | 804,000 | ||||||
CK Hutchison International 17 144A 2.875% 4/5/22 # | 405,000 | 408,967 | ||||||
CSN Resources 144A | 640,000 | 669,600 | ||||||
Cydsa 144A | 545,000 | 557,949 | ||||||
Equate Petrochemical 144A 3.00% 3/3/22 # | 625,000 | 629,129 | ||||||
FMC 3.45% 10/1/29 | 890,000 | 902,814 | ||||||
Freeport-McMoRan | 205,000 | 185,603 | ||||||
Georgia-Pacific | ||||||||
144A 2.539% 11/15/19 # | 500,000 | 500,091 | ||||||
8.00% 1/15/24 | 2,242,000 | 2,761,929 | ||||||
Gold Fields Orogen Holdings BVI 144A | 715,000 | 799,013 | ||||||
Hudbay Minerals 144A | 170,000 | 173,187 | ||||||
Huntsman International | 1,000,000 | 1,066,911 | ||||||
Israel Chemicals 144A | 975,000 | 1,196,969 | ||||||
Joseph T Ryerson & Son 144A 11.00% 5/15/22 # | 160,000 | 169,200 | ||||||
LYB International Finance III 4.20% 10/15/49 | 825,000 | 820,164 | ||||||
Methanex 5.25% 12/15/29 | 750,000 | 754,653 | ||||||
Minera Mexico 144A | 760,000 | 750,500 | ||||||
Newmont Goldcorp | 3,850,000 | 3,808,056 | ||||||
NOVA Chemicals 144A | 226,000 | 231,085 | ||||||
Novelis 144A | 132,000 | 138,270 | ||||||
Novolipetsk Steel Via Steel Funding DAC 144A | 715,000 | 739,672 |
(continues) | 17 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Basic Industry (continued) | ||||||||
OCP | ||||||||
144A 4.50% 10/22/25 # | 755,000 | $ | 795,581 | |||||
144A 6.875% 4/25/44 # | 210,000 | 261,187 | ||||||
Olin | ||||||||
5.00% 2/1/30 | 1,165,000 | 1,171,233 | ||||||
5.625% 8/1/29 | 85,000 | 88,638 | ||||||
Orbia Advance 144A | 915,000 | 924,159 | ||||||
Petkim Petrokimya Holding | 475,000 | 468,525 | ||||||
Phosagro OAO via Phosagro Bond Funding DAC 144A | 685,000 | 699,118 | ||||||
RPM International | 1,655,000 | 1,798,382 | ||||||
SASOL Financing USA | ||||||||
5.875% 3/27/24 | 2,745,000 | 2,967,559 | ||||||
6.50% 9/27/28 | 250,000 | 276,591 | ||||||
Sherwin-Williams | 3,775,000 | 3,792,062 | ||||||
Sociedad Quimica y Minera de Chile 144A | 515,000 | 549,634 | ||||||
Steel Dynamics | 510,000 | 524,688 | ||||||
Suzano Austria | 735,000 | 738,271 | ||||||
Syngenta Finance | ||||||||
144A 3.933% 4/23/21 # | 825,000 | 840,328 | ||||||
144A 4.441% 4/24/23 # | 470,000 | 491,504 | ||||||
144A 5.182% 4/24/28 # | 1,235,000 | 1,314,114 | ||||||
Tronox Finance 144A | 185,000 | 175,889 | ||||||
Usiminas International 144A | 750,000 | 758,213 | ||||||
Vedanta Resources 144A | 510,000 | 504,518 | ||||||
|
| |||||||
41,247,438 | ||||||||
|
| |||||||
Brokerage – 0.10% | ||||||||
Jefferies Group | ||||||||
4.15% 1/23/30 | 780,000 | 780,057 | ||||||
6.45% 6/8/27 | 331,000 | 383,934 | ||||||
6.50% 1/20/43 | 270,000 | 311,836 | ||||||
Lazard Group 3.75% 2/13/25 | 905,000 | 946,643 | ||||||
|
| |||||||
2,422,470 | ||||||||
|
| |||||||
Capital Goods – 1.55% | ||||||||
3M | ||||||||
2.00% 2/14/25 | 1,080,000 | 1,074,194 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Capital Goods (continued) | ||||||||
3M | ||||||||
2.375% 8/26/29 | 525,000 | $ | 521,631 | |||||
3.25% 8/26/49 | 2,625,000 | 2,642,288 | ||||||
Aeropuertos Argentina 2000 144A 6.875% 2/1/27 # | 571,875 | 530,414 | ||||||
Ardagh Packaging Finance | 205,000 | 214,861 | ||||||
Bioceanico Sovereign Certificate 144A | 590,000 | 412,263 | ||||||
BMC East 144A | 250,000 | 260,709 | ||||||
Boise Cascade 144A | 137,000 | 142,309 | ||||||
Bombardier 144A | 310,000 | 311,163 | ||||||
Covanta Holding | 230,000 | 240,637 | ||||||
EnPro Industries | 105,000 | 112,219 | ||||||
General Electric 4.65% 10/17/21 | 89,000 | 92,593 | ||||||
Grupo Cementos de Chihuahua 144A | 530,000 | 551,205 | ||||||
Heathrow Funding 144A 4.875% 7/15/21 # | 200,000 | 208,779 | ||||||
IHS Netherlands Holdco 144A 7.125% 3/18/25 # | 565,000 | 575,594 | ||||||
Ingersoll-Rand Luxembourg | 3,495,000 | 3,724,674 | ||||||
International Airport Finance | 630,000 | 701,663 | ||||||
Klabin Austria 144A | 725,000 | 773,067 | ||||||
L3Harris Technologies | 3,100,000 | 3,100,340 | ||||||
Masco 5.95% 3/15/22 | 304,000 | 327,069 | ||||||
Mauser Packaging Solutions Holding 144A | 460,000 | 476,008 | ||||||
Northrop Grumman | ||||||||
2.55% 10/15/22 | 2,065,000 | 2,094,487 | ||||||
3.25% 8/1/23 | 1,380,000 | 1,438,679 | ||||||
Standard Industries | ||||||||
144A 5.00% 2/15/27 # | 520,000 | 539,656 | ||||||
144A 6.00% 10/15/25 # | 145,000 | 152,752 | ||||||
Textron 2.731% (LIBOR03M + 0.55%) 11/10/20● | 2,900,000 | 2,899,201 |
18
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Capital Goods (continued) | ||||||||
TransDigm 144A | 215,000 | $ | 231,394 | |||||
United Technologies | ||||||||
3.65% 8/16/23 | 1,400,000 | 1,481,823 | ||||||
4.125% 11/16/28 | 2,105,000 | 2,384,082 | ||||||
Waste Management | ||||||||
2.95% 6/15/24 | 1,205,000 | 1,246,789 | ||||||
3.45% 6/15/29 | 7,646,000 | 8,253,687 | ||||||
4.15% 7/15/49 | 599,000 | 701,304 | ||||||
|
| |||||||
38,417,534 | ||||||||
|
| |||||||
Communications – 4.32% | ||||||||
Altice France 144A | 200,000 | 207,150 | ||||||
Altice Luxembourg 144A | 200,000 | 204,750 | ||||||
Amazon.com 3.15% 8/22/27 | 1,700,000 | 1,808,288 | ||||||
AT&T | ||||||||
2.888% (LIBOR03M + 0.75%) 6/1/21● | 2,200,000 | 2,211,209 | ||||||
3.20% 3/1/22 | 100,000 | 102,477 | ||||||
3.253% (LIBOR03M + 0.95%) 7/15/21● | 500,000 | 504,548 | ||||||
3.312% (LIBOR03M + 1.18%) 6/12/24● | 6,100,000 | 6,215,816 | ||||||
3.80% 3/1/24 | 100,000 | 105,824 | ||||||
3.875% 1/15/26 | 535,000 | 568,330 | ||||||
4.10% 2/15/28 | 2,276,000 | 2,466,745 | ||||||
4.35% 3/1/29 | 3,440,000 | 3,804,849 | ||||||
4.85% 7/15/45 | 700,000 | 784,457 | ||||||
Baidu 3.875% 9/29/23 | 565,000 | 588,673 | ||||||
C&W Senior Financing 144A | 615,000 | 650,363 | ||||||
CCO Holdings | ||||||||
144A 5.00% 2/1/28 # | 900,000 | 932,625 | ||||||
144A 5.875% 5/1/27 # | 400,000 | 424,000 | ||||||
Charter Communications Operating | ||||||||
3.579% 7/23/20 | 500,000 | 504,546 | ||||||
4.464% 7/23/22 | 4,330,000 | 4,559,954 | ||||||
5.05% 3/30/29 | 6,220,000 | 6,966,062 | ||||||
5.125% 7/1/49 | 1,760,000 | 1,882,272 | ||||||
Clear Channel Worldwide Holdings 144A | 1,130,000 | 1,244,311 | ||||||
Comcast 3.70% 4/15/24 | 2,970,000 | 3,168,696 | ||||||
Comunicaciones Celulares Via Comcel Trust | 795,000 | 820,837 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) | ||||||||
CSC Holdings | ||||||||
6.75% 11/15/21 | 400,000 | $ | 432,000 | |||||
144A 7.75% 7/15/25 # | 420,000 | 452,634 | ||||||
Digicel Group One 144A | 234,000 | 140,400 | ||||||
Digicel Group Two | ||||||||
144A 8.25% 9/30/22 # | 221,000 | 47,515 | ||||||
144A PIK 9.125% 4/1/24 # | 893,807 | 93,850 | ||||||
Discovery Communications | ||||||||
4.125% 5/15/29 | 2,730,000 | 2,878,346 | ||||||
5.20% 9/20/47 | 4,855,000 | 5,307,940 | ||||||
DISH DBS 5.125% 5/1/20 | 200,000 | 202,750 | ||||||
Fox | ||||||||
144A 3.666% 1/25/22 # | 900,000 | 929,587 | ||||||
144A 4.709% 1/25/29 # | 3,870,000 | 4,420,890 | ||||||
Frontier Communications | 1,058,000 | 1,118,507 | ||||||
Gray Television 144A | 380,000 | 396,150 | ||||||
GTP Acquisition Partners I | 530,000 | 529,863 | ||||||
Millicom International Cellular | 630,000 | 689,598 | ||||||
Sprint | ||||||||
7.125% 6/15/24 | 185,000 | 199,855 | ||||||
7.25% 9/15/21 | 300,000 | 320,880 | ||||||
7.625% 3/1/26 | 200,000 | 221,250 | ||||||
7.875% 9/15/23 | 501,000 | 551,581 | ||||||
Sprint Communications | ||||||||
144A 7.00% 3/1/20 # | 400,000 | 407,500 | ||||||
7.00% 8/15/20 | 260,000 | 269,025 | ||||||
Sprint Spectrum 144A | 1,465,000 | 1,560,972 | ||||||
Telecom Argentina 144A | 650,000 | 570,375 | ||||||
Telefonica Emisiones | 3,185,000 | 3,887,551 | ||||||
Tencent Holdings | ||||||||
144A 3.251% (LIBOR03M + 0.91%) 4/11/24 #● | 200,000 | 200,274 | ||||||
144A 3.28% 4/11/24 # | 645,000 | 663,303 | ||||||
Time Warner Cable | 2,120,000 | 2,707,837 | ||||||
Time Warner Entertainment | 1,415,000 | 1,676,364 | ||||||
T-Mobile USA | 50,000 | 0 |
(continues) | 19 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Communications (continued) |
| |||||||
T-Mobile USA | ||||||||
6.50% 1/15/26 = | 760,000 | $ | 0 | |||||
6.50% 1/15/26 | 540,000 | 581,953 | ||||||
Turk Telekomunikasyon 144A 6.875% 2/28/25 # | 700,000 | 738,269 | ||||||
UPCB Finance IV 144A 5.375% 1/15/25 # | 488,000 | 503,860 | ||||||
Verizon Communications | ||||||||
3.258% (LIBOR03M + 1.10%) 5/15/25● | 3,200,000 | 3,252,057 | ||||||
4.016% 12/3/29 | 2,817,000 | 3,134,537 | ||||||
4.125% 3/16/27 | 1,500,000 | 1,656,920 | ||||||
4.329% 9/21/28 | 3,427,000 | 3,890,522 | ||||||
4.50% 8/10/33 | 5,455,000 | 6,353,191 | ||||||
4.522% 9/15/48 | 315,000 | 372,555 | ||||||
Viacom 4.375% 3/15/43 | 3,095,000 | 3,195,919 | ||||||
Virgin Media Secured Finance 144A 5.25% 1/15/26 # | 730,000 | 752,813 | ||||||
Vodafone Group | ||||||||
3.312% (LIBOR03M + 0.99%) 1/16/24● | 750,000 | 756,950 | ||||||
4.25% 9/17/50 | 965,000 | 987,884 | ||||||
4.875% 6/19/49 | 4,430,000 | 4,956,108 | ||||||
Walt Disney | ||||||||
1.75% 8/30/24 | 1,935,000 | 1,917,497 | ||||||
2.00% 9/1/29 | 1,955,000 | 1,906,368 | ||||||
Zayo Group | ||||||||
144A 5.75% 1/15/27 # | 405,000 | 415,044 | ||||||
6.375% 5/15/25 | 94,000 | 97,154 | ||||||
|
| |||||||
107,073,180 | ||||||||
|
| |||||||
Consumer Cyclical – 2.51% | ||||||||
Allison Transmission 144A 5.875% 6/1/29 # | 175,000 | 190,313 | ||||||
AMC Entertainment Holdings 6.125% 5/15/27 | 405,000 | 368,550 | ||||||
BMW US Capital 144A 3.40% 8/13/21 # | 300,000 | 307,450 | ||||||
Daimler Finance North America | ||||||||
144A 2.00% 7/6/21 # | 400,000 | 397,754 | ||||||
144A 2.20% 10/30/21 # | 200,000 | 199,570 | ||||||
144A 2.611% (LIBOR03M + 0.43%) 2/12/21 #● | 1,400,000 | 1,398,466 | ||||||
144A 2.875% 3/10/21 # | 150,000 | 151,267 | ||||||
144A 3.058% (LIBOR03M + 0.90%) 2/15/22 #● | 1,100,000 | 1,106,067 | ||||||
144A 3.40% 2/22/22 # | 500,000 | 511,698 | ||||||
144A 3.75% 11/5/21 # | 300,000 | 308,531 | ||||||
Dollar Tree 3.70% 5/15/23 | 6,030,000 | 6,258,144 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Cyclical (continued) |
| |||||||
DR Horton 4.00% 2/15/20 | 400,000 | $ | 402,406 | |||||
Ford Motor Credit | ||||||||
3.065% (LIBOR03M + 0.93%) 9/24/20● | 1,900,000 | 1,900,269 | ||||||
3.20% 1/15/21 | 4,200,000 | 4,206,669 | ||||||
3.374% (LIBOR03M + 1.27%) 3/28/22● | 400,000 | 394,660 | ||||||
3.55% 10/7/22 | 1,500,000 | 1,501,115 | ||||||
4.853% (LIBOR03M + 2.55%) 1/7/21● | 1,900,000 | 1,929,422 | ||||||
5.443% (LIBOR03M + 3.14%) 1/7/22● | 1,480,000 | 1,521,673 | ||||||
5.75% 2/1/21 | 700,000 | 723,847 | ||||||
General Motors | ||||||||
6.75% 4/1/46 | 245,000 | 280,546 | ||||||
General Motors Financial | ||||||||
3.161% (LIBOR03M + 0.85%) 4/9/21● | 500,000 | 499,833 | ||||||
4.35% 4/9/25 | 1,530,000 | 1,596,475 | ||||||
5.25% 3/1/26 | 3,000,000 | 3,259,643 | ||||||
Harley-Davidson Financial Services 144A 2.85% 1/15/21 # | 1,300,000 | 1,304,517 | ||||||
Hilton Domestic Operating 5.125% 5/1/26 | 1,000,000 | 1,052,500 | ||||||
Live Nation Entertainment 144A 5.625% 3/15/26 # | 465,000 | 495,806 | ||||||
Lowe’s | ||||||||
4.05% 5/3/47 | 565,000 | 604,511 | ||||||
4.55% 4/5/49 | 6,860,000 | 7,937,473 | ||||||
McDonald’s 2.686% (LIBOR03M + 0.43%) 10/28/21● | 2,600,000 | 2,601,301 | ||||||
MGM Resorts International | ||||||||
5.25% 3/31/20 | 200,000 | 202,750 | ||||||
5.75% 6/15/25 | 620,000 | 685,875 | ||||||
6.625% 12/15/21 | 300,000 | 326,100 | ||||||
6.75% 10/1/20 | 700,000 | 728,000 | ||||||
Murphy Oil USA 5.625% 5/1/27 | 190,000 | 201,400 | ||||||
Nissan Motor Acceptance | ||||||||
144A 2.15% 9/28/20 # | 500,000 | 499,332 | ||||||
144A 2.80% 1/13/22 # | 200,000 | 201,275 | ||||||
144A 3.65% 9/21/21 # | 300,000 | 306,973 | ||||||
144A 3.875% 9/21/23 # | 3,000,000 | 3,137,680 | ||||||
Penn National Gaming 144A 5.625% 1/15/27 # | 505,000 | 522,675 | ||||||
Resorts World Las Vegas 144A 4.625% 4/16/29 # | 700,000 | 736,302 |
20
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Cyclical (continued) |
| |||||||
Royal Caribbean Cruises 3.70% 3/15/28 | 1,440,000 | $ | 1,477,436 | |||||
Sands China 5.40% 8/8/28 | 1,800,000 | 2,031,977 | ||||||
Schaeffler Finance 3.25% 5/15/25 | EUR | 2,600,000 | 2,927,898 | |||||
Scientific Games International | ||||||||
144A 8.25% 3/15/26 # | 430,000 | 459,025 | ||||||
10.00% 12/1/22 | 401,000 | 418,544 | ||||||
Toyota Industries 144A 3.11% 3/12/22 # | 1,600,000 | 1,630,024 | ||||||
Toyota Motor Credit 2.524% (LIBOR03M + 0.40%) 5/17/22● | 400,000 | 400,453 | ||||||
Volkswagen Group of America Finance | ||||||||
144A 3.875% 11/13/20 # | 800,000 | 813,161 | ||||||
144A 4.00% 11/12/21 # | 500,000 | 516,903 | ||||||
Wolverine World Wide 144A 5.00% 9/1/26 # | 400,000 | 403,000 | ||||||
ZF North America Capital 144A 4.00% 4/29/20 # | 250,000 | 251,656 | ||||||
|
| |||||||
62,288,915 | ||||||||
|
| |||||||
Consumer Non-Cyclical – 3.42% |
| |||||||
Abbott Laboratories 3.75% 11/30/26 | 2,400,000 | 2,617,230 | ||||||
AbbVie | ||||||||
2.85% 5/14/23 | 900,000 | 916,210 | ||||||
3.20% 5/14/26 | 500,000 | 509,549 | ||||||
3.75% 11/14/23 | 1,200,000 | 1,262,282 | ||||||
Adani Abbot Point Terminal 144A 4.45% 12/15/22 # | 849,000 | 848,532 | ||||||
Adani Ports & Special Economic Zone 144A 4.375% 7/3/29 # | 475,000 | 496,709 | ||||||
Alcon Finance | ||||||||
144A 2.75% 9/23/26 # | 340,000 | 343,311 | ||||||
144A 3.00% 9/23/29 # | 2,525,000 | 2,561,209 | ||||||
144A 3.80% 9/23/49 # | 835,000 | 880,228 | ||||||
Allergan Finance 3.25% 10/1/22 | 300,000 | 306,598 | ||||||
Allergan Funding | ||||||||
3.00% 3/12/20 | 1,400,000 | 1,404,162 | ||||||
3.45% 3/15/22 | 1,000,000 | 1,025,238 | ||||||
Anheuser-Busch InBev Worldwide 3.65% 2/1/26 | 7,085,000 | 7,597,410 | ||||||
Atento Luxco 1 144A 6.125% 8/10/22 # | 355,000 | 360,769 | ||||||
Bacardi 144A 4.45% 5/15/25 # | 500,000 | 535,209 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) |
| |||||||
BAT International Finance 144A 2.75% 6/15/20 # | 700,000 | $ | 702,167 | |||||
Bausch Health 144A 5.50% 11/1/25 # | 395,000 | 414,790 | ||||||
Becton Dickinson and Co. 3.363% 6/6/24 | 2,000,000 | 2,087,598 | ||||||
Boston Scientific 3.375% 5/15/22 | 800,000 | 823,076 | ||||||
BRF 144A 4.875% 1/24/30 # | 565,000 | 558,785 | ||||||
Bristol-Myers Squibb | ||||||||
144A 2.90% 7/26/24 # | 1,520,000 | 1,569,479 | ||||||
144A 4.25% 10/26/49 # | 4,050,000 | 4,723,242 | ||||||
Central Nippon Expressway 2.079% 11/5/19 | 1,200,000 | 1,199,898 | ||||||
Charles River Laboratories International 144A 5.50% 4/1/26 # | 360,000 | 383,843 | ||||||
Cigna | ||||||||
3.193% (LIBOR03M + 0.89%) 7/15/23● | 830,000 | 832,309 | ||||||
4.125% 11/15/25 | 3,325,000 | 3,585,057 | ||||||
Constellation Brands 3.15% 8/1/29 | 4,355,000 | 4,469,113 | ||||||
Cott Holdings 144A 5.50% 4/1/25 # | 260,000 | 270,733 | ||||||
CVS Health | ||||||||
2.732% (LIBOR03M + 0.63%) 3/9/20● | 230,000 | 230,485 | ||||||
3.25% 8/15/29 | 785,000 | 790,920 | ||||||
3.35% 3/9/21 | 266,000 | 270,397 | ||||||
4.10% 3/25/25 | 505,000 | 539,585 | ||||||
4.30% 3/25/28 | 5,375,000 | 5,818,527 | ||||||
5.05% 3/25/48 | 5,000 | 5,695 | ||||||
CVS Pass Through Trust 144A 5.773% 1/10/33 #t | 74,503 | 85,130 | ||||||
Danone 144A 2.589% 11/2/23 # | 1,500,000 | 1,521,701 | ||||||
Encompass Health | ||||||||
5.75% 11/1/24 | 471,000 | 477,688 | ||||||
5.75% 9/15/25 | 370,000 | 387,889 | ||||||
Equifax 3.028% (LIBOR03M + 0.87%) 8/15/21● | 700,000 | 699,883 | ||||||
Global Payments | ||||||||
2.65% 2/15/25 | 1,645,000 | 1,654,021 | ||||||
3.20% 8/15/29 | 2,455,000 | 2,491,741 | ||||||
Grupo Bimbo 144A 4.00% 9/6/49 # | 560,000 | 531,412 | ||||||
HCA | ||||||||
5.875% 2/15/26 | 595,000 | 666,697 | ||||||
7.58% 9/15/25 | 30,000 | 35,700 |
(continues) | 21 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) |
| |||||||
IHS Markit 3.625% 5/1/24 | 600,000 | $ | 622,410 | |||||
Imperial Brands Finance |
| |||||||
144A 2.95% 7/21/20 # | 700,000 | 702,649 | ||||||
144A 3.75% 7/21/22 # | 470,000 | 484,025 | ||||||
JBS Investments II | ||||||||
144A 5.75% 1/15/28 # | 770,000 | 803,687 | ||||||
144A 7.00% 1/15/26 # | 890,000 | 962,526 | ||||||
JBS USA | ||||||||
144A 5.75% 6/15/25 # | 150,000 | 156,835 | ||||||
144A 5.875% 7/15/24 # | 320,000 | 330,216 | ||||||
Kernel Holding 144A 8.75% 1/31/22 # | 890,000 | 946,649 | ||||||
Kraft Heinz Foods 3.001% (LIBOR03M + 0.82%) 8/10/22● | 300,000 | 300,482 | ||||||
Mars | ||||||||
144A 3.20% 4/1/30 # | 420,000 | 444,828 | ||||||
144A 3.95% 4/1/49 # | 3,670,000 | 4,192,797 | ||||||
MHP 144A 7.75% 5/10/24 # | 520,000 | 558,342 | ||||||
New York and Presbyterian Hospital 4.063% 8/1/56 | 690,000 | 809,119 | ||||||
Pernod Ricard | ||||||||
144A 4.25% 7/15/22 # | 150,000 | 157,967 | ||||||
144A 4.45% 1/15/22 # | 1,200,000 | 1,259,373 | ||||||
144A 5.75% 4/7/21 # | 2,000,000 | 2,105,157 | ||||||
Post Holdings 144A 5.75% 3/1/27 # | 325,000 | 346,190 | ||||||
Prime Security Services Borrower | ||||||||
144A 5.75% 4/15/26 # | 90,000 | 93,942 | ||||||
144A 9.25% 5/15/23 # | 157,000 | 165,348 | ||||||
Rede D’or Finance 144A 4.95% 1/17/28 # | 745,000 | 752,525 | ||||||
Reynolds American 4.00% 6/12/22 | 900,000 | 937,949 | ||||||
Shire Acquisitions Investments Ireland 2.875% 9/23/23 | 300,000 | 306,219 | ||||||
Takeda Pharmaceutical 144A 4.40% 11/26/23 # | 2,235,000 | 2,408,735 | ||||||
Tenet Healthcare 5.125% 5/1/25 | 705,000 | 716,491 | ||||||
Teva Pharmaceutical Finance Netherlands II 1.125% 10/15/24 | EUR | 300,000 | 246,126 | |||||
Teva Pharmaceutical Finance Netherlands III | ||||||||
6.00% 4/15/24 | 1,600,000 | 1,385,000 | ||||||
6.75% 3/1/28 | 720,000 | 593,100 | ||||||
Universal Health Services 144A 5.00% 6/1/26 # | 210,000 | 220,500 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Consumer Non-Cyclical (continued) |
| |||||||
WellCare Health Plans 144A 5.375% 8/15/26 # | 745,000 | $ | 797,001 | |||||
Zimmer Biomet Holdings | ||||||||
3.15% 4/1/22 | 300,000 | 305,902 | ||||||
4.625% 11/30/19 | 1,270,000 | 1,274,582 | ||||||
|
| |||||||
84,878,879 | ||||||||
|
| |||||||
Energy – 4.32% | ||||||||
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | 580,000 | 677,974 | ||||||
ADES International Holding 144A 8.625% 4/24/24 # | 695,000 | 694,131 | ||||||
Antero Midstream Partners 144A 5.75% 3/1/27 # | 1,400,000 | 1,172,472 | ||||||
Chesapeake Energy 8.00% 1/15/25 | 275,000 | 200,063 | ||||||
Crestwood Midstream Partners 5.75% 4/1/25 | 405,000 | 418,163 | ||||||
Diamond Offshore Drilling 7.875% 8/15/25 | 190,000 | 150,100 | ||||||
Ecopetrol 5.875% 9/18/23 | 30,000 | 33,480 | ||||||
Enable Midstream Partners 4.95% 5/15/28 | 700,000 | 727,778 | ||||||
Enbridge | ||||||||
2.738% (LIBOR03M + 0.40%) 1/10/20● | 4,600,000 | 4,600,969 | ||||||
2.819% (LIBOR03M + 0.70%) 6/15/20● | 2,050,000 | 2,053,888 | ||||||
Energy Transfer Operating |
| |||||||
5.25% 4/15/29 | 2,605,000 | 2,941,050 | ||||||
5.50% 6/1/27 | 3,200,000 | 3,619,825 | ||||||
6.25% 4/15/49 | 565,000 | 686,960 | ||||||
6.625%µy | 1,235,000 | 1,168,952 | ||||||
Energy Transfer Partners | ||||||||
5.00% 10/1/22 | 3,525,000 | 3,741,280 | ||||||
5.75% 9/1/20 | 400,000 | 408,930 | ||||||
Enterprise Products Operating | ||||||||
3.125% 7/31/29 | 1,360,000 | 1,393,745 | ||||||
4.20% 1/31/50 | 3,218,000 | 3,455,981 | ||||||
Gazprom OAO Via Gaz Capital 144A 4.95% 3/23/27 # | 465,000 | 503,630 | ||||||
Genesis Energy 6.75% 8/1/22 | 285,000 | 290,230 | ||||||
Geopark 144A 6.50% 9/21/24 # | 655,000 | 676,287 | ||||||
Gran Tierra Energy 144A 7.75% 5/23/27 # | 580,000 | 546,650 | ||||||
Greenko Solar Mauritius 144A 5.95% 7/29/26 # | 1,155,000 | 1,166,097 |
22
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
KazMunayGas National 144A 6.375% 10/24/48 # | 730,000 | $ | 909,049 | |||||
Kinder Morgan Energy Partners | ||||||||
5.00% 10/1/21 | 620,000 | 648,588 | ||||||
6.85% 2/15/20 | 2,000,000 | 2,033,720 | ||||||
Marathon Oil 4.40% 7/15/27 | 2,720,000 | 2,904,605 | ||||||
MPLX | ||||||||
4.00% 3/15/28 | 320,000 | 333,957 | ||||||
4.80% 2/15/29 | 485,000 | 536,375 | ||||||
4.875% 12/1/24 | 2,620,000 | 2,878,134 | ||||||
5.50% 2/15/49 | 3,835,000 | 4,473,825 | ||||||
Murphy Oil 6.875% 8/15/24 | 885,000 | 929,250 | ||||||
Noble Energy | ||||||||
3.25% 10/15/29 | 925,000 | 917,646 | ||||||
3.90% 11/15/24 | 565,000 | 592,742 | ||||||
4.20% 10/15/49 | 685,000 | 675,144 | ||||||
4.95% 8/15/47 | 865,000 | 946,102 | ||||||
5.05% 11/15/44 | 2,085,000 | 2,279,231 | ||||||
NuStar Logistics 5.625% 4/28/27 | 205,000 | 217,300 | ||||||
Oasis Petroleum 144A 6.25% 5/1/26 # | 515,000 | 419,725 | ||||||
Occidental Petroleum | ||||||||
2.90% 8/15/24 | 1,305,000 | 1,316,371 | ||||||
3.50% 8/15/29 | 1,515,000 | 1,539,495 | ||||||
ONEOK | ||||||||
4.35% 3/15/29 | 1,500,000 | 1,606,330 | ||||||
7.50% 9/1/23 | 2,840,000 | 3,324,985 | ||||||
Pertamina Persero 144A 3.65% 7/30/29 # | 475,000 | 488,657 | ||||||
Petrobras Global Finance 144A 5.093% 1/15/30 # | 2,049,517 | 2,140,515 | ||||||
5.999% 1/27/28 | 5,191,000 | 5,785,369 | ||||||
6.125% 1/17/22 | 170,000 | 182,920 | ||||||
6.85% 6/5/15 | 1,700,000 | 1,946,840 | ||||||
6.90% 3/19/49 | 590,000 | 677,910 | ||||||
7.25% 3/17/44 | 600,000 | 719,700 | ||||||
Petroleos Mexicanos | ||||||||
144A 6.49% 1/23/27 # | 4,683,988 | 4,888,444 | ||||||
6.50% 3/13/27 | 390,000 | 406,965 | ||||||
144A 6.84% 1/23/30 # | 3,879,225 | 4,018,683 | ||||||
144A 7.69% 1/23/50 # | 445,000 | 465,159 | ||||||
Precision Drilling 144A 7.125% 1/15/26 # | 165,000 | 153,450 | ||||||
Rio Oil Finance Trust Series 2014-1 9.25% 7/6/24 | 149,037 | 166,923 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Energy (continued) | ||||||||
Sabine Pass Liquefaction | ||||||||
5.625% 3/1/25 | 1,455,000 | $ | 1,636,108 | |||||
5.75% 5/15/24 | 8,456,000 | 9,431,568 | ||||||
6.25% 3/15/22 | 400,000 | 431,124 | ||||||
Saudi Arabian Oil | ||||||||
144A 4.25% 4/16/39 # | 530,000 | 572,789 | ||||||
144A 4.375% 4/16/49 # | 395,000 | 432,475 | ||||||
Schlumberger Holdings 144A 4.30% 5/1/29 # | 2,300,000 | 2,522,081 | ||||||
Sinopec Group Overseas Development 2015 2.50% 4/28/20 | 1,200,000 | 1,200,879 | ||||||
Sinopec Group Overseas Development 2018 144A 2.50% 8/8/24 # | 850,000 | 851,012 | ||||||
Southwestern Energy 7.75% 10/1/27 | 1,405,000 | 1,232,009 | ||||||
Spectra Energy Partners 2.827% (LIBOR03M + 0.70%) 6/5/20● | 500,000 | 500,994 | ||||||
Summit Midstream Holdings 5.75% 4/15/25 | 210,000 | 178,332 | ||||||
Targa Resources Partners 5.375% 2/1/27 | 340,000 | 353,175 | ||||||
Tecpetrol 144A 4.875% 12/12/22 # | 685,000 | 648,181 | ||||||
Transcanada Trust 5.50% 9/15/79 µ | 875,000 | 904,339 | ||||||
Transocean 144A 9.00% 7/15/23 # | 70,000 | 72,887 | ||||||
Transocean Proteus 144A 6.25% 12/1/24 # | 243,750 | 248,625 | ||||||
Transportadora de Gas del Sur 144A 6.75% 5/2/25 # | 520,000 | 458,900 | ||||||
Tullow Oil 144A 7.00% 3/1/25 # | 960,000 | 978,240 | ||||||
Whiting Petroleum 6.625% 1/15/26 | 140,000 | 95,200 | ||||||
Woodside Finance | ||||||||
144A 3.70% 9/15/26 # | 400,000 | 414,115 | ||||||
144A 4.60% 5/10/21 # | 600,000 | 616,714 | ||||||
YPF | ||||||||
144A 8.50% 6/27/29 # | 560,000 | 445,200 | ||||||
144A 51.625% (BADLARPP + 4.00%) 7/7/20 #● | 675,000 | 164,642 | ||||||
|
| |||||||
107,242,333 | ||||||||
|
| |||||||
Finance Companies – 1.45% | ||||||||
AerCap Ireland Capital 3.50% 1/15/25 | 300,000 | 306,391 |
(continues) | 23 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Finance Companies (continued) |
| |||||||
AerCap Ireland Capital | ||||||||
3.65% 7/21/27 | 4,390,000 | $ | 4,476,799 | |||||
4.45% 10/1/25 | 1,200,000 | 1,281,248 | ||||||
4.45% 4/3/26 | 150,000 | 160,424 | ||||||
4.625% 10/30/20 | 1,000,000 | 1,023,831 | ||||||
4.625% 7/1/22 | 1,100,000 | 1,161,965 | ||||||
Air Lease 4.25% 2/1/24 | 900,000 | 954,090 | ||||||
Aviation Capital Group | ||||||||
144A 3.875% 5/1/23 # | 1,000,000 | 1,034,850 | ||||||
144A 4.375% 1/30/24 # | 1,730,000 | 1,823,106 | ||||||
144A 4.875% 10/1/25 # | 1,090,000 | 1,182,153 | ||||||
144A 6.75% 4/6/21 # | 500,000 | 529,978 | ||||||
Avolon Holdings Funding | ||||||||
144A 3.95% 7/1/24 # | 2,340,000 | 2,403,063 | ||||||
144A 4.375% 5/1/26 # | 1,330,000 | 1,376,749 | ||||||
BOC Aviation | ||||||||
144A 2.375% 9/15/21 # | 910,000 | 903,088 | ||||||
2.375% 9/15/21 | 600,000 | 595,442 | ||||||
3.00% 5/23/22 | 300,000 | 301,398 | ||||||
Citicorp Lease Pass Through Trust Series 1999-1 144A 8.04% 12/15/19 #t | 148,754 | 150,472 | ||||||
DAE Funding | ||||||||
144A 5.25% 11/15/21 # | 875,000 | 912,187 | ||||||
144A 5.75% 11/15/23 # | 275,000 | 289,671 | ||||||
GATX 3.007% (LIBOR03M + 0.72%) 11/5/21● | 2,100,000 | 2,106,310 | ||||||
GE Capital International Funding Unlimited 2.342% 11/15/20 | 251,000 | 250,456 | ||||||
Goodman HK Finance 4.375% 6/19/24 | 550,000 | 580,748 | ||||||
International Lease Finance 8.625% 1/15/22 | 1,455,000 | 1,651,955 | ||||||
Nationstar Mortgage Holdings 144A 8.125% 7/15/23 # | 2,000,000 | 2,090,000 | ||||||
Navient 8.00% 3/25/20 | 200,000 | 204,500 | ||||||
NTT Finance 1.90% 7/21/21 | 200,000 | 198,921 | ||||||
ORIX 3.20% 1/19/22 | 500,000 | 510,287 | ||||||
Park Aerospace Holdings Ltd | ||||||||
144A 3.625% 3/15/21 # | 400,000 | 403,920 | ||||||
144A 5.25% 8/15/22 # | 2,000,000 | 2,112,800 | ||||||
SMBC Aviation Capital Finance 144A 3.00% 7/15/22 # | 400,000 | 404,476 | ||||||
Springleaf Finance | ||||||||
6.125% 3/15/24 | 1,500,000 | 1,618,125 | ||||||
8.25% 12/15/20 | 2,600,000 | 2,769,000 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Finance Companies (continued) |
| |||||||
Waha Aerospace 3.925% 7/28/20 | 210,000 | $ | 211,222 | |||||
|
| |||||||
35,979,625 | ||||||||
|
| |||||||
Industrial – 0.14% | ||||||||
Roper Technologies | ||||||||
2.35% 9/15/24 | 715,000 | 716,034 | ||||||
2.95% 9/15/29 | 2,650,000 | 2,662,683 | ||||||
|
| |||||||
3,378,717 | ||||||||
|
| |||||||
Insurance – 0.51% | ||||||||
Acrisure 144A 7.00% 11/15/25 # | 380,000 | 356,174 | ||||||
AIA Group 144A 3.90% 4/6/28 # | 1,000,000 | 1,089,027 | ||||||
Ambac Assurance 144A 5.10% 6/7/20 # | 29,743 | 43,350 | ||||||
Ambac LSNI 144A 7.104% (LIBOR03M + 5.00%) 2/12/23 #● | 127,324 | 128,916 | ||||||
AssuredPartners 144A 7.00% 8/15/25 # | 298,000 | 299,490 | ||||||
Athene Global Funding 144A 3.319% (LIBOR03M + 1.23%) 7/1/22 #● | 700,000 | 708,460 | ||||||
HUB International 144A 7.00% 5/1/26 # | 90,000 | 92,813 | ||||||
Liberty Mutual Group 144A 4.569% 2/1/29 # | 320,000 | 357,438 | ||||||
Marsh & McLennan 4.375% 3/15/29 | 2,535,000 | 2,870,640 | ||||||
MetLife 144A 9.25% 4/8/38 # | 1,100,000 | 1,599,505 | ||||||
MetLife Capital Trust IV 144A 7.875% 12/15/37 # | 300,000 | 394,979 | ||||||
Prudential Financial | ||||||||
3.70% 3/13/51 | 1,660,000 | 1,720,466 | ||||||
5.375% 5/15/45 µ | 765,000 | 812,063 | ||||||
USI 144A 6.875% 5/1/25 # | 1,338,000 | 1,361,388 | ||||||
XLIT 5.50% 3/31/45 | 725,000 | 917,702 | ||||||
|
| |||||||
12,752,411 | ||||||||
|
| |||||||
Natural Gas – 0.39% | ||||||||
AmeriGas Partners 5.875% 8/20/26 | 465,000 | 512,221 | ||||||
Boston Gas 144A 3.001% 8/1/29 # | 390,000 | 402,306 | ||||||
Brooklyn Union Gas 144A 3.865% 3/4/29 # | 2,605,000 | 2,871,760 | ||||||
KazTransGas 144A 4.375% 9/26/27 # | 630,000 | 661,670 |
24
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Natural Gas (continued) | ||||||||
NiSource | ||||||||
2.95% 9/1/29 | 4,377,000 | $ | 4,411,039 | |||||
5.65%my | 875,000 | 880,001 | ||||||
|
| |||||||
9,738,997 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 0.49% |
| |||||||
American Tower | ||||||||
3.00% 6/15/23 | 600,000 | 614,179 | ||||||
3.375% 5/15/24 | 500,000 | 520,508 | ||||||
American Tower Trust #1 | 1,285,000 | 1,306,778 | ||||||
Corporate Office Properties | ||||||||
3.60% 5/15/23 | 690,000 | 703,297 | ||||||
5.25% 2/15/24 | 670,000 | 722,177 | ||||||
Crown Castle International | ||||||||
3.80% 2/15/28 | 2,115,000 | 2,251,710 | ||||||
4.30% 2/15/29 | 1,180,000 | 1,304,229 | ||||||
5.25% 1/15/23 | 1,325,000 | 1,446,582 | ||||||
Equinix 5.375% 5/15/27 | 350,000 | 378,219 | ||||||
Growthpoint Properties | 610,000 | 653,073 | ||||||
Iron Mountain US Holdings | 380,000 | 393,300 | ||||||
MGM Growth Properties Operating Partnership | 145,000 | 162,987 | ||||||
WEA Finance 144A | 1,800,000 | 1,818,568 | ||||||
|
| |||||||
12,275,607 | ||||||||
|
| |||||||
Technology – 2.17% |
| |||||||
Apple 2.20% 9/11/29 | 3,545,000 | 3,485,136 | ||||||
Broadcom | ||||||||
2.20% 1/15/21 | 1,300,000 | 1,295,597 | ||||||
2.65% 1/15/23 | 1,300,000 | 1,299,663 | ||||||
3.00% 1/15/22 | 2,200,000 | 2,222,103 | ||||||
144A 3.125% 4/15/21 # | 4,130,000 | 4,170,708 | ||||||
144A 3.125% 10/15/22 # | 1,000,000 | 1,012,954 | ||||||
3.50% 1/15/28 | 895,000 | 874,033 | ||||||
3.625% 1/15/24 | 1,000,000 | 1,023,815 | ||||||
144A 4.25% 4/15/26 # | 465,000 | 480,786 | ||||||
CDK Global | ||||||||
5.00% 10/15/24 | 840,000 | 896,700 | ||||||
5.875% 6/15/26 | 364,000 | 388,570 | ||||||
CommScope Technologies | 183,000 | 151,890 | ||||||
Dell International | 1,600,000 | 1,650,224 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Technology (continued) | ||||||||
Dell International | ||||||||
144A 4.42% 6/15/21 # | 300,000 | $ | 309,407 | |||||
144A 5.45% 6/15/23 # | 600,000 | 653,745 | ||||||
EMC 2.65% 6/1/20 | 1,900,000 | 1,900,888 | ||||||
Fiserv | ||||||||
3.50% 7/1/29 | 7,710,000 | 8,129,841 | ||||||
3.80% 10/1/23 | 510,000 | 540,102 | ||||||
Infor US 6.50% 5/15/22 | 70,000 | 71,400 | ||||||
International Business Machines | ||||||||
3.00% 5/15/24 | 1,265,000 | 1,309,879 | ||||||
3.30% 5/15/26 | 1,395,000 | 1,473,348 | ||||||
3.50% 5/15/29 | 1,155,000 | 1,241,189 | ||||||
Microchip Technology | ||||||||
3.922% 6/1/21 | 380,000 | 388,264 | ||||||
4.333% 6/1/23 | 2,700,000 | 2,837,517 | ||||||
NXP | ||||||||
144A 3.875% 6/18/26 # | 3,250,000 | 3,422,530 | ||||||
144A 4.125% 6/1/21 # | 5,365,000 | 5,506,677 | ||||||
144A 4.30% 6/18/29 # | 635,000 | 680,514 | ||||||
144A 4.625% 6/15/22 # | 300,000 | 314,424 | ||||||
144A 4.625% 6/1/23 # | 1,000,000 | 1,066,275 | ||||||
144A 4.875% 3/1/24 # | 1,700,000 | 1,845,363 | ||||||
Oracle 2.50% 5/15/22 | 1,200,000 | 1,215,575 | ||||||
Symantec 4.20% 9/15/20 | 2,000,000 | 2,025,490 | ||||||
|
| |||||||
53,884,607 | ||||||||
|
| |||||||
Transportation – 0.75% |
| |||||||
American Airlines 2011-1 Class A Pass Through Trust 5.25% 1/31/21 ¨ | 216,128 | 222,439 | ||||||
American Airlines 2015-1 | 963,338 | 997,874 | ||||||
American Airlines 2016-3 Class AA Pass Through | 1,166,071 | 1,191,205 | ||||||
Ashtead Capital 144A | 400,000 | 426,500 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust 7.25% 11/10/19¨ | 510,989 | 513,365 | ||||||
Delta Air Lines | 500,000 | 513,927 | ||||||
Delta Air Lines 2007-1 Class A Pass Through Trust 6.821% 8/10/22¨ | 206,021 | 226,386 |
(continues) | 25 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Transportation (continued) |
| |||||||
Doric Nimrod Air Finance Alpha 2012-1 Class A Pass Through Trust 144A 5.125% 11/30/22 #¨ | 900,127 | $ | 915,452 | |||||
ERAC USA Finance | ||||||||
144A 2.70% 11/1/23 # | 300,000 | 304,000 | ||||||
144A 4.50% 8/16/21 # | 200,000 | 208,204 | ||||||
FedEx 4.05% 2/15/48 | 5,680,000 | 5,593,240 | ||||||
Kansas City Southern | 500,000 | 512,268 | ||||||
Latam Airlines 2015-1 Pass Through Trust Class A 4.20% 11/15/27¨ | 398,099 | 408,668 | ||||||
Latam Finance 144A | 605,000 | 646,243 | ||||||
Lima Metro Line 2 Finance | 495,000 | 529,031 | ||||||
Penske Truck Leasing | ||||||||
144A 3.95% 3/10/25 # | 1,000,000 | 1,057,069 | ||||||
144A 4.45% 1/29/26 # | 2,100,000 | 2,269,377 | ||||||
United Airlines 2014-1 Class A Pass Through Trust 4.00% 4/11/26¨ | 272,388 | 289,766 | ||||||
United Airlines 2014-2 Class A Pass Through Trust 3.75% 9/3/26¨ | 502,840 | 530,748 | ||||||
United Airlines 2019-1 Class AA Pass Through Trust 4.15% 8/25/31¨ | 150,000 | 163,763 | ||||||
United Rentals North America | 560,000 | 595,700 | ||||||
US Airways 2012-2 Class A Pass Through Trust 4.625% 6/3/25¨ | 435,420 | 471,453 | ||||||
|
| |||||||
18,586,678 | ||||||||
|
| |||||||
Utilities – 3.09% | ||||||||
Aegea Finance 144A | 785,000 | 819,352 | ||||||
AEP Texas 2.40% 10/1/22 | 200,000 | 200,949 | ||||||
AES Andres 144A | 840,000 | 897,750 | ||||||
AES Gener 144A | 605,000 | 636,006 | ||||||
American Electric Power | 300,000 | 300,220 | ||||||
American Transmission Systems 144A | 1,955,000 | 2,083,686 | ||||||
Atlantic City Electric | 590,000 | 662,983 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Utilities (continued) |
| |||||||
Avangrid 3.15% 12/1/24 | 305,000 | $ | 314,644 | |||||
Berkshire Hathaway Energy 3.75% 11/15/23 | 1,145,000 | 1,214,355 | ||||||
Calpine | ||||||||
5.75% 1/15/25 | 92,000 | 94,645 | ||||||
144A 5.875% 1/15/24 # | 145,000 | 148,625 | ||||||
CenterPoint Energy | ||||||||
3.85% 2/1/24 | 1,635,000 | 1,726,449 | ||||||
4.25% 11/1/28 | 2,448,000 | 2,692,869 | ||||||
Cleveland Electric Illuminating | 275,000 | 314,857 | ||||||
ComEd Financing III | 680,000 | 737,800 | ||||||
Consolidated Edison Co. of New York 2.506% | 500,000 | 501,835 | ||||||
Duke Energy | ||||||||
144A 2.675% (LIBOR03M + 0.50%) 5/14/21 #● | 3,300,000 | 3,314,203 | ||||||
4.875%µy | 1,580,000 | 1,618,907 | ||||||
Duke Energy Indiana | 805,000 | 804,871 | ||||||
Emera 6.75% 6/15/76 µ | 132,000 | 145,071 | ||||||
Empresas Publicas de Medellin 144A | 560,000 | 590,184 | ||||||
Enel Finance International | 1,100,000 | 1,114,976 | ||||||
Engie Energia Chile 144A | 200,000 | 214,500 | ||||||
Entergy 4.00% 7/15/22 | 300,000 | 313,229 | ||||||
Entergy Arkansas | ||||||||
3.75% 2/15/21 | 200,000 | 203,835 | ||||||
4.20% 4/1/49 | 935,000 | 1,084,694 | ||||||
Entergy Louisiana | ||||||||
4.00% 3/15/33 | 95,000 | 108,570 | ||||||
4.95% 1/15/45 | 235,000 | 254,297 | ||||||
Entergy Mississippi | 1,515,000 | 1,692,042 | ||||||
Entergy Texas | 700,000 | 731,344 | ||||||
Evergy | ||||||||
2.90% 9/15/29 | 1,570,000 | 1,561,219 | ||||||
4.85% 6/1/21 | 150,000 | 155,306 | ||||||
Exelon | ||||||||
2.45% 4/15/21 | 200,000 | 200,885 | ||||||
3.497% 6/1/22 | 1,075,000 | 1,103,487 | ||||||
3.95% 6/15/25 | 670,000 | 719,044 | ||||||
FirstEnergy 2.85% 7/15/22 | 200,000 | 203,113 |
26
Table of Contents
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Utilities (continued) |
| |||||||
FirstEnergy Transmission 144A 4.55% 4/1/49 # | 440,000 | $ | 518,739 | |||||
Infraestructura Energetica Nova 144A | 595,000 | 571,200 | ||||||
Interstate Power & Light | 2,910,000 | 3,210,047 | ||||||
Israel Electric 144A | 425,000 | 468,775 | ||||||
Kallpa Generacion 144A | 870,000 | 904,809 | ||||||
Kansas City Power & Light | 1,350,000 | 1,445,578 | ||||||
LG&E &KU Energy | 1,555,000 | 1,606,191 | ||||||
Louisville Gas & Electric | 3,120,000 | 3,674,843 | ||||||
Mong Duong Finance Holdings 144A | 745,000 | 762,423 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
4.75% 4/30/43 µ | 315,000 | 321,437 | ||||||
5.25% 4/20/46 µ | 314,000 | 335,233 | ||||||
Nevada Power | 970,000 | 974,200 | ||||||
New York State Electric & Gas 144A 3.25% 12/1/26 # | 1,015,000 | 1,056,153 | ||||||
NextEra Energy Capital Holdings | ||||||||
2.403% 9/1/21 | 1,700,000 | 1,711,222 | ||||||
2.90% 4/1/22 | 2,315,000 | 2,359,027 | ||||||
3.15% 4/1/24 | 1,115,000 | 1,152,596 | ||||||
3.20% 2/25/22 | 400,000 | 409,203 | ||||||
5.65% 5/1/79 µ | 265,000 | 288,146 | ||||||
NV Energy 6.25% 11/15/20 | 825,000 | 861,839 | ||||||
PacifiCorp 3.50% 6/15/29 | 2,785,000 | 3,039,606 | ||||||
Pedernales Electric Cooperative 144A | 620,000 | 762,563 | ||||||
Pennsylvania Electric | 280,000 | 284,122 | ||||||
Perusahaan Listrik Negara | ||||||||
144A 4.125% 5/15/27 # | 300,000 | 317,421 | ||||||
144A 5.25% 5/15/47 # | 410,000 | 467,243 | ||||||
Puget Energy | 3,800,000 | 3,979,567 | ||||||
Sempra Energy | 2,050,000 | 2,043,891 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) |
| |||||||
Utilities (continued) |
| |||||||
Sempra Energy | 451,000 | $ | 450,637 | |||||
Southern California Edison | ||||||||
4.00% 4/1/47 | 880,000 | 948,258 | ||||||
4.20% 3/1/29 | 1,050,000 | 1,172,525 | ||||||
4.875% 3/1/49 | 2,330,000 | 2,794,325 | ||||||
Southern Power 144A | 1,700,000 | 1,700,173 | ||||||
Southwestern Electric Power 4.10% 9/15/28 | 4,110,000 | 4,555,559 | ||||||
State Grid Overseas Investment 2016 144A 2.25% 5/4/20 # | 645,000 | 644,772 | ||||||
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | 525,000 | 558,559 | ||||||
Vistra Operations 144A | 715,000 | 749,821 | ||||||
|
| |||||||
76,581,505 | ||||||||
|
| |||||||
Total Corporate Bonds |
| 939,969,348 | ||||||
|
| |||||||
Municipal Bonds – 0.69% |
| |||||||
American Municipal Power, Ohio (Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | 1,500,000 | 2,688,225 | ||||||
California State Various Purposes | ||||||||
(Build America Bonds) 7.55% 4/1/39 | 395,000 | 654,317 | ||||||
(High-Speed Passenger Train Bonds) Series C 2.796% (LIBOR01M + 0.78%) 4/1/47● | 1,250,000 | 1,253,750 | ||||||
Chicago, Illinois Transit Authority | ||||||||
(Pension Funding) Series A 6.899% 12/1/40 | 1,800,000 | 2,522,142 | ||||||
(Retiree Health Care Funding) Series B 6.899% 12/1/40 | 1,800,000 | 2,529,648 | ||||||
Municipal Electric Authority of Georgia (Build America Bonds Plant Vogtle Units 3 & 4 Project) 6.655% 4/1/57 | 1,785,000 | 2,549,391 |
(continues) | 27 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Municipal Bonds (continued) |
| |||||||
New Jersey Transportation Trust Fund Authority (Build America Bonds) Series C 5.754% 12/15/28 | 1,590,000 | $ | 1,857,295 | |||||
New York City, New York Transitional Finance Authority Future Tax Secured Revenue (Build America Bonds) Subordinate Series A-1 5.508% 8/1/37 | 700,000 | 925,190 | ||||||
New York State Urban Development (Build America Bonds) | 800,000 | 993,640 | ||||||
Oregon State Taxable Pension 5.892% 6/1/27 | 30,000 | 36,514 | ||||||
Pennsylvania Higher Education Assistance Agency Revenue (Student Loans) Series 2006-2 A3 2.405% (LIBOR03M + 0.13%) 10/25/36● | 492,891 | 489,816 | ||||||
South Carolina Public Service Authority (Santee Cooper) | 145,000 | 184,465 | ||||||
Texas Water Development Board State Water Implementation (Master Trust) 5.00% 10/15/46 | 305,000 | 362,547 | ||||||
|
| |||||||
Total Municipal Bonds | 17,046,940 | |||||||
|
| |||||||
Non-Agency Asset-Backed Securities – 2.90% |
| |||||||
ABFC Trust Series 2006-HE1 A2D 2.238% (LIBOR01M + 0.22%, Floor 0.22%) 1/25/37● | 351,079 | 238,671 | ||||||
American Express Credit Account Master Trust | ||||||||
Series 2018-5 A 2.368% (LIBOR01M + 0.34%) 12/15/25● | 530,000 | 530,716 | ||||||
Series 2018-9 A 2.408% (LIBOR01M + 0.38%) 4/15/26● | 600,000 | 599,701 |
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
American Express Credit Account Master Trust Series 2019-2 A 2.67% 11/15/24 | 1,000,000 | $ | 1,020,048 | |||||
Argent Securities Trust | ||||||||
Series 2006-M1 A2C 2.168% (LIBOR01M + 0.15%, Floor 0.15%) 7/25/36● | 1,252,600 | 524,912 | ||||||
Series 2006-W4 A2C 2.178% (LIBOR01M + 0.16%, Floor 0.16%) 5/25/36● | 658,897 | 245,838 | ||||||
Barclays Dryrock Issuance Trust Series 2017-1 A 2.358% (LIBOR01M + 0.33%, Floor 0.33%) 3/15/23● | 220,000 | 220,212 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
Series 2005-FR1 M2 3.023% (LIBOR01M + 1.005%, Floor 0.67%) 6/25/35● | 1,834,171 | 1,831,658 | ||||||
Series 2007-HE2 1A2 2.188% (LIBOR01M + 0.17%, Floor 0.17%) 3/25/37● | 169,010 | 261,721 | ||||||
Bear Stearns Asset-Backed Securities Trust Series 2007-SD1 22A1 3.477% 10/25/36● | 146,320 | 99,201 | ||||||
Bear Stearns Second Lien Trust Series 2007-SV1A M2 144A 3.368% (LIBOR01M + 1.35%, Cap 11.00%, Floor 0.90%) 1/25/36 #● | 724,840 | 713,661 | ||||||
Business Jet Securities Series 2018-2 A 144A 4.447% 6/15/33 # | 765,056 | 778,559 | ||||||
Centex Home Equity Loan Trust Series 2002-A AF6 5.54% 1/25/32 | 666 | 679 | ||||||
Chase Issuance Trust Series 2017-A1 A 2.328% (LIBOR01M + 0.30%) 1/15/22● | 920,000 | 920,505 |
28
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Citibank Credit Card Issuance Trust Series 2017-A5 A5 2.666% (LIBOR01M + 0.62%, Floor 0.62%) 4/22/26● | 360,000 | $ | 362,659 | |||||
Citicorp Residential Mortgage Trust Series 2006-3 A5 5.192% 11/25/36● | 896,785 | 920,350 | ||||||
CNH Equipment Trust | ||||||||
Series 2019-A A2 2.96% 5/16/22 | 1,600,000 | 1,607,682 | ||||||
Series 2019-B A2 2.55% 9/15/22 | 2,675,000 | 2,685,159 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
Series 2004-3 2A 2.418% (LIBOR01M + 0.40%, Floor 0.20%) 8/25/34● | 54,618 | 54,227 | ||||||
Series 2006-1 AF6 4.747% 7/25/36● | 190,680 | 195,016 | ||||||
Series 2006-26 2A4 2.238% (LIBOR01M + 0.22%, Floor 0.22%) 6/25/37● | 2,000,000 | 1,948,251 | ||||||
Series 2007-6 2A4 2.328% (LIBOR01M + 0.31%, Floor 0.31%) 9/25/37● | 940,311 | 708,088 | ||||||
CWABS Asset-Backed Certificates Trust | ||||||||
Series 2005-3 MV7 3.968% (LIBOR01M + 1.95%, Floor 1.30%) 8/25/35● | 4,200,000 | 4,235,638 | ||||||
Series 2005-7 MV3 2.598% (LIBOR01M + 0.58%, Floor 0.58%) 11/25/35● | 39,389 | 39,399 | ||||||
Series 2006-11 1AF6 6.15% 9/25/46● | 149,294 | 151,085 | ||||||
Series 2006-17 2A2 2.168% (LIBOR01M + 0.15%, Floor 0.15%) 3/25/47● | 1,558,272 | 1,531,070 | ||||||
Discover Card Execution Note Trust Series 2017-A7 A7 2.388% (LIBOR01M + 0.36%) 4/15/25● | 625,000 | 624,069 |
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Discover Card Execution Note Trust | ||||||||
Series 2018-A3 A3 2.258% (LIBOR01M + 0.23%, Floor 0.23%) 12/15/23● | 560,000 | $ | 559,524 | |||||
Series 2019-A1 A1 3.04% 7/15/24 | 400,000 | 410,476 | ||||||
EquiFirst Mortgage Loan Trust Series 2004-2 M7 5.018% (LIBOR01M + 3.00%, Floor 2.00%) 10/25/34● | 662,361 | 679,458 | ||||||
First Franklin Mortgage Loan Trust Series 2006-FF5 2A3 2.178% (LIBOR01M + 0.16%, Floor 0.16%) 4/25/36● | 949,383 | 924,251 | ||||||
Ford Credit Auto Owner Trust Series 2018-1 A 144A 3.19% 7/15/31 # | 840,000 | 874,915 | ||||||
Fremont Home Loan Trust Series 2004-B M1 2.888% (LIBOR01M + 0.87%, Floor 0.58%) 5/25/34● | 2,635,844 | 2,603,906 | ||||||
GE-WMC Mortgage Securities Trust Series 2006-1 A2B 2.168% (LIBOR01M + 0.15%, Floor 0.15%) 8/25/36● | 2,132,879 | 1,263,690 | ||||||
GSAMP Trust | ||||||||
Series 2006-FM3 A2D 2.248% (LIBOR01M + 0.23%, Floor 0.23%) 11/25/36● | 1,000,746 | 628,925 | ||||||
Series 2007-SEA1 A 144A 2.318% (LIBOR01M + 0.30%, Floor 0.30%) 12/25/36 #● | 856,223 | 827,896 | ||||||
Hardee’s Funding | ||||||||
Series 2018-1A A2I 144A 4.25% 6/20/48 # | 643,500 | 652,754 | ||||||
Series 2018-1A A2II 144A 4.959% 6/20/48 # | 495,000 | 513,558 | ||||||
HOA Funding Series 2014-1A A2 144A 4.846% 8/20/44 # | 1,264,500 | 1,270,797 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series 2007-A 2A3 2.258% (LIBOR01M + 0.24%, Floor 0.24%) 4/25/37● | 1,427,436 | 1,065,804 |
(continues) | 29 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
HSI Asset Securitization Trust Series 2006-HE1 2A1 2.068% (LIBOR01M + 0.05%, Floor 0.05%) 10/25/36● | 29,695 | $ | 15,236 | |||||
JPMorgan Mortgage Acquisition Trust | 500,000 | 492,845 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2006-1 2A4 2.318% (LIBOR01M + 0.30%, Floor 0.30%) 2/25/36● | 3,155,502 | 2,729,150 | ||||||
Series 2006-7 1A 2.173% (LIBOR01M + 0.155%, Floor 0.155%) 8/25/36● | 2,971,875 | 1,916,675 | ||||||
Mercedes-Benz Master Owner Trust | ||||||||
Series 2018-BA A 144A 2.368% (LIBOR01M + 0.34%) 5/15/23 #● | 500,000 | 500,075 | ||||||
Series 2019-AA A 144A 2.378% (LIBOR01M + 0.35%) 5/15/23 #● | 2,825,000 | 2,826,402 | ||||||
Morgan Stanley ABS Capital I Trust | ||||||||
Series 2007-HE1 A2C 2.168% (LIBOR01M + 0.15%, Floor 0.15%) 11/25/36● | 4,978,879 | 3,450,657 | ||||||
Series 2007-HE5 A2D 2.358% (LIBOR01M + 0.34%, Floor 0.34%) 3/25/37● | 3,421,512 | 1,889,658 | ||||||
Navistar Financial Dealer Note Master Owner Trust II | 450,000 | 450,554 | ||||||
New Century Home Equity Loan Trust | 233,599 | 231,345 |
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
New Residential Mortgage Loan Trust | 356,770 | $ | 370,389 | |||||
Option One Mortgage Loan Trust | ||||||||
Series 2005-1 M1 2.798% (LIBOR01M + 0.78%, Floor 0.52%) 2/25/35● | 2,092,164 | 2,069,413 | ||||||
Series 2007-4 2A4 2.328% (LIBOR01M + 0.31%, Floor 0.31%) 4/25/37● | 6,300,419 | 4,515,625 | ||||||
Penarth Master Issuer | 1,625,000 | 1,625,000 | ||||||
PFS Financing | 2,315,000 | 2,315,375 | ||||||
RAAC Trust | 368,765 | 335,740 | ||||||
RAMP Trust | 193,461 | 192,726 | ||||||
Sofi Consumer Loan Program | ||||||||
Series 2017-3 A 144A 2.77% 5/25/26 # | 623,760 | 625,659 | ||||||
Series 2018-1 A1 144A 2.55% 2/25/27 # | 98,224 | 98,239 | ||||||
Sofi Professional Loan Program | 330,017 | 336,772 | ||||||
Soundview Home Loan Trust | ||||||||
Series 2006-OPT1 2A4 2.288% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36● | 300,000 | 295,200 | ||||||
Series 2006-WF2 A1 2.148% (LIBOR01M + 0.13%, Floor 0.13%) 12/25/36● | 17,184 | 17,181 |
30
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Asset-Backed Securities (continued) |
| |||||||
Structured Asset Investment Loan Trust | 15,778 | $ | 15,974 | |||||
Structured Asset | 1,640,560 | 1,496,157 | ||||||
Towd Point Mortgage Trust | ||||||||
Series 2017-1 A1 144A 2.75% 10/25/56 #● | 1,043,370 | 1,052,875 | ||||||
Series 2017-2 A1 144A 2.75% 4/25/57 #● | 126,361 | 127,319 | ||||||
Series 2017-4 M1 144A 3.25% 6/25/57 #● | 615,000 | 623,010 | ||||||
Series 2018-1 A1 144A 3.00% 1/25/58 #● | 227,731 | 230,590 | ||||||
Toyota Auto Loan Extended Note Trust | 1,000,000 | 1,022,139 | ||||||
Toyota Auto Receivables Owner Trust | 2,280,000 | 2,288,829 | ||||||
Verizon Owner Trust | 1,000,000 | 1,000,437 | ||||||
Volvo Financial Equipment Master Owner Trust | 1,075,000 | 1,077,038 | ||||||
Wendys Funding Series 2018-1A A2I 144A 3.573% 3/15/48 # | 471,600 | 479,070 | ||||||
|
| |||||||
Total Non-Agency Asset-Backed Securities | 72,038,083 | |||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations – 1.48% |
| |||||||
Alternative Loan Trust Resecuritization | 1,145,535 | 921,012 |
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
ARM Mortgage Trust | ||||||||
Series 2004-5 3A1 4.486% 4/25/35● | 141,608 | $ | 143,038 | |||||
Series 2005-10 3A31 3.685% 1/25/36● | 170,323 | 163,968 | ||||||
Series 2006-2 1A4 4.629% 5/25/36● | 627,749 | 615,201 | ||||||
Banc of America Funding Trust | ||||||||
Series 2005-E 7A1 2.585% (COF 11 + 1.43%, Floor 1.43%) 6/20/35● | 131,460 | 114,755 | ||||||
Series 2006-I 1A1 4.441% 12/20/36● | 189,200 | 192,581 | ||||||
Banc of America Mortgage Trust Series 2003-D 2A1 5.178% 5/25/33● | 143,837 | 147,401 | ||||||
Bear Stearns ARM Trust | 27,895 | 27,813 | ||||||
Chase Home Lending Mortgage Trust | ||||||||
Series 2019-ATR1 A4 144A 4.00% 4/25/49 #● | 346,800 | 349,967 | ||||||
Series 2019-ATR2 A3 144A 3.50% 7/25/49 #● | 727,623 | 738,339 | ||||||
Chase Mortgage Finance Trust Series 2005-A1 3A1 4.228% 12/25/35● | 84,974 | 82,721 | ||||||
CHL Mortgage Pass Through Trust Series 2007-4 1A1 6.00% 5/25/37¨ | 1,007,207 | 767,270 | ||||||
Connecticut Avenue Securities Trust | ||||||||
Series 2018-R07 1M2 144A 4.418% (LIBOR01M + 2.40%) 4/25/31 #● | 780,000 | 787,584 | ||||||
Series 2019-R01 2M2 144A 4.468% (LIBOR01M + 2.45%) 7/25/31 #● | 500,000 | 504,344 | ||||||
Series 2019-R02 1M2 144A 4.318% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/31 #● | 1,500,000 | 1,507,694 | ||||||
CSMC Mortgage-Backed Trust | ||||||||
Series 2005-1R 2A5 144A 5.75% 12/26/35 # | 1,067,609 | 1,025,191 | ||||||
Series 2007-1 5A14 6.00% 2/25/37 | 231,458 | 203,590 |
(continues) | 31 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
CSMC Mortgage-Backed Trust | ||||||||
Series 2007-3 4A6 2.268% (LIBOR01M + 0.25%, Cap 7.00%, Floor 0.25%) 4/25/37● | 195,073 | $ | 164,507 | |||||
Series 2007-3 4A12 4.732% (6.75% minus LIBOR01M, Cap 6.75%) 4/25/37S● | 195,073 | 28,113 | ||||||
Series 2007-3 4A15 5.50% 4/25/37 | 86,618 | 86,884 | ||||||
Flagstar Mortgage Trust | ||||||||
Series 2018-1 A5 144A 3.50% 3/25/48 #● | 466,973 | 474,039 | ||||||
Series 2018-5 A7 144A 4.00% 9/25/48 #● | 325,454 | 327,930 | ||||||
Galton Funding Mortgage Trust Series 2018-1 A43 144A 3.50% 11/25/57 #● | 303,607 | 307,375 | ||||||
GMACM Mortgage Loan Trust Series 2006-J1 A1 5.75% 4/25/36 | 36,648 | 36,875 | ||||||
GSR Mortgage Loan Trust | 644,314 | 571,893 | ||||||
Holmes Master Issuer | 1,676,362 | 1,675,574 | ||||||
JPMorgan Mortgage Trust | ||||||||
Series 2006-A6 2A4L 4.279% 10/25/36● | 381,848 | 354,297 | ||||||
Series 2006-A7 2A2 4.108% 1/25/37● | 75,456 | 72,448 | ||||||
Series 2007-A1 6A1 4.577% 7/25/35● | 111,271 | 113,202 | ||||||
Series 2014-2 B1 144A 3.407% 6/25/29 #● | 57,627 | 58,589 | ||||||
Series 2014-2 B2 144A 3.407% 6/25/29 #● | 57,627 | 58,028 | ||||||
Series 2015-4 B1 144A 3.625% 6/25/45 #● | 768,862 | 793,323 | ||||||
Series 2015-4 B2 144A 3.625% 6/25/45 #● | 328,612 | 333,520 | ||||||
Series 2015-5 B2 144A 3.338% 5/25/45 #● | 609,920 | 603,736 | ||||||
Series 2015-6 B1 144A 3.601% 10/25/45 #● | 329,223 | 339,113 | ||||||
Series 2015-6 B2 144A 3.601% 10/25/45 #● | 320,325 | 325,317 |
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
JPMorgan Mortgage Trust | ||||||||
Series 2016-4 B1 144A 3.898% 10/25/46 #● | 231,167 | $ | 242,167 | |||||
Series 2016-4 B2 144A 3.898% 10/25/46 #● | 392,984 | 405,794 | ||||||
Series 2017-1 B2 144A 3.544% 1/25/47 #● | 692,910 | 695,953 | ||||||
Series 2017-2 A3 144A 3.50% 5/25/47 #● | 285,804 | 290,727 | ||||||
Series 2018-3 A5 144A 3.50% 9/25/48 #● | 427,408 | 432,734 | ||||||
Series 2018-4 A15 144A 3.50% 10/25/48 #● | 583,766 | 589,512 | ||||||
Series 2018-6 1A4 144A 3.50% 12/25/48 #● | 316,847 | 320,043 | ||||||
Series 2018-7FRB A2 144A 2.895% (LIBOR01M + 0.75%) 4/25/46 #● | 395,738 | 394,448 | ||||||
Series 2019-2 A4 144A 4.00% 8/25/49 #● | 1,135,240 | 1,140,473 | ||||||
Series 2019-LTV1 A3 144A 4.00% 6/25/49 #● | 865,130 | 882,017 | ||||||
Lanark Master Issuer Series 2019-1A 1A1 144A 2.902% (LIBOR03M + 0.77%) 12/22/69 #● | 746,667 | 748,311 | ||||||
Lehman Mortgage Trust Series 2007-10 2A2 6.50% 1/25/38 | 1,571,132 | 1,019,232 | ||||||
Ludgate Funding | ||||||||
Series 2006-1X A2A 0.949% (BP0003M + 0.19%) 12/1/60● | GBP 1,448,328 | 1,688,641 | ||||||
Series 2008-W1X A1 1.358% (BP0003M + 0.60%) 1/1/61● | GBP 623,932 | 744,312 | ||||||
Mansard Mortgages | ||||||||
Series 2007-1X A2 0.947% (BP0003M + 0.18%) 4/15/47● | GBP 685,843 | 802,729 | ||||||
MASTR Alternative Loan Trust | ||||||||
Series 2004-3 8A1 7.00% 4/25/34 | 1,588 | 1,763 | ||||||
Series 2004-5 6A1 7.00% 6/25/34 | 30,275 | 32,295 | ||||||
MASTR ARM Trust Series 2004-4 4A1 4.061% 5/25/34● | 61,004 | 61,543 |
32
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
Merrill Lynch Mortgage Investors Trust Series 2004-A1 2A2 4.448% 2/25/34● | 4,172 | $ | 4,228 | |||||
Opteum Mortgage Acceptance Trust Series 2006-1 2A1 5.75% 4/25/36● | 104,134 | 104,412 | ||||||
RALI Series Trust | ||||||||
Series 2007-QA5 2A1 6.093% 9/25/37● | 3,242,630 | 2,725,548 | ||||||
Series 2007-QH8 A 3.39% 10/25/37● | 2,033,066 | 1,907,895 | ||||||
Reperforming Loan REMIC Trust | ||||||||
Series 2006-R1 AF1 144A 2.358% (LIBOR01M + 0.34%, Cap 9.50%, Floor 0.34%) 1/25/36 #● | 1,020,372 | 992,783 | ||||||
RFMSI Trust | 648 | 645 | ||||||
Sequoia Mortgage Trust | ||||||||
Series 2004-5 A3 2.858% (LIBOR06M + 0.56%, Cap 11.50%, Floor 0.28%) 6/20/34● | 151,789 | 149,590 | ||||||
Series 2007-1 4A1 3.786% 9/20/46● | 464,199 | 378,232 | ||||||
Series 2015-1 B2 144A 3.88% 1/25/45 #● | 349,659 | 358,284 | ||||||
Series 2017-4 A1 144A 3.50% 7/25/47 #● | 298,611 | 303,382 | ||||||
Series 2018-5 A4 144A 3.50% 5/25/48 #● | 486,299 | 495,009 | ||||||
Series 2018-8 A4 144A 4.00% 11/25/48 #● | 721,071 | 725,549 | ||||||
Series 2019-CH1 A1 144A 4.50% 3/25/49 #● | 736,908 | 751,838 | ||||||
Structured ARM Loan Trust Series 2006-1 7A4 4.13% 2/25/36● | 332,407 | 319,045 | ||||||
Structured Asset Mortgage Investments II Trust | 306,262 | 302,545 |
Principal amount° | Value (US $) | |||||||
Non-Agency Collateralized Mortgage Obligations (continued) |
| |||||||
WaMu Mortgage Pass Through Certificates Trust | ||||||||
Series 2005-AR16 1A3 4.215% 12/25/35¨● | 346,408 | $ | 346,557 | |||||
Series 2007-HY1 3A3 3.941% 2/25/37¨● | 218,684 | 208,949 | ||||||
Series 2007-HY7 4A1 3.99% 7/25/37¨● | 438,025 | 412,643 | ||||||
Washington Mutual Mortgage Pass Through Certificates Trust | 4,825 | 441 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
Series 2005-AR16 2A1 5.014% 2/25/34● | 64,612 | 66,553 | ||||||
Series 2006-2 3A1 5.75% 3/25/36 | 34,424 | 34,032 | ||||||
Series 2006-3 A11 5.50% 3/25/36 | 60,931 | 61,890 | ||||||
Series 2006-AR5 2A1 5.187% 4/25/36● | 24,146 | 24,236 | ||||||
Series 2006-AR11 A6 4.86% 8/25/36● | 278,226 | 273,504 | ||||||
Series 2007-10 1A36 6.00% 7/25/37 | 140,867 | 141,967 | ||||||
|
| |||||||
Total Non-Agency Collateralized Mortgage Obligations | 36,599,683 | |||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 4.59% |
| |||||||
BANK | ||||||||
Series 2017-BNK5 A5 3.39% 6/15/60 | 1,430,000 | 1,530,700 | ||||||
Series 2017-BNK5 B 3.896% 6/15/60● | 605,000 | 646,203 | ||||||
Series 2017-BNK7 A5 3.435% 9/15/60 | 1,110,000 | 1,192,991 | ||||||
Series 2018-BN14 A4 4.231% 9/15/60● | 800,000 | 910,949 | ||||||
Series 2019-BN20 A3 3.011% 9/15/61 | 8,000,000 | 8,357,352 | ||||||
Series 2019-BN21 A5 2.851% 10/15/52 | 2,100,000 | 2,162,156 | ||||||
BBCMS Trust | 2,469,441 | 2,488,932 |
(continues) | 33 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
BENCHMARK Mortgage Trust | ||||||||
Series 2018-B1 A5 3.666% 1/15/51● | 2,310,000 | $ | 2,518,971 | |||||
Series 2018-B3 A5 4.025% 4/10/51 | 550,000 | 615,317 | ||||||
Series 2018-B6 A4 4.261% 10/10/51 | 1,450,000 | 1,655,504 | ||||||
Series 2019-B9 A5 4.016% 3/15/52 | 5,955,000 | 6,704,068 | ||||||
BX Trust | ||||||||
Series 2017-APPL A 144A 2.908% (LIBOR01M + 0.88%, Floor 0.88%) 7/15/34 #● | 509,424 | 509,102 | ||||||
Caesars Palace Las Vegas Trust | 650,000 | 675,678 | ||||||
Cantor Commercial Real Estate Lending | ||||||||
Series 2019-CF1 A5 3.786% 5/15/52 | 3,340,000 | 3,695,549 | ||||||
Series 2019-CF2 A5 2.874% 11/15/52 | 4,000,000 | 4,118,676 | ||||||
CD Mortgage Trust | ||||||||
Series 2017-CD6 B 3.911% 11/13/50● | 440,000 | 471,756 | ||||||
Series 2019-CD8 A4 2.912% 8/15/57 | 8,775,000 | 9,062,654 | ||||||
CFCRE Commercial Mortgage Trust | 3,100,000 | 3,380,338 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2014-GC25 A4 3.635% 10/10/47 | 785,000 | 837,169 | ||||||
Series 2015-GC27 A5 3.137% 2/10/48 | 1,400,000 | 1,461,186 | ||||||
Series 2016-P3 A4 3.329% 4/15/49 | 1,305,000 | 1,382,589 | ||||||
Series 2017-C4 A4 3.471% 10/12/50 | 635,000 | 683,073 | ||||||
Series 2018-C5 A4 4.228% 6/10/51● | 3,200,000 | 3,637,170 | ||||||
CLNS Trust | 1,000,000 | 997,494 |
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
COMM Mortgage Trust | ||||||||
Series 2013-WWP A2 144A 3.424% 3/10/31 # | 1,100,000 | $ | 1,149,322 | |||||
Series 2014-CR20 AM 3.938% 11/10/47 | 2,225,000 | 2,364,981 | ||||||
Series 2015-3BP A 144A 3.178% 2/10/35 # | 605,000 | 633,010 | ||||||
Series 2015-CR23 A4 3.497% 5/10/48 | 780,000 | 828,518 | ||||||
Series 2016-CR28 A4 3.762% 2/10/49 | 2,330,000 | 2,520,608 | ||||||
DBJPM Mortgage Trust | ||||||||
Series 2016-C1 A4 3.276% 5/10/49 | 900,000 | 951,694 | ||||||
Series 2016-C3 A5 2.89% 8/10/49 | 945,000 | 979,258 | ||||||
DBUBS Mortgage Trust | ||||||||
Series 2011-LC1A C 144A 5.885% 11/10/46 #● | 600,000 | 620,544 | ||||||
GS Mortgage Securities II | 465,000 | 510,258 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2010-C1 C 144A 5.635% 8/10/43 #● | 375,000 | 380,290 | ||||||
Series 2015-GC32 A4 3.764% 7/10/48 | 1,000,000 | 1,080,299 | ||||||
Series 2016-RENT A 144A 3.203% 2/10/29 # | 2,300,000 | 2,315,792 | ||||||
Series 2017-GS5 A4 3.674% 3/10/50 | 1,280,000 | 1,389,875 | ||||||
Series 2017-GS6 A3 3.433% 5/10/50 | 1,935,000 | 2,070,395 | ||||||
Series 2018-GS9 A4 3.992% 3/10/51● | 570,000 | 634,354 | ||||||
Series 2019-GC39 A4 3.567% 5/10/52 | 1,250,000 | 1,362,004 | ||||||
Series 2019-GC42 A4 3.001% 9/1/52 | 5,000,000 | 5,213,541 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2015-C31 A3 3.801% 8/15/48 | 8,967,272 | 9,710,145 | ||||||
Series 2015-C33 A4 3.77% 12/15/48 | 570,000 | 617,968 | ||||||
JPMDB Commercial Mortgage Securities Trust Series 2016-C2 A4 3.144% 6/15/49 | 1,640,000 | 1,721,817 |
34
Table of Contents
Principal amount° | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
Series 2016-C4 A3 3.141% 12/15/49 | 1,065,000 | $ | 1,120,074 | |||||
Series 2017-C7 A5 3.409% 10/15/50 | 1,395,000 | 1,494,515 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2005-CB11 E 5.739% 8/12/37● | 230,000 | 231,566 | ||||||
Series 2013-LC11 B 3.499% 4/15/46 | 355,000 | 363,864 | ||||||
Series 2016-JP2 AS 3.056% 8/15/49 | 1,250,000 | 1,281,022 | ||||||
Series 2016-WIKI A 144A 2.798% 10/5/31 # | 705,000 | 711,821 | ||||||
Series 2016-WIKI B 144A 3.201% 10/5/31 # | 690,000 | 698,332 | ||||||
LB-UBS Commercial Mortgage Trust | 445,448 | 259,424 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2015-C26 A5 3.531% 10/15/48 | 960,000 | 1,024,921 | ||||||
Series 2015-C27 ASB 3.557% 12/15/47 | 2,200,000 | 2,303,833 | ||||||
Series 2016-C29 A4 3.325% 5/15/49 | 795,000 | 841,281 | ||||||
Morgan Stanley Capital I Trust Series 2014-CPT AM 144A 3.516% 7/13/29 #● | 2,200,000 | 2,233,800 | ||||||
UBS Commercial Mortgage Trust | 970,000 | 1,088,699 | ||||||
UBS-Barclays Commercial Mortgage Trust | 480,000 | 492,562 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2014-LC18 A5 3.405% 12/15/47 | 275,000 | 289,891 | ||||||
Series 2015-NXS3 A4 3.617% 9/15/57 | 510,000 | 546,564 | ||||||
Series 2016-BNK1 A3 2.652% 8/15/49 | 1,220,000 | 1,243,337 |
Principal amount° | Value (US $) | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) |
| |||||||||||
Wells Fargo Commercial Mortgage Trust | 905,000 | $ | 970,564 | |||||||||
|
| |||||||||||
Total Non-Agency Commercial Mortgage-Backed Securities |
| 113,946,320 | ||||||||||
|
| |||||||||||
Regional Bonds – 0.14%D |
| |||||||||||
Spain – 0.14% | ||||||||||||
Autonomous Community of Catalonia | ||||||||||||
4.90% 9/15/21 | EUR | 1,800,000 | 2,114,645 | |||||||||
4.95% 2/11/20 | EUR | 1,100,000 | 1,219,663 | |||||||||
|
| |||||||||||
3,334,308 | ||||||||||||
|
| |||||||||||
Total Regional Bonds | 3,334,308 | |||||||||||
|
| |||||||||||
Loan Agreements – 1.90% |
| |||||||||||
Acrisure Tranche B 1st Lien 6.354% (LIBOR03M + 4.25%) 11/22/23● | 408,517 | 407,751 | ||||||||||
ADT Tranche B 1st Lien 5.21% (LIBOR03M + 3.25%) 9/23/26● | 609,000 | 602,801 | ||||||||||
Altice France Tranche B13 1st Lien 6.028% (LIBOR01M + 4.00%) 8/14/26● | 133,988 | 133,792 | ||||||||||
AMC Entertainment Holdings Tranche B1 1st Lien 5.23% (LIBOR03M + 3.00%) 4/22/26● | 1,019,875 | 1,025,612 | ||||||||||
American Airlines Tranche B 1st Lien 4.028% (LIBOR01M + 2.00%) 12/14/23● | 1,485,311 | 1,486,123 | ||||||||||
Applied Systems 2nd Lien 9.104% (LIBOR03M + 7.00%) 9/19/25● | 530,922 | 538,554 | ||||||||||
Applied Systems Tranche B 1st Lien 5.104% (LIBOR03M + 3.00%) 9/19/24● | 1,940 | 1,939 | ||||||||||
Aramark Services Tranche B3 1st Lien 3.794% (LIBOR01M + 1.75%) 3/11/25● | 359,075 | 360,422 | ||||||||||
AssuredPartners Tranche B 1st Lien 5.544% (LIBOR01M + 3.50%) 10/22/24● | 960,077 | 957,276 |
(continues) | 35 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Avis Budget Car Rental Tranche B 1st Lien 4.05% (LIBOR01M + 2.00%) 2/13/25● | 312,618 | $ | 311,706 | |||||
Ball Metalpack Finco Tranche B 2nd Lien 10.874% (LIBOR03M + 8.75%) 7/31/26● | 79,000 | 74,260 | ||||||
Bausch Health Americas Tranche B 1st Lien 5.039% (LIBOR01M + 3.00%) 6/1/25● | 319,751 | 321,407 | ||||||
Berry Global Tranche U 1st Lien 4.549% (LIBOR01M + 2.50%) 5/15/26● | 700,245 | 704,423 | ||||||
Blue Ribbon 1st Lien 6.266% (LIBOR03M + 4.00%) 11/13/21● | 336,793 | 298,903 | ||||||
Boxer Parent Tranche B 1st Lien 6.294% (LIBOR01M + 4.25%) 10/2/25● | 386,652 | 372,968 | ||||||
Builders FirstSource 1st Lien 5.044% (LIBOR01M + 3.00%) 2/29/24● | 50,788 | 50,974 | ||||||
Calpine Tranche B9 1st Lien 4.86% (LIBOR03M + 2.75%) 4/1/26● | 249,375 | 250,518 | ||||||
Change Healthcare Holdings Tranche B 1st Lien 4.544% (LIBOR01M + 2.50%) 3/1/24● | 206,121 | 205,396 | ||||||
Charter Communications Operating Tranche B 1st Lien 4.05% (LIBOR01M + 2.00%) 4/30/25● | 490,990 | 494,477 | ||||||
Chemours Tranche B2 1st Lien 3.80% (LIBOR01M + 1.75%) 4/3/25● | 1,096,849 | 1,059,830 | ||||||
Chuck E. Cheese 8.544% (LIBOR01M + 6.50%) 8/30/26● | 123,000 | 120,713 | ||||||
CityCenter Holdings Tranche B 1st Lien 4.294% (LIBOR01M + 2.25%) 4/18/24● | 917,059 | 920,334 | ||||||
Core & Main Tranche B 1st Lien 4.863% (LIBOR03M + 2.75%) 8/1/24● | 546,654 | 543,914 | ||||||
CSC Holdings 1st Lien 4.278% (LIBOR01M + 2.25%) 7/17/25● | 317,688 | 317,845 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
CSC Holdings Tranche B2 1st Lien 4.528% (LIBOR01M + 2.50%) 1/25/26● | 291,313 | $ | 292,131 | |||||
Datto 1st Lien 6.294% (LIBOR01M + 4.25%) 4/2/26● | 344,138 | 347,722 | ||||||
DaVita Tranche B 1st Lien 4.294% (LIBOR01M + 2.25%) 8/12/26 | 809,000 | 814,449 | ||||||
Deerfield Dakota Holding Tranche B 1st Lien 5.294% (LIBOR01M + 3.25%) 2/13/25● | 126,080 | 124,031 | ||||||
Delek US Holdings Tranche B 1st Lien 4.294% (LIBOR01M + 2.25%) 3/30/25● | 329,979 | 329,979 | ||||||
Drive Chassis Holdco 2nd Lien 10.588% (LIBOR03M + 8.25%) 4/10/26● | 110,000 | 104,225 | ||||||
DTZ US Borrower Tranche B 1st Lien 5.294% (LIBOR01M + 3.25%) 8/21/25● | 297,000 | 298,298 | ||||||
Edgewater Generation Tranche B 1st Lien 5.794% (LIBOR01M + 3.75%) 12/13/25● | 213,388 | 211,254 | ||||||
Ensemble RCM 1st Lien 6.003% (LIBOR03M + 3.75%) 8/1/26● | 368,000 | 368,920 | ||||||
ExamWorks Group Tranche B1 1st Lien 5.294% (LIBOR01M + 3.25%) 7/27/23● | 729,403 | 733,202 | ||||||
Extended Stay Tranche B 1st Lien 4.044% (LIBOR01M + 2.00%) 9/18/26● | 647,478 | 651,255 | ||||||
Flying Fortress Holdings Tranche B 1st Lien 3.854% (LIBOR03M + 1.75%) 10/30/22● | 216,333 | 217,241 | ||||||
Gardner Denver Tranche B1 1st Lien 4.794% (LIBOR01M + 2.75%) 7/30/24● | 353,431 | 354,898 | ||||||
Gates Global Tranche B2 1st Lien 4.794% (LIBOR01M + 2.75%) 3/31/24● | 557,573 | 550,603 | ||||||
GIP III Stetson I Tranche B 1st Lien 6.291% (LIBOR01M + 4.25%) 7/18/25● | 145,650 | 142,615 |
36
Table of Contents
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Gray Television Tranche B2 1st Lien 4.582% (LIBOR03M + 2.25%) 2/7/24● | 1,018,322 | $ | 1,021,050 | |||||
GVC Holdings Tranche B2 1st Lien 4.446% (LIBOR06M + 2.25%) 3/16/24● | 525,005 | 526,481 | ||||||
HCA Tranche B10 1st Lien 4.044% (LIBOR01M + 2.00%) 3/13/25● | 1,305,125 | 1,311,106 | ||||||
Hilton Worldwide Finance Tranche B2 1st Lien 3.787% (LIBOR01M + 1.75%) 6/21/26● | 1,172,387 | 1,180,773 | ||||||
Howden Tranche B 1st Lien 0.00% 9/30/26 X | 169,000 | 165,198 | ||||||
HUB International Tranche B 1st Lien 5.267% (LIBOR03M + 3.00%) 4/25/25● | 740,625 | 733,450 | ||||||
INEOS US Finance Tranche B 1st Lien 4.044% (LIBOR01M + 2.00%) 3/31/24● | 255,139 | 253,385 | ||||||
Inmarsat Tranche B 1st Lien 0.00% 9/23/26 X | 649,000 | 639,806 | ||||||
IQVIA Tranche B3 1st Lien 3.854% (LIBOR03M + 1.75%) 6/11/25● | 548,063 | 549,690 | ||||||
Iron Mountain Tranche B 1st Lien 3.794% (LIBOR01M + 1.75%) 1/2/26● | 626,935 | 622,625 | ||||||
JBS USA LUX Tranche B 1st Lien 4.544% (LIBOR01M + 2.50%) 5/1/26● | 164,175 | 165,184 | ||||||
Kronos Tranche B 1st Lien 5.253% (LIBOR03M + 3.00%) 11/1/23● | 360,011 | 361,108 | ||||||
LUX HOLDCO III 1st Lien 5.146% (LIBOR02M + 3.00%) 3/28/25● | 220,640 | 210,574 | ||||||
Mauser Packaging Solutions Holding Tranche B 1st Lien 5.59% (LIBOR03M + 3.25%) 4/3/24● | 157,196 | 154,216 | ||||||
Merrill Communications Tranche B 1st Lien 0.00% 9/26/26 X | 212,000 | 212,530 | ||||||
MGM Growth Properties Operating Partnership Tranche B 1st Lien 4.044% (LIBOR01M + 2.00%) 3/25/25● | 545,115 | 547,074 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Microchip Technology 1st Lien 4.05% (LIBOR01M + 2.00%) 5/24/25● | 511,654 | $ | 514,847 | |||||
Nascar Holdings Tranche B 1st Lien 0.00% 7/26/26 X | 242,000 | 244,023 | ||||||
NFP Tranche B 1st Lien 5.044% (LIBOR01M + 3.00%) 1/8/24● | 445,073 | 438,007 | ||||||
ON Semiconductor Tranche B4 1st Lien 0.00% 9/19/26● X | 1,294,183 | 1,300,834 | ||||||
Penn National Gaming Tranche B1 1st Lien 4.294% (LIBOR01M + 2.25%) 10/15/25 | 992,500 | 998,813 | ||||||
Perstorp Holding Tranche B 1st Lien 6.854% (LIBOR03M + 4.75%) 2/26/26● | 450,735 | 428,198 | ||||||
PQ Tranche B 1st Lien 4.756% (LIBOR03M + 2.50%) 2/8/25● | 884,544 | 887,230 | ||||||
Pregis TopCo Tranche B 1st Lien 6.253% (LIBOR03M + 4.00%) 8/1/26● | 267,000 | 266,666 | ||||||
Prestige Brands Tranche B5 1st Lien 4.044% (LIBOR01M + 2.00%) 1/26/24● | 404,954 | 406,169 | ||||||
Radiate Holdco Tranche B 1st Lien 5.044% (LIBOR01M + 3.00%) 2/1/24● | 388,457 | 387,413 | ||||||
Russell Investments US Institutional Holdco Tranche B 1st Lien 5.294% (LIBOR01M + 3.25%) 6/1/23● | 946,348 | 935,701 | ||||||
Sable International Finance Tranche B4 1st Lien 5.294% (LIBOR01M + 3.25%) 1/31/26● | 83,093 | 83,550 | ||||||
Scientific Games International Tranche B5 1st Lien 4.876% (LIBOR01M + 2.75%) 8/14/24● | 1,114,045 | 1,106,286 | ||||||
SFR Tranche B11 1st Lien 4.794% (LIBOR01M + 2.75%) 7/18/25● | 353,656 | 346,053 | ||||||
Sinclair Television Group Tranche B1 1st Lien 4.30% (LIBOR01M + 2.25%) 1/3/24● | 1,556,000 | 1,563,274 |
(continues) | 37 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) |
| |||||||
Sprint Communications Tranche B 1st Lien | ||||||||
4.563% (LIBOR01M + 2.50%) 2/3/24● | 1,149,702 | $ | 1,142,803 | |||||
5.063% (LIBOR01M + 3.00%) 2/3/24● | 312,638 | 312,440 | ||||||
SS&C European Holdings Tranche B4 1st Lien 4.294% (LIBOR01M + 2.25%) 4/16/25● | 201,078 | 202,167 | ||||||
SS&C Technologies Tranche B3 1st Lien 4.294% (LIBOR01M + 2.25%) 4/16/25● | 304,422 | 306,071 | ||||||
Stars Group Tranche B 1st Lien 5.604% (LIBOR03M + 3.50%) 7/10/25● | 158,334 | 159,162 | ||||||
Surgery Center Holdings 1st Lien 5.30% (LIBOR01M + 3.25%) 8/31/24● | 1,026,397 | 1,005,869 | ||||||
Tecta America 1st Lien 6.544% (LIBOR01M + 4.50%) 11/21/25● | 357,300 | 353,057 | ||||||
Telenet Financing USD Tranche AN-DD 1st Lien 4.278% (LIBOR01M + 2.25%) 8/15/26● | 545,000 | 546,135 | ||||||
Titan Acquisition Tranche B 1st Lien 5.044% (LIBOR01M + 3.00%) 3/28/25● | 139,576 | 133,993 | ||||||
TransDigm Tranche F 1st Lien 4.544% (LIBOR01M + 2.50%) 6/9/23● | 600,715 | 600,387 | ||||||
Trident TPI Holdings 1st Lien 5.294% (LIBOR01M + 3.25%) 10/5/24● | 270,740 | 262,054 | ||||||
UGI Tranche B 1st Lien 5.794% (LIBOR01M + 3.75%) 8/13/26● | 362,093 | 365,261 | ||||||
Ultimate Software Group 1st Lien 5.794% (LIBOR01M + 3.75%) 5/3/26● | 712,676 | 717,219 | ||||||
United Rentals North America Tranche B 1st Lien 3.794% (LIBOR01M + 1.75%) 10/31/25● | 49,500 | 49,794 | ||||||
US Foods Tranche B 1st Lien 0.00% 9/13/26 X | 815,500 | 819,768 | ||||||
USI Tranche B 1st Lien 5.104% (LIBOR03M + 3.00%) 5/16/24● | 1,429,126 | 1,406,498 |
Principal amount° | Value (US $) | |||||||||||
Loan Agreements (continued) |
| |||||||||||
USIC Holdings 1st Lien 5.294% (LIBOR01M + 3.25%) 12/9/23● | 481,035 | $ | 478,028 | |||||||||
Vistra Operations Tranche B3 1st Lien 4.036% (LIBOR01M + 2.00%) 12/31/25● | 525,893 | 528,029 | ||||||||||
VVC Holding Tranche B 1st Lien 6.681% (LIBOR03M + 4.50%) 2/11/26● | 402,975 | 401,380 | ||||||||||
Wand NewCo 3 Tranche B 1st Lien 5.542% (LIBOR01M + 3.50%) 2/5/26● | 295,000 | 296,798 | ||||||||||
Zayo Group Tranche B2 1st Lien 4.294% (LIBOR01M + 2.25%) 1/19/24● | 933,567 | 936,679 | ||||||||||
ZelisRedCard Tranche B 1st Lien 0.00% 9/30/26 X | 567,000 | 561,330 | ||||||||||
|
| |||||||||||
Total Loan Agreements | 47,248,997 | |||||||||||
|
| |||||||||||
Sovereign Bonds – 1.49%D |
| |||||||||||
Argentina – 0.03% | ||||||||||||
Argentine Republic Government International Bonds | ||||||||||||
5.625% 1/26/22 | 1,482,000 | 644,685 | ||||||||||
6.875% 1/11/48 | 165,000 | 70,127 | ||||||||||
|
| |||||||||||
714,812 | ||||||||||||
|
| |||||||||||
Bahrain – 0.01% | ||||||||||||
Bahrain Government International Bond 144A 5.625% 9/30/31 # | 265,000 | 267,809 | ||||||||||
|
| |||||||||||
267,809 | ||||||||||||
|
| |||||||||||
Cyprus – 0.06% | ||||||||||||
Cyprus Government International Bond 3.875% 5/6/22 | EUR | 1,200,000 | 1,446,105 | |||||||||
|
| |||||||||||
1,446,105 | ||||||||||||
|
| |||||||||||
Egypt – 0.17% | ||||||||||||
Egypt Government International Bonds | ||||||||||||
144A 5.577% 2/21/23 # | 2,900,000 | 2,967,521 | ||||||||||
144A 7.60% 3/1/29 # | 505,000 | 535,877 | ||||||||||
144A 8.70% 3/1/49 # | 605,000 | 652,332 | ||||||||||
|
| |||||||||||
4,155,730 | ||||||||||||
|
|
38
Table of Contents
Principal amount° | Value (US $) | |||||||
Sovereign BondsD (continued) |
| |||||||
El Salvador – 0.03% | ||||||||
El Salvador Government International Bond 144A 7.125% 1/20/50 # | 620,000 | $ | 633,175 | |||||
|
| |||||||
633,175 | ||||||||
|
| |||||||
Ghana – 0.02% | ||||||||
Ghana Government International Bond 144A 7.875% 3/26/27 # | 531,000 | 546,050 | ||||||
|
| |||||||
546,050 | ||||||||
|
| |||||||
Ivory Coast – 0.04% | ||||||||
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | 1,150,000 | 1,110,813 | ||||||
|
| |||||||
1,110,813 | ||||||||
|
| |||||||
Japan – 0.03% | ||||||||
Japan Bank for International Cooperation 2.125% 6/1/20 | 700,000 | 700,037 | ||||||
|
| |||||||
700,037 | ||||||||
|
| |||||||
Kenya – 0.03% | ||||||||
Kenya Government International Bond 144A 8.00% 5/22/32 # | 635,000 | 667,109 | ||||||
|
| |||||||
667,109 | ||||||||
|
| |||||||
Kuwait – 0.14% | ||||||||
Kuwait International Government Bond 144A 2.75% 3/20/22 # | 3,400,000 | 3,449,824 | ||||||
|
| |||||||
3,449,824 | ||||||||
|
| |||||||
Mexico – 0.02% | ||||||||
Mexico Government International Bond 4.35% 1/15/47 | 600,000 | 620,946 | ||||||
|
| |||||||
620,946 | ||||||||
|
| |||||||
Nigeria – 0.03% | ||||||||
Nigeria Government International Bond 144A 7.875% 2/16/32 # | 620,000 | 654,391 | ||||||
|
| |||||||
654,391 | ||||||||
|
| |||||||
Qatar – 0.14% | ||||||||
Qatar Government International Bonds 144A 4.00% 3/14/29 # | 490,000 | 543,625 |
Principal amount° | Value (US $) | |||||||
Sovereign BondsD (continued) |
| |||||||
Qatar (continued) | ||||||||
Qatar Government International Bonds 144A 5.103% 4/23/48 # | 2,200,000 | $ | 2,817,210 | |||||
|
| |||||||
3,360,835 | ||||||||
|
| |||||||
Russia – 0.03% | ||||||||
Russian Foreign Bond - Eurobond 144A 4.25% 6/23/27 # | 600,000 | 639,213 | ||||||
|
| |||||||
639,213 | ||||||||
|
| |||||||
Saudi Arabia – 0.38% | ||||||||
Saudi Government International Bonds | ||||||||
2.375% 10/26/21 | 200,000 | 200,512 | ||||||
144A 2.875% 3/4/23 # | 2,200,000 | 2,238,335 | ||||||
3.25% 10/26/26 | 1,000,000 | 1,034,447 | ||||||
144A 4.50% 10/26/46 # | 800,000 | 894,048 | ||||||
144A 5.00% 4/17/49 # | 4,200,000 | 5,065,158 | ||||||
|
| |||||||
9,432,500 | ||||||||
|
| |||||||
Senegal – 0.02% | ||||||||
Senegal Government International Bond 144A 6.75% 3/13/48 # | 589,000 | 569,142 | ||||||
|
| |||||||
569,142 | ||||||||
|
| |||||||
South Africa – 0.13% | ||||||||
Republic of South Africa Government International Bonds | ||||||||
4.85% 9/30/29 | 3,000,000 | 2,993,367 | ||||||
5.75% 9/30/49 | 308,000 | 306,863 | ||||||
|
| |||||||
3,300,230 | ||||||||
|
| |||||||
Sri Lanka – 0.02% | ||||||||
Sri Lanka Government International Bond 144A 7.55% 3/28/30 # | 490,000 | 483,341 | ||||||
|
| |||||||
483,341 | ||||||||
|
| |||||||
Turkey – 0.05% | ||||||||
Turkey Government International Bonds | ||||||||
5.75% 5/11/47 | 200,000 | 174,850 | ||||||
6.35% 8/10/24 | 450,000 | 459,007 | ||||||
7.625% 4/26/29 | 500,000 | 532,546 | ||||||
|
| |||||||
1,166,403 | ||||||||
|
|
(continues) | 39 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Principal amount° | Value (US $) | |||||||||||
Sovereign BondsD (continued) |
| |||||||||||
Ukraine – 0.06% | ||||||||||||
Ukraine Government International Bonds | ||||||||||||
144A 7.75% 9/1/26 # |
| 900,000 | $ | 941,394 | ||||||||
144A 9.75% 11/1/28 # |
| 515,000 | 591,295 | |||||||||
|
| |||||||||||
1,532,689 | ||||||||||||
|
| |||||||||||
United Kingdom – 0.00% | ||||||||||||
United Kingdom Gilt 1.75% 9/7/22 | GBP | 100,000 | 128,173 | |||||||||
|
| |||||||||||
128,173 | ||||||||||||
|
| |||||||||||
Uruguay – 0.02% | ||||||||||||
Uruguay Government International Bond 4.375% 1/23/31 | 515,000 | 569,466 | ||||||||||
|
| |||||||||||
569,466 | ||||||||||||
|
| |||||||||||
Uzbekistan – 0.03% | ||||||||||||
Republic of Uzbekistan Bond 144A 5.375% 2/20/29 # |
| 690,000 | 759,918 | |||||||||
|
| |||||||||||
759,918 | ||||||||||||
|
| |||||||||||
Total Sovereign Bonds |
| 36,908,711 | ||||||||||
|
| |||||||||||
Supranational Bank – 0.04% |
| |||||||||||
Banque Ouest Africaine de Developpement 144A 5.00% 7/27/27 # |
| 1,000,000 | 1,066,000 | |||||||||
|
| |||||||||||
Total Supranational Bank |
| 1,066,000 | ||||||||||
|
| |||||||||||
US Treasury Obligations – 29.48% |
| |||||||||||
US Treasury Bonds | ||||||||||||
2.50% 2/15/45 | 37,100,000 | 39,962,933 | ||||||||||
2.75% 8/15/42 | 900,000 | 1,011,656 | ||||||||||
2.75% 11/15/42 | 1,400,000 | 1,572,566 | ||||||||||
2.875% 5/15/43 | 2,200,000 | 2,524,801 | ||||||||||
2.875% 8/15/45 | 16,700,000 | 19,262,406 | ||||||||||
3.00% 5/15/47 | 900,000 | 1,067,502 | ||||||||||
3.00% 8/15/48 | 3,770,000 | 4,487,773 | ||||||||||
3.125% 5/15/48 | 1,490,000 | 1,812,853 | ||||||||||
4.375% 5/15/40 | 100,000 | 140,781 | ||||||||||
US Treasury Inflation Indexed Notes |
| |||||||||||
0.125% 4/15/22 | 3,376,000 | 3,343,601 | ||||||||||
0.125% 7/15/26 | 21,408 | 21,392 | ||||||||||
0.25% 1/15/25 | 9,532,600 | 9,567,492 | ||||||||||
0.25% 7/15/29 | 37,513,696 | 37,940,553 | ||||||||||
0.375% 7/15/27 | 7,132,248 | 7,257,302 | ||||||||||
0.625% 4/15/23 | 3,036,814 | 3,063,864 |
Principal amount° | Value (US $) | |||||||
US Treasury Obligations (continued) |
| |||||||
US Treasury Inflation Indexed Notes | ||||||||
0.625% 1/15/26 | 8,746,299 | $ | 8,980,145 | |||||
0.75% 7/15/28 | 2,555,319 | 2,687,956 | ||||||
0.875% 1/15/29 | 29,975,245 | 31,881,143 | ||||||
1.75% 1/15/28 | 14,843,364 | 16,711,655 | ||||||
2.375% 1/15/25 | 9,255,752 | 10,313,680 | ||||||
2.375% 1/15/27 | 1,653,951 | 1,912,979 | ||||||
2.50% 1/15/29 | 35,851 | 43,383 | ||||||
US Treasury Notes | ||||||||
1.125% 8/31/21 | 13,800,000 | 13,662,269 | ||||||
1.25% 8/31/24 | 25,600,000 | 25,248,000 | ||||||
1.50% 9/30/24 | 2,085,000 | 2,080,235 | ||||||
1.625% 8/15/29 | 10,390,000 | 10,346,168 | ||||||
1.75% 6/30/24¥ | 204,905,000 | 206,693,949 | ||||||
1.875% 7/31/22 | 39,700,000 | 40,007,056 | ||||||
2.00% 10/31/21¥ | 1,600,000 | 1,611,438 | ||||||
2.00% 11/30/22¥ | 7,700,000 | 7,798,957 | ||||||
2.00% 5/31/24 | 25,200,000 | 25,710,398 | ||||||
2.00% 6/30/24 | 7,700,000 | 7,851,744 | ||||||
2.125% 11/30/24 | 9,400,000 | 9,657,032 | ||||||
2.25% 3/31/26 | 24,500,000 | 25,461,816 | ||||||
2.25% 2/15/27 | 3,400,000 | 3,547,953 | ||||||
2.375% 4/30/26 | 10,900,000 | 11,415,621 | ||||||
2.50% 1/31/21 | 19,600,000 | 19,787,960 | ||||||
2.50% 2/28/26 | 11,300,000 | 11,908,699 | ||||||
2.625% 7/31/20 | 12,000,000 | 12,075,937 | ||||||
2.625% 3/31/25 | 12,700,000 | 13,391,059 | ||||||
2.75% 7/31/23 | 46,200,000 | 48,217,642 | ||||||
2.75% 2/15/24¥ | 4,000,000 | 4,200,000 | ||||||
2.875% 7/31/25 | 15,500,000 | 16,598,623 | ||||||
2.875% 11/30/25 | 8,100,000 | 8,699,748 | ||||||
|
| |||||||
Total US Treasury Obligations |
| 731,540,720 | ||||||
|
| |||||||
Number of shares | ||||||||
Common Stock – 0.00% |
| |||||||
Adelphia Recovery Trust =† | 1 | — | ||||||
Century Communications =† | 1,975,000 | — | ||||||
|
| |||||||
Total Common Stock | — | |||||||
|
| |||||||
Convertible Preferred Stock – 0.04% |
| |||||||
A Schulman 6.00% exercise price $52.33y | 1,042 | 1,096,705 | ||||||
|
| |||||||
Total Convertible Preferred Stock |
| 1,096,705 | ||||||
|
|
40
Table of Contents
Number of shares | Value (US $) | |||||||
Preferred Stock – 0.03% | ||||||||
General Electric 5.00%µ | 300,000 | $ | 285,081 | |||||
USB Realty 144A 3.45% (LIBOR03M + 1.147%)#● | 500,000 | 428,260 | ||||||
|
| |||||||
Total Preferred Stock | 713,341 | |||||||
|
| |||||||
Short-Term Investments – 1.28% |
| |||||||
Principal | ||||||||
Discount Notes – 0.09%≠ | ||||||||
Federal Home Loan Bank | ||||||||
1.805% 10/25/19 | 1,800,000 | 1,797,756 | ||||||
1.837% 10/30/19 | 500,000 | 499,247 | ||||||
|
| |||||||
2,297,003 | ||||||||
|
| |||||||
Number of shares | ||||||||
Money Market Mutual Funds – 1.19% |
| |||||||
BlackRock FedFund - Institutional Shares (seven-day effective yield 1.86%) | 5,890,383 | 5,890,627 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 1.86%) | 5,890,383 | 5,890,628 | ||||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 1.86%) | 5,890,383 | 5,890,627 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class (seven-day effective yield 1.85%) | 5,890,383 | 5,890,627 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class (seven-day effective yield 1.80%) | 5,890,383 | 5,890,545 | ||||||
|
| |||||||
29,453,054 | ||||||||
|
| |||||||
Total Short-Term Investments |
| 31,750,057 | ||||||
|
| |||||||
Total Value of Securities Before Options Written – 122.94% |
| 3,050,583,528 | ||||||
|
|
Number of contracts | Value (US $) | |||||||
Options Written – 0.00% |
| |||||||
Currency Call Options – 0.00% |
| |||||||
MXN vs USD strike price $20.68, expiration date 12/09/19, notional amount ($126,065,280) (CITI) | (6,096,000 | ) | $ | (41,154 | ) | |||
MXN vs USD strike price $20.97, expiration date 12/04/19, notional amount ($37,746,000) (BNP) | (1,800,000 | ) | (7,648 | ) | ||||
|
| |||||||
(48,802 | ) | |||||||
|
| |||||||
Total Options Written |
| (48,802 | ) | |||||
|
|
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Sept. 30, 2019, the aggregate value of Rule 144A securities was 404,254,734, which represents 16.29% of the Fund’s net assets. See Note 8 in “Notes to financial statements.” |
¨ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
PIK. 78% of the income received was in cash and 22% was in principal. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
D | Securities have been classified by country of origin. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at Sept. 30, 2019. Rate will reset at a future date. |
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. |
y | No contractual maturity date. |
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. |
† | Non-income producing security. |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at Sept. 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M,etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the |
(continues) | 41 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their description above. |
X | This loan will settle after Sept. 30, 2019, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
¥ | Fully or partially pledged as collateral for futures and swap contracts. |
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at Sept. 30, 2019:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
BA | EUR | (429,000) | USD | 473,525 | 10/2/19 | $ | 5,866 | $ | — | |||||||||||||||
BA | GBP | 7,761,000 | USD | (9,562,867) | 10/2/19 | — | (19,532 | ) | ||||||||||||||||
BA | GBP | (7,761,000) | USD | 9,575,793 | 11/4/19 | 18,822 | — | |||||||||||||||||
BA | JPY | 782,300,000 | USD | (7,352,621) | 10/2/19 | — | (116,541 | ) | ||||||||||||||||
BA | JPY | (54,200,000) | USD | 505,081 | 11/5/19 | 2,523 | — | |||||||||||||||||
BNP | EUR | (33,225,000) | USD | 36,896,628 | 10/2/19 | 677,536 | — | |||||||||||||||||
BNP | SGD | (9,478,080) | USD | 6,869,517 | 12/18/19 | 5,588 | — | |||||||||||||||||
BNP | TWD | (101,653,561) | USD | 3,242,434 | 11/21/19 | — | (45,495 | ) | ||||||||||||||||
CITI | GBP | (7,761,000) | USD | 9,471,152 | 10/2/19 | — | (72,183 | ) | ||||||||||||||||
CITI | INR | 23,338,266 | USD | (321,223) | 12/18/19 | 5,818 | — | |||||||||||||||||
CITI | KRW | (128,438,975) | USD | 107,913 | 12/18/19 | 563 | — | |||||||||||||||||
JPMCB | BRL | 15,046,834 | USD | (3,627,578) | 11/4/19 | — | (15,428 | ) | ||||||||||||||||
JPMCB | EUR | 33,654,000 | USD | (36,743,437) | 10/2/19 | — | (56,685 | ) | ||||||||||||||||
JPMCB | EUR | (33,654,000) | USD | 36,833,461 | 11/4/19 | 49,042 | — | |||||||||||||||||
JPMCB | JPY | (782,300,000) | USD | 7,365,375 | 10/2/19 | 129,294 | — | |||||||||||||||||
JPMCB | TWD | (85,107,000) | USD | 2,716,371 | 11/21/19 | — | (36,367 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||
Total Foreign Currency Exchange Contracts |
| $ | 895,052 | $ | (362,231 | ) | ||||||||||||||||||
|
|
|
|
Futures Contracts
Contracts to Buy (Sell) | Notional Amount | Notional Cost | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||||
(2) | Bankers’ Acceptance | $ | (370,061 | ) | $ | (370,268 | ) | 3/17/20 | $ | 207 | $ | — | $ | 38 | ||||||||||||
2 | Bankers’ Acceptance | 370,476 | 370,438 | 9/14/20 | 38 |
| — |
| (94 | ) | ||||||||||||||||
(186) | Euro-B.T.P. | (29,566,245 | ) | (29,433,927 | ) | 12/6/19 | — | (132,318 | ) | (34,074 | ) | |||||||||||||||
(45) | Euro-Bund | (8,546,570 | ) | (8,647,311 | ) | 12/6/19 | 100,741 | — | (2,372 | ) | ||||||||||||||||
(32) | Long 10 yr Gilt | (5,281,753 | ) | (5,250,048 | ) | 12/27/19 | — | (31,705 | ) | (6,296 | ) | |||||||||||||||
1,842 | US Treasury 5 yr Notes | 219,471,422 | 220,830,230 | 12/31/19 | — | (1,358,808 | ) | (82,688 | ) | |||||||||||||||||
407 | US Treasury 10 yr Notes | 53,037,188 | 53,148,984 | 12/19/19 | — | (111,796 | ) | (43,206 | ) | |||||||||||||||||
80 | US Treasury 10 yr Ultra Bonds | 11,392,500 | 11,491,418 | 12/19/19 | — | (98,918 | ) | (1,562 | ) | |||||||||||||||||
411 | US Treasury Long Bonds | 66,710,438 | 68,111,055 | 12/19/19 | — | (1,400,617 | ) | (12,844 | ) | |||||||||||||||||
(6) | US Treasury Ultra Bonds | (1,151,438 | ) | (1,171,343 | ) | 12/19/19 | 19,905 | — | (375 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Futures Contracts |
| $ | 309,079,228 | $ | 120,891 | $ | (3,134,162 | ) | $ | (183,473 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
42
Table of Contents
Swap Contracts
CDS Contracts2
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | |||||||||||||||||||
Centrally Cleared: | ||||||||||||||||||||||||||
Protection Sold Moody’s Ratings: | ||||||||||||||||||||||||||
AT&T 2.45% 5/15/18 Baa2 6/20/24- Quarterly | 1,800,000 | 1.000% | $ | 21,098 | $ | (4,637 | ) | $ | 25,735 | $ | — | $ | 658 | |||||||||||||
Citigroup CDS 6.125% 6/30/20 WR 12/20/20-Quarterly | 700,000 | 1.000% | 6,365 | 4,479 | 1,886 | — | 9 | |||||||||||||||||||
Daimler CDS 0.625% 3/5/20 A2 12/20/20- Quarterly | EUR800,000 | 1.000% | 9,141 | 6,174 | 2,967 | — | (21 | ) | ||||||||||||||||||
CDX.NA.HY.3256/20/24- Quarterly | 4,455,000 | 5.000% | 314,336 | 184,405 | 129,931 | — | 13,582 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
350,940 | 190,421 | 160,519 | — | 14,228 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Over-The-Counter: | ||||||||||||||||||||||||||
Protection Sold Moody’s Ratings: | ||||||||||||||||||||||||||
BAML Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 100,000 | 1.000% | 1,078 | (1,126 | ) | 2,204 | — | — | ||||||||||||||||||
BAML Republic of Colombia 10.375% 1/28/33 Baa2 6/20/22-Quarterly | 250,000 | 1.000% | 3,493 | (2,070 | ) | 5,563 | — | — | ||||||||||||||||||
BNP Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 200,000 | 1.000% | 2,156 | (2,280 | ) | 4,436 | — | — | ||||||||||||||||||
CITI Republic of Brazil 4.25% 1/7/25 /Ba2 6/20/22-Quarterly | 100,000 | 1.000% | 526 | (3,443 | ) | 3,969 | — | — | ||||||||||||||||||
CITI Republic of Colombia 10.375% 1/28/33 /Baa2 6/20/24-Quarterly | 200,000 | 1.000% | 631 | 777 | — | (146 | ) | — | ||||||||||||||||||
DB CMBX.NA.AAA6 10/17/57-Monthly | 14,200,000 | 0.500% | 181,735 | (875,671 | ) | 1,057,406 | — | — | ||||||||||||||||||
DB Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21- Quarterly | 200,000 | 1.000% | 2,156 | (2,251 | ) | 4,407 | — | — |
(continues) | 43 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
Counterparty/ Reference Obligation/ Termination Date/ Payment Frequency | Notional Amount3 | Annual Protection Payments | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to) Brokers | |||||||||||||||||||||
Protection Sold Moody’s Ratings (continued): | ||||||||||||||||||||||||||||
GSC Republic of Brazil 4.25% 1/7/25 /Ba2 6/20/22-Quarterly | 500,000 | 1.000% | $ | 2,629 | $ | (17,671 | ) | $ | 20,300 | $ | — | $ | — | |||||||||||||||
GSC Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 3,100,000 | 1.000% | 33,416 | (35,822 | ) | 69,238 | — | — | ||||||||||||||||||||
JPMCB Mexico 5 yr CDS 5.950% 3/19/19 WR 12/20/19-Quarterly | 7,100,000 | 1.000% | 11,200 | 2,967 | 8,233 | — | — | |||||||||||||||||||||
JPMCB South Africa 5.50% 3/9/20 Baa3 12/20/23-Quarterly | 700,000 | 1.000% | (17,936 | ) | (28,552 | ) | 10,616 | — | — | |||||||||||||||||||
JPMCB Republic of Colombia 10.375% 1/28/33 Baa2 6/20/21-Quarterly | 100,000 | 1.000% | 1,078 | (1,140 | ) | 2,218 | — | — | ||||||||||||||||||||
MSCS CMBX.NA.BBB-.65 5/11/63-Monthly | 5,405,000 | 3.000% | (457,377 | ) | (617,251 | ) | 159,874 | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(235,215 | ) | (1,583,533 | ) | 1,348,464 | (146 | ) | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total CDS Contracts | $ | 115,725 | $ | (1,393,112 | ) | $ | 1,508,983 | $ | (146 | ) | $ | 14,228 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
IRS Contracts7 |
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/Floating Rate) | Notional Amount3 | Fixed/Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to Brokers) | |||||||||||||||||||||
Centrally Cleared: | ||||||||||||||||||||||||||||
2 yr IRS812/20/19- (Semiannually/ Quarterly) | 1,100,000 | 2.00%/(2.156%) | $ | 467 | $ | (760 | ) | $ | 1,227 | $ | — | $ | (1 | ) | ||||||||||||||
2 yr IRS86/28/21- (Semiannually/ Quarterly) | 30,100,000 | 1.45%/(2.104%) | 113,726 | — | 113,726 | — | 4,705 | |||||||||||||||||||||
3 yr IRS86/21/20- (Semiannually/ Quarterly) | 32,700,000 | 1.25%/(2.159%) | 164,534 | 160,815 | 3,719 | — | 709 | |||||||||||||||||||||
3 yr IRS86/20/21- (Semiannually/ Quarterly) | 17,800,000 | 1.75%/(2.159%) | (21,084 | ) | 265,702 | — | (286,786 | ) | 1,799 | |||||||||||||||||||
4 yr IRS812/16/19- (Semiannually/ Quarterly) | 1,600,000 | 2.00%/(2.335%) | 522 | (343 | ) | 865 | — | (1 | ) |
44
Table of Contents
Reference Obligation/ Termination Date/ Payment Frequency (Fixed Rate/Floating Rate) | Notional Amount3 | Fixed/Floating Interest Rate Paid (Received) | Value | Upfront Payments Paid (Received) | Unrealized Appreciation4 | Unrealized Depreciation4 | Variation Margin Due from (Due to Brokers) | |||||||||||||||||||||
Centrally Cleared (continued): |
| |||||||||||||||||||||||||||
5 yr IRS83/18/25- (Semiannually/ Quarterly) | GBP | 47,400,000 | 0.75%/(0.852%) | $ | (495,092) | $ | 51,272 | $ | — | $ | (546,364 | ) | $ | (60,333 | ) | |||||||||||||
7 yr IRS812/16/22- (Semiannually/ Quarterly) | 41,600,000 | 2.25%/(2.41%) | (915,801) | 512,353 | — | (1,428,154 | ) | 10,203 | ||||||||||||||||||||
10 yr IRS93/20/28- (Semiannually/ Semiannually) | JPY | 5,490,000,000 | 0.30%/0.061% | (1,585,870) | 263,408 | — | (1,849,278 | ) | 97,540 | |||||||||||||||||||
30 yr IRS86/15/46- (Semiannually/ Quarterly) | 500,000 | 2.50%/(2.119%) | (85,350) | (18,942 | ) | — | (66,408 | ) | (623 | ) | ||||||||||||||||||
30 yr IRS812/21/46- (Semiannually/ Quarterly) | 900,000 | 2.25%/(2.159%) | (105,370) | (65,582 | ) | — | (39,788 | ) | (1,107 | ) | ||||||||||||||||||
30 yr IRS86/20/48- (Semiannually/ Quarterly) | 900,000 | 2.50%/(2.159%) | (162,452) | 98,543 | — | (260,995 | ) | 167,113 | ||||||||||||||||||||
30 yr IRS812/11/49- (Semiannually/ Quarterly) | 4,500,000 | 2.25%/(2.104%) | (633,233) | (5,963 | ) | — | (627,270 | ) | (5,988 | ) | ||||||||||||||||||
30 yr IRS81/15/50- (Semiannually/ Quarterly) | 500,000 | 2.00%/(2.104%) | (39,849) | (3,595 | ) | — | (36,254 | ) | (623 | ) | ||||||||||||||||||
30 yr IRS81/16/50- (Semiannually/ Quarterly) | 200,000 | 1.625%/(2.104%) | 2,406 | (2,835 | ) | 5,241 | — | (241 | ) | |||||||||||||||||||
30 yr IRS81/22/50- (Semiannually/ Quarterly) | 2,400,000 | 1.758%/(2.099%) | (44,611) | (14,510 | ) | — | (30,101 | ) | (2,931 | ) | ||||||||||||||||||
30 yr IRS8 2/3/50-(Semiannually/ Quarterly) | 1,400,000 | 1.625%/(2.104%) | 16,649 | (5,676 | ) | 22,325 | — | (1,690 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total IRS Contracts |
| $ | (3,790,408 | ) | $ | 1,233,887 | $ | 147,103 | $ | (5,171,398 | ) | $ | 208,531 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
The use of foreign currency exchange contracts, futures contracts, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The foreign currency exchange contracts and notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 5 in “Notes to financial statements.”
2A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains)
on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.
(continues) | 45 |
Table of Contents
Schedules of investments
Optimum Fixed Income Fund
3Notional amount shown is stated in USD unless noted that the swap is denominated in another currency.
4Unrealized appreciation (depreciation) does not include periodic interest payments (receipt) on swap contracts accrued daily in the amount of $(291,824).
5Markit’s North America High Yield CDX Index, or the CDX.NA.HY Index, is composed of 100 liquid North American entities with high yield credit ratings that trade is in the CDS market.
6Markit’s CMBX Index, or the CMBX.NA Index, is a synthetic tradable index referencing a basket of 25 commercial mortgage-backed securities in North America. Credit-quality rating are measured on a scale that generally ranges from AAA (highest) to BB (lowest). US Agency and US Agency mortgage-backed securities appear under US Government.
7An IRS agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts.
8Rate resets based on LIBOR03M.
9Rate resets based on JPY0006M.
Summary of abbreviations:
ABS – Asset-Backed Security
ARM – Adjustable Rate Mortgage
BA – Bank of America, N.A.
BADLARPP – Argentina Term Deposit Rate
BAML – Bank of America Merrill Lynch
BNP – BNP Paribas
BP0003M – 3 Month Sterling LIBOR Interest Rate
BRL – Brazilian Real
B.T.P. – Buoni del Tesoro Poliennali
CDO – Collateralized Debt Obligation
CDS – Credit Default Swap
CDX.NA.HY – Credit Default Swap Index North America High Yield
CITI – Citibank, N.A.
CLO – Collateralized Loan Obligation
CMBX.NA – Commercial Mortgage-Backed Index North America
COF 11 – Cost of Funds for the 11th District of San Francisco
DB – Deutsche Bank AG
DBJPM – Deutsche Bank JP Morgan
EUR – European Monetary Unit
EURIBOR – Euro Interbank Offered Rate
EUR003M – EURIBOR EUR 3 Month
FREMF – Freddie Mac Multifamily
GBP – British Pound Sterling
GNMA – Government National Mortgage Association
GS – Goldman Sachs
GSC – Goldman Sachs Bank USA
H15T1Y – US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
HSBC – HSBC Bank USA, National Association
ICE – Intercontinental Exchange
INR – Indian Rupee
IRS – Interest Rate Swap
JPMBB – JPMorgan Barclays Bank
JPMCB – JPMorgan Chase Bank, National Association
JPMDB – JPMorgan Deutsche Bank
JPY – Japanese Yen
JPY0006M – Japanese Yen 6 Month LIBOR Interest Rate
KRW – South Korean Won
LB – Lehman Brothers
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR02M – ICE LIBOR USD 2 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
LIBOR12M – ICE LIBOR USD 12 Month
MASTR – Mortgage Asset Securitization Transactions, Inc.
MSCS – Morgan Stanley Capital Services LLC
MXN – Mexican Peso
PIK – Pay-in-Kind
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
SGD – Singapore Dollar
TBA – To be announced
TWD – Taiwan Dollar
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
46
Table of Contents
Optimum International Fund
September 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.88%D | ||||||||
Australia – 2.68% | ||||||||
BHP Group ADR * | 53,450 | $ | 2,639,361 | |||||
Cochlear | 12,524 | 1,759,507 | ||||||
Evolution Mining | 166,841 | 510,120 | ||||||
Fortescue Metals Group | 646,254 | 3,838,464 | ||||||
Newcrest Mining | 66,475 | 1,559,139 | ||||||
Qantas Airways | 756,476 | 3,211,570 | ||||||
QBE Insurance Group | 79,731 | 675,909 | ||||||
St Barbara | 61,981 | 121,319 | ||||||
Technology One | 42,845 | 207,633 | ||||||
Western Areas | 18,461 | 38,627 | ||||||
|
| |||||||
14,561,649 | ||||||||
|
| |||||||
Austria – 1.63% | ||||||||
Erste Group Bank † | 97,100 | 3,211,008 | ||||||
Raiffeisen Bank International | 37,374 | 867,265 | ||||||
Schoeller-Bleckmann Oilfield Equipment * | 36,291 | 2,155,768 | ||||||
voestalpine * | 114,550 | 2,631,918 | ||||||
|
| |||||||
8,865,959 | ||||||||
|
| |||||||
Belgium – 0.01% | ||||||||
Barco | 232 | 45,820 | ||||||
|
| |||||||
45,820 | ||||||||
|
| |||||||
Brazil – 2.42% | ||||||||
Banco Bradesco ADR | 451,120 | 3,672,117 | ||||||
Cia de Saneamento do Parana | 10,320 | 210,377 | ||||||
Cosan Class A † | 7,000 | 104,300 | ||||||
Direcional Engenharia | 95,800 | 284,521 | ||||||
IRB Brasil Resseguros | 169,800 | 1,532,101 | ||||||
Porto Seguro | 78,100 | 1,110,894 | ||||||
Sul America | 380,200 | 4,367,549 | ||||||
TOTVS | 127,400 | 1,771,050 | ||||||
Trisul | 47,300 | 110,880 | ||||||
|
| |||||||
13,163,789 | ||||||||
|
| |||||||
Cambodia – 0.08% | ||||||||
NagaCorp | 270,000 | 422,343 | ||||||
|
| |||||||
422,343 | ||||||||
|
| |||||||
Canada – 7.98% | ||||||||
Bank of Montreal | 76,351 | 5,623,528 | ||||||
Bank of Nova Scotia | 14,100 | 800,864 | ||||||
Canadian Imperial Bank of Commerce | 66,100 | 5,453,743 | ||||||
CGI † | 8,100 | 640,492 | ||||||
Constellation Software | 4,000 | 3,994,867 | ||||||
Great-West Lifeco | 21,000 | 504,216 | ||||||
iA Financial | 2,500 | 113,768 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Canada (continued) | ||||||||
Magna International Class A | 74,798 | $ | 3,987,044 | |||||
Manulife Financial | 163,600 | 3,000,702 | ||||||
Power Corp. of Canada | 54,200 | 1,248,582 | ||||||
Power Financial | 82,700 | 1,917,609 | ||||||
Rogers Communications Class B (US Shares) * | 47,389 | 2,309,266 | ||||||
Royal Bank of Canada | 86,234 | 6,995,183 | ||||||
Toronto-Dominion Bank | 115,600 | 6,740,461 | ||||||
TransGlobe Energy | 13,876 | 18,455 | ||||||
|
| |||||||
43,348,780 | ||||||||
|
| |||||||
Chile – 0.99% | ||||||||
Enel Americas ADR | 382,759 | 3,486,934 | ||||||
Sociedad Quimica y Minera de Chile ADR * | 67,414 | 1,873,435 | ||||||
|
| |||||||
5,360,369 | ||||||||
|
| |||||||
China/Hong Kong – 10.10% |
| |||||||
Anhui Conch Cement Class H | 1,289,000 | 7,655,683 | ||||||
ANTA Sports Products | 479,000 | 3,963,299 | ||||||
Asia Cement China Holdings | 393,862 | 474,381 | ||||||
Baidu ADR † | 20,719 | 2,129,084 | ||||||
Build King Holdings | 210,000 | 22,775 | ||||||
BYD Class H * | 471,000 | 2,352,686 | ||||||
Changyou.com ADR | 22,945 | 217,978 | ||||||
Chiho Environmental Group † | 202,000 | 15,206 | ||||||
China BlueChemical Class H | 330,000 | 79,577 | ||||||
China Life Insurance Class H | 1,421,000 | 3,292,466 | ||||||
China Overseas Grand Oceans Group | 218,833 | 99,397 | ||||||
China SCE Group Holdings | 807,000 | 371,700 | ||||||
China Telecom ADR | 3,668 | 167,151 | ||||||
China United Network Communications Class A | 58,900 | 49,589 | ||||||
CNOOC | 1,868,000 | 2,850,489 | ||||||
Country Garden Services Holdings | 397,000 | 1,144,749 | ||||||
Dongfang Electric Class H | 474,196 | 263,788 | ||||||
Gansu Qilianshan Cement Group Class A | 357,400 | 473,636 | ||||||
Gemdale Properties & Investment | 284,000 | 31,525 | ||||||
GoerTek Class A | 621,500 | 1,530,591 | ||||||
Greenland Holdings Class A | 1,127,700 | 1,115,315 | ||||||
Hilong Holding | 176,000 | 19,087 | ||||||
Hisense Home Appliances Group Class H | 516,000 | 495,742 |
(continues) | 47 |
Table of Contents
Schedules of investments
Optimum International Fund
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
China/Hong Kong (continued) | ||||||||
Hopson Development Holdings | 94,000 | $ | 94,028 | |||||
Industrial & Commercial Bank of China Class H | 5,159,000 | 3,455,701 | ||||||
Lenovo Group | 418,000 | 278,926 | ||||||
Li Ning | 280,500 | 805,243 | ||||||
Logan Property Holdings | 610,000 | 868,571 | ||||||
Nanjing Iron & Steel Class A | 821,100 | 353,129 | ||||||
NetEase ADR | 4,323 | 1,150,696 | ||||||
On-Bright Electronics | 15,000 | 79,106 | ||||||
PetroChina Class H | 4,134,000 | 2,125,626 | ||||||
Poly Property Group | 92,504 | 32,221 | ||||||
PPDAI Group ADR | 270 | 783 | ||||||
Qudian ADR † | 144,547 | 995,929 | ||||||
Risen Energy Class A | 546,100 | 927,966 | ||||||
RiseSun Real Estate Development Class A | 511,100 | 592,837 | ||||||
Sailun Group Class A | 719,700 | 410,341 | ||||||
Sany Heavy Industry Class A | 1,292,400 | 2,585,379 | ||||||
Shanghai Fosun Pharmaceutical Group Class H | 638,500 | 1,714,843 | ||||||
Shanghai Shimao Class A | 212,478 | 125,610 | ||||||
Shanxi Taigang Stainless Steel Class A | 841,800 | 452,834 | ||||||
Shimao Property Holdings | 289,000 | 844,393 | ||||||
Sinopec Engineering Group Class H | 34,001 | 21,344 | ||||||
Sinopharm Group Class H | 654,400 | 2,049,775 | ||||||
Sinotruk Hong Kong | 545,375 | 808,561 | ||||||
Sunac China Holdings | 487,000 | 1,957,271 | ||||||
Vipshop Holdings ADR † | 8,166 | 72,841 | ||||||
Weichai Power Class H | 602,000 | 867,933 | ||||||
Wuhu Sanqi Interactive Entertainment Network Technology Group Class A | 176,993 | 447,045 | ||||||
WUS Printed Circuit Kunshan Class A | 82,888 | 284,483 | ||||||
XCMG Construction Machinery Class A | 1,835,900 | 1,139,336 | ||||||
Yuexiu Property | 692,000 | 150,095 | ||||||
Zhejiang Yankon Group Class A | 562,750 | 342,929 | ||||||
|
| |||||||
54,851,669 | ||||||||
|
| |||||||
Colombia – 0.66% | ||||||||
Almacenes Exito | 9,000 | 46,552 | ||||||
Bancolombia ADR | 72,180 | 3,569,301 | ||||||
|
| |||||||
3,615,853 | ||||||||
|
|
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Czech Republic – 0.31% | ||||||||
Komercni banka | 49,593 | $ | 1,676,611 | |||||
|
| |||||||
1,676,611 | ||||||||
|
| |||||||
Denmark – 1.03% | ||||||||
H. Lundbeck | 80,320 | 2,664,064 | ||||||
Novo Nordisk Class B | 57,171 | 2,939,112 | ||||||
|
| |||||||
5,603,176 | ||||||||
|
| |||||||
Finland – 0.12% | ||||||||
Neste | 19,345 | 640,354 | ||||||
|
| |||||||
640,354 | ||||||||
|
| |||||||
France – 4.58% | ||||||||
Capgemini | 30,814 | 3,630,616 | ||||||
EDAP TMS ADR † | 4,505 | 20,227 | ||||||
Ipsen | 24,178 | 2,295,330 | ||||||
IPSOS | 23,199 | 661,222 | ||||||
Peugeot | 179,836 | 4,484,760 | ||||||
Safran | 43,912 | 6,913,649 | ||||||
Societe Generale | 104,719 | 2,869,441 | ||||||
Sodexo | 35,476 | 3,982,708 | ||||||
Virbac † | 167 | 38,225 | ||||||
|
| |||||||
24,896,178 | ||||||||
|
| |||||||
Germany – 3.35% | ||||||||
Allianz | 16,441 | 3,832,164 | ||||||
Continental | 25,838 | 3,314,682 | ||||||
Dermapharm Holding | 1,717 | 67,540 | ||||||
Elmos Semiconductor | 386 | 10,245 | ||||||
Merck | 37,614 | 4,237,079 | ||||||
MTU Aero Engines | 10,343 | 2,748,443 | ||||||
Muenchener Rueckversicherungs-Gesellschaft | 4,198 | 1,086,250 | ||||||
Vonovia | 57,677 | 2,926,368 | ||||||
|
| |||||||
18,222,771 | ||||||||
|
| |||||||
Greece – 0.02% | ||||||||
Motor Oil Hellas Corinth Refineries | 3,926 | 91,659 | ||||||
|
| |||||||
91,659 | ||||||||
|
| |||||||
Hungary – 0.29% | ||||||||
MOL Hungarian Oil & Gas | 57,125 | 537,403 | ||||||
OTP Bank | 24,671 | 1,027,148 | ||||||
|
| |||||||
1,564,551 | ||||||||
|
| |||||||
India – 1.73% | ||||||||
HDFC Bank ADR | 77,498 | 4,421,261 | ||||||
ICICI Bank ADR | 389,552 | 4,744,743 | ||||||
Reliance Capital | 641,988 | 222,847 | ||||||
|
| |||||||
9,388,851 | ||||||||
|
|
48
Table of Contents
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Indonesia – 0.00% | ||||||||
Bekasi Fajar Industrial Estate | 1,699,100 | $ | 30,642 | |||||
|
| |||||||
30,642 | ||||||||
|
| |||||||
Israel – 3.89% | ||||||||
Bank Hapoalim † | 882,151 | 6,950,764 | ||||||
Bank Leumi Le-Israel | 964,584 | 6,867,672 | ||||||
Check Point Software Technologies † | 48,382 | 5,297,829 | ||||||
CyberArk Software † | 13,558 | 1,353,360 | ||||||
Nice ADR † | 4,718 | 678,448 | ||||||
|
| |||||||
21,148,073 | ||||||||
|
| |||||||
Italy – 2.21% | ||||||||
Assicurazioni Generali | 87,620 | 1,698,015 | ||||||
Banca Mediolanum | 9,086 | 68,234 | ||||||
Enel | 853,421 | 6,372,706 | ||||||
Prysmian | 180,675 | 3,879,456 | ||||||
|
| |||||||
12,018,411 | ||||||||
|
| |||||||
Japan – 10.82% | ||||||||
Advantest | 2,900 | 128,069 | ||||||
Astellas Pharma | 293,500 | 4,176,183 | ||||||
Denso | 103,500 | 4,545,864 | ||||||
Fujitsu | 76,400 | 6,115,533 | ||||||
Hitachi * | 96,900 | 3,605,352 | ||||||
Internet Initiative Japan | 1,600 | 36,328 | ||||||
Itochu Techno-Solutions | 20,100 | 532,034 | ||||||
Japan Post Holdings | 56,200 | 517,170 | ||||||
KDDI | 25,200 | 658,405 | ||||||
Medipal Holdings | 29,600 | 658,660 | ||||||
Mitsubishi UFJ Financial Group | 538,000 | 2,728,686 | ||||||
Mixi | 78,200 | 1,643,918 | ||||||
Nichiha | 5,900 | 160,971 | ||||||
Nihon Unisys | 2,900 | 93,336 | ||||||
Nippon Telegraph & Telephone | 47,800 | 2,279,369 | ||||||
Noritake | 600 | 22,058 | ||||||
NTT DOCOMO | 150,300 | 3,826,829 | ||||||
Otsuka | 20,400 | 812,227 | ||||||
Rohto Pharmaceutical | 1,100 | 29,991 | ||||||
Secom | 60,600 | 5,525,039 | ||||||
Showa | 5,000 | 72,000 | ||||||
SoftBank Group | 86,400 | 3,388,079 | ||||||
Sumitomo Dainippon Pharma | 103,800 | 1,704,000 | ||||||
Sumitomo Mitsui Financial Group | 23,500 | 803,075 | ||||||
Suzuken | 88,500 | 4,747,283 | ||||||
Systena | 3,800 | 56,442 | ||||||
T-Gaia | 78,900 | 1,590,040 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Japan (continued) | ||||||||
TIS | 1,800 | $ | 103,713 | |||||
Tokio Marine Holdings | 17,700 | 946,019 | ||||||
Tokyo Electric Power Co. Holdings † | 765,400 | 3,744,708 | ||||||
Tokyo Sangyo | 1,401 | 6,401 | ||||||
Toray Industries | 477,200 | 3,539,996 | ||||||
|
| |||||||
58,797,778 | ||||||||
|
| |||||||
Luxembourg – 0.68% | ||||||||
Eurofins Scientific * | 7,940 | 3,690,152 | ||||||
|
| |||||||
3,690,152 | ||||||||
|
| |||||||
Malaysia – 0.04% | ||||||||
AMMB Holdings | 218,200 | 215,751 | ||||||
Lii Hen Industries | 26,800 | 20,034 | ||||||
|
| |||||||
235,785 | ||||||||
|
| |||||||
Mexico – 1.02% | ||||||||
Alpek | 579,517 | 674,840 | ||||||
Corp. Inmobiliaria Vesta | 53,466 | 82,039 | ||||||
Credito Real | 75,575 | 86,053 | ||||||
Gentera | 98,883 | 81,977 | ||||||
Grupo Aeroportuario del Centro Norte | 19,792 | 117,775 | ||||||
Grupo Financiero Banorte Class O | 608,300 | 3,278,544 | ||||||
Grupo Financiero Inbursa Class O | 170,518 | 217,317 | ||||||
Orbia Advance | 320,224 | 627,661 | ||||||
Qualitas Controladora | 101,990 | 363,947 | ||||||
|
| |||||||
5,530,153 | ||||||||
|
| |||||||
Netherlands – 4.78% | ||||||||
ASM International | 6,532 | 601,460 | ||||||
ASR Nederland | 13,697 | 505,647 | ||||||
EXOR | 48,394 | 3,242,888 | ||||||
Heineken | 46,899 | 5,068,818 | ||||||
Koninklijke Ahold Delhaize | 202,415 | 5,064,383 | ||||||
Koninklijke KPN | 465,545 | 1,451,731 | ||||||
Koninklijke Philips | 121,375 | 5,622,439 | ||||||
NXP Semiconductors | 11,354 | 1,238,948 | ||||||
Royal Dutch Shell Class A | 107,970 | 3,165,643 | ||||||
|
| |||||||
25,961,957 | ||||||||
|
| |||||||
New Zealand – 0.11% | ||||||||
Fisher & Paykel Healthcare | 53,024 | 574,423 | ||||||
|
| |||||||
574,423 | ||||||||
|
| |||||||
Norway – 2.30% | ||||||||
DNB | 298,140 | 5,251,569 |
(continues) | 49 |
Table of Contents
Schedules of investments
Optimum International Fund
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Norway (continued) |
| |||||||
Equinor ADR * | 212,123 | $ | 4,019,731 | |||||
Norsk Hydro | 917,768 | 3,228,150 | ||||||
|
| |||||||
12,499,450 | ||||||||
|
| |||||||
Philippines – 0.01% | ||||||||
Ginebra San Miguel | 36,090 | 32,762 | ||||||
|
| |||||||
32,762 | ||||||||
|
| |||||||
Poland – 0.08% | ||||||||
Asseco Poland | 24,238 | 308,558 | ||||||
Jastrzebska Spolka Weglowa | 1,900 | 10,319 | ||||||
LiveChat Software | 8,172 | 73,668 | ||||||
TEN Square Games | 741 | 24,798 | ||||||
|
| |||||||
417,343 | ||||||||
|
| |||||||
Portugal – 0.01% | ||||||||
NOS SGPS | 8,504 | 46,437 | ||||||
|
| |||||||
46,437 | ||||||||
|
| |||||||
Republic of Korea – 4.73% | ||||||||
Ahnlab | 5,359 | 299,726 | ||||||
AK Holdings | 623 | 16,380 | ||||||
BNK Financial Group | 30,687 | 184,458 | ||||||
Daehan Steel | 4,588 | 24,663 | ||||||
Daelim Industrial | 9,638 | 837,982 | ||||||
DB † | 5,542 | 3,532 | ||||||
DB HiTek | 34,374 | 459,795 | ||||||
DGB Financial Group | 55,979 | 348,655 | ||||||
DMS | 6,768 | 29,875 | ||||||
Gabia | 7,968 | 51,492 | ||||||
Hana Financial Group | 3,806 | 112,161 | ||||||
Hancom | 9,822 | 83,756 | ||||||
Handsome | 2,323 | 56,708 | ||||||
Hanwha Aerospace † | 2,216 | 78,088 | ||||||
Hanwha Investment & Securities † | 24,762 | 43,680 | ||||||
HDC Hyundai Development Co-Engineering & Construction | 2,880 | 79,094 | ||||||
Huneed Technologies † | 3,303 | 19,882 | ||||||
Hyundai Wia | 2,337 | 99,642 | ||||||
Industrial Bank of Korea | 61,223 | 675,621 | ||||||
JB Financial Group | 37,570 | 176,519 | ||||||
Kia Motors | 69,333 | 2,643,134 | ||||||
KT ADR | 213,894 | 2,419,141 | ||||||
LG Electronics | 48,487 | 2,732,119 | ||||||
LG Uplus | 43,138 | 492,274 | ||||||
LMS | 15,005 | 217,646 | ||||||
Mcnex | 9,985 | 197,838 | ||||||
MegaStudyEdu | 4,907 | 139,684 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Republic of Korea (continued) |
| |||||||
NHN KCP | 51,756 | $ | 923,789 | |||||
S Net Systems | 15,946 | 92,784 | ||||||
Samsung Electronics | 137,458 | 5,636,680 | ||||||
Samsung Securities | 25,793 | 762,264 | ||||||
SK Hynix | 79,746 | 5,480,183 | ||||||
Top Engineering | 7,295 | 52,754 | ||||||
UniTest | 9,140 | 107,359 | ||||||
YAS | 3,114 | 69,510 | ||||||
Zeus | 2,096 | 20,502 | ||||||
|
| |||||||
25,669,370 | ||||||||
|
| |||||||
Russia – 0.06% | ||||||||
Globaltrans Investment GDR | 3,093 | 26,600 | ||||||
Tatneft ADR | 4,613 | 292,926 | ||||||
|
| |||||||
319,526 | ||||||||
|
| |||||||
Singapore – 1.26% | ||||||||
DBS Group Holdings | 236,000 | 4,268,712 | ||||||
IGG | 79,000 | 49,188 | ||||||
Jardine Cycle & Carriage | 50,714 | 1,100,763 | ||||||
United Industrial | 703,300 | 1,434,943 | ||||||
|
| |||||||
6,853,606 | ||||||||
|
| |||||||
South Africa – 0.19% | ||||||||
AECI | 18,805 | 119,150 | ||||||
Anglo American Platinum | 2,060 | 124,189 | ||||||
Momentum Metropolitan Holdings | 88,888 | 109,459 | ||||||
Northam Platinum † | 10,201 | 55,986 | ||||||
Reunert | 21,958 | 100,040 | ||||||
Telkom | 109,756 | 511,567 | ||||||
|
| |||||||
1,020,391 | ||||||||
|
| |||||||
Spain – 2.44% | ||||||||
Amadeus IT Group | 96,850 | 6,937,512 | ||||||
Atlantica Yield | 243,639 | 5,869,264 | ||||||
Cia de Distribucion Integral Logista Holdings | 6,671 | 130,006 | ||||||
Iberdrola | 29,457 | 306,169 | ||||||
|
| |||||||
13,242,951 | ||||||||
|
| |||||||
Sweden – 0.28% | ||||||||
Betsson † | 7,275 | 35,215 | ||||||
Swedish Match | 35,715 | 1,476,991 | ||||||
|
| |||||||
1,512,206 | ||||||||
|
| |||||||
Switzerland – 4.72% | ||||||||
Credit Suisse Group | 252,222 | 3,079,631 | ||||||
Ferrexpo | 1,036,110 | 2,052,969 | ||||||
Novartis | 7,133 | 618,496 |
50
Table of Contents
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Switzerland (continued) | ||||||||
Novartis ADR * | 68,753 | $ | 5,974,636 | |||||
Roche Holding | 46,289 | 13,470,908 | ||||||
Zehnder Group | 11,237 | 449,795 | ||||||
|
| |||||||
25,646,435 | ||||||||
|
| |||||||
Taiwan – 4.01% | ||||||||
APCB | 67,000 | 58,511 | ||||||
ASE Technology Holding | 1,497,671 | 3,409,903 | ||||||
Asia Vital Components | 477,000 | 584,237 | ||||||
Axiomtek | 13,000 | 23,823 | ||||||
Chenbro Micom | 32,000 | 75,824 | ||||||
Chia Chang | 155,000 | 186,469 | ||||||
Chicony Electronics | 86,000 | 253,326 | ||||||
China Life Insurance † | 96,000 | 76,110 | ||||||
Compal Electronics | 43,000 | 24,809 | ||||||
Elan Microelectronics | 143,500 | 396,439 | ||||||
Eson Precision Ind | 10,000 | 12,801 | ||||||
Farglory Land Development | 55,000 | 64,812 | ||||||
Hannstar Board | 94,000 | 123,455 | ||||||
Hon Hai Precision Industry | 1,115,200 | 2,631,447 | ||||||
Kindom Development | 37,000 | 32,726 | ||||||
Lite-On Technology | 101,000 | 160,453 | ||||||
Lumax International | 22,000 | 58,002 | ||||||
Phison Electronics | 58,000 | 515,818 | ||||||
Primax Electronics | 114,000 | 217,064 | ||||||
Radiant Opto-Electronics | 518,000 | 1,978,334 | ||||||
Realtek Semiconductor | 64,000 | 474,502 | ||||||
Simplo Technology | 27,000 | 226,043 | ||||||
Sitronix Technology | 79,000 | 424,071 | ||||||
Synnex Technology International | 495,000 | 578,921 | ||||||
Taiwan Business Bank | 1,529,892 | 628,354 | ||||||
Taiwan PCB Techvest | 279,000 | 322,912 | ||||||
Taiwan Semiconductor Manufacturing | 699,000 | 6,208,193 | ||||||
Topco Scientific | 55,000 | 169,185 | ||||||
TPK Holding † | 71,000 | 127,951 | ||||||
Tripod Technology | 172,000 | 618,376 | ||||||
Unitech Printed Circuit Board | 226,000 | 257,508 | ||||||
Winbond Electronics | 1,043,000 | 599,754 | ||||||
Wistron | 265,000 | 213,863 | ||||||
Yuanta Financial Holding | 70,000 | 41,769 | ||||||
|
| |||||||
21,775,765 | ||||||||
|
| |||||||
Thailand – 1.17% | ||||||||
Krung Thai Bank NVDR | 2,935,400 | 1,650,773 | ||||||
PTT Exploration & Production | 104,700 | 414,213 | ||||||
PTT Exploration & Production NVDR | 911,700 | 3,606,856 |
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
Thailand (continued) | ||||||||
Thanachart Capital NVDR | 365,600 | $ | 681,354 | |||||
|
| |||||||
6,353,196 | ||||||||
|
| |||||||
Turkey – 0.61% | ||||||||
Aksigorta | 21,114 | 19,368 | ||||||
Dogan Sirketler Grubu Holding | 1,241,079 | 336,258 | ||||||
Haci Omer Sabanci Holding | 152,100 | 257,765 | ||||||
Logo Yazilim Sanayi Ve Ticaret † | 3,548 | 25,220 | ||||||
Migros Ticaret † | 23,775 | 87,404 | ||||||
Turkiye Garanti Bankasi † | 837,821 | 1,514,814 | ||||||
Turkiye Halk Bankasi † | 400,884 | 465,698 | ||||||
Turkiye Sise ve Cam Fabrikalari | 574,083 | 474,760 | ||||||
Vestel Elektronik Sanayi ve Ticaret † | 77,493 | 137,503 | ||||||
|
| |||||||
3,318,790 | ||||||||
|
| |||||||
United Arab Emirates – 0.11% | ||||||||
Air Arabia † | 701,691 | 238,791 | ||||||
Emaar Properties | 273,104 | 342,760 | ||||||
|
| |||||||
581,551 | ||||||||
|
| |||||||
United Kingdom – 8.60% | ||||||||
3i Group | 35,040 | 502,568 | ||||||
Auto Trader Group ADR | 15,123 | 23,289 | ||||||
BAE Systems | 514,027 | 3,602,525 | ||||||
Barclays | 1,723,358 | 3,186,908 | ||||||
Bloomsbury Publishing | 18,837 | 55,586 | ||||||
BT Group | 393,665 | 864,382 | ||||||
Diageo | 168,067 | 6,887,537 | ||||||
Dialog Semiconductor † | 21,808 | 1,032,315 | ||||||
Drax Group | 18,085 | 61,417 | ||||||
Elektron Technology † | 43,955 | 29,454 | ||||||
Evraz | 45,957 | 264,224 | ||||||
Greggs | 1,048 | 26,931 | ||||||
H&T Group | 623 | 2,911 | ||||||
HSBC Holdings | 497,835 | 3,823,258 | ||||||
Hudson Class A † | 17,538 | 215,191 | ||||||
Indivior † | 377,052 | 224,941 | ||||||
International Consolidated Airlines Group | 201,763 | 1,178,369 | ||||||
ITV | 1,331,777 | 2,061,595 | ||||||
Legal & General Group | 161,027 | 491,809 | ||||||
London Stock Exchange Group | 30,160 | 2,710,042 | ||||||
Nomad Foods † | 79,045 | 1,620,423 | ||||||
RELX | 173,164 | 4,120,196 | ||||||
Rio Tinto | 51,397 | 3,214,760 |
(continues) | 51 |
Table of Contents
Schedules of investments
Optimum International Fund
Number of shares | Value (US $) | |||||||
Common StockD (continued) |
| |||||||
United Kingdom (continued) | ||||||||
Rio Tinto ADR * | 65,943 | $ | 3,434,971 | |||||
Softcat | 38,345 | 472,414 | ||||||
Standard Chartered | 104,604 | 879,990 | ||||||
Unilever | 95,070 | 5,714,728 | ||||||
|
| |||||||
46,702,734 | ||||||||
|
| |||||||
United States – 6.77% |
| |||||||
Atlantic Power † | 11,200 | 26,122 | ||||||
Atlassian Class A † | 29,958 | 3,757,932 | ||||||
Carnival * | 85,929 | 3,755,957 | ||||||
Core Laboratories | 64,245 | 2,995,102 | ||||||
Everest Re Group | 19,920 | 5,300,513 | ||||||
ICON † | 96,215 | 14,176,316 | ||||||
JBS | 790,600 | 6,225,931 | ||||||
Project Star =p† | 1,420 | 421,168 | ||||||
Project Star Series G =p† | 470 | 139,401 | ||||||
|
| |||||||
36,798,442 | ||||||||
|
| |||||||
Total Common Stock | 537,098,711 | |||||||
|
| |||||||
Preferred Stock – 0.02%D |
| |||||||
Colombia – 0.02% | ||||||||
Banco Davivienda 2.02% | 9,006 | 108,693 | ||||||
|
| |||||||
Total Preferred Stock | 108,693 | |||||||
|
| |||||||
Short-Term Investments – 0.66% |
| |||||||
Money Market Mutual Funds – 0.66% |
| |||||||
BlackRock FedFund - Institutional Shares (seven-day effective yield 1.86%) | 711,221 | 711,227 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 1.86%) | 711,221 | 711,226 | ||||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 1.86%) | 711,221 | 711,226 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class (seven-day effective yield 1.85%) | 711,221 | 711,226 |
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
State Street Institutional US Government Money Market Fund - Investor Class (seven-day effective yield 1.80%) | 711,221 | $ | 711,225 | |||||
|
| |||||||
Total Short-Term Investments | 3,556,130 | |||||||
|
| |||||||
Total Value of Securities Before Securities Lending Collateral – 99.56% | 540,763,534 | |||||||
|
| |||||||
Principal amount° | ||||||||
Securities Lending Collateral** – 2.44% |
| |||||||
Certificates of Deposit – 0.33%≠ |
| |||||||
Australia & New Zealand Banking Group (Cayman) 2.00% 10/1/19 | 598,000 | 598,000 | ||||||
Bank of Nova Scotia (Toronto) 2.00% 10/1/19 | 598,000 | 598,000 | ||||||
Royal Bank of Canada (Toronto) 2.00% 10/1/19 | 598,000 | 598,000 | ||||||
|
| |||||||
1,794,000 | ||||||||
|
| |||||||
Repurchase Agreements – 2.11% |
| |||||||
Bank of Montreal 2.30%, dated 9/30/19, to be repurchased on 10/1/19, repurchase price $2,213,013 (collateralized by US government obligations 0.00%–8.75% 2/27/20–4/30/24; market value $2,257,131) | 2,212,872 | 2,212,872 | ||||||
Bank of Nova Scotia 2.35%, dated 9/30/19, to be repurchased on 10/1/19, repurchase price $3,092,432 (collateralized by US government obligations 0.00%–3.625% 10/1/19–9/9/49; market value $3,154,282) | 3,092,230 | 3,092,230 |
52
Table of Contents
Principal amount° | Value (US $) | |||||||
Securities Lending Collateral** (continued) |
| |||||||
Repurchase Agreements (continued) |
| |||||||
BofA Securities 2.30%, dated 9/30/19, to be repurchased on 10/1/19, repurchase price $3,092,428 (collateralized by US government obligations 1.25% 7/15/20; market value $3,154,078) | 3,092,230 | $ | 3,092,230 | |||||
Credit Agricole 2.30%, dated 9/30/19, to be repurchased on 10/1/19, repurchase price $3,092,428 (collateralized by US government obligations 2.00% 10/31/21; market value $3,154,076) | 3,092,230 | 3,092,230 | ||||||
|
| |||||||
11,489,562 | ||||||||
|
| |||||||
Total Securities Lending Collateral | 13,283,562 | |||||||
|
| |||||||
Total Value of Securities – 102.00% | $ | 554,047,096◾ | ||||||
|
|
* | Fully or partially on loan. |
** | See Note 7 in “Notes to financial statements “for additional information on securities lending collateral and non-cash collateral. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
≠ | The rate shown is the effective yield at the time of purchase. |
◾ | Includes $22,359,116 of securities loaned. |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
D | Securities have been classified by country of origin. Aggregate classification by business sector has been presented on page 4 in “Security type / country and sector allocations.” |
p | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At Sept. 30, 2019, the aggregate value of restricted securities was $560,569, which represented 0.10% of the Fund’s net assets. See the table below for additional details on restricted securities. See Note 8 in “Notes to financial statements” and the following table for additional details on restricted securities. |
† | Non-income producing security. |
Restricted Securities
Investment | Date of Acquisition | Cost | Value | |||||||||
Project Star | 5/7/14 | $ | 999,482 | $ | 421,168 | |||||||
Project Star | 10/29/14 | 396,443 | 139,401 | |||||||||
|
|
|
| |||||||||
Total | $ | 1,395,925 | $ | 560,569 | ||||||||
|
|
|
|
The following foreign currency exchange contracts were outstanding at Sept. 30, 2019:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||||||
BBH | BRL | (666,786 | ) | USD | 160,074 | 10/1/19 | $ | — | $ | (394 | ) | |||||||||||||||||||||
BBH | EUR | 194,711 | USD | (213,154 | ) | 10/1/19 | — | (913 | ) | |||||||||||||||||||||||
BBH | EUR | 190,443 | USD | (207,602 | ) | 10/2/19 | 3 | — | ||||||||||||||||||||||||
BBH | NOK | 449,174 | USD | (49,498 | ) | 10/1/19 | — | (125 | ) | |||||||||||||||||||||||
BBH | NOK | 581,897 | USD | (64,097 | ) | 10/2/19 | — | (133 | ) | |||||||||||||||||||||||
BBH | SGD | (1,125 | ) | USD | 814 | 10/1/19 | — | — | ||||||||||||||||||||||||
BBH | SGD | (8,979 | ) | USD | 6,490 | 10/2/19 | — | (6 | ) | |||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||
Total Foreign Currency Exchange Contracts |
| $ | 3 | $ | (1,571 | ) | ||||||||||||||||||||||||||
|
|
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 5 in “Notes to financial statements.”
(continues) | 53 |
Table of Contents
Schedules of investments
Optimum International Fund
Summary of abbreviations:
ADR – American Depositary Receipt
BBH – Brown Brothers Harriman & Co.
BRL – Brazilian Real
EUR – European Monetary Unit
GDR – Global Depositary Receipt
GS – Goldman Sachs
NOK – Norwegian Krone
NVDR – Non-Voting Depositary Receipt
SGD – Singapore Dollar
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
54
Table of Contents
Optimum Large Cap Growth Fund
September 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.04%² |
| |||||||
Communication Services – 15.96% |
| |||||||
Alphabet Class A † | 30,792 | $ | 37,601,343 | |||||
Alphabet Class C † | 42,920 | 52,319,480 | ||||||
Comcast Class A | 395,360 | 17,822,829 | ||||||
Facebook Class A † | 493,218 | 87,832,261 | ||||||
IAC/InterActiveCorp † | 30,061 | 6,552,396 | ||||||
Match Group | 775 | 55,366 | ||||||
Netflix † | 41,169 | 11,017,648 | ||||||
Tencent Holdings (China) (Hong Kong Exchange) | 407,300 | 17,159,429 | ||||||
Tencent Music Entertainment Group ADR † | 277,000 | 3,537,290 | ||||||
Walt Disney | 262,789 | 34,246,662 | ||||||
|
| |||||||
268,144,704 | ||||||||
|
| |||||||
Consumer Discretionary – 18.10% | ||||||||
Advance Auto Parts | 88,510 | 14,639,554 | ||||||
Alibaba Group Holding ADR † | 235,822 | 39,436,513 | ||||||
Amazon.com † | 69,180 | 120,090,254 | ||||||
Aptiv | 122,181 | 10,681,063 | ||||||
Booking Holdings † | 8,813 | 17,296,482 | ||||||
Chipotle Mexican Grill † | 8,580 | 7,211,233 | ||||||
Dollar General | 21,100 | 3,353,634 | ||||||
Dollar Tree † | 72,090 | 8,229,794 | ||||||
Dollarama | 227,526 | 8,145,494 | ||||||
Ferrari (Italy) | 50,148 | 7,727,305 | ||||||
GrubHub † | 117,320 | 6,594,557 | ||||||
Home Depot | 78,190 | 18,141,644 | ||||||
Las Vegas Sands | 107,100 | 6,186,096 | ||||||
McDonald’s | 21,348 | 4,583,629 | ||||||
MercadoLibre † | 4,413 | 2,432,578 | ||||||
MGM Resorts International | 160,800 | 4,457,376 | ||||||
NIKE Class B | 107,426 | 10,089,450 | ||||||
NVR † | 1,147 | 4,263,800 | ||||||
Restaurant Brands International | 39,913 | 2,839,411 | ||||||
Ulta Beauty † | 1,920 | 481,248 | ||||||
Wynn Resorts | 67,091 | 7,294,134 | ||||||
|
| |||||||
304,175,249 | ||||||||
|
| |||||||
Consumer Staples – 2.77% | ||||||||
Anheuser-Busch InBev ADR | 181,650 | 17,283,998 | ||||||
Costco Wholesale | 51,408 | 14,811,159 | ||||||
McCormick & Co. | 54,123 | 8,459,425 | ||||||
Philip Morris International | 77,954 | 5,919,047 | ||||||
|
| |||||||
46,473,629 | ||||||||
|
| |||||||
Energy – 0.86% | ||||||||
Concho Resources | 29,800 | 2,023,420 |
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Energy (continued) | ||||||||
Pioneer Natural Resources | 98,152 | $ | 12,344,577 | |||||
|
| |||||||
14,367,997 | ||||||||
|
| |||||||
Financials – 3.97% | ||||||||
American Express | 118,870 | 14,059,944 | ||||||
BlackRock | 27,960 | 12,460,094 | ||||||
Charles Schwab | 528,273 | 22,097,660 | ||||||
Chubb (Switzerland) | 30,200 | 4,875,488 | ||||||
Intercontinental Exchange | 59,022 | 5,445,960 | ||||||
S&P Global | 2,342 | 573,743 | ||||||
TD Ameritrade Holding | 153,823 | 7,183,534 | ||||||
|
| |||||||
66,696,423 | ||||||||
|
| |||||||
Healthcare – 12.09% | ||||||||
Alcon † | 79,749 | 4,650,460 | ||||||
Alexion Pharmaceuticals † | 141,678 | 13,875,943 | ||||||
Anthem | 29,700 | 7,130,970 | ||||||
Becton Dickinson and Co. | 47,363 | 11,980,944 | ||||||
BioMarin Pharmaceutical † | 110,080 | 7,419,392 | ||||||
Centene † | 134,446 | 5,816,134 | ||||||
Cigna | 40,876 | 6,204,568 | ||||||
HCA Healthcare | 51,127 | 6,156,713 | ||||||
Intuitive Surgical † | 24,303 | 13,121,919 | ||||||
Johnson & Johnson | 111,010 | 14,362,474 | ||||||
Stryker | 71,832 | 15,537,262 | ||||||
Thermo Fisher Scientific | 72,730 | 21,184,067 | ||||||
UnitedHealth Group | 164,357 | 35,718,063 | ||||||
Vertex Pharmaceuticals † | 75,794 | 12,841,020 | ||||||
WellCare Health Plans † | 17,510 | 4,538,067 | ||||||
Zoetis | 181,560 | 22,620,560 | ||||||
|
| |||||||
203,158,556 | ||||||||
|
| |||||||
Industrials – 10.33% | ||||||||
Boeing | 95,954 | 36,507,618 | ||||||
CH Robinson Worldwide | 80,577 | 6,831,318 | ||||||
Equifax | 22,520 | 3,167,888 | ||||||
Fortive | 103,606 | 7,103,227 | ||||||
Honeywell International | 125,010 | 21,151,692 | ||||||
IHS Markit (United Kingdom) † | 220,696 | 14,760,148 | ||||||
JB Hunt Transport Services | 47,295 | 5,233,192 | ||||||
Northrop Grumman | 22,098 | 8,282,109 | ||||||
Roper Technologies | 30,966 | 11,042,476 | ||||||
TransUnion | 107,853 | 8,747,957 | ||||||
Uber Technologies † | 282,665 | 8,612,803 | ||||||
United Parcel Service Class B | 155,310 | 18,609,244 | ||||||
Wabtec | 103,915 | 7,467,332 |
(continues) | 55 |
Table of Contents
Schedules of investments
Optimum Large Cap Growth Fund
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Industrials (continued) | ||||||||
WW Grainger | 54,220 | $ | 16,111,473 | |||||
|
| |||||||
173,628,477 | ||||||||
|
| |||||||
Information Technology – 29.95% |
| |||||||
Adobe † | 83,620 | 23,100,025 | ||||||
Akamai Technologies † | 200,620 | 18,332,656 | ||||||
Apple | 118,639 | 26,571,577 | ||||||
ASML Holding (Netherlands) | 38,025 | 9,446,172 | ||||||
Atlassian Class A † | 6,402 | 803,067 | ||||||
Fidelity National Information Services | 227,965 | 30,264,633 | ||||||
Fiserv † | 105,487 | 10,927,398 | ||||||
Global Payments | 32,890 | 5,229,520 | ||||||
Hexagon AB Class B | 93,747 | 4,519,718 | ||||||
Intuit | 51,038 | 13,573,046 | ||||||
Marvell Technology Group | 302,055 | 7,542,313 | ||||||
Mastercard Class A | 108,561 | 29,481,911 | ||||||
Microsoft | 666,280 | 92,632,908 | ||||||
Nutanix Class A † | 238,210 | 6,253,014 | ||||||
NVIDIA | 56,120 | 9,768,808 | ||||||
Oracle | 324,520 | 17,858,336 | ||||||
Palo Alto Networks † | 61,400 | 12,515,162 | ||||||
PayPal Holdings † | 73,297 | 7,592,836 | ||||||
QUALCOMM | 232,370 | 17,725,184 | ||||||
salesforce.com † | 84,436 | 12,533,680 | ||||||
ServiceNow † | 21,374 | 5,425,790 | ||||||
Slack Technologies Class A † | 114,293 | 2,712,173 | ||||||
Splunk † | 173,220 | 20,415,709 | ||||||
Symantec | 126,395 | 2,986,714 | ||||||
Temenos † | 29,025 | 4,856,645 | ||||||
Texas Instruments | 120,640 | 15,591,514 | ||||||
Visa Class A | 406,328 | 69,892,479 | ||||||
VMware Class A | 115,739 | 17,367,794 | ||||||
Workday Class A † | 41,868 | 7,115,885 | ||||||
Zoom Video Communications Class A † | 2,777 | 211,607 | ||||||
|
| |||||||
503,248,274 | ||||||||
|
| |||||||
Materials – 2.04% | ||||||||
DuPont de Nemours | 32,933 | 2,348,452 | ||||||
Ecolab | 75,940 | 15,039,158 | ||||||
Linde | 86,920 | 16,838,142 | ||||||
|
| |||||||
34,225,752 | ||||||||
|
| |||||||
Real Estate – 1.08% | ||||||||
Crown Castle International | 18,790 | 2,611,998 | ||||||
Equinix | 26,960 | 15,550,528 | ||||||
|
| |||||||
18,162,526 | ||||||||
|
|
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Utilities – 0.89% | ||||||||
NextEra Energy | 29,827 | $ | 6,949,393 | |||||
Sempra Energy | 53,939 | 7,961,936 | ||||||
|
| |||||||
14,911,329 | ||||||||
|
| |||||||
Total Common Stock | 1,647,192,916 | |||||||
|
| |||||||
Convertible Preferred Stock – 0.48% |
| |||||||
Airbnb Private Placement | ||||||||
Series D =p† | 23,130 | 2,617,160 | ||||||
Series E =p† | 13,611 | 1,540,085 | ||||||
Magic Leap =p† | 43,435 | 1,002,697 | ||||||
Uber Technologies | 34,197 | 989,883 | ||||||
WeWork Companies | 20,913 | 356,148 | ||||||
Xiaoju Kuaizhi (China) =p† | 32,416 | 1,568,464 | ||||||
|
| |||||||
Total Convertible Preferred Stock(cost $6,453,970) | 8,074,437 | |||||||
|
| |||||||
Short-Term Investments – 1.29% |
| |||||||
Money Market Mutual Funds – 1.29% |
| |||||||
BlackRock FedFund - Institutional Shares (seven-day effective yield 1.86%) | 4,341,518 | 4,342,416 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 1.86%) | 4,341,519 | 4,342,418 | ||||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 1.86%) | 4,341,519 | 4,342,416 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class (seven-day effective yield 1.85%) | 4,341,519 | 4,342,417 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class (seven-day effective yield 1.80%) | 4,341,519 | 4,342,095 | ||||||
|
| |||||||
Total Short-Term Investments | 21,711,762 | |||||||
|
|
56
Table of Contents
Total Value of Securities – 99.81% | $ | 1,676,979,115 | ||
|
|
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
p | Restricted security. These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At Sept. 30, 2019, the aggregate value of restricted securities was $8,074,437, which represented 0.48% of the Fund’s net assets. See Note 8 in “Notes to financial statements” and the following table, for additional details on restricted securities. |
† | Non-income producing security. |
Restricted securities
Investment | Date of Acquisition | Cost | Value | |||||||||
Airbnb Private Placement Series D | 4/16/14 | $ | 941,693 | $ | 2,617,160 | |||||||
Airbnb Private Placement Series E | 7/14/15 | 1,267,108 | 1,540,085 | |||||||||
Magic Leap | 1/20/16 | 1,000,438 | 1,002,697 | |||||||||
Uber Technologies Series G | 12/3/15 | 1,667,863 | 989,883 | |||||||||
WeWork Companies Series E | 6/23/15 | 687,820 | 356,148 | |||||||||
Xiaoju Kuaizhi (China) | 10/19/15 | 889,048 | 1,568,464 | |||||||||
|
|
|
| |||||||||
Total | $ | 6,453,970 | $ | 8,074,437 | ||||||||
|
|
|
|
The following foreign currency exchange contracts were outstanding at Sept. 30, 2019:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||||||
HSBC | HKD (1,751,294) | USD 223,368 | 10/3/19 | $ | (89 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contract presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 5 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
GS – Goldman Sachs
HKD – Hong Kong Dollar
HSBC – Hong Kong Shanghai Bank
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
(continues) | 57 |
Table of Contents
Schedules of investments
Optimum Large Cap Value Fund
September 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.40%² |
| |||||||
Communication Services – 7.73% |
| |||||||
Alphabet Class A † | 7,003 | $ | 8,551,643 | |||||
AT&T | 604,052 | 22,857,328 | ||||||
Comcast Class A | 961,675 | 43,352,309 | ||||||
Discovery Class A † | 395,303 | 10,526,919 | ||||||
Omnicom Group | 31,076 | 2,433,251 | ||||||
Verizon Communications | 484,348 | 29,235,245 | ||||||
Walt Disney | 80,496 | 10,490,239 | ||||||
|
| |||||||
127,446,934 | ||||||||
|
| |||||||
Consumer Discretionary – 2.07% |
| |||||||
Aptiv | 82,072 | 7,174,734 | ||||||
BorgWarner | 95,049 | 3,486,397 | ||||||
Hanesbrands | 87,124 | 1,334,740 | ||||||
Harley-Davidson | 24,571 | 883,819 | ||||||
Lear | 11,331 | 1,335,925 | ||||||
PVH | 88,389 | 7,798,561 | ||||||
Royal Caribbean Cruises | 112,332 | 12,168,926 | ||||||
|
| |||||||
34,183,102 | ||||||||
|
| |||||||
Consumer Staples – 8.21% | ||||||||
Altria Group | 81,130 | 3,318,217 | ||||||
Archer-Daniels-Midland | 104,475 | 4,290,788 | ||||||
Colgate-Palmolive | 23,617 | 1,736,086 | ||||||
Danone (France) | 46,234 | 4,072,742 | ||||||
Diageo (United Kingdom) | 255,354 | 10,464,637 | ||||||
General Mills | 21,956 | 1,210,215 | ||||||
JM Smucker | 27,648 | 3,041,833 | ||||||
Kimberly-Clark | 72,504 | 10,299,193 | ||||||
Mondelez International Class A | 208,235 | 11,519,560 | ||||||
Nestle (Switzerland) | 136,028 | 14,757,890 | ||||||
PepsiCo | 140,603 | 19,276,671 | ||||||
Philip Morris International | 155,032 | 11,771,580 | ||||||
Procter & Gamble | 225,900 | 28,097,442 | ||||||
Reckitt Benckiser Group (United Kingdom) | 45,943 | 3,583,676 | ||||||
Tyson Foods Class A | 92,405 | 7,959,767 | ||||||
|
| |||||||
135,400,297 | ||||||||
|
| |||||||
Energy – 5.93% | ||||||||
Chevron | 224,187 | 26,588,578 | ||||||
ConocoPhillips | 180,140 | 10,264,377 | ||||||
Diamondback Energy | 104,676 | 9,411,419 | ||||||
EOG Resources | 177,083 | 13,143,100 | ||||||
Exxon Mobil | 74,413 | 5,254,302 | ||||||
Marathon Petroleum | 199,484 | 12,118,653 | ||||||
Phillips 66 | 89,853 | 9,200,947 | ||||||
Pioneer Natural Resources | 13,439 | 1,690,223 | ||||||
Schlumberger | 189,161 | 6,463,631 |
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Energy (continued) | ||||||||
Suncor Energy (Canada) | 117,094 | $ | 3,693,519 | |||||
|
| |||||||
97,828,749 | ||||||||
|
| |||||||
Financials – 25.79% | ||||||||
Allstate | 79,855 | 8,678,641 | ||||||
American Express | 111,998 | 13,247,123 | ||||||
Aon (United Kingdom) | 99,068 | 19,176,593 | ||||||
Bank of America | 914,786 | 26,684,308 | ||||||
Bank of New York Mellon | 151,274 | 6,839,098 | ||||||
BB&T | 233,627 | 12,468,673 | ||||||
Berkshire Hathaway Class B † | 46,653 | 9,704,757 | ||||||
BlackRock | 16,853 | 7,510,371 | ||||||
Charles Schwab | 187,510 | 7,843,543 | ||||||
Chubb (Switzerland) | 109,459 | 17,671,061 | ||||||
Citigroup | 262,678 | 18,145,796 | ||||||
Discover Financial Services | 142,489 | 11,554,433 | ||||||
E*TRADE Financial | 177,557 | 7,757,465 | ||||||
Goldman Sachs Group | 63,909 | 13,243,862 | ||||||
Hartford Financial Services Group | 217,074 | 13,156,855 | ||||||
Intercontinental Exchange | 114,323 | 10,548,583 | ||||||
JPMorgan Chase & Co. | 602,725 | 70,934,705 | ||||||
Marsh & McLennan | 87,570 | 8,761,380 | ||||||
MetLife | 60,783 | 2,866,526 | ||||||
Moody’s | 32,360 | 6,628,299 | ||||||
Nasdaq | 96,368 | 9,574,161 | ||||||
PNC Financial Services Group | 80,747 | 11,317,500 | ||||||
Prudential Financial | 151,256 | 13,605,477 | ||||||
State Street | 257,459 | 15,238,998 | ||||||
SunTrust Banks | 162,025 | 11,147,320 | ||||||
T Rowe Price Group | 35,301 | 4,033,139 | ||||||
Travelers | 167,346 | 24,882,677 | ||||||
US Bancorp | 323,006 | 17,875,152 | ||||||
Wells Fargo & Co. | 479,619 | 24,191,982 | ||||||
|
| |||||||
425,288,478 | ||||||||
|
| |||||||
Healthcare – 14.64% | ||||||||
Abbott Laboratories | 131,323 | 10,987,795 | ||||||
Biogen † | 26,543 | 6,179,741 | ||||||
Cigna | 134,006 | 20,340,771 | ||||||
Danaher | 159,843 | 23,086,124 | ||||||
Eli Lilly & Co. | 66,125 | 7,394,759 | ||||||
Gilead Sciences | 120,707 | 7,650,410 | ||||||
Hill-Rom Holdings | 90,011 | 9,471,858 | ||||||
Johnson & Johnson | 201,893 | 26,120,916 | ||||||
McKesson | 42,245 | 5,773,202 | ||||||
Medtronic (Ireland) | 410,001 | 44,534,309 | ||||||
Merck & Co. | 243,397 | 20,489,159 |
58
Table of Contents
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Healthcare (continued) | ||||||||
Novartis (Switzerland) | 21,073 | $ | 1,827,221 | |||||
Pfizer | 749,602 | 26,933,200 | ||||||
Roche Holding (Switzerland) | 12,366 | 3,598,722 | ||||||
Thermo Fisher Scientific | 73,999 | 21,553,689 | ||||||
UnitedHealth Group | 25,453 | 5,531,446 | ||||||
|
| |||||||
241,473,322 | ||||||||
|
| |||||||
Industrials – 14.01% | ||||||||
3M | 42,416 | 6,973,190 | ||||||
Canadian National Railway (Canada) | 53,011 | 4,763,568 | ||||||
Caterpillar | 69,512 | 8,780,061 | ||||||
Delta Air Lines | 207,167 | 11,932,819 | ||||||
Eaton | 111,606 | 9,280,039 | ||||||
Equifax | 52,812 | 7,429,064 | ||||||
Honeywell International | 149,088 | 25,225,690 | ||||||
Illinois Tool Works | 83,713 | 13,100,247 | ||||||
Ingersoll-Rand | 132,620 | 16,340,110 | ||||||
Johnson Controls International | 303,162 | 13,305,780 | ||||||
Lockheed Martin | 47,485 | 18,521,999 | ||||||
Northrop Grumman | 88,558 | 33,190,653 | ||||||
Owens Corning | 104,918 | 6,630,818 | ||||||
Quanta Services | 277,170 | 10,477,026 | ||||||
Stanley Black & Decker | 60,773 | 8,776,229 | ||||||
Textron | 121,755 | 5,961,125 | ||||||
Union Pacific | 63,119 | 10,224,016 | ||||||
United Technologies | 70,976 | 9,689,644 | ||||||
Waste Management | 90,042 | 10,354,830 | ||||||
|
| |||||||
230,956,908 | ||||||||
|
| |||||||
Information Technology – 8.13% |
| |||||||
Accenture Class A (Ireland) | 114,098 | 21,946,750 | ||||||
Analog Devices | 56,515 | 6,314,421 | ||||||
Broadcom | 46,437 | 12,819,863 | ||||||
Cisco Systems | 256,223 | 12,659,978 | ||||||
Cognizant Technology Solutions Class A | 54,351 | 3,275,463 | ||||||
DXC Technology | 22,685 | 669,208 | ||||||
Fidelity National Information Services | 83,574 | 11,095,284 | ||||||
Fiserv † | 114,451 | 11,855,979 | ||||||
Intel | 139,125 | 7,169,111 | ||||||
Microsoft | 53,029 | 7,372,622 | ||||||
NXP Semiconductors (Netherlands) | 31,320 | 3,417,638 | ||||||
ON Semiconductor † | 477,450 | 9,171,815 | ||||||
Oracle | 130,076 | 7,158,082 |
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Information Technology (continued) |
| |||||||
Texas Instruments | 147,313 | $ | 19,038,732 | |||||
|
| |||||||
133,964,946 | ||||||||
|
| |||||||
Materials – 3.36% | ||||||||
Air Products & Chemicals | 47,156 | 10,462,030 | ||||||
CF Industries Holdings | 114,807 | 5,648,504 | ||||||
Corteva | 34,743 | 972,804 | ||||||
DuPont de Nemours | 86,579 | 6,173,948 | ||||||
Huntsman | 325,698 | 7,575,735 | ||||||
PPG Industries | 130,216 | 15,431,898 | ||||||
Sherwin-Williams | 16,621 | 9,139,389 | ||||||
|
| |||||||
55,404,308 | ||||||||
|
| |||||||
Real Estate – 2.72% | ||||||||
Alexandria Real Estate Equities | 33,618 | 5,178,517 | ||||||
AvalonBay Communities | 28,812 | 6,204,088 | ||||||
Boston Properties | 78,407 | 10,166,252 | ||||||
Equity LifeStyle Properties | 32,258 | 4,309,669 | ||||||
Highwoods Properties | 99,248 | 4,460,205 | ||||||
Prologis | 131,670 | 11,220,917 | ||||||
Public Storage | 13,753 | 3,373,198 | ||||||
|
| |||||||
44,912,846 | ||||||||
|
| |||||||
Utilities – 5.81% | ||||||||
American Electric Power | 166,334 | 15,583,832 | ||||||
DTE Energy | 106,108 | 14,108,120 | ||||||
Duke Energy | 191,839 | 18,389,687 | ||||||
FirstEnergy | 236,382 | 11,400,704 | ||||||
Southern | 241,713 | 14,930,612 | ||||||
Xcel Energy | 329,758 | 21,397,997 | ||||||
|
| |||||||
95,810,952 | ||||||||
|
| |||||||
Total Common Stock | 1,622,670,842 | |||||||
|
| |||||||
Short-Term Investments – 1.48% |
| |||||||
Money Market Mutual Funds – 1.48% |
| |||||||
BlackRock FedFund - Institutional Shares (seven-day effective yield 1.86%) | 4,867,750 | 4,868,827 |
(continues) | 59 |
Table of Contents
Schedules of investments
Optimum Large Cap Value Fund
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 1.86%) | 4,867,750 | $ | 4,868,829 | |||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 1.86%) | 4,867,750 | 4,868,827 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class (seven-day effective yield 1.85%) | 4,867,750 | 4,868,828 |
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
State Street Institutional US Government Money Market Fund - Investor Class (seven-day effective yield 1.80%) | 4,867,750 | $ | 4,868,425 | |||||
|
| |||||||
Total Short-Term Investments | 24,343,736 | |||||||
|
| |||||||
Total Value of Securities – 99.88% | $ | 1,647,014,578 | ||||||
|
|
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
The following foreign currency exchange contracts were outstanding at Sept. 30, 2019:1
Foreign Currency Exchange Contracts
Counterparty | Contracts to Receive (Deliver) | In Exchange For | Settlement Date | Unrealized Depreciation | ||||||||||||||||
JPMS | CAD | 493,181 | USD | (372,459 | ) | 10/1/19 | $ | (198 | ) | |||||||||||
MSC | CAD | 190,416 | USD | (143,785 | ) | 10/2/19 | (54 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (252 | ) | ||||||||||||||||||
|
|
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 5 in “Notes to financial statements.”
Summary of abbreviations:
CAD – Canadian Dollar
GS – Goldman Sachs
JPMS – JPMorgan Securities LLC
MSC – Morgan Stanley & Co.
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
60
Table of Contents
Optimum Small-Mid Cap Growth Fund
September 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 96.05%² |
| |||||||
Communication Services – 1.03% |
| |||||||
Lions Gate Entertainment Class B † | 88,943 | $ | 777,362 | |||||
Sea ADR † | 72,546 | 2,245,299 | ||||||
Zynga Class A † | 351,785 | 2,047,389 | ||||||
|
| |||||||
5,070,050 | ||||||||
|
| |||||||
Consumer Discretionary – 9.72% |
| |||||||
Boot Barn Holdings † | 50,085 | 1,747,967 | ||||||
Burlington Stores † | 21,339 | 4,263,959 | ||||||
Callaway Golf | 73,879 | 1,433,991 | ||||||
CarMax † | 23,789 | 2,093,432 | ||||||
Chegg † | 43,509 | 1,303,094 | ||||||
Children’s Place | 23,788 | 1,831,438 | ||||||
Eldorado Resorts † | 65,654 | 2,617,625 | ||||||
Extended Stay America | 139,133 | 2,036,907 | ||||||
Five Below † | 39,469 | 4,977,041 | ||||||
Floor & Decor Holdings Class A † | 27,623 | 1,412,916 | ||||||
Fox Factory Holding † | 34,871 | 2,170,371 | ||||||
G-III Apparel Group † | 60,539 | 1,560,090 | ||||||
Houghton Mifflin Harcourt † | 155,269 | 827,584 | ||||||
International Game Technology | 174,026 | 2,472,909 | ||||||
Lululemon Athletica (Canada) † | 23,527 | 4,529,653 | ||||||
Media General CVR =† | 49,291 | 0 | ||||||
Monro | 22,464 | 1,774,881 | ||||||
Papa John’s International | 40,624 | 2,126,666 | ||||||
Roku † | 18,347 | 1,866,991 | ||||||
Skyline Champion † | 81,506 | 2,452,516 | ||||||
Strategic Education | 14,536 | 1,975,152 | ||||||
Wendy’s | 123,435 | 2,466,231 | ||||||
|
| |||||||
47,941,414 | ||||||||
|
| |||||||
Consumer Staples – 2.33% |
| |||||||
Boston Beer Class A † | 3,461 | 1,260,081 | ||||||
Church & Dwight | 51,917 | 3,906,235 | ||||||
Freshpet † | 34,057 | 1,695,017 | ||||||
Performance Food Group † | 100,616 | 4,629,342 | ||||||
|
| |||||||
11,490,675 | ||||||||
|
| |||||||
Energy – 1.06% | ||||||||
Diamondback Energy | 26,336 | 2,367,870 | ||||||
GasLog (Monaco) | 96,729 | 1,242,968 | ||||||
Parsley Energy Class A | 96,534 | 1,621,771 | ||||||
|
| |||||||
5,232,609 | ||||||||
|
| |||||||
Financials – 7.16% | ||||||||
Argo Group International Holdings (Bermuda) | 44,320 | 3,113,037 | ||||||
Essent Group | 65,767 | 3,135,113 |
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Financials (continued) | ||||||||
Evercore Class A | 39,868 | $ | 3,193,427 | |||||
FirstCash | 21,953 | 2,012,431 | ||||||
Focus Financial Partners Class A † | 29,888 | 711,334 | ||||||
Goosehead Insurance Class A † | 37,986 | 1,874,609 | ||||||
Hamilton Lane Class A | 70,300 | 4,004,288 | ||||||
Palomar Holdings † | 44,474 | 1,753,165 | ||||||
Signature Bank | 12,133 | 1,446,496 | ||||||
Stifel Financial | 51,014 | 2,927,183 | ||||||
SVB Financial Group † | 34,458 | 7,199,999 | ||||||
Triumph Bancorp † | 43,780 | 1,396,144 | ||||||
Virtu Financial Class A | 63,439 | 1,037,862 | ||||||
Virtus Investment Partners | 13,262 | 1,466,379 | ||||||
|
| |||||||
35,271,467 | ||||||||
|
| |||||||
Healthcare – 22.81% |
| |||||||
ACADIA Pharmaceuticals † | 38,237 | 1,376,150 | ||||||
Allscripts Healthcare Solutions † | 135,780 | 1,490,864 | ||||||
Alnylam Pharmaceuticals † | 18,075 | 1,453,591 | ||||||
Amedisys † | 12,004 | 1,572,644 | ||||||
AMN Healthcare Services † | 41,697 | 2,400,079 | ||||||
AtriCure † | 84,938 | 2,118,354 | ||||||
Axogen † | 63,118 | 787,713 | ||||||
Bluebird Bio † | 11,509 | 1,056,756 | ||||||
CareDx † | 58,036 | 1,312,194 | ||||||
Cerus † | 198,322 | 1,022,350 | ||||||
CONMED | 58,253 | 5,601,026 | ||||||
CryoPort † | 78,825 | 1,289,183 | ||||||
DexCom † | 92,044 | 13,736,647 | ||||||
Emergent BioSolutions † | 29,535 | 1,544,090 | ||||||
Evolent Health Class A † | 152,093 | 1,093,549 | ||||||
Exact Sciences † | 53,357 | 4,821,872 | ||||||
Flexion Therapeutics † | 76,516 | 1,048,652 | ||||||
Galapagos ADR † | 7,094 | 1,082,970 | ||||||
Glaukos † | 31,853 | 1,991,131 | ||||||
Haemonetics † | 21,070 | 2,657,770 | ||||||
HealthEquity † | 27,917 | 1,595,317 | ||||||
Horizon Therapeutics † | 156,093 | 4,250,412 | ||||||
ICON (Ireland) † | 22,057 | 3,249,878 | ||||||
Immunomedics † | 83,884 | 1,112,302 | ||||||
Inspire Medical Systems † | 94,133 | 5,743,996 | ||||||
Insulet † | 28,041 | 4,624,802 | ||||||
Intercept Pharmaceuticals † | 16,494 | 1,094,542 | ||||||
Invitae † | 68,421 | 1,318,473 | ||||||
Ionis Pharmaceuticals † | 19,123 | 1,145,659 | ||||||
Iovance Biotherapeutics † | 63,624 | 1,157,957 | ||||||
Ironwood Pharmaceuticals † | 125,604 | 1,078,310 |
(continues) | 61 |
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Healthcare (continued) |
| |||||||
LHC Group † | 12,064 | $ | 1,369,988 | |||||
Mirati Therapeutics † | 12,300 | 958,293 | ||||||
Momenta Pharmaceuticals † | 81,954 | 1,062,124 | ||||||
Natera † | 84,517 | 2,772,158 | ||||||
Novocure † | 14,850 | 1,110,483 | ||||||
Omnicell † | 26,380 | 1,906,483 | ||||||
Pacira BioSciences † | 33,234 | 1,265,218 | ||||||
Penumbra † | 11,751 | 1,580,392 | ||||||
PetIQ † | 65,644 | 1,789,455 | ||||||
Portola Pharmaceuticals † | 46,949 | 1,259,172 | ||||||
Sage Therapeutics † | 21,041 | 2,951,842 | ||||||
Syneos Health † | 64,976 | 3,457,373 | ||||||
Tabula Rasa HealthCare † | 29,663 | 1,629,685 | ||||||
Tactile Systems Technology † | 51,759 | 2,190,441 | ||||||
Tandem Diabetes Care † | 114,081 | 6,728,497 | ||||||
Teladoc Health † | 33,616 | 2,276,475 | ||||||
Vocera Communications † | 41,109 | 1,013,337 | ||||||
Wright Medical Group (Netherlands) † | 64,170 | 1,323,827 | ||||||
|
| |||||||
112,474,476 | ||||||||
|
| |||||||
Industrials – 18.16% | ||||||||
AAR | 158,563 | 6,534,381 | ||||||
AGCO | 27,143 | 2,054,725 | ||||||
AO Smith | 41,491 | 1,979,536 | ||||||
ASGN † | 52,209 | 3,281,858 | ||||||
Atkore International Group † | 64,464 | 1,956,482 | ||||||
Chart Industries † | 25,096 | 1,564,987 | ||||||
CIRCOR International † | 47,070 | 1,767,479 | ||||||
Clean Harbors † | 89,228 | 6,888,402 | ||||||
CoStar Group † | 11,367 | 6,742,904 | ||||||
Dycom Industries † | 22,683 | 1,157,967 | ||||||
FTI Consulting † | 13,251 | 1,404,473 | ||||||
Gardner Denver Holdings † | 67,543 | 1,910,791 | ||||||
GrafTech International | 126,566 | 1,620,045 | ||||||
Granite Construction | 59,494 | 1,911,542 | ||||||
Hub Group Class A † | 36,134 | 1,680,231 | ||||||
IAA † | 35,475 | 1,480,372 | ||||||
ICF International | 28,748 | 2,428,344 | ||||||
Kansas City Southern | 35,585 | 4,733,161 | ||||||
KAR Auction Services | 39,418 | 967,712 | ||||||
Knight-Swift Transportation Holdings | 47,017 | 1,706,717 | ||||||
Kratos Defense & Security Solutions † | 318,044 | 5,914,028 | ||||||
Masco | 125,243 | 5,220,128 | ||||||
Masonite International † | 25,188 | 1,460,904 | ||||||
Mercury Systems † | 20,400 | 1,655,868 | ||||||
Owens Corning | 45,026 | 2,845,643 |
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Industrials (continued) |
| |||||||
PGT Innovations † | 92,484 | $ | 1,597,199 | |||||
Schneider National Class B | 100,976 | 2,193,199 | ||||||
SPX † | 74,127 | 2,965,821 | ||||||
Tetra Tech | 34,398 | 2,984,370 | ||||||
TransUnion | 66,022 | 5,355,044 | ||||||
Wabash National | 99,727 | 1,447,039 | ||||||
Woodward | 19,556 | 2,108,723 | ||||||
|
| |||||||
89,520,075 | ||||||||
|
| |||||||
Information Technology – 30.34% |
| |||||||
Ambarella † | 119,769 | 7,525,685 | ||||||
Anaplan † | 60,864 | 2,860,608 | ||||||
Benchmark Electronics | 15,983 | 464,466 | ||||||
Benefitfocus † | 41,992 | 999,829 | ||||||
Black Knight † | 60,492 | 3,693,641 | ||||||
Box Class A † | 129,015 | 2,136,488 | ||||||
Cabot Microelectronics | 16,332 | 2,306,242 | ||||||
Carbon Black † | 39,165 | 1,017,898 | ||||||
Ciena † | 79,838 | 3,132,045 | ||||||
Cornerstone OnDemand † | 52,446 | 2,875,090 | ||||||
Cree † | 101,445 | 4,970,805 | ||||||
CyberArk Software (Israel) † | 21,846 | 2,180,668 | ||||||
Cypress Semiconductor | 116,992 | 2,730,593 | ||||||
Euronet Worldwide † | 23,215 | 3,396,355 | ||||||
Everbridge † | 27,308 | 1,685,177 | ||||||
Five9 † | 92,619 | 4,977,345 | ||||||
FormFactor † | 90,919 | 1,695,185 | ||||||
Inphi † | 30,603 | 1,868,313 | ||||||
Keysight Technologies † | 76,835 | 7,472,204 | ||||||
Lattice Semiconductor † | 124,347 | 2,273,685 | ||||||
LiveRamp Holdings † | 71,246 | 3,060,728 | ||||||
Lumentum Holdings † | 55,920 | 2,995,075 | ||||||
Manhattan Associates † | 21,479 | 1,732,711 | ||||||
Mimecast † | 43,958 | 1,567,982 | ||||||
Nanometrics † | 49,426 | 1,612,276 | ||||||
Napco Security Technologies † | 68,430 | 1,746,334 | ||||||
NIC | 100,928 | 2,084,163 | ||||||
Nuance Communications † | 132,673 | 2,163,897 | ||||||
Okta † | 24,832 | 2,444,959 | ||||||
PROS Holdings † | 25,197 | 1,501,741 | ||||||
PTC † | 40,330 | 2,749,699 | ||||||
Q2 Holdings † | 80,060 | 6,314,332 | ||||||
Rapid7 † | 101,863 | 4,623,562 | ||||||
RealPage † | 61,349 | 3,856,398 | ||||||
RingCentral Class A † | 37,821 | 4,752,587 | ||||||
Silicon Motion Technology ADR | 36,578 | 1,293,032 | ||||||
SS&C Technologies Holdings | 78,170 | 4,031,227 |
62
Table of Contents
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Information Technology (continued) |
| |||||||
SunPower † | 337,400 | $ | 3,701,278 | |||||
Talend ADR † | 22,518 | 765,162 | ||||||
Tech Data † | 19,216 | 2,003,076 | ||||||
Teradyne | 77,355 | 4,479,628 | ||||||
Twilio Class A † | 33,588 | 3,693,336 | ||||||
Tyler Technologies † | 16,433 | 4,313,663 | ||||||
Verra Mobility † | 127,796 | 1,833,873 | ||||||
Viavi Solutions † | 201,234 | 2,818,282 | ||||||
WEX † | 41,311 | 8,347,714 | ||||||
Zendesk † | 101,387 | 7,389,085 | ||||||
Zuora Class A † | 94,871 | 1,427,809 | ||||||
|
| |||||||
149,565,931 | ||||||||
|
| |||||||
Materials – 3.03% | ||||||||
Boise Cascade | 65,098 | 2,121,544 | ||||||
Crown Holdings † | 87,501 | 5,780,316 | ||||||
Element Solutions † | 193,368 | 1,968,486 | ||||||
Orion Engineered Carbons (Luxembourg) | 97,114 | 1,622,775 | ||||||
Steel Dynamics | 52,351 | 1,560,060 | ||||||
US Concrete † | 34,400 | 1,901,632 | ||||||
|
| |||||||
14,954,813 | ||||||||
|
| |||||||
Real Estate – 0.41% | ||||||||
QTS Realty Trust Class A | 39,388 | 2,024,937 | ||||||
|
| |||||||
2,024,937 | ||||||||
|
| |||||||
Total Common Stock | 473,546,447 | |||||||
|
| |||||||
Convertible Preferred Stock – 0.28% |
| |||||||
Draftkings | ||||||||
Series D =† | 83,549 | 172,111 | ||||||
Series D-1 =p† | 100,507 | 207,044 | ||||||
Honest=p† | 15,249 | 193,190 | ||||||
MarkLogic=p† | 83,588 | 798,182 | ||||||
|
| |||||||
Total Convertible Preferred Stock(cost $2,362,296) | 1,370,527 | |||||||
|
| |||||||
Short-Term Investments – 3.07% |
| |||||||
Money Market Mutual Funds – 3.07% |
| |||||||
BlackRock FedFund - Institutional Shares (seven-day effective yield 1.86%) | 3,026,956 | 3,027,159 |
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 1.86%) | 3,026,956 | $ | 3,027,159 | |||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 1.86%) | 3,026,956 | 3,027,158 | ||||||
Morgan Stanley Government Portfolio - Institutional Share Class (seven-day effective yield 1.85%) | 3,026,956 | 3,027,158 | ||||||
State Street Institutional US Government Money Market Fund - Investor Class (seven-day effective yield 1.80%) | 3,026,956 | 3,027,056 | ||||||
|
| |||||||
Total Short-Term Investments | 15,135,690 | |||||||
|
| |||||||
Total Value of Securities – 99.40% | $ | 490,052,664 | ||||||
|
|
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
p | Restricted security.These investments are in securities not registered under the Securities Act of 1933, as amended, and have certain restrictions on resale which may limit their liquidity. At Sept. 30, 2019, the aggregate value of restricted securities was $1,198,416 which represented 0.24% of the Fund’s net assets. The Fund has various registration rights (exercisable under a variety of circumstances) with respect to these securities. See Note 8 in “Notes to financial statements” and the following table for additional details on restricted securities. |
† | Non-income producing security. |
(continues) | 63 |
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Growth Fund
Restricted Securities
Investment | Date of Acquisition | Cost | Value | |||||||||
Draftkings Series D-1 | 8/18/15 | $ | 388,676 | $ | 207,044 | |||||||
Honest | 8/3/15 | 697,718 | 193,190 | |||||||||
MarkLogic | 4/27/15 | 970,808 | 798,182 | |||||||||
|
|
|
| |||||||||
Total | $ | 2,057,202 | $ | 1,198,416 | ||||||||
|
|
|
|
Summary of abbreviations:
ADR – American Depositary Receipt
CVR – Contingent Voting Rights
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements.
64
Table of Contents
Optimum Small-Mid Cap Value Fund
September 30, 2019 (Unaudited)
Number of shares | Value (US $) | |||||||
Common Stock – 98.55%² | ||||||||
Communication Services – 1.09% |
| |||||||
AMC Networks Class A † | 30,800 | $ | 1,514,128 | |||||
Cable One | 2,207 | 2,769,123 | ||||||
CenturyLink | 78,300 | 977,184 | ||||||
Entercom Communications Class A | 206,300 | 689,042 | ||||||
|
| |||||||
5,949,477 | ||||||||
|
| |||||||
Consumer Discretionary – 10.75% |
| |||||||
American Axle & Manufacturing Holdings † | 114,200 | 938,724 | ||||||
American Eagle Outfitters | 62,200 | 1,008,884 | ||||||
Bed Bath & Beyond | 38,700 | 411,768 | ||||||
Bloomin’ Brands | 177,810 | 3,365,943 | ||||||
BorgWarner | 41,200 | 1,511,216 | ||||||
Brinker International | 33,200 | 1,416,644 | ||||||
Capri Holdings † | 15,000 | 497,400 | ||||||
Carter’s | 46,135 | 4,207,973 | ||||||
Children’s Place | 49,660 | 3,823,323 | ||||||
Cooper-Standard Holdings † | 17,300 | 707,224 | ||||||
Dick’s Sporting Goods | 47,100 | 1,922,151 | ||||||
Foot Locker | 41,900 | 1,808,404 | ||||||
Goodyear Tire & Rubber | 70,000 | 1,008,350 | ||||||
Harley-Davidson | 43,800 | 1,575,486 | ||||||
Haverty Furniture | 43,900 | 889,853 | ||||||
Installed Building Products † | 46,230 | 2,650,828 | ||||||
Kohl’s | 36,100 | 1,792,726 | ||||||
Lear | 11,700 | 1,379,430 | ||||||
LKQ † | 101,380 | 3,188,401 | ||||||
MDC Holdings | 61,236 | 2,639,272 | ||||||
Nautilus † | 61,000 | 82,350 | ||||||
Nordstrom | 28,400 | 956,228 | ||||||
Office Depot | 174,900 | 306,949 | ||||||
Oxford Industries | 38,254 | 2,742,812 | ||||||
Papa John’s International | 35,800 | 1,874,130 | ||||||
Penske Automotive Group | 19,700 | 931,416 | ||||||
PulteGroup | 53,000 | 1,937,150 | ||||||
PVH | 16,200 | 1,429,326 | ||||||
Shoe Carnival | 31,500 | 1,020,915 | ||||||
Signet Jewelers | 12,800 | 214,528 | ||||||
Sonic Automotive Class A | 76,300 | 2,396,583 | ||||||
Tenneco Class A | 26,400 | 330,528 | ||||||
Toll Brothers | 49,500 | 2,031,975 | ||||||
Whirlpool | 10,600 | 1,678,616 | ||||||
Williams-Sonoma | 47,020 | 3,196,420 | ||||||
Wyndham Destinations | 12,500 | 575,250 | ||||||
|
| |||||||
58,449,176 | ||||||||
|
|
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Consumer Staples – 3.64% | ||||||||
BJ’s Wholesale Club Holdings † | 155,810 | $ | 4,030,805 | |||||
Ingles Markets Class A | 35,400 | 1,375,644 | ||||||
Ingredion | 14,500 | 1,185,230 | ||||||
J&J Snack Foods | 14,104 | 2,707,968 | ||||||
Lamb Weston Holdings | 42,025 | 3,056,058 | ||||||
Nomad Foods (United Kingdom) † | 176,205 | 3,612,203 | ||||||
Pilgrim’s Pride † | 59,400 | 1,903,473 | ||||||
Universal | 25,300 | 1,386,693 | ||||||
Weis Markets | 14,500 | 553,030 | ||||||
|
| |||||||
19,811,104 | ||||||||
|
| |||||||
Energy – 3.68% | ||||||||
Arch Coal Class A | 10,300 | 764,260 | ||||||
Callon Petroleum † | 585,865 | 2,542,654 | ||||||
Carrizo Oil & Gas † | 64,400 | 552,874 | ||||||
Gulfport Energy † | 150,700 | 408,397 | ||||||
HollyFrontier | 40,000 | 2,145,600 | ||||||
Laredo Petroleum † | 107,200 | 258,352 | ||||||
McDermott International † | 70,728 | 142,871 | ||||||
PBF Energy Class A | 50,100 | 1,362,219 | ||||||
Penn Virginia † | 90,570 | 2,632,870 | ||||||
Southwestern Energy † | 230,000 | 443,900 | ||||||
SRC Energy † | 128,400 | 598,344 | ||||||
W&T Offshore † | 179,300 | 783,541 | ||||||
World Fuel Services | 33,400 | 1,333,996 | ||||||
WPX Energy † | 569,040 | 6,026,134 | ||||||
|
| |||||||
19,996,012 | ||||||||
|
| |||||||
Financials – 25.15% | ||||||||
Ally Financial | 69,800 | 2,314,568 | ||||||
American Financial Group | 18,100 | 1,952,085 | ||||||
Annaly Capital Management | 139,300 | 1,225,840 | ||||||
Apollo Commercial Real Estate Finance | 77,600 | 1,487,592 | ||||||
Ares Capital | 66,600 | 1,241,091 | ||||||
Assurant | 53,760 | 6,764,083 | ||||||
Assured Guaranty (Bermuda) | 34,400 | 1,529,424 | ||||||
Axis Capital Holdings (Bermuda) | 25,900 | 1,728,048 | ||||||
Banco Latinoamericano de Comercio Exterior (Panama) | 23,105 | 460,714 | ||||||
BankUnited | 34,200 | 1,149,804 | ||||||
Berkshire Hills Bancorp | 44,099 | 1,291,660 | ||||||
Cathay General Bancorp | 33,600 | 1,167,096 | ||||||
Central Pacific Financial | 30,500 | 866,200 |
(continues) | 65 |
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Value Fund
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Financials (continued) | ||||||||
CIT Group | 61,800 | $ | 2,800,158 | |||||
CNA Financial | 60,200 | 2,964,850 | ||||||
CNO Financial Group | 127,400 | 2,016,742 | ||||||
Customers Bancorp † | 37,700 | 781,898 | ||||||
Everest Re Group (Bermuda) | 32,310 | 8,597,368 | ||||||
First American Financial | 30,200 | 1,782,102 | ||||||
First Busey | 45,200 | 1,142,656 | ||||||
First Hawaiian | 257,665 | 6,879,655 | ||||||
First Horizon National | 200,800 | 3,252,960 | ||||||
Hancock Whitney | 31,300 | 1,198,633 | ||||||
Hanmi Financial | 56,800 | 1,066,704 | ||||||
HCI Group | 7,500 | 315,300 | ||||||
Heritage Insurance Holdings | 32,300 | 482,885 | ||||||
Hilltop Holdings | 112,955 | 2,698,495 | ||||||
Hope Bancorp | 122,400 | 1,755,216 | ||||||
Houlihan Lokey | 118,945 | 5,364,419 | ||||||
Ladder Capital | 79,394 | 1,371,134 | ||||||
Lazard Class A | 39,600 | 1,386,000 | ||||||
Legg Mason | 40,000 | 1,527,600 | ||||||
Mercury General | 101,445 | 5,668,747 | ||||||
MGIC Investment | 107,200 | 1,348,576 | ||||||
New Mountain Finance | 71,900 | 979,997 | ||||||
New York Community Bancorp | 341,060 | 4,280,303 | ||||||
Oaktree Specialty Lending | 4,294 | 22,243 | ||||||
OFG Bancorp | 60,700 | 1,329,330 | ||||||
Preferred Bank | 26,200 | 1,372,356 | ||||||
Prospect Capital | 160,841 | 1,059,942 | ||||||
Radian Group | 69,500 | 1,587,380 | ||||||
Reinsurance Group of America | 21,200 | 3,389,456 | ||||||
Santander Consumer USA Holdings | 88,500 | 2,257,635 | ||||||
TCF Financial | 249,776 | 9,508,971 | ||||||
Universal Insurance Holdings | 41,300 | 1,238,587 | ||||||
Unum Group | 75,700 | 2,249,804 | ||||||
Voya Financial | 23,800 | 1,295,672 | ||||||
Washington Federal | 194,782 | 7,204,986 | ||||||
Western Alliance Bancorp | 118,150 | 5,444,352 | ||||||
White Mountains Insurance Group | 5,080 | 5,486,400 | ||||||
Zions Bancorp | 236,408 | 10,524,884 | ||||||
|
| |||||||
136,812,601 | ||||||||
|
| |||||||
Healthcare – 4.62% | ||||||||
Cooper | 12,010 | 3,566,970 | ||||||
Innoviva † | 86,900 | 915,926 | ||||||
Integra LifeSciences Holdings † | 44,770 | 2,689,334 |
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Healthcare (continued) | ||||||||
Jazz Pharmaceuticals † | 13,300 | $ | 1,704,262 | |||||
Lannett † | 44,200 | 495,040 | ||||||
Lantheus Holdings † | 56,200 | 1,408,653 | ||||||
Mallinckrodt † | 41,000 | 98,810 | ||||||
MEDNAX † | 26,600 | 601,692 | ||||||
Owens & Minor | 54,900 | 318,969 | ||||||
PerkinElmer | 48,450 | 4,126,487 | ||||||
Quest Diagnostics | 11,600 | 1,241,548 | ||||||
Select Medical Holdings † | 83,200 | 1,378,624 | ||||||
STERIS | 26,985 | 3,899,063 | ||||||
Universal Health Services Class B | 17,920 | 2,665,600 | ||||||
|
| |||||||
25,110,978 | ||||||||
|
| |||||||
Industrials – 14.37% | ||||||||
ACCO Brands | 146,000 | 1,441,020 | ||||||
Acuity Brands | 13,900 | 1,873,581 | ||||||
Aircastle | 55,700 | 1,249,351 | ||||||
Alaska Air Group | 14,800 | 960,668 | ||||||
Allison Transmission Holdings | 55,500 | 2,611,275 | ||||||
Apogee Enterprises | 36,200 | 1,411,438 | ||||||
Atlas Air Worldwide Holdings † | 24,100 | 608,043 | ||||||
Briggs & Stratton | 39,700 | 240,582 | ||||||
Curtiss-Wright | 30,975 | 4,007,236 | ||||||
Deluxe | 29,800 | 1,464,968 | ||||||
Ennis | 45,800 | 925,618 | ||||||
Hawaiian Holdings | 45,300 | 1,189,578 | ||||||
Herman Miller | 46,400 | 2,138,576 | ||||||
Hubbell | 40,120 | 5,271,768 | ||||||
Huntington Ingalls Industries | 34,845 | 7,379,823 | ||||||
IAA † | 94,585 | 3,947,032 | ||||||
Interface | 213,515 | 3,083,157 | ||||||
JetBlue Airways † | 109,300 | 1,830,775 | ||||||
KAR Auction Services | 94,585 | 2,322,062 | ||||||
ManpowerGroup | 26,300 | 2,215,512 | ||||||
nVent Electric | 213,150 | 4,697,826 | ||||||
Oshkosh | 24,800 | 1,879,840 | ||||||
Owens Corning | 22,400 | 1,415,680 | ||||||
Pentair (United Kingdom) | 72,965 | 2,758,077 | ||||||
Pitney Bowes | 45,300 | 207,021 | ||||||
Quanta Services | 41,400 | 1,564,920 | ||||||
Regal Beloit | 21,400 | 1,558,990 | ||||||
Ryder System | 31,700 | 1,641,109 | ||||||
Snap-on | 7,600 | 1,189,704 | ||||||
Spirit AeroSystems Holdings Class A | 51,200 | 4,210,688 | ||||||
Terex | 34,700 | 901,159 |
66
Table of Contents
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Industrials (continued) | ||||||||
Textron | 23,700 | $ | 1,160,352 | |||||
Timken | 37,000 | 1,609,870 | ||||||
Trinity Industries | 47,700 | 938,736 | ||||||
Triton International | 43,700 | 1,478,808 | ||||||
Wabash National | 130,500 | 1,893,555 | ||||||
Woodward | 26,531 | 2,860,838 | ||||||
|
| |||||||
78,139,236 | ||||||||
|
| |||||||
Information Technology – 11.20% |
| |||||||
Amdocs | 84,420 | 5,581,006 | ||||||
Arrow Electronics † | 18,700 | 1,394,646 | ||||||
Avnet | 44,000 | 1,957,340 | ||||||
Booz Allen Hamilton Holding | 57,834 | 4,107,371 | ||||||
CACI International Class A † | 27,530 | 6,366,588 | ||||||
Ciena † | 47,800 | 1,875,194 | ||||||
Cirrus Logic † | 27,400 | 1,468,092 | ||||||
CSG Systems International | 18,200 | 940,576 | ||||||
Diodes † | 43,900 | 1,762,585 | ||||||
FLIR Systems | 52,452 | 2,758,451 | ||||||
Genpact | 81,025 | 3,139,719 | ||||||
Jabil | 74,000 | 2,646,980 | ||||||
Juniper Networks | 98,000 | 2,425,500 | ||||||
Methode Electronics | 33,100 | 1,113,484 | ||||||
Monolithic Power Systems | 31,075 | 4,836,202 | ||||||
NCR † | 67,500 | 2,130,300 | ||||||
ON Semiconductor † | 139,500 | 2,679,795 | ||||||
Sanmina † | 59,300 | 1,904,123 | ||||||
Seagate Technology | 12,000 | 645,480 | ||||||
SYNNEX | 3,965 | 447,649 | ||||||
Tech Data † | 23,100 | 2,407,944 | ||||||
Teradyne | 28,900 | 1,673,599 | ||||||
TTM Technologies † | 84,100 | 1,025,599 | ||||||
Viavi Solutions † | 184,445 | 2,583,152 | ||||||
Western Union | 51,400 | 1,190,938 | ||||||
Xerox Holdings | 61,300 | 1,833,483 | ||||||
|
| |||||||
60,895,796 | ||||||||
|
| |||||||
Materials – 7.61% | ||||||||
Albemarle | 76,557 | 5,322,243 | ||||||
Cabot | 26,400 | 1,196,448 | ||||||
Celanese Class A | 19,000 | 2,323,510 | ||||||
Chemours | 49,500 | 739,530 | ||||||
Cleveland-Cliffs | 135,400 | 977,588 | ||||||
Domtar | 45,500 | 1,629,355 | ||||||
Eagle Materials | 62,169 | 5,595,832 | ||||||
Eastman Chemical | 15,700 | 1,159,131 | ||||||
Huntsman | 70,700 | 1,644,482 | ||||||
Kronos Worldwide | 88,300 | 1,092,271 | ||||||
Owens-Illinois | 59,800 | 614,146 |
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Materials (continued) | ||||||||
Packaging Corp. of America | 14,200 | $ | 1,506,620 | |||||
PolyOne | 84,740 | 2,766,761 | ||||||
Rayonier Advanced Materials | 65,400 | 283,182 | ||||||
Reliance Steel & Aluminum | 21,500 | 2,142,690 | ||||||
RPM International | 39,445 | 2,714,210 | ||||||
Schweitzer-Mauduit International | 32,700 | 1,224,288 | ||||||
Steel Dynamics | 26,600 | 792,680 | ||||||
Summit Materials Class A † | 186,421 | 4,138,546 | ||||||
Trinseo | 31,700 | 1,361,515 | ||||||
US Steel | 34,000 | 392,700 | ||||||
Westrock | 48,000 | 1,749,600 | ||||||
|
| |||||||
41,367,328 | ||||||||
|
| |||||||
Real Estate – 12.50% | ||||||||
Americold Realty Trust | 154,236 | 5,717,529 | ||||||
Apple Hospitality REIT | 68,979 | 1,143,672 | ||||||
Brandywine Realty Trust | 371,455 | 5,627,543 | ||||||
Brixmor Property Group | 121,300 | 2,461,177 | ||||||
CBL & Associates Properties | 63,700 | 82,173 | ||||||
City Office REIT (Canada) | 93,700 | 1,348,343 | ||||||
CoreCivic | 56,200 | 971,136 | ||||||
Franklin Street Properties | 93,612 | 791,958 | ||||||
Gaming And Leisure Properties | 56,700 | 2,168,208 | ||||||
Hudson Pacific Properties | 153,805 | 5,146,315 | ||||||
Industrial Logistics Properties Trust | 63,789 | 1,355,516 | ||||||
Kite Realty Group Trust | 75,900 | 1,225,785 | ||||||
Lexington Realty Trust | 201,200 | 2,062,300 | ||||||
Medical Properties Trust | 100,400 | 1,963,824 | ||||||
Office Properties Income Trust | 45,688 | 1,399,880 | ||||||
Omega Healthcare Investors | 39,200 | 1,638,168 | ||||||
One Liberty Properties | 39,200 | 1,079,176 | ||||||
Outfront Media | 75,200 | 2,089,056 | ||||||
Physicians Realty Trust | 385,420 | 6,841,205 | ||||||
Piedmont Office Realty Trust Class A | 78,300 | 1,634,904 | ||||||
Preferred Apartment Communities Class A | 72,100 | 1,041,845 | ||||||
Retail Properties of America Class A | 305,295 | 3,761,234 | ||||||
Retail Value | 5,200 | 192,608 | ||||||
RPT Realty | 104,000 | 1,409,200 | ||||||
Senior Housing Properties Trust | 123,300 | 1,141,141 | ||||||
Service Properties Trust | 104,300 | 2,689,897 | ||||||
SITE Centers | 50,650 | 765,321 |
(continues) | 67 |
Table of Contents
Schedules of investments
Optimum Small-Mid Cap Value Fund
Number of shares | Value (US $) | |||||||
Common Stock² (continued) |
| |||||||
Real Estate (continued) | ||||||||
STAG Industrial | 211,630 | $ | 6,238,852 | |||||
Summit Hotel Properties | 63,000 | 730,800 | ||||||
VEREIT | 205,200 | 2,006,856 | ||||||
Xenia Hotels & Resorts | 60,500 | 1,277,760 | ||||||
|
| |||||||
68,003,382 | ||||||||
|
| |||||||
Utilities – 3.94% | ||||||||
AES | 44,700 | 730,398 | ||||||
Alliant Energy | 128,017 | 6,903,957 | ||||||
IDACORP | 63,580 | 7,163,559 | ||||||
National Fuel Gas | 55,200 | 2,589,984 | ||||||
South Jersey Industries | 82,880 | 2,727,581 | ||||||
Vistra Energy | 49,100 | 1,312,443 | ||||||
|
| |||||||
21,427,922 | ||||||||
|
| |||||||
Total Common Stock | 535,963,012 | |||||||
|
| |||||||
Short-Term Investments – 1.71% |
| |||||||
Money Market Mutual Funds – 1.71% |
| |||||||
BlackRock FedFund - Institutional Shares (seven-day effective yield 1.86%) | 1,863,769 | 1,864,146 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 1.86%) | 1,863,769 | 1,864,146 | ||||||
GS Financial Square Government Fund - Institutional Shares (seven-day effective yield 1.86%) | 1,863,769 | 1,864,145 |
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) |
| |||||||
Money Market Mutual Funds (continued) |
| |||||||
Morgan Stanley Government Portfolio - Institutional Share Class (seven-day effective yield 1.85%) | 1,863,769 | $ | 1,864,145 | |||||
State Street Institutional US Government Money Market Fund - Investor Class (seven-day effective yield 1.80%) | 1,863,769 | 1,864,021 | ||||||
|
| |||||||
Total Short-Term Investments | 9,320,603 | |||||||
|
| |||||||
Total Value of Securities – 100.26% | $ | 545,283,615 | ||||||
|
|
² | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
Summary of abbreviations:
GS – Goldman Sachs
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
68
Table of Contents
Statements of assets and liabilities
Optimum Fund Trust
September 30, 2019 (Unaudited)
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||
Investments, at value1,2 | $ | 3,050,583,528 | $ | 540,763,534 | $ | 1,676,979,115 | $ | 1,647,014,578 | $ | 490,052,664 | $ | 545,283,615 | ||||||||||||||||||
Short-term investments held as collateral for loaned securities, at value3 | — | 13,283,562 | — | — | — | — | ||||||||||||||||||||||||
Cash | 4,987,860 | — | 40,975 | — | 51,419 | 24,936 | ||||||||||||||||||||||||
Cash collateral due from brokers | 639,000 | — | — | — | — | — | ||||||||||||||||||||||||
Foreign currencies, at value4 | 2,738,561 | 414,110 | — | — | — | — | ||||||||||||||||||||||||
Receivable for securities sold | 705,022,823 | 1,246,024 | 5,263,437 | 4,469,355 | 3,400,068 | 186,723 | ||||||||||||||||||||||||
Dividends and interest receivable | 14,196,896 | 1,409,035 | 347,745 | 2,360,605 | 134,148 | 742,308 | ||||||||||||||||||||||||
Unrealized appreciation of credit default swap contracts | 1,348,464 | — | — | — | — | — | ||||||||||||||||||||||||
Receivable for fund shares sold | 2,275,256 | 437,197 | 1,341,789 | 1,256,535 | 513,779 | 504,130 | ||||||||||||||||||||||||
Upfront payments paid on interest rate swap contracts | 1,352,093 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized appreciation of foreign currency exchange contracts | 895,052 | 3 | — | — | — | — | ||||||||||||||||||||||||
Variation margin due from brokers on centrally cleared interest rate swap contracts | 282,069 | — | — | — | — | — | ||||||||||||||||||||||||
Upfront payments paid on credit default swap contracts | 198,802 | — | — | — | — | — | ||||||||||||||||||||||||
Swap payments receivable | 113,297 | — | — | — | — | — | ||||||||||||||||||||||||
Variation margin due from brokers on centrally cleared credit default swap contracts | 14,249 | — | — | — | — | — | ||||||||||||||||||||||||
Securities lending income receivable | — | 14,694 | — | — | — | — | ||||||||||||||||||||||||
Foreign tax reclaims receivable | — | 1,310,589 | 34,457 | 453,592 | — | 1,512 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total assets | 3,784,647,950 | 558,878,748 | 1,684,007,518 | 1,655,554,665 | 494,152,078 | 546,743,224 | ||||||||||||||||||||||||
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|
(continues) | 69 |
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 | |||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||
Options written, at value5 | $ | 48,802 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Cash due to custodian | — | 716,619 | — | 247,415 | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 1,292,110,197 | 533,134 | 705,031 | 3,138,190 | 74,582 | 1,808,452 | ||||||||||||||||||||||||
Cash collateral due to brokers | 4,092,000 | — | — | — | — | — | ||||||||||||||||||||||||
Payable for fund shares redeemed | 2,223,756 | 526,828 | 1,608,354 | 1,662,659 | 472,553 | 487,702 | ||||||||||||||||||||||||
Swap payments payable | 639,087 | — | — | — | — | — | ||||||||||||||||||||||||
Dividend disbursing and transfer agent fees payable to affiliates | 365,633 | 80,364 | 251,683 | 243,389 | 74,676 | 79,827 | ||||||||||||||||||||||||
Variation margin due to brokers on futures contracts | 183,473 | — | — | — | — | — | ||||||||||||||||||||||||
Variation margin due to brokers on centrally cleared interest rate swap contracts | 73,538 | — | — | — | — | — | ||||||||||||||||||||||||
Obligation to return securities lending collateral | — | 13,254,525 | — | — | — | — | ||||||||||||||||||||||||
Variation margin due to brokers on centrally cleared credit default swap contracts | 21 | — | — | — | — | — | ||||||||||||||||||||||||
Interest payable for reverse repurchase agreements | 29,769 | — | — | — | — | — | ||||||||||||||||||||||||
Investment management fees payable to affiliates | 1,027,235 | 308,992 | 966,113 | 869,708 | 404,705 | 390,693 | ||||||||||||||||||||||||
Other accrued expenses | 253,286 | 210,959 | 182,937 | 179,073 | 82,658 | 72,201 | ||||||||||||||||||||||||
Administration expenses payable to affiliates | 106,643 | 23,440 | 73,407 | 70,989 | 21,781 | 23,283 | ||||||||||||||||||||||||
Distribution fees payable to affiliates | 79,954 | 17,898 | 69,910 | 60,483 | 11,020 | 8,008 | ||||||||||||||||||||||||
Accounting fees payable to affiliates | 13,842 | 3,298 | 9,631 | 9,324 | 3,088 | 3,278 | ||||||||||||||||||||||||
Trustees’ fees and expenses payable to affiliates | 183 | — | — | — | — | ��� | ||||||||||||||||||||||||
Upfront payments received on credit default swap contracts | 1,591,914 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation of foreign currency exchange contracts | 362,231 | 1,571 | 89 | 252 | — | — | ||||||||||||||||||||||||
Upfront payments received on interest rate swap contracts | 118,206 | — | — | — | — | — | ||||||||||||||||||||||||
Unrealized depreciation of credit default swap contracts | 146 | — | — | — | — | — | ||||||||||||||||||||||||
Other liabilities | — | 29,165 | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total liabilities | 1,303,319,916 | 15,706,793 | 3,867,155 | 6,481,482 | 1,145,063 | 2,873,444 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Net Assets | $ | 2,481,328,034 | $ | 543,171,955 | $ | 1,680,140,363 | $ | 1,649,073,183 | $ | 493,007,015 | $ | 543,869,780 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Assets Consist of: | ||||||||||||||||||||||||||||||
Paid-in capital | $ | 2,369,265,331 | $ | 502,724,974 | $ | 1,200,455,227 | $ | 1,267,989,226 | $ | 401,993,231 | $ | 498,927,237 | ||||||||||||||||||
Total distributable earnings (loss) | 112,062,703 | 40,446,981 | 479,685,136 | 381,083,957 | 91,013,784 | 44,942,543 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total Net Assets | $ | 2,481,328,034 | $ | 543,171,955 | $ | 1,680,140,363 | $ | 1,649,073,183 | $ | 493,007,015 | $ | 543,869,780 | ||||||||||||||||||
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70
Table of Contents
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Net Asset Value | ||||||||||||||||||||||||||||||
Class A: | ||||||||||||||||||||||||||||||
Net assets | $ | 26,471,770 | $ | 6,792,646 | $ | 27,398,002 | $ | 23,279,461 | $ | 4,153,247 | $ | 3,023,857 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 2,670,383 | 542,667 | 1,588,641 | 1,381,120 | 319,272 | 241,814 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.91 | $ | 12.52 | $ | 17.25 | $ | 16.86 | $ | 13.01 | $ | 12.50 | ||||||||||||||||||
Sales charge | 4.50 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75 | % | ||||||||||||||||||
Offering price per share, equal to net asset value per share / (1 – sales charge) | $ | 10.38 | $ | 13.28 | $ | 18.30 | $ | 17.89 | $ | 13.80 | $ | 13.26 | ||||||||||||||||||
Class C: | ||||||||||||||||||||||||||||||
Net assets | $ | 90,532,150 | $ | 20,028,714 | $ | 76,663,467 | $ | 67,705,851 | $ | 11,917,380 | $ | 9,001,904 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 9,170,014 | 1,647,548 | 5,446,049 | 4,079,303 | 1,128,634 | 832,663 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.87 | $ | 12.16 | $ | 14.08 | $ | 16.60 | $ | 10.56 | $ | 10.81 | ||||||||||||||||||
Institutional Class: | ||||||||||||||||||||||||||||||
Net assets | $ | 2,364,324,114 | $ | 516,350,595 | $ | 1,576,078,894 | $ | 1,558,087,871 | $ | 476,936,388 | $ | 531,844,019 | ||||||||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 238,417,900 | 40,905,945 | 84,065,540 | 92,111,282 | 33,485,443 | 39,977,037 | ||||||||||||||||||||||||
Net asset value per share | $ | 9.92 | $ | 12.62 | $ | 18.75 | $ | 16.92 | $ | 14.24 | $ | 13.30 | ||||||||||||||||||
| ||||||||||||||||||||||||||||||
1Investments, at cost | $ | 2,979,331,594 | $ | 503,510,161 | $ | 1,239,176,913 | $ | 1,308,136,029 | $ | 440,885,286 | $ | 521,351,107 | ||||||||||||||||||
2Including securities on loan | — | 22,237,961 | — | — | — | — | ||||||||||||||||||||||||
3Short-term investments held as collateral for loaned securities, at cost | — | 13,283,562 | — | — | — | — | ||||||||||||||||||||||||
4Foreign currencies, at cost | 2,755,359 | 414,249 | — | — | — | — | ||||||||||||||||||||||||
5Premium received | (72,331 | ) | — | — | — | — | — |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 71 |
Table of Contents
Optimum Fund Trust
Six months ended September 30, 2019 (Unaudited)
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Investment Income: | ||||||||||||||||||||||||||||||
Interest | $ | 40,503,462 | $ | — | $ | 13,101 | $ | — | $ | — | $ | — | ||||||||||||||||||
Dividends | 589,223 | 11,702,734 | 7,835,876 | 19,781,465 | 1,061,049 | 6,586,169 | ||||||||||||||||||||||||
Securities lending income | — | 147,158 | — | — | — | — | ||||||||||||||||||||||||
Foreign tax withheld | (1,753 | ) | (1,134,034 | ) | (65,331 | ) | (73,715 | ) | (5,705 | ) | (851 | ) | ||||||||||||||||||
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| |||||||||||||||||||
41,090,932 | 10,715,858 | 7,783,646 | 19,707,750 | 1,055,344 | 6,585,318 | |||||||||||||||||||||||||
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| |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||
Management fees | 6,169,894 | 2,044,727 | 5,914,098 | 5,221,748 | 2,697,156 | 2,493,872 | ||||||||||||||||||||||||
Distribution expenses — Class A | 33,313 | 8,755 | 36,180 | 29,481 | 5,783 | 3,980 | ||||||||||||||||||||||||
Distribution expenses — Class C | 457,663 | 104,016 | 404,002 | 343,622 | 64,858 | 45,747 | ||||||||||||||||||||||||
Dividend disbursing and transfer agent fees and expenses | 2,210,008 | 500,942 | 1,558,674 | 1,474,970 | 473,799 | 486,063 | ||||||||||||||||||||||||
Administration expenses | 638,629 | 143,682 | 449,530 | 425,406 | 135,458 | 139,050 | ||||||||||||||||||||||||
Reports and statements to shareholders expenses | 278,361 | 59,513 | 129,043 | 125,429 | 59,123 | 64,633 | ||||||||||||||||||||||||
Accounting fees | 263,595 | 77,496 | 192,613 | 191,208 | 74,176 | 75,625 | ||||||||||||||||||||||||
Trustees’ fees and expenses | 147,654 | 32,998 | 103,065 | 98,664 | 30,969 | 32,255 | ||||||||||||||||||||||||
Custodian fees | 133,807 | 85,032 | 27,356 | 13,255 | 1,879 | — | ||||||||||||||||||||||||
Pricing fees | 98,529 | 44,683 | 829 | 1,123 | 1,529 | 531 | ||||||||||||||||||||||||
Professional fees | 73,729 | 33,887 | 68,071 | 48,649 | 33,288 | 26,577 | ||||||||||||||||||||||||
Registration fees | 52,884 | 37,554 | 37,553 | 41,303 | 33,200 | 38,994 | ||||||||||||||||||||||||
Insurance fees | 21,417 | 5,323 | 15,762 | 14,664 | 5,175 | 4,568 | ||||||||||||||||||||||||
Investment interest expense | 21,390 | — | — | — | — | — | ||||||||||||||||||||||||
Tax services | 2,388 | 15,512 | 440 | 233 | 366 | 584 | ||||||||||||||||||||||||
Other | 14,414 | 19,039 | 11,603 | 14,770 | 5,128 | 1,372 | ||||||||||||||||||||||||
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| |||||||||||||||||||
10,617,675 | 3,213,159 | 8,948,819 | 8,044,525 | 3,621,887 | 3,413,851 | |||||||||||||||||||||||||
Less expenses waived | — | (34,897 | ) | — | — | (221,432 | ) | (150,739 | ) | |||||||||||||||||||||
Less expenses paid indirectly | (61,099 | ) | (647 | ) | (1,085 | ) | (678 | ) | (857 | ) | (1,332 | ) | ||||||||||||||||||
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| |||||||||||||||||||
Total operating expenses | 10,556,576 | 3,177,615 | 8,947,734 | 8,043,847 | 3,399,598 | 3,261,780 | ||||||||||||||||||||||||
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|
|
|
|
| |||||||||||||||||||
Net Investment Income (Loss) | 30,534,356 | 7,538,243 | (1,164,088 | ) | 11,663,903 | (2,344,254 | ) | 3,323,538 | ||||||||||||||||||||||
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72
Table of Contents
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||
Investments* | $ | 30,467,846 | $ | (5,745,450 | ) | $ | 31,869,723 | $ | 27,103,376 | $ | 33,715,008 | $ | 7,146,254 | |||||||||||||||||
Foreign currencies | (2,265,246 | ) | (275,514 | ) | 18,881 | (6,085 | ) | — | — | |||||||||||||||||||||
Foreign currency exchange contracts | 3,758,854 | 81,624 | (1,555 | ) | (2,234 | ) | — | — | ||||||||||||||||||||||
Futures contracts | 26,251,076 | — | — | — | — | — | ||||||||||||||||||||||||
Options purchased | (132,227 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options written | 258,910 | — | — | — | — | — | ||||||||||||||||||||||||
Swap contracts | (10,571,721 | ) | — | — | — | — | — | |||||||||||||||||||||||
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Net realized gain (loss) | 47,767,492 | (5,939,340 | ) | 31,887,049 | 27,095,057 | 33,715,008 | 7,146,254 | |||||||||||||||||||||||
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Net change in unrealized appreciation (depreciation) of: | ||||||||||||||||||||||||||||||
Investments1 | 47,843,133 | (4,011,902 | ) | 26,448,865 | 64,191,611 | (46,661,822 | ) | 5,794,776 | ||||||||||||||||||||||
Foreign currencies | (10,873 | ) | 14,838 | 77 | 6,173 | — | — | |||||||||||||||||||||||
Foreign currency exchange contracts | (704,340 | ) | 38,675 | (89 | ) | (252 | ) | — | — | |||||||||||||||||||||
Futures contracts | (7,465,226 | ) | — | — | — | — | — | |||||||||||||||||||||||
Options purchased | 1,865 | — | — | — | — | — | ||||||||||||||||||||||||
Options written | 16,915 | — | — | — | — | — | ||||||||||||||||||||||||
Swap contracts | (1,244,165 | ) | — | — | — | — | — | |||||||||||||||||||||||
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Net change in unrealized appreciation (depreciation) | 38,437,309 | (3,958,389 | ) | 26,448,853 | 64,197,532 | (46,661,822 | ) | 5,794,776 | ||||||||||||||||||||||
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Net Realized and Unrealized Gain (Loss) | 86,204,801 | (9,897,729 | ) | 58,335,902 | 91,292,589 | (12,946,814 | ) | 12,941,030 | ||||||||||||||||||||||
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Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 116,739,157 | $ | (2,359,486 | ) | $ | 57,171,814 | $ | 102,956,492 | $ | (15,291,068 | ) | $ | 16,264,568 | ||||||||||||||||
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*Includes $970,052 related to the General Motors term loan litigation for Optimum Fixed Income Fund. See Note 10 in “Notes to financial statements.”
1Includes increase of $1,505 capital gain taxes accrued for Optimum International Fund.
See accompanying notes, which are an integral part of the financial statements.
(continues) | 73 |
Table of Contents
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | |||||||||||||||
Six months ended 9/30/19 (Unaudited) | Year ended 3/31/19 | Six months ended 9/30/19 (Unaudited) | Year ended 3/31/19 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income | $ | 30,534,356 | $ | 58,163,364 | $ | 7,538,243 | $ | 8,847,692 | ||||||||
Net realized gain (loss) | 47,767,492 | 8,315,411 | (5,939,340 | ) | 16,112,694 | |||||||||||
Net change in unrealized appreciation (depreciation) | 38,437,309 | 15,591,651 | (3,958,389 | ) | (56,422,559 | ) | ||||||||||
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Net increase (decrease) in net assets resulting from operations | 116,739,157 | 82,070,426 | (2,359,486 | ) | (31,462,173 | ) | ||||||||||
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Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | — | (561,554 | ) | — | (546,784 | ) | ||||||||||
Class C | — | (1,203,061 | ) | — | (1,499,301 | ) | ||||||||||
Institutional Class | — | (51,991,595 | ) | — | (39,365,210 | ) | ||||||||||
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— | (53,756,210 | ) | — | (41,411,295 | ) | |||||||||||
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Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 441,533 | 1,751,281 | 219,686 | 330,547 | ||||||||||||
Class C | 1,831,077 | 5,847,263 | 479,810 | 729,533 | ||||||||||||
Institutional Class | 183,380,110 | 648,954,727 | 39,939,038 | 103,927,530 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | — | 560,310 | — | 543,866 | ||||||||||||
Class C | — | 1,198,602 | — | 1,496,898 | ||||||||||||
Institutional Class | — | 51,943,066 | — | 39,321,117 | ||||||||||||
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185,652,720 | 710,255,249 | 40,638,534 | 146,349,491 | |||||||||||||
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Cost of shares redeemed: | ||||||||||||||||
Class A | (1,836,087 | ) | (6,131,707 | ) | (663,054 | ) | (1,312,596 | ) | ||||||||
Class C | (7,549,564 | ) | (20,944,368 | ) | (2,024,174 | ) | (5,447,612 | ) | ||||||||
Institutional Class | (180,498,308 | ) | (360,410,926 | ) | (46,382,456 | ) | (179,436,993 | ) | ||||||||
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(189,883,959 | ) | (387,487,001 | ) | (49,069,684 | ) | (186,197,201 | ) | |||||||||
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Increase (decrease) in net assets derived from capital share transactions | (4,231,239 | ) | 322,768,248 | (8,431,150 | ) | (39,847,710 | ) | |||||||||
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Net Increase (Decrease) in Net Assets | 112,507,918 | 351,082,464 | (10,790,636 | ) | (112,721,178 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 2,368,820,116 | 2,017,737,652 | 553,962,591 | 666,683,769 | ||||||||||||
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End of period | $ | 2,481,328,034 | $ | 2,368,820,116 | $ | 543,171,955 | $ | 553,962,591 | ||||||||
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See accompanying notes, which are an integral part of the financial statements.
74
Table of Contents
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||
Six months ended 9/30/19 (Unaudited) | Year ended 3/31/19 | Six months ended 9/30/19 (Unaudited) | Year ended 3/31/19 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (1,164,088 | ) | $ | 17,218 | $ | 11,663,903 | $ | 21,624,464 | |||||||
Net realized gain | 31,887,049 | 146,317,831 | 27,095,057 | 23,082,346 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 26,448,853 | 52,506,384 | 64,197,532 | 14,950,371 | ||||||||||||
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Net increase in net assets resulting from operations | 57,171,814 | 198,841,433 | 102,956,492 | 59,657,181 | ||||||||||||
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Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class A | — | (3,720,629 | ) | — | (928,291 | ) | ||||||||||
Class C | — | (12,410,195 | ) | — | (2,178,499 | ) | ||||||||||
Institutional Class | — | (176,632,153 | ) | — | (59,491,242 | ) | ||||||||||
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— | (192,762,977 | ) | — | (62,598,032 | ) | |||||||||||
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Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class A | 333,496 | 663,486 | 343,995 | 761,830 | ||||||||||||
Class C | 380,660 | 985,223 | 641,647 | 1,550,682 | ||||||||||||
Institutional Class | 101,957,191 | 256,614,320 | 106,475,283 | 265,479,114 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class A | — | 3,717,465 | — | 927,982 | ||||||||||||
Class C | — | 12,385,912 | — | 2,168,977 | ||||||||||||
Institutional Class | — | 176,362,602 | — | 59,415,403 | ||||||||||||
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102,671,347 | 450,729,008 | 107,460,925 | 330,303,988 | |||||||||||||
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Cost of shares redeemed: | ||||||||||||||||
Class A | (3,509,857 | ) | (6,759,803 | ) | (2,276,384 | ) | (4,397,534 | ) | ||||||||
Class C | (9,180,499 | ) | (24,946,229 | ) | (6,421,898 | ) | (16,899,124 | ) | ||||||||
Institutional Class | (143,179,295 | ) | (489,190,001 | ) | (120,526,105 | ) | (219,748,830 | ) | ||||||||
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(155,869,651 | ) | (520,896,033 | ) | (129,224,387 | ) | (241,045,488 | ) | |||||||||
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Increase (decrease) in net assets derived from capital share transactions | (53,198,304 | ) | (70,167,025 | ) | (21,763,462 | ) | 89,258,500 | |||||||||
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Net Increase (Decrease) in Net Assets | 3,973,510 | (64,088,569 | ) | 81,193,030 | 86,317,649 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 1,676,166,853 | 1,740,255,422 | 1,567,880,153 | 1,481,562,504 | ||||||||||||
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End of period | $ | 1,680,140,363 | $ | 1,676,166,853 | $ | 1,649,073,183 | $ | 1,567,880,153 | ||||||||
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See accompanying notes, which are an integral part of the financial statements.
(continues) | 75 |
Table of Contents
Statements of changes in net assets
Optimum Fund Trust
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Six months ended 9/30/19 (Unaudited) | Year ended 3/31/19 | Six months ended 9/30/19 (Unaudited) | Year ended 3/31/19 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||||
Net investment income (loss) | $ | (2,344,254 | ) | $ | (4,658,161 | ) | $ | 3,323,538 | $ | 5,479,260 | ||||||||||
Net realized gain | 33,715,008 | 61,283,820 | 7,146,254 | 26,854,009 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (46,661,822 | ) | (9,645,134 | ) | 5,794,776 | (53,926,698 | ) | |||||||||||||
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Net increase (decrease) in net assets resulting from operations | (15,291,068 | ) | 46,980,525 | 16,264,568 | (21,593,429 | ) | ||||||||||||||
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Dividends and Distributions to Shareholders from: | ||||||||||||||||||||
Distributable earnings: | ||||||||||||||||||||
Class A | — | (928,456 | ) | — | (242,207 | ) | ||||||||||||||
Class C | — | (3,041,672 | ) | — | (753,203 | ) | ||||||||||||||
Institutional Class | — | (85,738,436 | ) | — | (35,271,695 | ) | ||||||||||||||
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— | (89,708,564 | ) | — | (36,267,105 | ) | |||||||||||||||
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Capital Share Transactions: | ||||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||||
Class A | 41,769 | 160,509 | 54,390 | 121,099 | ||||||||||||||||
Class C | 76,782 | 213,105 | 140,679 | 210,799 | ||||||||||||||||
Institutional Class | 36,996,216 | 84,994,195 | 45,309,488 | 168,820,113 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||
Class A | — | 926,148 | — | 241,981 | ||||||||||||||||
Class C | — | 3,037,941 | — | 752,225 | ||||||||||||||||
Institutional Class | — | 85,636,988 | — | 35,239,137 | ||||||||||||||||
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37,114,767 | 174,968,886 | 45,504,557 | 205,385,354 | |||||||||||||||||
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Cost of shares redeemed: | ||||||||||||||||||||
Class A | (542,544 | ) | (1,252,045 | ) | (389,381 | ) | (585,193 | ) | ||||||||||||
Class C | (1,252,831 | ) | (3,872,832 | ) | (878,624 | ) | (2,290,436 | ) | ||||||||||||
Institutional Class | (39,795,791 | ) | (130,574,910 | ) | (36,219,034 | ) | (83,755,221 | ) | ||||||||||||
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(41,591,166 | ) | (135,699,787 | ) | (37,487,039 | ) | (86,630,850 | ) | |||||||||||||
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Increase (decrease) in net assets derived from capital share transactions | (4,476,399 | ) | 39,269,099 | 8,017,518 | 118,754,504 | |||||||||||||||
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Net Increase (Decrease) in Net Assets | (19,767,467 | ) | (3,458,940 | ) | 24,282,086 | 60,893,970 | ||||||||||||||
Net Assets: | ||||||||||||||||||||
Beginning of period | 512,774,482 | 516,233,422 | 519,587,694 | 458,693,724 | ||||||||||||||||
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End of period | $ | 493,007,015 | $ | 512,774,482 | $ | 543,869,780 | $ | 519,587,694 | ||||||||||||
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See accompanying notes, which are an integral part of the financial statements.
76
Table of Contents
Optimum Fixed Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.46 | $ | 9.35 | $ | 9.39 | $ | 9.37 | $ | 9.72 | $ | 9.54 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.11 | 0.23 | 0.22 | 0.20 | 0.20 | 0.20 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.34 | 0.08 | (0.05 | ) | — | 3 | (0.28 | ) | 0.20 | |||||||||||||||||||||
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Total from investment operations | 0.45 | 0.31 | 0.17 | 0.20 | (0.08 | ) | 0.40 | |||||||||||||||||||||||
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Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.20 | ) | (0.21 | ) | (0.18 | ) | (0.25 | ) | (0.22 | ) | |||||||||||||||||||
Net realized gain | — | — | — | — | (0.02 | ) | — | |||||||||||||||||||||||
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Total dividends and distributions | — | (0.20 | ) | (0.21 | ) | (0.18 | ) | (0.27 | ) | (0.22 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 9.91 | $ | 9.46 | $ | 9.35 | $ | 9.39 | $ | 9.37 | $ | 9.72 | ||||||||||||||||||
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Total return4 | 4.76% | 3.37% | 1.81% | 2.03% | (0.63% | ) | 4.21% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 26,472 | $ | 26,613 | $ | 30,150 | $ | 33,838 | $ | 39,545 | $ | 43,144 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.08% | 1.08% | 1.10% | 1.17% | 1.23% | 1.17% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.08% | 1.08% | 1.10% | 1.18% | 1.23% | 1.17% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.30% | 2.43% | 2.29% | 2.12% | 2.13% | 2.11% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.30% | 2.43% | 2.29% | 2.11% | 2.13% | 2.11% | ||||||||||||||||||||||||
Portfolio turnover | 144% | 453% | 403% | 419% | 536% | 482%5 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | The amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC’slow-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2015. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 77 |
Table of Contents
Financial highlights
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.45 | $ | 9.34 | $ | 9.38 | $ | 9.37 | $ | 9.71 | $ | 9.53 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.08 | 0.16 | 0.15 | 0.13 | 0.13 | 0.13 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.34 | 0.07 | (0.05 | ) | (0.01 | ) | (0.27 | ) | 0.20 | |||||||||||||||||||||
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Total from investment operations | 0.42 | 0.23 | 0.10 | 0.12 | (0.14 | ) | 0.33 | |||||||||||||||||||||||
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Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.12 | ) | (0.14 | ) | (0.11 | ) | (0.18 | ) | (0.15 | ) | |||||||||||||||||||
Net realized gain | — | — | — | — | (0.02 | ) | — | |||||||||||||||||||||||
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Total dividends and distributions | — | (0.12 | ) | (0.14 | ) | (0.11 | ) | (0.20 | ) | (0.15 | ) | |||||||||||||||||||
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Net asset value, end of period | $ | 9.87 | $ | 9.45 | $ | 9.34 | $ | 9.38 | $ | 9.37 | $ | 9.71 | ||||||||||||||||||
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| |||||||||||||||||||
Total return3 | 4.44% | 2.52% | 1.06% | 1.27% | (1.39% | ) | 3.44% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 90,532 | $ | 92,295 | $ | 105,194 | $ | 124,024 | $ | 153,266 | $ | 166,154 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.83% | 1.83% | 1.85% | 1.92% | 1.98% | 1.92% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.83% | 1.83% | 1.85% | 1.93% | 1.98% | 1.92% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.55% | 1.68% | 1.54% | 1.37% | 1.38% | 1.36% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.55% | 1.68% | 1.54% | 1.36% | 1.38% | 1.36% | ||||||||||||||||||||||||
Portfolio turnover | 144% | 453% | 403% | 419% | 536% | 482%4 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC’slow-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2015. |
See accompanying notes, which are an integral part of the financial statements.
78
Table of Contents
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.45 | $ | 9.34 | $ | 9.39 | $ | 9.37 | $ | 9.72 | $ | 9.54 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.12 | 0.25 | 0.24 | 0.23 | 0.23 | 0.23 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.35 | 0.08 | (0.05 | ) | (0.01 | ) | (0.28 | ) | 0.19 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.47 | 0.33 | 0.19 | 0.22 | (0.05 | ) | 0.42 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.22 | ) | (0.24 | ) | (0.20 | ) | (0.28 | ) | (0.24 | ) | |||||||||||||||||||
Net realized gain | — | — | — | — | (0.02 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.22 | ) | (0.24 | ) | (0.20 | ) | (0.30 | ) | (0.24 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 9.92 | $ | 9.45 | $ | 9.34 | $ | 9.39 | $ | 9.37 | $ | 9.72 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 4.97% | 3.65% | 1.96% | 2.40% | (0.48% | ) | 4.47% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 2,364,324 | $ | 2,249,912 | $ | 1,882,394 | $ | 1,725,289 | $ | 1,892,775 | $ | 1,826,156 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.83% | 0.83% | 0.85% | 0.92% | 0.98% | 0.92% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.83% | 0.83% | 0.85% | 0.93% | 0.98% | 0.92% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.55% | 2.68% | 2.54% | 2.37% | 2.38% | 2.36% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.55% | 2.68% | 2.54% | 2.36% | 2.38% | 2.36% | ||||||||||||||||||||||||
Portfolio turnover | 144% | 453% | 403% | 419% | 536% | 482%4 |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of the addition of Delaware Management Company’s diversified floating rate investment strategy and Pacific Investment Management Company, LLC’slow-duration investment strategy on Feb. 1, 2014, to the Fund’s principal investment strategy, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2015. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 79 |
Table of Contents
Financial highlights
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.59 | $ | 14.42 | $ | 12.27 | $ | 10.95 | $ | 11.66 | $ | 12.57 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.16 | 0.17 | 0.12 | 0.11 | 0.08 | 0.06 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.23 | ) | (1.00 | ) | 2.29 | 1.31 | (0.73 | ) | (0.84 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.07 | ) | (0.83 | ) | 2.41 | 1.42 | (0.65 | ) | (0.78 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.18 | ) | (0.11 | ) | (0.10 | ) | (0.06 | ) | (0.13 | ) | |||||||||||||||||||
Net realized gain | — | (0.82 | ) | (0.15 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.00 | ) | (0.26 | ) | (0.10 | ) | (0.06 | ) | (0.13 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 12.52 | $ | 12.59 | $ | 14.42 | $ | 12.27 | $ | 10.95 | $ | 11.66 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | (0.56% | ) | (5.33% | ) | 19.74% | 13.08% | (5.58% | ) | (6.25% | ) | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 6,793 | $ | 7,275 | $ | 8,704 | $ | 8,680 | $ | 9,117 | $ | 10,291 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.37% | 1.37% | 1.36% | 1.48% | 1.56% | 1.47% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.38% | 1.37% | 1.36% | 1.48% | 1.56% | 1.47% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.55% | 1.30% | 0.90% | 0.93% | 0.74% | 0.51% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.54% | 1.30% | 0.90% | 0.93% | 0.74% | 0.51% | ||||||||||||||||||||||||
Portfolio turnover | 25% | 63% | 52% | 68% | 47% | 117% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
80
Table of Contents
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.27 | $ | 14.06 | $ | 11.98 | $ | 10.69 | $ | 11.41 | $ | 12.29 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2 | 0.11 | 0.07 | 0.02 | 0.02 | — | 3 | (0.03 | ) | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.22 | ) | (0.98 | ) | 2.23 | 1.30 | (0.72 | ) | (0.83 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.11 | ) | (0.91 | ) | 2.25 | 1.32 | (0.72 | ) | (0.86 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.06 | ) | (0.02 | ) | (0.03 | ) | — | (0.02 | ) | ||||||||||||||||||||
Net realized gain | — | (0.82 | ) | (0.15 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.88 | ) | (0.17 | ) | (0.03 | ) | — | (0.02 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 12.16 | $ | 12.27 | $ | 14.06 | $ | 11.98 | $ | 10.69 | $ | 11.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | (0.90% | ) | (6.07% | ) | 18.82% | 12.32% | (6.31% | ) | (7.00% | ) | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 20,029 | $ | 21,763 | $ | 28,046 | $ | 29,544 | $ | 31,777 | $ | 35,996 | ||||||||||||||||||
Ratio of expenses to average net assets | 2.12% | 2.12% | 2.11% | 2.23% | 2.31% | 2.22% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.13% | 2.12% | 2.11% | 2.23% | 2.31% | 2.22% | ||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.80% | 0.55% | 0.15% | 0.18% | (0.01% | ) | (0.24% | ) | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 1.79% | 0.55% | 0.15% | 0.18% | (0.01% | ) | (0.24% | ) | ||||||||||||||||||||||
Portfolio turnover | 25% | 63% | 52% | 68% | 47% | 117% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Amount is less than $(0.005) per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 81 |
Table of Contents
Financial highlights
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.68 | $ | 14.52 | $ | 12.35 | $ | 11.02 | $ | 11.74 | $ | 12.66 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.18 | 0.21 | 0.16 | 0.14 | 0.11 | 0.09 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.24 | ) | (1.02 | ) | 2.31 | 1.32 | (0.74 | ) | (0.85 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.06 | ) | (0.81 | ) | 2.47 | 1.46 | (0.63 | ) | (0.76 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.21 | ) | (0.15 | ) | (0.13 | ) | (0.09 | ) | (0.16 | ) | |||||||||||||||||||
Net realized gain | — | (0.82 | ) | (0.15 | ) | — | — | — | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (1.03 | ) | (0.30 | ) | (0.13 | ) | (0.09 | ) | (0.16 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 12.62 | $ | 12.68 | $ | 14.52 | $ | 12.35 | $ | 11.02 | $ | 11.74 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | (0.47% | ) | (5.09% | ) | 20.05% | 13.36% | (5.38% | ) | (6.04% | ) | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 516,350 | $ | 524,925 | $ | 629,934 | $ | 525,431 | $ | 542,055 | $ | 477,884 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.12% | 1.12% | 1.11% | 1.23% | 1.31% | 1.22% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.13% | 1.12% | 1.11% | 1.23% | 1.31% | 1.22% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 2.80% | 1.55% | 1.15% | 1.18% | 0.99% | 0.76% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.79% | 1.55% | 1.15% | 1.18% | 0.99% | 0.76% | ||||||||||||||||||||||||
Portfolio turnover | 25% | 63% | 52% | 68% | 47% | 117% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
82
Table of Contents
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.70 | $ | 17.22 | $ | 16.84 | $ | 14.97 | $ | 17.00 | $ | 16.39 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment loss2 | (0.03 | ) | (0.03 | ) | (0.06 | ) | (0.06 | ) | (0.10 | ) | (0.08 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.58 | 1.82 | 3.70 | 2.52 | (0.20 | ) | 2.71 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.55 | 1.79 | 3.64 | 2.46 | (0.30 | ) | 2.63 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net realized gain | — | (2.31 | ) | (3.26 | ) | (0.59 | ) | (1.73 | ) | (2.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (2.31 | ) | (3.26 | ) | (0.59 | ) | (1.73 | ) | (2.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 17.25 | $ | 16.70 | $ | 17.22 | $ | 16.84 | $ | 14.97 | $ | 17.00 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 3.29% | 11.60% | 22.17% | 16.83% | (2.27% | ) | 17.27% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 27,398 | $ | 29,605 | $ | 32,254 | $ | 32,215 | $ | 33,787 | $ | 40,790 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.24% | 1.25% | 1.26% | 1.35% | 1.42% | 1.37% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.24% | 1.25% | 1.26% | 1.38% | 1.44% | 1.37% | ||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (0.33% | ) | (0.19% | ) | (0.31% | ) | (0.35% | ) | (0.62% | ) | (0.50% | ) | ||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.33% | ) | (0.19% | ) | (0.31% | ) | (0.38% | ) | (0.64% | ) | (0.50% | ) | ||||||||||||||||||
Portfolio turnover | 11% | 25% | 77%4 | 52% | 88% | 86% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of ClearBridge Investments LLC replacing Fred Alger Management Inc. as one of thesub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 83 |
Table of Contents
Financial highlights
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.68 | $ | 14.62 | $ | 14.81 | $ | 13.34 | $ | 15.44 | $ | 15.16 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment loss2 | (0.08 | ) | (0.14 | ) | (0.17 | ) | (0.15 | ) | (0.20 | ) | (0.19 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.48 | 1.51 | 3.24 | 2.21 | (0.17 | ) | 2.49 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.40 | 1.37 | 3.07 | 2.06 | (0.37 | ) | 2.30 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net realized gain | — | (2.31 | ) | (3.26 | ) | (0.59 | ) | (1.73 | ) | (2.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (2.31 | ) | (3.26 | ) | (0.59 | ) | (1.73 | ) | (2.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 14.08 | $ | 13.68 | $ | 14.62 | $ | 14.81 | $ | 13.34 | $ | 15.44 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 2.92% | 10.74% | 21.30% | 15.88% | (2.98% | ) | 16.44% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 76,663 | $ | 83,010 | $ | 97,658 | $ | 105,082 | $ | 114,907 | $ | 137,892 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.99% | 2.00% | 2.01% | 2.10% | 2.17% | 2.12% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.99% | 2.00% | 2.01% | 2.13% | 2.19% | 2.12% | ||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.08% | ) | (0.94% | ) | (1.06% | ) | (1.10% | ) | (1.37% | ) | (1.25% | ) | ||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.08% | ) | (0.94% | ) | (1.06% | ) | (1.13% | ) | (1.39% | ) | (1.25% | ) | ||||||||||||||||||
Portfolio turnover | 11% | 25% | 77%4 | 52% | 88% | 86% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of ClearBridge Investments LLC replacing Fred Alger Management Inc. as one of thesub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
See accompanying notes, which are an integral part of the financial statements.
84
Table of Contents
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.13 | $ | 18.46 | $ | 17.81 | $ | 15.76 | $ | 17.76 | $ | 17.00 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2 | (0.01 | ) | 0.01 | (0.01 | ) | (0.02 | ) | (0.06 | ) | (0.04 | ) | |||||||||||||||||||
Net realized and unrealized gain (loss) | 0.63 | 1.97 | 3.92 | 2.66 | (0.21 | ) | 2.82 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.62 | 1.98 | 3.91 | 2.64 | (0.27 | ) | 2.78 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net realized gain | — | (2.31 | ) | (3.26 | ) | (0.59 | ) | (1.73 | ) | (2.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (2.31 | ) | (3.26 | ) | (0.59 | ) | (1.73 | ) | (2.02 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 18.75 | $ | 18.13 | $ | 18.46 | $ | 17.81 | $ | 15.76 | $ | 17.76 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 3.42% | 11.86% | 22.50% | 17.14% | (2.00% | ) | 17.55% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,576,079 | $ | 1,563,552 | $ | 1,610,343 | $ | 1,348,419 | $ | 1,356,335 | $ | 1,413,059 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.99% | 1.00% | 1.01% | 1.10% | 1.17% | 1.12% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.99% | 1.00% | 1.01% | 1.13% | 1.19% | 1.12% | ||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.08% | ) | 0.06% | (0.06% | ) | (0.10% | ) | (0.37% | ) | (0.25% | ) | |||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.08% | ) | 0.06% | (0.06% | ) | (0.13% | ) | (0.39% | ) | (0.25% | ) | |||||||||||||||||||
Portfolio turnover | 11% | 25% | 77%4 | 52% | 88% | 86% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of ClearBridge Investments LLC replacing Fred Alger Management Inc. as one of thesub-advisors to Optimum Large Cap Growth Fund during the Fund’s fiscal year ending March 31, 2018, the Fund’s portfolio turnover rate increased during the year ended March 31, 2018. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 85 |
Table of Contents
Financial highlights
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.83 | $ | 15.89 | $ | 15.42 | $ | 15.13 | $ | 16.01 | $ | 15.36 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.10 | 0.19 | 0.17 | 0.17 | 0.17 | 0.12 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.93 | 0.38 | 1.19 | 2.04 | (0.89 | ) | 0.70 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.03 | 0.57 | 1.36 | 2.21 | (0.72 | ) | 0.82 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.18 | ) | (0.16 | ) | (0.18 | ) | (0.16 | ) | (0.17 | ) | |||||||||||||||||||
Net realized gain | — | (0.45 | ) | (0.73 | ) | (1.74 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.63 | ) | (0.89 | ) | (1.92 | ) | (0.16 | ) | (0.17 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 16.86 | $ | 15.83 | $ | 15.89 | $ | 15.42 | $ | 15.13 | $ | 16.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 6.51% | 3.79% | 8.68% | 14.99% | (4.54% | ) | 5.34% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 23,279 | $ | 23,742 | $ | 26,448 | $ | 28,739 | $ | 30,502 | $ | 35,952 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.20% | 1.20% | 1.21% | 1.33% | 1.40% | 1.33% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.20% | 1.20% | 1.21% | 1.34% | 1.41% | 1.33% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.23% | 1.23% | 1.05% | 1.06% | 1.07% | 0.79% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.23% | 1.23% | 1.05% | 1.05% | 1.06% | 0.79% | ||||||||||||||||||||||||
Portfolio turnover | 12% | 22% | 25% | 82%4 | 39% | 35% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of Rothschild Asset Management Inc. replacing Herndon Capital Management, LLC as one of thesub-advisors to Optimum Large Cap Value Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
See accompanying notes, which are an integral part of the financial statements.
86
Table of Contents
Optimum Large Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.65 | $ | 15.69 | $ | 15.25 | $ | 14.99 | $ | 15.85 | $ | 15.22 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.07 | 0.05 | 0.05 | 0.05 | 0.01 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.91 | 0.38 | 1.17 | 2.01 | (0.87 | ) | 0.67 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.95 | 0.45 | 1.22 | 2.06 | (0.82 | ) | 0.68 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.04 | ) | (0.05 | ) | (0.06 | ) | (0.04 | ) | (0.05 | ) | |||||||||||||||||||
Net realized gain | — | (0.45 | ) | (0.73 | ) | (1.74 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.49 | ) | (0.78 | ) | (1.80 | ) | (0.04 | ) | (0.05 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 16.60 | $ | 15.65 | $ | 15.69 | $ | 15.25 | $ | 14.99 | $ | 15.85 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 6.07% | 3.05% | 7.82% | 14.13% | (5.19% | ) | 4.48% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 67,706 | $ | 69,415 | $ | 82,610 | $ | 95,495 | $ | 103,693 | $ | 122,772 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.95% | 1.95% | 1.96% | 2.08% | 2.15% | 2.08% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.95% | 1.95% | 1.96% | 2.09% | 2.16% | 2.08% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 0.48% | 0.48% | 0.30% | 0.31% | 0.32% | 0.04% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.48% | 0.48% | 0.30% | 0.30% | 0.31% | 0.04% | ||||||||||||||||||||||||
Portfolio turnover | 12% | 22% | 25% | 82%4 | 39% | 35% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of Rothschild Asset Management Inc. replacing Herndon Capital Management, LLC as one of thesub-advisors to Optimum Large Cap Value Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 87 |
Table of Contents
Financial highlights
Optimum Large Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.87 | $ | 15.93 | $ | 15.46 | $ | 15.16 | $ | 16.04 | $ | 15.39 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income2 | 0.12 | 0.23 | 0.21 | 0.20 | 0.20 | 0.17 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.93 | 0.38 | 1.19 | 2.06 | (0.89 | ) | 0.69 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 1.05 | 0.61 | 1.40 | 2.26 | (0.69 | ) | 0.86 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.22 | ) | (0.20 | ) | (0.22 | ) | (0.19 | ) | (0.21 | ) | |||||||||||||||||||
Net realized gain | — | (0.45 | ) | (0.73 | ) | (1.74 | ) | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.67 | ) | (0.93 | ) | (1.96 | ) | (0.19 | ) | (0.21 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 16.92 | $ | 15.87 | $ | 15.93 | $ | 15.46 | $ | 15.16 | $ | 16.04 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return3 | 6.62% | 4.08% | 8.90% | 15.30% | (4.29% | ) | 5.60% | |||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,558,088 | $ | 1,474,723 | $ | 1,372,505 | $ | 1,217,722 | $ | 1,129,606 | $ | 1,146,123 | ||||||||||||||||||
Ratio of expenses to average net assets | 0.95% | 0.95% | 0.96% | 1.08% | 1.15% | 1.08% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 0.95% | 0.95% | 0.96% | 1.09% | 1.16% | 1.08% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets | 1.48% | 1.48% | 1.30% | 1.31% | 1.32% | 1.04% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.48% | 1.48% | 1.30% | 1.30% | 1.31% | 1.04% | ||||||||||||||||||||||||
Portfolio turnover | 12% | 22% | 25% | 82%4 | 39% | 35% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of Rothschild Asset Management Inc. replacing Herndon Capital Management, LLC as one of thesub-advisors to Optimum Large Cap Value Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
See accompanying notes, which are an integral part of the financial statements.
88
Table of Contents
OptimumSmall-Mid Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.43 | $ | 15.51 | $ | 13.31 | $ | 10.95 | $ | 15.37 | $ | 15.57 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment loss2 | (0.08 | ) | (0.17 | ) | (0.16 | ) | (0.14 | ) | (0.15 | ) | (0.16 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.34 | ) | 1.20 | 3.03 | 2.50 | (2.26 | ) | 1.44 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.42 | ) | 1.03 | 2.87 | 2.36 | (2.41 | ) | 1.28 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Return of capital | — | — | — | — | — | 3 | — | |||||||||||||||||||||||
Net realized gain | — | (3.11 | ) | (0.67 | ) | — | (2.01 | ) | (1.48 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (3.11 | ) | (0.67 | ) | — | (2.01 | ) | (1.48 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 13.01 | $ | 13.43 | $ | 15.51 | $ | 13.31 | $ | 10.95 | $ | 15.37 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | (3.13% | ) | 8.69% | 21.88% | 21.55% | (16.77% | ) | 8.93% | ||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 4,153 | $ | 4,788 | $ | 5,414 | $ | 5,293 | $ | 5,040 | $ | 7,050 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.54% | 1.54% | 1.55% | 1.58% | 1.66% | 1.63% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.63% | 1.65% | 1.63% | 1.79% | 1.85% | 1.77% | ||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.13% | ) | (1.11% | ) | (1.07% | ) | (1.16% | ) | (1.09% | ) | (1.09% | ) | ||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.22% | ) | (1.22% | ) | (1.15% | ) | (1.37% | ) | (1.28% | ) | (1.23% | ) | ||||||||||||||||||
Portfolio turnover | 49% | 82% | 89% | 180%5 | 104% | 72% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $108 for Class A calculated to a de minimis amount of $0.00 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | As a result of Peregrine Capital Management, LLC and Columbus Circle Investors replacing Columbia Wanger Asset Management and Wellington Management as thesub-advisors to OptimumSmall-Mid Cap Growth Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 89 |
Table of Contents
Financial highlights
OptimumSmall-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 13.32 | $ | 11.59 | $ | 9.61 | $ | 13.86 | $ | 14.29 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment loss2 | (0.10 | ) | (0.24 | ) | (0.23 | ) | (0.20 | ) | (0.22 | ) | (0.25 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.28 | ) | 0.97 | 2.63 | 2.18 | (2.02 | ) | 1.30 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.38 | ) | 0.73 | 2.40 | 1.98 | (2.24 | ) | 1.05 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Return of capital | — | — | — | — | — | 3 | — | |||||||||||||||||||||||
Net realized gain | — | (3.11 | ) | (0.67 | ) | — | (2.01 | ) | (1.48 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (3.11 | ) | (0.67 | ) | — | (2.01 | ) | (1.48 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.56 | $ | 10.94 | $ | 13.32 | $ | 11.59 | $ | 9.61 | $ | 13.86 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | (3.47% | ) | 7.81% | 21.06% | 20.60% | (17.39% | ) | 8.08% | ||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 11,917 | $ | 13,510 | $ | 15,925 | $ | 16,668 | $ | 16,972 | $ | 23,206 | ||||||||||||||||||
Ratio of expenses to average net assets | 2.29% | 2.29% | 2.30% | 2.33% | 2.41% | 2.38% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.38% | 2.40% | 2.38% | 2.54% | 2.60% | 2.52% | ||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (1.88% | ) | (1.86% | ) | (1.82% | ) | (1.91% | ) | (1.84% | ) | (1.84% | ) | ||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (1.97% | ) | (1.97% | ) | (1.90% | ) | (2.12% | ) | (2.03% | ) | (1.98% | ) | ||||||||||||||||||
Portfolio turnover | 49% | 82% | 89% | 180%5 | 104% | 72% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $416 for Class C calculated to a de minimis amount of $0.00 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | As a result of Peregrine Capital Management, LLC and Columbus Circle Investors replacing Columbia Wanger Asset Management and Wellington Management as thesub-advisors to OptimumSmall-Mid Cap Growth Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
See accompanying notes, which are an integral part of the financial statements.
90
Table of Contents
OptimumSmall-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.69 | $ | 16.63 | $ | 14.19 | $ | 11.65 | $ | 16.17 | $ | 16.27 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment loss2 | (0.07 | ) | (0.14 | ) | (0.13 | ) | (0.12 | ) | (0.12 | ) | (0.13 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.38 | ) | 1.31 | 3.24 | 2.66 | (2.39 | ) | 1.51 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | (0.45 | ) | 1.17 | 3.11 | 2.54 | (2.51 | ) | 1.38 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Return of capital | — | — | — | — | — | 3 | — | |||||||||||||||||||||||
Net realized gain | — | (3.11 | ) | (0.67 | ) | — | (2.01 | ) | (1.48 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (3.11 | ) | (0.67 | ) | — | (2.01 | ) | (1.48 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 14.24 | $ | 14.69 | $ | 16.63 | $ | 14.19 | $ | 11.65 | $ | 16.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | (3.06% | ) | 8.97% | 22.22% | 21.80% | (16.54% | ) | 9.18% | ||||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 476,937 | $ | 494,476 | $ | 494,894 | $ | 420,279 | $ | 440,683 | $ | 527,647 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.29% | 1.29% | 1.30% | 1.33% | 1.41% | 1.38% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.38% | 1.40% | 1.38% | 1.54% | 1.60% | 1.52% | ||||||||||||||||||||||||
Ratio of net investment loss to average net assets | (0.88% | ) | (0.86% | ) | (0.82% | ) | (0.91% | ) | (0.84% | ) | (0.84% | ) | ||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.97% | ) | (0.97% | ) | (0.90% | ) | (1.12% | ) | (1.03% | ) | (0.98% | ) | ||||||||||||||||||
Portfolio turnover | 49% | 82% | 89% | 180%5 | 104% | 72% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $8,916 for Institutional Class calculated to a de minimis amount of $0.00 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | As a result of Peregrine Capital Management, LLC and Columbus Circle Investors replacing Columbia Wanger Asset Management and Wellington Management as thesub-advisors to OptimumSmall-Mid Cap Growth Fund during the Fund’s fiscal year ending March 31, 2017, the Fund’s portfolio turnover rate increased substantially during the year ended March 31, 2017. |
See accompanying notes, which are an integral part of the financial statements.
(continues) | 91 |
Table of Contents
Financial highlights
OptimumSmall-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.14 | $ | 13.66 | $ | 13.77 | $ | 11.53 | $ | 13.64 | $ | 14.88 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2 | 0.06 | 0.11 | 0.06 | 0.08 | (0.04 | ) | (0.09 | ) | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.30 | (0.69 | ) | 0.59 | 2.21 | (1.58 | ) | (0.03 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.36 | (0.58 | ) | 0.65 | 2.29 | (1.62 | ) | (0.12 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.06 | ) | (0.07 | ) | (0.05 | ) | — | — | |||||||||||||||||||||
Return of capital | — | — | — | — | — | 3 | — | |||||||||||||||||||||||
Net realized gain | — | (0.88 | ) | (0.69 | ) | — | (0.49 | ) | (1.12 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.94 | ) | (0.76 | ) | (0.05 | ) | (0.49 | ) | (1.12 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 12.50 | $ | 12.14 | $ | 13.66 | $ | 13.77 | $ | 11.53 | $ | 13.64 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | 2.97% | (3.83% | ) | 4.59% | 19.84% | (11.96% | ) | (0.69% | ) | |||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 3,024 | $ | 3,266 | $ | 3,856 | $ | 4,279 | $ | 4,302 | $ | 5,440 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.46% | 1.46% | 1.48% | 1.51% | 1.61% | 1.62% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.52% | 1.54% | 1.54% | 1.71% | 1.75% | 1.68% | ||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.03% | 0.87% | 0.40% | 0.64% | (0.35% | ) | (0.65% | ) | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.97% | 0.79% | 0.34% | 0.44% | (0.49% | ) | (0.71% | ) | ||||||||||||||||||||||
Portfolio turnover | 14% | 32% | 31% | 30% | 90%5 | 31% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $325 for Class A calculated to a de minimis amount of $0.001 per share |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | 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 thesub-advisors to OptimumSmall-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.
92
Table of Contents
OptimumSmall-Mid Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.54 | $ | 12.01 | $ | 12.21 | $ | 10.27 | $ | 12.30 | $ | 13.63 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2 | 0.01 | 0.01 | (0.04 | ) | (0.01 | ) | (0.12 | ) | (0.18 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | (0.60 | ) | 0.53 | 1.95 | (1.42 | ) | (0.03 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.27 | (0.59 | ) | 0.49 | 1.94 | (1.54 | ) | (0.21 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Return of capital | — | — | — | — | — | 3 | — | |||||||||||||||||||||||
Net realized gain | — | (0.88 | ) | (0.69 | ) | — | (0.49 | ) | (1.12 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.88 | ) | (0.69 | ) | — | (0.49 | ) | (1.12 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 10.81 | $ | 10.54 | $ | 12.01 | $ | 12.21 | $ | 10.27 | $ | 12.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | 2.56% | (4.50% | ) | 3.85% | 18.89% | (12.62% | ) | (1.45% | ) | |||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 9,002 | $ | 9,508 | $ | 12,030 | $ | 14,268 | $ | 15,136 | $ | 19,245 | ||||||||||||||||||
Ratio of expenses to average net assets | 2.21% | 2.21% | 2.23% | 2.26% | 2.36% | 2.37% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 2.27% | 2.29% | 2.29% | 2.46% | 2.50% | 2.43% | ||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.28% | 0.12% | (0.35% | ) | (0.11% | ) | (1.10% | ) | (1.40% | ) | ||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.22% | 0.04% | (0.41% | ) | (0.31% | ) | (1.24% | ) | (1.46% | ) | ||||||||||||||||||||
Portfolio turnover | 14% | 32% | 31% | 30% | 90%5 | 31% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $1,284 for Class C calculated to a de minimis amount of $0.001 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | 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 thesub-advisors to OptimumSmall-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) | 93 |
Table of Contents
Financial highlights
OptimumSmall-Mid Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | ||||||||||||||||||||||||||||||
9/30/191 | Year ended | |||||||||||||||||||||||||||||
(Unaudited) | 3/31/19 | 3/31/18 | 3/31/17 | 3/31/16 | 3/31/15 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.90 | $ | 14.45 | $ | 14.52 | $ | 12.16 | $ | 14.31 | $ | 15.53 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||||||||
Net investment income (loss)2 | 0.08 | 0.16 | 0.10 | 0.12 | (0.01 | ) | (0.06 | ) | ||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.73 | ) | 0.63 | 2.32 | (1.65 | ) | (0.04 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total from investment operations | 0.40 | (0.57 | ) | 0.73 | 2.44 | (1.66 | ) | (0.10 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||||||||
Net investment income | — | (0.10 | ) | (0.11 | ) | (0.08 | ) | — | — | |||||||||||||||||||||
Return of capital | — | — | — | — | — | 3 | — | |||||||||||||||||||||||
Net realized gain | — | (0.88 | ) | (0.69 | ) | — | (0.49 | ) | (1.12 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total dividends and distributions | — | (0.98 | ) | (0.80 | ) | (0.08 | ) | (0.49 | ) | (1.12 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value, end of period | $ | 13.30 | $ | 12.90 | $ | 14.45 | $ | 14.52 | $ | 12.16 | $ | 14.31 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total return4 | 3.10% | (3.55% | ) | 4.87% | 20.05% | (11.67% | ) | (0.53% | ) | |||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 531,844 | $ | 506,814 | $ | 442,808 | $ | 406,327 | $ | 441,150 | $ | 499,578 | ||||||||||||||||||
Ratio of expenses to average net assets | 1.21% | 1.21% | 1.23% | 1.26% | 1.36% | 1.37% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived | 1.27% | 1.29% | 1.29% | 1.46% | 1.50% | 1.43% | ||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.28% | 1.12% | 0.65% | 0.89% | (0.10% | ) | (0.40% | ) | ||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 1.22% | 1.04% | 0.59% | 0.69% | (0.24% | ) | (0.46% | ) | ||||||||||||||||||||||
Portfolio turnover | 14% | 32% | 31% | 30% | 90%5 | 31% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $31,607 for Institutional Class calculated to a de minimis amount of $0.001 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
5 | 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 thesub-advisors to OptimumSmall-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.
94
Table of Contents
Optimum Fund Trust
September 30, 2019 (Unaudited)
Optimum Fund Trust (Trust) is organized as a Delaware statutory trust and offers six series: Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, OptimumSmall-Mid Cap Growth Fund, and OptimumSmall-Mid Cap Value Fund, (each, a Fund, or collectively, the Funds). Each Fund is anopen-end investment company. The Funds are considered diversified under the Investment Company Act of 1940, as amended (1940 Act), and offer Class A, Class C, and Institutional Class shares. Class A shares are sold with a maximumfront-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, OptimumSmall-Mid Cap Growth Fund, and OptimumSmall-Mid Cap Value Fund. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) instead offront-end sales charge of 1.00%, if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, which will be incurred if redeemed during the first 12 months. Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors.
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 OptimumSmall-Mid Cap Growth Fund is to seek long-term growth of capital.
The investment objective of OptimumSmall-Mid Cap Value Fund is to seek long-term growth of capital.
1. Significant Accounting Policies
Each Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Funds.
Security Valuation— Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date.Open-end investment companies are valued at their published net asset value (NAV). US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, interest rate swap contracts, CDS and interest rate swap options contracts (swaptions) are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Investments in repurchase agreements are generally valued at par, which approximates fair value, each business day. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Each Fund may use fair value pricing more frequently for securities traded primarily innon-US markets because, among other things, most foreign markets close well before each Fund values its securities,
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Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
generally as of 4:00pm Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, each Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing). Restricted securities are valued at fair value using methods approved by the Board.
Federal and Foreign Income Taxes— No provision for federal income taxes has been made as each Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. 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 or expected to be taken on each Fund’s federal income tax returns through the six months ended Sept. 30, 2019 and for all open tax years (years ended March 31, 2016–March 31, 2019), and has concluded that no provision for federal income tax is required in each Fund’s financial statements. In regard to foreign taxes only, each Fund has open tax years in certain foreign countries in which it invests that may date back to the inception of each Fund. If applicable, the Funds recognize interest accrued on unrecognized tax benefits in interest expense and penalties in “Other expenses” on the “Statements of operations.” During the six months ended Sept. 30, 2019, the Funds did not incur any interest or tax penalties.
Class Accounting— Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of 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 US government securities subject to the counterparty’s agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with each Fund’s custodian or a third-partysub-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. At Sept. 30, 2019, the Funds held no investments in repurchase agreements.
Reverse Repurchase Agreements— Optimum Fixed Income Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells securities to a bank or broker/dealer and agrees to repurchase the securities at an agreed upon date and price. The Fund will maintain in a segregated account, cash, cash equivalents, or US government securities in an amount sufficient to cover its obligations under reverse repurchase agreements with broker/dealers (but no collateral is required on reverse repurchase agreements with banks). The Fund will subject its investments in reverse repurchase agreements to the borrowing provisions set forth in the 1940 Act. The use of reverse repurchase agreements by the Fund creates leverage, which increases the Fund’s investment risk. If the income and gains on securities purchased with the proceeds of reverse repurchase agreements exceed the costs of the agreements, the Fund’s earnings or NAV will increase faster than otherwise would be the case; conversely, if the income and gains fail to exceed the costs, earnings or NAV would decline faster than otherwise would be the case. At Sept. 30, 2019, there were no open reverse repurchase agreements in the Fund.
Short Sales— Optimum Large Cap Value Fund may make short sales in an attempt to protect against declines in an individual security or the overall market, to manage duration, or for such other purposes consistent with the Fund’s investment objective and strategies. Typically, short sales are transactions in which the Fund sells a security it does not own and, at the time a short sale is effected, the Fund incurs an obligation to replace the security borrowed at whatever its price may be at the time the Fund purchases it for delivery to the lender. The price at such time may be more or less than the price at which the security was sold by the Fund. When a short sale transaction is closed out by delivery of the security, any gain or loss on the transaction generally is taxable as short-term capital gain or loss. Until the security is replaced, the Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. To borrow the security, the Fund also may be required to pay a premium, which would increase the cost of the security sold. The proceeds of the short sale, and potentially additional margin, will be retained by the broker from whom the security is borrowed, to the extent necessary to meet margin requirements, until the short position is closed out.
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
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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. At Sept. 30, 2019, the Fund received $2,652,000 cash collateral for TBA trades, which is included in “Cash collateral due to brokers” on the “Statements of assets and liabilities.”
Foreign Currency Transactions— Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Funds’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Funds generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), attributable to changes in foreign exchange rates, is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, the realized gains and losses are included on the “Statements of operations” under “Net realized and unrealized gain (loss) on investments.“ The Funds report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates— The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other— Expenses directly attributable to a Fund are charged directly to that Fund. Other expenses common to various funds within the Trust are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on theex-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 theex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. Distributions received from investments in master limited partnerships are recorded as return of capital on investments on theex-dividend date. Foreign dividends are also recorded on theex-dividend date or as soon after theex-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 theex-dividend date.
Each Fund receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement are included on the ”Statements of operations“ under ”Custodian fees“ with the corresponding expenses offset included under ”Less expenses paid indirectly.“ For the six months ended Sept. 30, 2019, each Fund earned the following amounts under this arrangement:
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 | |||||
$60,659 | $240 | $603 | $202 | $390 | $862 |
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Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
Each Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the ”Statements of operations“ under ”Dividend disbursing and transfer agent fees and expenses“ with the corresponding expenses offset included under ”Less expenses paid indirectly.“ For the six months ended Sept. 30, 2019, each Fund earned the following amounts under this arrangement:
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 | |||||
$440 | $407 | $482 | $476 | $467 | $470 |
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust, furnishes investment management services to each Fund and has full discretion and responsibility, subject to the overall supervision of the Board, to select and contract with one or more investmentsub-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 additionalsub-advisors, and to monitor thesub-advisors’ compliance with the relevant Fund’s investment objective, policies and restrictions. DMC pays thesub-advisors out of its fees, which are calculated daily and paid monthly.
In accordance with the terms of its respective investment management agreement, DMC is entitled to receive an annual fee equal to the following percentage rates of the average daily net assets of each Fund, which is calculated daily and paid monthly:
Optimum Fixed Income Fund | 0.6000% of net assets up to $500 million | |
0.5500% of net assets from $500 million to $1 billion | ||
0.5000% of net assets from $1 billion to $1.5 billion | ||
0.4500% of net assets from $1.5 billion to $2 billion | ||
0.4250% of net assets from $2 billion to $2.5 billion | ||
0.4000% of net assets from $2.5 billion to $5 billion | ||
0.3750% of net assets over $5 billion | ||
Optimum International Fund | 0.7500% of net assets up to $500 million | |
0.7150% of net assets from $500 million to $1 billion | ||
0.7000% of net assets from $1 billion to $1.5 billion | ||
0.6750% of net assets from $1.5 billion to $2 billion | ||
0.6500% of net assets from $2 billion to $2.5 billion | ||
0.6000% of net assets over $2.5 billion | ||
Optimum Large Cap Growth Fund | 0.7500% of net assets up to $500 million | |
0.7000% of net assets from $500 million to $1 billion | ||
0.6500% of net assets from $1 billion to $1.5 billion | ||
0.6250% of net assets from $1.5 billion to $2 billion | ||
0.6000% of net assets from $2 billion to $2.5 billion | ||
0.5750% of net assets from $2.5 billion to $5 billion | ||
0.5500% of net assets over $5 billion | ||
Optimum Large Cap Value Fund | 0.7000% of net assets up to $500 million | |
0.6500% of net assets from $500 million to $1 billion | ||
0.6000% of net assets from $1 billion to $1.5 billion | ||
0.5750% of net assets from $1.5 billion to $2 billion | ||
0.5500% of net assets from $2 billion to $2.5 billion | ||
0.5250% of net assets from 2.5 billion to $5 billion | ||
0.5000% of net assets over $5 billion |
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OptimumSmall-Mid Cap Growth Fund | 1.1000% of net assets up to $250 million | |
1.0000% of net assets from $250 million to $500 million | ||
0.9000% of net assets from $500 million to $750 million | ||
0.8000% of net assets from $750 million to $1 billion | ||
0.7500% of net assets from $1 billion to $1.5 billion | ||
0.7000% of net assets over $1.5 billion | ||
OptimumSmall-Mid Cap Value Fund | 1.0000% of net assets up to $250 million | |
0.9000% of net assets from $250 million to $500 million | ||
0.8000% of net assets from $500 million to $750 million | ||
0.7500% of net assets from $750 million to $1 billion | ||
0.7000% of net assets from $1 billion to $1.5 billion | ||
0.6500% of net assets over $1.5 billion |
DMC has entered intosub-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 ClearBridge Investments LLC (ClearBridge); Optimum Large Cap Value Fund – Massachusetts Financial Services Company (MFS) and Rothschild Asset Management Inc. (Rothschild); OptimumSmall-Mid Cap Growth Fund – Columbus Circle Investors (CCI) and Peregrine Capital Management LLC (Peregrine); OptimumSmall-Mid Cap Value Fund – LSV Asset Management (LSV) and Westwood Management Corp. (Westwood).
For the six months ended Sept. 30, 2019, DMC paid the followingsub-advisory fees:
Optimum | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||
$1,441,223 | $ | 1,089,257 | $ | 2,882,587 | $ | 2,411,241 | $ | 1,257,899 | $ | 1,367,524 |
DMC has contractually agreed to waive all or a portion, if any, of its management fee and/or pay/reimburse each Fund to the extent necessary to ensure that total annual operating expenses (excluding any distribution and service(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) in order to prevent total annual fund operating expenses from exceeding the following percentage of each Fund’s average daily net assets. These expense waivers and reimbursements apply only to expenses paid directly by each Fund and may only be terminated by agreement of DMC and each Fund. These waivers and reimbursements are accrued daily and received monthly.
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, 2019 – July 29, 2020 | 0.85 | % | 1.12 | % | 1.02 | % | 0.97 | % | 1.29 | % | 1.22 | % | ||||||||||||||||||
Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 27, 2018 – July 28, 2019 | 0.85 | % | 1.12 | % | 1.02 | % | 0.97 | % | 1.29 | % | 1.21 | % |
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Trust. These services include overseeing the Funds’ pricing process, the calculation and payment of Fund expenses, and financial reporting in shareholder reports, registration statements and other regulatory filings. DIFSC also manages the process for the payment of
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Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
dividends and distribution and dissemination of Funds’ NAV and performance data. For these services the Funds pay DIFSC an asset-based fee, plus certainout-of-pocket expenses and transactional charges. DIFSC’s fees are calculated daily and paid monthly based on the aggregate daily net assets of the Trust at the following annual rates: 0.0075% of the first $3.5 billion; 0.0070% of the next $2 billion; 0.0060% of the next $2 billion; and 0.0050% of aggregate average daily net assets in excess of $7.5 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Trust on a relative NAV basis. These amounts are included on the ”Statements of operations“ under ”Accounting fees.“ For the six months ended Sept. 30, 2019, each Fund was charged for these services as follows:
Optimum | 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 | |||||||||||||||||||||||
$83,003 | $ | 20,224 | $ | 59,018 | $ | 55,958 | $ | 19,181 | $ | 19,637 |
DIFSC provides the Trust with administrative services including: preparation, filing and maintaining governing documents; preparation of materials and reports for the Board; and preparation and filing of registration statements and other regulatory filings. For these administrative services, the Trust pays DIFSC the following fee as a percentage of the Trust’s average daily net assets (plusout-of-pocket expenses): 0.0525% of assets up to $7.5 billion; 0.0475% of assets from $7.5 billion to $10 billion; 0.0425% of assets from $10 billion to $12 billion; 0.0375% of assets from $12 billion to $14 billion and 0.0325% of assets over $14 billion.
DIFSC is also the shareholder servicing, dividend disbursing, and transfer agent for each Fund. For these services, the Trust pays DIFSC a fee at an annual rate of 0.18% of the Trust’s total average daily net assets, subject to a minimum fee of $2,000 per class per fund each month, plusout-of-pocket expenses. The fee is calculated daily and paid monthly. Pursuant to asub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certainsub-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 Rule12b-1 plan, each Fund pays DDLP an annual12b-1 fee of 0.25% of the average daily net assets of the Class A shares and 1.00% of the average daily net assets of the Class C shares. The fees are calculated daily and paid monthly. Institutional Class shares do not pay12b-1 fees.
For the six months ended Sept. 30, 2019, DDLP earned commissions on sales of Class A shares for each Fund as follows:
Optimum | 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 | |||||||||||||||||||||||
$15,232 | $ | 533 | $ | 1,933 | $ | 1,578 | $ | 193 | $ | 94 |
For the six months ended Sept. 30, 2019, DDLP received gross CDSC commissions on redemptions of each Fund’s Class C shares, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares. The amounts received were as follows:
Optimum | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||
$1,160 | $ | 228 | $ | 309 | $ | 433 | $ | 28 | $ | 44 |
DMC, DIFSC and DDLP are indirect, wholly owned subsidiaries of Macquarie Management Holdings, Inc. Certain officers of DMC, DIFSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Funds.
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Cross trades for the six months ended Sept. 30, 2019, were executed by the Funds pursuant to procedures adopted by the Board designed to ensure compliance with Rule17a-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. Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Value Fund, and OptimumSmall-Mid Cap Value Fund did not engage in Rule17a-7 securities purchases and/or securities sales for the six months ended Sept. 30, 2019. Pursuant to these procedures, for the six months ended Sept. 30, 2019, the following Funds engaged in Rule17a-7 securities purchases and sales, which resulted in net realized gain (loss) as follows:
Optimum Large Cap Growth Fund | Optimum Small-Mid Cap Growth Fund | |||||||||
Purchases | $44,162 | $332,644 | ||||||||
Sales | — | 341,872 | ||||||||
Net realized loss | — | (17,814 | ) |
In addition to the management fees and other expenses of a Fund, a Fund indirectly bears the investment management fees and other expenses of the investment companies (Underlying Funds) in which it invests. The amount of these fees and expenses incurred indirectly by a Fund will vary based upon the expense and fee levels of the Underlying Funds and the number of shares that are owned of the Underlying Funds at different times.
3. Investments
For the six months ended Sept. 30, 2019, each Fund made purchases and sales of investments securities other than short-term investments as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Purchases other than US government securities | $ | 606,857,261 | $ | 135,908,023 | $ | 189,075,068 | $ | 197,151,221 | $247,773,749 | $87,386,753 | ||||||||||||||
Purchases of US government securities | 3,658,544,340 | — | — | — | — | — | ||||||||||||||||||
Sales other than US government securities | 689,834,517 | 134,947,259 | 238,592,679 | 205,363,583 | 264,131,193 | 74,594,907 | ||||||||||||||||||
Sales of US government securities | 3,120,085,229 | — | — | — | — | — |
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Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
At Sept. 30, 2019, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At Sept. 30, 2019, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Fund were as follows:
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Cost of investments and derivatives | $ | 2,979,331,594 | $ | 516,793,723 | $ | 1,239,176,913 | $ | 1,308,136,029 | $ | 440,885,286 | $ | 521,351,107 | ||||||||||||||||||
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Aggregate unrealized appreciation of investments and derivatives | $ | 83,958,382 | $ | 87,715,019 | $ | 478,099,286 | $ | 381,325,891 | $ | 73,251,192 | $ | 74,989,953 | ||||||||||||||||||
Aggregate unrealized depreciation of investments and derivatives | (12,706,448 | ) | (50,461,646 | ) | (40,297,173 | ) | (42,447,594 | ) | (24,083,814 | ) | (51,057,445 | ) | ||||||||||||||||||
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Net unrealized appreciation (depreciation) of investments and derivatives | $ | 71,251,934 | $ | 37,253,373 | $ | 437,802,113 | $ | 338,878,297 | $ | 49,167,378 | $ | 23,932,508 | ||||||||||||||||||
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Under the Regulated Investment Company Modernization Act of 2010 (Act), net capital losses recognized for tax years beginning after Dec. 22, 2010 may be carried forward indefinitely, and their character is retained as short-term and/or long-term losses. At March 31, 2019, there were no capital loss carryforwards for Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, OptimumSmall-Mid Cap Growth Fund, and OptimumSmall-Mid Cap Value Fund. Capital loss carryforwards available to offset future realized capital gains for Optimum Fixed Income Fund at March 31, 2019 were as follows:
Loss Carryforward Character | ||||||||||||
Short-term | Long-term | Total | ||||||||||
Optimum Fixed Income Fund | $ | 3,814,689 | $ | 25,077,810 | $ | 28,892,499 |
US GAAP defines fair value as the price that each Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the 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 and on the next page.
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) | ||
Level 2 | – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default |
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rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) | ||||
Level 3 | – | Significant unobservable inputs, including each Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following tables summarize the valuation of each Fund’s investments by fair value hierarchy levels as of Sept. 30, 2019:
Optimum Fixed Income Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Agency, Asset- & Mortgage-Backed Securities | $ | — | $ | 1,238,563,470 | $ | — | $ | 1,238,563,470 | ||||||||
Corporate Debt1 | — | 941,314,279 | — | 941,314,279 | ||||||||||||
Foreign Debt | — | 41,309,019 | — | 41,309,019 | ||||||||||||
Municipal Bonds | — | 17,046,940 | — | 17,046,940 | ||||||||||||
Loan Agreements | — | 47,248,997 | — | 47,248,997 | ||||||||||||
Common Stock | — | — | — | — | ||||||||||||
Convertible Preferred Stock | — | 1,096,705 | — | 1,096,705 | ||||||||||||
Preferred Stock | — | 713,341 | — | 713,341 | ||||||||||||
US Treasury Obligations | — | 731,540,720 | — | 731,540,720 | ||||||||||||
Short-Term Investments1 | 29,453,054 | 2,297,003 | — | 31,750,057 | ||||||||||||
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| |||||||||
Total Value of Securities Before Options Written | $ | 29,453,054 | $ | 3,021,130,474 | $ | — | $ | 3,050,583,528 | ||||||||
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| |||||||||
Liabilities: | ||||||||||||||||
Options Written | $ | — | $ | (48,802 | ) | $ | — | $ | (48,802 | ) | ||||||
Derivatives2 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 895,052 | $ | — | $ | 895,052 | ||||||||
Futures Contracts | 120,891 | — | — | 120,891 | ||||||||||||
Swap Contracts | — | 1,656,086 | — | 1,656,086 | ||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Exchange Contracts | — | (362,231 | ) | — | (362,231 | ) | ||||||||||
Futures Contracts | (3,134,162 | ) | — | — | (3,134,162 | ) | ||||||||||
Swap Contracts | — | (5,171,544 | ) | — | (5,171,544 | ) |
(continues) | 103 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
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 | |||||||||||
Short-Term Investments | 92.77 | % | 7.23 | % | — | 100.00 | % |
2Foreign currency exchange contracts, futures contracts, and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
Optimum International Fund | ||||||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Assets: | ||||||||||||||||||||
Common Stock | ||||||||||||||||||||
Australia | $ | 14,561,649 | $ | — | $ | — | $ | 14,561,649 | ||||||||||||
Austria | 8,865,959 | — | — | 8,865,959 | ||||||||||||||||
Belgium | 45,820 | — | — | 45,820 | ||||||||||||||||
Brazil | 13,163,789 | — | — | 13,163,789 | ||||||||||||||||
Cambodia | 422,343 | — | — | 422,343 | ||||||||||||||||
Canada | 43,348,780 | — | — | 43,348,780 | ||||||||||||||||
Chile | 5,360,369 | — | — | 5,360,369 | ||||||||||||||||
China/Hong Kong | 54,772,563 | 79,106 | — | 54,851,669 | ||||||||||||||||
Colombia | 3,569,301 | 46,552 | — | 3,615,853 | ||||||||||||||||
Czech Republic | 1,676,611 | — | — | 1,676,611 | ||||||||||||||||
Denmark | 5,603,176 | — | — | 5,603,176 | ||||||||||||||||
Finland | 640,354 | — | — | 640,354 | ||||||||||||||||
France | 24,896,178 | — | — | 24,896,178 | ||||||||||||||||
Germany | 18,222,771 | — | — | 18,222,771 | ||||||||||||||||
Greece | 91,659 | — | — | 91,659 | ||||||||||||||||
Hungary | 1,564,551 | — | — | 1,564,551 | ||||||||||||||||
India | 9,388,851 | — | — | 9,388,851 | ||||||||||||||||
Indonesia | 30,642 | — | — | 30,642 | ||||||||||||||||
Israel | 7,329,637 | 13,818,436 | — | 21,148,073 | ||||||||||||||||
Italy | 12,018,411 | — | — | 12,018,411 | ||||||||||||||||
Japan | 58,797,778 | — | — | 58,797,778 | ||||||||||||||||
Luxembourg | 3,690,152 | — | — | 3,690,152 | ||||||||||||||||
Malaysia | 235,785 | — | — | 235,785 | ||||||||||||||||
Mexico | 5,530,153 | — | — | 5,530,153 | ||||||||||||||||
Netherlands | 25,961,957 | — | — | 25,961,957 | ||||||||||||||||
New Zealand | 574,423 | — | — | 574,423 | ||||||||||||||||
Norway | 12,499,450 | — | — | 12,499,450 | ||||||||||||||||
Philippines | 32,762 | — | — | 32,762 | ||||||||||||||||
Poland | 417,343 | — | — | 417,343 | ||||||||||||||||
Portugal | 46,437 | — | — | 46,437 | ||||||||||||||||
Republic of Korea | 25,669,370 | — | — | 25,669,370 | ||||||||||||||||
Russia | 319,526 | — | — | 319,526 | ||||||||||||||||
Singapore | 6,853,606 | — | — | 6,853,606 | ||||||||||||||||
South Africa | 1,020,391 | — | — | 1,020,391 | ||||||||||||||||
Spain | 13,242,951 | — | — | 13,242,951 | ||||||||||||||||
Sweden | 1,512,206 | — | — | 1,512,206 | ||||||||||||||||
Switzerland | 25,646,435 | — | — | 25,646,435 | ||||||||||||||||
Taiwan | — | 21,775,765 | — | 21,775,765 | ||||||||||||||||
Thailand | 6,353,196 | — | — | 6,353,196 |
104
Table of Contents
Optimum International Fund | ||||||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Turkey | $ | 3,318,790 | $ | — | $ | — | $ | 3,318,790 | ||||||||||||
United Arab Emirates | 581,551 | — | — | 581,551 | ||||||||||||||||
United Kingdom | 46,702,734 | — | — | 46,702,734 | ||||||||||||||||
United States | 36,237,873 | — | 560,569 | 36,798,442 | ||||||||||||||||
Preferred Stock | 108,693 | — | — | 108,693 | ||||||||||||||||
Short-Term Investments | 3,556,130 | — | — | 3,556,130 | ||||||||||||||||
Securities Lending Collateral | — | 13,283,562 | — | 13,283,562 | ||||||||||||||||
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Total Value of Securities | $ | 504,483,106 | $ | 49,003,421 | $ | 560,569 | $ | 554,047,096 | ||||||||||||
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Derivatives1 | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 3 | $ | — | $ | 3 | ||||||||||||
Liabilities: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | — | (1,571 | ) | — | (1,571 | ) |
1Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
Optimum Large Cap Growth Fund | ||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||
Securities | ||||||||||||||||||||
Assets: | ||||||||||||||||||||
Common Stock | 1,647,192,916 | — | — | 1,647,192,916 | ||||||||||||||||
Convertible Preferred Stock1 | — | 989,883 | 7,084,554 | 8,074,437 | ||||||||||||||||
Short-Term Investments | 21,711,762 | — | — | 21,711,762 | ||||||||||||||||
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|
| |||||||||||||
Total Value of Securities | $ | 1,668,904,678 | $ | 989,883 | $ | 7,084,554 | $ | 1,676,979,115 | ||||||||||||
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Derivatives2 | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (89 | ) | $ | — | $ | (89 | ) |
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 this security type:
Level 1 | Level 2 | Level 3 | Total | |||||||||||
Convertible Preferred Stock | — | 12.26 | % | 87.74 | % | 100.00 | % |
2Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
(continues) | 105 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Large Cap Value Fund | |||||||||||||||
Level 1 | Level 2 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Common Stock | $1,622,670,842 | $ — | $1,622,670,842 | ||||||||||||
Short-Term Investments | 24,343,736 | — | 24,343,736 | ||||||||||||
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|
| ||||||||||
Total Value of Securities | $1,647,014,578 | $ — | $1,647,014,578 | ||||||||||||
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Derivatives1 | |||||||||||||||
Liabilities: | |||||||||||||||
Foreign Currency Exchange Contracts | $ — | $(252 | ) | $(252 | ) |
1Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end
Optimum Small-Mid Cap Growth Fund | |||||||||||||||
Level 1 | Level 3 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Common Stock | $473,546,447 | $ — | $473,546,447 | ||||||||||||
Convertible Preferred Stock | — | 1,370,527 | 1,370,527 | ||||||||||||
Short-Term Investments | 15,135,690 | — | 15,135,690 | ||||||||||||
Total Value of Securities | $488,682,137 | $1,370,527 | $490,052,664 |
Optimum Small-Mid Cap Value Fund |
Securities | Level 1 | |||
Assets: | ||||
Common Stock | $ | 535,963,012 | ||
Short-Term Investments | 9,320,603 | |||
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| |||
Total Value of Securities | $ | 545,283,615 | ||
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Securities valued at zero on the ”Schedules of investments“ are considered to be Level 3 investments in these tables.
106
Table of Contents
As a result of utilizing international fair value pricing at Sept. 30, 2019, a portion of Optimum International Fund’s common stock investments were categorized as Level 2.
During the six months ended Sept. 30, 2019, 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 Funds’ 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 based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when each Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to each Fund’s net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to each Fund’s net assets at the end of the period. There were no Level 3 investments during the six months ended Sept. 30, 2019 for Optimum Large Cap Value Fund and OptimumSmall-Mid Cap Value Fund.
4. Capital Shares
Transactions in capital shares were as follows:
Optimum | Optimum | Optimum | ||||||||||||||||||||||||||||
Fixed Income | International | Large Cap | ||||||||||||||||||||||||||||
Fund | Fund | Growth Fund | ||||||||||||||||||||||||||||
Six months ended 9/30/19 | Year ended 3/31/19 | Six months ended 9/30/19 | Year ended 3/31/19 | Six months ended 9/30/19 | Year ended 3/31/19 | |||||||||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||||||||
Class A | 46,162 | 188,268 | 17,461 | 25,079 | 19,211 | 38,939 | ||||||||||||||||||||||||
Class C | 190,213 | 630,924 | 39,351 | 55,253 | 27,115 | 68,870 | ||||||||||||||||||||||||
Institutional Class | 18,930,632 | 69,792,050 | 3,161,911 | 7,608,435 | 5,435,449 | 13,680,802 | ||||||||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||||||||
Class A | — | 61,708 | — | 46,090 | — | 242,655 | ||||||||||||||||||||||||
Class C | — | 131,714 | — | 129,826 | — | 984,572 | ||||||||||||||||||||||||
Institutional Class | — | 5,726,909 | — | 3,309,858 | — | 10,611,468 | ||||||||||||||||||||||||
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19,167,007 | 76,531,573 | 3,218,723 | 11,174,541 | 5,481,775 | 25,627,306 | |||||||||||||||||||||||||
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Shares redeemed: | ||||||||||||||||||||||||||||||
Class A | (189,561 | ) | (660,778 | ) | (52,762 | ) | (96,717 | ) | (203,488 | ) | (381,417 | ) | ||||||||||||||||||
Class C | (781,867 | ) | (2,264,676 | ) | (165,381 | ) | (406,128 | ) | (648,587 | ) | (1,664,422 | ) | ||||||||||||||||||
Institutional Class | (18,604,310 | ) | (38,873,248 | ) | (3,661,721 | ) | (12,886,082 | ) | (7,610,991 | ) | (25,281,543 | ) | ||||||||||||||||||
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(19,575,738 | ) | (41,798,702 | ) | (3,879,864 | ) | (13,388,927 | ) | (8,463,066 | ) | (27,327,382 | ) | |||||||||||||||||||
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Net increase (decrease) | (408,731 | ) | 34,732,871 | (661,141 | ) | (2,214,386 | ) | (2,981,291 | ) | (1,700,076 | ) | |||||||||||||||||||
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(continues) | 107 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
4. Capital Shares (continued)
Optimum | Optimum | Optimum | ||||||||||||||||||||||||||||
Large Cap | Small-Mid Cap | Small-Mid Cap | ||||||||||||||||||||||||||||
Value Fund | Growth Fund | Value Fund | ||||||||||||||||||||||||||||
Six months ended 9/30/19 | Year ended 3/31/19 | Six months ended 9/30/19 | Year ended 3/31/19 | Six months ended 9/30/19 | Year ended 3/31/19 | |||||||||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||||||||
Class A | 21,033 | 48,020 | 3,061 | 10,569 | 4,467 | 9,354 | ||||||||||||||||||||||||
Class C | 40,039 | 99,438 | 6,987 | 17,897 | 13,319 | 18,484 | ||||||||||||||||||||||||
Institutional Class | 6,486,112 | 16,680,986 | 2,496,794 | 5,140,284 | 3,483,133 | 11,721,860 | ||||||||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||||||||
Class A | — | 62,073 | — | 75,976 | — | 21,042 | ||||||||||||||||||||||||
Class C | — | 146,453 | — | 305,320 | — | 75,223 | ||||||||||||||||||||||||
Institutional Class | — | 3,968,965 | — | 6,429,203 | — | 2,886,088 | ||||||||||||||||||||||||
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6,547,184 | 21,005,935 | 2,506,842 | 11,979,249 | 3,500,919 | 14,732,051 | |||||||||||||||||||||||||
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Shares redeemed: | ||||||||||||||||||||||||||||||
Class A | (139,681 | ) | (274,476 | ) | (40,285 | ) | (79,117 | ) | (31,572 | ) | (43,747 | ) | ||||||||||||||||||
Class C | (397,096 | ) | (1,073,369 | ) | (113,060 | ) | (284,506 | ) | (82,788 | ) | (193,155 | ) | ||||||||||||||||||
Institutional Class | (7,317,851 | ) | (13,848,116 | ) | (2,680,009 | ) | (7,663,370 | ) | (2,780,649 | ) | (5,969,407 | ) | ||||||||||||||||||
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| |||||||||||||||||||
(7,854,628 | ) | (15,195,961 | ) | (2,833,354 | ) | (8,026,993 | ) | (2,895,009 | ) | (6,206,309 | ) | |||||||||||||||||||
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| |||||||||||||||||||
Net increase (decrease) | (1,307,444 | ) | 5,809,974 | (326,512 | ) | 3,952,256 | 605,910 | 8,525,742 | ||||||||||||||||||||||
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Certain shareholders may exchange shares of one class for shares of another class in the same Fund. These exchange transactions are included as subscriptions and redemptions in the table above and on the previous page and the ”Statements of changes in net assets.“ For the six months ended Sept. 30, 2019 and year ended March 31, 2019 each Fund had the following exchange transactions:
Exchange Redemptions Class A Shares | Six months ended 9/30/19 Exchange Subscriptions Institutional Class Shares | Value | ||||||
Optimum Fixed Income Fund | 8,125 | 8,124 | $ | 78,007 | ||||
Optimum International Fund | 3,398 | 3,372 | 42,837 | |||||
Optimum Large Cap Growth Fund | 7,411 | 6,824 | 127,544 | |||||
Optimum Large Cap Value Fund | 6,972 | 6,954 | 112,679 | |||||
OptimumSmall-Mid Cap Growth Fund | 1,534 | 1,402 | 20,868 | |||||
OptimumSmall-Mid Cap Value Fund | 1,120 | 1,054 | 13,759 |
108
Table of Contents
Year ended 3/31/19 | ||||||||||||||||||||||||
Exchange Redemptions | Exchange Subscriptions | |||||||||||||||||||||||
Class A Shares | Class C Shares | Institutional Class Shares | Class A | Institutional Class Shares | Value | |||||||||||||||||||
Optimum Fixed Income Fund | 17,544 | 717 | 6,129 | 6,130 | 18,239 | $ | 225,363 | |||||||||||||||||
Optimum International Fund | 3,044 | 1,339 | 4,807 | 5,856 | 3,307 | 124,940 | ||||||||||||||||||
Optimum Large Cap Growth Fund | 12,356 | 3,979 | 10,350 | 11,112 | 14,625 | 486,113 | ||||||||||||||||||
Optimum Large Cap Value Fund | 10,550 | 3,831 | 9,927 | 9,965 | 14,271 | 395,302 | ||||||||||||||||||
OptimumSmall-Mid Cap Growth Fund | 1,640 | 888 | 2,596 | 3,146 | 1,901 | 86,651 | ||||||||||||||||||
OptimumSmall-Mid Cap Value Fund | 1,203 | 60 | 2,649 | 2,807 | 1,185 | 54,733 |
5. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts— Each Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Fund may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Fund may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Funds and the counterparty and by the posting of collateral by the counterparty to the Funds to cover the Funds’ exposure to the counterparty. During the six months ended Sept. 30, 2019, OptimumSmall-Mid Cap Growth Fund and OptimumSmall-Mid Cap Value Fund did not use foreign currency exchange contracts.
During the six months ended Sept. 30, 2019, Optimum Fixed Income Fund used foreign currency exchange contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies.
During the six months ended Sept. 30, 2019, Optimum International Fund, Optimum Large Cap Growth Fund, and Optimum Large Cap Value Fund each used foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions. Optimum International Fund also used foreign currency exchange contracts to fix the US dollar value of a security between trade date and settlement date.
Futures Contracts— A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. Optimum Fixed Income Fund may use futures in the normal course of pursuing its investment objective. Optimum Fixed Income Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the 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
(continues) | 109 |
Table of Contents
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. The Fund posted securities collateral valued at $4,374,548 and $13,000 cash collateral as margin for open futures contracts. Securities collateral are presented on the ”Schedules of investments“.
During the six months ended Sept. 30, 2019, Optimum Fixed Income Fund used futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions, as a cash management tool, and to facilitate investments in portfolio securities.
Options Contracts—Optimum Fixed Income Fund may enter into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Fund’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
During the six months ended Sept. 30, 2019, Optimum Fixed Income Fund used options contracts to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions, to manage the Fund’s exposure to changes in foreign currencies, to adjust the Fund’s overall exposure to certain markets, and to receive premiums for writing options.
Swap Contracts—Optimum Fixed Income Fund may enter into currency swap contracts, index swap contracts, inflation swaps, interest rate swap contracts, and CDS contracts in the normal course of pursuing its investment objective. The Fund may invest in interest rate swaps to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. The Fund may use currency swaps to protect against currency fluctuations. The Fund may use inflation swaps to hedge the inflation risk in nominal bonds, thereby creating synthetic inflation-indexed bonds. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at leastBBB- by Standard & Poor’s Financial Services LLC (S&P) or Baa3 by Moody’s Investors Service, Inc. (Moody’s) or is determined to be of equivalent credit quality by DMC.
Interest Rate Swaps.An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, an interest rate swap involves payments received by Optimum Fixed Income Fund from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Fund receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Fund’s sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contract’s remaining life, to the extent that the amount is positive. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended Sept. 30, 2019, Optimum Fixed Income Fund used interest rate swap contracts to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates.
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Credit Default Swaps.A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended Sept. 30, 2019, Optimum Fixed Income Fund entered into CDS contracts as a purchaser and seller of protection, as a hedge against credit events. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for centrally cleared CDS basket trades, as determined by the applicable central counterparty.
As disclosed in the footnotes to the “Schedules of investments,” at Sept. 30, 2019, the notional value of the protection sold was EUR800,000 and USD39,110,000, which reflects the maximum potential amount Optimum Fixed Income Fund would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, the quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement has been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At Sept. 30, 2019, there were no recourse provisions with third parties to recover any amounts paid under the credit derivative agreement (including any purchased credit protection) nor was any collateral held by the Fund and other third parties which the Fund can obtain in the occurrence of a credit event. At Sept. 30, 2019, net unrealized appreciation of the protection sold was $1,508,837.
CDS contracts may involve greater risks than if Optimum Fixed Income Fund had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Fund’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty, and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended Sept. 30, 2019, 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.For centrally cleared swaps, payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded by Optimum Fixed Income Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, Optimum Fixed Income Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The value of open swaps may differ from that which would be realized in the event Optimum Fixed Income Fund terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the “Schedules of investments.”
At Sept. 30, 2019, for bilateral derivative contracts, Optimum Fixed Income Fund posted $520,000 in cash collateral for certain open derivatives, and $106,000 cash collateral for certain centrally cleared derivatives, which is included in “Cash collateral due from brokers” on the “Statements of assets and liabilities.” The Fund also posted $4,705,158 in securities collateral comprised of US treasury obligations for certain open centrally cleared derivative contracts and $2,307,015 in securities collateral comprised of US treasury obligations for bilateral derivative contracts. At Sept. 30, 2019, for bilateral derivative contracts, the Fund received $1,440,000 in cash collateral, which is included in
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Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
“Cash collateral due to brokers” on the “Statements of assets and liabilities.” Cash collateral is included on the “Statements of assets and liabilities” and securities collateral is presented on the “Schedules of investments.”
Fair values of derivative instruments for Optimum Fixed Income Fund as of Sept. 30, 2019 were as follows:
Asset Derivatives Fair Value | ||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts | Interest rate Contracts | Credit Contracts | Total | ||||||||||||||||
Unrealized appreciation of foreign currency exchange contracts | $ | 895,052 | $ | — | $ | — | $ | 895,052 | ||||||||||||
Variation margin due from broker on futures contracts* | 100,986 | 19,905 | — | 120,891 | ||||||||||||||||
Variation margin due from brokers on centrally cleared credit default swap contracts** | — | — | 160,519 | 160,519 | ||||||||||||||||
Variation margin due from brokers on centrally cleared interest rate swap contracts** | — | 147,103 | — | 147,103 | ||||||||||||||||
Unrealized appreciation of credit default swap contracts | — | — | 1,348,464 | 1,348,464 | ||||||||||||||||
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| |||||||||||||
Total | $ | 996,038 | $ | 167,008 | $ | 1,508,983 | $ | 2,672,029 | ||||||||||||
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| |||||||||||||
Liability Derivatives Fair Value | ||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts | Interest Contracts | Credit Contracts | Total | ||||||||||||||||
Unrealized depreciation of foreign currency exchange contracts | $ | (362,231 | ) | $ | — | $ | — | $ | (362,231 | ) | ||||||||||
Variation margin due from broker on futures contracts* | (164,023 | ) | (2,970,139 | ) | — | (3,134,162 | ) | |||||||||||||
Options written, at value | (48,802 | ) | — | — | (48,802 | ) | ||||||||||||||
Variation margin due to brokers on centrally cleared interest rate swap contracts** | — | (5,171,398 | ) | — | (5,171,398 | ) | ||||||||||||||
Unrealized depreciation of credit default swap contracts | — | — | (146 | ) | (146 | ) | ||||||||||||||
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| |||||||||||||
Total | $ | (575,056 | ) | $ | (8,141,537 | ) | $ | (146 | ) | $ | (8,716,739 | ) | ||||||||
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|
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through Sept. 30, 2019. Only current day variation margin is reported on Optimum Fixed Income Fund’s “Statements of assets and liabilities.”
**Includes cumulative appreciation (depreciation) of centrally cleared swap contracts from the date the contracts were opened through Sept. 30, 2019. 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 six months ended Sept. 30, 2019 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Purchased | Options Written | Swap Contracts | Total | |||||||||||||||||||||||||
Currency contracts | $ | 3,758,854 | $ | (1,341,577 | ) | $ | — | $ | — | $ | — | $ | 2,417,277 | |||||||||||||||||
Equity contracts | — | 89,804 | (132,227 | ) | 163,336 | — | 120,913 | |||||||||||||||||||||||
Interest rate contracts | — | 27,502,849 | — | 88,837 | (11,017,342 | ) | 16,574,344 | |||||||||||||||||||||||
Credit contracts | — | — | — | 6,737 | 445,621 | 452,358 | ||||||||||||||||||||||||
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| |||||||||||||||||||
Total | $ | 3,758,854 | $ | 26,251,076 | $ | (132,227 | ) | $ | 258,910 | $ | (10,571,721 | ) | $ | 19,564,892 | ||||||||||||||||
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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 | $ | (704,340 | ) | $ | 1,253,090 | $ | — | $ | 23,529 | $ | — | $ | 572,279 | |||||||||||||||||
Equity contracts | — | (121,073 | ) | — | — | — | (121,073 | ) | ||||||||||||||||||||||
Interest rate contracts | — | (8,597,243 | ) | 1,865 | — | (2,003,389 | ) | (10,598,767 | ) | |||||||||||||||||||||
Credit contracts | — | — | — | (6,614 | ) | 759,224 | 752,610 | |||||||||||||||||||||||
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Total | $ | (704,340 | ) | $ | (7,465,226 | ) | $ | 1,865 | $ | 16,915 | $ | (1,244,165 | ) | $ | (9,394,951 | ) | ||||||||||||||
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During the six months ended Sept. 30, 2019, Optimum International Fund, Optimum Large Cap Growth Fund, and Optimum Large Cap Value Fund experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statements of assets and liabilities” and/or “Statements of operations.”
Derivatives Generally.The tables below summarize the average balance of derivative holdings by the Funds during the six months ended Sept. 30, 2019:
Long Derivative Volume | ||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||
Foreign currency exchange contracts (average cost) | USD | 14,431,986 | USD | 504,513 | USD | 58,782 | USD | 29,409 | ||||||||
Futures contracts | 659,090,444 | — | — | — | ||||||||||||
Options contracts | 11,059 | — | — | — | ||||||||||||
CDS contracts | USD | 3,454,134 | — | — | — | |||||||||||
Interest rate swap contracts | USD | 21,281,890 | — | — | — | |||||||||||
Short Derivative Volume | ||||||||||||||||
Optimum Fixed Income Fund | Optimum International Fund | Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||
Foreign currency exchange contracts (average cost) | USD | 101,149,950 | USD | 531,401 | USD | 1,759 | USD | 1,949 | ||||||||
Futures contracts | 340,668,661 | — | — | — | ||||||||||||
Options contracts | 74,274 | — | — | — | ||||||||||||
CDS contracts | EUR | 800,000 | — | — | — | |||||||||||
USD | 34,736,496 | — | — | — | ||||||||||||
Interest rate swap contracts | GBP | 47,400,000 | — | — | — | |||||||||||
JPY | 5,490,000,000 | — | — | — | ||||||||||||
USD | 197,467,402 | — | — | — |
*Long represents buying protection and short represents selling protection.
**Long represents receiving fixed interest payments and short represents paying fixed interest payments.
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Notes to financial statements
Optimum Fund Trust
6. Offsetting
Each Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties in order to better define its contractual rights and to secure rights that will help each Fund mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certainover-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 Sept. 30, 2019, the Funds had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Optimum Fixed Income Fund | ||||||||||||||||||||||
Gross Value of | Gross Value of | |||||||||||||||||||||
Counterparty | Derivative Asset | Derivative Liability | Net Position | |||||||||||||||||||
Bank of America Merrill Lynch | $ | 34,978 | $ | (136,073 | ) | $ | (101,095 | ) | ||||||||||||||
BNP Paribas | 697,318 | (45,495 | ) | 651,823 | ||||||||||||||||||
Citigroup Global Markets | 24,121 | (72,329 | ) | (48,208 | ) | |||||||||||||||||
Deutsche Bank | 1,061,813 | — | 1,061,813 | |||||||||||||||||||
Goldman Sachs | 89,538 | — | 89,538 | |||||||||||||||||||
JPMorgan Chase Bank | 199,403 | (108,480 | ) | 90,923 | ||||||||||||||||||
Morgan Stanley Capital | 159,874 | — | 159,874 | |||||||||||||||||||
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Total | $ | 2,267,045 | $ | (362,377 | ) | $ | 1,904,668 | |||||||||||||||
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Counterparty | Net Position | Fair Value of Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||||||||||||||||||||
Bank of America Merrill Lynch | $ | (101,095 | ) | $ | — | $ | — | $ | — | $ | — | $ | (101,095 | ) | ||||||||||||||||
BNP Paribas | 651,823 | — | (360,000 | ) | — | — | 291,823 | |||||||||||||||||||||||
Citigroup Global Markets | (48,208 | ) | — | — | — | — | (48,208 | ) | ||||||||||||||||||||||
Deutsche Bank | 1,061,813 | — | (200,000 | ) | — | — | 861,813 | |||||||||||||||||||||||
Goldman Sachs | 89,538 | — | — | — | — | 89,538 | ||||||||||||||||||||||||
JPMorgan Chase Bank | 90,923 | — | (70,000 | ) | — | — | 20,923 | |||||||||||||||||||||||
Morgan Stanley Capital | 159,874 | — | — | — | — | 159,874 | ||||||||||||||||||||||||
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Total | $ | 1,904,668 | $ | — | $ | (630,000 | ) | $ | — | $ | — | $ | 1,274,668 | |||||||||||||||||
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Optimum International Fund | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
Brown Brothers Harriman | $3 | $(1,571) | $(1,568) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||
Brown Brothers Harriman | $(1,568) | $ — | $ — | $ — | $— | $(1,568) |
Optimum Large Cap Growth Fund | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
Hong Kong Shanghai Bank | $— | $(89) | $(89) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||
Hong Kong Shanghai Bank | $(89) | $— | $— | $— | $— | $(89) |
Optimum Large Cap Value Fund | ||||||
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||
JPMorgan Chase Bank | $— | $(198) | $(198) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received(a) | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(b) | ||||||
JPMorgan Chase Bank | $(198) | $— | $— | $— | $— | $(198) |
Master Securities Forward Transaction Agreements
Master Securities Forward Transaction Agreements (MFA) govern certain forward settling transactions, such as TBA securities, delayed-delivery or sale-buyback transactions by and between the Fund and select counterparties. The MFA maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. As of Sept. 30, 2019, the following table is a summary of the Fund’s TBA securities by counterparty which are subject to offsetting under MFA:
Optimum Fixed Income Fund | ||||||||
Counterparty | TBA at Value | Cash Collateral Received | Cash Collateral Pledged | Net Exposure(b) | ||||
Morgan Stanley & Co. LLC | $570,168,658 | $(2,652,000) | $— | $567,516,658 |
Securities Lending
Securities lending transactions are entered into by Optimum International Fund under master securities lending agreements (each, an MSLA) which provide the right, in the event of default (including bankruptcy or insolvency), for thenon-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
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Table of Contents
Notes to financial statements
Optimum Fund Trust
6. Offsetting (continued)
an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell orre-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell, orre-pledge the collateral (See also Note 7).
As of Sept. 30, 2019, the following table is a summary of Optimum International Fund’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Fair value of | ||||||||
Counterparty | Securities Loaned at Value | Cash Collateral Received(a) | Non-Cash Collateral Received | Net Exposure(b) | ||||
The Bank of New York Mellon | $22,237,961 | $12,004,882 | $10,233,079 | $44,475,922 |
(a)The value of the related collateral exceeded the value of the derivatives and securities lending transactions as of Sept. 30, 2019.
(b)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default.
7. Securities Lending
Each Fund may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each fund of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; and asset-backed securities as disclosed on the “Schedules of investments.” Securities purchased with cash collateral are valued at the market value. A fund can also accept US government securities and letters of credit(non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Funds or, at the discretion of the lending agent, replace the loaned securities. The Funds continue to record dividends or interest, as applicable, on the securities loaned and are subject to changes in value of the securities loaned that may occur during the term of the loan. The Funds have the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized bynon-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.
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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.
During the six months ended Sept. 30, 2019, Optimum Fixed Income Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, OptimumSmall-Mid Cap Growth Fund, and OptimumSmall-Mid Cap Value Fund had no securities on loan.
The following table reflects a breakdown of transactions in securities lending collateral accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of Sept. 30, 2019 for Optimum International Fund:
Securities Lending Transactions | Overnight and Continuous | Under 30 days | Between 30 and 90 days | Over 90 days | Total | |||||
Certificates of Deposit, and Repurchase Agreements. | $13,283,562 | $— | $— | $— | $13,283,562 |
At Sept. 30, 2019, the value of securities on loan for Optimum International Fund was $22,237,961, for which the Fund received cash collateral of $13,254,526 andnon-cash collateral with a fair value of $10,233,079. At Sept. 30, 2019, the value of invested collateral was $13,283,562. Investments purchased with cash collateral are presented on the “Schedules of investments” under the caption “Securities Lending Collateral.”
8. Credit and Market Risk
Some countries in which the Funds may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Funds may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Funds.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations.
Optimum Fixed Income Fund invests in high yield fixed income securities, which are securities rated lower thanBBB- by S&P and lower than Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Optimum Fixed Income Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid. As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature
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Notes to financial statements
Optimum Fund Trust
8. Credit and Market Risk (continued)
of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
Optimum Fixed Income Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Optimum Fixed Income Fund invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
OptimumSmall-Mid Cap Growth Fund and OptimumSmall-Mid Cap Value Fund invest a significant portion of their assets in small- andmid-sized companies. Investments in small- andmid-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, OptimumSmall-Mid Cap Growth Fund, and OptimumSmall-Mid Cap Value Fund may invest in REITs and are subject to the risks associated with that industry. If a Fund holds real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended Sept. 30, 2019. The Funds’ REIT holdings are also affected by interest rate changes, particularly if the REITs they hold use floating rate debt to finance their ongoing operations. The Funds also invests in real estate acquired as a result of ownership of securities or other instruments, including issuers that invest, deal, or otherwise engage in transactions in real estate or interests therein. These instruments may include interests in private equity limited partnerships or limited liability companies that hold real estate investments (Real Estate Limited Partnerships). The Funds will limit their investments in Real Estate Limited Partnerships to 5% of their total assets at the time of purchase.
Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, and OptimumSmall-Mid Cap Growth Fund invested in growth stocks (such as those in the technology sector), which reflect projections of future earnings and revenue. These prices may rise or fall dramatically depending on whether those projections are met. These companies’ stock prices may be more volatile, particularly over the short-term.
Each Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended (1933 Act), and other securities which may not be readily marketable. The Funds may also invest in securities exempt from registration under Section 4(a)(2) of the 1933 Act, which exempts from registration transactions by an issuer not involving any public offering. The relative illiquidity of these securities may impair 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, theday-to-day functions of determining whether individual securities are liquid for purposes of the Funds’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Funds’ 15% limit on investments in illiquid securities. Rule 144A, 4(a)(2) and restricted securities have been identified on the “Schedules of investments.” Restricted securities are valued pursuant to the security valuation procedures described in Note 1.
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9. Contractual Obligations
Each Fund enters into contracts in the normal course of business that contain a variety of indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. However, each Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of loss to be remote.
10. 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. Because it was believed that the Fund was a secured creditor, the Fund received the full principal on the loans in 2009 after the G.M. bankruptcy. However, based upon a US Court of Appeals ruling, the Motors Liquidation Company Avoidance Action Trust sought to recover such amounts arguing that the Fund was an unsecured creditor and, as an unsecured creditor, the Fund should not have received payment in full. Based on available information related to the litigation and the Fund’s potential exposure, the Fund previously recorded a contingent liability of $1,385,788 and an asset of $415,736 based on the potential recoveries by the estate that resulted in a net decrease in the Fund’s NAV to reflect this potential recovery.
During the period, the plaintiff and the term loan lenders, which included the Fund, reached an agreement in principle that resolved the disputes. The parties agreed to terms of a settlement agreement and presented the settlement agreement to the court for approval at a hearing on June 12, 2019. The court approved the settlement documentation and dismissed the case on July 2, 2019. The court’s approval of the settlement and dismissal of the case with prejudice became final on July 16, 2019.
The contingent liability and other asset were removed in connection with the case being settled, which resulted in the Fund recognizing a gain in the amount of the liability reversed.
11. Recent Accounting Pronouncements
In August 2018, the FASB issued an Accounting Standards Update (ASU), ASU2018-13, which changes certain fair value measurement disclosure requirements. The ASU2018-13, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the policy for the timing of transfers between levels and the valuation process for Level 3 fair value measurements. The ASU2018-13 is effective for fiscal years, and interim periods within those fiscal years, beginning after Dec. 15, 2019. At this time, management is evaluating the implications of these changes on the financial statements.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to Sept. 30, 2019, that would require recognition or disclosure in the Funds’ financial statements.
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(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management andSub-Advisory Agreements at Meeting Held September18-19, 2019
At a meeting held Sept.18-19, 2019 (the “September Meeting”), the Board of Trustees (the “Board” or “Trustees”), including a majority of thenon-interested or Independent Trustees, approved: (i) the renewal of the Investment Management Agreement between Delaware Management Company (“DMC” or “Management”) and Optimum Fund Trust (the “Trust”), on behalf of each of the six separate series within the Trust (each, a “Fund” or collectively, the “Funds”); and (ii) the continuation ofSub-Advisory Agreements for certain of the existingsub-advisers of all the Funds, as described in more detail below.1
In reaching such decisions, the Board took into account information furnished and discussed throughout the year at quarterly Board meetings, as well as information furnished specifically for the renewal reviews conducted at the September Meeting. Information furnished at Board meetings throughout the year included an analysis by DMC (with the assistance of its consultant, LPL Financial LLC (“LPL”)) of the investment performance of each Fund and itssub-adviser(s), presentations given to the Board by portfolios managers from DMC and eachsub-adviser on a rotating basis, and compliance reports and related certifications furnished in regards to DMC and eachsub-adviser. Material furnished specifically in connection with the renewals included: a memorandum from DMC discussing and analyzing the performance of each Fund and its respectivesub-adviser(s); information on the fees charged by DMC and eachsub-adviser showing their competitiveness with those charged by them to other comparable investment companies or accounts; copies of the Investment Management andSub-Advisory Agreements; a “due diligence” report describing various material items in relation to the personnel, organization and policies of DMC and thesub-advisers; and information on the fees received and other benefits realized by DMC (and its affiliates) and thesub-advisers in performing services for the Funds, as well as the revenues and expenses incurred by DMC and its affiliates in performing such services. Information furnished specifically in connection with the renewal process also included a report for each Fund prepared by Lipper Inc., an independent third-party analyst and subsidiary of Broadridge Inc. (“Lipper”), comparing, among other things, each Fund’s investment performance and various expenses with those of other mutual funds deemed comparable by Lipper (“Lipper Report”).
In considering such materials, the Independent Trustees received assistance and advice from and met separately with their independent legal counsel (both prior to and at the September Meeting). In this regard, the Independent Trustees reviewed with independent legal counsel their duties and obligations in connection with the renewal of investment management and other agreements with DMC, its affiliates and thesub-advisers and discussed, in detail, the matters related to such approvals. The materials prepared by Management specifically in connection with the approval of the Investment Management Agreement and the relatedSub-Advisory Agreements were provided to the Independent Trustees in advance of the September Meeting. While the Investment Management Agreement and relatedSub-Advisory Agreements for all Funds were considered at the September Meeting, the Board dealt with each Fund separately. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decisions. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, Extent, and Quality of Services.Following discussions in this regard, the Trustees were satisfied with the nature, extent, and quality of the services provided by DMC and its affiliates to each of the Funds. The Board’s view was based upon factors such as the background and experience of the executives and other Management personnel involved in the Funds’ operations, the quality and thoroughness of the monitoring of each Fund’s investment performance, reports furnished by DMC as to adherence with various compliance and procedural matters, such as the Code of Ethics and fair value pricing, the monitoring of various service providers to the Funds, and DMC’s success in obtaining meaningful information on a timely basis from each of the Fund’ssub-advisers. Particular attention was given to the analysis ofsub-adviser performance for each Fund, including the complementary nature of investment strategies employed by thesub-advisers (and DMC with respect to the Optimum Fixed Income Fund) to each of the Funds.
The nature of the services provided by the existingsub-advisers to each Fund was considered primarily in respect to the investment performance of the Funds as described further in the “Investment Performance” section below. The Board also considered the adherence by eachsub-adviser
1TheSub-Advisory Agreements between each of Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Global Limited, and DMC, on behalf of the Optimum Fixed Income Fund, were not subject to renewal at the September Meeting.
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(and DMC with respect to the Optimum Fixed Income Fund) with the investment policies and restrictions of the Funds advised, as well as their adherence to various compliance and other procedures based on presentations made by thesub-advisers’ portfolio managers (and DMC’s portfolio managers with respect to the Optimum Fixed Income Fund) and reports of Management’s discussions with thesub-advisers, as well as certificates and materials furnished in connection with Board meetings and the contract renewals. Based upon these considerations, the Board was satisfied with the nature, extent and quality of the overall services to be provided by the existingsub-advisers to each Fund, as applicable, and its shareholders and was confident in the abilities of the existingsub-advisers and DMC to provide quality services to the Funds and their shareholders.
Investment Performance.The Board placed significant emphasis on the investment performance of each Fund. While consideration was given to performance reports and discussions held throughout the year (including a detailed discussion of the investment performance of each Fund and itssub-advisers contained in a memorandum from DMC provided to the Board prior to the September Meeting), particular attention in assessing performance was given to the Lipper Reports furnished in connection with the contract renewals. The Lipper Reports prepared for each individual Fund showed the annualized total return investment performance of its Institutional Class shares in comparison with a Performance Universe selected by Lipper for theone-year period ended June 30, 2019, as well as the three-, five-, and10-year periods ended on that date. In addition, the Board was provided with benchmark returns and gross performance returns for the Funds and each of their respectivesub-advisers for various calendar years and periods ended June 30, 2019. The Trustees also compared Fund performance to other industry benchmarks, including measures of risk-adjusted performance of a Fund, and reviewed rollingsix-month cumulative excess returns (relative to the applicable benchmark) for the Funds and each of their respectivesub-advisers, as part of their evaluation of investment performance. The following summarizes the performance results for each Fund and the Board’s view of such performance.
Optimum Fixed Income Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional core plus bond funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the second lowest performing quintile of its Performance Universe for theone-year period, and on an annualized basis in the middle performing quintile of its Performance Universe for the three-year and10-year periods, and in the second lowest performing quintile of its Performance Universe for the five-year period. It was also noted that the Fund had outperformed its benchmark on a gross performance basis for theone-year, three-year, five-year,10-year, and since inception periods ended June 30, 2019. The Board discussed with Management the reasons for the Fund’s relative underperformance versus the Fund’s Lipper Performance Universe for theone- and five-year periods and noted that part of the underperformance during the periods was due to the Fund having a dedicated low duration sleeve. It was then noted that the Board had recently approved the elimination of the Fund’s dedicated low duration sleeve per Management’s recommendation. Given this change in portfolio positioning and given that the Fund had consistently outperformed its benchmark on a gross basis, the Trustees found the overall comparative performance results of the Fund to be acceptable.
Optimum International Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional internationalmulti-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the highest performing quintile of its Performance Universe for the three-year and five-year periods, and to be in the middle quintile of its Performance Universe for theone-year and10-year periods. It was also noted that the Fund had outperformed its benchmark on a gross performance basis for the three-year, five-year,10-year, and since inception periods ended June 30, 2019. The Trustees found the overall comparative performance results of the Fund to be satisfactory.
Optimum Large Cap Growth Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutionallarge-cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance on an annualized basis to be in the middle performing quintile of its Performance Universe for theone-year period, and to be in the second highest performing quintile of its Performance Universe for the three-year, five-year, and10-year periods. It was also noted that the Fund had outperformed its benchmark on a gross performance basis for theone-year, three-year, five-year,10-year, and since inception periods ended June 30, 2019. The Trustees found the overall comparative performance results of the Fund to be satisfactory.
Optimum Large Cap Value Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutionallarge-cap value funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the second highest performing quintile of its Performance Universe for theone-year period, and on an annualized basis to be in the second lowest performing quintile of its Performance Universe for the three-year, five-year, and10-year periods. The Trustees discussed with Management the reasons for the relative underperformance for the Fund over certain time periods and the steps taken to improve such performance. In particular, it was noted that Rothschild Asset Management Inc. (“Rothschild”) had been appointed as asub-adviser to the Fund to replace Herndon Capital Management LLC in October 2016. The Board noted that performance had improved from 2018 to 2019 for theone-year, three-year, and five-year time
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Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 18-19, 2019 (continued)
periods and noted that the addition of Rothschild as asub-adviser to the Fund has continued to improve recent Fund performance. In addition, the Board noted that the Fund had outperformed its benchmark on a gross performance basis for theone-year, three-year, and since inception periods ended June 30, 2019. Although the Board was not wholly satisfied with the comparative performance results of the Fund over certain time periods and will continue to closely monitor future performance, the Board was satisfied with the appointment of Rothschild as asub-adviser to the Fund and the Fund’s improved recent performance after such appointment.
OptimumSmall-Mid Cap Growth Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutionalmid-cap growth funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the lowest performing quintile of its Performance Universe for theone-year and five-year periods, and on an annualized basis to be in the second highest performing quintile of its Performance Universe for the three-year period, and in the second lowest performing quintile of its Performance Universe for the10-year period. The Trustees discussed with Management the reasons for the Fund’s relative underperformance over certain time periods and the steps taken to improve such performance. In particular, the Trustees and Management discussed the appointment in early 2016 of Columbus Circle Investors (“CCI”) and Peregrine Capital Management, Inc. (“Peregrine”) assub-advisers to the Fund to replace the Fund’s two priorsub-advisers. The Trustees noted that the Fund’s comparative performance results had improved for the three-year period that coincides with CCI and Peregrine’s appointment assub-advisers to the Fund. In addition, the Board noted that the Fund had outperformed its benchmark on a gross basis for the three-year period ended June 30, 2019. Although the Trustees were not wholly satisfied with the historical comparative performance of the Fund and will continue to closely monitor future performance, the Board believed that Management has taken appropriate actions to improve performance, noting the appointments of CCI and Peregrine assub-advisers to the Fund and their positive contributions to the Fund’s performance over the three years since they were appointed to the Fund.
OptimumSmall-Mid Cap Value Fund — The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutionalsmall-cap core funds as selected by Lipper. The Lipper Report showed the Fund’s investment performance to be in the middle performing quintile of its Performance Universe for theone-year period, and on an annualized basis to be in the lowest performing quintile of its Performance Universe for the three, five, and10-year periods. The Trustees discussed with Management the reasons for the Fund’s relative underperformance over longer-term periods and the steps previously taken in an effort to improve such performance. In particular, the Trustees and Management noted the appointment in early 2016 of LSV Asset Management (“LSV”) as asub-adviser to the Fund to replace two of the Fund’s priorsub-advisers. Although relative longer-term performance was not satisfactory, the Board was encouraged that the Fund’s performance for theone-year period had improved as compared to the prior year and helped validate the current pairing of investment strategies between LSV and Westwood Management Corp. assub-advisers to the Fund. Although the Board was not satisfied with the historical comparative performance for the Fund, the Board believed that Management had taken prior appropriate actions to improve performance, noting the appointment of LSV as asub-adviser to the Fund and improved performance during certain recent periods, but will continue to closely monitor future performance.
Comparative Expenses.In considering the appropriateness of the investment management fees charged to the Funds, the Board also reviewed and considered the investment management fees in light of the nature, extent and quality of the investment management services provided, and to be provided, by DMC and eachsub-adviser, as more fully discussed above. The Board noted that thesub-advisory fees are paid by DMC to eachsub-adviser and are not additional fees borne by the Funds. The Board also noted that thesub-advisory fees paid, and to be paid, by DMC to eachsub-adviser were the product of arms-length negotiations between DMC and eachsub-adviser, and the Board considered the allocation of the investment management fees charged to the Funds between DMC and eachsub-adviser in light of the nature, extent and quality of the investment management services provided, and to be provided by, DMC and eachsub-adviser. The Trustees considered various other products, portfolios and entities that are advised by DMC and eachsub-adviser, as well as their relative fees and reasons for differences with respect thereto and any potential conflicts of interest.
Attention was also given to a comparative analysis of each Fund’s Institutional Class share expenses, including investment management fees, in comparison to a group of other multi-advised institutional funds constituting its Lipper Expense Group. Lipper expense data is based upon information for the twelve months covered by each Fund’s most recent annual report which reflects historical asset levels which may be different from those currently existing, particularly in a period of market volatility. While recognizing such inherent limitations and the fact that expense ratios generally increase as assets decline and decrease as assets grow, the Trustees believed that the independent analysis conducted by Lipper remained an appropriate measure of comparative expenses. The Lipper Report rankings showed the actual total expenses (taking into account expense waivers) of each Fund to be the highest in its respective Lipper Expense Group (except for the Optimum International Fund
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and Optimum Fixed Income Fund, which were in the second highest expense quintile). The Lipper Report rankings also showed that actual investment management fees (taking into account expense waivers) of each Fund to generally be ranked more favorably than the Funds’ actual total expenses. In particular, the actual investment management fees for: the Optimum International Fund were in the second lowest expense quintile of its Lipper Expense Group, the Optimum Fixed Income Fund were in the middle expense quintile of its Lipper Expense Group, and the Optimum Large Cap Growth Fund and Optimum Large Cap Value Fund were in the second highest expense quintile of their respective Lipper Expense Groups. The Lipper Report also provided information on the actual total expenses (taking into account expense waivers) for each Fund versus a broader Lipper Expense Universe. This portion of the Lipper Report showed that the Funds’ actual total expense percentile rankings versus the Lipper Expense Universe generally improved as compared to the Funds’ rankings versus the Lipper Expense Group on a relative basis. The Board also noted the favorable impact of the Fee Restructuring (as defined below) on the Funds’ actual total expense ratios.
The Trustees noted that DMC, since inception, had waived fees to the extent necessary to keep expenses of each Fund from exceeding a designated percentage of the applicable Fund’s average daily net assets, and that the Trustees had also previously discussed in detail the current cap on expenses in effect for each Fund through July 29, 2020. The Trustees also noted that Management had in recent years agreed to various restructurings and overall reductions in fees charged to the Funds through several mechanisms, including a fee restructuring with regard to the investment management, administration and transfer agency fee schedules for each of the Funds to reduce the Funds’ total expenses going forward that became effective April 1, 2017 (the “Fee Restructuring”).
While intending to continuously monitor the fee structure of each Fund, the Trustees found the expense structure of each Fund to be acceptable in view of the nature and structure of Fund operations, and Management’s cap on expenses, and taking into account the aforementioned fee restructurings.
DMC’s Profitability; Economies of Scale.Based on the asset size of each Fund and the reimbursement and/or waiver of expenses by DMC, as well as other profitability information furnished to them by DMC, the Trustees did not believe that the level of profit being realized by DMC and its affiliates from services provided to any of the Funds was excessive. Trustees were also given the information made available by thesub-advisers on profits being realized bysub-advisers in relation to the services being provided to the Funds or in relation to thesub-advisers’ overall investment advisory business, but believed such information to be of limited relevance since the fees paid to thesub-advisers were the product of arms-length negotiations between DMC and eachsub-adviser and are paid by DMC and not the Funds. The Board also took into account Management’s expenditures in improving shareholder services provided to the Funds, as well as the need to meet regulatory and compliance requirements resulting from recent U.S. Securities and Exchange Commission and other regulatory requirements. The Board was also provided with information on potentialfall-out benefits derived or to be derived by DMC and its affiliates or thesub-advisers in connection with their relationship to the Funds, such as the fees received fornon-investment management services provided to the Funds by certain affiliates of DMC, soft dollar arrangements, and commissions paid to affiliated broker-dealers. The Trustees recognized that as the Funds get larger at some point, economies of scale may result in DMC realizing a larger profit margin on management services provided to a Fund. The Trustees also noted that economies of scale are shared with a Fund and its shareholders through investment management fee breakpoints so that as a Fund grows in size, its effective investment management fee rate declines.
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This semiannual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the fact sheet for the most recently completed calendar quarter. The prospectus sets forth details about charges, expenses, investment objectives, and operating policies of the investment company. You should read the prospectus carefully before you invest. The figures in this report represent past results that are not a guarantee of future results. The return and principal value of an investment in the investment company will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Board of trustees
Robert Pettman
Executive Vice President, Product and Platform Management — LPL Financial LLC
Brett Wright
Co-Head of Client Group — Macquarie Investment Management
Robert J. Christian
Private Investor
Durant Adams Hunter
Managing Partner — Ridgeway Partners
Pamela J. Moret
Private Investor
Stephen P. Mullin
President — Econsult Solutions, Inc.
Robert A. Rudell
Private Investor
Jon Socolofsky
President — H&S Enterprises of Minocqua, LLC
Susan M. Stalnecker
Senior Advisor — Boston Consulting Group | 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 Macquarie Investment 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, securities dealers and financial institutions representatives only
800914-0278
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 FormN-Q or FormN-PORT (available for filings after March 31, 2019). Each Fund’s FormsN-Q or FormsN-PORT, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities, are available without charge (i) upon request, by calling 800914-0278; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Funds’ most recent FormN-Q or FormN-PORT are available without charge on the Funds’ website at optimummutualfunds.com/literature. Each Fund’s FormsN-Q and FormsN-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800SEC-0330.
Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed12-month period ended June 30 is available without charge (i) through the Funds’ website at optimummutualfunds.com/proxy; and (ii) on the SEC’s website at sec.gov. |
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Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the period covered by the report to stockholders included herein that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits
(a)(1) Code of Ethics
Not applicable.
(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
BRETT W. WRIGHT | |
By: | Brett W. Wright |
Title: | President and Chief Executive Officer |
Date: | December 4, 2019 |
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.
BRETT W. WRIGHT | |
By: | Brett W. Wright |
Date: | December 4, 2019 |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | December 4, 2019 |