N-Q 1 a_aaequityfunds.htm PUTNAM FUNDS TRUST a_aaequityfunds.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT 
INVESTMENT COMPANY
 
Investment Company Act file number: (811-07513)   
 
Exact name of registrant as specified in charter:  Putnam Funds Trust 
 
Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109 
 
Name and address of agent for service:  Beth S. Mazor, Vice President 
  One Post Office Square 
  Boston, Massachusetts 02109 
 
Copy to:    John W. Gerstmayr, Esq. 
  Ropes & Gray LLP 
  800 Boylston Street 
  Boston, Massachusetts 02199-3600 
 
Registrant’s telephone number, including area code:  (617) 292-1000 
 
Date of fiscal year end: May 31, 2011     
 
Date of reporting period: February 28, 2011     

 

Item 1. Schedule of Investments:


Putnam Asset Allocation: Equity Portfolio
The fund's portfolio
2/28/11 (Unaudited)

COMMON STOCKS (90.0%)(a)     
  Shares  Value 
 
Advertising and marketing services (0.4%)     
Nu Skin Enterprises, Inc. Class A  129  $4,118 
Omnicom Group, Inc.  2,807  142,876 
ValueClick, Inc. (NON)  124  1,851 
    148,845 
 
Aerospace and defense (1.0%)     
Lockheed Martin Corp.  1,794  142,013 
Raytheon Co.  2,798  143,286 
United Technologies Corp.  376  31,411 
    316,710 
 
Agriculture (0.1%)     
Andersons, Inc. (The)  458  22,002 
Austevoll Seafood ASA (Norway)  745  5,919 
HQ Sustainable Maritime Industries, Inc. (NON)  287  1,174 
Pescanova SA (Spain)  162  6,172 
    35,267 
 
 
Airlines (0.6%)     
Aeroflot - Russian Airlines OJSC (Russia)  7,176  17,940 
Alaska Air Group, Inc. (NON)  160  9,512 
Qantas Airways, Ltd. (Australia) (NON)  24,790  59,437 
Turk Hava Yollari (Turkey) (NON)  4,836  13,560 
United Continental Holdings, Inc. (NON)  4,249  102,146 
US Airways Group, Inc. (NON)  296  2,549 
    205,144 
 
Automotive (0.9%)     
Kia Motors Corp. (South Korea)  768  39,204 
NGK Spark Plug Co., Ltd. (Japan)  1,000  14,973 
Peugeot SA (France) (NON)  1,910  76,494 
Sinotruk Hong Kong, Ltd. (China)  10,000  9,600 
Suzuki Motor Corp. (Japan)  1,800  42,710 
Tata Motors, Ltd. (India)  728  17,497 
Tesla Motors, Inc. (NON)  89  2,126 
TRW Automotive Holdings Corp. (NON)  937  53,222 
Valeo SA (France) (NON)  557  34,674 
Volkswagen AG (Preference) (Germany)  43  7,294 
    297,794 
 
Banking (6.0%)     
Australia & New Zealand Banking Group, Ltd. (Australia)  4,254  105,028 
Banca Intesa SpA RSP (Italy)  7,065  20,693 
Banca Monte dei Paschi di Siena SpA (Italy) (NON)  14,695  19,594 
Banco Bradesco SA ADR (Brazil)  3,447  67,492 
Banco Latinoamericano de Exportaciones SA Class E     
(Panama)  440  7,392 
Banco Popolare SC (Italy)  5,242  18,306 
Bank of America Corp.  8,108  115,863 
Bank of the Ozarks, Inc.  223  9,600 
Bank Rakyat Indonesia (Indonesia)  40,000  21,450 
Barclays PLC (United Kingdom)  16,763  87,223 
BNP Paribas SA (France)  1,054  82,315 
China Construction Bank Corp. (China)  30,000  26,233 
Chongqing Rural Commercial Bank Co., Ltd. (China) (NON)  14,000  10,930 
Chuo Mitsui Trust Holdings, Inc. (Japan)  9,000  38,459 
Citigroup, Inc. (NON)  11,231  52,561 
Community Bank System, Inc.  194  4,881 
Danske Bank A/S (Denmark) (NON)  1,860  43,697 
Fifth Third Bancorp  4,177  60,984 
Financial Institutions, Inc.  263  5,073 
First Financial Bancorp  305  5,164 
Flushing Financial Corp.  451  6,458 
Grupo Financiero Banorte SAB de CV (Mexico)  4,002  18,156 
Home Bancshares, Inc.  200  4,506 
HSBC Holdings PLC (London Exchange) (United Kingdom)  1,442  15,905 
Hudson City Bancorp, Inc.  8,717  100,246 
Huntington Bancshares, Inc.  6,770  46,307 
Industrial & Commercial Bank of China, Ltd. (China)  99,000  76,258 
Industrial Bank of Korea (IBK) (South Korea)  1,690  25,369 
International Bancshares Corp.  320  6,109 
Intesa Sanpaolo SpA (Italy)  27,671  93,347 
JPMorgan Chase & Co.  3,381  157,859 
Kasikornbank PCL NVDR (Thailand)  4,500  17,425 
Lloyds Banking Group PLC (United Kingdom) (NON)  86,348  87,036 
Mediobanca SpA (Italy)  3,389  35,879 
Merchants Bancshares, Inc.  124  3,162 
Metro Bancorp, Inc. (NON)  202  2,477 
Orrstown Financial Services, Inc.  114  3,135 
Park National Corp.  42  2,765 
PNC Financial Services Group, Inc.  2,513  155,052 
Popular, Inc. (Puerto Rico) (NON)  1,048  3,406 
Republic Bancorp, Inc. Class A  96  1,645 

 


Sberbank OJSC (Russia) (NON)  22,596  79,990 
Southside Bancshares, Inc.  234  5,338 
Suffolk Bancorp  122  2,512 
UniCredito Italiano SpA (Italy)  21,018  54,048 
Virginia Commerce Bancorp Inc. (NON)  659  3,888 
Wells Fargo & Co.  3,698  119,297 
Westpac Banking Corp. (Australia)  2,049  49,378 
    1,979,891 
 
Basic materials (0.2%)     
African Rainbow Minerals, Ltd. (South Africa)  776  23,478 
AMCOL International Corp.  232  7,241 
Avalon Rare Metals, Inc. (Canada) (NON)  662  4,942 
Canada Lithium Corp. (Canada) (NON)  2,411  3,352 
China Rare Earth Holdings, Ltd. (China) (NON)  4,000  1,795 
Extract Resources, Ltd. (Australia) (NON)  127  1,203 
Galaxy Resources, Ltd. (Australia) (NON)  974  1,447 
General Moly, Inc. (NON)  319  1,672 
Great Western Minerals Group, Ltd. (Canada) (NON)  3,000  2,749 
Greenland Minerals & Energy, Ltd. (Australia) (NON)  1,097  1,459 
Lynas Corp., Ltd. (Australia) (NON)  2,777  5,598 
MagIndustries Corp. (Canada) (NON)  3,823  787 
Metminco, Ltd. (Australia) (NON)  3,619  1,420 
Neo Material Technologies, Inc. (Canada) (NON)  300  2,663 
Noront Resources, Ltd. (Canada) (NON)  1,446  1,161 
Orocobre, Ltd. (Australia) (NON)  637  1,904 
Paladin Energy, Ltd. (Australia) (NON)  421  2,147 
STR Holdings, Inc. (NON)  137  2,481 
    67,499 
 
Beverage (1.2%)     
Akasha Wira International Tbk PT (Indonesia) (NON)  5,500  649 
Coca-Cola Co. (The)  1,852  118,380 
Coca-Cola Hellenic Bottling Co. SA (Greece)  901  24,550 
Dr. Pepper Snapple Group, Inc.  3,372  121,594 
Heckmann Corp. (NON)  1,351  7,728 
Heineken Holding NV (Netherlands)  471  21,636 
PepsiCo, Inc.  1,305  82,763 
Synergy Co. (Russia) (NON)  673  28,784 
    406,084 
 
Biotechnology (0.8%)     
AMAG Pharmaceuticals, Inc. (NON)  231  4,253 
Amylin Pharmaceuticals, Inc. (NON)  137  2,096 
Auxilium Pharmaceuticals, Inc. (NON)  157  3,528 
BioMarin Pharmaceuticals, Inc. (NON)  132  3,229 
Complete Genomics, Inc. (NON) (S)  688  5,022 
Cubist Pharmaceuticals, Inc. (NON)  130  2,851 
Dendreon Corp. (NON)  93  3,124 
Enzon Pharmaceuticals, Inc. (NON)  396  4,229 
Gilead Sciences, Inc. (NON)  4,197  163,599 
Human Genome Sciences, Inc. (NON)  235  5,882 
Illumina, Inc. (NON)  485  33,659 
Ironwood Pharmaceuticals, Inc. (NON)  171  2,091 
Momenta Pharmaceuticals, Inc. (NON)  117  1,624 
Pacific Biosciences of California, Inc. (NON)  674  10,609 
Sequenom, Inc. (NON)  506  3,107 
United Therapeutics Corp. (NON)  89  6,001 
Vanda Pharmaceuticals, Inc. (NON)  296  2,179 
Viropharma, Inc. (NON)  566  10,148 
    267,231 
 
Broadcasting (0.3%)     
Knology, Inc. (NON)  230  3,202 
M6-Metropole Television (France)  468  11,834 
Mediaset SpA (Italy)  10,305  66,284 
Sinclair Broadcast Group, Inc. Class A  326  4,218 
    85,538 
 
Building materials (--%)     
Geberit International AG (Switzerland)  48  10,362 
    10,362 
 
Cable television (0.9%)     
DIRECTV Class A (NON)  3,497  160,757 
HSN, Inc. (NON)  155  5,034 
IAC/InterActiveCorp. (NON)  3,765  116,979 
    282,770 
 
Chemicals (2.8%)     
Albemarle Corp.  1,449  83,404 
Cytec Industries, Inc.  930  52,852 
Ferro Corp. (NON)  864  13,755 
Formosa Chemicals & Fibre Corp. (Taiwan)  5,000  17,073 
Hawkins, Inc.  50  1,914 
Innophos Holdings, Inc.  207  8,866 
International Flavors & Fragrances, Inc.  1,193  67,941 
Koninklijke DSM NV (Netherlands)  504  29,604 
Koppers Holdings, Inc.  369  14,911 
Lubrizol Corp. (The)  791  86,116 
Minerals Technologies, Inc.  204  13,236 

 


Mitsui Chemicals, Inc. (Japan)  22,000  82,393 
Monsanto Co.  1,353  97,267 
NewMarket Corp.  34  4,356 
Nitto Denko Corp. (Japan)  2,000  120,983 
OM Group, Inc. (NON)  390  13,724 
PPG Industries, Inc.  1,456  128,681 
Quaker Chemical Corp.  80  3,098 
Silvinit OJSC (Russia) (NON)  22  22,578 
Stepan, Co.  56  3,931 
TPC Group, Inc. (NON)  107  3,108 
Vale Fertilizantes SA (Preference) (Brazil) (NON)  1,760  18,748 
W.R. Grace & Co. (NON)  760  28,910 
Yara International ASA (Norway)  328  17,387 
    934,836 
 
Coal (1.0%)     
Alpha Natural Resources, Inc. (NON)  26  1,410 
China Coal Energy Co. (China)  1,000  1,432 
China Shenhua Energy Co., Ltd. (China)  500  2,084 
Cloud Peak Energy, Inc. (NON)  254  5,207 
CONSOL Energy, Inc.  56  2,840 
James River Coal Co. (NON)  231  4,851 
Peabody Energy Corp.  2,822  184,813 
PT Adaro Energy Tbk (Indonesia)  61,000  17,056 
SouthGobi Resources, Ltd. (Canada) (NON)  100  1,637 
Walter Energy, Inc.  850  102,859 
    324,189 
 
Commercial and consumer services (1.4%)     
Alliance Data Systems Corp. (NON)  82  6,457 
AMERCO (NON)  22  2,125 
Bunzl PLC (United Kingdom)  1,284  15,875 
Compass Group PLC (United Kingdom)  1,342  12,084 
Ctrip.com Int'l, Ltd. ADR (China) (NON)  193  7,483 
Deluxe Corp.  343  8,764 
Dun & Bradstreet Corp. (The)  1,203  97,202 
Expedia, Inc.  2,793  55,469 
EZCORP, Inc. Class A (NON)  454  13,021 
Great Lakes Dredge & Dock Corp.  728  5,729 
Green Dot Corp. Class A (NON)  54  2,819 
Imperial Holdings, Ltd. (South Africa)  917  14,764 
KOC Holding AS (Turkey)  3,481  14,597 
Landauer, Inc.  38  2,390 
Moody's Corp.  3,185  101,602 
Randstad Holding NV (Netherlands) (NON)  132  7,118 
Sotheby's Holdings, Inc. Class A  77  3,790 
Swire Pacific, Ltd. (Hong Kong)  5,000  70,182 
Team, Inc. (NON)  113  2,930 
TNS, Inc. (NON)  332  6,258 
Wheelock and Co., Ltd. (Hong Kong)  4,000  14,604 
    465,263 
 
Communications equipment (1.2%)     
Ceragon Networks, Ltd. (Israel) (NON)  334  4,152 
Cisco Systems, Inc. (NON)  7,183  133,316 
F5 Networks, Inc. (NON)  301  35,521 
Harris Corp.  2,972  138,674 
Netgear, Inc. (NON)  122  4,002 
Plantronics, Inc.  101  3,524 
Powerwave Technologies, Inc. (NON)  1,393  5,140 
Qualcomm, Inc.  797  47,485 
Wistron NeWeb Corp. (Taiwan)  5,000  16,515 
    388,329 
 
Components (--%)     
Coherent, Inc. (NON)  70  4,323 
    4,323 
 
Computers (5.5%)     
Acme Packet, Inc. (NON)  31  2,332 
Actuate Corp. (NON)  385  1,836 
Anixter International, Inc.  214  15,327 
Apple, Inc. (NON)  1,199  423,499 
Black Box Corp.  195  7,447 
Checkpoint Systems, Inc. (NON)  288  6,273 
China Water Industry Group, Ltd. (Hong Kong) (NON)  76,000  1,489 
Dell, Inc. (NON)  7,427  117,569 
EMC Corp. (NON)  1,516  41,250 
F-Secure OYJ (Finland)  995  3,021 
Fortinet, Inc. (NON)  510  20,828 
Fujitsu, Ltd. (Japan)  12,000  81,267 
Hewlett-Packard Co.  6,393  278,927 
Hitachi, Ltd. (Japan)  15,000  91,131 
IBM Corp.  1,442  233,431 
Ixia (NON)  367  6,441 
Kingdee International Software Group Co., Ltd. (China)  4,000  2,436 
Lexmark International, Inc. Class A (NON)  117  4,391 
Magma Design Automation, Inc. (NON)  944  6,278 
Monotype Imaging Holdings, Inc. (NON)  246  3,291 
NCI, Inc. (NON)  81  1,855 
NetApp, Inc. (NON)  548  28,310 
NetSuite, Inc. (NON)  518  15,545 
Polycom, Inc. (NON)  348  16,634 

 


Progress Software Corp. (NON)  234  6,870 
Quantum Corp. (NON)  1,814  4,698 
Quest Software, Inc. (NON)  675  18,083 
Riverbed Technolgy, Inc. (NON)  87  3,592 
Seagate Technology (NON)  7,551  95,898 
SMART Modular Technologies (WWH), Inc. (NON)  360  2,495 
STEC, Inc. (NON)  160  3,269 
Synchronoss Technologies, Inc. (NON)  296  10,141 
TeleCommunication Systems, Inc. Class A (NON)  928  3,963 
Teradata Corp. (NON)  3,920  187,454 
VeriFone Systems, Inc. (NON)  155  7,043 
Western Digital Corp. (NON)  1,613  49,326 
Wistron Corp. (Taiwan)  13,000  23,192 
Xyratex, Ltd. (United Kingdom) (NON)  759  9,647 
    1,836,479 
 
Conglomerates (2.0%)     
3M Co.  248  22,873 
General Electric Co.  10,716  224,179 
Honeywell International, Inc.  3,588  207,781 
Marubeni Corp. (Japan)  1,000  7,679 
Mitsui & Co., Ltd. (Japan)  5,200  94,968 
Silex Systems, Ltd. (Australia) (NON)  152  814 
SPX Corp.  1,324  105,602 
    663,896 
 
Construction (0.4%)     
BBMG Corp. (China)  8,500  11,364 
Broadwind Energy, Inc. (NON) (S)  1,313  2,101 
China National Building Material Co., Ltd. (China)  10,000  24,734 
China National Materials Co., Ltd. (China)  26,000  22,290 
Fletcher Building, Ltd. (New Zealand)  4,206  27,875 
Insituform Technologies, Inc. (NON)  297  7,674 
Layne Christensen Co. (NON)  155  5,172 
Siam Cement PCL NVDR (Thailand)  1,500  15,358 
    116,568 
 
Consumer (0.5%)     
Helen of Troy, Ltd. (Bermuda) (NON)  76  2,123 
Kimberly-Clark Corp.  2,327  153,349 
Signet Jewelers, Ltd. (Bermuda) (NON)  78  3,422 
    158,894 
 
Consumer finance (1.1%)     
African Bank Investments, Ltd. (South Africa)  4,323  22,170 
American Express Co.  3,962  172,624 
Cardtronics, Inc. (NON)  311  5,893 
Dollar Financial Corp. (NON)  418  8,941 
Nelnet, Inc. Class A  473  10,562 
SLM Corp. (NON)  10,177  150,823 
World Acceptance Corp. (NON)  82  4,904 
    375,917 
 
Consumer goods (1.6%)     
ACCO Brands Corp. (NON)  517  4,420 
Energizer Holdings, Inc. (NON)  816  54,533 
Estee Lauder Cos., Inc. (The) Class A  869  82,042 
Inter Parfums, Inc.  221  3,993 
Kao Corp. (Japan)  1,000  26,984 
National Presto Industries, Inc.  37  4,682 
Prestige Brands Holdings, Inc. (NON)  462  5,091 
Procter & Gamble Co. (The)  3,002  189,276 
Reckitt Benckiser Group PLC (United Kingdom)  1,319  68,020 
Revlon, Inc. Class A (NON)  231  3,451 
Unilever NV (Netherlands)  2,936  88,569 
    531,061 
 
Consumer services (0.2%)     
Alibaba.com, Ltd. (China)  2,500  4,696 
Avis Budget Group, Inc. (NON)  1,136  17,404 
E-Commerce China Dangdang, Inc. ADR (China) (NON)  192  4,886 
Itron, Inc. (NON)  185  10,491 
Mecox Lane, Ltd. ADR (China) (NON)  385  2,067 
SRA International, Inc. Class A (NON)  265  7,216 
WebMD Health Corp. (NON)  47  2,726 
    49,486 
 
Containers (--%)     
Graham Packaging Co., Inc. (NON)  457  7,764 
    7,764 
 
Distribution (1.0%)     
Beijing Enterprises Water Group, Ltd. (Rights) (Hong     
Kong) (F)  6,000  1,005 
Beijing Enterprises Water Group, Ltd. (Hong Kong) (NON)  12,000  4,303 
Core-Mark Holding Co., Inc. (NON)  121  4,108 
Genuine Parts Co.  1,829  96,370 
Spartan Stores, Inc.  212  3,195 
W.W. Grainger, Inc.  998  132,944 
Wolseley PLC (China) (NON)  2,623  91,359 

 


    333,284 
 
Electric utilities (2.8%)     
Alliant Energy Corp.  921  36,269 
Ameren Corp.  879  24,577 
Ameresco, Inc. Class A (NON)  192  2,769 
BKW FMB Energie AG (Switzerland)  47  4,023 
Chubu Electric Power, Inc. (Japan)  300  7,922 
CMS Energy Corp.  1,745  33,609 
DPL, Inc.  1,939  50,453 
EDF (France)  91  4,059 
Enel SpA (Italy)  15,947  95,046 
Energias de Portugal (EDP) SA (Portugal)  18,287  69,364 
Energy Development Corp. (Philippines)  28,800  3,720 
EnerNOC, Inc. (NON)  86  1,658 
Entergy Corp.  890  63,368 
Exelon Corp.  3,554  148,415 
FirstEnergy Corp.  3,156  120,875 
Hokkaido Electric Power Co., Inc. (Japan)  100  2,148 
Hokuriku Electric Power Co. (Japan)  100  2,521 
Huaneng Power International, Inc. (China)  2,000  1,120 
Kansai Electric Power, Inc. (Japan)  200  5,254 
Kyushu Electric Power Co., Inc. (Japan)  200  4,649 
NextEra Energy, Inc.  167  9,263 
Public Power Corp. SA (Greece)  748  11,574 
Red Electrica Corp. SA (Spain)  1,591  85,646 
Shikoku Electric Power Co., Inc. (Japan)  100  3,028 
TECO Energy, Inc.  5,513  99,840 
Westar Energy, Inc.  1,270  33,020 
    924,190 
 
Electrical equipment (1.2%)     
American Science & Engineering, Inc.  38  3,572 
Capstone Turbine Corp. (NON)  2,084  3,168 
China High Speed Transmission Equipment Group Co.,     
Ltd. (China)  2,000  2,789 
Emerson Electric Co.  3,174  189,361 
Energy Conversion Devices, Inc. (NON)  281  1,102 
Gamesa Corp Tecnologica SA (Spain) (NON)  276  2,434 
GrafTech International, Ltd. (NON)  205  4,102 
Harbin Electric, Inc. (China) (NON)  157  2,980 
Legrand SA (France)  577  24,208 
Mitsubishi Electric Corp. (Japan)  8,000  94,918 
Powell Industries, Inc. (NON)  125  4,674 
Power-One, Inc. (NON) (S)  294  2,420 
Satcon Technology Corp. (NON)  800  2,912 
SeenTec Co., Ltd. (South Korea)  1,693  17,029 
SMA Solar Technology AG (Germany)  15  1,593 
Sun King Power Electronics Group. (China) (NON)  54,000  12,084 
Sunpower Corp. Class A (NON)  215  3,670 
Trony Solar Holdings Co., Ltd. (China) (NON)  3,000  1,824 
Yingli Green Energy Holding Co., Ltd. ADR (China)     
(NON) (S)  1,602  18,487 
    393,327 
 
Electronics (2.9%)     
A123 Systems, Inc. (NON)  338  3,204 
Advanced Battery Technologies, Inc. (NON)  501  1,944 
Analog Devices, Inc.  1,731  69,032 
Asustek Computer, Inc. (Taiwan)  2,000  18,241 
AU Optronics Corp. (Taiwan) (NON)  15,000  13,664 
Badger Meter, Inc.  165  6,486 
BYD Co., Ltd. (China)  1,000  3,959 
Cavium Networks, Inc. (NON)  195  8,420 
China BAK Battery, Inc. (China) (NON)  633  1,146 
DDi Corp.  232  2,406 
Elster Group SE ADR (Germany) (NON)  301  4,801 
Ener1, Inc. (NON)  597  2,203 
EnerSys (NON)  404  14,342 
Entropic Communications, Inc. (NON)  475  4,399 
Fairchild Semiconductor Intl., Inc. (NON)  906  15,955 
FEI Co. (NON)  1,101  36,917 
Greatbatch, Inc. (NON)  144  3,583 
Hon Hai Precision Industry Co., Ltd. (Taiwan)  12,000  44,191 
Hynix Semiconductor, Inc. (South Korea) (NON)  1,060  26,730 
Integrated Silicon Solutions, Inc. (NON)  164  1,604 
Intel Corp.  4,970  106,706 
KEMET Corp. (NON)  349  4,851 
L-3 Communications Holdings, Inc.  1,601  126,943 
LDK Solar Co., Ltd. ADR (China) (NON)  255  3,346 
LG Display Co., Ltd. (South Korea)  880  28,018 
MEMC Electronic Materials, Inc. (NON)  257  3,487 
MIPS Technologies, Inc. (NON)  204  2,483 
Motech Industries, Inc. (Taiwan)  1,009  4,442 
NVE Corp. (NON)  96  5,688 
QLogic Corp. (NON)  5,801  104,766 
Radiant Opto-Electronics Corp. (Taiwan)  6,000  13,382 
Renesola, Ltd. ADR (China) (NON)  235  2,597 
RF Micro Devices, Inc. (NON)  294  2,205 
Saft Groupe SA (France)  46  1,762 
Samsung Electronics Co., Ltd. (South Korea)  107  87,944 
SanDisk Corp. (NON)  2,569  127,422 
Simplo Technology Co., Ltd. (Taiwan)  1,100  7,219 
Skyworks Solutions, Inc. (NON)  141  5,068 
Spectrum Control, Inc. (NON)  87  1,219 
TTM Technologies, Inc. (NON)  898  15,751 

 


Ultralife Batteries, Inc. (NON)  174  898 
Valence Technology, Inc. (NON)  1,616  2,440 
Watts Water Technologies, Inc. Class A  243  9,504 
Woongjin Energy Co., Ltd. (South Korea) (NON)  780  10,621 
    961,989 
 
Energy (oil field) (2.4%)     
Alkane Resources, Ltd. (Australia) (NON)  1,092  1,315 
Cal Dive International, Inc. (NON)  460  3,165 
Cameron International Corp. (NON)  3,160  186,851 
Compagnie Generale de Geophysique-Veritas (France)     
(NON)  1,682  62,406 
Complete Production Services, Inc. (NON)  307  8,845 
Halliburton Co.  4,921  230,992 
Helix Energy Solutions Group, Inc. (NON)  692  10,657 
Oceaneering International, Inc. (NON)  1,753  146,603 
Petrofac, Ltd. (United Kingdom)  841  19,058 
Saipem SpA (Italy)  1,357  68,554 
Schlumberger, Ltd.  561  52,409 
TETRA Technologies, Inc. (NON)  317  4,378 
Tidewater, Inc.  164  10,202 
    805,435 
 
Energy (other) (0.2%)     
Amyris, Inc. (NON)  87  2,827 
Areva SA (France)  80  3,898 
Ballard Power Systems, Inc. (Canada) (NON)  983  2,123 
Canadian Solar, Inc. (Canada) (NON)  106  1,540 
China Sunergy Co., Ltd. ADR (China) (NON)  192  864 
Covanta Holding Corp.  292  4,941 
E-Ton Solar Tech Co., Ltd. (Taiwan) (NON)  1,000  1,423 
EDP Renovaveis SA (Spain) (NON)  338  2,029 
Enel Green Power SpA (Italy) (NON)  1,264  2,987 
Fersa Energias Renovables SA (Spain)  734  1,175 
First Solar, Inc. (NON)  36  5,306 
FuelCell Energy, Inc. (NON)  1,108  1,939 
GCL Poly Energy Holdings, Ltd. (China) (NON)  12,000  6,081 
Gintech Energy Corp. (Taiwan)  1,009  3,196 
Green Plains Renewable Energy, Inc. (NON)  224  2,740 
Gushan Environmental Energy, Ltd. ADR (China) (NON)  326  1,467 
Hanwha SolarOne Co., Ltd. ADR (China) (NON)  187  1,599 
Headwaters, Inc. (NON)  490  2,484 
Iberdrola Renovables SA (Spain)  770  2,893 
Innergex Renewable Energy, Inc. (Canada)  300  2,941 
JA Solar Holdings Co., Ltd. ADR (China) (NON)  327  2,309 
Magma Energy Corp. (Canada) (NON)  1,298  1,631 
Nordex AG (Germany) (NON)  154  1,386 
Ram Power Corp. (Canada) (NON)  906  1,213 
Suzlon Energy, Ltd. (India) (NON)  1,984  2,054 
Trina Solar, Ltd. ADR (China) (NON) (S)  120  3,312 
    66,358 
 
Engineering and construction (0.2%)     
Abengoa SA (Spain)  64  1,795 
EMCOR Group, Inc. (NON)  286  9,112 
KEPCO Engineering & Construction Co., Inc. (South     
Korea)  309  22,406 
SembCorp Industries, Ltd. (Singapore)  7,000  26,247 
Singapore Technologies Engineering, Ltd. (Singapore)  7,000  17,594 
    77,154 
 
Entertainment (--%)     
National CineMedia, Inc.  94  1,776 
    1,776 
 
Environmental (0.3%)     
Bio-Treat Technology, Ltd. (China) (NON)  30,000  942 
BWT AG (Austria)  40  1,104 
Duoyuan Global Water, Inc. ADR (China) (NON) (S)  482  4,430 
Energy Recovery, Inc. (NON)  694  2,353 
Epure International, Ltd. (China) (NON)  9,000  4,319 
Fuel Tech, Inc. (NON)  231  1,728 
Hyflux, Ltd. (Singapore)  3,418  5,238 
Kurita Water Industries, Ltd. (Japan)  400  11,371 
Met-Pro Corp.  171  1,951 
Nalco Holding Co.  2,468  63,107 
Sinomem Technology, Ltd. (Singapore)  3,000  1,221 
Tianjin Capital Environmental Protection Group Co.,     
Ltd. (China)  6,000  2,105 
Tri-Tech Holding, Inc. (China) (NON) (S)  226  2,845 
Xinjiang Tianye Water Saving Irrigation System Co.,     
Ltd. (Hong Kong) (NON)  8,000  1,923 
    104,637 
 
Financial (1.3%)     
AerCap Holdings NV (Netherlands) (NON)  1,461  19,826 
Assurant, Inc.  2,173  88,289 
Broadridge Financial Solutions, Inc.  4,161  95,370 
First Financial Holding Co., Ltd. (Taiwan)  28,000  22,969 
KB Financial Group, Inc. (South Korea)  302  14,802 
KKR & Co. LP  949  15,810 
Nasdaq OMX Group, Inc. (The) (NON)  5,493  157,155 

 


Yuanta Financial Holding Co., Ltd. (Taiwan)  16,000  11,020 
    425,241 
 
Food (1.1%)     
Associated British Foods PLC (United Kingdom)  2,180  34,276 
Cermaq ASA (Norway) (NON)  670  11,424 
Companhia Brasileira de Distribuicao Grupo Pao de     
Acucar ADR (Preference) (Brazil)  613  23,116 
Cosan SA Industria e Comercio (Brazil)  1,503  23,470 
Cosan, Ltd. Class A (Brazil)  362  4,981 
Darling International, Inc. (NON)  287  3,986 
Hershey Co. (The)  2,474  129,440 
Kerry Group PLC Class A (Ireland)  511  18,550 
Leroy Seafood Group ASA (Norway)  174  5,436 
Marine Harvest (Norway)  18,252  21,426 
MEIJI Holdings Co., Ltd. (Japan)  400  18,846 
MGP Ingredients, Inc.  326  2,963 
Nestle SA (Switzerland)  293  16,593 
Nippon Meat Packers, Inc. (Japan)  3,000  42,118 
Nutreco Holding NV (Netherlands)  45  3,329 
SunOpta, Inc. (Canada) (NON)  418  2,872 
Unilever PLC (United Kingdom)  183  5,430 
    368,256 
 
Forest products and packaging (0.7%)     
Boise, Inc.  645  5,792 
China Everbright International, Ltd. (Hong Kong)  15,000  7,102 
Clearwater Paper Corp. (NON)  75  5,948 
Domtar Corp. (Canada)  103  9,002 
KapStone Paper and Packaging Corp. (NON)  580  9,947 
MeadWestvaco Corp.  2,494  73,199 
Neenah Paper, Inc.  116  2,259 
Rayonier, Inc. (R)  2,102  128,916 
Rock-Tenn Co. Class A  100  6,865 
    249,030 
 
Gaming and lottery (0.1%)     
Bally Technologies, Inc. (NON)  125  4,829 
OPAP SA (Greece)  1,282  26,773 
    31,602 
 
Health-care services (2.9%)     
Aetna, Inc.  3,056  114,172 
Amedisys, Inc. (NON)  138  4,957 
AmerisourceBergen Corp.  2,412  91,439 
AMN Healthcare Services, Inc. (NON)  524  3,914 
AmSurg Corp. (NON)  98  2,316 
Cardinal Health, Inc.  2,610  108,680 
Continucare Corp. (NON)  659  3,730 
Gentiva Health Services, Inc. (NON)  216  6,098 
Health Management Associates, Inc. Class A (NON)  598  5,980 
Health Net, Inc. (NON)  1,489  43,806 
HealthSouth Corp. (NON)  302  7,311 
HealthSpring, Inc. (NON)  284  10,690 
Healthways, Inc. (NON)  263  3,674 
Humana, Inc. (NON)  1,415  91,989 
Kindred Healthcare, Inc. (NON)  168  4,187 
Laboratory Corp. of America Holdings (NON)  884  79,675 
LHC Group, Inc. (NON)  91  2,717 
Lincare Holdings, Inc.  310  9,095 
Magellan Health Services, Inc. (NON)  255  12,235 
Medco Health Solutions, Inc. (NON)  2,357  145,285 
Providence Service Corp. (The) (NON)  174  2,855 
Sciclone Pharmaceuticals, Inc. (NON)  529  2,349 
Select Medical Holdings Corp. (NON)  629  4,906 
Suzuken Co., Ltd. (Japan)  600  17,151 
UnitedHealth Group, Inc.  4,119  175,387 
Warner Chilcott PLC Class A (Ireland)  595  14,090 
WellCare Health Plans, Inc. (NON)  143  5,370 
    974,058 
 
Homebuilding (--%)     
Standard Pacific Corp. (NON)  720  2,880 
    2,880 
 
Household furniture and appliances (0.4%)     
Electrolux AB Class B (Sweden)  1,109  27,826 
La-Z-Boy, Inc. (NON)  606  6,084 
M Video OJSC (Russia) (NON)  1,702  15,999 
Select Comfort Corp. (NON)  423  4,708 
Whirlpool Corp.  945  77,963 
    132,580 
 
Industrial (--%)     
China Ming Yang Wind Power Group, Ltd. ADS (China)     
(NON)  295  2,897 
    2,897 
 
Insurance (2.3%)     
Ageas (Belgium)  4,505  14,302 

 


Allied World Assurance Company Holdings, Ltd.  1,660  102,439 
American Equity Investment Life Holding Co.  964  12,725 
American Financial Group, Inc.  235  8,138 
American Safety Insurance Holdings, Ltd. (NON)  329  7,024 
Arch Capital Group, Ltd. (NON)  239  21,630 
Aspen Insurance Holdings, Ltd.  205  6,058 
Assicurazioni Generali SpA (Italy)  3,019  68,299 
Assured Guaranty, Ltd. (Bermuda)  1,822  26,474 
Berkshire Hathaway, Inc. Class B (NON)  1,415  123,501 
CNO Financial Group, Inc. (NON)  696  5,039 
Endurance Specialty Holdings, Ltd. (Bermuda)  1,701  84,353 
Flagstone Reinsurance Holdings SA (Luxembourg)  495  5,643 
Hartford Financial Services Group, Inc. (The)  2,396  70,922 
Maiden Holdings, Ltd. (Bermuda)  441  3,524 
Ping An Insurance (Group) Co. of China, Ltd. (China)  3,000  30,952 
Platinum Underwriters Holdings, Ltd. (Bermuda)  67  2,794 
Protective Life Corp.  205  5,828 
RenaissanceRe Holdings, Ltd.  516  34,582 
Swiss Life Holding AG (Switzerland) (NON)  322  53,251 
Symetra Financial Corp.  455  6,507 
Tokio Marine Holdings, Inc. (Japan)  2,300  75,631 
Universal Insurance Holdings, Inc.  610  3,520 
    773,136 
 
Investment banking/Brokerage (1.1%)     
3i Group PLC (United Kingdom)  3,059  15,541 
Affiliated Managers Group (NON)  1,645  175,604 
Cowen Group, Inc. (NON)  448  1,917 
Credit Suisse Group (Switzerland)  1,161  53,725 
Delek Group, Ltd. (Israel)  72  17,189 
E*Trade Financial Corp. (NON)  444  7,095 
Evercore Partners, Inc. Class A  106  3,655 
Goldman Sachs Group, Inc. (The)  266  43,565 
Kinnevik Investment AB Class B (Sweden)  1,534  34,418 
Resolution, Ltd. (Guernsey)  428  2,014 
Uranium Participation Corp. (Canada) (NON)  169  1,571 
    356,294 
 
Lodging/Tourism (0.2%)     
Host Marriott Corp. (R)  3,226  59,358 
    59,358 
 
Machinery (1.1%)     
Alamo Group, Inc.  267  7,780 
Altra Holdings, Inc. (NON)  424  9,171 
Applied Industrial Technologies, Inc.  354  11,342 
BHI Co., Ltd. (South Korea)  916  15,598 
China High Precision Automation Group, Ltd. (China)  12,000  9,258 
China Valves Technology, Inc. (China) (NON)  396  2,416 
Doosan Heavy Industries and Construction Co., Ltd.     
(South Korea)  287  17,616 
DXP Enterprises, Inc. (NON)  200  4,252 
Franklin Electric Co., Inc.  139  5,908 
GLV, Inc. Class A (Canada) (NON)  136  1,066 
Gorman-Rupp Co. (The)  45  1,680 
Joy Global, Inc.  19  1,850 
Lindsay Corp.  140  9,885 
NACCO Industries, Inc. Class A  27  3,363 
Parker Hannifin Corp.  1,873  167,034 
Raser Technologies, Inc. (NON)  3,154  867 
Regal-Beloit Corp.  1,194  87,102 
Timken Co.  124  6,041 
    362,229 
 
Manufacturing (1.2%)     
AZZ, Inc.  88  3,754 
Dover Corp.  2,457  157,862 
EnPro Industries, Inc. (NON)  112  4,444 
Exide Technologies (NON)  377  4,486 
Flowserve Corp.  104  12,997 
Generac Holdings, Inc. (NON)  231  4,234 
JinkoSolar Holding Co., Ltd. ADR (China) (NON)  84  2,367 
John Bean Technologies Corp.  284  5,387 
LSB Industries, Inc. (NON)  195  5,905 
Mueller Water Products, Inc. Class A  1,786  7,251 
Oshkosh Corp. (NON)  238  8,489 
Pentair, Inc.  311  11,532 
Polypore International, Inc. (NON)  134  7,831 
SKF AB Class B (Sweden)  2,758  76,915 
Smith (A.O.) Corp.  305  12,322 
Standex International Corp.  115  3,941 
Thomas & Betts Corp. (NON)  402  22,267 
TriMas Corp. (NON)  502  10,326 
Valmont Industries, Inc.  168  17,149 
Xinjiang Goldwind Science & Technology Co., Ltd.     
(China) (NON)  2,600  4,200 
    383,659 
 
Media (1.4%)     
Interpublic Group of Companies, Inc. (The) (NON)  7,161  94,525 
News Corp. Class A  10,238  177,834 
Time Warner, Inc.  4,444  169,761 
Walt Disney Co. (The)  859  37,573 

 


    479,693 
 
Medical technology (0.8%)     
Alliance HealthCare Services, Inc. (NON)  511  2,116 
Bruker Corp. (NON)  139  2,667 
Coloplast A/S Class B (Denmark)  113  15,920 
Cooper Companies, Inc. (The)  139  8,593 
Kensey Nash Corp. (NON)  174  4,569 
Kinetic Concepts, Inc. (NON)  249  12,194 
Life Technologies Corp. (NON)  638  34,050 
OraSure Technologies, Inc. (NON)  649  4,498 
Orthovita, Inc. (NON)  977  2,325 
Pall Corp.  243  13,209 
Sirona Dental Systems, Inc. (NON)  79  3,986 
STAAR Surgical Co. (NON)  610  3,660 
Steris Corp.  227  7,684 
Waters Corp. (NON)  1,633  135,621 
West Pharmaceutical Services, Inc.  71  2,919 
Young Innovations, Inc.  122  3,864 
    257,875 
 
Metals (2.6%)     
AngloGold Ashanti, Ltd. (South Africa)  320  15,562 
Arafura Resources, Ltd. (Australia) (NON)  1,928  2,468 
BHP Billiton, Ltd. (Australia)  1,634  77,255 
Cameco Corp. (Canada)  109  4,441 
Century Aluminum Co. (NON)  183  3,102 
China Molybdenum Co., Ltd. (China)  2,000  1,821 
China Vanadium Titano-Magnetite Mining Co., Ltd.     
(China) (NON)  4,000  1,563 
CITIC Dameng Holdings, Ltd. (China) (NON)  5,000  1,619 
Coeur d'Alene Mines Corp. (NON)  176  5,546 
Commerce Resources Corp. (Canada) (NON)  1,336  1,114 
Contango Ore, Inc. (NON)  9  176 
Creston Moly Corp. (Canada) (NON)  2,310  1,106 
Denison Mines Corp. (Canada) (NON)  418  1,575 
Energy Resources of Australia, Ltd. (Australia)  151  1,581 
Freeport-McMoRan Copper & Gold, Inc. Class B  3,766  199,410 
Gibraltar Industries, Inc. (NON)  479  5,188 
Grupo Mexico SAB de CV Ser. B (Mexico)  5,701  21,728 
Hecla Mining Co. (NON)  827  8,394 
Horsehead Holding Corp. (NON)  723  11,958 
Hudson Resources, Inc. (Canada) (NON)  648  941 
Hunan Non-Ferrous Metal Corp., Ltd. (China) (NON)  4,000  1,434 
Mechel ADR (Russia)  551  16,767 
Mitsui Mining & Smelting Co., Ltd. (Japan)  8,000  31,786 
Moly Mines, Ltd. (Australia) (NON)  1,189  1,310 
Molycorp, Inc. (NON) (S)  320  15,357 
Newcrest Mining, Ltd. (Australia)  66  2,561 
Noranda Aluminum Holding Corp. (NON)  179  2,823 
Northwest Pipe Co. (NON)  98  2,327 
Prophecy Resource Corp. (Canada) (NON)  1,066  1,153 
Quest Uranium Corp. (Canada) (NON)  491  2,801 
Rare Element Resources, Ltd. (Canada) (NON)  212  2,585 
Real Gold Mining, Ltd. (China) (NON)  12,500  19,000 
Reliance Steel & Aluminum Co.  117  6,474 
Rio Tinto PLC (United Kingdom)  1,296  90,859 
Rio Tinto, Ltd. (Australia)  1,116  97,477 
Sterlite Industries (India), Ltd. (India)  3,001  10,961 
Sterlite Industries (India), Ltd. ADR (India)  908  13,384 
Stillwater Mining Co. (NON)  553  13,200 
Tasman Metals, Ltd. (Canada) (NON)  600  3,058 
Thompson Creek Metals Co., Inc. (Canada) (NON)  172  2,267 
Ucore Rare Metals, Inc. (Canada) (NON)  2,355  2,692 
UEX Corp. (Canada) (NON)  380  880 
Umicore NV/SA (Belgium)  204  10,279 
Uranium One, Inc. (Canada)  358  2,367 
USEC, Inc. (NON)  229  1,218 
Vale SA ADR (Preference) (Brazil)  1,844  55,265 
Vale SA ADR (Brazil)  1,573  53,844 
voestalpine AG (Austria)  886  40,938 
Western Lithium Canada Corp. (Canada)  876  1,335 
    872,950 
 
Natural gas utilities (--%)     
Toho Gas Co., Ltd. (Japan)  2,000  10,750 
    10,750 
 
Office equipment and supplies (0.2%)     
Canon, Inc. (Japan)  900  43,560 
Societe BIC SA (France)  249  21,275 
    64,835 
 
Oil and gas (7.0%)     
Athabasca Oil Sands Corp. (Canada) (NON)  274  4,656 
Atwood Oceanics, Inc. (NON)  214  9,741 
BP PLC (United Kingdom)  4,770  38,388 
Cairn Energy PLC (United Kingdom) (NON)  2,991  20,782 
Caltex Australia, Ltd. (Australia)  2,128  34,440 
Canadian Oil Sands Trust (Unit) (Canada)  180  5,570 
Chevron Corp.  1,984  205,840 
Cimarex Energy Co.  1,711  198,698 
CNOOC, Ltd. (China)  16,000  36,484 
Connacher Oil and Gas, Ltd. (Canada) (NON)  1,500  2,471 

 


ConocoPhillips  946  73,665 
Contango Oil & Gas Co. (NON)  89  5,454 
ENI SpA (Italy)  4,293  104,706 
Exxon Mobil Corp.  6,081  520,108 
Lukoil OAO ADR (Russia)  967  68,415 
Murphy Oil Corp.  2,148  157,942 
Occidental Petroleum Corp.  295  30,081 
OGX Petroleo e Gas Participacoes SA (Brazil) (NON)  3,533  41,286 
Oil States International, Inc. (NON)  90  6,551 
Oilsands Quest, Inc. (Canada) (NON)  1,286  659 
Petroleo Brasileiro SA ADR (Brazil)  1,817  72,371 
Petroleo Brasileiro SA ADR (Preference) (Brazil)  1,949  68,546 
Petroleum Development Corp. (NON)  319  14,971 
Petroquest Energy, Inc. (NON)  215  1,853 
Rosetta Resources, Inc. (NON)  319  14,470 
Royal Dutch Shell PLC Class B (United Kingdom)  1,656  59,227 
Sasol, Ltd. ADR (South Africa)  183  10,041 
SK Innovation Co., Ltd. (South Korea)  145  22,612 
Statoil ASA (Norway)  3,974  104,724 
Stone Energy Corp. (NON)  532  16,109 
Suncor Energy, Inc. (Canada)  150  7,053 
Sunoco, Inc.  3,020  126,417 
Swift Energy Co. (NON)  181  7,774 
Tullow Oil PLC (United Kingdom)  1,009  23,571 
Unit Corp. (NON)  117  6,962 
Vaalco Energy, Inc. (NON)  606  4,860 
Valero Energy Corp.  7,144  201,318 
W&T Offshore, Inc.  297  7,582 
    2,336,398 
 
Pharmaceuticals (4.4%)     
Abbott Laboratories  923  44,396 
Akorn, Inc. (NON)  594  3,320 
Allergan, Inc.  1,956  145,077 
AstraZeneca PLC (United Kingdom)  2,159  105,227 
Cephalon, Inc. (NON)  1,632  91,898 
Endo Pharmaceuticals Holdings, Inc. (NON)  383  13,604 
Forest Laboratories, Inc. (NON)  3,918  126,943 
GlaxoSmithKline PLC (United Kingdom)  4,680  89,915 
Hi-Tech Pharmacal Co., Inc. (NON)  217  5,011 
Impax Laboratories, Inc. (NON)  581  11,963 
Johnson & Johnson  2,799  171,971 
Medicis Pharmaceutical Corp. Class A  369  11,841 
Merck & Co., Inc.  2,569  83,672 
Novartis AG (Switzerland)  1,041  58,394 
Obagi Medical Products, Inc. (NON)  542  6,211 
Orion Oyj Class B (Finland)  687  15,722 
Par Pharmaceutical Cos., Inc. (NON)  528  16,305 
Perrigo Co.  1,597  122,059 
Pfizer, Inc.  7,467  143,665 
PharMerica Corp. (NON)  232  2,726 
Questcor Pharmaceuticals, Inc. (NON)  421  5,456 
Roche Holding AG (Switzerland)  352  53,096 
Salix Pharmaceuticals, Ltd. (NON)  102  3,401 
Sanofi-Aventis (France)  1,471  101,521 
Teva Pharmaceutical Industries, Ltd. ADR (Israel)  387  19,389 
Watson Pharmaceuticals, Inc. (NON)  201  11,254 
    1,464,037 
 
Power producers (0.3%)     
China Power New Energy Development Co., Ltd. (China)     
(NON)  264,000  22,799 
China WindPower Group, Ltd. (China) (NON)  240,000  22,849 
NRG Energy, Inc. (NON)  1,882  37,621 
Ormat Technologies, Inc.  70  1,754 
    85,023 
 
Publishing (0.3%)     
Gannett Co., Inc.  326  5,382 
R. R. Donnelley & Sons Co.  5,129  95,502 
Scholastic Corp.  104  3,266 
    104,150 
 
Railroads (0.3%)     
Central Japan Railway Co. (Japan)  11  98,571 
    98,571 
 
Real estate (1.5%)     
Agree Realty Corp. (R)  200  5,106 
Aliansce Shopping Centers SA (Brazil)  1,740  12,744 
American Capital Agency Corp. (R)  158  4,653 
Annaly Capital Management, Inc. (R)  6,276  112,529 
Anworth Mortgage Asset Corp. (R)  541  3,863 
Ashford Hospitality Trust, Inc. (NON)(R)  529  5,454 
C C Land Holdings, Ltd. (China)  45,000  15,044 
CBL & Associates Properties, Inc. (R)  529  9,443 
Cheung Kong Holdings, Ltd. (Hong Kong)  1,000  15,645 
CommonWealth REIT (R)  1,382  39,677 
First Industrial Realty Trust (NON)(R)  363  4,069 
Glimcher Realty Trust (R)  761  7,001 
Hang Lung Group, Ltd. (Hong Kong)  2,000  12,165 
Huaku Development Co., Ltd. (Taiwan)  7,000  20,846 
IMMOFINANZ AG (Rights) (Austria) (F)  6,922  10 

 


IMMOFINANZ AG (Austria) (NON)  6,922  30,574 
Invesco Mortgage Capital, Inc. (R)  200  4,668 
Lexington Realty Trust (R)  752  7,121 
Liberty Property Trust (R)  1,201  40,558 
LSR Group OJSC GDR (Russia) (NON)  2,369  23,572 
LTC Properties, Inc. (R)  289  8,445 
Mission West Properties (R)  385  2,637 
National Health Investors, Inc. (R)  310  14,731 
Newcastle Investment Corp. (NON)(R)  518  4,372 
Omega Healthcare Investors, Inc. (R)  213  5,106 
PDG Realty SA Empreendimentos e Participacoes (Brazil)  8,290  45,275 
PS Business Parks, Inc. (R)  141  8,889 
Rossi Residencial SA (Brazil)  3,168  24,554 
Saul Centers, Inc. (R)  105  4,830 
St. Joe Co. (The) (NON)  213  5,704 
Starwood Property Trust, Inc. (R)  156  3,649 
Universal Health Realty Income Trust (R)  70  2,784 
Urstadt Biddle Properties, Inc. Class A (R)  217  4,208 
    509,926 
 
Regional Bells (1.1%)     
AT&T, Inc.  4,803  136,309 
Verizon Communications, Inc.  6,219  229,605 
    365,914 
 
Restaurants (0.3%)     
AFC Enterprises (NON)  1,025  15,160 
CEC Entertainment, Inc. (NON)  127  4,914 
DineEquity, Inc. (NON)  87  4,977 
Domino's Pizza, Inc. (NON)  1,209  20,396 
McDonald's Corp.  670  50,706 
Papa John's International, Inc. (NON)  105  3,064 
Ruth's Hospitality Group, Inc. (NON)  226  1,132 
    100,349 
 
Retail (5.8%)     
Advance Auto Parts, Inc.  1,200  75,216 
Aeropostale, Inc. (NON)  221  5,733 
Amazon.com, Inc. (NON)  166  28,766 
AnnTaylor Stores Corp. (NON)  355  8,240 
Ascena Retail Group, Inc. (NON)  223  6,967 
Best Buy Co., Inc.  3,110  100,266 
BR Malls Participacoes SA (Brazil)  2,971  28,293 
Cash America International, Inc.  102  4,356 
Childrens Place Retail Stores, Inc. (The) (NON)  72  3,290 
Coach, Inc.  2,668  146,527 
Collective Brands, Inc. (NON)  216  4,925 
Costco Wholesale Corp.  2,601  194,529 
Deckers Outdoor Corp. (NON)  167  14,733 
DSW, Inc. Class A (NON)  323  13,117 
Foot Locker, Inc.  3,562  70,777 
GameStop Corp. Class A (NON) (S)  2,742  54,703 
Genesco, Inc. (NON)  192  7,588 
Hyundai Department Store Co., Ltd. (South Korea)  150  16,208 
Iconix Brand Group, Inc. (NON)  221  4,884 
Industria de Diseno Textil (Inditex) SA (Spain)  324  23,461 
JD Group, Ltd. (South Africa)  2,849  21,304 
Jos. A. Bank Clothiers, Inc. (NON)  206  9,499 
Kenneth Cole Productions, Inc. Class A (NON)  186  2,418 
Kingfisher PLC (United Kingdom)  4,616  19,104 
Kirkland's, Inc. (NON)  169  2,582 
Koninklijke Ahold NV (Netherlands)  5,415  72,710 
Limited Brands, Inc.  3,121  99,934 
Lojas Renner SA (Brazil)  759  23,257 
Next PLC (United Kingdom)  2,264  72,778 
OfficeMax, Inc. (NON)  419  5,757 
PCD Stores, Ltd. (China)  56,000  15,449 
Regis Corp.  173  3,033 
Ross Stores, Inc.  1,446  104,170 
Safeway, Inc.  5,952  129,873 
Shinsegae Co., Ltd. (South Korea)  63  13,942 
Sonic Automotive, Inc. Class A  1,288  18,521 
Stage Stores, Inc.  317  5,528 
Steven Madden, Ltd. (NON)  290  12,511 
SUPERVALU, Inc.  281  2,425 
Tesco PLC (United Kingdom)  1,157  7,608 
TJX Cos., Inc. (The)  2,645  131,906 
Toro Co. (The)  73  4,555 
Tractor Supply Co.  57  2,968 
USANA Health Sciences, Inc. (NON)  52  1,811 
Wal-Mart Stores, Inc.  5,048  262,395 
Williams-Sonoma, Inc.  1,892  68,282 
World Fuel Services Corp.  130  5,387 
Zale Corp. (NON)  602  2,480 
    1,934,766 
 
Schools (0.1%)     
Career Education Corp. (NON)  351  8,463 
ITT Educational Services, Inc. (NON)  117  8,874 
Lincoln Educational Services Corp.  324  5,025 
    22,362 
 
Semiconductor (1.1%)     

 


Advanced Semiconductor Engineering Inc. (Taiwan)  20,000  22,614 
Applied Materials, Inc.  12,576  206,624 
Cirrus Logic, Inc. (NON)  266  6,211 
Entegris, Inc. (NON)  818  7,133 
Jusung Engineering Co., Ltd. (South Korea) (NON)  536  8,671 
LTX-Credence Corp. (NON)  635  5,677 
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)  15,000  35,860 
Teradyne, Inc. (NON)  3,702  68,968 
Ultratech, Inc. (NON)  314  7,762 
    369,520 
 
Shipping (0.1%)     
CAI International, Inc. (NON)  710  15,038 
Swift Transporation Co. (NON)  159  2,293 
Wabtec Corp.  229  12,998 
    30,329 
 
Software (2.8%)     
Adobe Systems, Inc. (NON)  525  18,113 
Akamai Technologies, Inc. (NON)  555  20,829 
Amdocs, Ltd. (United Kingdom) (NON)  1,774  52,936 
AsiaInfo-Linkage, Inc. (China) (NON)  1,201  24,440 
CA, Inc.  2,659  65,890 
Citrix Systems, Inc. (NON)  485  34,028 
Concur Technologies, Inc. (NON)  478  24,870 
Informatica Corp. (NON)  205  9,637 
Intuit, Inc. (NON)  595  31,285 
Lawson Software, Inc. (NON)  905  9,177 
Mantech International Corp. Class A (NON)  134  5,789 
Microsoft Corp.  11,026  293,071 
MicroStrategy, Inc. (NON)  102  12,123 
Oracle Corp.  2,868  94,357 
Symantec Corp. (NON)  951  17,147 
Tencent Holdings, Ltd. (China)  1,400  37,291 
TIBCO Software, Inc. (NON)  1,099  27,057 
Trend Micro, Inc. (Japan)  400  12,445 
VMware, Inc. Class A (NON)  1,777  148,646 
Websense, Inc. (NON)  335  7,176 
    946,307 
 
Staffing (--%)     
On Assignment, Inc. (NON)  404  4,242 
    4,242 
 
Technology (0.6%)     
Amkor Technologies, Inc. (NON)  395  2,911 
CACI International, Inc. Class A (NON)  158  9,373 
ON Semiconductor Corp. (NON)  15,699  175,044 
Solarworld AG (Germany)  93  1,118 
Tech Data Corp. (NON)  307  15,221 
    203,667 
 
Technology services (1.9%)     
Accenture PLC Class A  3,860  198,713 
Baidu, Inc. ADR (China) (NON)  103  12,479 
Bitauto Holdings, Ltd. ADR (China) (NON)  327  3,414 
Blue Coat Systems, Inc. (NON)  565  15,899 
Check Point Software Technologies, Ltd. (Israel) (NON)  398  19,836 
ChinaCache International Holdings, Ltd. ADR (China)     
(NON)  137  2,914 
Computershare Ltd. (Australia)  666  6,532 
Convergys Corp. (NON)  430  6,050 
CSG Systems International, Inc. (NON)  563  11,007 
Fair Isaac Corp.  184  5,143 
Global Payments, Inc.  392  18,812 
Google, Inc. Class A (NON)  307  188,313 
Infospace, Inc. (NON)  517  4,167 
Keyw Holding Corp. (The) (NON)  250  3,563 
LivePerson, Inc. (NON)  249  2,497 
Pacific Online, Ltd. (China)  3,000  1,600 
Perfect World Co., Ltd. ADR (China) (NON)  700  14,854 
SAIC, Inc. (NON)  414  6,765 
Salesforce.com, Inc. (NON)  225  29,761 
Sina Corp. (China) (NON)  92  7,514 
Sohu.com, Inc. (China) (NON)  74  6,035 
SouFun Holdings, Ltd. ADR (China) (NON)  120  2,336 
Sourcefire, Inc. (NON)  578  15,664 
Unisys Corp. (NON)  527  19,583 
VeriSign, Inc.  380  13,410 
Youku.com, Inc. ADR (China) (NON)  157  6,530 
Zix Corp. (NON)  787  2,904 
    626,295 
 
Telecommunications (1.7%)     
ADTRAN, Inc.  351  15,963 
Allot Communications, Ltd. (Israel) (NON)  230  3,665 
American Tower Corp. Class A (NON)  1,506  81,264 
Aruba Networks, Inc. (NON)  101  3,075 
Bharti Airtel, Ltd. (India)  2,105  15,435 
BT Group PLC (United Kingdom)  27,609  81,834 
China Mobile, Ltd. (China)  2,000  18,871 
EchoStar Corp. Class A (NON)  950  32,965 

 


France Telecom SA (France)  2,007  44,407 
InterDigital, Inc.  65  3,099 
Iridium Communications, Inc. (NON)  824  7,746 
j2 Global Communications, Inc. (NON)  98  2,851 
Loral Space & Communications, Inc. (NON)  105  7,944 
Mobile Telesystems ADR (Russia)  1,915  36,059 
NeuStar, Inc. Class A (NON)  270  6,818 
NII Holdings, Inc. (NON)  3,292  134,840 
Qiao Xing Universal Resources, Inc. (China) (NON)  451  1,087 
Tele2 AB Class B (Sweden)  864  19,727 
Telecom Corp. of New Zealand, Ltd. (New Zealand)  21,444  33,753 
USA Mobility, Inc.  302  4,506 
    555,909 
 
Telephone (0.3%)     
Atlantic Tele-Network, Inc.  86  3,353 
Nippon Telegraph & Telephone (NTT) Corp. (Japan)  1,900  93,004 
    96,357 
 
Textiles (0.4%)     
Burberry Group PLC (United Kingdom)  2,937  57,286 
Maidenform Brands, Inc. (NON)  260  7,056 
Perry Ellis International, Inc. (NON)  162  4,704 
Phillips-Van Heusen Corp.  65  3,901 
UniFirst Corp.  81  4,568 
VF Corp.  471  45,061 
Warnaco Group, Inc. (The) (NON)  192  11,272 
    133,848 
 
Tire and rubber (--%)     
Cooper Tire & Rubber  186  4,364 
    4,364 
 
Tobacco (0.8%)     
Japan Tobacco, Inc. (Japan)  9  37,457 
Lorillard, Inc.  1,667  127,975 
Philip Morris International, Inc.  1,397  87,704 
    253,136 
 
Transportation (--%)     
TAL International Group, Inc.  224  7,813 
    7,813 
 
Transportation services (--%)     
ComfortDelgro Corp., Ltd. (Singapore)  8,000  9,769 
HUB Group, Inc. Class A (NON)  181  6,328 
    16,097 
 
Trucks and parts (0.6%)     
Aisin Seiki Co., Ltd. (Japan)  2,500  95,591 
American Axle & Manufacturing Holdings, Inc. (NON)  294  3,931 
ArvinMeritor, Inc. (NON)  673  12,060 
Autoliv, Inc. (Sweden)  723  54,145 
Fuel Systems Solutions, Inc. (NON)  75  2,184 
Hyundai Mobis (South Korea)  72  16,848 
Quantum Fuel Systems Technologies Worldwide, Inc. (NON)  160  822 
Tenneco Automotive, Inc. (NON)  125  4,985 
Westport Innovations, Inc. (Canada) (NON)  149  2,740 
    193,306 
 
Utilities and power (--%)     
China Longyuan Power Group Corp. (China) (NON)  6,000  5,418 
EDF Energies Nouvelles SA (France)  39  1,776 
Infigen Energy (Australia)  3,539  1,310 
    8,504 
 
Waste Management (--%)     
Calgon Carbon Corp. (NON)  542  7,610 
EnergySolutions, Inc.  348  2,304 
Rentech, Inc. (NON)  1,741  2,228 
    12,142 
 
Water Utilities (0.1%)     
China Water Affairs Group, Ltd. (Hong Kong)  10,000  3,724 
Cia de Saneamento Basico do Estado de Sao Paulo ADR     
(Brazil)  173  8,640 
Guangdong Investment, Ltd. (China)  10,000  5,084 
Manila Water Co., Inc. (Philippines)  4,800  1,773 
Severn Trent PLC (United Kingdom)  367  8,878 
    28,099 
Total common stocks (cost $22,927,331)    $29,947,044 
 
 
INVESTMENT COMPANIES (5.9%)(a)     
  Shares  Value 
BlackRock Kelso Capital Corp.  417  $5,183 
Financial Select Sector SPDR Fund  8,623  145,298 

 


Harris & Harris Group, Inc. (NON)      2,231  13,051 
iShares MSCI EAFE Index Fund      2,475  152,336 
iShares Russell 2000 Growth Index Fund      292  26,849 
iShares Russell 2000 Value Index Fund      291  21,714 
MCG Capital Corp.      1,811  13,220 
Midcap SPDR Trust Series 1      596  104,580 
NGP Capital Resources Co.      632  6,358 
SPDR S&P 500 ETF Trust      10,990  1,463,319 
Total investment companies (cost $1,745,938)        $1,951,908 
 
 
WARRANTS (--%)(a)(NON)         
  Expiration date  Strike Price  Warrants  Value 
Aventine Renewable Energy Holdings, Inc. (F)  3/15/15  $40.94  19  $-- 
Total warrants (cost $881)        $-- 
 
 
SHORT-TERM INVESTMENTS (4.5%)(a)         
      Principal amount/shares  Value 
Putnam Cash Collateral Pool, LLC 0.21% (d)      $91,137  $91,137 
Putnam Money Market Liquidity Fund 0.17% (e)      $1,003,184  1,003,184 
U.S. Treasury Bills for effective yields ranging from         
0.23% to 0.24%, October 20, 2011 (SEG)      269,000  268,650 
U.S. Treasury Bills for an effective yield of 0.26%,         
March 10, 2011 (SEG)      147,000  146,990 
Total short-term investments (cost $1,509,894)        $1,509,961 
 
 
TOTAL INVESTMENTS         
Total investments (cost $26,184,044)(b)        $33,408,913 

 


FORWARD CURRENCY CONTRACTS at 2/28/11 (aggregate face value $19,080,296) (Unaudited)

            Unrealized 
    Contract  Delivery    Aggregate  appreciation/ 
Counterparty  Currency  type  date  Value  face value  (depreciation) 
 
Bank of America, N.A.           
  Australian Dollar  Sell  3/16/11  $16,678  $16,552  $(126) 
  Brazilian Real  Buy  3/16/11  7,671  7,649  22 
  British Pound  Sell  3/16/11  255,538  253,575  (1,963) 
  Canadian Dollar  Sell  3/16/11  437,931  427,671  (10,260) 
  Chilean Peso  Sell  3/16/11  36,927  37,232  305 
  Czech Koruna  Buy  3/16/11  22,358  22,206  152 
  Euro  Buy  3/16/11  247,025  243,797  3,228 
  Japanese Yen  Sell  3/16/11  139,525  137,109  (2,416) 
  Mexican Peso  Buy  3/16/11  10,546  10,602  (56) 
  Norwegian Krone  Buy  3/16/11  248,700  242,954  5,746 
  Singapore Dollar  Sell  3/16/11  2,439  2,433  (6) 
  South Korean Won  Buy  3/16/11  73,181  74,744  (1,563) 
  Swedish Krona  Buy  3/16/11  67,418  64,043  3,375 
  Swiss Franc  Sell  3/16/11  158,721  157,512  (1,209) 
  Taiwan Dollar  Buy  3/16/11  36,885  37,609  (724) 
  Turkish Lira  Buy  3/16/11  33,417  33,797  (380) 
 
Barclays Bank PLC           
  Australian Dollar  Buy  3/16/11  91,121  90,597  524 
  Brazilian Real  Buy  3/16/11  120,873  120,241  632 
  British Pound  Sell  3/16/11  75,474  74,920  (554) 
  Canadian Dollar  Sell  3/16/11  67,635  66,180  (1,455) 
  Chilean Peso  Sell  3/16/11  11,548  11,400  (148) 
  Czech Koruna  Buy  3/16/11  43,434  43,921  (487) 
  Euro  Buy  3/16/11  454,168  450,033  4,135 
  Hungarian Forint  Buy  3/16/11  21,515  21,266  249 
  Indian Rupee  Sell  3/16/11  11,832  11,735  (97) 
  Japanese Yen  Sell  3/16/11  506,611  509,105  2,494 
  Mexican Peso  Buy  3/16/11  27,744  27,901  (157) 
  New Zealand Dollar  Sell  3/16/11  21,517  22,023  506 
  Norwegian Krone  Sell  3/16/11  88,484  86,523  (1,961) 
  Philippines Peso  Buy  3/16/11  30,335  30,081  254 
  Polish Zloty  Buy  3/16/11  57,910  58,604  (694) 
  Singapore Dollar  Buy  3/16/11  38,626  38,465  161 
  South Korean Won  Buy  3/16/11  20,809  21,163  (354) 
  Swedish Krona  Sell  3/16/11  75,976  74,700  (1,276) 
  Swiss Franc  Sell  3/16/11  116,726  111,735  (4,991) 
  Taiwan Dollar  Buy  3/16/11  19,438  19,771  (333) 
  Thai Baht  Buy  3/16/11  29,615  29,365  250 
  Turkish Lira  Sell  3/16/11  1,624  1,645  21 
 
Citibank, N.A.           
  Australian Dollar  Buy  3/16/11  64,578  64,331  247 
  Brazilian Real  Buy  3/16/11  57,530  57,348  182 
  British Pound  Buy  3/16/11  71,082  70,544  538 
  Canadian Dollar  Buy  3/16/11  69,385  67,921  1,464 
  Chilean Peso  Buy  3/16/11  64,617  63,727  890 
  Czech Koruna  Buy  3/16/11  42,323  41,954  369 
  Danish Krone  Sell  3/16/11  5,053  5,049  (4) 
  Euro  Buy  3/16/11  201,208  201,035  173 
  Hong Kong Dollar  Sell  3/16/11  196,515  196,575  60 
  Hungarian Forint  Sell  3/16/11  18,420  18,516  96 
  Japanese Yen  Sell  3/16/11  390,606  392,544  1,938 
  Mexican Peso  Buy  3/16/11  70,112  70,576  (464) 
  New Zealand Dollar  Sell  3/16/11  1,354  1,385  31 
  Norwegian Krone  Sell  3/16/11  36,910  36,066  (844) 
  Polish Zloty  Buy  3/16/11  53,136  53,701  (565) 
  Singapore Dollar  Sell  3/16/11  19,274  19,263  (11) 
  South African Rand  Sell  3/16/11  38,434  36,667  (1,767) 
  South Korean Won  Buy  3/16/11  34,252  35,019  (767) 
  Swedish Krona  Buy  3/16/11  109,795  107,876  1,919 
  Swiss Franc  Buy  3/16/11  360,622  358,082  2,540 
  Taiwan Dollar  Sell  3/16/11  6,548  6,782  234 
  Turkish Lira  Sell  3/16/11  13,679  13,837  158 
 
Credit Suisse AG           
  Australian Dollar  Buy  3/16/11  125,189  124,220  969 
  Brazilian Real  Buy  3/16/11  72,032  71,516  516 
  British Pound  Buy  3/16/11  565,404  561,084  4,320 
  Canadian Dollar  Sell  3/16/11  46,634  45,636  (998) 
  Czech Koruna  Buy  3/16/11  35,860  36,248  (388) 
  Euro  Buy  3/16/11  44,023  44,200  (177) 
  Indian Rupee  Sell  3/16/11  11,661  11,569  (92) 
  Japanese Yen  Buy  3/16/11  464,189  466,472  (2,283) 
  Malaysian Ringgit  Buy  3/16/11  48,893  49,123  (230) 
  Norwegian Krone  Sell  3/16/11  86,361  82,909  (3,452) 
  Polish Zloty  Sell  3/16/11  14,112  13,765  (347) 
  South African Rand  Sell  3/16/11  5,717  5,500  (217) 
  South Korean Won  Buy  3/16/11  48,390  49,299  (909) 
  Swedish Krona  Buy  3/16/11  28,057  27,562  495 
  Swiss Franc  Buy  3/16/11  73,330  72,927  403 
  Taiwan Dollar  Buy  3/16/11  20,259  20,362  (103) 
  Turkish Lira  Buy  3/16/11  57,777  58,161  (384) 
 
Deutsche Bank AG           

 


Australian Dollar  Buy  3/16/11  111,562  110,525  1,037 
Brazilian Real  Buy  3/16/11  47,043  46,772  271 
Canadian Dollar  Buy  3/16/11  275,277  269,190  6,087 
Chilean Peso  Buy  3/16/11  1,435  1,416  19 
Czech Koruna  Sell  3/16/11  11,020  10,755  (265) 
Euro  Sell  3/16/11  77,696  77,643  (53) 
Hungarian Forint  Sell  3/16/11  11,779  11,840  61 
Malaysian Ringgit  Buy  3/16/11  47,877  48,129  (252) 
Mexican Peso  Buy  3/16/11  12,263  12,336  (73) 
New Zealand Dollar  Sell  3/16/11  17,981  18,397  416 
Norwegian Krone  Buy  3/16/11  100,454  98,092  2,362 
Philippines Peso  Buy  3/16/11  30,179  29,902  277 
Polish Zloty  Sell  3/16/11  52,718  51,420  (1,298) 
Singapore Dollar  Buy  3/16/11  26,511  26,483  28 
South Korean Won  Buy  3/16/11  73,301  74,594  (1,293) 
Swedish Krona  Sell  3/16/11  146,994  145,290  (1,704) 
Swiss Franc  Sell  3/16/11  145,261  144,314  (947) 
Taiwan Dollar  Sell  3/16/11  2,690  2,780  90 
Turkish Lira  Buy  3/16/11  29,545  29,916  (371) 
 
Goldman Sachs International           
Australian Dollar  Sell  3/16/11  27,255  27,042  (213) 
British Pound  Sell  3/16/11  49,774  49,395  (379) 
Canadian Dollar  Sell  3/16/11  182,420  178,650  (3,770) 
Chilean Peso  Sell  3/16/11  84  83  (1) 
Euro  Buy  3/16/11  166,017  164,271  1,746 
Hungarian Forint  Sell  3/16/11  38,729  38,360  (369) 
Japanese Yen  Sell  3/16/11  193,379  191,561  (1,818) 
Norwegian Krone  Buy  3/16/11  85,469  83,516  1,953 
Polish Zloty  Buy  3/16/11  30,732  30,874  (142) 
South African Rand  Buy  3/16/11  9,834  9,472  362 
Swedish Krona  Sell  3/16/11  99,091  97,372  (1,719) 
Swiss Franc  Sell  3/16/11  201,793  200,475  (1,318) 
 
HSBC Bank USA, National Association           
Australian Dollar  Sell  3/16/11  20,848  20,685  (163) 
British Pound  Sell  3/16/11  75,474  74,897  (577) 
Euro  Buy  3/16/11  164,223  164,106  117 
Hong Kong Dollar  Buy  3/16/11  93,249  93,287  (38) 
Indian Rupee  Sell  3/16/11  11,663  11,570  (93) 
Japanese Yen  Sell  3/16/11  357,639  356,099  (1,540) 
New Zealand Dollar  Sell  3/16/11  45,441  46,491  1,050 
Norwegian Krone  Buy  3/16/11  158,201  154,548  3,653 
Philippines Peso  Buy  3/16/11  30,179  29,964  215 
Singapore Dollar  Buy  3/16/11  3,619  3,614  5 
South Korean Won  Buy  3/16/11  80,573  82,284  (1,711) 
Swiss Franc  Sell  3/16/11  129,863  126,325  (3,538) 
Taiwan Dollar  Sell  3/16/11  19,516  20,177  661 
 
JPMorgan Chase Bank, N.A.           
Australian Dollar  Buy  3/16/11  356,754  353,940  2,814 
Brazilian Real  Buy  3/16/11  98,580  98,033  547 
British Pound  Buy  3/16/11  63,600  63,115  485 
Canadian Dollar  Buy  3/16/11  121,682  119,030  2,652 
Chilean Peso  Buy  3/16/11  17,804  17,585  219 
Czech Koruna  Sell  3/16/11  45,401  44,304  (1,097) 
Euro  Sell  3/16/11  584,994  583,715  (1,279) 
Hong Kong Dollar  Buy  3/16/11  71,391  71,413  (22) 
Hungarian Forint  Sell  3/16/11  44,416  44,746  330 
Japanese Yen  Sell  3/16/11  226,496  225,661  (835) 
Malaysian Ringgit  Buy  3/16/11  44,210  44,401  (191) 
Mexican Peso  Buy  3/16/11  154,739  155,399  (660) 
New Zealand Dollar  Sell  3/16/11  18,507  18,931  424 
Norwegian Krone  Sell  3/16/11  212,450  207,521  (4,929) 
Polish Zloty  Sell  3/16/11  12,021  11,726  (295) 
Singapore Dollar  Buy  3/16/11  64,980  64,935  45 
South African Rand  Buy  3/16/11  22,354  21,536  818 
South Korean Won  Buy  3/16/11  33,458  34,156  (698) 
Swedish Krona  Sell  3/16/11  123,437  121,491  (1,946) 
Swiss Franc  Sell  3/16/11  142,461  141,423  (1,038) 
Taiwan Dollar  Buy  3/16/11  43,178  44,679  (1,501) 
Thai Baht  Buy  3/16/11  30,095  29,847  248 
Turkish Lira  Sell  3/16/11  12,305  12,437  132 
 
Royal Bank of Scotland PLC (The)           
Australian Dollar  Buy  3/16/11  121,833  120,817  1,016 
Brazilian Real  Buy  3/16/11  52,076  51,791  285 
British Pound  Sell  3/16/11  185,920  184,523  (1,397) 
Canadian Dollar  Sell  3/16/11  23,780  23,533  (247) 
Chilean Peso  Sell  3/16/11  36,385  35,835  (550) 
Czech Koruna  Sell  3/16/11  24,302  23,657  (645) 
Euro  Buy  3/16/11  448,647  448,039  608 
Hungarian Forint  Buy  3/16/11  53,529  52,930  599 
Japanese Yen  Sell  3/16/11  222,965  224,086  1,121 
Malaysian Ringgit  Buy  3/16/11  48,893  49,073  (180) 
Norwegian Krone  Sell  3/16/11  21,443  21,181  (262) 
Polish Zloty  Buy  3/16/11  41,359  41,871  (512) 
Singapore Dollar  Buy  3/16/11  21,948  21,866  82 
South African Rand  Buy  3/16/11  3,330  3,256  74 
South Korean Won  Buy  3/16/11  13,332  13,607  (275) 
Swedish Krona  Sell  3/16/11  50,729  49,887  (842) 

 


  Swiss Franc  Sell  3/16/11  116,187  115,118  (1,069) 
  Taiwan Dollar  Buy  3/16/11  24,533  25,383  (850) 
  Turkish Lira  Buy  3/16/11  10,119  10,160  (41) 
 
State Street Bank and Trust Co.           
  Australian Dollar  Buy  3/16/11  104,748  103,949  799 
  Brazilian Real  Buy  3/16/11  99,598  99,275  323 
  British Pound  Sell  3/16/11  161,196  159,946  (1,250) 
  Canadian Dollar  Buy  3/16/11  34,693  34,108  585 
  Euro  Buy  3/16/11  80,870  80,623  247 
  Hungarian Forint  Sell  3/16/11  17,888  17,923  35 
  Japanese Yen  Sell  3/16/11  176,317  174,582  (1,735) 
  Malaysian Ringgit  Buy  3/16/11  51,807  52,002  (195) 
  Mexican Peso  Buy  3/16/11  33,636  33,404  232 
  Norwegian Krone  Sell  3/16/11  40,175  39,281  (894) 
  Philippines Peso  Buy  3/16/11  30,179  29,953  226 
  Polish Zloty  Buy  3/16/11  80,314  81,562  (1,248) 
  Swedish Krona  Sell  3/16/11  76,465  75,181  (1,284) 
  Swiss Franc  Sell  3/16/11  76,668  76,109  (559) 
  Taiwan Dollar  Buy  3/16/11  18,127  18,398  (271) 
  Thai Baht  Buy  3/16/11  30,095  29,829  266 
 
UBS AG           
  Australian Dollar  Sell  3/16/11  71,900  70,620  (1,280) 
  British Pound  Sell  3/16/11  177,950  176,616  (1,334) 
  Canadian Dollar  Sell  3/16/11  426,813  417,135  (9,678) 
  Czech Koruna  Buy  3/16/11  36,235  36,576  (341) 
  Euro  Sell  3/16/11  235,985  234,394  (1,591) 
  Hungarian Forint  Sell  3/16/11  14,562  14,503  (59) 
  Indian Rupee  Buy  3/16/11  29,767  29,406  361 
  Japanese Yen  Sell  3/16/11  234,591  233,184  (1,407) 
  Mexican Peso  Buy  3/16/11  71,680  71,732  (52) 
  Norwegian Krone  Sell  3/16/11  35,501  34,901  (600) 
  Polish Zloty  Buy  3/16/11  39,060  39,462  (402) 
  South African Rand  Buy  3/16/11  8,090  7,795  295 
  Swedish Krona  Buy  3/16/11  415,577  408,496  7,081 
  Swiss Franc  Buy  3/16/11  44,472  44,541  (69) 
  Thai Baht  Buy  3/16/11  29,615  29,345  270 
 
Westpac Banking Corp.           
  Australian Dollar  Buy  3/16/11  141,258  140,150  1,108 
  British Pound  Sell  3/16/11  262,044  260,032  (2,012) 
  Canadian Dollar  Buy  3/16/11  70,312  68,815  1,497 
  Euro  Buy  3/16/11  150,009  149,880  129 
  Japanese Yen  Sell  3/16/11  276,887  275,721  (1,166) 
  New Zealand Dollar  Buy  3/16/11  226  231  (5) 
  Norwegian Krone  Buy  3/16/11  144,732  141,541  3,191 
  Swedish Krona  Sell  3/16/11  56,840  55,888  (952) 
  Swiss Franc  Sell  3/16/11  172,612  171,448  (1,164) 
 
Total          $(30,616) 

 


FUTURES CONTRACTS OUTSTANDING at 2/28/11 (Unaudited)

        Unrealized 
  Number of    Expiration  appreciation/ 
  contracts  Value  date  (depreciation) 
DAX Index (Long)  1  $251,059  Mar-11  $10,298 
Euro STOXX 50 Index (Short)  10  415,884  Mar-11  (8,555) 
FTSE 100 Index (Short)  2  194,354  Mar-11  (916) 
FTSE/MIB Index (Short)  2  310,264  Mar-11  1,363 
MSCI EAFE Index E-Mini (Short)  9  791,145  Mar-11  (60,678) 
NASDAQ 100 Index E-Mini (Short)  10  470,150  Mar-11  (7,069) 
S&P 500 Index E-Mini (Long)  18  1,193,400  Mar-11  66,636 
S&P 500 Index E-Mini (Short)  9  596,700  Mar-11  (33,531) 
S&P Mid Cap 400 Index E-Mini (Long)  1  96,590  Mar-11  5,394 
S&P/TSX 60 Index (Long)  1  167,357  Mar-11  9,531 
SPI 200 Index (Short)  1  122,930  Mar-11  (1,405) 
Tokyo Price Index (Long)  6  698,024  Mar-11  47,642 
Total        $28,710 

 


TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/11 (Unaudited)

        Fixed payments  Total return  Unrealized 
Swap counterparty /      Termination  received (paid) by  received by  appreciation/ 
Notional amount      date  fund per annum  or paid by fund  (depreciation) 
Citibank, N.A.           
  $143  (F)  2/22/12  (1 month USD-  MSCI Daily Total  $1,050 
        LIBOR-BBA plus  Return Net   
        0.45%)  Brazil USD Index   
  137  (F)  2/22/12  (1 month USD-  MSCI Daily Total  1,938 
        LIBOR-BBA plus  Return Net   
        0.50%)  Brazil USD Index   
  41  (F)  2/22/12  (1 month USD-  MSCI Daily Total  260 
        LIBOR-BBA plus  Return Net   
        0.50%)  Brazil USD Index   
JPMorgan Chase Bank, N.A.           
shares  17,338    10/20/11  (3 month USD-  iShares MSCI  (20,258) 
        LIBOR-BBA plus  Emerging Markets   
        5 bp)  Index   
Total            $(17,010) 

 

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures ("ASC 820") based on the securities' valuation inputs.


Key to holding's abbreviations

ADR  American Depository Receipts 
ADS  American Depository Shares 
ETF  Exchange Traded Fund 
GDR  Global Depository Receipts 
NVDR  Non-voting Depository Receipt 
OJSC  Open Joint Stock Company 
SPDR  S&P 500 Index Depository Receipts 

 

Notes to the fund's portfolio

Unless noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from December 1, 2010, through February 28, 2011 (the reporting period).

(a) Percentages indicated are based on net assets of $33,275,456.

(b) The aggregate identified cost on a tax basis is $31,684,657, resulting in gross unrealized appreciation and depreciation of $2,053,218 and $328,962, respectively, or net unrealized appreciation of $1,724,256.

(NON) Non-income-producing security.

(SEG) These securities, in part or in entirety, were pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.

(d) The fund may lend securities, through its agent, to qualified borrowers in order to earn additional income. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the fund on the next business day. The risk of borrower default will be borne by the fund’s agent; the fund will bear the risk of loss with respect to the investment of the cash collateral. At the close of the reporting period, the value of securities loaned amounted to $88,832. The fund received cash collateral of $91,137 which is invested in Putnam Cash Collateral Pool, LLC, a limited liability company managed by an affiliate of Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Cash Collateral Pool, LLC are valued at its closing net asset value each business day. There are no management fees charged by Putnam Cash Collateral Pool, LLC. The rate quoted in the security description is the annualized 7-day yield at the close fo the reporting period.

(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC (Putnam Management), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $2,221 for the reporting period. During the reporting period, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $16,468,100 and $18,508,423, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.

(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as Level 2 or Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures (ASC 820) based on the securities' valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio.

(R) Real Estate Investment Trust.

(S) Securities on loan, in part or in entirety, at the close of the reporting period.

At the close of the reporting period, the fund maintained liquid assets totaling $68,669 to cover certain derivatives contracts.

ADR, ADS or GDR after the name of a foreign holding represents ownership of foreign securities on deposit with a custodian bank.

DIVERSIFICATION BY COUNTRY

Distribution of investments by country of risk at the close of the reporting period (as a percentage of Portfolio Value):

United States  74.6 % 
Japan  3.9 
United Kingdom  3.3 
China  2.2 
Italy  2.0 
Brazil  1.7 
France  1.4 
Australia  1.4 
South Korea  1.2 
Russia  0.9 
Taiwan  0.8 
Switzerland  0.7 
Netherlands  0.7 
Sweden  0.6 
Norway  0.5 
Hong Kong  0.4 
Spain  0.4 
Bermuda  0.4 
South Africa  0.3 
Canada  0.3 
Austria  0.2 

 


Portugal  0.2 
Israel  0.2 
Greece  0.2 
New Zealand  0.2 
Singapore  0.2 
Denmark  0.2 
India  0.2 
Mexico  0.1 
Indonesia  0.1 
Thailand  0.1 
Ireland  0.1 
Turkey  0.1 
Belgium  0.1 
Finland  0.1 
Total  100.0% 

 

Security valuation: Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities. If no sales are reported -- as in the case of some securities traded over-the-counter -- a security is valued at its last reported bid price and is generally categorized as a Level 2 security.

Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. These securities, which will generally represent a transfer from a Level 1 to a Level 2 security, will be classified as Level 2. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.

To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Investment Management, LLC (Putnam Management), the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC, does not believe accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures and recovery rates. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.

Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.

Futures contracts: The fund uses futures contracts to hedge interest rate risk, to gain exposure to interest rates, to hedge prepayment risk, to equitize cash and to manage exposure to market risk.

The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When the contract is 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.

Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.” The fund had an average number of futures contracts of approximately 81 for the reporting period.

Forward currency contracts: The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure on currency. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is 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. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. The fund had an average contract amount of approximately $21,000,000 on forward currency contracts for the reporting period.

Total return swap contracts: The fund enters into total return swap contracts, which are arrangements to exchange a market linked return for a periodic payment, both based on a notional principal amount to hedge sector exposure, manage exposure to specific sectors or industries, to manage exposure to credit risk, to gain exposure to specific markets/countries sectors/industries, to gain exposure to rates of inflation in specific regions/countries and to hedge inflation in specific regions/countries. To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. Total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. The fund had an average notional amount of approximately $2,700,000 on total return swap contracts for the reporting period.


Master agreements: The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund's future derivative activity.

At the close of the reporting period, the fund had a net liability position of $62,300 on derivative contracts subject to the Master Agreements. There was no collateral posted by the fund.


ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund’s investments. The three levels are defined as follows:

Level 1 – Valuations based on quoted prices for identical securities in active markets.

Level 2 – Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.

Level 3 – Valuations based on inputs that are unobservable and significant to the fair value measurement.

The following is a summary of the inputs used to value the fund’s net assets as of the close of the reporting period:

    Valuation inputs    
Investments in securities:  Level 1  Level 2  Level 3 
Common stocks:       
Basic materials  $1,679,169  $596,981  $-- 
Capital goods  1,493,979  424,681  -- 
Communication services  1,139,887  161,063  -- 
Conglomerates  560,435  103,461  -- 
Consumer cyclicals  3,388,388  254,369  -- 
Consumer staples  2,341,158  135,053  1,005 
Energy  3,402,566  129,814  -- 
Financial  3,830,791  589,604  10 
Health care  2,946,050  17,151  -- 
Technology  4,737,455  599,454  -- 
Transportation  190,177  167,777  -- 
Utilities and power  952,497  104,069  -- 
Total common stocks  26,662,552  3,283,477  1,015 
Investment companies  1,951,908  --  -- 
Short-term investments  1,003,184  506,777  -- 
Totals by level  $29,617,644  $3,790,254  $1,015 
 
 
 
    Valuation inputs    
Other financial instruments:  Level 1  Level 2  Level 3 
Forward currency contracts  --  (30,616)  -- 
Futures contracts  28,710  --  -- 
Total return swap contracts  --  (17,010)  -- 
Totals by level  $28,710  $(47,626)  $-- 

 

At the start and/or close of the reporting period, Level 3 investments in securities and other financial instruments were not considered a significant portion of the fund's portfolio.

Market Values of Derivative Instruments as of the close of the reporting period

  Asset derivatives  Liability derivatives 
 
Derivatives not accounted for as hedging instruments under ASC 815  Market value  Market value 
Foreign exchange contracts  $89,150  $119,766 
Equity contracts  123,854  112,154 
Total  $213,004  $231,920 

 

For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com

 


Item 2. Controls and Procedures:

(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.

(b) Changes in internal control over financial reporting: Not applicable

Item 3. Exhibits:

Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.

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.

Putnam Funds Trust

By (Signature and Title):

/s/ Janet C. Smith
Janet C. Smith
Principal Accounting Officer
Date: April 28, 2011

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.

By (Signature and Title):

/s/ Jonathan S. Horwitz
Jonathan S. Horwitz
Principal Executive Officer
Date: April 28, 2011

By (Signature and Title):

/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: April 28, 2011