Item 1. Reports to Stockholders
Annual report
|
| Optimum Fixed Income Fund |
| Optimum International Fund |
| Optimum Large Cap Growth Fund |
| Optimum Large Cap Value Fund |
| Optimum Small-Mid Cap Growth Fund |
| Optimum Small-Mid Cap Value Fund |
|
| March 31, 2020 |
|
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 800914-0278. 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. |
|
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
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 March 31, 2020, 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., a registered broker/dealer and member of the Financial Industry Regulatory Authority (FINRA) and Macquarie Investment Management Business Trust (MIMBT), a Securities and Exchange Commission (SEC)-registered investment advisor. Investment advisory services are provided by a series of MIMBT. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide. Delaware Funds by Macquarie refers to certain investment solutions that MIM distributes, offers, refers, or advises.
All third-party marks cited are the property of their respective owners.
© 2020 Macquarie Management Holdings, Inc.
Portfolio management reviews
Optimum Fixed Income Fund
April 7, 2020 (Unaudited)
| | | | |
| Performance review (for the year ended March 31, 2020) | | | | |
Optimum Fixed Income Fund (Institutional Class shares) | | 1-year return | | +5.52% |
Optimum Fixed Income Fund (Class A shares) | | 1-year return | | +5.24% |
Bloomberg Barclays US Aggregate Index (benchmark) | | 1-year return | | +8.93% |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Fixed Income Fund, please see the table on page 18.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks a high level of income and may also seek growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisor
Pacific Investment Management Company LLC (PIMCO)
Market review
Despite heightened global trade tensions during the first three months of the Fund’s fiscal year ended March 31, 2020, both safe-haven and risk assets broadly rallied as central bank rhetoric became more accommodative amid mounting economic uncertainties. Assets broadly rallied as financial conditions eased in anticipation of supportive global monetary policy. While risk sentiment varied along with trade tensions throughout the12-month period, the market continued to set new highs, and credit spreads broadly tightened during the first six months of the fiscal year. Meanwhile,10-year bond yields fell in the United States and Germany, and the US yield curve inverted again.
In the third calendar quarter of 2019, risk assets generally withstood bouts of market volatility, while sovereign yields declined. Geopolitical developments drove market volatility. In addition to risingUS-China trade tensions, political instability rose around the world: protests escalated in Hong Kong, unexpected electoral outcomes occurred in Argentina, and a formal impeachment inquiry began against US President Donald Trump.
Financial markets moved in tandem with geopolitical uncertainty, particularly in August 2019 as escalating trade tensions precipitated a steep selloff in risk assets and a surge in demand for sovereign bonds. However, investor fears subsided toward the end of September, leading to some reprieve in markets. In the US, the Federal Reserve lowered its policy rate twice, ending a three-year hiking cycle. In Europe, the European Central Bank (ECB) delivered a
modest rate cut and announced the resumption of a quantitative easing (QE) program. Global economic data were mixed, trending weaker overall.
In late 2019, favorable developments in theUS-China trade discussions and a more favorable view of a Brexit deal following UK Prime Minister Boris Johnson’s party’s resounding election victory seemed to bolster investor sentiment, capping a year of strong asset returns. Recession fears subsided as equity indices reached fresh highs and sovereign yields broadly rose, although they ended the year lower. Central banks broadly remained accommodative. After lowering the target federal funds rate in October, the Fed held its policy rate steady for the remainder of 2019, while the ECB and the Bank of Japan remained firmly in easing mode. The US unemployment rate fell to its lowest rate in half a century.
During the first quarter of 2020, the coronavirus dominated headlines as the number of cases and their geographic dispersion increased rapidly in February and March. In China, authorities instituted quarantines across highly affected provinces, many of which contribute significantly to the country’s economy. The People’s Bank of China took measures to ease financial conditions in an attempt to buffer the economy from the shock.
Virus-related fears sparked a global selloff in risk assets. Uncertainty over the effects on an already fragile growth backdrop – including disruptions in demand as well as supply chains – pressured most risk markets lower and led investors to seek safety in sovereign bonds. Equities retraced their recent gains, and US Treasury yields plummeted. Meanwhile, global credit spreads widened broadly, though investment grade credit generated positive total returns given the sharp decline in US rates. As market volatility increased, the Fed took swift action, cutting the federal funds rate by 1.50 percentage points and initiating a number of QE programs. Other developed-market central banks generally held policy rates steady as they sought more clarity on the virus’s global effects. Still, most signaled
Portfolio management reviews
Optimum Fixed Income Fund
easing stances even as questions arose about the effectiveness of monetary policy for supply-side shocks.
Source: Bloomberg.
Fund performance
For the fiscal year, Optimum Fixed Income Fund underperformed its benchmark index, the Bloomberg Barclays US Aggregate Index, with mixed results from different component parts of the Fund, managed by DMC and PIMCO. The following remarks describe factors that affected relative performance within the Fund’s respective portions.
DMC
For the fiscal year ended March 31, 2020, DMC’s portion of Optimum Fixed Income Fund underperformed the Fund’s benchmark, the Bloomberg Barclays US Aggregate Index.
As risk premiums compressed across most fixed income classes during 2019, the DMC portfolio management team reduced risks across plus-sector components, including high yield, emerging markets debt, bank loans, and convertibles, within its portion of the Fund, with the expectation that it might have a more attractive entry point in 2020 to redeploy these assets.
As concerns aroundCOVID-19 gained traction and drove credit spreads materially higher over a short period of time, DMC worked to identify relative value opportunities to redeploy some of that capital. However, as spreads peaked and began their rapid descent, DMC again pulled back on additional purchases with the expectation that volatility may create additional entry points.
Exposure to emerging markets was a significant detractor from performance for DMC’s portion of the Fund. For most of the fiscal year, the portfolio benefited from exposure to the asset class. However, with the onset ofCOVID-19 and a precipitous collapse in energy prices, emerging markets dramatically underperformed. A tactical plus-sector allocation to bank loans also detracted from performance partly because of the asset class’s lack of interest rate sensitivity.
During the Fund’s fiscal year, DMC’s sector underweight to mortgage-backed securities (MBS) detracted from performance from its portion of the Fund, along with subsector allocation and security selection within MBS. An allocation to nonagency residential MBS contributed to returns. DMC’s portion of the Fund benefited from strong subsector and security selection withinA-rated investment grade corporate bonds. Within this quality bucket, consumer cyclicals, capital goods, and consumer noncyclicals outperformed.
Oasis Petroleum Inc.was an opportunistic position within DMC’s high yield allocation that was ultimately a detractor from Fund performance. High yield energy companies faced some challenges entering 2020, which led DMC to reduce its overall exposure to the sector within its portion of the Fund. DMC held on to Oasis
Petroleum based on what DMC viewed as the company’s competitive cost structure, solid hedge position, reasonable leverage profile, and what DMC viewed as more-than-adequate liquidity. However, as oil industry conditions deteriorated, DMC decided to exit the position during the12-month period.
DMC held a small position in Ecuadoran bonds that detracted from performance. The country faces a difficult situation, involving political risk, liquidity, and potentially solvency. Ecuador’s government is currently in a30-day grace period for coupon payments and is preparing a debt restructuring offer to private bondholders. At the same time, the country is renegotiating its current program with the International Monetary Fund (IMF), so disbursements are suspended until new targets are placed. In addition, DMC believes there is the political risk if a Correista candidate (that is, a supporter of politician and economist Rafael Correa) should win the presidential election in February 2021, potentially increasing the odds of a default. However, DMC believes that current prices reflect these risks and intends to hold the position within DMC’s portion of the Fund’s portfolio.
Telefonica Emisiones S.A.U.was among the contributors to performance within the DMC portion of the Fund. Telefonica provides telecommunications services to countries primarily in Europe and Latin America. In the most recent quarter, the company reported financial results generally in line with expectations, without providing an update on potential disposals of its Latin American operations, not including Brazil, which would be a credit positive by reducing leverage and eliminating a highly volatile region from its financials. Due to strong relative and absolute performance, DMC decided to sell the position from its portion of the Fund during the fiscal year.
Verizon Communications Inc., with a large, liquid capital structure that DMC believes has the potential to provide significant opportunities, is a core holding in DMC’s portion of the Fund. Verizon reported mixed results in the first quarter of 2020, with strong revenue and subscriber additions, while profit margins declined on promotional spending. Its guidance for 2020 was in line with expectations at that time. However, with the onset ofCOVID-19, the company has agreed not to cut off small business and individual consumers for 60 days if they are unable to pay bills. While DMC believes the credit is trending toward an A rating, it will likely take a few more quarters to see how spectrum spending plays out. Verizon remains a core holding in DMC’s portion of the Fund.
During the fiscal year, DMC used a variety of derivatives, including Treasury futures used primarily as a tool to manage yield curve risk. It also used a commercial mortgage-backed securities (CMBS) index, fixed income put and call options, and currency hedges. The use of derivatives added slightly more than 0.50 percentage points to performance for DMC’s portion of the Fund for the fiscal year.
2
PIMCO
During the fiscal year, PIMCO’s portion of the Fund underperformed its benchmark.
Interest rate strategies detracted from performance overall for PIMCO’s portion of the Fund during the fiscal year. An overall overweight to US duration and yield curve positioning, including an overweight to intermediate rates, added to performance as US Treasury yields fell during the12-month period.Non-US interest rate strategies detracted from performance overall, including an overweight to Italian yields and short exposure to UK interest rates.
Spread sector strategies were negative for returns in PIMCO’s portion of the Fund overall during the fiscal year. An underweight to investment grade corporate spread duration added to performance as credit spreads widened. Relative value positioning within agency MBS was positive for performance, including a focus on3.0%-4.5% coupons as these mortgages outperformed the broader mortgage market. Holdings of select nonagency mortgages detracted from performance as risk asset spreads generally widened and the sector underperformed. An allocation to US Treasury inflation-protected securities (TIPS) detracted from performance in PIMCO’s portion of the Fund as inflation expectations declined during the fiscal year. Lastly, a modest allocation to high yield corporate credit detracted from performance as spreads widened.
Currency strategies detracted from performance for PIMCO’s portion of the Fund, including a long-dollar bias relative to a basket of Latin American emerging market currencies.
An overweight toDeutsche Banksenior bonds detracted from performance for PIMCO’s portion of the Fund. Deutsche extended its AT1 bonds in March and this negatively affected Deutsche’s debt
more broadly. Holdings ofCredit Suissesubordinated debt detracted from performance as subordinated debt underperformed more senior debt during the Fund’s fiscal year.
An underweight toOccidental Petroleum, especially toward the end of the fiscal period, contributed to performance for PIMCO’s portion of the Fund. Commodity prices broadly fell during the12-month period amid expectations for a rise in global oil inventories driven by unprecedented demand losses. An underweight toBoeingalso contributed to performance for PIMCO’s portion of the Fund. The company suffered from idiosyncratic concerns related to its 737 MAX program, coupled with the broader shock to the airline industry as a result ofCOVID-19 concerns.
At fiscal year end, PIMCO continued to favor US interest rate exposure relative to other developed markets, including the United Kingdom. It maintained TIPS exposure in PIMCO’s portion of the Fund given low valuations affected somewhat by stressed market conditions. PIMCO maintained a broad underweight in the Fund to corporate credit and a bias toward liquid, high-quality corporate credit with an overall underweight relative to the benchmark. It continued to favor senior positions in mortgage credit given the asset’s inherent fundamental strength and deleveraging nature. PIMCO is focused on maintaining a high level of liquidity in its portion of the Fund.
PIMCO used several types of derivatives to seek to manage risks associated with market volatility and interest rate risk. However, the use of credit default swaps, forwards, futures, interest rate swaps, options, and swaptions did not have a material impact on performance during the fiscal year within PIMCO’s portion of the Fund.
Portfolio management reviews
Optimum International Fund
April 7, 2020 (Unaudited)
| | | | | | | | |
| Performance review (for the year ended March 31, 2020) | | | | | | |
Optimum International Fund (Institutional Class shares)* | | | 1-year return | | | | – 19.36 | % |
Optimum International Fund (Class A shares)* | | | 1-year return | | | | – 19.54 | % |
MSCI ACWI ex USA Index (net) | | | 1-year return | | | | – 15.57 | % |
MSCI ACWI ex USA Index (gross) | | | 1-year return | | | | – 15.14 | % |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum International Fund, please see the table on page 21.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
*Total returns for the report period presented in the table differ from the returns in “Financial highlights.” The total returns presented in the above table are calculated based on the net asset value (NAV) at which shareholder transactions were processed. The total returns presented in “Financial highlights” are calculated in the same manner, but also take into account certain adjustments that are necessary under US generally accepted accounting principles (US GAAP) required in the annual report.
Investment objective
The Fund seeks long-term growth of capital and may also seek income.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Acadian Asset Management LLC (Acadian)
EARNEST Partners LLC (EARNEST)
Market review
The Fund’s fiscal year ended March 31, 2020 began amid concern that a looming global slowdown in economic growth could lead to a recession. The frustrating pace of negotiation to end theUS-China trade war also weighed on investors. After broadly hinting in early 2019 that it would begin reducing interest rates, the US Federal Reserve cut rates at the end of July 2019 and again in September and October. Combined with the European Central Bank’s easing signals and dovish language, global stocks soared amid renewed confidence that central banks were prepared to act aggressively to avert a global recession. Trade tensions also abated somewhat with the Trump administration’s decision to table plans to impose tariffs on imports of cars and auto parts, giving the administration room to negotiate with the European Union and Japan. Then, in the third quarter of 2019, when the United States and China reached an agreement on a Phase 1 trade deal, equity markets began a rally that persisted intomid-January 2020.
From that point on, equity markets swiftly unraveled as investors struggled to understand the effects of the coronavirus outbreak that surfaced first in China and then began to spread to the rest of the
world. A lack of information left investors with little guidance. Compounding the problem, Saudi Arabia and Russia responded to a worldwide reduction in demand for oil with a price war and production increases that sent oil prices sharply downward. Crude prices in the US plunged from $60 a barrel to just under $20 in merely a few weeks.
AsCOVID-19 spread throughout Asia, Europe, and the US, government-imposed lockdowns to prevent the spread of the disease also caused severe economic slowdowns. With businesses shutting down and unemployment increasing dramatically, governments took dramatic steps to provide economic assistance and stimulus measures. In the US, the Fed reduced rates to zero while Congress enacted three stimulus packages, the last of which provided $2 trillion in aid to be used for direct payments to individuals, enhanced unemployment benefits, aid to small business, and relief for certain large industries.
Source: Bloomberg.
Fund performance
For the fiscal year, Optimum International Fund underperformed its benchmark, the MSCI ACWI ex USA Index. Acadian’s portion of the Fund outperformed the benchmark (net of fees), as it benefited from stock selection and an underweight position in the United Kingdom along with stock selection in Australia and Brazil. Adverse stock selection in France, Germany, and Japan detracted from Acadian’s portion of the Fund. EARNEST’s portion of the Fund underperformed the MSCI ACWI ex USA Index. A relative overweight allocation to the financials sector and a relative underweight allocation to utilities detracted from performance for EARNEST’s portion of the Fund,
4
while strong stock selection in the industrials and materials sectors contributed to performance.
Acadian
Acadian focuses on its disciplined, value-focused, multi-factor approach and manages its portion of the Fund with what it views as consistency, objectivity, and appropriate risk controls. Acadian believes that the coronavirus pandemic has created a new set of challenges for global equities and that the current situation is fluid and evolving. In these circumstances, Acadian’s approach is to maintain a calm and measured perspective, removing human emotion, as Acadian believes it would be counterproductive to overreact to exceptional conditions by making wholesale changes to its portion of the Fund.
Stock selection and an underweight position to the consumer discretionary sector, along with stock selection in healthcare, detracted from Acadian’s portion of the Fund. Positions in Japanese healthcare and Canadian financials also detracted.
French healthcare companyIpsen S.A.and British materials companyFerrexpo PLCdetracted from performance in Acadian’s portion of the Fund. Ipsen’s stock price slumped in response to a setback in development of palovarotene, a treatment for rare bone diseases, and a related loss of€669 million before taxes. Ferrexpo’s share price declined following the alleged misappropriation of funds between its chief executive officer and the Blooming Land charity. The company’s auditor, Deloitte, resigned after learning that Ferrexpo had delayed its investigations into the matter. Acadian still held Ipsen in its portion of the Fund at the end of the12-month period to seek potential contributions based on its view of the company’s value and quality metrics. Acadian also held Ferrexpo in its portion of the Fund at the end of the fiscal period, owing primarily to what it viewed as strong value signals.
A combination of stock selection and an overweight position in information technology contributed to Acadian’s portion of the Fund during the fiscal year, as did a combination of stock selection and an underweight position in industrials. Acadian’s portion of the Fund benefited most from positions in Chinese industrials and Swiss healthcare stocks.
Fujitsu Ltd.andFortescue Metals Group Ltd.were significant contributors to Acadian’s portion of the Fund. Shares of Fujitsu, a major Japanese information and communication technology company, advanced during the fiscal year as demand grew from organizations and quarantined employees for its range of technology products, solutions, and services. Shares of Australian mining company Fortescue gained on news that it would partner with Canadian utilities company ATCO Ltd., to build and operate hydrogen refueling facilities for vehicles in Western Australia. This project is aligned with Fortescue Metals’ initiative to remain in the forefront of Australia’s renewable hydrogen industry.
At the end of the12-month period, Acadian’s largest overweight positions at the country level were Israel, China, Canada, South Korea, and the Netherlands. France, the UK, Japan, Germany, and Switzerland were the largest underweight positions. At the sector level, Acadian’s portion of the Fund was overweight healthcare and financials, while industrials and consumer staples were considerably underweighted.
EARNEST
As abottom-up(stock-by-stock), fundamental manager, EARNEST looks beyond the quarter-over-quarter noise of the market and strives to position its portion of the Fund for growth over a full market cycle.
A relative overweight allocation to the financials sector and a relative underweight allocation to the utilities sector detracted from performance in EARNEST’s portion of the Fund during the fiscal year. Strong stock selection in the industrials and materials sectors contributed to performance in EARNEST’s portion of the Fund.
Amadeus IT Group S.A., a leading transaction processor for the global travel and tourism industry, detracted from performance in EARNEST’s portion of the Fund. Most of Amadeus’ revenue is tied to airline and hotel bookings, which have slowed due to the pandemic. Current valuation levels suggest air bookings will remain significantly depressed over the next 24 to 36 months. In EARNEST’s view, however, both history and current observations suggest the opposite.
Prysmian SpA, an Italian multinational corporation that manufactures electric power transmission and telecommunication cables and systems, also detracted from performance in EARNEST’s portion of the Fund. Italian stocks fell sharply as the coronavirus devastated the country.
At the end of the Fund’s fiscal year, EARNEST continued to hold Amadeus and Prysmian Group in its portion of the Fund. EARNEST believes Amadeus now trades at a level that is a significant discount to EARNEST’s estimate of its future earnings potential, which is based on its view that air travel will stabilize and begin to grow over the medium term. EARNEST believes Prysmian’s current valuation gap and its order backlog may prove to be a compelling risk-reward tradeoff over the long term as the fundamentals of the business remain largely intact.
Based in Switzerland,Roche Holding AGcontributed significantly to EARNEST’s portion of the Fund. Roche is a leading global healthcare company engaged in the development, manufacturing, and marketing of drugs, advanced biologics, and medical devices. Roche generates most of its revenue from the sale of pharmaceuticals. Its diagnostics division is smaller, but has been faster growing. While often overlooked by market participants, Roche’s diagnostics business is a leader in infectious-disease testing. This has enabled the company to play a vital role during past viral outbreaks, including Ebola and Zika. With theCOVID-19 pandemic,
Portfolio management reviews
Optimum International Fund
Roche was early in distributing commercial tests and the first to pursuepre-Emergency Use Authorization (EUA) with the US Food and Drug Administration (FDA). Investors rewarded the company for its rapid response and aid to China.
Taiwan Semiconductor Manufacturing Co. Ltd., the world’s largest dedicated semiconductor foundry, also contributed to performance in EARNEST’s portion of the Fund. Taiwan Semiconductor uses its advanced production processes to manufacture semiconductor chips based on its customers’ proprietary designs and specifications. The company reported sales growth resulting from strong demand for its more advanced chips.
At the end of the fiscal year, EARNEST’s portion of the Fund held overweight positions in the financials, healthcare, information technology, and materials sectors and was underweight the communication services, consumer staples, consumer discretionary, energy, industrials, real estate, and utilities sectors. These relative overweight and underweight positions compared to the benchmark are a result of EARNEST’s perception of individual opportunities.
Overall, Optimum International Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
6
Optimum Large Cap Growth Fund
April 7, 2020 (Unaudited)
| | | | | | | | |
| Performance review (for the year ended March 31, 2020) | | | | | | |
Optimum Large Cap Growth Fund (Institutional Class shares) | | | 1-year return | | | | – 3.77 | % |
Optimum Large Cap Growth Fund (Class A shares) | | | 1-year return | | | | – 4.03 | % |
Russell 1000®Growth Index (benchmark) | | | 1-year return | | | | +0.91 | % |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Large Cap Growth Fund, please see the table on page 24.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks long-term growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisors
ClearBridge Investments, LLC (ClearBridge)
T. Rowe Price Associates, Inc. (T. Rowe Price)
Market review
For the first 10 months of the fiscal year ended March 31, 2020, both the economy and the equity markets continued the slow, steady growth that had characterized much of the past 11 years. When the fiscal period began, investors were nervous that interest rates were too high and that the ongoingUS-China trade war would hinder economic growth. The US Federal Reserve soon hinted that a decrease in rates was forthcoming and, at the end of July 2019, the Federal Open Market Committee (FOMC) cut rates by 0.25 percentage points. Two similar cuts followed in October and December, bringing the target range down to 1.50%-1.75%. In December 2019, the United States and China agreed to a Phase 1 trade deal, which they signed in January 2020. Equities reached record highs that same month.
In February, however, markets turned sharply negative on fear that the coronavirus was spreading much more rapidly than anticipated. The market selloff intensified in March as the virus spread to the US, prompting state and local governments to close schools, nonessential businesses, and public facilities. Within a few short weeks the US economy went from near full employment to unemployment levels that economists are likening to those of the Great Depression. Equity markets transitioned from a bull market to a bear market in just 22 days, the fastest decline on record as global economic activity ground to a halt in an effort to contain the outbreak.
Compounding the market turmoil, Saudi Arabia and Russia waged an oil price war over the size of production cuts amid a burgeoning supply glut. That action undercut oil exporters, many emerging markets, and a large segment of the high yield credit market.
Stocks did pare some losses in the final days of the Fund’s fiscal year as governments around the world responded with a variety of measures intended to assist individuals and businesses. In the US, the FOMC reduced interest rates twice in March, taking the target range down to 0.0%-0.25%. Additionally, the Fed renewed its asset-purchasing program, this time including commercial paper, to shore up distressed credit markets. On the fiscal side, Congress enacted three relief bills in March, the last of which provides $2 trillion to be used for direct payments to individuals, enhanced unemployment benefits, aid to small businesses, and relief for certain large industries.
Large-cap stocks outperformed theirmid- andsmall-cap peers during the fiscal year. In addition, growth stocks continued to outperform value stocks across all market capitalizations. The benchmark Russell 1000 Growth Index gained 0.91%, while the Russell 1000 Value Index declined 17.17%.
Source: Bloomberg.
Fund performance
Optimum Large Cap Growth Fund underperformed its benchmark, the Russell 1000 Growth Index, for the Fund’s fiscal year. ClearBridge’s portion of the Fund underperformed the benchmark due to negative stock selection and sector allocation decisions – in particular, stock selection in the financials, consumer staples, communication services, and information technology sectors. Additionally, an underweight to information technology and an overweight to the energy sector detracted from relative performance for ClearBridge’s portion of the Fund. T. Rowe Price’s portion of the Fund underperformed the benchmark as well, driven by stock selection and sector allocation. The information technology,
Portfolio management reviews
Optimum Large Cap Growth Fund
industrials and business services, and healthcare sectors detracted the most from T. Rowe Price’s portion of the Fund, while utilities was the only sector that contributed to performance.
ClearBridge
ClearBridge normally invests its portion of the Fund’s assets in equity securities (or other instruments with similar economic characteristics) of US companies with large market capitalizations. The Fund’s core holdings for ClearBridge’s portion are large capitalization companies that ClearBridge believes are dominant in their industries due to product, distribution, or service strength. ClearBridge believes recent market volatility gave it several opportunities to seek to improve the portfolio’s growth profile and have found names that ClearBridge thinks have a better chance to accelerate revenue growth when the economy rebounds and appear less dependent on pricing to drive potential revenue and earnings growth from here.
Financials detracted from performance as declining interest rates weighed on the margins of discount brokerage firmThe Charles Schwab Corp.while the complete shutdown of economic activity and most consumer spending late in the fiscal year hurt credit card and travel services providerAmerican Express Co.Consumer staples holdings also disappointed, as they failed to exhibit defensive characteristics in the market drawdown. Most of the damage was done byAnheuser-Busch InBev S.A./NV, which reported weak results in key Asian and other foreign markets and was hurt by currency headwinds. Spice and seasonings companyMcCormick& Co. Inc./MD also detracted from performance in ClearBridge’s portion of the Fund. Among sectors, real estate and industrials contributed the most to performance in ClearBridge’s portion of the Fund during the fiscal year. The exposure to industrials benefited from solid execution from business-information providerIHS Markit Ltd.
NVIDIA Corp., a developer of graphics processing units (GPUs) for use in gaming, visual design, and artificial intelligence (AI), was an important contributor to performance in ClearBridge’s portion of the Fund. ClearBridge believes gaming continues to have a long growth runway as more activity appears likely to continue to move to the cloud and new technologies drive product upgrades. Most recently, gaming benefited from thestay-at-home orders. The company has also gained ground in the data-center industry with its AI chips. Overall, NVIDIA’s graphics chips support what ClearBridge views as a relatively more defensive end market given the countercyclical nature of the industry in past downturns.
Also in the information technology sector,Adobe Inc., a leading provider of software for publishing and digital content, added to relative performance in ClearBridge’s portion of the Fund. Adobe has emerged as a leader in the delivery ofsoftware-as-a-service (SaaS) with its Marketing Cloud product line and its transition to a pure, subscription-based SaaS company, has driven higher recurring
revenues as it helps companies large and small transform into digital enterprises.
In the consumer discretionary sector,Advance Auto Parts Inc., a specialty retailer of automotive aftermarket parts, accessories, batteries, and maintenance items that operates primarily in the US, detracted from performance for ClearBridge’s portion of the Fund. The stock has faced a series of short-term headwinds that have slowed its margin-expansion story, which drives ClearBridge’s thesis for owning the company. Higher loyalty-program costs and a warmer winter that reduced repair spending weighed on shares. TheCOVID-19 outbreak andshelter-in-place policies further pressured same-store sales. ClearBridge believes Advance Auto Parts is on the right track in its cost-cutting and margin-expansion efforts, and ClearBridge continues to own the stock in its portion of the Fund.
Pioneer Natural Resources Co., a shale producer of oil and gas in the Permian Basin of Texas, also detracted from performance in ClearBridge’s portion of the Fund. The company has benefited from its vertical integration, which enables it to provide much of its own raw materials for fracking. The stock was punished by sluggish oil prices that saw a sharp decline in the last six weeks of the fiscal year due to a globaloil-price war. TheCOVID-19 outbreak further sapped already-weak global demand. While the current environment may cause many exploration and production (E&P) companies to go bankrupt, ClearBridge maintains the position in the belief that Pioneer has the potential to come out of the downturn in a stronger position.
T. Rowe Price
T. Rowe Price normally invests in stocks of large-capitalization companies with what it views as having one or more of the following characteristics: strong cash flow and an above-average rate of earnings growth; the ability to sustain earnings momentum during economic downturns; and occupation of a lucrative niche in the economy and ability to expand even during times of slow economic growth.
In T. Rowe Price’s portion of the Fund, the information technology sector detracted the most from performance, due to weak stock selection and an underweight allocation compared to the benchmark. An underweight position inApple Inc.reduced relative performance as the shares outperformed for the Fund’s fiscal year, driven by accelerating growth of services and wearables, and improving conditions for iPhone sales in China prior to the coronavirus disruption. T. Rowe Price has long held an underweight position in Apple, reflecting its lack of conviction in Apple’s long-term growth prospects. T. Rowe Price increased the position’s weight, however, ahead of the 5G iPhone product cycle to help mitigate the risk that the shares respond favorably to the launch.
8
Another detractor from performance in T. Rowe Price’s portion of the Fund wasVMware Inc.The company underperformed during the12-month period primarily due to an increasingly uncertain spending environment for information technology, exacerbated by the coronavirus pandemic. While information-technology spending is expected to slow broadly in the near term, T. Rowe Price thinks VMware may prove well positioned relative to its peers thanks to its extensive remote-working capabilities. T. Rowe Price also feels that the coronavirus outbreak may ultimately accelerate the need for digital transformation, and that VMware could gain market share as its new products appear likely to become more widely adopted within its installed base, in part due to the company’s hybrid cloud initiative and partnership with Amazon Web Services.
T. Rowe Price’s portion of the Fund underperformed in the industrials and business services sector due to stock choices. Shares ofThe Boeing Co.sold off following the tragic events that were linked to a design flaw in the 737 MAX. Shares were dragged lower by a series of negative news events during the investigation, ongoing delays in the 737 MAX recertification, and the pandemic-induced decline in air travel. T. Rowe Price trimmed its Boeing position throughout the fiscal year in order to mitigate the negative effects on the portfolio. Despite the near-term challenges and the timing of the investment thesis pushed out further into the future, T. Rowe Price maintained a position in the company in the belief that Boeing remains well positioned over the long term due to its current backlog of orders and potential tailwinds from secular growth in global air traffic as the middle class in emerging markets expands.
Within the healthcare sector, adverse stock selection detracted from relative results for T. Rowe Price’s portion of the Fund, driven by
HCA Healthcare Inc., an operator of hospitals and other healthcare facilities. Shares of HCA Healthcare came under significant pressure as the US surgeon general urged the deferment of elective procedures in order to free up hospital capacity for admissions related toCOVID-19. These elective procedures account for roughlyone-third of HCA Healthcare’s revenue and typically offer higher margins, which would be difficult to replace, even with a surge inCOVID-19 admissions. T. Rowe Price still owns shares in the belief that HCA Healthcare’s strong execution, investment in its facilities, and attractive geographic mix have the potential to drive earnings growth over the long term.
In contrast, the utilities sector was the sole contributor to relative performance for the T. Rowe Price portion of the Fund due to anout-of-benchmark exposure toSempra EnergyandNextEra Energy Inc., which were the only relative contributors to the T. Rowe Price portion of the Fund over the fiscal year. Sempra Energy, which T. Rowe Price believes to have an attractive growth story and adds some ballast to its portfolio, is a play on the potential for rising demand for liquefied natural gas exports. Shortly before the end of the fiscal year, T. Rowe Price sold the position in NextEra Energy as the shares had generated relatively strong returns throughout the year, largely due to synergies resulting from its acquisition of Gulf Power in 2019. After the run up in share price, T. Rowe Price sold the shares to pursue what it viewed as more attractive investment opportunities.
Overall, Optimum Large Cap Growth Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
Portfolio management reviews
Optimum Large Cap Value Fund
April 7, 2020 (Unaudited)
| | | | | | | | |
| Performance review (for the year ended March 31, 2020) | | | | | | |
Optimum Large Cap Value Fund (Institutional Class shares) | | | 1-year return | | | | –14.19 | % |
Optimum Large Cap Value Fund (Class A shares) | | | 1-year return | | | | –14.37 | % |
Russell 1000®Value Index (benchmark) | | | 1-year return | | | | –17.17 | % |
Past performance does not guarantee future results.
For complete, annualized performance for Optimum Large Cap Value Fund, please see the table on page 27.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks long-term growth of capital and may also seek income.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Massachusetts Financial Services Company (MFS) Rothschild & Co (Rothschild)
Market review
Through the first 10 months of the Fund’s fiscal year ended March 31, 2020, both the economy and equity markets continued the sustained growth that had characterized the previous 11 years. Although the12-month period began with investors concerned that interest rates were too high and that the ongoingUS-China trade war would hinder economic growth, both issues were resolved as the fiscal year progressed. Beginning in July 2019, the US Federal Reserve cut rates by a quarter percentage point three times in 2019. And in December, the United States and China agreed to a Phase 1 trade deal that was signed in January 2020. Equity markets achieved anall-time high in January.
In February, however, it became apparent that the novel coronavirus that started in Wuhan’s province of China had spread throughout Asia and Europe and was present in the US. The ensuing market selloff was sudden and severe. In an effort to curb the spread of the virus, state and local governments reacted with social-distancing restrictions that effectively shut down much of their local economies. Within a few short weeks, the US economy went from near full employment to unemployment levels that economists are likening to that of the Great Depression.
Compounding the market turmoil was an oil price war between Saudi Arabia and Russia over the size of production cuts amid a
burgeoning supply glut. That action undercut oil exporters, many emerging markets, and a large segment of the high yield credit market.
Governments around the world responded with a variety of measures intended to assist individuals and businesses. In the US, the Fed reduced interest rates twice in March, taking the target range down to 0%-0.25%. Additionally, the Fed renewed its asset-purchasing program, this time including commercial paper, to shore up distressed credit markets. On the fiscal side, the US Congress enacted three relief bills in March, the last of which provides $2 trillion to be used for direct payments to individuals, enhanced unemployment benefits, aid to small business, and relief for certain large industries.
Equity markets, as measured by the Russell 1000 Value Index, declined 17.2% for the fiscal year ended March 31, 2020. The index lost 26.7% in the final quarter of the fiscal year; obliterating gains that had been achieved in the first nine months of the period.
Source: Bloomberg.
Fund performance
Optimum Large Cap Value Fund outperformed its benchmark, the Russell 1000 Value Index, for the Fund’s fiscal year ended March 31, 2020. Both the MFS and Rothschild portions of the Fund reported performance that outperformed the benchmark return. MFS’s portion of the Fund benefited from an underweight allocation to the energy sector. An overweight allocation and, to a lesser extent, stock selection in the healthcare sector also supported relative returns. Stock selection and an underweight position in consumer staples detracted from relative performance. An underweight position in communication services also held back relative returns. Rothschild’s portion of the Fund benefited from underweight positions in consumer staples and utilities and an overweight in healthcare. An underweight in consumer discretionary, an overweight
10
in communications services, and its cash position detracted from relative performance.
MFS
MFS has maintained a consistent investment approach since the inception of the strategy that it uses for management of its portion of the Fund. For its portion of the Fund, MFS uses a long-term time horizon in making investment decisions. MFS maintains a disciplined investment philosophy and process that is always focused on investing in what it views as high-quality companies trading at what it views as inexpensive valuations.
In light of the economic and market disruptions that took place in the final two months of the Fund’s fiscal year, MFS assessed the risks in this rapidly changing environment. MFS took advantage of perceived opportunities to add to, in its opinion, high-quality companies whose valuations had compressed, made trades to seek to mitigate risks in the portfolio based on its assessment of balance-sheet strength and long-term business durability or liquidity, and trimmed back or eliminated positions that had outperformed and whose valuations had expanded on a relative basis.
MFS’s portion of the Fund benefited from stock selection in both the industrials and financials sectors. Within industrials, defense contractorNorthrop Grumman Corp.contributed to performance. The company is engaged in the provision of security services including cyber security for computers and communications. It is also involved in aerospace systems, designing and producing manned aircraft and spacecraft and high-energy laser systems. In the financials sector,Aon PLC, a provider of risk-management and human-capital consulting services, contributed to performance in MFS’s portion of the Fund.
In the healthcare sector, an overweight position in global health services providerCigna Corp.and medical device makerMedtronic PLCbolstered relative results in MFS’s portion of the Fund. In the wake of the pandemic, Cigna has launched several initiatives in virtual health or telemedicine, including dentistry. Medtronic has received anemergency-use authorization from the US Food and Drug Administration (FDA) to make its Puritan Bennett™ 560 ventilators available in the US.
MFS’s portion of the Fund also benefited from food companyNestle S.A., financial service technology providerFiserv Inc.,and management consulting, technology, and outsourcing services providerAccenture PLC. An overweight position in electricity providerThe Southern Co.further aided relative returns.
MFS’s cash and cash-equivalents position also contributed to relative performance for the fiscal year. Under normal market conditions, MFS strives to be fully invested and generally holds cash to buy new holdings and to provide liquidity. In a period when equity markets
fell, as measured by the Fund’s benchmark, holding cash benefited performance versus the benchmark, which has no cash position.
A position in Canadian energy companySuncor Energy Inc.in MFS’s portion of the Fund detracted from performance as the energy sector suffered from both a severe, coronavirus-induced drop in demand and a price war that erupted between Saudi Arabia and Russia. Overweight positions in industrial conglomerate3M Co.and diversified financial-services firmCitigroup Inc.also weighed on relative returns during the12-month period.
Within consumer staples, the absence of positions in consumer packaged-goods provider Procter & Gamble Co. and wholesale retailer Walmart Inc. detracted from relative results in MFS’s portion of the Fund. In the communication services sector, the lack of a position in telecommunication services provider AT&T Inc. detracted from relative performance. The absence of positions in semiconductor company Intel Corp., electric power and infrastructure company NextEra Enterprises Inc., investment conglomerate Berkshire Hathaway Inc., and biotechnology company Gilead Sciences Inc. also detracted from relative returns for MFS’s portion of the Fund.
Rothschild
Rothschild employs an integrated approach that balances quantitative analysis, fundamental research, and risk management guidelines to identify stocks of companies it believes possess attractive relative valuation and the potential to exceed market expectations. Rothschild’s investment process has been stable through many market cycles, maintaining a consistent approach even as economic and market environments have fluctuated. That said, volatile market environments such as the one experienced during the Fund’s fiscal year may create opportunities for Rothschild’sbottom-up(stock-by-stock) approach to stock selection, as extreme shifts in near-term market sentiment can result in greater price inefficiencies at the individual stock level.
Rothschild’s portion of the Fund benefited from several of its real estate investment trust (REIT) holdings. BothPrologis Inc.andEquity LifeStyle Properties Inc., with exposure to warehouses and manufactured housing, respectively, outperformed due to strong underlying operating fundamentals. Rothschild’s decision to avoid exposure to retail REITs, given the growth of ecommerce and the consequent pressure onbrick-and-mortar stores, was also beneficial.
Stock selection in the healthcare sector also added value to Rothschild’s portion of the Fund, led by exposure to biotechnology firmsBiogen Inc.andGilead Sciences Inc.Gilead was particularly strong late in the fiscal year, propelled by its work on a potential treatment forCOVID-19.Cigna Corp.was another company that outperformed in the sector.
Portfolio management reviews
Optimum Large Cap Value Fund
Microsoft Corp.was another leading contributor for Rothschild’s portion of the Fund, benefiting from its growing presence in the cloud with Azure and Office 365. Defense contractorNorthrop Grumman Corp.also contributed to relative performance.
The strength of Microsoft notwithstanding, the information technology sector detracted from performance in Rothschild’s portion of the Fund. Communications-service supplierCisco Systems Inc.suffered with its broad exposure to weak enterprise spending. Rothschild continues to hold the stock in the Fund’s portfolio due to what it views as its attractive relative valuation, healthy financial position, and leverage to an eventual recovery in enterprise spending. Semiconductor stocks, namelyBroadcom Inc.andONSemiconductor Corp., also came under pressure due to cyclical concerns following the sharp deterioration in the economic outlook. Rothschild trimmed both positions during the Fund’s fiscal year.
The consumer discretionary sector also detracted from relative performance in Rothschild’s portion of the Fund. With the onset ofCOVID-19, the sudden shock to the US economy and rise in unemployment caused significant disruption to several holdings in
Rothschild’s portion of the Fund’s portfolio, including consumer-electronics retailerBest Buy Co. Inc., global apparel firmPVH Corp., and cruise-operatorRoyal Caribbean Cruises Ltd. PVH, which owns key brands including Calvin Klein and Tommy Hilfiger, was hit particularly hard by the coronavirus, forcing it to shut down all its stores. Rothschild has since sold PVH and Royal Caribbean from its portion of the Fund, over concerns that they will lag the broader economy in the near to intermediate term.
Diamondback Energy Inc.was another significant detractor from performance for Rothschild’s portion of the Fund during the12-month period. The Permian-basin oil and gas exploration company faced tough headwinds from the collapse in oil prices in the wake of unprecedented demand destruction, combined with supply concerns. Rothschild sold its position in Diamondback during the fiscal year.
Overall, Optimum Large Cap Value Fund used derivatives, including foreign currency exchange contracts, during the fiscal year. However, these had a minimal effect on performance.
12
OptimumSmall-Mid Cap Growth Fund
April 7, 2020 (Unaudited)
| | | | | | |
| Performance review (for the year ended March 31, 2020) | | | | | |
OptimumSmall-Mid Cap Growth Fund (Institutional Class shares) | | | 1-year return | | | –16.14% |
OptimumSmall-Mid Cap Growth Fund (Class A shares) | | | 1-year return | | | –16.32% |
Russell 2500™Growth Index (benchmark) | | | 1-year return | | | –14.40% |
Past performance does not guarantee future results.
For complete, annualized performance for OptimumSmall-Mid Cap Growth Fund, please see the table on page 30.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks long-term growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisors
Columbus Circle Investors (CCI)
Peregrine Capital Management, LLC (PCM)
Market review
Heightened volatility and macroeconomic uncertainty dominated the market environment throughout the Fund’s fiscal year ended March 31, 2020. Through the first nine months of the Fund’s fiscal period, markets remained resilient, generating solid returns as multiple interest rate cuts by the Federal Reserve and improvingtrade-war headlines caused investor fears of a pending recession to fade. However, the narrative changed abruptly in the final quarter of the fiscal year as the coronavirus pandemic caused unprecedented spikes in market volatility, ultimately driving equity markets negative for the12-month period.
As the virus spread from China to Europe and began to take hold in the United States, markets reflected, in real time, what seemed to be an ever-worsening situation. Worldwide efforts to contain the spread of infection and “flatten the curve” of diagnosed cases and deaths caused significant damage to the global economy as many businesses were forced to close indefinitely, resulting in a significant elevation in near-term unemployment rates.
Both the Fed and US federal government were quick to act with broad-based stimulus programs aimed at softening the economic effects on both businesses and individuals. The extent to which these and likely additional responses from governments worldwide will prove successful in staving off a near-term recession is unclear. However, it seems likely that market volatility will remain elevated
until there’s more clarity in relation to potential further effects on the economy and daily life.
Source: Bloomberg.
Fund performance
OptimumSmall-Mid Cap Growth Fund underperformed its benchmark, the Russell 2500 Growth Index, for the fiscal year ended March 31, 2020. CCI’s portion of the Fund managed to outperform the benchmark primarily as a result of an overweight position and strong stock selection in healthcare and information technology (IT). PCM’s portion of the Fund trailed the benchmark due to stock selection in the IT and consumer discretionary sectors.
CCI
As noted previously, the healthcare and IT sectors drove outperformance for CCI’s portion of the Fund. Favorable stock selection contributed to performance for both sectors. The consumer discretionary and financials sectors were the main detractors.
While the absolute performance of CCI’s portion of the Fund suffered during the fiscal year, driven primarily by theCOVID-19 crisis and the ensuing selloff in March, it outperformed the benchmark in the extremely volatile last fiscal quarter, as investors rotated toward company-specific and secular growth stories that benefited CCI’s portion of the Fund overall.
CCI uses a growth-oriented investment philosophy of “positive momentum and positive surprise” in which it strives to invest in what it views as good companies getting stronger and in companies whose fundamentals exceed investor expectations.
DexCom Inc., a medical device manufacturer focused on diabetes management, was the strongest contributor to CCI’s portion of the Fund for the fiscal year. Sales growth of DexCom’s market-leading continuous glucose-monitoring systems accelerated due to strong patient additions, driving better-than-expected financial results, and a
Portfolio management reviews
OptimumSmall-Mid Cap Growth Fund
more favorable outlook. CCI believes that greater patient accessibility via the pharmacy channel, new partner launches, international expansion, and what it views as abest-in-class product pipeline appears poised to enable DexCom to gain share in a likely expanding market.
RingCentral Inc., a leading provider of cloud-based business communications software to small businesses and enterprises, also contributed to performance for CCI’s portion of the Fund after it announced a significant strategic partnership with Avaya. Under the agreement, RingCentral will become the exclusive supplier of cloud-based communication solutions to Avaya’s industry-largest base of more than 100 million legacy users, accelerating the adoption of RingCentral’s solutions in the enterprise market. CCI thinks the pact is likely to add to earnings growth and improve the company’s profit margin potential in both the near and longer term.
Crocs Inc., a successful designer and manufacturer of casual footwear, detracted the most from performance for CCI’s portion of the Fund due to disruptions to its Chinese supply chain and closure of many of its own and customer-operated retail outlets. While the company’s suppliers have reopened their factories, sales will only be online until retail locations reopen. In the meantime, efforts have been made to ensure financial flexibility by amending the revolving credit facility and suspending share repurchases. CCI added to its position in Crocs prematurely during the stock price decline and continues to hold the shares.
Floor & Decor Holdings Inc., a specialty retailer of flooring and accessory categories, detracted from performance for CCI’s portion of the Fund due to the pandemic’s effects on store operations. CCI believes that strong positioning withinlow-priced flooring and low mortgage rates should support the business once stores reopen. Launch of a private-label credit card,in-home design consulting, and enhanced customer relationship management and data analytics are potential key drivers for growth going forward. CCI added to Floor & Decor during the pullback.
CCI’s portion of the Fund remains most overweight IT companies tied to a variety of secular trends, including cloud computing and software, unified communication as a service (UCaaS), cyber-security, semiconductors, and wireless 5G. Additionally, CCI’s portion of the Fund is overweight consumer discretionary, including holdings in online models that are insulated from theCOVID-19 pandemic, as well as housing-related names levered to lower interest rates. Conversely, CCI’s portion of the Fund remains most underweight the real estate sector, where it has no exposure due to the general lack of dynamism there, and financials because of the negative effects of low interest rates on bank profitability.
PCM
The IT and consumer discretionary sectors were the largest detractors from performance for PCM’s portion of the Fund during the fiscal
year. Weakness in IT was driven by PCM’s software holdings, which trailed the more richly valued benchmark names, as software was an area of particularly strong valuation excesses. In the consumer discretionary sector, a deteriorating macroeconomic environment weighed on many of the specialty retail and hotel & leisure holdings in PCM’s portion of the Fund. Real estate and communication services were the largest contributors to performance for PCM’s portion of the Fund. Data center holdings that benefited from increased demand for cloud-based software drove strength in real estate, while communication services benefited from strength in mobile gaming.
PCM’s process focuses on the acquisition of rapidly growingsmall-cap companies trading at what it views as reasonable valuations. However, valuation mattered little to PCM’s portion of the Fund during the12-month period, as a significant increase in recessionary fears caused investors to crowd into potentially low volatility and high-momentum stocks regardless of valuation excesses. These stocks were afforded significant valuation premiums as they were seen as defensive, with potentially secular growth opportunities more than offsetting macro-level concerns. This persistent lack of valuation sensitivity in the market, in addition to strength in larger-capitalization stocks, created a significant headwind to PCM’s valuation-sensitive andsmall-cap style.
A leading detractor from performance in PCM’s portion of the Fund for the fiscal year wasEldorado Resorts Inc., which owns and operates regional casinos across the US. Known for its strong management team and as a consolidator of properties, the company had executed notably well and was in the process of acquiring Caesars Entertainment, a potentially transformative deal with significant free cash flow opportunities. However, as measures to curb the spread of the coronavirus were implemented, Eldorado had to temporarily shutter all of its properties. Questions also surfaced surrounding the company’s liquidity as it worked to secure financing for the Caesars deal. As the impact of these headwinds materialized, PCM liquidated the position in its portion of the Fund.
Another detractor from performance in PCM’s portion of the Fund wasG-III Apparel Group Ltd., which owns various apparel brands, such as DKNY, Donna Karan, and Bass, and licenses other recognizable clothing brands, including Calvin Klein and Tommy Hilfiger. The Fund’s fiscal period was a notably difficult time for apparel-based retailers given the supply-chain issues the lingeringUS-China trade war caused and the devastating effects that the coronavirus had on foot traffic and store closures. With more than 50% ofG-III Apparel’s product manufactured in China and its largest customer Macy’s hit particularly hard by mall closures nationwide, visibility into future earnings growth was significantly affected. As a result, PCM eliminated the position from its portion of the Fund during the fiscal year.
14
Teladoc Health Inc.was the strongest contributor to PCM’s portion of the Fund for the fiscal year. Telemedicine has seen significant adoption in recent years as ease of use has improved, providing a more convenient and cost-effective way for people to access healthcare. Teladoc is the largest provider of telemedicine in the world, with more than 50,000 clinicians across 450 medical specialties. Members covered have grown more than 40% annually since 2014 and the company now serves 56 million people in the US. This positioning was significantly beneficial to the company during the onset of the coronavirus pandemic as customer usage skyrocketed. This near-term boost appears to have increased the already rapid long-term adoption of telemedicine as the demands of patients has evolved.
Medical device companyDexCom Inc.was also a significant contributor to performance for PCM’s portion of the Fund during the12-month period. Diabetics need to monitor their blood sugar to properly manage the disease. This has historically been dominated by intermittent monitoring using finger sticks. Increasingly, patients have
adopted new continuous glucose monitoring (CGM) systems, an area in which DexCom is the technology leader. For more than a decade, DexCom has excelled in developing and selling its leading CGM solutions, even in the face of strong competition from larger medical device manufacturers. PCM liquidated the stock, however, from its portion of the Fund as the strong stock price performance caused the company to exceed PCM’s limit on market capitalization.
Markets generally tend to overly discount the fundamental prospects for companies in a crisis, in the view of PCM. Then, as clarity emerges and the economy moves toward recovery, this overcorrection may become increasingly apparent to investors and markets have the potential to snap back and begin to recover. With a40-plus-year track record of investing insmall-cap growth stocks, PCM has endured similar periods of extreme market volatility and remains committed to its long-standing investment philosophy focused on rapidly growingsmall-cap companies trading at valuation levels that, in its view, do not reflect that strong growth.
Portfolio management reviews
OptimumSmall-Mid Cap Value Fund
April 7, 2020 (Unaudited)
| | | | | | | | |
| Performance review (for the year ended March 31, 2020) | | | | | | |
OptimumSmall-Mid Cap Value Fund (Institutional Class shares) | | | 1-year return | | | | – 28.92 | % |
OptimumSmall-Mid Cap Value Fund (Class A shares) | | | 1-year return | | | | – 29.10 | % |
Russell 2500™Value Index (benchmark) | | | 1-year return | | | | – 28.60 | % |
Past performance does not guarantee future results.
For complete, annualized performance for OptimumSmall-Mid Cap Value Fund, please see the table on page 33.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
The performance of Class A shares excludes the applicable sales charge. Both Institutional Class shares and Class A shares reflect the reinvestment of all distributions.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.
Investment objective
The Fund seeks long-term growth of capital.
Advisor
Delaware Management Company (DMC)
Sub-advisors
LSV Asset Management (LSV)
Westwood Management Corp. (Westwood)
Market review
The fiscal year ended March 31, 2020 saw markets move higher for most of the period, with a sharp, steep decline in February and March 2020 on growing fears over the spread of the coronavirus.
During the five weeks from Feb. 19 through March 23, the S&P 500® Index fell nearly 34% before it rebounded, ending the quarter down 20%. The selloff was particularly painful for value andsmaller-cap stocks. The Fund’s benchmark, the Russell 2500 Value Index, lagged the Russell 2500™ Growth Index by more than 11 percentage points during the first quarter and the S&P 500 Index by more than 15 percentage points.
Prior to the selloff, the market had been volatile but lifted higher when enthusiasm for potential agreement upon a trade deal with China helped offset concerns over slipping macroeconomic data. That volatility had driven a shift toward more stable businesses during the spring and summer of 2019 as optimism surged and waned week to week.
After an unscheduled Feb. 28 statement from Federal Reserve Chair Jerome Powell pledging that the Fed would “act as appropriate” to support the economy, the Federal Open Market Committee (FOMC) held three emergency meetings in March, shifting its stance from potentially raising the federal funds rate to slashing it to zero and reinstituting quantitative easing (QE) measures from the 2007-2008 global financial crisis.
The fiscal response was equally large, with the US Congress passing a fiscal stimulus bill – the Coronavirus Aid, Relief, and Economic Security (CARES) Act, which provided $2.2 trillion for small business and individuals to help bridge the economic effects from the near complete US shutdown. The effects remained hard to quantify, as companies adjusted to a new normal where employees largely worked from home and some companies went without sales as their operations remain shuttered as of the end of the fiscal year.
Source: Bloomberg.
Fund performance
OptimumSmall-Mid Cap Value Fund underperformed its benchmark, the Russell 2500 Value Index, for the fiscal year ended March 31, 2020. LSV’s portion of the Fund lagged the benchmark for the fiscal year as a result of its deeper value andsmaller-size biases. Poor stock and sector allocation also hurt performance for LSV’s portion of the Fund. Westwood’s portion of the Fund outperformed the benchmark as a result of strong stock selection in nearly every sector, with the strongest contributions from financials and consumer discretionary, and additional tailwinds from sector allocation.
LSV
Given LSV’s deeper value and smaller size biases, its portion of the Fund struggled to keep up with the benchmark. Almost all the underperformance from LSV’s portion of the Fund for the fiscal year can be attributed to the first quarter of 2020.
Over the12-month period, both stock and sector selection detracted from relative performance for LSV’s portion of the Fund. Trade tensions and fears of an economic slowdown throughout 2019 hurt several holdings in more cyclical areas of the market in LSV’s portion of the Fund, while stock selection losses were concentrated in the industrials, financials, real estate, and materials sectors. From a sector perspective, relative losses came from an underweight to the utilities sector in LSV’s portion of the Fund, which benefited from the flight to
16
safety, along with its overweight allocation to the consumer discretionary sector.
Because LSV’s portion of the Fund is broadly diversified with approximately 190 stocks, individual names did not have a large impact on returns for the fiscal year. The leading detractors from performance for LSV’s portion of the Fund included its overweight positions inSpirit AeroSystems Holdings Inc.andService Properties Trust. Spirit AeroSystems, which makes fuselages and other parts for Boeing’s 737 Max, was hit hard after the 737 Max had two deadly crashes, one in 2018 and one in 2019. Service Properties Trust, a real estate investment trust (REIT) focused on hospitality and travel services, declined significantly during the fiscal year as the coronavirus crisis unfolded. LSV continued to hold these positions in its portion of the Fund’s portfolio as LSV’s model suggests that the market has overreacted to poor sentiment in both cases and that the long-term prospects for each company based on current valuations remain compelling, in LSV’s view.
Leading contributors to performance for LSV’s portion of the Fund over the12-month period included overweights toLegg Mason Inc., which rebounded after Franklin Resources, Inc. acquired the company, andDiodes Inc., which delivers high-quality semiconductor products to the world’s leading companies in the consumer electronics, computing, communications, industrials, and automotive markets.
Both in normal market periods and during large stock market downturns, LSV has followed its disciplined, diversified, value-oriented approach that patiently seeks to take advantage of what it views as investors’ tendency to overreact to information about the prospects of each company’s long-term earnings and cash flows. During significant economic downturns, while keeping an eye on firm solvency, the key focus at LSV is on each company’s long-term normalized earnings and cash flows and the price paid for those fundamentals. LSV’s investment approach in this challenging market environment is the same as it was in the other market downturns –disciplined by its model, but with the wisdom of understanding the need to monitor new developments from a fundamental point of view if required. If there are any systematic consequences of the pandemic for certain companies, industries, or sectors, LSV will not hesitate to incorporate these insights in its decision-making process for its portion of the Fund.
Westwood
For the Fund’s fiscal year, security selection was a strong positive in nearly every sector for Westwood’s portion of the Fund, led by financials, consumer discretionary, real estate, and communication
services. Only energy was a notable detractor over the12-month period, as the global pandemic further pressured crude oil demand at the same time as the Organization of the Petroleum Exporting Countries plus (OPEC+) and other global producers increased oil supply to compete with US shale producers. The healthcare sector had a modest drag on relative performance for Westwood’s portion of the Fund. The postponement of elective procedures weighed on medical device companies in the near term as investors looked for clarity regarding when those types of surgeries might resume.
Westwood employs a consistent and disciplined approach that seeks to provide attractive long-term risk-adjusted returns while protecting capital during unfavorable market periods. Extensive research to identify companies that Westwood believes lie at the intersection of quality and value and possess both attractive valuations and strong prospects for potential future cash generation and earnings while maintaining strong balance sheets drives its stock selection. The focus on downside risk and an emphasis on high-quality companies with conservative balance sheets was advantageous for Westwood’s portion of the Fund during the fiscal year, as market returns turned sharply negative early in 2020 when the coronavirus started to spread globally. Investors shifted quickly into lower risk, higher-quality stocks and other asset classes.
Standout contributors to the performance of Westwood’s portion of the Fund for the fiscal year wereCable One Inc.andAmericold Realty Trust. Cable One continued to see a higher mix of high-speed data customers relative to video subscribers, boosting the company’s margins and cash flows. Americold Realty’s distinctive model of offering cold warehouse storage andvalue-add services remained in strong demand with growing food purchases amid the coronavirus pandemic.
WPX Energy Inc.andPenn Virginia Corp.detracted from relative performance over the12-month period, both declining in sympathy with lower crude oil prices and broad concerns of oversupply in the market. Westwood sold its position in Penn Virginia to fund what it viewed as more attractive prospects, while it maintained a position in WPX Energy given what Westwood views as its strong acreage position and balance sheet.
Westwood relies on its well-tested process of fundamental stock picking with a long-term view. It remains attracted to what it considers to be fundamentally driven, high-conviction opportunities given the uncertainty in the markets and believes the current environment offers its fundamental analysts the opportunity to identify attractive companies at the intersection of quality and value.
Performance summaries
| | |
| Optimum Fixed Income Fund | | March 31, 2020 |
(Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800914-0278 or visiting our website at optimummutualfunds.com/performance.
| | | | | | | | | | | | |
Fund and benchmark performance1,2 | | | | | | | | | | | | |
| Average annual total returns through March 31, 2020 | | 1 year | | | 5 year | | | 10 year | |
| | | | | | | | | | | | |
Class A (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | +5.24% | | | | +2.34% | | | | +3.34% | |
Including sales charge | | | +0.46% | | | | +1.40% | | | | +2.87% | |
| | | | | | | | | | | | |
Class C (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | +4.55% | | | | +1.58% | | | | +2.62% | |
Including sales charge | | | +3.55% | | | | +1.58% | | | | +2.62% | |
| | | | | | | | | | | | |
Institutional Class (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | +5.52% | | | | +2.59% | | | | +3.64% | |
Including sales charge | | | +5.52% | | | | +2.59% | | | | +3.64% | |
| | | | | | | | | | | | |
Bloomberg Barclays US Aggregate Index | | | +8.93% | | | | +3.36% | | | | +3.88% | |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximumfront-end sales charge of up to 4.50%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that nofront-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any12b-1 fees and certain other expenses) from exceeding 0.85% of the Fund’s average daily net assets from July 29, 2019 through March 31, 2020. From April 1, 2019 through July 28, 2019, the expense waiver was 0.85% of the Fund’s average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
18
| | | | | | |
| Fund expense ratios | | Class A | | Class C | | Institutional Class |
Total annual operating expenses (without fee waivers) | | 1.08% | | 1.83% | | 0.83% |
Net expenses (including fee waivers, if any) | | 1.08% | | 1.83% | | 0.83% |
| Type of waiver | | Contractual | | Contractual | | Contractual |
*The aggregate contractual waiver period covering this report is from July 27, 2018 to July 29, 2020.
Fixed income securities and bond funds can lose value, and investors can lose principal, as interest rates rise. They also may be affected by economic conditions that hinder an issuer’s ability to make interest and principal payments on its debt.
The Fund may also be subject to prepayment risk, the risk that the principal of a bond that is held by a portfolio will be prepaid prior to maturity, at the time when interest rates are lower than what the bond was paying. A portfolio may then have to reinvest that money at a lower interest rate.
High yielding,non-investment-grade bonds (junk bonds) involve higher risk than investment grade bonds.
The high yield secondary market is particularly susceptible to liquidity problems when institutional investors, such as mutual funds and certain other financial institutions, temporarily stop buying bonds for regulatory, financial, or other reasons. In addition, a less liquid secondary market makes it more difficult for the Fund to obtain precise valuations of the high yield securities in its portfolio.
Securities in the lowest of the rating categories considered to be investment grade (that is, Baa or BBB) have some speculative characteristics.
This document may mention bond ratings published by nationally recognized statistical rating organizations (NRSROs) Standard & Poor’s, Moody’s Investors Service, and Fitch, Inc. For securities rated by an NRSRO other than S&P, the rating is converted to the equivalent S&P credit rating. Bonds rated AAA are rated as having the highest quality and are generally considered to have the lowest degree of investment risk. Bonds rated AA are considered to be of high quality, but with a slightly higher degree of risk than bonds rated AAA. Bonds rated A are considered to have many favorable investment qualities, though they are somewhat more susceptible to adverse economic conditions. Bonds rated BBB are believed to be of medium-grade quality and generally riskier over the long term.
Bonds rated BB, B, and CCC are regarded as having significant speculative characteristics, with BB indicating the least degree of speculation of the three.
If and when the Fund invests in forward foreign currency contracts or uses other investments to hedge against currency risks, the Fund will be subject to special risks, including counterparty risk.
The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivatives transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
LIBOR risk is the risk that potential changes related to the use of the London Interbank Offered Rate (LIBOR) could have adverse impacts on financial instruments which reference LIBOR. The potential abandonment of LIBOR could affect the value and liquidity of instruments which reference LIBOR.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance summaries
Optimum Fixed Income Fund
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2010 through March 31, 2020
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2010, and includes the effect of a 4.50%front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table on page 19. Please note additional details on pages 18 through 20.
The graph also assumes $10,000 invested in the Bloomberg Barclays US Aggregate Index as of March 31, 2010. The Bloomberg Barclays US Aggregate Index is a broad composite that tracks the investment grade domestic bond market.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
| | | | | | | | |
Stock symbols and CUSIP numbers | | | | | | | | |
| | | Nasdaq symbols | | | | | CUSIPs |
Class A | | OAFIX | | | | | | 246118681 |
Class C | | OCFIX | | | | | | 246118665 |
Institutional Class | | OIFIX | | | | | | 246118657 |
20
| | |
Optimum International Fund | | March 31, 2020 |
| |
(Unaudited) | | |
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800 914-0278 or visiting our website at optimummutualfunds.com/performance.
| | | | | | | | | | | | | | |
| Fund and benchmark performance1,2 | | | | | | | | | | | |
| Average annual total returns through March 31, 2020 | | 1 year | | 5 year | | | 10 year | | | | |
| | | | | | | | | | | | |
Class A (Est. Aug. 1, 2003) | | | | | | | | | | | | | | |
Excluding sales charge | | –19.54%* | | | –0.53% | | | | +1.73% | | | | | |
Including sales charge | | –24.18%* | | | –1.70% | | | | +1.13% | | | | | |
| | | | | | | | | | | | |
Class C (Est. Aug. 1, 2003) | | | | | | | | | | | | | | |
Excluding sales charge | | –20.16% | | | –1.28% | | | | +1.01% | | | | | |
Including sales charge | | –20.95% | | | –1.28% | | | | +1.01% | | | | | |
| | | | | | | | | | | | |
Institutional Class (Est. Aug. 1, 2003) | | | | | | | | | | | | | | |
Excluding sales charge | | –19.36%* | | | –0.29% | | | | +2.02% | | | | | |
Including sales charge | | –19.36%* | | | –0.29% | | | | +2.02% | | | | | |
| | | | | | | | | | | | |
MSCI ACWI (All Country World Index) ex USA Index (net) | | –15.57% | | | –0.64% | | | | +2.05% | | | | | |
| | | | | | | | | | | | |
MSCI ACWI (All Country World Index) ex USA Index (gross) | | –15.14% | | | –0.17% | | | | +2.52% | | | | | |
*Total returns for the report period presented in the table differ from the returns in “Financial highlights.” The total returns presented in the above table are calculated based on the net asset value (NAV) at which shareholder transactions were processed. The total returns presented in “Financial highlights” are calculated in the same manner, but also take into account certain adjustments that are necessary under US generally accepted accounting principles (US GAAP) required in the annual report.
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximumfront-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that nofront-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any12b-1 fees and certain other expenses) from exceeding 1.12% of the Fund’s average daily net assets from
Performance summaries
Optimum International Fund
July 29, 2019 through March 31, 2020. From April 1, 2019 through July 28, 2019, the expense waiver was 1.12% of the Fund’s average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
| | | | | | |
Fund expense ratios | | Class A | | Class C | | Institutional Class |
Total annual operating expenses (without fee waivers) | | 1.37% | | 2.12% | | 1.12% |
Net expenses (including fee waivers, if any) | | 1.37% | | 2.12% | | 1.12% |
Type of waiver | | Contractual | | Contractual | | Contractual |
*The aggregate contractual waiver period covering this report is from July 27, 2018 to July 29, 2020.
International investments entail risks not ordinarily associated with US investments including fluctuation in currency values, differences in accounting principles, or economic or political instability in other nations. Investing in emerging markets can be riskier than investing in established foreign markets due to increased volatility and lower trading volume.
The Fund may invest in derivatives, which may involve additional expenses and are subject to risk, including the risk that an underlying security or securities index moves in the opposite direction from what the portfolio manager anticipated. A derivatives transaction depends upon the counterparties’ ability to fulfill their contractual obligations.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2010 through March 31, 2020
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2010, and includes the effect of a 5.75%front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table on page 22. Please note additional details on pages 21 through 23.
22
The graph also assumes $10,000 invested in the MSCI ACWI ex USA Index as of March 31, 2010. The MSCI ACWI ex USA Index represents large- andmid-cap stocks across developed and emerging markets worldwide, excluding the United States. The index covers approximately 85% of the global investable equity opportunity set outside the United States. Index “gross” return approximates the maximum possible dividend reinvestment. Index “net” return approximates the minimum possible dividend reinvestment, after deduction of withholding tax at the highest possible rate.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
| | | | | | | | | | |
Stock symbols and CUSIP numbers | | | | | | | | | | |
| | | Nasdaq symbols | | | CUSIPs | | | |
Class A | | | OAIEX | | | | 246118731 | | | |
Class C | | | OCIEX | | | | 246118715 | | | |
Institutional Class | | | OIIEX | | | | 246118699 | | | |
Performance summaries
| | |
| Optimum Large Cap Growth Fund | | March 31, 2020 |
| |
| (Unaudited) | | |
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800914-0278 or visiting our website at optimummutualfunds.com/performance.
| | | | | | | | | | | | | | | | |
| Fund and benchmark performance1,2 | | | | | | | | | | | | |
| Average annual total returns through March 31, 2020 | | 1 year | | | 5 year | | | 10 year | | | | |
| | | | | | | | | | | | | |
Class A (Est. Aug. 1, 2003) | | | | | | | | | | | | | | | | |
Excluding sales charge | | | –4.03% | | | | +8.36% | | | | +11.59% | | | | | |
Including sales charge | | | –9.56% | | | | +7.08% | | | | +10.93% | | | | | |
| | | | | | | | | | | | | |
Class C (Est. Aug. 1, 2003) | | | | | | | | | | | | | | | | |
Excluding sales charge | | | –4.71% | | | | +7.55% | | | | +10.80% | | | | | |
Including sales charge | | | –5.63% | | | | +7.55% | | | | +10.80% | | | | | |
| | | | | | | | | | | | | |
Institutional Class (Est. Aug. 1, 2003) | | | | | | | | | | | | | | | | |
Excluding sales charge | | | –3.77% | | | | +8.64% | | | | +11.91% | | | | | |
Including sales charge | | | –3.77% | | | | +8.64% | | | | +11.91% | | | | | |
| | | | | | | | | | | | | |
Russell 1000 Growth Index | | | +0.91% | | | | +10.36% | | | | +12.97% | | | | | |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximumfront-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that nofront-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any12b-1 fees and certain other expenses) from exceeding 1.02% of the Fund’s average daily net assets from July 29, 2019 through March 31, 2020. From April 1, 2019 through July 28, 2019, the expense waiver was 1.02% of the Fund’s average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
24
| | | | | | |
Fund expense ratios | | Class A | | Class C | | Institutional Class |
Total annual operating expenses (without fee waivers) | | 1.25% | | 2.00% | | 1.00% |
Net expenses (including fee waivers, if any) | | 1.25% | | 2.00% | | 1.00% |
Type of waiver | | Contractual | | Contractual | | Contractual |
*The aggregate contractual waiver period covering this report is from July 27, 2018 to July 29, 2020.
REIT investments are subject to many of the risks associated with direct real estate ownership, including change in economic conditions, credit risk, and interest rate fluctuations. A REIT fund’s tax status as a regulated investment company could be jeopardized if it holds real estate directly, as a result of defaults or receive rental income from real estate holdings.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2010 through March 31, 2020
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2010, and includes the effect of a 5.75%front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 24 through 26.
The graph also assumes $10,000 invested in the Russell 1000 Growth Index as of March 31, 2010. The Russell 1000 Growth Index measures the performance of thelarge-cap growth segment of the US equity universe. It includes those Russell 1000 companies with higherprice-to-book ratios and higher forecasted growth values.
The Russell 1000 Value Index, mentioned on page 7, measures the performance of thelarge-cap value segment of the US equity universe. It includes those Russell 1000 companies with lowerprice-to-book ratios and lower forecasted growth values.
Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Performance summaries
Optimum Large Cap Growth Fund
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Stock symbols and CUSIP numbers
| | | | | | | | | | |
| | | Nasdaq symbols | | CUSIPs | | | | |
Class A | | OALGX | | | 246118707 | | | | | |
Class C | | OCLGX | | | 246118889 | | | | | |
Institutional Class | | OILGX | | | 246118871 | | | | | |
26
| | |
| Optimum Large Cap Value Fund | | March 31, 2020 |
| |
| (Unaudited) | | |
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800914-0278 or visiting our website at optimummutualfunds.com/performance.
| | | | | | | | | | | | | | | | |
| Fund and benchmark performance1,2 | | | | | | | | | | | | |
| Average annual total returns through March 31, 2020 | | 1 year | | | 5 year | | | 10 year | | | | |
| | | | | | | | | | | | | |
Class A (Est. Aug. 1, 2003) | | | | | | | | | | | | | | | | |
Excluding sales charge | | | –14.37% | | | | +1.18% | | | | +6.28% | | | | | |
Including sales charge | | | –19.32% | | | | –0.02% | | | | +5.65% | | | | | |
| | | | | | | | | | | | | |
Class C (Est. Aug. 1, 2003) | | | | | | | | | | | | | | | | |
Excluding sales charge | | | –15.04% | | | | +0.42% | | | | +5.53% | | | | | |
Including sales charge | | | –15.88% | | | | +0.42% | | | | +5.53% | | | | | |
| | | | | | | | | | | | | |
Institutional Class (Est. Aug. 1, 2003) | | | | | | | | | | | | | | | | |
Excluding sales charge | | | –14.19% | | | | +1.43% | | | | +6.58% | | | | | |
Including sales charge | | | –14.19% | | | | +1.43% | | | | +6.58% | | | | | |
| | | | | | | | | | | | | | | | |
Russell 1000 Value Index | | | –17.17% | | | | +1.90% | | | | +7.67% | | | | | |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximumfront-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that nofront-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any12b-1 fees and certain other expenses) from exceeding 0.97% of the Fund’s average daily net assets from July 29, 2019 through March 31, 2020. From April 1, 2019 through July 29, 2019, the expense waiver was 0.97% of the Fund’s average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
Performance summaries
Optimum Large Cap Value Fund
| | | | | | |
Fund expense ratios | | Class A | | Class C | | Institutional Class |
Total annual operating expenses (without fee waivers) | | 1.20% | | 1.95% | | 0.95% |
Net expenses (including fee waivers, if any) | | 1.20% | | 1.95% | | 0.95% |
Type of waiver | | Contractual | | Contractual | | Contractual |
*The aggregate contractual waiver period covering this report is from July 27, 2018 to July 29, 2020.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2010 through March 31, 2020
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2010, and includes the effect of a 5.75%front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 27 through 29.
The graph also assumes $10,000 invested in the Russell 1000 Value Index as of March 31, 2010. The Russell 1000 Value Index measures the performance of thelarge-cap value segment of the US equity universe. It includes those Russell 1000 companies with lowerprice-to-book ratios and lower forecasted growth values.
Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
28
| | | | | | |
| Stock symbols and CUSIP numbers | | | | | | |
| | | Nasdaq symbols | | | | CUSIPs |
Class A | | OALVX | | | | 246118863 |
Class C | | OCLVX | | | | 246118848 |
Institutional Class | | OILVX | | | | 246118830 |
Performance summaries
| | |
| OptimumSmall-Mid Cap Growth Fund | | March 31, 2020 |
(Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800914-0278 or visiting our website at optimummutualfunds.com/performance.
| | | | | | | | | | | | |
| Fund and benchmark performance1,2 | | | | | | | | | |
Average annual total returns through March 31, 2020 | | | 1 year | | | | 5 year | | | | 10 year | |
| | | | | | | | | | | | |
Class A (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | –16.32% | | | | +2.32% | | | | +7.65% | |
Including sales charge | | | –21.14% | | | | +1.11% | | | | +7.02% | |
| | | | | | | | | | | | |
Class C (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | –16.95% | | | | +1.55% | | | | +6.88% | |
Including sales charge | | | –17.68% | | | | +1.55% | | | | +6.88% | |
| | | | | | | | | | | | |
Institutional Class (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | –16.14% | | | | +2.57% | | | | +7.96% | |
Including sales charge | | | –16.14% | | | | +2.57% | | | | +7.96% | |
| | | | | | | | | | | | |
Russell 2500 Growth Index | | | –14.40% | | | | +3.64% | | | | +10.10% | |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximumfront-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that nofront-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any12b-1 fees and certain other expenses) from exceeding 1.29% of the Fund’s average daily net assets from July 29, 2019 through March 31, 2020. From April 1, 2019 through July 29, 2019, the expense waiver was 1.29% of the Fund’s average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
30
| | | | | | |
| Fund expense ratios | | Class A | | Class C | | Institutional Class |
Total annual operating expenses (without fee waivers) | | 1.65% | | 2.40% | | 1.40% |
Net expenses (including fee waivers, if any) | | 1.54% | | 2.29% | | 1.29% |
| Type of waiver | | Contractual | | Contractual | | Contractual |
*The aggregate contractual waiver period covering this report is from July 27, 2018 to July 29, 2020.
Investments in small and/ormedium-sized companies typically exhibit greater risk and higher volatility than larger, more established companies.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2010 through March 31, 2020
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2010, and includes the effect of a 5.75%front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 30 through 32.
The graph also assumes $10,000 invested in the Russell 2500 Growth Index as of March 31, 2010. The Russell 2500 Growth Index measures the performance of the small- tomid-cap growth segment of the US equity universe. It includes those Russell 2500 companies with higherprice-to-book ratios and higher forecasted growth values.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
Performance summaries
OptimumSmall-Mid Cap Growth Fund
| | | | | | | | |
Stock symbols and CUSIP numbers | | | | | | | | |
| | | Nasdaq symbols | | | | | CUSIPs |
Class A | | OASGX | | | | | | 246118822 |
Class C | | OCSGX | | | | | | 246118798 |
Institutional Class | | OISGX | | | | | | 246118780 |
32
| | |
| OptimumSmall-Mid Cap Value Fund | | March 31, 2020 |
(Unaudited)
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Please obtain the performance data for the most recent month end by calling 800914-0278 or visiting our website at optimummutualfunds.com/performance.
| | | | | | | | | | | | |
Fund and benchmark performance1,2 | | | | | | | | | | | | |
| Average annual total returns through March 31, 2020 | | 1 year | | | 5 year | | | 10 year | |
| | | | | | | | | | | | |
Class A (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | –29.10% | | | | –5.53% | | | | +2.69% | |
Including sales charge | | | –33.18% | | | | –6.64% | | | | +2.09% | |
| | | | | | | | | | | | |
Class C (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | –29.65% | | | | –6.23% | | | | +1.96% | |
Including sales charge | | | –30.33% | | | | –6.23% | | | | +1.96% | |
| | | | | | | | | | | | |
Institutional Class (Est. Aug. 1, 2003) | | | | | | | | | | | | |
Excluding sales charge | | | –28.92% | | | | –5.28% | | | | +2.98% | |
Including sales charge | | | –28.92% | | | | –5.28% | | | | +2.98% | |
| | | | | | | | | | | | |
Russell 2500 Value Index | | | –28.60% | | | | –2.14% | | | | +5.65% | |
1Returns reflect the reinvestment of all distributions and are presented both with and without the applicable sales charges described below. Returns do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
Expense limitations were in effect for certain classes during some or all of the periods shown in the “Fund and benchmark performance” graph. The current expenses for each class are listed on the “Fund expense ratios” table on the next page. Performance would have been lower had expense limitations not been in effect.
Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors. In addition, Institutional Class shares pay no distribution and service fee.
Class A shares are sold with a maximumfront-end sales charge of up to 5.75%, and have an annual distribution and service fee of up to 0.25% of average daily net assets. Performance for Class A shares, excluding sales charges, assumes that nofront-end sales charge applied.
Class C shares are sold with a contingent deferred sales charge of 1.00% if redeemed during the first 12 months. They are also subject to an annual distribution and service fee of up to 1.00% of average daily net assets.
Performance for Class C shares, excluding sales charges, assumes either that contingent deferred sales charges did not apply or that the investment was not redeemed.
The “Fund and benchmark performance” table and the “Performance of a $10,000 investment” graph do not reflect the deduction of taxes the shareholder would pay on Fund distributions or redemptions of Fund shares.
2The Fund’s expense ratios, as described in the most recent prospectus, are disclosed in the “Fund expense ratios” table on the next page. Delaware Management Company has agreed to reimburse certain expenses and/or waive certain fees in order to prevent total fund operating expenses (excluding any12b-1 fees and certain other expenses) from exceeding 1.22% of the Fund’s average daily net assets from July 29, 2019 through March 31, 2020. From April 1, 2019 through July 28, 2019, the expense waiver was 1.21% of the Fund’s average daily net assets.* Please see the most recent prospectus and any applicable supplement(s) for additional information on these fee waivers and/or reimbursements.
Performance summaries
OptimumSmall-Mid Cap Value Fund
| | | | | | |
| Fund expense ratios | | Class A | | Class C | | Institutional Class |
Total annual operating expenses (without fee waivers) | | 1.54% | | 2.29% | | 1.29% |
Net expenses (including fee waivers, if any) | | 1.47% | | 2.22% | | 1.22% |
| Type of waiver | | Contractual | | Contractual | | Contractual |
*The aggregate contractual waiver period covering this report is from July 27, 2018 to July 29, 2020.
Investments in small and/ormedium-sized companies typically exhibit greater risk and higher volatility than larger, more established companies.
The disruptions caused by natural disasters, pandemics, or similar events could prevent the Fund from executing advantageous investment decisions in a timely manner and could negatively impact the Fund’s ability to achieve its investment objective and the value of the Fund’s investments.
Performance of a $10,000 Investment1
Average annual total returns from March 31, 2010 through March 31, 2020
1The “Performance of $10,000 investment” graph assumes $10,000 invested in Class A and Institutional Class shares of the Fund on March 31, 2010, and includes the effect of a 5.75%front-end sales charge (for Class A shares) and the reinvestment of all distributions. The graph does not reflect the deduction of taxes the shareholders would pay on Fund distributions or redemptions of Fund shares. Expense limitations were in effect for some or all of the periods shown. Performance would have been lower had expense limitations not been in effect. Current expenses are listed in the “Fund expense ratios” table above. Please note additional details on pages 33 through 35.
The graph also assumes $10,000 invested in the Russell 2500 Value Index as of March 31, 2010. The Russell 2500 Value Index measures the performance of the small- tomid-cap value segment of the US equity universe. It includes those Russell 2500 companies with lowerprice-to-book ratios and lower forecasted growth values.
The S&P 500 Index, mentioned on page 16, measures the performance of 500 mostlylarge-cap stocks weighted by market value, and is often used to represent performance of the US stock market.
The Russell 2500 Growth Index, mentioned on page 16, measures the performance of the small- tomid-cap growth segment of the US equity universe. It includes those Russell 2500 companies with higherprice-to-book ratios and higher forecasted growth values.
Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
34
Index performance returns do not reflect any management fees, transaction costs, or expenses. Indices are unmanaged and one cannot invest directly in an index.Past performance is not a guarantee of future results.
Performance of other Fund classes will vary due to different charges and expenses.
| | | | | | | | |
Stock symbols and CUSIP numbers | | | | | | | | |
| | | Nasdaq symbols | | | | | CUSIPs |
Class A | | OASVX | | | | | | 246118772 |
Class C | | OCSVX | | | | | | 246118756 |
Institutional Class | | OISVX | | | | | | 246118749 |
Disclosure of Fund expenses
For thesix-month period from October 1, 2019 to March 31, 2020 (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 Oct. 1, 2019 to March 31, 2020.
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
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Expenses | |
| | | | | | | | | | | | Paid | |
| | | Beginning | | | Ending | | | | | | During | |
| | | Account | | | Account | | | Annualized | | | Period | |
| | | Value | | | Value | | | Expense | | | 10/1/19 to | |
| | | 10/1/19 | | | 3/31/20 | | | Ratio | | | 3/31/20* | |
Actual Fund return† | | | | | | | | | | | | | |
Class A | | | $1,000.00 | | | | $1,004.60 | | | | 1.06% | | | | $5.31 | |
Class C | | | 1,000.00 | | | | 1,001.00 | | | | 1.81% | | | | 9.05 | |
Institutional Class | | | 1,000.00 | | | | 1,005.20 | | | | 0.81% | | | | 4.06 | |
Hypothetical 5% return(5% return before expenses) | |
Class A | | | $1,000.00 | | | | $1,019.70 | | | | 1.06% | | | | $5.35 | |
Class C | | | 1,000.00 | | | | 1,015.95 | | | | 1.81% | | | | 9.12 | |
Institutional Class | | | 1,000.00 | | | | 1,020.95 | | | | 0.81% | | | | 4.09 | |
Optimum International Fund
Expense analysis of an investment of $1,000
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Expenses | |
| | | | | | | | | | | | Paid | |
| | | Beginning | | | Ending | | | | | | During | |
| | | Account | | | Account | | | Annualized | | | Period | |
| | | Value | | | Value | | | Expense | | | 10/1/19 to | |
| | | 10/1/19 | | | 3/31/20 | | | Ratio | | | 3/31/20* | |
Actual Fund return† | | | | | | | | | | | | | |
Class A | | | $1,000.00 | | | | $808.20 | | | | 1.37% | | | | $6.19 | |
Class C | | | 1,000.00 | | | | 805.60 | | | | 2.12% | | | | 9.57 | |
Institutional Class | | | 1,000.00 | | | | 809.50 | | | | 1.12% | | | | 5.07 | |
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 | |
36
Optimum Large Cap Growth Fund
Expense analysis of an investment of $1,000
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Expenses | |
| | | | | | | | | | | | | | | Paid | |
| | | Beginning | | | | Ending | | | | | | | | During | |
| | | Account | | | | Account | | | | Annualized | | | | Period | |
| | | Value | | | | Value | | | | Expense | | | | 10/1/19 to | |
| | | | 10/1/19 | | | | 3/31/20 | | | | Ratio | | | | 3/31/20* | |
Actual Fund return† | | | | | | | | | | | | | |
Class A | | $ | 1,000.00 | | | $ | 929.10 | | | | 1.24% | | | $ | 5.98 | |
Class C | | | 1,000.00 | | | | 925.80 | | | | 1.99% | | | | 9.58 | |
Institutional Class | | | 1,000.00 | | | | 930.50 | | | | 0.99% | | | | 4.78 | |
Hypothetical 5% return(5% return before expenses) | |
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 | |
| | | | | | | | | | | | Expenses | |
| | | | | | | | | | | | | | | Paid | |
| | | Beginning | | | | Ending | | | | | | | | During | |
| | | Account | | | | Account | | | | Annualized | | | | Period | |
| | | Value | | | | Value | | | | Expense | | | | 10/1/19 to | |
| | | | 10/1/19 | | | | 3/31/20 | | | | Ratio | | | | 3/31/20* | |
| Actual Fund return† | |
Class A | | $ | 1,000.00 | | | $ | 804.00 | | | | 1.20% | | | $ | 5.41 | |
Class C | | | 1,000.00 | | | | 801.00 | | | | 1.95% | | | | 8.78 | |
Institutional Class | | | 1,000.00 | | | | 804.90 | | | | 0.95% | | | | 4.29 | |
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
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Expenses | |
| | | | | | | | | | | | | | | Paid | |
| | | Beginning | | | | Ending | | | | | | | | During | |
| | | Account | | | | Account | | | | Annualized | | | | Period | |
| | | Value | | | | Value | | | | Expense | | | | 10/1/19 to | |
| | | | 10/1/19 | | | | 3/31/20 | | | | Ratio | | | | 3/31/20* | |
Actual Fund return† | | | | | | | | | | | | | |
Class A | | $ | 1,000.00 | | | $ | 863.80 | | | | 1.54% | | | $ | 7.18 | |
Class C | | | 1,000.00 | | | | 860.40 | | | | 2.29% | | | | 10.65 | |
Institutional Class | | | 1,000.00 | | | | 865.10 | | | | 1.29% | | | | 6.01 | |
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 | |
| |
| | | | Expenses | |
| | | | | | | | | | | | | | | Paid | |
| | | Beginning | | | | Ending | | | | | | | | During | |
| | | Account | | | | Account | | | | Annualized | | | | Period | |
| | | Value | | | | Value | | | | Expense | | | | 10/1/19 to | |
| | | | 10/1/19 | | | | 3/31/20 | | | | Ratio | | | | 3/31/20* | |
| Actual Fund return† | |
Class A | | $ | 1,000.00 | | | $ | 688.50 | | | | 1.48% | | | $ | 6.25 | |
Class C | | | 1,000.00 | | | | 685.90 | | | | 2.23% | | | | 9.40 | |
Institutional Class | | | 1,000.00 | | | | 689.40 | | | | 1.23% | | | | 5.19 | |
Hypothetical 5% return(5% return before expenses) | |
Class A | | $ | 1,000.00 | | | $ | 1,017.60 | | | | 1.48% | | | $ | 7.47 | |
Class C | | | 1,000.00 | | | | 1,013.85 | | | | 2.23% | | | | 11.23 | |
Institutional Class | | | 1,000.00 | | | | 1,018.85 | | | | 1.23% | | | | 6.21 | |
*“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. The tables above do not reflect the expenses of the Underlying Funds.
Security type / sector allocations
Optimum Fixed Income Fund
As of March 31, 2020 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment managers or asub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
| | | | |
| | | Percentage | |
| Security type / sector | | of net assets | |
Agency Asset-Backed Securities | | | 0.04% | |
Agency Collateralized Mortgage Obligations | | | 2.92% | |
Agency Commercial Mortgage-Backed Securities | | | 0.56% | |
Agency Mortgage-Backed Securities | | | 41.32% | |
Agency Obligation | | | 0.09% | |
Collateralized Debt Obligations | | | 2.15% | |
Corporate Bonds | | | 36.29% | |
Banking | | | 11.76% | |
Basic Industry | | | 1.36% | |
Brokerage | | | 0.07% | |
Capital Goods | | | 1.45% | |
Communications | | | 4.21% | |
Consumer Cyclical | | | 2.02% | |
ConsumerNon-Cyclical | | | 3.95% | |
Energy | | | 2.90% | |
Finance Companies | | | 1.40% | |
Insurance | | | 0.41% | |
Natural Gas | | | 0.21% | |
Real Estate Investment Trusts | | | 0.91% | |
Technology | | | 1.76% | |
Transportation | | | 0.68% | |
Utilities | | | 3.20% | |
Municipal Bonds | | | 0.64% | |
| | | | |
| | | Percentage | |
| Security type / sector | | of net assets | |
Non-Agency Asset-Backed Securities | | | 3.02% | |
Non-Agency Collateralized Mortgage Obligations | | | 1.84% | |
Non-Agency Commercial Mortgage-Backed Obligations | | | 4.54% | |
Regional Bond | | | 0.09% | |
Loan Agreements | | | 1.75% | |
Sovereign Bonds | | | 1.50% | |
Supranational Banks | | | 0.04% | |
US Treasury Obligations | | | 30.94% | |
Common Stock | | | 0.00% | |
Preferred Stock | | | 0.03% | |
Options Purchased | | | 0.00% | |
Short-Term Investments | | | 4.53% | |
Total Value of Securities Before Options Written | | | 132.29% | |
Options Written | | | 0.00% | |
Liabilities Net of Receivables and Other Assets | | | (32.29)% | |
Total Net Assets | | | 100.00% | |
38
Security type / country and sector allocations
Optimum International Fund
As of March 31, 2020 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment managers or asub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
| | | | |
| | | Percentage | |
| Security type / country | | of net assets | |
Common Stock by Country | | | 97.96% | |
Australia | | | 2.84% | |
Austria | | | 1.54% | |
Belgium | | | 0.78% | |
Brazil | | | 1.30% | |
Cambodia | | | 0.00% | |
Canada | | | 4.45% | |
Chile | | | 0.69% | |
China/Hong Kong | | | 13.62% | |
Colombia | | | 0.50% | |
Czech Republic | | | 0.25% | |
Denmark | | | 0.85% | |
Finland | | | 0.03% | |
France | | | 3.64% | |
Germany | | | 4.38% | |
Greece | | | 0.01% | |
Hungary | | | 0.35% | |
India | | | 1.61% | |
Ireland | | | 2.16% | |
Israel | | | 3.94% | |
Italy | | | 1.44% | |
Japan | | | 12.58% | |
Luxembourg | | | 0.97% | |
Malaysia | | | 0.04% | |
Mexico | | | 0.56% | |
Netherlands | | | 5.70% | |
New Zealand | | | 0.28% | |
Norway | | | 2.12% | |
Philippines | | | 0.01% | |
Poland | | | 0.10% | |
Portugal | | | 0.01% | |
Republic of Korea | | | 5.02% | |
Russia | | | 0.02% | |
Singapore | | | 1.22% | |
South Africa | | | 0.07% | |
Spain | | | 1.92% | |
| | | | |
| | | Percentage | |
| Security type / country | | of net assets | |
Sweden | | | 0.52% | |
Switzerland | | | 6.72% | |
Taiwan | | | 5.15% | |
Thailand | | | 0.52% | |
Turkey | | | 0.50% | |
Ukraine | | | 0.26% | |
United Arab Emirates | | | 0.07% | |
United Kingdom | | | 6.77% | |
United States | | | 2.45% | |
Short-Term Investments | | | 1.39% | |
Securities Lending Collateral | | | 3.88% | |
Total Value of Securities | | | 103.23% | |
Obligation to Return Securities Lending Collateral | | | (3.88%) | |
Receivables and Other Assets Net of Liabilities | | | 0.65% | |
Total Net Assets | | | 100.00% | |
| |
| | | Percentage | |
| Common stock by sector | | | of net assets | |
Communication Services | | | 5.72% | |
Consumer Discretionary | | | 9.39% | |
Consumer Staples | | | 4.28% | |
Energy | | | 2.51% | |
Financials | | | 23.56% | |
Healthcare | | | 16.90% | |
Industrials | | | 7.33% | |
Information Technology | | | 17.61% | |
Materials | | | 7.06% | |
Real Estate | | | 2.10% | |
Utilities | | | 1.49% | |
Total | | | 97.95% | |
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 managers or asub-advisor’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Optimum Large Cap Growth Fund
As of March 31, 2020 (Unaudited)
| | | | |
| | | Percentage | |
| Security type / sector | | of net assets | |
Common Stock² | | | 97.39% | |
Communication Services | | | 15.09% | |
Consumer Discretionary | | | 17.07% | |
Consumer Staples | | | 1.89% | |
Energy | | | 0.51% | |
Financials | | | 2.49% | |
Healthcare | | | 13.45% | |
Industrials | | | 9.04% | |
Information Technology1 | | | 35.43% | |
Materials | | | 1.05% | |
Real Estate | | | 1.07% | |
Utilities | | | 0.30% | |
Convertible Preferred Stock | | | 0.32% | |
Short-Term Investments | | | 2.48% | |
Total Value of Securities | | | 100.19% | |
Liabilities Net of Receivables and Other Assets | | | (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.
| | | | |
| | | Percentage | |
Top 10 equity holdings | | | of net assets | |
Amazon.com | | | 8.61% | |
Microsoft | | | 6.58% | |
Facebook Class A | | | 4.96% | |
Apple | | | 4.48% | |
Visa Class A | | | 4.04% | |
Alphabet Class C | | | 2.98% | |
UnitedHealth Group | | | 2.63% | |
Alibaba Group Holding ADR | | | 2.45% | |
Alphabet Class A | | | 2.28% | |
Fidelity National Information Services | | | 1.91% | |
Optimum Large Cap Value Fund
As of March 31, 2020 (Unaudited)
| | | | |
| | | Percentage | |
| Security type / sector | | of net assets | |
Common Stock | | | 98.51% | |
Communication Services | | | 7.56% | |
Consumer Discretionary | | | 1.54% | |
Consumer Staples | | | 8.72% | |
Energy | | | 3.53% | |
Financials | | | 23.40% | |
Healthcare | | | 17.77% | |
Industrials | | | 13.60% | |
Information Technology | | | 8.60% | |
Materials | | | 4.10% | |
Real Estate | | | 2.50% | |
Utilities | | | 7.19% | |
Short-Term Investments | | | 1.32% | |
Total Value of Securities | | | 99.83% | |
Receivables and Other Assets Net of Liabilities | | | 0.17% | |
Total Net Assets | | | 100.00% | |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| | | | |
| | | Percentage | |
| Top 10 equity holdings | | of net assets | |
JPMorgan Chase & Co. | | | 4.05% | |
Johnson & Johnson | | | 3.35% | |
Medtronic (Ireland) | | | 2.84% | |
Comcast Class A | | | 2.55% | |
Duke Energy | | | 2.14% | |
Northrop Grumman | | | 2.10% | |
Honeywell International | | | 1.97% | |
Verizon Communications | | | 1.94% | |
Cigna | | | 1.87% | |
Procter & Gamble | | | 1.72% | |
40
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment managers or asub-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 March 31, 2020 (Unaudited)
| | | | |
| | | Percentage | |
| Security type / sector | | of net assets | |
Common Stock² | | | 97.37% | |
Communication Services | | | 1.33% | |
Consumer Cyclical | | | 0.61% | |
Consumer Discretionary | | | 10.43% | |
Consumer Staples | | | 1.46% | |
Energy | | | 0.24% | |
Financials | | | 7.20% | |
Healthcare2 | | | 27.77% | |
Industrials | | | 15.07% | |
Information Technology2 | | | 31.33% | |
Materials | | | 1.51% | |
Real Estate | | | 0.42% | |
Convertible Preferred Stock | | | 0.27% | |
Short-Term Investments | | | 2.04% | |
Total Value of Securities | | | 99.68% | |
Receivables and Other Assets Net of Liabilities | | | 0.32% | |
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.
| | | | |
| | | Percentage | |
| Top 10 equity holdings | | of net assets | |
DexCom | | | 2.77% | |
RingCentral Class A | | | 2.47% | |
Nuance Communications | | | 1.87% | |
Burlington Stores | | | 1.79% | |
Tandem Diabetes Care | | | 1.57% | |
Kansas City Southern | | | 1.55% | |
Inspire Medical Systems | | | 1.50% | |
SVB Financial Group | | | 1.46% | |
Five9 | | | 1.43% | |
Everbridge | | | 1.35% | |
OptimumSmall-Mid Cap Value Fund
As of March 31, 2020 (Unaudited)
| | | | |
| | | Percentage | |
| Security type / sector | | of net assets | |
Common Stock | | | 97.34% | |
Communication Services | | | 1.57% | |
Consumer Discretionary | | | 9.51% | |
Consumer Staples | | | 5.55% | |
Energy | | | 2.22% | |
Financials | | | 23.35% | |
Healthcare | | | 6.89% | |
Industrials | | | 12.47% | |
Information Technology | | | 11.58% | |
Materials | | | 7.60% | |
Real Estate | | | 11.74% | |
Utilities | | | 4.86% | |
Short-Term Investments | | | 2.71% | |
Total Value of Securities | | | 100.05% | |
Liabilities Net of Receivables and Other Assets | | | (0.05%) | |
Total Net Assets | | | 100.00% | |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| | | | |
| | | Percentage | |
| Top 10 equity holdings | | of net assets | |
IDACORP | | | 1.59% | |
Alliant Energy | | | 1.49% | |
Huntington Ingalls Industries | | | 1.36% | |
TCF Financial | | | 1.33% | |
First Hawaiian | | | 1.29% | |
STAG Industrial | | | 1.27% | |
Physicians Realty Trust | | | 1.27% | |
Amdocs | | | 1.24% | |
Everest Re Group (Bermuda) | | | 1.24% | |
White Mountains Insurance Group | | | 1.23% | |
Security type / sector allocations and top 10 equity holdings
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 consisted of Commercial Services, Computers, Diversified Financial Services, Internet, Machinery-Diversified, Semiconductors, and Software. As of March 31, 2020, such amounts, as percentage of total net assets, were 1.24%, 4.48%, 5.74%, 0.57%, 0.08%, 4.31%, and 19.01%, 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 OptimumSmall-Mid Cap Growth Fund’s concentration guidelines as described in the Fund’s Prospectus and Statement of Additional Information, the Healthcare and 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 Healthcare sector consisted of Biotechnology, Commercial Services, Healthcare Products, Healthcare Services, Pharmaceuticals, Retail, Software, and Transportation. As of March 31, 2020, such amounts, as percentage of total net assets, were 4.84%, 0.75%, 10.86%, 3.20%, 5.82%, 0.41%, 1.57%, and 0.32%, respectively. The Information Technology sector consisted of Advertising, Commercial Services, Computers, Electronics, Energy-Alternate Sources, Engineering & Construction, Internet, Office/Business Equipment, Semiconductors, Software, and Telecommunications. As of March 31, 2020, such amounts, as percentage of total net assets, were 0.19%, 1.25%, 2.61%, 0.37%, 0.60%, 0.41%, 3.62%, 0.47%, 5.78%, 14.10% and 1.94%, respectively. The percentage in any such single industry will comply with the Fund’s concentration policy even if the percentages in the Healthcare and Information Technology sectors for financial reporting purposes may exceed 25%.
42
Schedules of investments
Optimum Fixed Income Fund
March 31, 2020
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Agency Asset-Backed Securities – 0.04% | |
| |
SLM Student Loan Trust | | | | | |
Series2003-11 A6 144A 1.291% (LIBOR03M + 0.55%, Floor 0.29%) 12/15/25 #● | | | 202,224 | | | $ | 199,372 | |
Series2008-9 A 3.294% (LIBOR03M + 1.50%) 4/25/23● | | | 780,347 | | | | 770,396 | |
| | | | | | | | |
Total Agency Asset-Backed
Securities(cost $985,108) | | | | 969,768 | |
| | | | | | | | |
|
| |
Agency Collateralized Mortgage Obligations – 2.92% | |
| |
Fannie Mae Connecticut Avenue Securities | | | | | | | | |
Series2016-C06 1M1 2.247% (LIBOR01M + 1.30%) 4/25/29● | | | 1,088,938 | | | | 1,078,617 | |
Series2017-C04 2M2 3.797% (LIBOR01M + 2.85%) 11/25/29● | | | 420,000 | | | | 366,524 | |
Series2018-C01 1M2 3.197% (LIBOR01M + 2.25%, Floor 2.25%) 7/25/30● | | | 1,500,000 | | | | 1,295,272 | |
Series2018-C02 2M2 3.147% (LIBOR01M + 2.20%, Floor 2.20%) 8/25/30● | | | 567,827 | | | | 469,120 | |
Series2018-C03 1M2 3.097% (LIBOR01M + 2.15%, Floor 2.15%) 10/25/30● | | | 740,000 | | | | 615,018 | |
Series2018-C05 1M2 3.297% (LIBOR01M + 2.35%, Floor 2.35%) 1/25/31● | | | 545,000 | | | | 457,693 | |
Fannie Mae Grantor Trust | | | | | | | | |
Series1999-T2 A1 7.50% 1/19/39● | | | 5,578 | | | | 6,137 | |
Series2004-T1 1A2 6.50% 1/25/44 | | | 5,152 | | | | 6,065 | |
Fannie Mae REMIC Trust | | | | | | | | |
Series2004-W4 A5 5.50% 6/25/34 | | | 32,793 | | | | 32,903 | |
Series2004-W11 1A2 6.50% 5/25/44 | | | 34,469 | | | | 40,750 | |
Series2004-W15 1A1 6.00% 8/25/44 | | | 29,650 | | | | 34,329 | |
Fannie Mae REMICs | | | | | | | | |
Series1999-19 PH 6.00% 5/25/29 | | | 55,671 | | | | 62,990 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Agency Collateralized Mortgage Obligations (continued) | |
| |
Fannie Mae REMICs | | | | | |
Series2001-14 Z 6.00% 5/25/31 | | | 3,262 | | | $ | 3,648 | |
Series2007-30 OE 1.784% 4/25/37W | | | 1,998,367 | | | | 1,735,113 | |
Series2008-24 ZA 5.00% 4/25/38 | | | 8,196,482 | | | | 9,325,277 | |
Series2009-2 AS 4.753% (5.70% minus | | | | | | | | |
LIBOR01M, Cap 5.70%) 2/25/39S● | | | 417,450 | | | | 68,477 | |
Series2009-68 SA 5.803% (6.75% minus | | | | | | | | |
LIBOR01M, Cap 6.75%) 9/25/39S● | | | 172,878 | | | | 30,003 | |
Series2011-118 DC 4.00% 11/25/41 | | | 785,234 | | | | 866,331 | |
Series2017-40 GZ 3.50% 5/25/47 | | | 366,520 | | | | 411,676 | |
Series2017-77 HZ 3.50% 10/25/47 | | | 520,552 | | | | 580,636 | |
Series2017-94 CZ 3.50% 11/25/47 | | | 326,439 | | | | 365,886 | |
Series2017-95 FA 2.005% (LIBOR01M + 0.35%, Floor 0.35%) 11/25/47● | | | 452,750 | | | | 451,373 | |
Freddie Mac REMICs | | | | | |
Series 2165 PE 6.00% 6/15/29 | | | 48,377 | | | | 55,012 | |
Series 3143 BC 5.50% 2/15/36 | | | 1,259,576 | | | | 1,467,767 | |
Series 3289 SA 6.045% (6.75% minus LIBOR01M, Cap 6.75%) 3/15/37S● | | | 552,807 | | | | 116,081 | |
Series 4676 KZ 2.50% 7/15/45 | | | 360,312 | | | | 375,546 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | | | | | | | | |
Series 2017-DNA1 M2 4.197% (LIBOR01M + 3.25%, Floor 3.25%) 7/25/29● | | | 750,000 | | | | 659,999 | |
Series 2017-DNA3 M2 3.447% (LIBOR01M + 2.50%) 3/25/30● | | | 315,000 | | | | 271,165 | |
Series 2018-HQA1 M2 3.247% (LIBOR01M + 2.30%) 9/25/30● | | | 948,399 | | | | 798,741 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Agency Collateralized Mortgage Obligations (continued) | |
| |
Freddie Mac Structured | | | | | |
Agency Credit Risk REMIC Trust | | | | | | | | |
Series 2019-HQA4 M2 144A 2.997% (LIBOR01M + 2.05%) 11/25/49 #● | | | 1,500,000 | | | $ | 1,108,151 | |
Series 2020-DNA2 M2 144A 2.797% (LIBOR01M + 1.85%, Floor 1.85%) 2/25/50 #● | | | 500,000 | | | | 317,601 | |
Series 2020-HQA2 M1 144A 1.911% (LIBOR01M + 1.10%) 3/25/50 #● | | | 2,000,000 | | | | 1,930,646 | |
Freddie Mac Structured | | | | | |
Agency Credit Risk Trust | | | | | | | | |
Series 2018-HQA2 M1 144A 1.697% (LIBOR01M + 0.75%) 10/25/48 #● | | | 1,610,189 | | | | 1,564,815 | |
Series 2019-DNA4 M2 144A 2.897% (LIBOR01M + 1.95%) 10/25/49 #● | | | 1,500,000 | | | | 1,125,931 | |
Freddie Mac Structured Pass Through Certificates | | | | | |
SeriesT-54 2A 6.50% 2/25/43¨ | | | 12,015 | | | | 14,628 | |
SeriesT-58 2A 6.50% 9/25/43¨ | | | 5,432 | | | | 6,285 | |
GNMA | | | | | |
Series2008-65 SB 5.227% (6.00% minus LIBOR01M, Cap 6.00%) 8/20/38S● | | | 490,503 | | | | 80,902 | |
Series2009-2 SE 5.047% (5.82% minus LIBOR01M, Cap 5.82%) 1/20/39S● | | | 1,566,911 | | | | 276,826 | |
Series2011-H21 FT 2.20% (H15T1Y + 0.70%, Cap 15.25%, Floor 0.70%) 10/20/61● | | | 6,406,988 | | | | 6,390,914 | |
Series2011-H23 FA 2.362% (LIBOR01M + 0.70%, Cap 11.00%, Floor 0.70%) 10/20/61● | | | 4,190,510 | | | | 4,163,945 | |
Series2012-H08 FB 2.262% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 3/20/62● | | | 732,080 | | | | 726,809 | |
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Agency Collateralized Mortgage Obligations (continued) | |
| |
GNMA | | | | | |
Series2012-H18 NA 2.182% (LIBOR01M + 0.52%, Cap 10.50%, Floor 0.52%) 8/20/62● | | | 412,458 | | | $ | 408,270 | |
Series2012-H29 SA 2.177% (LIBOR01M + 0.515%, Cap 12.00%, Floor 0.515%) 10/20/62● | | | 3,770,072 | | | | 3,714,180 | |
Series2013-113 LY 3.00% 5/20/43 | | | 173,000 | | | | 188,064 | |
Series2015-H10 FA 2.262% (LIBOR01M + 0.60%, Cap 7.50%) 4/20/65● | | | 12,306,119 | | | | 12,094,086 | |
Series2015-H11 FC 2.212% (LIBOR01M + 0.55%, Cap 7.50%, Floor 0.55%) 5/20/65● | | | 1,513,811 | | | | 1,484,908 | |
Series2015-H12 FB 2.262% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 5/20/65● | | | 6,338,720 | | | | 6,232,088 | |
Series2015-H20 FB 2.262% (LIBOR01M + 0.60%, Cap 7.50%, Floor 0.60%) 8/20/65● | | | 1,675,297 | | | | 1,645,179 | |
Series2015-H30 FD 2.262% (LIBOR01M + 0.60%, Cap 11.00%, Floor 0.60%) 10/20/65● | | | 114,249 | | | | 113,211 | |
Series2016-H06 FD 2.582% (LIBOR01M + 0.92%, Cap 7.50%, Floor 0.92%) 7/20/65● | | | 1,705,393 | | | | 1,695,605 | |
Series2017-34 DY 3.50% 3/20/47 | | | 230,000 | | | | 260,368 | |
Series2017-56 JZ 3.00% 4/20/47 | | | 311,027 | | | | 340,440 | |
Series2017-107 QZ 3.00% 8/20/45 | | | 235,050 | | | | 252,340 | |
Series2017-130 YJ 2.50% 8/20/47 | | | 270,000 | | | | 293,361 | |
Series2017-163 ZK 3.50% 11/20/47 | | | 3,583,198 | | | | 3,912,165 | |
Series2018-34 TY 3.50% 3/20/48 | | | 196,000 | | | | 213,218 | |
| | | | | | | | |
Total Agency Collateralized Mortgage Obligations
(cost $72,880,519) | | | | 72,603,085 | |
| | | | | | | | |
44
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Agency Commercial Mortgage-Backed
Securities – 0.56% | |
| |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | |
Series K058 A2 2.653% 8/25/26¨ | | | 685,000 | | | $ | 734,680 | |
Series X3FX A2FX 3.00% 6/25/27¨ | | | 1,070,000 | | | | 1,186,450 | |
FREMF Mortgage Trust | | | | | |
Series2011-K10 B 144A 4.622% 11/25/49 #● | | | 550,000 | | | | 549,947 | |
Series2011-K15 B 144A 4.961% 8/25/44 #● | | | 75,000 | | | | 74,818 | |
Series2012-K18 B 144A 4.249% 1/25/45 #● | | | 1,000,000 | | | | 986,837 | |
Series2012-K22 B 144A 3.687% 8/25/45 #● | | | 665,000 | | | | 658,583 | |
Series2013-K24 B 144A 3.502% 11/25/45 #● | | | 3,675,000 | | | | 3,624,297 | |
Series2013-K25 C 144A 3.619% 11/25/45 #● | | | 500,000 | | | | 486,871 | |
Series 2013-K713 B 144A 3.492% 4/25/46 #● | | | 52,609 | | | | 52,484 | |
Series 2013-K713 C 144A 3.492% 4/25/46 #● | | | 945,000 | | | | 942,723 | |
Series 2014-K716 B 144A 3.952% 8/25/47 #● | | | 500,000 | | | | 499,250 | |
Series 2014-K717 B 144A 3.63% 11/25/47 #● | | | 1,225,000 | | | | 1,216,504 | |
Series 2014-K717 C 144A 3.63% 11/25/47 #● | | | 1,290,000 | | | | 1,283,837 | |
Series 2015-K721 C 144A 3.565% 11/25/47 #● | | | 475,000 | | | | 463,058 | |
Series2016-K53 B 144A 4.02% 3/25/49 #● | | | 280,000 | | | | 272,874 | |
Series 2016-K722 B 144A 3.843% 7/25/49 #● | | | 425,000 | | | | 420,427 | |
Series2017-K71 B 144A 3.753% 11/25/50 #● | | | 470,000 | | | | 441,860 | |
| | | | | | | | |
Total Agency Commercial Mortgage-Backed Securities
(cost $13,902,789) | | | | 13,895,500 | |
| | | | | | | | |
|
| |
Agency Mortgage-Backed Securities – 41.32% | |
| |
Fannie Mae | | | | | | | | |
5.50% 3/1/37 | | | 6,366 | | | | 7,003 | |
5.50% 7/1/37 | | | 11,177 | | | | 11,844 | |
Fannie Mae S.F. 30 yr | | | | | | | | |
3.00% 4/1/43 | | | 996,329 | | | | 1,053,263 | |
3.00% 11/1/46 | | | 13,374,643 | | | | 14,140,501 | |
3.00% 4/1/48 | | | 471,989 | | | | 494,975 | |
3.00% 11/1/48 | | | 5,869,485 | | | | 6,161,846 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Agency Mortgage-Backed Securities (continued) | |
| |
Fannie Mae S.F. 30 yr | | | | | |
3.00% 10/1/49 | | | 3,696,831 | | | $ | 3,876,577 | |
3.00% 11/1/49 | | | 6,915,285 | | | | 7,249,587 | |
3.00% 12/1/49 | | | 6,728,573 | | | | 7,080,609 | |
3.00% 1/1/50 | | | 11,469,051 | | | | 12,019,207 | |
3.00% 3/1/50 | | | 2,964,000 | | | | 3,108,901 | |
3.50% 12/1/47 | | | 1,535,390 | | | | 1,622,833 | |
3.50% 2/1/48 | | | 3,952,436 | | | | 4,221,931 | |
3.50% 7/1/48 | | | 9,875,967 | | | | 10,433,073 | |
3.50% 11/1/48 | | | 4,032,931 | | | | 4,269,235 | |
3.50% 6/1/49 | | | 16,521,349 | | | | 17,464,948 | |
3.50% 11/1/49 | | | 11,127,927 | | | | 11,756,086 | |
3.50% 1/1/50 | | | 6,325,407 | | | | 6,689,966 | |
3.50% 2/1/50 | | | 4,742,036 | | | | 5,011,238 | |
3.50% 3/1/50 | | | 2,264,298 | | | | 2,414,429 | |
4.00% 10/1/40 | | | 17,018 | | | | 18,418 | |
4.00% 11/1/40 | | | 93,240 | | | | 100,892 | |
4.00% 3/1/46 | | | 96,794 | | | | 104,658 | |
4.00% 4/1/47 | | | 1,177,222 | | | | 1,278,789 | |
4.00% 4/1/48 | | | 9,447,735 | | | | 10,132,401 | |
4.00% 9/1/48 | | | 12,694,957 | | | | 13,555,927 | |
4.00% 10/1/48 | | | 5,202,849 | | | | 5,659,810 | |
4.00% 1/1/49 | | | 262,413 | | | | 279,696 | |
4.00% 3/1/49 | | | 762,611 | | | | 812,869 | |
4.00% 4/1/49 | | | 10,633,556 | | | | 11,342,279 | |
4.50% 5/1/35 | | | 56,416 | | | | 61,819 | |
4.50% 8/1/35 | | | 100,207 | | | | 109,571 | |
4.50% 9/1/35 | | | 100,182 | | | | 109,583 | |
4.50% 5/1/39 | | | 381,195 | | | | 417,051 | |
4.50% 6/1/40 | | | 365,793 | | | | 400,357 | |
4.50% 7/1/40 | | | 320,708 | | | | 353,851 | |
4.50% 2/1/41 | | | 1,262,537 | | | | 1,383,464 | |
4.50% 4/1/41 | | | 53,181 | | | | 57,855 | |
4.50% 5/1/46 | | | 667,091 | | | | 730,395 | |
4.50% 4/1/48 | | | 1,435,404 | | | | 1,571,637 | |
4.50% 7/1/48 | | | 1,187,503 | | | | 1,278,996 | |
4.50% 8/1/48 | | | 482,805 | | | | 520,647 | |
4.50% 9/1/48 | | | 589,268 | | | | 639,008 | |
4.50% 12/1/48 | | | 2,102,480 | | | | 2,261,354 | |
4.50% 1/1/49 | | | 8,854,198 | | | | 9,646,567 | |
4.50% 11/1/49 | | | 3,527,122 | | | | 3,792,539 | |
4.50% 1/1/50 | | | 2,372,208 | | | | 2,563,010 | |
5.00% 3/1/34 | | | 1,641 | | | | 1,818 | |
5.00% 4/1/34 | | | 7,595 | | | | 8,311 | |
5.00% 8/1/34 | | | 15,571 | | | | 17,259 | |
5.00% 4/1/35 | | | 4,712 | | | | 5,217 | |
5.00% 12/1/37 | | | 1,548 | | | | 1,715 | |
5.00% 3/1/38 | | | 111,966 | | | | 124,002 | |
5.00% 6/1/38 | | | 3,772 | | | | 4,068 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Agency Mortgage-Backed Securities (continued) | |
| |
Fannie Mae S.F. 30 yr | | | | | | | | |
5.00% 2/1/39 | | | 3,940 | | | $ | 4,249 | |
5.00% 5/1/40 | | | 90,770 | | | | 100,706 | |
5.00% 6/1/44 | | | 719,672 | | | | 807,350 | |
5.00% 7/1/47 | | | 529,179 | | | | 587,825 | |
5.50% 10/1/33 | | | 315,523 | | | | 356,527 | |
5.50% 12/1/33 | | | 11,244 | | | | 12,424 | |
5.50% 2/1/35 | | | 234,206 | | | | 264,653 | |
5.50% 12/1/38 | | | 895,343 | | | | 1,011,787 | |
5.50% 5/1/44 | | | 9,453,554 | | | | 10,700,326 | |
6.00% 9/1/36 | | | 11,336 | | | | 12,581 | |
6.00% 8/1/38 | | | 30,985 | | | | 34,329 | |
6.00% 12/1/38 | | | 5,621 | | | | 6,473 | |
6.00% 6/1/41 | | | 1,778,349 | | | | 2,046,852 | |
6.00% 7/1/41 | | | 6,137,959 | | | | 7,063,590 | |
6.00% 1/1/42 | | | 1,546,186 | | | | 1,778,488 | |
6.50% 11/1/33 | | | 2,354 | | | | 2,686 | |
6.50% 2/1/36 | | | 31,018 | | | | 36,666 | |
6.50% 3/1/36 | | | 54,352 | | | | 62,910 | |
6.50% 6/1/36 | | | 67,151 | | | | 79,822 | |
6.50% 2/1/38 | | | 18,604 | | | | 21,573 | |
6.50% 11/1/38 | | | 4,770 | | | | 5,690 | |
Fannie Mae S.F. 30 yr TBA | | | | | | | | |
2.50% 5/1/50 | | | 60,800,000 | | | | 62,907,073 | |
3.00% 4/1/50 | | | 10,600,000 | | | | 11,115,508 | |
3.00% 5/1/50 | | | 210,200,000 | | | | 220,110,047 | |
3.50% 4/1/50 | | | 75,000,000 | | | | 79,344,726 | |
3.50% 5/1/50 | | | 108,700,000 | | | | 114,965,131 | |
4.00% 4/1/50 | | | 111,921,000 | | | | 119,499,495 | |
4.00% 5/1/50 | | | 113,000,000 | | | | 120,616,245 | |
4.50% 5/1/50 | | | 6,100,000 | | | | 6,561,313 | |
Freddie Mac ARM | | | | | | | | |
4.75% (LIBOR12M + 1.625%, Cap 10.50%, Floor 1.625%) 2/1/38● | | | 14,499 | | | | 14,619 | |
5.055% (LIBOR12M + 2.18%, Cap 10.583%, Floor 2.18%) 5/1/37● | | | 147,041 | | | | 149,568 | |
Freddie Mac S.F. 20 yr | | | | | | | | |
5.50% 10/1/23 | | | 11,670 | | | | 12,757 | |
5.50% 8/1/24 | | | 5,439 | | | | 5,951 | |
Freddie Mac S.F. 30 yr | | | | | | | | |
3.00% 12/1/48 | | | 15,089,029 | | | | 15,927,572 | |
3.00% 11/1/49 | | | 5,519,745 | | | | 5,788,123 | |
3.00% 12/1/49 | | | 1,585,904 | | | | 1,663,516 | |
3.00% 1/1/50 | | | 1,694,327 | | | | 1,781,408 | |
3.50% 8/1/48 | | | 115,584 | | | | 122,079 | |
3.50% 9/1/48 | | | 5,304,026 | | | | 5,663,946 | |
3.50% 11/1/48 | | | 9,878,188 | | | | 10,597,201 | |
3.50% 10/1/49 | | | 4,304,870 | | | | 4,547,134 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Agency Mortgage-Backed Securities (continued) | |
| |
Freddie Mac S.F. 30 yr | | | | | | | | |
4.00% 7/1/47 | | | 599,758 | | | $ | 643,161 | |
4.00% 10/1/47 | | | 5,377,201 | | | | 5,790,621 | |
4.50% 8/1/48 | | | 2,965,621 | | | | 3,209,556 | |
4.50% 3/1/49 | | | 2,092,399 | | | | 2,265,786 | |
4.50% 4/1/49 | | | 2,476,331 | | | | 2,674,661 | |
4.50% 8/1/49 | | | 4,090,077 | | | | 4,478,850 | |
5.00% 12/1/44 | | | 1,051,895 | | | | 1,166,070 | |
5.00% 7/1/45 | | | 500,136 | | | | 554,697 | |
5.50% 6/1/41 | | | 1,700,762 | | | | 1,928,116 | |
5.50% 9/1/41 | | | 2,639,776 | | | | 2,993,049 | |
6.50% 11/1/33 | | | 20,141 | | | | 23,519 | |
6.50% 1/1/35 | | | 61,548 | | | | 75,484 | |
7.00% 1/1/38 | | | 17,778 | | | | 21,027 | |
GNMA I S.F. 30 yr | | | | | | | | |
3.00% 3/15/50 | | | 1,567,000 | | | | 1,670,936 | |
GNMA II S.F. 30 yr | | | | | | | | |
5.50% 5/20/37 | | | 106,141 | | | | 120,167 | |
6.00% 4/20/34 | | | 3,530 | | | | 3,956 | |
GNMA S.F. 30 yr TBA | | | | | | | | |
4.00% 4/20/50 | | | 6,000,000 | | | | 6,374,402 | |
| | | | | | | | |
Total Agency Mortgage-Backed Securities
(cost $1,002,739,134) | | | | 1,028,818,862 | |
| | | | | | | | |
|
| |
Agency Obligation – 0.09% | |
| |
Federal Home Loan Mortgage | | | | | | | | |
2.25% 11/24/20 | | | 2,300,000 | | | | 2,325,046 | |
| | | | | | | | |
Total Agency Obligation
(cost $2,300,000) | | | | 2,325,046 | |
| | | | | | | | |
|
| |
Collateralized Debt Obligations – 2.15% | |
| |
AMMC CLO 21 | | | | | | | | |
Series2017-21A A 144A 3.013% (LIBOR03M + 1.25%) 11/2/30 #● | | | 2,400,000 | | | | 2,264,885 | |
Apex Credit CLO | | | | | | | | |
Series2017-1A A1 144A 3.271% (LIBOR03M + 1.47%, Floor 1.47%) 4/24/29 #● | | | 1,275,000 | | | | 1,214,746 | |
Series2018-1A A2 144A 2.824% (LIBOR03M + 1.03%) 4/25/31 #● | | | 2,400,000 | | | | 2,197,615 | |
Arbor Realty CLO | | | | | | | | |
Series2017-FL3 A 144A 1.695% (LIBOR01M + 0.99%) 12/15/27 #● | | | 250,000 | | | | 236,731 | |
46
| | | | | | | | | | | | |
| | | | | | Principal
amount° | | | Value
(US $) | |
| |
Collateralized Debt Obligations (continued) | |
| |
Arbour CLO IV | | | | | | | | | | | | |
Series 4A A2R 144A 0.87% (EUR003M + 0.87%, Floor 0.87%) 1/15/30 #● | | | EUR | | | | 2,600,000 | | | $ | 2,740,941 | |
Atlas Senior Loan Fund X | | | | | | | | | | | | |
Series2018-10A A 144A 2.921% (LIBOR03M + 1.09%) 1/15/31 #● | | | | | | | 1,500,000 | | | | 1,407,461 | |
Atrium XII | | | | | | | | | | | | |
Series 12A AR 144A 2.632% (LIBOR03M + 0.83%) 4/22/27 #● | | | | | | | 2,500,000 | | | | 2,442,867 | |
BlueMountain CLO | | | | | | | | | | | | |
Series2015-1A A1R 144A 3.178% (LIBOR03M + 1.33%) 4/13/27 #● | | | | | | | 191,189 | | | | 189,041 | |
Catamaran CLO | | | | | | | | | | | | |
Series2013-1A AR 144A 2.644% (LIBOR03M + 0.85%) 1/27/28 #● | | | | | | | 3,493,602 | | | | 3,390,516 | |
CFIP CLO | | | | | | | | | | | | |
Series2017-1A A 144A 3.039% (LIBOR03M + 1.22%) 1/18/30 #● | | | | | | | 2,300,000 | | | | 2,191,557 | |
Crown Point CLO 5 | | | | | | | | | | | | |
Series2018-5A A 144A 2.776% (LIBOR03M + 0.94%) 7/17/28 #● | | | | | | | 400,000 | | | | 386,026 | |
Galaxy XXI CLO | | | | | | | | | | | | |
Series2015-21A AR 144A 2.839% (LIBOR03M + 1.02%) 4/20/31 #● | | | | | | | 1,650,000 | | | | 1,538,179 | |
Jamestown CLO IV | | | | | | | | | | | | |
Series2014-4A A1CR 144A 2.521% (LIBOR03M + 0.69%) 7/15/26 #● | | | | | | | 322,292 | | | | 318,272 | |
Jamestown CLO VII | | | | | | | | | | | | |
Series2015-7A A1R 144A 2.624% (LIBOR03M + 0.83%, Floor 0.83%) 7/25/27 #● | | | | | | | 569,210 | | | | 551,626 | |
Man GLG US CLO | | | | | | | | | | | | |
Series2018-1A A1R 144A 2.959% (LIBOR03M + 1.14%) 4/22/30 #● | | | | | | | 3,000,000 | | | | 2,781,303 | |
Marathon CLO V | | | | | | | | | | | | |
Series2013-5A A1R 144A 2.566% (LIBOR03M + 0.87%) 11/21/27 #● | | | | | | | 1,086,109 | | | | 1,048,791 | |
| | | | | | | | | | | | |
| | | | | | Principal
amount° | | | Value
(US $) | |
| |
Collateralized Debt Obligations (continued) | |
| |
Mariner CLO 5 | | | | | | | | | | | | |
Series2018-5A A 144A 2.904% (LIBOR03M + 1.11%, Floor 1.11%) 4/25/31 #● | | | | | | | 1,800,000 | | | $ | 1,688,121 | |
Midocean Credit CLO VIII | | | | | | | | | | | | |
Series2018-8A A1 144A 2.845% (LIBOR03M + 1.15%) 2/20/31 #● | | | | | | | 1,750,000 | | | | 1,629,208 | |
Midocean Credit CLO IX | | | | | | | | | | | | |
Series2018-9A A1 144A 2.969% (LIBOR03M + 1.15%, Floor 1.15%) 7/20/31 #● | | | | | | | 1,250,000 | | | | 1,156,451 | |
Monarch Grove CLO | | | | | | | | | | | | |
Series2018-1A A1 144A 2.674% (LIBOR03M + 0.88%) 1/25/28 #● | | | | | | | 5,100,000 | | | | 4,934,597 | |
Mountain View CLO X | | | | | | | | | | | | |
Series2015-10A AR 144A 2.668% (LIBOR03M + 0.82%, Floor 0.82%) 10/13/27 #● | | | | | | | 1,901,121 | | | | 1,839,823 | |
OCP CLO | | | | | | | | | | | | |
Series2015-9A A1R 144A 2.631% (LIBOR03M + 0.80%) 7/15/27 #● | | | | | | | 1,323,050 | | | | 1,295,477 | |
Series2015-10A A1R 144A 2.614% (LIBOR03M + 0.82%) 10/26/27 #● | | | | | | | 2,630,279 | | | | 2,556,081 | |
Series2017-13A A1A 144A 3.091% (LIBOR03M + 1.26%) 7/15/30 #● | | | | | | | 1,000,000 | | | | 947,541 | |
Octagon Investment Partners XIX | | | | | | | | | | | | |
Series2014-1A AR 144A 2.931% (LIBOR03M + 1.10%) 4/15/26 #● | | | | | | | 162,299 | | | | 161,396 | |
OFSI Fund VII | | | | | | | | | | | | |
Series2014-7A AR 144A 2.719% (LIBOR03M + 0.90%) 10/18/26 #● | | | | | | | 545,818 | | | | 540,961 | |
Sounds Point CLOIV-R | | | | | | | | | | | | |
Series2013-3RA A 144A 2.969% (LIBOR03M + 1.15%, Floor 1.15%) 4/18/31 #● | | | | | | | 1,000,000 | | | | 933,625 | |
TICP CLO I | | | | | | | | | | | | |
Series2015-1A AR 144A 2.619% (LIBOR03M + 0.80%) 7/20/27 #● | | | | | | | 1,172,044 | | | | 1,138,123 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | | | | | |
| | | | | | Principal
amount° | | | Value
(US $) | |
| |
Collateralized Debt Obligations (continued) | |
| |
Venture 33 CLO | | | | | | | | | | | | |
Series2018-33A A1L 144A 2.971% (LIBOR03M + 1.14%, Floor 1.14%) 7/15/31 #● | | | | 1,250,000 | | | $ | 1,169,536 | |
Venture 34 CLO | | | | | | | | | | | | |
Series2018-34A A 144A 3.061% (LIBOR03M + 1.23%, Floor 1.23%) 10/15/31 #● | | | | | | | 2,500,000 | | | | 2,335,407 | |
Venture XVI CLO | | | | | | | | | | | | |
Series2014-16A ARR 144A 2.681% (LIBOR03M + 0.85%, Floor 0.85%) 1/15/28 #● | | | | | | | 1,200,000 | | | | 1,162,655 | |
Venture XVII CLO | | | | | | | | | | | | |
Series2014-17A ARR 144A 2.711% (LIBOR03M + 0.88%) 4/15/27 #● | | | | | | | 400,000 | | | | 386,811 | |
Venture XX CLO | | | | | | | | | | | | |
Series2015-20A AR 144A 2.651% (LIBOR03M + 0.82%) 4/15/27 #● | | | | | | | 1,558,165 | | | | 1,519,671 | |
Voya CLO | | | | | | | | | | | | |
Series2014-3A A1R 144A 2.514% (LIBOR03M + 0.72%) 7/25/26 #● | | | | | | | 455,557 | | | | 447,281 | |
WhiteHorse IX | | | | | | | | | | | | |
Series2014-9A AR 144A 2.996% (LIBOR03M + 1.16%) 7/17/26 #● | | | | | | | 144,777 | | | | 142,935 | |
Z Capital Credit Partners CLO | | | | | | | | | | | | |
Series2015-1A A1R 144A 2.793% (LIBOR03M + 0.95%, Floor 0.95%) 7/16/27 #● | | | | | | | 2,600,000 | | | | 2,528,690 | |
| | | | | | | | | | | | |
Total Collateralized Debt Obligations
(cost $55,985,812) | | | | | | | | 53,414,947 | |
| | | | | | | | | | | | |
|
| |
Corporate Bonds – 36.29% | |
| |
Banking – 11.76% | | | | | | | | | | | | |
Akbank T.A.S. 144A | | | | | | | | | | | | |
7.20% 3/16/27 #µ | | | | | | | 560,000 | | | | 477,863 | |
Banco Bilbao Vizcaya Argentaria | | | | | | | | | | | | |
5.875%µy | | | EUR | | | | 400,000 | | | | 375,958 | |
8.875%µy | | | EUR | | | | 1,200,000 | | | | 1,296,395 | |
Banco de Credito del Peru 144A 2.70% 1/11/25 # | | | | | | | 605,000 | | | | 555,844 | |
Banco del Estado de Chile 144A 2.704% 1/9/25 # | | | | | | | 200,000 | | | | 187,052 | |
| | | | | | | | | | | | |
| | | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | | | | | | | | | |
| |
Banking (continued) | | | | | | | | | | | | |
Banco General 144A
4.125% 8/7/27 # | | | | | | | 865,000 | | | $ | 803,198 | |
Banco Internacional del Peru 144A
3.375% 1/18/23 # | | | | | | | 505,000 | | | | 481,641 | |
Banco Mercantil del Norte 144A
6.75%#µy | | | | | | | 315,000 | | | | 241,928 | |
Banco Santander
6.25%µy | | | EUR | | | | 1,300,000 | | | | 1,294,948 | |
Banco Santander Mexico 144A
5.95% 10/1/28 #µ | | | | | | | 480,000 | | | | 447,100 | |
Bancolombia | | | | | | | | | | | | |
3.00% 1/29/25 | | | | | | | 750,000 | | | | 674,820 | |
4.625% 12/18/29 µ | | | | | | | 540,000 | | | | 476,550 | |
Bangkok Bank 144A
3.733% 9/25/34 #µ | | | | | | | 550,000 | | | | 491,548 | |
Bank LeumiLe-Israel 144A
3.275% 1/29/31 #µ | | | | | | | 470,000 | | | | 430,050 | |
Bank of America | | | | | | | | | | | | |
1.866% (LIBOR03M + 0.65%) 6/25/22● | | | | | | | 1,800,000 | | | | 1,758,720 | |
2.479% (LIBOR03M + | | | | | | | | | | | | |
0.66%) 7/21/21● | | | | | | | 900,000 | | | | 894,896 | |
2.496% 2/13/31 µ | | | | | | | 4,945,000 | | | | 4,762,833 | |
2.625% 4/19/21 | | | | | | | 1,000,000 | | | | 1,006,834 | |
3.004% 12/20/23 µ | | | | | | | 1,896,000 | | | | 1,934,199 | |
3.30% 1/11/23 | | | | | | | 716,000 | | | | 742,582 | |
3.458% 3/15/25 µ | | | | | | | 6,045,000 | | | �� | 6,243,790 | |
3.55% 3/5/24 µ | | | | | | | 2,100,000 | | | | 2,179,879 | |
3.864% 7/23/24 µ | | | | | | | 2,200,000 | | | | 2,311,707 | |
3.974% 2/7/30 µ | | | | | | | 3,400,000 | | | | 3,678,166 | |
4.083% 3/20/51 µ | | | | | | | 1,020,000 | | | | 1,161,017 | |
4.125% 1/22/24 | | | | | | | 200,000 | | | | 213,604 | |
4.30%µy | | | | | | | 900,000 | | | | 775,125 | |
Bank of China 144A
5.00% 11/13/24 # | | | | | | | 710,000 | | | | 752,520 | |
Bank of Georgia 144A
6.00% 7/26/23 # | | | | | | | 890,000 | | | | 926,005 | |
Bank of Ireland
7.375%µy | | | EUR | | | | 300,000 | | | | 319,930 | |
Bank of New York Mellon | | | | | | | | | | | | |
2.562% (LIBOR03M + | | | | | | | | | | | | |
0.87%) 8/17/20● | | | | | | | 300,000 | | | | 300,063 | |
Bank of Nova Scotia
1.875% 4/26/21 | | | | | | | 4,500,000 | | | | 4,503,204 | |
Barclays | | | | | | | | | | | | |
3.072% (LIBOR03M + 1.38%) 5/16/24● | | | | | | | 1,800,000 | | | | 1,586,122 | |
4.61% 2/15/23 µ | | | | | | | 1,200,000 | | | | 1,222,013 | |
4.972% 5/16/29 µ | | | | | | | 3,000,000 | | | | 3,243,047 | |
7.125%µy | | | GBP | | | | 1,800,000 | | | | 1,915,594 | |
8.00%µy | | | | | | | 1,000,000 | | | | 929,305 | |
48
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | |
| |
Banking (continued) | | | | | | | | | | |
Barclays Bank | | | | | | | | | | |
7.625% 11/21/22 | | | | | 1,800,000 | | | $ | 1,842,282 | |
BBVA Bancomer | | | | | | | | | | |
144A 5.125% 1/18/33 #µ | | | 617,000 | | | | 515,550 | |
144A 6.75% 9/30/22 # | | | 351,000 | | | | 350,242 | |
BBVA USA | | | | | | | | | | |
2.875% 6/29/22 | | | | | 1,220,000 | | | | 1,190,755 | |
3.875% 4/10/25 | | | | | 1,145,000 | | | | 1,085,925 | |
BNP Paribas | | | | | | | | | | |
144A 3.052% 1/13/31 #µ | | | 2,600,000 | | | | 2,472,993 | |
144A 4.705% 1/10/25 #µ | | | 1,600,000 | | | | 1,669,774 | |
144A 7.375%#µy | | | | | 700,000 | | | | 668,987 | |
7.375%µy | | | | | 500,000 | | | | 477,847 | |
CIT Group 4.125% 3/9/21 | | | 400,000 | | | | 396,184 | |
Citigroup | | | | | | | | | | |
2.65% 10/26/20 | | | | | 3,200,000 | | | | 3,210,891 | |
3.20% 10/21/26 | | | | | 1,000,000 | | | | 1,038,097 | |
4.044% 6/1/24 µ | | | | | 1,800,000 | | | | 1,903,923 | |
4.05% 7/30/22 | | | | | 150,000 | | | | 152,882 | |
4.075% 4/23/29 µ | | | | | 3,400,000 | | | | 3,613,318 | |
Citizens Bank | | | | | | | | | | |
2.55% 5/13/21 | | | | | 950,000 | | | | 949,249 | |
Cooperatieve Rabobank | | | | | | | | | | |
2.224% (LIBOR03M + 0.43%) 4/26/21● | | | | | 500,000 | | | | 477,671 | |
2.50% 1/19/21 | | | | | 500,000 | | | | 500,486 | |
3.75% 7/21/26 | | | | | 1,350,000 | | | | 1,303,709 | |
4.375% 8/4/25 | | | | | 2,000,000 | | | | 2,052,679 | |
5.50%µy | | EUR | | | 1,800,000 | | | | 1,910,655 | |
Credit Suisse Group | | | | | | | | | | |
144A 2.593% 9/11/25 #µ | | | 1,105,000 | | | | 1,051,706 | |
144A 3.869% 1/12/29 #µ | | | 1,065,000 | | | | 1,080,203 | |
144A 4.194% 4/1/31 #µ | | | 1,545,000 | | | | 1,585,898 | |
144A 4.207% 6/12/24 #µ | | | 410,000 | | | | 403,600 | |
144A 6.25%#µy | | | | | 5,705,000 | | | | 5,297,709 | |
144A 6.375%#µy | | | | | 1,900,000 | | | | 1,669,217 | |
Credit Suisse Group Funding Guernsey | | | | | | | | |
3.125% 12/10/20 | | | | | 250,000 | | | | 249,870 | |
3.80% 9/15/22 | | | | | 3,350,000 | | | | 3,410,274 | |
3.80% 6/9/23 | | | | | 2,300,000 | | | | 2,355,487 | |
DBS Group Holdings 144A
4.52% 12/11/28 #µ | | | 530,000 | | | | 551,682 | |
Deutsche Bank | | | | | | | | | | |
2.70% 7/13/20 | | | | | 500,000 | | | | 490,213 | |
2.818% (LIBOR03M + 0.97%) 7/13/20● | | | | | 100,000 | | | | 98,549 | |
3.961% 11/26/25 µ | | | | | 5,700,000 | | | | 5,281,049 | |
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | |
| |
Banking (continued) | | | | | | | | | | |
Deutsche Bank | | | | | | | | | | |
4.25% 10/14/21 | | | | | 2,000,000 | | | $ | 1,904,008 | |
5.00% 2/14/22 | | | | | 3,100,000 | | | | 3,059,514 | |
Development Bank of Mongolia 144A
7.25% 10/23/23 # | | | | | 495,000 | | | | 428,158 | |
Fifth Third Bancorp | | | | | | | | | | |
3.65% 1/25/24 | | | | | 790,000 | | | | 823,095 | |
3.95% 3/14/28 | | | | | 2,320,000 | | | | 2,444,842 | |
Fifth Third Bank
3.85% 3/15/26 | | | | | 835,000 | | | | 881,791 | |
Goldman Sachs Group
1.941% (LIBOR03M + 1.20%) 9/15/20● | | | | | 1,700,000 | | | | 1,698,910 | |
2.60% 2/7/30 | | | | | 955,000 | | | | 900,745 | |
2.862% (LIBOR03M + 1.17%) 11/15/21● | | | | | 1,700,000 | | | | 1,666,446 | |
2.876% 10/31/22 µ | | | | | 300,000 | | | | 301,785 | |
2.908% 6/5/23 µ | | | | | 600,000 | | | | 602,144 | |
3.154% (LIBOR03M + 1.36%) 4/23/21● | | | | | 1,300,000 | | | | 1,292,237 | |
3.20% 2/23/23 | | | | | 2,200,000 | | | | 2,247,934 | |
3.50% 4/1/25 | | | | | 550,000 | | | | 558,725 | |
4.223% 5/1/29 µ | | | | | 4,700,000 | | | | 5,028,695 | |
6.00% 6/15/20 | | | | | 2,440,000 | | | | 2,454,780 | |
Grupo Aval 144A
4.375% 2/4/30 # | | | | | 745,000 | | | | 600,656 | |
HSBC Bank 144A
4.125% 8/12/20 # | | | | | 500,000 | | | | 501,484 | |
HSBC Holdings
2.65% 1/5/22 | | | | | 200,000 | | | | 199,854 | |
2.692% (LIBOR03M + 1.00%) 5/18/24● | | | | | 1,000,000 | | | | 933,183 | |
3.40% 3/8/21 | | | | | 400,000 | | | | 402,329 | |
4.30% 3/8/26 | | | | | 200,000 | | | | 213,950 | |
ICICI Bank 144A
4.00% 3/18/26 # | | | | | 535,000 | | | | 517,523 | |
Intesa Sanpaolo 144A
4.00% 9/23/29 # | | | | | 1,300,000 | | | | 1,188,214 | |
7.00%µy | | EUR | | | 300,000 | | | | 293,440 | |
7.75%µy | | EUR | | | 200,000 | | | | 204,511 | |
Itau Unibanco Holding
144A 3.25% 1/24/25 # | | | | | 620,000 | | | | 581,064 | |
JPMorgan Chase & Co.
2.099% (LIBOR03M + 1.10%) 6/7/21● | | | | | 2,900,000 | | | | 2,889,097 | |
2.694% (LIBOR03M + 0.90%) 4/25/23● | | | | | 1,000,000 | | | | 964,950 | |
3.22% 3/1/25 µ | | | | | 500,000 | | | | 519,078 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | |
| |
Banking (continued) | | | | | | | | | | |
JPMorgan Chase & Co. | | | | | | | | | | |
3.797% 7/23/24 µ | | | | | 900,000 | | | $ | 943,263 | |
4.005% 4/23/29 µ | | | | | 900,000 | | | | 969,195 | |
4.023% 12/5/24 µ | | | | | 4,730,000 | | | | 5,019,065 | |
4.60%µy | | | | | 1,185,000 | | | | 1,038,593 | |
5.00%µy | | | | | 2,670,000 | | | | 2,504,981 | |
JPMorgan Chase Bank
2.134% (LIBOR03M + 0.34%) 4/26/21● | | | | | 3,000,000 | | | | 2,923,895 | |
Lloyds Bank | | | | | | | | | | |
2.25% 8/14/22 | | | | | 8,400,000 | | | | 8,378,974 | |
2.70% 8/17/20 | | | | | 1,500,000 | | | | 1,481,812 | |
Lloyds Banking Group | | | | | | | | | | |
2.438% 2/5/26 µ | | | | | 500,000 | | | | 473,179 | |
2.858% 3/17/23 µ | | | | | 2,900,000 | | | | 2,861,654 | |
Mitsubishi UFJ Financial Group | | | | | | | | | | |
1.833% (LIBOR03M + 1.06%) 9/13/21● | | | | | 1,354,000 | | | | 1,333,827 | |
2.19% 9/13/21 | | | | | 1,297,000 | | | | 1,280,357 | |
2.193% 2/25/25 | | | | | 1,700,000 | | | | 1,686,723 | |
2.559% 2/25/30 | | | | | 1,800,000 | | | | 1,736,724 | |
3.218% 3/7/22 | | | | | 500,000 | | | | 507,309 | |
3.535% 7/26/21 | | | | | 2,500,000 | | | | 2,537,057 | |
Mitsubishi UFJ Trust &
Banking 144A
2.65% 10/19/20 # | | | | | 500,000 | | | | 500,061 | |
Mizuho Financial Group | | | | | | | | | | |
1.913% (LIBOR03M + 1.14%) 9/13/21● | | | | | 1,900,000 | | | | 1,845,454 | |
2.226% 5/25/26 µ | | | | | 1,600,000 | | | | 1,571,483 | |
2.591% 5/25/31 µ | | | | | 2,000,000 | | | | 1,905,177 | |
Morgan Stanley
2.50% 4/21/21 | | | | | 3,500,000 | | | | 3,498,618 | |
2.954% (LIBOR03M + 1.22%) 5/8/24● | | | | | 2,010,000 | | | | 1,928,336 | |
3.125% 1/23/23 | | | | | 400,000 | | | | 409,653 | |
3.622% 4/1/31 µ | | | | | 930,000 | | | | 969,917 | |
3.625% 1/20/27 | | | | | 4,000,000 | | | | 4,238,418 | |
3.737% 4/24/24 µ | | | | | 2,000,000 | | | | 2,062,209 | |
5.00% 11/24/25 | | | | | 3,125,000 | | | | 3,460,347 | |
Nationwide Building Society | | | | | | | | | | |
144A 3.766%
3/8/24 #µ | | | | | 800,000 | | | | 777,609 | |
144A 4.302%
3/8/29 #µ | | | | | 5,200,000 | | | | 5,504,623 | |
PNC Bank | | | | | | | | | | |
2.70% 11/1/22 | | | | | 250,000 | | | | 253,489 | |
4.05% 7/26/28 | | | | | 2,400,000 | | | | 2,610,715 | |
PNC Financial Services Group | | | | | | | | | | |
2.60% 7/23/26 | | | | | 2,845,000 | | | | 2,879,958 | |
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | | | | | | | | |
| |
Banking (continued) | | | | | | | | | | |
Popular 6.125% 9/14/23 | | | | | 440,000 | | | $ | 410,848 | |
Royal Bank of Canada
2.30% 3/22/21 | | | | | 2,300,000 | | | | 2,302,307 | |
Royal Bank of Scotland Group | | | | | | | | | | |
3.162% (LIBOR03M + 1.47%) 5/15/23● | | | | | 1,000,000 | | | | 950,151 | |
3.498% 5/15/23 µ | | | | | 500,000 | | | | 494,096 | |
4.80% 4/5/26 | | | | | 5,000,000 | | | | 4,980,044 | |
7.50%µy | | | | | 1,800,000 | | | | 1,659,969 | |
8.625%µy | | | | | 5,900,000 | | | | 5,783,917 | |
Santander UK | | | | | | | | | | |
3.40% 6/1/21 | | | | | 500,000 | | | | 501,017 | |
3.75% 11/15/21 | | | | | 200,000 | | | | 194,799 | |
Santander UK Group Holdings | | | | | | | | |
3.823% 11/3/28 µ | | | | | 3,200,000 | | | | 3,378,523 | |
7.375%µy | | GBP | | | 2,200,000 | | | | 2,258,806 | |
Shinhan Financial Group 144A 3.34% 2/5/30 #µ | | | | | 410,000 | | | | 425,352 | |
Societe Generale 144A
4.25% 4/14/25 # | | | | | 3,600,000 | | | | 3,523,847 | |
State Bank of India 2.85%
(LIBOR03M + 0.95%)
4/6/20● | | | 900,000 | | | | 899,897 | |
Sumitomo Mitsui Financial Group
2.679% (LIBOR03M + 1.68%) 3/9/21● | | | 2,300,000 | | | | 2,275,543 | |
Toronto-Dominion Bank
2.874% (LIBOR03M + 1.00%) 4/7/21● | | | | | 950,000 | | | | 944,339 | |
Truist Bank | | | | | | | | | | |
2.25% 3/11/30 | | | | | 2,095,000 | | | | 1,923,430 | |
2.636% 9/17/29 µ | | | | | 5,182,000 | | | | 4,970,263 | |
Turkiye Garanti Bankasi | | | | | | | | | | |
144A 5.25% 9/13/22 # | | | 270,000 | | | | 252,617 | |
144A 5.875% 3/16/23 # | | | 270,000 | | | | 251,549 | |
UBS | | | | | | | | | | |
144A 1.579% (LIBOR03M
+ 0.58%) 6/8/20 #● | | | 2,800,000 | | | | 2,791,284 | |
5.125% 5/15/24 | | | | | 200,000 | | | | 202,000 | |
7.625% 8/17/22 | | | | | 500,000 | | | | 515,245 | |
UBS Group | | | | | | | | | | |
144A 3.00% 4/15/21 # | | | 2,400,000 | | | | 2,405,363 | |
144A 3.126% 8/13/30 #µ | | | 2,000,000 | | | | 1,955,226 | |
144A 3.618% (LIBOR03M + 1.78%) 4/14/21 #● | | | 400,000 | | | | 391,783 | |
144A 4.125% 9/24/25 # | | | 2,940,000 | | | | 3,060,422 | |
6.875%µy | | | | | 2,445,000 | | | | 2,396,100 | |
7.125%µy | | | | | 540,000 | | | | 529,750 | |
50
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | |
| |
Banking (continued) | | | | | | | | | | |
UniCredit | | | | | | | | | | |
144A 5.738% (LIBOR03M + 3.90%) 1/14/22 #● | | | | | 2,200,000 | | | $ | 2,070,398 | |
7.50%µy | | EUR | | | 600,000 | | | | 604,419 | |
144A 7.83% 12/4/23 # | | | | | 2,900,000 | | | | 3,100,785 | |
9.25%µy | | EUR | | | 200,000 | | | | 208,632 | |
US Bancorp | | | | | | | | | | |
3.00% 7/30/29 | | | | | 1,200,000 | | | | 1,199,737 | |
3.375% 2/5/24 | | | | | 2,915,000 | | | | 3,101,731 | |
3.60% 9/11/24 | | | | | 1,275,000 | | | | 1,311,327 | |
3.95% 11/17/25 | | | | | 2,820,000 | | | | 3,066,401 | |
US Bank
3.40% 7/24/23 | | | | | 815,000 | | | | 858,857 | |
USB Capital IX
3.50% (LIBOR03M + 1.02%)y● | | | | | 525,000 | | | | 392,041 | |
Virgin Money UK | | | | | | | | | | |
3.375% 4/24/26 µ | | GBP | | | 100,000 | | | | 114,292 | |
4.00% 9/25/26 µ | | GBP | | | 800,000 | | | | 929,146 | |
4.00% 9/3/27 µ | | GBP | | | 100,000 | | | | 115,557 | |
Wells Fargo & Co. | | | | | | | | | | |
2.55% 12/7/20 | | | | | 2,800,000 | | | | 2,808,044 | |
2.661% (LIBOR03M + 0.93%) 2/11/22● | | | | | 1,300,000 | | | | 1,275,330 | |
3.196% 6/17/27 µ | | | | | 900,000 | | | | 928,559 | |
3.584% 5/22/28 µ | | | | | 5,300,000 | | | | 5,560,344 | |
Wells Fargo Bank
3.325% 7/23/21 µ | | | | | 2,250,000 | | | | 2,254,097 | |
Woori Bank 144A
4.75% 4/30/24 # | | | | | 800,000 | | | | 852,277 | |
| | | | | | | | | | |
| | | | | | | | | 292,681,884 | |
| | | | | | | | | | |
Basic Industry – 1.36% | | | | | | | | | | |
BHP Billiton Finance USA
144A 6.25% 10/19/75 #µ | | | | | 2,595,000 | | | | 2,551,132 | |
Braskem Netherlands Finance
4.50% 1/10/28 | | | 800,000 | | | | 646,242 | |
Chemours
7.00% 5/15/25 | | | | | 1,517,000 | | | | 1,272,391 | |
CK Hutchison International 17
144A 2.875% 4/5/22 # | | | 405,000 | | | | 405,636 | |
Corp Nacional del Cobre de Chile | | | | | | | | | | |
144A 3.15% 1/14/30 # | | | | | 246,000 | | | | 229,320 | |
144A 4.25% 7/17/42 # | | | | | 200,000 | | | | 192,503 | |
CSN Resources 144A | | | | | | | | | | |
7.625% 2/13/23 # | | | | | 390,000 | | | | 273,489 | |
Cydsa 144A
6.25% 10/4/27 # | | | | | 545,000 | | | | 407,956 | |
Equate Petrochemical 144A
3.00% 3/3/22 # | | | | | 625,000 | | | | 602,810 | |
First Quantum Minerals 144A
7.50% 4/1/25 # | | | 310,000 | | | | 259,918 | |
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | |
| |
Basic Industry (continued) | | | | | | | | | | |
Freeport-McMoRan | | | | | | | | | | |
4.125% 3/1/28 | | | | | 1,220,000 | | | $ | 1,072,551 | |
4.25% 3/1/30 | | | | | 1,221,000 | | | | 1,065,384 | |
5.45% 3/15/43 | | | | | 530,000 | | | | 478,484 | |
Georgia-Pacific
8.00% 1/15/24 | | | | | 2,242,000 | | | | 2,723,162 | |
Gold Fields Orogen Holdings BVI 144A
6.125% 5/15/29 # | | | | | 715,000 | | | | 679,643 | |
GUSAP III 144A
4.25% 1/21/30 # | | | | | 2,120,000 | | | | 1,878,871 | |
Hudbay Minerals 144A
7.625% 1/15/25 # | | | | | 170,000 | | | | 148,963 | |
Huntsman International
5.125% 11/15/22 | | | | | 1,000,000 | | | | 1,026,843 | |
INEOS Styrolution Group 144A
2.25% 1/16/27 # | | EUR | | | 500,000 | | | | 425,912 | |
Inversiones 144A
3.85% 1/13/30 # | | | | | 480,000 | | | | 434,520 | |
Israel Chemicals
6.375% 5/31/38 | | | | | 350,000 | | | | 437,013 | |
Joseph T Ryerson & Son 144A
11.00% 5/15/22 # | | | | | 160,000 | | | | 149,997 | |
Methanex
5.25% 12/15/29 | | | | | 3,155,000 | | | | 2,377,199 | |
Metinvest 144A
7.75% 4/23/23 # | | | | | 200,000 | | | | 144,000 | |
Minera Mexico 144A
4.50% 1/26/50 # | | | | | 770,000 | | | | 654,735 | |
Newmont | | | | | | | | | | |
2.25% 10/1/30 | | | | | 2,110,000 | | | | 1,956,591 | |
2.80% 10/1/29 | | | | | 3,850,000 | | | | 3,691,036 | |
Novolipetsk Steel Via Steel Funding DAC 144A
4.00% 9/21/24 # | | | | | 715,000 | | | | 711,686 | |
OCP | | | | | | | | | | |
144A 4.50% 10/22/25 # | | | | | 384,000 | | | | 364,350 | |
144A 6.875% 4/25/44 # | | | | | 210,000 | | | | 230,475 | |
Olin | | | | | | | | | | |
5.00% 2/1/30 | | | | | 1,840,000 | | | | 1,590,588 | |
5.625% 8/1/29 | | | | | 705,000 | | | | 652,689 | |
Orbia Advance 144A
5.50% 1/15/48 # | | | | | 200,000 | | | | 175,463 | |
Petkim Petrokimya Holding 144A
5.875% 1/26/23 # | | | | | 475,000 | | | | 396,397 | |
Sasol Financing USA | | | | | | | | | | |
5.875% 3/27/24 | | | | | 2,450,000 | | | | 1,030,131 | |
6.50% 9/27/28 | | | | | 250,000 | | | | 102,716 | |
Sociedad Quimica y Minera de Chile 144A
3.625% 4/3/23 # | | | | | 495,000 | | | | 474,579 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | |
| |
Basic Industry (continued) | | | | | | | | | | |
Steel Dynamics
5.50% 10/1/24 | | | | | 510,000 | | | $ | 495,745 | |
Syngenta Finance | | | | | | | | | | |
144A 3.933% 4/23/21 # | | | | | 825,000 | | | | 777,654 | |
144A 4.441% 4/24/23 # | | | | | 470,000 | | | | 443,283 | |
Vedanta Resources Finance II 144A
9.25% 4/23/26 # | | | | | 510,000 | | | | 216,750 | |
| | | | | | | | | | |
| | | | | | | | | 33,848,807 | |
| | | | | | | | | | |
Brokerage – 0.07% | | | | | | | | | | |
Jefferies Group 4.15% 1/23/30 | | | | | 780,000 | | | | 748,538 | |
6.45% 6/8/27 | | | | | 331,000 | | | | 338,976 | |
6.50% 1/20/43 | | | | | 880,000 | | | | 732,827 | |
| | | | | | | | | | |
| | | | | | | | | 1,820,341 | |
| | | | | | | | | | |
Capital Goods – 1.45% | | | | | | | | | | |
Aeropuertos Argentina 2000 144A
6.875% 2/1/27 # | | | | | 673,750 | | | | 392,685 | |
Ardagh Packaging Finance 144A
6.00% 2/15/25 # | | | | | 205,000 | | | | 207,111 | |
Bioceanico Sovereign Certificate 144A
2.884% 6/5/34 #^ | | | | | 590,000 | | | | 336,300 | |
BMC East 144A
5.50% 10/1/24 # | | | | | 250,000 | | | | 243,436 | |
Boise Cascade 144A
5.625% 9/1/24 # | | | | | 137,000 | | | | 131,006 | |
Bombardier 144A
6.00% 10/15/22 # | | | | | 310,000 | | | | 234,825 | |
Carrier Global | | | | | | | | | | |
144A 2.242% 2/15/25 # | | | | | 645,000 | | | | 632,053 | |
144A 2.493% 2/15/27 # | | | | | 745,000 | | | | 714,564 | |
144A 2.722% 2/15/30 # | | | | | 462,000 | | | | 427,804 | |
Cemex 144A
5.45% 11/19/29 # | | | | | 475,000 | | | | 387,244 | |
Covanta Holding
5.875% 7/1/25 | | | | | 230,000 | | | | 213,611 | |
EnPro Industries
5.75% 10/15/26 | | | | | 105,000 | | | | 103,085 | |
General Dynamics | | | | | | | | | | |
3.25% 4/1/25 | | | | | 1,475,000 | | | | 1,554,940 | |
4.25% 4/1/40 | | | | | 1,530,000 | | | | 1,828,734 | |
4.25% 4/1/50 | | | | | 885,000 | | | | 1,101,974 | |
General Electric
4.65% 10/17/21 | | | | | 89,000 | | | | 90,805 | |
Grupo Cementos de | | | | | | | | | | |
Chihuahua 144A
5.25% 6/23/24 # | | | | | 530,000 | | | | 492,235 | |
Heathrow Funding 144A
4.875% 7/15/21 # | | | | | 200,000 | | | | 211,315 | |
| | | | | | | | | | |
| | | | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | | | | | | | | |
| |
Capital Goods (continued) | | | | | |
IHS Netherlands Holdco 144A
7.125% 3/18/25 # | | | 565,000 | | | $ | 500,025 | |
Klabin Austria 144A
7.00% 4/3/49 # | | | | | 460,000 | | | | 425,040 | |
L3Harris Technologies
2.25% (LIBOR03M + 0.48%) 4/30/20● | | | | | 3,100,000 | | | | 3,095,731 | |
2.90% 12/15/29 | | | | | 2,310,000 | | | | 2,196,343 | |
144A 3.85% 6/15/23 # | | | 725,000 | | | | 755,228 | |
Masco 5.95% 3/15/22 | | | | | 304,000 | | | | 309,742 | |
Mauser Packaging Solutions Holding 144A
5.50% 4/15/24 # | | | 460,000 | | | | 426,636 | |
Otis Worldwide | | | | | | | | | | |
144A 2.056% 4/5/25 # | | | 835,000 | | | | 819,125 | |
144A 2.565% 2/15/30 # | | | 2,190,000 | | | | 2,134,872 | |
144A 3.112% 2/15/40 # | | | 860,000 | | | | 824,158 | |
144A 3.362% 2/15/50 # | | | 515,000 | | | | 507,837 | |
Roper Technologies | | | | | | | | | | |
2.35% 9/15/24 | | | | | 715,000 | | | | 696,450 | |
2.95% 9/15/29 | | | | | 2,650,000 | | | | 2,649,382 | |
Rutas 2 and 7 Finance 144A
3.241% 9/30/36 #^ | | | 610,000 | | | | 360,086 | |
Standard Industries | | | | | | | | | | |
144A 5.00% 2/15/27 # | | | 520,000 | | | | 476,823 | |
144A 6.00% 10/15/25 # | | | 145,000 | | | | 143,589 | |
Textron 2.284% (LIBOR03M
+ 0.55%) 11/10/20● | | | 2,900,000 | | | | 2,900,149 | |
TransDigm 144A | | | | | | | | | | |
6.25% 3/15/26 # | | | | | 1,883,000 | | | | 1,884,171 | |
Waste Management | | | | | | | | | | |
2.95% 6/15/24 | | | | | 1,205,000 | | | | 1,227,617 | |
3.45% 6/15/29 | | | | | 3,846,000 | | | | 4,125,238 | |
4.15% 7/15/49 | | | | | 224,000 | | | | 258,735 | |
| | | | | | | | | | |
| | | | | | | | | 36,020,704 | |
| | | | | | | | | | |
Communications – 4.21% | | | | | |
Altice Financing 144A
5.00% 1/15/28 # | | | | | 865,000 | | | | 772,013 | |
Altice France 144A
2.125% 2/15/25 # | | EUR | | | 1,900,000 | | | | 1,925,000 | |
Amazon.com
3.15% 8/22/27 | | | 1,700,000 | | | | 1,866,183 | |
AMC Networks
4.75% 8/1/25 | | | | | 382,000 | | | | 373,884 | |
AT&T 1.964% (LIBOR03M +
1.18%) 6/12/24● | | | | | 6,100,000 | | | | 5,668,761 | |
52
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | |
| |
Communications (continued) | | | | | | | | |
AT&T | | | | | | | | |
2.33% (LIBOR03M +
0.75%) 6/1/21● | | | 2,200,000 | | | $ | 2,136,556 | |
2.781% (LIBOR03M + 0.95%) 7/15/21● | | | 500,000 | | | | 491,458 | |
3.20% 3/1/22 | | | 100,000 | | | | 101,524 | |
3.80% 3/1/24 | | | 100,000 | | | | 105,355 | |
4.10% 2/15/28 | | | 2,276,000 | | | | 2,395,771 | |
4.35% 3/1/29 | | | 1,810,000 | | | | 1,950,400 | |
4.50% 3/9/48 | | | 1,655,000 | | | | 1,804,851 | |
4.90% 8/15/37 | | | 1,825,000 | | | | 2,055,459 | |
Baidu 3.875% 9/29/23 | | | 565,000 | | | | 586,710 | |
British Telecommunications
144A 3.25% 11/8/29 # | | | 1,700,000 | | | | 1,667,586 | |
C&W Senior Financing 144A
7.50% 10/15/26 # | | | 260,000 | | | | 239,988 | |
Cablevision Systems
5.875% 9/15/22 | | | 564,000 | | | | 572,652 | |
CCO Holdings | | | | | | | | |
144A 4.50% 8/15/30 # | | | 500,000 | | | | 492,813 | |
144A 5.00% 2/1/28 # | | | 900,000 | | | | 908,604 | |
Charter Communications Operating | | | | | | | | |
3.579% 7/23/20 | | | 500,000 | | | | 498,476 | |
4.464% 7/23/22 | | | 4,330,000 | | | | 4,477,948 | |
4.80% 3/1/50 | | | 835,000 | | | | 874,191 | |
4.908% 7/23/25 | | | 430,000 | | | | 464,064 | |
5.05% 3/30/29 | | | 7,005,000 | | | | 7,620,560 | |
Clear Channel Worldwide Holdings 144A
9.25% 2/15/24 # | | | 1,675,000 | | | | 1,450,977 | |
Comcast | | | | | | | | |
3.20% 7/15/36 | | | 1,730,000 | | | | 1,833,185 | |
3.70% 4/15/24 | | | 2,970,000 | | | | 3,193,611 | |
Connect Finco 144A
6.75% 10/1/26 # | | | 1,740,000 | | | | 1,444,200 | |
CSC Holdings | | | | | | | | |
6.75% 11/15/21 | | | 400,000 | | | | 414,700 | |
144A 7.75% 7/15/25 # | | | 420,000 | | | | 439,937 | |
Digicel Group One 144A
8.25% 12/30/22 # | | | 344,000 | | | | 170,280 | |
Discovery Communications | | | | | | | | |
4.125% 5/15/29 | | | 5,735,000 | | | | 5,570,770 | |
5.20% 9/20/47 | | | 4,180,000 | | | | 4,290,973 | |
DISH DBS 5.125% 5/1/20 | | | 200,000 | | | | 199,161 | |
Fox 144A 3.666% 1/25/22 # | | | 900,000 | | | | 919,871 | |
Front Range BidCo 144A
6.125% 3/1/28 # | | | 725,000 | | | | 692,828 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Corporate Bonds (continued) | | | | | | | | |
| |
Communications (continued) | | | | | | | | |
Frontier Communications
144A 8.00% 4/1/27 # | | | 1,058,000 | | | $ | 1,049,356 | |
Gray Television 144A
5.875% 7/15/26 # | | | 380,000 | | | | 367,973 | |
GTP Acquisition Partners I
144A 2.35% 6/15/20 # | | | 530,000 | | | | 536,141 | |
Millicom International Cellular
144A 6.25% 3/25/29 # | | | 545,000 | | | | 490,800 | |
Ooredoo International
Finance 144A
5.00% 10/19/25 # | | | 270,000 | | | | 285,644 | |
Sable International Finance
144A 5.75% 9/7/27 # | | | 245,000 | | | | 222,593 | |
Sirius XM Radio 144A
4.625% 7/15/24 # | | | 1,591,000 | | | | 1,624,705 | |
Sprint | | | | | | | | |
7.25% 9/15/21 | | | 300,000 | | | | 310,848 | |
144A 7.25% 2/1/28 # | | | 400,000 | | | | 403,500 | |
7.625% 3/1/26 | | | 200,000 | | | | 227,470 | |
Sprint Communications
7.00% 8/15/20 | | | 200,000 | | | | 201,950 | |
Sprint Spectrum 144A
4.738% 3/20/25 # | | | 1,465,000 | | | | 1,507,111 | |
Telefonica Celular del Paraguay 144A 5.875% 4/15/27 # | | | 395,000 | | | | 359,631 | |
Tencent Holdings
144A 2.758% (LIBOR03M +
0.91%) 4/11/24 #● | | | 200,000 | | | | 196,020 | |
144A 3.28% 4/11/24 # | | | 645,000 | | | | 669,882 | |
Terrier Media Buyer 144A
8.875% 12/15/27 # | | | 1,100,000 | | | | 932,250 | |
Time Warner Cable
7.30% 7/1/38 | | | 2,120,000 | | | | 2,611,221 | |
Time Warner Entertainment
8.375% 3/15/23 | | | 1,415,000 | | | | 1,555,370 | |
T-Mobile USA
6.50% 1/15/26 | | | 540,000 | | | | 569,997 | |
T-Mobile USA Escrow† | | | 810,000 | | | | 0 | |
Turk Telekomunikasyon 144A
6.875% 2/28/25 # | | | 700,000 | | | | 663,040 | |
VEON Holdings 144A
4.00% 4/9/25 # | | | 363,000 | | | | 346,211 | |
Verizon Communications 2.792% (LIBOR03M +
1.10%) 5/15/25● | | | 3,200,000 | | | | 2,918,743 | |
3.15% 3/22/30 | | | 480,000 | | | | 517,267 | |
4.00% 3/22/50 | | | 330,000 | | | | 393,446 | |
4.016% 12/3/29 | | | 1,600,000 | | | | 1,814,664 | |
4.125% 3/16/27 | | | 1,500,000 | | | | 1,672,731 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Communications (continued) | |
Verizon Communications | | | | | | | | |
4.329% 9/21/28 | | | 3,427,000 | | | $ | 3,957,816 | |
4.50% 8/10/33 | | | 6,325,000 | | | | 7,629,632 | |
ViacomCBS | | | | | | | | |
4.375% 3/15/43 | | | 2,945,000 | | | | 2,625,505 | |
4.95% 1/15/31 | | | 805,000 | | | | 798,499 | |
Vodafone Group | | | | | | | | |
4.25% 9/17/50 | | | 1,070,000 | | | | 1,103,778 | |
4.875% 6/19/49 | | | 4,385,000 | | | | 4,903,596 | |
Ziggo Bond | | | | | | | | |
144A 3.375% 2/28/30 # | | EUR | 500,000 | | | | 496,837 | |
144A 5.125% 2/28/30 # | | | 300,000 | | | | 295,687 | |
| | | | | | | | |
| | | | | | | 104,931,214 | |
| | | | | | | | |
Consumer Cyclical – 2.02% | |
Allison Transmission
144A 5.875% 6/1/29 # | | | 175,000 | | | | 172,719 | |
Aramark Services
144A 5.00% 2/1/28 # | | | 1,200,000 | | | | 1,123,404 | |
BMW US Capital
144A 3.40% 8/13/21 # | | | 300,000 | | | | 299,688 | |
Boyd Gaming
144A 4.75% 12/1/27 # | | | 505,000 | | | | 419,428 | |
Daimler Finance North America | | | | | | | | |
144A 2.00% 7/6/21 # | | | 400,000 | | | | 385,842 | |
144A 2.143% (LIBOR03M +
0.43%) 2/12/21 #● | | | 1,400,000 | | | | 1,349,940 | |
144A 2.20% 10/30/21 # | | | 200,000 | | | | 191,927 | |
144A 2.592% (LIBOR03M +
0.90%) 2/15/22 #● | | | 1,100,000 | | | | 1,019,836 | |
144A 2.875% 3/10/21 # | | | 150,000 | | | | 148,512 | |
144A 3.40% 2/22/22 # | | | 500,000 | | | | 486,309 | |
144A 3.75% 11/5/21 # | | | 300,000 | | | | 297,623 | |
El Puerto de Liverpool | | | | | | | | |
144A 3.875% 10/6/26 # | | | 250,000 | | | | 214,951 | |
144A 3.95% 10/2/24 # | | | 295,000 | | | | 289,323 | |
Ford Motor Credit | | | | | | | | |
2.134% (LIBOR03M +
0.93%) 9/24/20● | | | 1,900,000 | | | | 1,805,147 | |
2.645% (LIBOR03M +
1.27%) 3/28/22● | | | 400,000 | | | | 325,204 | |
3.087% 1/9/23 | | | 1,175,000 | | | | 1,063,375 | |
3.20% 1/15/21 | | | 4,200,000 | | | | 4,079,250 | |
3.55% 10/7/22 | | | 1,500,000 | | | | 1,406,250 | |
4.424% (LIBOR03M + 2.55%) 1/7/21● | | | 1,900,000 | | | | 1,805,299 | |
5.75% 2/1/21 | | | 700,000 | | | | 682,500 | |
Future Retail
144A 5.60% 1/22/25 # | | | 565,000 | | | | 284,786 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Consumer Cyclical (continued) | |
General Motors
5.00% 10/1/28 | | | 939,000 | | | $ | 824,989 | |
General Motors Financial | | | | | | | | |
2.728% (LIBOR03M +
0.85%) 4/9/21● | | | 500,000 | | | | 450,181 | |
5.25% 3/1/26 | | | 1,276,000 | | | | 1,128,476 | |
Harley-Davidson Financial Services 144A 2.85% 1/15/21 # | | | 1,300,000 | | | | 1,281,440 | |
Hilton Domestic Operating
5.125% 5/1/26 | | | 1,000,000 | | | | 966,043 | |
Home Depot | | | | | | | | |
2.70% 4/15/30 | | | 780,000 | | | | 795,949 | |
3.35% 4/15/50 | | | 680,000 | | | | 741,534 | |
Kia Motors 144A | | | | | | | | |
3.00% 4/25/23 # | | | 235,000 | | | | 236,046 | |
Lowe’s | | | | | | | | |
4.05% 5/3/47 | | | 470,000 | | | | 468,240 | |
4.55% 4/5/49 | | | 4,310,000 | | | | 4,789,346 | |
5.125% 4/15/50 | | | 1,840,000 | | | | 2,225,485 | |
McDonald’s
2.225% (LIBOR03M + 0.43%)
10/28/21● | | | 2,300,000 | | | | 2,263,769 | |
MGM Resorts International
5.75% 6/15/25 | | | 104,000 | | | | 93,857 | |
Murphy Oil USA
5.625% 5/1/27 | | | 190,000 | | | | 187,785 | |
Nissan Motor Acceptance | | | | | | | | |
144A 2.15% 9/28/20 # | | | 500,000 | | | | 491,077 | |
144A 2.80% 1/13/22 # | | | 200,000 | | | | 190,717 | |
144A 3.65% 9/21/21 # | | | 300,000 | | | | 294,077 | |
144A 3.875% 9/21/23 # | | | 3,000,000 | | | | 2,996,406 | |
Resorts World Las Vegas | | | | | | | | |
144A 4.625% 4/16/29 # | | | 600,000 | | | | 531,719 | |
Sands China 5.40% 8/8/28 | | | 1,800,000 | | | | 1,701,995 | |
Schaeffler Finance
3.25% 5/15/25 | | EUR | 2,600,000 | | | | 2,727,753 | |
Scientific Games International
144A 8.25% 3/15/26 # | | | 235,000 | | | | 151,747 | |
TJX | | | | | | | | |
3.875% 4/15/30 | | | 950,000 | | | | 985,011 | |
4.50% 4/15/50 | | | 510,000 | | | | 548,900 | |
Toyota Industries
144A 3.11% 3/12/22 # | | | 1,600,000 | | | | 1,618,903 | |
Volkswagen Group of America Finance | | | | | | | | |
144A 2.064% (LIBOR03M + 0.86%) 9/24/21 #● | | | 1,500,000 | | | | 1,374,136 | |
144A 3.875% 11/13/20 # | | | 800,000 | | | | 797,510 | |
144A 4.00% 11/12/21 # | | | 500,000 | | | | 494,911 | |
54
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Consumer Cyclical (continued) | |
Wolverine World Wide 144A
5.00% 9/1/26 # | | | 400,000 | | | $ | 384,600 | |
Wynn Macau 144A
5.50% 10/1/27 # | | | 430,000 | | | | 384,412 | |
ZF North America Capital 144A
4.00% 4/29/20 # | | | 250,000 | | | | 248,754 | |
| | | | | | | | |
| | | | | | | 50,227,081 | |
| | | | | | | | |
ConsumerNon-Cyclical – 3.95% | |
Abbott Laboratories
3.75% 11/30/26 | | | 2,400,000 | | | | 2,685,414 | |
AbbVie | | | | | | | | |
2.85% 5/14/23 | | | 900,000 | | | | 913,458 | |
144A 2.95% 11/21/26 # | | | 1,335,000 | | | | 1,363,370 | |
3.20% 5/14/26 | | | 500,000 | | | | 519,136 | |
3.75% 11/14/23 | | | 1,200,000 | | | | 1,245,484 | |
144A 4.05% 11/21/39 # | | | 3,193,000 | | | | 3,364,321 | |
Alcon Finance 144A
3.00% 9/23/29 # | | | 4,240,000 | | | | 4,237,082 | |
Allergan Finance
3.25% 10/1/22 | | | 300,000 | | | | 301,121 | |
Allergan Funding
3.45% 3/15/22 | | | 1,000,000 | | | | 1,038,938 | |
Amgen | | | | | | | | |
2.20% 2/21/27 | | | 3,835,000 | | | | 3,833,513 | |
2.45% 2/21/30 | | | 1,600,000 | | | | 1,597,992 | |
Anheuser-Busch InBev Worldwide | | | | | | | | |
3.65% 2/1/26 | | | 2,675,000 | | | | 2,815,808 | |
4.15% 1/23/25 | | | 2,940,000 | | | | 3,176,785 | |
Bacardi 144A
4.45% 5/15/25 # | | | 500,000 | | | | 526,499 | |
Bausch Health 144A
5.50% 11/1/25 # | | | 1,342,000 | | | | 1,364,217 | |
Boston Scientific | | | | | | | | |
3.375% 5/15/22 | | | 800,000 | | | | 826,016 | |
4.00% 3/1/29 | | | 3,300,000 | | | | 3,500,330 | |
BRF 144A
4.875% 1/24/30 # | | | 475,000 | | | | 401,137 | |
Bristol-Myers Squibb 144A
2.90% 7/26/24 # | | | 4,010,000 | | | | 4,258,232 | |
Centene 144A
3.375% 2/15/30 # | | | 1,000,000 | | | | 933,750 | |
144A 5.375% 8/15/26 # | | | 745,000 | | | | 768,281 | |
Charles River Laboratories International 144A 5.50% 4/1/26 # | | | 360,000 | | | | 369,708 | |
Cigna 2.40% 3/15/30 | | | 675,000 | | | | 642,705 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
ConsumerNon-Cyclical (continued) | |
Cigna | | | | | | | | |
2.721% (LIBOR03M + 0.89%) 7/15/23● | | | 830,000 | | | $ | 772,226 | |
3.20% 3/15/40 | | | 645,000 | | | | 597,134 | |
4.125% 11/15/25 | | | 3,325,000 | | | | 3,566,397 | |
Constellation Brands
3.15% 8/1/29 | | | 3,680,000 | | | | 3,451,542 | |
Cott Holdings 144A
5.50% 4/1/25 # | | | 260,000 | | | | 253,826 | |
CVS Health 3.35% 3/9/21 | | | 266,000 | | | | 267,922 | |
3.75% 4/1/30 | | | 780,000 | | | | 808,703 | |
4.30% 3/25/28 | | | 9,455,000 | | | | 10,061,103 | |
4.78% 3/25/38 | | | 1,030,000 | | | | 1,135,317 | |
5.05% 3/25/48 | | | 5,000 | | | | 5,700 | |
CVS Pass Through Trust 144A
5.773% 1/10/33 #t | | | 72,619 | | | | 88,919 | |
Danone 144A
2.589% 11/2/23 # | | | 1,500,000 | | | | 1,489,393 | |
DP World Crescent 144A
3.908% 5/31/23 # | | | 400,000 | | | | 382,614 | |
Encompass Health
5.75% 9/15/25 | | | 370,000 | | | | 358,436 | |
Equifax
2.562% (LIBOR03M + 0.87%) 8/15/21● | | | 700,000 | | | | 683,291 | |
Gilead Sciences
4.15% 3/1/47 | | | 4,195,000 | | | | 5,154,083 | |
Global Payments | | | | | | | | |
2.65% 2/15/25 | | | 2,525,000 | | | | 2,507,936 | |
3.20% 8/15/29 | | | 4,025,000 | | | | 3,955,860 | |
HCA | | | | | | | | |
4.125% 6/15/29 | | | 3,400,000 | | | | 3,435,770 | |
5.875% 2/15/26 | | | 595,000 | | | | 622,935 | |
7.58% 9/15/25 | | | 30,000 | | | | 31,050 | |
IHS Markit
3.625% 5/1/24 | | | 600,000 | | | | 598,440 | |
Imperial Brands Finance | | | | | | | | |
144A 2.95% 7/21/20 # | | | 700,000 | | | | 698,703 | |
144A 3.75% 7/21/22 # | | | 470,000 | | | | 470,417 | |
JBS Investments II | | | | | | | | |
144A 5.75% 1/15/28 # | | | 385,000 | | | | 375,779 | |
144A 7.00% 1/15/26 # | | | 370,000 | | | | 370,755 | |
JBS USA | | | | | | | | |
144A 5.75% 6/15/25 # | | | 150,000 | | | | 152,812 | |
144A 5.875% 7/15/24 # | | | 320,000 | | | | 325,200 | |
Kernel Holding | | | | | | | | |
144A 6.50% 10/17/24 # | | | 375,000 | | | | 283,316 | |
144A 8.75% 1/31/22 # | | | 350,000 | | | | 302,617 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
ConsumerNon-Cyclical (continued) | | | | | |
Kraft Heinz Foods 2.554% (LIBOR03M + 0.82%) 8/10/22● | | | 300,000 | | | $ | 279,151 | |
MHP 144A 7.75%
5/10/24 # | | | 520,000 | | | | 442,319 | |
New York and Presbyterian Hospital
4.063% 8/1/56 | | | 690,000 | | | | 828,330 | |
Pernod Ricard | | | | | | | | |
144A 4.25% 7/15/22 # | | | 150,000 | | | | 151,392 | |
144A 4.45% 1/15/22 # | | | 1,800,000 | | | | 1,850,439 | |
144A 5.75% 4/7/21 # | | | 2,000,000 | | | | 2,058,505 | |
Post Holdings 144A 5.75% 3/1/27 # | | | 325,000 | | | | 335,295 | |
Prime Security Services Borrower 144A 5.75% 4/15/26 # | | | 90,000 | | | | 88,706 | |
Rede D’or Finance 144A 4.50% 1/22/30 # | | | 710,000 | | | | 619,653 | |
Reynolds American 4.00% 6/12/22 | | | 900,000 | | | | 912,214 | |
Shire Acquisitions Investments Ireland 2.875% 9/23/23 | | | 300,000 | | | | 306,648 | |
Takeda Pharmaceutical 4.40% 11/26/23 | | | 300,000 | | | | 316,319 | |
Tenet Healthcare
5.125% 5/1/25 | | | 705,000 | | | | 671,513 | |
Teva Pharmaceutical Finance Netherlands II
1.125% 10/15/24 EUR | | | 300,000 | | | | 275,841 | |
Teva Pharmaceutical Finance Netherlands III | | | | | | | | |
6.00% 4/15/24 | | | 1,600,000 | | | | 1,581,992 | |
6.75% 3/1/28 | | | 1,066,000 | | | | 1,039,936 | |
Thermo Fisher Scientific 4.133% 3/25/25 | | | 840,000 | | | | 901,066 | |
Universal Health Services 144A 5.00% 6/1/26 # | | | 210,000 | | | | 211,269 | |
Zimmer Biomet Holdings | | | | | | | | |
3.05% 1/15/26 | | | 1,395,000 | | | | 1,372,750 | |
3.15% 4/1/22 | | | 300,000 | | | | 300,198 | |
| | | | | | | | |
| | | | | | | 98,435,029 | |
| | | | | | | | |
Energy – 2.90% | | | | | | | | |
Abu Dhabi Crude Oil Pipeline 144A 4.60% 11/2/47 # | | | 330,000 | | | | 328,776 | |
Bayan Resources 144A 6.125% 1/24/23 # | | | 455,000 | | | | 336,964 | |
Crestwood Midstream Partners 6.25% 4/1/23 | | | 410,000 | | | | 232,247 | |
Enable Midstream Partners 4.95% 5/15/28 | | | 700,000 | | | | 349,902 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Energy (continued) | | | | | | | | |
Enbridge 1.441% (LIBOR03M + 0.70%) 6/15/20● | | | 2,050,000 | | | $ | 2,028,005 | |
Energy Transfer Operating | | | | | | | | |
5.25% 4/15/29 | | | 2,105,000 | | | | 1,786,163 | |
5.50% 6/1/27 | | | 3,200,000 | | | | 2,809,680 | |
6.25% 4/15/49 | | | 2,730,000 | | | | 2,318,823 | |
Energy Transfer Partners 5.00% 10/1/22 | | | 1,500,000 | | | | 1,367,571 | |
Enterprise Products Operating 3.70% 1/31/51 | | | 1,185,000 | | | | 1,071,470 | |
EQT | | | | | | | | |
6.125% 2/1/25 | | | 1,100,000 | | | | 855,360 | |
7.00% 2/1/30 | | | 1,600,000 | | | | 1,204,032 | |
Gazprom via Gaz Finance 144A 3.25% 2/25/30 # | | | 935,000 | | | | 865,810 | |
Geopark | | | | | | | | |
144A 5.50% 1/17/27 # | | | 410,000 | | | | 197,825 | |
144A 6.50% 9/21/24 # | | | 200,000 | | | | 115,249 | |
Gran Tierra Energy 144A 7.75% 5/23/27 # | | | 580,000 | | | | 151,525 | |
Greenko Solar Mauritius 144A 5.95% 7/29/26 # | | | 540,000 | | | | 448,067 | |
KazMunayGas National JSC 144A 6.375% 10/24/48 # | | | 121,000 | | | | 120,335 | |
Kinder Morgan Energy Partners 5.00% 10/1/21 | | | 620,000 | | | | 607,266 | |
Marathon Oil
4.40% 7/15/27 | | | 2,965,000 | | | | 1,983,508 | |
MPLX | | | | | | | | |
4.00% 3/15/28 | | | 320,000 | | | | 285,053 | |
4.125% 3/1/27 | | | 2,000,000 | | | | 1,709,518 | |
5.50% 2/15/49 | | | 3,200,000 | | | | 2,712,286 | |
Murphy Oil 5.875% 12/1/27 | | | 1,670,000 | | | | 879,339 | |
Noble Energy | | | | | | | | |
3.25% 10/15/29 | | | 1,930,000 | | | | 1,134,836 | |
3.90% 11/15/24 | | | 565,000 | | | | 466,934 | |
4.20% 10/15/49 | | | 685,000 | | | | 373,141 | |
4.95% 8/15/47 | | | 1,405,000 | | | | 853,520 | |
5.05% 11/15/44 | | | 2,085,000 | | | | 1,292,827 | |
NuStar Logistics
5.625% 4/28/27 | | | 205,000 | | | | 158,742 | |
Occidental Petroleum
2.90% 8/15/24 | | | 2,315,000 | | | | 1,264,004 | |
Oil and Gas Holding 144A 7.625% 11/7/24 # | | | 200,000 | | | | 181,000 | |
ONEOK | | | | | | | | |
4.35% 3/15/29 | | | 1,500,000 | | | | 1,225,608 | |
7.50% 9/1/23 | | | 2,840,000 | | | | 2,831,546 | |
Pertamina Persero 144A 3.65% 7/30/29 # | | | 197,000 | | | | 183,205 | |
56
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Energy (continued) | | | | | | | | |
Petrobras Global Finance | | | | | | | | |
144A 5.093% 1/15/30 # | | | 2,048,000 | | | $ | 1,876,480 | |
5.999% 1/27/28 | | | 3,500,000 | | | | 3,409,175 | |
6.125% 1/17/22 | | | 170,000 | | | | 171,009 | |
6.85% 6/5/15 | | | 1,700,000 | | | | 1,624,019 | |
6.90% 3/19/49 | | | 89,000 | | | | 87,240 | |
7.25% 3/17/44 | | | 900,000 | | | | 918,995 | |
Petroleos Mexicanos | | | | | | | | |
144A 5.95% 1/28/31 # | | | 600,000 | | | | 415,560 | |
144A 6.49% 1/23/27 # | | | 1,213,000 | | | | 899,136 | |
6.75% 9/21/47 | | | 619,000 | | | | 402,161 | |
144A 6.84% 1/23/30 # | | | 934,000 | | | | 680,671 | |
Precision Drilling 144A
7.125% 1/15/26 # | | | 165,000 | | | | 55,860 | |
ReNew Power 144A
5.875% 3/5/27 # | | | 620,000 | | | | 443,296 | |
Rio Oil Finance Trust Series2014-1
9.25% 7/6/24 | | | 139,360 | | | | 137,444 | |
Sabine Pass Liquefaction | | | | | | | | |
5.625% 3/1/25 | | | 1,455,000 | | | | 1,337,984 | |
5.75% 5/15/24 | | | 8,496,000 | | | | 7,988,132 | |
6.25% 3/15/22 | | | 400,000 | | | | 388,259 | |
Saudi Arabian Oil | | | | | | | | |
144A 2.875% 4/16/24 # | | | 395,000 | | | | 384,436 | |
144A 4.25% 4/16/39 # | | | 530,000 | | | | 527,685 | |
Schlumberger Holdings 144A
4.30% 5/1/29 # | | | 2,125,000 | | | | 2,069,756 | |
Sinopec Group Overseas Development 2015
2.50% 4/28/20 | | | 1,200,000 | | | | 1,201,451 | |
Sinopec Group Overseas Development 2018 144A
2.50% 8/8/24 # | | | 1,100,000 | | | | 1,102,855 | |
Southwestern Energy
7.75% 10/1/27 | | | 1,405,000 | | | | 934,430 | |
Spectra Energy Partners
2.014% (LIBOR03M + 0.70%) 6/5/20● | | | 500,000 | | | | 494,680 | |
Targa Resources Partners
5.375% 2/1/27 | | | 340,000 | | | | 281,707 | |
Tecpetrol 144A
4.875% 12/12/22 # | | | 685,000 | | | | 547,020 | |
Tennessee Gas Pipeline 144A
2.90% 3/1/30 # | | | 6,200,000 | | | | 5,276,323 | |
Transcanada Trust
5.50% 9/15/79 µ | | | 2,465,000 | | | | 1,890,026 | |
Transocean Proteus 144A
6.25% 12/1/24 # | | | 227,500 | | | | 183,989 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Energy (continued) | | | | | | | | |
Transportadora de Gas del Sur 144A
6.75% 5/2/25 # | | | 370,000 | | | $ | 269,456 | |
Tullow Oil 144A
7.00% 3/1/25 # | | | 365,000 | | | | 93,977 | |
Woodside Finance | |
144A 3.70% 9/15/26 # | | | 400,000 | | | | 391,173 | |
144A 4.60% 5/10/21 # | | | 600,000 | | | | 596,071 | |
YPF 144A 8.50% 6/27/29 # | | | 560,000 | | | | 295,984 | |
| | | | | | | | |
| | | | | | | 72,106,577 | |
| | | | | | | | |
Finance Companies – 1.40% | |
AerCap Ireland Capital | | | | | | | | |
3.50% 1/15/25 | | | 300,000 | | | | 255,364 | |
3.65% 7/21/27 | | | 2,700,000 | | | | 2,096,951 | |
4.45% 10/1/25 | | | 1,200,000 | | | | 1,058,681 | |
4.45% 4/3/26 | | | 150,000 | | | | 128,882 | |
4.625% 10/30/20 | | | 1,000,000 | | | | 970,143 | |
4.625% 7/1/22 | | | 1,100,000 | | | | 891,844 | |
Air Lease | |
3.00% 2/1/30 | | | 1,740,000 | | | | 1,265,640 | |
4.25% 2/1/24 | | | 900,000 | | | | 766,590 | |
Altice France Holding 144A
10.50% 5/15/27 # | | | 1,660,000 | | | | 1,759,600 | |
Arabian Centres Sukuk 144A
5.375% 11/26/24 # | | | 560,000 | | | | 431,200 | |
ASG Finance Designated Activity 144A
7.875% 12/3/24 # | | | 545,000 | | | | 340,737 | |
Aviation Capital Group | | | | | | | | |
144A 3.875% 5/1/23 # | | | 1,000,000 | | | | 935,602 | |
144A 6.75% 4/6/21 # | | | 500,000 | | | | 495,750 | |
BOC Aviation | | | | | | | | |
2.375% 9/15/21 | | | 600,000 | | | | 601,435 | |
144A 2.375% 9/15/21 # | | | 415,000 | | | | 415,993 | |
3.00% 5/23/22 | | | 300,000 | | | | 309,233 | |
China Overseas Finance Cayman V
3.95% 11/15/22 | | | 480,000 | | | | 486,426 | |
GATX 2.461% (LIBOR03M + 0.72%) 11/5/21● | | | 2,100,000 | | | | 2,059,092 | |
GE Capital International Funding Co. Unlimited
2.342% 11/15/20 | | | 251,000 | | | | 249,617 | |
Goodman HK Finance
4.375% 6/19/24 | | | 550,000 | | | | 596,456 | |
International Lease Finance
8.625% 1/15/22 | | | 2,865,000 | | | | 2,780,886 | |
Kaisa Group Holdings 144A
11.95% 10/22/22 # | | | 455,000 | | | | 394,913 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
| Corporate Bonds (continued) | |
| |
Finance Companies (continued) | |
Logicor Financing
3.25% 11/13/28 EUR | | | 3,400,000 | | | $ | 3,747,865 | |
Mastercard | | | | | | | | |
3.30% 3/26/27 | | | 500,000 | | | | 544,161 | |
3.85% 3/26/50 | | | 355,000 | | | | 435,350 | |
Nationstar Mortgage Holdings 144A
8.125% 7/15/23 # | | | 2,000,000 | | | | 1,968,110 | |
NTT Finance
1.90% 7/21/21 | | | 200,000 | | | | 199,066 | |
ORIX
3.20% 1/19/22 | | | 500,000 | | | | 499,089 | |
Park Aerospace Holdings Ltd | | | | | | | | |
144A 3.625% 3/15/21 # | | | 400,000 | | | | 379,312 | |
144A 5.25% 8/15/22 # | | | 2,000,000 | | | | 1,809,689 | |
Samhallsbyggnadsbolaget i Norden
1.125% 9/4/26 EUR | | | 900,000 | | | | 922,345 | |
Shimao Property Holdings
5.60% 7/15/26 | | | 590,000 | | | | 565,201 | |
SMBC Aviation Capital Finance 144A
3.00% 7/15/22 # | | | 400,000 | | | | 403,403 | |
Springleaf Finance | | | | | | | | |
6.125% 3/15/24 | | | 1,500,000 | | | | 1,492,620 | |
8.25% 12/15/20 | | | 2,600,000 | | | | 2,617,550 | |
Waha Aerospace | | | | | | | | |
3.925% 7/28/20 | | | 105,000 | | | | 105,263 | |
| | | | | | | | |
| | | | | | | 34,980,059 | |
| | | | | | | | |
Insurance – 0.41% | | | | | | | | |
AIA Group | | | | | | | | |
3.125% 3/13/23 | | | 620,000 | | | | 646,528 | |
144A 3.375% 4/7/30 # | | | 375,000 | | | | 379,579 | |
144A 3.90% 4/6/28 # | | | 1,000,000 | | | | 1,064,850 | |
Ambac Assurance 144A 5.10% 6/7/20 # | | | 29,743 | | | | 41,303 | |
Ambac LSNI 144A
6.45% (LIBOR03M + 5.00%) 2/12/23 #● | | | 116,984 | | | | 112,010 | |
AssuredPartners 144A
7.00% 8/15/25 # | | | 298,000 | | | | 270,426 | |
Athene Global Funding 144A
2.667% (LIBOR03M + 1.23%) 7/1/22 #● | | | 700,000 | | | | 704,694 | |
HUB International 144A
7.00% 5/1/26 # | | | 55,000 | | | | 54,867 | |
MetLife 144A | | | | | | | | |
9.25% 4/8/38 # | | | 1,100,000 | | | | 1,376,501 | |
Prudential Financial | | | | | | | | |
3.70% 3/13/51 | | | 1,660,000 | | | | 1,562,554 | |
5.375% 5/15/45 µ | | | 1,405,000 | | | | 1,347,550 | |
USI 144A
6.875% 5/1/25 # | | | 328,000 | | | | 307,490 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
| Corporate Bonds (continued) | |
| |
Insurance (continued) | | | | | | | | |
VIVAT
2.375% 5/17/24 EUR | | | 2,100,000 | | | $ | 2,335,881 | |
| | | | | | | | |
| | | | | | | 10,204,233 | |
| | | | | | | | |
Natural Gas – 0.21% | | | | | | | | |
Brooklyn Union Gas 144A
3.865% 3/4/29 # | | | 3,230,000 | | | | 3,424,169 | |
KazTransGas JSC 144A
4.375% 9/26/27 # | | | 1,220,000 | | | | 1,095,511 | |
NiSource 5.65%µy | | | 875,000 | | | | 779,179 | |
| | | | | | | | |
| | | | | | | 5,298,859 | |
| | | | | | | | |
Real Estate Investment Trusts – 0.91% | | | | | |
American Tower | | | | | | | | |
3.00% 6/15/23 | | | 600,000 | | | | 601,561 | |
3.375% 5/15/24 | | | 500,000 | | | | 503,243 | |
American Tower Trust #1 144A
3.07% 3/15/23 # | | | 1,285,000 | | | | 1,282,069 | |
Corporate Office Properties | | | | | | | | |
3.60% 5/15/23 | | | 690,000 | | | | 676,487 | |
5.25% 2/15/24 | | | 670,000 | | | | 703,093 | |
Crown Castle International | | | | | | | | |
3.80% 2/15/28 | | | 2,115,000 | | | | 2,123,465 | |
4.30% 2/15/29 | | | 2,745,000 | | | | 2,852,557 | |
5.25% 1/15/23 | | | 1,505,000 | | | | 1,598,220 | |
CubeSmart
3.00% 2/15/30 | | | 1,735,000 | | | | 1,621,324 | |
CyrusOne
1.45% 1/22/27 EUR | | | 1,400,000 | | | | 1,355,322 | |
EPR Properties
4.50% 6/1/27 | | | 2,900,000 | | | | 2,606,257 | |
Equinix
5.375% 5/15/27 | | | 350,000 | | | | 351,165 | |
GLP Capital
4.00% 1/15/30 | | | 2,600,000 | | | | 2,204,195 | |
Iron Mountain US Holdings 144A
5.375% 6/1/26 # | | | 262,000 | | | | 266,858 | |
MGM Growth Properties Operating Partnership
5.75% 2/1/27 | | | 145,000 | | | | 126,694 | |
MPT Operating Partnership | | | | | | | | |
3.692% 6/5/28 GBP | | | 1,600,000 | | | | 1,884,800 | |
WEA Finance 144A | | | | | | | | |
3.25% 10/5/20 # | | | 1,800,000 | | | | 1,782,393 | |
| | | | | | | | |
| | | | | | | 22,539,703 | |
| | | | | | | | |
Technology – 1.76% | | | | | | | | |
Broadcom | | | | | | | | |
2.20% 1/15/21 | | | 1,300,000 | | | | 1,283,479 | |
2.65% 1/15/23 | | | 1,300,000 | | | | 1,271,230 | |
3.00% 1/15/22 | | | 2,200,000 | | | | 2,181,501 | |
144A 3.125% 4/15/21 # | | | 4,130,000 | | | | 4,080,610 | |
144A 3.125% 10/15/22 # | | | 1,000,000 | | | | 991,472 | |
3.625% 1/15/24 | | | 1,000,000 | | | | 991,439 | |
CDK Global | | | | | | | | |
5.00% 10/15/24 | | | 840,000 | | | | 846,199 | |
5.875% 6/15/26 | | | 1,003,000 | | | | 1,065,236 | |
58
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Technology (continued) | |
CommScope Technologies
144A 5.00% 3/15/27 # | | | 183,000 | | | $ | 160,139 | |
Dell International | | | | | | | | |
4.42% 6/15/21 | | | 1,600,000 | | | | 1,600,205 | |
144A 4.42% 6/15/21 # | | | 300,000 | | | | 303,319 | |
144A 5.45% 6/15/23 # | | | 600,000 | | | | 616,467 | |
144A 6.02% 6/15/26 # | | | 400,000 | | | | 426,469 | |
EMC 2.65% 6/1/20 | | | 570,000 | | | | 568,889 | |
Fiserv 3.50% 7/1/29 | | | 3,500,000 | | | | 3,725,140 | |
Infor US 6.50% 5/15/22 | | | 70,000 | | | | 68,576 | |
International Business Machines 3.00% 5/15/24 | | | 4,805,000 | | | | 5,034,039 | |
NortonLifeLock
4.20% 9/15/20 | | | 2,000,000 | | | | 1,987,508 | |
NXP | | | | | | | | |
144A 3.875% 6/18/26 # | | | 3,250,000 | | | | 3,167,899 | |
144A 4.125% 6/1/21 # | | | 5,365,000 | | | | 5,417,093 | |
144A 4.30% 6/18/29 # | | | 655,000 | | | | 674,343 | |
144A 4.625% 6/15/22 # | | | 300,000 | | | | 310,568 | |
144A 4.625% 6/1/23 # | | | 1,000,000 | | | | 1,030,515 | |
144A 4.875% 3/1/24 # | | | 3,280,000 | | | | 3,508,126 | |
Oracle | | | | | | | | |
2.50% 5/15/22 | | | 1,200,000 | | | | 1,220,823 | |
2.95% 4/1/30 | | | 1,355,000 | | | | 1,366,007 | |
| | | | | | | | |
| | | | | | | 43,897,291 | |
| | | | | | | | |
Transportation – 0.68% | | | | | | | | |
Aerovias de Mexico 144A 7.00% 2/5/25 # | | | 855,000 | | | | 262,913 | |
American Airlines2011-1 Class A Pass Through Trust 5.25% 1/31/21t | | | 195,275 | | | | 193,339 | |
American Airlines2015-1 Class A Pass Through Trust 3.375% 5/1/27t | | | 933,014 | | | | 867,719 | |
American Airlines2016-3 Class AA Pass Through Trust 3.00% 10/15/28t | | | 1,133,418 | | | | 1,073,169 | |
Ashtead Capital 144A 5.25% 8/1/26 # | | | 400,000 | | | | 382,000 | |
Delta Air Lines 3.625% 3/15/22 | | | 500,000 | | | | 468,338 | |
Delta Air Lines2007-1 Class A Pass Through Trust 6.821% 8/10/22t | | | 198,228 | | | | 209,610 | |
Doric Nimrod Air Finance Alpha2012-1 Class A Pass Through Trust 144A 5.125%
11/30/22 #t | | | 780,865 | | | | 793,029 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
Transportation (continued) | |
ERAC USA Finance 144A
2.70% 11/1/23 # | | | 300,000 | | | $ | 284,853 | |
144A 4.50% 8/16/21 # | | | 200,000 | | | | 204,035 | |
FedEx 4.05% 2/15/48 | | | 4,985,000 | | | | 4,411,733 | |
Kansas City Southern 3.00% 5/15/23 | | | 500,000 | | | | 474,033 | |
Latam Airlines2015-1 Pass Through Trust Class A 4.20%
11/15/27t | | | 382,585 | | | | 347,595 | |
Latam Finance 144A 7.00% 3/1/26 # | | | 605,000 | | | | 278,920 | |
Lima Metro Line 2 Finance 144A 4.35% 4/5/36 # | | | 695,000 | | | | 662,199 | |
Penske Truck Leasing 144A 3.95% 3/10/25 # | | | 1,000,000 | | | | 1,036,435 | |
144A 4.45% 1/29/26 # | | | 2,100,000 | | | | 2,334,924 | |
144A 4.875% 7/11/22 # | | | 300,000 | | | | 312,311 | |
Union Pacific 3.25% 2/5/50 | | | 1,455,000 | | | | 1,433,941 | |
United Rentals North America 5.50% 5/15/27 | | | 560,000 | | | | 550,158 | |
US Airways2012-2 Class A Pass Through Trust 4.625% 6/3/25t | | | 413,069 | | | | 409,770 | |
| | | | | | | | |
| | | | | | | 16,991,024 | |
| | | | | | | | |
Utilities – 3.20% | | | | | | | | |
Adani Electricity Mumbai 144A 3.949% 2/12/30 # | | | 475,000 | | | | 394,894 | |
Aegea Finance 144A 5.75% 10/10/24 # | | | 590,000 | | | | 547,965 | |
AEP Texas | | | | | | | | |
2.40% 10/1/22 | | | 200,000 | | | | 201,586 | |
3.45% 1/15/50 | | | 350,000 | | | | 316,418 | |
AES Andres 144A 7.95% 5/11/26 # | | | 840,000 | | | | 786,660 | |
AES Gener 144A 7.125% 3/26/79 #µ | | | 605,000 | | | | 476,817 | |
American Electric Power 2.15% 11/13/20 | | | 300,000 | | | | 297,813 | |
American Transmission Systems 144A 5.25% 1/15/22 # | | | 1,955,000 | | | | 2,080,893 | |
Berkshire Hathaway Energy 144A 4.25% 10/15/50 # | | | 835,000 | | | | 956,753 | |
Calpine | | | | | | | | |
144A 4.50% 2/15/28 # | | | 453,000 | | | | 440,769 | |
144A 5.25% 6/1/26 # | | | 328,000 | | | | 313,885 | |
CenterPoint Energy | | | | | | | | |
3.85% 2/1/24 | | | 960,000 | | | | 975,696 | |
4.25% 11/1/28 | | | 2,618,000 | | | | 2,690,877 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Utilities (continued) | | | | | | | | |
Centrais Eletricas Brasileiras | | | | | | | | |
144A 3.625% 2/4/25 # | | | 200,000 | | | $ | 178,102 | |
144A 4.625% 2/4/30 # | | | 565,000 | | | | 502,567 | |
CLP Power Hong Kong Financing
2.875% 4/26/23 | | | 240,000 | | | | 248,446 | |
Colbun 144A 3.15%
3/6/30 # | | | 350,000 | | | | 307,125 | |
ComEd Financing III
6.35% 3/15/33 | | | 680,000 | | | | 788,460 | |
Comision Federal de Electricidad 144A
4.875% 1/15/24 # | | | 200,000 | | | | 191,749 | |
Duke Energy 144A
2.204% (LIBOR03M + 0.50%) 5/14/21 #● | | | 3,300,000 | | | | 3,265,805 | |
4.875%µy | | | 1,865,000 | | | | 1,567,896 | |
Duke Energy Indiana | | | | | | | | |
2.75% 4/1/50 | | | 2,150,000 | | | | 1,985,387 | |
3.25% 10/1/49 | | | 1,265,000 | | | | 1,284,433 | |
Emera 6.75% 6/15/76 µ | | | 57,000 | | | | 52,824 | |
Empresas Publicas de Medellin 144A 4.25% 7/18/29 # | | | 760,000 | | | | 654,392 | |
Enel Finance International 144A 2.875% 5/25/22 # | | | 1,100,000 | | | | 1,064,843 | |
Engie Energia Chile 144A 4.50% 1/29/25 # | | | 515,000 | | | | 509,734 | |
Entergy 4.00% 7/15/22 | | | 300,000 | | | | 308,185 | |
Entergy Arkansas | | | | | | | | |
3.75% 2/15/21 | | | 200,000 | | | | 201,519 | |
4.20% 4/1/49 | | | 870,000 | | | | 992,163 | |
Entergy Louisiana
4.95% 1/15/45 | | | 235,000 | | | | 248,858 | |
Entergy Mississippi
3.85% 6/1/49 | | | 1,805,000 | | | | 1,848,929 | |
Entergy Texas
3.55% 9/30/49 | | | 700,000 | | | | 719,641 | |
Evergy 4.85% 6/1/21 | | | 225,000 | | | | 227,434 | |
Evergy Metro
3.65% 8/15/25 | | | 1,350,000 | | | | 1,406,961 | |
Exelon | | | | | | | | |
2.45% 4/15/21 | | | 200,000 | | | | 198,161 | |
3.497% 6/1/22 | | | 1,075,000 | | | | 1,041,465 | |
3.95% 6/15/25 | | | 670,000 | | | | 674,265 | |
FirstEnergy
2.85% 7/15/22 | | | 200,000 | | | | 195,286 | |
FirstEnergy Transmission 144A
4.55% 4/1/49 # | | | 875,000 | | | | 878,042 | |
Infraestructura Energetica Nova | | | | | | | | |
144A 3.75% 1/14/28 # | | | 225,000 | | | | 197,672 | |
144A 4.875% 1/14/48 # | | | 595,000 | | | | 463,919 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Corporate Bonds (continued) | |
| |
Utilities (continued) | | | | | | | | |
Interstate Power & Light
4.10% 9/26/28 | | | 3,565,000 | | | $ | 4,001,814 | |
Israel Electric 144A
5.00% 11/12/24 # | | | 832,000 | | | | 873,604 | |
Kallpa Generacion 144A 4.125% 8/16/27 # | | | 870,000 | | | | 789,136 | |
Listrindo Capital 144A
4.95% 9/14/26 # | | | 540,000 | | | | 474,522 | |
Louisville Gas & Electric
4.25% 4/1/49 | | | 2,685,000 | | | | 3,067,851 | |
MidAmerican Energy
3.15% 4/15/50 | | | 900,000 | | | | 916,915 | |
Mong Duong Finance Holdings 144A 5.125% 5/7/29 # | | | 995,000 | | | | 847,302 | |
National Rural Utilities Cooperative Finance | | | | | | | | |
4.75% 4/30/43 µ | | | 315,000 | | | | 314,187 | |
5.25% 4/20/46 µ | | | 314,000 | | | | 299,640 | |
Nevada Power
3.125% 8/1/50 | | | 1,517,000 | | | | 1,413,430 | |
NextEra Energy Capital Holdings | | | | | | | | |
2.403% 9/1/21 | | | 1,700,000 | | | | 1,698,366 | |
2.90% 4/1/22 | | | 2,315,000 | | | | 2,338,257 | |
3.15% 4/1/24 | | | 1,115,000 | | | | 1,143,152 | |
3.20% 2/25/22 | | | 400,000 | | | | 405,229 | |
NV Energy 6.25% 11/15/20 | | | 825,000 | | | | 848,912 | |
Pedernales Electric Cooperative 144A
6.202% 11/15/32 # | | | 620,000 | | | | 831,910 | |
Pennsylvania Electric
5.20% 4/1/20 | | | 200,000 | | | | 200,000 | |
Perusahaan Listrik Negara | | | | | | | | |
144A 4.125% 5/15/27 # | | | 300,000 | | | | 291,647 | |
144A 5.25% 5/15/47 # | | | 185,000 | | | | 181,356 | |
Puget Energy
6.50% 12/15/20 | | | 3,800,000 | | | | 3,881,925 | |
Saudi Electricity Global Sukuk Co. 4 4.222% 1/27/24 | | | 715,000 | | | | 719,980 | |
Sempra Energy 1.191% (LIBOR03M +
0.45%) 3/15/21● | | | 2,050,000 | | | | 2,020,470 | |
2.331% (LIBOR03M +
0.50%) 1/15/21● | | | 451,000 | | | | 427,273 | |
Southern California Edison | | | | | | | | |
3.65% 2/1/50 | | | 2,815,000 | | | | 2,747,238 | |
4.00% 4/1/47 | | | 880,000 | | | | 920,523 | |
4.875% 3/1/49 | | | 2,330,000 | | | | 2,703,325 | |
60
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
|
| |
Corporate Bonds (continued) | |
| |
Utilities (continued) | | | | | | | | |
Southern Power 144A 1.666% (LIBOR03M + 0.55%) 12/20/20 #• | | | 1,700,000 | | | $ | 1,673,366 | |
Southwestern Electric Power
4.10% 9/15/28 | | | 4,590,000 | | | | 4,933,544 | |
State Grid Overseas Investment 2016 144A 2.25% 5/4/20 # | | | 312,000 | | | | 312,161 | |
Trans-Allegheny Interstate Line 144A 3.85% 6/1/25 # | | | 165,000 | | | | 175,430 | |
Vistra Operations 144A 5.50% 9/1/26 # | | | 1,784,000 | | | | 1,849,950 | |
Xcel Energy | | | | | | | | |
2.60% 12/1/29 | | | 430,000 | | | | 408,708 | |
3.40% 6/1/30 | | | 625,000 | | | | 634,813 | |
3.50% 12/1/49 | | | 2,870,000 | | | | 2,562,556 | |
| | | | | | | | |
| | | | | | | 79,593,781 | |
| | | | | | | | |
| |
Total Corporate Bonds
(cost $938,762,810) | | | | 903,576,587 | |
| | | | | | | | |
|
| |
Municipal Bonds – 0.64% | |
| |
American Municipal Power, Ohio (Combined Hydroelectric Projects - Build America Bonds) Series B 8.084% 2/15/50 | | | 1,500,000 | | | | 2,538,300 | |
California State Various Purposes (Build America Bonds) 7.55% 4/1/39 | | | 395,000 | | | | 642,515 | |
(High-Speed Passenger Train Bonds) Series C 1.773% (LIBOR01M + 0.78%) 4/1/47● | | | 1,250,000 | | | | 1,259,975 | |
Chicago, Illinois Transit Authority (Pension Funding) Series A 6.899% 12/1/40 | | | 1,800,000 | | | | 2,420,352 | |
(Retiree Health Care Funding) Series B 6.899% 12/1/40 | | | 1,800,000 | | | | 2,420,352 | |
Municipal Electric Authority of Georgia (Build America Bonds Plant Vogtle Units 3 & 4 Project)
6.655% 4/1/57 | | | 1,785,000 | | | | 2,389,829 | |
| | | | | | | | |
| | | 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 | | | $ | 1,875,119 | |
New York City, New York Transitional Finance Authority Future Tax Secured Revenue (Build America Bonds) Subordinate SeriesA-1 5.508% 8/1/37 | | | 700,000 | | | | 916,279 | |
New York State Urban Development (Build America Bonds) Series E 5.77% 3/15/39 | | | 800,000 | | | | 875,944 | |
Oregon State Taxable Pension 5.892% 6/1/27 | | | 30,000 | | | | 35,259 | |
Pennsylvania Higher Education Assistance Agency Revenue (Student Loans) Series2006-2A-3 1.924% (LIBOR03M + 0.13%, Floor 0.13%) 10/25/36● | | | 449,842 | | | | 443,212 | |
South Carolina Public Service Authority (Santee Cooper) Series D 4.77% 12/1/45 | | | 145,000 | | | | 176,803 | |
| | | | | | | | |
| |
Total Municipal Bonds
(cost $14,854,385) | | | | 15,993,939 | |
| | | | | | | | |
|
| |
Non-Agency Asset-Backed Securities – 3.02% | |
| |
ABFC Trust | | | | | | | | |
Series2006-HE1 A2D 1.167% (LIBOR01M + 0.22%, Floor 0.22%) 1/25/37 • | | | 336,363 | | | | 192,364 | |
American Express Credit Account Master Trust | | | | | | | | |
Series2018-5 A 1.045% (LIBOR01M + 0.34%) 12/15/25● | | | 530,000 | | | | 503,915 | |
Series2019-2 A 2.67% 11/15/24 | | | 1,000,000 | | | | 1,027,685 | |
Argent Securities Trust Series2006-M1 A2C 1.097% (LIBOR01M + 0.15%, Floor 0.15%) 7/25/36● | | | 1,226,733 | | | | 439,718 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Non-Agency Asset-Backed Securities (continued) | |
| |
Argent Securities Trust Series2006-W4 A2C 1.107% (LIBOR01M + 0.16%, Floor 0.16%) 5/25/36● | | | 648,747 | | | $ | 208,958 | |
Barclays Dryrock Issuance Trust Series2017-1 A 1.035% (LIBOR01M + 0.33%) 3/15/23● | | | 220,000 | | | | 219,610 | |
Bear Stearns Asset-Backed Securities I Trust | | | | | | | | |
Series2005-FR1 M2 1.952% (LIBOR01M + 1.005%, Floor 0.67%) 6/25/35● | | | 1,762,171 | | | | 1,612,799 | |
Series2007-HE2 1A2 1.117% (LIBOR01M + 0.17%, Floor 0.17%)
3/25/37● | | | 112,103 | | | | 206,881 | |
Bear Stearns Asset-Backed Securities Trust
Series2007-SD1 22A1 3.157% 10/25/36● | | | 135,969 | | | | 89,309 | |
Bear Stearns Second Lien Trust
Series 2007-SV1A M2 144A 2.297% (LIBOR01M + 1.35%, Cap 11.00%, Floor 0.90%) 1/25/36 #● | | | 528,789 | | | | 524,291 | |
Business Jet Securities Series2018-2 A 144A 4.447% 6/15/33 # | | | 683,642 | | | | 552,460 | |
Centex Home Equity Loan Trust Series2002-A AF6 5.54% 1/25/32 | | | 578 | | | | 568 | |
CIT Mortgage Loan Trust Series2007-1 1M1 144A 2.447% (LIBOR01M + 1.50%, Floor 1.50%) 10/25/37 #● | | | 3,600,000 | | | | 2,985,403 | |
Citicorp Residential Mortgage Trust Series2006-3 A5 5.203% 11/25/36● | | | 793,110 | | | | 757,877 | |
CNH Equipment Trust | | | | | | | | |
Series2019-A A2 2.96% 5/16/22 | | | 818,246 | | | | 816,770 | |
Series2019-B A2 2.55% 9/15/22 | | | 1,828,275 | | | | 1,830,023 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Non-Agency Asset-Backed Securities (continued) | |
| |
Countrywide Asset-Backed Certificates | | | | | | | | |
Series2004-3 2A 1.347% (LIBOR01M + 0.40%, Floor 0.20%) 8/25/34● | | | 52,063 | | | $ | 44,971 | |
Series2006-1 AF6 4.701% 7/25/36● | | | 161,413 | | | | 156,718 | |
Series2006-26 2A4 1.167% (LIBOR01M + 0.22%, Floor 0.22%) 6/25/37● | | | 2,000,000 | | | | 1,791,131 | |
Series2007-6 2A4 1.257% (LIBOR01M + 0.31%, Floor 0.31%) 9/25/37● | | | 922,899 | | | | 515,399 | |
CWABS Asset-Backed Certificates Trust | | | | | | | | |
Series2005-3 MV7 2.897% (LIBOR01M + 1.95%, Floor 1.30%) 8/25/35● | | | 4,200,000 | | | | 3,440,525 | |
Series2006-11 1AF6 6.15% 9/25/46● | | | 124,279 | | | | 121,503 | |
Series2006-17 2A2 1.097% (LIBOR01M + 0.15%, Floor 0.15%) 3/25/47● | | | 1,391,798 | | | | 1,301,030 | |
Discover Card Execution Note Trust | | | | | | | | |
Series2018-A3 A3 0.935% (LIBOR01M + 0.23%) 12/15/23● | | | 560,000 | | | | 553,124 | |
Series2019-A1 A1 3.04% 7/15/24 | | | 400,000 | | | | 412,137 | |
EquiFirst Mortgage Loan Trust
Series2004-2 M7 3.947% (LIBOR01M + 3.00%, Floor 2.00%) 10/25/34● | | | 662,361 | | | | 564,952 | |
First Franklin Mortgage Loan Trust
Series2006-FF5 2A3 1.107% (LIBOR01M + 0.16%, Floor 0.16%)
4/25/36● | | | 873,557 | | | | 760,570 | |
Ford Credit Auto Owner Trust
Series2018-1 A 144A 3.19% 7/15/31 # | | | 840,000 | | | | 920,401 | |
Fremont Home Loan Trust
Series2004-B M1 1.817% (LIBOR01M + 0.87%, Floor 0.58%) 5/25/34● | | | 2,471,645 | | | | 2,149,723 | |
62
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Non-Agency Asset-Backed Securities (continued) | |
| |
GE-WMC Mortgage Securities Trust
Series2006-1 A2B 1.097% (LIBOR01M + 0.15%, Floor 0.15%) 8/25/36● | | | 2,056,247 | | | $ | 997,392 | |
GSAMP Trust | | | | | | | | |
Series2006-FM3 A2D 1.177% (LIBOR01M + 0.23%, Floor 0.23%) 11/25/36● | | | 976,483 | | | | 503,534 | |
Series 2007-SEA1 A 144A 1.247% (LIBOR01M + 0.30%, Floor 0.30%) 12/25/36 #● | | | 790,653 | | | | 714,313 | |
Hardee’s Funding | | | | | | | | |
Series2018-1A A2I 144A 4.25% 6/20/48 # | | | 640,250 | | | | 614,506 | |
Series2018-1A A2II 144A 4.959% 6/20/48 # | | | 492,500 | | | | 438,305 | |
Harley-Davidson Motorcycle Trust
Series2020-A A2A 1.83% 1/17/23 | | | 850,000 | | | | 843,892 | |
HOA Funding
Series2014-1A A2 144A 4.846% 8/20/44 # | | | 1,250,450 | | | | 1,192,642 | |
Home Equity Mortgage Loan Asset-Backed Trust
Series2007-A 2A3 1.187% (LIBOR01M + 0.24%, Floor 0.24%) 4/25/37● | | | 1,383,660 | | | | 930,766 | |
HSI Asset Securitization Trust
Series2006-HE1 2A1 0.997% (LIBOR01M + 0.05%, Floor 0.05%) 10/25/36● | | | 26,730 | | | | 12,045 | |
JPMorgan Mortgage Acquisition Trust
Series2006-CW2 AV5 1.187% (LIBOR01M + 0.24%, Floor 0.24%)
8/25/36● | | | 500,000 | | | | 455,099 | |
Long Beach Mortgage Loan Trust | | | | | | | | |
Series2006-1 2A4 1.247% (LIBOR01M + 0.30%, Floor 0.30%) 2/25/36● | | | 3,038,573 | | | | 2,478,326 | |
Series2006-7 1A 1.102% (LIBOR01M + 0.155%, Floor 0.155%) 8/25/36● | | | 2,907,888 | | | | 1,600,208 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Non-Agency Asset-Backed Securities (continued) | |
| |
Mercedes-Benz Auto Lease Trust | | | | | | | | |
Series2019-B A2 2.01% 12/15/21 | | | 350,000 | | | $ | 349,649 | |
Series2020-A A2 1.82% 3/15/22 | | | 500,000 | | | | 500,448 | |
Mercedes-Benz Master Owner Trust | | | | | | | | |
Series2018-BA A 144A 1.045% (LIBOR01M + 0.34%) 5/15/23 #● | | | 500,000 | | | | 498,653 | |
Series2019-AA A 144A 1.055% (LIBOR01M + 0.35%) 5/15/23 #● | | | 2,825,000 | | | | 2,766,678 | |
Morgan Stanley ABS Capital I Trust | | | | | | | | |
Series2007-HE1 A2C 1.097% (LIBOR01M + 0.15%, Floor 0.15%) 11/25/36● | | | 4,771,433 | | | | 2,666,693 | |
Series2007-HE5 A2D 1.287% (LIBOR01M + 0.34%, Floor 0.34%) 3/25/37● | | | 3,334,068 | | | | 1,551,315 | |
Navistar Financial Dealer Note Master Owner Trust II
Series2018-1 A 144A 1.577% (LIBOR01M + 0.63%, Floor 0.63%)
9/25/23 #● | | | 450,000 | | | | 436,489 | |
New Century Home Equity Loan Trust
Series2005-1 M2 1.667% (LIBOR01M + 0.72%, Cap 12.50%, Floor 0.48%) 3/25/35● | | | 233,599 | | | | 186,228 | |
Nissan Auto Lease Trust
Series2020-A A2A 1.80% 5/16/22 | | | 1,000,000 | | | | 1,002,039 | |
Option One Mortgage Loan Trust | | | | | | | | |
Series2005-1 M1 1.727% (LIBOR01M + 0.78%, Floor 0.52%) 2/25/35● | | | 1,920,299 | | | | 1,745,696 | |
Series2007-4 2A4 1.257% (LIBOR01M + 0.31%, Floor 0.31%) 4/25/37● | | | 6,055,083 | | | | 4,059,143 | |
Penarth Master Issuer | | | | | | | | |
Series2018-2A A1 144A 1.062% (LIBOR01M + 0.45%) 9/18/22 #● | | | 1,625,000 | | | | 1,614,919 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Non-Agency Asset-Backed Securities(continued) | |
| |
PFS Financing
Series2018-E A 144A 1.155% (LIBOR01M + 0.45%) 10/17/22 #● | | | 2,315,000 | | | $ | 2,231,641 | |
RAAC Trust
Series2005-SP2 2A 1.247% (LIBOR01M + 0.30%, Cap 14.00%, Floor 0.30%) 6/25/44● | | | 323,100 | | | | 263,983 | |
RAMP Trust
Series2007-RZ1 A2 1.107% (LIBOR01M + 0.16%, Cap 14.00%, Floor 0.16%) 2/25/37● | | | 111,010 | | | | 109,758 | |
Sofi Consumer Loan Program
Series2017-3 A 144A 2.77% 5/25/26 # | | | 399,061 | | | | 395,594 | |
Sofi Professional Loan Program
Series2016-F A2 144A 3.02% 2/25/40 # | | | 271,094 | | | | 277,622 | |
Soundview Home Loan Trust
Series 2006-OPT1 2A4 1.217% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36● | | | 300,000 | | | | 274,822 | |
Structured Asset Investment Loan Trust
Series2003-BC2 M1 2.327% (LIBOR01M + 1.38%, Floor 0.92%) 4/25/33● | | | 15,778 | | | | 13,720 | |
Structured Asset Securities Mortgage Loan Trust
Series2006-BC1 A6 1.217% (LIBOR01M + 0.27%, Floor 0.27%) 3/25/36● | | | 1,520,425 | | | | 1,224,323 | |
Tesla Auto Lease Trust
Series2019-A A2 144A 2.13% 4/20/22 # | | | 600,000 | | | | 600,893 | |
Towd Point Mortgage Trust | | | | | | | | |
Series2017-1 A1 144A 2.75% 10/25/56 #● | | | 912,698 | | | | 913,066 | |
Series2017-2 A1 144A 2.75% 4/25/57 #● | | | 109,724 | | | | 107,486 | |
Series2017-4 M1 144A 3.25% 6/25/57 #● | | | 615,000 | | | | 553,420 | |
Series2018-1 A1 144A 3.00% 1/25/58 #● | | | 207,473 | | | | 208,411 | |
Series2019-4 A1 144A 2.90% 10/25/59 #● | | | 11,238,937 | | | | 10,995,562 | |
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Non-Agency Asset-Backed Securities (continued) | |
| |
Toyota Auto Receivables Owner Trust
Series2019-B A2A 2.59% 2/15/22 | | | 1,758,131 | | | $ | 1,761,408 | |
Verizon Owner Trust
Series2019-B A1B 1.223% (LIBOR01M + 0.45%) 12/20/23● | | | 1,000,000 | | | | 982,790 | |
Volvo Financial Equipment Master Owner Trust
Series2017-A A 144A 1.205% (LIBOR01M + 0.50%) 11/15/22 #● | | | 1,075,000 | | | | 1,038,796 | |
Wendy’s Funding
Series2018-1A A2I 144A 3.573% 3/15/48 # | | | 469,200 | | | | 428,211 | |
| | | | | | | | |
TotalNon-Agency Asset-Backed
Securities
(cost $79,405,269) | | | | 75,241,299 | |
| | | | | | | | |
| | |
Non-Agency Collateralized Mortgage Obligations – 1.84% | |
Alternative Loan Trust Resecuritization
Series2008-2R 3A1 6.00% 8/25/37● | | | 1,070,532 | | | | 798,133 | |
ARM Mortgage Trust | | | | | | | | |
Series2004-5 3A1 3.894% 4/25/35● | | | 114,659 | | | | 110,098 | |
Series2005-10 3A31 3.545% 1/25/36● | | | 137,625 | | | | 117,492 | |
Series2006-2 1A4 4.074% 5/25/36● | | | 559,370 | | | | 480,638 | |
Banc of America Funding Trust | | | | | | | | |
Series2005-E 7A1 2.414% (COF 11 + 1.43%, Floor 1.43%) 6/20/35● | | | 106,998 | | | | 85,736 | |
Series2006-I 1A1 4.02% 12/20/36● | | | 170,912 | | | | 155,881 | |
Banc of America Mortgage Trust
Series2003-D 2A1 5.213% 5/25/33● | | | 114,798 | | | | 104,568 | |
Bear Stearns ARM Trust Series2003-5 2A1 4.22% 8/25/33● | | | 25,110 | | | | 23,225 | |
Chase Home Lending Mortgage Trust
Series 2019-ATR2 A3 144A
3.50% 7/25/49 #● | | | 549,517 | | | | 556,685 | |
Chase Mortgage Finance Trust
Series2005-A1 3A1 3.803% 12/25/35● | | | 73,803 | | | | 62,616 | |
64
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Non-Agency Collateralized Mortgage Obligations (continued) | |
| |
CHL Mortgage Pass Through Trust
Series2007-4 1A1
6.00% 5/25/37t | | | 947,495 | | | $ | 646,754 | |
Connecticut Avenue Securities Trust | | | | | | | | |
Series2018-R07 1M2 144A 3.347% (LIBOR01M + 2.40%) 4/25/31 #● | | | 638,151 | | | | 545,575 | |
Series2019-R01 2M2 144A 3.397% (LIBOR01M + 2.45%) 7/25/31 #● | | | 491,176 | | | | 407,050 | |
Series2019-R02 1M2 144A 3.247% (LIBOR01M + 2.30%, Floor 2.30%)
8/25/31 #● | | | 1,307,110 | | | | 1,081,704 | |
Series2019-R07 1M2 144A 3.047% (LIBOR01M + 2.10%) 10/25/39 #● | | | 3,250,000 | | | | 2,618,633 | |
Series2020-R01 1M2 144A 2.997% (LIBOR01M + 2.05%) 1/25/40 #● | | | 2,500,000 | | | | 1,487,501 | |
CSMC Mortgage-Backed Trust | | | | | | | | |
Series2005-1R 2A5 144A 5.75% 12/26/35 # | | | 983,469 | | | | 865,265 | |
Series2007-1 5A14 6.00% 2/25/37 | | | 224,202 | | | | 170,879 | |
Series2007-3 4A6 1.197% (LIBOR01M + 0.25%, Cap 7.00%, Floor 0.25%)
4/25/37● | | | 166,937 | | | | 126,299 | |
Series2007-3 4A12 5.803% (6.75% minus LIBOR01M, Cap 6.75%) 4/25/37∑● | | | 166,937 | | | | 26,302 | |
Series2007-3 4A15 5.50% 4/25/37 | | | 74,125 | | | | 68,062 | |
Flagstar Mortgage Trust Series2018-5 A7 144A 4.00% 9/25/48 #● | | | 184,278 | | | | 182,358 | |
Galton Funding Mortgage Trust Series2018-1 A43 144A 3.50% 11/25/57 #● | | | 210,313 | | | | 208,230 | |
GMACM Mortgage Loan Trust Series2006-J1 A1 5.75% 4/25/36 | | | 32,978 | | | | 30,238 | |
GS Mortgage-Backed Securities Trust
Series2020-PJ1 A1 144A 3.50% 5/25/50 #● | | | 784,620 | | | | 792,805 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Non-Agency Collateralized Mortgage Obligations (continued) | |
| |
GSR Mortgage Loan Trust
Series2007-AR1 2A1
3.80% 3/25/47● | | | 596,857 | | | $ | 451,023 | |
Holmes Master Issuer
Series2018-2A A2 144A 2.251% (LIBOR03M + 0.42%) 10/15/54 #● | | | 1,359,570 | | | | 1,353,490 | |
JPMorgan Alternative Loan Trust
Series2007-A2 11A1 1.127% (LIBOR01M + 0.18%, Cap 11.50%, Floor 0.18%)
6/25/37● | | | 4,155,270 | | | | 2,506,531 | |
JPMorgan Mortgage Trust | | | | | | | | |
Series2006-A6 2A4L
4.048% 10/25/36● | | | 342,519 | | | | 280,523 | |
Series2006-A7 2A2
3.803% 1/25/37● | | | 68,416 | | | | 55,636 | |
Series2007-A1 6A1
4.182% 7/25/35● | | | 98,821 | | | | 87,940 | |
Series2014-2 B1 144A 3.399% 6/25/29 #● | | | 51,815 | | | | 48,936 | |
Series2014-2 B2 144A 3.399% 6/25/29 #● | | | 51,815 | | | | 48,814 | |
Series2015-4 B1 144A 3.622% 6/25/45 #● | | | 757,307 | | | | 707,138 | |
Series2015-4 B2 144A 3.622% 6/25/45 #● | | | 323,673 | | | | 301,121 | |
Series2015-5 B2 144A 3.053% 5/25/45 #● | | | 604,759 | | | | 573,394 | |
Series2015-6 B1 144A 3.598% 10/25/45 #● | | | 323,358 | | | | 307,601 | |
Series2015-6 B2 144A 3.598% 10/25/45 #● | | | 314,619 | | | | 297,601 | |
Series2016-4 B1 144A 4.05% 10/25/46 #● | | | 227,585 | | | | 217,844 | |
Series2016-4 B2 144A 4.05% 10/25/46 #● | | | 386,894 | | | | 364,116 | |
Series2017-1 B3 144A 3.529% 1/25/47 #● | | | 930,744 | | | | 842,102 | |
Series2017-2 A3 144A 3.50% 5/25/47 #● | | | 244,588 | | | | 248,827 | |
Series2018-4 A15 144A 3.50% 10/25/48 #● | | | 423,452 | | | | 420,464 | |
Series 2019-LTV3 A3 144A 3.50% 3/25/50 #● | | | 866,543 | | | | 872,253 | |
Series2020-1 A4 144A 3.50% 6/25/50 #● | | | 970,203 | | | | 969,463 | |
Series2020-2 A3 144A 3.50% 7/25/50 #● | | | 993,054 | | | | 1,002,009 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Non-Agency Collateralized Mortgage Obligations (continued) | |
| |
Lanark Master Issuer
Series2019-1A 1A1 144A 2.453% (LIBOR03M + 0.77%) 12/22/69 #● | | | 656,000 | | | $ | 651,329 | |
Lehman Mortgage Trust
Series2007-10 2A2 6.50% 1/25/38 | | | 1,469,421 | | | | 801,291 | |
Ludgate Funding | | | | | | | | |
Series2006-1X A2A 0.791% (BP0003M + 0.19%) 12/1/60● | | GBP | 1,375,450 | | | | 1,503,125 | |
Series2008-W1X A1 1.196% (BP0003M + 0.60%) 1/1/61● | | GBP | 593,801 | | | | 664,710 | |
Mansard Mortgages
Series2007-1X A2 0.905% (BP0003M + 0.18%) 4/15/47● | | GBP | 656,504 | | | | 717,690 | |
MASTR Alternative Loan Trust | | | | | | | | |
Series2004-3 8A1 7.00% 4/25/34 | | | 1,430 | | | | 1,479 | |
Series2004-5 6A1 7.00% 6/25/34 | | | 27,810 | | | | 28,765 | |
MASTR ARM Trust
Series2004-4 4A1 3.763% 5/25/34● | | | 58,455 | | | | 49,911 | |
Merrill Lynch Mortgage Investors Trust
Series2004-A1 2A2 3.869% 2/25/34● | | | 3,321 | | | | 3,101 | |
New Residential Mortgage Loan Trust | | | | | | | | |
Series 2018-RPL1 A1 144A 3.50%
12/25/57 #● | | | 321,812 | | | | 321,583 | |
Series 2019-RPL3 A1 144A 2.75%
7/25/59 #● | | | 5,679,740 | | | | 5,655,968 | |
Opteum Mortgage Acceptance Trust
Series2006-1 2A1 5.75% 4/25/36● | | | 32,704 | | | | 32,563 | |
RALI Series Trust | | | | | | | | |
Series2007-QA5 2A1 6.109% 9/25/37● | | | 3,123,894 | | | | 2,415,977 | |
Series2007-QH8 A 2.91% 10/25/37● | | | 1,924,955 | | | | 1,521,236 | |
Reperforming Loan REMIC Trust
Series2006-R1 AF1 144A 1.287% (LIBOR01M + 0.34%, Cap 9.50%, Floor 0.34%) 1/25/36 #● | | | 924,639 | | | | 837,436 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Non-Agency Collateralized Mortgage Obligations (continued) | |
| |
RFMSI Trust
Series2004-S9 2A1
4.75% 12/25/20 | | | 59 | | | $ | 60 | |
Sequoia Mortgage Trust | | | | | | | | |
Series2004-5 A3 2.465% (LIBOR06M + 0.56%, Cap 11.50%, Floor 0.28%)
6/20/34● | | | 137,896 | | | | 117,751 | |
Series2007-1 4A1
3.641% 9/20/46● | | | 424,073 | | | | 298,954 | |
Series2015-1 B2 144A 3.875% 1/25/45 #● | | | 340,173 | | | | 322,940 | |
Series2017-4 A1 144A 3.50% 7/25/47 #● | | | 250,170 | | | | 254,003 | |
Series2017-5 B2 144A 3.842% 8/25/47 #● | | | 3,112,589 | | | | 2,904,058 | |
Series2018-5 A4 144A 3.50% 5/25/48 #● | | | 346,566 | | | | 344,510 | |
Series2019-CH1 A1 144A 4.50% 3/25/49 #● | | | 493,490 | | | | 492,561 | |
Structured ARM Loan Trust
Series2006-1 7A4
3.807% 2/25/36● | | | 252,054 | | | | 211,766 | |
Structured Asset Mortgage Investments II Trust
Series2005-AR5 A2 1.00% (LIBOR01M + 0.25%, Cap 11.00%, Floor 0.25%)
7/19/35● | | | 257,713 | | | | 221,891 | |
WaMu Mortgage Pass Through Certificates Trust | | | | | | | | |
Series 2005-AR16 1A3 3.752% 12/25/35t● | | | 313,778 | | | | 270,695 | |
Series2007-HY1 3A3 3.655% 2/25/37t● | | | 196,494 | | | | 157,331 | |
Series2007-HY7 4A1 3.983% 7/25/37t● | | | 393,832 | | | | 307,934 | |
Washington Mutual Mortgage Pass Through Certificates Trust
Series2005-1 5A2
6.00% 3/25/35t | | | 2,751 | | | | 215 | |
Wells Fargo Mortgage-Backed Securities Trust | | | | | | | | |
Series2006-AR5 2A1 4.138% 4/25/36● | | | 21,243 | | | | 18,018 | |
Series 2006-AR11 A6 4.839% 8/25/36● | | | 238,342 | | | | 211,600 | |
66
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Non-Agency Collateralized Mortgage Obligations (continued) | |
| |
Wells Fargo Mortgage-Backed Securities Trust
Series2020-1 A1 144A 3.00% 12/25/49 #● | | | 647,831 | | | $ | 642,948 | |
| | | | | | | | |
TotalNon-Agency Collateralized Mortgage Obligations
(cost $51,860,277) | | | | | | | 45,692,952 | |
| | | | | | | | |
| | | | | | | | |
| |
Non-Agency Commercial Mortgage-Backed Securities – 4.54% | |
| |
BANK | | | | | | | | |
Series 2017-BNK5 A5 3.39% 6/15/60 | | | 1,430,000 | | | | 1,514,713 | |
Series 2017-BNK5 B 3.896% 6/15/60● | | | 605,000 | | | | 567,971 | |
Series 2017-BNK7 A5 3.435% 9/15/60 | | | 1,110,000 | | | | 1,176,644 | |
Series 2019-BN20 A3 3.011% 9/15/62 | | | 8,000,000 | | | | 8,332,828 | |
Series 2019-BN21 A5 2.851% 10/17/52 | | | 2,100,000 | | | | 2,159,463 | |
BBCMS Trust
Series2015-STP A 144A 3.323%
9/10/28 # | | | 2,469,441 | | | | 2,458,346 | |
Benchmark Mortgage Trust | | | | | | | | |
Series2018-B1 A5 3.666% 1/15/51● | | | 2,310,000 | | | | 2,531,365 | |
Series2018-B3 A5 4.025% 4/10/51 | | | 550,000 | | | | 608,047 | |
Series2019-B9 A5 4.016% 3/15/52 | | | 7,865,000 | | | | 8,704,112 | |
Series2020-B17 A5 2.289% 3/15/53 | | | 2,000,000 | | | | 1,959,156 | |
Cantor Commercial Real Estate Lending | | | | | | | | |
Series2019-CF1 A5 3.786% 5/15/52 | | | 2,340,000 | | | | 2,571,081 | |
Series2019-CF2 A5 2.874% 11/15/52 | | | 4,000,000 | | | | 4,104,226 | |
Series2019-CF3 A4 3.006% 1/15/53 | | | 800,000 | | | | 799,304 | |
CD Mortgage Trust | | | | | | | | |
Series2017-CD6 B 3.911% 11/13/50● | | | 440,000 | | | | 409,777 | |
Series2019-CD8 A4 2.912% 8/15/57 | | | 8,775,000 | | | | 9,030,939 | |
CFCRE Commercial Mortgage Trust
Series2016-C7 A3 3.839% 12/10/54 | | | 3,100,000 | | | | 3,266,289 | |
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Non-Agency Commercial Mortgage-Backed Securities (continued) | |
| |
Citigroup Commercial Mortgage Trust | | | | | | | | |
Series 2014-GC25 A4
3.635% 10/10/47 | | | 785,000 | | | $ | 812,198 | |
Series 2015-GC27 A5
3.137% 2/10/48 | | | 1,400,000 | | | | 1,420,167 | |
Series2016-P3 A4
3.329% 4/15/49 | | | 1,305,000 | | | | 1,337,567 | |
Series2017-C4 A4
3.471% 10/12/50 | | | 635,000 | | | | 657,629 | |
Series2018-C5 A4
4.228% 6/10/51● | | | 1,700,000 | | | | 1,890,392 | |
Series2019-C7 A4
3.102% 12/15/72 | | | 1,450,000 | | | | 1,500,804 | |
COMM Mortgage Trust | | | | | | | | |
Series2013-WWP A2 144A
3.424% 3/10/31 # | | | 1,100,000 | | | | 1,132,955 | |
Series 2014-CR20 AM
3.938% 11/10/47 | | | 2,225,000 | | | | 2,261,081 | |
Series2015-3BP A 144A
3.178% 2/10/35 # | | | 605,000 | | | | 619,438 | |
Series 2015-CR23 A4
3.497% 5/10/48 | | | 780,000 | | | | 821,288 | |
Series 2016-CR28 A4
3.762% 2/10/49 | | | 2,330,000 | | | | 2,440,803 | |
DB-JPM Mortgage Trust | | | | | | | | |
Series2016-C1 A4
3.276% 5/10/49 | | | 900,000 | | | | 947,379 | |
Series2016-C3 A5
2.89% 8/10/49 | | | 945,000 | | | | 978,595 | |
DB-UBS Mortgage Trust
Series 2011-LC1A C 144A 5.689% 11/10/46 #● | | | 600,000 | | | | 588,774 | |
GS Mortgage Securities II
Series 2018-GS10 C 4.412% 7/10/51● | | | 465,000 | | | | 366,028 | |
GS Mortgage Securities Trust | | | | | | | | |
Series2010-C1 C 144A
5.635% 8/10/43 #● | | | 375,000 | | | | 366,802 | |
Series 2015-GC32 A4
3.764% 7/10/48 | | | 1,000,000 | | | | 1,035,642 | |
Series 2016-RENT A 144A
3.203% 2/10/29 # | | | 2,300,000 | | | | 2,285,388 | |
Series2017-GS5 A4
3.674% 3/10/50 | | | 1,280,000 | | | | 1,340,491 | |
Series2017-GS6 A3
3.433% 5/10/50 | | | 1,935,000 | | | | 1,967,739 | |
Series2018-GS9 A4
3.992% 3/10/51● | | | 570,000 | | | | 611,318 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Non-Agency Commercial Mortgage-Backed Securities (continued) | |
| |
GS Mortgage Securities Trust | | | | | | | | |
Series 2019-GC39 A4
3.567% 5/10/52 | | | 1,250,000 | | | $ | 1,306,572 | |
Series 2019-GC42 A4
3.001% 9/1/52 | | | 5,000,000 | | | | 5,184,633 | |
JPM-BB Commercial Mortgage Securities Trust | | | | | | | | |
Series2015-C31 A3
3.801% 8/15/48 | | | 8,967,272 | | | | 9,572,268 | |
Series2015-C33 A4
3.77% 12/15/48 | | | 570,000 | | | | 609,007 | |
JPM-DB Commercial Mortgage Securities Trust | | | | | | | | |
Series2016-C2 A4
3.144% 6/15/49 | | | 1,640,000 | | | | 1,714,557 | |
Series2016-C4 A3
3.141% 12/15/49 | | | 1,065,000 | | | | 1,118,975 | |
Series2017-C7 A5
3.409% 10/15/50 | | | 2,395,000 | | | | 2,542,737 | |
JPMorgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
Series 2013-LC11 B
3.499% 4/15/46 | | | 355,000 | | | | 344,314 | |
Series2016-JP2 AS
3.056% 8/15/49 | | | 1,250,000 | | | | 1,223,673 | |
Series 2016-WIKI A 144A
2.798% 10/5/31 # | | | 705,000 | | | | 603,827 | |
Series 2016-WIKI B 144A
3.201% 10/5/31 # | | | 690,000 | | | | 582,913 | |
LB-UBS Commercial Mortgage Trust
Series2006-C6 AJ 5.452%
9/15/39● | | | 435,329 | | | | 254,624 | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
Series2015-C26 A5
3.531% 10/15/48 | | | 960,000 | | | | 992,967 | |
Series2015-C27 ASB
3.557% 12/15/47 | | | 2,200,000 | | | | 2,286,962 | |
Series2016-C29 A4
3.325% 5/15/49 | | | 1,445,000 | | | | 1,480,798 | |
Morgan Stanley Capital I Trust | | | | | | | | |
Series2014-CPT AM 144A
3.402% 7/13/29 #● | | | 2,200,000 | | | | 2,168,970 | |
Series2019-L3 A4
3.127% 11/15/52 | | | 1,000,000 | | | | 1,047,403 | |
UBS Commercial Mortgage Trust
Series2018-C9 A4 4.117%
3/15/51● | | | 970,000 | | | | 1,079,139 | |
| | | | | | | | |
| | | Principal amount° | | | Value
(US $) | |
| |
Non-Agency Commercial Mortgage-Backed Securities (continued) | |
| |
UBS-Barclays Commercial Mortgage Trust
Series2013-C5 B 144A
3.649% 3/10/46 #● | | | 480,000 | | | $ | 468,583 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
Series 2014-LC18 A5
3.405% 12/15/47 | | | 275,000 | | | | 282,078 | |
Series 2015-NXS3 A4
3.617% 9/15/57 | | | 510,000 | | | | 529,682 | |
Series 2016-BNK1 A3
2.652% 8/15/49 | | | 1,220,000 | | | | 1,200,551 | |
Series2017-C38 A5
3.453% 7/15/50 | | | 905,000 | | | | 944,520 | |
| | | | | | | | |
TotalNon-Agency Commercial Mortgage-Backed Securities
(cost $112,627,203) | | | | 113,116,492 | |
| | | | | | | | |
|
| |
Regional Bond – 0.09%D | |
| |
Spain – 0.09% | | | | | | | | |
Autonomous Community of Catalonia 4.90% 9/15/21 EUR | | | 1,800,000 | | | | 2,109,197 | |
| | | | | | | | |
| |
Total Regional Bond(
cost $2,021,903) | | | | 2,109,197 | |
| | | | | | | | |
|
| |
Loan Agreements – 1.75% | |
| |
Acrisure Tranche B 5.207% (LIBOR03M + 3.50%) 2/15/27● | | | 627,475 | | | | 533,354 | |
American Airlines Tranche B 2.705% (LIBOR01M + 2.00%) 12/14/23● | | | 898,138 | | | | 750,844 | |
Applied Systems 2nd Lien 8.45% (LIBOR03M + 7.00%) 9/19/25● | | | 608,922 | | | | 563,253 | |
Aramark Services TrancheB-3 2.739% (LIBOR01M + 1.75%)
3/11/25● | | | 359,075 | | | | 336,932 | |
AssuredPartners 4.489% (LIBOR01M + 3.50%)
2/12/27● | | | 955,044 | | | | 852,377 | |
AthenaHealth Tranche B 1st Lien 5.284% (LIBOR03M + 4.50%)
2/11/26● | | | 400,950 | | | | 376,893 | |
Ball Metalpack Finco 2nd Lien 10.363% (LIBOR03M + 8.75%)
7/24/26● | | | 79,000 | | | | 57,275 | |
Bausch Health 3.612% (LIBOR01M + 3.00%)
6/2/25● | | | 306,272 | | | | 293,510 | |
68
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Loan Agreements (continued) | |
| |
Berry Global Tranche W 2.863% (LIBOR03M + 2.00%) 10/1/22● | | | 1,075,000 | | | $ | 1,037,913 | |
Berry Global Tranche Y 2.863% (LIBOR03M + 2.00%) 7/1/26● | | | 696,735 | | | | 659,808 | |
Blue Ribbon 1st Lien 5.623% (LIBOR03M + 4.00%) 11/15/21● | | | 245,723 | | | | 194,530 | |
Boxer Parent 5.239% (LIBOR01M + 4.25%) 10/2/25● | | | 384,704 | | | | 329,692 | |
Buckeye Partners 4.265% (LIBOR01M + 2.75%) 11/1/26● | | | 530,373 | | | | 493,247 | |
BWay Holding 5.084% (LIBOR03M + 3.25%)
4/3/24● | | | 156,392 | | | | 129,805 | |
Calpine 3.24% (LIBOR01M +
2.25%) 4/5/26● | | | 248,125 | | | | 239,441 | |
Calpine TBD 1/15/24 X | | | 395,484 | | | | 381,971 | |
Change Healthcare Holdings
3.498% (LIBOR01M +
2.50%) 3/1/24● | | | 196,572 | | | | 181,501 | |
Charter Communications Operating Tranche B2 2.74%
(LIBOR01M + 1.75%)
2/1/27● | | | 488,535 | | | | 472,251 | |
Chemours TrancheB-2 2.74% (LIBOR01M + 1.75%)
4/3/25● | | | 1,399,707 | | | | 1,270,234 | |
Chesapeake Energy Tranche A TBD 6/24/24 X | | | 194,667 | | | | 79,035 | |
CityCenter Holdings 3.239% (LIBOR01M + 2.25%) 4/18/24● | | | 912,368 | | | | 808,586 | |
Connect US Finco 5.49% (LIBOR01M + 4.50%) 12/12/26● | | | 649,000 | | | | 530,557 | |
Core & Main 4.331% (LIBOR01M + 2.75%)
8/1/24● | | | 543,872 | | | | 481,327 | |
CPI Holdco 1st Lien 5.70% (LIBOR03M + 4.25%)
11/4/26● | | | 151,000 | | | | 132,880 | |
CSC Holdings | | | | | | | | |
2.862% (LIBOR01M + 2.25%) 7/17/25● | | | 316,063 | | | | 306,581 | |
3.112% (LIBOR01M + 2.50%) 4/15/27● | | | 291,313 | | | | 282,087 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Loan Agreements (continued) | |
| |
Cushman & Wakefield 3.739% (LIBOR01M + 2.75%)
8/21/25● | | | 296,250 | | | $ | 266,625 | |
Datto 5.239% (LIBOR01M +
4.25%) 4/2/26● | | | 342,412 | | | | 296,829 | |
DaVita TrancheB-1 2.739% (LIBOR01M + 1.75%)
8/12/26● | | | 804,960 | | | | 769,407 | |
Delek US Holdings 3.239% (LIBOR01M + 2.25%)
3/31/25● | | | 129,065 | | | | 95,723 | |
Edgewater Generation 4.739%
(LIBOR01M + 3.75%)
12/15/25● | | | 212,312 | | | | 174,804 | |
Ensemble RCM 5.513% (LIBOR03M + 3.75%)
8/1/26● | | | 366,160 | | | | 341,139 | |
ESH Hospitality 2.989% (LIBOR01M + 2.00%)
9/18/26● | | | 464,263 | | | | 405,650 | |
ExamWorks Group TrancheB-1 4.323% (LIBOR03M + 3.25%) 7/27/23● | | | 725,653 | | | | 658,530 | |
Frontier Communications TrancheB-1 TBD
6/17/24 X | | | 717,000 | | | | 679,955 | |
Garda World Security Tranche B 1st Lien 6.39% (LIBOR03M + 4.75%) 10/23/26● | | | 275,513 | | | | 263,115 | |
Gardner Denver TrancheB-1
2.739% (LIBOR01M +
1.75%) 3/1/27● | | | 679,317 | | | | 641,954 | |
Granite Generation 4.818% (LIBOR01M + 3.75%)
11/9/26● | | | 279,766 | | | | 241,997 | |
Granite US Holdings Tranche B 6.322% (LIBOR03M + 5.25%) 9/30/26● | | | 137,505 | | | | 99,691 | |
Gray Television TrancheB-2
3.765% (LIBOR01M +
2.25%) 2/7/24● | | | 1,018,322 | | | | 964,860 | |
GVC Holdings Tranche B3
3.308% (LIBOR06M +
2.25%) 3/29/24● | | | 522,340 | | | | 434,413 | |
HCA TrancheB-12 2.739% (LIBOR01M + 1.75%)
3/13/25● | | | 1,298,599 | | | | 1,246,655 | |
Hilton Worldwide Finance TrancheB-2 2.697% (LIBOR01M + 1.75%)
6/22/26● | | | 1,172,387 | | | | 1,099,113 | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Loan Agreements (continued) | |
| |
HUB International 4.543% (LIBOR02M + 2.75%) 4/25/25● | | | 736,875 | | | $ | 696,347 | |
Ineos US Finance 2.989% (LIBOR01M + 2.00%)
4/1/24● | | | 253,841 | | | | 229,218 | |
Informatica 4.243% (LIBOR01M + 3.25%) 2/25/27● | | | 755,000 | | | | 679,500 | |
Invictus 1st Lien 4.779% (LIBOR06M + 3.00%) 3/28/25● | | | 219,521 | | | | 173,787 | |
IQVIA TrancheB-3 3.20% (LIBOR03M + 1.75%) 6/11/25● | | | 545,288 | | | | 518,023 | |
Iron Mountain Information Management Tranche B 2.739% (LIBOR01M + 1.75%) 1/2/26● | | | 623,753 | | | | 601,921 | |
JBS USA LUX 3.072% (LIBOR03M + 2.00%)
5/1/26● | | | 163,350 | | | | 154,249 | |
Kronos 4.763% (LIBOR03M + 3.00%) 11/1/23● | | | 863,778 | | | | 800,074 | |
Merrill Communications Tranche B 1st Lien 6.908% (LIBOR03M + 5.00%) 10/5/26● | | | 211,470 | | | | 174,463 | |
Microchip Technology 2.99% (LIBOR01M + 2.00%) 5/29/25● | | | 511,654 | | | | 485,218 | |
NFP 4.239% (LIBOR01M + 3.25%) 2/15/27● | | | 443,929 | | | | 388,438 | |
Numericable US TrancheB-11 3.739% (LIBOR01M + 2.75%) 7/31/25● | | | 351,847 | | | | 323,699 | |
Numericable US TrancheB-13 4.705% (LIBOR01M + 4.00%) 8/14/26● | | | 133,312 | | | | 126,203 | |
ON Semiconductor TrancheB-4 2.989% (LIBOR01M + 2.00%) 9/16/26● | | | 1,287,712 | | | | 1,214,474 | |
Panda Patriot TrancheB-1 TBD 12/19/20 X | | | 693,397 | | | | 588,232 | |
Penn National Gaming TrancheB-1 3.239% (LIBOR01M + 2.25%) 10/15/25● | | | 987,500 | | | | 764,215 | |
Perstorp Holding Tranche B 5.822% (LIBOR06M + 4.75%) 4/13/26● | | | 449,602 | | | | 306,854 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Loan Agreements (continued) | |
| |
PQ Tranche B 4.027% (LIBOR03M + 2.25%)
2/8/27● | | | 792,535 | | | $ | 715,263 | |
Pregis Topco 1st Lien 4.989% (LIBOR01M + 4.00%)
7/24/26● | | | 266,332 | | | | 234,373 | |
Prestige Brands TrancheB-4
2.989% (LIBOR01M +
2.00%) 1/26/24● | | | 378,615 | | | | 355,267 | |
Prime Security Services Borrower TrancheB-1 4.606% (LIBOR01M + 3.25%) 9/23/26● | | | 455,955 | | | | 414,919 | |
Radiate Holdco 3.989% (LIBOR01M + 3.00%)
2/1/24● | | | 180,898 | | | | 166,426 | |
Russell Investments US Institutional Holdco 3.822% (LIBOR06M + 2.75%)
6/1/23● | | | 425,673 | | | | 394,812 | |
Scientific Games International TrancheB-5 4.246% (LIBOR01M + 2.75%)
8/14/24● | | | 1,108,390 | | | | 900,566 | |
Sinclair Television Group Tranche B 3.24% (LIBOR01M + 2.25%)
1/3/24● | | | 1,548,000 | | | | 1,486,080 | |
Solenis International 1st Lien 5.613% (LIBOR03M + 4.00%) 6/26/25● | | | 590,000 | | | | 473,966 | |
Sprint Communications | | | | | | | | |
Loan 3.50% (LIBOR01M + 2.50%) 2/2/24● | | | 1,486,901 | | | | 1,481,325 | |
Loan 4.00% (LIBOR01M + 3.00%) 2/2/24● | | | 311,062 | | | | 308,600 | |
SS&C Technologies TrancheB-3 2.739% (LIBOR01M + 1.75%) 4/16/25● | | | 264,369 | | | | 251,811 | |
SS&C Technologies TrancheB-4 2.739% (LIBOR01M + 1.75%) 4/16/25● | | | 188,645 | | | | 179,685 | |
Staples TrancheB-1 6.515% (LIBOR01M + 5.00%)
4/16/26● | | | 101,044 | | | | 81,214 | |
Stars Group Holdings 4.95% (LIBOR03M + 3.50%)
7/10/25● | | | 86,949 | | | | 83,362 | |
Surf Holdings 1st Lien
4.814% (LIBOR03M +
3.50%) 3/5/27● | | | 320,000 | | | | 287,200 | |
70
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Loan Agreements (continued) | |
| |
Tecta America Tranche AR
5.489% (LIBOR01M +
4.50%) 11/20/25● | | | 280,140 | | | $ | 247,924 | |
Telenet Financing 2.705% (LIBOR01M + 2.00%) 4/30/28● | | | 545,000 | | | | 506,169 | |
Terrier Media Buyer TBD
12/17/26 X | | | 523,000 | | | | 453,376 | |
Titan Acquisition 4.45% (LIBOR03M + 3.00%) 3/28/25● | | | 57,329 | | | | 48,873 | |
Transdigm Tranche F 3.239% (LIBOR01M + 2.25%) 12/9/25● | | | 597,693 | | | | 558,843 | |
Trident TPI Holdings TrancheB-1 4.323% (LIBOR03M + 3.25%) 10/17/24● | | | 269,362 | | | | 226,264 | |
UGI Energy Services 4.739% (LIBOR01M + 3.75%) 8/7/26● | | | 209,632 | | | | 181,331 | |
Ultimate Software Group 1st Lien 4.739% (LIBOR01M + 3.75%) 5/4/26● | | | 1,277,899 | | | | 1,207,614 | |
United Rentals (North America) 2.739% (LIBOR01M + 1.75%) 10/31/25● | | | 49,250 | | | | 45,864 | |
US Foods Tranche B 3.072% (LIBOR06M + 2.00%) 9/13/26● | | | 811,423 | | | | 755,976 | |
USI 4.989% (LIBOR01M +
4.00%) 12/2/26● | | | 167,281 | | | | 153,062 | |
USI Tranche B 3.989% (LIBOR03M + 3.00%) 5/16/24● | | | 1,421,834 | | | | 1,297,424 | |
USIC Holdings Tranche B
4.25% (LIBOR01M +
3.25%) 12/8/23● | | | 478,643 | | | | 404,454 | |
Vistra Operations 2.703% (LIBOR01M + 1.75%) 12/31/25● | | | 524,452 | | | | 472,007 | |
Zekelman Industries 3.209% (LIBOR01M + 2.25%) 1/24/27● | | | 280,000 | | | | 261,800 | |
Zelis Cost Management
5.739% (LIBOR01M +
4.75%) 9/30/26● | | | 226,233 | | | | 209,266 | |
| | | | | | | | |
| | |
Total Loan Agreements
(cost $47,340,411) | | | | | | | 43,526,375 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Sovereign Bonds – 1.50%D | |
| |
Angola – 0.00% | | | | | | | | |
Angolan Government International Bond 144A 8.00% 11/26/29 # | | | 209,000 | | | $ | 87,257 | |
| | | | | | | | |
| | |
| | | | | | | 87,257 | |
| | | | | | | | |
| | |
Argentina – 0.02% | | | | | | | | |
Argentine Republic Government International Bonds | | | | | | | | |
5.625% 1/26/22 | | | 1,172,000 | | | | 345,740 | |
6.875% 1/11/48 | | | 214,000 | | | | 56,445 | |
| | | | | | | | |
| | |
| | | | | | | 402,185 | |
| | | | | | | | |
| | |
Azerbaijan – 0.02% | | | | | | | | |
Republic of Azerbaijan International Bond 144A 4.75%
3/18/24 # | | | 547,000 | | | | 535,889 | |
| | | | | | | | |
| | |
| | | | | | | 535,889 | |
| | | | | | | | |
| | |
Brazil – 0.01% | | | | | | | | |
Brazilian Government International Bond 4.75% 1/14/50 | | | 233,000 | | | | 215,187 | |
| | | | | | | | |
| | |
| | | | | | | 215,187 | |
| | | | | | | | |
| | |
Chile – 0.01% | | | | | | | | |
Chile Government International Bond 3.50% 1/25/50 | | | 200,000 | | | | 208,500 | |
| | | | | | | | |
| | |
| | | | | | | 208,500 | |
| | | | | | | | |
| | |
Colombia – 0.03% | | | | | | | | |
Colombia Government International Bonds | | | | | | | | |
4.00% 2/26/24 | | | 495,000 | | | | 502,752 | |
5.00% 6/15/45 | | | 200,000 | | | | 207,000 | |
| | | | | | | | |
| | |
| | | | | | | 709,752 | |
| | | | | | | | |
| | |
Cyprus – 0.06% | | | | | | | | |
Cyprus Government International Bond 3.875% 5/6/22 | | EUR | 1,200,000 | | | | 1,410,240 | |
| | | | | | | | |
| | |
| | | | | | | 1,410,240 | |
| | | | | | | | |
| |
Dominican Republic – 0.04% | | | | | |
Dominican Republic International Bonds | | | | | | | | |
144A 4.50% 1/30/30 # | | | 367,000 | | | | 320,941 | |
144A 6.00% 7/19/28 # | | | 710,000 | | | | 679,039 | |
| | | | | | | | |
| | |
| | | | | | | 999,980 | |
| | | | | | | | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Sovereign Bondsr (continued) | |
| |
Ecuador – 0.01% | | | | | | | | |
Ecuador Government International Bond 144A 10.75% 1/31/29 # | | | 883,000 | | | $ | 253,863 | |
| | | | | | | | |
| | |
| | | | | | | 253,863 | |
| | | | | | | | |
| | |
Egypt – 0.11% | | | | | | | | |
Egypt Government International Bonds | | | | | | | | |
144A 5.577% 2/21/23 # | | | 2,620,000 | | | | 2,435,801 | |
144A 6.875% 4/30/40 # | | | 100,000 | | | | 78,249 | |
144A 8.70% 3/1/49 # | | | 359,000 | | | | 299,718 | |
| | | | | | | | |
| | |
| | | | | | | 2,813,768 | |
| | | | | | | | |
| | |
El Salvador – 0.01% | | | | | | | | |
El Salvador Government International Bond 144A 7.125% 1/20/50 # | | | 480,000 | | | | 373,920 | |
| | | | | | | | |
| | |
| | | | | | | 373,920 | |
| | | | | | | | |
| | |
Gabon – 0.00% | | | | | | | | |
Gabon Government | | | | | | | | |
International Bond 144A 6.625% 2/6/31 # | | | 200,000 | | | | 123,767 | |
| | | | | | | | |
| | |
| | | | | | | 123,767 | |
| | | | | | | | |
| | |
Ghana – 0.01% | | | | | | | | |
Ghana Government International Bond 144A 7.875% 3/26/27 # | | | 309,000 | | | | 230,305 | |
| | | | | | | | |
| | |
| | | | | | | 230,305 | |
| | | | | | | | |
| | |
Guatemala – 0.02% | | | | | | | | |
Guatemala Government Bond
144A 4.875%
2/13/28 # | | | 400,000 | | | | 391,417 | |
| | | | | | | | |
| | |
| | | | | | | 391,417 | |
| | | | | | | | |
| | |
Indonesia – 0.01% | | | | | | | | |
Indonesia Government International Bond 144A 4.625% 4/15/43 # | | | 200,000 | | | | 213,576 | |
| | | | | | | | |
| | |
| | | | | | | 213,576 | |
| | | | | | | | |
| | |
Israel – 0.06% | | | | | | | | |
Israel Government International Bond 2.75% 7/3/30 | | | 1,420,000 | | | | 1,420,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,420,000 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Sovereign Bondsr (continued) | |
| |
Ivory Coast – 0.01% | | | | | | | | |
Ivory Coast Government International Bond 144A 6.125% 6/15/33 # | | | 366,000 | | | $ | 320,966 | |
| | | | | | | | |
| | |
| | | | | | | 320,966 | |
| | | | | | | | |
| | |
Japan – 0.03% | | | | | | | | |
Japan Bank for International Cooperation 2.125% 6/1/20 | | | 700,000 | | | | 701,310 | |
| | | | | | | | |
| | |
| | | | | | | 701,310 | |
| | | | | | | | |
| | |
Kenya – 0.03% | | | | | | | | |
Kenya Government International Bond 144A 8.00% 5/22/32 # | | | 835,000 | | | | 774,452 | |
| | | | | | | | |
| | |
| | | | | | | 774,452 | |
| | | | | | | | |
| | |
Kuwait – 0.14% | | | | | | | | |
Kuwait International Government Bond 144A 2.75% 3/20/22 # | | | 3,400,000 | | | | 3,425,619 | |
| | | | | | | | |
| | |
| | | | | | | 3,425,619 | |
| | | | | | | | |
| | |
Lebanon – 0.00% | | | | | | | | |
Lebanon Government International Bond 6.25% 5/27/22 ‡ | | | 436,000 | | | | 84,392 | |
| | | | | | | | |
| | |
| | | | | | | 84,392 | |
| | | | | | | | |
| | |
Mexico – 0.02% | | | | | | | | |
Mexico Government International Bonds | | | | | | | | |
3.25% 4/16/30 | | | 200,000 | | | | 187,950 | |
4.60% 2/10/48 | | | 200,000 | | | | 201,702 | |
| | | | | | | | |
| | |
| | | | | | | 389,652 | |
| | | | | | | | |
| | |
Mongolia – 0.01% | | | | | | | | |
Mongolia Government International Bond 144A 5.625% 5/1/23 # | | | 306,000 | | | | 275,390 | |
| | | | | | | | |
| | |
| | | | | | | 275,390 | |
| | | | | | | | |
| | |
Nigeria – 0.01% | | | | | | | | |
Nigeria Government International Bond 144A 7.875% 2/16/32 # | | | 220,000 | | | | 155,650 | |
| | | | | | | | |
| | |
| | | | | | | 155,650 | |
| | | | | | | | |
72
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Sovereign BondsD (continued) | |
| |
Panama – 0.01% | | | | | | | | |
Panama Government International Bond 3.16% 1/23/30 | | | 200,000 | | | $ | 200,902 | |
| | | | | | | | |
| | |
| | | | | | | 200,902 | |
| | | | | | | | |
| | |
Paraguay – 0.02% | | | | | | | | |
Paraguay Government International Bond 144A 5.40% 3/30/50 # | | | 403,000 | | | | 411,064 | |
| | | | | | | | |
| | |
| | | | | | | 411,064 | |
| | | | | | | | |
| | |
Peru – 0.01% | | | | | | | | |
Peruvian Government International Bond 2.844% 6/20/30 | | | 260,000 | | | | 276,781 | |
| | | | | | | | |
| | |
| | | | | | | 276,781 | |
| | | | | | | | |
| | |
Philippines – 0.02% | | | | | | | | |
Philippine Government International Bond 5.50% 3/30/26 | | | 543,000 | | | | 622,144 | |
| | | | | | | | |
| | |
| | | | | | | 622,144 | |
| | | | | | | | |
| | |
Qatar – 0.13% | | | | | | | | |
Qatar Government International Bonds | | | | | | | | |
144A 4.00% 3/14/29 # | | | 490,000 | | | | 526,059 | |
144A 5.103% 4/23/48 # | | | 2,200,000 | | | | 2,678,544 | |
| | | | | | | | |
| | |
| | | | | | | 3,204,603 | |
| | | | | | | | |
| | |
Republic of Vietnam – 0.01% | | | | | | | | |
Vietnam Government International Bond 144A 4.80% 11/19/24 # | | | 200,000 | | | | 202,988 | |
| | | | | | | | |
| | |
| | | | | | | 202,988 | |
| | | | | | | | |
| | |
Romania – 0.01% | | | | | | | | |
Romanian Government International Bonds | | | | | | | | |
144A 3.375%
1/28/50 #EUR | | | 223,000 | | | | 220,958 | |
144A 6.125%
1/22/44 # | | | 88,000 | | | | 101,600 | |
| | | | | | | | |
| | |
| | | | | | | 322,558 | |
| | | | | | | | |
| | |
Russia – 0.04% | | | | | | | | |
Russian Foreign Bond - Eurobonds | | | | | | | | |
144A 4.25% 6/23/27 # | | | 800,000 | | | | 840,344 | |
144A 5.25% 6/23/47 # | | | 200,000 | | | | 242,960 | |
| | | | | | | | |
| | |
| | | | | | | 1,083,304 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
| |
Sovereign BondsD (continued) | |
| |
Saudi Arabia – 0.33% | | | | | | | | |
Saudi Government International Bonds | | | | | | | | |
2.375% 10/26/21 | | | 200,000 | | | $ | 198,330 | |
144A 2.875% 3/4/23 # | | | 2,200,000 | | | | 2,202,662 | |
144A 3.625% 3/4/28 # | | | 494,000 | | | | 503,880 | |
144A 4.50% 10/26/46 # | | | 800,000 | | | | 815,261 | |
144A 5.00% 4/17/49 # | | | 4,200,000 | | | | 4,554,627 | |
| | | | | | | | |
| | |
| | | | | | | 8,274,760 | |
| | | | | | | | |
| | |
Senegal – 0.01% | | | | | | | | |
Senegal Government International Bond 144A 6.75% 3/13/48 # | | | 210,000 | | | | 173,854 | |
| | | | | | | | |
| | |
| | | | | | | 173,854 | |
| | | | | | | | |
| | |
South Africa – 0.11% | | | | | | | | |
Republic of South Africa Government International Bonds | | | | | | | | |
4.85% 9/30/29 | | | 3,000,000 | | | | 2,475,036 | |
5.875% 6/22/30 | | | 268,000 | | | | 234,524 | |
| | | | | | | | |
| | |
| | | | | | | 2,709,560 | |
| | | | | | | | |
| | |
Sri Lanka – 0.02% | | | | | | | | |
Sri Lanka Government International Bonds | | | | | | | | |
144A 5.875% 7/25/22 # | | | 206,000 | | | | 142,140 | |
144A 6.20% 5/11/27 # | | | 453,000 | | | | 276,345 | |
| | | | | | | | |
| | |
| | | | | | | 418,485 | |
| | | | | | | | |
| | |
Turkey – 0.02% | | | | | | | | |
Turkey Government International Bonds | | | | | | | | |
5.75% 5/11/47 | | | 200,000 | | | | 148,043 | |
7.625% 4/26/29 | | | 500,000 | | | | 478,275 | |
| | | | | | | | |
| | |
| | | | | | | 626,318 | |
| | | | | | | | |
| | |
Ukraine – 0.05% | | | | | | | | |
Ukraine Government International Bonds | | | | | | | | |
144A 7.75% 9/1/26 # | | | 726,000 | | | | 670,642 | |
144A 9.75% 11/1/28 # | | | 515,000 | | | | 502,697 | |
| | | | | | | | |
| | |
| | | | | | | 1,173,339 | |
| | | | | | | | |
| | |
United Kingdom – 0.00% | | | | | | | | |
United Kingdom Gilt | | | | | | | | |
1.75% 9/7/22 | | GBP | 100,000 | | | | 129,051 | |
| | | | | | | | |
| | |
| | | | | | | 129,051 | |
| | | | | | | | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
Sovereign BondsD (continued) | | | | | |
Uruguay – 0.02% | | | | | |
Uruguay Government International Bonds | | | | | | | | |
4.375% 1/23/31 | | | 515,000 | | | $ | 563,544 | |
4.50% 8/14/24 | | | 57,000 | | | | 60,705 | |
| | | | | | | | |
| | |
| | | | | | | 624,249 | |
| | | | | | | | |
Uzbekistan – 0.02% | | | | | | | | |
Republic of Uzbekistan Bond 144A 5.375% 2/20/29 # | | | 448,000 | | | | 445,876 | |
| | | | | | | | |
| | | | | | | 445,876 | |
| | | | | | | | |
Total Sovereign Bonds
(cost $39,785,558) | | | | 37,416,873 | |
| | | | | | | | |
| | | | | | | | |
| |
Supranational Banks – 0.04% | | | | | |
Banque Ouest Africaine de Developpment 144A 4.70%
10/22/31 # | | | 301,000 | | | | 274,587 | |
144A 5.00%
7/27/27 # | | | 699,000 | | | | 655,851 | |
| | | | | | | | |
Total Supranational Banks
(cost $986,537) | | | | 930,438 | |
| | | | | | | | |
| | | | | | | | | |
| |
US Treasury Obligations – 30.94% | | | | | |
US Treasury Bonds | | | | | | | | |
2.00% 2/15/50 | | | 18,290,000 | | | | 21,253,194 | |
2.50% 2/15/45 | | | 37,100,000 | | | | 46,344,567 | |
2.75% 8/15/42 | | | 900,000 | | | | 1,162,512 | |
2.75% 11/15/42 | | | 1,400,000 | | | | 1,809,008 | |
2.875% 5/15/43 | | | 2,200,000 | | | | 2,899,703 | |
2.875% 8/15/45 | | | 16,700,000 | | | | 22,334,293 | |
3.00% 5/15/47 | | | 900,000 | | | | 1,244,461 | |
3.00% 8/15/48 | | | 3,770,000 | | | | 5,242,951 | |
3.125% 5/15/48 | | | 1,490,000 | | | | 2,113,123 | |
4.375% 5/15/40 | | | 100,000 | | | | 159,031 | |
4.50% 2/15/36 | | | 43,145,000 | | | | 66,321,955 | |
US Treasury Inflation Indexed Notes | | | | | | | | |
0.125% 4/15/22 | | | 3,394,432 | | | | 3,346,438 | |
0.125% 7/15/26 | | | 21,524 | | | | 21,733 | |
0.125% 1/15/30 | | | 69,795,859 | | | | 72,014,336 | |
0.25% 1/15/25 | | | 9,584,608 | | | | 9,672,803 | |
0.25% 7/15/29 | | | 7,866,378 | | | | 8,177,757 | |
0.375% 7/15/27 | | | 7,171,212 | | | | 7,383,751 | |
0.625% 4/15/23 | | | 3,053,396 | | | | 3,076,942 | |
0.625% 1/15/26 | | | 8,794,008 | | | | 9,088,146 | |
0.75% 7/15/28 | | | 2,569,263 | | | | 2,751,393 | |
0.875% 1/15/29 | | | 10,931,762 | | | | 11,890,960 | |
1.75% 1/15/28 | | | 14,924,447 | | | | 16,989,119 | |
2.375% 1/15/25 | | | 9,306,276 | | | | 10,323,074 | |
2.375% 1/15/27 | | | 1,662,973 | | | | 1,928,845 | |
| | | | | | | | |
| | | Principal
amount° | | | Value
(US $) | |
US Treasury Obligations (continued) | | | | | |
US Treasury Inflation Indexed Notes | | | | | | | | |
2.50% 1/15/29 | | | 36,046 | | | $ | 44,273 | |
US Treasury Notes | | | | | | | | |
0.50% 3/31/25 | | | 26,345,000 | | | | 26,514,288 | |
1.125% 8/31/21¥ | | | 13,800,000 | | | | 13,981,934 | |
1.125% 2/28/25 | | | 17,880,000 | | | | 18,550,500 | |
1.125% 2/28/27 | | | 16,900,000 | | | | 17,571,379 | |
1.25% 8/31/24 | | | 25,600,000 | | | | 26,617,999 | |
1.375% 1/31/25¥ | | | 15,560,000 | | | | 16,305,178 | |
1.50% 1/31/27 | | | 1,700,000 | | | | 1,809,371 | |
1.50% 2/15/30 | | | 19,700,000 | | | | 21,240,217 | |
1.625% 12/31/21 | | | 2,605,000 | | | | 2,668,955 | |
1.625% 9/30/26 | | | 8,300,000 | | | | 8,885,539 | |
1.625% 10/31/26 | | | 12,900,000 | | | | 13,812,574 | |
1.875% 7/31/22 | | | 39,700,000 | | | | 41,184,097 | |
1.875% 8/31/24 | | | 2,170,000 | | | | 2,313,423 | |
2.00% 10/31/21¥ | | | 1,600,000 | | | | 1,644,875 | |
2.00% 11/30/22¥ | | | 7,700,000 | | | | 8,053,117 | |
2.00% 6/30/24 | | | 7,700,000 | | | | 8,234,789 | |
2.125% 3/31/24 | | | 2,010,000 | | | | 2,153,055 | |
2.125% 11/30/24 | | | 11,130,000 | | | | 12,034,748 | |
2.25% 11/15/24 | | | 11,030,000 | | | | 11,980,906 | |
2.25% 3/31/26 | | | 24,500,000 | | | | 27,047,618 | |
2.375% 2/29/24 | | | 4,000,000 | | | | 4,322,031 | |
2.375% 8/15/24¥ | | | 1,820,000 | | | | 1,979,605 | |
2.375% 4/30/26 | | | 10,900,000 | | | | 12,122,844 | |
2.50% 1/31/21 | | | 19,600,000 | | | | 19,993,531 | |
2.50% 1/31/24 | | | 2,790,000 | | | | 3,021,374 | |
2.50% 2/28/26 | | | 3,700,000 | | | | 4,134,027 | |
2.625% 3/31/25 | | | 12,700,000 | | | | 14,101,961 | |
2.75% 7/31/23 | | | 46,200,000 | | | | 49,957,358 | |
2.875% 11/30/23¥ | | | 2,500,000 | | | | 2,734,082 | |
2.875% 7/31/25 | | | 15,500,000 | | | | 17,499,258 | |
2.875% 11/30/25 | | | 8,100,000 | | | | 9,191,285 | |
US Treasury Strip Principal
2.26% 5/15/44 ^ | | | 29,275,000 | | | | 20,989,502 | |
| | | | | | | | |
Total US Treasury
Obligations
(cost $724,657,246) | | | | 770,245,788 | |
| | | | | | | | |
| | |
| | | Number of | | | | |
| | | shares | | | | |
Common Stock – 0.00% | | | | | | | | |
Adelphia Recovery Trust =† | | | 1 | | | | — | |
Century Communications =† | | | 1,975,000 | | | | — | |
| | | | | | | | |
Total Common Stock
(cost $59,790) | | | | — | |
| | | | | | | | |
74
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
Preferred Stock – 0.03% | | | | | |
General Electric 5.00%µ | | | 300,000 | | | $ | 248,063 | |
USB Realty 144A 2.978% (LIBOR03M + 1.147%)#● | | | 500,000 | | | | 375,872 | |
| | | | | | | | |
Total Preferred Stock
(cost $749,132) | | | | 623,935 | |
| | | | | | | | |
| | |
| | | Number of
contracts | | | | |
Options Purchased – 0.00% | | | | | |
Put Swaption – 0.00% | | | | | |
30 yr IRS pay a fixed rate 0.86% and receive a floating rate based on6-monthGBP-ICE LIBOR expiration date 2/26/21, notional amount 1,565,200 (GS) | | GBP | 1,820,000 | | | | 88,182 | |
| | | | | | | | |
| | | | | | | 88,182 | |
| | | | | | | | |
Total Options Purchased
(premium paid $110,783) | | | | | | | 88,182 | |
| | | | | | | | |
| | |
| | | Number of
shares | | | | |
Short-Term Investments – 4.53% | | | | | |
Money Market Mutual Funds – 1.30% | | | | | |
BlackRock FedFund – Institutional Shares(seven-day effective yield 0.33%) | | | 6,477,040 | | | | 6,477,040 | |
Fidelity Investments Money Market Government Portfolio – Class I(seven-day effective yield 0.30%) | | | 6,477,040 | | | | 6,477,040 | |
GS Financial Square Government Fund - Institutional Shares(seven-day effective yield 0.34%) | | | 6,477,040 | | | | 6,477,040 | |
Morgan Stanley Government Portfolio – Institutional Share Class(seven-day effective yield 0.22%) | | | 6,477,040 | | | | 6,477,040 | |
| | | | | | | | |
| | | 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 0.24%) | | | 6,477,040 | | | $ | 6,477,040 | |
| | | | | | | | |
| | | | | | | 32,385,200 | |
| | | | | | | | |
| | | Principal
amount° | | | | |
Repurchase Agreements – 3.23% | |
US Treasury repurchase agreement with Barclays Capital 0.01%, dated 3/30/20, to be repurchased 4/1/20, repurchase price $38,400,011 (collateralized by US government obligation; 3.375% 11/15/48; market value $39,271,852) | | | 38,400,000 | | | | 38,400,000 | |
US Treasury repurchase agreement with J.P. Morgan Securities 0.00%, dated 3/31/20, to be repurchased 4/2/20, repurchase price $42,100,000 (collateralized by US government obligation; 0.50% 1/15/28; market value $43,174,592) | | | 42,100,000 | | | | 42,100,000 | |
| | | | | | | | |
| | | | | | | 80,500,000 | |
| | | | | | | | |
Total Short-Term Investments
(cost $112,885,200) | | | | 112,885,200 | |
| | | | | | | | |
| |
Total Value of Securities Before Options Written – 132.29%
(cost $3,274,899,866) | | | | 3,293,474,465 | |
| | | | | | | | |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | |
| | | Number of
contracts | | | Value
(US $) | |
Options Written – 0.00% | | | | | | | | |
Put Swaption – 0.00% | | | | | | | | |
10 yr IRS pay a fixed rate 0.78% and receive a floating rate based on6-monthGBP-ICE LIBOR expiration date 2/26/21, notional amount (4,032,600) (GS) | | | (5,170,000 | ) | | $ | (88,977 | ) |
| | | | | | | | |
Total Options Written
(premium received $108,782) | | | $ | (88,977 | ) |
| | | | | | | | |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2020, the aggregate value of Rule 144A securities was $411,713,220, which represents 16.54% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
| ◆ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
| = | 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.” |
| ° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
| ‡ | Non-income producing security. Security is currently in default. |
| r | Securities have been classified by country of origin. |
| µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at March 31, 2020. 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 March 31, 2020. 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 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 March 31, 2020, 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. |
| ^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
76
The following foreign currency exchange contracts, futures contracts, and swap contracts were outstanding at March 31, 2020:1
Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Currency to
Receive (Deliver) | | | In Exchange For | | Settlement
Date | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
BAML | | GBP | 3,630,000 | | | USD | (4,680,518 | ) | | | 4/2/20 | | | $ | — | | | $ | (171,582 | ) |
BAML | | JPY | (65,700,000 | ) | | USD | 609,179 | | | | 4/2/20 | | | | — | | | | (1,876 | ) |
BAML | | JPY | 65,700,000 | | | USD | (610,481 | ) | | | 5/7/20 | | | | 1,680 | | | | — | |
BAML | | KRW | (128,438,975 | ) | | USD | 108,309 | | | | 6/17/20 | | | | 2,643 | | | | — | |
BNP | | EUR | 1,589,000 | | | USD | (1,745,855 | ) | | | 4/2/20 | | | | 6,752 | | | | — | |
BNP | | GBP | (455,000 | ) | | USD | 582,110 | | | | 4/2/20 | | | | 16,941 | | | | — | |
BNP | | INR | 23,338,266 | | | USD | (322,507 | ) | | | 6/17/20 | | | | — | | | | (19,176 | ) |
CITI | | BRL | 49,078,525 | | | USD | (11,186,498 | ) | | | 4/2/20 | | | | — | | | | (1,742,535 | ) |
CITI | | EUR | (45,104,000 | ) | | USD | 49,447,876 | | | | 4/2/20 | | | | — | | | | (300,160 | ) |
CITI | | JPY | 65,700,000 | | | USD | (598,800 | ) | | | 4/2/20 | | | | 12,255 | | | | — | |
DB | | BRL | (49,078,525 | ) | | USD | 9,566,963 | | | | 4/2/20 | | | | 123,000 | | | | — | |
DB | | BRL | 49,078,525 | | | USD | (9,554,838 | ) | | | 5/5/20 | | | | — | | | | (132,305 | ) |
JPMCB | | EUR | 268,000 | | | USD | (293,862 | ) | | | 4/1/20 | | | | 1,724 | | | | — | |
JPMCB | | EUR | 43,515,000 | | | USD | (47,669,457 | ) | | | 4/2/20 | | | | 325,969 | | | | — | |
JPMCB | | EUR | (509,000 | ) | | USD | 561,391 | | | | 5/4/20 | | | | — | | | | (760 | ) |
JPMCB | | EUR | (34,605,000 | ) | | USD | 38,098,547 | | | | 5/5/20 | | | | — | | | | (121,515 | ) |
JPMCB | | EUR | (216,000 | ) | | USD | 245,402 | | | | 6/19/20 | | | | 7,664 | | | | — | |
JPMCB | | GBP | (4,702,000 | ) | | USD | 6,130,728 | | | | 4/2/20 | | | | 290,227 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | |
Total Foreign Currency Exchange Contracts | | | | | | | $ | 788,855 | | | $ | (2,489,909 | ) |
| | | | | | | | | | | | | | | | | | | | |
Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Currency 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 | | $ | 353,265 | | | $ | 348,735 | | | | 9/14/20 | | | $ | 4,530 | | | $ | — | | | | $ 128 | |
| 122 | | Euro-BTP | | | 19,027,253 | | | | 19,863,080 | | | | 6/8/20 | | | | — | | | | (835,827 | ) | | | (110,202 | ) |
| (76) | | Euro-Bund | | | (14,459,857 | ) | | | (14,653,402 | ) | | | 6/8/20 | | | | 193,545 | | | | — | | | | 91,156 | |
| (31) | | Long 10 yr Gilt | | | (5,244,010 | ) | | | (5,141,940 | ) | | | 6/26/20 | | | | — | | | | (102,070 | ) | | | 19,189 | |
| 327 | | US Treasury 5 yr Notes | | | 40,992,515 | | | | 39,649,521 | | | | 6/30/20 | | | | 1,342,994 | | | | — | | | | (15,327 | ) |
| (645) | | US Treasury 5 yr Notes | | | (80,856,797 | ) | | | (79,887,090 | ) | | | 6/30/20 | | | | — | | | | (969,707 | ) | | | 30,231 | |
| (93) | | US Treasury 10 yr Notes | | | (12,897,938 | ) | | | (12,379,554 | ) | | | 6/19/20 | | | | — | | | | (518,384 | ) | | | 13,078 | |
| (463) | | US Treasury 10 yr Notes | | | (64,212,312 | ) | | | (62,807,509 | ) | | | 6/19/20 | | | | — | | | | (1,404,803 | ) | | | 65,112 | |
| 337 | | US Treasury Long Bonds | | | 60,344,063 | | | | 55,852,930 | | | | 6/19/20 | | | | 4,491,133 | | | | — | | | | (558,156 | ) |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts | | | | | | $ | (59,155,229 | ) | | | | | | $ | 6,032,202 | | | $ | (3,830,791 | ) | | | $(464,791 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Schedules of investments
Optimum Fixed Income Fund
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 | % | | $ | (71,875 | ) | | $ | (4,145 | ) | | $ | — | | | $ | (67,730 | ) | | $ | 250 | |
Citigroup CDS 6.125% 6/30/20 WR12/20/20-Quarterly | | 700,000 | | | 1.000 | % | | | 1,150 | | | | 2,641 | | | | — | | | | (1,491 | ) | | | 325 | |
Daimler CDS 0.625% 3/5/20 A2 12/20/20- Quarterly | | EUR 800,000 | | | 1.000 | % | | | 2,523 | | | | 4,039 | | | | — | | | | (1,516 | ) | | | (72 | ) |
British Telecom 5.75% 12/7/28 Baa212/20/24-Quarterly | | EUR 2,800,000 | | | 1.000 | % | | | (21,029 | ) | | | 7,864 | | | | — | | | | (28,893 | ) | | | 2,619 | |
CDX.NA.HY.3256/20/24- Quarterly | | 4,074,000 | | | 5.000 | % | | | (202,359 | ) | | | 150,734 | | | | — | | | | (353,093 | ) | | | (59,726 | ) |
CDX.NA.HY.33512/20/24-Quarterly | | 10,192,000 | | | 5.000 | % | | | (621,392 | ) | | | 636,284 | | | | — | | | | (1,257,676 | ) | | | (801,988 | ) |
CDX.NA.IG.33612/20/24-Quarterly | | 37,900,000 | | | 1.000 | % | | | (136,086 | ) | | | 775,622 | | | | — | | | | (911,708 | ) | | | (106,280 | ) |
CDX.NA.IG.3466/20/25- Quarterly | | 23,600,000 | | | 1.000 | % | | | (165,611 | ) | | | (399,384 | ) | | | 233,773 | | | | — | | | | (62,781 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | (1,214,679 | ) | | | 1,173,655 | | | | 233,773 | | | | (2,622,107 | ) | | | (1,027,653 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-The-Counter: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Protection Purchases Moody’s Ratings: | | | | | | | | | | | | | | | | | | | | | | | | | | |
JPMCB Mexico 3.60% 12/31/21 WR6/20/25-Quarterly | | 3,330,000 | | | 1.000 | % | | | 214,304 | | | | 248,730 | | | | — | | | | (34,426 | ) | | | — | |
Protection Sold | | | | | | | | | | | | | | | | | | | | | | | | | | |
Moody’s Ratings: | | | | | | | | | | | | | | | | | | | | | | | | | | |
BAML Republic of Colombia 10.375% 1/28/33 Baa26/20/21-Quarterly | | 100,000 | | | 1.000 | % | | | (30 | ) | | | (798 | ) | | | 768 | | | | — | | | | — | |
BAML Republic of Colombia 10.375% 1/28/33 Baa26/20/22-Quarterly | | 250,000 | | | 1.000 | % | | | (1,989 | ) | | | (1,689 | ) | | | — | | | | (300 | ) | | | — | |
BNP Republic of Colombia 10.375% 1/28/33 Baa26/20/21-Quarterly | | 200,000 | | | 1.000 | % | | | (61 | ) | | | (1,615 | ) | | | 1,554 | | | | — | | | | — | |
78
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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): | | | | | | | | | | | | | | | | | | | | | |
CITI Republic of Brazil
4.25% 1/7/25 /Ba26/20/22-Quarterly | | 100,000 | | | 1.000% | | | $ | (1,573 | ) | | $ | (2,808 | ) | | $ | 1,235 | | | $ | — | | | $ | — | |
CITI Republic of Colombia
10.375% 1/28/33 /Baa212/20/24-Quarterly | | 200,000 | | | 1.000% | | | | (9,797 | ) | | | 702 | | | | — | | | | (10,499 | ) | | | — | |
| | | | | | | |
DB CMBX.NA.AAA710/17/57-Monthly | | 14,200,000 | | | 0.500% | | | | (40,131 | ) | | | (864,140 | ) | | | 824,009 | | | | — | | | | — | |
DB Republic of Colombia
10.375% 1/28/33 Baa2 6/20/21- Quarterly | | 200,000 | | | 1.000% | | | | (61 | ) | | | (1,595 | ) | | | 1,534 | | | | — | | | | — | |
GSC Republic of Brazil
4.25% 1/7/25 /Ba26/20/22-Quarterly | | 500,000 | | | 1.000% | | | | (7,864 | ) | | | (14,416 | ) | | | 6,552 | | | | — | | | | — | |
GSC Republic of Colombia 10.375% 1/28/33 Baa26/20/21-Quarterly | | 3,100,000 | | | 1.000% | | | | (946 | ) | | | (25,383 | ) | | | 24,437 | | | | — | | | | — | |
JPMCB South Africa 5.50% 3/9/20 Baa312/20/23-Quarterly | | 700,000 | | | 1.000% | | | | (66,439 | ) | | | (25,161 | ) | | | — | | | | (41,278 | ) | | | — | |
JPMCB Republic of Colombia 10.375% 1/28/33 Baa26/20/21-Quarterly | | 100,000 | | | 1.000% | | | | (30 | ) | | | (808 | ) | | | 778 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 85,383 | | | | (688,981 | ) | | | 860,867 | | | | (86,503 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total CDS Contracts | | | | | | | | $ | (1,129,296 | ) | | $ | 484,674 | | | $ | 1,094,640 | | | $ | (2,708,610 | ) | | $ | (1,027,653 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
IRS Contracts8
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation/
Termination Date/
Payment Frequency
(Fixed Rate/Floating Rate) | | Notional Amount3 | | Fixed/Floating
Interest
Rate
Paid
(Received) | | | Value | | | Upfront
Payments
Paid
(Received) | | | Unrealized
Appreciation4 | | | Unrealized
Depreciation4 | | | Variation Margin
Due from
(Due to Brokers) | |
Centrally Cleared: | | | | | | | | | | | | | | | | | | | | | | | | | | |
2 yr IRS96/28/21- (Semiannually/ Quarterly) | | 30,100,000 | | | 1.45%/(1.374%) | | | $ | (337,426 | ) | | $ | — | | | $ | — | | | $ | (337,426 | ) | | $ | (7,210 | ) |
2 yr IRS103/3/22-(Semiannually/ Quarterly) | | CAD 8,800,000 | | | 1.27%/(1.733%) | | | | 62,654 | | | | — | | | | 62,654 | | | | — | | | | (16,663 | ) |
2 yr IRS103/3/22-(Semiannually/ Quarterly) | | CAD 2,400,000 | | | 1.273%/(1.733%) | | | | 17,295 | | | | — | | | | 17,295 | | | | — | | | | (4,457 | ) |
Schedules of investments
Optimum Fixed Income Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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): | | | | | | | | | | | | | | | | | | | | | | | | | |
2 yr IRS106/17/22- (Semiannually/ Quarterly) | | CAD | 4,000,000 | | | | 1.50%/(1.267%) | | | $ | 47,465 | | | $ | 17,060 | | | $ | 30,405 | | | $ | — | | | $ | (15,927) | |
3 yr IRS96/21/20- (Semiannually/ Quarterly) | | | 32,700,000 | | | | 1.25%/(1.195%) | | | | (1,849) | | | | 49,341 | | | | — | | | | (51,190) | | | | (1) | |
3 yr IRS96/20/21- (Semiannually/ Quarterly) | | | 17,800,000 | | | | 1.75%/(1.115%) | | | | (270,392) | | | | 188,276 | | | | — | | | | (458,668) | | | | (5,261) | |
5 yr IRS103/3/25-(Semiannually/ Quarterly) | | CAD | 2,900,000 | | | | (1.22%)/1.733% | | | | 25,861 | | | | — | | | | 25,861 | | | | — | | | | (14,387) | |
5 yr IRS103/3/25-(Semiannually/ Quarterly) | | CAD | 2,600,000 | | | | (1.275%)/1.733% | | | | 28,310 | | | | — | | | | 28,310 | | | | — | | | | (14,841) | |
5 yr IRS103/3/25-(Semiannually/ Quarterly) | | CAD | 1,600,000 | | | | (1.276%)/1.733% | | | | 17,375 | | | | — | | | | 17,375 | | | | — | | | | (9,259) | |
5 yr IRS103/3/25-(Semiannually/ Quarterly) | | CAD | 800,000 | | | | (1.29%)/1.733% | | | | 9,090 | | | | — | | | | 9,090 | | | | — | | | | (4,780) | |
5 yr IRS103/4/25-(Semiannually/ Quarterly) | | CAD | 20,500,000 | | | | (1.235%)/1.685% | | | | 193,134 | | | | 9,485 | | | | 183,649 | | | | — | | | | (116,048) | |
5 yr IRS113/18/25- (Semiannually/ Semiannually) | | GBP | 31,600,000 | | | | 0.75%/(0.632%) | | | | (452,210) | | | | 30,943 | | | | — | | | | (483,153) | | | | 18,687 | |
5 yr IRS119/16/25- (Semiannually/ Semiannually) | | GBP | 15,800,000 | | | | 0.50%/(0.711%) | | | | (232,134) | | | | (3,205) | | | | — | | | | (228,929) | | | | 201,122 | |
7 yr IRS912/16/22- (Semiannually/ Quarterly) | | | 41,600,000 | | | | 2.25%/(2.41%) | | | | (2,097,601) | | | | 432,354 | | | | — | | | | (2,529,955) | | | | (15,745) | |
30 yr IRS92/12/45- (Semiannually/ Quarterly) | | | 600,000 | | | | 2.00%/(1.713%) | | | | (160,239) | | | | (10,845) | | | | — | | | | (149,394) | | | | 14,420 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total IRS Contracts | | | | | | | | | | $ | (3,150,667) | | | $ | 713,409 | | | $ | 374,639 | | | $ | (4,238,715) | | | $ | 9,650 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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) and variation margin are reflected in the Fund’s net assets.
1See Note 7 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)
80
on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.
3Notional 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 $(250,333).
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 North America Investment Grade Index, or the CDX.NA.IG Index, is composed of 125 liquid North American entities with investment grade credit ratings that trade in the CDS market.
7Markit’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.
8An 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.
9Rate resets based on LIBOR03M.
10Rate resets based on CAD0003M.
11Rate resets based on BP0006M.
Summary of abbreviations:
ABS – Asset-Backed Security
ARM – Adjustable Rate Mortgage
BAML – Bank of America Merrill Lynch
BNP – BNP Paribas
BP0006M – 6 Month Sterling LIBOR Interest Rate
BRL – Brazilian Real
BTP – Buoni del Tesoro Poliennali
CAD0003M – Canadian Dollar 3 Month LIBOR Interest
CDS – Credit Default Swap
CDX.NA.HY – Credit Default Swap Index North America
High Yield
CDX.NA.IG – Credit Default Swap Index North America
Investment Grade
CITI – Citigroup
CLO – Collateralized Loan Obligation
CMBX.NA – Commercial Mortgage-Backed Index North America
COF 11 – Cost of Funds for the 11th District of San
Francisco
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
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
KRW – South Korean Won
LB – Lehman Brothers
LIBOR – London interbank offered rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
LIBOR12M – ICE LIBOR USD 12 Month
MASTR – Mortgage Asset Securitization Transactions,
Inc.
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
TBA – To be announced
TBD – To be determined
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
Schedule of investments
Optimum International Fund
March 31, 2020
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common Stock – 97.96%D | |
| |
Australia – 2.84% | | | | | | | | |
Aristocrat Leisure | | | 112,388 | | | $ | 1,456,284 | |
BHP Group ADR * | | | 62,141 | | | | 2,279,953 | |
BlueScope Steel | | | 25,878 | | | | 135,485 | |
Cochlear | | | 10,832 | | | | 1,234,538 | |
Fortescue Metals Group | | | 521,580 | | | | 3,196,360 | |
Newcrest Mining | | | 12,525 | | | | 172,002 | |
Perseus Mining † | | | 257,802 | | | | 146,510 | |
Rio Tinto ADR * | | | 76,664 | | | | 3,492,812 | |
Vita Group | | | 36,979 | | | | 17,446 | |
| | | | | | | | |
| | | | | | | 12,131,390 | |
| | | | | | | | |
Austria – 1.54% | | | | | | | | |
Erste Group Bank † | | | 109,959 | | | | 2,013,098 | |
Raiffeisen Bank International | | | 37,374 | | | | 537,596 | |
Schoeller-Bleckmann Oilfield Equipment * | | | 41,714 | | | | 1,351,963 | |
voestalpine * | | | 131,668 | | | | 2,656,611 | |
Zumtobel Group † | | | 4,993 | | | | 32,923 | |
| | | | | | | | |
| | | | | | | 6,592,191 | |
| | | | | | | | |
Belgium – 0.78% | | | | | | | | |
Barco | | | 232 | | | | 35,448 | |
Galapagos † | | | 8,641 | | | | 1,696,898 | |
Galapagos ADR † | | | 445 | | | | 87,184 | |
UCB | | | 17,493 | | | | 1,496,740 | |
| | | | | | | | |
| | | | | | | 3,316,270 | |
| | | | | | | | |
Brazil – 1.30% | | | | | | | | |
Banco Bradesco ADR | | | 524,469 | | | | 2,129,344 | |
BR Malls Participacoes | | | 49,200 | | | | 93,550 | |
Direcional Engenharia | | | 95,800 | | | | 154,501 | |
IRB Brasil Resseguros | | | 206,200 | | | | 384,931 | |
Porto Seguro | | | 12,600 | | | | 107,423 | |
Sul America | | | 260,400 | | | | 1,705,397 | |
TOTVS | | | 110,300 | | | | 987,077 | |
| | | | | | | | |
| | | | | | | 5,562,223 | |
| | | | | | | | |
Cambodia – 0.00% | | | | | | | | |
NagaCorp | | | 18,000 | | | | 18,221 | |
| | | | | | | | |
| | | | | | | 18,221 | |
| | | | | | | | |
Canada – 4.45% | | | | | | | | |
Bank of Montreal | | | 62,751 | | | | 3,168,540 | |
Colliers International Group | | | 446 | | | | 21,412 | |
Constellation Software | | | 2,100 | | | | 1,908,578 | |
DREAM Unlimited Class A | | | 3,300 | | | | 22,136 | |
Magna International | | | 86,959 | | | | 2,775,051 | |
Manulife Financial | | | 247,800 | | | | 3,111,366 | |
Restaurant Brands International | | | 90,970 | | | | 3,641,529 | |
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
Canada (continued) | | | | | | | | |
Rogers Communications | | | | | | | | |
Class B (US Shares) | | | 55,094 | | | $ | 2,288,054 | |
Stantec | | | 16,780 | | | | 429,247 | |
Sun Life Financial | | | 27,900 | | | | 897,487 | |
Toronto-Dominion Bank | | | 17,700 | | | | 752,498 | |
| | | | | | | | |
| | | | | | | 19,015,898 | |
| | | | | | | | |
Chile – 0.69% | | | | | | | | |
Enel Americas ADR | | | 196,624 | | | | 1,191,541 | |
Sociedad Quimica y Minera de Chile ADR | | | 78,375 | | | | 1,767,356 | |
| | | | | | | | |
| | | | | | | 2,958,897 | |
| | | | | | | | |
China/Hong Kong – 13.62% | |
Anhui Conch Cement Class H | | | 1,034,500 | | | | 7,106,623 | |
ANTA Sports Products | | | 407,000 | | | | 2,953,478 | |
Asia Cement China Holdings | | | 393,862 | | | | 394,674 | |
Baidu ADR † | | | 24,087 | | | | 2,427,729 | |
Build King Holdings | | | 210,000 | | | | 19,474 | |
BYD Class H * | | | 541,500 | | | | 2,888,991 | |
China BlueChemical Class H | | | 330,000 | | | | 50,670 | |
China Construction Bank Class H | | | 1,869,000 | | | | 1,519,211 | |
China Life Insurance Class H | | | 2,951,000 | | | | 5,698,526 | |
China National Chemical Engineering Class A | | | 2,238,084 | | | | 1,864,557 | |
China Overseas Grand Oceans Group | | | 218,833 | | | | 126,422 | |
China SCE Group Holdings | | | 807,000 | | | | 356,154 | |
China Telecom ADR | | | 3,668 | | | | 111,947 | |
China United Network Communications Class A | | | 58,900 | | | | 42,900 | |
Chinese Universe Publishing and Media Group Class A | | | 393,700 | | | | 663,338 | |
CITIC | | | 197,703 | | | | 204,898 | |
CNOOC | | | 1,704,000 | | | | 1,770,753 | |
Country Garden Services Holdings | | | 397,000 | | | | 1,597,445 | |
Dare Power Dekor Home Class A | | | 87,607 | | | | 133,986 | |
Digital China Group Class A | | | 113,700 | | | | 395,679 | |
FinVolution Group ADR | | | 270 | | | | 481 | |
Gansu Qilianshan Cement Group Class A | | | 357,400 | | | | 647,059 | |
Gemdale Properties & Investment | | | 284,000 | | | | 46,597 | |
Greenland Holdings Class A | | | 1,127,700 | | | | 853,706 | |
Hangzhou Binjiang Real Estate Group Class A | | | 598,200 | | | | 347,936 | |
82
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
China/Hong Kong (continued) | |
Hi Sun Technology China † | | | 303,000 | | | $ | 34,802 | |
Hilong Holding | | | 176,000 | | | | 8,319 | |
Hopson Development Holdings | | | 94,000 | | | | 83,569 | |
Industrial & Commercial Bank of China Class H | | | 7,123,000 | | | | 4,859,161 | |
Joincare Pharmaceutical Group Industry Class A | | | 222,480 | | | | 355,187 | |
Kaisa Group Holdings | | | 366,000 | | | | 133,464 | |
Leju Holdings ADR † | | | 10,086 | | | | 18,659 | |
Lenovo Group | | | 418,000 | | | | 221,432 | |
Li Ning | | | 57,500 | | | | 165,421 | |
Logan Property Holdings | | | 736,000 | | | | 1,119,592 | |
MLS Class A | | | 103,000 | | | | 163,143 | |
Nanjing Iron & Steel Class A | | | 2,253,900 | | | | 990,688 | |
NetEase ADR | | | 9,782 | | | | 3,139,631 | |
Nine Dragons Paper Holdings | | | 186,000 | | | | 168,520 | |
Ningbo Huaxiang Electronic Class A | | | 380,500 | | | | 878,272 | |
Poly Property Group | | | 92,504 | | | | 31,053 | |
Qudian ADR † | | | 125,082 | | | | 225,148 | |
Risen Energy Class A | | | 210,800 | | | | 335,346 | |
RiseSun Real Estate Development Class A | | | 57,900 | | | | 62,734 | |
Sailun Group Class A | | | 876,400 | | | | 459,605 | |
Sany Heavy Industry Class A | | | 90,100 | | | | 216,355 | |
Shanghai Fosun Pharmaceutical Group Class H * | | | 962,000 | | | | 3,119,317 | |
Shanghai Shimao Class A | | | 212,478 | | | | 121,589 | |
Shanxi Taigang Stainless Steel Class A | | | 1,493,400 | | | | 676,756 | |
Shimao Property Holdings | | | 289,000 | | | | 1,001,565 | |
Sinopec Engineering Group Class H | | | 34,001 | | | | 14,153 | |
Sinopharm Group Class H | | | 1,048,800 | | | | 2,323,820 | |
Sinotruk Hong Kong | | | 545,375 | | | | 895,846 | |
TravelSky Technology Class H | | | 39,000 | | | | 68,259 | |
Vipshop Holdings ADR † | | | 8,166 | | | | 127,226 | |
Weichai Power Class H | | | 602,000 | | | | 958,921 | |
Wuhu Sanqi Interactive Entertainment Network Technology Group Class A | | | 176,993 | | | | 807,833 | |
XCMG Construction Machinery Class A | | | 1,835,900 | | | | 1,285,315 | |
Yuexiu Property | | | 692,000 | | | | 123,646 | |
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
China/Hong Kong (continued) | |
Zhejiang Yankon Group Class A | | | 518,950 | | | $ | 256,522 | |
Zhengzhou Yutong Bus Class A | | | 264,659 | | | | 505,986 | |
| | | | | | | | |
| | | | | | | 58,180,089 | |
| | | | | | | | |
Colombia – 0.50% | | | | | | | | |
Bancolombia ADR | | | 83,916 | | | | 2,094,543 | |
Grupo Argos | | | 17,153 | | | | 57,768 | |
| | | | | | | | |
| | | | | | | 2,152,311 | |
| | | | | | | | |
Czech Republic – 0.25% | | | | | | | | |
Komercni banka | | | 57,004 | | | | 1,074,711 | |
| | | | | | | | |
| | | | | | | 1,074,711 | |
| | | | | | | | |
Denmark – 0.85% | | | | | | | | |
H. Lundbeck | | | 80,320 | | | | 2,358,386 | |
Novo Nordisk Class B | | | 20,011 | | | | 1,194,979 | |
Spar Nord Bank | | | 9,743 | | | | 58,818 | |
| | | | | | | | |
| | | | | | | 3,612,183 | |
| | | | | | | | |
Finland – 0.03% | | | | | | | | |
Kojamo | | | 696 | | | | 13,144 | |
Orion Class A | | | 1,571 | | | | 63,225 | |
QT Group † | | | 2,499 | | | | 49,490 | |
| | | | | | | | |
| | | | | | | 125,859 | |
| | | | | | | | |
France – 3.64% | | | | | | | | |
BNP Paribas | | | 16,831 | | | | 491,385 | |
Capgemini | | | 35,418 | | | | 2,959,612 | |
CGG † | | | 94,920 | | | | 83,023 | |
Credit Agricole | | | 53,596 | | | | 379,240 | |
Ipsen | | | 6,044 | | | | 309,814 | |
IPSOS | | | 23,199 | | | | 481,365 | |
Peugeot | | | 179,836 | | | | 2,341,336 | |
Safran | | | 42,006 | | | | 3,721,612 | |
Societe Generale | | | 120,368 | | | | 1,971,887 | |
Sodexo | | | 40,777 | | | | 2,738,389 | |
Virbac † | | | 331 | | | | 58,150 | |
| | | | | | | | |
| | | | | | | 15,535,813 | |
| | | | | | | | |
Germany – 4.38% | | | | | | | | |
Allianz | | | 16,441 | | | | 2,799,862 | |
Bayer | | | 21,519 | | | | 1,233,006 | |
Continental | | | 29,699 | | | | 2,117,488 | |
Elmos Semiconductor | | | 386 | | | | 7,953 | |
Merck | | | 43,234 | | | | 4,364,997 | |
MTU Aero Engines * | | | 11,888 | | | | 1,718,968 | |
Muenchener Rueckversicherungs-Gesellschaft | | | 15,768 | | | | 3,170,479 | |
Schedule of investments
Optimum International Fund
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
Germany (continued) | | | | | | | | |
Vonovia | | | 66,296 | | | $ | 3,297,797 | |
| | | | | | | | |
| | | | | | | 18,710,550 | |
| | | | | | | | |
Greece – 0.01% | | | | | | | | |
Motor Oil Hellas Corinth | | | | | | | | |
Refineries | | | 3,926 | | | | 47,919 | |
| | | | | | | | |
| | | | | | | 47,919 | |
| | | | | | | | |
Hungary – 0.35% | | | | | | | | |
MOL Hungarian Oil & Gas | | | 57,125 | | | | 335,200 | |
OTP Bank | | | 41,118 | | | | 1,179,442 | |
| | | | | | | | |
| | | | | | | 1,514,642 | |
| | | | | | | | |
India – 1.61% | | | | | | | | |
Ganesha Ecosphere | | | 3,262 | | | | 7,077 | |
HDFC Bank ADR | | | 90,098 | | | | 3,465,169 | |
ICICI Bank ADR | | | 391,966 | | | | 3,331,711 | |
ION Exchange India | | | 6,828 | | | | 53,927 | |
| | | | | | | | |
| | | | | | | 6,857,884 | |
| | | | | | | | |
Ireland – 2.16% | | | | | | | | |
ICON † | | | 67,897 | | | | 9,233,992 | |
| | | | | | | | |
| | | | | | | 9,233,992 | |
| | | | | | | | |
Israel – 3.94% | | | | | | | | |
Bank Hapoalim | | | 771,377 | | | | 4,621,993 | |
Bank LeumiLe-Israel | | | 912,454 | | | | 5,031,238 | |
Check Point Software Technologies † | | | 58,693 | | | | 5,900,994 | |
Isracard | | | 7 | | | | 19 | |
Nice ADR † | | | 8,788 | | | | 1,261,605 | |
| | | | | | | | |
| | | | | | | 16,815,849 | |
| | | | | | | | |
Italy – 1.44% | | | | | | | | |
Assicurazioni Generali | | | 182,640 | | | | 2,473,822 | |
Banca Mediolanum | | | 15,694 | | | | 78,770 | |
Esprinet | | | 79,089 | | | | 279,838 | |
Prysmian * | | | 207,674 | | | | 3,297,217 | |
| | | | | | | | |
| | | | | | | 6,129,647 | |
| | | | | | | | |
Japan – 12.58% | | | | | | | | |
A&A Material | | | 1,800 | | | | 19,312 | |
Advantest | | | 2,900 | | | | 115,507 | |
Astellas Pharma | | | 236,300 | | | | 3,640,759 | |
Dai-ichi Life Holdings | | | 36,700 | | | | 435,817 | |
Denso | | | 119,000 | | | | 3,802,582 | |
Fujitsu | | | 41,000 | | | | 3,692,817 | |
Hitachi | | | 111,400 | | | | 3,200,122 | |
Japan Post Holdings | | | 56,200 | | | | 439,631 | |
KDDI | | | 25,200 | | | | 744,373 | |
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
Japan (continued) | | | | | | | | |
Mitsubishi UFJ Financial Group | | | 733,900 | | | $ | 2,745,927 | |
Mixi | | | 73,700 | | | | 1,071,779 | |
Mizuho Financial Group | | | 328,800 | | | | 377,225 | |
MS&AD Insurance Group Holdings | | | 25,600 | | | | 714,269 | |
Nihon Unisys | | | 2,900 | | | | 77,352 | |
Nintendo | | | 1,200 | | | | 466,384 | |
Nippon Telegraph & Telephone | | | 193,400 | | | | 4,625,474 | |
NTT DOCOMO | | | 132,600 | | | | 4,146,814 | |
Olympus | | | 48,600 | | | | 700,584 | |
Optorun | | | 6,600 | | | | 155,394 | |
Otsuka | | | 20,400 | | | | 869,663 | |
Secom | | | 52,600 | | | | 4,350,454 | |
Sony | | | 65,200 | | | | 3,862,029 | |
Sumitomo Dainippon Pharma | | | 30,300 | | | | 393,336 | |
Sumitomo Mitsui Financial Group | | | 102,700 | | | | 2,494,932 | |
Suzuken | | | 78,700 | | | | 2,859,323 | |
T-Gaia | | | 36,100 | | | | 682,578 | |
Tokio Marine Holdings | | | 21,200 | | | | 969,997 | |
Tokyo Electric Power Co. Holdings † | | | 665,100 | | | | 2,313,710 | |
Tokyo Electron | | | 7,600 | | | | 1,416,439 | |
Toray Industries | | | 548,500 | | | | 2,374,199 | |
| | | | | | | | |
| | | | | | | 53,758,782 | |
| | | | | | | | |
Luxembourg – 0.97% | | | | | | | | |
Eurofins Scientific * | | | 8,533 | | | | 4,164,107 | |
| | | | | | | | |
| | | | | | | 4,164,107 | |
| | | | | | | | |
Malaysia – 0.04% | | | | | | | | |
AMMB Holdings | | | 218,200 | | | | 151,329 | |
Lii Hen Industries | | | 26,800 | | | | 11,939 | |
| | | | | | | | |
| | | | | | | 163,268 | |
| | | | | | | | |
Mexico – 0.56% | | | | | | | | |
Alpek | | | 416,641 | | | | 149,813 | |
Credito Real | | | 75,575 | | | | 53,235 | |
Gentera | | | 98,883 | | | | 38,224 | |
Grupo Financiero Banorte Class O | | | 699,200 | | | | 1,915,818 | |
Grupo Financiero Inbursa Class O | | | 170,518 | | | | 122,196 | |
Orbia Advance | | | 82,643 | | | | 91,135 | |
| | | | | | | | |
| | | | | | | 2,370,421 | |
| | | | | | | | |
Netherlands – 5.70% | | | | | | | | |
ASM International | | | 6,532 | | | | 664,578 | |
84
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
Netherlands (continued) | | | | | | | | |
ASML Holding | | | 16,508 | | | $ | 4,351,754 | |
EXOR | | | 37,468 | | | | 1,931,070 | |
Heineken | | | 53,907 | | | | 4,574,760 | |
Hunter Douglas | | | 146 | | | | 6,579 | |
Koninklijke Ahold Delhaize | | | 195,257 | | | | 4,548,818 | |
Koninklijke KPN | | | 413,858 | | | | 989,705 | |
Koninklijke Philips | | | 111,474 | | | | 4,576,830 | |
NN Group | | | 20,472 | | | | 556,342 | |
NXP Semiconductors | | | 205 | | | | 17,001 | |
Royal Dutch Shell Class A | | | 124,105 | | | | 2,152,099 | |
| | | | | | | | |
| | | | | | | 24,369,536 | |
| | | | | | | | |
New Zealand – 0.28% | | | | | | | | |
a2 Milk † | | | 57,647 | | | | 590,693 | |
Fisher & Paykel Healthcare | | | 32,831 | | | | 596,817 | |
| | | | | | | | |
| | | | | | | 1,187,510 | |
| | | | | | | | |
Norway – 2.12% | | | | | | | | |
DNB | | | 337,284 | | | | 3,757,659 | |
Equinor ADR | | | 246,612 | | | | 3,003,734 | |
Norsk Hydro | | | 1,055,127 | | | | 2,275,025 | |
| | | | | | | | |
| | | | | | | 9,036,418 | |
| | | | | | | | |
Philippines – 0.01% | | | | | | | | |
First Philippine Holdings | | | 18,950 | | | | 17,888 | |
Ginebra San Miguel | | | 36,090 | | | | 22,737 | |
| | | | | | | | |
| | | | | | | 40,625 | |
| | | | | | | | |
Poland – 0.10% | | | | | | | | |
Asseco Poland | | | 20,652 | | | | 288,503 | |
Jastrzebska Spolka Weglowa | | | 1,900 | | | | 5,591 | |
LiveChat Software | | | 8,172 | | | | 82,764 | |
TEN Square Games | | | 741 | | | | 49,706 | |
| | | | | | | | |
| | | | | | | 426,564 | |
| | | | | | | | |
Portugal – 0.01% | | | | | | | | |
NOS SGPS | | | 8,504 | | | | 28,400 | |
| | | | | | | | |
| | | | | | | 28,400 | |
| | | | | | | | |
Republic of Korea – 5.02% | | | | | | | | |
AK Holdings | | | 623 | | | | 9,067 | |
BNK Financial Group | | | 30,687 | | | | 111,363 | |
Daehan Steel | | | 4,588 | | | | 18,562 | |
Daelim Industrial | | | 9,638 | | | | 577,905 | |
DB HiTek | | | 34,374 | | | | 600,475 | |
DMS | | | 6,768 | | | | 17,903 | |
Hana Financial Group | | | 3,806 | | | | 71,605 | |
Handsome | | | 3,352 | | | | 53,260 | |
Hanwha Aerospace † | | | 2,216 | | | | 37,066 | |
JB Financial Group | | | 37,570 | | | | 137,449 | |
Kia Motors | | | 69,333 | | | | 1,459,385 | |
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
Republic of Korea (continued) | | | | | | | | |
KT ADR | | | 213,894 | | | $ | 1,664,095 | |
LG Electronics | | | 48,487 | | | | 1,906,409 | |
LG Uplus | | | 43,138 | | | | 378,981 | |
LMS | | | 15,005 | | | | 115,292 | |
Mcnex | | | 20,005 | | | | 423,292 | |
NHN KCP | | | 51,756 | | | | 1,289,232 | |
Partron | | | 11,785 | | | | 72,734 | |
Samsung Electronics | | | 206,801 | | | | 8,040,737 | |
Samsung Securities | | | 25,793 | | | | 617,941 | |
SK Hynix | | | 55,894 | | | | 3,778,661 | |
Top Engineering | | | 7,295 | | | | 51,036 | |
Zeus | | | 2,096 | | | | 13,641 | |
| | | | | | | | |
| | | | | | | 21,446,091 | |
| | | | | | | | |
Russia – 0.02% | | | | | | | | |
Globaltrans Investment GDR | | | 3,093 | | | | 16,234 | |
Tatneft ADR | | | 2,023 | | | | 84,409 | |
| | | | | | | | |
| | | | | | | 100,643 | |
| | | | | | | | |
Singapore – 1.22% | | | | | | | | |
DBS Group Holdings | | | 270,600 | | | | 3,530,830 | |
Jardine Cycle & Carriage | | | 50,714 | | | | 697,278 | |
United Industrial | | | 640,600 | | | | 962,476 | |
| | | | | | | | |
| | | | | | | 5,190,584 | |
| | | | | | | | |
South Africa – 0.07% | | | | | | | | |
AECI | | | 18,805 | | | | 77,872 | |
Anglo American Platinum | | | 2,060 | | | | 86,051 | |
Momentum Metropolitan Holdings | | | 88,888 | | | | 77,480 | |
Reunert | | | 13,508 | | | | 32,967 | |
Telkom | | | 21,065 | | | | 23,977 | |
| | | | | | | | |
| | | | | | | 298,347 | |
| | | | | | | | |
Spain – 1.92% | | | | | | | | |
Amadeus IT Group | | | 111,324 | | | | 5,239,895 | |
Atlantica Yield | | | 128,335 | | | | 2,861,871 | |
Cia de Distribucion Integral Logista Holdings | | | 6,671 | | | | 107,087 | |
| | | | | | | | |
| | | | | | | 8,208,853 | |
| | | | | | | | |
Sweden – 0.52% | | | | | | | | |
Betsson † | | | 47,340 | | | | 185,991 | |
Swedish Match | | | 35,715 | | | | 2,022,171 | |
| | | | | | | | |
| | | | | | | 2,208,162 | |
| | | | | | | | |
Switzerland – 6.72% | | | | | | | | |
Credit Suisse Group ADR † | | | 293,231 | | | | 2,372,239 | |
Novartis | | | 79,411 | | | | 6,551,315 | |
Novartis ADR | | | 68,253 | | | | 5,627,460 | |
Schedule of investments
Optimum International Fund
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
Switzerland (continued) | | | | | | | | |
Roche Holding | | | 42,709 | | | $ | 13,741,601 | |
Zehnder Group | | | 11,237 | | | | 424,972 | |
| | | | | | | | |
| | | | | | | 28,717,587 | |
| | | | | | | | |
Taiwan – 5.15% | | | | | | | | |
ASE Technology Holding | | | 1,581,671 | | | | 3,063,725 | |
Asustek Computer | | | 17,000 | | | | 115,106 | |
Chenbro Micom | | | 32,000 | | | | 78,244 | |
Chia Chang | | | 155,000 | | | | 149,164 | |
China Life Insurance † | | | 242,000 | | | | 133,850 | |
Compal Electronics | | | 43,000 | | | | 24,544 | |
Elan Microelectronics | | | 47,500 | | | | 131,195 | |
Eson Precision Ind | | | 10,000 | | | | 8,557 | |
Hon Hai Precision Industry | | | 2,173,200 | | | | 5,003,288 | |
Lite-On Technology | | | 398,000 | | | | 541,438 | |
Lumax International | | | 22,000 | | | | 39,890 | |
Novatek Microelectronics | | | 90,000 | | | | 507,438 | |
Pegatron | | | 160,000 | | | | 305,322 | |
Powertech Technology | | | 180,000 | | | | 509,761 | |
Radiant Opto-Electronics | | | 518,000 | | | | 1,340,440 | |
Realtek Semiconductor | | | 64,000 | | | | 459,449 | |
Simplo Technology | | | 27,000 | | | | 235,003 | |
Sitronix Technology | | | 79,000 | | | | 305,756 | |
Synnex Technology International | | | 784,000 | | | | 958,207 | |
Taiwan PCB Techvest | | | 140,000 | | | | 132,669 | |
Taiwan Semiconductor Manufacturing | | | 648,000 | | | | 5,833,501 | |
Topco Scientific | | | 43,000 | | | | 127,576 | |
Tripod Technology | | | 260,000 | | | | 808,793 | |
Unizyx Holding † | | | 127,000 | | | | 51,523 | |
Wistron | | | 1,381,000 | | | | 1,116,443 | |
Yuanta Financial Holding | | | 70,000 | | | | 35,739 | |
| | | | | | | | |
| | | | | | | 22,016,621 | |
| | | | | | | | |
Thailand – 0.52% | | | | | | | | |
Delta Electronics Thailand NVDR | | | 27,800 | | | | 28,855 | |
Krung Thai Bank NVDR | | | 2,496,700 | | | | 860,902 | |
PTT Exploration & Production NVDR | | | 535,600 | | | | 1,090,099 | |
Thanachart Capital NVDR | | | 221,668 | | | | 222,959 | |
| | | | | | | | |
| | | | | | | 2,202,815 | |
| | | | | | | | |
Turkey – 0.50% | | | | | | | | |
Dogan Sirketler Grubu Holding | | | 1,241,079 | | | | 287,128 | |
Dogus Otomotiv Servis ve Ticaret | | | 68,061 | | | | 70,909 | |
Haci Omer Sabanci Holding | | | 178,561 | | | | 201,316 | |
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
Turkey (continued) | | | | | | | | |
Is Gayrimenkul Yatirim Ortakligi † | | | 47,456 | | | $ | 9,113 | |
Turkiye Garanti Bankasi † | | | 837,821 | | | | 1,027,535 | |
Turkiye Halk Bankasi † | | | 400,884 | | | | 304,304 | |
Ulker Biskuvi Sanayi † | | | 10,437 | | | | 31,012 | |
Vestel Elektronik Sanayi ve Ticaret † | | | 137,627 | | | | 218,995 | |
| | | | | | | | |
| | | | | | | 2,150,312 | |
| | | | | | | | |
Ukraine – 0.26% | | | | | | | | |
Ferrexpo | | | 781,368 | | | | 1,121,105 | |
| | | | | | | | |
| | | | | | | 1,121,105 | |
| | | | | | | | |
United Arab Emirates – 0.07% | | | | | |
Dubai Islamic Bank | | | 130,845 | | | | 127,789 | |
Emaar Properties | | | 273,104 | | | | 162,200 | |
| | | | | | | | |
| | | | | | | 289,989 | |
| | | | | | | | |
United Kingdom – 6.77% | | | | | |
3i Group | | | 7,632 | | | | 73,951 | |
Aviva | | | 37,717 | | | | 124,004 | |
BAE Systems | | | 590,842 | | | | 3,796,172 | |
Barclays | | | 1,980,891 | | | | 2,251,148 | |
Bloomsbury Publishing | | | 7,733 | | | | 20,852 | |
BT Group | | | 179,000 | | | | 260,367 | |
Diageo | | | 193,182 | | | | 6,125,709 | |
Dialog Semiconductor † | | | 21,808 | | | | 566,856 | |
GVC Holdings | | | 446,600 | | | | 3,093,477 | |
Hollywood Bowl Group | | | 3,813 | | | | 6,931 | |
HSBC Holdings | | | 493,650 | | | | 2,771,238 | |
Indivior † | | | 377,052 | | | | 213,327 | |
Legal & General Group | | | 497,760 | | | | 1,176,058 | |
London Stock Exchange Group | | | 28,516 | | | | 2,550,922 | |
M&G † | | | 567,850 | | | | 789,885 | |
Mission Group | | | 18,617 | | | | 13,169 | |
Pan African Resources | | | 50,490 | | | | 5,937 | |
RELX | | | 199,041 | | | | 4,255,446 | |
Softcat | | | 19,175 | | | | 244,168 | |
St James’s Place | | | 23,253 | | | | 217,135 | |
Standard Chartered | | | 65,469 | | | | 361,965 | |
| | | | | | | | |
| | | | | | | 28,918,717 | |
| | | | | | | | |
United States – 2.45% | | | | | | | | |
Atlassian Class A † | | | 22,647 | | | | 3,108,527 | |
Carnival * | | | 99,900 | | | | 1,315,683 | |
Core Laboratories | | | 74,691 | | | | 772,305 | |
CyberArk Software (Israel) † | | | 5,152 | | | | 440,805 | |
Everest Re Group | | | 23,158 | | | | 4,456,062 | |
86
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common StockD (continued) | |
| |
United States (continued) | |
Jasper Infotech =p† | | | 1,420 | | | $ | 269,871 | |
Jasper Infotech Series G =p† | | | 470 | | | | 89,323 | |
| | | | | | | | |
| | | | | | | 10,452,576 | |
| | | | | | | | |
Total Common Stock
(cost $498,258,833) | | | | | | | 418,454,572 | |
| | | | | | | | |
| | | | | | | | |
| |
Short-Term Investments – 1.39% | |
| |
Money Market Mutual Funds – 1.39% | |
BlackRock FedFund – Institutional Shares(seven-day effective yield 0.33%) | | | 1,188,821 | | | | 1,188,821 | |
Fidelity Investments Money Market Government Portfolio – Class I(seven-day effective yield 0.30%) | | | 1,188,821 | | | | 1,188,821 | |
GS Financial Square Government Fund – Institutional Shares(seven-day effective yield 0.34%) | | | 1,188,820 | | | | 1,188,820 | |
Morgan Stanley Government Portfolio – Institutional Share Class(seven-day effective yield 0.22%) | | | 1,188,820 | | | | 1,188,820 | |
State Street Institutional US Government Money Market Fund – Investor Class(seven-day effective yield 0.24%) | | | 1,188,820 | | | | 1,188,820 | |
| | | | | | | | |
Total Short-Term Investments
(cost $5,944,102) | | | | | | | 5,944,102 | |
| | | | | | | | |
Total Value of Securities Before Securities Lending Collateral – 99.35%
(cost $504,202,935) | | | | | | | 424,398,674 | |
| | | | | | | | |
| | |
| | | Principal
amount° | | | | |
| |
Securities Lending Collateral ** – 3.88% | |
| |
Certificates of Deposit – 0.52%≠ | |
Bank of Nova Scotia (Toronto) 0.08% 4/1/20 | | | 746,000 | | | | 746,000 | |
National Australia Bank (London) 0.05% 4/1/20 | | | 746,000 | | | | 746,000 | |
| | | | | | | | |
| | | Principal
amount° | | | Value (US $) | |
| |
Securities Lending Collateral** (continued) | |
| |
Certificates of Deposit≠ (continued) | |
National Bank of Canada (Montreal) 0.08% 4/1/20 | | | 746,000 | | | $ | 746,000 | |
| | | | | | | | |
| | | | | | | 2,238,000 | |
| | | | | | | | |
Repurchase Agreements – 3.36% | |
Bank of Montreal 0.01%, dated 3/31/20, to be repurchased on 4/1/20, repurchase price $3,860,517 (collateralized by US government obligations 0.00%–7.875%4/9/20-9/9/49; market value $3,937,728) | | | 3,860,516 | | | | 3,860,516 | |
Bank of Nova Scotia 0.01%, dated 3/31/20, to be repurchased on 4/1/20, repurchase price $2,766,967 (collateralized by US government obligations 0.00%–2.875%4/30/20-3/31/25; market value $2,822,310) | | | 2,766,966 | | | | 2,766,966 | |
BofA Securities 0.01%, dated 3/31/20, to be repurchased on 4/1/20, repurchase price $3,860,517 (collateralized by US government obligations 2.75% 11/15/23; market value $3,937,739) | | | 3,860,516 | | | | 3,860,516 | |
JP Morgan Securities 0.01%, dated 3/31/20, to be repurchased on 4/1/20, repurchase price $3,860,517 (collateralized by US government obligations0.00%-2.75% 4/21/20–9/9/49; market value $3,937,726) | | | 3,860,516 | | | | 3,860,516 | |
| | | | | | | | |
| | | | | | | 14,348,514 | |
| | | | | | | | |
Total Securities Lending Collateral
(cost $16,586,514) | | | | | | | 16,586,514 | |
| | | | | | | | |
| | |
Total Value of
Securities – 103.23%
(cost $520,789,449) | | | | | | $ | 440,985,188∎ | |
| | | | | | | | |
Schedule of investments
Optimum International Fund
| * | Fully or partially on loan. |
| ** | See Note 9 in “Notes to financial statements” for additional information on securities lending collateral andnon-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 $15,723,806 of securities loaned for which the counterparty pledged additionalnon-cash collateral valued at $3,242,174. |
| ° | 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 39 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 March 31, 2020, the aggregate value of restricted securities was $359,194, which represented 0.08% of the Fund’s net assets. See the table below for additional details on restricted securities. |
| † | Non-income producing security. |
Restricted Securities
| | | | | | | | | | | | |
Investment | | Date of Acquisition | | | Cost | | | Value | |
Jasper Infotech | | | 5/7/14 | | | $ | 999,482 | | | $ | 269,871 | |
Jasper Infotech Series G | | | 10/29/14 | | | | 396,443 | | | | 89,323 | |
| | | | | | | | | | | | |
Total | | | | | | $ | 1,395,925 | | | $ | 359,194 | |
| | | | | | | | | | | | |
The following foreign currency exchange contracts were outstanding at March 31, 2020:1
Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Currency to
Receive (Deliver) | | | In Exchange For | | | Settlement
Date | | | Unrealized
Appreciation | | | Unrealized
Depreciation | |
BBH | | CAD | | | 44,188 | | | | USD | | | | (31,475) | | | | 4/2/20 | | | $ | — | | | $ | (75 | ) |
BBH | | HKD | | | 459,551 | | | | USD | | | | (59,271) | | | | 4/1/20 | | | | 3 | | | | — | |
BNYM | | AUD | | | (4,999) | | | | USD | | | | 3,074 | | | | 4/1/20 | | | | — | | | | (1 | ) |
BNYM | | DKK | | | (240,397) | | | | USD | | | | 35,521 | | | | 4/1/20 | | | | 6 | | | | — | |
BNYM | | EUR | | | (4,445) | | | | USD | | | | 4,905 | | | | 4/1/20 | | | | 2 | | | | — | |
BNYM | | JPY | | | (1,900,331) | | | | USD | | | | 17,674 | | | | 4/1/20 | | | | 1 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | $ | 12 | | | $ | (76 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 7 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
AUD – Australian Dollar
BBH – Brown Brothers Harriman & Co.
BNYM – Bank of New York Mellon
CAD – Canadian Dollar
DKK – Danish Krone
EUR – European Monetary Unit
GDR – Global Depositary Receipt
GS – Goldman Sachs
HKD – Hong Kong Dollar
JPY – Japanese Yen
NVDR –Non-Voting Depositary Receipt
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
88
Optimum Large Cap Growth Fund
March 31, 2020
| | | | | | | | |
| | | Number of shares | | | Value (US $) | |
| |
Common Stock – 97.39%² | |
| |
Communication Services – 15.09% | |
Alphabet Class A † | | | 29,041 | | | $ | 33,744,190 | |
Alphabet Class C † | | | 37,941 | | | | 44,118,174 | |
Comcast Class A | | | 415,660 | | | | 14,290,391 | |
Facebook Class A † | | | 439,375 | | | | 73,287,751 | |
IAC/InterActiveCorp † | | | 22,161 | | | | 3,971,916 | |
Match Group † | | | 39,962 | | | | 2,639,090 | |
Netflix † | | | 52,929 | | | | 19,874,839 | |
Snap Class A † | | | 464,633 | | | | 5,524,486 | |
Spotify Technology † | | | 35,400 | | | | 4,298,976 | |
Tencent Holdings (China) (Hong Kong Exchange) | | | 137,700 | | | | 6,806,182 | |
Walt Disney | | | 150,700 | | | | 14,557,620 | |
| | | | | | | | |
| | | | | | | 223,113,615 | |
| | | | | | | | |
Consumer Discretionary – 17.07% | |
Advance Auto Parts | | | 82,750 | | | | 7,722,230 | |
Alibaba Group Holding ADR † | | | 186,265 | | | | 36,224,817 | |
Amazon.com † | | | 65,303 | | | | 127,322,567 | |
Aptiv | | | 155,984 | | | | 7,680,652 | |
Booking Holdings † | | | 9,721 | | | | 13,077,856 | |
Carvana † | | | 29,778 | | | | 1,640,470 | |
Chipotle Mexican
Grill † | | | 6,437 | | | | 4,212,373 | |
Dollar Tree † | | | 56,190 | | | | 4,128,279 | |
Dollarama | | | 111,998 | | | | 3,106,944 | |
Ferrari (Italy) | | | 46,644 | | | | 7,116,475 | |
Home Depot | | | 78,440 | | | | 14,645,532 | |
Las Vegas Sands | | | 109,610 | | | | 4,655,137 | |
Lululemon Athletica (Canada) † | | | 31,900 | | | | 6,046,645 | |
Marriott International Class A | | | 41,170 | | | | 3,079,928 | |
Ross Stores | | | 53,563 | | | | 4,658,374 | |
Ulta Beauty † | | | 12,317 | | | | 2,164,097 | |
Wynn Resorts | | | 80,158 | | | | 4,824,710 | |
| | | | | | | | |
| | | | | | | 252,307,086 | |
| | | | | | | | |
Consumer Staples – 1.89% | |
Anheuser-Busch InBev ADR | | | 155,840 | | | | 6,875,661 | |
Costco Wholesale | | | 48,098 | | | | 13,714,183 | |
Monster Beverage † | | | 131,830 | | | | 7,416,756 | |
| | | | | | | | |
| | | | | | | 28,006,600 | |
| | | | | | | | |
Energy – 0.51% | |
Concho Resources | | | 29,800 | | | | 1,276,930 | |
Pioneer Natural Resources | | | 90,042 | | | | 6,316,446 | |
| | | | | | | | |
| | | | | | | 7,593,376 | |
| | | | | | | | |
Financials – 2.49% | |
American Express | | | 133,040 | | | | 11,389,554 | |
Charles Schwab | | | 232,720 | | | | 7,824,046 | |
| | | | | | | | |
| | | Number of shares | | | Value (US $) | |
| |
Common Stock²(continued) | |
| |
Financials (continued) | | | | | | | | |
Chubb (Switzerland) | | | 39,198 | | | $ | 4,378,025 | |
Goldman Sachs Group | | | 20,400 | | | | 3,153,636 | |
MSCI Class A | | | 6,137 | | | | 1,773,348 | |
S&P Global | | | 20,330 | | | | 4,981,867 | |
TD Ameritrade Holding | | | 80,036 | | | | 2,774,048 | |
XP Class A † | | | 27,055 | | | | 521,891 | |
| | | | | | | | |
| | | | | | | 36,796,415 | |
| | | | | | | | |
Healthcare – 13.45% | |
AbbVie | | | 51,500 | | | | 3,923,785 | |
Alcon † | | | 77,195 | | | | 3,954,756 | |
Alcon (New York Stock Exchange) † | | | 60,980 | | | | 3,099,004 | |
Alexion Pharmaceuticals † | | | 108,070 | | | | 9,703,605 | |
Amgen | | | 57,110 | | | | 11,577,910 | |
Anthem | | | 33,568 | | | | 7,621,279 | |
Becton Dickinson and Co. | | | 24,863 | | | | 5,712,771 | |
Biogen † | | | 15,800 | | | | 4,998,804 | |
BioMarin Pharmaceutical † | | | 103,340 | | | | 8,732,230 | |
Centene † | | | 164,086 | | | | 9,748,349 | |
Cigna | | | 50,856 | | | | 9,010,666 | |
HCA Healthcare | | | 58,527 | | | | 5,258,651 | |
Humana | | | 7,400 | | | | 2,323,748 | |
Incyte † | | | 26,622 | | | | 1,949,529 | |
Intuitive Surgical † | | | 22,803 | | | | 11,292,274 | |
Stryker | | | 64,032 | | | | 10,660,688 | |
Thermo Fisher Scientific | | | 67,960 | | | | 19,273,456 | |
UnitedHealth Group | | | 156,164 | | | | 38,944,178 | |
Vertex Pharmaceuticals † | | | 46,785 | | | | 11,132,491 | |
Zoetis | | | 168,680 | | | | 19,851,949 | |
| | | | | | | | |
| | | | | | | 198,770,123 | |
| | | | | | | | |
Industrials – 9.04% | |
Boeing | | | 45,416 | | | | 6,773,342 | |
CH Robinson Worldwide | | | 75,237 | | | | 4,980,689 | |
Cintas | | | 19,200 | | | | 3,325,824 | |
Equifax | | | 36,920 | | | | 4,410,094 | |
Fortive | | | 94,459 | | | | 5,213,192 | |
General Electric | | | 623,500 | | | | 4,950,590 | |
Honeywell International | | | 98,010 | | | | 13,112,758 | |
IHS Markit (United Kingdom) | | | 205,516 | | | | 12,330,960 | |
JB Hunt Transport Services | | | 37,411 | | | | 3,450,416 | |
Roper Technologies | | | 26,366 | | | | 8,221,182 | |
Teledyne Technologies † | | | 12,703 | | | | 3,776,221 | |
TransUnion | | | 116,153 | | | | 7,687,006 | |
Uber Technologies † | | | 347,505 | | | | 9,702,340 | |
Union Pacific | | | 24,000 | | | | 3,384,960 | |
United Parcel Service Class B | | | 159,380 | | | | 14,889,280 | |
Schedules of investments
Optimum Large Cap Growth Fund
| | | | | | | | |
| | | Number of shares | | | Value (US $) | |
| |
Common Stock² (continued) | |
| |
Industrials (continued) | | | | | | | | |
United Technologies | | | 127,790 | | | $ | 12,054,431 | |
Westinghouse Air Brake | | | | | | | | |
Technologies | | | 79,086 | | | | 3,806,409 | |
WW Grainger | | | 46,290 | | | | 11,503,065 | |
| | | | | | | | |
| | | | | | | 133,572,759 | |
| | | | | | | | |
Information Technology – 35.43% | |
Adobe † | | | 81,550 | | | | 25,952,472 | |
Advanced Micro Devices † | | | 110,900 | | | | 5,043,732 | |
Akamai Technologies † | | | 187,450 | | | | 17,149,801 | |
Apple | | | 260,461 | | | | 66,232,628 | |
ASML Holding (Netherlands) | | | 31,803 | | | | 8,320,937 | |
Datadog Class A † | | | 59,300 | | | | 2,133,614 | |
Fidelity National Information Services | | | 231,963 | | | | 28,215,979 | |
Fiserv † | | | 114,880 | | | | 10,912,451 | |
Global Payments | | | 66,290 | | | | 9,561,007 | |
Hexagon Class B | | | 28,492 | | | | 1,204,789 | |
Intuit | | | 52,295 | | | | 12,027,850 | |
Marvell Technology Group | | | 259,069 | | | | 5,862,731 | |
Mastercard Class A | | | 104,580 | | | | 25,262,345 | |
Microsoft | | | 616,895 | | | | 97,290,510 | |
Nutanix Class A † | | | 252,390 | | | | 3,987,762 | |
NVIDIA | | | 81,860 | | | | 21,578,296 | |
Palo Alto Networks † | | | 51,290 | | | | 8,409,508 | |
Paycom Software † | | | 19,728 | | | | 3,985,253 | |
PayPal Holdings † | | | 92,363 | | | | 8,842,834 | |
QUALCOMM | | | 205,590 | | | | 13,908,163 | |
salesforce.com † | | | 179,523 | | | | 25,847,722 | |
ServiceNow † | | | 27,014 | | | | 7,741,672 | |
Slack Technologies Class A † | | | 112,793 | | | | 3,027,364 | |
Splunk † | | | 154,900 | | | | 19,553,027 | |
Temenos † | | | 30,236 | | | | 3,941,251 | |
Texas Instruments | | | 89,710 | | | | 8,964,720 | |
Visa Class A | | | 370,288 | | | | 59,660,803 | |
VMware Class A † | | | 128,113 | | | | 15,514,484 | |
Workday Class A † | | | 28,420 | | | | 3,700,852 | |
| | | | | | | | |
| | | | | | | 523,834,557 | |
| | | | | | | | |
Materials – 1.05% | |
Ecolab | | | 71,630 | | | | 11,162,103 | |
Linde | | | 25,300 | | | | 4,376,900 | |
| | | | | | | | |
| | | | | | | 15,539,003 | |
| | | | | | | | |
Real Estate – 1.07% | |
Equinix | | | 25,200 | | | | 15,739,164 | |
| | | | | | | | |
| | | | | | | 15,739,164 | |
| | | | | | | | |
| | | | | | | | |
| | | Number of shares | | | Value (US $) | |
| |
Common Stock² (continued) | |
| |
Utilities – 0.30% | |
Sempra Energy | | | 39,739 | | | $ | 4,490,110 | |
| | | | | | | | |
| | | | | | | 4,490,110 | |
| | | | | | | | |
| |
Total Common Stock
(cost $1,189,503,435) | | | | 1,439,762,808 | |
| | | | | | | | |
|
| |
Convertible Preferred Stock – 0.32% | |
| |
Airbnb Private Placement | | | | | | | | |
Series D =p† | | | 23,130 | | | | 1,760,655 | |
Series E =p† | | | 13,611 | | | | 1,036,069 | |
Magic Leap =p† | | | 43,435 | | | | 703,291 | |
WeWork Companies Series E =p† | | | 20,913 | | | | 75,287 | |
Xiaoju Kuaizhi (China) =p† | | | 32,416 | | | | 1,160,665 | |
| | | | | | | | |
| | |
Total Convertible Preferred Stock
(cost $4,786,107) | | | | | | | 4,735,967 | |
| | | | | | | | |
|
| |
Short-Term Investments – 2.48% | |
| |
Money Market Mutual Funds – 2.48% | |
BlackRock FedFund – Institutional Shares(seven-day effective yield 0.33%) | | | 7,342,080 | | | | 7,342,080 | |
Fidelity Investments Money Market Government Portfolio – Class I(seven-day effective yield 0.30%) | | | 7,342,081 | | | | 7,342,080 | |
GS Financial Square Government Fund – Institutional Shares(seven-day effective yield 0.34%) | | | 7,342,081 | | | | 7,342,080 | |
Morgan Stanley Government Portfolio – Institutional Share Class(seven-day effective yield 0.22%) | | | 7,342,081 | | | | 7,342,081 | |
State Street Institutional US Government Money Market Fund – Investor Class(seven-day effective yield 0.24%) | | | 7,342,081 | | | | 7,342,081 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(cost $36,710,402) | | | | | | | 36,710,402 | |
| | | | | | | | |
90
| | | | | | |
Total Value of Securities – 100.19%
(cost $1,230,999,944) | | $ | 1,481,209,177 | |
| | | | | | |
| 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 March 31, 2020, the aggregate value of restricted securities was $4,735,967 which represented 0.32% of the Fund’s net assets. |
| † | Non-income producing security. |
Restricted securities
| | | | | | | | | | | | |
Investment | | Date of Acquisition | | | Cost | | | Value | |
| Airbnb Private Placement Series D | | | 4/16/14 | | | $ | 941,693 | | | $ | 1,760,655 | |
| Airbnb Private Placement Series E | | | 7/14/15 | | | | 1,267,108 | | | | 1,036,069 | |
| Magic Leap | | | 1/20/16 | | | | 1,000,438 | | | | 703,291 | |
| WeWork Companies Series E | | | 6/23/15 | | | | 687,820 | | | | 75,287 | |
| Xiaoju Kuaizhi (China) | | | 10/19/15 | | | | 889,048 | | | | 1,160,665 | |
| | | | | | | | | | | | |
Total | | | | | | $ | 4,786,107 | | | $ | 4,735,967 | |
| | | | | | | | | | | | |
The following foreign currency exchange contracts were outstanding at March 31, 2020:1
Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Currency to Receive (Deliver) | | | In
Exchange
For | | | Settlement
Date | | Unrealized
Depreciation | |
CITI | | SEK | | | (1,557,594 | ) | | | USD | | | | 154,473 | | | 4/1/20 | | $ | (2,982 | ) |
SSB | | CAD | | | (158,945 | ) | | | USD | | | | 112,372 | | | 4/1/20 | | | (572 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | | | | | $ | (3,554 | ) |
| | | | | | | | | | | | | | | | | | | | |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.
1See Note 7 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
CAD – Canadian Dollar
CITI – Citigroup
GS – Goldman Sachs
SEK – Swedish Krona
SSB – State Street Bank
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
Schedules of investments
Optimum Large Cap Value Fund
March 31, 2020
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common Stock – 98.51% | | | | | | | | |
| |
Communication Services – 7.56% | |
Alphabet Class A † | | | 6,749 | | | $ | 7,842,001 | |
AT&T | | | 572,762 | | | | 16,696,012 | |
Comcast Class A | | | 951,430 | | | | 32,710,163 | |
Discovery Class A † | | | 381,685 | | | | 7,419,956 | |
Verizon Communications | | | 463,392 | | | | 24,898,052 | |
Walt Disney | | | 77,991 | | | | 7,533,931 | |
| | | | | | | | |
| | | | | | | 97,100,115 | |
| | | | | | | | |
Consumer Discretionary – 1.54% | |
Aptiv | | | 80,238 | | | | 3,950,919 | |
Best Buy | | | 85,323 | | | | 4,863,411 | |
Marriott International Class A | | | 34,540 | | | | 2,583,937 | |
Target | | | 90,391 | | | | 8,403,651 | |
| | | | | | | | |
| | | | | | | 19,801,918 | |
| | | | | | | | |
Consumer Staples – 8.72% | |
Archer-Daniels-Midland | | | 102,140 | | | | 3,593,285 | |
Colgate-Palmolive | | | 23,090 | | | | 1,532,252 | |
Danone (France) | | | 45,200 | | | | 2,892,721 | |
Diageo (United Kingdom) | | | 320,726 | | | | 10,170,069 | |
JM Smucker | | | 27,030 | | | | 3,000,330 | |
Kimberly-Clark | | | 109,133 | | | | 13,954,837 | |
Mondelez International | | | | | | | | |
Class A | | | 202,919 | | | | 10,162,184 | |
Nestle (Switzerland) | | | 132,988 | | | | 13,613,688 | |
PepsiCo | | | 135,667 | | | | 16,293,607 | |
Philip Morris International | | | 108,614 | | | | 7,924,477 | |
Procter & Gamble | | | 201,030 | | | | 22,113,300 | |
Reckitt Benckiser Group (United Kingdom) | | | 44,917 | | | | 3,421,579 | |
Tyson Foods Class A | | | 58,268 | | | | 3,371,969 | |
| | | | | | | | |
| | | | | | | 112,044,298 | |
| | | | | | | | |
Energy – 3.53% | |
Chevron | | | 216,737 | | | | 15,704,763 | |
ConocoPhillips | | | 316,300 | | | | 9,742,040 | |
Diamondback Energy | | | 122,170 | | | | 3,200,854 | |
EOG Resources | | | 186,546 | | | | 6,700,732 | |
Marathon Petroleum | | | 1,000 | | | | 23,620 | |
Phillips 66 | | | 85,898 | | | | 4,608,428 | |
Pioneer Natural Resources | | | 22,117 | | | | 1,551,508 | |
Suncor Energy (Canada) | | | 240,092 | | | | 3,831,782 | |
| | | | | | | | |
| | | | | | | 45,363,727 | |
| | | | | | | | |
Financials – 23.40% | |
Allstate | | | 88,536 | | | | 8,121,407 | |
American Express | | | 122,864 | | | | 10,518,387 | |
Aon (United Kingdom) | | | 96,854 | | | | 15,984,784 | |
Bank of America | | | 889,350 | | | | 18,880,901 | |
Berkshire Hathaway Class B † | | | 45,016 | | | | 8,230,275 | |
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common Stock (continued) | |
| |
Financials (continued) | | | | | | | | |
BlackRock | | | 16,476 | | | $ | 7,248,946 | |
Charles Schwab | | | 180,145 | | | | 6,056,475 | |
Chubb (Switzerland) | | | 121,177 | | | | 13,534,259 | |
Citigroup | | | 295,250 | | | | 12,435,930 | |
E*TRADE Financial | | | 158,732 | | | | 5,447,682 | |
Goldman Sachs Group | | | 62,481 | | | | 9,658,938 | |
Hartford Financial Services | | | | | | | | |
Group | | | 207,370 | | | | 7,307,719 | |
Intercontinental Exchange | | | 111,628 | | | | 9,013,961 | |
JPMorgan Chase & Co. | | | 577,198 | | | | 51,965,137 | |
Marsh & McLennan | | | 141,487 | | | | 12,232,966 | |
Moody’s | | | 22,732 | | | | 4,807,818 | |
Nasdaq | | | 94,214 | | | | 8,945,619 | |
PNC Financial Services Group | | | 78,942 | | | | 7,556,328 | |
Prudential Financial | | | 151,256 | | | | 7,886,488 | |
State Street | | | 236,348 | | | | 12,590,258 | |
T Rowe Price Group | | | 34,512 | | | | 3,370,097 | |
Travelers | | | 167,858 | | | | 16,676,692 | |
Truist Financial | | | 479,702 | | | | 14,794,010 | |
US Bancorp | | | 315,787 | | | | 10,878,862 | |
Wells Fargo & Co. | | | 221,035 | | | | 6,343,705 | |
Willis Towers Watson | | | 59,290 | | | | 10,070,407 | |
| | | | | | | | |
| | | | | | | 300,558,051 | |
| | | | | | | | |
Healthcare – 17.77% | |
Abbott Laboratories | | | 128,388 | | | | 10,131,097 | |
Biogen † | | | 13,485 | | | | 4,266,384 | |
Boston Scientific † | | | 140,297 | | | | 4,577,891 | |
Cigna | | | 135,694 | | | | 24,042,263 | |
Danaher | | | 83,974 | | | | 11,622,841 | |
Eli Lilly & Co. | | | 63,496 | | | | 8,808,165 | |
Gilead Sciences | | | 113,922 | | | | 8,516,809 | |
Hill-Rom Holdings | | | 85,401 | | | | 8,591,341 | |
Johnson & Johnson | | | 328,473 | | | | 43,072,664 | |
McKesson | | | 41,300 | | | | 5,586,238 | |
Medtronic (Ireland) | | | 404,936 | | | | 36,517,128 | |
Merck & Co. | | | 245,970 | | | | 18,924,932 | |
Pfizer | | | 398,552 | | | | 13,008,737 | |
Roche Holding (Switzerland) | | | 12,089 | | | | 3,889,539 | |
Thermo Fisher Scientific | | | 72,465 | | | | 20,551,074 | |
UnitedHealth Group | | | 24,553 | | | | 6,123,027 | |
| | | | | | | | |
| | | | | | | 228,230,130 | |
| | | | | | | | |
Industrials – 13.60% | |
Canadian National Railway (Canada) | | | 51,826 | | | | 4,023,252 | |
Caterpillar | | | 66,486 | | | | 7,715,035 | |
Delta Air Lines | | | 199,440 | | | | 5,690,023 | |
92
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common Stock (continued) | |
| |
Industrials (continued) | | | | | | | | |
Eaton | | | 109,112 | | | $ | 8,476,911 | |
Equifax | | | 51,632 | | | | 6,167,442 | |
Honeywell International | | | 188,712 | | | | 25,247,778 | |
Illinois Tool Works | | | 81,843 | | | | 11,631,527 | |
Johnson Controls International | | | 219,561 | | | | 5,919,365 | |
Kansas City Southern | | | 31,703 | | | | 4,031,988 | |
Lockheed Martin | | | 45,617 | | | | 15,461,882 | |
Masco | | | 124,901 | | | | 4,317,828 | |
Northrop Grumman | | | 89,293 | | | | 27,015,597 | |
Owens Corning | | | 100,418 | | | | 3,897,223 | |
Quanta Services | | | 277,170 | | | | 8,794,604 | |
Stanley Black & Decker | | | 59,414 | | | | 5,941,400 | |
Textron | | | 114,094 | | | | 3,042,887 | |
Trane Technologies | | | 131,079 | | | | 10,825,815 | |
Union Pacific | | | 61,708 | | | | 8,703,296 | |
United Technologies | | | 83,333 | | | | 7,860,802 | |
| | | | | | | | |
| | | | | | | 174,764,655 | |
| | | | | | | | |
Information Technology – 8.60% | |
Accenture Class A (Ireland) | | | 99,429 | | | | 16,232,779 | |
Analog Devices | | | 46,295 | | | | 4,150,347 | |
Apple | | | 20,027 | | | | 5,092,666 | |
Broadcom | | | 20,583 | | | | 4,880,229 | |
Cisco Systems | | | 213,524 | | | | 8,393,628 | |
Cognizant Technology Solutions Class A | | | 53,136 | | | | 2,469,230 | |
Fidelity National Information Services | | | 81,706 | | | | 9,938,718 | |
Fiserv † | | | 111,893 | | | | 10,628,716 | |
Intel | | | 127,769 | | | | 6,914,858 | |
Micron Technology † | | | 122,165 | | | | 5,138,260 | |
Microsoft | | | 50,473 | | | | 7,960,097 | |
NXP Semiconductors | | | 57,635 | | | | 4,779,671 | |
ON Semiconductor † | | | 350,085 | | | | 4,355,057 | |
Oracle | | | 118,683 | | | | 5,735,949 | |
Texas Instruments | | | 138,630 | | | | 13,853,296 | |
| | | | | | | | |
| | | | | | | 110,523,501 | |
| | | | | | | | |
Materials – 4.10% | |
Air Products & Chemicals | | | 44,748 | | | | 8,932,148 | |
CF Industries Holdings | | | 106,644 | | | | 2,900,717 | |
Corteva | | | 33,966 | | | | 798,201 | |
DuPont de Nemours | | | 104,851 | | | | 3,575,419 | |
Huntsman | | | 325,698 | | | | 4,699,822 | |
Martin Marietta Materials | | | 50,159 | | | | 9,491,588 | |
PPG Industries | | | 127,306 | | | | 10,642,782 | |
| | | | | | | | |
| | | Number of
shares | | | Value (US $) | |
| |
Common Stock (continued) | |
| |
Materials (continued) | | | | | | | | |
Sherwin-Williams | | | 16,249 | | | $ | 7,466,740 | |
Westrock | | | 146,156 | | | | 4,130,369 | |
| | | | | | | | |
| | | | | | | 52,637,786 | |
| | | | | | | | |
Real Estate – 2.50% | |
AvalonBay Communities | | | 27,582 | | | | 4,059,243 | |
Boston Properties | | | 84,590 | | | | 7,801,736 | |
Equity LifeStyle Properties | | | 61,173 | | | | 3,516,224 | |
Highwoods Properties | | | 99,248 | | | | 3,515,364 | |
Prologis | | | 131,670 | | | | 10,582,318 | |
Public Storage | | | 13,446 | | | | 2,670,510 | |
| | | | | | | | |
| | | | | | | 32,145,395 | |
| | | | | | | | |
Utilities – 7.19% | |
American Electric Power | | | 187,453 | | | | 14,992,491 | |
DTE Energy | | | 106,108 | | | | 10,077,077 | |
Duke Energy | | | 340,581 | | | | 27,546,191 | |
FirstEnergy | | | 242,912 | | | | 9,733,484 | |
Southern | | | 264,079 | | | | 14,297,237 | |
Xcel Energy | | | 260,290 | | | | 15,695,487 | |
| | | | | | | | |
| | | | | | | 92,341,967 | |
| | | | | | | | |
Total Common Stock
(cost $1,256,604,775) | | | | | | | 1,265,511,543 | |
| | | | | | | | |
|
| |
Short-Term Investments – 1.32% | | | | | |
| |
Money Market Mutual Funds – 1.32% | |
BlackRock FedFund – Institutional Shares(seven-day effective yield 0.33%) | | | 3,383,183 | | | | 3,383,183 | |
Fidelity Investments Money Market Government Portfolio – Class I(seven-day effective yield 0.30%) | | | 3,383,184 | | | | 3,383,184 | |
GS Financial Square Government Fund – Institutional Shares(seven-day effective yield 0.34%) | | | 3,383,184 | | | | 3,383,184 | |
Morgan Stanley Government Portfolio – Institutional Share Class(seven-day effective yield 0.22%) | | | 3,383,184 | | | | 3,383,184 | |
Schedules of investments
Optimum Large Cap Value Fund
| | | | | | | | |
| | | 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 0.24%) | | | 3,383,184 | | | $ | 3,383,184 | |
| | | | | | | | |
Total Short-Term Investments
(cost $16,915,919) | | | | | | | 16,915,919 | |
| | | | | | | | |
| |
Total Value of Securities – 99.83%
(cost $1,273,520,694) | | | $ | 1,282,427,462 | |
| | | | | | | | |
| | † | Non-income producing security. |
GS – Goldman Sachs
See accompanying notes, which are an integral part of the financial statements
94
OptimumSmall-Mid Cap Growth Fund
March 31, 2020
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock – 97.37%² | |
| |
Communication Services – 1.33% | | | | | |
Lions Gate Entertainment | | | | | | | | |
Class B † | | | 98,769 | | | $ | 551,131 | |
Sea ADR † | | | 67,243 | | | | 2,979,537 | |
Zynga Class A † | | | 295,265 | | | | 2,022,565 | |
| | | | | | | | |
| | | | | | | 5,553,233 | |
| | | | | | | | |
Consumer Cyclical – 0.61% | |
DR Horton | | | 75,049 | | | | 2,551,666 | |
| | | | | | | | |
| | | | | | | 2,551,666 | |
| | | | | | | | |
Consumer Discretionary – 10.43% | |
Boot Barn Holdings † | | | 48,901 | | | | 632,290 | |
Burlington Stores † | | | 47,203 | | | | 7,479,787 | |
Callaway Golf | | | 94,704 | | | | 967,875 | |
CarMax † | | | 39,098 | | | | 2,104,645 | |
Chegg † | | | 33,968 | | | | 1,215,375 | |
Chewy Class A † | | | 127,361 | | | | 4,774,764 | |
Children’s Place | | | 20,584 | | | | 402,623 | |
Crocs † | | | 184,872 | | | | 3,140,975 | |
Draftkings Class A =p† | | | 184,056 | | | | 550,328 | |
Extended Stay America | | | 144,644 | | | | 1,057,348 | |
Floor & Decor Holdings
Class A † | | | 122,577 | | | | 3,933,496 | |
Fox Factory Holding † | | | 18,593 | | | | 780,906 | |
Houghton Mifflin
Harcourt † | | | 171,997 | | | | 323,354 | |
International Game Technology | | | 174,496 | | | | 1,038,251 | |
Media General CVR =† | | | 49,291 | | | | 0 | |
Monro | | | 19,957 | | | | 874,316 | |
National Vision
Holdings † | | | 74,898 | | | | 1,454,519 | |
Papa John’s International | | | 70,873 | | | | 3,782,492 | |
Skyline Champion † | | | 95,042 | | | | 1,490,259 | |
Strategic Education | | | 16,143 | | | | 2,256,146 | |
TopBuild † | | | 41,931 | | | | 3,003,937 | |
YETI Holdings † | | | 123,357 | | | | 2,407,929 | |
| | | | | | | | |
| | | | | | | 43,671,615 | |
| | | | | | | | |
Consumer Staples – 1.46% | | | | | |
Boston Beer Class A † | | | 5,205 | | | | 1,913,150 | |
Freshpet † | | | 34,057 | | | | 2,175,221 | |
Performance Food
Group † | | | 82,493 | | | | 2,039,227 | |
| | | | | | | | |
| | | | | | | 6,127,598 | |
| | | | | | | | |
Energy – 0.24% | | | | | |
GasLog (Monaco) | | | 107,050 | | | | 387,521 | |
Parsley Energy Class A | | | 106,935 | | | | 612,738 | |
| | | | | | | | |
| | | | | | | 1,000,259 | |
| | | | | | | | |
Financials – 7.20% | | | | | |
Argo Group International | | | | | | | | |
Holdings (Bermuda) | | | 36,081 | | | | 1,337,162 | |
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock² (continued) | |
| |
Financials (continued) | | | | | | | | |
BRP Group Class A † | | | 57,543 | | | $ | 607,079 | |
Essent Group | | | 72,183 | | | | 1,901,300 | |
Evercore Class A | | | 44,271 | | | | 2,039,122 | |
FirstCash | | | 24,377 | | | | 1,748,806 | |
Focus Financial Partners
Class A † | | | 65,410 | | | | 1,505,084 | |
Goosehead Insurance
Class A † | | | 41,752 | | | | 1,863,392 | |
Hamilton Lane Class A | | | 60,300 | | | | 3,335,193 | |
Palomar Holdings † | | | 47,090 | | | | 2,738,754 | |
Pinnacle Financial Partners | | | 20,816 | | | | 781,433 | |
Stifel Financial | | | 56,649 | | | | 2,338,471 | |
SVB Financial Group † | | | 40,338 | | | | 6,094,265 | |
Triumph Bancorp † | | | 48,615 | | | | 1,263,990 | |
Virtu Financial Class A | | | 70,447 | | | | 1,466,706 | |
Virtus Investment Partners | | | 14,727 | | | | 1,120,872 | |
| | | | | | | | |
| | | | | | | 30,141,629 | |
| | | | | | | | |
Healthcare – 27.77% | | | | | |
ACADIA Pharmaceuticals † | | | 89,575 | | | | 3,784,544 | |
Adaptive Biotechnologies † | | | 42,250 | | | | 1,173,705 | |
Allscripts Healthcare
Solutions † | | | 150,777 | | | | 1,061,470 | |
Alnylam
Pharmaceuticals † | | | 11,342 | | | | 1,234,577 | |
Amedisys † | | | 19,541 | | | | 3,586,555 | |
Amicus Therapeutics † | | | 138,770 | | | | 1,282,235 | |
AMN Healthcare
Services † | | | 32,967 | | | | 1,905,822 | |
Arrowhead Pharmaceuticals † | | | 34,056 | | | | 979,791 | |
AtriCure † | | | 40,788 | | | | 1,370,069 | |
Avantor † | | | 113,445 | | | | 1,416,928 | |
Axogen † | | | 69,338 | | | | 721,115 | |
Axonics Modulation
Technologies † | | | 62,131 | | | | 1,578,749 | |
Bluebird Bio † | | | 14,486 | | | | 665,776 | |
Blueprint Medicines † | | | 21,815 | | | | 1,275,741 | |
Cardiovascular
Systems † | | | 37,686 | | | | 1,326,924 | |
Cerus † | | | 190,382 | | | | 885,276 | |
CONMED | | | 33,446 | | | | 1,915,452 | |
CRISPR Therapeutics † | | | 34,890 | | | | 1,479,685 | |
CryoPort † | | | 78,825 | | | | 1,345,543 | |
DexCom † | | | 43,084 | | | | 11,601,229 | |
Emergent BioSolutions † | | | 26,662 | | | | 1,542,663 | |
Evolent Health Class A † | | | 133,468 | | | | 724,731 | |
Exact Sciences † | | | 38,305 | | | | 2,221,690 | |
Flexion Therapeutics † | | | 64,726 | | | | 509,394 | |
Galapagos ADR † | | | 4,414 | | | | 864,791 | |
Glaukos † | | | 38,737 | | | | 1,195,424 | |
Global Blood Therapeutics † | | | 22,125 | | | | 1,130,366 | |
Haemonetics † | | | 21,680 | | | | 2,160,629 | |
Schedules of investments
OptimumSmall-Mid Cap Growth Fund
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock² (continued) | |
| |
Healthcare (continued) | | | | | |
HealthEquity † | | | 24,797 | | | $ | 1,254,480 | |
Horizon Therapeutics † | | | 156,093 | | | | 4,623,475 | |
ICON (Ireland) † | | | 22,044 | | | | 2,997,984 | |
Immunomedics † | | | 82,691 | | | | 1,114,675 | |
Inspire Medical
Systems † | | | 104,183 | | | | 6,280,151 | |
Insulet † | | | 30,408 | | | | 5,037,997 | |
Intercept
Pharmaceuticals † | | | 9,561 | | | | 601,960 | |
Ionis Pharmaceuticals † | | | 24,495 | | | | 1,158,124 | |
Iovance Biotherapeutics † | | | 41,923 | | | | 1,254,965 | |
Ironwood Pharmaceuticals † | | | 139,477 | | | | 1,407,323 | |
LHC Group † | | | 20,114 | | | | 2,819,983 | |
Mirati Therapeutics † | | | 12,300 | | | | 945,501 | |
Momenta Pharmaceuticals † | | | 51,311 | | | | 1,395,659 | |
NanoString Technologies † | | | 64,310 | | | | 1,546,655 | |
Natera † | | | 143,531 | | | | 4,285,836 | |
Novocure † | | | 16,489 | | | | 1,110,369 | |
Omnicell † | | | 32,659 | | | | 2,141,777 | |
Pacira BioSciences † | | | 36,906 | | | | 1,237,458 | |
Penumbra † | | | 24,148 | | | | 3,895,797 | |
PetIQ † | | | 73,328 | | | | 1,703,409 | |
Phreesia † | | | 53,684 | | | | 1,128,974 | |
Reata Pharmaceuticals Class A † | | | 10,961 | | | | 1,582,111 | |
Silk Road Medical † | | | 59,523 | | | | 1,873,784 | |
Syneos Health † | | | 58,444 | | | | 2,303,862 | |
Tabula Rasa HealthCare † | | | 29,350 | | | | 1,534,711 | |
Tactile Systems Technology † | | | 27,348 | | | | 1,098,296 | |
Tandem Diabetes Care † | | | 102,370 | | | | 6,587,509 | |
Teladoc Health † | | | 10,987 | | | | 1,703,095 | |
Zymeworks † | | | 20,147 | | | | 714,614 | |
| | | | | | | | |
| | | | | | | 116,281,408 | |
| | | | | | | | |
Industrials – 15.07% | |
AAR | | | 32,128 | | | | 570,593 | |
AO Smith | | | 19,480 | | | | 736,539 | |
ASGN † | | | 57,133 | | | | 2,017,938 | |
Atkore International Group † | | | 62,377 | | | | 1,314,283 | |
Chart Industries † | | | 27,868 | | | | 807,615 | |
CIRCOR International † | | | 32,541 | | | | 378,452 | |
CoStar Group † | | | 3,057 | | | | 1,795,101 | |
Dycom Industries † | | | 24,535 | | | | 629,323 | |
FTI Consulting † | | | 28,497 | | | | 3,413,086 | |
Generac Holdings † | | | 17,293 | | | | 1,611,189 | |
Hub Group Class A † | | | 36,102 | | | | 1,641,558 | |
Huron Consulting Group † | | | 22,418 | | | | 1,016,880 | |
IAA † | | | 41,971 | | | | 1,257,451 | |
ICF International | | | 33,828 | | | | 2,323,984 | |
Ingersoll Rand † | | | 79,328 | | | | 1,967,334 | |
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock² (continued) | |
| |
Industrials (continued) | | | | | | | | |
Kansas City Southern | | | 50,993 | | | $ | 6,485,290 | |
KAR Auction Services | | | 74,866 | | | | 898,392 | |
Knight-Swift Transportation Holdings | | | 46,301 | | | | 1,518,673 | |
Kratos Defense & Security Solutions † | | | 126,956 | | | | 1,757,071 | |
Masco | | | 90,456 | | | | 3,127,064 | |
Masonite International † | | | 67,217 | | | | 3,189,447 | |
Nordson | | | 21,658 | | | | 2,925,346 | |
Owens Corning | | | 103,576 | | | | 4,019,785 | |
PGT Innovations † | | | 73,945 | | | | 620,398 | |
Schneider National Class B | | | 112,129 | | | | 2,168,575 | |
SPX † | | | 66,691 | | | | 2,176,794 | |
Tetra Tech | | | 34,398 | | | | 2,429,187 | |
TransUnion | | | 73,966 | | | | 4,895,070 | |
Trex † | | | 43,584 | | | | 3,492,822 | |
Wabash National | | | 110,743 | | | | 799,564 | |
Woodward | | | 19,045 | | | | 1,132,035 | |
| | | | | | | | |
| | | | | | | 63,116,839 | |
| | | | | | | | |
Information Technology – 31.33% | |
Ambarella † | | | 70,605 | | | | 3,428,579 | |
Benefitfocus † | | | 45,955 | | | | 409,459 | |
Black Knight † | | | 44,619 | | | | 2,590,579 | |
Box Class A † | | | 149,845 | | | | 2,103,824 | |
Cabot Microelectronics | | | 13,745 | | | | 1,568,854 | |
Ciena † | | | 86,870 | | | | 3,458,295 | |
Cornerstone OnDemand † | | | 57,396 | | | | 1,822,323 | |
Coupa Software † | | | 12,794 | | | | 1,787,706 | |
Crowdstrike Holdings Class A † | | | 70,241 | | | | 3,911,019 | |
CyberArk Software (Israel) † | | | 23,667 | | | | 2,024,948 | |
DocuSign † | | | 26,558 | | | | 2,453,959 | |
Euronet Worldwide † | | | 12,479 | | | | 1,069,700 | |
Everbridge † | | | 53,093 | | | | 5,646,971 | |
Five9 † | | | 78,365 | | | | 5,991,788 | |
FormFactor † | | | 54,401 | | | | 1,092,916 | |
Inphi † | | | 68,727 | | | | 5,441,117 | |
KBR | | | 82,013 | | | | 1,696,029 | |
Keysight Technologies † | | | 18,748 | | | | 1,568,833 | |
Lattice Semiconductor † | | | 196,787 | | | | 3,506,744 | |
LiveRamp Holdings † | | | 85,767 | | | | 2,823,450 | |
Lumentum Holdings † | | | 35,645 | | | | 2,627,037 | |
Manhattan Associates † | | | 11,230 | | | | 559,479 | |
Mimecast † | | | 47,104 | | | | 1,662,771 | |
MKS Instruments | | | 25,900 | | | | 2,109,555 | |
NIC | | | 81,102 | | | | 1,865,346 | |
Nuance Communications † | | | 465,547 | | | | 7,811,879 | |
Okta † | | | 14,290 | | | | 1,747,095 | |
96
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock² (continued) | |
| |
Information Technology (continued) | |
Onto Innovation † | | | 54,886 | | | $ | 1,628,468 | |
PagerDuty † | | | 87,186 | | | | 1,506,574 | |
PTC † | | | 44,136 | | | | 2,701,565 | |
Q2 Holdings † | | | 76,281 | | | | 4,505,156 | |
Rapid7 † | | | 54,492 | | | | 2,361,138 | |
RealPage † | | | 59,946 | | | | 3,172,942 | |
RingCentral Class A † | | | 48,860 | | | | 10,353,923 | |
Silicon Motion Technology ADR | | | 40,030 | | | | 1,467,500 | |
SolarEdge Technologies † | | | 30,657 | | | | 2,510,195 | |
Sprout Social Class A † | | | 48,103 | | | | 767,724 | |
SS&C Technologies Holdings | | | 76,993 | | | | 3,373,833 | |
Talend ADR † | | | 24,641 | | | | 552,698 | |
Teradyne | | | 72,871 | | | | 3,947,422 | |
Trade Desk Class A † | | | 4,064 | | | | 784,352 | |
Tyler Technologies † | | | 15,813 | | | | 4,689,503 | |
Verra Mobility † | | | 138,243 | | | | 987,055 | |
Viavi Solutions † | | | 283,534 | | | | 3,178,416 | |
WEX † | | | 12,793 | | | | 1,337,508 | |
Zebra Technologies Class A † | | | 10,697 | | | | 1,963,969 | |
Zendesk † | | | 83,837 | | | | 5,366,406 | |
Zuora Class A † | | | 154,878 | | | | 1,246,768 | |
| | | | | | | | |
| | | | | | | 131,183,370 | |
| | | | | | | | |
Materials – 1.51% | | | | | | | | |
Boise Cascade | | | 72,288 | | | | 1,719,009 | |
Crown Holdings † | | | 12,214 | | | | 708,900 | |
Element Solutions † | | | 214,726 | | | | 1,795,109 | |
Orion Engineered Carbons (Luxembourg) | | | 103,636 | | | | 773,125 | |
Steel Dynamics | | | 58,133 | | | | 1,310,318 | |
| | | | | | | | |
| | | | | | | 6,306,461 | |
| | | | | | | | |
Real Estate – 0.42% | | | | | | | | |
QTS Realty Trust Class A | | | 30,692 | | | | 1,780,443 | |
| | | | | | | | |
| | | | | | | 1,780,443 | |
| | | | | | | | |
Total Common Stock
(cost $443,621,012) | | | | | | | 407,714,521 | |
| | | | | | | | |
| | | | | | | | |
| |
Convertible Preferred Stock – 0.27% | | | | | |
| |
Honest Series D=p† | | | 15,249 | | | | 365,366 | |
MarkLogic Series F=p† | | | 83,588 | | | | 762,573 | |
| | | | | | | | |
Total Convertible Preferred Stock
(cost $1,668,526) | | | | | | | 1,127,939 | |
| | | | | | | | |
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Short-Term Investments – 2.04% | |
| |
Money Market Mutual Funds – 2.04% | |
BlackRock FedFund – Institutional Shares(seven-day effective yield 0.33%) | | | 1,712,023 | | | | 1,712,023 | |
Fidelity Investments Money Market Government Portfolio – Class I(seven-day effective yield 0.30%) | | | 1,712,023 | | | | 1,712,023 | |
GS Financial Square Government Fund – Institutional Shares(seven-day effective yield 0.34%) | | | 1,712,024 | | | | 1,712,024 | |
Morgan Stanley Government Portfolio – Institutional Share Class(seven-day effective yield 0.22%) | | | 1,712,024 | | | | 1,712,024 | |
State Street Institutional US Government Money Market Fund – Investor Class(seven-day effective yield 0.24%) | | | 1,712,024 | | | | 1,712,024 | |
| | | | | | | | |
Total Short-Term Investments
(cost $8,560,118) | | | | | | | 8,560,118 | |
| | | | | | | | |
Total Value of Securities – 99.68%
(cost $453,849,656) | | | $ | 417,402,578 | |
| | | | | | | | |
| | | | |
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 March 31, 2020, the aggregate value of restricted securities was $1,428,455 which represented 0.34% 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 10 in “Notes to financial statements”and the following table for additional details on restricted securities. † Non-income producing security. |
Schedules of investments
OptimumSmall-Mid Cap Growth Fund
| | | | | | |
Investment | | Date of Acquisition | | Cost | | Value |
Draftkings Class A | | 7/17/15 | | $305,094 | | $249,812 |
Draftkings Class A | | 8/18/15 | | 388,676 | | 300,516 |
Honest Series D | | 8/3/15 | | 697,718 | | 365,366 |
MarkLogic Series F | | 4/27/15 | | 970,808 | | 762,573 |
| | | | | | |
Total | | | | $2,362,296 | | $1,678,267 |
| | | | | | |
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.
OptimumSmall-Mid Cap Value Fund
March 31, 2020
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock – 97.34% | |
| |
Communication Services – 1.57% | |
AMC Networks Class A † | | | 30,800 | | | $ | 748,748 | |
Cable One | | | 2,006 | | | | 3,297,884 | |
Cars.Com † | | | 56,200 | | | | 241,660 | |
CenturyLink | | | 78,300 | | | | 740,718 | |
Entercom Communications Class A | | | 206,300 | | | | 352,773 | |
WideOpenWest † | | | 103,300 | | | | 491,708 | |
| | | | | | | | |
| | | | | | | 5,873,491 | |
| | | | | | | | |
Consumer Discretionary – 9.51% | |
1-800-Flowers.com Class A † | | | 142,430 | | | | 1,884,349 | |
American Axle & Manufacturing Holdings † | | | 114,200 | | | | 412,262 | |
American Eagle Outfitters | | | 62,200 | | | | 494,490 | |
Bed Bath & Beyond | | | 38,700 | | | | 162,927 | |
Bloomin’ Brands | | | 235,349 | | | | 1,680,392 | |
BorgWarner | | | 41,200 | | | | 1,004,044 | |
Brinker International | | | 33,200 | | | | 398,732 | |
Brunswick | | | 21,300 | | | | 753,381 | |
Capri Holdings † | | | 15,000 | | | | 161,850 | |
Carter’s | | | 55,505 | | | | 3,648,344 | |
Columbia Sportswear | | | 32,135 | | | | 2,242,059 | |
Cooper-Standard Holdings † | | | 17,300 | | | | 177,671 | |
Dick’s Sporting Goods | | | 47,100 | | | | 1,001,346 | |
Foot Locker | | | 41,900 | | | | 923,895 | |
Goodyear Tire & Rubber | | | 70,000 | | | | 407,400 | |
Harley-Davidson | | | 43,800 | | | | 829,134 | |
Haverty Furniture | | | 43,900 | | | | 521,971 | |
Installed Building Products † | | | 71,080 | | | | 2,833,960 | |
Kohl’s | | | 36,100 | | | | 526,699 | |
Lear | | | 11,700 | | | | 950,625 | |
MDC Holdings | | | 50,600 | | | | 1,173,920 | |
Nordstrom | | | 28,400 | | | | 435,656 | |
Office Depot | | | 174,900 | | | | 286,836 | |
Papa John’s International | | | 77,548 | | | | 4,138,737 | |
Penske Automotive Group | | | 19,700 | | | | 551,600 | |
PulteGroup | | | 53,000 | | | | 1,182,960 | |
PVH | | | 16,200 | | | | 609,768 | |
Shoe Carnival | | | 31,500 | | | | 654,255 | |
Signet Jewelers | | | 12,800 | | | | 82,560 | |
Sonic Automotive Class A | | | 76,300 | | | | 1,013,264 | |
Tenneco Class A † | | | 26,400 | | | | 95,040 | |
Thor Industries | | | 10,600 | | | | 447,108 | |
Toll Brothers | | | 49,500 | | | | 952,875 | |
Whirlpool | | | 10,600 | | | | 909,480 | |
Williams-Sonoma | | | 43,020 | | | | 1,829,210 | |
Wyndham Destinations | | | 12,500 | | | | 271,250 | |
| | | | | | | | |
| | | | | | | 35,650,050 | |
| | | | | | | | |
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock (continued) | |
| |
Consumer Staples – 5.55% | |
BJ’s Wholesale Club | | | | | | | | |
Holdings † | | | 171,900 | | | $ | 4,378,293 | |
Ingles Markets Class A | | | 35,400 | | | | 1,280,064 | |
Ingredion | | | 14,500 | | | | 1,094,750 | |
J&J Snack Foods | | | 31,451 | | | | 3,805,571 | |
JM Smucker | | | 13,700 | | | | 1,520,700 | |
Lamb Weston Holdings | | | 37,375 | | | | 2,134,113 | |
Nomad Foods (United Kingdom) † | | | 221,500 | | | | 4,111,040 | |
Pilgrim’s Pride † | | | 42,100 | | | | 762,852 | |
Universal | | | 25,300 | | | | 1,118,513 | |
Weis Markets | | | 14,500 | | | | 604,070 | |
| | | | | | | | |
| | | | | | | 20,809,966 | |
| | | | | | | | |
Energy – 2.22% | | | | | | | | |
Arch Coal Class A | | | 10,300 | | | | 297,670 | |
Gulfport Energy † | | | 150,700 | | | | 67,016 | |
HollyFrontier | | | 48,400 | | | | 1,186,284 | |
Laredo Petroleum † | | | 107,200 | | | | 40,715 | |
Parsley Energy Class A | | | 263,611 | | | | 1,510,491 | |
PBF Energy Class A | | | 50,100 | | | | 354,708 | |
PDC Energy † | | | 20,287 | | | | 125,982 | |
Southwestern Energy † | | | 230,000 | | | | 388,700 | |
W&T Offshore † | | | 179,300 | | | | 304,810 | |
World Fuel Services | | | 33,400 | | | | 841,012 | |
WPX Energy † | | | 1,046,216 | | | | 3,190,959 | |
| | | | | | | | |
| | | | | | | 8,308,347 | |
| | | | | | | | |
Financials – 23.35% | | | | | | | | |
Ally Financial | | | 91,200 | | | | 1,316,016 | |
American Financial Group | | | 18,100 | | | | 1,268,448 | |
Annaly Capital Management | | | 139,300 | | | | 706,251 | |
Apollo Commercial Real Estate Finance | | | 77,600 | | | | 575,792 | |
Ares Capital | | | 66,600 | | | | 717,948 | |
Ares Management Class A | | | 94,000 | | | | 2,907,420 | |
Argo Group International Holdings (Bermuda) | | | 76,970 | | | | 2,852,508 | |
Associated Banc-Corp | | | 96,900 | | | | 1,239,351 | |
Assurant | | | 42,420 | | | | 4,415,498 | |
Assured Guaranty (Bermuda) | | | 34,400 | | | | 887,176 | |
Banco Latinoamericano de Comercio Exterior (Panama) | | | 23,105 | | | | 238,213 | |
BankUnited | | | 34,200 | | | | 639,540 | |
Berkshire Hills Bancorp | | | 44,099 | | | | 655,311 | |
Cathay General Bancorp | | | 33,600 | | | | 771,120 | |
CIT Group | | | 61,800 | | | | 1,066,668 | |
Schedules of investments
OptimumSmall-Mid Cap Value Fund
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock (continued) | |
| |
Financials (continued) | |
CNA Financial | | | 60,200 | | | $ | 1,868,608 | |
CNO Financial Group | | | 127,400 | | | | 1,578,486 | |
Customers Bancorp † | | | 37,700 | | | | 412,061 | |
Everest Re Group (Bermuda) | | | 24,075 | | | | 4,632,511 | |
First American Financial | | | 30,200 | | | | 1,280,782 | |
First Busey | | | 45,200 | | | | 773,372 | |
First Hawaiian | | | 291,340 | | | | 4,815,850 | |
First Horizon National | | | 200,800 | | | | 1,618,448 | |
FS KKR Capital | | | 231,000 | | | | 693,000 | |
Hancock Whitney | | | 31,300 | | | | 610,976 | |
Hanmi Financial | | | 56,800 | | | | 616,280 | |
Heritage Insurance Holdings | | | 27,300 | | | | 292,383 | |
Hilltop Holdings | | | 112,955 | | | | 1,707,880 | |
Hope Bancorp | | | 122,400 | | | | 1,006,128 | |
Houlihan Lokey | | | 38,325 | | | | 1,997,499 | |
Ladder Capital | | | 79,394 | | | | 376,328 | |
Lazard Class A | | | 39,600 | | | | 932,976 | |
Legg Mason | | | 40,000 | | | | 1,954,000 | |
Lincoln National | | | 33,300 | | | | 876,456 | |
Meta Financial Group | | | 19,400 | | | | 421,368 | |
MGIC Investment | | | 480,810 | | | | 3,053,143 | |
Moelis & Co. Class A | | | 68,705 | | | | 1,930,611 | |
New Mountain Finance | | | 71,900 | | | | 488,920 | |
Oaktree Specialty Lending | | | 4,294 | | | | 13,913 | |
OFG Bancorp | | | 60,700 | | | | 678,626 | |
Preferred Bank | | | 26,200 | | | | 886,084 | |
Prospect Capital | | | 160,841 | | | | 683,574 | |
Radian Group | | | 69,500 | | | | 900,025 | |
Reinsurance Group of America | | | 21,200 | | | | 1,783,768 | |
Santander Consumer USA Holdings | | | 88,500 | | | | 1,231,035 | |
South State | | | 67,015 | | | | 3,935,791 | |
Synovus Financial | | | 55,900 | | | | 981,604 | |
TCF Financial | | | 220,591 | | | | 4,998,592 | |
Universal Insurance Holdings | | | 41,300 | | | | 740,096 | |
Unum Group | | | 75,700 | | | | 1,136,257 | |
Voya Financial | | | 25,200 | | | | 1,021,860 | |
Washington Federal | | | 177,172 | | | | 4,599,385 | |
Western Alliance Bancorp | | | 101,275 | | | | 3,100,028 | |
White Mountains Insurance Group | | | 5,080 | | | | 4,622,800 | |
Zions Bancorp | | | 74,400 | | | | 1,990,944 | |
| | | | | | | | |
| | | | | | | 87,499,708 | |
| | | | | | | | |
Healthcare – 6.89% | | | | | | | | |
Cooper | | | 8,220 | | | | 2,266,007 | |
Envista Holdings † | | | 135,327 | | | | 2,021,785 | |
Five Star Senior Living † | | | 8,354 | | | | 23,224 | |
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock (continued) | |
| |
Healthcare (continued) | |
Innoviva † | | | 86,900 | | | $ | 1,021,944 | |
Integra LifeSciences Holdings † | | | 48,745 | | | | 2,177,439 | |
Jazz Pharmaceuticals † | | | 16,810 | | | | 1,676,629 | |
Lannett † | | | 44,200 | | | | 307,190 | |
Lantheus Holdings † | | | 56,200 | | | | 717,112 | |
MEDNAX † | | | 32,100 | | | | 373,644 | |
Merit Medical Systems † | | | 102,862 | | | | 3,214,437 | |
Owens & Minor | | | 67,900 | | | | 621,285 | |
PerkinElmer | | | 48,450 | | | | 3,647,316 | |
Quest Diagnostics | | | 11,600 | | | | 931,480 | |
Select Medical Holdings † | | | 83,200 | | | | 1,248,000 | |
STERIS | | | 26,985 | | | | 3,777,090 | |
Universal Health Services Class B | | | 17,920 | | | | 1,775,514 | |
| | | | | | | | |
| | | | | | | 25,800,096 | |
| | | | | | | | |
Industrials – 12.47% | | | | | | | | |
ACCO Brands | | | 146,000 | | | | 737,300 | |
Acuity Brands | | | 13,900 | | | | 1,190,674 | |
Alaska Air Group | | | 24,800 | | | | 706,056 | |
Allison Transmission Holdings | | | 55,500 | | | | 1,809,855 | |
Apogee Enterprises | | | 36,200 | | | | 753,684 | |
Atlas Air Worldwide Holdings † | | | 24,100 | | | | 618,647 | |
Briggs & Stratton | | | 39,700 | | | | 71,857 | |
Curtiss-Wright | | | 30,975 | | | | 2,862,400 | |
Deluxe | | | 29,800 | | | | 772,714 | |
Ennis | | | 45,800 | | | | 860,124 | |
Hawaiian Holdings | | | 45,300 | | | | 472,932 | |
Herman Miller | | | 46,400 | | | | 1,030,080 | |
Howmet Aerospace | | | 36,000 | | | | 578,160 | |
Hubbell | | | 40,120 | | | | 4,603,369 | |
Huntington Ingalls Industries | | | 28,035 | | | | 5,108,257 | |
IAA † | | | 139,560 | | | | 4,181,218 | |
JetBlue Airways † | | | 109,300 | | | | 978,235 | |
KAR Auction Services | | | 172,910 | | | | 2,074,920 | |
ManpowerGroup | | | 26,300 | | | | 1,393,637 | |
Oshkosh | | | 24,800 | | | | 1,595,384 | |
Owens Corning | | | 22,400 | | | | 869,344 | |
Pentair (United Kingdom) | | | 112,862 | | | | 3,358,773 | |
Pitney Bowes | | | 45,300 | | | | 92,412 | |
Quanta Services | | | 41,400 | | | | 1,313,622 | |
Regal Beloit | | | 21,400 | | | | 1,347,130 | |
Snap-on | | | 7,600 | | | | 827,032 | |
Spirit AeroSystems Holdings Class A | | | 44,300 | | | | 1,060,099 | |
Terex | | | 34,700 | | | | 498,292 | |
Textron | | | 33,800 | | | | 901,446 | |
100
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock (continued) | |
| |
Industrials (continued) | |
Timken | | | 37,000 | | | $ | 1,196,580 | |
Trinity Industries | | | 47,700 | | | | 766,539 | |
Triton International | | | 43,700 | | | | 1,130,519 | |
Wabash National | | | 130,500 | | | | 942,210 | |
| | | | | | | | |
| | | | | | | 46,703,501 | |
| | | | | | | | |
Information Technology – 11.58% | |
Amdocs | | | 84,420 | | | | 4,640,567 | |
Arrow Electronics † | | | 18,700 | | | | 969,969 | |
Booz Allen Hamilton Holding | | | 37,934 | | | | 2,603,790 | |
CACI International Class A † | | | 19,900 | | | | 4,201,885 | |
Ciena † | | | 47,800 | | | | 1,902,918 | |
Cirrus Logic † | | | 14,100 | | | | 925,383 | |
CSG Systems International | | | 18,200 | | | | 761,670 | |
Diodes † | | | 43,900 | | | | 1,783,877 | |
FLIR Systems | | | 59,677 | | | | 1,903,099 | |
Genpact | | | 81,025 | | | | 2,365,930 | |
Jabil | | | 74,000 | | | | 1,818,920 | |
Juniper Networks | | | 98,000 | | | | 1,875,720 | |
Methode Electronics | | | 33,100 | | | | 874,833 | |
Monolithic Power Systems | | | 23,125 | | | | 3,872,513 | |
NCR † | | | 67,500 | | | | 1,194,750 | |
ON Semiconductor † | | | 139,500 | | | | 1,735,380 | |
Sanmina † | | | 59,300 | | | | 1,617,704 | |
Seagate Technology | | | 17,100 | | | | 834,480 | |
SYNNEX | | | 8,900 | | | | 650,590 | |
Teradyne | | | 15,600 | | | | 845,052 | |
TTM Technologies † | | | 84,100 | | | | 869,594 | |
Viavi Solutions † | | | 272,740 | | | | 3,057,415 | |
Western Union | | | 51,400 | | | | 931,882 | |
Xerox Holdings | | | 61,300 | | | | 1,161,022 | |
| | | | | | | | |
| | | | | | | 43,398,943 | |
| | | | | | | | |
Materials – 7.60% | |
Albemarle | | | 69,287 | | | | 3,905,708 | |
Cabot | | | 26,400 | | | | 689,568 | |
Celanese | | | 19,000 | | | | 1,394,410 | |
Chemours | | | 49,500 | | | | 439,065 | |
Cleveland-Cliffs | | | 135,400 | | | | 534,830 | |
Domtar | | | 45,500 | | | | 984,620 | |
Eagle Materials | | | 72,769 | | | | 4,251,165 | |
Eastman Chemical | | | 15,700 | | | | 731,306 | |
Huntsman | | | 252,011 | | | | 3,636,519 | |
Kronos Worldwide | | | 88,300 | | | | 745,252 | |
O-I Glass Class I GLASS INC | | | 59,800 | | | | 425,178 | |
Packaging Corp. of America | | | 14,200 | | | | 1,232,986 | |
Reliance Steel & Aluminum | | | 21,500 | | | | 1,883,185 | |
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock (continued) | |
| |
Materials (continued) | |
RPM International | | | 33,195 | | | $ | 1,975,103 | |
Schweitzer-Mauduit International | | | 32,700 | | | | 909,714 | |
Steel Dynamics | | | 26,600 | | | | 599,564 | |
Summit Materials Class A † | | | 148,021 | | | | 2,220,315 | |
Trinseo | | | 31,700 | | | | 574,087 | |
Westrock | | | 48,000 | | | | 1,356,480 | |
| | | | | | | | |
| | | | | | | 28,489,055 | |
| | | | | | | | |
Real Estate – 11.74% | |
Alexander & Baldwin | | | 172,720 | | | | 1,937,918 | |
Americold Realty Trust | | | 124,636 | | | | 4,242,609 | |
Apple Hospitality REIT | | | 68,979 | | | | 632,537 | |
Brandywine Realty Trust | | | 371,455 | | | | 3,907,707 | |
Brixmor Property Group | | | 121,300 | | | | 1,152,350 | |
CBL & Associates Properties | | | 63,700 | | | | 12,746 | |
City Office REIT (Canada) | | | 93,700 | | | | 677,451 | |
CoreCivic | | | 56,200 | | | | 627,754 | |
Diversified Healthcare Trust | | | 123,300 | | | | 447,579 | |
Franklin Street Properties | | | 93,612 | | | | 536,397 | |
Gaming and Leisure Properties | | | 56,700 | | | | 1,571,157 | |
Hudson Pacific Properties | | | 182,255 | | | | 4,621,987 | |
Industrial Logistics Properties Trust | | | 63,789 | | | | 1,118,859 | |
Kite Realty Group Trust | | | 75,900 | | | | 718,773 | |
Lexington Realty Trust | | | 107,900 | | | | 1,071,447 | |
National Storage Affiliates Trust | | | 74,020 | | | | 2,190,992 | |
Office Properties Income Trust | | | 45,688 | | | | 1,244,998 | |
Omega Healthcare Investors | | | 39,200 | | | | 1,040,368 | |
Outfront Media | | | 75,200 | | | | 1,013,696 | |
Physicians Realty Trust | | | 340,195 | | | | 4,742,318 | |
Piedmont Office Realty Trust Class A | | | 78,300 | | | | 1,382,778 | |
Preferred Apartment | | | | | | | | |
Communities Class A | | | 72,100 | | | | 517,678 | |
Retail Properties of America Class A | | | 73,900 | | | | 382,063 | |
Retail Value | | | 5,404 | | | | 66,199 | |
RPT Realty | | | 104,000 | | | | 627,120 | |
Service Properties Trust | | | 104,300 | | | | 563,220 | |
SITE Centers | | | 50,650 | | | | 263,887 | |
STAG Industrial | | | 211,630 | | | | 4,765,908 | |
Summit Hotel Properties | | | 63,000 | | | | 265,860 | |
VEREIT | | | 205,200 | | | | 1,003,428 | |
Xenia Hotels & Resorts | | | 60,500 | | | | 623,150 | |
| | | | | | | | |
| | | | | | | 43,970,934 | |
| | | | | | | | |
Schedules of investments
OptimumSmall-Mid Cap Value Fund
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Common Stock (continued) | |
| |
Utilities – 4.86% | | | | | | | | |
AES | | | 44,700 | | | $ | 607,920 | |
ALLETE | | | 49,924 | | | | 3,029,388 | |
Alliant Energy | | | 115,417 | | | | 5,573,487 | |
IDACORP | | | 68,055 | | | | 5,974,548 | |
National Fuel Gas | | | 55,200 | | | | 2,058,408 | |
Vistra Energy | | | 60,900 | | | | 971,964 | |
| | | | | | | | |
| | | | | | | 18,215,715 | |
| | | | | | | | |
Total Common Stock
(cost $502,452,933) | | | | | | | 364,719,806 | |
| | | | | | | | |
| | | | | |
Short-Term Investments – 2.71% | | | | | |
| |
Money Market Mutual Funds – 2.71% | | | | | |
BlackRock FedFund – Institutional Shares
(seven-day effective
yield 0.33%) | | | 2,026,867 | | | | 2,026,867 | |
Fidelity Investments Money Market Government Portfolio – Class I(seven-day effective yield 0.30%) | | | 2,026,867 | | | | 2,026,867 | |
GS Financial Square Government Fund – Institutional Shares(seven-day effective yield 0.34%) | | | 2,026,867 | | | | 2,026,867 | |
Morgan Stanley Government Portfolio – Institutional Share Class(seven-day effective yield 0.22%) | | | 2,026,866 | | | | 2,026,866 | |
| | | | | | | | |
| | | Number of | | | Value | |
| | | shares | | | (US $) | |
| |
Short-Term Investments (continued) | | | | | |
| |
Money Market Mutual Funds (continued) | | | | | |
State Street Institutional US Government Money Market Fund – Investor Class(seven-day effective yield 0.24%) | | | 2,026,866 | | | $ | 2,026,866 | |
| | | | | | | | |
Total Short-Term Investments
(cost $10,134,333) | �� | | | | | | 10,134,333 | |
| | | | | | | | |
| | |
Total Value of
Securities – 100.05%
(cost $512,587,266) | | | | | | $ | 374,854,139 | |
| | | | | | | | |
| † | 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.
102
Statements of assets and liabilities
Optimum Fund Trust
March 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | | $3,293,474,465 | | | | | $424,398,674 | | | | | $1,481,209,177 | | | | | $1,282,427,462 | | | | | $417,402,578 | | | | | $374,854,139 | |
Short-term investments held as collateral for loaned securities, at value3 | | | | — | | | | | 16,586,514 | | | | | — | | | | | — | | | | | — | | | | | — | |
Cash collateral due from brokers | | | | 1,782,000 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Cash | | | | 6,377,013 | | | | | — | | | | | — | | | | | 272,321 | | | | | 49,779 | | | | | 376,384 | |
Foreign currencies, at value4 | | | | 2,571,092 | | | | | 137,674 | | | | | 28 | | | | | — | | | | | — | | | | | — | |
Receivable for securities sold | | | | 520,693,479 | | | | | — | | | | | 8,098,858 | | | | | — | | | | | 2,597,039 | | | | | 1,258,904 | |
Dividends and interest receivable | | | | 13,245,804 | | | | | 2,005,378 | | | | | 404,035 | | | | | 2,218,544 | | | | | 137,043 | | | | | 704,715 | |
Unrealized appreciation of foreign currency exchange contracts | | | | 788,855 | | | | | 12 | | | | | — | | | | | — | | | | | — | | | | | — | |
Receivable for fund shares sold | | | | 4,791,866 | | | | | 1,159,891 | | | | | 2,793,650 | | | | | 3,156,698 | | | | | 1,076,012 | | | | | 1,750,707 | |
Unrealized appreciation of credit default swap contracts | | | | 860,867 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Upfront payments paid on credit default swap contracts | | | | 249,432 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Swap payments receivable | | | | 171,964 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Variation margin due from HSBC on futures contracts | | | | 49,785 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Variation margin due from brokers on centrally cleared interest rate swap contracts | | | | 9,650 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Securities lending income receivable | | | | — | | | | | 14,047 | | | | | — | | | | | — | | | | | — | | | | | — | |
Foreign tax reclaims receivable | | | | — | | | | | 1,492,372 | | | | | 34,457 | | | | | 411,415 | | | | | — | | | | | 2,779 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total assets | | | | 3,845,066,272 | | | | | 445,794,562 | | | | | 1,492,540,205 | | | | | 1,288,486,440 | | | | | 421,262,451 | | | | | 378,947,628 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | | | $ | 88,977 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
Cash due to custodian | | | | — | | | | | 172,133 | | | | | 260,921 | | | | | — | | | | | — | | | | | — | |
Payable for securities purchased | | | | 1,325,193,878 | | | | | 631,786 | | | | | 10,665,686 | | | | | 1,161,014 | | | | | 1,489,233 | | | | | 3,330,605 | |
Cash collateral due to brokers | | | | 19,822,000 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Payable for fund shares redeemed | | | | 2,572,687 | | | | | 525,006 | | | | | 1,614,504 | | | | | 1,318,464 | | | | | 432,555 | | | | | 379,557 | |
Variation margin due to brokers on centrally cleared credit default swap contracts | | | | 1,027,653 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Swap payments payable | | | | 654,659 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Variation margin due to Credit Suisse on futures contracts | | | | 514,576 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Dividend disbursing and transfer agent fees payable to affiliates | | | | 382,017 | | | | | 68,143 | | | | | 231,093 | | | | | 205,576 | | | | | 65,664 | | | | | 61,645 | |
Obligation to return securities lending collateral | | | | — | | | | | 16,577,277 | | | | | — | | | | | — | | | | | — | | | | | — | |
Interest payable for reverse repurchase agreements | | | | 36,923 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Investment management fees payable to affiliates | | | | 1,071,263 | | | | | 288,885 | | | | | 897,692 | | | | | 748,778 | | | | | 350,488 | | | | | 324,105 | |
Other accrued expenses | | | | 310,368 | | | | | 279,190 | | | | | 285,950 | | | | | 272,235 | | | | | 146,170 | | | | | 145,272 | |
Administration expenses payable to affiliates | | | | 111,422 | | | | | 19,875 | | | | | 67,402 | | | | | 59,960 | | | | | 19,152 | | | | | 17,980 | |
Trustees’ fees and expenses payable to affiliates | | | | 87,716 | | | | | 13,624 | | | | | 47,731 | | | | | 40,120 | | | | | 13,165 | | | | | 11,519 | |
Distribution fees payable to affiliates | | | | 78,606 | | | | | 14,675 | | | | | 60,142 | | | | | 48,608 | | | | | 8,979 | | | | | 5,972 | |
Accounting fees payable to affiliates | | | | 14,620 | | | | | 2,886 | | | | | 8,978 | | | | | 8,024 | | | | | 2,794 | | | | | 2,643 | |
Unrealized depreciation of foreign currency exchange contracts | | | | 2,489,909 | | | | | 76 | | | | | 3,554 | | | | | — | | | | | — | | | | | — | |
Upfront payments received on credit default swap contracts | | | | 938,413 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Unrealized depreciation of credit default swap contracts | | | | 86,503 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Other liabilities | | | | — | | | | | 9,268 | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total liabilities | | | | 1,355,482,190 | | | | | 18,602,824 | | | | | 14,143,653 | | | | | 3,862,779 | | | | | 2,528,200 | | | | | 4,279,298 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Net Assets | | | $ | 2,489,584,082 | | | | $ | 427,191,738 | | | | $ | 1,478,396,552 | | | | $ | 1,284,623,661 | | | | $ | 418,734,251 | | | | $ | 374,668,330 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net Assets Consist of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Paid-in capital | | | $ | 2,441,162,137 | | | | $ | 500,232,061 | | | | $ | 1,159,579,444 | | | | $ | 1,264,814,882 | | | | $ | 435,647,296 | | | | $ | 514,456,422 | |
Total distributable earnings (loss) | | | | 48,421,945 | | | | | (73,040,323 | ) | | | | 318,817,108 | | | | | 19,808,779 | | | | | (16,913,045 | ) | | | | (139,788,092 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Net Assets | | | $ | 2,489,584,082 | | | | $ | 427,191,738 | | | | $ | 1,478,396,552 | | | | $ | 1,284,623,661 | | | | $ | 418,734,251 | | | | $ | 374,668,330 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
104
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | $ | 24,826,929 | | | | $ | 5,120,562 | | | | $ | 22,362,801 | | | | $ | 17,122,820 | | | | $ | 3,240,812 | | | | $ | 1,970,543 | |
Shares of beneficial interest outstanding, unlimited authorization, no par | | | | 2,566,389 | | | | | 515,593 | | | | | 1,441,686 | | | | | 1,295,663 | | | | | 318,568 | | | | | 235,699 | |
Net asset value per share | | | $ | 9.67 | | | | $ | 9.93 | | | | $ | 15.51 | | | | $ | 13.22 | | | | $ | 10.17 | | | | $ | 8.36 | |
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) | | | $ | 10.13 | | | | $ | 10.54 | | | | $ | 16.46 | | | | $ | 14.03 | | | | $ | 10.79 | | | | $ | 8.87 | |
| | | | | | |
Class C: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets | | | $ | 85,853,085 | | | | $ | 15,138,076 | | | | $ | 63,236,768 | | | | $ | 50,035,757 | | | | $ | 9,353,497 | | | | $ | 6,041,692 | |
Shares of beneficial interest outstanding, unlimited authorization, no par | | | | 8,876,601 | | | | | 1,564,368 | | | | | 5,051,473 | | | | | 3,832,193 | | | | | 1,165,605 | | | | | 836,994 | |
Net asset value per share | | | $ | 9.67 | | | | $ | 9.68 | | | | $ | 12.52 | | | | $ | 13.06 | | | | $ | 8.02 | | | | $ | 7.22 | |
Institutional Class: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Net assets | | | $ | 2,378,904,068 | | | | $ | 406,933,100 | | | | $ | 1,392,796,983 | | | | $ | 1,217,465,084 | | | | $ | 406,139,942 | | | | $ | 366,656,095 | |
Shares of beneficial interest outstanding, unlimited authorization, no par | | | | 246,179,321 | | | | | 40,676,402 | | | | | 82,272,129 | | | | | 91,906,052 | | | | | 36,086,779 | | | | | 41,199,901 | |
Net asset value per share | | | $ | 9.66 | | | | $ | 10.00 | | | | $ | 16.93 | | | | $ | 13.25 | | | | $ | 11.25 | | | | $ | 8.90 | |
| | | | | | |
______________ | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Investments, at cost | | | $ | 3,274,899,866 | | | | $ | 504,202,935 | | | | $ | 1,230,999,944 | | | | $ | 1,273,520,694 | | | | $ | 453,849,656 | | | | $ | 512,587,266 | |
2Including securities on loan | | | | — | | | | | 16,586,514 | | | | | — | | | | | — | | | | | — | | | | | — | |
3Short-term investments held as collateral for loaned securities, at cost | | | | — | | | | | 15,723,806 | | | | | — | | | | | — | | | | | — | | | | | — | |
4Foreign currencies, at cost | | | | 2,483,845 | | | | | 137,085 | | | | | 27 | | | | | — | | | | | — | | | | | — | |
5Premium received | | | | (108,782 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
See accompanying notes, which are an integral part of the financial statements.
Statements of operations
Optimum Fund Trust
Year ended March 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | $ | 77,818,791 | | | | $ | 4,654 | | | | $ | 295 | | | | $ | 48 | | | | $ | 131 | | | | $ | 101 | |
Dividends | | | | 802,277 | | | | | 17,827,179 | | | | | 15,033,533 | | | | | 39,142,041 | | | | | 2,226,479 | | | | | 12,005,817 | |
Securities lending income | | | | — | | | | | 242,079 | | | | | — | | | | | — | | | | | — | | | | | — | |
Foreign tax withheld | | | | (1,753 | ) | | | | (1,800,091 | ) | | | | (100,556 | ) | | | | (133,970 | ) | | | | (11,681 | ) | | | | (811 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 78,619,315 | | | | | 16,273,821 | | | | | 14,933,272 | | | | | 39,008,119 | | | | | 2,214,929 | | | | | 12,005,107 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Management fees | | | | 12,493,169 | | | | | 4,071,172 | | | | | 11,921,787 | | | | | 10,500,269 | | | | | 5,391,363 | | | | | 4,993,799 | |
Distribution expenses — Class A | | | | 65,239 | | | | | 17,030 | | | | | 70,106 | | | | | 57,339 | | | | | 10,976 | | | | | 7,569 | |
Distribution expenses — Class C | | | | 900,920 | | | | | 202,259 | | | | | 786,781 | | | | | 670,650 | | | | | 124,556 | | | | | 89,111 | |
Dividend disbursing and transfer agent fees and expenses | | | | 4,485,759 | | | | | 998,886 | | | | | 3,144,348 | | | | | 2,969,076 | | | | | 948,416 | | | | | 975,608 | |
Administration expenses | | | | 1,295,221 | | | | | 285,924 | | | | | 906,050 | | | | | 855,470 | | | | | 270,848 | | | | | 278,760 | |
Accounting fees | | | | 570,310 | | | | | 159,368 | | | | | 398,299 | | | | | 388,327 | | | | | 153,301 | | | | | 156,451 | |
Reports and statements to shareholders expenses | | | | 478,737 | | | | | 133,246 | | | | | 281,074 | | | | | 326,236 | | | | | 121,675 | | | | | 143,260 | |
Trustees’ fees and expenses | | | | 296,642 | | | | | 65,066 | | | | | 207,092 | | | | | 201,882 | | | | | 63,210 | | | | | 66,324 | |
Pricing fees | | | | 199,129 | | | | | 88,708 | | | | | 1,702 | | | | | 3,490 | | | | | 14,281 | | | | | 1,068 | |
Custodian fees | | | | 193,325 | | | | | 216,064 | | | | | 59,532 | | | | | 38,851 | | | | | 13,076 | | | | | 7,816 | |
Professional fees | | | | 160,592 | | | | | 64,975 | | | | | 138,743 | | | | | 114,293 | | | | | 63,860 | | | | | 57,672 | |
Registration fees | | | | 68,631 | | | | | 57,850 | | | | | 67,294 | | | | | 63,076 | | | | | 59,177 | | | | | 54,750 | |
Interest expense | | | | 47,233 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Insurance fees | | | | 44,490 | | | | | 10,389 | | | | | 31,423 | | | | | 30,017 | | | | | 9,197 | | | | | 9,633 | |
Tax services | | | | 4,226 | | | | | 29,959 | | | | | 1,237 | | | | | 456 | | | | | 757 | | | | | 1,134 | |
Other | | | | 24,702 | | | | | 12,530 | | | | | 21,106 | | | | | 19,969 | | | | | 11,906 | | | | | 11,730 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 21,328,325 | | | | | 6,413,426 | | | | | 18,036,574 | | | | | 16,239,401 | | | | | 7,256,599 | | | | | 6,854,685 | |
Less expenses waived | | | | — | | | | | (81,164 | ) | | | | — | | | | | — | | | | | (456,670 | ) | | | | (284,920 | ) |
Less expenses paid indirectly | | | | (80,991 | ) | | | | (3,783 | ) | | | | (3,768 | ) | | | | (2,559 | ) | | | | (3,239 | ) | | | | (2,957 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total operating expenses | | | | 21,247,334 | | | | | 6,328,479 | | | | | 18,032,806 | | | | | 16,236,842 | | | | | 6,796,690 | | | | | 6,566,808 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Investment Income (Loss) | | | | 57,371,981 | | | | | 9,945,342 | | | | | (3,099,534 | ) | | | | 22,771,277 | | | | | (4,581,761 | ) | | | | 5,438,299 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
106
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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* | | | $ | 73,476,561 | | | | $ | 7,307,256 | | | | $ | 111,983,874 | | | | $ | 30,681,684 | | | | $ | 55,801,297 | | | | $ | (1,337,248 | ) |
Foreign currencies | | | | (3,576,244 | ) | | | | (290,229 | ) | | | | 30,792 | | | | | (41,576 | ) | | | | — | | | | | — | |
Foreign currency exchange contracts | | | | 3,480,544 | | | | | (26,985 | ) | | | | (8,051 | ) | | | | 9,962 | | | | | — | | | | | — | |
Futures contracts | | | | 26,517,223 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Options purchased | | | | (158,580 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Options written | | | | 331,241 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Swap contracts | | | | (14,469,516 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) | | | | 85,601,229 | | | | | 6,990,042 | | | | | 112,006,615 | | | | | 30,650,070 | | | | | 55,801,297 | | | | | (1,337,248 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) of: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments1 | | | | (4,895,673 | ) | | | | (121,069,536 | ) | | | | (161,144,104 | ) | | | | (265,780,170 | ) | | | | (132,276,278 | ) | | | | (155,870,859 | ) |
Foreign currencies | | | | 67,196 | | | | | (41,156 | ) | | | | 4,805 | | | | | 14,441 | | | | | — | | | | | — | |
Foreign currency exchange contracts | | | | (2,938,215 | ) | | | | 40,179 | | | | | (3,554 | ) | | | | — | | | | | — | | | | | — | |
Futures contracts | | | | (2,250,544 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Options purchased | | | | (20,736 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Options written | | | | 13,191 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Swap contracts | | | | (3,165,261 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | | (13,190,042 | ) | | | | (121,070,513 | ) | | | | (161,142,853 | ) | | | | (265,765,729 | ) | | | | (132,276,278 | ) | | | | (155,870,859 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Realized and Unrealized Gain (Loss) | | | | 72,411,187 | | | | | (114,080,471 | ) | | | | (49,136,238 | ) | | | | (235,115,659 | ) | | | | (76,474,981 | ) | | | | (157,208,107 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | $ | 129,783,168 | | | | $ | (104,135,129 | ) | | | $ | (52,235,772 | ) | | | $ | (212,344,382 | ) | | | $ | (81,056,742 | ) | | | $ | (151,769,808 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Includes $970,052 related to the General Motors term loan litigation for Optimum Fixed Income
Fund. See Note 12 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.
Statements of changes in net assets
Optimum Fund Trust
| | | | | | | | | | | | | | | | |
| | | Optimum Fixed Income Fund | | | Optimum International Fund | |
| | | Year ended | | | Year ended | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/20 | | | 3/31/19 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | | | | | | | | | |
Net investment income | | $ | 57,371,981 | | | $ | 58,163,364 | | | $ | 9,945,342 | | | $ | 8,847,692 | |
Net realized gain | | | 85,601,229 | | | | 8,315,411 | | | | 6,990,042 | | | | 16,112,694 | |
Net change in unrealized appreciation (depreciation) | | | (13,190,042 | ) | | | 15,591,651 | | | | (121,070,513 | ) | | | (56,422,559 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | 129,783,168 | | | | 82,070,426 | | | | (104,135,129 | ) | | | (31,462,173 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Dividends and Distributions to Shareholders from: | | | | | | | | | | | | | | | | |
Distributable earnings: | | | | | | | | | | | | | | | | |
Class A | | | (729,200 | ) | | | (561,554 | ) | | | (129,231 | ) | | | (546,784 | ) |
Class C | | | (1,874,420 | ) | | | (1,203,061 | ) | | | (242,141 | ) | | | (1,499,301 | ) |
Institutional Class | | | (74,081,149 | ) | | | (51,991,595 | ) | | | (11,340,289 | ) | | | (39,365,210 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (76,684,769 | ) | | | (53,756,210 | ) | | | (11,711,661 | ) | | | (41,411,295 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 964,454 | | | | 1,751,281 | | | | 365,421 | | | | 330,547 | |
Class C | | | 4,145,725 | | | | 5,847,263 | | | | 950,756 | | | | 729,533 | |
Institutional Class | | | 400,165,847 | | | | 648,954,727 | | | | 78,228,473 | | | | 103,927,530 | |
| | | | |
Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | | | | | | | | | |
Class A | | | 728,902 | | | | 560,310 | | | | 128,801 | | | | 543,866 | |
Class C | | | 1,872,172 | | | | 1,198,602 | | | | 241,693 | | | | 1,496,898 | |
Institutional Class | | | 73,976,714 | | | | 51,943,066 | | | | 11,327,444 | | | | 39,321,117 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 481,853,814 | | | | 710,255,249 | | | | 91,242,588 | | | | 146,349,491 | |
| | | | | | | | | | | | | | | | |
Cost of shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (4,124,455 | ) | | | (6,131,707 | ) | | | (1,277,785 | ) | | | (1,312,596 | ) |
Class C | | | (14,614,057 | ) | | | (20,944,368 | ) | | | (3,722,127 | ) | | | (5,447,612 | ) |
Institutional Class | | | (395,449,735 | ) | | | (360,410,926 | ) | | | (97,166,739 | ) | | | (179,436,993 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (414,188,247 | ) | | | (387,487,001 | ) | | | (102,166,651 | ) | | | (186,197,201 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Increase (decrease) in net assets derived from capital share transactions | | | 67,665,567 | | | | 322,768,248 | | | | (10,924,063 | ) | | | (39,847,710 | ) |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets | | | 120,763,966 | | | | 351,082,464 | | | | (126,770,853 | ) | | | (112,721,178 | ) |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 2,368,820,116 | | | | 2,017,737,652 | | | | 553,962,591 | | | | 666,683,769 | |
| | | | | | | | | | | | | | | | |
| | | | |
End of year | | $ | 2,489,584,082 | | | $ | 2,368,820,116 | | | $ | 427,191,738 | | | $ | 553,962,591 | |
| | | | | | | | | | | | | | | | |
See accompanying notes, which are an integral part of the financial statements.
108
| | | | | | | | | | | | | | | | |
| | | Optimum Large Cap Growth Fund | | | Optimum Large Cap Value Fund | |
| | | Year ended | | | Year ended | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/20 | | | 3/31/19 | |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | $ | (3,099,534 | ) | | $ | 17,218 | | | $ | 22,771,277 | | | $ | 21,624,464 | |
Net realized gain | | | 112,006,615 | | | | 146,317,831 | | | | 30,650,070 | | | | 23,082,346 | |
Net change in unrealized appreciation (depreciation) | | | (161,142,853 | ) | | | 52,506,384 | | | | (265,765,729 | ) | | | 14,950,371 | |
| | | | | | | | | | | | | | | | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (52,235,772 | ) | | | 198,841,433 | | | | (212,344,382 | ) | | | 59,657,181 | |
| | | | | | | | | | | | | | | | |
| | | | |
Dividends and Distributions to Shareholders from: | | | | | | | | | | | | | | | | |
Distributable earnings: | | | | | | | | | | | | | | | | |
Class A | | | (894,659 | ) | | | (3,720,629 | ) | | | (580,399 | ) | | | (928,291 | ) |
Class C | | | (3,088,118 | ) | | | (12,410,195 | ) | | | (1,222,359 | ) | | | (2,178,499 | ) |
Institutional Class | | | (49,312,858 | ) | | | (176,632,153 | ) | | | (44,171,546 | ) | | | (59,491,242 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (53,295,635 | ) | | | (192,762,977 | ) | | | (45,974,304 | ) | | | (62,598,032 | ) |
| | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | |
Proceeds from shares sold: | | | | | | | | | | | | | | | | |
Class A | | | 484,165 | | | | 663,486 | | | | 553,769 | | | | 761,830 | |
Class C | | | 696,294 | | | | 985,223 | | | | 1,257,878 | | | | 1,550,682 | |
Institutional Class | | | 205,139,697 | | | | 256,614,320 | | | | 217,968,202 | | | | 265,479,114 | |
| | | | |
Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | | | | | | | | | |
Class A | | | 894,314 | | | | 3,717,465 | | | | 580,160 | | | | 927,982 | |
Class C | | | 3,081,679 | | | | 12,385,912 | | | | 1,219,320 | | | | 2,168,977 | |
Institutional Class | | | 49,223,354 | | | | 176,362,602 | | | | 44,100,170 | | | | 59,415,403 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | 259,519,503 | | | | 450,729,008 | | | | 265,679,499 | | | | 330,303,988 | |
| | | | | | | | | | | | | | | | |
Cost of shares redeemed: | | | | | | | | | | | | | | | | |
Class A | | | (7,135,138 | ) | | | (6,759,803 | ) | | | (4,477,827 | ) | | | (4,397,534 | ) |
Class C | | | (18,250,705 | ) | | | (24,946,229 | ) | | | (12,256,335 | ) | | | (16,899,124 | ) |
Institutional Class | | | (326,372,554 | ) | | | (489,190,001 | ) | | | (273,883,143 | ) | | | (219,748,830 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | (351,758,397 | ) | | | (520,896,033 | ) | | | (290,617,305 | ) | | | (241,045,488 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
Increase (decrease) in net assets derived from capital share transactions | | | (92,238,894 | ) | | | (70,167,025 | ) | | | (24,937,806 | ) | | | 89,258,500 | |
| | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets | | | (197,770,301 | ) | | | (64,088,569 | ) | | | (283,256,492 | ) | | | 86,317,649 | |
Net Assets: | | | | | | | | | | | | | | | | |
Beginning of year | | | 1,676,166,853 | | | | 1,740,255,422 | | | | 1,567,880,153 | | | | 1,481,562,504 | |
| | | | | | | | | | | | | | | | |
| | | | |
End of year | | $ | 1,478,396,552 | | | $ | 1,676,166,853 | | | $ | 1,284,623,661 | | | $ | 1,567,880,153 | |
| | | | | | | | | | | | | | | | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Optimum Fund Trust
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Optimum Small-Mid Cap Growth Fund | | Optimum Small-Mid Cap Value Fund |
| | | | | Year ended | | Year ended |
| | | 3/31/20 | | 3/31/19 | | 3/31/20 | | 3/31/19 |
Increase (Decrease) in Net Assets from Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | | | | | $ | (4,581,761 | ) | | | | | | | | $ | (4,658,161 | ) | | | | | | | | $ | 5,438,299 | | | | | | | | | $ | 5,479,260 | |
Net realized gain (loss) | | | | | | | | | 55,801,297 | | | | | | | | | | 61,283,820 | | | | | | | | | | (1,337,248 | ) | | | | | | | | | 26,854,009 | |
Net change in unrealized appreciation (depreciation) | | | | | | | | | (132,276,278 | ) | | | | | | | | | (9,645,134 | ) | | | | | | | | | (155,870,859 | ) | | | | | | | | | (53,926,698 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | | | | | | | (81,056,742 | ) | | | | | | | | | 46,980,525 | | | | | | | | | | (151,769,808 | ) | | | | | | | | | (21,593,429 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Dividends and Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Distributable earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | (409,951 | ) | | | | | | | | | (928,456 | ) | | | | | | | | | (88,053 | ) | | | | | | | | | (242,207 | ) |
Class C | | | | | | | | | (1,452,655 | ) | | | | | | | | | (3,041,672 | ) | | | | | | | | | (243,686 | ) | | | | | | | | | (753,203 | ) |
Institutional Class | | | | | | | | | (44,812,148 | ) | | | | | | | | | (85,738,436 | ) | | | | | | | | | (16,364,520 | ) | | | | | | | | | (35,271,695 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | (46,674,754 | ) | | | | | | | | | (89,708,564 | ) | | | | | | | | | (16,696,259 | ) | | | | | | | | | (36,267,105 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Proceeds from shares sold: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | 108,914 | | | | | | | | | | 160,509 | | | | | | | | | | 152,875 | | | | | | | | | | 121,099 | |
Class C | | | | | | | | | 136,873 | | | | | | | | | | 213,105 | | | | | | | | | | 520,687 | | | | | | | | | | 210,799 | |
Institutional Class | | | | | | | | | 76,485,837 | | | | | | | | | | 84,994,195 | | | | | | | | | | 92,797,943 | | | | | | | | | | 168,820,113 | |
Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | 409,440 | | | | | | | | | | 926,148 | | | | | | | | | | 87,962 | | | | | | | | | | 241,981 | |
Class C | | | | | | | | | 1,451,859 | | | | | | | | | | 3,037,941 | | | | | | | | | | 243,369 | | | | | | | | | | 752,225 | |
Institutional Class | | | | | | | | | 44,772,511 | | | | | | | | | | 85,636,988 | | | | | | | | | | 16,347,235 | | | | | | | | | | 35,239,137 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | 123,365,434 | | | | | | | | | | 174,968,886 | | | | | | | | | | 110,150,071 | | | | | | | | | | 205,385,354 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cost of shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | | | | | | | (1,029,204 | ) | | | | | | | | | (1,252,045 | ) | | | | | | | | | (669,099 | ) | | | | | | | | | (585,193 | ) |
Class C | | | | | | | | | (2,393,796 | ) | | | | | | | | | (3,872,832 | ) | | | | | | | | | (1,527,614 | ) | | | | | | | | | (2,290,436 | ) |
Institutional Class | | | | | | | | | (86,251,169 | ) | | | | | | | | | (130,574,910 | ) | | | | | | | | | (84,406,655 | ) | | | | | | | | | (83,755,221 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | (89,674,169 | ) | | | | | | | | | (135,699,787 | ) | | | | | | | | | (86,603,368 | ) | | | | | | | | | (86,630,850 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Increase in net assets derived from capital share transactions | | | | | | | | | 33,691,265 | | | | | | | | | | 39,269,099 | | | | | | | | | | 23,546,703 | | | | | | | | | | 118,754,504 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Increase (Decrease) in Net Assets | | | | | | | | | (94,040,231 | ) | | | | | | | | | (3,458,940 | ) | | | | | | | | | (144,919,364 | ) | | | | | | | | | 60,893,970 | |
Net Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning of year | | | | | | | | | 512,774,482 | | | | | | | | | | 516,233,422 | | | | | | | | | | 519,587,694 | | | | | | | | | | 458,693,724 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
End of year | | | | | | | | $ | 418,734,251 | | | | | | | | | $ | 512,774,482 | | | | | | | | | $ | 374,668,330 | | | | | | | | | $ | 519,587,694 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes, which are an integral part of the financial statements.
110
Financial highlights
Optimum Fixed Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Year ended |
| | | | | |
| | | 3/31/20 | | 3/31/19 | | 3/31/18 | | 3/31/17 | | 3/31/16 |
Net asset value, beginning of period | | | $ | 9.46 | | | | $ | 9.35 | | | | $ | 9.39 | | | | $ | 9.37 | | | | $ | 9.72 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.21 | | | | | 0.23 | | | | | 0.22 | | | | | 0.20 | | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | | 0.29 | | | | | 0.08 | | | | | (0.05 | ) | | | | — | 2 | | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | | 0.50 | | | | | 0.31 | | | | | 0.17 | | | | | 0.20 | | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | | (0.23 | ) | | | | (0.20 | ) | | | | (0.21 | ) | | | | (0.18 | ) | | | | (0.25 | ) |
Net realized gain | | | | (0.06 | ) | | | | — | | | | | — | | | | | — | | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | | (0.29 | ) | | | | (0.20 | ) | | | | (0.21 | ) | | | | (0.18 | ) | | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | | $ | 9.67 | | | | $ | 9.46 | | | | $ | 9.35 | | | | $ | 9.39 | | | | $ | 9.37 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return3 | | | | 5.24% | 4 | | | | 3.37% | | | | | 1.81% | | | | | 2.03% | 5 | | | | (0.63% | )5 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | | $ | 24,827 | | | | $ | 26,613 | | | | $ | 30,150 | | | | $ | 33,838 | | | | $ | 39,545 | |
Ratio of expenses to average net assets6 | | | | 1.07% | | | | | 1.08% | | | | | 1.10% | | | | | 1.17% | | | | | 1.23% | |
Ratio of expenses to average net assets prior to fees waived6 | | | | 1.07% | | | | | 1.08% | | | | | 1.10% | | | | | 1.18% | | | | | 1.23% | |
Ratio of net investment income to average net assets | | | | 2.11% | | | | | 2.43% | | | | | 2.29% | | | | | 2.12% | | | | | 2.13% | |
Ratio of net investment income to average net assets prior to fees waived | | | | 2.11% | | | | | 2.43% | | | | | 2.29% | | | | | 2.11% | | | | | 2.13% | |
Portfolio turnover | | | | 361% | 7 | | | | 453% | | | | | 403% | | | | | 419% | | | | | 536% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | The amount is less than $0.005 per share. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 4 | General Motors term loan litigation was included in total return. If excluded, the impact on the total return would be 0.04% lower. See Note 12 in “Notes to financial statements.” |
| 5 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 6 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 7 | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 9.45 | | | $ | 9.34 | | | $ | 9.38 | | | $ | 9.37 | | | $ | 9.71 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.13 | | | | 0.16 | | | | 0.15 | | | | 0.13 | | | | 0.13 | |
Net realized and unrealized gain (loss) | | | 0.30 | | | | 0.07 | | | | (0.05 | ) | | | (0.01 | ) | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | 0.43 | | | | 0.23 | | | | 0.10 | | | | 0.12 | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.15 | ) | | | (0.12 | ) | | | (0.14 | ) | | | (0.11 | ) | | | (0.18 | ) |
Net realized gain | | | (0.06 | ) | | | — | | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.21 | ) | | | (0.12 | ) | | | (0.14 | ) | | | (0.11 | ) | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 9.67 | | | $ | 9.45 | | | $ | 9.34 | | | $ | 9.38 | | | $ | 9.37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | 4.55% | 3 | | | 2.52% | | | | 1.06% | | | | 1.27% | 4 | | | (1.39% | )4 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 85,853 | | | $ | 92,295 | | | $ | 105,194 | | | $ | 124,024 | | | $ | 153,266 | |
Ratio of expenses to average net assets5 | | | 1.82% | | | | 1.83% | | | | 1.85% | | | | 1.92% | | | | 1.98% | |
Ratio of expenses to average net assets prior to fees waived5 | | | 1.82% | | | | 1.83% | | | | 1.85% | | | | 1.93% | | | | 1.98% | |
Ratio of net investment income to average net assets | | | 1.36% | | | | 1.68% | | | | 1.54% | | | | 1.37% | | | | 1.38% | |
Ratio of net investment income to average net assets prior to fees waived | | | 1.36% | | | | 1.68% | | | | 1.54% | | | | 1.36% | | | | 1.38% | |
Portfolio turnover | | | 361% | 6 | | | 453% | | | | 403% | | | | 419% | | | | 536% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 3 | General Motors term loan litigation was included in total return. If excluded, the impact on the total return would be 0.04% lower. See Note 12 in “Notes to financial statements.” |
| 4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 6 | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
See accompanying notes, which are an integral part of the financial statements.
112
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 9.45 | | | $ | 9.34 | | | $ | 9.39 | | | $ | 9.37 | | | $ | 9.72 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.23 | | | | 0.25 | | | | 0.24 | | | | 0.23 | | | | 0.23 | |
Net realized and unrealized gain (loss) | | | 0.29 | | | | 0.08 | | | | (0.05 | ) | | | (0.01 | ) | | | (0.28 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | 0.52 | | | | 0.33 | | | | 0.19 | | | | 0.22 | | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.25 | ) | | | (0.22 | ) | | | (0.24 | ) | | | (0.20 | ) | | | (0.28 | ) |
Net realized gain | | | (0.06 | ) | | | — | | | | — | | | | — | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.31 | ) | | | (0.22 | ) | | | (0.24 | ) | | | (0.20 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 9.66 | | | $ | 9.45 | | | $ | 9.34 | | | $ | 9.39 | | | $ | 9.37 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | 5.52% | 3 | | | 3.65% | | | | 1.96% | | | | 2.40% | 4 | | | (0.48% | )4 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 2,378,904 | | | $ | 2,249,912 | | | $ | 1,882,394 | | | $ | 1,725,289 | | | $ | 1,892,775 | |
Ratio of expenses to average net assets5 | | | 0.82% | | | | 0.83% | | | | 0.85% | | | | 0.92% | | | | 0.98% | |
Ratio of expenses to average net assets prior to fees waived5 | | | 0.82% | | | | 0.83% | | | | 0.85% | | | | 0.93% | | | | 0.98% | |
Ratio of net investment income to average net assets | | | 2.36% | | | | 2.68% | | | | 2.54% | | | | 2.37% | | | | 2.38% | |
Ratio of net investment income to average net assets prior to fees waived | | | 2.36% | | | | 2.68% | | | | 2.54% | | | | 2.36% | | | | 2.38% | |
Portfolio turnover | | | 361% | 6 | | | 453% | | | | 403% | | | | 419% | | | | 536% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
| 3 | General Motors term loan litigation was included in total return. If excluded, the impact on the total return would be 0.04% lower. See Note 12 in “Notes to financial statements.” |
| 4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 6 | The Portfolio accounts for mortgage dollar roll transactions, when applicable, as purchases and sales which, as a result, can increase its portfolio turnover rate. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 12.59 | | | $ | 14.42 | | | $ | 12.27 | | | $ | 10.95 | | | $ | 11.66 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.20 | | | | 0.17 | | | | 0.12 | | | | 0.11 | | | | 0.08 | |
Net realized and unrealized gain (loss) | | | (2.61 | ) | | | (1.00 | ) | | | 2.29 | | | | 1.31 | | | | (0.73 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (2.41 | ) | | | (0.83 | ) | | | 2.41 | | | | 1.42 | | | | (0.65 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.21 | ) | | | (0.18 | ) | | | (0.11 | ) | | | (0.10 | ) | | | (0.06 | ) |
Net realized gain | | | (0.04 | ) | | | (0.82 | ) | | | (0.15 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.25 | ) | | | (1.00 | ) | | | (0.26 | ) | | | (0.10 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 9.93 | | | $ | 12.59 | | | $ | 14.42 | | | $ | 12.27 | | | $ | 10.95 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (19.62% | )3 | | | (5.33% | ) | | | 19.74% | 3 | | | 13.08% | | | | (5.58% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 5,121 | | | $ | 7,275 | | | $ | 8,704 | | | $ | 8,680 | | | $ | 9,117 | |
Ratio of expenses to average net assets4 | | | 1.37% | | | | 1.37% | | | | 1.36% | | | | 1.48% | | | | 1.56% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.39% | | | | 1.37% | | | | 1.36% | | | | 1.48% | | | | 1.56% | |
Ratio of net investment income to average net assets | | | 1.62% | | | | 1.30% | | | | 0.90% | | | | 0.93% | | | | 0.74% | |
Ratio of net investment income to average net assets prior to fees waived | | | 1.60% | | | | 1.30% | | | | 0.90% | | | | 0.93% | | | | 0.74% | |
Portfolio turnover | | | 51% | | | | 63% | | | | 52% | | | | 68% | | | | 47% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
114
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 12.27 | | | $ | 14.06 | | | $ | 11.98 | | | $ | 10.69 | | | $ | 11.41 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)1 | | | 0.11 | | | | 0.07 | | | | 0.02 | | | | 0.02 | | | | — | 2 |
Net realized and unrealized gain (loss) | | | (2.54 | ) | | | (0.98 | ) | | | 2.23 | | | | 1.30 | | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (2.43 | ) | | | (0.91 | ) | | | 2.25 | | | | 1.32 | | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.06 | ) | | | (0.02 | ) | | | (0.03 | ) | | | — | |
Net realized gain | | | (0.04 | ) | | | (0.82 | ) | | | (0.15 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.16 | ) | | | (0.88 | ) | | | (0.17 | ) | | | (0.03 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 9.68 | | | $ | 12.27 | | | $ | 14.06 | | | $ | 11.98 | | | $ | 10.69 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return3 | | | (20.16% | )4 | | | (6.07% | ) | | | 18.82% | 4 | | | 12.32% | | | | (6.31% | )4 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 15,138 | | | $ | 21,763 | | | $ | 28,046 | | | $ | 29,544 | | | $ | 31,777 | |
Ratio of expenses to average net assets5 | | | 2.12% | | | | 2.12% | | | | 2.11% | | | | 2.23% | | | | 2.31% | |
Ratio of expenses to average net assets prior to fees waived5 | | | 2.14% | | | | 2.12% | | | | 2.11% | | | | 2.23% | | | | 2.31% | |
Ratio of net investment income (loss) to average net assets | | | 0.87% | | | | 0.55% | | | | 0.15% | | | | 0.18% | | | | (0.01% | ) |
Ratio of net investment income (loss) to average net assets prior to fees waived | | | 0.85% | | | | 0.55% | | | | 0.15% | | | | 0.18% | | | | (0.01% | ) |
Portfolio turnover | | | 51% | | | | 63% | | | | 52% | | | | 68% | | | | 47% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Amount is less than $(0.005) per share. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 4 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 5 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 12.68 | | | $ | 14.52 | | | $ | 12.35 | | | $ | 11.02 | | | $ | 11.74 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.24 | | | | 0.21 | | | | 0.16 | | | | 0.14 | | | | 0.11 | |
Net realized and unrealized gain (loss) | | | (2.63 | ) | | | (1.02 | ) | | | 2.31 | | | | 1.32 | | | | (0.74 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (2.39 | ) | | | (0.81 | ) | | | 2.47 | | | | 1.46 | | | | (0.63 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.25 | ) | | | (0.21 | ) | | | (0.15 | ) | | | (0.13 | ) | | | (0.09 | ) |
Net realized gain | | | (0.04 | ) | | | (0.82 | ) | | | (0.15 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.29 | ) | | | (1.03 | ) | | | (0.30 | ) | | | (0.13 | ) | | | (0.09 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 10.00 | | | $ | 12.68 | | | $ | 14.52 | | | $ | 12.35 | | | $ | 11.02 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (19.44% | )3 | | | (5.09% | ) | | | 20.05% | 3 | | | 13.36% | | | | (5.38% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 406,933 | | | $ | 524,925 | | | $ | 629,934 | | | $ | 525,431 | | | $ | 542,055 | |
Ratio of expenses to average net assets4 | | | 1.12% | | | | 1.12% | | | | 1.11% | | | | 1.23% | | | | 1.31% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.14% | | | | 1.12% | | | | 1.11% | | | | 1.23% | | | | 1.31% | |
Ratio of net investment income to average net assets | | | 1.87% | | | | 1.55% | | | | 1.15% | | | | 1.18% | | | | 0.99% | |
Ratio of net investment income to average net assets prior to fees waived | | | 1.85% | | | | 1.55% | | | | 1.15% | | | | 1.18% | | | | 0.99% | |
Portfolio turnover | | | 51% | | | | 63% | | | | 52% | | | | 68% | | | | 47% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes, which are an integral part of the financial statements.
116
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 16.70 | | | $ | 17.22 | | | $ | 16.84 | | | $ | 14.97 | | | $ | 17.00 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment loss1 | | | (0.07 | ) | | | (0.03 | ) | | | (0.06 | ) | | | (0.06 | ) | | | (0.10 | ) |
Net realized and unrealized gain (loss) | | | (0.53 | ) | | | 1.82 | | | | 3.70 | | | | 2.52 | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (0.60 | ) | | | 1.79 | | | | 3.64 | | | | 2.46 | | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net realized gain | | | (0.59 | ) | | | (2.31 | ) | | | (3.26 | ) | | | (0.59 | ) | | | (1.73 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.59 | ) | | | (2.31 | ) | | | (3.26 | ) | | | (0.59 | ) | | | (1.73 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 15.51 | | | $ | 16.70 | | | $ | 17.22 | | | $ | 16.84 | | | $ | 14.97 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (4.03% | ) | | | 11.60% | | | | 22.17% | 3 | | | 16.83% | 3 | | | (2.27% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 22,363 | | | $ | 29,605 | | | $ | 32,254 | | | $ | 32,215 | | | $ | 33,787 | |
Ratio of expenses to average net assets4 | | | 1.24% | | | | 1.25% | | | | 1.26% | | | | 1.35% | | | | 1.42% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.24% | | | | 1.25% | | | | 1.26% | | | | 1.38% | | | | 1.44% | |
Ratio of net investment loss to average net assets | | | (0.38% | ) | | | (0.19% | ) | | | (0.31% | ) | | | (0.35% | ) | | | (0.62% | ) |
Ratio of net investment loss to average net assets prior to fees waived | | | (0.38% | ) | | | (0.19% | ) | | | (0.31% | ) | | | (0.38% | ) | | | (0.64% | ) |
Portfolio turnover | | | 29% | | | | 25% | | | | 77% | 5 | | | 52% | | | | 88% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of 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.
Financial highlights
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 13.68 | | | $ | 14.62 | | | $ | 14.81 | | | $ | 13.34 | | | $ | 15.44 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment loss1 | | | (0.16 | ) | | | (0.14 | ) | | | (0.17 | ) | | | (0.15 | ) | | | (0.20 | ) |
Net realized and unrealized gain (loss) | | | (0.41 | ) | | | 1.51 | | | | 3.24 | | | | 2.21 | | | | (0.17 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (0.57 | ) | | | 1.37 | | | | 3.07 | | | | 2.06 | | | | (0.37 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net realized gain | | | (0.59 | ) | | | (2.31 | ) | | | (3.26 | ) | | | (0.59 | ) | | | (1.73 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.59 | ) | | | (2.31 | ) | | | (3.26 | ) | | | (0.59 | ) | | | (1.73 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 12.52 | | | $ | 13.68 | | | $ | 14.62 | | | $ | 14.81 | | | $ | 13.34 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (4.71% | ) | | | 10.74% | | | | 21.30% | 3 | | | 15.88% | 3 | | | (2.98% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 63,237 | | | $ | 83,010 | | | $ | 97,658 | | | $ | 105,082 | | | $ | 114,907 | |
Ratio of expenses to average net assets4 | | | 1.99% | | | | 2.00% | | | | 2.01% | | | | 2.10% | | | | 2.17% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.99% | | | | 2.00% | | | | 2.01% | | | | 2.13% | | | | 2.19% | |
Ratio of net investment loss to average net assets | | | (1.13% | ) | | | (0.94% | ) | | | (1.06% | ) | | | (1.10% | ) | | | (1.37% | ) |
Ratio of net investment loss to average net assets prior to fees waived | | | (1.13% | ) | | | (0.94% | ) | | | (1.06% | ) | | | (1.13% | ) | | | (1.39% | ) |
Portfolio turnover | | | 29% | | | | 25% | | | | 77% | 5 | | | 52% | | | | 88% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of 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.
118
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 18.13 | | | $ | 18.46 | | | $ | 17.81 | | | $ | 15.76 | | | $ | 17.76 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)1 | | | (0.02 | ) | | | 0.01 | | | | (0.01 | ) | | | (0.02 | ) | | | (0.06 | ) |
Net realized and unrealized gain (loss) | | | (0.59 | ) | | | 1.97 | | | | 3.92 | | | | 2.66 | | | | (0.21 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (0.61 | ) | | | 1.98 | | | | 3.91 | | | | 2.64 | | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net realized gain | | | (0.59 | ) | | | (2.31 | ) | | | (3.26 | ) | | | (0.59 | ) | | | (1.73 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.59 | ) | | | (2.31 | ) | | | (3.26 | ) | | | (0.59 | ) | | | (1.73 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 16.93 | | | $ | 18.13 | | | $ | 18.46 | | | $ | 17.81 | | | $ | 15.76 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (3.77% | ) | | | 11.86% | | | | 22.50% | 3 | | | 17.14% | 3 | | | (2.00% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 1,392,797 | | | $ | 1,563,552 | | | $ | 1,610,343 | | | $ | 1,348,419 | | | $ | 1,356,335 | |
Ratio of expenses to average net assets4 | | | 0.99% | | | | 1.00% | | | | 1.01% | | | | 1.10% | | | | 1.17% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 0.99% | | | | 1.00% | | | | 1.01% | | | | 1.13% | | | | 1.19% | |
Ratio of net investment income (loss) to average net assets | | | (0.13% | ) | | | 0.06% | | | | (0.06% | ) | | | (0.10% | ) | | | (0.37% | ) |
Ratio of net investment income (loss) to average net assets prior to fees waived | | | (0.13% | ) | | | 0.06% | | | | (0.06% | ) | | | (0.13% | ) | | | (0.39% | ) |
Portfolio turnover | | | 29% | | | | 25% | | | | 77% | 5 | | | 52% | | | | 88% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of ClearBridge Investments, LLC replacing Fred Alger Management Inc. as one of 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.
Financial highlights
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 15.83 | | | $ | 15.89 | | | $ | 15.42 | | | $ | 15.13 | | | $ | 16.01 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.20 | | | | 0.19 | | | | 0.17 | | | | 0.17 | | | | 0.17 | |
Net realized and unrealized gain (loss) | | | (2.37 | ) | | | 0.38 | | | | 1.19 | | | | 2.04 | | | | (0.89 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (2.17 | ) | | | 0.57 | | | | 1.36 | | | | 2.21 | | | | (0.72 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.20 | ) | | | (0.18 | ) | | | (0.16 | ) | | | (0.18 | ) | | | (0.16 | ) |
Net realized gain | | | (0.24 | ) | | | (0.45 | ) | | | (0.73 | ) | | | (1.74 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.44 | ) | | | (0.63 | ) | | | (0.89 | ) | | | (1.92 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 13.22 | | | $ | 15.83 | | | $ | 15.89 | | | $ | 15.42 | | | $ | 15.13 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (14.37% | ) | | | 3.79% | | | | 8.68% | | | | 14.99% | 3 | | | (4.54% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 17,123 | | | $ | 23,742 | | | $ | 26,448 | | | $ | 28,739 | | | $ | 30,502 | |
Ratio of expenses to average net assets4 | | | 1.20% | | | | 1.20% | | | | 1.21% | | | | 1.33% | | | | 1.40% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.20% | | | | 1.20% | | | | 1.21% | | | | 1.34% | | | | 1.41% | |
Ratio of net investment income to average net assets | | | 1.19% | | | | 1.23% | | | | 1.05% | | | | 1.06% | | | | 1.07% | |
Ratio of net investment income to average net assets prior to fees waived | | | 1.19% | | | | 1.23% | | | | 1.05% | | | | 1.05% | | | | 1.06% | |
Portfolio turnover | | | 23% | | | | 22% | | | | 25% | | | | 82% | 5 | | | 39% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of Rothschild & Co 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.
120
Optimum Large Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 15.65 | | | $ | 15.69 | | | $ | 15.25 | | | $ | 14.99 | | | $ | 15.85 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.07 | | | | 0.07 | | | | 0.05 | | | | 0.05 | | | | 0.05 | |
Net realized and unrealized gain (loss) | | | (2.35 | ) | | | 0.38 | | | | 1.17 | | | | 2.01 | | | | (0.87 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (2.28 | ) | | | 0.45 | | | | 1.22 | | | | 2.06 | | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.07 | ) | | | (0.04 | ) | | | (0.05 | ) | | | (0.06 | ) | | | (0.04 | ) |
Net realized gain | | | (0.24 | ) | | | (0.45 | ) | | | (0.73 | ) | | | (1.74 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.31 | ) | | | (0.49 | ) | | | (0.78 | ) | | | (1.80 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 13.06 | | | $ | 15.65 | | | $ | 15.69 | | | $ | 15.25 | | | $ | 14.99 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (15.04% | ) | | | 3.05% | | | | 7.82% | | | | 14.13% | 3 | | | (5.19% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 50,036 | | | $ | 69,415 | | | $ | 82,610 | | | $ | 95,495 | | | $ | 103,693 | |
Ratio of expenses to average net assets4 | | | 1.95% | | | | 1.95% | | | | 1.96% | | | | 2.08% | | | | 2.15% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.95% | | | | 1.95% | | | | 1.96% | | | | 2.09% | | | | 2.16% | |
Ratio of net investment income to average net assets | | | 0.44% | | | | 0.48% | | | | 0.30% | | | | 0.31% | | | | 0.32% | |
Ratio of net investment income to average net assets prior to fees waived | | | 0.44% | | | | 0.48% | | | | 0.30% | | | | 0.30% | | | | 0.31% | |
Portfolio turnover | | | 23% | | | | 22% | | | | 25% | | | | 82% | 5 | | | 39% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of Rothschild & Co 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.
Financial highlights
Optimum Large Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 15.87 | | | $ | 15.93 | | | $ | 15.46 | | | $ | 15.16 | | | $ | 16.04 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.24 | | | | 0.23 | | | | 0.21 | | | | 0.20 | | | | 0.20 | |
Net realized and unrealized gain (loss) | | | (2.38 | ) | | | 0.38 | | | | 1.19 | | | | 2.06 | | | | (0.89 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (2.14 | ) | | | 0.61 | | | | 1.40 | | | | 2.26 | | | | (0.69 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.24 | ) | | | (0.22 | ) | | | (0.20 | ) | | | (0.22 | ) | | | (0.19 | ) |
Net realized gain | | | (0.24 | ) | | | (0.45 | ) | | | (0.73 | ) | | | (1.74 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.48 | ) | | | (0.67 | ) | | | (0.93 | ) | | | (1.96 | ) | | | (0.19 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 13.25 | | | $ | 15.87 | | | $ | 15.93 | | | $ | 15.46 | | | $ | 15.16 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return2 | | | (14.19% | ) | | | 4.08% | | | | 8.90% | | | | 15.30% | 3 | | | (4.29% | )3 |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 1,217,465 | | | $ | 1,474,723 | | | $ | 1,372,505 | | | $ | 1,217,722 | | | $ | 1,129,606 | |
Ratio of expenses to average net assets4 | | | 0.95% | | | | 0.95% | | | | 0.96% | | | | 1.08% | | | | 1.15% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 0.95% | | | | 0.95% | | | | 0.96% | | | | 1.09% | | | | 1.16% | |
Ratio of net investment income to average net assets | | | 1.44% | | | | 1.48% | | | | 1.30% | | | | 1.31% | | | | 1.32% | |
Ratio of net investment income to average net assets prior to fees waived | | | 1.44% | | | | 1.48% | | | | 1.30% | | | | 1.30% | | | | 1.31% | |
Portfolio turnover | | | 23% | | | | 22% | | | | 25% | | | | 82% | 5 | | | 39% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. |
| 3 | Total return during the period reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of Rothschild & Co 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.
122
OptimumSmall-Mid Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 13.43 | | | $ | 15.51 | | | $ | 13.31 | | | $ | 10.95 | | | $ | 15.37 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment loss1 | | | (0.15 | ) | | �� | (0.17 | ) | | | (0.16 | ) | | | (0.14 | ) | | | (0.15 | ) |
Net realized and unrealized gain (loss) | | | (1.77 | ) | | | 1.20 | | | | 3.03 | | | | 2.50 | | | | (2.26 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (1.92 | ) | | | 1.03 | | | | 2.87 | | | | 2.36 | | | | (2.41 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | 2 |
Net realized gain | | | (1.34 | ) | | | (3.11 | ) | | | (0.67 | ) | | | — | | | | (2.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (1.34 | ) | | | (3.11 | ) | | | (0.67 | ) | | | — | | | | (2.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 10.17 | | | $ | 13.43 | | | $ | 15.51 | | | $ | 13.31 | | | $ | 10.95 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return3 | | | (16.32% | ) | | | 8.69% | | | | 21.88% | | | | 21.55% | | | | (16.77% | ) |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 3,241 | | | $ | 4,788 | | | $ | 5,414 | | | $ | 5,293 | | | $ | 5,040 | |
Ratio of expenses to average net assets4 | | | 1.54% | | | | 1.54% | | | | 1.55% | | | | 1.58% | | | | 1.66% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.63% | | | | 1.65% | | | | 1.63% | | | | 1.79% | | | | 1.85% | |
Ratio of net investment loss to average net assets | | | (1.11% | ) | | | (1.11% | ) | | | (1.07% | ) | | | (1.16% | ) | | | (1.09% | ) |
Ratio of net investment loss to average net assets prior to fees waived | | | (1.20% | ) | | | (1.22% | ) | | | (1.15% | ) | | | (1.37% | ) | | | (1.28% | ) |
Portfolio turnover | | | 93% | | | | 82% | | | | 89% | | | | 180% | 5 | | | 104% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | For the year ended March 31, 2016, return of capital distribution of $108 were made by the Fund’s Class A shares, which calculated to $0.00 per share. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of 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.
Financial highlights
OptimumSmall-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 10.94 | | | $ | 13.32 | | | $ | 11.59 | | | $ | 9.61 | | | $ | 13.86 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment loss1 | | | (0.20 | ) | | | (0.24 | ) | | | (0.23 | ) | | | (0.20 | ) | | | (0.22 | ) |
Net realized and unrealized gain (loss) | | | (1.38 | ) | | | 0.97 | | | | 2.63 | | | | 2.18 | | | | (2.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (1.58 | ) | | | 0.73 | | | | 2.40 | | | | 1.98 | | | | (2.24 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | 2 |
Net realized gain | | | (1.34 | ) | | | (3.11 | ) | | | (0.67 | ) | | | — | | | | (2.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (1.34 | ) | | | (3.11 | ) | | | (0.67 | ) | | | — | | | | (2.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 8.02 | | | $ | 10.94 | | | $ | 13.32 | | | $ | 11.59 | | | $ | 9.61 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return3 | | | (16.95% | ) | | | 7.81% | | | | 21.06% | | | | 20.60% | | | | (17.39% | ) |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 9,353 | | | $ | 13,510 | | | $ | 15,925 | | | $ | 16,668 | | | $ | 16,972 | |
Ratio of expenses to average net assets4 | | | 2.29% | | | | 2.29% | | | | 2.30% | | | | 2.33% | | | | 2.41% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 2.38% | | | | 2.40% | | | | 2.38% | | | | 2.54% | | | | 2.60% | |
Ratio of net investment loss to average net assets | | | (1.86% | ) | | | (1.86% | ) | | | (1.82% | ) | | | (1.91% | ) | | | (1.84% | ) |
Ratio of net investment loss to average net assets prior to fees waived | | | (1.95% | ) | | | (1.97% | ) | | | (1.90% | ) | | | (2.12% | ) | | | (2.03% | ) |
Portfolio turnover | | | 93% | | | | 82% | | | | 89% | | | | 180% | 5 | | | 104% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | For the year ended March 31, 2016, return of capital distribution of $416 were made by the Fund’s Class C shares, which calculated to $0.00 per share. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of 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.
124
OptimumSmall-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 14.69 | | | $ | 16.63 | | | $ | 14.19 | | | $ | 11.65 | | | $ | 16.17 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment loss1 | | | (0.12 | ) | | | (0.14 | ) | | | (0.13 | ) | | | (0.12 | ) | | | (0.12 | ) |
Net realized and unrealized gain (loss) | | | (1.98 | ) | | | 1.31 | | | | 3.24 | | | | 2.66 | | | | (2.39 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (2.10 | ) | | | 1.17 | | | | 3.11 | | | | 2.54 | | | | (2.51 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | 2 |
Net realized gain | | | (1.34 | ) | | | (3.11 | ) | | | (0.67 | ) | | | — | | | | (2.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (1.34 | ) | | | (3.11 | ) | | | (0.67 | ) | | | — | | | | (2.01 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 11.25 | | | $ | 14.69 | | | $ | 16.63 | | | $ | 14.19 | | | $ | 11.65 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return3 | | | (16.14% | ) | | | 8.97% | | | | 22.22% | | | | 21.80% | | | | (16.54% | ) |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 406,140 | | | $ | 494,476 | | | $ | 494,894 | | | $ | 420,279 | | | $ | 440,683 | |
Ratio of expenses to average net assets4 | | | 1.29% | | | | 1.29% | | | | 1.30% | | | | 1.33% | | | | 1.41% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.38% | | | | 1.40% | | | | 1.38% | | | | 1.54% | | | | 1.60% | |
Ratio of net investment loss to average net assets | | | (0.86% | ) | | | (0.86% | ) | | | (0.82% | ) | | | (0.91% | ) | | | (0.84% | ) |
Ratio of net investment loss to average net assets prior to fees waived | | | (0.95% | ) | | | (0.97% | ) | | | (0.90% | ) | | | (1.12% | ) | | | (1.03% | ) |
Portfolio turnover | | | 93% | | | | 82% | | | | 89% | | | | 180% | 5 | | | 104% | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | For the year ended March 31, 2016, return of capital distribution of $8,916 were made by the Fund’s Institutional Class shares, which calculated to $0.00 per share. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of 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.
Financial highlights
OptimumSmall-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 12.14 | | | $ | 13.66 | | | $ | 13.77 | | | $ | 11.53 | | | $ | 13.64 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)1 | | | 0.10 | | | | 0.11 | | | | 0.06 | | | | 0.08 | | | | (0.04 | ) |
Net realized and unrealized gain (loss) | | | (3.50 | ) | | | (0.69 | ) | | | 0.59 | | | | 2.21 | | | | (1.58 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (3.40 | ) | | | (0.58 | ) | | | 0.65 | | | | 2.29 | | | | (1.62 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.11 | ) | | | (0.06 | ) | | | (0.07 | ) | | | (0.05 | ) | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | 2 |
Net realized gain | | | (0.27 | ) | | | (0.88 | ) | | | (0.69 | ) | | | — | | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.38 | ) | | | (0.94 | ) | | | (0.76 | ) | | | (0.05 | ) | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 8.36 | | | $ | 12.14 | | | $ | 13.66 | | | $ | 13.77 | | | $ | 11.53 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return3 | | | (29.10% | ) | | | (3.83% | ) | | | 4.59% | | | | 19.84% | | | | (11.96% | ) |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 1,970 | | | $ | 3,266 | | | $ | 3,856 | | | $ | 4,279 | | | $ | 4,302 | |
Ratio of expenses to average net assets4 | | | 1.47% | | | | 1.46% | | | | 1.48% | | | | 1.51% | | | | 1.61% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.52% | | | | 1.54% | | | | 1.54% | | | | 1.71% | | | | 1.75% | |
Ratio of net investment income (loss) to average net assets | | | 0.79% | | | | 0.87% | | | | 0.40% | | | | 0.64% | | | | (0.35% | ) |
Ratio of net investment income (loss) to average net assets prior to fees waived | | | 0.74% | | | | 0.79% | | | | 0.34% | | | | 0.44% | | | | (0.49% | ) |
Portfolio turnover | | | 33% | | | | 32% | | | | 31% | | | | 30% | | | | 90%5 | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | For the year ended March 31, 2016, return of capital distribution of $325 were made by the Fund’s Class A shares, which calculated to $0.001 per share |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of 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.
126
OptimumSmall-Mid Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 10.54 | | | $ | 12.01 | | | $ | 12.21 | | | $ | 10.27 | | | $ | 12.30 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)1 | | | — | 2 | | | 0.01 | | | | (0.04 | ) | | | (0.01 | ) | | | (0.12 | ) |
Net realized and unrealized gain (loss) | | | (3.02 | ) | | | (0.60 | ) | | | 0.53 | | | | 1.95 | | | | (1.42 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (3.02 | ) | | | (0.59 | ) | | | 0.49 | | | | 1.94 | | | | (1.54 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.03 | ) | | | — | | | | — | | | | — | | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | 3 |
Net realized gain | | | (0.27 | ) | | | (0.88 | ) | | | (0.69 | ) | | | — | | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.30 | ) | | | (0.88 | ) | | | (0.69 | ) | | | — | | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 7.22 | | | $ | 10.54 | | | $ | 12.01 | | | $ | 12.21 | | | $ | 10.27 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return4 | | | (29.65% | ) | | | (4.50% | ) | | | 3.85% | | | | 18.89% | | | | (12.62% | ) |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 6,042 | | | $ | 9,508 | | | $ | 12,030 | | | $ | 14,268 | | | $ | 15,136 | |
Ratio of expenses to average net assets5 | | | 2.22% | | | | 2.21% | | | | 2.23% | | | | 2.26% | | | | 2.36% | |
Ratio of expenses to average net assets prior to fees waived5 | | | 2.27% | | | | 2.29% | | | | 2.29% | | | | 2.46% | | | | 2.50% | |
Ratio of net investment income (loss) to average net assets | | | 0.04% | | | | 0.12% | | | | (0.35% | ) | | | (0.11% | ) | | | (1.10% | ) |
Ratio of net investment income (loss) to average net assets prior to fees waived | | | (0.01% | ) | | | 0.04% | | | | (0.41% | ) | | | (0.31% | ) | | | (1.24% | ) |
Portfolio turnover | | | 33% | | | | 32% | | | | 31% | | | | 30% | | | | 90%6 | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | Amount is less than $0.005 per share. |
| 3 | For the year ended March 31, 2016, return of capital distribution of $1,284 were made by the Fund’s Class C shares, which calculated to $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 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 6 | 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.
Financial highlights
OptimumSmall-Mid Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended | |
| | | | | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/18 | | | 3/31/17 | | | 3/31/16 | |
Net asset value, beginning of period | | $ | 12.90 | | | $ | 14.45 | | | $ | 14.52 | | | $ | 12.16 | | | $ | 14.31 | |
| | | | | |
Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)1 | | | 0.14 | | | | 0.16 | | | | 0.10 | | | | 0.12 | | | | (0.01 | ) |
Net realized and unrealized gain (loss) | | | (3.73 | ) | | | (0.73 | ) | | | 0.63 | | | | 2.32 | | | | (1.65 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from investment operations | | | (3.59 | ) | | | (0.57 | ) | | | 0.73 | | | | 2.44 | | | | (1.66 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.14 | ) | | | (0.10 | ) | | | (0.11 | ) | | | (0.08 | ) | | | — | |
Return of capital | | | — | | | | — | | | | — | | | | — | | | | — | 2 |
Net realized gain | | | (0.27 | ) | | | (0.88 | ) | | | (0.69 | ) | | | — | | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total dividends and distributions | | | (0.41 | ) | | | (0.98 | ) | | | (0.80 | ) | | | (0.08 | ) | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net asset value, end of period | | $ | 8.90 | | | $ | 12.90 | | | $ | 14.45 | | | $ | 14.52 | | | $ | 12.16 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total return3 | | | (28.92% | ) | | | (3.55% | ) | | | 4.87% | | | | 20.05% | | | | (11.67% | ) |
| | | | | |
Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (000 omitted) | | $ | 366,656 | | | $ | 506,814 | | | $ | 442,808 | | | $ | 406,327 | | | $ | 441,150 | |
Ratio of expenses to average net assets4 | | | 1.22% | | | | 1.21% | | | | 1.23% | | | | 1.26% | | | | 1.36% | |
Ratio of expenses to average net assets prior to fees waived4 | | | 1.27% | | | | 1.29% | | | | 1.29% | | | | 1.46% | | | | 1.50% | |
Ratio of net investment income (loss) to average net assets | | | 1.04% | | | | 1.12% | | | | 0.65% | | | | 0.89% | | | | (0.10% | ) |
Ratio of net investment income (loss) to average net assets prior to fees waived | | | 0.99% | | | | 1.04% | | | | 0.59% | | | | 0.69% | | | | (0.24% | ) |
Portfolio turnover | | | 33% | | | | 32% | | | | 31% | | | | 30% | | | | 90%5 | |
| 1 | The average shares outstanding method has been applied for per share information. |
| 2 | For the year ended March 31, 2016, return of capital distribution of $31,607 were made by the Fund’s Institutional Class shares, which calculated to $0.001 per share. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
| 4 | Expense ratios do not include expenses of the Underlying Funds in which the Fund invests. |
| 5 | As a result of 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.
128
Notes to financial statements
Optimum Fund Trust
March 31, 2020
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.
1. Significant Accounting Policies
Each Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Funds.
Security Valuation— Equity securities, except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, interest rate swap contracts, CDS and interest rate swap options contracts (swaptions) are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value.Open-end investment companies are valued at their published net asset value (NAV). Investments in repurchase agreements are generally valued at par, which approximates fair value, each business day. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith 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, 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.
Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
Management has analyzed each Fund’s tax positions taken or expected to be taken on each Fund’s federal income tax returns through the year ended March 31, 2020 and for all open tax years (years ended March 31, 2017–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” on the “Statements of operations.” During the year ended March 31, 2020, 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. All open repurchase agreements as of the date of this report were entered into on March 31, 2020, and matured by April 2, 2020.
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. For the year ended March 31, 2020, the Fund had average reverse repurchase agreements of $668,066 for which it paid interest at an average rate of 1.89%. At March 31, 2020, 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. At March 31, 2020, there were no open short sales in the Fund.
To Be Announced Trades (TBA)— Optimum Fixed Income Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (examples: when issued, delayed delivery, forward commitment, or TBA transactions) consistent with the Fund’s ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Fund on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery. At March 31, 2020, the Fund received $17,792,000 cash collateral for TBA trades, which is included in “Cash collateral due to brokers” on the “Statements of assets and liabilities.”
Mortgage Dollar Rolls— Roll-timing strategies can be used where the Fund seeks to extend the expiration or maturity of a position, such as a TBA security on an underlying asset, by closing out the position before expiration and opening a new position with respect to substantially
130
the same underlying asset with a later expiration date. TBA securities purchased or sold are reflected on the Statement of Assets and Liabilities as an asset or liability, respectively.
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 year ended March 31, 2020, each Fund earned the following amounts under this arrangement:
| | | | | | | | | | |
| Optimum | | Optimum | | Optimum | | Optimum | | Optimum | | Optimum |
| Fixed Income | | International | | Large Cap | | Large Cap | | Small-Mid Cap | | Small-Mid Cap |
| Fund | | Fund | | Growth Fund | | Value Fund | | Growth Fund | | Value Fund |
| $80,154 | | $3,001 | | $2,842 | | $1,642 | | $2,342 | | $2,055 |
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 year ended March 31, 2020, each Fund earned the following amounts under this arrangement:
| | | | | | | | | | |
| Optimum | | Optimum | | Optimum | | Optimum | | Optimum | | Optimum |
| Fixed Income | | International | | Large Cap | | Large Cap | | Small-Mid Cap | | Small-Mid Cap |
| Fund | | Fund | | Growth Fund | | Value Fund | | Growth Fund | | Value Fund |
| $837 | | $782 | | $926 | | $917 | | $897 | | $902 |
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 |
132
| | |
| 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 & Co (Rothschild); OptimumSmall-Mid Cap Growth Fund – Columbus Circle Investors (CCI) and Peregrine Capital Management, LLC (PCM); OptimumSmall-Mid Cap Value Fund – LSV Asset Management (LSV) and Westwood Management Corp. (Westwood).
For the year ended March 31, 2020, DMC paid the followingsub-advisory fees:
| | | | | | | | | | |
Optimum
Fixed Income
Fund | | Optimum
International
Fund | | Optimum
Large Cap
Growth Fund | | Optimum
Large Cap
Value Fund | | Optimum
Small-Mid Cap
Growth Fund | | Optimum
Small-Mid Cap
Value Fund |
| $2,916,293 | | $2,170,603 | | $5,812,413 | | $4,848,867 | | $2,517,264 | | $2,744,237 |
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), do not exceed the following percentage of each Fund’s average daily net assets. These expense waivers and reimbursements may only be terminated by agreement of DMC and each Fund. These waivers and reimbursements are accrued daily and received monthly.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Optimum | | | Optimum | | | Optimum | | | Optimum | | | Optimum | | | Optimum | |
| | | Fixed Income | | | International | | | Large Cap | | | Large Cap | | | Small-Mid Cap | | | Small-Mid Cap | |
| | | Fund | | | Fund | | | Growth Fund | | | Value Fund | | | Growth Fund | | | Value Fund | |
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 dividends and distribution and dissemination of Funds’ NAV and performance data. For these services the Funds pay DIFSC an asset-based fee,
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
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 year ended March 31, 2020, each Fund was charged for these services as follows:
| | | | | | | | | | |
Optimum Fixed Income Fund | | Optimum
International
Fund | | Optimum
Large Cap
Growth Fund | | Optimum
Large Cap
Value Fund | | Optimum
Small-Mid Cap
Growth Fund | | Optimum
Small-Mid Cap
Value Fund |
| | | | | |
| $168,084 | | $40,214 | | $118,759 | | $112,348 | | $38,304 | | $39,303 |
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. Institutional Class shares do not pay12b-1 fees. The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
For the year ended March 31, 2020, DDLP earned commissions on sales of Class A shares for each Fund as follows:
| | | | | | | | | | |
Optimum Fixed Income Fund | | Optimum
International
Fund | | Optimum
Large Cap
Growth Fund | | Optimum
Large Cap
Value Fund | | Optimum
Small-Mid Cap
Growth Fund | | Optimum
Small-Mid Cap
Value Fund |
| | | | | |
| $29,449 | | $839 | | $2,501 | | $2,147 | | $524 | | $189 |
For the year ended March 31, 2020, DDLP received gross CDSC commissions on redemptions of each Fund’s Class C shares, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares. The amounts received were as follows:
| | | | | | | | | | |
Optimum Fixed Income Fund | | Optimum
International
Fund | | Optimum
Large Cap
Growth Fund | | Optimum
Large Cap
Value Fund | | Optimum
Small-Mid Cap
Growth Fund | | Optimum
Small-Mid Cap
Value Fund |
| | | | | |
| $1,908 | | $369 | | $641 | | $728 | | $81 | | $118 |
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.
Cross trades for the year ended March 31, 2020, 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 International Fund, Optimum Large Cap Value Fund, and OptimumSmall-Mid Cap Value Fund did not engage in Rule17a-7 securities purchases and/or securities
134
sales for the year ended March 31, 2020. Pursuant to these procedures, for the year ended March 31, 2020, the following Funds engaged in Rule17a-7 securities purchases and securities sales, which resulted in net realized gain (loss) as follows:
| | | | | | | | | | | | |
| | | Optimum
Fixed Income
Fund | | | Optimum
Large Cap
Growth Fund | | | Optimum
Small-Mid Cap
Growth Fund | |
| | | |
Purchases | | | $ — | | | | $136,013 | | | | $696,057 | |
Sales | | | 820,495 | | | | — | | | | 341,872 | |
Net realized loss | | | (9,181) | | | | — | | | | (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 year ended March 31, 2020, 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 | | $ | 1,259,824,196 | | | $ | 270,155,758 | | | $ | 492,108,748 | | | $ | 370,538,550 | | | | $468,208,626 | | | | $185,718,627 | |
Purchases of US government securities | | | 9,706,960,621 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Sales other than US government securities | | | 1,212,941,208 | | | | 284,102,035 | | | | 646,912,171 | | | | 409,415,461 | | | | 487,085,337 | | | | 172,392,086 | |
Sales of US government securities | | | 9,123,157,405 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
The tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. At March 31, 2020, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purpose 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 | | $ | 3,283,971,351 | | | $ | 523,251,380 | | | $ | 1,236,039,538 | | | $ | 1,275,884,615 | | | $ | 455,943,362 | | | $ | 513,632,930 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Aggregate unrealized appreciation of investments and derivatives | | $ | 95,631,584 | | | $ | 35,489,639 | | | $ | 360,348,999 | | | $ | 168,728,783 | | | $ | 44,553,736 | | | $ | 17,921,751 | |
Aggregate unrealized depreciation of investments and derivatives | | | (91,195,135 | ) | | | (117,755,895 | ) | | | (115,182,914 | ) | | | (162,185,936 | ) | | | (83,094,520 | ) | | | (156,700,542 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation (depreciation) of investments and derivatives | | $ | 4,436,449 | | | $ | (82,266,256 | ) | | $ | 245,166,085 | | | $ | 6,542,847 | | | $ | (38,540,784 | ) | | $ | (138,778,791 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
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.
| | | | |
| Level 1 | | – | | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities,open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 | | – | | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 | | – | | Significant unobservable inputs, including each Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are
136
comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following tables summarize the valuation of each Fund’s investments by fair value hierarchy levels as of March 31, 2020:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Optimum Fixed Income Fund | | | | |
| | | | | | | |
| | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total |
Securities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Agency, Asset- & Mortgage-Backed Securities | | | $ | — | | | | | | $ | 1,406,077,951 | | | | | | $ | — | | | | | | $ | 1,406,077,951 | |
Corporate Debt | | | | — | | | | | | | 903,576,587 | | | | | | | — | | | | | | | 903,576,587 | |
Foreign Debt | | | | — | | | | | | | 40,456,508 | | | | | | | — | | | | | | | 40,456,508 | |
Municipal Bonds | | | | — | | | | | | | 15,993,939 | | | | | | | — | | | | | | | 15,993,939 | |
Loan Agreements | | | | — | | | | | | | 43,526,375 | | | | | | | — | | | | | | | 43,526,375 | |
Common Stock | | | | — | | | | | | | — | | | | | | | — | | | | | | | — | |
Preferred Stock | | | | — | | | | | | | 623,935 | | | | | | | — | | | | | | | 623,935 | |
US Treasury Obligations | | | | — | | | | | | | 770,245,788 | | | | | | | — | | | | | | | 770,245,788 | |
Short-Term Investments1 | | | | 32,385,200 | | | | | | | 80,500,000 | | | | | | | — | | | | | | | 112,885,200 | |
Options Purchased | | | | — | | | | | | | 88,182 | | | | | | | — | | | | | | | 88,182 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Value of Securities Before Options Written | | | $ | 32,385,200 | | | | | | $ | 3,261,089,265 | | | | | | $ | — | | | | | | $ | 3,293,474,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Options Written | | | $ | — | | | | | | $ | (88,977 | ) | | | | | $ | — | | | | | | $ | (88,977 | ) |
| | | | | | | |
Derivatives2 | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | — | | | | | | $ | 788,855 | | | | | | $ | — | | | | | | $ | 788,855 | |
Futures Contracts | | | | 6,032,202 | | | | | | | — | | | | | | | — | | | | | | | 6,032,202 | |
Swap Contracts | | | | — | | | | | | | 1,469,279 | | | | | | | — | | | | | | | 1,469,279 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | — | | | | | | | (2,489,909 | ) | | | | | | — | | | | | | | (2,489,909 | ) |
Futures Contracts | | | | (3,830,791 | ) | | | | | | — | | | | | | | — | | | | | | | (3,830,791 | ) |
Swap Contracts | | | | — | | | | | | | (6,947,325 | ) | | | | | | — | | | | | | | (6,947,325 | ) |
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 | | | 65.98 | % | | | | | 34.02% | | | | | | | — | | | | | | | 100.00 | % |
2Foreign currency exchange contracts, futures contracts, and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end.
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Optimum International Fund | | | | |
| | | | | | | |
| | | Level 1 | | | | Level 2 | | | | Level 3 | | | | Total |
Securities | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Common Stock | | | | | | | | | | | | | | | | | | | | | | | | | | |
Australia | | | $ | 5,772,765 | | | | | | $ | 6,358,625 | | | | | | $ | — | | | | | | $ | 12,131,390 | |
Austria | | | | — | | | | | | | 6,592,191 | | | | | | | — | | | | | | | 6,592,191 | |
Belgium | | | | 87,184 | | | | | | | 3,229,086 | | | | | | | — | | | | | | | 3,316,270 | |
Brazil | | | | 5,562,223 | | | | | | | — | | | | | | | — | | | | | | | 5,562,223 | |
Cambodia | | | | — | | | | | | | 18,221 | | | | | | | — | | | | | | | 18,221 | |
Canada | | | | 19,015,898 | | | | | | | — | | | | | | | — | | | | | | | 19,015,898 | |
Chile | | | | 2,958,897 | | | | | | | — | | | | | | | — | | | | | | | 2,958,897 | |
China/Hong Kong | | | | 7,041,509 | | | | | | | 51,138,580 | | | | | | | — | | | | | | | 58,180,089 | |
Colombia | | | | 2,152,311 | | | | | | | — | | | | | | | — | | | | | | | 2,152,311 | |
Czech Republic | | | | — | | | | | | | 1,074,711 | | | | | | | — | | | | | | | 1,074,711 | |
Denmark | | | | — | | | | | | | 3,612,183 | | | | | | | — | | | | | | | 3,612,183 | |
Finland | | | | — | | | | | | | 125,859 | | | | | | | — | | | | | | | 125,859 | |
France | | | | — | | | | | | | 15,535,813 | | | | | | | — | | | | | | | 15,535,813 | |
Germany | | | | — | | | | | | | 18,710,550 | | | | | | | — | | | | | | | 18,710,550 | |
Greece | | | | — | | | | | | | 47,919 | | | | | | | — | | | | | | | 47,919 | |
Hungary | | | | — | | | | | | | 1,514,642 | | | | | | | — | | | | | | | 1,514,642 | |
India | | | | 6,796,880 | | | | | | | 61,004 | | | | | | | — | | | | | | | 6,857,884 | |
Ireland | | | | 9,233,992 | | | | | | | — | | | | | | | — | | | | | | | 9,233,992 | |
Israel | | | | 7,162,618 | | | | | | | 9,653,231 | | | | | | | — | | | | | | | 16,815,849 | |
Italy | | | | — | | | | | | | 6,129,647 | | | | | | | — | | | | | | | 6,129,647 | |
Japan | | | | — | | | | | | | 53,758,782 | | | | | | | — | | | | | | | 53,758,782 | |
Luxembourg | | | | — | | | | | | | 4,164,107 | | | | | | | — | | | | | | | 4,164,107 | |
Malaysia | | | | — | | | | | | | 163,268 | | | | | | | — | | | | | | | 163,268 | |
Mexico | | | | 2,370,421 | | | | | | | — | | | | | | | — | | | | | | | 2,370,421 | |
Netherlands | | | | 17,001 | | | | | | | 24,352,535 | | | | | | | — | | | | | | | 24,369,536 | |
New Zealand | | | | — | | | | | | | 1,187,510 | | | | | | | — | | | | | | | 1,187,510 | |
Norway | | | | 3,003,734 | | | | | | | 6,032,684 | | | | | | | — | | | | | | | 9,036,418 | |
Philippines | | | | — | | | | | | | 40,625 | | | | | | | — | | | | | | | 40,625 | |
Poland | | | | — | | | | | | | 426,564 | | | | | | | — | | | | | | | 426,564 | |
Portugal | | | | — | | | | | | | 28,400 | | | | | | | — | | | | | | | 28,400 | |
Republic of Korea | | | | 1,664,095 | | | | | | | 19,781,996 | | | | | | | — | | | | | | | 21,446,091 | |
Russia | | | | — | | | | | | | 100,643 | | | | | | | — | | | | | | | 100,643 | |
Singapore | | | | — | | | | | | | 5,190,584 | | | | | | | — | | | | | | | 5,190,584 | |
South Africa | | | | 77,480 | | | | | | | 220,867 | | | | | | | — | | | | | | | 298,347 | |
Spain | | | | 2,861,871 | | | | | | | 5,346,982 | | | | | | | — | | | | | | | 8,208,853 | |
Sweden | | | | — | | | | | | | 2,208,162 | | | | | | | — | | | | | | | 2,208,162 | |
Switzerland | | | | 7,999,699 | | | | | | | 20,717,888 | | | | | | | — | | | | | | | 28,717,587 | |
Taiwan | | | | — | | | | | | | 22,016,621 | | | | | | | — | | | | | | | 22,016,621 | |
Thailand | | | | — | | | | | | | 2,202,815 | | | | | | | — | | | | | | | 2,202,815 | |
Turkey | | | | 702,466 | | | | | | | 1,447,846 | | | | | | | — | | | | | | | 2,150,312 | |
Ukraine | | | | — | | | | | | | 1,121,105 | | | | | | | — | | | | | | | 1,121,105 | |
United Arab Emirates | | | | — | | | | | | | 289,989 | | | | | | | — | | | | | | | 289,989 | |
United Kingdom | | | | 213,327 | | | | | | | 28,705,390 | | | | | | | — | | | | | | | 28,918,717 | |
United States | | | | 10,093,382 | | | | | | | — | | | | | | | 359,194 | | | | | | | 10,452,576 | |
Short-Term Investments | | | | 5,944,102 | | | | | | | — | | | | | | | — | | | | | | | 5,944,102 | |
Securities Lending Collateral | | | | — | | | | | | | 16,586,514 | | | | | | | — | | | | | | | 16,586,514 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Value of Securities | | | $ | 100,731,855 | | | | | | $ | 339,894,139 | | | | | | $ | 359,194 | | | | | | $ | 440,985,188 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
��
138
| | | | | | | | | | | | | | | | |
| | | | | | Optimum International Fund | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Derivatives1 | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | — | | | $ | 12 | | | $ | — | | | $ | 12 | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | — | | | | (76 | ) | | | — | | | | (76 | ) |
1Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end.
| | | | | | | | | | | | | | | | |
| | | Optimum Large Cap Growth Fund | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Securities | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | |
Common Stock | | | | | | | | | | | | | | | | |
Communication Services | | $ | 216,307,433 | | | $ | 6,806,182 | | | $ | — | | | $ | 223,113,615 | |
Consumer Discretionary | | | 252,307,086 | | | | — | | | | — | | | | 252,307,086 | |
Consumer Staples | | | 28,006,600 | | | | — | | | | — | | | | 28,006,600 | |
Energy | | | 7,593,376 | | | | — | | | | — | | | | 7,593,376 | |
Financials | | | 36,796,415 | | | | — | | | | — | | | | 36,796,415 | |
Healthcare | | | 194,815,367 | | | | 3,954,756 | | | | — | | | | 198,770,123 | |
Industrials | | | 133,572,759 | | | | — | | | | — | | | | 133,572,759 | |
Information Technology | | | 518,688,517 | | | | 5,146,040 | | | | — | | | | 523,834,557 | |
Materials | | | 15,539,003 | | | | — | | | | — | | | | 15,539,003 | |
Real Estate | | | 15,739,164 | | | | — | | | | — | | | | 15,739,164 | |
Utilities | | | 4,490,110 | | | | — | | | | — | | | | 4,490,110 | |
Convertible Preferred Stock | | | — | | | | — | | | | 4,735,967 | | | | 4,735,967 | |
Short-Term Investments | | | 36,710,402 | | | | — | | | | — | | | | 36,710,402 | |
| | | | | | | | | | | | | | | | |
Total Value of Securities | | $ | 1,460,566,232 | | | $ | 15,906,978 | | | $ | 4,735,967 | | | $ | 1,481,209,177 | |
| | | | | | | | | | | | | | | | |
| | | | |
Derivatives1 | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | $ | — | | | $ | (3,554 | ) | | $ | — | | | $ | (3,554 | ) |
1Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the year end.
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
| | | | | | | | | | | | |
| | | Optimum Large Cap Value Fund | |
| | | Level 1 | | | Level 2 | | | Total | |
Securities | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | |
Common Stock | | | | | | | | | | | | |
Communication Services | | $ | 97,100,115 | | | $ | — | | | $ | 97,100,115 | |
Consumer Discretionary | | | 19,801,918 | | | | — | | | | 19,801,918 | |
Consumer Staples | | | 81,946,241 | | | | 30,098,057 | | | | 112,044,298 | |
Energy | | | 45,363,727 | | | | — | | | | 45,363,727 | |
Financials | | | 300,558,051 | | | | — | | | | 300,558,051 | |
Healthcare | | | 224,340,591 | | | | 3,889,539 | | | | 228,230,130 | |
Industrials | | | 174,764,655 | | | | — | | | | 174,764,655 | |
Information Technology | | | 110,523,501 | | | | — | | | | 110,523,501 | |
Materials | | | 52,637,786 | | | | — | | | | 52,637,786 | |
Real Estate | | | 32,145,395 | | | | — | | | | 32,145,395 | |
Utilities | | | 92,341,967 | | | | — | | | | 92,341,967 | |
Short-Term Investments | | | 16,915,919 | | | | — | | | | 16,915,919 | |
| | | | | | | | | | | | |
Total Value of Securities | | $ | 1,248,439,866 | | | $ | 33,987,596 | | | $ | 1,282,427,462 | |
| | | | | | | | | | | | |
| |
| | | OptimumSmall-Mid Cap Growth Fund | |
| | | Level 1 | | | Level 3 | | | Total | |
Securities | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | |
Common Stock | | | | | | | | | | | | |
Communication Services | | $ | 5,553,233 | | | $ | — | | | $ | 5,553,233 | |
Consumer Cyclical | | | 2,551,666 | | | | — | | | | 2,551,666 | |
Consumer Discretionary | | | 43,121,287 | | | | 550,328 | | | | 43,671,615 | |
Consumer Staples | | | 6,127,598 | | | | — | | | | 6,127,598 | |
Energy | | | 1,000,259 | | | | — | | | | 1,000,259 | |
Financials | | | 30,141,629 | | | | — | | | | 30,141,629 | |
Healthcare | | | 116,281,408 | | | | — | | | | 116,281,408 | |
Industrials | | | 63,116,839 | | | | — | | | | 63,116,839 | |
Information Technology | | | 131,183,370 | | | | — | | | | 131,183,370 | |
Materials | | | 6,306,461 | | | | — | | | | 6,306,461 | |
Real Estate | | | 1,780,443 | | | | — | | | | 1,780,443 | |
Convertible Preferred Stock | | | — | | | | 1,127,939 | | | | 1,127,939 | |
Short-Term Investments | | | 8,560,118 | | | | — | | | | 8,560,118 | |
| | | | | | | | | | | | |
Total Value of Securities | | $ | 415,724,311 | | | $ | 1,678,267 | | | $ | 417,402,578 | |
| | | | | | | | | | | | |
| |
| | | OptimumSmall-Mid Cap Value Fund | |
| | | | | | Level 1 | | | | |
Securities | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | |
Common Stock | | | | | | $ | 364,719,806 | | | | | |
Short-Term Investments | | | | | | | 10,134,333 | | | | | |
| | | | | | | | | | | | |
Total Value of Securities | | | | | | $ | 374,854,139 | | | | | |
| | | | | | | | | | | | |
Securities valued at zero on the ”Schedules of investments“ are considered to be Level 3 investments in these tables.
140
As a result of utilizing international fair value pricing at March 31, 2020, a portion of Optimum International Fund’s common stock investments were categorized as Level 2.
During the year ended March 31, 2020, 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 year. There were no Level 3 investments during the year ended March 31, 2020 for Optimum Large Cap Value Fund and OptimumSmall-Mid Cap Value Fund.
4. Dividend and Distribution Information
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP. Additionally, distributions from net gains on foreign currency transactions and net short-term gains on sales of investment securities are treated as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the years ended March 31, 2020 and 2019 were as follows:
Year ended March 31, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Optimum
Fixed Income
Fund | | Optimum
International
Fund | | Optimum
Large Cap
Growth Fund | | Optimum
Large Cap
Value Fund | | Optimum
Small-Mid Cap
Growth Fund | | Optimum
Small-Mid Cap
Value Fund |
Ordinary income | | | $ | 76,684,769 | | | | $ | 10,230,184 | | | | $ | 1,269,941 | | | | $ | 23,390,255 | | | | $ | — | | | | $ | 5,729,379 | |
Long-term capital gains | | | | — | | | | | 1,481,477 | | | | | 52,025,694 | | | | | 22,584,049 | | | | | 46,674,754 | | | | | 10,966,880 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 76,684,769 | | | | $ | 11,711,661 | | | | $ | 53,295,635 | | | | $ | 45,974,304 | | | | $ | 46,674,754 | | | | $ | 16,696,259 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
Year ended March 31, 2019 | | | | | | |
| | | Optimum
Fixed Income
Fund | | Optimum
International
Fund | | Optimum
Large Cap
Growth Fund | | Optimum
Large Cap
Value Fund | | Optimum
Small-Mid Cap
Growth Fund | | Optimum
Small-Mid Cap
Value Fund |
Ordinary income | | | $ | 53,756,210 | | | | $ | 11,516,874 | | | | $ | 14,693,064 | | | | $ | 22,094,176 | | | | $ | 9,660,035 | | | | $ | 5,391,640 | |
Long-term capital gains | | | | — | | | | | 29,894,421 | | | | | 178,069,913 | | | | | 40,503,856 | | | | | 80,048,529 | | | | | 30,875,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 53,756,210 | | | | $ | 41,411,295 | | | | $ | 192,762,977 | | | | $ | 62,598,032 | | | | $ | 89,708,564 | | | | $ | 36,267,105 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Notes to financial statements
Optimum Fund Trust
5. Components of Net Assets on a Tax Basis
As of March 31, 2020, the components of net assets on a tax basis were as follows:
| | | | | | | | | | | | |
| | | Optimum
Fixed Income
Fund | | | Optimum
International
Fund | | | Optimum Large
Cap Growth
Fund | |
Shares of beneficial interest | | $ | 2,441,162,137 | | | $ | 500,232,061 | | | $ | 1,159,579,444 | |
Undistributed ordinary income | | | 43,985,496 | | | | 2,378,340 | | | | — | |
Undistributed long-term capital gains | | | — | | | | 6,847,593 | | | | 74,896,177 | |
Qualified late year loss deferral | | | — | | | | — | | | | (1,245,154 | ) |
Unrealized appreciation (depreciation) of investments, foreign currencies, and derivatives | | | 4,436,449 | | | | (82,266,256 | ) | | | 245,166,085 | |
| | | | | | | | | | | | |
Net assets | | $ | 2,489,584,082 | | | | $427,191,738 | | | | $1,478,396,552 | |
| | | | | | | | | | | | |
| | | |
| | | Optimum
Large Cap
Value Fund | | | Optimum
Small-Mid Cap
Growth Fund | | | Optimum
Small-Mid Cap
Value Fund | |
Share of beneficial interest | | $ | 1,264,814,882 | | | $ | 435,647,296 | | | $ | 514,456,422 | |
Undistributed ordinary income | | | 4,717,230 | | | | — | | | | 1,986,266 | |
Undistributed long-term capital gains | | | 8,548,702 | | | | 22,786,086 | | | | — | |
Qualified late year loss deferral | | | — | | | | (1,158,347 | ) | | | (2,995,567 | ) |
Unrealized appreciation (depreciation) of investments and foreign currencies | | | 6,542,847 | | | | (38,540,784 | ) | | | (138,778,791 | ) |
| | | | | | | | | | | | |
Net assets | | $ | 1,284,623,661 | | | | $418,734,251 | | | | $ 374,668,330 | |
| | | | | | | | | | | | |
The differences between book basis and tax basis components of net assets are primarily attributable to tax deferral of losses on wash sales, tax deferral of losses on straddles,mark-to-market of foreign currency exchange contracts,mark-to-market of futures contracts, tax recognition of unrealized gain on passive foreign investment companies, tax treatment of swap contracts, contingent payment debt instruments, amortization of premium on convertible securities, trust preferred securities, partnership interest and deemed dividend income.
Qualified late year ordinary and capital losses (including currency and specified gain/loss items) represent losses realized from Jan. 1, 2020 through March 31, 2020 and Nov. 1, 2019 through March 31, 2020, respectively, that, in accordance with federal income tax regulations, the Funds have elected to defer and treat as having arisen in the following fiscal year.
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to tax treatment of net operating losses. Results of operations and net assets were not affected by these reclassifications. For the year ended March 31, 2020, the Funds recorded the following reclassifications:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Optimum
Fixed Income
Fund | | Optimum
International
Fund | | Optimum
Large Cap
Growth Fund | | Optimum
Large Cap
Value Fund | | Optimum
Small-Mid Cap
Growth Fund | | Optimum
Small-Mid Cap
Value Fund |
Distributable earnings | | | | $— | | | | | $— | | | | | $1,835,193 | | | | | $— | | | | | $4,513,599 | | | | | $— | |
Paid-in capital | | | | — | | | | | — | | | | | (1,835,193 | ) | | | | — | | | | | (4,513,599 | ) | | | | — | |
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At March 31, 2020, Optimum Fixed Income Fund utilized $28,892,499 of capital loss carryforwards.
142
6. Capital Shares
Transactions in capital shares were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Optimum | | | Optimum | | | Optimum | |
| | | Fixed Income | | | International | | | Large Cap | |
| | | Fund | | | Fund | | | Growth Fund | |
| | | |
| | | Year ended | | | Year ended | | | Year ended | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/20 | | | 3/31/19 | | | 3/31/20 | | | 3/31/19 | |
Shares sold: | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | 99,307 | | | | 188,268 | | | | 29,664 | | | | 25,079 | | | | 27,776 | | | | 38,939 | |
Class C | | | 427,411 | | | | 630,924 | | | | 79,516 | | | | 55,253 | | | | 50,010 | | | | 68,870 | |
Institutional Class | | | 41,078,600 | | | | 69,792,050 | | | | 6,252,880 | | | | 7,608,435 | | | | 10,786,020 | | | | 13,680,802 | |
Shares issued upon reinvestment of dividends and distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | 75,769 | | | | 61,708 | | | | 9,908 | | | | 46,090 | | | | 50,214 | | | | 242,655 | |
Class C | | | 194,209 | | | | 131,714 | | | | 19,031 | | | | 129,826 | | | | 213,857 | | | | 984,572 | |
Institutional Class | | | 7,705,908 | | | | 5,726,909 | | | | 865,351 | | | | 3,309,858 | | | | 2,533,369 | | | | 10,611,468 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 49,581,204 | | | | 76,531,573 | | | | 7,256,350 | | | | 11,174,541 | | | | 13,661,246 | | | | 25,627,306 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | (422,469 | ) | | | (660,778 | ) | | | (101,947 | ) | | | (96,717 | ) | | | (409,222 | ) | | | (381,417 | ) |
Class C | | | (1,506,687 | ) | | | (2,264,676 | ) | | | (307,757 | ) | | | (406,128 | ) | | | (1,279,915 | ) | | | (1,664,422 | ) |
Institutional Class | | | (40,696,765 | ) | | | (38,873,248 | ) | | | (7,847,584 | ) | | | (12,886,082 | ) | | | (17,288,342 | ) | | | (25,281,543 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (42,625,921 | ) | | | (41,798,702 | ) | | | (8,257,288 | ) | | | (13,388,927 | ) | | | (18,977,479 | ) | | | (27,327,382 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 6,955,283 | | | | 34,732,871 | | | | (1,000,938 | ) | | | (2,214,386 | ) | | | (5,316,233 | ) | | | (1,700,076 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | Optimum | | | Optimum | | | Optimum | |
| | | Large Cap | | | Small-Mid Cap | | | Small-Mid Cap | |
| | | Value Fund | | | Growth Fund | | | Value Fund | |
| | | |
| | | Year ended | | | Year ended | | | Year ended | |
| | | 3/31/20 | | | 3/31/19 | | | 3/31/20 | | | 3/31/19 | | | 3/31/20 | | | 3/31/19 | |
Shares sold: | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | 34,211 | | | | 48,020 | | | | 8,470 | | | | 10,569 | | | | 14,917 | | | | 9,354 | |
Class C | | | 80,064 | | | | 99,438 | | | | 13,386 | | | | 17,897 | | | | 59,504 | | | | 18,484 | |
Institutional Class | | | 13,269,139 | | | | 16,680,986 | | | | 5,366,655 | | | | 5,140,284 | | | | 7,472,621 | | | | 11,721,860 | |
Shares issued upon reinvestment of dividends and distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | 33,400 | | | | 62,073 | | | | 32,188 | | | | 75,976 | | | | 6,835 | | | | 21,042 | |
Class C | | | 70,891 | | | | 146,453 | | | | 144,464 | | | | 305,320 | | | | 21,846 | | | | 75,223 | |
Institutional Class | | | 2,534,493 | | | | 3,968,965 | | | | 3,184,389 | | | | 6,429,203 | | | | 1,194,101 | | | | 2,886,088 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 16,022,198 | | | | 21,005,935 | | | | 8,749,552 | | | | 11,979,249 | | | | 8,769,824 | | | | 14,732,051 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | | (271,716 | ) | | | (274,476 | ) | | | (78,586 | ) | | | (79,117 | ) | | | (54,972 | ) | | | (43,747 | ) |
Class C | | | (755,122 | ) | | | (1,073,369 | ) | | | (226,952 | ) | | | (284,506 | ) | | | (146,488 | ) | | | (193,155 | ) |
Institutional Class | | | (16,840,601 | ) | | | (13,848,116 | ) | | | (6,132,923 | ) | | | (7,663,370 | ) | | | (6,741,374 | ) | | | (5,969,407 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | (17,867,439 | ) | | | (15,195,961 | ) | | | (6,438,461 | ) | | | (8,026,993 | ) | | | (6,942,834 | ) | | | (6,206,309 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | (1,845,241 | ) | | | 5,809,974 | | | | 2,311,091 | | | | 3,952,256 | | | | 1,826,990 | | | | 8,525,742 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Notes to financial statements
Optimum Fund Trust
6. Capital Shares (continued)
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 years ended March 31, 2020 and 2019 each Fund had the following exchange transactions:
| | | | | | | | | | | | | | | | | | | | |
| | | Year ended |
| | | 3/31/20 |
| | | | | | | Exchange | | |
| | | Exchange Redemptions | | Subscriptions | | |
| | | Class A | | Class C | | Institutional Class | | |
| | | Shares | | Shares | | Shares | | Value |
Optimum Fixed Income Fund | | | | 8,125 | | | | | 3,062 | | | | | 11,192 | | | | $ | 108,165 | |
Optimum International Fund | | | | 4,408 | | | | | 132 | | | | | 4,503 | | | | | 58,108 | |
Optimum Large Cap Growth Fund | | | | 14,729 | | | | | 318 | | | | | 13,776 | | | | | 263,452 | |
Optimum Large Cap Value Fund | | | | 12,545 | | | | | 266 | | | | | 12,777 | | | | | 213,257 | |
Optimum Small-Mid Cap Growth Fund | | | | 1,993 | | | | | 56 | | | | | 1,861 | | | | | 27,404 | |
OptimumSmall-Mid Cap Value Fund | | | | 1,120 | | | | | 130 | | | | | 1,160 | | | | | 15,190 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Year ended | | | | |
| | | | | | | 3/31/19 | | | | |
| | | Exchange Redemptions | | Exchange Subscriptions | | |
| | | Class A | | Class C | | Institutional Class | | Class A | | Institutional Class | | |
| | | Shares | | Shares | | Shares | | Shares | | 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 | |
7. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts— Each Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Fund may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Fund may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Fund’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Funds and the counterparty and by the posting of collateral by the counterparty to the Funds to cover the Funds’ exposure to the counterparty. During the year ended March 31, 2020, OptimumSmall-Mid Cap Growth Fund and OptimumSmall-Mid Cap Value Fund did not use foreign currency exchange contracts. Optimum Fixed Income Fund received $1,140,000 cash collateral for open foreign currency exchange contracts, which is presented as cash collateral due to brokers on the ”Statements of assets and liabilities.“
144
During the year ended March 31, 2020, 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 year ended March 31, 2020, 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 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 $3,319,874 and $861,000 cash collateral as margin for open futures contracts. Securities collateral are presented on the ”Schedules of investments.“
During the year ended March 31, 2020, Optimum Fixed Income Fund used futures contracts to hedge the Fund’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions, as a cash management tool, and to facilitate investments in portfolio securities.
Options Contracts— Optimum Fixed Income Fund may enter into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Fund’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Fund’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
During the year ended March 31, 2020, 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
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
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 year ended March 31, 2020, Optimum Fixed Income Fund used interest rate swap contracts to manage the Fund’s sensitivity to interest rates or to hedge against changes in interest rates.
Credit Default Swaps.A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the year ended March 31, 2020, Optimum Fixed Income Fund entered into CDS contracts as a purchaser and seller of protection, as a hedge against credit events. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for centrally cleared CDS basket trades, as determined by the applicable central counterparty.
As disclosed in the footnotes to the “Schedules of investments,” at March 31, 2020, the notional value of the protection sold was EUR3,600,000 and USD74,316,000, which reflects the maximum potential amount Optimum Fixed Income Fund would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, the quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement has been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the reference entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At March 31, 2020, there were no recourse provisions with third parties to recover any amounts paid under the credit derivative agreement (including any purchased credit protection) nor was any collateral held by the Fund and other third parties which the Fund can obtain in the occurrence of a credit event. At March 31, 2020, net unrealized depreciation of the protection sold was $(1,579,544).
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.
146
During the year ended March 31, 2020, 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 March 31, 2020, for bilateral derivative contracts, Optimum Fixed Income Fund posted $921,000 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 $6,248,326 in securities collateral comprised of US treasury obligations for certain open centrally cleared derivative contracts and $2,371,091 in securities collateral comprised of US treasury obligations for bilateral derivative contracts. At March 31, 2020, for bilateral derivative contracts, the Fund received $890,000 in cash collateral, which is included in “Cash collateral due to brokers” on the “Statements of assets and liabilities.” Cash collateral is included on the “Statements of assets and liabilities” and securities collateral is presented on the “Schedules of investments.”
Fair values of derivative instruments for Optimum Fixed Income Fund as of March 31, 2020 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 | | | $ | 788,855 | | | | $ | — | | | | $ | — | | | | $ | 788,855 | |
| Variation margin due from broker on futures contracts* | | | | 198,075 | | | | | 5,834,127 | | | | | — | | | | | 6,032,202 | |
| Variation margin due from brokers on centrally cleared credit default swap contracts* | | | | — | | | | | — | | | | | 233,773 | | | | | 233,773 | |
| Variation margin due from brokers on centrally cleared interest rate swap contracts* | | | | — | | | | | 374,639 | | | | | — | | | | | 374,639 | |
| Unrealized appreciation of credit default swap contracts | | | | — | | | | | — | | | | | 860,867 | | | | | 860,867 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 986,930 | | | | $ | 6,208,766 | | | | $ | 1,094,640 | | | | $ | 8,290,336 | |
| | | | | | | | | | | | | | | | | | | | |
Notes to financial statements
Optimum Fund Trust
7. Derivatives (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Liability Derivatives
Fair Value |
Statements of Assets and Liabilities Location | | Currency
Contracts | | Interest
Contracts | | Credit
Contracts | | Total | | |
| Unrealized depreciation of foreign currency exchange contracts | | | $ | (2,489,909 | ) | | | $ | — | | | | $ | — | | | | $ | (2,489,909 | ) | | | | | |
| Variation margin due from broker on futures contracts* | | | | (937,897 | ) | | | | (2,892,894 | ) | | | | — | | | | | (3,830,791 | ) | | | | | |
| Options written, at value | | | | — | | | | | (88,977 | ) | | | | — | | | | | (88,977 | ) | | | | | |
| Variation margin due to brokers on centrally cleared credit default swap contracts* | | | | — | | | | | — | | | | | (2,622,107 | ) | | | | (2,622,107 | ) | | | | | |
| Variation margin due to brokers on centrally cleared interest rate swap contracts* | | | | — | | | | | (4,238,715 | ) | | | | — | | | | | (4,238,715 | ) | | | | | |
| Unrealized depreciation of credit default swap contracts | | | | — | | | | | — | | | | | (86,503 | ) | | | | (86,503 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (3,427,806 | ) | | | $ | (7,220,586 | ) | | | $ | (2,708,610 | ) | | | $ | (13,357,002 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
*Includes cumulative appreciation (depreciation) of futures contracts, centrally cleared CDS contracts, and centrally cleared swap contracts from the date the contracts were opened through March 31, 2020. Only current day variation margin is reported on Optimum Fixed Income Fund’s “Statements of assets and liabilities.”
The effect of derivative instruments on Optimum Fixed Income Fund’s “Statements of operations” for the year ended March 31, 2020 was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net Realized Gain (Loss) on: |
| | | Foreign | | | | | | | | | | |
| | | Currency | | | | | | | | | | |
| | | Exchange | | Futures | | Options | | Options | | Swap | | |
| | | Contracts | | Contracts | | Purchased | | Written | | Contracts | | Total |
Currency contracts | | | $ | 3,480,544 | | | | $ | (1,392,666 | ) | | | $ | — | | | | $ | 72,331 | | | | $ | — | | | | $ | 2,160,209 | |
Equity contracts | | | | — | | | | | 87,600 | | | | | (158,580 | ) | | | | 163,336 | | | | | — | | | | | 92,356 | |
Interest rate contracts | | | | — | | | | | 27,822,289 | | | | | — | | | | | 88,837 | | | | | (13,563,607 | ) | | | | 14,347,519 | |
Credit contracts | | | | — | | | | | — | | | | | — | | | | | 6,737 | | | | | (905,909 | ) | | | | (899,172 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 3,480,544 | | | | $ | 26,517,223 | | | | $ | (158,580 | ) | | | $ | 331,241 | | | | $ | (14,469,516 | ) | | | $ | 15,700,912 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
| | | Net Change in Unrealized Appreciation (Depreciation) of: |
| | | Foreign | | | | | | | | | | |
| | | Currency | | | | | | | | | | |
| | | Exchange | | Futures | | Options | | Options | | Swap | | |
| | | Contracts | | Contracts | | Purchased | | Written | | Contracts | | Total |
Currency contracts | | | $ | (2,938,215 | ) | | | $ | 200,347 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (2,737,868 | ) |
Equity contracts | | | | — | | | | | (116,788 | ) | | | | — | | | | | — | | | | | — | | | | | (116,788 | ) |
Interest rate contracts | | | | — | | | | | (2,334,103 | ) | | | | 1,865 | | | | | 19,805 | | | | | (843,170 | ) | | | | (3,155,603 | ) |
Credit contracts | | | | — | | | | | — | | | | | (22,601 | ) | | | | (6,614 | ) | | | | (2,322,091 | ) | | | | (2,351,306 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (2,938,215 | ) | | | $ | (2,250,544 | ) | | | $ | (20,736 | ) | | | $ | 13,191 | | | | $ | (3,165,261 | ) | | | $ | (8,361,565 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
During the year ended March 31, 2020, 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.”
148
The tables below summarize the average balance of derivative holdings by the Funds during the year ended March 31, 2020:
| | | | | | | | | | | | | | | | |
| | | Long Derivative Volume | |
| | | Optimum | | | Optimum | | | Optimum | | | Optimum | |
| | | Fixed Income | | | International | | | Large Cap | | | Large Cap | |
| | | Fund | | | Fund | | | Growth Fund | | | Value Fund | |
Foreign currency exchange contracts
(average notional value) | | USD | 21,876,392 | | | USD | 573,838 | | | USD | 30,781 | | | USD | 40,693 | |
Futures contracts
(average notional value) | | | 455,529,333 | | | | — | | | | — | | | | — | |
Options contracts
(average notional value)* | | | 14,891 | | | | — | | | | — | | | | — | |
CDS contracts
(average notional value)** | | USD | 4,899,040 | | | | — | | | | — | | | | — | |
Interest rate swap contracts
(average notional value)*** | | CAD | 3,537,945 | | | | — | | | | — | | | | — | |
| | GBP | 25,479,842 | | | | — | | | | — | | | | — | |
| | USD | 12,111,858 | | | | — | | | | — | | | | — | |
| |
| | | Short Derivative Volume | |
| | | Optimum | | | Optimum | | | Optimum | | | Optimum | |
| | | Fixed Income | | | International | | | Large Cap | | | Large Cap | |
| | | Fund | | | Fund | | | Growth Fund | | | Value Fund | |
Foreign currency exchange contracts
(average notional value) | | USD | 82,721,727 | | | USD | 541,177 | | | USD | 42,552 | | | USD | 9,748 | |
Futures contracts
(average notional value) | | | 202,727,722 | | | | — | | | | — | | | | — | |
Options contracts
(average notional value)* | | | 48,900 | | | | — | | | | — | | | | — | |
CDS contracts
(average notional value)** | | EUR | 2,150,198 | | | | — | | | | — | | | | — | |
| | USD | 37,656,415 | | | | — | | | | — | | | | — | |
Interest rate swap contracts
(average notional value)*** | | GBP | 21,920,158 | | | | — | | | | — | | | | — | |
| | JPY | 4,231,422,925 | | | | — | | | | — | | | | — | |
| | USD | 163,979,684 | | | | — | | | | — | | | | — | |
*Long represents purchased options and short represents written options.
**Long represents buying protection and short represents selling protection.
***Long represents receiving fixed interest payments and short represents paying fixed interest payments.
8. Offsetting
Each Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties in order to better define its contractual rights and to secure rights that will help each Fund mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs 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.”
Notes to financial statements
Optimum Fund Trust
8. Offsetting (continued)
At March 31, 2020, 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 | | | $ | 5,091 | | | | $ | (173,758) | | | | $ | (168,667) | |
BNP Paribas | | | | 25,247 | | | | | (19,176) | | | | | 6,071 | |
Citigroup | | | | 13,490 | | | | | (2,053,194) | | | | | (2,039,704) | |
Deutsche Bank | | | | 948,543 | | | | | (132,305) | | | | | 816,238 | |
Goldman Sachs | | | | 50,794 | | | | | (22,601) | | | | | 28,193 | |
JPMorgan Chase Bank | | | | 626,362 | | | | | (197,979) | | | | | 428,383 | |
| | | | | | | | | | | | | | | |
Total | | | $ | 1,669,527 | | | | $ | (2,599,013) | | | | $ | (929,486) | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Net Position | | Fair Value of
Non-Cash
Collateral Received | | Cash Collateral
Received(a) | | Fair Value of
Non-Cash
Collateral Pledged | | Cash Collateral
Pledged | | Net Exposure(b) |
Bank of America Merrill Lynch | | | $ | (168,667 | ) | | | $ | — | | | | $ | — | | | | $ | 168,667 | | | | $ | — | | | | $ | — | |
BNP Paribas | | | | 6,071 | | | | | — | | | | | (6,071 | ) | | | | — | | | | | — | | | | | — | |
Citigroup | | | | (2,039,704 | ) | | | | — | | | | | — | | | | | 2,039,704 | | | | | — | | | | | — | |
Deutsche Bank | | | | 816,238 | | | | | — | | | | | (120,000 | ) | | | | — | | | | | — | | | | | 696,238 | |
Goldman Sachs | | | | 28,193 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 28,193 | |
JPMorgan Chase Bank | | | | 428,383 | | | | | — | | | | | (428,383 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (929,486 | ) | | | $ | — | | | | $ | (554,454 | ) | | | $ | 2,208,371 | | | | $ | — | | | | $ | 724,431 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | Optimum International Fund | | |
| | | Gross Value of | | Gross Value of | | |
Counterparty | | Derivative Asset | | Derivative Liability | | Net Position |
Bank of New York Mellon | | | $ | 9 | | | | $ | (1 | ) | | | $ | 8 | |
Brown Brothers Harriman | | | | 3 | | | | | (75 | ) | | | | (72 | ) |
| | | | | | | | | | | | | | | |
Total | | | $ | 12 | | | | $ | (76 | ) | | | $ | (64 | ) |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Net Position | | Fair Value of
Non-Cash
Collateral Received | | Cash Collateral
Received(a) | | Fair Value of
Non-Cash
Collateral Pledged | | Cash Collateral
Pledged | | Net Exposure(b)
|
Bank of New
York Mellon | | | $ | 8 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 8 | |
Brown Brothers
Harriman | | | | (72 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | (72 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (64 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (64 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
150
| | | | | | | | | | | | | | | |
| | | Optimum Large Cap Growth Fund | | |
| | | Gross Value of | | Gross Value of | | |
Counterparty | | Derivative Asset | | Derivative Liability | | Net Position |
Citigroup | | | $ | — | | | | $ | (2,982) | | | | $ | (2,982 | ) |
State Street Bank | | | | — | | | | | (572) | | | | | (572 | ) |
| | | | | | | | | | | | | | | |
Total | | | $ | — | | | | $ | (3,554) | | | | $ | (3,554 | ) |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Optimum Large Cap Growth Fund |
| | | | | Fair Value of | | | | Fair Value of | | | | |
| | | | | Non-Cash | | Cash Collateral | | Non-Cash | | Cash Collateral | | |
Counterparty | | Net Position | | Collateral Received | | Received(a) | | Collateral Pledged | | Pledged | | Net Exposure(b) |
Citigroup | | | $ | (2,982 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (2,982 | ) |
State Street Bank | | | | (572 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | (572 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (3,554 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (3,554 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Master Repurchase Agreements
Repurchase agreements are entered into by each Fund under master repurchase agreements (each, an MRA). The MRA permits each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund would recognize a liability with respect to such excess collateral. The liability reflects each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2020, the following table is a summary of each Fund’s repurchase agreements by counterparty which are subject to offset under an MRA:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Optimum Fixed Income Fund |
| | | | | Fair Value of | | | | | | |
| | | | | Non-Cash | | Cash | | | | |
| | | Repurchase | | Collateral | | Collateral | | Net Collateral | | Net |
Counterparty | | Agreements | | Received(a) | | Received | | Received | | Exposure(b) |
Barclays | | | $ | 38,400,000 | | | | $ | (38,400,000 | ) | | | $ | — | | | | $ | (38,400,000 | ) | | | $ | — | |
JPMorgan Chase Bank | | | | 42,100,000 | | | | | (42,100,000 | ) | | | | — | | | | | (42,100,000 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 80,500,000 | | | | $ | (80,500,000 | ) | | | $ | — | | | | $ | (80,500,000 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
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 March 31, 2020, 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 |
| | | | | Cash | | Cash | | |
| | | TBA | | Collateral | | Collateral | | Net |
Counterparty | | at Value | | Received | | Pledged | | Exposure(b) |
Morgan Stanley & Co. LLC | | | $ | 733,143,357 | | | | $ | (17,792,000 | ) | | | $ | — | | | | $ | 715,351,357 | |
Wells Fargo | | | | 8,350,583 | | | | | — | | | | | — | | | | | 8,350,583 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 741,493,940.00 | | | | $ | (17,792,000.00 | ) | | | $ | — | | | | $ | 723,701,940.00 | |
| | | | | | | | | | | | | | | | | | | | |
Notes to financial statements
Optimum Fund Trust
8. Offsetting (continued)
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 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 9).
As of March 31, 2020, 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 | | |
| | | Securities Loaned | | Cash Collateral | | Non-Cash Collateral | | |
Counterparty | | at Value | | Received(a) | | Received | | Net Exposure(b) |
| | | | |
The Bank of New York Mellon | | | $ | 15,723,806 | | | | $ | (12,481,632 | ) | | | $ | (3,242,174 | ) | | | $ | — | |
(a)The value of the related collateral exceeded the value of the derivatives, repurchase agreements, and securities lending transactions as of March 31, 2020, as applicable.
(b)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default.
9. Securities Lending
Each Fund 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
152
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.
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 year ended March 31, 2020, 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 accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of March 31, 2020 for Optimum International Fund:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Overnight | | | | | | | | |
| | | and | | Under | | Between | | Over | | |
Securities Lending Transactions | | Continuous | | 30 days | | 30 and 90 days | | 90 days | | Total |
Certificates of Deposit and Repurchase Agreements. | | | $ | 16,586,514 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 16,586,514 | |
At March 31, 2020, the value of securities on loan for Optimum International Fund was $15,723,806, for which the Fund received cash collateral of $16,577,277 andnon-cash collateral with a fair value of $3,242,174. At March 31, 2020, the value of invested collateral was $16,586,514. Investments purchased with cash collateral are presented on the “Schedules of investments” under the caption “Securities Lending Collateral.”
10. Credit and Market Risk
Some countries in which the Funds may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the US. Consequently, acquisition and disposition of securities by the Funds may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Funds.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations.
The risk that potential changes related to the use of the London interbank offered rate (LIBOR) could have adverse impacts on financial instruments which reference LIBOR. The potential abandonment of LIBOR could affect the value and liquidity of instruments which reference LIBOR.
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
Notes to financial statements
Optimum Fund Trust
10. Credit and Market Risk (continued)
financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Fund may pay an assignment fee. On an ongoing basis, the Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid. As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Fund’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
Optimum Fixed Income Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Optimum Fixed Income Fund invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Fund’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
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 or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the year ended March 31, 2020. 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
154
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.”
11. Contractual Obligations
Each Fund enters into contracts in the normal course of business that contain a variety of indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. However, each Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of loss to be remote.
12. 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 year, the plaintiff and the term loan lenders, which included the Fund, reached an agreement 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.
13. Recent Accounting Pronouncements
In March 2017, the FASB issued an Accounting Standards Update (ASU), ASU2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic310-20), Premium Amortization on Purchased Callable Debt Securities which amends the amortization period for certain callable debt securities purchased at a premium, shortening such period to the earliest call date. The ASU2017-08 does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after Dec. 15, 2018. Management has implemented ASU2017-08 and determined that the impact of this guidance to the Fund’s net assets at the end of the period is not material.
In August 2018, the FASB issued an 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 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.
In March 2020, the FASB issued ASU2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. The ASU2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any, of applying this ASU.
14. Subsequent Events
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known asCOVID-19. The outbreak ofCOVID-19 has resulted in travel and border restrictions, quarantines, supply
Notes to financial statements
Optimum Fund Trust
14. Subsequent Events (continued)
chain disruptions, lower consumer demand and general market uncertainty. The effects ofCOVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Funds’ performance.
Management has determined that no other material events or transactions occurred subsequent to March 31, 2020, that would require recognition or disclosure in the Funds’ financial statements.
156
Report of independent
registered public accounting firm
To the Board of Trustees of Optimum Fund Trust and Shareholders of Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, OptimumSmall-Mid Cap Growth Fund and OptimumSmall-Mid Cap Value Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, OptimumSmall-Mid Cap Growth Fund and OptimumSmall-Mid Cap Value Fund (constituting Optimum Fund Trust, hereafter collectively referred to as the “Funds”) as of March 31, 2020, the related statements of operations for the year ended March 31, 2020, the statements of changes in net assets for each of the two years in the period ended March 31, 2020, including the related notes, and the financial highlights for each of the five years in the period ended March 31, 2020 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2020, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended March 31, 2020 and the financial highlights for each of the five years in the period ended March 31, 2020 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2020 by correspondence with the custodian, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
May 26, 2020
We have served as the auditor of one or more investment companies in Optimum Fund Trust since 2010.
157
Other Fund information
(Unaudited)
Optimum Fund Trust
Tax Information
The information set forth below is for each Fund’s fiscal year as required by federal income tax laws. Shareholders, however, must report distributions on a calendar year basis for income tax purposes, which may include distributions for portions of two fiscal years of the Funds. Accordingly, the information needed by shareholders for income tax purposes will be sent to them in January of each year. Please consult your tax advisor for proper treatment of this information.
All disclosures are based on financial information available as of the date of this annual report and, accordingly are subject to change. For any and all items requiring reporting, it is the intention of the Funds to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
For the fiscal year ended March 31, 2020, each Fund reports distributions paid during the year as follows:
| | | | | | | | | | | | | | | | |
| | | (A) | | | (B) | | | | | | | |
| | | Long-Term | | | Ordinary | | | | | | | |
| | | Capital Gains | | | Income | | | Total | | | (C) | |
| | | Distributions | | | Distributions* | | | Distributions | | | Qualifying | |
| | | (Tax Basis) | | | (Tax Basis) | | | (Tax Basis) | | | Dividends1 | |
Optimum Fixed Income Fund | | | — | | | | 100.00% | | | | 100.00% | | | | — | |
Optimum International Fund | | | 12.65% | | | | 87.35% | | | | 100.00% | | | | — | |
Optimum Large Cap Growth Fund | | | 97.62% | | | | 2.38% | | | | 100.00% | | | | 100.00% | |
Optimum Large Cap Value Fund | | | 49.12% | | | | 50.88% | | | | 100.00% | | | | 100.00% | |
OptimumSmall-Mid Cap Growth Fund | | | 100.00% | | | | — | | | | 100.00% | | | | — | |
OptimumSmall-Mid Cap Value Fund | | | 65.68% | | | | 34.32% | | | | 100.00% | | | | 100.00% | |
(A) and (B) are based on a percentage of each Fund’s total distributions.
(C) is based on a percentage of each Fund’s ordinary income distributions.
1Qualifying dividends represent dividends which qualify for the corporate dividends received deduction.
*For the fiscal year ended March 31, 2020, certain dividends paid by the Funds may be subject to a maximum tax rate of 20%. The percentage of dividends paid by the Funds from ordinary income reported as qualified income are as reported in the following table. Complete information will be computed and reported in conjunction with your 2020 Form1099-DIV.
| | | | | | | | | | | | |
| | | Optimum | | Optimum | | Optimum | | Optimum | | Optimum | | Optimum |
| | | Fixed Income | | International | | Large Cap | | Large Cap | | Small-Mid Cap | | Small-Mid Cap |
| | | Fund | | Fund | | Growth Fund | | Value Fund | | Growth Fund | | Value Fund |
| | — | | 100.00% | | 100.00% | | 100.00% | | — | | 100.00% |
For the fiscal year ended March 31, 2020, certain distributions paid by the Funds, determined to be Qualified Interest Income or Qualified Short-Term Capital Gains may be subject to relief from US tax withholding for foreign shareholders, as provided by the American Jobs Creation Act of 2004; the Tax Relief Unemployment Insurance Reauthorization, and Job Creations Act of 2010; and as extended by the American Taxpayer Relief Act of 2012. For the fiscal year ended March 31, 2020, the Funds have reported maximum distributions of Qualified Interest Income and Qualified Short-Term Capital Gains as follows:
| | | | | | |
| | | Qualified
Interest Income | | Short-Term
Capital Gain | |
Optimum Fixed Income Fund | | $65,218,943 | | $ | 49,162,871 | |
Optimum International Fund intends to pass through foreign tax credits in the maximum amount of $1,207,341. The gross foreign source income earned during the fiscal year 2020 by the Fund was $17,743,975.
This page intentionally left blank.
Board of trustees and officers addendum
Optimum Fund Trust
A mutual fund is governed by a Board of Trustees, which has oversight responsibility for the management of a fund’s business affairs. Trustees establish procedures and oversee and review the performance of the investment manager, the distributor and others that perform services for the fund. The independent fund trustees, in particular, are advocates for shareholder interests. The following is a list of the Trustees and Officers of the Trust with certain background and related information.
| | | | | | | | | | |
Name, Address, and Birth Date | | Position(s) Held with Fund(s) | | Length of Time
Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in Fund
Complex1 Overseen
by Trustee or Officer | | Other Directorships Held by Trustee or Officer |
INTERESTED TRUSTEES |
Brett W. Wright2 2005 Market Street Philadelphia, PA 19103 February 1970 | | Trustee, President, and Chief Executive Officer | | Since March 29, 2019 | | Head of Client Solutions Group, Macquarie Asset Management — Americas (2016-Present) Head of Third-Party Distribution — Macquarie Investment Management3 (2014-2016) Western Division Sales Manager — Delaware Investments (2011-2014) | | 6 | | None |
| | | | | |
Robert Pettman22005 Market Street Philadelphia, PA 19103 June 1979 | | Trustee | | Since June 21, 2019 | | Executive Vice President, Product and Platform Management (2005-present) | | 6 | | None |
INDEPENDENT TRUSTEES |
Robert J. Christian2005 Market Street Philadelphia, PA 19103 February 1949 | | Chairman and Trustee | | Chairman since March 19, 2009 Trustee since Nov. 1, 2007 | | Private Investor (2006-Present) | | 6 | | Trustee — FundVantage Trust (34 mutual funds) (2007-Present) Trustee — Third Avenue Trust (3 mutual funds) (2019-Present) Trustee — Third Avenue Variable Series Trust (1 mutual fund) (2019-Present) |
Durant Adams Hunter2005 Market Street Philadelphia, PA 19103 November 1948 | | Trustee | | Since July 17, 2003 | | Managing Partner — Ridgeway Partners (Executive recruiting) (2004-Present) | | 6 | | None |
| | | | | |
Pamela J. Moret 2005 Market Street Philadelphia, PA 19103 February 1956 | | Trustee | | Since Oct. 1, 2013 | | Private Investor (2015–Present) Chief Executive Officer — brightpeak financial (2011-2015) Senior Vice President — Thrivent Financial for Lutherans (2002-2015) | | 6 | | Director — Blue Cross Blue Shield of Minnesota (2014-Present) |
| | | | | |
Stephen P. Mullin 2005 Market Street Philadelphia, PA 19103 February 1956 | | Trustee | | Since July 17, 2003 | | President — Econsult Solutions, Inc. (2013-Present) Senior Vice President — Econsult Corp. (Economic consulting) (2000-2012) | | 6 | | None |
160
| | | | | | | | | | |
Name, Address, and Birth Date | | Position(s) Held with Fund(s) | | Length of Time
Served | | Principal Occupation(s) During Past 5 Years | | Number of
Portfolios in Fund
Complex1Overseen
by Trustee or Officer | | Other Directorships Held by Trustee or Officer |
INDEPENDENT TRUSTEES (continued) |
Robert A. Rudell2005 Market Street Philadelphia, PA 19103 September 1948 | | Trustee | | Since July 17, 2003 | | Private Investor (2002-Present) | | 6 | | Director and Independent Chairman — Heartland Funds (3 mutual funds) (2005-Present) |
Jon Socolofsky 2005 Market Street Philadelphia, PA 19103 March 1946 | | Trustee | | Since July 17, 2003 | | Private Investor (2002-Present) President — H&S Enterprises of Minocqua, LLC (Commercial real estate developer) (2005-2019) | | 6 | | None |
Susan M. Stalnecker2005 Market Street Philadelphia, PA 19103 January 1953 | | Trustee | | Since Dec. 14, 2016 | | Senior Advisor — Boston Consulting Group (2016-Present) Vice President — Productivity & Shared Services — E.I. du Pont de Nemours and Company (2012-2016) Vice President and Treasurer — E.I. du Pont de Nemours and Company (2006-2012) | | 6 | | Trustee — Duke University Health System, Audit Committee member (2010-Present) Director — Leidos (2016-Present) Director — Bioventus (2018-present) |
OFFICERS |
| | | | | |
David F. Connor 2005 Market Street Philadelphia, PA 19103 December 1963 | | Senior Vice President, General Counsel, and Secretary | | Senior Vice President since May 2013; General Counsel since May 2015; Secretary since October 2005 | | David F. Connor has served in various capacities at different times at Macquarie Investment Management3. | | 6 | | None4 |
| | | | | |
Daniel V. Geatens 2005 Market Street Philadelphia, PA 19103 October 1972 | | Vice President, Treasurer, and Chief Financial Officer | | Since Sept. 20, 2007 | | Daniel V. Geatens has served in various capacities at different times at Macquarie Investment Management3. | | 6 | | None4 |
| | | | | |
Richard Salus 2005 Market Street Philadelphia, PA 19103 October 1963 | | Senior Vice President | | Since Jan. 1, 2006 | | Richard Salus has served in various capacities at different times at Macquarie Investment Management3. | | 6 | | None4 |
| 1 | The term “Fund Complex” refers to the Funds in the Optimum Fund Trust. |
| 2 | “Interested persons” of the Funds by virtue of their executive and management positions or relationships with the Fund’s service providers orsub-service providers. |
| 3 | Macquarie Investment Management is the marketing name for Macquarie Management Holdings, Inc. and its subsidiaries, including the Fund’s(s’) investment advisor, principal underwriter, and its transfer agent. Mr. Geatens also serves as the Chief Financial Officer and Treasurer for Macquarie Global Infrastructure Total Return Fund Inc., which has an affiliated investment manager. |
| 4 | Messrs. Connor, Geatens, and Salus also serve in similar capacities for the Delaware Funds® by Macquarie, a fund complex that has the same manager, principal underwriter, and transfer agent as the Trust. |
The Statement of Additional Information for the Funds includes additional information about the Trustees and Officers and is available, without charge, upon request by calling your financial advisor or 800914-0278.
About the organization
This annual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the fact sheet for the most recently completed calendar quarter. The prospectus sets forth details about charges, expenses, investment objectives, and operating policies of the investment company. You should read the prospectus carefully before you invest. The figures in this report represent past results that are not a guarantee of future results. The return and principal value of an investment in the investment company will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
| | | | |
Board of trustees Brett Wright Head of Client Solutions Group, Macquarie Investment Management – Americas Robert Pettman Executive Vice President, Product and Platform 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 Private Investor 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, Treasurer, and Chief Financial Officer Optimum Fund Trust Philadelphia, PA Richard Salus Senior Vice President 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-PORT. Each Fund’s 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 800523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities and the Schedules of Investments included in the Funds’ most recent FormN-PORT are available without charge on the Funds’ website at optimummutualfunds.com/literature. Each Fund’s 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. |
162
Item 2. Code of Ethics
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. A copy of the registrant’s Code of Business Ethics has been posted on the Optimum Mutual Funds’ Internet Web site at www.optimummutualfunds.com.Any amendments to the Code of Business Ethics, and information on any waiver from its provisions granted by the registrant, will also be posted on this Web site within five business days of such amendment or waiver and will remain on the Web site for at least 12 months.
Item 3. Audit Committee Financial Expert
The registrant’s Board of Trustees/Directors has determined that certain members of the registrant’s Audit Committee are audit committee financial experts, as defined below. For purposes of this item, an “audit committee financial expert” is a person who has the following attributes:
a. An understanding of generally accepted accounting principles and financial statements;
b. The ability to assess the general application of such principles in connection with the accounting for estimates, accruals, and reserves;
c. Experience preparing, auditing, analyzing, or evaluating financial statements that present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements, or experience actively supervising one or more persons engaged in such activities;
d. An understanding of internal controls and procedures for financial reporting; and
e. An understanding of audit committee functions.
An “audit committee financial expert” shall have acquired such attributes through:
a. Education and experience as a principal financial officer, principal accounting officer, controller, public accountant, or auditor or experience in one or more positions that involve the performance of similar functions;
b. Experience actively supervising a principal financial officer, principal accounting officer, controller, public accountant, auditor, or person performing similar functions;
c. Experience overseeing or assessing the performance of companies or public accountants with respect to the preparation, auditing, or evaluation of financial statements; or
d. Other relevant experience.
The registrant’s Board of Trustees/Directors has also determined that each member of the registrant’s Audit Committee is independent. In order to be “independent” for purposes of this item, the Audit Committee member may not: (i) other than in his or her capacity as a member of the Board of Trustees/Directors or any committee thereof, accept directly or indirectly any consulting, advisory or other compensatory fee from the issuer; or (ii) be an “interested person” of the registrant as defined in Section 2(a)(19) of the Investment Company Act of 1940.
The names of the audit committee financial experts on the registrant’s Audit Committee are set forth below:
Robert J. Christian
Robert A. Rudell
Jon E. Socolofsky
Susan M. Stalnecker
Item 4. Principal Accountant Fees and Services
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $159,155 for the fiscal year ended March 31, 2020.
The aggregate fees billed for services provided to the registrant by its independent auditors for the audit of the registrant’s annual financial statements and for services normally provided by the independent auditors in connection with statutory and regulatory filings or engagements were $156,050 for the fiscal year ended March 31, 2019.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended March 31, 2020.
The aggregate fees billed by the registrant’s independent auditors for services relating to the performance of the audit of the registrant’s financial statements and not reported under paragraph (a) of this Item were $0 for the fiscal year ended March 31, 2019.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2020.
The aggregate fees billed by the registrant’s independent auditors for tax-related services provided to the registrant’s investment adviser and other service providers under common control with the adviser and that relate directly to the operations or financial reporting of the registrant were $0 for the registrant’s fiscal year ended March 31, 2019.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended March 31, 2020.
The aggregate fees billed for all services provided by the independent auditors to the registrant other than those set forth in paragraphs (a), (b) and (c) of this Item were $0 for the fiscal year ended March 31, 2019.
(e) The registrant’s Audit Committee has established pre-approval policies and procedures as permitted by Rule 2-01(c)(7)(i)(B) of Regulation S-X (the “Pre-Approval Policy”) with respect to services provided by the registrant’s independent auditors. Pursuant to the Pre-Approval Policy, the Audit Committee has pre-approved the services set forth in the table below with respect to the registrant up to the specified fee limits. Certain fee limits are based on aggregate fees to the registrant and other registrants within the Optimum Fund Trust.
Under the Pre-Approval Policy, the Audit Committee has also pre-approved the services set forth in the table below with respect to the registrant’s investment adviser and other entities controlling, controlled by or under common control with the investment adviser that provide ongoing services to the registrant (the “Control Affiliates”) up to the specified fee limit. This fee limit is based on aggregate fees to the investment adviser and its Control Affiliates.
The Pre-Approval Policy requires the registrant’s independent auditors to report to the Audit Committee at each of its regular meetings regarding all services initiated since the last such report was rendered, including those services authorized by the Pre-Approval Policy.
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s independent auditors for services rendered to the registrant and to its investment adviser and other service providers under common control with the adviser were $4,687,000 and $11,748,000 for the registrant’s fiscal years ended March 31, 2020 and March 31, 2019, respectively.
(h) In connection with its selection of the independent auditors, the registrant’s Audit Committee has considered the independent auditors’ provision of non-audit services to the registrant’s investment adviser and other service providers under common control with the adviser that were not required to be pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X. The Audit Committee has determined that the independent auditors’ provision of these services is compatible with maintaining the auditors’ independence.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of the filing of this report and have concluded that they are effective in providing reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by the report to stockholders included herein (i.e., the registrant’s fourth fiscal quarter) that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Item 13. Exhibits
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.
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.
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.
