N-Q 1 deoptimum_nq.htm QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number:       811-21335
 
Exact name of registrant as specified in charter: Optimum Fund Trust
 
Address of principal executive offices: 2005 Market Street
Philadelphia, PA 19103
 
Name and address of agent for service: David F. Connor, Esq.
2005 Market Street
Philadelphia, PA 19103
 
Registrant’s telephone number, including area code: (800) 523-1918
 
Date of fiscal year end:   March 31
 
Date of reporting period: December 31, 2015


Item 1. Schedule of Investments.

Schedule of investments

Optimum Fixed Income Fund
December 31, 2015 (Unaudited)

                  Principal Value
amount°       (U.S. $)
Agency Collateralized Mortgage Obligations – 5.76%
Fannie Mae Connecticut
     Avenue Securities
     Series 2015-C03 1M1
     1.922% 7/25/25 ● 281,714 $ 281,797
     Series 2015-C03 2M1  
     1.922% 7/25/25 ● 263,941 263,842
     Series 2015-C04 2M1
     2.122% 4/25/28 ● 123,414 123,548
Fannie Mae Grantor Trust
     Series 1999-T2 A1
     7.50% 1/19/39 ● 11,783 13,335
     Series 2002-T4 A3
     7.50% 12/25/41 41,815 48,597
       Series 2004-T1 1A2
     6.50% 1/25/44 12,644 14,114
Fannie Mae REMIC Trust
     Series 2004-W4 A5
     5.50% 6/25/34 1,385,029 1,446,921
     Series 2004-W11 1A2  
     6.50% 5/25/44 62,333 72,544
Fannie Mae REMICs
     Series 1996-46 ZA
     7.50% 11/25/26 8,649 9,723
     Series 1999-19 PH
     6.00% 5/25/29 154,426 174,428
     Series 2001-14 Z
     6.00% 5/25/31 9,576 10,873
     Series 2002-90 A1
     6.50% 6/25/42 10,892 12,331
     Series 2002-90 A2
     6.50% 11/25/42 36,823 41,314
     Series 2003-26 AT
     5.00% 11/25/32 73,134 74,258
     Series 2005-70 PA
     5.50% 8/25/35 89,804 100,559
     Series 2005-110 MB
     5.50% 9/25/35 102,946 109,560
     Series 2007-30 OE
     2.579% 4/25/37 Ω 4,211,662 3,842,992
     Series 2007-114 A6
     0.397% 10/27/37 ● 5,056,015 5,029,108
     Series 2008-15 SB
     6.178% 8/25/36 ●Σ 187,073 39,120
     Series 2008-24 ZA
     5.00% 4/25/38 19,874,546   21,853,063
     Series 2009-2 AS
     5.278% 2/25/39 ●Σ 1,953,386 251,273
     Series 2009-68 SA
     6.328% 9/25/39 ●Σ 453,003 66,552
     Series 2009-94 AC
     5.00% 11/25/39 265,664 290,964
     Series 2010-41 PN
     4.50% 4/25/40 475,000 510,190
     Series 2010-43 HJ
     5.50% 5/25/40 146,095 163,414
     Series 2010-96 DC
     4.00% 9/25/25 710,957 751,399
     Series 2010-123 FE
     0.902% 11/25/40 ● 3,180,349 3,200,189
     Series 2010-129 SM
     5.578% 11/25/40 ●Σ 1,510,625 249,785
     Series 2011-15 SA
     6.638% 3/25/41 ●Σ 1,505,799 327,317
     Series 2011-118 DC
     4.00% 11/25/41 1,879,892 1,940,376
     Series 2012-122 SD
     5.678% 11/25/42 ●Σ 774,233 173,186
     Series 2013-38 AI
     3.00% 4/25/33 Σ 2,030,630 293,451
     Series 2013-43 IX
     4.00% 5/25/43 Σ 5,478,170 1,329,923
     Series 2013-44 DI
     3.00% 5/25/33 Σ 3,110,097 449,991
     Series 2014-36 ZE
     3.00% 6/25/44 636,491 555,675
     Series 2014-68 BS
     5.728% 11/25/44 ●Σ 2,035,257 408,111
     Series 2014-90 SA
     5.728% 1/25/45 ●Σ 5,698,690 1,252,133
     Series 2015-27 SA  
     6.028% 5/25/45 ●Σ 754,290 170,722
     Series 2015-44 Z
     3.00% 9/25/43 1,568,320 1,460,282
Fannie Mae Whole Loan Trust
     Series 2004-W15 1A1
     6.00% 8/25/44 63,334 69,693
Freddie Mac REMICs
     Series 1730 Z
     7.00% 5/15/24 43,501 48,785
     Series 2165 PE
     6.00% 6/15/29 125,161 142,054
     Series 2326 ZQ
     6.50% 6/15/31 72,415 81,758
     Series 2557 WE
     5.00% 1/15/18 121,745 125,208
     Series 2827 TE
     5.00% 4/15/33 73,841 74,467
     Series 3143 BC
     5.50% 2/15/36 3,149,290 3,491,839
     Series 3289 SA
     6.42% 3/15/37 ●Σ 1,484,817 258,489

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 1


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Agency Collateralized Mortgage Obligations (continued)
Freddie Mac REMICs
     Series 3656 PM
     5.00% 4/15/40 540,017 $ 589,602
     Series 4065 DE
     3.00% 6/15/32 120,000 119,756
     Series 4120 IK
     3.00% 10/15/32 Σ 3,041,086 411,150
     Series 4146 IA
     3.50% 12/15/32 Σ 1,603,944 253,272
     Series 4159 KS
     5.82% 1/15/43 ●Σ 1,379,857 340,430
     Series 4185 LI
     3.00% 3/15/33 Σ 755,037 106,137
     Series 4191 CI
     3.00% 4/15/33 Σ 316,340 41,975
     Series 4435 DY
     3.00% 2/15/35 1,305,000 1,276,811
Freddie Mac Strips
     Series 326 S2
     5.62% 3/15/44 ●Σ 1,034,080 221,340
Freddie Mac Structured
     Agency Credit Risk Debt
     Notes
     Series 2015-DNA1 M1
     1.322% 10/25/27 ● 469,827 468,925
     Series 2015-DNA3 M1
     1.772% 4/25/28 ● 319,613 319,779
Freddie Mac Structured Pass
     Through Securities
     Series T-54 2A
     6.50% 2/25/43 ⧫ 18,192 21,251
     Series T-58 2A
     6.50% 9/25/43 ⧫ 9,358 10,627
GNMA
     Series 2008-65 SB
     5.598% 8/20/38 ●Σ 1,330,888 212,254
     Series 2009-2 SE
     5.418% 1/20/39 ●Σ 3,854,495 605,018
     Series 2010-113 KE
     4.50% 9/20/40 1,170,000 1,285,221
     Series 2011-H21 FT
     1.01% 10/20/61 ● 12,859,258 12,875,926
     Series 2011-H23 FA
     0.892% 10/20/61 ● 8,350,312 8,385,223
     Series 2012-H08 FB
     0.792% 3/20/62 ● 1,254,702 1,255,074
     Series 2012-H18 NA
     0.712% 8/20/62 ● 743,474 742,596
     Series 2012-H29 SA
     0.707% 10/20/62 ● 5,762,534 5,733,037
     Series 2015-133 AL
     3.00% 5/20/45 1,725,000 1,645,418
     Series 2015-H10 FA
     0.792% 4/20/65 ● 17,570,183 17,427,025
     Series 2015-H11 FC
     0.742% 5/20/65 ● 2,270,095 2,257,398
     Series 2015-H12 FB
     0.792% 5/20/65 ● 8,790,315 8,704,520
     Series 2015-H20 FB
     0.792% 8/20/65 ● 2,293,656 2,270,239
Total Agency Collateralized
Mortgage Obligations
(cost $119,150,490) 119,279,257
 
Agency Mortgage-Backed Securities – 23.31%
Fannie Mae
     5.50% 3/1/37 28,755 31,316
     5.50% 7/1/37 177,672 191,263
     6.50% 8/1/17 4,730 4,823
Fannie Mae ARM
     2.112% 7/1/37 ● 74,142 78,041
     2.402% 10/1/33 ● 4,267 4,442
     2.418% 5/1/43 ● 437,297 441,072
     2.496% 11/1/35 ● 52,527 55,698
     2.553% 6/1/43 ● 147,518 149,520
     2.576% 8/1/35 ● 17,325 18,292
     2.913% 7/1/45 ● 297,228 302,984
     3.08% 4/1/44 ● 1,683,752 1,732,452
     3.177% 4/1/44 ● 523,352 539,277
     3.259% 3/1/44 ● 632,802 653,167
     3.277% 9/1/43 ● 409,859 422,881
     6.10% 8/1/37 ● 35,955 36,718
Fannie Mae Relocation 30 yr
     5.00% 11/1/33 753 819
     5.00% 1/1/34 3,313 3,610
     5.00% 11/1/34 8,114 8,810
     5.00% 4/1/35 6,655 7,155
     5.00% 10/1/35 10,817 11,788
     5.00% 1/1/36 22,332 24,272
Fannie Mae S.F. 15 yr
     2.50% 10/1/27 115,095 116,955
     2.50% 12/1/27 301,118 305,989
     2.50% 4/1/28 185,095 187,548
     2.50% 9/1/28 413,552 419,831
     3.00% 9/1/30 897,061 925,040
     3.50% 6/1/26 1,562,595 1,639,452
     3.50% 7/1/26 294,484 309,255
     3.50% 12/1/28 126,047 132,752

2 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Agency Mortgage-Backed Securities (continued)
Fannie Mae S.F. 15 yr
     4.00% 5/1/24 1,813,647 $ 1,918,177
     4.00% 7/1/24 9,493   10,042
     4.00% 5/1/25 192,683 204,343
     4.00% 9/1/25 22,715 24,039
     4.00% 11/1/25 958,593 1,016,889
     4.00% 1/1/26 25,244 26,783
     4.00% 12/1/26 317,245 336,471
     4.00% 1/1/27 24,054 25,520
     4.00% 5/1/27 698,482 740,909
     4.00% 8/1/27 411,693 436,471
     4.50% 8/1/18 48,702 50,331
     4.50% 7/1/20 161,790 168,390
     5.00% 12/1/20 36,810 39,355
     5.00% 6/1/23 69,766 75,153
Fannie Mae S.F. 15 yr TBA
     2.50% 1/1/31 2,100,000 2,116,601
     2.50% 2/1/31 534,000 537,241
Fannie Mae S.F. 20 yr
     3.00% 2/1/33 55,018 56,491
     3.00% 8/1/33 199,194 204,527
     3.50% 4/1/33 55,139 57,645
     3.50% 9/1/33 286,401 300,103
     4.00% 1/1/31 95,002 101,401
     4.00% 2/1/31 264,704 283,148
Fannie Mae S.F. 30 yr
     3.00% 7/1/42 378,641 380,069
     3.00% 10/1/42 231,021 232,270
     3.00% 12/1/42 974,966 977,851
     3.00% 1/1/43 2,228,925 2,234,017
     3.00% 2/1/43 240,357 240,907
     3.00% 4/1/43 1,683,614 1,687,267
     3.00% 5/1/43 349,834 350,537
     4.00% 10/1/40 35,720 37,886
     4.00% 11/1/40 214,518 227,684
     4.00% 7/1/41 706,030 750,335
     4.00% 8/1/43 168,298 178,816
     4.00% 7/1/44 728,440 775,507
     4.50% 5/1/35 137,563 149,794
     4.50% 8/1/35 271,866 294,295
     4.50% 9/1/35 209,896 226,694
     4.50% 7/1/36 119,861 129,877
     4.50% 6/1/38 512,660 558,602
     4.50% 4/1/39 2,026,602 2,202,863
     4.50% 5/1/39 938,899 1,017,399
     4.50% 11/1/40 292,755 316,847
     4.50% 3/1/41 356,241 385,555
     4.50% 4/1/41 900,879 974,633
     4.50% 8/1/41 311,722 342,144
     4.50% 10/1/41 1,241,085 1,343,981
     4.50% 1/1/42 9,640,898 10,434,474
     4.50% 11/1/43 410,614 444,340
     4.50% 8/1/44 6,738,418 7,280,580
     4.50% 9/1/44 942,304 1,020,459
     4.50% 10/1/44 2,996,635 3,249,684
     4.50% 2/1/45 6,746,185 7,310,816
     5.00% 3/1/34 3,966 4,387
     5.00% 4/1/34 22,742 25,104
     5.00% 8/1/34 38,243 42,278
     5.00% 4/1/35 8,479 9,443
     5.00% 10/1/35 343,167 378,616
     5.00% 11/1/35 102,047 112,566
     5.00% 2/1/37 300,485 332,090
     5.00% 4/1/37 94,554 104,256
     5.00% 8/1/37 248,799 274,353
     5.00% 12/1/37 4,491 4,939
     5.00% 3/1/38 211,857 233,013
     5.00% 6/1/38 13,393 14,730
     5.00% 2/1/39 6,552 7,206
     5.00% 5/1/40 113,439 124,856
     5.50% 12/1/32 19,153 21,491
     5.50% 2/1/33 54,015 60,388
     5.50% 12/1/33 28,134 31,588
     5.50% 11/1/34 99,003 111,354
     5.50% 2/1/35 1,405,072 1,586,245
     5.50% 3/1/35 49,952 56,281
     5.50% 6/1/35 66,495 74,693
     5.50% 1/1/36 535,841 602,879
     5.50% 4/1/36 1,409,076 1,580,148
     5.50% 7/1/36 28,925 32,541
     5.50% 9/1/36 790,606 888,247
     5.50% 1/1/37 427,028 477,366
     5.50% 2/1/37 534,414 597,014
     5.50% 8/1/37 24,284 27,359
     5.50% 9/1/37 543,904 608,143
     5.50% 1/1/38 421,434 471,750
     5.50% 2/1/38 238,486 267,697
     5.50% 3/1/38 185,142 206,466
     5.50% 6/1/38 17,645 19,714
     5.50% 11/1/38 1,477,849 1,650,658
     5.50% 1/1/39 930,473 1,048,056
     5.50% 2/1/39 7,149,034 8,033,091
     5.50% 10/1/39 818,201 913,965
     5.50% 7/1/40 257,510 287,914
     6.00% 4/1/35 302,014 344,157
     6.00% 5/1/36 70,763 80,065
     6.00% 6/1/36 33,785 38,231

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 3


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Agency Mortgage-Backed Securities (continued)
Fannie Mae S.F. 30 yr
     6.00% 9/1/36 33,636 $ 38,372
     6.00% 12/1/36 38,490 43,820
     6.00% 2/1/37 109,003 123,334
     6.00% 5/1/37 287,843 325,722
     6.00% 6/1/37 20,565   23,413
     6.00% 7/1/37 220,980 249,785
     6.00% 8/1/37 280,701 318,323
     6.00% 9/1/37 690,474 779,312
     6.00% 11/1/37 41,183 46,488
     6.00% 5/1/38 971,747 1,098,071
     6.00% 7/1/38 12,646 14,270
     6.00% 8/1/38 133,514 150,667
     6.00% 9/1/38 906,079 1,024,993
     6.00% 10/1/38 386,861 437,012
     6.00% 11/1/38 91,791 104,530
     6.00% 12/1/38 264,437 299,635
     6.00% 1/1/39 171,454 194,193
     6.00% 2/1/39 280,424 316,450
     6.00% 9/1/39 512,511 579,003
     6.00% 10/1/39 95,734 108,354
     6.00% 3/1/40 152,941 173,028
     6.00% 7/1/40 603,217 681,508
     6.00% 9/1/40 135,149 152,867
     6.00% 11/1/40 59,788 68,162
     6.00% 5/1/41 860,372 971,319
     6.50% 11/1/33 5,793 6,621
     6.50% 2/1/36 90,110 102,982
     6.50% 3/1/36 89,743 102,562
     6.50% 6/1/36 224,920 261,638
     6.50% 2/1/38 42,438 48,500
     6.50% 11/1/38 11,876 13,573
     6.50% 3/1/40 1,992,661 2,280,867
     7.50% 3/1/32 450 492
     7.50% 4/1/32 1,888 2,187
     7.50% 6/1/32 1,520 1,647
Fannie Mae S.F. 30 yr TBA
     3.00% 1/1/46 75,533,000 75,533,687
     3.00% 2/1/46 56,700,000 56,587,558
     3.50% 1/1/46 76,000,000 78,410,963
     4.00% 1/1/46 30,000,000 31,745,157
     4.00% 2/1/46 66,000,000 69,707,867
     4.50% 1/1/46 43,800,000 47,298,525
Freddie Mac ARM
     2.479% 7/1/36 ● 42,419 44,990
     2.521% 1/1/44 ● 1,183,310 1,205,967
     2.57% 4/1/34 ● 2,066 2,188
     2.592% 12/1/33 ● 52,127 54,772
     2.807% 5/1/37 ● 404,858 431,930
     2.832% 9/1/45 ● 2,523,283 2,573,437
     2.953% 11/1/44 ● 241,848 248,148
     2.959% 10/1/45 ● 622,381 634,160
     5.338% 2/1/38 ● 140,305 148,808
Freddie Mac Relocation 30 yr
     5.00% 9/1/33 256 277
Freddie Mac S.F. 15 yr
     3.50% 10/1/26 107,103 112,551
     4.00% 4/1/25 43,842 46,294
     4.00% 5/1/25 57,753 60,979
     4.00% 8/1/25 198,433 209,616
     4.00% 11/1/26 248,103 261,996
     4.50% 5/1/20 106,911 111,307
     4.50% 9/1/26 270,895 290,187
     5.00% 6/1/18 24,773 25,620
Freddie Mac S.F. 20 yr
     3.50% 1/1/34 488,411 510,756
     3.50% 9/1/35 565,258 589,570
     4.00% 8/1/35 135,119 144,320
     4.00% 10/1/35 687,071 733,856
     5.50% 10/1/23 62,577 69,113
     5.50% 8/1/24 18,797 20,754
Freddie Mac S.F. 30 yr
     3.00% 10/1/42 431,682 431,973
     3.00% 11/1/42 371,180 371,521
     4.50% 4/1/39 111,150 121,350
     4.50% 10/1/39 266,296 287,250
     5.50% 3/1/34 43,234 48,053
     5.50% 12/1/34 39,075 43,519
     5.50% 6/1/36 23,699 26,347
     5.50% 11/1/36 53,722 59,721
     5.50% 12/1/36 11,339 12,602
     5.50% 4/1/38 222,278 247,248
     5.50% 6/1/38 30,437 33,905
     5.50% 6/1/39 234,398 260,838
     5.50% 3/1/40 132,664 147,610
     5.50% 8/1/40 506,014 562,960
     5.50% 1/1/41 145,638 162,038
     5.50% 6/1/41 608,381 676,835
     6.00% 2/1/36 316,622 357,082
     6.00% 3/1/36 133,859 152,043
     6.00% 1/1/38 50,319 56,584
     6.00% 6/1/38 141,924 160,027
     6.00% 8/1/38 228,408 261,082
     6.00% 5/1/40 356,528 404,669
     6.00% 7/1/40 372,714 420,392
     6.50% 11/1/33 28,272 32,198
     6.50% 1/1/35 137,342 162,680

4 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Agency Mortgage-Backed Securities (continued)
Freddie Mac S.F. 30 yr  
     6.50% 8/1/38 49,524 $ 56,400
     6.50% 4/1/39 218,025 248,300
     7.00% 1/1/38 25,594 27,673
Freddie Mac S.F. 30 yr TBA
     3.50% 1/1/46 6,000,000 6,176,308
GNMA I S.F. 30 yr
     5.00% 6/15/40 76,790 84,764
     7.00% 12/15/34 210,003 248,250
GNMA II S.F. 30 yr
     6.00% 4/20/34 6,077 6,634
GNMA II S.F. 30 yr TBA
     4.00% 1/1/46 1,000,000 1,061,953
     4.00% 2/1/46 5,000,000 5,299,317
Total Agency
Mortgage-Backed
Securities
(cost $481,116,981) 482,695,952
 
Agency Obligation – 0.05%
Federal National Mortgage
     Association
     1.375% 4/27/18 1,000,000 998,248
Total Agency Obligation
(cost $1,000,735) 998,248
 
Collateralized Debt Obligations – 1.94%
ACAS CLO
     Series 2007-1A A1S 144A
     0.527% 4/20/21 #● 147,679 146,823
ALM VII
     Series 2012-7A A1 144A
     1.735% 10/19/24 #● 250,000 246,175
     Series 2013-8A A1B 144A
     1.967% 1/20/26 #● 400,000 402,560
Avery Point III CLO
     Series 2013-3A A 144A
     1.715% 1/18/25 #● 1,000,000 983,300
Avery Point VI CLO
     Series 2015-6A A 144A
     1.784% 8/5/27 #● 250,000 247,100
Benefit Street Partners CLO IV
     Series 2014-IVA A1A 144A
     1.807% 7/20/26 #● 2,400,000 2,379,120
Carlyle Global Market
     Strategies CLO
     Series 2012-1A AR 144A
     1.547% 4/20/22 #● 4,800,000 4,769,280
     Series 2014-2A A 144A
     1.832% 5/15/25 #● 1,500,000 1,486,200
Cavalry CLO V
     Series 2014-5A A 144A
     1.687% 1/16/24 #● 400,000 398,800
Cent CLO 20
     144A 1.80% 1/25/26 #● 429,000 422,308
Cent CLO 21
     Series 2014-21A A1B
     144A 1.713% 7/27/26 #● 1,250,000 1,232,875
CIFC Funding 2014-II
     Series 2014-2A A1L 144A
     1.862% 5/24/26 #● 250,000 247,500
Cordatus CLO I
     Series 2006-1X A1
     0.283% 1/30/24 ● EUR      5,003,025 5,398,729
Doral CLO II
     Series 2012-2A A1R 144A
     1.657% 5/26/23 #● 418,769 415,084
Elm CLO
     Series 2014-1A A 144A
     1.715% 1/17/23 #● 588,058 585,470
Euro-Galaxy CLO
     Series 2006-1X A2
     0.187% 10/23/21 ● EUR 458,112 494,844
Fraser Sullivan CLO VII
     Series 2012-7A A1R 144A
     1.362% 4/20/23 #● 339,496 337,527
Harvest CLO
     Series V-A1D
     0.205% 4/5/24 ● EUR 1,730,157 1,859,667
JFIN CLO
     Series 2015-2A AX 144A
     1.965% 10/19/26 #● 180,000 178,578
Jubilee CDO I-R
     Series I-RX A
     0.258% 7/30/24 ● EUR 3,234,524 3,471,371
KVK CLO
     Series 2012-1A A 144A
     1.691% 7/15/23 #● 661,631 657,396
Lockwood Grove CLO
     Series 2014-1A A1 144A
     1.69% 1/25/24 #● 400,000 397,480
Madison Park Funding IX
     Series 2012-9AR AR 144A
     1.652% 8/15/22 #● 500,000 495,150
Magnetite IX
     Series 2014-9A A1 144A
     1.74% 7/25/26 #● 2,405,000 2,378,064
Neuberger Berman CLO XIX
     Series 2015-19A A1 144A
     1.709% 7/15/27 #● 1,300,000 1,285,570

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 5


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Collateralized Debt Obligations (continued)
Neuberger Berman CLO XVII
     Series 2014-17A A 144A
     1.804% 8/4/25 #● 1,100,000 $ 1,089,990
OHA Credit Partners VI
     Series 2012-6A AR 144A
     1.582% 5/15/23 #● 4,557,973 4,527,891
Queen Street CLO II
     Series 2007-1X A1
     0.246% 8/15/24 ● EUR      176,449 191,651
Stoney Lane Funding I
     Series 2007-1A A1 144A
     0.555% 4/18/22 #● 582,024 569,685
Symphony CLO VII
     Series 2011-7A A 144A
     1.573% 7/28/21 #● 314,955 314,262
Venture XI CLO
     Series 2012-11AR AR
     144A
     1.662% 11/14/22 #● 750,000 746,175
Voya CLO
     Series 2012-2AR AR 144A
     1.621% 10/15/22 #● 200,000 199,220
Westwood CDO II
     144A 0.54% 4/25/22 #● 1,671,612 1,646,370
Total Collateralized Debt
Obligations
(cost $40,556,080) 40,202,215
     
Commercial Mortgage-Backed Securities – 4.90%
BAMLL Commercial Mortgage
     Securities Trust
     Series 2015-ASHF A 144A
     1.551% 1/15/28 #● 900,000 897,381
Banc of America Commercial
     Mortgage Trust
     Series 2006-1 AM
     5.421% 9/10/45 ● 69,660 69,588
     Series 2007-4 AM
     5.809% 2/10/51 ● 505,000 527,841
Bank of America Re-REMIC
     Series BALL 2009-UB2
     A4AA 144A
     7.892% 2/24/51 #● 1,947,341 1,997,777
BBCMS Trust
     Series 2015-RRI A 144A
     1.481% 5/15/32 #● 5,100,000 5,056,657
     Series 2015-STP 144A
     3.323% 9/10/28 # 4,500,000 4,552,032
CD Commercial Mortgage
     Trust
     Series 2005-CD1 C
     5.284% 7/15/44 ● 25,053 25,044
CFCRE Commercial Mortgage
     Trust
     Series 2011-C1 A2 144A
     3.759% 4/15/44 # 227,468 227,925
Citigroup Commercial
     Mortgage Trust
     Series 2014-GC25 A4
     3.635% 10/10/47 1,100,000 1,118,248
     Series 2015-GC27 A5
     3.137% 2/10/48 3,085,000 3,010,750
COMM Mortgage Trust
     Series 2013-CR6 A4
     3.101% 3/10/46 2,000,000 1,999,278
     Series 2014-CR19 A5
     3.796% 8/10/47 470,000 484,344
     Series 2014-CR20 A4
     3.59% 11/10/47 910,000 921,999
     Series 2014-CR20 AM
     3.938% 11/10/47 2,225,000 2,279,955
     Series 2014-CR21 A3
     3.528% 12/10/47 4,549,000 4,585,333
     Series 2015-CR23 A4
     3.497% 5/10/48 1,110,000 1,113,755
Commercial Mortgage Trust
     Series 2006-GG7 A4
     5.826% 7/10/38 ● 817,727 821,486
CSMC
     Series 2010-UD1 A 144A
     5.777% 12/16/49 #● 1,677,498 1,709,017
DBUBS Mortgage Trust
     Series 2011-LC1A A3 144A
     5.002% 11/10/46 # 2,050,000 2,259,678
     Series 2011-LC1A C 144A
     5.663% 11/10/46 #● 815,000 896,953
Freddie Mac Multifamily
     Structured Pass Through
     Certificates
     Series K038 A2 3.389%
     3/25/24- 1,850,000 1,916,479
FREMF Mortgage Trust
     Series 2011-K10 B 144A
     4.631% 11/25/49 #● 485,000 508,269
     Series 2011-K13 B 144A
     4.60% 1/25/48 #● 650,000 688,562
     Series 2011-K15 B 144A
     4.948% 8/25/44 #● 75,000 80,597

6 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Commercial Mortgage-Backed Securities (continued)
FREMF Mortgage Trust
     Series 2012-K19 B 144A
     4.036% 5/25/45 #● 145,000 $ 147,474
     Series 2012-K22 B 144A
     3.687% 8/25/45 #● 665,000 659,437
     Series 2012-K708 B 144A
     3.754% 2/25/45 #● 1,705,000 1,735,695
     Series 2012-K708 C 144A
     3.754% 2/25/45 #● 230,000 232,427
     Series 2012-K711 B 144A
     3.562% 8/25/45 #● 820,000 829,199
     Series 2013-K33 B 144A
     3.503% 8/25/46 #● 505,000 488,540
     Series 2013-K712 B 144A
     3.371% 5/25/45 #● 2,215,000 2,221,978
     Series 2013-K713 B 144A
     3.165% 4/25/46 #● 1,215,000 1,207,967
     Series 2013-K713 C 144A
     3.165% 4/25/46 #● 1,000,000 962,766
German Residential Funding
     Series 2013-1 A
     1.046% 8/27/24 ● EUR      3,982,434 4,375,316
     Series 2013-1 B
     1.496% 8/27/24 ● EUR 2,871,057 3,154,297
     Series 2013-2 A
     0.896% 11/27/24 ● EUR 2,914,610 3,185,519
GRACE Mortgage Trust
     Series 2014-GRCE A 144A
     3.369% 6/10/28 # 2,200,000 2,253,311
GS Mortgage Securities Trust
     Series 2010-C1 A2 144A
     4.592% 8/10/43 # 1,415,000 1,518,912
     Series 2010-C1 C 144A
     5.635% 8/10/43 #● 375,000 406,282
     Series 2014-GC24 A5
     3.931% 9/10/47 1,800,000 1,872,813
Hilton USA Trust
     Series 2013-HLT AFX 144A
     2.662% 11/5/30 # 5,040,000 5,043,775
     Series 2013-HLT BFX 144A
     3.367% 11/5/30 # 1,620,000 1,621,204
Hyatt Hotel Portfolio Trust
     Series 2015-HYT A 144A
     1.581% 11/15/29 #● 900,000 900,194
JPMBB Commercial Mortgage
     Securities Trust
     Series 2014-C18 A1
     1.254% 2/15/47 832,664 824,061
     Series 2014-C22 B
     4.561% 9/15/47 ● 470,000 477,632
JPMorgan Chase Commercial
     Mortgage Securities Trust
     Series 2005-CB11 E
     5.498% 8/12/37 ● 230,000 247,103
     Series 2005-LDP5 D
     5.522% 12/15/44 ● 420,000 418,952
     Series 2006-LDP8 A1A
     5.397% 5/15/45 427,382 431,665
     Series 2006-LDP8 AM
     5.44% 5/15/45 5,268,000 5,359,848
     Series 2007-LDPX A3
     5.42% 1/15/49 1,032,222 1,053,490
     Series 2011-C5 C 144A
     5.323% 8/15/46 #● 410,000 436,384
LB-UBS Commercial
     Mortgage Trust
     Series 2004-C1 A4
     4.568% 1/15/31 22,381 22,456
     Series 2006-C6 AJ
     5.452% 9/15/39 ● 920,000 925,706
     Series 2006-C6 AM
     5.413% 9/15/39 2,445,000 2,489,884
ML-CFC Commercial
     Mortgage Trust
     Series 2007-7 A4
     5.743% 6/12/50 ● 910,124 944,478
Morgan Stanley Bank of
     America Merrill Lynch Trust
     Series 2015-C23 A4
     3.719% 7/15/50 630,000 642,004
     Series 2015-C26 A5
     3.531% 10/15/48 4,000,000 4,000,984
Morgan Stanley Capital I Trust
     Series 2005-HQ7 C
     5.191% 11/14/42 ● 763,803 762,641
     Series 2015-XLF1 A 144A
     1.467% 8/14/31 #● 1,648,922 1,642,689
Morgan Stanley Re-REMIC
     Trust
     Series 2009-GG10 A4A
     144A 5.794% 8/12/45 #● 4,015,332 4,125,004
RFTI
     Series 2015-FL1 A 144A
     2.081% 8/15/30 #● 2,200,000 2,185,040
TimberStar Trust I
     Series 2006-1A A 144A
     5.668% 10/15/36 # 415,000 425,633

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 7


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Commercial Mortgage-Backed Securities (continued)
Wachovia Bank Commercial
     Mortgage Trust
     Series 2006-C28 A4FL
     144A
     0.501% 10/15/48 #● 855,981 $ 849,094
     Series 2007-C31 A5FL
     144A 0.561% 4/15/47 #● 400,000 386,903
     Series 2007-C32 A4FL
     144A 0.374% 6/15/49 #● 700,000 690,473
Wells Fargo Commercial
     Mortgage Trust
     Series 2012-LC5 A3
     2.918% 10/15/45 1,020,000 1,013,898
WFRBS Commercial Mortgage
     Trust
     Series 2014-C23 A5
     3.917% 10/15/57 545,000 566,080
Total Commercial
Mortgage-Backed
Securities
(cost $103,044,882) 101,488,156
      
Convertible Bonds – 0.73%
Alaska Communications
     Systems Group 6.25%
     exercise price $10.28,
     expiration date 4/27/18 @ 614,000 619,373
Ares Capital 5.75% exercise
     price $18.36, expiration
     date 2/1/16 206,000 206,386
BGC Partners 4.50% exercise
     price $9.84, expiration
     date 7/13/16 562,000 610,824
BioMarin Pharmaceutical
     1.50% exercise price
     $94.15, expiration date
     10/13/20 167,000 223,989
Blackstone Mortgage Trust
     5.25% exercise price
     $28.66, expiration date
     12/1/18 662,000 675,240
Blucora 4.25% exercise price
     $21.66, expiration date
     3/29/19 275,000 229,281
Campus Crest Communities
     Operating Partnership
     144A 4.75% exercise price
     $12.56, expiration date
     10/11/18 #@ 550,000 544,844
Cardtronics 1.00% exercise
     price $52.35, expiration
     date 11/27/20 552,000 515,085
Cemex 3.72% exercise price
     $11.90, expiration date
     3/15/20 391,000 308,646
Chart Industries 2.00%
     exercise price $69.03,
     expiration date 7/30/18 @ 616,000 535,920
Ciena 144A 3.75% exercise
     price $20.17, expiration
     date 10/15/18 # 278,000 346,110
Clearwire Communications
     144A 8.25% exercise price
     $7.08, expiration date
     11/30/40 #@ 125,000 125,313
GAIN Capital Holdings
     4.125% exercise price
     $12.00, expiration date
     11/30/18 @ 314,000 315,766
General Cable 4.50% exercise
     price $33.38, expiration
     date 11/15/29 @ϕ 591,000 364,573
Gilead Sciences 1.625%
     exercise price $22.44,
     expiration date 4/29/16 131,000 585,571
HealthSouth 2.00% exercise
     price $38.08, expiration
     date 11/30/43 450,000 487,125
Helix Energy Solutions Group
     3.25% exercise price
     $25.02, expiration date
     3/12/32 410,000 325,181
Hologic 2.00% exercise price
     $31.17, expiration date
     2/27/42 ϕ 259,000 346,736
Huron Consulting Group
     1.25% exercise price
     $79.89, expiration date
     9/27/19 135,000 134,241
inContact 144A 2.50%
     exercise price $14.23,
     expiration date 4/1/22 # 507,000 479,432
Infinera 1.75% exercise price
     $12.58, expiration date
     5/30/18 123,000 190,343
Intel 3.25% exercise price
     $21.47, expiration date
     8/1/39 200,000 333,001
Jefferies Group 3.875%
     exercise price $44.53,
     expiration date 10/31/29 464,000 463,420

8 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Convertible Bonds (continued)
Liberty Interactive 144A
     1.00% exercise price
     $64.23, expiration date
     9/28/43 # 447,000 $ 386,376
Meritor 4.00% exercise price
     $26.73, expiration date
     2/12/27 ϕ 849,000 807,081
Microchip Technology 144A
     1.625% exercise price
     $66.61, expiration date
     2/13/25 # 224,000 223,720
New Mountain Finance
     5.00% exercise price
     $15.93, expiration date
     6/14/19 @ 91,000 89,407
Novellus Systems 2.625%
     exercise price $34.37,
     expiration date 5/14/41 268,000 631,977
Nuance Communications
     2.75% exercise price
     $32.30, expiration date
     11/1/31 30,000 30,281
NuVasive 2.75% exercise
     price $42.13, expiration
     date 6/30/17 490,000 670,994
NXP Semiconductors 1.00%
     exercise price $102.84,
     expiration date 11/27/19 262,000 288,364
PROS Holdings 144A 2.00%
     exercise price $33.79,
     expiration date 11/27/19 # 540,000 529,875
Spectrum Pharmaceuticals
     2.75% exercise price
     $10.53, expiration date
     12/13/18 @ 374,000 329,587
Spirit Realty Capital 3.75%
     exercise price $13.10,
     expiration date 5/13/21 @ 634,000 601,114
Titan Machinery 3.75%
     exercise price $43.17,
     expiration date 4/30/19 @ 128,000 84,400
TPG Specialty Lending 4.50%
     exercise price $25.83,
     expiration date
     12/15/19 @ 355,000 351,006
Vector Group
     1.75% exercise price
     $24.64, expiration date
     4/15/20 ● 486,000 557,989
     2.50% exercise price
     $15.98, expiration date
     1/14/19 ● 147,000 225,982
VEREIT 3.75% exercise price
     $14.99, expiration date
     12/14/20 @ 465,000 418,212
Total Convertible Bonds
(cost $14,835,712) 15,192,765
 
Corporate Bonds – 34.03%
Banking – 10.54%
Abbey National Treasury
     Services
     1.012% 3/13/17 ● 225,000 224,536
     1.232% 8/24/18 ● 730,000 730,196
Ally Financial
     3.50% 7/18/16 200,000 201,000
     4.75% 9/10/18 200,000 205,250
     5.50% 2/15/17 2,500,000 2,581,250
ANZ New Zealand
     International 144A
     2.60% 9/23/19 # 200,000 200,743
Australia & New Zealand
     Banking Group
     2.625% 12/10/18 CAD 151,000 113,417
Banco Bilbao Vizcaya
     Argentaria
     6.75% 12/29/49 ● EUR        400,000 426,047
Banco Bilbao Vizcaya
     Argentaria Colombia 144A
     4.875% 4/21/25 # 640,000 614,400
Banco Espirito Santo
     4.00% 1/21/19 ‡ EUR 1,900,000 282,868
Banco Nacional de Comercio
     Exterior 144A
     4.375% 10/14/25 # 855,000 846,450
Banco Votorantim 144A
     5.25% 2/11/16 # 2,300,000 2,301,150
Bank of America
     0.812% 6/15/17 ● 3,800,000 3,770,740
     1.361% 1/15/19 ● 830,000 833,660
     2.60% 1/15/19 1,200,000 1,204,782
     3.30% 1/11/23 716,000 705,870
     3.875% 8/1/25 1,770,000 1,800,354
     3.95% 4/21/25 3,730,000 3,639,141
     5.65% 5/1/18 3,300,000 3,550,457
     5.75% 12/1/17 700,000 749,165
     6.00% 9/1/17 3,200,000 3,406,822
     6.40% 8/28/17 1,000,000 1,071,620
     6.875% 4/25/18 4,125,000 4,553,385
     7.625% 6/1/19 800,000 927,362
Bank of Montreal
     0.841% 7/15/16 ● 565,000 565,552

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 9


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Banking (continued)
Bank of New York Mellon
     0.972% 9/11/19 ● 830,000 $ 823,620
     2.15% 2/24/20 1,960,000 1,939,869
Bank of Nova Scotia
     0.841% 7/15/16 ● 835,000 835,983
Barclays Bank
     7.625% 11/21/22 1,200,000 1,368,750
BB&T
     0.989% 2/1/19 ● 750,000 744,059
     1.372% 6/15/18 ● 65,000 65,168
     5.25% 11/1/19 1,241,000 1,357,835
BBVA Banco Continental
     144A 2.25% 7/29/16 # 900,000 904,500
BBVA Bancomer
     144A 6.50% 3/10/21 # 435,000 463,275
     144A 7.25% 4/22/20 # 100,000 106,675
BNP Paribas 144A
     7.375% 8/19/25 #● 2,300,000 2,363,250
Branch Banking & Trust
     3.80% 10/30/26 1,270,000 1,291,055
CIT Group
     5.25% 3/15/18 6,100,000 6,313,500
     144A 5.50% 2/15/19 # 2,800,000 2,933,000
Citigroup
     1.202% 7/30/18 ● 1,000,000 1,000,162
     4.05% 7/30/22 150,000 153,650
Citizens Financial Group
     4.30% 12/3/25 965,000 972,005
City National 5.25% 9/15/20 770,000 856,831
Compass Bank
     3.875% 4/10/25 1,145,000 1,051,470
Cooperatieve Centrale
     Raiffeisen-Boerenleenbank
     2.50% 9/4/20 NOK 1,740,000 206,181
     4.25% 1/13/22 AUD 353,000 264,599
     4.375% 8/4/25 2,000,000 2,038,068
     6.875% 3/19/20 EUR 2,400,000 3,110,135
Credit Agricole 144A
     1.457% 6/10/20 #● 1,000,000 1,000,354
Credit Suisse Group 144A
     6.25% 12/29/49 #● 270,000 270,640
Credit Suisse Group Funding
     Guernsey
     144A 2.75% 3/26/20 # 2,449,000 2,428,186
     144A 3.125% 12/10/20 # 1,445,000 1,440,067
     144A 3.75% 3/26/25 # 905,000 877,077
     144A 3.80% 9/15/22 # 3,350,000 3,352,265
DBS Bank 144A
     3.625% 9/21/22 #● 700,000 712,765
DNB Bank 144A
     3.20% 4/3/17 # 3,300,000 3,364,795
Eksportfinans
     2.375% 5/25/16 500,000 500,663
     5.50% 5/25/16 800,000 810,556
     5.50% 6/26/17 600,000 625,464
Export-Import Bank of Korea
     1.376% 9/17/16 ● 900,000 901,772
     4.375% 9/15/21 700,000 758,144
     5.00% 4/11/22 2,000,000 2,242,832
     5.125% 6/29/20 1,500,000 1,659,113
Fifth Third Bancorp
     2.875% 7/27/20 435,000 434,979
Fifth Third Bank
     1.28% 8/20/18 ● 905,000 906,897
Finnvera 144A
     2.375% 6/4/25 # 1,355,000 1,313,831
Goldman Sachs Group
     1.048% 5/22/17 ● 1,800,000 1,798,110
     1.462% 11/15/18 ● 420,000 422,000
     1.476% 4/23/20 ● 1,800,000 1,804,529
     1.712% 9/15/20 ● 1,700,000 1,705,613
     3.55% 8/21/19 ● AUD 140,000 102,125
     3.55% 2/12/21 CAD 100,000 76,332
     5.20% 12/17/19 NZD 206,000 145,849
     5.95% 1/18/18 700,000 754,248
     6.25% 9/1/17 1,100,000 1,178,499
HBOS 1.152% 9/6/17 ● 500,000 497,749
HSBC Bank 144A
     1.002% 5/15/18 #● 620,000 617,975
HSBC Holdings
     6.375% 3/29/49 ● 2,200,000 2,202,750
ICICI Bank 4.75% 11/25/16 2,600,000 2,663,011
Industrial & Commercial Bank
     of China 144A
     4.875% 9/21/25 # 905,000 918,975
ING Bank 144A
     1.144% 8/17/18 #● 4,500,000 4,516,362
ING Groep
     6.50% 12/31/45 ● 645,000 633,309
JPMorgan Chase
     0.953% 1/28/19 ● 574,000 570,181
     2.25% 1/23/20 10,275,000 10,114,165
     2.75% 6/23/20 105,000 105,533
     4.25% 11/2/18 NZD      570,000 394,658
     4.25% 10/1/27 290,000 289,970
     4.40% 7/22/20 400,000 427,216
     5.30% 12/29/49 ● 2,300,000 2,297,125
     6.30% 4/23/19 300,000 336,542

10 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Banking (continued)
JPMorgan Chase Bank
     0.832% 6/13/16 ● 500,000 $ 499,311
     4.375% 11/30/21 ● EUR 2,600,000 2,906,665
     6.00% 10/1/17 600,000 641,656
KBC Bank 8.00% 1/25/23 ● 2,200,000 2,403,610
KEB Hana Bank
     1.375% 2/5/16 1,800,000 1,800,076
KeyBank
     3.18% 5/22/22 250,000 247,215
     3.30% 6/1/25 1,240,000 1,227,929
     6.95% 2/1/28 1,220,000 1,514,246
KeyCorp 2.90% 9/15/20 2,500,000 2,493,317
Korea Development Bank
     1.50% 1/22/18 900,000 892,479
Lloyds Bank
     1.144% 8/17/18 ● 3,200,000 3,201,770
     1.75% 5/14/18 400,000 399,366
     144A
     12.00% 12/29/49 #● 4,800,000 6,848,640
Lloyds Banking Group
     4.50% 11/4/24 415,000 422,041
     144A 4.582% 12/10/25 # 660,000 662,917
     7.50% 4/30/49 ● 695,000 741,913
     7.625% 12/29/49 ● GBP 500,000 773,871
     7.875% 12/29/49 ● GBP 200,000 312,910
Mitsubishi UFJ Trust &
     Banking
     144A 2.45% 10/16/19 # 500,000 498,647
     144A 2.65% 10/19/20 # 500,000 500,042
Mizuho Bank 144A
     2.45% 4/16/19 # 600,000 600,737
Morgan Stanley
     1.17% 1/24/19 ● 369,000 368,327
     1.463% 1/27/20 ● 845,000 847,634
     2.125% 4/25/18 3,450,000 3,456,538
     3.125% 8/5/21 CAD 387,000 288,725
     3.95% 4/23/27 140,000 136,187
     5.00% 9/30/21 AUD      359,000 274,253
     5.45% 1/9/17 700,000 726,813
National City Bank
     0.822% 6/7/17 ● 325,000 323,073
Nordea Bank 144A
     6.125% 12/29/49 #● 1,040,000 1,019,408
PNC Bank
     1.85% 7/20/18 700,000 698,890
     2.30% 6/1/20 500,000 495,833
     2.45% 11/5/20 530,000 527,978
PNC Bank
     2.60% 7/21/20 700,000 700,278
     3.30% 10/30/24 745,000 746,673
     6.875% 4/1/18 1,415,000 1,551,133
PNC Funding 5.625% 2/1/17 225,000 233,977
Realkredit Danmark
     2.00% 1/1/16

DKK

43,300,000

 6,304,693
Regions Bank
     2.25% 9/14/18 595,000 594,760
Royal Bank of Canada
     0.646% 1/23/17 ● 530,000 529,659
Royal Bank of Scotland Group
     144A 6.99% 10/29/49 #● 300,000 348,750
     9.50% 3/16/22 ● 2,000,000 2,169,616
Santander Bank
     1.251% 1/12/18 ● 1,400,000 1,390,655
Santander Issuances
     5.179% 11/19/25 1,200,000 1,184,074
Santander UK Group Holdings
     2.875% 10/16/20 440,000 437,893
     144A 4.75% 9/15/25 # 1,760,000 1,745,285
Societe Generale
     144A 4.25% 4/14/25 # 3,600,000 3,403,760
     144A 4.75% 11/24/25 # 1,110,000 1,076,164
     144A 5.625% 11/24/45 # 200,000 192,296
State Street
     2.55% 8/18/20 1,000,000 1,013,106
     3.10% 5/15/23 525,000 519,314
     3.55% 8/18/25 990,000 1,022,357
Sumitomo Mitsui Banking
     0.699% 5/2/17 ● 1,000,000 999,790
SunTrust Banks
     2.35% 11/1/18 535,000 538,152
SVB Financial Group
     3.50% 1/29/25 2,205,000 2,116,615
Toronto-Dominion Bank
     0.872% 4/30/18 ● 835,000 832,437
     2.50% 12/14/20 1,130,000 1,130,846
Turkiye Garanti Bankasi 144A
     4.75% 10/17/19 # 1,083,000 1,078,912
UBS
     4.75% 5/22/23 ● 400,000 407,127
     5.875% 12/20/17 1,163,000 1,256,505
     7.25% 2/22/22 ● 2,100,000 2,197,083
     7.625% 8/17/22 500,000 570,753
UBS Group Funding Jersey
     144A 2.95% 9/24/20 # 1,100,000 1,090,922
     144A 4.125% 9/24/25 # 1,070,000 1,071,014

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 11


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Banking (continued)
US Bancorp
     3.60% 9/11/24 @ 1,275,000 $ 1,297,078
US Bank
     0.552% 1/30/17 ● 850,000 849,826
     2.80% 1/27/25 1,285,000 1,251,695
USB Capital IX 3.50%
     10/29/49 @● 1,820,000 1,403,675
Wells Fargo
     1.002% 1/30/20 ● 1,430,000 1,418,081
     2.55% 12/7/20 4,355,000 4,336,578
     3.50% 9/12/29 GBP      196,000 294,529
     3.55% 9/29/25 1,500,000 1,515,351
     4.30% 7/22/27 1,280,000 1,309,343
Woori Bank
     144A 2.875% 10/2/18 # 565,000 573,368
     144A 4.75% 4/30/24 # 1,000,000 1,025,238
Zions Bancorporation
     4.50% 6/13/23 830,000 854,049
      218,179,510
Basic Industry – 1.16%
AECOM 5.875% 10/15/24 1,215,000 1,243,856
ArcelorMittal
     6.125% 6/1/25 735,000 538,387
     10.85% 6/1/19 830,000 782,275
Ball 5.25% 7/1/25 610,000 626,013
BHP Billiton Finance
     3.25% 9/25/24 GBP 223,000 321,329
BHP Billiton Finance USA
     0.853% 9/30/16 ● 500,000 498,576
     144A 6.25% 10/19/75 #● 690,000 677,063
CF Industries 6.875% 5/1/18 1,655,000 1,794,195
Corp Nacional del Cobre de
     Chile 144A
     4.50% 9/16/25 # 920,000 868,689
Domtar 9.50% 8/1/16 327,000 342,468
Dow Chemical
     8.55% 5/15/19 2,322,000 2,738,862
Georgia-Pacific
     144A 2.539% 11/15/19 # 1,050,000 1,044,913
     8.00% 1/15/24 1,927,000 2,440,680
Gerdau Holdings 144A
     7.00% 1/20/20 # 710,000 639,000
Glencore Finance Canada
     144A 3.60% 1/15/17 # 500,000 483,119
     144A 5.80% 11/15/16 # 300,000 298,937
Grace (W.R.) 144A
     5.125% 10/1/21 # 130,000 131,625
GTL Trade Finance 144A
     5.893% 4/29/24 # 255,000 182,325
Heathrow Funding 144A
     4.875% 7/15/21 # 200,000 215,667
Joseph T Ryerson & Son
     11.25% 10/15/18 @ 89,000 66,750
Lundin Mining 144A
     7.50% 11/1/20 # 460,000 432,400
LyondellBasell Industries
     4.625% 2/26/55 515,000 419,320
     5.00% 4/15/19 500,000 532,273
Methanex 4.25% 12/1/24 1,270,000 1,128,005
MMC Norilsk Nickel
     144A 5.55% 10/28/20 # 258,000 258,964
     144A 6.625% 10/14/22 # 605,000 617,487
NOVA Chemicals 144A
     5.00% 5/1/25 # 1,156,000 1,118,430
OCP
     144A 4.50% 10/22/25 # 1,180,000 1,103,376
     144A 6.875% 4/25/44 # 535,000 527,152
Phosagro 144A
     4.204% 2/13/18 # 663,000 657,613
PolyOne 5.25% 3/15/23 290,000 284,200
PPG Industries
     2.30% 11/15/19 685,000 678,540
Rio Tinto Finance USA
     1.366% 6/17/16 ● 420,000 418,580
      24,111,069
Brokerage – 0.31%
Affiliated Managers Group
     3.50% 8/1/25 830,000 791,032
Bear Stearns
     6.40% 10/2/17 700,000 754,037
     7.25% 2/1/18 2,000,000 2,206,820
Jefferies Group
     6.45% 6/8/27 331,000 351,243
     6.50% 1/20/43 220,000 204,040
Lazard Group
     3.75% 2/13/25 2,100,000 1,941,225
     6.85% 6/15/17 215,000 228,992
      6,477,389
Capital Goods – 0.81%
Brambles USA 144A
     4.125% 10/23/25 # 370,000 372,786
BWAY Holding 144A
     9.125% 8/15/21 # 547,000 514,180
Cemex
     144A 5.875% 3/25/19 # 200,000 191,000

12 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Capital Goods (continued)
Cemex
     144A 6.50% 12/10/19 # 325,000 $ 314,437
     144A 7.25% 1/15/21 # 305,000 294,325
Cemex Finance 144A
     9.375% 10/12/22 # 670,000 708,525
Crane
     2.75% 12/15/18 170,000 169,591
     4.45% 12/15/23 1,180,000 1,217,266
Embraer Netherlands Finance
     5.05% 6/15/25 635,000 579,437
Fortune Brands Home &
     Security 3.00% 6/15/20 580,000 577,431
General Electric
     4.00% 12/29/49 ● 2,098,650 2,101,273
Lafarge 6.50% 7/15/16 200,000 205,075
Lockheed Martin
     2.50% 11/23/20 360,000 358,273
     3.10% 1/15/23 2,700,000 2,702,452
     3.55% 1/15/26 575,000 578,209
Owens-Brockway Glass
     Container 144A
     5.875% 8/15/23 # 240,000 244,050
Parker-Hannifin
     3.30% 11/21/24 65,000 65,633
Reynolds Group Issuer
     8.25% 2/15/21 240,000 232,200
SBA Tower Trust
     144A 2.24% 4/16/18 # 735,000 721,591
     144A 2.898% 10/15/19 # 600,000 586,325
Siemens Financierings-
     maatschappij
     144A 0.673% 5/25/18 #● 610,000 608,627
     144A 2.90% 5/27/22 # 600,000 600,631
TransDigm 6.50% 7/15/24 65,000 64,967
Trinity Industries
     4.55% 10/1/24 @ 1,010,000 926,782
Tyco Electronics Group
     0.524% 1/29/16 ● 515,000 514,850
Union Andina de Cementos
     144A 5.875% 10/30/21 # 610,000 590,175
USG 6.30% 11/15/16 800,000 828,480
      16,868,571
Communications – 3.29%
21st Century Fox America
     144A 3.70% 10/15/25 # 370,000 369,835
     144A 4.95% 10/15/45 # 1,000,000 988,615
Altice US Finance I 144A
     5.375% 7/15/23 # 500,000 502,500
America Movil
     5.00% 3/30/20 620,000 674,071
AT&T
     1.533% 6/30/20 ● 2,210,000 2,196,572
     3.40% 5/15/25 2,300,000 2,214,884
     4.50% 5/15/35 590,000 547,380
Bell Canada 3.35% 3/22/23 CAD      219,000 161,838
Bharti Airtel International
     Netherlands 144A
     5.35% 5/20/24 # 615,000 647,800
CC Holdings GS V
     3.849% 4/15/23 450,000 442,330
CCO Holdings
     144A 5.125% 5/1/23 # 440,000 441,100
     5.25% 9/30/22 290,000 293,625
CCO Safari II
     144A 4.464% 7/23/22 # 700,000 698,342
     144A 4.908% 7/23/25 # 2,510,000 2,511,348
CenturyLink
     5.80% 3/15/22 1,160,000 1,067,490
     6.75% 12/1/23 359,000 337,909
Cequel Communications
     Holdings I 144A
     6.375% 9/15/20 # 435,000 426,844
Colombia Telecomunicaciones
     144A 5.375% 9/27/22 # 875,000 791,875
Columbus International 144A
     7.375% 3/30/21 # 595,000 591,281
Crown Castle Towers
     144A 3.663% 5/15/25 # 110,000 106,751
     144A 4.883% 8/15/20 # 2,090,000 2,240,254
CSC Holdings 5.25% 6/1/24 1,604,000 1,411,520
Deutsche Telekom
     International Finance
     6.50% 4/8/22 GBP 36,000 64,520
Digicel Group 144A
     8.25% 9/30/20 # 1,380,000 1,145,400
DISH DBS 5.00% 3/15/23 555,000 482,850
Frontier Communications
     144A 8.875% 9/15/20 # 805,000 817,075
Gray Television
     7.50% 10/1/20 695,000 716,719
Grupo Televisa
     5.00% 5/13/45 245,000 211,877
     6.125% 1/31/46 570,000 569,487
GTP Acquisition Partners I
     144A 2.35% 6/15/20 # 530,000 514,625
Hughes Satellite Systems
     7.625% 6/15/21 306,000 325,507

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 13


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Communications (continued)
Interpublic Group
     2.25% 11/15/17 15,000 $ 14,961
KT 144A 1.75% 4/22/17 # 900,000 897,881
Level 3 Financing 144A
     5.375% 5/1/25 # 966,000 964,793
Millicom International Cellular
     144A 6.00% 3/15/25 # 675,000 577,125
     144A 6.625% 10/15/21 # 685,000 636,194
MTS International Funding
     144A 8.625% 6/22/20 # 670,000 742,255
Myriad International Holdings
     144A 5.50% 7/21/25 # 1,040,000 1,004,848
NBCUniversal Enterprise
     144A 1.006% 4/15/18 #● 840,000 839,068
Neptune Finco 144A
     6.625% 10/15/25 # 240,000 250,200
Nielsen Finance 144A
     5.00% 4/15/22 # 355,000 351,894
Numericable-SFR 144A
     6.00% 5/15/22 # 485,000 471,663
Orange 2.75% 9/14/16 100,000 101,141
Scripps Networks Interactive
     3.50% 6/15/22 300,000 289,060
SES 144A 3.60% 4/4/23 # 1,555,000 1,519,810
SES GLOBAL Americas
     Holdings 144A
     5.30% 3/25/44 # 1,495,000 1,430,175
Sinclair Television Group
     5.375% 4/1/21 1,405,000 1,413,781
Sirius XM Radio 144A
     5.375% 4/15/25 # 1,732,000 1,747,155
Sky 144A 3.75% 9/16/24 # 1,290,000 1,262,222
Sprint
     7.125% 6/15/24 1,682,000 1,221,553
     7.875% 9/15/23 170,000 128,095
Sprint Communications
     6.00% 12/1/16 4,400,000 4,400,000
     9.125% 3/1/17 100,000 102,000
Telefonica Emisiones
     6.421% 6/20/16 1,750,000 1,790,420
Time Warner 4.85% 7/15/45 1,150,000 1,099,276
Time Warner Cable
     5.50% 9/1/41 250,000 226,649
     6.75% 7/1/18 1,500,000 1,637,521
T-Mobile USA
     6.125% 1/15/22 515,000 530,450
     6.836% 4/28/23 380,000 394,250
Tribune Media 144A
     5.875% 7/15/22 # 628,000 629,570
UPCB Finance IV 144A
     5.375% 1/15/25 # 488,000 462,380
Verizon Communications
     2.252% 9/14/18 ● 1,550,000 1,588,136
     2.50% 9/15/16 38,000 38,303
     2.625% 2/21/20 800,000 803,562
     3.00% 11/1/21 5,000 4,993
     3.25% 2/17/26 EUR      323,000 392,740
     3.65% 9/14/18 1,400,000 1,464,905
     4.50% 9/15/20 2,000,000 2,151,092
     4.862% 8/21/46 1,707,000 1,622,314
     5.15% 9/15/23 3,785,000 4,167,614
Vimpel Communications
     144A 7.748% 2/2/21 # 620,000 635,945
Virgin Media Secured Finance
     144A 5.25% 1/15/26 # 990,000 965,250
VTR Finance 144A
     6.875% 1/15/24 # 1,525,000 1,406,813
Wind Acquisition Finance
     144A 7.375% 4/23/21 # 395,000 374,263
WPP Finance 2010
     5.625% 11/15/43 225,000 229,074
Zayo Group 6.00% 4/1/23 695,000 660,250
      68,153,868
Consumer Cyclical – 2.84%
American Axle &
     Manufacturing
     6.25% 3/15/21 415,000 431,081
American Honda Finance
     144A 0.782% 5/26/16 #● 435,000 435,448
AutoNation
     3.35% 1/15/21 225,000 224,458
     4.50% 10/1/25 60,000 60,980
AutoZone 6.95% 6/15/16 300,000 307,433
CVS Health
     2.80% 7/20/20 4,510,000 4,534,976
     144A 5.00% 12/1/24 # 241,000 261,186
CVS Pass Through Trust 144A
     5.773% 1/10/33 # ⧫ 87,030 93,851
Daimler 2.75% 12/10/18 NOK 1,870,000 218,450
Daimler Finance North
     America
     144A 0.669% 8/1/17 #● 540,000 536,466
     144A 0.837% 3/10/17 #● 650,000 646,716
     144A 1.044% 8/3/17 #● 4,500,000 4,496,495
     144A 2.00% 8/3/18 # 3,800,000 3,776,071
Delphi Automotive
     3.15% 11/19/20 825,000 824,857

14 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Consumer Cyclical (continued)
Dr Horton
     3.75% 3/1/19 200,000 $ 200,500
     4.00% 2/15/20 200,000 202,140
Ford Motor 7.45% 7/16/31 745,000 921,604
Ford Motor Credit
     0.982% 9/8/17 ● 500,000 493,233
     2.24% 6/15/18 430,000 426,342
     3.20% 1/15/21 4,600,000 4,574,153
     4.05% 12/10/18 AUD 246,000 179,579
     4.207% 4/15/16 1,300,000 1,310,500
     5.875% 8/2/21 1,000,000 1,116,474
General Motors Financial
     3.00% 9/25/17 900,000 903,826
     3.10% 1/15/19 1,070,000 1,069,210
     3.45% 4/10/22 1,160,000 1,114,287
     4.00% 1/15/25 1,055,000 1,002,803
     4.30% 7/13/25 200,000 194,312
     4.375% 9/25/21 695,000 705,652
     4.75% 8/15/17 900,000 933,159
Harman International
     Industries 4.15% 5/15/25 595,000 571,339
Hyundai Capital America
     144A 2.125% 10/2/17 # 615,000 611,510
     144A 2.55% 2/6/19 # 715,000 709,973
Hyundai Capital Services
     144A 1.333% 3/18/17 #● 205,000 204,467
INVISTA Finance 144A
     4.25% 10/15/19 # 1,060,000 1,033,500
Kia Motors 3.625% 6/14/16 900,000 907,470
Landry’s 144A
     9.375% 5/1/20 # 515,000 544,613
Lear 5.25% 1/15/25 495,000 506,137
Lowe’s 0.907% 9/10/19 ● 520,000 517,311
Marriott International
     3.375% 10/15/20 650,000 662,327
McDonald’s 3.70% 1/30/26 170,000 170,215
Meritor 6.75% 6/15/21 210,000 194,250
MGM Resorts International
     6.00% 3/15/23 1,033,000 1,027,835
     7.50% 6/1/16 100,000 102,094
     10.00% 11/1/16 700,000 741,706
Nemak 144A
     5.50% 2/28/23 # 665,000 669,987
PACCAR Financial
     1.052% 12/6/18 ● 835,000 837,235
QVC 5.45% 8/15/34 990,000 858,741
RCI Banque 144A
     4.60% 4/12/16 # 900,000 907,709
Sally Holdings 5.75% 6/1/22 15,000 15,600
Schaeffler Holding Finance
     PIK 6.875% 8/15/18 ❆ EUR 1,300,000 1,465,333
Signet UK Finance
     4.70% 6/15/24 1,290,000 1,272,535
Starwood Hotels & Resorts
     Worldwide
     3.75% 3/15/25 @ 1,845,000 1,809,532
     4.50% 10/1/34 @ 160,000 144,674
Toyota Credit Canada
     2.05% 5/20/20 CAD      100,000 72,806
Toyota Finance Australia
     2.25% 8/31/16 NOK 110,000 12,486
     3.04% 12/20/16 NZD 760,000 517,430
Toyota Motor Credit
     2.80% 7/13/22 420,000 418,425
Tupy Overseas 144A
     6.625% 7/17/24 #@ 500,000 438,750
Volkswagen International
     Finance 144A
     0.804% 11/18/16 #● 1,620,000 1,596,403
Wyndham Worldwide
     2.95% 3/1/17 700,000 704,441
Wynn Las Vegas 144A
     5.50% 3/1/25 # 6,600,000 5,907,000
ZF North America Capital
     144A 4.00% 4/29/20 # 400,000 404,800
      58,754,876
Consumer Non-Cyclical – 2.69%
Actavis Funding
     1.30% 6/15/17 900,000 891,760
     2.35% 3/12/18 500,000 500,786
     3.00% 3/12/20 1,300,000 1,302,217
     3.45% 3/15/22 1,000,000 1,002,444
Adani Ports & Special
     Economic Zone 144A
     3.50% 7/29/20 # 300,000 296,111
Amgen
     0.978% 5/22/19 ● 1,000,000 990,469
     2.30% 6/15/16 25,000 25,147
     4.00% 9/13/29 GBP 216,000 324,137
Anheuser-Busch InBev
     Finance 0.729% 2/1/19 ● 340,000 334,081
Anheuser-Busch InBev
     Worldwide
     5.375% 1/15/20 1,000,000 1,107,161
AstraZeneca
     2.375% 11/16/20 885,000 879,685
     3.375% 11/16/25 1,465,000 1,457,419

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 15


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Consumer Non-Cyclical (continued)
BAT International Finance
     144A 2.75% 6/15/20 # 700,000 $ 700,524
Bayer US Finance 144A
     0.892% 10/6/17 #● 295,000 294,253
Becton Dickinson
     6.375% 8/1/19 1,330,000 1,502,570
Boston Scientific
     3.375% 5/15/22 3,800,000 3,754,039
Campbell Soup
     3.30% 3/19/25 1,135,000 1,131,132
Celgene
     2.875% 8/15/20 165,000 163,932
     3.25% 8/15/22 925,000 919,021
Cencosud 144A
     5.15% 2/12/25 # 730,000 679,868
Community Health Systems
     6.875% 2/1/22 1,958,000 1,867,443
ConAgra Foods
     0.687% 7/21/16 ● 260,000 259,551
DaVita HealthCare Partners
     5.00% 5/1/25 2,371,000 2,293,943
ENA Norte Trust 144A
     4.95% 4/25/23 # 517,036 529,507
Express Scripts Holding
     2.25% 6/15/19 765,000 761,118
     3.50% 6/15/24 410,000 404,660
Gilead Sciences
     2.55% 9/1/20 500,000 500,137
HCA
     3.75% 3/15/19 1,700,000 1,717,000
     5.375% 2/1/25 1,561,000 1,543,439
HealthSouth
     5.125% 3/15/23 235,000 226,187
     5.75% 11/1/24 178,000 170,657
     144A 5.75% 9/15/25 # 190,000 177,650
HPHT Finance 15 144A
     2.875% 3/17/20 # 835,000 831,486
Immucor 11.125% 8/15/19 1,278,000 1,169,370
Imperial Tobacco Finance
     144A 2.05% 2/11/18 # 270,000 268,915
     144A 2.05% 7/20/18 # 1,300,000 1,293,585
     144A 2.95% 7/21/20 # 700,000 702,113
JB y Cia 144A
     3.75% 5/13/25 # 1,290,000 1,235,239
JBS Investments 144A
     7.75% 10/28/20 # 690,000 665,850
JBS USA
     144A 5.75% 6/15/25 # 407,000 356,125
     144A 5.875% 7/15/24 # 320,000 291,200
Kinetic Concepts
     10.50% 11/1/18 290,000 283,475
Kraft Heinz Foods 144A
     2.00% 7/2/18 # 400,000 398,352
Kroger 0.845% 10/17/16 ● 420,000 419,814
Mallinckrodt International
     Finance
     144A 4.875% 4/15/20 # 430,000 416,025
     144A 5.50% 4/15/25 # 887,000 820,475
Medtronic 0.497% 2/27/17 ● 1,430,000 1,423,798
Merck
     0.716% 2/10/20 ● 900,000 895,370
     0.724% 5/18/18 ● 680,000 680,909
Mondelez International
     4.125% 2/9/16 750,000 751,951
PepsiCo 0.671% 10/13/17 ● 700,000 700,384
Perrigo Finance Unlimited
     3.50% 12/15/21 1,975,000 1,922,222
Pfizer 0.812% 6/15/18 ● 754,000 751,697
Prestige Brands 144A
     5.375% 12/15/21 # 277,000 267,305
Reynolds American
     3.25% 6/12/20 535,000 544,281
St. Jude Medical
     2.80% 9/15/20 125,000 125,184
Tenet Healthcare
     4.50% 4/1/21 380,000 372,400
Tyson Foods 2.65% 8/15/19 1,500,000 1,502,087
United Rentals North America
     5.50% 7/15/25 1,351,000 1,315,536
     5.75% 11/15/24 27,000 26,865
Valeant Pharmaceuticals
     International
     4.50% 5/15/23 EUR      4,200,000 3,984,038
Zimmer Biomet Holdings
     3.375% 11/30/21 1,290,000 1,292,923
     4.625% 11/30/19 1,270,000 1,357,301
      55,774,323
Energy – 2.36%
BP Capital Markets
     4.75% 3/10/19 160,000 171,167
Canadian Natural Resources
     0.978% 3/30/16 ● 680,000 678,531
Chevron 0.952% 3/3/22 ● 1,575,000 1,524,200
CNOOC Finance 2012 144A
     3.875% 5/2/22 # 8,955,000 9,071,308
ConocoPhillips
     1.262% 5/15/22 ● 1,075,000 1,060,682

16 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Energy (continued)
Continental Resources
     4.50% 4/15/23 1,290,000 $ 928,151
Devon Energy
     1.052% 12/15/16 ● 500,000 494,999
Ecopetrol 5.375% 6/26/26 1,150,000 981,813
Exxon Mobil
     0.822% 3/6/22 ● 1,125,000 1,107,334
Freeport-McMoran Oil & Gas
     6.625% 5/1/21 200,000 122,500
Harvest Operations
     2.125% 5/14/18 500,000 498,465
Lukoil International Finance
     144A 3.416% 4/24/18 # 515,000 502,748
Murphy Oil USA
     6.00% 8/15/23 580,000 611,900
Noble Energy
     5.05% 11/15/44 705,000 571,154
Petrobras Global Finance
     1.99% 5/20/16 ● 4,200,000 4,105,500
     2.00% 5/20/16 200,000 197,500
     2.461% 1/15/19 ● 1,900,000 1,448,750
     2.886% 3/17/17 ● 800,000 735,000
     3.406% 3/17/20 ● 160,000 114,000
     3.50% 2/6/17 600,000 562,500
     4.375% 5/20/23 1,000,000 662,500
     4.875% 3/17/20 100,000 75,250
     5.375% 1/27/21 600,000 448,500
     5.875% 3/1/18 1,615,000 1,441,387
     6.125% 10/6/16 100,000 99,250
     6.75% 1/27/41 300,000 193,500
     6.85% 6/5/15 2,700,000 1,761,750
     7.25% 3/17/44 600,000 408,000
     7.875% 3/15/19 700,000 621,250
Petroleos Mexicanos
     144A 3.50% 7/23/20 # 445,000 422,305
     6.50% 6/2/41 390,000 339,105
Petronas Global Sukuk 144A
     2.707% 3/18/20 # 965,000 950,624
Shell International Finance
     0.572% 11/15/16 ● 340,000 339,819
     0.806% 5/11/20 ● 595,000 586,907
Sinopec Group Overseas
     Development 2012
     2.75% 5/17/17 500,000 504,581
     144A 3.90% 5/17/22 # 3,200,000 3,264,506
Sinopec Group Overseas
     Development 2014
     144A 1.75% 4/10/17 # 500,000 498,509
     4.375% 4/10/24 4,600,000 4,762,348
Southwestern Energy
     4.05% 1/23/20 100,000 72,625
     7.50% 2/1/18 2,500,000 2,128,125
Statoil 0.804% 11/8/18 ● 835,000 829,033
Woodside Finance
     144A 3.65% 3/5/25 # 890,000 789,775
     144A 4.60% 5/10/21 # 200,000 202,993
     144A 8.75% 3/1/19 # 1,125,000 1,291,574
YPF
     7.862% 8/15/18 @● 323,529 324,330
     144A 8.75% 4/4/24 # 395,000 385,125
      48,891,873
Finance Companies – 1.71%
AerCap Ireland Capital
     4.625% 10/30/20 800,000 821,000
     4.625% 7/1/22 575,000 582,906
American Express
     7.00% 3/19/18 6,600,000 7,323,136
American Express Credit
     1.083% 3/18/19 ● 1,500,000 1,483,650
Citicorp Lease Pass Through
     Trust Series 1999-1 144A
     8.04% 12/15/19 # ⧫ 200,000 235,861
Corp Financiera de Desarrollo
     144A 4.75% 7/15/25 # 690,000 681,375
     144A 5.25% 7/15/29 #● 315,000 310,275
GE Capital International
     Funding 144A
     2.342% 11/15/20 # 251,000 249,077
General Electric Capital
     0.714% 5/5/26 ● 920,000 855,083
     144A 3.80% 6/18/19 # 345,000 362,860
     4.25% 1/17/18 NZD      140,000 96,686
     4.65% 10/17/21 89,000 98,613
     5.55% 5/4/20 470,000 532,618
     6.00% 8/7/19 1,025,000 1,161,730
HSBC Finance
     0.844% 6/1/16 ● 1,500,000 1,497,468
International Lease Finance
     5.75% 5/15/16 900,000 913,500
     144A 6.75% 9/1/16 # 1,640,000 1,687,150
     144A 7.125% 9/1/18 # 100,000 109,875
     8.75% 3/15/17 3,300,000 3,522,750
LeasePlan 144A
     2.875% 1/22/19 # 1,600,000 1,580,541
Murray Street Investment
     Trust I 4.647% 3/9/17 ϕ 4,700,000 4,843,782
Navient 7.25% 1/25/22 750,000 704,063

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 17


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Finance Companies (continued)
Peachtree Corners Funding
     Trust 144A
     3.976% 2/15/25 # 860,000 $ 855,408
Springleaf Finance
     6.90% 12/15/17 3,300,000 3,423,750
Synchrony Financial
     1.564% 2/3/20 ● 500,000 492,583
Waha Aerospace
     3.925% 7/28/20 1,050,000 1,090,058
      35,515,798
Insurance – 0.61%
Berkshire Hathaway Finance
     2.90% 10/15/20 885,000 917,800
Highmark
     144A 4.75% 5/15/21 #@ 445,000 453,028
     144A 6.125% 5/15/41 #@ 160,000 159,190
HUB International 144A
     7.875% 10/1/21 # 516,000 465,690
Jackson National Life Global
     Funding 144A
     1.25% 2/21/17 # 200,000 199,509
Liberty Mutual Group 144A
     4.95% 5/1/22 # 320,000 339,656
MetLife Capital Trust IV 144A
     7.875% 12/15/37 # 300,000 367,500
MetLife Capital Trust X 144A
     9.25% 4/8/38 # 1,100,000 1,520,750
Metropolitan Life Global
     Funding I 144A
     0.851% 7/15/16 #● 535,000 535,887
Prudential Financial
     5.375% 5/15/45 ● 765,000 765,000
     5.625% 6/15/43 ● 440,000 451,000
     5.875% 9/15/42 ● 555,000 579,697
TIAA Asset Management
     Finance
     144A 2.95% 11/1/19 # 1,130,000 1,133,269
     144A 4.125% 11/1/24 # 1,460,000 1,467,649
USI 144A 7.75% 1/15/21 # 92,000 88,665
Voya Financial
     5.65% 5/15/53 ● 875,000 866,250
XLIT
     4.45% 3/31/25 1,125,000 1,103,722
     5.50% 3/31/45 900,000 843,788
     6.50% 12/29/49 ● 565,000 411,744
12,669,794
Natural Gas – 1.17%
AmeriGas Finance
     7.00% 5/20/22 435,000 423,037
CenterPoint Energy
     5.95% 2/1/17 35,000 36,525
Dominion Gas Holdings
     2.80% 11/15/20 160,000 160,630
     3.60% 12/15/24 870,000 861,937
     4.60% 12/15/44 1,845,000 1,721,296
Energy Transfer Partners
     9.70% 3/15/19 694,000 764,849
EnLink Midstream Partners
     4.15% 6/1/25 1,290,000 993,980
Enterprise Products Operating
     7.034% 1/15/68 ● 300,000 305,250
Florida Gas Transmission
     144A 7.90% 5/15/19 # 320,000 360,827
Kinder Morgan
     2.00% 12/1/17 600,000 578,362
     7.00% 6/15/17 800,000 824,381
Kinder Morgan
     Energy Partners
     5.00% 10/1/21 620,000 585,923
     5.95% 2/15/18 1,000,000 1,025,801
     6.85% 2/15/20 700,000 724,669
Laclede Group
     1.112% 8/15/17 ● 700,000 696,853
MPLX 144A
     4.875% 12/1/24 # 419,000 378,147
Plains All American Pipeline
     6.50% 5/1/18 800,000 826,621
     8.75% 5/1/19 1,160,000 1,273,487
Ras Laffan Liquefied Natural
     Gas II 5.298% 9/30/20 1,575,300 1,682,279
Regency Energy Partners
     5.50% 4/15/23 220,000 198,367
     5.875% 3/1/22 1,160,000 1,094,751
Rockies Express Pipeline
     144A 6.85% 7/15/18 # 500,000 492,500
Sabine Pass Liquefaction
     5.75% 5/15/24 5,500,000 4,812,500
Texas Eastern Transmission
     144A 6.00% 9/15/17 # 800,000 843,993
Williams Partners
     4.875% 5/15/23 1,800,000 1,461,343
     7.25% 2/1/17 1,010,000 1,030,196
24,158,504

18 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Real Estate - 1.35%
American Tower
     2.80% 6/1/20 405,000 $ 400,750
     4.00% 6/1/25 480,000 472,730
American Tower Trust I 144A
     3.07% 3/15/23 # 970,000 953,529
Carey (W.P.) 4.60% 4/1/24 695,000 694,223
CBL & Associates
     4.60% 10/15/24 865,000 816,760
     5.25% 12/1/23 185,000 177,253
Corporate Office Properties
     3.60% 5/15/23 690,000 636,770
     5.25% 2/15/24 670,000 686,515
DDR
     7.50% 4/1/17 940,000 1,001,713
     7.875% 9/1/20 731,000 875,766
Digital Delta Holdings 144A
     3.40% 10/1/20 # 2,100,000 2,104,549
Education Realty Operating
     Partnership
     4.60% 12/1/24 950,000 938,993
Equinix 5.375% 4/1/23 1,203,000 1,233,075
GEO Group
     5.125% 4/1/23 285,000 271,463
     5.875% 10/15/24 285,000 277,875
Goodman Funding 144A
     6.375% 11/12/20 # 5,300,000 6,025,231
HCP 5.375% 2/1/21 2,300,000 2,507,262
Hospitality Properties Trust
     4.50% 3/15/25 870,000 836,830
Host Hotels & Resorts
     3.75% 10/15/23 1,270,000 1,226,491
     4.50% 2/1/26 45,000 44,509
Kimco Realty 3.40% 11/1/22 190,000 188,496
Omega Healthcare Investors
     4.50% 4/1/27 105,000 99,080
     144A 5.25% 1/15/26 # 505,000 516,451
PLA Administradora Industrial
     144A 5.25% 11/10/22 # 670,000 652,413
Prologis 4.00% 1/15/18 300,000 310,282
Qatari Diar Finance
     5.00% 7/21/20 500,000 552,856
Regency Centers
     5.875% 6/15/17 213,000 224,693
Trust F/1401 144A
     5.25% 1/30/26 # 545,000 532,737
UDR 4.00% 10/1/25 325,000 328,740
Ventas Realty
     4.125% 1/15/26 490,000 489,444
WEA Finance 144A
     3.25% 10/5/20 # 1,800,000 1,808,863
      27,886,342
Technology – 1.14%
Alibaba Group Holding
     0.932% 11/28/17 ● 345,000 342,762
     2.50% 11/28/19 7,500,000 7,336,560
Apple 0.637% 5/6/19 ● 840,000 836,571
Baidu 2.75% 6/9/19 775,000 771,898
CDK Global 4.50% 10/15/24 700,000 697,793
Cisco Systems
     0.914% 3/1/19 ● 650,000 649,919
eBay
     0.809% 8/1/19 ● 765,000 739,219
     1.35% 7/15/17 500,000 496,230
First Data
     144A 5.00% 1/15/24 # 195,000 194,513
     144A 5.75% 1/15/24 # 1,165,000 1,150,437
     144A 7.00% 12/1/23 # 448,000 449,120
Hewlett Packard Enterprise
     144A 2.45% 10/5/17 # 300,000 299,873
     144A 2.85% 10/5/18 # 150,000 150,015
Intel 2.45% 7/29/20 200,000 202,418
International Business
     Machines
     0.917% 11/6/21 ● 690,000 684,945
     1.625% 5/15/20 440,000 429,334
Jabil Circuit 7.75% 7/15/16 92,000 94,530
Micron Technology
     5.50% 2/1/25 695,000 606,387
Microsoft 4.20% 11/3/35 370,000 378,579
Motorola Solutions
     4.00% 9/1/24 575,000 499,877
Oracle
     1.127% 10/8/19 ● 940,000 937,739
     3.25% 5/15/30 915,000 860,753
QUALCOMM 3.00% 5/20/22 700,000 693,583
Samsung Electronics America
     144A 1.75% 4/10/17 # 745,000 743,540
Symantec 4.20% 9/15/20 2,000,000 2,067,484
Tencent Holdings 144A
     3.375% 5/2/19 # 1,265,000 1,287,318
      23,601,397
Transportation – 0.77%
Air Canada 2015-1 Class A
     Pass Through Trust 144A
     3.60% 3/15/27 #⧫ 580,000 561,875

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 19


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Transportation (continued)
American Airlines 2011-1
     Class A Pass Through Trust
     5.25% 1/31/21 ⧫ 407,908 $ 432,382
American Airlines 2014-1
     Class A Pass Through Trust
     3.70% 10/1/26 ⧫ 442,657 442,923
American Airlines 2015-1
     Class A Pass Through Trust
     3.375% 5/1/27 ⧫ 367,418 355,017
American Airlines 2015-2
     Class AA Pass Through
     Trust 3.60% 9/22/27 ⧫ 245,000 247,756
AP Moeller - Maersk 144A
     2.875% 9/28/20 # 200,000 198,156
Aviation Capital Group
     144A 2.875% 9/17/18 # 445,000 443,003
     144A 4.875% 10/1/25 # 495,000 492,584
     144A 6.75% 4/6/21 # 790,000 885,787
Brambles USA 144A
     5.35% 4/1/20 # 320,000 349,264
Burlington Northern Santa Fe
     3.65% 9/1/25 65,000 65,991
Continental Airlines 2009-2
     Class A Pass Through Trust
     7.25% 11/10/19 ⧫ 648,468 731,634
CSX 3.35% 11/1/25 75,000 72,992
Delta Air Lines 2007-1 Class
     A Pass Through Trust
     6.821% 8/10/22 ⧫ 290,560 335,030
Doric Nimrod Air Finance
     Alpha 2012-1 Class A Pass
     Through Trust 144A
     5.125% 11/30/22 # ⧫ 1,531,984 1,568,917
FedEx 4.75% 11/15/45 500,000 497,345
Kansas City Southern 144A
     1.023% 10/28/16 #● 900,000 889,464
Latam Airlines 2015-1
     Pass-Through Trust A 144A
     4.20% 11/15/27 # ⧫ 500,000 470,000
Penske Truck Leasing
     144A 2.50% 3/15/16 # 1,400,000 1,402,489
     144A 3.30% 4/1/21 # 520,000 513,278
     144A 3.75% 5/11/17 # 200,000 204,104
UAL 2009-1 Pass Through
     Trust 10.40% 11/1/16 ⧫ 105,003 111,449
UAL 2009-2A Pass Through
     Trust 9.75% 1/15/17 ⧫ 512,681 541,519
United Airlines 2014-1 Class
     A Pass Through Trust
     4.00% 4/11/26 ⧫ 339,598 347,663
United Airlines 2014-2 Class
     A Pass Through Trust
     3.75% 9/3/26 ⧫ 650,000 656,533
United Parcel Service
     5.125% 4/1/19 2,210,000 2,439,763
US Airways 2012-2 Class A
     Pass Through Trust 4.625%
     6/3/25 ⧫ 580,404 602,895
      15,859,813
Utilities – 3.28%
AES 5.50% 4/15/25 1,940,000 1,721,750
AES Gener
     144A 5.00% 7/14/25 # 315,000 302,072
     144A 5.25% 8/15/21 # 525,000 539,731
     144A 8.375%
     12/18/73 #@● 676,000 679,380
Ameren 3.65% 2/15/26 225,000 224,452
Ameren Illinois
     3.25% 3/1/25 410,000 412,846
     4.15% 3/15/46 695,000 695,427
     9.75% 11/15/18 2,110,000 2,543,356
American Transmission
     Systems 144A
     5.25% 1/15/22 # 2,445,000 2,670,703
American Water Capital
     3.40% 3/1/25 215,000 218,681
     4.30% 9/1/45 885,000 897,948
Appalachian Power
     3.40% 6/1/25 170,000 166,224
     4.45% 6/1/45 585,000 557,522
Berkshire Hathaway Energy
     3.75% 11/15/23 1,235,000 1,269,423
Calpine
     5.375% 1/15/23 438,000 395,295
     5.50% 2/1/24 699,000 620,363
Cleveland Electric Illuminating
     5.50% 8/15/24 515,000 580,921
CMS Energy
     3.60% 11/15/25 55,000 54,766
     6.25% 2/1/20 635,000 720,884
ComEd Financing III
     6.35% 3/15/33 @ 680,000 695,771
Commonwealth Edison
     4.35% 11/15/45 1,160,000 1,170,527
Consumers Energy
     4.10% 11/15/45 275,000 273,822
DTE Energy 144A
     3.30% 6/15/22 # 855,000 858,818

20 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

                  Principal Value
amount°       (U.S. $)
Corporate Bonds (continued)
Utilities (continued)
Duke Energy
     1.625% 8/15/17 1,000,000 $ 999,044
     3.75% 4/15/24 1,145,000 1,162,112
     4.80% 12/15/45 1,110,000 1,125,855
Duke Energy Indiana
     0.67% 7/11/16 ● 835,000 835,110
Dynegy
     5.875% 6/1/23 159,000 128,393
     7.625% 11/1/24 372,000 319,846
Electricite de France
     144A 0.777% 1/20/17 #● 840,000 839,499
     144A 5.25% 12/29/49 #● 1,400,000 1,321,250
Enel 144A
     8.75% 9/24/73 #● 1,405,000 1,603,456
Enel Finance International
     144A 6.00% 10/7/39 # 550,000 617,013
Entergy 4.00% 7/15/22 1,120,000 1,144,195
Entergy Arkansas
     3.70% 6/1/24 115,000 117,414
     3.75% 2/15/21 200,000 208,212
Entergy Louisiana
     4.05% 9/1/23 1,555,000 1,605,477
Exelon 144A
     3.95% 6/15/25 # 1,330,000 1,330,830
FirstEnergy 2.75% 3/15/18 1,000,000 1,005,063
Great Plains Energy
     4.85% 6/1/21 545,000 585,990
Integrys Holding 6.11%
     12/1/66 @● 1,200,000 912,174
IPALCO Enterprises
     5.00% 5/1/18 165,000 173,663
ITC Holdings 3.65% 6/15/24 70,000 69,076
Jersey Central Power & Light
     7.35% 2/1/19 1,000,000 1,126,256
Kansas City Power & Light
     3.65% 8/15/25 1,350,000 1,362,173
LG&E & KU Energy
     3.75% 11/15/20 165,000 170,546
     4.375% 10/1/21 1,555,000 1,645,066
Louisville Gas & Electric
     4.375% 10/1/45 555,000 568,438
Majapahit Holding
     7.75% 1/20/20 400,000 448,500
Metropolitan Edison 144A
     4.00% 4/15/25 # 600,000 595,147
MidAmerican Energy
     4.25% 5/1/46 1,965,000 1,948,692
National Rural Utilities
     Cooperative Finance
     2.30% 11/1/20 105,000 104,054
     2.85% 1/27/25 30,000 29,242
     3.25% 11/1/25 85,000 84,750
     4.75% 4/30/43 ● 1,640,000 1,621,796
NextEra Energy Capital
     Holdings
     2.40% 9/15/19 1,455,000 1,434,790
     2.70% 9/15/19 450,000 448,395
     3.625% 6/15/23 490,000 488,967
NV Energy 6.25% 11/15/20 935,000 1,063,261
Pedernales Electric
     Cooperative (MBIA) 144A
     6.202% 11/15/32 # 620,000 727,025
Pennsylvania Electric
     5.20% 4/1/20 1,380,000 1,472,555
Perusahaan Listrik Negara
     144A 5.50% 11/22/21 # 900,000 919,125
Public Service of New
     Hampshire
     3.50% 11/1/23 635,000 651,242
Public Service of Oklahoma
     5.15% 12/1/19 1,300,000 1,422,857
Puget Energy
     6.00% 9/1/21 340,000 383,501
     6.50% 12/15/20 3,800,000 4,358,163
SCANA 4.125% 2/1/22 810,000 794,600
Southern 2.75% 6/15/20 3,695,000 3,661,239
Southwestern Electric Power
     6.45% 1/15/19 690,000 767,052
State Grid Overseas
     Investment 2014 144A
     2.75% 5/7/19 # 490,000 495,576
Trans-Allegheny Interstate
     Line 144A 3.85% 6/1/25 # 960,000 961,952
WEC Energy Group
     3.55% 6/15/25 820,000 826,221
Westar Energy
     3.25% 12/1/25 675,000 677,772
Wisconsin Electric Power
     4.30% 12/15/45 555,000 568,975
Xcel Energy 3.30% 6/1/25 1,715,000 1,679,896
      67,882,178
Total Corporate Bonds
(cost $717,138,216) 704,785,305

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 21


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

Principal Value
            amount°       (U.S. $)
Municipal Bonds – 1.52%
American Municipal Power,
     Ohio (Combined
     Hydroelectric Projects)
     Series 2010
     8.084% 2/15/50 1,500,000 $ 2,184,690
Bay Area, California Toll
     Authority (Build America
     Bonds) Series S1
     6.918% 4/1/40 800,000 1,056,576
     7.043% 4/1/50 3,000,000 4,139,040
California State
     (Taxable Build America
          Bonds)
     7.35% 11/1/39 2,000,000 2,814,640
     7.60% 11/1/40 1,900,000 2,831,798
California State Various
     Purpose
     (Taxable Build America
          Bonds)
     7.30% 10/1/39 200,000 280,152
     7.55% 4/1/39 1,900,000 2,769,155
Chicago, Illinois Transit
     Authority
     (Pension Funding) Series A
     6.899% 12/1/40 1,800,000 2,083,590
     (Retiree Health Care
     Funding) Series B 6.899%
     12/1/40 1,800,000 2,083,590
Clark County Department of
     Aviation, Nevada Airport
     Revenue (Build America
     Bonds)
     Series C 6.82% 7/1/45 600,000 828,480
Los Angeles, California
     Community College
     District Revenue
     (Build America Bond)
     6.60% 8/1/42 800,000 1,096,536
Municipal Electric Authority of
     Georgia Build America
     Bond (Plant Vogtle Units 3
     & 4 Project)
     6.655% 4/1/57 1,800,000 2,125,026
New York City, New York
     Transitional Finance
     Authority Future Tax
     Secured Revenue
     (Build America Bond)
     5.508% 8/1/37 700,000 843,920
New York State Urban
     Development (Build
     America Bond)
     5.77% 3/15/39 800,000 972,832
Oregon State Taxable Pension
     5.892% 6/1/27 65,000 78,086
Pennsylvania Turnpike
     Commission
     Series B-1 0.99%
     12/1/21 ● 750,000 746,977
Port Authority of New York &
     New Jersey Consolidated
     Bonds (One Hundred
     Sixty-Fifth Series)
     5.647% 11/1/40 3,300,000 3,916,407
University of California
     Series Y-1 0.928%
     7/1/41 ● 500,000 499,595
Total Municipal Bonds
(cost $31,096,234) 31,351,090
 
Non-Agency Asset-Backed Securities – 4.66%
ABFC Trust
     Series 2006-HE1 A2D
     0.642% 1/25/37 ● 465,126 288,140
Accredited Mortgage
     Loan Trust
     Series 2006-2 A4
     0.682% 9/25/36 ● 3,500,000 2,963,873
     Series 2007-1 A3
     0.552% 2/25/37 ● 2,330,299 2,221,621
AEP Texas Central Transition
     Funding II
     Series 2006-A A4
     5.17% 1/1/18 422,014 440,924
American Express Credit
     Account Master Trust
     Series 2013-1 A
     0.751% 2/16/21 ● 500,000 499,895
     Series 2013-2 A
     0.751% 5/17/21 ● 530,000 530,036
     Series 2014-1 A
     0.601% 12/15/21 ● 1,000,000 996,607
American Express Credit
     Account Secured Note Trust
     Series 2012-4 A
     0.571% 5/15/20 ● 3,190,000 3,181,424

22 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

      Principal Value
amount° (U.S. $)
Non-Agency Asset-Backed Securities (continued)      
Ameriquest Mortgage      
     Securities Asset-Backed
     Pass Through Certificates
     Series 2005-R5 M2
       0.882% 7/25/35 ⧫● 1,400,000 $ 1,342,860
     Series 2005-R7 M2
     0.922% 9/25/35 ⧫● 2,000,000 1,828,104
Argent Securities
     Asset-Backed Pass Through
     Certificates
     Series 2003-W9 M1
     1.457% 1/25/34 ● 345,435 321,098
Argent Securities Trust
     Series 2006-M1 A2C  
     0.572% 7/25/36 ● 1,440,269 584,795
     Series 2006-M1 A2D
     0.662% 7/25/36 ● 1,440,269 598,147
     Series 2006-W4 A2C
     0.582% 5/25/36 ● 740,164 262,931
Avis Budget Rental Car
     Funding AESOP
     Series 2011-3A A 144A
     3.41% 11/20/17 # 565,000 571,248
     Series 2013-1A A 144A
     1.92% 9/20/19 # 700,000 694,752
     Series 2014-1A A 144A
     2.46% 7/20/20 # 665,000 667,105
BA Credit Card Trust
     Series 2014-A2 A
     0.601% 9/16/19 ● 1,000,000 998,868
     Series 2014-A3 A
     0.621% 1/15/20 ● 1,170,000 1,168,721
     Series 2015-A1 A
     0.661% 6/15/20 ● 3,185,000 3,178,765
Bear Stearns Asset-Backed
     Securities Trust
     Series 2007-SD1 22A1
     8.419% 10/25/36 ● 242,706 173,755
Bear Stearns Asset-Backed
     Securities I Trust
     Series 2005-FR1 M2
     1.092% 6/25/35 ● 2,000,000 1,764,188
     Series 2007-HE2 1A2
     0.592% 3/25/37 ● 525,948 520,732
California Republic Auto
     Receivables Trust
     Series 2013-1 A2 144A
     1.41% 9/17/18 # 105,949 105,894
Capital One Multi-Asset
     Execution Trust
     Series 2007-A1 A1
     0.381% 11/15/19 ● 500,000 498,558
     Series 2007-A5 A5
     0.371% 7/15/20 ● 1,380,000 1,373,134
Centex Home Equity Loan
     Trust
     Series 2002-A AF6
     5.54% 1/25/32 2,976 2,970
Chase Issuance Trust
     Series 2007-A2 A2
     0.381% 4/15/19 ● 550,000 548,138
     Series 2007-A12 A12
     0.381% 8/15/19 ● 500,000 497,216
     Series 2013-A6 A6
     0.751% 7/15/20 ● 500,000 499,881
     Series 2013-A9 A
     0.751% 11/16/20 ● 3,150,000 3,150,090
     Series 2014-A5 A5
     0.701% 4/15/21 ● 500,000 497,536
Chesapeake Funding
     Series 2014-1A A 144A
     0.689% 3/7/26 #● 794,879 792,149
Citibank Credit Card Issuance
     Trust
     Series 2006-A8 A8
     0.361% 12/17/18 ● 500,000 498,778
     Series 2013-A2 A2
     0.698% 5/26/20 ● 1,450,000 1,445,494
     Series 2013-A4 A4
     0.838% 7/24/20 ● 500,000 499,602
     Series 2013-A7 A7
     0.723% 9/10/20 ● 500,000 499,565
     Series 2014-A9 A9
     0.67% 11/23/18 ● 2,475,000 2,474,301
Citicorp Residential Mortgage
     Trust
     Series 2006-3 A5
     5.948% 11/25/36 ϕ 900,000 893,391
Citigroup Mortgage Loan
     Trust
     Series 2007-FS1 1A1 144A
     4.584% 10/25/37 #ϕ 2,121,050 1,952,569
Countrywide Asset-Backed
     Certificates
     Series 2004-3 2A
     0.822% 8/25/34 ● 59,986 56,959
     Series 2005-AB2 2A3
     0.807% 11/25/35 ● 745,901 716,026

(continues)       NQ-OPTFI [12/15] 2/16 (16075) 23


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

      Principal Value
      amount°       (U.S. $)
Non-Agency Asset-Backed Securities (continued)
Countrywide Asset-Backed
     Certificates
     Series 2006-1 AF6
     4.942% 7/25/36 ● 1,154,497 $ 1,148,633
     Series 2006-26 2A4
     0.642% 6/25/37 ● 2,000,000 1,408,790
     Series 2007-6 2A4
     0.732% 9/25/37 ● 937,186 466,213
CWABS Asset-Backed
     Certificates Trust
     Series 2005-7 MV3
     1.002% 11/25/35 ● 400,000 363,095
     Series 2006-11 1AF6
     4.723% 9/25/46 ● 505,944 750,330
     Series 2006-17 2A2
     0.572% 3/25/47 ● 4,043,602 3,579,885
Dell Equipment Finance Trust
     Series 2015-2 A1 144A
     0.53% 10/24/16 # 1,639,827 1,639,830
Discover Card Execution
     Note Trust
     Series 2012-A4 A4
     0.701% 11/15/19 ● 600,000 600,025
     Series 2013-A1 A1
     0.631% 8/17/20 ● 450,000 449,220
     Series 2013-A6 A6
     0.781% 4/15/21 ● 2,000,000 1,998,435
     Series 2014-A1 A1
     0.761% 7/15/21 ● 1,940,000 1,937,674
Ford Credit Floorplan Master
     Owner Trust A
     Series 2014-1 A2
     0.731% 2/15/19 ● 750,000 747,468
     Series 2014-4 A2
     0.681% 8/15/19 ● 1,240,000 1,234,401
GE Dealer Floorplan Master
     Note Trust
     Series 2013-1 A
     0.802% 4/20/18 ● 550,000 550,003
     Series 2014-2 A
     0.852% 10/20/19 ● 1,000,000 998,190
Golden Credit Card Trust
     Series 2014-2A A 144A
     0.781% 3/15/21 #● 420,000 416,956
GreatAmerica Leasing
     Receivables Funding
     Series 2013-1 B 144A
     1.44% 5/15/18 # 100,000 99,646
GSAMP Trust
     Series 2006-FM3 A2D
     0.652% 11/25/36 ● 1,283,695 726,301
GSAMP Trust
     Series 2006-HE6 A3
     0.572% 8/25/36 ● 1,139,440 865,248
HOA Funding
     Series 2014-1A A2 144A
     4.846% 8/20/44 # 1,053,000 957,210
Home Equity Mortgage Loan
     Asset-Backed Trust
     Series 2007-A 2A3
     0.662% 4/25/37 ● 1,937,905 1,183,000
HSI Asset Securitization Trust
     Series 2006-HE1 2A1
     0.472% 10/25/36 ● 38,813 20,054
JPMorgan Mortgage
     Acquisition Trust
     Series 2006-CW2 AV5
     0.662% 8/25/36 ● 500,000 406,703
Merrill Lynch Mortgage
     Investors Trust
     Series 2006-FF1 M2
     0.712% 8/25/36 ● 2,000,000 1,898,660
MMAF Equipment Finance
     Series 2014-AA A4 144A
     1.59% 2/8/22 # 810,000 804,345
Morgan Stanley ABS
     Capital I Trust
     Series 2007-HE1 A2C
     0.572% 11/25/36 ● 6,460,318 3,827,897
     Series 2007-HE5 A2D
     0.762% 3/25/37 ● 4,247,968 2,215,473
New Century Home Equity
     Loan Trust
     Series 2005-1 M2
     1.142% 3/25/35 ● 647,797 562,333
Option One Mortgage Loan
     Trust
     Series 2007-4 2A4
     0.732% 4/25/37 ● 8,028,831 4,799,815
Penarth Master Issuer
     Series 2015-2A A1 144A
     0.76% 5/18/19 #● 4,400,000 4,388,208
PFS Financing
     Series 2015-AA A 144A
     0.951% 4/15/20 #● 250,000 245,697
RAAC Trust
     Series 2005-SP2 2A
     0.722% 6/25/44 ● 714,166 607,352
RAMP Trust
     Series 2006-RZ5 A2
     0.602% 8/25/46 ● 496,673 481,222
     Series 2007-RZ1 A2
     0.582% 2/25/37 ● 926,183 844,979

24 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

Principal Value
                    amount°       (U.S. $)
Non-Agency Asset-Backed Securities (continued)
RASC Trust
     Series 2007-KS3 AI2
     0.602% 4/25/37 ● 16,049 $ 16,038
Rise
     Series 2014-1 A
     4.75% 2/15/39 ● 2,656,250 2,629,688
Santander Drive Auto
     Receivables Trust
     Series 2014-5 A2B
     0.731% 4/16/18 ● 295,431 295,290
SLM Student Loan Trust
     Series 2008-9 A
     1.82% 4/25/23 ● 2,753,977 2,755,856
     Series 2012-5 A2
     0.722% 6/25/19 ● 670,230 663,356
Soundview Home Loan Trust
     Series 2006-OPT2 A3
     0.602% 5/25/36 ● 2,883,455 2,724,810
     Series 2006-WF2 A1
     0.552% 12/25/36 ● 889,031 853,349
Structured Asset Investment
     Loan Trust
     Series 2003-BC2 M1
     1.802% 4/25/33 ● 43,983 36,617
Trade MAPS 1
     Series 2013-1A A 144A
     0.993% 12/10/18 #● 500,000 496,824
Total Non-Agency
Asset-Backed Securities
(cost $95,199,741) 96,495,959
 
Non-Agency Collateralized Mortgage Obligations – 2.53%
Alternative Loan Trust
     Series 2004-J1 1A1
     6.00% 2/25/34 2,259 2,337
     Series 2004-J2 7A1
     6.00% 12/25/33 1,154 1,167
Alternative Loan Trust
     Resecuritization
     Series 2008-2R 3A1
     6.00% 8/25/37 1,774,817 1,439,881
ARM Trust
     Series 2004-5 3A1
     2.626% 4/25/35 ● 1,242,720 1,241,301
     Series 2005-10 3A31
     2.819% 1/25/36 ● 464,315 406,736
     Series 2006-2 1A4
     2.843% 5/25/36 ● 1,382,325 1,223,503
Bank of America
     Alternative Loan Trust
     Series 2005-3 2A1
     5.50% 4/25/20 21,780 21,813
     Series 2005-6 7A1
     5.50% 7/25/20 75,243 73,435
Bank of America
     Funding Trust
     Series 2006-I 1A1
     2.453% 12/20/36 ● 576,499 581,297
Bank of America
     Mortgage Trust
     Series 2003-D 2A1
     2.791% 5/25/33 ● 616,473 615,660
Bear Stearns ARM Trust
     Series 2003-5 2A1
     2.605% 8/25/33 ● 92,538 92,450
     Series 2005-2 A2
     2.924% 3/25/35 ● 170,675 172,539
     Series 2005-5 A1
     2.32% 8/25/35 ● 1,732,920 1,748,446
Chase Mortgage Finance Trust
     Series 2005-A1 3A1
     2.684% 12/25/35 ● 210,904 190,950
ChaseFlex Trust
     Series 2006-1 A4
     4.775% 6/25/36 ● 420,000 360,367
CHL Mortgage Pass Through
     Trust
     Series 2003-21 A1 2.76%
     5/25/33 ⧫● 1,696 1,707
     Series 2007-4 1A1 6.00%
     5/25/37 ⧫ 1,812,999 1,625,243
Claris ABS
     Series 2011-1 A
     0.354% 10/31/60 ● EUR 4,352,166 4,665,268
CSMC
     Series 2005-1R 2A5 144A
     5.75% 12/26/35 # 2,267,767 1,997,758
CSMC Mortgage-Backed Trust
     Series 2007-1 5A14
     6.00% 2/25/37 407,916 356,070
     Series 2007-3 4A6
     0.672% 4/25/37 ● 442,624 365,327
     Series 2007-3 4A12
     6.328% 4/25/37 ●∑ 442,624 62,570
     Series 2007-3 4A15
     5.50% 4/25/37 196,539 187,459

(continues)       NQ-OPTFI [12/15] 2/16 (16075) 25


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

Principal Value
      amount° (U.S. $)
Non-Agency Collateralized Mortgage Obligations (continued)
Deutsche Mortgage Securities                  
     Re-REMIC Trust Certificates
     Series 2005-WF1 1A3
     144A 2.74% 6/26/35 #● 290,482 $ 288,649
Eurosail-UK
     Series 2007-4X A2A
     0.885% 6/13/45 ● GBP 130,691 191,437
First Horizon Mortgage Pass
     Through Trust
     Series 2005-AR2 2A1
     2.708% 6/25/35 ⧫● 172,450 163,585
GMACM Mortgage Loan Trust
     Series 2006-J1 A1
     5.75% 4/25/36 85,134 81,035
Granite Mortgages 03-2
     Series 2003-2 3A
     1.062% 7/20/43 ● GBP 255,469 376,765
GSMPS Mortgage Loan Trust
     Series 1998-3 A 144A
     7.75% 9/19/27 #● 6,382 6,600
JPMorgan Mortgage Trust
     Series 2006-A6 2A4L
     2.971% 10/25/36 ● 917,627 802,151
     Series 2006-A7 2A2
     2.919% 1/25/37 ● 180,641 158,597
     Series 2007-A1 6A1
     2.618% 7/25/35 ● 353,519 349,835
     Series 2014-2 B1 144A
     3.428% 6/25/29 #● 89,031 88,970
     Series 2014-2 B2 144A
     3.428% 6/25/29 #● 89,031 87,622
     Series 2015-4 B1 144A
     3.636% 6/25/45 #● 505,433 491,567
     Series 2015-4 B2 144A
     3.636% 6/25/45 #● 361,732 344,357
JPMorgan Trust
     Series 2015-1 B1 144A
     2.664% 12/25/44 #● 660,455 651,566
     Series 2015-5 B2 144A
     2.91% 5/25/45 #● 546,991 509,066
     Series 2015-6 B1 144A
     3.657% 10/25/45 #● 368,437 366,071
     Series 2015-6 B2 144A
     3.657% 10/25/45 #● 358,480 349,224
Lehman Mortgage Trust
     Series 2007-10 2A2
     6.50% 1/25/38 2,474,047 1,933,706
Ludgate Funding
     Series 2006-1X A2A
     0.763% 12/1/60 ● GBP 2,093,228 2,782,161
Ludgate Funding
     Series 2008-W1X A1
     1.191% 1/1/61 ● GBP 951,481 1,320,044
Mansard Mortgages 2007-1
     Parent
     Series 2007-1X A2
     0.759% 4/15/47 ● GBP 1,002,253 1,343,206
MASTR Alternative Loan Trust
     Series 2004-3 8A1
     7.00% 4/25/34 4,181 4,298
     Series 2004-5 6A1
     7.00% 6/25/34 57,984 61,499
MASTR ARM Trust
     Series 2003-6 1A2
     2.70% 12/25/33 ● 3,836 3,808
     Series 2004-4 4A1
     2.582% 5/25/34 ● 138,199 133,704
MASTR Asset Securitization
     Trust
     Series 2003-9 2A7
     5.50% 10/25/33 50,432 50,433
Merrill Lynch Mortgage
     Investors Trust
     Series 2004-A1 2A2
     2.483% 2/25/34 ● 8,845 8,904
Opteum Mortgage
     Acceptance Trust
     Series 2006-1 2A1
     5.75% 4/25/36 ● 1,347,324 1,376,462
RALI Trust
     Series 2004-QS2 CB
     5.75% 2/25/34 40,003 41,385
RFMSI Trust
     Series 2004-S9 1A23
     5.50% 12/25/34 3,147,870 3,162,843
     Series 2004-S9 2A1
     4.75% 12/25/19 120,655 121,480
Sequoia Mortgage Trust
     Series 2004-5 A3
     1.166% 6/20/34 ● 309,305 305,496
     Series 2007-1 4A1
     2.822% 9/20/46 ● 983,054 786,484
     Series 2013-11 B1 144A
     3.679% 9/25/43 #● 403,758 401,550
     Series 2015-1 B2 144A
     3.896% 1/25/45 #● 386,998 387,008
Structured ARM Loan Trust
     Series 2005-22 1A4
     2.597% 12/25/35 ● 1,832,623 1,453,739
     Series 2006-1 7A4
     4.565% 2/25/36 ● 919,751 746,161

26 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

Principal Value
                  amount°       (U.S. $)
Non-Agency Collateralized Mortgage Obligations (continued)
Structured Asset Mortgage
     Investments II Trust
     Series 2005-AR5 A2
     0.652% 7/19/35 ● 751,878 $ 728,123
Structured Asset Securities
     Trust
     Series 2005-6 4A1
     5.00% 5/25/35 50,701 51,368
Thrones
     Series 2013-1 A
     2.082% 7/20/44 ● GBP 1,962,300 2,888,906
WaMu Mortgage Pass
     Through Certificates Trust
     Series 2005-AR13 A1A1
     0.712% 10/25/45 ⧫● 4,770,772 4,394,229
     Series 2005-AR16 1A3
     2.568% 12/25/35 ⧫● 807,842 764,462
     Series 2007-HY1 3A3
     4.294% 2/25/37 ⧫● 406,303 373,872
     Series 2007-HY7 4A1
     4.408% 7/25/37 ⧫● 881,559 810,460
Washington Mutual
     Alternative Mortgage Pass
     Through Trust
     Series 2005-1 5A2 6.00%
     3/25/35 ⧫ 45,768 21,293
Wells Fargo Mortgage-Backed
     Securities Trust
     Series 2005-AR16 2A1
     2.753% 2/25/34 ● 205,875 207,961
     Series 2006-2 3A1
     5.75% 3/25/36 131,164 133,760
     Series 2006-3 A11
     5.50% 3/25/36 138,531 142,337
     Series 2006-6 1A3
     5.75% 5/25/36 71,801 70,383
     Series 2006-AR5 2A1
     2.714% 4/25/36 ● 77,451 72,672
     Series 2006-AR11 A6
     2.752% 8/25/36 ● 1,086,946 1,023,051
     Series 2006-AR17 A1
     2.733% 10/25/36 ● 638,440 604,735
     Series 2007-10 1A36
     6.00% 7/25/37 451,654 450,542
WinWater Mortgage Loan
     Trust
     Series 2015-3 B1 144A
     3.911% 3/20/45 #● 546,906 545,512
Total Non-Agency
Collateralized Mortgage
Obligations
(cost $54,637,720) 52,448,418
 
Regional Bonds – 0.17%Δ
Argentina – 0.03%
Provincia de Buenos Aires
     144A 9.95% 6/9/21 # 630,000 650,475
650,475
Australia – 0.05%
New South Wales Treasury
     4.00% 5/20/26 AUD 916,900 716,480
Queensland Treasury 144A
     3.25% 7/21/26 # AUD 446,000 317,953
1,034,433
Canada – 0.03%
Province of Ontario Canada
     3.45% 6/2/45 CAD 551,000 416,685
Province of Quebec Canada
     6.00% 10/1/29 CAD 155,000 152,088
568,773
Spain – 0.06%
Autonomous Community of
     Catalonia 4.95% 2/11/20   EUR 1,100,000 1,291,045
1,291,045
Total Regional Bonds
(cost $3,959,890) 3,544,726
                 
Senior Secured Loans – 6.02%«
Accudyne Industries Borrower
     1st Lien 4.00% 12/13/19 952,743 815,389
Aercap Flying Fortress Tranche
     B 1st Lien 3.50% 4/30/20 1,151,000 1,148,362
Air Medical Group Holdings
     Tranche B 1st Lien
     4.50% 4/28/22 2,263,625 2,194,301
Albertsons 1st Lien
     5.50% 12/21/22 220,000 218,785
Albertson’s Tranche B4 1st
     Lien 5.50% 8/25/21 2,676,781 2,658,378
Altice Financing Tranche B 1st
     Lien 5.25% 2/4/22 1,174,100 1,172,632

(continues)       NQ-OPTFI [12/15] 2/16 (16075) 27


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

Principal Value
            amount°       (U.S. $)
Senior Secured Loans« (continued)
Amaya Gaming Holdings 1st
     Lien 5.00% 8/1/21 1,215,105 $ 1,138,149
American Tire Distributors 1st
     Lien 5.25% 9/26/21 878,984 869,462
Applied Systems 1st Lien
     4.25% 1/23/21 257,102 252,855
Applied Systems 2nd Lien
     7.50% 1/23/22 @ 753,128 730,063
Arnhold & S Bleichroeder
     Holdings Tranche B 1st Lien
     4.75% 12/1/22 1,820,000 1,798,766
Atkore International 2nd Lien
     7.75% 10/9/21 850,000 744,813
Avago Technologies Cayman
     Finance Tranche B 1st Lien
     4.25% 11/13/22 5,745,000 5,683,563
Axalta Coating Systems US
     Holdings 1st Lien
     3.75% 2/1/20 666,033 661,632
Berry Plastics Group 1st Lien
     4.00% 10/1/22 350,529 348,185
BJ’s Wholesale Club 2nd Lien
     8.50% 3/31/20 @ 1,300,000 1,171,083
BJ’s Wholesale Club Tranche B
     1st Lien 4.50% 9/26/19 1,335,461 1,279,037
Blue Ribbon 1st Lien
     5.50% 11/13/21 706,329 706,329
Blue Ribbon 2nd Lien
     9.25% 11/13/22 290,000 285,167
Builders FirstSourse Tranche B
     1st Lien 6.00% 7/31/22 1,476,608 1,461,842
Burlington Coat Factory
     Warehouse Tranche B3 1st
     Lien 4.25% 8/13/21 588,650 582,212
BWAY Holding Tranche B 1st
     Lien 5.50% 8/14/20 719,050 696,280
Caesars Growth Properties
     Holdings Tranche B 1st Lien
     6.25% 5/8/21 @ 1,315,721 1,161,946
Calpine Tranche B 1st Lien
     4.00% 1/15/23 810,000 778,950
CCO Safari III Tranche H 1st
     Lien 3.25% 8/24/21 167,000 165,898
CCO Safari III Tranche I 1st
     Lien 3.50% 1/21/23 500,000 499,625
CDS US Intermediate Holdings
     2nd Lien
     9.25% 6/24/23 @ 205,000 193,725
CityCenter Holdings Tranche B
     1st Lien 4.25% 10/16/20 560,816 558,363
ColourOZ Investment 1st Lien
     4.50% 9/7/21 444,892 430,803
CommScope Tranche B 1st
     Lien 3.75% 12/29/22 600,495 597,586
Communications Sales &
     Leasing Tranche B 1st Lien
     5.00% 10/24/22 358,075 333,234
Community Health Systems
     Tranche F 1st Lien
     3.657% 12/31/18 419,534 414,214
Community Health Systems
     Tranche G 1st Lien
     3.75% 12/31/19 990,833 967,456
Community Health Systems
     Tranche H 1st Lien
     4.00% 1/27/21 2,037,031 2,004,567
Crown Castle Operating
     Tranche B2 1st Lien
     3.00% 1/31/21 338,714 336,597
DAE Aviation Holdings 1st
     Lien 5.25% 7/7/22 550,000 548,711
DaVita Healthcare Partners
     Tranche B 1st Lien
     3.50% 6/24/21 743,675 741,440
Dell International Tranche C
     1st Lien 3.75% 10/29/18 5,432,773 5,423,717
DPx Holdings 1st Lien
     4.25% 3/11/21 1,324,825 1,280,112
Dynegy Tranche B2
     4.00% 4/23/20 525,044 508,964
Emdeon 1st Lien
     3.75% 11/2/18 756,358 744,067
Energy Transfer Equity 1st Lien
     3.25% 12/2/19 @ 539,750 487,574
     4.00% 12/2/19 413,588 377,141
FCA Tranche B 1st Lien
     3.25% 12/31/18 1,036,538 1,028,893
First Data Tranche B 1st Lien
     4.168% 7/10/22 918,000 905,870
     4.418% 3/24/21 876,681 875,115
First Data Tranche C1 1st Lien
     3.918% 3/24/18 1,835,000 1,814,356
Flint Group 2nd Lien
     8.25% 9/7/22 @ 235,000 227,069
Flint Group Tranche C 1st Lien
     4.50% 9/7/21 73,546 71,845
FMG Resources August 2006
     Pty 1st Lien
     4.25% 6/30/19 798,060 599,099
Gardner Denver 1st Lien
     4.25% 7/30/20 1,609,351 1,454,451

28 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

Principal Value
            amount°       (U.S. $)
Senior Secured Loans« (continued)
Gates Global 1st Lien
     4.25% 7/3/21 1,232,813 $ 1,159,871
Green Energy Partners/Panda
     Stonewall Tranche B 1st
     Lien 6.50% 11/13/21 326,000 317,850
HCA 1st Lien
     3.174% 3/31/17 5,345,316 5,344,948
HCA Tranche B4 1st Lien
     3.357% 5/1/18 196,478 196,505
Hilton Worldwide Finance
     Tranche B2 1st Lien
     3.50% 10/25/20 2,993,585 2,990,965
Houghton International 1st
     Lien 4.25% 12/20/19 111,550 111,178
Houghton International 2nd
     Lien 9.75% 12/21/20 @ 205,000 203,719
Hudson’s Bay 1st Lien
     4.75% 9/30/22 559,908 558,683
Huntsman International
     Tranche B 1st Lien
     3.75% 10/1/21 960,300 954,298
Hyperion Insurance Group
     Tranche B 1st Lien
     5.50% 4/30/22 838,663 836,566
IASIS Healthcare Tranche B
     1st Lien 4.50% 5/3/18 648,567 637,865
IBC Capital 1st Lien
     4.75% 9/15/21 @ 450,928 412,975
Immucor Tranche B2 1st Lien
     5.00% 8/19/18 @ 2,651,213 2,525,280
Ineos US Finance Tranche B
     1st Lien
     3.75% 12/15/20 1,930,236 1,857,852
     4.25% 3/31/22 263,011 254,558
Intelsat Jackson Holdings
     Tranche B2 1st Lien
     3.75% 6/30/19 1,426,616 1,353,145
KIK Custom Products 1st Lien
     6.00% 8/26/22 @ 2,014,950 1,939,389
Kinetic Concepts Tranche E1
     1st Lien 4.50% 5/4/18 669,660 645,664
Landry’s Tranche B 1st Lien
     4.00% 4/24/18 505,346 503,530
Level 3 Financing Tranche B
     1st Lien 4.00% 1/15/20 985,000 984,749
LTS Buyer 1st Lien
     4.00% 4/13/20 112,149 109,555
LTS Buyer 2nd Lien
     8.00% 4/1/21 @ 627,238 611,165
MacDermid Tranche B 1st Lien
     5.50% 6/7/20 967,575 939,273
Marina District Finance
     Tranche B 1st Lien
     6.50% 8/15/18 972,687 975,321
Mauser Holdings 2nd Lien
     8.75% 7/31/22 @ 85,000 76,500
MGM Resorts International
     1st Lien 3.50% 12/20/19 1,611,982 1,594,351
Microsemi Tranche B 1st Lien
     5.25% 12/17/22 725,000 713,899
MPH Acquisition Tranche B
     1st Lien 3.75% 3/31/21 2,063,559 2,013,689
Neiman Marcus Group 1st
     Lien 4.25% 10/25/20 282,879 251,143
Neptune Finco 1st Lien
     5.00% 10/9/22 655,000 654,942
NRG Energy Tranche B 1st
     Lien 2.75% 7/1/18 1,480,518 1,445,819
Numericable US 1st Lien
     4.50% 5/21/20 1,255,324 1,238,750
Numericable US Tranche B2
     1st Lien 4.50% 5/21/20 1,086,026 1,049,713
NXP Tranche B1 1st Lien
     3.75% 12/7/20 1,000,000 996,875
Panda Hummel Tranche B1
     1st Lien 7.00% 10/27/22 315,000 297,675
Panda Liberty Tranche B 1st
     Lien 7.50% 8/21/20 1,131,000 1,051,830
Penney (J.C.) 1st Lien
     6.00% 5/22/18 1,277,449 1,257,090
Prime Security Services
     Borrower 1st Lien
     5.00% 7/1/21 1,187,025 1,170,703
Prime Security Services
     Borrower 2nd Lien
     9.75% 7/1/22 @ 1,190,000 1,136,450
Quickrete Holdings 2nd Lien
     7.00% 3/30/21 290,463 290,917
Republic of Angola
     (Unsecured)
     7.045% 12/16/23 @ 1,850,000 1,591,000
Reynolds Group Holdings
     Tranche B 1st Lien
     4.50% 12/1/18 1,508,883 1,496,033
Rite Aid 2nd Lien
     4.875% 6/21/21 230,000 229,784
     5.75% 8/21/20 1,075,000 1,080,599
Sable International Finance
     Tranche B1 1st Lien
     5.50% 12/2/22 1,150,000 1,128,438

(continues)       NQ-OPTFI [12/15] 2/16 (16075) 29


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

            Principal Value
                  amount°       (U.S. $)
Senior Secured Loans« (continued)
Sable International Finance
     Tranche B2 1st Lien
     5.50% 12/2/22 945,000 $ 927,872
SAM Finance Tranche B 1st
     Lien 4.25% 12/17/20 704,361 706,782
Sensus USA 1st Lien
     5.75% 5/9/17 879,450 859,662
Sensus USA 2nd Lien
     8.50% 5/9/18 @ 295,000 289,838
SIG Combibloc PurchasedCo
     Tranche B 1st Lien
     4.25% 3/13/22 853,550 842,500
Sinclair Television Group
     Tranche B1 1st Lien
     3.50% 7/31/21 3,810,850 3,788,727
Smart & Final Stores Tranche
     B 1st Lien
     4.00% 11/15/19 349,932 347,454
Solenis International 1st Lien
     4.25% 7/31/21 399,937 384,607
Spectrum Brands 1st Lien
     3.50% 6/23/22 464,219 463,224
Stardust Finance Holdings
     Tranche B 1st Lien
     6.50% 3/13/22 @ 1,595,936 1,552,047
Summit Materials Tranche B
     1st Lien 4.25% 7/17/22 547,250 542,291
SUPERVALU 1st Lien
     4.50% 3/21/19 46,680 46,133
Surgical Care Affiliates
     Tranche B 1st Lien
     4.25% 3/17/22 754,300 751,943
Team Health Tranche B 1st
     Lien 4.50% 11/23/22 1,215,000 1,215,380
T-Mobile USA Tranche B 1st
     Lien 3.50% 11/9/22 1,215,000 1,216,346
TransDigm Tranche E 1st Lien
     3.50% 5/14/22 600,312 582,625
Tribune Media Tranche B 1st
     Lien 3.75% 12/27/20 547,250 542,462
Univar USA Tranche B 1st Lien
     4.25% 7/1/22 176,558 171,497
Univision Communications 1st
     Lien 4.00% 3/1/20 919,219 901,600
Univision Communications
     Tranche C4 1st Lien
     4.00% 3/1/20 2,369,272 2,324,355
US Airways Tranche B1 1st
     Lien 3.50% 5/23/19 254,553 252,365
US Airways Tranche B2 1st
     Lien 3.00% 11/23/16 87,220 87,165
US Renal Care 1st Lien
     5.25% 12/31/22 610,000 606,696
USI Tranche B 1st Lien
     4.25% 12/27/19 552,996 534,506
Valeant Pharmaceuticals
     International 1st Lien
     3.75% 12/11/19 950,000 917,047
Valeant Pharmaceuticals
     International Tranche BE
     1st Lien 3.75% 8/5/20 702,245 675,472
Varsity Brands Holdings
     Tranche B 1st Lien
     5.00% 12/11/21 790,314 782,905
Weight Watchers International
     1st Lien 3.20% 4/2/16 268,112 264,465
WideOpenWest Finance
     Tranche B 1st Lien
     4.50% 4/1/19 151,346 146,201
Ziggo Tranche B 1st Lien
     3.50% 1/15/22 616,000 599,397
Ziggo Tranche B Delayed
     Draw 1st Lien
     3.50% 1/15/22 1,013,100 985,794
Ziggo Tranche B1 1st Lien
     3.50% 1/15/22 955,900 930,136
Total Senior Secured Loans
(cost $127,078,597) 124,579,271
                 
Sovereign Bonds – 3.20%Δ
Australia – 0.01%
Australia Government
     Bond 3.75% 4/21/37 AUD 352,000 268,718
268,718
Brazil – 1.21%
Banco Nacional de
     Desenvolvimento
     Economico e Social
     144A 6.369%
     6/16/18 # 1,500,000 1,481,250
     144A 6.50% 6/10/19 # 2,500,000 2,456,250
Brazil Letras do Tesouro
     Nacional
     12.56% 4/1/16 ^ BRL 77,100,000 18,823,823
     13.585% 7/1/16 ^ BRL 6,400,000 1,507,405
Brazilian Government
     International Bond
     5.00% 1/27/45 1,200,000 807,000
25,075,728

30 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

Principal Value
                  amount°       (U.S. $)
Sovereign BondsΔ (continued)
Cameroon – 0.03%
Republic of Cameroon
     International Bond
     144A 9.50%
     11/19/25 # 720,000 $ 671,400
671,400
Canada – 0.01%
Canadian Government
     Bond 2.75% 12/1/48 CAD 171,000 140,220
140,220
Colombia – 0.03%
Colombia Government
     International Bond
     5.00% 6/15/45 700,000 588,000
588,000
Costa Rica – 0.03%
Costa Rica Government
     International Bond
     5.625% 4/30/43 841,000 607,623
607,623
Croatia – 0.03%
Croatia Government
     International Bond
     144A 6.375%
     3/24/21 # 655,000 696,801
696,801
Cyprus – 0.08%
Cyprus Government
     International Bond
     3.875% 5/6/22 EUR 1,400,000 1,586,048
1,586,048
Czech Republic – 0.01%
Czech Republic Ministry of
     Finance Bill
     0.05% 2/12/16 ≠ CZK 4,000,000 160,872
     0.05% 2/19/16 ≠ CZK 3,000,000 120,701
281,573
Dominican Republic – 0.06%
Dominican Republic
     International Bond
     144A 5.50% 1/27/25 # 1,200,000 1,161,000
1,161,000
Indonesia – 0.05%
Indonesia Government
     International Bond
     144A 4.875% 5/5/21 # 450,000 467,806
Indonesia Government
     International Bond
     144A 5.125%
     1/15/45 # 200,000 181,299
     144A 5.95% 1/8/46 # 400,000 395,831
1,044,936
Japan – 0.01%
Japan Government 40 yr
     Bond 1.40% 3/20/55 JPY 19,050,000 158,939
158,939
Kazakhstan – 0.03%
Kazakhstan Government
     International Bond
     144A 5.125%
     7/21/25 # 605,000 598,357
598,357
Mexico – 0.89%
Mexican Bonos
     7.50% 6/3/27 MXN 6,326,000 399,377
     8.00% 6/11/20 MXN 19,500,000 1,246,352
     8.50% 12/13/18 MXN   240,000,000 15,329,471
     10.00% 12/5/24 MXN 15,136,000 1,107,807
Mexico Government
     International Bond
     3.60% 1/30/25 200,000 195,400
     4.60% 1/23/46 200,000 177,750
  18,456,157
Namibia – 0.02%
Namibia International
     Bonds 144A 5.25%
     10/29/25 #   400,000 373,468
373,468
Norway – 0.01%
Kommunalbanken 5.00%
     3/28/19 NZD 72,000 51,557
Norway Government Bond
     144A 1.75% 3/13/25 # NOK 574,000 66,586
     144A 2.00% 5/24/23 # NOK 126,000 14,999
133,142
Pakistan – 0.04%
Pakistan Government
     International Bond
     144A 7.875%
     3/31/36 # 886,000 803,859
803,859

(continues)       NQ-OPTFI [12/15] 2/16 (16075) 31


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

                  Principal       Value
amount° (U.S. $)
Sovereign BondsΔ (continued)
Peru – 0.04%
Peruvian Government
     International Bond
     4.125% 8/25/27 775,000 $ 763,375
  763,375
Poland – 0.01%
Poland Government Bond
     3.25% 7/25/25 PLN 1,087,000 285,202
285,202
Portugal – 0.01%
Portugal Government
     International Bond
     144A 5.125%
     10/15/24 # 131,000 133,987
  133,987
Republic of Korea – 0.08%
Inflation Linked Korea
     Treasury Bond 1.125%
     6/10/23 KRW   1,086,874,594 901,408
Korea International Bond
     7.125% 4/16/19 700,000 812,000
1,713,408
Serbia – 0.03%
Serbia International Bond
     144A 4.875%
     2/25/20 # 665,000 683,095
683,095
Singapore – 0.03%
Temasek Financial I 144A
     2.375% 1/23/23 # 560,000 549,618
549,618
Slovenia – 0.23%
Slovenia Government
     International Bonds
     5.50% 10/26/22 4,300,000 4,815,716
4,815,716
Sri Lanka – 0.05%
Sri Lanka Government
     International Bond
     144A 6.125% 6/3/25 # 880,000 785,948
     144A 6.85% 11/3/25 # 225,000 212,789
998,737
Turkey – 0.04%
Turkey Government
     International Bond
     4.25% 4/14/26 875,000 823,070
823,070
Ukraine – 0.03%
Ukraine Government
     International Bond
     144A 7.75% 9/1/20 # 585,000 541,125
541,125
United Kingdom – 0.06%
United Kingdom Gilt
     1.75% 9/7/22 GBP 100,000 148,644
     3.25% 1/22/44 GBP 270,500 444,011
     3.50% 1/22/45 GBP 138,800 238,927
United Kingdom Gilt
     Inflation Linked 0.125%
     3/22/24 GBP 279,390 437,609
1,269,191
Uruguay – 0.04%
Uruguay Government
     International Bond
     4.375% 10/27/27 953,000 941,087
941,087
Total Sovereign Bonds
(cost $73,471,763) 66,163,580
 
Supranational Banks – 0.23%
Corp Andina de Fomento
     0.874% 1/29/18 ● 1,800,000 1,785,897
European Bank for
     Reconstruction &
     Development 7.375%
     4/15/19 IDR 6,240,000,000 427,511
Inter-American
     Development Bank
     6.00% 9/5/17 INR 67,600,000 1,009,612
International Bank for
     Reconstruction &
     Development
     0.421% 4/17/19 ● 440,000 439,245
     2.50% 11/25/24 440,000 443,903
     3.75% 2/10/20 NZD 500,000 345,507
     4.625% 10/6/21 NZD 380,000 271,809
International Finance
     3.625% 5/20/20 NZD 163,000 111,836
Total Supranational
Banks (cost $5,079,351) 4,835,320
  
U.S. Treasury Obligations – 25.05%
U.S. Treasury Bonds
     2.50% 2/15/45 43,900,000 39,400,250

32 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

      Principal       Value
amount° (U.S. $)
U.S. Treasury Obligations (continued)
U.S. Treasury Bonds
     2.75% 8/15/42 900,000 $ 860,555
     2.75% 11/15/42 1,400,000 1,335,305
     2.875% 5/15/43 2,200,000 2,145,730
     2.875% 8/15/45 16,700,000 16,223,131
     3.00% 5/15/42 7,300,000 7,347,333
     3.00% 11/15/44 2,500,000 2,491,700
     3.00% 11/15/45 40,599,000 40,484,024
     3.125% 8/15/44 ∞ 10,000,000 10,222,850
U.S. Treasury Floating Rate
     Note
     0.383% 10/31/17 ● 44,195,000 44,158,760
U.S. Treasury Inflation
     Indexed Bonds
     0.125% 4/15/20 ∞ 5,992,158   5,920,180
     0.125% 7/15/22 2,068,480 2,007,880
     0.125% 7/15/24 35,658,740 33,906,683
     0.25% 1/15/25 3,414,110 3,261,964
     0.375% 7/15/25 7,321,389   7,093,928
     0.75% 2/15/45 4,848,048 4,239,046
     1.75% 1/15/28 32,037,602 35,052,404
     2.00% 1/15/26 3,834,592 4,265,259
     2.375% 1/15/25 22,812,621 25,961,242
     2.375% 1/15/27 6,097,343 7,057,394
     2.50% 1/15/29 12,772,588 15,154,727
     3.875% 4/15/29 274,884 374,004
U.S. Treasury Notes  
     0.75% 10/31/17 ∞ 29,900,000 29,744,071
     1.625% 11/30/20 ∞ 39,090,000 38,861,714
     2.00% 10/31/21 1,600,000 1,604,656
     2.00% 2/15/25 400,000 391,078
     2.125% 9/30/21 20,900,000 21,123,296
     2.25% 11/15/25 49,385,000 49,279,859
     2.375% 8/15/24 ∞ 7,800,000 7,882,571
     2.75% 2/15/24 58,500,000 60,943,955
Total U.S. Treasury
Obligations
(cost $526,367,457) 518,795,549
 
Number of
shares
Common Stock – 0.00%
  Century Communications =† 1,975,000 0
Total Common Stock
(cost $59,790) 0
 
Convertible Preferred Stock – 0.14%
Bank of America 7.25%
     exercise price $50.00,
     expiration date 12/31/49 203 221,934
Crown Castle International
     4.50% exercise price
     $87.58, expiration date
     11/1/16 3,100 332,537
Dominion Resources 6.125%
     exercise price $64.83,
     expiration date 4/1/16 5,082 269,753
Dynegy 5.375% exercise price
     $38.75, expiration date
     11/1/17 2,990 149,889
Exelon 6.50% exercise price
     $43.75, expiration date
     6/1/17 6,250 252,937
Halcon Resources 5.75%
     exercise price $30.78,
     expiration date
     12/31/49 @ 337 22,495
Huntington Bancshares
     8.50% exercise price
     $11.95, expiration date
     12/31/49 @ 305 414,800
Intelsat 5.75% exercise price
     $22.05, expiration date
     5/1/16 @ 11,332 141,650
Maiden Holdings 7.25%
     exercise price $15.22,
     expiration date 9/15/16 8,465 445,386
T-Mobile US 5.50% exercise
     price $31.02, expiration
     date 12/15/17 3,927 265,897
Wells Fargo 7.50% exercise
     price $156.71, expiration
     date 12/31/49 321 373,318
Total Convertible Preferred
Stock (cost $3,827,558) 2,890,596
 
Preferred Stock – 0.30%
Bank of America 6.10% ● 635,000 644,525
Citigroup 8.40% ● 1,900,000 2,077,175
Integrys Energy Group
     6.00% @● 35,650 921,331
National Retail Properties
     5.70% 5,000 124,050
PNC Preferred Funding Trust II
     144A 1.735% #● 2,000,000 1,795,000
Public Storage 5.20% 8,925 223,036

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 33


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

      Number of       Value
shares (U.S. $)
Preferred Stock (continued)
USB Realty 144A
     1.468% #@● 500,000 $ 451,250
Total Preferred Stock
(cost $6,110,192) 6,236,367
 
Number of
contracts
Options Purchased – 0.02%
Fixed Income Put Options - 0.00%
CBOT 5 yr Futures strike price
     $111, expires 2/19/16 47 367
U.S. Treasury 5 yr Bond
     Futures strike price $109,
     expiration date 2/19/16 500 3,906
U.S. Treasury 5 yr Notes
     Futures strike price
     $110.25 expires 2/19/16 500 3,907
8,180
Put Swaptions – 0.02%
10 yr IRS pay a fixed rate
     2.58% and receive a
     floating rate based on
     3-month USD-ICE LIBOR
     expiration date 5/23/16 10,300,000 69,741
10 yr IRS pay a fixed rate
     2.58% and receive a
     floating rate based on
     3-month USD-ICE LIBOR
     expiration date 5/23/16 4,400,000 26,783
30 yr IRS pay a fixed rate
     2.905% and receive a
     floating rate based on
     3-month USD-ICE LIBOR
     expiration date 8/20/18 4,400,000 387,583
484,107
Total Options Purchased
(premium paid $874,711) 492,287
 
Principal
amount°
Short-Term Investments – 7.35%
Discount Notes – 6.33%≠
Federal Home Loan Bank
     0.12% 1/4/16 3,564,011 3,564,011
     0.155% 2/3/16 9,566,510 9,564,596
     0.17% 1/21/16 8,541,346 8,540,782
     0.18% 2/26/16 8,448,731 8,445,749
     0.18% 3/7/16 9,907,538 9,902,505
Federal Home Loan Bank
     0.185% 1/19/16 4,152,833 4,152,592
     0.19% 3/22/16 6,265,019 6,261,085
     0.197% 1/25/16 20,074,401 20,072,755
     0.223% 1/29/16 800,000 799,922
     0.25% 2/9/16 13,052,814 13,049,681
     0.255% 2/18/16 24,378,510 24,371,196
     0.295% 3/2/16 2,079,232 2,078,261
     0.31% 3/14/16 20,244,024 20,232,607
131,035,742
Discounted Commercial Papers – 0.33%≠
ENI Finance USA
     1.30% 6/2/16 4,500,000 4,484,446
     1.30% 6/3/16 2,300,000 2,291,959
6,776,405
Repurchase Agreements – 0.64%
Bank of America Merrill Lynch
     0.24%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $4,587,484 (collateralized
     by
     U.S. government
     obligations 3.000%
     11/15/45; market value
     $4,679,111) 4,587,362 4,587,362
Bank of Montreal 0.26%,
     dated 12/31/15, to be
     repurchased on 1/4/16,
     repurchase price
     $7,645,824 (collateralized
     by
     U.S. government
     obligations
     0.75%-2.875%
     9/30/16-8/15/42; market
     value $7,798,517) 7,645,603 7,645,603
BNP Paribas 0.28%, dated
     12/31/15, to be
     repurchased on 1/4/16,
     repurchase price $999,067
     (collateralized by
     U.S. government
     obligations 0.000%
     2/15/31-2/15/43; market
     value $1,019,017) 999,036 999,035
13,232,000

34 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

      Principal       Value
amount° (U.S. $)
Short-Term Investments (continued)
U.S. Treasury Obligations – 0.05%≠
U.S. Treasury Bill
     1.30% 1/14/16 331,000 $ 330,991
     1.30% 1/28/16 793,000 792,935
  1,123,926
Total Short-Term
Investments
(cost $152,154,540) 152,168,073
 
Total Value of
Securities – 121.91%
(cost $2,556,760,640) $ 2,524,643,134
 
Number of
contracts
Options Written – (0.04%)
Currency Call Options – 0.00%  
USD vs BRL strike price $4.50,
     expiration date 2/12/16
     (JPMC) (5,200,000 ) (27,649 )
USD vs BRL strike price $4.55,    
     expiration date 3/17/16
     (DB) (2,900,000 )   0
(27,649 )
Currency Put Options – 0.00%
EUR vs USD strike price $108,
     expriation date 1/15/16
     (BAML) (6,900,000 ) (39,628 )
(39,628 )
Fixed Income Call Option – 0.00%
IMM Eurodollar Future strike
     price $98.75, expiration
     date 12/19/16 (MSC) (199 ) (93,281 )
(93,281 )
Fixed Income Put Options – (0.01%)
IMM Eurodollar Future strike
     price $98.75 , expiration
     date 12/19/16 (MSC) (199 ) (83,331 )
U.S. Treasury 5 yr Bond
     Futures strike price
     $117.75, expiration date
     2/19/16 (81 ) (24,680 )
(108,011 )
Put Swaptions – (0.03%)
2 yr IRS pay a fixed rate
     2.50% and receive a
     floating rate based on 1 yr
     USD-ICE LIBOR expiration
     date 5/12/16 (MSC) (42,300,000 ) (20,431 )
2 yr IRS pay a fixed rate
     2.50% and receive a
     floating rate based on 1 yr
     USD-ICE LIBOR expiration
     date 5/23/16 (MSC) (98,300,000 ) (53,278 )
5 yr IRS pay a fixed rate
     1.90% and receive a
     floating rate based on 1 yr
     USD-ICE LIBOR expiration
     date 2/16/16 (DB) (12,400,000 ) (27,702 )
5 yr IRS pay a fixed rate
     1.90% and receive a
     floating rate based on 1 yr
     USD-ICE LIBOR expiration
     date 2/16/16 /16 (MSC) (44,200,000 ) (98,743 )
5 yr IRS pay a fixed rate
     2.80% and receive a
     floating rate based on 1 yr
     USD-ICE LIBOR expiration
     date 8/20/18 (MSC) (19,500,000 ) (323,505 )
(523,659 )
Total Options Written
(premium
received $1,702,815) (792,228 )
 
Liabilities Net of
Receivables and Other
Assets – (21.87%)★ (452,852,856 )
Net Assets – 100.00% $ 2,070,998,050
____________________

#

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At Dec. 31, 2015, the aggregate value of Rule 144A securities was $320,421,111,which represents 15.47% of the Fund’s net assets.

@

Illiquid security. At Dec. 31, 2015, the aggregate value of illiquid securities was $29,951,978, which represents 1.45% of the Fund’s net assets.

⧫

Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes.

❆

100% of the income received was in the form of cash.

★

Of this amount, $5,041,520 represents cash collateral posted for open derivatives,$471,000 cash posted forTBA trades,$119,862,148 receivable for securities sold, $593,084,323 payable for securities purchased and $5,240,000 due to broker as of Dec. 31, 2015.


(continues)     NQ-OPTFI [12/15] 2/16 (16075) 35


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At Dec. 31, 2015,the aggregate value of fair valued securities was $0, which represents 0.00% of the Fund’s net assets.

≠

The rate shown is the effective yield at the time of purchase.

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

†

Non-income-producing security.

‡

Non-income-producing security. Security is currently in default.

●

Variable rate security. The rate shown is the rate as of Dec. 31, 2015. Interest rates reset periodically.

∞

Fully or partially pledged as collateral for futures contracts and reverse repurchase agreements.

Δ

Securities have been classified by country of origin.

Σ

Interest only security. An interest only security is the interest only portion of a fixed income security which is separated and sold individually from the principal portion of the security.

Ω

Principal only security. A principal only security is the principal only portion of a fixed income security which is separated and sold individually from the interest portion of the security.

∞

Fully or partially pledged as collateral for futures contracts.

^

Zero coupon security. The rate shown is the yield at the time of purchase.

«

Senior secured loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally: (i) the prime rate offered by one or more U.S. banks, (ii) the lending rate offered by one or more European banks such as the London Interbank Offered Rate (LIBOR), and (iii) the certificate of deposit rate. Senior secured loans may be subject to restrictions on resale. Stated rate in effect at Dec. 31, 2015.

ϕ

Step coupon bond. Coupon increases or decreases periodically based on a predetermined schedule. Stated rate in effect at Dec. 31, 2015.


The following foreign currency exchange contracts, futures contracts, reverse repurchase agreements, and swap contracts were outstanding at Dec. 31, 2015:

Foreign Currency Exchange Contracts

Unrealized
Contracts to Settlement Appreciation
Counterparty         Receive (Deliver)       In Exchange For       Date       (Depreciation)
BAML AUD (1,270,671 ) USD 909,038       1/29/16       $       (15,727 )
BAML CAD (1,517,726 ) USD 1,087,337 1/29/16 (9,403 )
BAML CAD (124,000 ) USD 93,491 2/11/16 3,883
BAML EUR 2,230,547 USD (2,427,437 ) 1/29/16 (1,725 )
BAML EUR (4,066,000 ) USD 4,432,164 2/11/16 8,926
BAML GBP (31,000 ) USD 46,979 2/11/16 1,273
BAML INR 195,177,450 USD (2,967,169 ) 1/21/16 (29,641 )
BAML JPY        (4,836,400,000 ) USD 39,421,230 1/5/16 (773,258 )
BAML JPY (95,283,834 ) USD 785,430 1/29/16 (7,774 )
BAML JPY 1,346,800,000 USD (11,010,176 ) 2/12/16 204,740
BAML MYR (5,947,448 ) USD 1,378,000 1/19/16 (5,232 )
BAML MYR (5,958,810 ) USD 1,389,000 2/26/16 6,878
BAML NZD (2,880,564 ) USD 1,940,664 1/29/16 (25,629 )
BAML SGD (4,390,000 ) USD 3,107,414 2/26/16 17,051
BAML TRY 4,206,855 USD (1,432,000 ) 1/20/16 1,972
BNP AUD (1,278,816 ) USD 914,328 1/29/16 (16,365 )
BNP BRL 661,807 USD (167,707 ) 2/2/16 (2,573 )
BNP CNY (3,194,309 ) USD 487,978 1/29/16 (3,020 )
BNP MXN (4,554,597 ) USD 265,381 1/29/16 1,668
BNP MYR (2,669,657 ) USD 616,549 1/19/16 (4,348 )
BNP NOK (4,227,664 ) USD 480,100 1/29/16 1,901
BNP RUB 135,912,740 USD (1,857,000 ) 3/23/16 (35,732 )
CITI AUD (1,492,000 ) USD 1,049,169 2/11/16 (35,946 )
CITI BRL (68,463,662 ) USD 20,579,434 4/1/16 3,827,802
CITI CZK (3,007,788 ) USD 125,677 2/19/16 4,554
CITI DKK (44,174,000 ) USD 6,810,420 1/4/16 377,733
CITI EUR 1,874,000 USD (2,058,896 ) 2/11/16 (20,246 )
CITI GBP 7,169,000 USD        (10,639,127 ) 1/5/16 (70,084 )
CITI GBP (7,169,000 ) USD 10,639,448 2/2/16 69,659
CITI INR (171,839,184 ) USD 2,587,452 1/21/16 1,178
CITI JPY 416,400,000 USD (3,428,832 ) 1/5/16 35,767
CITI MXN 126,765,000 USD (7,418,556 ) 3/14/16 (102,392 )
CITI MYR (26,954,084 ) USD 6,308,000 1/15/16 37,239
CITI MYR 2,066,400 USD (480,000 ) 5/24/16 (3,307 )
CITI PHP 75,580,320 USD (1,615,309 ) 1/21/16 (6,627 )
CITI TRY 9,530,179 USD (3,251,000 ) 1/20/16 (2,492 )
DB BRL (8,822,680 ) USD 2,229,581 2/2/16 28,142
DB CNY 3,194,309 USD (499,735 ) 1/29/16 (8,736 )
DB CZK (4,009,891 ) USD 168,937 2/12/16 7,496
DB EUR 1,274,000 USD (1,384,204 ) 2/11/16 1,729
DB GBP (7,169,000 ) USD 10,807,303 1/5/16 238,260
DB JPY (2,182,900,000 ) USD 17,701,946 1/5/16 (460,571 )
DB KRW 1,041,458,400 USD (891,041 ) 1/19/16 (5,126 )
DB KRW 339,085,600 USD (289,888 ) 1/21/16 (1,462 )
DB MXN (466,133,230 ) USD 26,707,608 3/14/16 (194,989 )
DB MYR (3,357,865 ) USD 766,986 1/19/16 (13,972 )
DB MYR 6,612,300 USD (1,550,000 ) 5/24/16 (24,624 )
DB PHP (74,595,870 ) USD 1,584,617 1/21/16 (3,111 )
DB RUB 102,960,800 USD (1,432,000 ) 3/23/16 (52,297 )
DB TWD 25,901,100 USD (791,840 ) 2/26/16 (4,513 )
HSBC GBP (502,482 ) USD 748,638 1/29/16 7,795
JPMC AUD (41,000 ) USD 28,799 2/11/16 (1,020 )
JPMC BRL 1,609,711 USD (413,074 ) 2/2/16 (11,419 )
JPMC BRL (4,089,390 ) USD 1,006,000 2/17/16 (10,159 )
JPMC BRL (6,400,000 ) USD 1,529,636 7/5/16 10,383
JPMC EUR (66,107,000 ) USD 71,285,173 2/11/16 (629,999 )
JPMC GBP (150,000 ) USD 227,642 2/11/16 6,485
JPMC JPY (6,732,400,000 ) USD 55,623,991 1/5/16 356,653
JPMC JPY (6,971,000,000 ) USD 57,641,224 2/2/16 (394,836 )
JPMC JPY (2,611,800,000 ) USD 21,348,169 2/12/16 386,928
JPMC KRW  (1,041,458,400 ) USD 912,000 1/19/16 26,085
JPMC KRW (401,883,820 ) USD 346,481 1/21/16 4,639
JPMC KRW (1,037,881,750 ) USD 880,381 1/29/16 (2,241 )
JPMC MXN 26,859,000 USD (1,560,027 ) 3/14/16 (9,877 )
JPMC MYR (3,863,478 ) USD 883,383 1/19/16 (15,168 )

36 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

Foreign Currency Exchange Contracts (continued)

Unrealized
Contracts to Settlement Appreciation
Counterparty         Receive (Deliver)       In Exchange For       Date       (Depreciation)
JPMC MYR 1,205,960 USD (280,000 ) 5/24/16 $       (1,800 )
JPMC PLN (864,314 ) USD 221,271 1/29/16 1,097
JPMC RUB 101,025,198 USD        (1,371,000 ) 3/23/16 (17,235 )
JPMC SEK 813,406 USD (95,323 ) 1/29/16 1,094
JPMC SGD (6,668,856 ) USD 4,712,429 2/26/16 17,853
JPMC THB (181,753,560 ) USD 5,028,000 2/26/16 760
JPMC TRY (13,789,264 ) USD 4,636,215 1/20/16 (64,066 )
JPMC TWD       (101,231,160 ) USD 3,076,000 1/14/16 343
JPMC TWD (42,972,840 ) USD 1,317,983 2/26/16 11,718
TD CAD (806,810 ) USD 579,235 1/29/16 (3,782 )
TD JPY 60,018,033 USD (495,115 ) 1/29/16 4,515
TD MXN 29,093,684 USD (1,694,229 ) 1/29/16 (9,691 )
UBS INR 29,939,186 USD (449,773 ) 1/29/16 218
$ 2,602,202

Futures Contracts

   Notional Unrealized
Cost Notional Expiration Appreciation
Contracts to Buy (Sell)       (Proceeds)       Value       Date       (Depreciation)
89 3-Month Euro Euribor $ 24,123,736 $ 24,163,358 3/20/18 $      39,622
(33 ) 90 Day Euro (8,103,020 ) (8,082,525 ) 9/18/18 20,495
(23 ) 90 Day Euro (5,675,024 ) (5,688,762 ) 9/20/16 (13,738 )
(692 ) 90 Day Euro   (171,374,842 ) (171,443,000 ) 6/14/16 (68,158 )
(469 ) 90 Day Euro (115,352,726 ) (115,807,825 ) 12/20/16   (455,099 )
(626 ) 90 Day Euro (153,389,042 ) (153,909,925 ) 9/19/17 (520,883 )
(801 ) 90 Day Sterling (146,224,376 ) (146,103,662 ) 12/22/16 120,714
(123 ) 90 Day Sterling (22,397,418 ) (22,346,994 ) 9/21/17 50,424
(132 ) 90 Day Sterling (23,935,372 )   (23,940,787 )   3/22/18   (5,416 )
(114 ) 90 Day Sterling (20,671,541 ) (20,734,957 ) 6/22/17 (63,416 )
(1,061 ) 90 Day Sterling (192,951,917 ) (193,254,341 ) 6/16/17 (302,424 )
116 Australian 3 yr Bonds   8,258,899   8,282,185 3/16/16 23,286
42 Euro-Bobl 5,976,182 5,963,962 3/9/16 (12,220 )
197 Euro-Bund 34,215,212 33,807,497 3/9/16 (407,715 )
20 Euro-Schatz 2,423,261 2,423,558 3/9/16 297
(126 ) S&P500 Emini (12,744,892 ) (12,823,020 ) 3/19/16 (78,128 )
U.S. Treasury 10 yr
(2,066 ) Notes (260,799,767 ) (260,122,313 ) 3/22/16 677,454
2,131 U.S. Treasury 5 yr Notes   252,741,898 252,140,586 4/1/16 (601,312 )
U.S. Treasury Long
209 Bonds 32,128,528 32,133,750 3/22/16 5,222
$ (773,752,221 ) $   (1,590,995 )

Swap Contracts

CDS Contracts1

Annual
Swap Protection Unrealized
Referenced Payments   Termination   Appreciation
Counterparty       Obligation       Notional Value2       (Receipts)       Date       (Depreciation)3
Protection      
Purchased
(Moody’s
Rating):  
CDX   CDX.EM.246   5,170,480 1.00 % 12/20/20 $ 46,228
JPMC -  
iTraxx  
Europe
Crossover    
Series 24  
ICE Version 15 EUR 3,700,000 5.00 % 12/20/20 14,795
JPMC-    
ICE CDX.NA.HY.254       15,195,000 5.00 % 12/20/20   168,123
People’s
Republic of  
China
7.50%
10/28/27
JPMC Aa 1,057,000 1.00 % 9/20/20 1,146
People’s
Republic of
China
7.50%
10/28/27
JPMC Aa 1,057,000 1.00 % 9/20/20 (487 )
$                229,805
 
Protection Sold
(Moody’s Rating):
Volkswagen
International
5.375%
5/22/18 A
BAML CDS A EUR 1,800,000 1.00 % 12/20/16 8,038
BorgWarner
CDS 8.00%
10/01/19
CITI Baa 2,800,000 1.00 % 12/20/20 34,017
Finmeccanica
Finance 5 yr
CDS 5.75%
12/12/18
CITI Ba EUR 300,000 5.00 % 3/20/19 6,722
Mexico LA
SP 5.95%
3/19/19 A3
CITI 5 yr CDS 1,900,000 1.00 % 9/20/20 (7,891 )

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 37


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

Swap Contracts (continued)

CDS Contracts1 (continued)

Counterparty

      

Swap
Referenced
Obligation

      

Notional Value2

      

Annual
Protection
Payments
(Receipts)

      

Termination
Date

      

Unrealized
Appreciation
(Depreciation)3

Volvo      
Treasury
5.00%
5/31/17
Baa
CITI CDS EUR 200,000 1.00 % 12/20/20 $ 3,273
Volvo
  Treasury
5.00%    
5/31/17    
Baa
CITI CDS EUR 200,000   1.00 % 12/20/20   2,753
Mexico LA  
SP 5.95%
3/19/19 A3  
JPMC 5 yr CDS 14,300,000 1.00 % 12/20/19 (350,656 )
Mexico LA  
SP 5.95%  
3/9/19 A3
JPMC 5 yr CDS 2,000,000 1.00 % 9/20/20 (5,022 )
Volkswagen
International  
5.375%
5/22/18 A
JPMC 2 yr CDS A EUR 2,500,000 1.00 % 12/20/17 28,588
$           (280,178 )
Total $ (50,373 )

Inflation Swap Contracts7

Unrealized
Expiration Appreciation
Notional Value2 Date       Description       (Depreciation)
Agreement with BAML to      
receive the notional amount      
  multiplied by the U.S CPI      
    Urban Consumers NSA and      
  to pay the notional amount      
multiplied by the fixed rate      
4,400,000 9/23/16 of 0.415% $ 12,129

Inflation Swap Contracts8

Counterparty

Swap
Referenced
Obligations

      

Notional Value2

      

Fixed
Interest
Rate
Received
(Paid)

      

Variable
Interest
Rate
Received
(Paid)

      

Termination
Date

      

Unrealized
Appreciation
(Depreciation)3

CSFB - 2 yr      
   TIEE-Banxico  
CME    28D MXN 139,300,000 4.03 % 3.352 % 2/3/17 $            17,827  
CME CSFB - 1 yr CAD 25,000,000 1.00 % 0.798 % 12/15/17 10,660
CME CSFB - 10 yr MXN 162,900,000   6.96 %   3.471 %   7/27/20 792
CME CSFB - 10 yr 3,800,000 2.00 % 0.517 % 12/16/20 4,034
CSFB - 10 yr
   TIEE-Banxico
CME    28D MXN 13,700,000 5.98 % 3.535 % 8/26/24 (1,640 )
CSFB - 15 yr
   TIEE-Banxico
CME    28D MXN 312,900,000 5.99 % 3.550 % 1/8/30 (885,887 )
CME CSFB - 2 yr MXN 96,300,000 4.39 % 3.425 % 7/28/17 13,883
CME CSFB - 2 yr MXN 82,700,000 4.34 % 3.531 % 9/28/17 (9,484 )
CME CSFB - 2 yr   MXN 51,000,000 4.20 % 3.547 % 10/5/17 (791 )
CME CSFB - 2 yr GBP 2,900,000 1.50 % 0.684 % 9/21/18 (2,322 )
CSFB - 2 yr
   GBP-BBA-LIBOR
CME    6M GBP 3,200,000 1.50 % 0.744 % 12/16/17 (33,053 )
CSFB - 4 yr
   USD-BBA-LIBOR    
CME    3M 1,600,000 2.00 % 0.517 % 12/16/19 (20,563 )
CSFB - 7 yr
   USD-BBA-LIBOR    
CME    3M 1,700,000 2.25 % 0.517 % 12/16/22 (50,017 )
CSFB- 30 yr
   USD-BBA-LIBOR    
CME    3M 30,500,000 2.75 % 0.517 % 12/16/45 (525,941 )
JPMC - 5 yr
   USD-BBA-LIBOR    
CME    3M 2,300,000 1.67 % 0.363 % 2/17/20 (7,672 )
JPMC - 10 yr
   USD-BBA-LIBOR    
CME    3M 7,115,000 2.84 % 0.406 % 2/26/24 (432,072 )
JPMC - 3 yr
   USD-BBA-LIBOR    
CME    3M 3,700,000 1.28 % 0.517 % 9/16/17 (12,707 )
JPMC - 7 yr
   USD-BBA-LIBOR    
CME    3M 2,800,000 2.22 % 0.356 % 5/12/21 (65,405 )
JPMC - 7 yr
   USD-BBA-LIBOR    
CME    3M 1,750,000 2.24 % 0.322 % 7/28/21 (42,910 )
JPMC - 7 yr
   USD-BBA-LIBOR    
CME    3M 5,175,000 2.00 % 0.406 % 5/26/22 (39,187 )
CME MSC - 10 yr MXN 126,600,000 5.50 % 3.340 % 9/2/20 18,106
CME MSC - 10 yr 10,700,000 2.35 % 0.333 % 8/5/25 (186,508 )
MSC - 15 yr
   USD-OIS-
CME    COMPOUND 17,700,000 0.05 % 0.350 % 6/18/16 2,921
CME MSC - 5 yr MXN 121,500,000 5.50 % 0.350 % 9/22/20 5,758

38 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

Swap Contracts (continued)

Interest Rate Swap Contracts8 (continued)

Counterparty

Swap
Referenced
Obligations

      

Notional Value2

      

Fixed
Interest
Rate
Received
(Paid)

      

Variable
Interest
Rate
Received
(Paid)

      

Termination
Date

      

Unrealized
Appreciation
(Depreciation)3

MSC - 5 yr      
   TIEE-Banxico
CME    28D MXN 35,400,000 5.62 % 3.504 % 6/2/20 $ 4,429
CME MSC - 7 yr MXN 34,300,000 5.94 % 3.350 % 7/13/22 16,180  
BRL Zero
   Coupon
DB    Swap CETIP BRL     900,000 12.81 % 0.000 % 1/4/21 44,947
BRL Zero
   Coupon
DB    Swap CETIP BRL     900,000 15.90 % 0.000 % 1/4/21 (5,364 )
LCH CSFB - 10 yr 900,000 2.25 % 0.280 % 6/15/26 6,492
LCH CSFB - 30 yr 1,600,000 2.25 % 0.593 % 6/15/46 9,131
CSFB - 30 yr
   USD-BBA-LIBOR    
LCH    3M 28,500,000 2.75 % 0.517 % 12/16/45 (1,642,030 )
CSFB - 7 yr
   USD-BBA-LIBOR    
LCH    3M 44,300,000 2.25 % 0.517 % 12/16/22 (1,325,609 )
CSFB -10 yr
   USD-BBA-LIBOR    
LCH    3M 7,300,000 2.50 % 0.517 % 12/16/25 (138,427 )
CSFB- 5 yr
   USD-BBA-LIBOR    
LCH    3M 48,500,000 2.00 % 0.517 % 12/16/20 (848,602 )
  $     (6,121,031 )

Reverse Repurchase Agreements

Interest Trade Maturity Face Repurchase
Counterparty Rate       Date       Date       Value       Price
JPMC - U.S. Treasury Note   0.80 % 12/23/15 1/6/16 $ (3,885,375 ) $ (3,886,584 )
JPMC- U.S Treasury Inflation            
       Protected Bond 0.85 %   12/23/15 1/6/16     (1,001,250 )     (1,001,581 )
  $ (4,886,625 ) $ (4,888,165 )

The use of foreign currency exchange contracts, futures contracts, reverse repurchase agreements, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts, notional values, and reverse repurchase agreements presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

The type of underlying collateral and the remaining maturity of open reverse repurchase agreements in relation to the reverse repurchase agreements on the “Schedules of investments” is as follows:

Remaining Contracted Maturity of the Agreements

Reverse Repurchase   Up to
Agreements         30 days       Total
U.S. Treasury Obligations   $ (4,886,625 )   $ (4,886,625 )

1A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement.

2Notional value shown is stated in U.S. dollars unless noted that the swap is denominated in another currency.

3Unrealized appreciation (depreciation) does not include periodic interest payments on swap contracts accrued daily in the amount of $(371,395).

4Markit’s North American High Yield CDX Index, or the CDX.NA.HY Index, is composed of one hundred (100) of the most liquid North American entities with high yield credit ratings that trade in the CDS market.

5Markit’s iTraxx® Europe Crossover index is composed of up to fifty (50) European entities with non-investment grade credit ratings that trade in the CDS market.

6Markit’s Emerging Markets CDX Index, or the CDX.EM Index is composed of fourteen sovereign issuers from the following regions: Latin America, Middle east, Eastern Europe, Africa and Asia.

7Inflation swap agreements involve commitments to pay a regular stream of inflation-indexed cash payments in exchange for receiving a stream of nominal interest payments (or vice versa), where both payment streams are based on notional amounts. The nominal interest payments may be based on either a fixed interest rate or variable interest rate such as London Interbank Offered Rate (LIBOR). The change in value of swap contracts outstanding, if any, is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded on maturity or termination of the swap contract. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the index swap contract’s remaining life, to the extent that the amount is positive.

8An interest rate swap agreement is an exchange of interest rates between counterparties. Periodic payments (receipt) on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains (losses) on swap contracts.

Summary of abbreviations:

AMT – Subject to Alternative Minimum Tax
ARM – Adjustable Rate Mortgage
AUD – Australian Dollar

(continues)     NQ-OPTFI [12/15] 2/16 (16075) 39


Schedule of investments

Optimum Fixed Income Fund (Unaudited)

Summary of abbreviations (continued):
BAML – Bank of America Merrill Lynch
BBA – LIBOR – British Bankers Association Rate
BNP – BNP Paribas
BRL – Brazilian Real
CAD – Canadian Dollar
CBOT – Chicago Board of Trade
CDO – Collateralized Debt Obligation
CDS – Credit Default Swap
CDX.NA.IG – Credit Default Swap Index North America Investment Grade
CETIP – Brazil CETIP Deposito Interbancario (Interbank Deposit) Rate
CITI – Citigroup Global Markets
CLO – Collateralized Loan Obligation
CME – Chicago Mercantile Exchange Inc.
CNY - China Renminbi
CPI – Consumer Price Index
CZK – Czech Koruna
DB – Deutsche Bank
DKK – Danish Krone
EUR – European Monetary Unit
EURIBOR – Euro Interbank Offer Rate
EURX – Euronext Exchange
GBP – British Pound Sterling
GNMA – Government National Mortgage Association
GSC – Goldman Sachs Capital
GSMPS – Goldman Sachs Reperforming Mortgage Securities
HSBC – Hong Kong Shanghai Bank
ICE LIBOR – Intercontinental Exchange London Interbank Offered Rate
IDR – Indonesian Rupiah
IMM – International Monetary Market
INR – Indian Rupee
IRS – Interest Rate Swaptions
JPMC – JPMorgan Chase Bank
JPY – Japanese Yen
KRW – South Korean Won
LB – Lehman Brothers
LCH – London Clearing House
M – Month
MASTR – Mortgage Asset Securitization Transactions, Inc.
MBIA – MBIA Insurance Group
MSC - Morgan Stanley Capital
MXN – Mexican Peso
MYR – Malaysian Ringgit
NOK – Norwegian Krone
NSA – Not Seasonally Adjusted
NZD – New Zealand Dollar
OIS – COMPOUND – Overnight Indexed Swaps Federal Funds Compound Rate
PHP – Philippine Peso
PIK – Payment-in-Kind
PLN – Polish Zloty
RBC – RBC Capital Markets
REMIC – Real Estate Mortgage Investment Conduit
RUB – Russian Ruble
SEK – Swedish Krona
SGD – Singapore Dollar
S.F. – Single Family
TBA – To be announced
TD – Toronto Dominion Bank
THB – Thailand Baht
TIEE – Banxico – Interbank Equilibrium Interest Rate Banco de Mexico
TRY – Turkish Lira
TWD – Taiwan Dollar
UBS – Union Bank of Switzerland
USD – U.S. Dollar
yr – Year

40 NQ-OPTFI [12/15] 2/16 (16075)


Notes

Optimum Fixed Income Fund
December 31, 2015 (Unaudited)

1. Significant Accounting Policies

The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by Optimum Fund Trust (Trust) – Optimum Fixed Income Fund (Fund). This report covers the period of time since the Fund’s last fiscal year end.

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, then the mean between the bid and ask prices will be used, which approximates fair value. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, interest rate swap options contracts (swaptions) and interest rate swap contracts are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Swap prices are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades, and values of the underlying reference instruments. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees. 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.

2. Investments

U.S. GAAP defines fair value as the price that the 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. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.

Level 1 –

Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts)

 
Level 2 –

Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates), or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities)

 
Level 3 –

Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities)

Level 3 investments are valued using significant unobservable inputs. The 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

NQ-OPTFI [12/15] 2/16 (16075) 41


(Unaudited)

2. Investments (continued)

duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of Dec. 31, 2015:

Securities         Level 1       Level 2       Level 3       Total
Assets:
Agency, Asset- &
     Mortgage-Backed Securities $ — $ 850,776,302 $ 2,629,688 $ 853,405,990
Collateralized Debt Obligations — 40,202,215 — 40,202,215
Corporate Debt — 719,978,070 — 719,978,070
Foreign Debt — 74,543,626 — 74,543,626
Municipal Bonds — 31,351,090 —   31,351,090
Senior Secured Loans1 — 117,800,769 6,778,502 124,579,271
Common Stock — —   —   —
Convertible Preferred Stock1   2,868,101 22,495   — 2,890,596
Preferred Stock1 1,268,417 4,967,950   — 6,236,367
U.S. Treasury Obligations — 518,795,549 — 518,795,549
Short-Term Investments — 152,168,073 — 152,168,073
Options Purchased1 8,180   484,107 — 492,287
Total Value of Securities $ 4,144,698 $     2,511,090,246 $ 9,408,190 $     2,524,643,134
Options Written $ (201,292 ) $ (590,936 ) $ — $ (792,228 )
Foreign Currency Exchange  
     Contracts —     2,602,202 — 2,602,202
Futures Contracts         (1,590,995 ) — — (1,590,995 )
Swap Contracts — (6,159,275 ) — (6,159,275 )
Reverse Repurchase Agreements — (4,886,625 ) — (4,886,625 )

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, Level 2, and Level 3 investments represent the following percentages of the total market value of these security types:

      Level 1       Level 2       Level 3       Total
Agency, Asset &
     Mortgage-Backed Securities —       99.69 %         0.31 %       100.00 %
Senior Secured Loans   —     94.56 % 5.44 % 100.00 %
Convertible Preferred Stock       99.22 % 0.78 %   —   100.00 %
Preferred Stock 20.34 % 79.66 % — 100.00 %
Options Purchased 1.66 % 98.34 % — 100.00 %

The securities that have been valued at zero on the “Schedule of investments” are considered to be Level 3 investments in these tables.

During the period ended Dec. 31, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Fund’s net assets at the end of the period.

42 NQ-OPTFI [12/15] 2/16 (16075)


(Unaudited)

3. Subsequent Events

Management has determined that no material events or transactions occurred subsequent to Dec. 31, 2015 that would require recognition or disclosure in the Fund’s “Schedule of investments.”

NQ-OPTFI [12/15] 2/16 (16075) 43


Schedule of investments

Optimum International Fund
December 31, 2015 (Unaudited)

                  Number of Value
shares       (U.S. $)
Common Stock – 97.77%Δ
Australia – 2.43%
BHP Billiton ADR * 80,788 $ 2,081,099
Cochlear 31,291 2,165,830
Orora 1,005,896 1,634,057
Qantas Airways † 2,425,942 7,192,144
St Barbara † 1,191,691 1,244,769
      14,317,899
Austria – 2.60%
Conwert Immobilien Invest *† 229,038 3,494,494
Erste Group Bank † 154,555 4,835,814
Schoeller-Bleckmann Oilfield
     Equipment * 57,934 3,177,563
voestalpine 123,006 3,762,359
      15,270,230
Belgium – 0.69%
Delhaize Group 42,029 4,090,351
4,090,351
Bermuda – 1.61%
Everest Re Group 51,638 9,454,401
9,454,401
Brazil – 1.07%
Banco Bradesco ADR 299,299 1,439,628
Banco do Brasil 358,100 1,332,659
JBS 572,300 1,784,464
Qualicorp † 483,067 1,723,323
6,280,074
Canada – 3.64%
Bank of Nova Scotia 78,800 3,186,846
BCE 66,996 2,587,386
CGI Group Class A † 56,300 2,253,709
Constellation Software 6,400 2,667,750
Dominion Diamond 96,800 989,018
Empire 53,400 993,183
Magna International Class A 97,629 3,958,914
Rogers Communications
     Class B 71,626 2,468,232
Sun Life Financial 70,200 2,188,757
Tourmaline Oil † 6,200 100,126
21,393,921
China/Hong Kong – 5.55%
Anhui Conch Cement * 1,328,500 3,551,138
China Oilfield Services * 2,898,000 2,490,236
CLP Holdings 821,500 6,962,948
Hong Kong Exchanges and
     Clearing 98,600 2,511,782
Industrial & Commercial Bank
     of China 5,164,000 3,095,358
Mindray Medical International
     ADR 157,978 4,284,363
Orient Overseas International 1,042,000 4,987,458
Swire Pacific Class A 209,000 2,334,525
Weichai Power 1,389,000 1,529,630
Yue Yuen Industrial Holdings 255,500 865,501
      32,612,939
Colombia – 0.33%
Bancolombia ADR 72,459 1,938,278
      1,938,278
Czech Republic – 0.51%
Komercni banka 14,992 2,976,193
      2,976,193
Denmark – 0.79%
H. Lundbeck † 65,330 2,230,485
Vestas Wind Systems 34,341 2,398,090
      4,628,575
Finland – 0.77%
Neste 150,980 4,505,928
      4,505,928
France – 3.57%
Atos SE 11,131 934,432
Christian Dior 6,782 1,151,954
Derichebourg † 140,436 503,650
Faurecia 23,677 948,688
Gecina 7,404 900,074
Ipsen 20,818 1,379,287
IPSOS 33,336 767,755
Metropole Television 38,968 670,071
Peugeot † 156,374 2,740,942
Sartorius Stedim Biotech 1,655 634,759
SCOR 16,092 602,099
Societe Generale * 91,582 4,220,101
Sodexo * 43,892 4,287,919
Thales 16,442 1,230,623
      20,972,354
Germany – 3.59%
Aurubis 49,926 2,527,945
Continental 17,529 4,240,245
Deutsche Lufthansa † 417,193 6,570,932
Merck 10,453 1,012,022
Nordex † 51,126 1,795,567
ProSiebenSat.1 Media 51,431 2,594,642
Stroeer 13,148 825,471

(continues)     NQ-OPTIE [12/15] 2/16 (16080) 1


Schedule of investments

Optimum International Fund (Unaudited)

                  Number of Value
shares       (U.S. $)
Common StockΔ (continued)
Germany (continued)
TUI 84,474 $ 1,525,906
      21,092,730
India – 3.28%
Britannia Industries 49,491 2,209,239
Hindustan Unilever 189,004 2,461,298
ICICI Bank ADR 665,677 5,212,251
Tata Consultancy Services 97,157 3,569,128
Yes Bank 533,134 5,812,487
      19,264,403
Indonesia – 0.79%
Indofood Sukses Makmur 4,918,100 1,830,284
Telekomunikasi Indonesia
     Persero 12,715,200 2,847,398
      4,677,682
Ireland – 4.34%
ICON † 204,188 15,865,408
Shire 140,979 9,672,531
           25,537,939
Israel – 3.68%
Bank Hapoalim BM 842,393 4,347,878
Plus500 91,064 577,676
Taro Pharmaceutical
     Industries † 37,110 5,735,352
Teva Pharmaceutical
     Industries ADR 167,495 10,994,372
      21,655,278
Italy – 0.32%
A2A 899,260 1,217,592
La Doria 45,778 648,117
      1,865,709
Japan – 18.86%
Adastria 26,700 1,494,016
Aderans 66,000 459,035
Bandai Namco Holdings 30,400 642,238
Chubu Electric Power 287,400 3,935,416
Daiichi Sankyo 137,400 2,835,778
Daiwa House Industry 170,500 4,901,049
Denso 204,900 9,790,841
Gurunavi 27,700 575,399
Haseko 64,700 715,318
Hitachi 733,000 4,153,281
Hoya 25,100 1,026,361
Iida Group Holdings 173,800 3,221,076
Japan Airlines 42,200 1,510,398
Kajima 135,000 803,412
Kaken Pharmaceutical 29,000 1,981,579
KDDI 37,500 973,842
Konami Holdings 62,200 1,480,581
Kose 17,600 1,627,244
Medipal Holdings 43,600 743,087
Mizuho Financial Group 3,390,700 6,781,119
Morinaga 180,000 946,871
Nexon 133,500 2,171,652
Nichi-iko Pharmaceutical 52,200 1,243,881
Nichirei 191,000 1,407,296
Nippon Steel & Sumitomo
     Metal 164,500 3,254,063
Nippon Telegraph &
     Telephone 69,800 2,777,793
Nissha Printing 91,800 1,782,732
NTT DATA 72,300 3,495,279
NTT DOCOMO 71,900 1,474,723
Obayashi 404,000 3,727,635
Otsuka Holdings 118,500 4,210,004
Secom 114,100 7,732,208
Shionogi 60,300 2,727,269
Sumitomo Chemical 112,000 643,200
Sumitomo Mitsui Financial
     Group 144,600 5,457,129
Suzuken 82,300 3,127,449
Taisei 154,000 1,014,351
T-Gaia 127,500 1,450,668
Tokyo Electric Power † 841,400 4,844,796
Towa Pharmaceutical 21,100 1,312,054
Yamada Denki 295,200 1,275,072
Yamazsaki Baking 229,000 5,149,033
110,876,228
Netherlands – 2.23%
Core Laboratories * 72,251 7,856,574
Heineken 32,738 2,789,704
Royal Dutch Shell Class A 107,981 2,462,617
13,108,895
New Zealand – 0.50%
Spark New Zealand 690,389 1,554,637
Xero Private Placement † 104,850 1,420,003
2,974,640
Norway – 2.41%
DNB 502,218 6,197,428
Norsk Hydro 869,829 3,238,199
Statoil ADR * 230,296 3,214,932
Telenor 92,220 1,539,532
14,190,091

2 NQ-OPTIE [12/15] 2/16 (16080)


(Unaudited)

                  Number of Value
shares       (U.S. $)
Common StockΔ(continued)
Peru – 0.74%
Credicorp 44,603 $ 4,340,764
            4,340,764
Republic of Korea – 2.66%
Hyundai Mobis † 21,005 4,385,927
Korea Electric Power † 63,190 2,671,738
Samsung Electronics 7,120 7,578,619
SK Hynix 39,595 1,020,775
15,657,059
Singapore – 2.38%
DBS Group Holdings 548,200 6,424,859
Singapore Airlines 461,000 3,632,568
Singapore Exchange 297,300 1,607,980
United Industrial 1,143,000 2,321,712
13,987,119
Spain – 1.58%
Amadeus IT Holding 210,973 9,298,134
9,298,134
Sweden – 1.15%
Getinge Class B * 259,021 6,783,154
6,783,154
Switzerland – 6.48%
Credit Suisse Group ADR 149,483 3,242,286
dorma+kaba Holding
     Class B † 1,556 1,056,727
Galenica 4,987 7,802,410
Lonza Group † 36,991 6,016,028
Luxoft Holding † 12,064 930,496
Nestle 36,651 2,720,796
Novartis ADR 86,985 7,484,189
Roche Holding 30,333 8,405,530
Zehnder Group 11,237 431,372
38,089,834
Taiwan – 2.82%
Advanced Semiconductor
     Engineering 5,249,000 6,016,998
AU Optronics 6,392,000 1,880,504
Chunghwa Telecom 656,000 1,972,056
Taiwan Semiconductor
     Manufacturing 1,561,000 6,720,413
16,589,971
Thailand – 0.47%
Tipco Asphalt NVDR 2,077,900 2,317,234
TRC Construction NVDR 8,291,100 450,621
2,767,855
Turkey – 0.97%
Akbank 1,318,216 3,022,806
Turkiye Garanti Bankasi * 1,108,578 2,700,776
5,723,582
United Kingdom – 12.08%
ARM Holdings ADR 269,115 12,174,763
British American Tobacco 40,185 2,231,711
Debenhams 1,953,525 2,106,297
Diageo 254,024 6,937,061
DS Smith 158,802 928,954
Great Portland Estates 315,457 3,845,061
HSBC Holdings 358,082 2,826,872
Imperial Tobacco Group 11,495 607,160
Inchcape 208,795 2,409,091
International Consolidated
     Airlines Group 540,981 4,864,162
Investec 329,179 2,321,120
ITV 1,145,466 4,663,752
Kingfisher 419,430 2,031,571
Land Securities Group 74,437 1,290,411
Legal & General Group 758,466 2,992,934
Mondi 267,988 5,252,940
Persimmon † 146,785 4,379,236
Playtech 157,699 1,930,759
Project White =† 60,572 1,428,772
Rio Tinto ADR * 116,601 3,395,421
Sainsbury (J.) 630,225 2,400,106
71,018,154
United States – 2.88%
Carnival 166,715 9,082,633
Carnival - London Stock
     Exchange 70,302 4,004,965
Project Star =† 142 2,915,619
Project Star Series G =† 47 965,029
16,968,246
Total Common Stock
(cost $597,017,860) 574,908,610
 
Principal
amount°
Short-Term Investments – 1.78%
Discount Notes - 1.43%≠
Federal Home Loan Bank
     0.12% 1/4/16 154,203 154,203
     0.155% 2/3/16 474,558 474,464
     0.17% 1/21/16 349,976 349,953

(continues)     NQ-OPTIE [12/15] 2/16 (16080) 3


Schedule of investments

Optimum International Fund (Unaudited)

                  Principal Value
amount°       (U.S. $)
Short-Term Investments (continued)
Discount Notes≠ (continued)
Federal Home Loan Bank
     0.18% 2/26/16 511,979 $ 511,799
     0.18% 3/7/16 376,335 376,144
     0.184% 1/25/16 1,513,502 1,513,378
     0.185% 1/19/16 315,226 315,208
     0.188% 2/18/16 1,430,544 1,430,115
     0.19% 3/22/16 824,747 824,229
     0.25% 2/9/16 401,143 401,047
     0.295% 3/2/16 152,570 152,498
     0.31% 3/14/16 1,897,071 1,896,001
      8,399,039
Repurchase Agreements – 0.35%
Bank of America Merrill Lynch
     0.24%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price $709,340
     (collateralized by
     U.S. government
     obligations 3.00%
     11/15/45; market value
     $723,508) 709,322 709,322
Bank of Montreal
     0.26%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $1,182,237 (collateralized
     by U.S. government
     obligations
     0.75%-2.875%
     9/30/16-8/15/42; market
     value $1,205,847) 1,182,202 1,182,202
BNP Paribas
     0.28%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price $154,481
     (collateralized by U.S.
     government obligations
     0.00% 2/15/31-2/15/43;
     market value $157,566) 154,476 154,476
      2,046,000
     
Total Short-Term
Investments
(cost $10,445,184) 10,445,039
Total Value of Securities
Before Securities Lending
Collateral - 99.55%
(cost $607,463,044) $ 585,353,649
     
Number of
shares
Securities Lending Collateral – 3.49%
Separate Account
     Optimum International Fund 20,530,569 20,530,569
Total Securities Lending
Collateral
(cost $20,530,569) 20,530,569
     
     
Total Value of
Securities – 103.04%■
(cost $627,993,613) 605,884,218
Obligation to Return
Securities Lending
Collateral – (3.49%) (20,530,569 )
Receivables and Other
Assets Net of
Liabilities – 0.45% 2,635,432
Net Assets Applicable to
53,485,621 Shares
Outstanding - 100.00% $ 587,989,081
____________________

 *

Fully or partially on loan.

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At Dec. 31, 2015, the aggregate value of fair valued securities was $5,309,420, which represents 0.90% of the Fund’s net assets.

≠

The rate shown is the effective yield at the time of purchase.

■

Includes $22,411,151 of securities loaned.

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

†

Non-income-producing security.

Δ

Securities have been classified by country of origin.

Summary of abbreviations:
ADR – American Depositary Receipt
NVDR – Non-Voting Depository Receipt
VVPR Strip – Dividend Coupon

4 NQ-OPTIE [12/15] 2/16 (16080)


Notes

Optimum International Fund
December 31, 2015 (Unaudited)

1. Significant Accounting Policies

The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by Optimum Fund Trust (Trust) – Optimum International Fund (Fund). This report covers the period of time since the Fund’s last fiscal year end.

Security Valuation – Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. Securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Open-end investment company securities are valued at net asset value per share, as reported by the underlying investment company. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. 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. 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. 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant 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, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

2. Investments

U.S. GAAP defines fair value as the price that the 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. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.

Level 1

 – 

Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts)

 

Level 2

–

Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates), or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities)

 

Level 3

 –

Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities)


Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.

(continues)     NQ-OPTIE [12/15] 2/16 (16080) 5


(Unaudited)

2. Investments (continued)

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of Dec. 31, 2015:

Securities   Level 1 Level 2 Level 3 Total
Common Stock
     Australia       $ 2,081,099       $ 12,236,800       $ —       $ 14,317,899
     Austria 3,494,494 11,775,736 — 15,270,230
     Belgium — 4,090,351 — 4,090,351
     Bermuda 9,454,401 — — 9,454,401
     Brazil 6,280,074 — — 6,280,074
     Canada 21,393,921 — — 21,393,921
     China/Hong Kong 4,284,363 28,328,576 — 32,612,939
     Colombia 1,938,278 — — 1,938,278
     Czech Republic — 2,976,193 — 2,976,193
     Denmark — 4,628,575 — 4,628,575
     Finland — 4,505,928 — 4,505,928
     France — 20,972,354 — 20,972,354
     Germany — 21,092,730 — 21,092,730
     India 5,212,251 14,052,152 — 19,264,403
     Indonesia — 4,677,682 — 4,677,682
     Ireland 15,865,408 9,672,531 — 25,537,939
     Israel 16,729,724 4,925,554 — 21,655,278
     Italy — 1,865,709 — 1,865,709
     Japan — 110,876,228 — 110,876,228
     Netherlands 7,856,574 5,252,321 — 13,108,895
     New Zealand 1,420,003 1,554,637 — 2,974,640
     Norway 3,214,932 10,975,159 — 14,190,091
     Peru 4,340,764 — — 4,340,764
     Republic of Korea — 15,657,059 — 15,657,059
     Singapore 2,321,712 11,665,407 — 13,987,119
     Spain — 9,298,134 — 9,298,134
     Sweden — 6,783,154 — 6,783,154
     Switzerland 12,088,343 26,001,491 — 38,089,834
     Taiwan — 16,589,971 — 16,589,971
     Thailand — 2,767,855 — 2,767,855
     Turkey — 5,723,582 — 5,723,582
     United Kingdom 15,570,184 55,447,970 — 71,018,154
     United States 9,082,633 4,004,965 3,880,648 16,968,246
Short-Term Investments — 10,445,039 — 10,445,039
Securities Lending Collateral — 20,530,569 — 20,530,569
Total Value of Securities $ 142,629,158 $ 459,374,412 $ 3,880,648 $ 605,884,218

The securities that have been deemed worthless in the “Schedule of investments” are considered to be Level 3 investments in this table.

As a result of utilizing international fair value pricing at Dec. 31, 2015, the majority of the Fund’s common stock investments were categorized as Level 2.

During the period ended Dec. 31, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund 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 the Fund occurs when market volatility exceeds an established rolling threshold. If the treshold 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 Fund’s net ssset value (NAV) is determined) will be established using a separate pricing feed from a third party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occuring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.

6 NQ-OPTIE [12/15] 2/16 (16080)


(Unaudited)

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Fund’s net assets at the end of the period.

3. Securities Lending

The Fund, along with other funds in the Delaware Investments® Family of Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to U.S. securities and foreign securities that are denominated and payable in U.S. dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities that are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day may be more or less than the value of the security on loan.

Prior to Dec. 29, 2015, cash collateral received was generally invested in the Delaware Investments Collateral Fund No. 1 (Collective Trust), a pooled account established by BNY Mellon for the use of funds managed by DMC that participate in BNY Mellon’s securities lending program. The Collective Trust sought to maintain a net asset value per unit of $1.00. Under the previous investment guidelines, the Collective Trust was permitted to invest in U.S. government securities and high-quality corporate debt, asset-backed and other money market securities, and in repurchase agreements collateralized by such securities, provided that the Collective Trust would generally have a dollar-weighted average portfolio maturity of 60 days or less.

On Dec. 29, 2015, the assets in the Collective Trust were transferred to a series of individual separate accounts, each corresponding to a Fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by U.S. Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; and asset-backed securities.

In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Fund or, at the discretion of the lending agent, replace the loaned securities. The Fund continues 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 Fund has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Fund receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Fund, the security lending agent, and the borrower. The Fund records security lending income net of allocations to the security lending agent and the borrower.

NQ-OPTIE [12/15] 2/16 (16080) 7


(Unaudited)

3. Securities Lending (continued)

The 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 the Fund would be required to return to the borrowers of the securities and the Fund would be required to make up for this shortfall.

During the period ended Dec. 31, 2015, the value of securities on loan was $22,411,151, for which the Fund received collateral, comprised of non-cash collateral valued at $2,778,560, and cash collateral of $20,530,569. At Dec. 31, 2015, the value of invested collateral was $20,530,569. Investments purchased with cash collateral are presented on the “Schedule of investments” under the caption “Securities Lending Collateral.”

4. Subsequent Events

Management has determined that no material events or transactions occurred subsequent to Dec. 31, 2015 that would require recognition or disclosure in the Fund’s “Schedule of investments.”

8 NQ-OPTIE [12/15] 2/16 (16080)


Schedule of investments

Optimum Large Cap Growth Fund
December 31, 2015 (Unaudited)

Number of Value
      shares       (U.S. $)
Common Stock – 96.26%✧
Consumer Discretionary – 23.60%
Amazon.com † 142,800 $ 96,517,092
AutoZone † 12,400 9,199,684
  BorgWarner 128,700 5,563,701
CarMax † 94,700 5,110,959
Chipotle Mexican Grill † 11,200 5,374,320
Church & Dwight 43,200   3,666,816
Coach 85,250 2,790,233
Comcast Class A 223,450 12,609,283
Delphi Automotive (United
     Kingdom)		 196,200 16,820,226
Dollar General 61,600 4,427,192
Dollar Tree † 34,850   2,691,117
Ferrari (Italy) † 39,990 1,919,520
Flipkart Limited @=† 1,530 206,746
Flipkart Limited Series A @=† 522 70,537
Flipkart Limited Series C @=† 921 124,453
Flipkart Limited Series E @=† 1,712 231,339
Flipkart Limited Series G @=† 7,188 971,300
Flipkart Limited Series H @=† 6,977 942,788
Hanesbrands 271,700 7,996,131
Hilton Worldwide Holdings 150,200 3,214,280
Home Depot 99,723 13,188,367
Las Vegas Sands 74,800 3,279,232
Lowe’s 239,950 18,245,798
Marriott International Class A 79,900 5,356,496
McDonald’s 93,950 11,099,253
MGM Resorts International † 405,470 9,212,278
Netflix † 68,250 7,806,435
NIKE Class B 184,900 11,556,250
Norwegian Cruise Line
     Holdings †		 152,750 8,951,150
Priceline Group † 22,300 28,431,385
Ross Stores 102,600 5,520,906
Royal Caribbean Cruises 55,600 5,627,276
ServiceMaster Global
     Holdings †		 111,150 4,361,526
Signet Jewelers (Bermuda) 30,750 3,803,468
Tesla Motors † 39,720 9,533,197
Time Warner 30,800 1,991,836
Tractor Supply 83,800 7,164,900
Under Armour Class A † 19,700 1,588,017
VF 12,850 799,913
Walgreens Boots Alliance 145,000 12,347,475
Walt Disney 181,650 19,087,782
Yum! Brands 109,000 7,962,450
377,363,107
Consumer Staples – 4.34%
Anheuser-Busch InBev ADR 34,300 4,287,500
Costco Wholesale 14,700 2,374,050
CVS Health 124,850 12,206,585
General Mills 28,200 1,626,012
Jarden † 167,450 9,564,744
Kroger 174,200 7,286,786
Molson Coors Brewing
     Class B		 105,750 9,932,040
PepsiCo 95,750 9,567,340
Starbucks 208,650 12,525,259
69,370,316
Energy – 0.62%
Anadarko Petroleum 74,650 3,626,497
Baker Hughes 75,200 3,470,480
EOG Resources 21,000 1,486,590
Weatherford International
     (Switzerland) †		 155,150 1,301,709
9,885,276
Financials – 9.08%
American Tower 109,900 10,654,805
Bank of America 272,149 4,580,268
BlackRock 6,000 2,043,120
Blackstone Mortgage Trust 193,650 5,182,074
Citizens Financial Group 282,020 7,386,104
Crown Castle International 82,100 7,097,545
E*TRADE Financial † 45,500 1,348,620
Intercontinental Exchange 32,100 8,225,946
LendingClub † 145,900 1,612,195
MasterCard Class A 230,200 22,412,272
Morgan Stanley 377,400 12,005,094
State Street 73,800 4,897,368
Synchrony Financial † 51,456 1,564,777
TD Ameritrade Holding 112,100 3,890,991
United Rentals † 38,100 2,763,774
Visa Class A 636,600 49,368,330
WeWork Companies @=† 2,473 77,269
145,110,552
Healthcare – 19.73%
ACADIA Pharmaceuticals † 21,250 757,563
Aetna 20,450 2,211,054
Alexion Pharmaceuticals † 91,700 17,491,775
Allergan † 147,368 46,052,500
Anthem 76,400 10,653,216
Biogen † 45,650 13,984,877
BioMarin Pharmaceutical † 52,850 5,536,566
Bristol-Myers Squibb 346,250 23,818,537
Celgene † 201,300 24,107,688
Cigna 44,100 6,453,153

(continues)     NQ-OPTLG [12/15] 2/16 (16079) 1


Schedule of investments

Optimum Large Cap Growth Fund (Unaudited)

Number of Value
      shares       (U.S. $)
Common Stock✧ (continued)
Healthcare (continued)
DexCom † 3,650 $ 298,935
Edwards Lifesciences † 96,500 7,621,570
Eli Lilly 50,400 4,246,704
Gilead Sciences 219,050 22,165,669
HCA Holdings † 58,209 3,936,675
Hologic † 73,600 2,847,584
Humana 43,450 7,756,259
Illumina † 14,700 2,821,591
Incyte † 86,750 9,408,037
Intuitive Surgical † 21,900 11,960,904
McKesson 51,200 10,098,176
Regeneron Pharmaceuticals † 17,250 9,364,507
Shire ADR 29,490 6,045,450
  Thermo Fisher Scientific 113,650 16,121,253
UnitedHealth Group 188,200 22,139,848
Valeant Pharmaceuticals
     International (Canada) †		 87,400 8,884,210
Vertex Pharmaceuticals † 148,500 18,685,755
315,470,056
Industrials – 9.98%
American Airlines Group 336,600 14,255,010
Boeing 153,850 22,245,171
Canadian Pacific Railway
     (Canada)		 52,400 6,686,240
Danaher 273,700 25,421,256
Delta Air Lines 139,800 7,086,462
FedEx 30,100 4,484,599
Flowserve 80,906   3,404,524
General Electric 51,815 1,614,037
HD Supply Holdings † 263,450 7,911,403
Honeywell International 170,750 17,684,577
Lockheed Martin 19,150 4,158,423
Martin Marietta Materials 26,600 3,633,028
McGraw Hill Financial 12,450   1,227,321
Mobileye (Israel) † 114,100 4,824,148
Roper Technologies 47,500 9,015,025
SBA Communications
     Class A †		 62,300 6,545,861
Tyco International
     (Switzerland)		 122,750 3,914,498
Union Pacific 43,153 3,374,565
United Continental Holdings † 109,700 6,285,810
Wabtec 81,700 5,810,504
159,582,462
Information Technology – 27.67%
Adobe Systems † 57,800 5,429,732
Akamai Technologies † 75,600 3,978,828
Alibaba Group Holding ADR † 97,305 7,907,977
Alliance Data Systems † 19,285 5,333,652
Alphabet Class A † 37,500 29,175,375
Alphabet Class C † 108,178 82,094,121
Apple 461,600 48,588,016
Arista Networks † 35,950 2,798,348
ASML Holding (Netherlands) 25,400 2,254,758
Avago Technologies
     (Singapore)		 57,950 8,411,443
Broadcom Class A 148,700 8,597,834
Ctrip.com International ADR † 74,450 3,449,269
Dropbox Class A @=† 61,727 758,814
Facebook Class A † 566,329 59,271,993
Fiserv † 64,900 5,935,754
GrubHub † 63,300 1,531,860
IHS Class A † 8,600 1,018,498
Lam Research 70,150 5,571,313
LinkedIn Class A † 68,850 15,496,758
Microsoft 1,076,350 59,715,898
NetSuite † 38,900 3,291,718
NXP Semiconductors
     (Netherlands) †		 85,750 7,224,438
Palo Alto Networks † 19,900 3,505,186
PayPal Holdings † 105,600 3,822,720
Sabre 165,000 4,615,050
salesforce.com † 273,750 21,462,000
ServiceNow † 107,430 9,299,141
Tencent Holdings (China)
     (Hong Kong Exchange)		 523,800 10,255,864
VeriSign † 83,400 7,285,824
Verisk Analytics Class A † 54,500 4,189,960
Yahoo † 302,850 10,072,791
442,344,933
Materials – 0.85%
Air Products & Chemicals 41,850 5,445,103
Ashland 47,100 4,837,170
PPG Industries 33,200 3,280,824
13,563,097
Telecommunication Services – 0.35%
ARRIS Group † 58,700 1,794,459
Level 3 Communications † 55,300 3,006,108
T-Mobile US † 20,600 805,872
5,606,439

2 NQ-OPTLG [12/15] 2/16 (16079)


(Unaudited)

Number of Value
      shares       (U.S. $)
Common Stock✧ (continued)  
Utilities – 0.04%  
Sempra Energy 7,650 $ 719,177
719,177
 
Total Common Stock
(cost $1,293,954,455) 1,539,015,415
 
Convertible Preferred Stock – 0.40%
Airbnb Private
     Placement @=† 36,741 3,249,363
LivingSocial Private Placement  
     Series F @=† 14,824 0
Uber Technologies
     Series G @=† 34,197 1,584,470
WeWork Companies
     Series E @† 22,244 695,014  
Xiaoju Kuaizhi (China) @=† 32,416 941,609
Total Convertible Preferred
Stock (cost $5,611,304) 6,470,456
 
U.S. Master Limited Partnerships – 0.61%  
Blackstone Group 315,750 9,232,530
Carlyle Group 34,000 531,080
Total U.S. Master Limited
Partnerships
(cost $11,500,748) 9,763,610
 
Principal
amount°
Short-Term Investments – 3.26%
Discount Notes – 2.19%≠
Federal Home Loan Bank
     0.12% 1/4/16 1,256,513 1,256,513
     0.155% 2/3/16 4,480,140 4,479,244
     0.17% 1/21/16 3,364,260 3,364,038
     0.18% 2/26/16 6,156,878 6,154,705
     0.18% 3/7/16 2,588,146 2,586,831
     0.185% 1/19/16 1,028,647 1,028,588
     0.19% 3/22/16 920,361 919,783
     0.194% 1/25/16 1,477,400 1,477,279
     0.244% 2/18/16 6,440,210 6,438,278
     0.25% 2/9/16 4,146,453 4,145,458
     0.295% 3/2/16 902,178 901,756
     0.31% 3/14/16 2,171,762 2,170,538
34,923,011
Repurchase Agreements – 1.07%
Bank of America Merrill Lynch
     0.24%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $5,953,814 (collateralized
     by U.S. government
     obligations 3.00%
     11/15/45; market value
     $6,072,731) 5,953,655 5,953,655
Bank of Montreal
     0.26%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $9,923,045 (collateralized
     by U.S. government
     obligations
     0.75%–2.875%
     9/30/16–8/15/42; market
     value $10,121,217) 9,922,758 9,922,758
BNP Paribas
     0.28%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $1,296,627 (collateralized
     by U.S. government
     obligations 0.00%
     2/15/31–2/15/43; market
     value $1,322,520) 1,296,587 1,296,587
17,173,000
 
Total Short-Term
Investments
(cost $52,096,694) 52,096,011
 
Total Value of
Securities – 100.53%
(cost $1,363,163,201) 1,607,345,492
Liabilities Net of
Receivables and Other
Assets – (0.53%) (8,457,185 )
Net Assets Applicable to
98,496,296 Shares
Outstanding – 100.00% $ 1,598,888,307

(continues)     NQ-OPTLG [12/15] 2/16 (16079) 3


Schedule of investments

Optimum Large Cap Growth Fund (Unaudited)

_________________________

@

Illiquid security. At Dec. 31, 2015, the aggregate value of illiquid securities was $9,853,702, which represents 0.62% of the Fund’s net assets.

✧

Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting.

=

Security is being fair valued in accordance with the Fund’s fair valuation policy. At Dec. 31, 2015, the aggregate value of fair valued securities was $9,158,688, which represents 0.57% of the Fund’s net assets.

≠

The rate shown is the effective yield at the time of purchase.

° 

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

†

Non-income-producing security.

ADR – American Depositary Receipt

4 NQ-OPTLG [12/15] 2/16 (16079)


Notes

Optimum Large Cap Growth Fund
December 31, 2015 (Unaudited)

1. Significant Accounting Policies

The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by Optimum Fund Trust (Trust) – Optimum Large Cap Growth Fund (Fund). This report covers the period of time since the Fund’s last fiscal year end.

Security Valuation – Equity securities, except those traded on the Nasdaq Stock Market, Inc. (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. Securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. 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. 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. 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant 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, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

2. Investments

U.S. GAAP defines fair value as the price that the 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. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.

Level 1 – 

Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts)

 
Level 2 –

Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates), or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities)

 
Level 3 –

Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities)

Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.

NQ-OPTLG [12/15] 2/16 (16079) 5


(Unaudited)

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of Dec. 31, 2015:

2. Investments (continued)

Securities         Level 1       Level 2       Level 3       Total
Common Stock
     Consumer Discretionary $ 374,815,944 $ — $ 2,547,163 $ 377,363,107
     Consumer Staples 69,370,316 — — 69,370,316
     Energy 9,885,276 — — 9,885,276
     Financials 145,033,283 — 77,269 145,110,552
     Healthcare 315,470,056 — — 315,470,056
     Industrials 159,582,462 — — 159,582,462
     Information Technology 431,330,255 11,014,678 — 442,344,933
     Materials 13,563,097 — — 13,563,097
     Telecommunication Services 5,606,439 — — 5,606,439
     Utilities 719,177 — — 719,177
Convertible Preferred Stock — — 6,470,456 6,470,456
U.S. Master Limited Partnerships 9,763,610 — — 9,763,610
Short-Term Investments — 52,096,011 — 52,096,011
Total Value of Securities $ 1,535,139,915 $ 63,110,689 $ 9,094,888 $ 1,607,345,492

As a result of utilizing international fair value pricing at Dec. 31, 2015, a portion of the Fund’s common stock investments were categorized as Level 2.

During the period ended Dec. 31, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund 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 the Fund occurs when market volatility exceeds an established rolling threshold. If the treshold 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 Fund’s net asset value (NAV) is determined) will be established using a separate pricing feed from a third party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Fund’s net assets at the end of the period.

3. Subsequent Events

Management has determined that no material events or transactions occurred subsequent to Dec. 31, 2015 that would require recognition or disclosure in the Fund’s “Schedule of investments.”

6 NQ-OPTLG [12/15] 2/16 (16079)


Schedule of investments

Optimum Large Cap Value Fund
December 31, 2015 (Unaudited)

            Number of       Value
shares (U.S. $)
Common Stock – 96.94%✧
Consumer Discretionary – 6.97%
Advance Auto Parts 13,735 $ 2,067,255
Bed Bath & Beyond † 24,278 1,171,413
Comcast Class A Special 140,011 7,900,821
Delphi Automotive
     (United Kingdom) 59,276 5,081,731
Disney (Walt) 18,147 1,906,887
Harley-Davidson 65,597 2,977,448
Johnson Controls 136,472 5,389,279
Newell Rubbermaid 35,932 1,583,883
Omnicom Group 130,199 9,850,856
Ross Stores 75,408     4,057,704
Target 87,194 6,331,156
Time 7,276 114,015
Time Warner   79,856 5,164,288
  TJX 303,337 21,509,627
United Rentals † 81,270 5,895,326
Viacom Class B 57,966 2,385,881
Yum Brands 74,654 5,453,475
  88,841,045
Consumer Staples – 9.82%
Altria Group 430,629 25,066,914
Archer-Daniels-Midland 95,414 3,499,786
Campbell Soup 93,432 4,909,852
CVS Health 120,001 11,732,498
Danone (France) 73,672 4,978,045
Diageo (United Kingdom) 319,950 8,737,414
General Mills 178,773 10,308,051
Nestle (Switzerland) 146,893 10,904,639
Philip Morris International 474,486 41,712,064
Procter & Gamble 41,452 3,291,703
125,140,966
Energy – 10.22%
Apache 232,827 10,353,817
Baker Hughes 10,302 475,437
Chevron 90,038 8,099,818
EOG Resources 77,871 5,512,488
Exxon Mobil 141,467 11,027,353
Halliburton 112,353 3,824,496
Marathon Petroleum 395,656 20,510,807
National Oilwell Varco 101,884 3,412,095
Noble (United Kingdom) 1,390,230 14,666,927
Occidental Petroleum 91,873 6,211,534
Schlumberger 102,354 7,139,191
SM Energy 312,682 6,147,328
Tesoro 132,894 14,003,041
Valero Energy 266,727 18,860,266
  130,244,598
Financials – 25.57%
ACE (Switzerland) 67,693 7,909,927
American Express 340,269 23,665,709
Aon (United Kingdom) 91,973 8,480,830
Apartment Investment &
     Management 411,776 16,483,393
Bank of New York Mellon 188,869 7,785,180
BB&T 81,171 3,069,076
BlackRock 18,941 6,449,789
CBOE Holdings 328,248 21,303,295
Chubb 51,594 6,843,428
Citigroup 84,705 4,383,484
Discover Financial Services 272,563 14,614,828
Eaton Vance 377,972 12,257,632
Franklin Resources 474,991 17,489,169
Goldman Sachs Group 69,095 12,452,992
JPMorgan Chase 482,013 31,827,318
McGraw Hill Financial 177,466 17,494,598
MetLife 232,614 11,214,321
Moody’s 145,074 14,556,725
NASDAQ OMX Group 107,081 6,228,902
PNC Financial Services Group 61,251 5,837,833
Prudential Financial 72,590 5,909,552
State Street 84,480 5,606,093
Travelers 127,332 14,370,690
U.S. Bancorp 299,232 12,768,229
Waddell & Reed Financial
     Class A 494,942 14,185,038
Wells Fargo 416,284 22,629,198
325,817,229
Healthcare – 11.75%
Abbott Laboratories 170,012 7,635,239
AbbVie 296,146 17,543,689
Express Scripts Holding † 86,699 7,578,360
Gilead Sciences 121,197 12,263,924
Jazz Pharmaceuticals
     (Ireland) † 124,809 17,543,153
Johnson & Johnson 231,177 23,746,501
Medtronic (Ireland) 176,946 13,610,686
Merck 183,249 9,679,212
Mylan † 116,338 6,290,396
Novartis (Switzerland) 23,685 2,037,367
Pfizer 532,837 17,199,978
Roche Holding (Switzerland) 6,738 1,867,156
St. Jude Medical 72,650 4,487,591
Thermo Fisher Scientific 57,691 8,183,468
  149,666,720

(continues)     NQ-OPTLV [12/15] 2/16 (16078) 1


Schedule of investments

Optimum Large Cap Value Fund (Unaudited)

            Number of       Value
  shares (U.S. $)
Common Stock✧ (continued)
Industrials – 13.31%
3M 84,652 $ 12,751,977
Canadian National Railway
     (Canada) 59,584 3,329,554
Caterpillar 29,001 1,970,908
Cummins 15,121 1,330,799
Danaher 104,006 9,660,077
Deere 22,699 1,731,253
Eaton (Ireland) 97,989 5,099,348
Equifax 13,194   1,469,416
Honeywell International 129,912 13,454,986
Illinois Tool Works 56,379 5,225,206
Lockheed Martin 162,938 35,381,987
Northrop Grumman 37,513 7,082,830
Parker-Hannifin 15,807 1,532,963
Pentair (United Kingdom) 54,039 2,676,552
Rockwell Collins 148,005 13,660,861
Stanley Black & Decker 32,980 3,519,955
Tyco International 233,909 7,459,358
Union Pacific 31,677 2,477,141
United Parcel Service Class B 280,161 26,959,893
United Technologies 133,320 12,808,052
169,583,116
Information Technology – 12.94%
Accenture Class A (Ireland) 290,291 30,335,410
Alliance Data Systems † 41,866 11,578,880
Analog Devices 24,959 1,380,732
Apple 165,578 17,428,740
Fidelity National Information
     Services 89,539 5,426,063
Fiserv † 36,034 3,295,670
Harris 160,702 13,965,004
Hewlett Packard Enterprise 205,565 3,124,588
HP 205,565 2,433,890
International Business
     Machines 57,468 7,908,746
MasterCard Class A 131,446 12,797,583
Oracle 155,576 5,683,191
Texas Instruments 161,762 8,866,175
Verisk Analytics Class A † 198,113 15,230,927
Western Digital 189,036 11,351,612
Western Union 786,918 14,093,701
164,900,912
Materials – 4.83%
CF Industries Holdings 234,738 9,579,658
Crown Holdings † 68,219 3,458,703
duPont (E.I.) deNemours 86,501 5,760,967
LyondellBasell Industries
     Class A 150,456 13,074,626
Monsanto 27,349 2,694,423
NewMarket 35,169 13,389,893
PPG Industries 137,204 13,558,499
61,516,769
Telecommunication Services – 1.02%
Verizon Communications 246,160 11,377,515
Vodafone Group
     (United Kingdom) 507,620 1,646,149
13,023,664
Utilities – 0.51%
Duke Energy 70,236 5,014,148
Xcel Energy 38,725 1,390,615
6,404,763
Total Common Stock
(cost $999,223,114) 1,235,139,782
 
Principal
amount°
Short-Term Investments – 2.87%
Discount Notes – 0.53%≠
Federal Home Loan Bank
     0.12% 1/4/16 171,454 171,454
     0.155% 2/3/16       527,647 527,542
     0.17% 1/21/16 455,186 455,156
     0.18% 2/26/16 537,268 537,079
     0.18% 3/7/16       418,436 418,223
     0.185% 1/19/16 422,964 422,940
     0.189% 1/25/16 774,971 774,908
     0.19% 3/22/16 554,707 554,358
     0.226% 2/18/16 1,086,165 1,085,839
     0.25% 2/9/16 541,299 541,169
     0.295% 3/2/16 204,715 204,619
     0.31% 3/14/16 1,040,099 1,039,513
6,732,800

2 NQ-OPTLV [12/15] 2/16 (16078)


(Unaudited)

                  Principal       Value
amount° (U.S. $)
Short-Term Investments (continued)
Repurchase Agreements – 2.34%
Bank of America Merrill Lynch
0.24%, dated 12/31/15, to
be repurchased on 1/4/16,
repurchase price
$10,347,841
(collateralized by
U.S. government  
obligations 3.00%
11/15/45; market value
$10,554,522) 10,347,565 $ 10,347,565
Bank of Montreal  
0.26%, dated 12/31/15, to
be repurchased on 1/4/16,
repurchase price
    $17,246,440  
(collateralized by
U.S. government
obligations
0.75%–2.875%
9/30/16–8/15/42; market    
value $17,590,867) 17,245,942 17,245,942
BNP Paribas
0.28%, dated 12/31/15, to
be repurchased on 1/4/16,
repurchase price
$2,253,563 (collateralized
by U.S. government
obligations 0.00%
2/15/31–2/15/43; market
value $2,298,564) 2,253,493 2,253,493
29,847,000
Total Short-Term
Investments
(cost $36,579,898) 36,579,800
Total Value of
Securities – 99.81%
(cost $1,035,803,012) 1,271,719,582
Receivables and Other
Assets Net of
Liabilities – 0.19% 2,451,908
Net Assets Applicable to
84,460,386 Shares
Outstanding – 100.00% $ 1,274,171,490
____________________

✧

Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting.

≠

The rate shown is the effective yield at the time of purchase.

°

Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.

†

Non-income-producing security.


NQ-OPTLV [12/15] 2/16 (16078) 3


Notes
Optimum Large Cap Value Fund
December 31, 2015 (Unaudited)

1. Significant Accounting Policies

The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by Optimum Fund Trust (Trust) – Optimum Large Cap Value Fund (Fund). This report covers the period of time since the Fund’s last fiscal year end.

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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. 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. 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. 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant 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, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

2. Investments

U.S. GAAP defines fair value as the price that the 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. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.

Level 1 - 

Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts)

   
Level 2 -

Other observable inputs including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates), or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities)

   
Level 3 -

Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities)


Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.

4 NQ-OPTLV [12/15] 2/16 (16078)


(Unaudited)

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of Dec. 31, 2015:

Securities         Level 1       Level 2       Total
Common Stock
     Consumer Discretionary $ 88,841,045 $ — $ 88,841,045
     Consumer Staples 100,520,868 24,620,098 125,140,966
     Energy 130,244,598 — 130,244,598
     Financials 325,817,229 — 325,817,229
     Healthcare 145,762,197   3,904,523 149,666,720
     Industrials 169,583,116 —     169,583,116
     Information Technology     164,900,912   — 164,900,912
     Materials 61,516,769 — 61,516,769
     Telecommunication Services 11,377,515 1,646,149 13,023,664
     Utilities 6,404,763 — 6,404,763
Short-Term Investments — 36,579,800 36,579,800
Total Value of Securities $ 1,204,969,012 $ 66,750,570 $ 1,271,719,582

As a result of utilizing international fair value pricing at Dec. 31, 2015, a portion of the Fund’s common stock investments were categorized as Level 2.

During the period ended Dec. 31, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund utilizing international fair value pricing during the year. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities in the 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 Fund’s net asset value (NAV) is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to the net assets. At Dec. 31, 2015, there were no Level 3 investments.

3. Subsequent Events

Management has determined that no material events or transactions occurred subsequent to Dec. 31, 2015 that would require recognition or disclosure in the Fund’s “Schedule of investments.”

NQ-OPTLV [12/15] 2/16 (16078) 5


Schedule of investments

Optimum Small-Mid Cap Growth Fund
December 31, 2015 (Unaudited)

Number of Value
            shares       (U.S. $)
Common Stock – 94.98%
Consumer Discretionary – 13.63%
Arctic Cat 78,993 $ 1,293,905
Blue Nile † 60,027 2,228,803
Cato Class A 61,701 2,271,831
Cavco Industries † 46,949 3,911,321
Choice Hotels International 21,929 1,105,441
ClubCorp Holdings 111,240 2,032,355
Diamond Resorts
     International † 186,463 4,756,671
Dorman Products † 55,998 2,658,225
Drew Industries 112,389 6,843,366
Fiesta Restaurant Group † 69,994 2,351,798
Five Below † 79,783 2,561,034
Fossil Group † 25,006 914,219
Gentex 122,867 1,967,101
Global Eagle Entertainment † 51,066 504,021
HSN 31,316 1,586,782
IMAX (Canada) † 87,656 3,115,294
iRobot † 17,432 617,093
Jack in the Box 38,572 2,958,858
Liberty TripAdvisor Holdings
     Class A † 46,123 1,399,372
Madden (Steven) † 110,069 3,326,285
Panera Bread Class A † 26,489 5,159,527
Papa John’s International 53,824 3,007,147
Pool 13,381 1,080,917
Samsonite International 620,530 1,859,691
Select Comfort † 116,088 2,485,444
Texas Roadhouse 85,150 3,045,816
Vail Resorts 23,513 3,009,429
68,051,746
Consumer Staples – 1.83%
Casey’s General Stores 14,680 1,768,206
Chefs’ Warehouse † 19,276 321,524
Fresh Market † 110,114 2,578,870
Greencore Group (Ireland) 211,394 1,102,973
HRG Group † 150,745 2,044,102
Nomad Foods (United
     Kingdom) † 109,108 1,287,474
9,103,149
Energy – 2.01%
Carrizo Oil & Gas † 42,514 1,257,564
Core Laboratories
     (Netherlands) 15,364 1,670,681
Diamondback Energy † 27,718 1,854,334
PDC Energy † 30,120 1,607,806
QEP Resources 123,503 1,654,940
RSP Permian † 56,317 1,373,572
SM Energy 31,246 614,296
10,033,193
Financials – 14.10%
Allied World Assurance
     Holdings (Switzerland) 41,491 1,543,050
Associated Banc-Corp 393,792 7,383,600
Assurant 29,685 2,390,830
Assured Guaranty (Bermuda) 41,667 1,101,259
Education Realty Trust 70,330 2,664,100
EverBank Financial 117,060 1,870,619
Evercore Partners Class A 32,505 1,757,545
Extra Space Storage 88,193 7,779,505
First American Financial 90,039 3,232,400
First Busey 50,994 1,052,006
Hannon Armstrong
     Sustainable Infrastructure
     Capital 118,533 2,242,644
HFF Class A 58,988 1,832,757
Kennedy-Wilson Holdings 138,293 3,330,095
Lakeland Financial 88,061 4,105,404
LegacyTexas Financial Group 125,912 3,150,318
Leucadia National 75,043 1,304,998
MarketAxess Holdings 23,048 2,571,926
MB Financial 162,895 5,272,911
Pebblebrook Hotel Trust 40,008 1,121,024
PrivateBancorp 68,877 2,825,335
Sandy Spring Bancorp 28,746 774,992
SEI Investments 39,510 2,070,324
Sterling Bancorp 78,221 1,268,745
SVB Financial Group † 33,758 4,013,826
United Community Banks 109,867 2,141,308
WisdomTree Investments 103,113 1,616,812
70,418,333
Healthcare – 18.27%
Abaxis 23,976 1,334,984
Acadia Healthcare † 45,718 2,855,546
Aerie Pharmaceuticals † 52,341 1,274,503
Agios Pharmaceuticals † 32,218 2,091,593
Akorn † 79,298 2,958,608
Anacor Pharmaceuticals † 25,005 2,824,815
Aratana Therapeutics † 48,920 272,974
BioCryst Pharmaceuticals † 139,248 1,437,039
Bio-Techne 23,698 2,132,820
Celldex Therapeutics † 120,721 1,892,905
Cepheid † 184,178   6,728,022

(continues)     NQ-OPTSG [12/15} 2/16 (16077) 1


Schedule of investments

Optimum Small-Mid Cap Growth Fund (Unaudited)

Number of Value
            shares       (U.S. $)
Common Stock (continued)
Healthcare (continued)
DexCom † 28,386 $ 2,324,813
Endologix † 121,841 1,206,226
Envision Healthcare
     Holdings † 129,640 3,366,751
Five Prime Therapeutics † 53,990 2,240,585
Flexion Therapeutics † 48,159 928,024
Fluidigm † 92,360 998,412
Galapagos ADR † 34,533 2,171,435
HealthSouth 25,468 886,541
HeartWare International † 24,173 1,218,319
Insulet † 117,360 4,437,382
Intercept Pharmaceuticals † 3,890 580,972
Intersect ENT † 71,670 1,612,575
Ironwood Pharmaceuticals † 60,499 701,183
LDR Holding † 61,458 1,543,210
LifePoint Health † 22,290 1,636,086
Medidata Solutions † 64,678 3,187,979
Mettler-Toledo International † 10,652 3,612,413
Novavax † 211,088 1,771,028
Otonomy † 44,079 1,223,192
Portola Pharmaceuticals † 44,821 2,306,040
PTC Therapeutics † 39,710 1,286,604
Relypsa † 34,684 982,945
Sarepta Therapeutics † 38,533 1,486,603
Seattle Genetics † 43,130 1,935,674
Sirona Dental Systems † 19,461 2,132,342
Team Health Holdings † 29,226 1,282,729
TESARO † 34,242 1,791,541
Tetraphase Pharmaceuticals † 62,725 629,132
Ultragenyx Pharmaceutical † 56,442 6,331,664
Veeva Systems Class A † 142,589 4,113,693
VWR † 94,074 2,663,235
Wright Medical Group
     (Netherlands) † 118,029 2,853,941
91,247,078
Industrials – 17.41%
Advanced Drainage Systems 107,246 2,577,121
Advisory Board † 76,209 3,780,729
Altra Industrial Motion @ 68,857 1,726,934
AMETEK 145,163 7,779,285
Astronics † 31,898 1,298,568
Avis Budget Group † 36,313 1,317,799
DigitalGlobe † 14,250 223,155
Donaldson 167,607 4,803,617
ESCO Technologies 59,035 2,133,525
Generac Holdings † 156,266 4,652,039
Heartland Express 87,534 1,489,829
HEICO Class A 189,157 9,306,524
Hertz Global Holdings † 93,314 1,327,858
Knight Transportation 101,812 2,466,905
Knoll 117,816 2,214,941
Landstar System 61,619 3,613,954
Masonite International † 59,028 3,614,284
Middleby † 42,041 4,534,963
Moog Class A † 41,626 2,522,536
Navigant Consulting † 105,760 1,698,506
Nordson 114,120 7,320,798
Oshkosh 51,223 1,999,746
PGT † 149,285 1,700,356
Rush Enterprises † 28,670 627,873
Rush Enterprises Class A † 37,136 812,907
Toro 68,278 4,989,074
TriNet Group † 79,020 1,529,037
WageWorks † 44,271 2,008,575
Watts Water Technologies
     Class A 33,333 1,655,650
XPO Logistics † 44,925 1,224,206
86,951,294
Information Technology – 23.76%
Amber Road † 202,006 1,028,211
ANSYS † 70,739 6,543,358
Apigee @† 34,913 280,351
Arista Networks † 35,089 2,731,328
Atlassian (United Kingdom) † 23,276 700,142
Bankrate † 207,487 2,759,577
Blackhawk Network
     Holdings † 91,946 4,064,933
CalAmp † 41,958 836,223
Ciena † 29,703 614,555
comScore † 41,953 1,726,366
CoreLogic † 69,783 2,362,852
CoStar Group † 26,131 5,401,016
Cvent † 74,952 2,616,574
Demandware † 68,591 3,701,856
Entegris † 87,651 1,163,129
ExlService Holdings † 113,803 5,113,169
Fair Isaac 35,433 3,337,080
First Solar † 25,733 1,698,121
Fleetmatics Group (Ireland) † 15,956 810,405
Global Payments 34,443 2,221,918
Gogo † 91,946 1,636,639
Guidewire Software † 37,815 2,274,950
Heartland Payment Systems 23,308 2,210,065

2 NQ-OPTSG [12/15} 2/16 (16077)


(Unaudited)

Number of Value
            shares       (U.S. $)
Common Stock (continued)
Information Technology (continued)
HubSpot † 46,486 $ 2,617,627
Infinera † 105,636 1,914,124
IPG Photonics † 55,674 4,963,894
Knowles † 45,169 602,103
Littelfuse 14,929 1,597,552
M/A-COM Technology
     Solutions Holdings † 19,265 787,746
MAXIMUS 41,729 2,347,256
Mellanox Technologies
     (Israel) † 83,169 3,504,742
Monolithic Power Systems 42,514 2,708,567
NetSuite † 30,155 2,551,716
Pure Storage Class A @† 44,200 688,194
Pure Storage Class B =† 36,123 561,819
Quotient Technology † 156,490 1,067,262
RetailMeNot † 70,275 697,128
Rogers † 34,830 1,796,183
Rubicon Technology † 336,123 383,180
Sanmina † 107,896 2,220,500
SPS Commerce † 72,293 5,075,692
SunPower † 65,293 1,959,443
Tableau Software Class A † 10,760 1,013,807
Telogis @=† 185,242 350,107
Textura † 139,136 3,002,555
Tyler Technologies † 19,808 3,452,931
Verint Systems † 13,216 536,041
Virtusa † 113,218 4,680,432
WEX † 34,284 3,030,706
WNS Holdings ADR † 194,270 6,059,281
Zendesk † 18,700 494,428
Zillow Group † 26,608 692,872
Zillow Group Class C † 61,682 1,448,293
118,638,999
Materials – 2.65%
Graphic Packaging Holding 218,121 2,798,492
Headwaters † 229,832 3,877,266
KapStone Paper & Packaging 158,702 3,585,078
Platform Specialty Products † 232,714 2,985,721
13,246,557
Telecommunication Services – 1.32%
Boingo Wireless † 185,129 1,225,554
Globalstar † 551,104 793,590
GTT Communications † 29,185 497,896
inContact † 36,758 350,671
Lumos Networks 203,344 2,277,453
Vonage Holdings † 254,079 1,458,414
6,603,578
Total Common Stock
(cost $457,380,500) 474,293,927
 
Convertible Preferred Stock – 0.54%
DraftKings Series D@=† 56,648 168,443
Honest@=† 15,249 691,237
MarkLogic@=† 83,588 975,472
Zuora@=† 209,844 868,754
Total Convertible Preferred
Stock (cost $2,770,886) 2,703,906
 
Exchange-Traded Fund – 0.71%
iShares Russell 2000 Growth
     ETF 25,340 3,532,649
Total Exchange-Traded Fund
(cost $3,543,145) 3,532,649
 
Preferred Stock – 0.83%
Cloudera @=† 30,243 776,943
DocuSign
     Series B @=† 1,166 22,247
     Series B-1 @=† 349 6,659
     Series C @=† 4,474 85,364
     Series D @=† 838 15,989
     Series E @=† 21,664 413,349
DraftKings Series D-1 =† 50,706 195,091
Nutanix @=† 40,185 656,623
Telogis @=† 252,269 1,112,506
Veracode Series 8 @=† 30,584 830,050
Total Preferred Stock
(cost $2,888,237) 4,114,821
 
Principal
amount°
Short-Term Investments – 3.10%
Discount Notes – 3.00%≠
Federal Home Loan Bank
     0.12% 1/4/16 177,062 177,062
     0.155% 2/3/16 1,032,780 1,032,574
     0.17% 1/21/16 451,128 451,098
     0.18% 2/26/16 949,371 949,036
     0.18% 3/7/16 819,017 818,601

(continues)     NQ-OPTSG [12/15} 2/16 (16077) 3


Schedule of investments

Optimum Small-Mid Cap Growth Fund (Unaudited)

Principal Value
            amount°       (U.S. $)
Short-Term Investments (continued)
Discount Notes≠ (continued)
     0.185% 1/19/16 136,680 $ 136,672
     0.19% 3/22/16 3,957,226 3,954,741
     0.20% 2/18/16 3,530,792 3,529,733
     0.218% 1/25/16 1,339,931 1,339,821
     0.25% 2/9/16 1,125,403 1,125,133
     0.295% 3/2/16 258,901 258,780
     0.31% 3/14/16 1,221,846 1,221,157
14,994,408
Repurchase Agreements – 0.10%
Bank of America Merrill Lynch
     0.24%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price $171,961
     (collateralized by
     U.S. government
     obligations 3.000%
     11/15/45; market value
     $175,396) 171,957 171,957
Bank of Montreal
     0.26%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price $286,603
     (collateralized by U.S.
     government obligations
     0.75%-2.875%
     9/30/16-8/15/42; market
     value $292,327) 286,594 286,594
BNP Paribas
     0.28%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price $37,450
     (collateralized by
     U.S. government
     obligations 0.000%
     2/15/31-2/15/43; market
     value $38,198) 37,449 37,449
496,000
 
Total Short-Term
Investments
(cost $15,491,365) 15,490,408
 
Total Value of
Securities – 100.16%
(cost $482,074,133) $ 500,135,711
Liabilities Net of
Receivables and Other
Assets – (0.16%) (776,999 )
Net Assets Applicable to
39,815,575 Shares
Outstanding – 100.00% $ 499,358,712
____________________

@ Illiquid security. At Dec. 31, 2015, the aggregate value of illiquid securities was $9,669,222, which represents 1.94% of the Fund’s net assets.
= Security is being fair valued in accordance with the Fund’s fair valuation policy. At Dec. 31, 2015,the aggregate value of fair valued securities was $7,730,653, which represents 1.55% of the Fund’s net assets.
≠ The rate shown is the effective yield at the time of purchase.
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.
† Non-income-producing security.

The following foreign currency exchange contracts were outstanding at Dec. 31, 2015:

Foreign Currency Exchange Contracts

Unrealized
Contract to Appreciation
Counterparty Receive (Deliver)       In Exchange For       Settlement Date       (Depreciation)
BCLY GBP         96,362 USD      (142,557 ) 1/5/16 $ (494 )
RBC   GBP 17,348 USD (25,731 ) 1/4/16 (155 )
$              (649 )

The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represents the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets.

Summary of abbreviations:
ADR – American Depositary Receipt
BCLY – Barclays Bank
GBP – British Pound Sterling
RBC – Royal Bank of Canada
USD – U.S. Dollar

4 NQ-OPTSG [12/15} 2/16 (16077)


Notes

Optimum Small-Mid Cap Growth Fund
December 31, 2015 (Unaudited)

1. Significant Accounting Policies

The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by Optimum Fund Trust (Trust) – Optimum Small-Mid Cap Growth Fund (Fund). This report covers the period of time since the Fund’s last fiscal year end.

Security Valuation – Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. 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. 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant 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, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

2. Investments

U.S. GAAP defines fair value as the price that the 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. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.

Level 1 - 

Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts)

   
Level 2 -

Other observable inputs including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates), or other market-corroborated inputs). (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities)

   
Level 3 -

Significant unobservable inputs including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities)


Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.

(continues)     NQ-OPTSG [12/15} 2/16 (16077) 5


(Unaudited)

2. Investments (continued)

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of Dec. 31, 2015:

Securities                                         Level 1       Level 2       Level 3       Total
Common Stock
     Consumer Discretionary $ 66,192,055 $ 1,859,691 $ — $ 68,051,746
     Consumer Staples 8,000,176 1,102,973 — 9,103,149
     Energy 10,033,193 — — 10,033,193
     Financials 70,418,333 — — 70,418,333
     Healthcare 91,247,078 — — 91,247,078
     Industrials 86,951,294 — — 86,951,294
     Information Technology 117,727,073 561,819 350,107 118,638,999
     Materials 13,246,557 — — 13,246,557
     Telecommunication Services 6,603,578 — — 6,603,578
Convertible Preferred Stock — — 2,703,906 2,703,906
Exchange-Traded Funds 3,532,649 — — 3,532,649
Preferred Stock — — 4,114,821 4,114,821
Short-Term Investments — 15,490,408 — 15,490,408
Total Value of Securities $ 473,951,986 $ 19,014,891 $ 7,168,834 $ 500,135,711
Foreign Currency Exchange
     Contracts $ — $ (649 ) $ — $ (649 )

As a result of utilizing international fair value pricing at Dec. 31, 2015, a portion of the Fund’s common stock was classified as Level 2.

During the period ended Dec. 31, 2015, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund 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 the 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 Fund’s net asset value (NAV) is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Fund’s net assets at the end of the period.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value for the Fund:

            Convertible            
Common Preferred Preferred
Stock Stock Stock Total
Beginning balance March 31, 2015 $ 133,374   $ 717,534   $ 5,544,101 $ 6,395,009
Purchases — 1,973,626 474,105 2,447,731
Sales — — (1,313,030 ) (1,313,030 )
Net change in unrealized
     appreciation (depreciation) 216,733 12,746 (590,355 ) (360,876 )
Ending balance Dec. 31, 2015 $ 350,107 $ 2,703,906 $ 4,114,821 $ 7,168,834
Net change in unrealized appreciation                                
     (depreciation) from investments still                                
     held at the end of the period   $ 216,733     $ 12,746     $ (431,613)     $ (202,134)  

6 NQ-OPTSG [12/15} 2/16 (16077)


(Unaudited)


Sensitivity Analysis

Valuation: U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund fair values its financial instruments at fair value using independent pricing sources under the policies approved by the Board. The Pricing Committee is the committee formed by the advisor to develop pricing policies and procedures and to provide oversight of the pricing function for the Fund.

When market quotations are not readily available for one or more portfolio securities, the Fund’s NAV shall be calculated by using the “fair value” of the securities as determined by the Pricing Committee. Such “fair value” is the amount that the Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination should be based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the size of the holding, (iii) the initial cost of the security, (iv) the existence of any contractual restrictions of the security’s disposition, (v) the price and extent of public trading in similar securities of the issuer or of comparable companies, (vi) quotations or evaluated prices from broker/ dealers and/or pricing services, (vii) information obtained from the issuer, analysts, and/or appropriate stock exchange (for exchange-traded securities), (viii) an analysis of the company’s financial statements, and (ix) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

The Pricing Committee, or its delegate, employs various methods for calibrating these valuation approaches, including due diligence of the Fund’s pricing vendors and periodic back-testing of the prices that are fair valued under these procedures and reviews of any market related activity. The pricing of all securities fair valued by the Pricing Committee is subsequently reported to and approved by the Board on a quarterly basis.

Quantitative information about Level 3 fair value measurements for the Fund was as follows:

Fair Value at Unobservable Range
Dec. 31, 2015 Valuation Techniques Input (Weighted Average)
Common stock $350,107    Valuation from client or fair value committee    Market pricing of securities    N/A
Convertible Preferred          
stock $4,114,821 Valuation from client or fair value committee Market pricing of securities   N/A
Preferred stock  
$2,703,906 Valuation from client or fair value committee   Market pricing of securities N/A

3. Subsequent Events

Management has determined that no material events or transactions occurred subsequent to Dec. 31, 2015 that would require recognition or disclosure in the Fund’s “Schedule of investments.”

NQ-OPTSG [12/15} 2/16 (16077) 7


Schedule of investments

Optimum Small-Mid Cap Value Fund
December 31, 2015 (Unaudited)

      Number of       Value
      shares (U.S. $)
Common Stock – 79.96%
Consumer Discretionary – 10.14%
AMC Networks Class A † 49,600 $ 3,704,128
Ascena Retail Group † 466,000 4,590,100
Cable One 4,000 1,734,640
Callaway Golf 223,168 2,102,243
China Automotive Systems
     (China) † 193,161 884,677
Christopher & Banks † 184,160 303,864
ClubCorp Holdings 172,355 3,148,926
Crocs † 249,800 2,557,952
Dick’s Sporting Goods 96,300 3,404,205
Dillard’s Class A 18,700 1,228,777
Finish Line Class A 117,000 2,115,360
Helen of Troy † 26,700 2,516,475
Hooker Furniture 64,136 1,618,793
Horizon Global † 29,100 301,767
Jarden † 55,080 3,146,170
Mattel 80,200 2,179,034
Pier 1 Imports 381,000 1,939,290
Sequential Brands Group † 45,000 355,950
Spartan Motors 700,376 2,178,169
Staples 157,000 1,486,790
Time 221,490 3,470,748
Winnebago Industries 71,143 1,415,746
46,383,804
Consumer Staples – 2.39%
Darling Ingredients † 115,100 1,210,852
Dean Foods 99,300 1,702,995
Edgewell Personal Care 23,600 1,849,532
Energizer Holdings 104,624 3,563,493
Landec † 162,553 1,923,002
MGP Ingredients 25,830 670,289
10,920,163
Energy – 3.30%
CONSOL Energy 347,000 2,741,300
Frank’s International
     (Netherlands) 113,000 1,885,970
Hallador Energy 422,922 1,928,524
McDermott International † 284,000 951,400
Memorial Resource
     Development † 115,400 1,863,710
Newpark Resources † 298,503 1,576,096
PDC Energy † 35,900 1,916,342
RSP Permian † 89,600 2,185,344
Warren Resources † 119,457 25,086
15,073,772
Financials – 8.50%
Alexandria Real Estate
     Equities 43,192 3,902,829
BankUnited 102,600 3,699,756
Cedar Realty Trust 331,776 2,348,974
CIT Group 82,800 3,287,160
Dime Community Bancshares 38,127 666,841
East West Bancorp 42,900 1,782,924
First Financial Bancorp @ 83,000 1,499,810
Hallmark Financial Services † 217,675 2,544,621
Home Bancshares 43,800 1,774,776
Opus Bank 48,433 1,790,568
Potlatch 84,303 2,549,323
PrivateBancorp 95,400 3,913,308
STAG Industrial 98,000 1,808,100
Wintrust Financial 74,600 3,619,592
XL Group (Ireland) 51,000 1,998,180
Zions Bancorporation 61,100 1,668,030
38,854,792
Healthcare – 7.32%
CONMED 34,700 1,528,535
Cooper 26,500 3,556,300
Haemonetics † 114,800 3,701,152
Halyard Health † 116,300 3,885,583
Integra Lifesciences
     Holdings † 35,200 2,385,856
Myriad Genetics † 111,500 4,812,340
Patterson 80,674 3,647,271
PerkinElmer 36,600 1,960,662
Premier Class A † 80,800 2,849,816
Teleflex 39,200 5,152,840
33,480,355
Industrials – 20.64%
ACCO Brands † 789,505 5,629,171
AMETEK 40,875 2,190,491
Apogee Enterprises 61,700 2,684,567
B/E Aerospace 40,700 1,724,459
Brady Class A 74,500 1,712,010
Carlisle 30,800 2,731,652
Colfax † 10,000 233,500
Continental Building
     Products † 104,347 1,821,899
Crane 42,800 2,047,552
Diana Shipping (Greece) † 191,975 835,091
Dover 83,700 5,131,647
Encore Wire 12,969 481,020
Ennis 103,685 1,995,936

(continues)       NQ-OPTSV [12/15] 2/16 (16076) 1


Schedule of investments

Optimum Small-Mid Cap Value Fund (Unaudited)

Number of Value
            shares       (U.S. $)
Common Stock (continued)
Industrials (continued)
Equifax 28,197 $ 3,140,300
FreightCar America 72,735 1,413,241
Graham 63,151 1,062,200
Granite Construction 112,337 4,820,381
Harsco 384,000 3,025,920
Herman Miller 128,800 3,696,560
Hubbell 10,900 1,101,336
KBR 149,000 2,521,080
Kennametal 143,500 2,755,200
Knoll 161,824 3,042,291
Landstar System 22,400 1,313,760
McGrath RentCorp 21,281 536,068
MRC Global † 110,000 1,419,000
Navigant Consulting † 156,972 2,520,970
Pitney Bowes 250,700 5,176,955
Precision Castparts 16,200 3,758,562
RPX † 35,682 392,502
Rush Enterprises Class A † 68,300 1,495,087
Stanley Black & Decker 50,000 5,336,500
Timken 59,500 1,701,105
Trex † 48,938 1,861,601
TrueBlue † 224,600 5,785,696
Tyco International 15,400 491,106
Watts Water Technologies
     Class A 4,601 228,532
WESCO International † 70,300 3,070,704
Woodward 70,500 3,501,030
94,386,682
Information Technology – 16.54%
Advanced Energy Industries † 104,253 2,943,062
Amdocs 82,400 4,496,568
ARRIS Group † 61,600 1,883,112
AVG Technologies
     (Netherlands) † 209,200 4,194,460
Booz Allen Hamilton Holding 129,374 3,991,188
Brocade Communications
     Systems 298,800 2,742,984
Cardtronics † 138,000 4,643,700
Flextronics International † 512,000 5,739,520
FLIR Systems 133,307 3,741,927
IAC/InterActiveCorp 51,500 3,092,575
Ingram Micro Class A 136,000 4,131,680
j2 Global 61,200 5,037,984
Jabil Circuit 92,600 2,156,654
Mercury Systems † 144,358 2,650,413
Methode Electronics 74,735 2,378,815
ON Semiconductor † 279,000 2,734,200
Plexus † 122,302 4,270,786
Rudolph Technologies † 293,708 4,176,528
ScanSource † 9,801 315,788
Synaptics † 32,291 2,594,259
Teradyne 178,100 3,681,327
Unisys † 145,925 1,612,471
Xcerra † 70,300 425,315
Zebra Technologies † 28,500 1,985,025
75,620,341
Materials – 10.25%
Albemarle 36,762 2,059,040
Allegheny Technologies 172,000 1,935,000
Avery Dennison 33,000 2,067,780
Boise Cascade † 102,900 2,627,037
Carpenter Technology 95,200 2,881,704
Eastman Chemical 66,900 4,516,419
Fuller (H.B.) 79,500 2,899,365
Intrepid Potash † 214,400 632,480
KapStone Paper & Packaging 189,900 4,289,841
KMG Chemicals 149,890 3,450,468
Minerals Technologies 93,300 4,278,738
Owens-Illinois † 76,000 1,323,920
PolyOne 220,600 7,006,256
Sealed Air 25,200 1,123,920
Sonoco Products 77,600 3,171,512
Stillwater Mining † 306,056 2,622,900
46,886,380
Telecommunication Services – 0.88%
Vonage Holdings † 703,357 4,037,269
  4,037,269
 
Total Common Stock
(cost $347,277,231) 365,643,558
 
U.S. Master Limited Partnership – 0.71%
Boardwalk Pipeline Partners 250,000 3,245,000
Total U.S. Master Limited
Partnership
(cost $3,344,045) 3,245,000
 
  Principal
  amount°
Short-Term Investments – 15.54%
Discount Notes – 7.70%≠
Federal Home Loan Bank
     0.12% 1/4/16 995,020 995,020

2 NQ-OPTSV [12/15] 2/16 (16076)


(Unaudited)

Principal Value
            amount°       (U.S. $)
Short-Term Investments (continued)
Discount Notes≠ (continued)
Federal Home Loan Bank
     0.155% 2/3/16 3,062,159 $ 3,061,547
     0.166% 1/25/16 3,576,072 3,575,779
     0.17% 1/21/16 3,041,898 3,041,697
     0.18% 2/26/16 2,578,986 2,578,076
     0.18% 3/7/16 2,428,358 2,427,124
     0.185% 1/19/16 1,547,189 1,547,099
     0.19% 3/22/16 5,133,848 5,130,624
     0.195% 2/18/16 6,330,181 6,328,282
     0.25% 2/9/16 1,475,180 1,474,826
     0.295% 3/2/16 748,839 748,490
     0.31% 3/14/16 4,293,602 4,291,180
35,199,744
Repurchase Agreements – 7.84%
Bank of America Merrill Lynch
     0.24%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $12,433,565
     (collateralized by U.S.
     government obligations
     3.00% 11/15/45; market
     value
     $12,681,905) 12,433,234 12,433,234
Bank of Montreal
     0.26%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $20,722,655
     (collateralized by U.S.
     government obligations
     0.75%–2.875%
     9/30/16–8/15/42; market
     value $21,136,504) 20,722,056 20,722,056
BNP Paribas
     0.28%, dated 12/31/15, to
     be repurchased on 1/4/16,
     repurchase price
     $2,707,794 (collateralized
     by U.S. government
     obligations 0.00%
     2/15/31–2/15/43; market
     value $2,761,866) 2,707,710 2,707,710
  35,863,000
 
Total Short-Term
Investments
(cost $71,064,224) 71,062,744
 
Total Value of
Securities – 96.21%
(cost $421,685,500) 439,951,302
Receivables and Other
Assets Net of
Liabilities – 3.79% 17,328,691
Net Assets Applicable to
38,112,637 Shares
Outstanding – 100.00% $ 457,279,993
____________________

@ Illiquid security. At Dec. 31, 2015, the aggregate value of illiquid securities was $1,499,810, which represents 0.33% of the Fund’s net assets.
≠ The rate shown is the effective yield at the time of purchase.
° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency.
† Non-income-producing security.

NQ-OPTSV [12/15] 2/16 (16076) 3


Notes

Optimum Small-Mid Cap Value Fund
December 31, 2015 (Unaudited)

1. Significant Accounting Policies

The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by Optimum Fund Trust (Trust) – Optimum Small-Mid Cap Value Fund (Fund). This report covers the period of time since the Fund’s last fiscal year end.

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, then 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. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. 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. 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. 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. The Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before the Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant 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, the Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).

2. Investments

U.S. GAAP defines fair value as the price that the 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. The Fund’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized below.

Level 1 – 

Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, exchange-traded options contracts)

 
Level 2 – 

Other observable inputs including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates), or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities)

 
Level 3 – 

Significant unobservable inputs including the Fund’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities)


Level 3 investments are valued using significant unobservable inputs. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.

4 NQ-OPTSV [12/15] 2/16 (16076)


(Unaudited)

The following table summarizes the valuation of the Fund’s investments by fair value hierarchy levels as of Dec. 31, 2015:

Securities         Level 1       Level 2       Total
Common Stock $ 365,643,558 $ — $ 365,643,558
U.S. Master Limited Partnership 3,245,000 — 3,245,000
Short-Term Investments — 71,062,744 71,062,744
Total Value of Securities $ 368,888,558 $ 71,062,744 $ 439,951,302

During the period ended Dec. 31, 2015, there were no transfers between Level 1 investments, Level 2 investments or Level 3 investments that had a significant impact to the Fund. This does not include transfers between Level 1 investments and Level 2 investments due to the Fund 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 the 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 Fund’s net asset value (NAV) is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Fund’s NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. The Fund’s policy is to recognize transfers between levels at the beginning of the reporting period.

A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to net assets. At Dec. 31, 2015, there were no Level 3 investments.

3. Subsequent Events

Management has determined that no material events or transactions occurred subsequent to Dec. 31, 2015 that would require recognition or disclosure in the Fund’s “Schedule of investments.”

NQ-OPTSV [12/15] 2/16 (16076) 5


Item 2. 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 registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), exactly as set forth below: