UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER
REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number: | 811-21335 | |
Exact name of registrant as specified in charter: | Optimum Fund Trust | |
Address of principal executive offices: | 2005 Market Street | |
Philadelphia, PA 19103 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
2005 Market Street | ||
Philadelphia, PA 19103 | ||
Registrants telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | March 31 | |
Date of reporting period: | September 30, 2016 |
Item 1. Reports to Stockholders
Optimum Fixed Income Fund
Optimum International Fund
Optimum Large Cap Growth Fund
Optimum Large Cap Value Fund
Optimum Small-Mid Cap Growth Fund
Optimum Small-Mid Cap Value Fund
Semiannual report
September 30, 2016
|
Carefully consider the Funds investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the Funds prospectus and, if available, their summary prospectuses, which may be obtained by visiting optimummutualfunds.com or calling 800 914-0278. Investors should read the prospectus and, if available, the summary prospectus carefully before investing.
1 | ||||
Security type / sector / country allocations |
3 | |||
8 | ||||
Financial statements |
70 | |||
70 | ||||
73 | ||||
75 | ||||
78 | ||||
96 | ||||
122 | ||||
127 |
Neither Delaware Investments nor its affiliates referred to in this document are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of Macquarie Bank Limited (MBL), a subsidiary of Macquarie Group Limited and an affiliate of Delaware Investments. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise. The Funds are governed by U.S. laws and regulations.
Unless otherwise noted, views expressed herein are current as of Sept. 30, 2016, and subject to change for events occurring after such a date. Holdings are as of the date indicated and subject to change.
The Funds are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Mutual fund advisory services provided by Delaware Management Company, a series of Delaware Management Business Trust, which is a registered investment advisor. Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries, including the Funds distributor, Delaware Distributors, L.P. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide.
All third-party marks cited are the property of their respective owners.
© 2016 Delaware Management Holdings, Inc.
For the six-month period from April 1, 2016 to September 30, 2016 (Unaudited)
(continues | ) | 1 |
Disclosure of Fund expenses
2
Security type / sector allocations
Optimum Fixed Income Fund
As of September 30, 2016 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisors internal sector classifications, which may result in the sector designations for one fund being different than another funds sector designations.
(continues | ) | 3 |
Security type / country and sector allocations
Optimum International Fund
As of September 30, 2016 (Unaudited)
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisors internal sector classifications, which may result in the sector designations for one fund being different than another funds sector designations.
4
Security type / sector allocations and top 10 equity holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisors internal sector classifications, which may result in the sector designations for one fund being different than another funds sector designations.
(continues | ) | 5 |
Security type / sector allocations and top 10 equity holdings
Sector designations may be different than the sector designations presented in other Fund materials. The sector designations may represent the investment manager or sub-advisors internal sector classifications, which may result in the sector designations for one fund being different than another funds sector designations.
6
(continues | ) | 7 |
Optimum Fixed Income Fund
September 30, 2016 (Unaudited)
8
(continues | ) | 9 |
Schedules of investments
Optimum Fixed Income Fund
10
(continues | ) | 11 |
Schedules of investments
Optimum Fixed Income Fund
12
(continues | ) | 13 |
Schedules of investments
Optimum Fixed Income Fund
14
(continues | ) | 15 |
Schedules of investments
Optimum Fixed Income Fund
16
(continues | ) | 17 |
Schedules of investments
Optimum Fixed Income Fund
18
(continues | ) | 19 |
Schedules of investments
Optimum Fixed Income Fund
20
(continues | ) | 21 |
Schedules of investments
Optimum Fixed Income Fund
22
(continues | ) | 23 |
Schedules of investments
Optimum Fixed Income Fund
24
(continues | ) | 25 |
Schedules of investments
Optimum Fixed Income Fund
26
(continues | ) | 27 |
Schedules of investments
Optimum Fixed Income Fund
28
(continues | ) | 29 |
Schedules of investments
Optimum Fixed Income Fund
30
(continues | ) | 31 |
Schedules of investments
Optimum Fixed Income Fund
32
(continues | ) | 33 |
Schedules of investments
Optimum Fixed Income Fund
34
(continues | ) | 35 |
Schedules of investments
Optimum Fixed Income Fund
36
(continues | ) | 37 |
Schedules of investments
Optimum Fixed Income Fund
38
(continues | ) | 39 |
Schedules of investments
Optimum Fixed Income Fund
40
(continues | ) | 41 |
Schedules of investments
Optimum Fixed Income Fund
42
(continues | ) | 43 |
Schedules of investments
Optimum Fixed Income Fund
44
The following foreign currency exchange contracts, futures contracts, reverse repurchase agreement, and swap contracts were outstanding at Sept. 30, 2016:1
Foreign Currency Exchange Contracts
Counterparty |
Contracts to Receive (Deliver) |
In Exchange For | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
BAML |
AUD | (13,323,000 | ) | USD | 10,010,835 | 10/4/16 | $ | (185,161 | ) | |||||||||||
BAML |
AUD | (2,965,421 | ) | USD | 2,273,440 | 10/28/16 | 5,370 | |||||||||||||
BAML |
CAD | (2,612,000 | ) | USD | 2,023,418 | 10/4/16 | 32,410 | |||||||||||||
BAML |
CAD | (1,815,258 | ) | USD | 1,373,707 | 10/28/16 | (10,223 | ) | ||||||||||||
BAML |
EUR | (33,382,000 | ) | USD | 37,375,487 | 10/4/16 | (131,047 | ) | ||||||||||||
BAML |
EUR | 2,330,201 | USD | (2,619,752 | ) | 10/28/16 | 1,399 | |||||||||||||
BAML |
GBP | (7,736,000 | ) | USD | 10,235,114 | 10/4/16 | 207,126 | |||||||||||||
BAML |
JPY | (2,848,800,000 | ) | USD | 28,400,526 | 10/4/16 | 302,796 | |||||||||||||
BAML |
JPY | (15,526,257 | ) | USD | 154,861 | 10/28/16 | 1,568 | |||||||||||||
BAML |
NZD | (3,426,460 | ) | USD | 2,507,621 | 10/28/16 | 15,616 | |||||||||||||
BAML |
TWD | (69,157,201 | ) | USD | 2,166,578 | 11/10/16 | (49,915 | ) | ||||||||||||
BCLY |
COP | 3,340,995,966 | USD | (1,152,429 | ) | 10/28/16 | (224 | ) | ||||||||||||
BNP |
AUD | (1,278,816 | ) | USD | 979,383 | 10/28/16 | 1,294 | |||||||||||||
BNP |
EUR | 28,246,000 | USD | (31,692,012 | ) | 10/4/16 | 43,942 | |||||||||||||
BNP |
EUR | (28,246,000 | ) | USD | 31,730,144 | 11/2/16 | (49,934 | ) | ||||||||||||
BNP |
GBP | 7,069,000 | USD | (9,196,769 | ) | 10/4/16 | (33,396 | ) | ||||||||||||
BNP |
GBP | (7,736,000 | ) | USD | 10,069,641 | 11/2/16 | 35,787 | |||||||||||||
BNP |
INR | 38,831,774 | USD | (582,185 | ) | 10/28/16 | (1,361 | ) | ||||||||||||
BNP |
INR | 23,338,266 | USD | (344,623 | ) | 11/10/16 | 3,767 | |||||||||||||
BNP |
NOK | 1,488,961 | USD | (183,329 | ) | 10/28/16 | 2,938 | |||||||||||||
BNP |
THB | (4,239,616 | ) | USD | 121,267 | 11/10/16 | (1,014 | ) | ||||||||||||
BNYM |
CAD | (4,650 | ) | USD | 3,542 | 10/3/16 | (2 | ) | ||||||||||||
CITI |
EUR | 4,728,000 | USD | (5,276,973 | ) | 10/4/16 | 35,198 | |||||||||||||
CITI |
GBP | (811,000 | ) | USD | 1,059,878 | 11/14/16 | 7,776 | |||||||||||||
CITI |
JPY | 2,848,800,000 | USD | (28,080,827 | ) | 10/4/16 | 16,903 | |||||||||||||
CITI |
JPY | (2,848,800,000 | ) | USD | 28,114,082 | 11/2/16 | (18,525 | ) | ||||||||||||
CITI |
KRW | (20,684,936,100 | ) | USD | 18,858,491 | 11/10/16 | 88,841 | |||||||||||||
CITI |
MXN | (217,214,212 | ) | USD | 11,963,902 | 10/20/16 | 788,178 | |||||||||||||
CITI |
MYR | (17,102,354 | ) | USD | 4,204,118 | 11/15/16 | 65,010 | |||||||||||||
CITI |
SGD | (15,642,501 | ) | USD | 11,655,243 | 11/10/16 | 181,716 | |||||||||||||
CITI |
ZAR | (8,362,301 | ) | USD | 617,709 | 10/28/16 | 11,667 | |||||||||||||
DB |
MXN | 44,147,250 | USD | (2,250,000 | ) | 10/20/16 | 21,387 | |||||||||||||
DB |
SGD | 6,164,421 | USD | (4,537,000 | ) | 11/10/16 | (15,494 | ) | ||||||||||||
HSBC |
GBP | 99,517 | USD | (129,640 | ) | 10/28/16 | (574 | ) | ||||||||||||
JPMC |
CAD | 2,612,000 | USD | (1,974,275 | ) | 10/4/16 | 16,732 | |||||||||||||
JPMC |
CAD | (2,612,000 | ) | USD | 1,974,612 | 11/2/16 | (16,815 | ) | ||||||||||||
JPMC |
EUR | 408,000 | USD | (457,274 | ) | 10/4/16 | 1,136 | |||||||||||||
JPMC |
GBP | (111,000 | ) | USD | 144,265 | 11/14/16 | 267 | |||||||||||||
JPMC |
KRW | (1,037,881,750 | ) | USD | 945,032 | 10/28/16 | 3,158 | |||||||||||||
JPMC |
MXN | 261,296,000 | USD | (14,246,360 | ) | 10/20/16 | (802,618 | ) | ||||||||||||
JPMC |
PLN | (864,314 | ) | USD | 226,220 | 10/28/16 | 343 | |||||||||||||
JPMC |
SEK | 813,406 | USD | (94,856 | ) | 10/28/16 | 96 | |||||||||||||
TD |
EUR | (1,169,399 | ) | USD | 1,313,792 | 10/28/16 | (1,618 | ) | ||||||||||||
TD |
INR | 39,046,199 | USD | (585,619 | ) | 10/28/16 | (1,588 | ) | ||||||||||||
TD |
JPY | 60,018,033 | USD | (599,379 | ) | 10/28/16 | (6,809 | ) |
(continues | ) | 45 |
Schedules of investments
Optimum Fixed Income Fund
Counterparty |
Contracts to Receive (Deliver) |
In Exchange For | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
TD |
MXN | (9,157,683 | ) | USD | 469,592 | 10/28/16 | $ | (1,114 | ) | |||||||||||||||
TD |
NZD | (2,761,482 | ) | USD | 2,012,712 | 10/28/16 | 4,334 | |||||||||||||||||
TD |
ZAR | (15,865,000 | ) | USD | 1,171,017 | 10/28/16 | 21,230 | |||||||||||||||||
UBS |
IDR | (31,630,953,285 | ) | USD | 2,440,659 | 10/28/16 | 18,494 | |||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 609,047 | |||||||||||||||||||||||
|
|
Futures Contracts
Contracts to Buy (Sell) |
Notional Cost (Proceeds) |
Notional Value |
Expiration Date |
Unrealized Appreciation (Depreciation) |
||||||||||||
60 90 Day Euro |
$ | 14,845,642 | $ | 14,852,250 | 6/20/17 | $ | 6,608 | |||||||||
(4) 90 Day Euro |
(989,605 | ) | (989,350 | ) | 12/19/17 | 255 | ||||||||||
(60) 90 Day Euro |
(14,800,358 | ) | (14,812,500 | ) | 6/18/19 | (12,142 | ) | |||||||||
(39) 90 Day Euro |
(9,613,433 | ) | (9,637,875 | ) | 9/18/18 | (24,442 | ) | |||||||||
(138) 90 Day Euro |
(33,974,379 | ) | (34,041,150 | ) | 12/17/19 | (66,771 | ) | |||||||||
(235) 90 Day Euro |
(57,914,207 | ) | (58,094,938 | ) | 6/19/18 | (180,731 | ) | |||||||||
(542) 90 Day Euro |
(133,749,101 | ) | (134,029,825 | ) | 3/20/18 | (280,724 | ) | |||||||||
(1,002) 90 Day Euro |
(246,727,610 | ) | (247,506,525 | ) | 12/18/18 | (778,915 | ) | |||||||||
(647) 90 Day Euro |
(159,009,302 | ) | (160,100,150 | ) | 9/19/17 | (1,090,848 | ) | |||||||||
(123) 90 Day Sterling |
(19,691,650 | ) | (19,874,500 | ) | 9/21/17 | (182,850 | ) | |||||||||
(915) 90 Day Sterling |
(147,137,552 | ) | (147,846,889 | ) | 6/21/18 | (709,337 | ) | |||||||||
(1,061) 90 Day Sterling |
(170,029,451 | ) | (171,454,949 | ) | 3/22/18 | (1,425,498 | ) | |||||||||
12 Australian 10 yr Bonds |
889,128 | 900,832 | 12/16/16 | 11,704 | ||||||||||||
27 Australian 3 yr Bonds |
2,028,725 | 2,036,482 | 12/16/16 | 7,757 | ||||||||||||
(43) Euro-Bund |
(7,988,277 | ) | (8,003,981 | ) | 12/9/16 | (15,704 | ) | |||||||||
277 U.S. Treasury 10 yr Notes |
36,430,548 | 36,321,625 | 12/21/16 | (108,923 | ) | |||||||||||
1,765 U.S. Treasury 5 yr Notes |
214,476,360 | 214,475,078 | 1/2/17 | (1,282 | ) | |||||||||||
475 U.S. Treasury Long Bonds |
80,021,187 | 79,874,219 | 12/21/16 | (146,968 | ) | |||||||||||
|
|
|
|
|||||||||||||
$ | (652,933,335 | ) | $ | (4,998,811 | ) | |||||||||||
|
|
|
|
Swap Contracts
CDS Contracts2
Counterparty |
Swap Referenced Obligation |
Notional Value3 |
Annual Protection Payments |
Termination Date |
Upfront Payments Paid (Received) |
Unrealized Appreciation (Depreciation)4 |
||||||||||||||||
Protection Purchased / Moodys ratings: | ||||||||||||||||||||||
ICE |
CSFB CDX.NA.HY.275 | 3,000,000 | 5.00% | 12/20/21 | $ | (129,090 | ) | $ | (2,366 | ) | ||||||||||||
ICE |
CSFB CDX.NA.IG.266 | 10,300,000 | 1.00% | 6/20/21 | (117,472 | ) | (28,624 | ) | ||||||||||||||
|
|
|||||||||||||||||||||
$ | (30,990 | ) | ||||||||||||||||||||
|
|
|||||||||||||||||||||
Protection Sold / Moodys ratings: | ||||||||||||||||||||||
BAML |
Citigroup CDS 6.125% 5/15/18 Baa1 |
700,000 | 1.00% | 12/20/20 | (1,254 | ) | 9,836 | |||||||||||||||
Italy Government | ||||||||||||||||||||||
BAML |
6.875% 9/27/23 Baa2 | 9,800,000 | 1.00% | 6/20/21 | (154,727 | ) | (46,788 | ) |
46
Counterparty |
Swap Referenced Obligation |
Notional Value3 |
Annual Protection Payments |
Termination Date |
Upfront Payments Paid (Received) |
Unrealized Appreciation (Depreciation)4 |
||||||||||||||||
BAML |
Republic of Colombia LA CDS 10.375% 1/28/33 Baa2 CDS | 100,000 | 1.00% | 6/20/21 | $ | (3,090 | ) | 788 | ||||||||||||||
BAML |
Volkswagen International 5.375% 5/22/18 A3 | EUR | 1,800,000 | 1.00% | 12/20/16 | (2,045 | ) | 5,236 | ||||||||||||||
BNP |
Republic of Colombia LA CDS 10.375% 1/28/33 Baa2 CDS | 200,000 | 1.00% | 6/20/21 | (6,254 | ) | 1,650 | |||||||||||||||
DB |
CMBX.NA.AAA.87 | 14,200,000 | 0.50% | 10/17/57 | (944,675 | ) | 599,215 | |||||||||||||||
DB |
Republic of Colombia LA CDS 10.375% 1/28/33 Baa2 CDS | 200,000 | 1.00% | 6/20/21 | (6,177 | ) | 1,573 | |||||||||||||||
GSC |
Republic of Colombia LA CDS 10.375% 1/28/33 Baa2 CDS | 3,100,000 | 1.00% | 6/20/21 | (98,282 | ) | 26,917 | |||||||||||||||
JPMC |
Mexico LA 5 yr CDS 5.950% 3/19/19 A3 | 14,300,000 | 1.00% | 12/20/19 | 87,773 | (123,403 | ) | |||||||||||||||
JPMC |
Republic of Colombia LA CDS 10.375% 1/28/33 Baa2 CDS | 100,000 | 1.00% | 6/20/21 | (3,127 | ) | 825 | |||||||||||||||
JPMC |
Volkswagen International 5.375% 5/22/18 A3 | EUR | 2,500,000 | 1.00% | 12/20/17 | (27,635 | ) | 50,502 | ||||||||||||||
|
|
|||||||||||||||||||||
$ | 526,351 | |||||||||||||||||||||
|
|
Interest Rate Swap Contracts8
Counterparty |
Swap Referenced Obligation |
Notional Value3 | Fixed Interest Rate Received (Paid) |
Variable Interest Rate Received (Paid) |
Termination Date |
Upfront Payments Paid (Received) |
Unrealized Appreciation (Depreciation)4 |
|||||||||||||
CME |
BAML 10 yr | 1,490,000 | 1.69% | 0.85% | 4/5/26 | $ | | $ | (29,316 | ) | ||||||||||
BAML 2 yr GBP-BBA- | ||||||||||||||||||||
CME |
6-month LIBOR | GBP | 2,900,000 | 0.50% | 0.53% | 3/15/19 | (5,587 | ) | (428 | ) | ||||||||||
BAML 3 yr USD-BBA- | ||||||||||||||||||||
CME |
3-month LIBOR | 5,100,000 | 0.98% | 0.85% | 4/6/19 | | 7,926 | |||||||||||||
BAML 5 yr USD-BBA- | ||||||||||||||||||||
CME |
3-month LIBOR | 5,035,000 | 1.20% | 0.85% | 4/6/21 | | (7,681 | ) | ||||||||||||
BAML 5 yr USD-BBA- | ||||||||||||||||||||
CME |
3-month LIBOR | 6,220,000 | 1.19% | 0.85% | 8/9/21 | | (2,701 | ) | ||||||||||||
BAML 7 yr USD-BBA- | ||||||||||||||||||||
CME |
3-month LIBOR | 3,450,000 | 1.42% | 0.85% | 4/6/23 | | (26,298 | ) | ||||||||||||
CSFB 2 yr GBP-BBA- | ||||||||||||||||||||
CME |
6-month LIBOR | GBP | 3,200,000 | 1.50% | 0.71% | 12/16/17 | (3,459 | ) | (46,913 | ) | ||||||||||
CSFB 2 yr USD-BBA- | ||||||||||||||||||||
CME |
3-month LIBOR | 30,100,000 | 1.45% | 0.85% | 6/28/21 | | (58,228 | ) | ||||||||||||
CSFB 30 yr | ||||||||||||||||||||
USD-BBA- 3-month | ||||||||||||||||||||
CME |
LIBOR | 24,500,000 | 2.75% | 0.85% | 12/16/45 | (295,747 | ) | (5,151,213 | ) | |||||||||||
CSFB 30 yr | ||||||||||||||||||||
USD-BBA- 3-month | ||||||||||||||||||||
CME |
LIBOR | 500,000 | 2.50% | 0.85% | 6/15/46 | (21,069 | ) | (60,590 | ) |
(continues | ) | 47 |
Schedules of investments
Optimum Fixed Income Fund
Counterparty |
Swap Referenced Obligation |
Notional Value3 | Fixed Interest Rate Received (Paid) |
Variable Interest Rate Received (Paid) |
Termination Date |
Upfront Payments Paid (Received) |
Unrealized Appreciation (Depreciation)4 |
|||||||||||||||||||
CSFB 30 yr | ||||||||||||||||||||||||||
USD-BBA- 3-month | ||||||||||||||||||||||||||
CME |
LIBOR | 900,000 | 2.25% | 0.85% | 12/21/46 | $ | (72,804 | ) | $ | (16,825 | ) | |||||||||||||||
CSFB 4 yr USD-BBA- | ||||||||||||||||||||||||||
CME |
3-month LIBOR | 1,600,000 | 2.00% | 0.85% | 12/16/19 | (5,280 | ) | (41,345 | ) | |||||||||||||||||
CSFB 5 yr USD-BBA- | ||||||||||||||||||||||||||
CME |
3-month LIBOR | 2,900,000 | 2.00% | 0.85% | 6/15/21 | (83,889 | ) | (26,772 | ) | |||||||||||||||||
MSC 10 yr USD-BBA- | ||||||||||||||||||||||||||
CME |
3-month LIBOR | 10,700,000 | 2.35% | 0.78% | 8/5/25 | | (832,142 | ) | ||||||||||||||||||
MSC 10 yr USD-BBA- | ||||||||||||||||||||||||||
CME |
3-month LIBOR | 11,400,000 | 1.75% | 0.85% | 12/21/26 | (204,995 | ) | (44,379 | ) | |||||||||||||||||
CSFB 10 yr | ||||||||||||||||||||||||||
USD-BBA- 3-month | ||||||||||||||||||||||||||
LCH |
LIBOR | 7,300,000 | 2.50% | 0.85% | 12/16/25 | (70,903 | ) | (619,018 | ) | |||||||||||||||||
CSFB 10 yr | ||||||||||||||||||||||||||
USD-BBA- 3-month | ||||||||||||||||||||||||||
LCH |
LIBOR | 900,000 | 1.75% | 0.85% | 12/21/26 | (5,595 | ) | (16,527 | ) | |||||||||||||||||
CSFB 30 yr | ||||||||||||||||||||||||||
USD-BBA- 3-month | ||||||||||||||||||||||||||
LCH |
LIBOR | 31,000,000 | 2.50% | 0.85% | 6/15/46 | (1,946,955 | ) | (3,412,908 | ) | |||||||||||||||||
CSFB 5 yr USD-BBA- | ||||||||||||||||||||||||||
LCH |
3-month LIBOR | 43,000,000 | 2.00% | 0.85% | 12/16/20 | 143,467 | (1,675,628 | ) | ||||||||||||||||||
CSFB 5 yr USD-BBA- | ||||||||||||||||||||||||||
LCH |
3-month LIBOR | 40,400,000 | 2.00% | 0.85% | 6/15/21 | (1,232,871 | ) | (332,101 | ) | |||||||||||||||||
CSFB 7 yr USD-BBA- | ||||||||||||||||||||||||||
LCH |
3-month LIBOR | 42,500,000 | 2.25% | 0.85% | 12/16/22 | 345,495 | (2,892,820 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
$ | (15,285,907 | ) | ||||||||||||||||||||||||
|
|
Reverse Repurchase Agreement9
Counterparty | Interest Rate |
Trade Date |
Maturity Date |
Face Value |
Repurchase Price | |||||||
JPMC - U.S. Treasury Note |
0.95% | 9/28/16 | 10/3/16 | $(4,906,125) | $(4,906,772) |
The type of underlying collateral and the remaining maturity of open reverse repurchase agreement in relation to the reverse repurchase agreement is as follows:
Remaining Contracted Maturity of the Agreement
Reverse Repurchase Agreement |
Up to 30 days |
Total | ||
U.S. Treasury Obligation |
$(4,906,125) | $(4,906,125) |
The use of foreign currency exchange contracts, futures contracts, reverse repurchase agreement, and swap contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The foreign currency exchange contracts and notional values and reverse repurchase agreements presented above represent the Funds total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Funds net assets.
48
The Fund may invest in floating rate loans. In connection with these investments, the Fund may also enter into unfunded corporate loan commitments (commitments). Commitments may obligate the Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. The following unfunded loan commitments were outstanding at Sept. 30, 2016:
(continues | ) | 49 |
Schedules of investments
Optimum Fixed Income Fund
50
Optimum International Fund
September 30, 2016 (Unaudited)
(continues | ) | 51 |
Schedules of investments
Optimum International Fund
52
(continues | ) | 53 |
Schedules of investments
Optimum International Fund
54
The following foreign currency exchange contracts were outstanding at Sept. 30, 2016:1
Foreign Currency Exchange Contracts
Counterparty |
Contract to Receive (Deliver) |
In Exchange For | Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
BNYM |
EUR | (771,040 | ) | USD | 866,627 | 10/3/16 | $ | 361 | ||||||||||||||||||||
NT |
EUR | (527,075 | ) | HKD | 4,592,300 | 10/4/16 | (108 | ) | ||||||||||||||||||||
NT |
SGD | (59,460 | ) | USD | 43,605 | 10/4/16 | 2 | |||||||||||||||||||||
SSB |
EUR | (1,199,247 | ) | JPY | 136,620,453 | 10/5/16 | (208 | ) | ||||||||||||||||||||
SSB |
JPY | 136,620,453 | USD | (1,347,275 | ) | 10/5/16 | 266 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
$ | 313 | |||||||||||||||||||||||||||
|
|
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 Funds total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Funds net assets.
1See Note 5 in Notes to financial statements.
Summary of abbreviations:
ADR American Depositary Receipt
BNYM BNY Mellon
EAFE Europe Australasia Far East
ETF Exchange-Traded Fund
EUR European Monetary Unit
HKD - Hong Kong Dollar
JPY Japanese Yen
NT Northern Trust
NVDR Non-Voting Depositor Receipt
SGD Singapore Dollar
SSB State Street Bank
USD - U.S. Dollar
VVPR Strip Dividend Coupon
See accompanying notes, which are an integral part of the financial statements.
55 |
Schedule of investments
Optimum Large Cap Growth Fund
September 30, 2016 (Unaudited)
56
(continues | ) | 57 |
Schedule of investments
Optimum Large Cap Growth Fund
58
Optimum Large Cap Value Fund
September 30, 2016 (Unaudited)
(continues | ) | 59 |
Schedule of investments
Optimum Large Cap Value Fund
60
(continues | ) | 61 |
Schedules of investments
Optimum Small-Mid Cap Growth Fund
September 30, 2016 (Unaudited)
62
(continues | ) | 63 |
Schedules of investments
Optimum Small-Mid Cap Growth Fund
64
(continues | ) | 65 |
Schedules of investments
Optimum Small-Mid Cap Value Fund
September 30, 2016 (Unaudited)
66
(continues | ) | 67 |
Schedules of investments
Optimum Small-Mid Cap Value Fund
68
69 |
Statements of assets and liabilities
Optimum Fund Trust
September 30, 2016 (Unaudited)
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
Optimum Small-Mid Cap Growth Fund |
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Assets: |
||||||||||||||||||||||||||||||
Investments, at value1,2 |
$ | 2,385,330,417 | $ | 575,450,963 | $ | 1,462,984,331 | $ | 1,338,950,655 | $ | 424,031,235 | $ | 414,572,222 | ||||||||||||||||||
Short-term investments, at value3 |
22,063,780 | 4,908,828 | 25,702,000 | 21,168,604 | 12,245,270 | 963,523 | ||||||||||||||||||||||||
Short-term investments held as collateral for loaned securities, at value4 |
| 22,201,280 | | | | | ||||||||||||||||||||||||
Cash |
32,707,578 | 179,622 | 447,265 | 1,019,068 | 30,537 | | ||||||||||||||||||||||||
Cash collateral due from brokers |
4,593,583 | | | | | | ||||||||||||||||||||||||
Foreign currencies, at value5 |
2,235,423 | 377,479 | | 20,136 | | | ||||||||||||||||||||||||
Receivable for securities sold |
174,896,874 | 8,306,666 | 14,238,773 | 4,678,778 | 1,924,898 | 3,538,022 | ||||||||||||||||||||||||
Dividends and interest receivable |
14,085,738 | 2,438,694 | 655,918 | 2,303,315 | 122,299 | 648,294 | ||||||||||||||||||||||||
Receivable for fund shares sold |
3,845,424 | 588,446 | 1,734,650 | 1,617,113 | 597,675 | 619,034 | ||||||||||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts |
1,936,479 | 629 | | | | | ||||||||||||||||||||||||
Variation margin due from broker on interest rate swap contracts |
1,521,548 | | | | | | ||||||||||||||||||||||||
Unrealized appreciation on credit default swap contracts |
696,542 | | | | | | ||||||||||||||||||||||||
Swap payments receivable |
133,605 | | | | | | ||||||||||||||||||||||||
Unrealized appreciation on interest rate swap contracts |
7,926 | | | | | | ||||||||||||||||||||||||
Securities lending income receivable |
| 11,205 | | | | | ||||||||||||||||||||||||
Upfront payments paid on interest rate swap contracts |
488,962 | | | | | | ||||||||||||||||||||||||
Upfront payments paid on credit default swap contracts |
87,773 | | | | | | ||||||||||||||||||||||||
Other assets6 |
415,737 | | | | | | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total assets |
2,645,047,389 | 614,463,812 | 1,505,762,937 | 1,369,757,669 | 438,951,914 | 420,341,095 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
70
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
Optimum Small-Mid Cap Growth Fund |
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Liabilities: |
||||||||||||||||||||||||||||||
Reverse repurchase agreement payable |
$ | 4,906,125 | $ | | $ | | $ | | $ | | $ | | ||||||||||||||||||
Options written, at value7 |
71,528 | | | | | | ||||||||||||||||||||||||
Cash overdraft |
| | | | | 1,103,161 | ||||||||||||||||||||||||
Payable for securities purchased |
549,242,661 | 7,324,083 | 9,281,358 | 3,505,567 | 1,726,835 | 430,656 | ||||||||||||||||||||||||
Cash collateral due to brokers |
2,205,000 | | | | | | ||||||||||||||||||||||||
Payable for fund shares redeemed |
1,857,601 | 667,272 | 1,549,684 | 1,363,359 | 438,060 | 450,834 | ||||||||||||||||||||||||
Swap payments payable |
1,444,849 | | | | | | ||||||||||||||||||||||||
Variation margin receivable on futures contracts |
1,015,986 | | | | | | ||||||||||||||||||||||||
Dividend disbursing and transfer agent fees payable |
338,499 | 96,153 | 244,030 | 225,071 | 71,718 | 68,834 | ||||||||||||||||||||||||
Variation margin due to broker on central cleared credit default swap contracts |
33,443 | | | | | | ||||||||||||||||||||||||
Interest payable for reverse repurchase agreements |
471 | | | | | | ||||||||||||||||||||||||
Obligation to return securities lending collateral |
| 22,201,280 | | | | | ||||||||||||||||||||||||
Unrealized depreciation of foreign currency exchange contract |
1,327,432 | 316 | | | | | ||||||||||||||||||||||||
Investment management fees payable to affiliates |
907,105 | 370,890 | 868,201 | 781,185 | 328,298 | 274,697 | ||||||||||||||||||||||||
Other accrued expenses |
383,605 | 145,209 | 208,691 | 171,726 | 45,065 | 43,999 | ||||||||||||||||||||||||
Administration expenses payable to affiliates |
149,296 | 55,946 | 116,232 | 109,596 | 43,031 | 41,301 | ||||||||||||||||||||||||
Trustees fees and expenses payable |
45,511 | 13,125 | 33,206 | 30,446 | 9,754 | 9,332 | ||||||||||||||||||||||||
Accounting fees payable to affiliates |
12,067 | 3,428 | 8,699 | 8,023 | 2,557 | 2,454 | ||||||||||||||||||||||||
Distribution fees payable to affiliates |
126,478 | 27,461 | 96,451 | 88,069 | 15,149 | 12,964 | ||||||||||||||||||||||||
Unrealized depreciation on interest rate swap contracts |
16,815,381 | | | | | | ||||||||||||||||||||||||
Upfront receipts on interest rate swap contracts |
3,949,154 | | | | | | ||||||||||||||||||||||||
Upfront receipts on credit default swap contracts |
1,493,828 | | | | | | ||||||||||||||||||||||||
Unrealized depreciation on credit default swap contracts |
167,738 | | | | | | ||||||||||||||||||||||||
Bond proceeds payable6 |
1,385,788 | | | | | | ||||||||||||||||||||||||
Other liabilities |
3,950 | 145,725 | | | | | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total liabilities |
587,883,496 | 31,050,888 | 12,406,552 | 6,283,042 | 2,680,467 | 2,438,232 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total Net Assets |
$ | 2,057,163,893 | $ | 583,412,924 | $ | 1,493,356,385 | $ | 1,363,474,627 | $ | 436,271,447 | $ | 417,902,863 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Assets Consist of: |
||||||||||||||||||||||||||||||
Paid-in capital |
$ | 2,023,638,994 | $ | 594,269,818 | $ | 1,224,730,840 | $ | 1,079,598,518 | $ | 408,220,814 | $ | 376,830,891 | ||||||||||||||||||
Undistributed (accumulated) net investment income (loss) |
28,826,333 | 5,504,822 | (2,741,330 | ) | 11,714,105 | (3,143,766 | ) | 1,939,641 | ||||||||||||||||||||||
Accumulated net realized gain (loss) |
(14,955,608 | ) | (27,024,808 | ) | 31,563,538 | (3,867,938 | ) | (13,224,366 | ) | (12,647,246 | ) | |||||||||||||||||||
Net unrealized appreciation of investments |
40,174,202 | 10,703,570 | 239,804,759 | 276,046,500 | 44,418,765 | 51,779,577 | ||||||||||||||||||||||||
Net unrealized depreciation of foreign currencies |
(82,744 | ) | (40,791 | ) | (1,422 | ) | (16,558 | ) | | | ||||||||||||||||||||
Net unrealized appreciation of foreign currency exchange contracts |
609,047 | 313 | | | | | ||||||||||||||||||||||||
Net unrealized depreciation of futures contracts |
(4,998,810 | ) | | | | | | |||||||||||||||||||||||
Net unrealized appreciation of written option contracts |
43,366 | | | | | | ||||||||||||||||||||||||
Net unrealized depreciation of swap contracts |
(16,090,887 | ) | | | | | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total Net Assets |
$ | 2,057,163,893 | $ | 583,412,924 | $ | 1,493,356,385 | $ | 1,363,474,627 | $ | 436,271,447 | $ | 417,902,863 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(continues | ) | 71 |
Statements of assets and liabilities
Optimum Fund Trust
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
Optimum Small-Mid Cap Growth Fund |
Optimum Small-Mid Cap Value Fund |
|||||||||||||||||||
Net Asset Value |
||||||||||||||||||||||||
Class A: |
||||||||||||||||||||||||
Net assets |
$ | 38,349,694 | $ | 9,224,134 | $ | 33,505,023 | $ | 29,895,894 | $ | 5,401,768 | $ | 4,398,703 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par |
3,974,510 | 792,301 | 2,106,464 | 1,874,081 | 446,012 | 357,997 | ||||||||||||||||||
Net asset value per share |
$ | 9.65 | $ | 11.64 | $ | 15.91 | $ | 15.95 | $ | 12.11 | $ | 12.29 | ||||||||||||
Sales charge |
4.50 | % | 5.75 | % | 5.75 | % | 5.75 | % | 5.75% | 5.75% | ||||||||||||||
Offering price per share, equal to net asset value per share / (1 sales charge) |
$ | 10.10 | $ | 12.35 | $ | 16.88 | $ | 16.92 | $ | 12.85 | $ | 13.04 | ||||||||||||
Class C: |
||||||||||||||||||||||||
Net assets |
$ | 142,460,373 | $ | 30,658,004 | $ | 108,236,254 | $ | 97,832,925 | $ | 16,842,438 | $ | 14,437,296 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par |
14,835,523 | 2,706,205 | 7,667,331 | 6,215,116 | 1,590,616 | 1,324,108 | ||||||||||||||||||
Net asset value per share |
$ | 9.60 | $ | 11.33 | $ | 14.12 | $ | 15.74 | $ | 10.59 | $ | 10.90 | ||||||||||||
Institutional Class: |
||||||||||||||||||||||||
Net assets |
$ | 1,876,353,826 | $ | 543,530,786 | $ | 1,351,615,108 | $ | 1,235,745,808 | $ | 414,027,241 | $ | 399,066,864 | ||||||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par |
194,310,907 | 46,324,602 | 80,606,573 | 77,222,451 | 32,103,171 | 30,765,562 | ||||||||||||||||||
Net asset value per share |
$ | 9.66 | $ | 11.73 | $ | 16.77 | $ | 16.00 | $ | 12.90 | $ | 12.97 | ||||||||||||
|
||||||||||||||||||||||||
1Investments, at cost |
$ | 2,345,506,019 | $ | 564,601,796 | $ | 1,223,179,572 | $ | 1,062,904,797 | $ | 379,612,895 | $ | 362,792,665 | ||||||||||||
2Including securities on loan |
| 26,210,316 | | | | | ||||||||||||||||||
3Short-term investments, at cost |
22,062,172 | 4,908,700 | 25,702,000 | 21,167,962 | 12,244,845 | 963,503 | ||||||||||||||||||
4Short-term investments held as collateral for loaned securities, at cost |
| 22,201,280 | | | | | ||||||||||||||||||
5Foreign currencies, at cost |
2,243,163 | 375,838 | | 20,090 | | | ||||||||||||||||||
6See Note 10 in Notes to financial statements. |
(970,052 | ) | | | | | | |||||||||||||||||
7Premium received |
(463,124 | ) | | | | | |
See accompanying notes, which are an integral part of the financial statements.
72
Optimum Fund Trust
Six months ended September 30, 2016 (Unaudited)
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
Optimum Small-Mid Cap Growth Fund |
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Investment Income: |
||||||||||||||||||||||||||||||
Interest |
$ | 33,479,112 | $ | 6,268 | $ | 49,440 | $ | 42,225 | $ | 6,339 | $ | 8,617 | ||||||||||||||||||
Dividends |
100,528 | 8,787,342 | 7,419,959 | 16,388,190 | 976,841 | 4,827,416 | ||||||||||||||||||||||||
Securities lending income |
| 90,374 | | | | | ||||||||||||||||||||||||
Foreign tax withheld |
(15,234 | ) | (793,288 | ) | (15,706 | ) | (83,698 | ) | (2,936 | ) | (1,358 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
33,564,406 | 8,090,696 | 7,453,693 | 16,346,717 | 980,244 | 4,834,675 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Expenses: |
||||||||||||||||||||||||||||||
Management fees |
5,624,998 | 2,250,098 | 5,521,644 | 4,830,712 | 2,365,662 | 2,122,878 | ||||||||||||||||||||||||
Distribution expenses Class A |
49,368 | 11,524 | 42,214 | 38,369 | 6,545 | 5,469 | ||||||||||||||||||||||||
Distribution expenses Class C |
746,950 | 155,893 | 557,339 | 510,360 | 84,839 | 74,274 | ||||||||||||||||||||||||
Dividend disbursing and transfer agent fees and expenses |
2,113,160 | 595,232 | 1,518,285 | 1,399,548 | 441,772 | 430,680 | ||||||||||||||||||||||||
Administration expenses |
918,483 | 339,670 | 711,717 | 670,945 | 258,072 | 251,361 | ||||||||||||||||||||||||
Accounting fees |
379,751 | 106,108 | 272,529 | 251,063 | 78,262 | 76,227 | ||||||||||||||||||||||||
Reports and statements to shareholders expenses |
177,679 | 59,814 | 142,113 | 124,826 | 44,653 | 73,186 | ||||||||||||||||||||||||
Custodian fees |
109,451 | 77,795 | 33,607 | 29,711 | 20,620 | 8,204 | ||||||||||||||||||||||||
Trustees fees and expenses |
104,053 | 29,348 | 74,702 | 68,606 | 21,796 | 21,062 | ||||||||||||||||||||||||
Professional fees |
85,303 | 38,049 | 51,637 | 45,928 | 23,677 | 23,079 | ||||||||||||||||||||||||
Pricing fees |
69,768 | 14,218 | 737 | 729 | 374 | 251 | ||||||||||||||||||||||||
Registration fees |
47,754 | 37,752 | 52,752 | 37,753 | 32,894 | 37,260 | ||||||||||||||||||||||||
Insurance fees |
20,688 | 4,916 | 15,119 | 12,216 | 5,023 | 4,747 | ||||||||||||||||||||||||
Interest expense |
1,261 | | | | | | ||||||||||||||||||||||||
Tax services |
883 | 20,839 | 1,543 | 408 | 400 | 265 | ||||||||||||||||||||||||
Other |
13,614 | 5,318 | 10,391 | 9,625 | 4,933 | 5,349 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
10,463,164 | 3,746,574 | 9,006,329 | 8,030,799 | 3,389,522 | 3,134,292 | |||||||||||||||||||||||||
Less expenses waived |
(64,547 | ) | | (219,532 | ) | (32,189 | ) | (421,860 | ) | (406,550 | ) | |||||||||||||||||||
Less expense paid indirectly |
(414 | ) | (412 | ) | (460 | ) | (462 | ) | (449 | ) | (453 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total operating expenses |
10,398,203 | 3,746,162 | 8,786,337 | 7,998,148 | 2,967,213 | 2,727,289 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Investment Income (Loss) |
23,166,203 | 4,344,534 | (1,332,644 | ) | 8,348,569 | (1,986,969 | ) | 2,107,386 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(continues | ) | 73 |
Statements of operations
Optimum Fund Trust
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
Optimum Small-Mid Cap Growth Fund |
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss): |
||||||||||||||||||||||||||||||
Net realized gain (loss) on: |
||||||||||||||||||||||||||||||
Investments1 |
$ | 24,954,863 | $ | 790,063 | $ | 28,533,575 | $ | 34,593,249 | $ | 6,315,099 | $ | 14,063,346 | ||||||||||||||||||
Foreign currencies |
(2,142,089 | ) | 340,970 | 218 | (15,451 | ) | (4,755 | ) | | |||||||||||||||||||||
Foreign currency exchange contracts |
(4,641,861 | ) | (168,267 | ) | 253 | 2,064 | (15,293 | ) | | |||||||||||||||||||||
Futures contracts |
530,953 | | | | | | ||||||||||||||||||||||||
Options purchased |
(437,223 | ) | | | | | | |||||||||||||||||||||||
Options written |
1,706,480 | | | | | | ||||||||||||||||||||||||
Swap contracts |
(2,076,794 | ) | | | | | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net realized gain |
17,894,329 | 962,766 | 28,534,046 | 34,579,862 | 6,295,051 | 14,063,346 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net change in unrealized appreciation (depreciation) of: |
||||||||||||||||||||||||||||||
Investments2 |
25,492,189 | 31,217,153 | 64,345,787 | 32,659,534 | 38,654,457 | 9,566,086 | ||||||||||||||||||||||||
Foreign currencies |
16,361 | (46,092 | ) | (234 | ) | (8,004 | ) | 183 | | |||||||||||||||||||||
Foreign currency exchange contracts |
3,167,073 | 334 | | | | | ||||||||||||||||||||||||
Futures contracts |
(2,962,638 | ) | | | | | | |||||||||||||||||||||||
Options purchased |
466,832 | | | | | | ||||||||||||||||||||||||
Options written |
(423,595 | ) | | | | | | |||||||||||||||||||||||
Swap contracts |
(4,954,508 | ) | | | | | | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net change in unrealized appreciation (depreciation) |
20,801,714 | 31,171,395 | 64,345,553 | 32,651,530 | 38,654,640 | 9,566,086 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Realized and Unrealized Gain |
38,696,043 | 32,134,161 | 92,879,599 | 67,231,392 | 44,949,691 | 23,629,432 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Increase in Net Assets Resulting from Operations |
$ | 61,862,246 | $ | 36,478,695 | $ | 91,546,955 | $ | 75,579,961 | $ | 42,962,722 | $ | 25,736,818 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
1Includes $25,140 capital gain taxes paid for Optimum Fixed Income Fund. 2Includes $3,821 and $145,725 capital gain taxes accrued for Optimum Fixed Income Fund and Optimum International Fund, respectively. |
|
See accompanying notes, which are an integral part of the financial statements.
74
Statements of changes in net assets
Optimum Fund Trust
Optimum Fixed Income Fund | Optimum International Fund | |||||||||||||||
Six months ended 9/30/16 (Unaudited) |
Year ended 3/31/16 |
Six months ended 9/30/16 (Unaudited) |
Year ended 3/31/16 |
|||||||||||||
Increase (Decrease) in Net Assets from Operations: |
||||||||||||||||
Net investment income |
$ | 23,166,203 | $ | 47,403,894 | $ | 4,344,534 | $ | 5,015,942 | ||||||||
Net realized gain (loss) |
17,894,329 | (27,629,119 | ) | 962,766 | (10,956,221 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) |
20,801,714 | (30,091,919 | ) | 31,171,395 | (23,203,947 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
61,862,246 | (10,317,144 | ) | 36,478,695 | (29,144,226 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Dividends and Distributions to Shareholders from: |
||||||||||||||||
Net investment income: |
||||||||||||||||
Class A |
| (1,085,313 | ) | | (50,629 | ) | ||||||||||
Class C |
| (3,029,706 | ) | | | |||||||||||
Institutional Class |
| (54,756,893 | ) | | (4,309,148 | ) | ||||||||||
Net realized gain: |
||||||||||||||||
Class A |
| (85,457 | ) | | | |||||||||||
Class C |
| (332,935 | ) | | | |||||||||||
Institutional Class |
| (3,939,345 | ) | | | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
| (63,229,649 | ) | | (4,359,777 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Capital Share Transactions: |
||||||||||||||||
Proceeds from shares sold: |
||||||||||||||||
Class A |
1,281,379 | 4,608,270 | 446,286 | 1,203,348 | ||||||||||||
Class C |
4,318,885 | 20,019,238 | 867,471 | 4,103,792 | ||||||||||||
Institutional Class |
212,187,836 | 480,837,856 | 44,962,864 | 183,077,658 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: |
||||||||||||||||
Class A |
| 1,167,080 | | 50,419 | ||||||||||||
Class C |
| 3,361,112 | | | ||||||||||||
Institutional Class |
| 58,657,351 | | 4,306,426 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
217,788,100 | 568,650,907 | 46,276,621 | 192,741,643 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Cost of shares redeemed: |
||||||||||||||||
Class A |
(3,615,686 | ) | (7,872,126 | ) | (908,504 | ) | (1,788,908 | ) | ||||||||
Class C |
(18,874,139 | ) | (30,460,309 | ) | (3,778,063 | ) | (5,982,044 | ) | ||||||||
Institutional Class |
(285,582,968 | ) | (406,639,728 | ) | (77,605,222 | ) | (92,688,776 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(308,072,793 | ) | (444,972,163 | ) | (82,291,789 | ) | (100,459,728 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Increase (decrease) in net assets derived from capital share transactions |
(90,284,693 | ) | 123,678,744 | (36,015,168 | ) | 92,281,915 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Increase (Decrease) in Net Assets |
(28,422,447 | ) | 50,131,951 | 463,527 | 58,777,912 | |||||||||||
Net Assets: |
||||||||||||||||
Beginning of period |
2,085,586,340 | 2,035,454,389 | 582,949,397 | 524,171,485 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of period |
$ | 2,057,163,893 | $ | 2,085,586,340 | $ | 583,412,924 | $ | 582,949,397 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Undistributed net investment income |
$ | 28,826,333 | $ | 5,660,130 | $ | 5,504,822 | $ | 1,160,288 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 75 |
Statements of changes in net assets
Optimum Fund Trust
Optimum Large Cap Growth Fund | Optimum Large Cap Value Fund | |||||||||||||||||||
Six months ended 9/30/16 (Unaudited) |
Year ended 3/31/16 |
Six months ended 9/30/16 (Unaudited) |
Year ended 3/31/16 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: |
||||||||||||||||||||
Net investment income (loss) |
$ | (1,332,644 | ) | $ | (7,209,710 | ) | $ | 8,348,569 | $ | 15,708,179 | ||||||||||
Net realized gain |
28,534,046 | 96,753,459 | 34,579,862 | 1,430,982 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) |
64,345,553 | (122,893,611 | ) | 32,651,530 | (75,770,012 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
91,546,955 | (33,349,862 | ) | 75,579,961 | (58,630,851 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Dividends and Distributions to Shareholders from: |
||||||||||||||||||||
Net investment income: |
||||||||||||||||||||
Class A |
| | | (321,261 | ) | |||||||||||||||
Class C |
| | | (274,376 | ) | |||||||||||||||
Institutional Class |
| | | (14,327,950 | ) | |||||||||||||||
Net realized gain: |
||||||||||||||||||||
Class A |
| (3,719,537 | ) | | | |||||||||||||||
Class C |
| (13,957,426 | ) | | | |||||||||||||||
Institutional Class |
| (136,563,101 | ) | | | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
| (154,240,064 | ) | | (14,923,587 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Capital Share Transactions: |
||||||||||||||||||||
Proceeds from shares sold: |
||||||||||||||||||||
Class A |
996,064 | 2,170,167 | 1,059,790 | 2,199,582 | ||||||||||||||||
Class C |
2,179,554 | 8,435,040 | 2,370,346 | 8,104,091 | ||||||||||||||||
Institutional Class |
121,718,935 | 290,002,877 | 220,123,960 | 254,483,230 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: |
||||||||||||||||||||
Class A |
| 3,677,396 | | 317,257 | ||||||||||||||||
Class C |
| 13,948,506 | | 274,091 | ||||||||||||||||
Institutional Class |
| 136,409,018 | | 14,310,905 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
124,894,553 | 454,643,004 | 223,554,096 | 279,689,156 | |||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Cost of shares redeemed: |
||||||||||||||||||||
Class A |
(3,316,308 | ) | (8,356,642 | ) | (3,289,681 | ) | (6,085,917 | ) | ||||||||||||
Class C |
(15,087,406 | ) | (27,572,016 | ) | (13,250,559 | ) | (20,750,036 | ) | ||||||||||||
Institutional Class |
(209,710,756 | ) | (317,836,544 | ) | (182,920,659 | ) | (220,344,722 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
(228,114,470 | ) | (353,765,202 | ) | (199,460,899 | ) | (247,180,675 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Increase (decrease) in net assets derived from capital share transactions |
(103,219,917 | ) | 100,877,802 | 24,093,197 | 32,508,481 | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net Increase (Decrease) in Net Assets |
(11,672,962 | ) | (86,712,124 | ) | 99,673,158 | (41,045,957 | ) | |||||||||||||
Net Assets: |
||||||||||||||||||||
Beginning of period |
1,505,029,347 | 1,591,741,471 | 1,263,801,469 | 1,304,847,426 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 1,493,356,385 | $ | 1,505,029,347 | $ | 1,363,474,627 | $ | 1,263,801,469 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Undistributed (accumulated) net investment income (loss) |
$ | (2,741,330 | ) | $ | (1,408,686 | ) | $ | 11,714,105 | $ | 3,365,536 | ||||||||||
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
76
Optimum Small-Mid Cap Growth Fund | Optimum Small-Mid Cap Value Fund | |||||||||||||||||||
Six months ended 9/30/16 (Unaudited) |
Year ended 3/31/16 |
Six months ended 9/30/16 (Unaudited) |
Year ended 3/31/16 | |||||||||||||||||
Increase (Decrease) in Net Assets from Operations: |
||||||||||||||||||||
Net investment income (loss) |
$ | (1,986,969 | ) | $ | (4,546,430 | ) | $ | 2,107,386 | $ | (655,163 | ) | |||||||||
Net realized gain (loss) |
6,295,051 | 22,927,598 | 14,063,346 | (16,532,077 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) |
38,654,640 | (111,069,637 | ) | 9,566,086 | (45,591,581 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
42,962,722 | (92,688,469 | ) | 25,736,818 | (62,778,821 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Dividends and Distributions to Shareholders from: |
||||||||||||||||||||
Return of capital: |
||||||||||||||||||||
Class A |
| (108 | ) | | (325 | ) | ||||||||||||||
Class C |
| (416 | ) | | (1,284 | ) | ||||||||||||||
Institutional Class |
| (8,917 | ) | | (31,607 | ) | ||||||||||||||
Net realized gain: |
||||||||||||||||||||
Class A |
| (848,264 | ) | | (181,566 | ) | ||||||||||||||
Class C |
| (3,111,096 | ) | | (716,111 | ) | ||||||||||||||
Institutional Class |
| (64,692,634 | ) | | (16,831,364 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
| (68,661,435 | ) | | (17,762,257 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Capital Share Transactions: |
||||||||||||||||||||
Proceeds from shares sold: |
||||||||||||||||||||
Class A |
292,719 | 451,922 | 290,299 | 413,183 | ||||||||||||||||
Class C |
426,125 | 1,541,727 | 415,118 | 1,260,654 | ||||||||||||||||
Institutional Class |
41,556,528 | 118,186,291 | 40,532,368 | 116,775,502 | ||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: |
||||||||||||||||||||
Class A |
| 837,719 | | 181,312 | ||||||||||||||||
Class C |
| 3,109,916 | | 716,788 | ||||||||||||||||
Institutional Class |
| 64,636,607 | | 16,847,228 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
42,275,372 | 188,764,182 | 41,237,785 | 136,194,667 | |||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Cost of shares redeemed: |
||||||||||||||||||||
Class A |
(458,291 | ) | (1,341,729 | ) | (469,198 | ) | (923,567 | ) | ||||||||||||
Class C |
(2,192,586 | ) | (3,951,373 | ) | (1,993,923 | ) | (3,003,693 | ) | ||||||||||||
Institutional Class |
(109,011,250 | ) | (117,328,470 | ) | (107,196,715 | ) | (115,400,981 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
(111,662,127 | ) | (122,621,572 | ) | (109,659,836 | ) | (119,328,241 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Increase (decrease) in net assets derived from capital share transactions |
(69,386,755 | ) | 66,142,610 | (68,422,051 | ) | 16,866,426 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net Decrease in Net Assets |
(26,424,033 | ) | (95,207,294 | ) | (42,685,233 | ) | (63,674,652 | ) | ||||||||||||
Net Assets: |
||||||||||||||||||||
Beginning of period |
462,695,480 | 557,902,774 | 460,588,096 | 524,262,748 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 436,271,447 | $ | 462,695,480 | $ | 417,902,863 | $ | 460,588,096 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Accumulated net investment loss |
$ | (3,143,766 | ) | $ | (1,156,797 | ) | $ | 1,939,641 | $ | (167,745 | ) | |||||||||
|
|
|
|
|
|
|
|
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 77 |
Optimum Fixed Income Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.370 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | ||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||
Net investment income2 |
0.098 | 0.202 | 0.203 | 0.213 | 0.225 | 0.293 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.182 | (0.278 | ) | 0.194 | (0.353 | ) | 0.302 | 0.338 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total from investment operations |
0.280 | (0.076 | ) | 0.397 | (0.140 | ) | 0.527 | 0.631 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||
Net investment income |
| (0.254 | ) | (0.217 | ) | (0.142 | ) | (0.172 | ) | (0.342 | ) | |||||||||||||||||||||||
Net realized gain |
| (0.020 | ) | | (0.028 | ) | (0.215 | ) | (0.129 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total dividends and distributions |
| (0.274 | ) | (0.217 | ) | (0.170 | ) | (0.387 | ) | (0.471 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Net asset value, end of period |
$ | 9.650 | $ | 9.370 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total return3 |
2.88% | (0.63% | ) | 4.21% | (1.40% | ) | 5.47% | 6.71% | ||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 38,350 | $ | 39,545 | $ | 43,144 | $ | 43,241 | $ | 41,210 | $ | 40,620 | ||||||||||||||||||||||
Ratio of expenses to average net assets |
1.17% | 1.23% | 1.17% | 1.31% | 1.35% | 1.35% | ||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.17% | 1.23% | 1.17% | 1.34% | 1.40% | 1.44% | ||||||||||||||||||||||||||||
Ratio of net investment income to average net assets |
2.05% | 2.13% | 2.11% | 2.24% | 2.27% | 3.01% | ||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
2.05% | 2.13% | 2.11% | 2.21% | 2.22% | 2.92% | ||||||||||||||||||||||||||||
Portfolio turnover4
|
|
189%
|
|
|
536%
|
|
|
482%
|
|
|
323%
|
|
|
208%
|
|
|
211%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of the addition of Delaware Management Companys diversified floating rate investment strategy and Pacific Investment Management Company, LLC s low-duration investment strategy on Feb. 1, 2014, to the Funds principal investment strategy, the Funds portfolio turnover rate increased substantially during the years ended March 31, 2016, 2015, and 2014. |
See accompanying notes, which are an integral part of the financial statements.
78
Optimum Fixed Income Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | |||||||||||||||||||||||||||||||||||
ended | Year ended | ||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | ||||||||||||||||||||||||||||||
(Unaudited) | |||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.370 | $ | 9.710 | $ | 9.530 | $ | 9.840 | $ | 9.710 | $ | 9.540 | |||||||||||||||||||||||
Income (loss) from investment operations: |
|||||||||||||||||||||||||||||||||||
Net investment income2 |
0.062 | 0.131 | 0.131 | 0.148 | 0.161 | 0.229 | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.168 | (0.269 | ) | 0.194 | (0.351 | ) | 0.292 | 0.350 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Total from investment operations |
0.230 | (0.138 | ) | 0.325 | (0.203 | ) | 0.453 | 0.579 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Less dividends and distributions from: |
|||||||||||||||||||||||||||||||||||
Net investment income |
| (0.182 | ) | (0.145 | ) | (0.079 | ) | (0.108 | ) | (0.280 | ) | ||||||||||||||||||||||||
Net realized gain |
| (0.020 | ) | | (0.028 | ) | (0.215 | ) | (0.129 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Total dividends and distributions |
| (0.202 | ) | (0.145 | ) | (0.107 | ) | (0.323 | ) | (0.409 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Net asset value, end of period |
$ | 9.600 | $ | 9.370 | $ | 9.710 | $ | 9.530 | $ | 9.840 | $ | 9.710 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||||||||
Total return3 |
2.46% | (1.39% | ) | 3.44% | (2.06% | ) | 4.69% | 6.15% | |||||||||||||||||||||||||||
Ratios and supplemental data: |
|||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 142,460 | $ | 153,266 | $ | 166,154 | $ | 161,353 | $ | 155,728 | $ | 154,778 | |||||||||||||||||||||||
Ratio of expenses to average net assets |
1.92% | 1.98% | 1.92% | 1.99% | 2.00% | 2.00% | |||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.92% | 1.98% | 1.92% | 2.02% | 2.05% | 2.09% | |||||||||||||||||||||||||||||
Ratio of net investment income to average net assets |
1.30% | 1.38% | 1.36% | 1.56% | 1.62% | 2.36% | |||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
1.30% | 1.38% | 1.36% | 1.53% | 1.57% | 2.27% | |||||||||||||||||||||||||||||
Portfolio turnover4
|
|
189%
|
|
|
536%
|
|
|
482%
|
|
|
323%
|
|
|
208%
|
|
|
211%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of the addition of Delaware Management Companys diversified floating rate investment strategy and Pacific Investment Management Company, LLC s low-duration investment strategy on Feb. 1, 2014, to the Funds principal investment strategy, the Funds portfolio turnover rate increased substantially during the years ended March 31, 2016, 2015, and 2014. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 79 |
Financial highlights
Optimum Fixed Income Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.370 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | $ | 9.550 | ||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||
Net investment income2 |
0.110 | 0.226 | 0.227 | 0.244 | 0.260 | 0.327 | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.180 | (0.278 | ) | 0.194 | (0.350 | ) | 0.301 | 0.338 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total from investment operations |
0.290 | (0.052 | ) | 0.421 | (0.106 | ) | 0.561 | 0.665 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||
Net investment income |
| (0.278 | ) | (0.241 | ) | (0.176 | ) | (0.206 | ) | (0.376 | ) | |||||||||||||||||||
Net realized gain |
| (0.020 | ) | | (0.028 | ) | (0.215 | ) | (0.129 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total dividends and distributions |
| (0.298 | ) | (0.241 | ) | (0.204 | ) | (0.421 | ) | (0.505 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net asset value, end of period |
$ | 9.660 | $ | 9.370 | $ | 9.720 | $ | 9.540 | $ | 9.850 | $ | 9.710 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total return3 |
3.10% | (0.48% | ) | 4.47% | (1.05% | ) | 5.72% | 7.20% | ||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 1,876,354 | $ | 1,892,775 | $ | 1,826,156 | $ | 1,509,156 | $ | 1,297,154 | $ | 1,014,595 | ||||||||||||||||||
Ratio of expenses to average net assets |
0.92% | 0.98% | 0.92% | 0.99% | 1.00% | 1.00% | ||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
0.92% | 0.98% | 0.92% | 1.02% | 1.05% | 1.09% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets |
2.30% | 2.38% | 2.36% | 2.56% | 2.62% | 3.36% | ||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
2.30% | 2.38% | 2.36% | 2.53% | 2.57% | 3.27% | ||||||||||||||||||||||||
Portfolio turnover4
|
|
189%
|
|
|
536%
|
|
|
482%
|
|
|
323%
|
|
|
208%
|
|
|
211%
|
|
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of the addition of Delaware Management Companys diversified floating rate investment strategy and Pacific Investment Management Company, LLC s low-duration investment strategy on Feb. 1, 2014, to the Funds principal investment strategy, the Funds portfolio turnover rate increased substantially during the years ended March 31, 2016, 2015, and 2014. |
See accompanying notes, which are an integral part of the financial statements.
80
Optimum International Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.950 | $ | 11.660 | $ | 12.570 | $ | 10.970 | $ | 10.420 | $ | 11.200 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income2 |
0.073 | 0.083 | 0.062 | 0.142 | 0.185 | 0.192 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.617 | (0.734 | ) | (0.846 | ) | 1.540 | 0.620 | (0.790 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.690 | (0.651 | ) | (0.784 | ) | 1.682 | 0.805 | (0.598 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| (0.059 | ) | (0.126 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.059 | ) | (0.126 | ) | (0.082 | ) | (0.255 | ) | (0.182 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 11.640 | $ | 10.950 | $ | 11.660 | $ | 12.570 | $ | 10.970 | $ | 10.420 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
6.30% | (5.58% | ) | (6.25% | ) | 15.31% | 8.10% | (5.30% | ) | |||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 9,224 | $ | 9,117 | $ | 10,291 | $ | 11,277 | $ | 9,553 | $ | 9,318 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.48% | 1.56% | 1.47% | 1.68% | 1.75% | 1.75% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.48% | 1.56% | 1.47% | 1.68% | 1.84% | 1.84% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets |
1.30% | 0.74% | 0.51% | 1.20% | 1.81% | 1.84% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
1.30% | 0.74% | 0.51% | 1.20% | 1.72% | 1.75% | ||||||||||||||||||||||||||||||||
Portfolio turnover |
38% | 47% | 117% | 126% | 70% | 50% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 81 |
Financial highlights
Optimum International Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.690 | $ | 11.410 | $ | 12.290 | $ | 10.760 | $ | 10.230 | $ | 10.950 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 |
0.030 | (0.001 | ) | (0.028 | ) | 0.061 | 0.116 | 0.122 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.610 | (0.719 | ) | (0.832 | ) | 1.512 | 0.606 | (0.773 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.640 | (0.720 | ) | (0.860 | ) | 1.573 | 0.722 | (0.651 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| | (0.020 | ) | (0.043 | ) | (0.192 | ) | (0.069 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| | (0.020 | ) | (0.043 | ) | (0.192 | ) | (0.069 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 11.330 | $ | 10.690 | $ | 11.410 | $ | 12.290 | $ | 10.760 | $ | 10.230 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
5.99% | (6.31% | ) | (7.00% | ) | 14.56% | 7.37% | (5.94% | ) | |||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 30,658 | $ | 31,777 | $ | 35,996 | $ | 37,893 | $ | 32,064 | $ | 32,995 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
2.23% | 2.31% | 2.22% | 2.36% | 2.40% | 2.40% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
2.23% | 2.31% | 2.22% | 2.36% | 2.49% | 2.49% | ||||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets |
0.55% | (0.01% | ) | (0.24% | ) | 0.52% | 1.16% | 1.19% | ||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived |
0.55% | (0.01% | ) | (0.24% | ) | 0.52% | 1.07% | 1.10% | ||||||||||||||||||||||||||||||
Portfolio turnover |
38% | 47% | 117% | 126% | 70% | 50% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
82
Optimum International Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.020 | $ | 11.740 | $ | 12.660 | $ | 11.050 | $ | 10.490 | $ | 11.300 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income2 |
0.087 | 0.111 | 0.093 | 0.182 | 0.223 | 0.229 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.623 | (0.743 | ) | (0.856 | ) | 1.551 | 0.627 | (0.793 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.710 | (0.632 | ) | (0.763 | ) | 1.733 | 0.850 | (0.564 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| (0.088 | ) | (0.157 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.088 | ) | (0.157 | ) | (0.123 | ) | (0.290 | ) | (0.246 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 11.730 | $ | 11.020 | $ | 11.740 | $ | 12.660 | $ | 11.050 | $ | 10.490 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
6.44% | (5.38% | ) | (6.04% | ) | 15.79% | 8.41% | (4.93% | ) | |||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 543,531 | $ | 542,055 | $ | 477,884 | $ | 589,098 | $ | 426,258 | $ | 252,539 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.23% | 1.31% | 1.22% | 1.36% | 1.40% | 1.40% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.23% | 1.31% | 1.22% | 1.36% | 1.49% | 1.49% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets |
1.55% | 0.99% | 0.76% | 1.52% | 2.16% | 2.19% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
1.55% | 0.99% | 0.76% | 1.52% | 2.07% | 2.10% | ||||||||||||||||||||||||||||||||
Portfolio turnover |
38% | 47% | 117% | 126% | 70% | 50% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 83 |
Financial highlights
Optimum Large Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 14.970 | $ | 17.000 | $ | 16.390 | $ | 14.530 | $ | 13.480 | $ | 12.430 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 |
(0.027 | ) | (0.102 | ) | (0.083 | ) | (0.099 | ) | 0.014 | (0.040 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.967 | (0.200 | ) | 2.711 | 3.631 | 1.042 | 1.090 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.940 | (0.302 | ) | 2.628 | 3.532 | 1.056 | 1.050 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| | | | (0.006 | ) | | |||||||||||||||||||||||||||||||
Net realized gain |
| (1.728 | ) | (2.018 | ) | (1.672 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (1.728 | ) | (2.018 | ) | (1.672 | ) | (0.006 | ) | | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 15.910 | $ | 14.970 | $ | 17.000 | $ | 16.390 | $ | 14.530 | $ | 13.480 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
6.28% | (2.27% | ) | 17.27% | 25.17% | 7.76% | 8.45% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 33,505 | $ | 33,787 | $ | 40,790 | $ | 39,044 | $ | 34,182 | $ | 34,170 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.34% | 1.42% | 1.37% | 1.54% | 1.60% | 1.61% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.37% | 1.44% | 1.37% | 1.55% | 1.63% | 1.64% | ||||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets |
(0.35% | ) | (0.62% | ) | (0.50% | ) | (0.62% | ) | 0.10% | (0.34% | ) | |||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived |
(0.38% | ) | (0.64% | ) | (0.50% | ) | (0.63% | ) | 0.07% | (0.37% | ) | |||||||||||||||||||||||||||
Portfolio turnover |
24% | 88% | 86% | 98% | 102% | 89% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
84
Optimum Large Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 13.340 | $ | 15.440 | $ | 15.160 | $ | 13.630 | $ | 12.720 | $ | 11.820 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment loss2 |
(0.075 | ) | (0.203 | ) | (0.189 | ) | (0.192 | ) | (0.069 | ) | (0.112 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.855 | (0.169 | ) | 2.487 | 3.394 | 0.979 | 1.012 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.780 | (0.372 | ) | 2.298 | 3.202 | 0.910 | 0.900 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net realized gain |
| (1.728 | ) | (2.018 | ) | (1.672 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (1.728 | ) | (2.018 | ) | (1.672 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 14.120 | $ | 13.340 | $ | 15.440 | $ | 15.160 | $ | 13.630 | $ | 12.720 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
5.85% | (2.98% | ) | 16.44% | 24.27% | 7.15% | 7.61% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 108,236 | $ | 114,907 | $ | 137,892 | $ | 127,540 | $ | 115,242 | $ | 120,183 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
2.09% | 2.17% | 2.12% | 2.22% | 2.25% | 2.26% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
2.12% | 2.19% | 2.12% | 2.23% | 2.28% | 2.29% | ||||||||||||||||||||||||||||||||
Ratio of net investment loss to average net assets |
(1.10% | ) | (1.37% | ) | (1.25% | ) | (1.30% | ) | (0.55% | ) | (0.99% | ) | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived |
(1.13% | ) | (1.39% | ) | (1.25% | ) | (1.31% | ) | (0.58% | ) | (1.02% | ) | ||||||||||||||||||||||||||
Portfolio turnover |
24% | 88% | 86% | 98% | 102% | 89% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 85 |
Financial highlights
Optimum Large Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 15.760 | $ | 17.760 | $ | 17.000 | $ | 14.970 | $ | 13.880 | $ | 12.760 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 |
(0.008 | ) | (0.064 | ) | (0.044 | ) | (0.049 | ) | 0.062 | 0.002 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
1.018 | (0.208 | ) | 2.822 | 3.754 | 1.068 | 1.118 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
1.010 | (0.272 | ) | 2.778 | 3.705 | 1.130 | 1.120 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| | | (0.003 | ) | (0.040 | ) | | ||||||||||||||||||||||||||||||
Net realized gain |
| (1.728 | ) | (2.018 | ) | (1.672 | ) | | | |||||||||||||||||||||||||||||
Total dividends and distributions |
| (1.728 | ) | (2.018 | ) | (1.675 | ) | (0.040 | ) | | ||||||||||||||||||||||||||||
Net asset value, end of period |
$ | 16.770 | $ | 15.760 | $ | 17.760 | $ | 17.000 | $ | 14.970 | $ | 13.880 | ||||||||||||||||||||||||||
Total return3 |
6.41% | (2.00% | ) | 17.55% | 25.51% | 8.25% | 8.78% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 1,351,615 | $ | 1,356,335 | $ | 1,413,059 | $ | 1,026,377 | $ | 728,104 | $ | 650,869 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.09% | 1.17% | 1.12% | 1.22% | 1.25% | 1.26% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.12% | 1.19% | 1.12% | 1.23% | 1.28% | 1.29% | ||||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets |
(0.10% | ) | (0.37% | ) | (0.25% | ) | (0.30% | ) | 0.45% | 0.01% | ||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived |
(0.13% | ) | (0.39% | ) | (0.25% | ) | (0.31% | ) | 0.42% | (0.02% | ) | |||||||||||||||||||||||||||
Portfolio turnover |
24% | 88% | 86% | 98% | 102% | 89% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
86
Optimum Large Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 15.130 | $ | 16.010 | $ | 15.360 | $ | 12.900 | $ | 11.750 | $ | 11.060 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income2 |
0.081 | 0.165 | 0.124 | 0.157 | 0.173 | 0.133 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.739 | (0.890 | ) | 0.692 | 2.399 | 1.259 | 0.635 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.820 | (0.725 | ) | 0.816 | 2.556 | 1.432 | 0.768 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| (0.155 | ) | (0.166 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.155 | ) | (0.166 | ) | (0.096 | ) | (0.282 | ) | (0.078 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 15.950 | $ | 15.130 | $ | 16.010 | $ | 15.360 | $ | 12.900 | $ | 11.750 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
5.42% | (4.54% | ) | 5.34% | 19.96% | 12.48% | 7.01% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 29,896 | $ | 30,502 | $ | 35,952 | $ | 37,299 | $ | 32,995 | $ | 31,478 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.33% | 1.40% | 1.33% | 1.50% | 1.57% | 1.57% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.33% | 1.41% | 1.33% | 1.51% | 1.59% | 1.60% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets |
1.04% | 1.07% | 0.79% | 1.12% | 1.48% | 1.25% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
1.04% | 1.06% | 0.79% | 1.11% | 1.46% | 1.22% | ||||||||||||||||||||||||||||||||
Portfolio turnover |
20% | 39% | 35% | 37% | 49% | 57% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 87 |
Financial highlights
Optimum Large Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 14.990 | $ | 15.850 | $ | 15.220 | $ | 12.780 | $ | 11.590 | $ | 10.930 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income2 |
0.022 | 0.049 | 0.007 | 0.061 | 0.096 | 0.063 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.728 | (0.871 | ) | 0.674 | 2.389 | 1.254 | 0.612 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.750 | (0.822 | ) | 0.681 | 2.450 | 1.350 | 0.675 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| (0.038 | ) | (0.051 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.038 | ) | (0.051 | ) | (0.010 | ) | (0.160 | ) | (0.015 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 15.740 | $ | 14.990 | $ | 15.850 | $ | 15.220 | $ | 12.780 | $ | 11.590 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
5.00% | (5.19% | ) | 4.48% | 19.17% | 11.85% | 6.19% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 97,833 | $ | 103,693 | $ | 122,772 | $ | 123,541 | $ | 111,806 | $ | 111,557 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
2.08% | 2.15% | 2.08% | 2.18% | 2.22% | 2.22% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
2.08% | 2.16% | 2.08% | 2.19% | 2.24% | 2.25% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets |
0.29% | 0.32% | 0.04% | 0.44% | 0.83% | 0.60% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
0.29% | 0.31% | 0.04% | 0.43% | 0.81% | 0.57% | ||||||||||||||||||||||||||||||||
Portfolio turnover |
20% | 39% | 35% | 37% | 49% | 57% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
88
Optimum Large Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 15.160 | $ | 16.040 | $ | 15.390 | $ | 12.920 | $ | 11.800 | $ | 11.110 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income2 |
0.101 | 0.204 | 0.165 | 0.203 | 0.214 | 0.171 | ||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.739 | (0.890 | ) | 0.690 | 2.410 | 1.255 | 0.631 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.840 | (0.686 | ) | 0.855 | 2.613 | 1.469 | 0.802 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| (0.194 | ) | (0.205 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.194 | ) | (0.205 | ) | (0.143 | ) | (0.349 | ) | (0.112 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 16.000 | $ | 15.160 | $ | 16.040 | $ | 15.390 | $ | 12.920 | $ | 11.800 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
5.54% | (4.29% | ) | 5.60% | 20.31% | 12.92% | 7.32% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 1,235,746 | $ | 1,129,606 | $ | 1,146,123 | $ | 1,002,553 | $ | 730,785 | $ | 617,485 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.08% | 1.15% | 1.08% | 1.18% | 1.22% | 1.22% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.08% | 1.16% | 1.08% | 1.19% | 1.24% | 1.25% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets |
1.29% | 1.32% | 1.04% | 1.44% | 1.83% | 1.60% | ||||||||||||||||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived |
1.29% | 1.31% | 1.04% | 1.43% | 1.81% | 1.57% | ||||||||||||||||||||||||||||||||
Portfolio turnover |
20% | 39% | 35% | 37% | 49% | 57% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 89 |
Financial highlights
Optimum Small-Mid Cap Growth Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.950 | $ | 15.370 | $ | 15.570 | $ | 14.260 | $ | 13.000 | $ | 13.900 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment loss2 |
(0.065 | ) | (0.148 | ) | (0.164 | ) | (0.193 | ) | (0.079 | ) | (0.169 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
1.225 | (2.264 | ) | 1.442 | 3.073 | 1.653 | 0.064 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
1.160 | (2.412 | ) | 1.278 | 2.880 | 1.574 | (0.105 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Return of capital |
| | 3 | | | | | |||||||||||||||||||||||||||||||
Net realized gain |
| (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 12.110 | $ | 10.950 | $ | 15.370 | $ | 15.570 | $ | 14.260 | $ | 13.000 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return4 |
10.59% | (16.77% | ) | 8.93% | 21.63% | 12.50% | 0.33% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 5,402 | $ | 5,040 | $ | 7,050 | $ | 7,158 | $ | 6,415 | $ | 5,989 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.59% | 1.66% | 1.63% | 1.76% | 1.86% | 1.90% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.79% | 1.85% | 1.77% | 1.96% | 2.05% | 2.06% | ||||||||||||||||||||||||||||||||
Ratio of net investment loss to average net assets |
(1.13% | ) | (1.09% | ) | (1.09% | ) | (1.28% | ) | (0.62% | ) | (1.34% | ) | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived |
(1.33% | ) | (1.28% | ) | (1.23% | ) | (1.48% | ) | (0.81% | ) | (1.50% | ) | ||||||||||||||||||||||||||
Portfolio turnover |
130% | 104% | 72% | 58% | 78% | 82% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $108 for Class A calculated to a de minimis amount of $0.000 per share. |
4 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
90
Optimum Small-Mid Cap Growth Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 9.610 | $ | 13.860 | $ | 14.290 | $ | 13.280 | $ | 12.220 | $ | 13.200 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment loss2 |
(0.095 | ) | (0.223 | ) | (0.252 | ) | (0.274 | ) | (0.151 | ) | (0.237 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
1.075 | (2.019 | ) | 1.300 | 2.854 | 1.525 | 0.052 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.980 | (2.242 | ) | 1.048 | 2.580 | 1.374 | (0.185 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Return of capital |
| | 3 | | | | | |||||||||||||||||||||||||||||||
Net realized gain |
| (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 10.590 | $ | 9.610 | $ | 13.860 | $ | 14.290 | $ | 13.280 | $ | 12.220 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return4 |
10.20% | (17.39% | ) | 8.08% | 20.82% | 11.73% | (0.27% | ) | ||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 16,842 | $ | 16,972 | $ | 23,206 | $ | 22,581 | $ | 20,921 | $ | 20,992 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
2.34% | 2.41% | 2.38% | 2.45% | 2.51% | 2.55% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
2.54% | 2.60% | 2.52% | 2.65% | 2.70% | 2.71% | ||||||||||||||||||||||||||||||||
Ratio of net investment loss to average net assets |
(1.88% | ) | (1.84% | ) | (1.84% | ) | (1.97% | ) | (1.27% | ) | (1.99% | ) | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived |
(2.08% | ) | (2.03% | ) | (1.98% | ) | (2.17% | ) | (1.46% | ) | (2.15% | ) | ||||||||||||||||||||||||||
Portfolio turnover |
130% | 104% | 72% | 58% | 78% | 82% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $416 for Class C calculated to a de minimis amount of $0.000 per share. |
4 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 91 |
Financial highlights
Optimum Small-Mid Cap Growth Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.650 | $ | 16.170 | $ | 16.270 | $ | 14.780 | $ | 13.420 | $ | 14.270 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment loss2 |
(0.054 | ) | (0.120 | ) | (0.132 | ) | (0.152 | ) | (0.036 | ) | (0.128 | ) | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
1.304 | (2.392 | ) | 1.510 | 3.212 | 1.710 | 0.073 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
1.250 | (2.512 | ) | 1.378 | 3.060 | 1.674 | (0.055 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Return of capital |
| | 3 | | | | | |||||||||||||||||||||||||||||||
Net realized gain |
| (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (2.008 | ) | (1.478 | ) | (1.570 | ) | (0.314 | ) | (0.795 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 12.900 | $ | 11.650 | $ | 16.170 | $ | 16.270 | $ | 14.780 | $ | 13.420 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return4 |
10.73% | (16.54% | ) | 9.18% | 22.03% | 12.94% | 0.68% | |||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 414,027 | $ | 440,683 | $ | 527,647 | $ | 436,823 | $ | 321,441 | $ | 321,641 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.34% | 1.41% | 1.38% | 1.45% | 1.51% | 1.55% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.54% | 1.60% | 1.52% | 1.65% | 1.70% | 1.71% | ||||||||||||||||||||||||||||||||
Ratio of net investment loss to average net assets |
(0.88% | ) | (0.84% | ) | (0.84% | ) | (0.97% | ) | (0.27% | ) | (0.99% | ) | ||||||||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived |
(1.08% | ) | (1.03% | ) | (0.98% | ) | (1.17% | ) | (0.46% | ) | (1.15% | ) | ||||||||||||||||||||||||||
Portfolio turnover |
130% | 104% | 72% | 58% | 78% | 82% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | For the year ended March 31, 2016, return of capital distribution of $8,916 for Institutional Class calculated to a de minimis amount of $0.000 per share. |
4 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
92
Optimum Small-Mid Cap Value Fund Class A
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 11.530 | $ | 13.640 | $ | 14.880 | $ | 13.740 | $ | 12.590 | $ | 12.610 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 |
0.047 | (0.043 | ) | (0.092 | ) | (0.092 | ) | (0.027 | ) | (0.044 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.713 | (1.579 | ) | (0.032 | ) | 2.873 | 1.609 | 0.148 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.760 | (1.622 | ) | (0.124 | ) | 2.781 | 1.582 | 0.104 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Return of capital |
| (0.001 | ) | | | | | |||||||||||||||||||||||||||||||
Net realized gain |
| (0.487 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.488 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 12.290 | $ | 11.530 | $ | 13.640 | $ | 14.880 | $ | 13.740 | $ | 12.590 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
6.59% | (11.96% | ) | (0.69% | ) | 21.85% | 13.23% | 1.01% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 4,399 | $ | 4,302 | $ | 5,440 | $ | 6,058 | $ | 5,711 | $ | 5,372 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.51% | 1.61% | 1.62% | 1.70% | 1.76% | 1.79% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.70% | 1.75% | 1.68% | 1.86% | 1.98% | 1.98% | ||||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets |
0.79% | (0.35% | ) | (0.65% | ) | (0.64% | ) | (0.22% | ) | (0.38% | ) | |||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived |
0.60% | (0.49% | ) | (0.71% | ) | (0.80% | ) | (0.44% | ) | (0.57% | ) | |||||||||||||||||||||||||||
Portfolio turnover4 |
17% | 90% | 31% | 33% | 36% | 30% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Funds fiscal year ending March 31, 2016, the Funds portfolio turnover rate increased substantially during the year ended March 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 93 |
Financial highlights
Optimum Small-Mid Cap Value Fund Class C
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 10.270 | $ | 12.300 | $ | 13.630 | $ | 12.800 | $ | 11.830 | $ | 11.930 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 |
0.002 | (0.122 | ) | (0.179 | ) | (0.175 | ) | (0.100 | ) | (0.113 | ) | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.628 | (1.420 | ) | (0.035 | ) | 2.646 | 1.502 | 0.137 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.630 | (1.542 | ) | (0.214 | ) | 2.471 | 1.402 | 0.024 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Return of capital |
| (0.001 | ) | | | | | |||||||||||||||||||||||||||||||
Net realized gain |
| (0.487 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.488 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 10.900 | $ | 10.270 | $ | 12.300 | $ | 13.630 | $ | 12.800 | $ | 11.830 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
6.13% | (12.62% | ) | (1.45% | ) | 21.08% | 12.45% | 0.39% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 14,437 | $ | 15,136 | $ | 19,245 | $ | 20,846 | $ | 20,058 | $ | 19,986 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
2.26% | 2.36% | 2.37% | 2.40% | 2.41% | 2.44% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
2.45% | 2.50% | 2.43% | 2.56% | 2.63% | 2.63% | ||||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets |
0.04% | (1.10% | ) | (1.40% | ) | (1.34% | ) | (0.87% | ) | (1.03% | ) | |||||||||||||||||||||||||||
Ratio of net investment loss to average net assets prior to fees waived |
(0.15% | ) | (1.24% | ) | (1.46% | ) | (1.50% | ) | (1.09% | ) | (1.22% | ) | ||||||||||||||||||||||||||
Portfolio turnover4 |
17% | 90% | 31% | 33% | 36% | 30% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value and does not reflect the impact of a sales charge. Total investment return during some of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Funds fiscal year ending March 31, 2016, the Funds portfolio turnover rate increased substantially during the year ended March 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
94
Optimum Small-Mid Cap Value Fund Institutional Class
Selected data for each share of the Fund outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||||||||||||||||
ended | Year ended | |||||||||||||||||||||||||||||||||||||
9/30/161 | 3/31/16 | 3/31/15 | 3/31/14 | 3/31/13 | 3/31/12 | |||||||||||||||||||||||||||||||||
(Unaudited) | ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 12.160 | $ | 14.310 | $ | 15.530 | $ | 14.230 | $ | 12.990 | $ | 12.960 | ||||||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||||||||||||||||
Net investment income (loss)2 |
0.066 | (0.013 | ) | (0.059 | ) | (0.050 | ) | 0.016 | (0.004 | ) | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) |
0.744 | (1.649 | ) | (0.045 | ) | 2.995 | 1.661 | 0.158 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total from investment operations |
0.810 | (1.662 | ) | (0.104 | ) | 2.945 | 1.677 | 0.154 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Less dividends and distributions from: |
||||||||||||||||||||||||||||||||||||||
Net investment income |
| | | (0.004 | ) | (0.005 | ) | | ||||||||||||||||||||||||||||||
Net realized gain |
| (0.487 | ) | (1.116 | ) | (1.641 | ) | (0.432 | ) | (0.124 | ) | |||||||||||||||||||||||||||
Return of capital |
| (0.001 | ) | | | | | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total dividends and distributions |
| (0.488 | ) | (1.116 | ) | (1.645 | ) | (0.437 | ) | (0.124 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net asset value, end of period |
$ | 12.970 | $ | 12.160 | $ | 14.310 | $ | 15.530 | $ | 14.230 | $ | 12.990 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total return3 |
6.66% | (11.67% | ) | (0.53% | ) | 22.29% | 13.56% | 1.37% | ||||||||||||||||||||||||||||||
Ratios and supplemental data: |
||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000 omitted) |
$ | 399,067 | $ | 441,150 | $ | 499,578 | $ | 439,417 | $ | 318,758 | $ | 310,737 | ||||||||||||||||||||||||||
Ratio of expenses to average net assets |
1.26% | 1.36% | 1.37% | 1.40% | 1.41% | 1.44% | ||||||||||||||||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived |
1.45% | 1.50% | 1.43% | 1.56% | 1.63% | 1.63% | ||||||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets |
1.04% | (0.10% | ) | (0.40% | ) | (0.34% | ) | 0.13% | (0.03% | ) | ||||||||||||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived |
0.85% | (0.24% | ) | (0.46% | ) | (0.50% | ) | (0.09% | ) | (0.22% | ) | |||||||||||||||||||||||||||
Portfolio turnover4 |
17% | 90% | 31% | 33% | 36% | 30% | ||||||||||||||||||||||||||||||||
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | The average shares outstanding method has been applied for per share information. |
3 | Total investment return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total investment return during all of the periods shown reflects a waiver by the manager. Performance would have been lower had the waiver not been in effect. |
4 | As a result of LSV Asset Management replacing The Delafield Group, a division of Tocqueville Asset Management L.P., and The Killen Group, Inc. as one of the sub-advisors to Optimum Small-Mid Cap Value Fund during the Funds fiscal year ending March 31, 2016, the Funds portfolio turnover rate increased substantially during the year ended March 31, 2016. |
See accompanying notes, which are an integral part of the financial statements.
(continues | ) | 95 |
Optimum Fund Trust
September 30, 2016 (Unaudited)
Optimum Fund Trust (Trust) is organized as a Delaware statutory trust and offers six series: Optimum Fixed Income Fund, Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund, (each, a Fund, or collectively, the Funds). The Trust is an open-end investment company. The Funds are considered diversified under the Investment Company Act of 1940 (1940 Act), as amended, and offer Class A, Class C, and Institutional Class shares. Class A shares are sold with a maximum front-end sales charge of 4.50% for Optimum Fixed Income Fund and 5.75% for Optimum International Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund. Class A share purchases of $1,000,000 or more will incur a contingent deferred sales charge (CDSC) instead of front-end sales charge of 1.00% if redeemed during the first year and 0.50% during the second year, provided that Delaware Distributors, L.P. (DDLP) paid a financial advisor a commission on the purchase of those shares. Class C shares are sold with a CDSC of 1.00%, if redeemed during the first 12 months. Institutional Class shares are not subject to a sales charge and are offered for sale exclusively to certain eligible investors.
The investment objective of Optimum Fixed Income Fund is to seek a high level of income. The Fund may also seek growth of capital.
The investment objective of Optimum International Fund is to seek long-term growth of capital. The Fund may also seek income.
The investment objective of Optimum Large Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Large Cap Value Fund is to seek long-term growth of capital. The Fund may also seek income.
The investment objective of Optimum Small-Mid Cap Growth Fund is to seek long-term growth of capital.
The investment objective of Optimum Small-Mid Cap Value Fund is to seek long-term growth of capital.
1. Significant Accounting Policies
The following accounting policies are in accordance with U.S. generally accepted accounting principles (U.S. GAAP) and are consistently followed by the Funds.
Security Valuation Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Open-end investment company securities are valued at net asset value (NAV) per share, as reported by the underlying investment company. U.S. government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities, credit default swap (CDS) contracts, 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 Trusts Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Each Fund may use fair value pricing more frequently for securities traded primarily in non-U.S. markets because, among other things, most foreign markets close well before each Fund values its securities, generally as of 4:00 p.m. Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves,
96 |
government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, each Fund may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing).
Federal and Foreign Income Taxes No provision for federal income taxes has been made as each Fund intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Funds evaluate tax positions taken or expected to be taken in the course of preparing each Funds tax returns to determine whether the tax positions are more-likely-than-not of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Funds tax positions taken for all open federal income tax years (March 31, 2013March 31, 2016) and has concluded that no provision for federal income tax is required in any Funds financial statements. In regard to foreign taxes only, each Fund has open tax years in certain foreign countries in which it invests that may date back to the inception of each Fund.
Class Accounting Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of the Funds on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Repurchase Agreements Each Fund may purchase certain U.S. government securities subject to the counterpartys agreement to repurchase them at an agreed upon date and price. The counterparty will be required on a daily basis to maintain the value of the collateral subject to the agreement at not less than the repurchase price (including accrued interest). The agreements are conditioned upon the collateral being deposited under the Federal Reserve book-entry system with each Funds custodian or a third-party sub-custodian. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. All open repurchase agreements as of the date of this report were entered into on Sept. 30, 2016, and matured on the next business day.
Reverse Repurchase Agreements Optimum Fixed Income Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells securities to a bank or broker/dealer and agrees to repurchase the securities at an agreed upon date and price. The Fund will maintain in a segregated account, cash, cash equivalents, or U.S. government securities in an amount sufficient to cover its obligations under reverse repurchase agreements with broker/dealers (but no collateral is required on reverse repurchase agreements with banks). The Fund will subject its investments in reverse repurchase agreements to the borrowing provisions set forth in the 1940 Act. The use of reverse repurchase agreements by the Fund creates leverage, which increases the Funds investment risk. If the income and gains on securities purchased with the proceeds of reverse repurchase agreements exceed the costs of the agreements, the Funds earnings or NAV will increase faster than otherwise would be the case; conversely, if the income and gains fail to exceed the costs, earnings or NAV would decline faster than otherwise would be the case. For the six months ended Sept. 30, 2016, the Fund had average reverse repurchase agreements of $416,561, for which it paid interest at an average rate of 0.30%. At Sept. 30, 2016, the Fund posted $4,906,772 in securities collateral for reverse repurchase agreements, which comprised of U.S. treasury obligations.
To Be Announced Trades (TBA) Optimum Fixed Income Fund may contract to purchase or sell securities for a fixed price at a transaction date beyond the customary settlement period (examples: when issued, delayed delivery, forward commitment, or TBA transactions) consistent with the Funds ability to manage its investment portfolio and meet redemption requests. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield with payment and delivery taking place more than three days in the future, or after a period longer than the customary settlement period for that type of security. No interest will be earned by the Fund on such purchases until the securities are delivered or the transaction is completed; however, the market value may change prior to delivery.
Foreign Currency Transactions Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Funds prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into U.S. dollars at the exchange rate of such currencies against the U.S. dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Funds generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), which is due to changes in foreign exchange rates is included on the Statements of operations under Net realized gain (loss) on foreign currencies. For foreign equity securities, the realized gains and losses are included on the Statements of operations under Net realized and unrealized gain (loss) on investments. The Funds report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
(continues | ) | 97 |
Notes to financial statements
Optimum Fund Trust
1. Significant Accounting Policies (continued)
Use of Estimates Each Fund is an investment company, whose financial statements are prepared in conformity with U.S. GAAP. Therefore, each Fund follows the accounting and reporting guidelines for investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other Expenses directly attributable to a Fund are charged directly to that Fund. Other expenses common to various funds within the Trust are generally allocated among such funds on the basis of average net assets. Management fees and some other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Funds are aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Funds understanding of the applicable countrys tax rules and rates. Each Fund may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. Each Fund declares and pays distributions from net investment income and net realized gain on investments, if any, at least annually. The Funds may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Each Fund may receive earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. There were no such earnings credits for the six months ended Sept. 30, 2016.
Each Fund receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than one dollar, the expense paid under this arrangement is included on the Statements of operations under Dividend disbursing and transfer agent fees and expenses with the corresponding expense offset shown under Less expense paid indirectly. For the six months ended Sept. 30, 2016, each Fund earned the following amounts under this agreement:
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum | |||||
$414 | $412 | $460 | $462 | $449 | $453 |
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
Delaware Management Company (DMC), a series of Delaware Management Business Trust, furnishes investment management services to each Fund and has full discretion and responsibility, subject to the overall supervision of the Board, to select and contract with one or more investment sub-advisors to manage the investment operations and composition of each Fund, and to render investment advice for each Fund, including the purchase, retention, and dispositions of investments, securities, and cash contained in each Fund. The investment management agreement obligates DMC to implement decisions with respect to the allocation or reallocation of each Funds assets among one or more current or additional sub-advisors, and to monitor the sub-advisors compliance with the relevant Funds investment objective, policies and restrictions. DMC pays the sub-advisors out of its fees.
98
In accordance with the terms of its respective investment management agreement, DMC is entitled to receive an annual fee equal to the following percentage rates of the average daily net assets of each Fund:
Optimum Fixed Income Fund | 0.7000% of net assets up to $25 million | |
0.6500% of net assets from $25 million to $100 million | ||
0.6000% of net assets from $100 million to $500 million | ||
0.5500% of net assets from $500 million to $1 billion | ||
0.5000% of net assets from $1 billion to $2.5 billion | ||
0.4750% of net assets over $2.5 billion | ||
Optimum International Fund | 0.8750% of net assets up to $50 million | |
0.8000% of net assets from $50 million to $100 million | ||
0.7800% of net assets from $100 million to $300 million | ||
0.7650% of net assets from $300 million to $400 million | ||
0.7300% of net assets over $400 million | ||
Optimum Large Cap Growth Fund | 0.8000% of net assets up to $250 million | |
0.7875% of net assets from $250 million to $300 million | ||
0.7625% of net assets from $300 million to $400 million | ||
0.7375% of net assets from $400 million to $500 million | ||
0.7250% of net assets from $500 million to $1 billion | ||
0.7100% of net assets from $1 billion to $1.5 billion | ||
0.7000% of net assets over $1.5 billion | ||
Optimum Large Cap Value Fund | 0.8000% of net assets up to $100 million | |
0.7375% of net assets from $100 million to $250 million | ||
0.7125% of net assets from $250 million to $500 million | ||
0.6875% of net assets from $500 million to $1 billion | ||
0.6675% of net assets from $1 billion to $1.5 billion | ||
0.6475% of net assets over $1.5 billion | ||
Optimum Small-Mid Cap Growth Fund | 1.1000% of net assets | |
Optimum Small-Mid Cap Value Fund | 1.0500% of net assets up to $75 million | |
1.0250% of net assets from $75 million to $150 million | ||
1.0000% of net assets over $150 million |
DMC has entered into sub-advisory agreements for the Trust as follows: Optimum Fixed Income Fund Pacific Investment Management Company, LLC (PIMCO); Optimum International Fund Acadian Asset Management LLC (Acadian), and EARNEST Partners, LLC (EARNEST); Optimum Large Cap Growth Fund T. Rowe Price Associates, Inc. (T. Rowe Price), and Fred Alger Management, Inc. (Alger); Optimum Large Cap Value Fund Massachusetts Financial Services Company (MFS) and Herndon Capital Management, LLC (Herndon); Optimum Small-Mid Cap Growth Fund Columbus Circle Investors (CCI) and Peregrine Capital Management (Peregrine); Optimum Small-Mid Cap Value Fund LSV Asset Management (LSV) and Westwood Management Corp. (Westwood).
For the six months ended Sept. 30, 2016, DMC paid the following sub-advisory fees:
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum | |||||
$1,267,968 | $1,143,204 | $2,677,813 | $2,055,058 | $935,824 | $1,087,378 |
(continues | ) | 99 |
Notes to financial statements
Optimum Fund Trust
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
DMC has contractually agreed to waive that portion, if any, of its management fee and/or pay/reimburse each Fund to the extent necessary to ensure that total annual fund operating expenses (excluding any distribution and service (12b-1) fees, acquired fund fees and expenses, taxes, interest, short sale and dividend interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations (collectively, nonroutine expenses)) do not exceed the following percentages of each Funds average daily net assets. For purposes of these waivers and reimbursements, nonroutine expenses may also include such additional costs and expenses as may be agreed upon from time to time by the Board and DMC. These waivers and reimbursements may be terminated only by agreement of DMC and the Funds.
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum | |||||||
Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2016 July 29, 2017 |
0.92% | 1.25% | 1.10% | 1.08% | 1.33% | 1.25% | ||||||
Operating expense limitation as a percentage of average daily net assets (per annum) for the period July 29, 2015 July 29, 2016 |
0.92% | 1.25% | 1.09% | 1.08% | 1.34% | 1.27% |
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administration oversight services to the Trust. Those services include overseeing the Funds pricing process, the calculation and payment of fund expenses, and financial reporting in shareholder reports, registration statements and other regulatory filings. DIFSC also manages the process for the payment of dividends and distributions and the dissemination of Funds NAVs and performance data. For these services, the Funds pay DIFSC an asset-based fee, plus certain out-of-pocket expenses and transactional charges. DIFSC fees are calculated based on the aggregate daily net assets of the Trust at the following annual rate: 0.0075% of the first $3 billion; 0.0070% of the next $2 billion; 0.0065% of the next $2.5 billion; 0.0055% of the next $2.5 billion; and 0.0050% of aggregate average daily net assets in excess of $10 billion. The fees payable to DIFSC under the service agreement described above are allocated among all funds in the Trust on a relative NAV basis. These amounts are included on the Statements of operations under Accounting fees. For the six months ended Sept. 30, 2016, each Fund was charged for these services as follows:
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum | |||||
$74,374 | $20,781 | $53,322 | $49,170 | $15,328 | $14,929 |
DIFSC provides the Trust with administrative services including: preparation, filing and maintaining governing documents; preparation of materials and reports for the Board; and preparation and filing of registration statements and other regulatory filings. For these administrative services, each Fund pays DIFSC a fee at an annual rate (plus out-of-pocket expenses) of 0.120% of assets up to $500 million of the Funds average daily net assets; 0.095% of assets from $500 million to $1 billion; and 0.070% of assets over $1 billion.
DIFSC is also the shareholder servicing, dividend disbursing, and transfer agent for each Fund. For these services, the Trust pays DIFSC a fee at an annual rate of 0.200% of the Trusts total average daily net assets, subject to certain minimums, plus out-of-pocket expenses. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Funds. Sub-transfer agency fees are paid by the Funds and are also included on the Statements of operations under Dividend disbursing and transfer agent fees and expenses.
100
DDLP, an affiliate of DMC, serves as the national distributor of each Funds shares pursuant to a Distribution Agreement. Pursuant to the Distribution Agreement and Rule 12b-1 plan, each Fund pays DDLP an annual 12b1- fee of 0.25% of the average daily net assets of the Class A shares and 1.00% of the average daily net assets of the Class C shares. Institutional Class shares pay no 12b-1 fees.
For the six months ended Sept. 30, 2016, DDLP earned commissions on sales of Class A shares for each Fund as follows:
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum | |||||
$20,874 | $1,896 | $5,150 | $5,214 | $1,809 | $1,812 |
For the six months ended Sept. 30, 2016, DDLP received gross CDSC commissions on redemptions of each Funds Class C shares, and these commissions were entirely used to offset upfront commissions previously paid by DDLP to broker/dealers on sales of those shares. The amounts received were as follows:
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum | |||||
$8,333 | $1,353 | $3,951 | $4,385 | $661 | $509 |
DMC, DIFSC and DDLP are indirect, wholly owned subsidiaries of Delaware Management Holdings, Inc. Certain officers of DMC, DIFSC and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Funds.
Cross trades for the six months ended Sept. 30, 2016, were executed by the Funds pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews such transactions for compliance with the procedures adopted by the Board. Optimum Fixed Income Fund and Optimum Large Cap Growth Fund did not engage in securities cross trades for the six months ended Sept. 30, 2016. Pursuant to these procedures, for the six months ended Sept. 30, 2016, the Funds engaged in securities sales, which resulted in net realized gain as follows. There were no Rule 17a-7 securities purchases for the six months ended Sept. 30, 2016.
Optimum |
Optimum |
Optimum |
Optimum | |||||||||||||||||
Sales |
$1,540,801 | $35,328,096 | $1,450,689 | $2,468,401 | ||||||||||||||||
Net realized gain |
2 | 23,135 | 1,309 | 178 |
3. Investments
For the six months ended Sept. 30, 2016, each Fund made purchases and sales of investments securities other than short-term investments as follows:
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum Value Fund | |||||||||||||||||||||||||
Purchases other than U.S. government securities |
$ | 3,178,721,049 | $ | 214,678,914 | $ | 348,586,799 | $ | 309,738,966 | $547,854,942 | $70,912,840 | ||||||||||||||||||||
Purchases of U.S. government securities |
1,273,604,126 | | | | | | ||||||||||||||||||||||||
Sales other than U.S. government securities |
3,113,143,631 | 244,313,259 | 451,860,242 | 272,880,512 | 614,482,934 | 129,576,732 | ||||||||||||||||||||||||
Sales of U.S. government securities |
1,305,021,272 | | | | | |
(continues | ) | 101 |
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
At Sept. 30, 2016, the cost of investments for federal income tax purposes has been estimated since final tax characteristics cannot be determined until fiscal year end. At Sept. 30, 2016, the cost and unrealized appreciation (depreciation) of investments for each Fund were as follows:
Optimum |
Optimum |
Optimum |
Optimum |
Optimum |
Optimum | |||||||||||||||||||||||||
Cost of investments |
$ | 2,367,568,191 | $ | 591,711,776 | $ | 1,248,881,572 | $ | 1,084,072,759 | $ | 391,857,740 | $ | 363,756,168 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Aggregate unrealized appreciation of investments |
$ | 60,414,779 | $ | 72,422,043 | $ | 269,828,344 | $ | 295,981,196 | $ | 57,359,831 | $ | 61,351,082 | ||||||||||||||||||
Aggregate unrealized depreciation of investments |
(20,588,773 | ) | (61,572,748 | ) | (30,023,585 | ) | (19,934,696 | ) | (12,941,066 | ) | (9,571,506 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net unrealized appreciation of investments |
$ | 39,826,006 | $ | 10,849,295 | $ | 239,804,759 | $ | 276,046,500 | $ | 44,418,765 | $ | 51,779,576 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
For federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. At March 31, 2016, Optimum Fixed Income Fund, Optimum Large Cap Growth, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund did not have any pre-enactment capital loss carryforwards outstanding. Capital loss carryforwards remaining at March 31, 2016 will expire as follows:
Year of |
Optimum |
Optimum | ||
3/31/18 | $4,316,656 | $13,066,441 |
On Dec. 22, 2010, the Regulated Investment Company Modernization Act of 2010 (Act) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes were generally effective for taxable years beginning after the date of enactment. Under the Act, each Fund is permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
Losses incurred that will be carried forward under the Act are as follows:
Loss carryforward character | ||||||||
Short-term | Long-term | |||||||
Optimum Fixed Income Fund |
$ 5,564,709 | $8,459,920 | ||||||
Optimum International Fund |
18,690,282 | 3,477,514 |
U.S. GAAP defines fair value as the price that each Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the assumptions that market participants would use in pricing the
102
asset or liability based on the best information available under the circumstances. Each Funds 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 each Funds own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities, fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following tables summarize the valuation of each Funds investments by fair value hierarchy levels as of Sept. 30, 2016:
Optimum Fixed Income Fund | ||||||||||||||||||||||
Securities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||
Agency, Asset- & |
$ | | $ | 842,069,509 | $ | | $ | 842,069,509 | ||||||||||||||
Corporate Debt1 |
| 939,286,378 | 1,308,190 | 940,594,568 | ||||||||||||||||||
Foreign Debt |
| 71,751,106 | | 71,751,106 | ||||||||||||||||||
Municipal Bonds |
| 38,340,873 | | 38,340,873 | ||||||||||||||||||
Senior Secured Loans1 |
| 105,450,778 | 4,478,563 | 109,929,341 | ||||||||||||||||||
Common Stock |
| | | | ||||||||||||||||||
Convertible Preferred Stock1 |
1,909,416 | 247,831 | | 2,157,247 | ||||||||||||||||||
Exchange-Traded Fund |
497,382 | | | 497,382 | ||||||||||||||||||
Preferred Stock1 |
977,256 | 4,971,386 | | 5,948,642 | ||||||||||||||||||
U.S. Treasury Obligations |
| 373,927,423 | | 373,927,423 | ||||||||||||||||||
Short-Term Investments |
| 22,063,780 | | 22,063,780 | ||||||||||||||||||
Options Purchased |
| 114,326 | | 114,326 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
Total Value of Securities |
$ | 3,384,054 | $ | 2,398,223,390 | $ | 5,786,753 | $ | 2,407,394,197 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
Foreign Currency Exchange |
$ | | $ | 609,047 | $ | | $ | 609,047 | ||||||||||||||
Futures Contracts |
(4,998,811 | ) | | | (4,998,811 | ) | ||||||||||||||||
Swap Contracts |
| (14,790,546 | ) | | (14,790,546 | ) | ||||||||||||||||
Reverse Repurchase Agreements |
| (4,906,125 | ) | | (4,906,125 | ) | ||||||||||||||||
Options Written |
| (71,528 | ) | | (71,528 | ) |
1Security type is valued across multiple levels. Level 1 investments represent exchange-traded investments, Level 2 investments represent investments with observable inputs or matrix-priced investments, and Level 3 investments represent investments without observable inputs. The amounts attributed to Level 1 investments, Level 2 investments, and Level 3 investments represent the following percentages of the total market value of these security types:
(continues | ) | 103 |
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Level 1 |
Level 2 | Level 3 | Total |
|||||||||||||
Corporate Debt |
| 99.86% | 0.14% | 100.00 | % | |||||||||||
Senior Secured Loans |
| 96.83% | 3.17% | 100.00 | % | |||||||||||
Convertible Preferred Stock |
88.51 | % | 11.49% | | 100.00 | % | ||||||||||
Preferred Stock |
16.43 | % | 83.57% | | 100.00 | % |
Optimum International Fund |
||||||||||||||||
Securities |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stock |
||||||||||||||||
Australia |
$ | 2,583,643 | $ | 12,553,096 | $ | | $ | 15,136,739 | ||||||||
Austria |
4,039,783 | 12,331,528 | | 16,371,311 | ||||||||||||
Bermuda |
5,279,076 | | | 5,279,076 | ||||||||||||
Brazil |
3,394,466 | | | 3,394,466 | ||||||||||||
Canada |
12,643,681 | | | 12,643,681 | ||||||||||||
China/Hong Kong |
| 32,033,632 | | 32,033,632 | ||||||||||||
Colombia |
3,661,835 | | | 3,661,835 | ||||||||||||
Czech Republic |
| 2,435,924 | | 2,435,924 | ||||||||||||
Denmark |
| 10,393,724 | | 10,393,724 | ||||||||||||
Finland |
| 6,589,784 | | 6,589,784 | ||||||||||||
France |
| 27,868,539 | | 27,868,539 | ||||||||||||
Germany |
656,860 | 27,360,922 | | 28,017,782 | ||||||||||||
India |
4,898,580 | 10,746,234 | | 15,644,814 | ||||||||||||
Indonesia |
| 8,658,511 | | 8,658,511 | ||||||||||||
Ireland |
12,788,754 | | | 12,788,754 | ||||||||||||
Israel |
10,091,458 | 12,027,104 | | 22,118,562 | ||||||||||||
Italy |
| 10,546,199 | | 10,546,199 | ||||||||||||
Japan |
| 76,686,194 | | 76,686,194 | ||||||||||||
Mexico |
3,740,923 | | | 3,740,923 | ||||||||||||
Netherlands |
6,887,177 | 9,978,033 | | 16,865,210 | ||||||||||||
New Zealand |
1,477,305 | 5,235,567 | | 6,712,872 | ||||||||||||
Norway |
4,200,101 | 9,618,319 | | 13,818,420 | ||||||||||||
Peru |
3,501,973 | | | 3,501,973 | ||||||||||||
Republic of Korea |
| 23,224,955 | | 23,224,955 | ||||||||||||
Russia |
| 939,457 | | 939,457 | ||||||||||||
Singapore |
| 6,901,231 | | 6,901,231 | ||||||||||||
Spain |
| 12,915,688 | | 12,915,688 | ||||||||||||
Sweden |
| 10,323,377 | | 10,323,377 | ||||||||||||
Switzerland |
9,754,298 | 29,917,204 | | 39,671,502 | ||||||||||||
Taiwan |
| 19,120,980 | | 19,120,980 | ||||||||||||
Thailand |
| 866,860 | | 866,860 | ||||||||||||
Turkey |
| 7,255,840 | | 7,255,840 | ||||||||||||
United Kingdom |
3,594,475 | 65,198,572 | | 68,793,047 | ||||||||||||
United States |
12,688,130 | | 4,634,108 | 17,322,238 | ||||||||||||
Exchange-Traded Funds |
13,206,863 | | | 13,206,863 | ||||||||||||
Short-Term Investments |
| 4,908,828 | | 4,908,828 | ||||||||||||
Securities Lending Collateral |
| 22,201,280 | | 22,201,280 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Value of Securities |
$ | 119,089,381 | $ | 478,837,582 | $ | 4,634,108 | $ | 602,561,071 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Foreign Currency Exchange Contracts |
$ | | $ | 313 | $ | | $ | 313 |
104
Optimum Large Cap Growth Fund |
||||||||||||||||
Securities |
Level 1 |
Level 2 |
Level 3 |
Total |
||||||||||||
Common Stock |
||||||||||||||||
Consumer Discretionary |
$ | 328,991,472 | $ | | $ | 1,815,066 | $ | 330,806,538 | ||||||||
Consumer Staples |
74,670,543 | | | 74,670,543 | ||||||||||||
Energy |
12,204,265 | | | 12,204,265 | ||||||||||||
Financials |
46,465,652 | | 93,094 | 46,558,746 | ||||||||||||
Healthcare |
259,976,425 | | | 259,976,425 | ||||||||||||
Industrials |
105,532,313 | | | 105,532,313 | ||||||||||||
Information Technology |
551,524,877 | 10,837,234 | 552,457 | 562,914,568 | ||||||||||||
Materials |
16,159,821 | | | 16,159,821 | ||||||||||||
Real Estate |
25,088,156 | | | 25,088,156 | ||||||||||||
Telecommunication Services |
10,222,979 | | | 10,222,979 | ||||||||||||
Utilities |
3,975,400 | | | 3,975,400 | ||||||||||||
Convertible Preferred Stock |
| | 9,300,102 | 9,300,102 | ||||||||||||
U.S. Master Limited Partnerships |
5,574,475 | | | 5,574,475 | ||||||||||||
Short-Term Investments |
| 25,702,000 | | 25,702,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Value of Securities |
$ | 1,440,386,378 | $ | 36,539,234 | $ | 11,760,719 | $ | 1,488,686,331 | ||||||||
|
|
|
|
|
|
|
|
Optimum Large Cap Value Fund |
||||||||||||||||||||
Securities |
Level 1 |
Level 2 |
Total |
|||||||||||||||||
Common Stock |
||||||||||||||||||||
Consumer Discretionary |
$ | 111,729,801 | $ | | $ | 111,729,801 | ||||||||||||||
Consumer Staples |
121,598,214 | 28,931,554 | 150,529,768 | |||||||||||||||||
Energy |
89,374,710 | | 89,374,710 | |||||||||||||||||
Financials |
353,062,885 | | 353,062,885 | |||||||||||||||||
Healthcare |
172,312,832 | 4,244,838 | 176,557,670 | |||||||||||||||||
Industrials |
168,653,476 | | 168,653,476 | |||||||||||||||||
Information Technology |
168,374,134 | | 168,374,134 | |||||||||||||||||
Materials |
63,628,225 | | 63,628,225 | |||||||||||||||||
Real Estate |
14,145,932 | | 14,145,932 | |||||||||||||||||
Telecommunication Services |
13,442,808 | 1,743,966 | 15,186,774 | |||||||||||||||||
Utilities |
27,707,280 | | 27,707,280 | |||||||||||||||||
Short-Term Investments |
| 21,168,604 | 21,168,604 | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Total Value of Securities |
$ | 1,304,030,297 | $ | 56,088,962 | $ | 1,360,119,259 | ||||||||||||||
|
|
|
|
|
|
(continues | ) | 105 |
Notes to financial statements
Optimum Fund Trust
3. Investments (continued)
Optimum Small-Mid Cap Growth Fund | ||||||||||||||||||||
Securities |
Level 1 |
Level 2 |
Level 3 |
Total | ||||||||||||||||
Common Stock |
$417,583,058 | $ | $ | $417,583,058 | ||||||||||||||||
Convertible Preferred Stock |
| | 6,448,177 | 6,448,177 | ||||||||||||||||
Short-Term Investments |
| 12,245,270 | | 12,245,270 | ||||||||||||||||
Total Value of Securities |
$417,583,058 | $12,245,270 | $6,448,177 | $436,276,505 | ||||||||||||||||
Optimum Small-Mid Cap Value Fund |
||||||||||||||||||||
Securities |
Level 1 | Level 2 | Total | |||||||||||||||||
Common Stock |
$414,572,222 | $ | $414,572,222 | |||||||||||||||||
Short-Term Investments |
| 963,523 | 963,523 | |||||||||||||||||
Total Value of Securities |
$414,572,222 | $963,523 | $415,535,745 |
Securities valued at zero on the Schedules of investments are considered to be Level 3 investments in these tables.
As a result of utilizing international fair value pricing at Sept. 30, 2016, the majority of Optimum International Funds common stock investments and a portion of Optimum Large Cap Growth Funds and Optimum Large Cap Value Funds common stock investments were categorized as Level 2.
During the six months ended Sept. 30, 2016, there were no transfers between Level 1 investments, Level 2 investments, or Level 3 investments that had a significant impact to the Funds. This does not include transfers between Level 1 investments and Level 2 investments due to the Funds utilizing international fair value pricing during the period. In accordance with the fair valuation procedures described in Note 1, international fair value pricing of securities in each Fund occurs when market volatility exceeds an established rolling threshold. If the threshold is exceeded on a given date, then prices of international securities (those that traded on exchanges that close at a different time than the time that the Funds NAV is determined) are established using a separate pricing feed from a third-party vendor designed to establish a price for each such security as of the time that the Funds NAV is determined. Further, international fair value pricing uses other observable market-based inputs in place of the closing exchange price due to the events occurring after the close of the exchange or market on which the investment is principally traded, causing a change in classification between levels. Each Funds policy is to recognize transfers between levels at the beginning of the period.
A reconciliation of Level 3 investments is presented when each Fund has a significant amount of Level 3 investments at the beginning, interim, or end of the period in relation to each Funds net assets. With the exception of Optimum Small-Mid Cap Growth Fund, management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to each Funds net assets at the end of the period. There were no Level 3 investments during the six months ended Sept. 30, 2016 for Optimum Small-Mid Cap Value Fund.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value for Optimum Small-Mid Cap Growth Fund:
Common Stock |
Convertible Preferred Stock |
Total | |||||||||||||
Beginning balance March 31, 2016 |
$ 133,374 | $ 6,261,635 | $ 6,395,009 | ||||||||||||
Purchases |
| 2,447,732 | 2,447,732 | ||||||||||||
Sales |
| (1,313,030 | ) | (1,313,030 | ) | ||||||||||
Transfers out of Level 3 |
(366,983 | ) | (555,295 | ) | (922,278 | ) | |||||||||
Net change in unrealized appreciation (depreciation) |
233,609 | (392,865 | ) | (159,256 | ) | ||||||||||
Ending balance Sept. 30, 2016 |
$ | $ 6,448,177 | $ 6,448,177 | ||||||||||||
Net change in unrealized appreciation (depreciation) from investments still held at the end of the period |
$ | $ 285,248 | $ 285,248 |
106
Sensitivity Analysis for Optimum Small-Mid Cap Growth Fund
Valuation: Each Fund fair values its financial instruments at fair value using independent pricing sources under the policies approved by the Board. The Pricing Committee is the committee formed by the advisor to develop pricing policies and procedures and to provide oversight of the pricing function for the Funds.
When market quotations are not readily available for one or more portfolio securities, the Funds NAV shall be calculated by using the fair value of the securities as determined by the Pricing Committee. Such fair value is the amount that a Fund might reasonably expect to receive for the security (or asset) upon its current sale. Each such determination should be based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the size of the holding, (iii) the initial cost of the security, (iv) the existence of any contractual restrictions of the securitys 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 companys financial statements, and (ix) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.
The Pricing Committee, or its delegate, employs various methods for calibrating these valuation approaches, including due diligence of the Funds pricing vendors and periodic back-testing of the prices that are fair valued under these procedures and reviews of any market related activity. The pricing of all securities fair valued by the Pricing Committee is subsequently reported to and approved by the Board on a quarterly basis.
Quantitative information about Level 3 fair value measurements for Optimum Small-Mid Cap Growth Fund:
Assets |
Value | Valuation Techniques |
Unobservable Inputs |
Range of Unobservable Inputs |
Weighted Average Discounted Enterprise Value / Revenue Multiple | |||||
Convertible Preferred Stock |
$6,448,177 | Comparable Company Approach |
Enterprise Value / Revenue Multiple Range of Comparable Companies |
2.3x to 9.2x | 4.96x |
A significant change to the inputs may result in a significant change to the valuation.
(continues | ) | 107 |
Notes to financial statements
Optimum Fund Trust
4. Capital Shares
Transactions in capital shares were as follows:
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
||||||||||||||||||||||
Six months 9/30/16 |
Year ended 3/31/16 |
Six months ended 9/30/16 |
Year ended 3/31/16 |
Six months 9/30/16 |
Year ended 3/31/16 |
|||||||||||||||||||
|
||||||||||||||||||||||||
Shares sold: |
||||||||||||||||||||||||
Class A |
134,607 | 484,087 | 40,145 | 106,661 | 65,416 | 134,056 | ||||||||||||||||||
Class C |
455,446 | 2,109,294 | 80,138 | 370,858 | 161,018 | 569,981 | ||||||||||||||||||
Institutional Class |
22,275,211 | 50,670,245 | 4,006,190 | 16,417,062 | 7,577,018 | 16,932,034 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: |
||||||||||||||||||||||||
Class A |
| 126,444 | | 4,638 | | 233,634 | ||||||||||||||||||
Class C |
| 363,757 | | | | 992,070 | ||||||||||||||||||
Institutional Class |
| 6,368,876 | | 394,001 | | 8,237,260 | ||||||||||||||||||
22,865,264 | 60,122,703 | 4,126,473 | 17,293,220 | 7,803,452 | 27,099,035 | |||||||||||||||||||
Shares redeemed: |
||||||||||||||||||||||||
Class A |
(378,272 | ) | (831,370 | ) | (80,782 | ) | (160,976 | ) | (215,736 | ) | (510,659 | ) | ||||||||||||
Class C |
(1,985,698 | ) | (3,222,618 | ) | (346,095 | ) | (552,865 | ) | (1,109,032 | ) | (1,879,403 | ) | ||||||||||||
Institutional Class |
(29,956,995 | ) | (43,001,210 | ) | (6,879,788 | ) | (8,328,689 | ) | (13,014,073 | ) | (18,670,206 | ) | ||||||||||||
(32,320,965 | ) | (47,055,198 | ) | (7,306,665 | ) | (9,042,530 | ) | (14,338,841 | ) | (21,060,268 | ) | |||||||||||||
Net increase (decrease) |
(9,455,701 | ) | 13,067,505 | (3,180,192 | ) | 8,250,690 | (6,535,389 | ) | 6,038,767 |
Optimum Large Cap Value Fund |
Optimum Small-Mid Cap Growth Fund |
Optimum Small-Mid Cap Value Fund |
||||||||||||||||||||||
Six months 9/30/16 |
Year ended 3/31/16 |
Six months ended 9/30/16 |
Year ended 3/31/16 |
Six months 9/30/16 |
Year ended 3/31/16 |
|||||||||||||||||||
|
||||||||||||||||||||||||
Shares sold: |
||||||||||||||||||||||||
Class A |
68,207 | 143,327 | 25,588 | 33,959 | 24,250 | 33,499 | ||||||||||||||||||
Class C |
154,432 | 531,160 | 43,112 | 127,921 | 39,420 | 113,119 | ||||||||||||||||||
Institutional Class |
14,371,512 | 16,516,757 | 3,425,427 | 8,398,792 | 3,245,782 | 8,991,621 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: |
||||||||||||||||||||||||
Class A |
| 20,818 | | 70,219 | | 15,444 | ||||||||||||||||||
Class C |
| 18,116 | | 296,465 | | 68,396 | ||||||||||||||||||
Institutional Class |
| 937,805 | | 5,097,525 | | 1,361,942 | ||||||||||||||||||
14,594,151 | 18,167,983 | 3,494,127 | 14,024,881 | 3,309,452 | 10,584,021 | |||||||||||||||||||
Shares redeemed: |
||||||||||||||||||||||||
Class A |
(210,093 | ) | (394,347 | ) | (39,778 | ) | (102,565 | ) | (39,263 | ) | (74,853 | ) | ||||||||||||
Class C |
(858,423 | ) | (1,375,133 | ) | (218,523 | ) | (332,514 | ) | (188,597 | ) | (273,196 | ) | ||||||||||||
Institutional Class |
(11,666,873 | ) | (14,408,404 | ) | (9,160,623 | ) | (8,288,503 | ) | (8,756,402 | ) | (8,979,943 | ) | ||||||||||||
(12,735,389 | ) | (16,177,884 | ) | (9,418,924 | ) | (8,723,582 | ) | (8,984,262 | ) | (9,327,992 | ) | |||||||||||||
Net increase (decrease) |
1,858,762 | 1,990,099 | (5,924,797 | ) | 5,301,299 | (5,674,810 | ) | 1,256,029 |
108
Certain shareholders may exchange shares of one class for another class in the same Fund. There were no exchange transactions for the six months ended Sept. 30, 2016. For the year ended March 31, 2016, each Fund had the following exchange transactions. These exchange transactions are included as subscriptions and redemptions in the table above and the Statements of changes in net assets.
Year ended 3/31/16 | |||||||||||||||
Exchange Redemptions |
Exchange Subscriptions | ||||||||||||||
Class C Shares |
Class A |
Value | |||||||||||||
Optimum Fixed Income Fund |
10,722 | 10,688 | $ | 102,288 | |||||||||||
Optimum International Fund |
1,512 | 1,476 | 17,488 | ||||||||||||
Optimum Large Cap Growth Fund |
4,535 | 4,109 | 73,970 | ||||||||||||
Optimum Large Cap Value Fund |
3,867 | 3,821 | 61,640 | ||||||||||||
Optimum Small-Mid Cap Growth Fund |
837 | 753 | 11,843 | ||||||||||||
Optimum Small-Mid Cap Value Fund |
652 | 587 | 7,731 |
5. Derivatives
U.S. GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entitys results of operations and financial position.
Foreign Currency Exchange Contracts Each Fund may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Fund may also enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Fund may enter into these contracts to hedge the U.S. dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Fund may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Fund could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Funds maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Funds and the counterparty and by the posting of collateral by the counterparty to the Funds to cover the Funds exposure to the counterparty.
During the six months ended Sept. 30, 2016, the Funds used foreign currency exchange contracts to hedge the U.S. dollar value of securities the Funds already own that are denominated in foreign currencies, and to facilitate or expedite the settlement of portfolio transactions.
During the six months ended Sept. 30, 2016, the Funds held foreign currency exchange contracts which are reflected on the Statements of operations under Net realized and unrealized gain (loss) on foreign currency exchange contracts.
Futures Contracts A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. Optimum Fixed Income Fund may use futures in the normal course of pursuing its investment objective. Optimum Fixed Income Fund may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Fund deposits cash or pledges U.S. government securities to a broker, equal to the minimum initial margin requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as variation margin and are recorded daily by the Fund as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid
(continues | ) | 109 |
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Fund because futures are exchange-traded and the exchanges clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. The Fund posted $653,000 cash and $3,480,000 in securities collateral as margin for open futures contracts. Securities collateral are presented on the Schedules of investments and cash collateral is presented on the Statements of assets and liabilities as Cash collateral due from brokers.
During the six months ended Sept. 30, 2016, Optimum Fixed Income Fund used futures contracts to hedge the Funds existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions and to facilitate investments in portfolio securities.
Options Contracts Optimum Fixed Income Fund may enter into options contracts in the normal course of pursuing its investment objective. The Fund may buy or write options contracts for any number of reasons, including without limitation: to manage the Funds exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Funds overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Fund may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Fund buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Fund writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Fund on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Fund. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Fund is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change.
Transactions in options written during the six months ended Sept. 30, 2016 for Optimum Fixed Income Fund were as follows:
Call options |
Number of contracts |
Premiums | ||||||
Options outstanding March 31, 2016 |
73,110,000 | $ | 255,102 | |||||
Options written |
55,762,463 | 641,496 | ||||||
Options expired |
(102,172,463 | ) | (410,263 | ) | ||||
Options terminated in closing purchase transactions |
(26,700,000 | ) | (486,336 | ) | ||||
|
|
|
|
|||||
Options outstanding Sept. 30, 2016 |
| $ | | |||||
|
|
|
|
|||||
Put options |
Number of contracts |
Premiums | ||||||
Options outstanding March 31, 2016 |
268,400,364 | $ | 1,351,614 | |||||
Options written |
71,662,769 | 764,631 | ||||||
Options expired |
(249,162,557 | ) | (1,217,191 | ) | ||||
Options terminated in closing purchase transactions |
(47,400,576 | ) | (435,930 | ) | ||||
|
|
|
|
|||||
Options outstanding Sept. 30, 2016 |
43,500,000 | $ | 463,124 | |||||
|
|
|
|
During the six months ended Sept. 30, 2016, Optimum Fixed Income Fund used options contracts to manage the Funds exposure to changes in securities prices caused by interest rates or market conditions, to protect the value of portfolio securities, to manage the Funds exposure to changes in foreign currencies and to take advantage of liquidity available in the options market.
Swap Contracts Optimum Fixed Income Fund may enter into currency swap contracts, index swap contracts, inflation swaps, interest rate swap contracts, and CDS contracts in the normal course of pursuing its investment objective. The Fund may invest in interest rate swaps to manage the Funds sensitivity to interest rates or to hedge against changes in interest rates. The Fund may use currency swaps to protect against currency fluctuations. The Fund may use inflation swaps to hedge the inflation risk in nominal bonds, thereby creating synthetic inflation-indexed bonds. The Fund may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. The Fund will not be permitted to enter into any swap transactions unless, at the time of entering into
110
such transactions, the unsecured long-term debt of the actual counterparty, combined with any credit enhancements, is rated at least BBB- by Standard & Poors Financial Services LLC. (S&P) or Baa3 by Moodys Investors Service Inc. (Moodys) or is determined to be of equivalent credit quality by DMC.
Inflation Swaps. Inflation swap agreements involve commitments to pay a regular stream of inflation-indexed cash payments in exchange for receiving a stream of nominal interest payments (or vice versa), where both payment streams are based on notional amounts. The nominal interest payments may be based on either a fixed interest rate or variable interest rate such as the London Interbank Offered Rate (LIBOR). The change in value of swap contracts outstanding, if any, is recorded as unrealized appreciation or depreciation. A realized gain or loss is recorded on maturity or termination of the swap contract. The Funds maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the swap contracts remaining life, to the extent that the amount is positive. This risk is mitigated, for bilateral swap contracts, by having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty.
During the six months ended Sept. 30, 2016, Optimum Fixed Income Fund used inflation swaps to hedge the inflation risk in nominal bonds (i.e., non-inflation-protected bonds) thereby creating synthetic inflation-indexed bonds.
Interest Rate Swaps. An interest rate swap contract is an exchange of interest rates between counterparties. In one instance, an interest rate swap involves payments received by Optimum Fixed Income Fund from another party based on a variable or floating interest rate, in return for making payments based on a fixed interest rate. An interest rate swap can also work in reverse with the Fund receiving payments based on a fixed interest rate and making payments based on a variable or floating interest rate. Interest rate swaps may be used to adjust the Funds sensitivity to interest rates or to hedge against changes in interest rates. Periodic payments on such contracts are accrued daily and recorded as unrealized appreciation (depreciation) on swap contracts. Upon periodic payment (receipt) or termination of the contract, such amounts are recorded as realized gains or losses on swap contracts. The Funds maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the interest rate swap contracts remaining life, to the extent that the amount is positive. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended Sept. 30, 2016, Optimum Fixed Income Fund entered into interest rate swap contracts to manage the Funds sensitivity to interest rates or to hedge against changes in interest rates.
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Fund in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended Sept. 30, 2016, Optimum Fixed Income Fund entered into CDS contracts as a purchaser and seller of protection, as a hedge against credit events. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for central cleared CDS basket trades, as determined by the applicable central counterparty.
As disclosed in the footnotes to the Schedules of investments, at Sept. 30, 2016, the notional value of the protection sold was EUR 4,300,000 and USD 42,700,000, which reflects the maximum potential amount Optimum Fixed Income Fund would have been required to make as a seller of credit protection if a credit event had occurred. In addition to serving as the source of the current value of the securities, the quoted market prices and resulting market values for credit default swap agreements on securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative if the swap agreement has been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount
(continues | ) | 111 |
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
of the swap, represent a deterioration of the reference entitys credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. At Sept. 30, 2016, net unrealized appreciation of the protection sold was $526,351.
CDS contracts may involve greater risks than if Optimum Fixed Income Fund had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Funds maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Fund and the counterparty and by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty and (2) for cleared swaps, trading these instruments through a central counterparty.
During the six months ended Sept. 30, 2016, Optimum Fixed Income Fund used CDS contracts to hedge against credit events, and to gain exposure to certain securities or markets.
Swaps Generally. The value of open swaps may differ from that which would be realized in the event Optimum Fixed Income Fund terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the Schedules of investments.
At Sept. 30, 2016, for bilateral derivative contracts, Optimum Fixed Income Fund posted $1,470,000 in cash collateral for certain open derivatives, which is presented as Cash collateral due from brokers on the Statements of assets and liabilities. Optimum Fixed Income Fund posted $2,470,583 cash and $9,675,486 securities collateral respectively for certain centrally cleared derivatives. Cash collateral is presented as Cash collateral due from brokers on the Statements of assets and liabilities and securities collateral is presented on the Schedules of investments. At Sept. 30, 2016, the Fund received $2,205,000 in cash collateral and $686,100 in securities collateral for certain open derivatives. Cash collateral received is presented as Cash collateral due to brokers on the Statements of assets and liabilities and securities collateral is presented on the Schedules of investments.
Fair values of derivative instruments for Optimum Fixed Income Fund as of Sept. 30, 2016 were as follows:
Asset Derivatives Fair Value | |||||||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts |
Interest rate Contracts |
Credit Contracts |
Total | |||||||||||||||||||||
Unrealized appreciation on foreign currency exchange contracts |
$1,936,479 | $ | $ | $1,936,479 | |||||||||||||||||||||
Variation margin due from broker on futures contracts* |
6,863 | 19,461 | | 26,324 | |||||||||||||||||||||
Variation margin due from broker on swap contracts |
| 1,521,548 | | 1,521,548 | |||||||||||||||||||||
Unrealized appreciation on swap contracts |
| 7,926 | 696,542 | 704,468 | |||||||||||||||||||||
Total |
$1,943,342 | $1,548,935 | $696,542 | $4,188,819 | |||||||||||||||||||||
Liability Derivatives Fair Value | |||||||||||||||||||||||||
Statements of Assets and Liabilities Location | Currency Contracts |
Interest Contracts |
Credit Contracts |
Total | |||||||||||||||||||||
Unrealized depreciation on foreign currency exchange contracts |
$(1,327,432 | ) | $ | $ | $ (1,327,432 | ) | |||||||||||||||||||
Variation margin due to broker on futures contracts* |
(4,752,258 | ) | (272,877 | ) | | (5,025,135 | ) | ||||||||||||||||||
Options written, at value |
| (71,528 | ) | | (71,528 | ) | |||||||||||||||||||
Variation margin due to broker on credit default swap contracts |
| | (33,443 | ) | (33,443 | ) | |||||||||||||||||||
Unrealized depreciation on swap contracts |
| (16,815,381 | ) | (167,738 | ) | (16,983,119 | ) | ||||||||||||||||||
Total |
$(6,079,690 | ) | $(17,159,786 | ) | $(201,181 | ) | $(23,440,657 | ) |
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through Sept. 30, 2016. Only current day variation margin is reported on Optimum Fixed Income Funds Statements of assets and liabilities.
112
The effect of derivative instruments on Optimum Fixed Income Funds Statements of operations for the six months ended Sept. 30, 2016 was as follows:
Net Realized Gain (Loss) on: | ||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts |
Futures Contracts |
Options Purchased |
Options Written |
Swap Contracts |
Total | |||||||||||||||||||||||||
Currency contracts |
$ | (4,641,861 | ) | $ | (264,832 | ) | $ | (7,710 | ) | $ | 826,458 | $ | | $ | (4,087,945 | ) | ||||||||||||||
Equity contracts |
| (831,394 | ) | | | | (831,394 | ) | ||||||||||||||||||||||
Interest rate contracts |
| 1,627,179 | 2,517 | 829,602 | (2,106,373 | ) | 352,925 | |||||||||||||||||||||||
Credit contracts |
| | (432,030 | ) | 50,420 | 29,579 | (352,031 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | (4,641,861 | ) | $ | 530,953 | $ | (437,223 | ) | $ | 1,706,480 | $ | (2,076,794 | ) | $ | (4,918,445 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Net Change in Unrealized Appreciation (Depreciation) of: | ||||||||||||||||||||||||||||||
Foreign Currency Exchange Contracts |
Futures Contracts |
Options Purchased |
Options Written |
Swap Contracts |
Total | |||||||||||||||||||||||||
Currency contracts |
$ | 3,167,073 | $ | (2,031,358 | ) | $ | 7,509 | $ | 141,422 | $ | | $ | 1,284,646 | |||||||||||||||||
Equity contracts |
| 77,415 | | | | 77,415 | ||||||||||||||||||||||||
Interest rate contracts |
| (1,008,695 | ) | 459,323 | (534,114 | ) | (5,222,014 | ) | (6,305,500 | ) | ||||||||||||||||||||
Credit contracts |
| | | (30,903 | ) | 267,506 | 236,603 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 3,167,073 | $ | (2,962,638 | ) | $ | 466,832 | $ | (423,595 | ) | $ | (4,954,508 | ) | $ | (4,706,836 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives generally. The tables below summarize the average balance of derivative holdings by the Funds during the six months ended Sept. 30, 2016.
Long Derivative Volume | ||||||||||||||||
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
|||||||||||||
Foreign currency exchange contracts (average cost) |
USD | 58,624,850 | USD | 917,393 | USD | 0 | USD | 54,828 | ||||||||
Futures contracts |
368,947,251 | | | | ||||||||||||
Options contracts |
193,605 | | | | ||||||||||||
CDS contracts |
EUR | 1,209,805 | | | | |||||||||||
USD | 9,710,703 | | | | ||||||||||||
Inflation swap contracts |
312,500 | | | | ||||||||||||
Interest rate swap contracts |
CAD | 8,149,219 | | | | |||||||||||
GBP | 6,100,000 | | | | ||||||||||||
MXN | 585,567,188 | | | | ||||||||||||
USD | 265,885,000 | | | |
(continues | ) | 113 |
Notes to financial statements
Optimum Fund Trust
5. Derivatives (continued)
Short Derivative Volume | ||||||||||||||||
Optimum Fixed Income Fund |
Optimum International Fund |
Optimum Large Cap Growth Fund |
Optimum Large Cap Value Fund |
|||||||||||||
Foreign currency exchange contracts (average cost) |
USD | 187,477,629 | USD | 1,000,075 | USD | 26,079 | USD | 14,781 | ||||||||
Futures contracts |
1,045,883,648 | | | | ||||||||||||
Options contracts |
378,143 | | | | ||||||||||||
CDS contracts |
EUR | 4,353,906 | | | | |||||||||||
USD | 38,466,602 | | | |
*Long represents buying protection and short represents selling protection.
**Long represents receiving fixed interest payments and short represents paying fixed interest payments.
6. Offsetting
In December 2011, the Financial Accounting Standards Board (FASB) issued guidance that expanded disclosure requirements on the offsetting of certain assets and liabilities. The disclosures are required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset on the Statements of assets and liabilities and require an entity to disclose both gross and net information about such investments and transactions in the financial statements. In January 2013, the FASB issued guidance that clarified which investments and transactions are subject to the offsetting disclosure requirements. The scope of the disclosure requirements for offsetting is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing.
In order to better define its contractual rights and to secure rights that will help the Funds mitigate its counterparty risk, each Fund entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy, or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the Statements of assets and liabilities.
114
At Sept. 30, 2016, Optimum Fixed Income Fund and Optimum International Fund had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Optimum Fixed Income Fund
Counterparty |
Gross Value of Derivative Asset |
Gross Value of Derivative Liability |
Net Position | ||||||||||||
Bank of America Merrill Lynch |
$ | 582,145 | $ | (423,134 | ) | $ | 159,011 | ||||||||
Barclays Bank |
| (224 | ) | (224 | ) | ||||||||||
BNP Paribas |
91,319 | (85,705 | ) | 5,614 | |||||||||||
Citigroup Global Markets |
1,195,289 | (18,525 | ) | 1,176,764 | |||||||||||
Deutsche Bank |
622,175 | (15,494 | ) | 606,681 | |||||||||||
Goldman Sachs |
37,125 | | 37,125 | ||||||||||||
Hong Kong Shanghai Bank |
| (574 | ) | (574 | ) | ||||||||||
JPMorgan Chase Bank |
73,059 | (942,836 | ) | (869,777 | ) | ||||||||||
Morgan Stanley Capital |
379,448 | | 379,448 | ||||||||||||
Toronto Dominion Bank |
25,564 | (11,129 | ) | 14,435 | |||||||||||
UBS |
18,494 | | 18,494 | ||||||||||||
|
|
|
|
|
|
||||||||||
Total |
$ | 3,024,618 | $ | (1,497,621 | ) | $ | 1,526,997 | ||||||||
|
|
|
|
|
|
Optimum Fixed Income Fund
Counterparty |
Net Position |
Fair Value of Non-Cash Collateral Received |
Cash Collateral Received |
Fair Value of Non-Cash Collateral Pledged |
Cash Collateral Pledged |
Net Exposure(a) | ||||||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 159,011 | $ | | $ | | $ | | $ | | $ | 159,011 | ||||||||||||||||||
Barclays Bank |
(224 | ) | | | | | (224 | ) | ||||||||||||||||||||||
BNP Paribas |
5,614 | | (5,614 | ) | | | | |||||||||||||||||||||||
Citigroup Global Markets |
1,176,764 | | (1,176,764 | ) | | | | |||||||||||||||||||||||
Deutsche Bank |
606,681 | | | | | 606,681 | ||||||||||||||||||||||||
Goldman Sachs |
37,125 | | | | | 37,125 | ||||||||||||||||||||||||
Hong Kong Shanghai Bank |
(574 | ) | | | | (574 | ) | |||||||||||||||||||||||
JPMorgan Chase Bank |
(869,777 | ) | | | | 869,777 | | |||||||||||||||||||||||
Morgan Stanley Capital |
379,448 | | (379,448 | ) | | | | |||||||||||||||||||||||
Toronto Dominion Bank |
14,435 | | | | | 14,435 | ||||||||||||||||||||||||
UBS |
18,494 | | | | | 18,494 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 1,526,997 | $ | | $ | (1,561,826 | ) | $ | | $ | 869,777 | $ | 834,948 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(continues | ) | 115 |
Notes to financial statements
Optimum Fund Trust
6. Offsetting (continued)
Optimum International Fund
Counterparty |
Gross Value of Derivative Asset |
Gross Value of Derivative Liability |
Net Position | ||||||||||||
BNY Mellon |
$ | 361 | $ | | $ | 361 | |||||||||
Northern Trust |
2 | (108 | ) | (106 | ) | ||||||||||
State Street Bank |
266 | (208 | ) | 58 | |||||||||||
|
|
|
|
|
|
||||||||||
Total |
$ | 629 | $ | (316 | ) | $ | 313 | ||||||||
|
|
|
|
|
|
Optimum International Fund
Counterparty |
Net Position | Fair Value of Non-Cash Collateral Received |
Cash Collateral Received |
Fair Value of Non-Cash Collateral Pledged |
Cash Collateral Pledged |
Net Exposure(a) | ||||||||||||||||||||||||
BNY Mellon |
$ | 361 | $ | | $ | | $ | | $ | | $ | 361 | ||||||||||||||||||
Northern Trust |
(106 | ) | | | | | (106 | ) | ||||||||||||||||||||||
State Street Bank |
58 | | | | | 58 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | 313 | $ | | $ | | $ | | $ | | $ | 313 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
Repurchase agreements are entered into by a Fund under Master Repurchase Agreements (each, an MRA). The MRA permits a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterpartys bankruptcy or insolvency. Based on the terms of the MRA, a Fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund would recognize a liability with respect to such excess collateral. The liability reflects a Funds obligation under bankruptcy law to return the excess to the counterparty. As of Sept. 30, 2016, the following tables are a summary of each Funds repurchase agreements by counterparty which are subject to offset under an MRA:
Optimum International Fund | |||||||||||||||||||||||||
Counterparty |
Repurchase Agreements |
Fair Value of Non-Cash Collateral Received |
Cash Collateral Received |
Net Collateral Received |
Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 1,017,186 | $ | (1,017,186 | ) | $ | | $ | (1,017,186 | ) | $ | | |||||||||||||
Bank of Montreal |
1,695,310 | (1,695,310 | ) | | (1,695,310 | ) | | ||||||||||||||||||
BNP Paribas |
983,504 | (983,504 | ) | | (983,504 | ) | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total |
$ | 3,696,000 | $ | (3,696,000 | ) | $ | | $ | (3,696,000 | ) | $ | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum Large Cap Growth Fund | |||||||||||||||||||||||||
Counterparty |
Repurchase Agreements |
Fair Value of Non-Cash Collateral Received |
Cash Collateral Received |
Net Collateral Received |
Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 7,073,517 | $ | (7,073,517 | ) | $ | | $ | (7,073,517 | ) | $ | | |||||||||||||
Bank of Montreal |
11,789,194 | (11,789,194 | ) | | (11,789,194 | ) | | ||||||||||||||||||
BNP Paribas |
6,839,289 | (6,839,289 | ) | | (6,839,289 | ) | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total |
$ | 25,702,000 | $ | (25,702,000 | ) | $ | | $ | (25,702,000 | ) | $ | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
116
Optimum Large Cap Value Fund | |||||||||||||||||||||||||
Counterparty |
Repurchase Agreements |
Fair Value of Non-Cash Collateral Received |
Cash Collateral Received |
Net Collateral Received |
Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 2,956,885 | $ | (2,956,885 | ) | $ | | $ | (2,956,885 | ) | $ | | |||||||||||||
Bank of Montreal |
4,928,142 | (4,928,142 | ) | | (4,928,142 | ) | | ||||||||||||||||||
BNP Paribas |
2,858,973 | (2,858,973 | ) | | (2,858,973 | ) | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total |
$ | 10,744,000 | $ | (10,744,000 | ) | $ | | $ | (10,744,000 | ) | $ | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum Small-Mid Cap Growth Fund | |||||||||||||||||||||||||
Counterparty |
Repurchase Agreements |
Fair Value of Non-Cash Collateral Received |
Cash Collateral Received |
Net Collateral Received |
Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 1,772,094 | $ | (1,772,094 | ) | $ | | $ | (1,772,094 | ) | $ | | |||||||||||||
Bank of Montreal |
2,953,491 | (2,953,491 | ) | | (2,953,491 | ) | | ||||||||||||||||||
BNP Paribas |
1,713,415 | (1,713,415 | ) | | (1,713,415 | ) | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total |
$ | 6,439,000 | $ | (6,439,000 | ) | $ | | $ | (6,439,000 | ) | $ | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Optimum Small-Mid Cap Value Fund | |||||||||||||||||||||||||
Counterparty |
Repurchase Agreements |
Fair Value of Non-Cash Collateral Received |
Cash Collateral Received |
Net Collateral Received |
Net Exposure(a) | ||||||||||||||||||||
Bank of America Merrill Lynch |
$ | 209,162 | $ | (209,162 | ) | $ | | $ | (209,162 | ) | $ | | |||||||||||||
Bank of Montreal |
348,603 | (348,603 | ) | | (348,603 | ) | | ||||||||||||||||||
BNP Paribas |
202,235 | (202,235 | ) | | (202,235 | ) | | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
Total |
$ | 760,000 | $ | (760,000 | ) | $ | | $ | (760,000 | ) | $ | | |||||||||||||
|
|
|
|
|
|
|
|
|
|
Reverse repurchase agreements
Borrowed bond agreements, repurchase, reverse repurchase transactions, and treasury roll transactions are entered into by Optimum Fixed Income Fund under MRA which permit the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund. With reverse repurchase transactions, borrowed bond agreements and treasury roll transactions, typically the Fund and the counterparties are permitted to sell, repledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterpartys bankruptcy or insolvency. Pursuant to the terms of the MRA, the Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
(continues | ) | 117 |
Notes to financial statements
Optimum Fund Trust
6. Offsetting (continued)
As of Sept. 30, 2016, the following table is a summary of Optimum Fixed Income Funds open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Optimum Fixed Income Fund | |||||||||||||||||||||||||
Counterparty |
Reverse Repurchase Agreements |
Fair Value of Non-Cash Collateral Received |
Cash Collateral Pledged |
Net Collateral Pledged |
Net Exposure(a) | ||||||||||||||||||||
JPMorgan Chase Securities |
$ | (4,906,125 | ) | $ | 4,906,125 | $ | | $ | 4,906,125 | $ | |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, the Funds use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Funds obligation to repurchase the securities.
Securities Lending
Securities lending transactions are entered into by Optimum International Fund under Master Securities Lending Agreements (each, an MSLA) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterpartys bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral.
As of Sept. 30, 2016, the following table is a summary of Optimum International Funds securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value |
Cash Collateral Received |
Fair value of Non-Cash Collateral Received |
Net Exposure(a) | ||||||||||||||||
The Bank of New York Mellon |
$ | 26,210,316 | $ | (22,201,280 | ) | $ | (4,929,178 | ) | $(920,142) |
(a)Net exposure represents the net receivable (payable) that would be due from (to) the counterparty in the event of default.
7. Securities Lending
Each Fund may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to 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.
118
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 Mellons securities lending program. The Collective Trust sought to maintain a NAV per unit of $1.00.
On Dec. 29, 2015, the assets in the Collective Trust were transferred to a series of individual separate accounts, each corresponding to a Fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by U.S. Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; and asset-backed securities.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Funds or, at the discretion of the lending agent, replace the loaned securities. The Funds continue to record dividends or interest, as applicable, on the securities loaned and are subject to changes in value of the securities loaned that may occur during the term of the loan. The Funds have the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Funds receive loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Funds, the security lending agent, and the borrower. The Funds record security lending income net of allocations to the security lending agent and the borrower.
Each Fund may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of a Funds cash collateral account may be less than the amount a Fund would be required to return to the borrowers of the securities and that Fund would be required to make up for this shortfall.
Investments purchased with cash collateral are presented on the Schedules of investments under the caption Securities Lending Collateral. At Sept. 30, 2016, Optimum Fixed Income Fund, Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund had no securities on loan.
8. Credit and Market Risk
Some countries in which the Funds may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a countrys balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Funds may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Funds.
Optimum Fixed Income Fund invests in high yield fixed income securities, which are securities rated lower than BBB by S&P and lower than Baa3 by Moodys, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Optimum Fixed Income Fund invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Fund will not receive payment of principal, interest and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Fund more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrowers obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Fund may involve revolving credit facilities or other standby financing commitments that obligate the Fund to pay additional cash on a certain date or on demand. These commitments may require the Fund to increase its investment in a company at a time when the Fund might not otherwise decide to do so (including at a time when the companys financial condition makes it unlikely that such amounts will be repaid). To the extent that the Fund is committed to advance
(continues | ) | 119 |
Notes to financial statements
Optimum Fund Trust
additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. As the Fund may be required to rely upon another lending institution to collect and pass on to the Fund amounts payable with respect to the loan and to enforce the Funds rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Fund from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Fund.
Optimum Fixed Income Fund invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction or through a combination of such approaches. The Fund will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Optimum Fixed Income Fund invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the markets perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Funds yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Fund may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
Optimum Small-Mid Cap Growth Fund and Optimum Small-Mid Cap Value Fund invest a significant portion of their assets in small- and mid-sized companies. Investments in small- and mid-sized companies may be more volatile than investments in larger companies for a number of reasons, which include more limited financial resources or a dependence on narrow product lines.
Optimum Large Cap Growth Fund, Optimum Large Cap Value Fund, Optimum Small-Mid Cap Growth Fund, and Optimum Small-Mid Cap Value Fund may invest in REITs and are subject to the risks associated with that industry. If a Fund holds real estate directly as a result of defaults or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended Sept. 30, 2016. The Funds REIT holdings are also affected by interest rate changes, particularly if the REITs they hold use floating rate debt to finance their ongoing operations.
Each Fund may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933 (the Act), as amended, and other securities which may not be readily marketable. The Funds may also invest in securities exempt from registration under Section 4(a)(2) of the Act, which exempts from registration transactions by an issuer not involving any public offering. The relative illiquidity of these securities may impair the Funds from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Trusts Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Funds limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Funds 15% limit on investments in illiquid securities. Rule 144A and illiquid securities have been identified on the Schedules of investments. When monitoring compliance with the Funds illiquid limit, certain holdings that are common to multiple clients of the investment manager may be aggregated and considered illiquid in the aggregate solely for monitoring purposes. For purposes of determining illiquidity for financial reporting purposes, only the holdings of these Funds will be considered.
9. Contractual Obligations
Each Fund enters into contracts in the normal course of business that contain a variety of indemnifications. Each Funds maximum exposure under these arrangements is unknown. However, each Fund has not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds existing contracts and expects the risk of loss to be remote.
120
10. General Motors Term Loan Litigation
Optimum Fixed Income Fund received notice of a litigation proceeding related to a General Motors Corporation (G.M.) term loan participation previously held by the Fund in 2009. We believe the matter subject to the litigation notice will likely lead to a recovery from the Fund of certain amounts received by the Fund because a U.S. Court of Appeals has ruled that the Fund and similarly situated investors were unsecured creditors rather than secured lenders of G.M. as a result of an erroneous Uniform Commercial Code filing made by a third party. The Fund received the full principal on the loans in 2009 after the G.M. bankruptcy. However, based upon the court ruling the estate is seeking to recover such amounts arguing that, as unsecured creditors, the Fund should not have received payment in full. Based upon currently available information related to the litigation and the Funds potential exposure, the Fund recorded a liability of $1,385,788 and an asset of $415,736 based on the expected recoveries to unsecured creditors as of Sept. 30, 2016 that resulted in a net decrease in the Funds NAV to reflect this likely recovery.
11. Subsequent Events
On Oct. 13, 2016, Rothschild Asset Management Inc. (Rothschild) replaced Herndon as a sub-advisor to Optimum Large Cap Value Fund.
Management has determined that no other material events or transactions occurred subsequent to Sept. 30, 2016 that would require recognition or disclosure in the Funds financial statements.
(continues | ) | 121 |
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 21-22, 2016
At a meeting held Sept. 21-22, 2016, the Board of Trustees (the Board or Trustees), including a majority of non-interested or Independent Trustees, approved: (i) the renewal of the Investment Management Agreement between Delaware Management Company (DMC or Management) and Optimum Fund Trust (the Trust), on behalf of each of the six separate series within the Trust (each, a Fund or collectively, the Funds); (ii) approved a new Sub-Advisory Agreement between DMC and Rothschild Asset Management Inc. (Rothschild) to replace Herndon Capital Management LLC (Herndon) as a sub-adviser to Optimum Large Cap Value Fund, effective on or about October 7, 2016; and (iii) approved the continuation of Sub-Advisory Agreements for the existing sub-advisers of all the Funds, limited in the case of Herndon until its replacement by Rothschild.
In reaching such decisions, the Board took into account information furnished and discussed throughout the year at quarterly Board meetings, as well as information furnished specifically for the renewal reviews conducted at the Sept. 21-22, 2016 Board meeting. Information furnished at Board meetings throughout the year included an analysis by DMC (with the assistance of its consultant, LPL Financial LLC (LPL)) of the investment performance of each Fund and its sub-adviser(s), presentations given to the Board by portfolios managers from DMC and each sub-adviser on a rotating basis, and compliance reports and related certifications furnished in regards to DMC and each sub-adviser. Material furnished specifically in connection with the renewals included: a memorandum from DMC discussing and analyzing the performance of each Fund and its respective sub-adviser(s); information on the fees charged by DMC and each sub-adviser showing their competitiveness with those charged by them to other comparable investment companies or accounts; copies of the Investment Management and Sub-Advisory Agreements; a due diligence report describing various material items in relation to the personnel, organization and policies of DMC and the sub-advisers; and information on the fees received and other benefits realized by DMC (and its affiliates) and the sub-advisers in performing services for the Funds, as well as the revenues and expenses incurred by DMC and its affiliates in performing such services. Information furnished specifically in connection with the renewal process also included a report for each Fund prepared by Lipper Inc., an independent third-party analyst and subsidiary of Broadridge Inc. (Lipper), comparing, among other things, each Funds investment performance and various expenses with those of other mutual funds deemed comparable by Lipper (Lipper Report).
In reaching its decision with respect to the Sub-Advisory Agreement with Rothschild, the Board considered and reviewed information about Rothschild, including its personnel, operations and financial condition, which had been provided by Rothschild. The Board also reviewed material furnished by DMC (with the assistance of LPL), including: a memorandum from DMC reviewing the Sub-Advisory Agreement with, and the various services proposed to be rendered by, Rothschild; research and analysis supporting DMCs recommendation to hire Rothschild for Optimum Large Cap Value Fund; a description of the proposed sub-advisory fees under the Sub-Advisory Agreement with Rothschild, along with fees that Rothschild charges to other comparable accounts; information concerning Rothschilds organizational structure and the experience of its investment management personnel; a due diligence report describing various material items in relation to Rothschilds personnel, organization and policies; copies of Rothschilds Form ADV, compliance policies and procedures and its Code of Ethics; and a copy of the Sub-Advisory Agreement with Rothschild.
In considering such materials, the Independent Trustees received assistance and advice from and met separately with independent counsel. In this regard, the Independent Trustees reviewed with independent counsel their legal duties and obligations in connection with the approval and/or renewal of investment management and other agreements with DMC, its affiliates and the sub-advisers and discussed, in detail, the matters related to such approvals. The materials prepared by Management specifically in connection with the approval of the Agreements were provided to the Independent Trustees in advance of the Board Meetings. While the Investment Management Agreement and related Sub-Advisory Agreements for all Funds (including the Sub-Advisory Agreement for Rothschild) were considered at this Meeting, the Board dealt with each Fund separately. While attention was given to all information furnished, the following discusses some primary factors relevant to the Boards decisions. This discussion of the information and factors considered by the Board (as well as the discussion above) is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, Extent, and Quality of Services. Following discussions in this regard, the Trustees were satisfied with the nature, extent and quality of the services provided by DMC and its affiliates to each of the Funds. The Boards view was based upon factors such as the background and experience of the executives and other Management personnel involved in the Funds operations (including Management personnel who had recently joined the firm), the quality and thoroughness of the monitoring of each Funds investment performance, reports
122
furnished by DMC as to adherence with various compliance and procedural matters, such as the Code of Ethics and fair value pricing, the monitoring of various service providers to the Funds, and DMCs success in obtaining meaningful information on a timely basis from each of the Funds sub-advisers. Particular attention was given to the analysis involved in the review of sub-adviser performance for each Fund, including the complementary nature of investment strategies employed by the sub-advisers (and DMC with respect to Optimum Fixed Income Fund) to each of the Funds.
The nature of the services provided by the existing sub-advisers to each Fund was considered primarily in respect to the investment performance of the Funds as described further in the Investment Performance section below. The Board also considered the adherence by each sub-adviser (and DMC with respect to Optimum Fixed Income Fund) with the investment policies and restrictions of the Funds advised, as well as their adherence to various compliance and other procedures based on personal presentations made by the sub-advisers portfolio managers (and DMCs portfolio managers with respect to Optimum Fixed Income Fund) and reports of Managements discussions with the sub-advisers, as well as certificates and materials furnished in connection with Board meetings and the contract renewals.
In considering the nature, extent and quality of the services to be provided by Rothschild, the Board reviewed the services to be provided by Rothschild pursuant to its Sub-Advisory Agreement, noting specifically that the Sub-Advisory Agreement with Rothschild contains substantially similar provisions to those in the Sub-Advisory Agreement of Herndon, except for the provisions relating to the fees. The Board reviewed materials provided by Rothschild regarding the experience and qualifications of the personnel who will be responsible for managing the portion of Optimum Large Cap Value Fund to be subadvised by Rothschild. The Board also placed weight on the performance of a representative Rothschild portfolio that utilized the investment process and parameters that would be employed by Rothschild with respect to its portion of Optimum Large Cap Value Fund (the Rothschild Account). The Board also considered that Rothschild would co-manage the Fund with Massachusetts Financial Services Company (MFS). In this regard, the Board considered the compatibility of the two sub-advisers investment philosophies and methodologies that they would each employ for the Fund.
Based upon these considerations, the Board was satisfied with the nature and quality of the overall services to be provided by the existing sub-advisers and Rothschild to each Fund and its shareholders and was confident in the abilities of the existing sub-advisers and Rothschild to provide quality services to the Funds and their shareholders.
Investment Performance. The Board placed significant emphasis on the investment performance of each Fund. While consideration was given to performance reports and discussions held throughout the year (including a detailed discussion of the investment performance of each Fund and its sub-advisers contained in a memorandum from DMC provided to the Board prior to the Sept. 21-22, 2016 meeting), particular attention in assessing performance was given to the Lipper Reports furnished in connection with the contract renewals. The Lipper Reports prepared for each individual Fund showed the annualized total return investment performance of its Institutional Class shares in comparison with a Performance Universe selected by Lipper for the 1-year period ended June 30, 2016, as well as the 3-, 5-, and 10-year periods ended on that date. In addition, the Board reviewed calendar year returns for each of the Funds sub-advisers. The Trustees also compared Fund performance to other industry benchmarks, including measures of risk-adjusted performance of a Fund, as part of their evaluation of investment performance. In regards to the appointment of Rothschild for Optimum Large Cap Value Fund, the Board also reviewed the performance of the Rothschild Account. The following summarizes the performance results for each Fund and the Boards view of such performance.
Optimum Fixed Income Fund The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional core plus bond funds as selected by Lipper. The Lipper Report showed the Funds investment performance to be in the lowest performing quintile of its Lipper Performance Universe for the 1-year period, and on an annualized basis in the lowest performing quintile of its Performance Universe for the 3- and 5-year periods, and on an annualized basis in the middle performing quintile of its Performance Universe for the previous 10-year period. The Board discussed with Management the reasons for the Funds relative underperformance. It was noted that one of the primary reasons for the Funds underperformance over recent years has been the Funds exposure to low duration fixed income securities. These low duration portions of the Funds portfolio have done relatively well versus indices which track these type of securities, but such low duration securities have not performed as well versus the Funds benchmark and peers. Given that the Fund had demonstrated a good performance track record over the longer, 10-year period, the Trustees found such overall comparative results to be acceptable given that the low duration portions of the Funds portfolio had hindered more recent performance results.
Optimum International Fund The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional international multi-cap growth funds as selected by Lipper. The Lipper Report showed the Funds investment performance to be in the second highest performing quintile of its Performance Universe for the 1-year period, and on an annualized basis to be in the lowest performing quintile of its Performance Universe for the 3-year and 10-year periods, and the second lowest quintile of its Performance Universe for the
(continues | ) | 123 |
Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 21-22, 2016 (continued)
5-year period. The Board discussed with Management the reasons for the Funds relative underperformance. It was noted that Earnest Partners, LLC (EARNEST) and Acadian Asset Management LLC (Acadian) had been appointed as the Funds new sub-advisers over the past few years, and that the Funds recent performance returns (including the 1-year returns noted above) had been encouraging and showed performance improvement. While the Trustees were not satisfied with the Funds overall comparative performance noted in the Lipper Report, they believed Management was taking appropriate actions to improve performance, noting the recent appointments of both EARNEST and Acadian as sub-advisers to the Fund and the Funds recent, improved performance.
Optimum Large Cap Growth Fund The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional large-cap growth funds as selected by Lipper. The Lipper Report showed the Funds investment performance to be in the second lowest performing quintile of its Lipper Performance Universe for the 1-year period, and on an annualized basis to be in the second highest performing quintile of the Performance Universe for the 3- and 5-year periods, and the middle performing quintile for the 10-year period. The Board discussed with Management the reasons for the relative underperformance for the 1-year period. While noting such discussions, the Trustees found such overall comparative results to be satisfactory.
Optimum Large Cap Value Fund The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional large-cap core funds as selected by Lipper. The Lipper Report showed the Funds investment performance to be in the second lowest performing quintile of its Lipper Performance Universe for the 1-year period, and on an annualized basis to be in the lowest performing quintile of its Lipper Universe for each of the 3-, 5-, and 10-year periods. The Trustees discussed with Management the reasons for the relative underperformance for the Fund. The Board was not satisfied with such comparative performance. The Trustees also reviewed a combination analysis showing various performance metrics that would have resulted from combining the performance of the Rothschild Account with the performance of MFS over various time periods measured in several different ways. In connection with this combination analysis, Management noted that Rothschilds approach to investing in securities balances security valuation, expectational upside, and quality, and Management believed that Rothschilds investment philosophy would make an attractive pairing with MFSs investment strategy. Although the Board was not satisfied with the historical comparative performance for the Fund, the Board believed that Management was taking appropriate actions to improve performance, noting its recommendation to appoint Rothschild as a sub-adviser to the Fund to replace Herndon.
Optimum Small-Mid Cap Growth Fund The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small-cap growth funds as selected by Lipper. The Lipper Report showed the Funds investment performance to be in the second lowest performing quintile of its Lipper Performance Universe for the 1-year period, and on an annualized basis to be in the lowest performing quintile of such Universe for the previous 3-, 5-, and 10-year periods. The Trustees discussed with Management the reasons for the Funds relative underperformance and the steps recently taken to improve such performance. In particular, the Trustees and Management discussed the appointments earlier in 2016 of Columbus Circle Investors (CCI) and Peregrine Capital Management, Inc. (Peregrine) as sub-advisers to the Fund to replace the Funds two prior sub-advisers. The Trustees noted that both CCI and Peregrine had performed well since their appointments to the Fund and that the Funds overall performance results had steadily improved in recent months. Although the Board was not satisfied with the historical comparative performance of the Fund, the Board believed that Management was taking appropriate actions to improve performance, noting the recent appointments of CCI and Peregrine as sub-advisers to the Fund.
Optimum Small-Mid Cap Value Fund The Lipper Performance Universe for this Fund consisted of the Fund and all retail and institutional small-cap core funds as selected by Lipper. The Lipper Report showed the Funds investment performance to be in the lowest performing quintile of its Lipper Performance Universe for the 1-year period, and on an annualized basis to also be in the lowest performing quintile of such Universe for the 3-, 5-, and 10-year periods. The Trustees discussed with Management the reasons for the Funds relative underperformance and the steps recently taken to improve such performance. In particular, the Trustees and Management discussed the appointment earlier in 2016 of LSV Asset Management (LSV) as a sub-adviser to the Fund to replace two of the Funds prior sub-advisers. The Trustees noted that LSV had performed very well since their appointment to the Fund and that the Funds overall performance results had steadily improved in recent months. Although the Board was not satisfied with the historical comparative performance for the Fund, the Board believed that Management was taking appropriate actions to improve performance, noting the appointment of LSV as a new sub-adviser to the Fund.
Comparative Expenses. In considering the appropriateness of the investment management fees charged to the Funds, the Board also reviewed and considered the investment management fees in light of the nature, extent and quality of the investment management services provided, and to be provided, by DMC and each sub-adviser, as more fully discussed above. The Board noted that the sub-advisory fees are paid by DMC to each sub-adviser and are not additional fees borne by the Funds. The Board also noted that the sub-advisory fees paid, and to be
124
paid, by DMC to each sub-adviser were the product of arms-length negotiations between DMC and each sub-adviser, and the Board considered the allocation of the investment management fees charged to the Funds between DMC and each sub-adviser in light of the nature, extent and quality of the investment management services provided, and to be provided by, DMC and each sub-adviser. The Trustees considered various other products, portfolios and entities that are advised by DMC and each sub-adviser, as well as their relative fees and reasons for differences with respect thereto and any potential conflicts of interest.
Attention was also given to a comparative analysis of each Funds Institutional Class share expenses, including investment management fees, in comparison to a group of other multi-advised institutional funds constituting its Lipper Expense Group. Lipper expense data is based upon information for the twelve months covered by each funds most recent annual report which reflects historical asset levels which may be quite different from those currently existing, particularly in a period of market volatility. While recognizing such inherent limitations and the fact that expense ratios generally increase as assets decline and decrease as assets grow, the Trustees believed that the independent analysis conducted by Lipper remained an appropriate measure of comparative expenses. The Lipper Report showed the actual total expenses and investment management fees (taking into account expense waivers) of each Fund to be the highest or towards the highest in its respective Lipper Expense Group. The Lipper Report also provided information on the actual total expenses (taking into account expense waivers) for each Fund versus a broader Lipper Expense Universe. This portion of the Lipper Report showed that the Funds actual total expense percentile rankings versus the Lipper Expense Universe materially improved as compared to the Funds rankings versus the Lipper Expense Group.
In regards to considering the appropriateness of the sub-advisory fees to be charged by Rothschild on Optimum Large Cap Value Fund, the Board was provided with a description of the fees to be charged by Rothschild under its Sub-Advisory Agreement for the Fund, which showed them to be slightly higher than the sub-advisory fees charged by Herndon under its respective Sub-Advisory Agreement at the Funds current amount of assets under management. The Board discussed the impact that the differences in such sub-advisory fees would have on DMCs profitability for the Fund. The Board also was provided with information showing that Rothschilds sub-advisory fees for the Fund were competitive with those charged by Rothschild to other comparable investment companies or accounts it advises, and was informed by Management that Rothschilds fees for the Fund were competitive with fees of other investment managers being considered as possible sub-advisers to the Fund. The Board also noted that the management fee paid by the Fund to DMC would stay the same at current asset levels.
The Trustees noted that DMC, since inception, had waived fees to the extent necessary to keep expenses of each Fund from exceeding certain percentage amounts, and that the Trustees had also previously discussed in detail the current cap on expenses in effect for each Fund through July 29, 2017. The Trustees also noted that Management had in recent years agreed to a restructuring and overall reduction in fees charged to the Funds through several mechanisms: a lowering of the Funds fees by service providers affiliated with DMC that was fully completed on January 1, 2014; a reduction in sub-transfer agent fees paid by each Fund as a result of the change to omnibus shareholder accounting for the accounts LPL maintains in the Funds effective on November 1, 2013; and Management agreeing to a framework for providing additional expense waivers for the Funds as appropriate to the extent combined assets of the Funds are above $4.2 billion on an annual basis. In addition to the foregoing fee restructuring, and as requested by the Board, Management agreed to provide a proposal at the December 2016 Board meeting to reduce the Funds expenses going forward. While intending to continuously monitor the fee structure of each Fund, the Trustees found the expense structure of each Fund to be acceptable in view of the nature and structure of Fund operations, and Managements cap on expenses, and taking into account possible future savings resulting from the aforementioned fee restructurings.
DMCs Profitability; Economies of Scale. Based on the asset size of each Fund and the reimbursement and/or waiver of expenses by DMC, as well as other profitability information furnished to them by DMC, the Trustees did not believe that the level of profit being realized by DMC and its affiliates from services provided to any of the Funds was excessive. Trustees were also given the information made available by the sub-advisers on profits being realized by sub-advisers in relation to the services being provided to the Funds or in relation to the sub-advisers overall investment advisory business, but believed such information to be of limited relevance since the fees paid to the sub-advisers were the product of arms-length negotiations between DMC and each sub-adviser. The Board also took into account Managements expenditures in improving shareholder services provided to the Funds, as well as the need to meet regulatory and compliance requirements resulting from the Sarbanes-Oxley Act of 2002, the Dodd-Frank Act and recent SEC and other regulatory requirements. The Board was also provided with information on potential fall-out benefits derived or to be derived by DMC and its affiliates or the sub-advisers (including Rothschild) in connection with their relationship to the Funds, such as the fees received for non-investment management services provided to the Funds by certain affiliates of DMC, soft dollar arrangements, and commissions paid to affiliated broker-dealers. The Trustees recognized that as the Funds get larger at some point, economies of scale may result in DMC realizing a larger profit margin on management services provided to a Fund. The Trustees also noted that economies of scale are shared with a Fund and its shareholders through investment management fee breakpoints so that as a Fund grows in size, its effective investment management fee rate declines. Optimum Small-Mid Cap Growth Fund has a fixed
(continues | ) | 125 |
Other Fund information
(Unaudited)
Optimum Fund Trust
Board Consideration of Optimum Fund Trust Investment Management and Sub-Advisory Agreements at Meeting Held September 21-22, 2016 (continued)
investment management fee of 1.1% at all asset levels without breakpoints, but the Board noted that the actual investment management fee charged the Fund was reduced as a result of Management expense caps. It was also noted that Managements proposal to reduce the Funds expenses, which is to be presented at the December 2016 Board meeting, would likely include additional breakpoints in Optimum Small-Mid Cap Growth Funds investment management fee schedule. The investment management fee schedules for all the other Funds contained breakpoints. The Board considered that the asset size of Optimum International Fund and Optimum Small-Mid Cap Value Fund, as of June 30, 2016, exceeded the last fee breakpoint under their respective investment management agreements. The Trustees noted, however, that the actual investment management fees charged these two Funds were also limited as a result of Management expense caps, and it was also noted that Managements proposal to reduce the Funds expenses, which is to be presented at the December 2016 Board meeting, would likely include additional breakpoints in each of these Funds investment management fee schedules.
126
This semiannual report is for the information of Optimum Fund Trust shareholders, but it may be used with prospective investors when preceded or accompanied by a current prospectus for Optimum Fund Trust and the fact sheet for the most recently completed calendar quarter. The prospectus sets forth details about charges, expenses, investment objectives, and operating policies of the investment company. You should read the prospectus carefully before you invest. The figures in this report represent past results that are not a guarantee of future results. The return and principal value of an investment in the investment company will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
Board of trustees
Dan H. Arnold
President LPL Financial LLC
Shawn K. Lytle
President Delaware Investments Philadelphia, PA
Robert J. Christian
Private Investor
Durant Adams Hunter
Managing Partner Ridgeway Partners
Pamela J. Moret
Private Investor
Stephen Paul Mullin
President Econsult Solutions, Inc.
Robert A. Rudell
Private Investor
Jon Edward Socolofsky
Private Investor |
Affiliated officers
David F. Connor
Senior Vice President, General Counsel, and Secretary Optimum Fund Trust Philadelphia, PA
Daniel V. Geatens
Vice President and Treasurer Optimum Fund Trust Philadelphia, PA
Richard Salus
Senior Vice President and Chief Financial Officer Optimum Fund Trust Philadelphia, PA |
Contact information
Investment manager
Delaware Management Company, a series of Delaware Management Business Trust Philadelphia, PA
National distributor
Delaware Distributors, L.P. Philadelphia, PA
Shareholder servicing, dividend disbursing, and transfer agent
Delaware Investments Fund Services Company 2005 Market Street Philadelphia, PA 19103-7094
For shareholders
800 914-0278
For securities dealers and financial institutions representatives only
800 362-7500
Website
optimummutualfunds.com | ||
Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Forms N-Q. Each Funds Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities and the Schedules of Investments included in the Funds most recent Forms N-Q are available without charge (i) upon request, by calling 800 914-0278; (ii) on the Funds website at optimummutualfunds.com; and (iii) on the SECs website at sec.gov. Each Funds Forms N-Q may be reviewed and copied at the SECs Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330. | ||||
Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Funds website at optimummutualfunds.com; and (ii) on the SECs website at sec.gov. |
127 |
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
PwC has informed the Trust that it has identified an issue related to its independence under Rule 2-01(c)(1)(ii)(A) of Regulation S-X (referred to as the Loan Rule). The Loan Rule prohibits accounting firms, such as PwC, from being considered independent if they have certain financial relationships with their audit clients or certain affiliates of those clients. The Trust is required under various securities laws to have its financial statements audited by an independent accounting firm. PwC has informed the Trust that PwC has relationships with lenders who hold or own more than ten percent of the shares of certain funds within the Trust. These relationships call into question PwCs independence under the Loan Rule with respect to those funds, as well as all other funds in the complex. The SEC has granted no-action relief to another fund complex in circumstances that appear to be substantially similar to the Trusts (see Fidelity Management & Research Company et al., No-Action Letter (June 20, 2016)). In addition, PwC has advised the Trusts Audit Committee that PwC believes that under the facts and circumstances surrounding PwCs lending relationships, its ability to exercise objective and impartial judgment in connection with its audit engagement with the Trust has not been impaired and that a reasonable investor with knowledge of all relevant facts and circumstances would reach the same conclusion. If in the future, however, the independence of PwC is called into question under the Loan Rule by circumstances that are not addressed in the SECs no-action letter, the Trust will need to take other action in order for the Trusts filings with the SEC containing financial statements to be deemed compliant with applicable securities laws. Finally, the SEC has indicated that its no-action relief will expire 18 months from its issuance, after which PwC and the Trust will no longer be able rely on the letter unless its term is extended or made permanent by the SEC Staff.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrants principal executive officer and principal financial officer have evaluated the registrants 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 registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by the report to stockholders included herein (i.e., the registrants second fiscal quarter) that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Exhibits
(a) (1) Code of Ethics
Not applicable.
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
OPTIMUM FUND TRUST
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer | |
Date: | December 5, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer | |
Date: | December 5, 2016 |
/s/ RICHARD SALUS | ||
By: | Richard Salus | |
Title: | Chief Financial Officer | |
Date: | December 5, 2016 |
EXHIBIT 99.CERT
CERTIFICATION
I, Shawn K. Lytle, certify that:
1. | I have reviewed this report on Form N-CSR of Optimum Fund Trust; | |||
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |||
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |||
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: | |||
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | |||
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |||
(c) | evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and | |||
(d) | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and | |||
5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): | |||
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and | |||
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: December 5, 2016
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer |
CERTIFICATION
I, Richard Salus, certify that:
1. | I have reviewed this report on Form N-CSR of Optimum Fund Trust; | |||
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |||
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |||
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: | |||
(a) | designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | |||
(b) | designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | |||
(c) | evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and | |||
(d) | disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and | |||
5. | The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): | |||
(a) | all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and | |||
(b) | any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: December 5, 2016
/s/ RICHARD SALUS | ||
By: | Richard Salus | |
Title: | Chief Financial Officer |
EXHIBIT 99.906CERT
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
In connection with the attached report of the registrant on Form N-CSR to be filed with the Securities and Exchange Commission (the Report), each of the undersigned officers of the registrant does hereby certify, to the best of such officers knowledge, that:
1. | The Report fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934; and | |
2. | The information contained in the Report fairly represents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented in the Report. |
Date: December 5, 2016
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer |
/s/ RICHARD SALUS | ||
By: | Richard Salus | |
Title: | Chief Financial Officer |
A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act, or other document authenticating, acknowledging, or otherwise adopting the signatures that appear in typed form within the electronic version of this written statement required by Section 906, has been provided to the registrant and will be retained by the registrant and furnished to the SEC or its staff upon request.