0000928816-13-000703.txt : 20130426 0000928816-13-000703.hdr.sgml : 20130426 20130426171427 ACCESSION NUMBER: 0000928816-13-000703 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20130228 FILED AS OF DATE: 20130426 DATE AS OF CHANGE: 20130426 EFFECTIVENESS DATE: 20130426 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PUTNAM FUNDS TRUST CENTRAL INDEX KEY: 0001005942 IRS NUMBER: 043299786 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-07513 FILM NUMBER: 13788323 BUSINESS ADDRESS: STREET 1: ONE POST STREET 2: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6172921010 MAIL ADDRESS: STREET 1: ONE POST OFFICE SQUARE CITY: BOSTON STATE: MA ZIP: 02109 0001005942 S000024277 Putnam Dynamic Risk Allocation Fund C000071723 Class A C000071724 Class B C000071725 Class C C000071726 Class M C000071727 Class R C000071728 Class Y C000118009 Class R6 C000118010 Class R5 N-Q 1 a_dynamicriskall.htm PUTNAM FUNDS TRUST a_dynamicriskall.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: Robert T. Burns, 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, 2013
Date of reporting period: February 28, 2013



Item 1. Schedule of Investments:













Putnam Dynamic Risk Allocation Fund

The fund's portfolio
2/28/13 (Unaudited)
COMMON STOCKS (37.0%)(a)
Shares Value
Basic materials (1.6%)
American Vanguard Corp. 352 $10,923
Arkema (France) 1,306 132,252
Assa Abloy AB Class B (Sweden) 3,672 145,476
Axiall Corp. 1,607 90,924
BASF SE (Germany) 3,314 311,843
Bemis Co., Inc. 3,114 116,277
BHP Billiton PLC (United Kingdom) 4,588 145,174
BHP Billiton, Ltd. (Australia) 7,789 292,377
Buckeye Technologies, Inc. 415 11,508
Cambrex Corp.(NON) 1,592 18,324
Carpenter Technology Corp. 207 9,777
Eagle Materials, Inc. 290 18,650
Evraz PLC (United Kingdom) 47,156 194,081
Horsehead Holding Corp.(NON) 1,653 17,472
Innophos Holdings, Inc. 424 20,704
Innospec, Inc. 400 16,100
International Flavors & Fragrances, Inc. 2,173 158,586
K&S AG (Germany) 861 40,473
KapStone Paper and Packaging Corp. 573 15,265
Koninklijke Boskalis Westminster NV (Netherlands) 2,571 109,891
Koppers Holdings, Inc. 299 12,403
Kraton Performance Polymers, Inc.(NON) 471 11,323
Kronos Worldwide, Inc. 363 6,211
L.B. Foster Co. Class A 156 6,889
Landec Corp.(NON) 992 10,922
Linde AG (Germany) 915 165,693
LSB Industries, Inc.(NON) 1,201 46,539
Minerals Technologies, Inc. 158 6,358
Nitto Denko Corp. (Japan) 3,600 211,547
NN, Inc.(NON) 1,208 10,461
OM Group, Inc.(NON) 402 9,865
PolyOne Corp. 1,140 25,981
PPG Industries, Inc. 2,712 365,198
Rio Tinto PLC (United Kingdom) 4,424 237,843
Rio Tinto, Ltd. (Australia) 2,359 160,752
Sealed Air Corp. 1,021 22,676
Sherwin-Williams Co. (The) 1,925 311,061
Syngenta AG (Switzerland) 397 168,060
Trex Co., Inc.(NON) 433 20,455
Tronox, Ltd. Class A 355 7,292
voestalpine AG (Austria) 4,067 137,363
W.R. Grace & Co.(NON) 250 17,895
3,848,864
Capital goods (1.3%)
ABB, Ltd. (Switzerland) 7,585 172,347
Alliant Techsystems, Inc. 241 15,858
Altra Holdings, Inc. 888 22,857
AZZ, Inc. 246 10,986
Ball Corp. 4,132 183,502
Chart Industries, Inc.(NON) 381 27,645
Chase Corp. 523 9,853
DXP Enterprises, Inc.(NON) 218 13,560
European Aeronautic Defense and Space Co. NV (France) 5,410 275,543
Franklin Electric Co., Inc. 298 19,391
Generac Holdings, Inc. 495 17,053
General Dynamics Corp. 3,876 263,452
Great Lakes Dredge & Dock Corp. 3,420 33,345
Greenbrier Companies, Inc.(NON) 1,054 21,344
Hyster-Yale Materials Holdings, Inc. 77 3,945
Hyster-Yale Materials Holdings, Inc. Class B(F) 59 3,023
IHI Corp. (Japan) 31,000 86,947
Invensys PLC (United Kingdom) 21,364 115,821
JGC Corp. (Japan) 5,000 137,921
Kadant, Inc.(NON) 600 14,730
Lockheed Martin Corp. 3,164 278,432
McDermott International, Inc.(NON) 1,650 20,988
Miller Industries, Inc. 632 10,061
NACCO Industries, Inc. Class A 77 4,473
Northrop Grumman Corp. 3,212 210,964
Raytheon Co. 4,230 230,831
Republic Services, Inc. 4,497 141,386
Roper Industries, Inc. 1,390 173,208
Schindler Holding AG (Switzerland) 993 153,519
Singapore Technologies Engineering, Ltd. (Singapore) 20,000 68,520
Smith & Wesson Holding Corp.(NON) 542 5,176
Standard Motor Products, Inc. 874 21,614
Standex International Corp. 220 11,840
Sturm Ruger & Co., Inc. 93 5,079
Tetra Tech, Inc.(NON) 344 9,928
TriMas Corp.(NON) 962 27,600
Valmont Industries, Inc. 145 22,845
Vinci SA (France) 4,732 219,100
3,064,687
Communication services (1.2%)
Allot Communications, Ltd. (Israel)(NON) 285 3,913
Aruba Networks, Inc.(NON) 450 11,214
AT&T, Inc. 21,604 775,800
BroadSoft, Inc.(NON) 89 1,869
BT Group PLC (United Kingdom) 31,487 127,904
CalAmp Corp.(NON) 869 9,516
CenturyLink, Inc. 2,596 90,003
Deutsche Telekom AG (Germany) 9,901 106,201
EchoStar Corp. Class A(NON) 2,108 79,767
France Telecom SA (France) 9,761 94,285
HSN, Inc. 135 7,223
IAC/InterActiveCorp. 4,691 191,158
InterDigital, Inc. 106 4,706
InterXion Holding NV (Netherlands)(NON) 394 9,744
Loral Space & Communications, Inc. 210 12,230
NeuStar, Inc. Class A(NON) 381 16,707
NTT DoCoMo, Inc. (Japan) 83 128,367
ShoreTel, Inc.(NON) 1,862 7,560
Tele2 AB Class B (Sweden) 6,000 95,341
Telefonica SA (Spain) 8,998 117,529
Telenor ASA (Norway) 5,503 118,508
Telstra Corp., Ltd. (Australia) 33,110 155,098
USA Mobility, Inc. 670 7,785
Verizon Communications, Inc. 10,713 498,476
Vodafone Group PLC (United Kingdom) 45,002 112,975
2,783,879
Conglomerates (0.8%)
3M Co. 6,997 727,688
Danaher Corp. 6,657 410,071
General Electric Co. 17,292 401,520
Marubeni Corp. (Japan) 9,000 65,692
Siemens AG (Germany) 2,397 249,132
1,854,103
Consumer cyclicals (4.9%)
Advance Auto Parts, Inc. 1,368 104,433
Aeon Co., Ltd. (Japan) 8,600 96,657
Amazon.com, Inc.(NON) 2,982 788,053
AutoZone, Inc.(NON) 500 190,075
Babcock International Group PLC (United Kingdom) 6,905 112,316
Belo Corp. Class A 4,138 35,752
Big Lots, Inc.(NON) 556 18,515
Brunswick Corp. 184 6,705
Buckle, Inc. (The) 193 8,648
Bureau Veritas SA (France) 1,002 129,046
Cabela's, Inc.(NON) 283 14,317
Carmike Cinemas, Inc.(NON) 605 9,474
Cash America International, Inc. 108 5,469
Cie Financiere Richemont SA (Switzerland) 3,095 247,434
Cie Generale des Etablissements Michelin (France) 1,555 138,968
Compass Group PLC (United Kingdom) 8,445 102,586
Cooper Tire & Rubber Co. 1,333 33,698
Copart, Inc.(NON) 1,866 63,705
Corporate Executive Board Co. (The) 126 6,822
Crocs, Inc.(NON) 342 5,185
Daihatsu Motor Co., Ltd. (Japan) 5,000 101,528
Deckers Outdoor Corp.(NON) 131 5,285
Deluxe Corp. 840 33,331
Demand Media, Inc.(NON) 397 3,216
Destination Maternity Corp. 892 19,972
Dollar General Corp.(NON) 2,943 136,379
Dollar Tree, Inc.(NON) 3,575 161,536
Ecolab, Inc. 5,373 411,303
Equifax, Inc. 1,826 100,649
Experian Group, Ltd. (United Kingdom) 6,485 107,374
Francesca's Holdings Corp.(NON) 318 8,093
Fuji Heavy Industries, Ltd. (Japan) 9,000 134,454
G&K Services, Inc. Class A 259 10,793
GameStop Corp. Class A 494 12,380
Genesco, Inc.(NON) 336 19,716
Global Cash Access Holdings, Inc.(NON) 1,111 7,888
Green Dot Corp. Class A(NON) 1,036 14,525
Harbinger Group, Inc.(NON) 1,196 10,250
HMS Holdings Corp.(NON) 278 8,059
Home Depot, Inc. (The) 11,912 815,972
Host Hotels & Resorts, Inc.(R) 7,933 132,243
Isuzu Motors, Ltd. (Japan) 37,000 227,398
KAR Auction Services, Inc. 612 12,987
Kimberly-Clark Corp. 5,760 543,053
Kohl's Corp. 3,603 166,098
La-Z-Boy, Inc. 1,501 27,498
Lumber Liquidators Holdings, Inc.(NON) 85 5,031
Marcus Corp. 1,102 13,455
MasterCard, Inc. Class A 1,519 786,569
MAXIMUS, Inc. 93 6,769
McGraw-Hill Cos., Inc. (The) 3,793 176,564
MGM China Holdings, Ltd. (Hong Kong) 66,000 159,200
Millennial Media, Inc.(NON) 303 2,839
Mitsubishi Motors Corp. (Japan)(NON) 96,000 105,574
MSC Industrial Direct Co., Inc. Class A 863 73,631
Namco Bandai Holdings, Inc. (Japan) 6,100 96,957
Navistar International Corp.(NON) 608 15,097
Next PLC (United Kingdom) 3,831 243,716
Nu Skin Enterprises, Inc. Class A 340 14,008
O'Reilly Automotive, Inc.(NON) 1,787 181,809
Omnicom Group, Inc. 3,838 220,800
OPAP SA (Greece) 9,122 77,458
Paychex, Inc. 9,184 303,990
PetSmart, Inc. 1,787 116,352
Pier 1 Imports, Inc. 242 5,438
Priceline.com, Inc.(NON) 535 367,855
Randstad Holding NV (Netherlands) 1,145 48,529
Reed Elsevier PLC (United Kingdom) 16,197 174,331
Ross Stores, Inc. 3,245 188,080
Ryland Group, Inc. (The) 691 24,683
Scania AB Class B (Sweden) 5,897 122,595
Scripps Networks Interactive Class A 1,585 99,934
Select Comfort Corp.(NON) 384 7,884
Sinclair Broadcast Group, Inc. Class A 1,667 23,471
Six Flags Entertainment Corp. 150 10,022
SJM Holdings, Ltd. (Hong Kong) 56,000 140,074
Sonic Automotive, Inc. Class A 2,486 55,537
Standard Parking Corp.(NON) 774 16,064
Suzuki Motor Corp. (Japan) 7,400 176,875
Target Corp. 7,389 465,211
Tempur-Pedic International, Inc.(NON) 422 17,332
Tile Shop Holdings, Inc.(NON) 417 7,352
Time Warner, Inc. 10,537 560,252
Towers Watson & Co. Class A 1,094 72,828
Town Sports International Holdings, Inc. 904 8,380
Tractor Supply Co. 1,268 131,859
ValueClick, Inc.(NON) 662 17,656
Verisk Analytics, Inc. Class A(NON) 2,182 127,691
Viacom, Inc. Class B 6,305 368,590
Volkswagen AG (Preference) (Germany) 881 192,375
VOXX International Corp.(NON) 1,633 16,248
Wal-Mart Stores, Inc. 558 39,495
11,436,298
Consumer staples (3.7%)
AFC Enterprises(NON) 1,657 49,710
Ajinomoto Co., Inc. (Japan) 8,000 106,108
Altria Group, Inc. 14,646 491,373
Anheuser-Busch InBev NV (Belgium) 1,645 154,204
Apollo Group, Inc. Class A(NON) 531 8,958
Associated British Foods PLC (United Kingdom) 5,452 152,925
Avis Budget Group, Inc.(NON) 1,866 43,608
Barrett Business Services, Inc. 328 14,327
Beacon Roofing Supply, Inc.(NON) 487 17,970
Bright Horizons Family Solutions, Inc.(NON) 258 7,214
Brinker International, Inc. 730 24,367
British American Tobacco (BAT) PLC (United Kingdom) 2,760 143,800
Calbee, Inc. (Japan) 1,500 127,834
Coca-Cola Co. (The) 3,187 123,401
Colgate-Palmolive Co. 6,148 703,516
Core-Mark Holding Co., Inc. 226 10,830
DeNA Co., Ltd. (Japan) 2,100 58,903
Diageo PLC (United Kingdom) 4,076 122,189
Distribuidora Internacional de Alimentacion SA (Spain) 16,139 125,782
Domino's Pizza, Inc. 126 6,000
Dunkin' Brands Group, Inc. 1,789 66,461
General Mills, Inc. 10,076 466,015
Geo Group, Inc. (The) 677 23,384
H.J. Heinz Co. 5,506 398,800
Hain Celestial Group, Inc. (The)(NON) 165 9,034
Heineken Holding NV (Netherlands) 2,734 171,356
Hershey Co. (The) 3,187 265,605
Japan Tobacco, Inc. (Japan) 4,000 126,180
Kao Corp. (Japan) 5,100 163,026
Kellogg Co. 4,718 285,439
Koninklijke Ahold NV (Netherlands) 9,412 134,869
Nestle SA (Switzerland) 6,546 456,828
On Assignment, Inc.(NON) 542 11,848
OpenTable, Inc.(NON) 116 6,450
Panera Bread Co. Class A(NON) 508 81,763
Papa John's International, Inc.(NON) 163 8,478
PepsiCo, Inc. 12,009 909,922
Philip Morris International, Inc. 4,118 377,827
Prestige Brands Holdings, Inc.(NON) 561 13,346
Procter & Gamble Co. (The) 3,669 279,504
Reckitt Benckiser Group PLC (United Kingdom) 3,662 246,055
Reynolds American, Inc. 6,293 274,878
SABMiller PLC (United Kingdom) 2,210 109,760
Spartan Stores, Inc. 464 7,730
Starbucks Corp. 8,375 459,118
Suedzucker AG (Germany) 3,270 143,206
Tesco PLC (United Kingdom) 9,978 55,878
Toyota Tsusho Corp. (Japan) 7,800 198,621
TrueBlue, Inc.(NON) 2,030 39,362
Unilever PLC (United Kingdom) 3,025 120,322
United Natural Foods, Inc.(NON) 237 11,997
USANA Health Sciences, Inc.(NON) 109 4,828
Woolworths, Ltd. (Australia) 5,490 195,309
8,616,218
Energy (2.8%)
BP PLC (United Kingdom) 38,683 260,517
Caltex Australia, Ltd. (Australia) 7,997 162,845
Chevron Corp. 10,970 1,285,136
ConocoPhillips 9,138 529,547
CVR Energy, Inc. (Escrow) 401 —
Delek US Holdings, Inc. 435 16,252
ENI SpA (Italy) 9,681 220,160
EPL Oil & Gas, Inc.(NON) 804 20,687
EQT Corp. 2,170 136,905
Exxon Mobil Corp. 20,415 1,828,163
Gulfport Energy Corp.(NON) 195 7,985
Helix Energy Solutions Group, Inc.(NON) 1,463 34,249
Key Energy Services, Inc.(NON) 2,304 19,768
Kodiak Oil & Gas Corp.(NON) 1,146 10,199
Oceaneering International, Inc. 2,124 135,065
Petrofac, Ltd. (United Kingdom) 9,097 200,646
Phillips 66 5,555 349,743
Repsol YPF SA (Spain) 4,597 97,485
Rosetta Resources, Inc.(NON) 207 10,077
Royal Dutch Shell PLC Class A (United Kingdom) 7,445 245,121
Royal Dutch Shell PLC Class B (United Kingdom) 6,851 231,134
Spectra Energy Corp. 7,380 214,315
Statoil ASA (Norway) 4,196 104,019
Stone Energy Corp.(NON) 523 10,695
Swift Energy Co.(NON) 642 8,680
Tesoro Corp. 740 41,618
Total SA (France) 4,034 201,599
Unit Corp.(NON) 232 10,551
Vaalco Energy, Inc.(NON) 2,872 23,292
W&T Offshore, Inc. 465 6,910
Western Refining, Inc. 748 26,846
6,450,209
Financials (9.2%)
3i Group PLC (United Kingdom) 21,221 102,859
AG Mortgage Investment Trust, Inc.(R) 283 7,423
Ageas (Belgium) 4,196 142,485
Agree Realty Corp.(R) 464 13,024
AIA Group, Ltd. (Hong Kong) 35,400 153,485
Alexandria Real Estate Equities, Inc.(R) 1,673 119,017
Alleghany Corp.(NON) 622 235,035
Allianz SE (Germany) 1,009 137,886
Allied World Assurance Co. Holdings AG 1,999 175,532
American Campus Communities, Inc.(R) 4,849 219,175
American Capital Mortgage Investment Corp.(R) 463 11,899
American Equity Investment Life Holding Co. 1,172 16,267
Amtrust Financial Services, Inc. 264 8,778
Apartment Investment & Management Co. Class A(R) 304 9,004
Apollo Commercial Real Estate Finance, Inc.(R) 503 8,677
Apollo Residential Mortgage, Inc. 508 11,369
Arlington Asset Investment Corp. Class A 314 8,101
ARMOUR Residential REIT, Inc.(R) 1,516 10,142
Arthur J Gallagher & Co. 5,022 193,247
Ashford Hospitality Trust, Inc.(R) 1,893 22,281
Australia & New Zealand Banking Group, Ltd. (Australia) 4,539 132,937
AvalonBay Communities, Inc.(R) 1,304 162,778
AXA SA (France) 10,243 177,154
Banco Bilbao Vizcaya Argentaria SA (BBVA) (Spain) 11,213 108,397
Banco Latinoamericano de Exportaciones SA Class E (Panama) 1,090 26,356
Banco Santander Central Hispano SA (Spain) 20,961 159,025
Bank of Hawaii Corp. 6,517 315,358
Barclays PLC (United Kingdom) 65,747 305,797
Berkshire Hathaway, Inc. Class B(NON) 1,676 171,220
BlackRock, Inc. 2,789 668,663
BNP Paribas SA (France) 4,198 234,395
BofI Holding, Inc.(NON) 723 24,343
Boston Properties, LP(R) 2,825 293,461
Brandywine Realty Trust(R) 5,043 69,341
BRE Properties(R) 124 6,028
Camden Property Trust(R) 3,504 242,267
Cardinal Financial Corp. 1,004 15,994
CBL & Associates Properties, Inc.(R) 1,759 40,000
Chimera Investment Corp.(R) 3,650 10,877
Chubb Corp. (The) 6,734 565,858
Citizens & Northern Corp. 563 10,979
Citizens Republic Bancorp, Inc.(NON) 522 10,753
CNO Financial Group, Inc. 1,249 13,664
Commonwealth Bank of Australia (Australia) 4,882 335,058
Cousins Properties, Inc.(R) 10,236 99,494
Credit Acceptance Corp.(NON) 158 17,464
Credit Agricole SA (France)(NON) 14,414 135,587
Credit Suisse Group (Switzerland) 3,093 82,385
Cullen/Frost Bankers, Inc. 6,887 417,077
CYS Investments, Inc.(R) 987 11,706
DBS Group Holdings, Ltd. (Singapore) 9,000 109,281
Deutsche Bank AG (Germany) 3,556 162,419
Dexus Property Group (Australia) 122,553 136,466
Digital Realty Trust, Inc.(R) 1,123 75,219
Discover Financial Services 12,893 496,767
Douglas Emmett, Inc.(R) 3,898 95,540
Duke Realty Corp.(R) 1,226 19,812
DuPont Fabros Technology, Inc.(R) 2,382 55,167
Dynex Capital, Inc.(R) 1,450 15,704
E*Trade Financial Corp.(NON) 687 7,358
Eagle Bancorp, Inc.(NON) 419 9,092
East West Bancorp, Inc. 774 19,040
EastGroup Properties, Inc.(R) 1,499 85,158
EPR Properties(R) 186 9,075
Equity Residential Trust(R) 7,490 412,250
Essex Property Trust, Inc.(R) 722 107,571
Everest Re Group, Ltd. 2,054 255,949
Extra Space Storage, Inc.(R) 3,413 127,783
Federal Realty Investment Trust(R) 3,063 325,321
Financial Institutions, Inc. 599 11,938
First Community Bancshares Inc. 585 9,138
First Industrial Realty Trust(NON)(R) 618 9,808
Flushing Financial Corp. 1,082 17,096
General Growth Properties(R) 12,388 237,106
Genworth Financial, Inc. Class A(NON) 5,244 44,784
Glimcher Realty Trust(R) 1,126 12,679
Government Properties Income Trust(R) 1,952 51,650
Hang Seng Bank, Ltd. (Hong Kong) 8,800 142,361
Hanmi Financial Corp.(NON) 1,208 20,524
HCP, Inc.(R) 8,264 403,944
Health Care REIT, Inc.(R) 6,266 401,901
Heartland Financial USA, Inc. 388 9,134
Heritage Financial Group, Inc. 509 6,983
HFF, Inc. Class A 1,598 29,339
Highwoods Properties, Inc.(R) 2,372 86,578
Hospitality Properties Trust(R) 4,751 126,852
HSBC Holdings, PLC (United Kingdom) 35,742 396,027
Insurance Australia Group, Ltd. (Australia) 40,409 234,819
IntercontinentalExchange, Inc.(NON) 2,154 333,482
Invesco Mortgage Capital, Inc.(R) 434 9,123
Investors Real Estate Trust(R) 1,399 13,304
iStar Financial, Inc.(NON)(R) 1,175 11,738
Jones Lang LaSalle, Inc. 215 20,778
Joyo Bank, Ltd. (The) (Japan) 22,000 109,848
JPMorgan Chase & Co. 3,871 189,369
Kimco Realty Corp.(R) 11,986 260,935
Lexington Realty Trust(R) 3,582 41,050
Liberty Property Trust(R) 466 18,076
LTC Properties, Inc.(R) 638 24,608
Macerich Co. (The)(R) 1,103 66,301
Maiden Holdings, Ltd. (Bermuda) 1,008 10,161
MainSource Financial Group, Inc. 903 12,642
Medical Properties Trust, Inc.(R) 6,896 100,130
MFA Financial, Inc.(R) 1,633 14,501
Mitsubishi UFJ Financial Group (MUFG), Inc. (Japan) 46,900 259,379
Muenchener Rueckversicherungs AG (Germany) 776 139,293
National Financial Partners Corp.(NON) 464 9,122
National Health Investors, Inc.(R) 586 37,973
Nationstar Mortgage Holdings, Inc.(NON) 650 25,045
Nelnet, Inc. Class A 523 17,353
Northern Trust Corp. 6,352 337,736
Ocwen Financial Corp.(NON) 350 13,797
One Liberty Properties, Inc.(R) 661 14,357
Oriental Financial Group (Puerto Rico) 593 9,079
ORIX Corp. (Japan) 1,290 143,546
PartnerRe, Ltd. 2,646 236,129
People's United Financial, Inc. 38,735 507,429
Peoples Bancorp, Inc. 599 12,980
PHH Corp.(NON) 518 10,883
Popular, Inc. (Puerto Rico)(NON) 471 13,150
Portfolio Recovery Associates, Inc.(NON) 105 12,277
Prologis, Inc.(R) 5,546 215,961
Protective Life Corp. 453 14,460
Prudential PLC (United Kingdom) 10,377 154,006
PS Business Parks, Inc.(R) 374 27,672
Public Storage(R) 4,365 660,032
Ramco-Gershenson Properties Trust(R) 7,377 116,557
Rayonier, Inc.(R) 1,834 102,466
Realty Income Corp.(R) 852 38,894
Regency Centers Corp.(R) 367 19,040
RenaissanceRe Holdings, Ltd. 2,195 191,931
Republic Bancorp, Inc. Class A 403 8,721
Resona Holdings, Inc. (Japan) 21,000 96,236
Retail Opportunity Investments Corp.(R) 8,038 103,771
Select Income REIT(R) 3,050 84,821
Senior Housing Properties Trust(R) 450 11,291
Simon Property Group, Inc.(R) 8,409 1,335,854
SL Green Realty Corp.(R) 2,125 173,443
Sovran Self Storage, Inc.(R) 1,450 88,218
St. Joe Co. (The)(NON) 2,165 48,280
STAG Industrial, Inc.(R) 2,968 62,951
Standard Chartered PLC (United Kingdom) 4,217 114,605
Standard Life PLC (United Kingdom) 21,702 115,739
Starwood Property Trust, Inc.(R) 338 9,447
Stockland (Units) (Australia)(R) 35,023 134,287
Summit Hotel Properties, Inc.(R) 1,737 16,675
Sun Communities, Inc.(R) 256 11,912
Swedbank AB Class A (Sweden) 10,848 259,701
Symetra Financial Corp. 1,008 13,275
T. Rowe Price Group, Inc. 6,673 475,051
Tanger Factory Outlet Centers(R) 1,614 56,958
Taubman Centers, Inc.(R) 266 20,408
Tokyu Land Corp. (Japan) 35,000 264,124
UBS AG (Switzerland) 7,721 121,269
UDR, Inc.(R) 1,773 42,304
Universal Health Realty Income Trust(R) 142 8,110
Validus Holdings, Ltd. 4,649 165,644
Virtus Investment Partners, Inc.(NON) 81 13,609
Visa, Inc. Class A 5,673 899,965
Vornado Realty Trust(R) 3,721 298,461
WageWorks, Inc.(NON) 362 8,547
Walker & Dunlop, Inc.(NON) 996 21,115
Walter Investment Management Corp.(NON) 786 36,093
Washington Banking Co. 712 9,783
Wells Fargo & Co. 5,101 178,943
Westfield Group (Australia) 9,782 111,569
Westpac Banking Corp. (Australia) 5,259 164,957
Wheelock and Co., Ltd. (Hong Kong) 35,000 191,301
World Acceptance Corp.(NON) 110 8,657
21,610,423
Health care (4.3%)
Abbott Laboratories 9,200 310,868
AbbVie, Inc. 9,200 339,664
Air Methods Corp. 303 13,571
Alere, Inc.(NON) 1,115 25,377
Alfresa Holdings Corp. (Japan) 1,800 88,624
Align Technology, Inc.(NON) 255 8,017
Amedisys, Inc.(NON) 926 10,464
AmerisourceBergen Corp. 6,103 288,062
Amgen, Inc. 4,764 435,477
AmSurg Corp.(NON) 359 10,842
AstraZeneca PLC (United Kingdom) 3,358 152,307
athenahealth, Inc.(NON) 121 11,349
Bayer AG (Germany) 1,861 184,338
Becton, Dickinson and Co. 4,534 399,264
Bio-Reference Labs, Inc.(NON) 140 3,707
BioMarin Pharmaceuticals, Inc.(NON) 166 9,623
Bristol-Myers Squibb Co. 10,607 392,141
C.R. Bard, Inc. 2,117 209,265
Cardinal Health, Inc. 7,846 362,564
Centene Corp.(NON) 96 4,322
Coloplast A/S Class B (Denmark) 3,271 170,643
Community Health Systems, Inc. 293 12,382
Computer Programs & Systems, Inc. 85 4,432
Conmed Corp. 772 24,017
CSL, Ltd. (Australia) 2,557 156,519
Cubist Pharmaceuticals, Inc.(NON) 462 19,603
Cyberonics, Inc.(NON) 116 5,307
Elan Corp. PLC ADR (Ireland)(NON) 1,211 13,733
Eli Lilly & Co. 6,517 356,219
Endo Health Solutions, Inc.(NON) 473 14,663
Gentium SpA ADR (Italy)(NON) 407 3,394
GlaxoSmithKline PLC (United Kingdom) 9,644 212,606
Greatbatch, Inc.(NON) 994 26,908
Haemonetics Corp.(NON) 273 11,261
Health Net, Inc.(NON) 372 9,575
HealthSouth Corp.(NON) 699 16,860
Henry Schein, Inc.(NON) 2,327 207,615
Hi-Tech Pharmacal Co., Inc. 163 6,033
Hill-Rom Holdings, Inc. 589 19,307
Impax Laboratories, Inc.(NON) 840 16,657
Jazz Pharmaceuticals PLC(NON) 910 52,944
Johnson & Johnson 3,705 281,988
Lexicon Pharmaceuticals, Inc.(NON) 1,551 3,055
Magellan Health Services, Inc.(NON) 138 7,115
McKesson Corp. 4,832 512,820
MedAssets, Inc.(NON) 1,089 20,114
Medicines Co. (The)(NON) 807 25,671
Merck & Co., Inc. 17,167 733,546
Novartis AG (Switzerland) 3,215 217,744
Novo Nordisk A/S Class B (Denmark) 1,599 279,687
Obagi Medical Products, Inc.(NON) 1,519 20,476
Omega Healthcare Investors, Inc.(R) 5,371 150,334
Omnicare, Inc. 555 20,679
OraSure Technologies, Inc.(NON) 1,073 5,966
Orion OYJ Class B (Finland) 4,173 123,228
Otsuka Holdings Company, Ltd. (Japan) 6,300 201,695
PDL BioPharma, Inc. 1,475 10,532
Perrigo Co. 698 78,993
Pfizer, Inc. 40,581 1,110,702
Pharmacyclics, Inc.(NON) 53 4,652
PharMerica Corp.(NON) 808 11,579
Providence Service Corp. (The)(NON) 1,372 23,434
Quest Diagnostics, Inc. 3,901 219,119
Questcor Pharmaceuticals, Inc. 121 3,945
Roche Holding AG-Genusschein (Switzerland) 1,911 435,706
RTI Biologics, Inc.(NON) 1,700 6,171
Sabra Health Care REIT, Inc.(R) 4,122 108,944
Salix Pharmaceuticals, Ltd.(NON) 100 4,885
Sanofi (France) 2,316 218,675
Santarus, Inc.(NON) 374 4,963
Spectrum Pharmaceuticals, Inc. 783 8,926
STAAR Surgical Co.(NON) 2,251 12,133
Steris Corp. 244 9,516
Suzuken Co., Ltd. (Japan) 1,900 66,086
TearLab Corp.(NON) 833 4,931
Trinity Biotech PLC ADR (Ireland) 443 7,487
Triple-S Management Corp. Class B (Puerto Rico)(NON) 325 5,837
United Therapeutics Corp.(NON) 65 3,888
Ventas, Inc.(R) 7,133 504,874
ViroPharma, Inc.(NON) 811 20,226
Warner Chilcott PLC Class A 1,194 16,131
WellCare Health Plans, Inc.(NON) 565 32,312
10,159,289
Technology (5.3%)
Acacia Research Corp.(NON) 138 3,858
Actuate Corp.(NON) 2,682 16,119
Acxiom Corp.(NON) 1,056 19,230
Analog Devices, Inc. 6,164 278,736
Anixter International, Inc. 167 11,510
Apple, Inc. 13,094 5,779,692
ASML Holding NV (Netherlands) 1,766 125,201
Aspen Technology, Inc.(NON) 359 11,043
Avago Technologies, Ltd. 6,340 216,955
Bottomline Technologies, Inc.(NON) 469 12,724
Brocade Communications Systems, Inc.(NON) 982 5,509
Cirrus Logic, Inc.(NON) 157 3,774
Commvault Systems, Inc.(NON) 225 16,639
Cornerstone OnDemand, Inc.(NON) 224 7,585
CSG Systems International, Inc.(NON) 206 3,998
EnerSys(NON) 588 24,037
Entegris, Inc.(NON) 1,542 14,664
Fair Isaac Corp. 360 15,962
FEI Co. 253 16,025
First Solar, Inc.(NON) 162 4,188
Gemalto NV (Netherlands) 1,223 111,375
GenMark Diagnostics, Inc.(NON) 331 3,452
Google, Inc. Class A(NON) 312 249,974
Honeywell International, Inc. 8,274 580,007
IBM Corp. 6,480 1,301,378
Infoblox, Inc.(NON) 449 9,469
InnerWorkings, Inc.(NON) 676 9,985
Integrated Silicon Solutions, Inc.(NON) 1,757 14,935
IntraLinks Holdings, Inc.(NON) 1,964 11,548
Intuit, Inc. 6,442 415,380
Ixia(NON) 354 7,179
Konica Minolta Holdings, Inc. (Japan) 14,000 106,858
L-3 Communications Holdings, Inc. 1,489 113,566
Lexmark International, Inc. Class A 317 6,980
Linear Technology Corp. 6,351 242,862
LivePerson, Inc.(NON) 515 7,452
Manhattan Associates, Inc.(NON) 238 16,627
Mantech International Corp. Class A 303 7,517
Maxim Integrated Products, Inc. 7,507 234,068
Mentor Graphics Corp.(NON) 1,308 23,165
Microsemi Corp.(NON) 437 9,015
Microsoft Corp. 10,758 299,072
MicroStrategy, Inc. Class A(NON) 92 9,373
Motorola Solutions, Inc. 5,168 321,501
MTS Systems Corp. 240 12,960
NEC Corp. (Japan)(NON) 96,000 236,998
Netscout Systems, Inc.(NON) 457 11,622
NIC, Inc. 416 7,372
NTT Data Corp. (Japan) 23 72,992
Omnivision Technologies, Inc.(NON) 804 12,390
Oracle Corp. 1,374 47,073
Oracle Corp. Japan (Japan) 2,500 105,152
Perficient, Inc.(NON) 810 9,380
Photronics, Inc.(NON) 1,460 9,694
Plantronics, Inc. 222 8,960
Polycom, Inc.(NON) 1,600 14,576
Procera Networks, Inc.(NON) 574 6,716
PTC, Inc.(NON) 415 9,603
QLIK Technologies, Inc.(NON) 331 8,606
Quantum Corp.(NON) 7,624 9,606
RF Micro Devices, Inc.(NON) 1,553 7,159
Rovi Corp.(NON) 764 13,592
Rudolph Technologies, Inc.(NON) 1,097 12,089
Safeguard Scientifics, Inc.(NON) 456 6,904
SAP AG (Germany) 993 77,510
Semtech Corp.(NON) 495 15,132
Silicon Graphics International Corp.(NON) 396 5,960
Silicon Image, Inc.(NON) 2,240 10,326
Softbank Corp. (Japan) 3,200 118,523
Sourcefire, Inc.(NON) 161 8,634
Sparton Corp.(NON) 505 7,242
SS&C Technologies Holdings, Inc.(NON) 375 9,491
Stratasys, Ltd.(NON) 100 6,314
Tangoe, Inc.(NON) 342 4,675
Teradyne, Inc.(NON) 691 11,581
Texas Instruments, Inc. 14,219 488,707
Tyler Technologies, Inc.(NON) 184 10,378
Ultimate Software Group, Inc.(NON) 202 19,851
Ultra Clean Holdings, Inc.(NON) 1,406 8,295
Xilinx, Inc. 6,413 239,013
12,365,263
Transportation (0.8%)
Aegean Marine Petroleum Network, Inc. (Greece) 2,370 15,429
Alaska Air Group, Inc.(NON) 165 8,506
C.H. Robinson Worldwide, Inc. 2,264 129,093
Central Japan Railway Co. (Japan) 2,800 272,091
ComfortDelgro Corp., Ltd. (Singapore) 64,000 99,035
Copa Holdings SA Class A (Panama) 550 57,431
Hankyu Hanshin Holdings, Inc. (Japan) 24,000 131,789
International Consolidated Airlines Group SA (Spain)(NON) 27,898 100,630
J. B. Hunt Transport Services, Inc. 1,439 100,039
Quality Distribution, Inc.(NON) 1,199 9,460
SkyWest, Inc. 868 12,152
Southwest Airlines Co. 11,546 135,088
Swift Transportation Co.(NON) 1,822 24,652
TAL International Group, Inc. 572 24,625
United Parcel Service, Inc. Class B 7,603 628,388
Universal Truckload Services, Inc. 592 10,798
1,759,206
Utilities and power (1.1%)
Chubu Electric Power Co., Inc. (Japan) 2,900 36,342
Consolidated Edison, Inc. 9,094 536,546
DTE Energy Co. 6,091 406,879
Enel SpA (Italy) 32,363 117,174
GDF Suez (France) 5,827 109,797
Kansai Electric Power, Inc. (Japan) 19,500 168,243
Kinder Morgan, Inc. 5,717 211,929
OGE Energy Corp. 4,114 238,242
Pinnacle West Capital Corp. 4,569 255,590
Red Electrica Corporacion SA (Spain) 3,147 174,120
SCANA Corp. 4,866 237,655
United Utilities Group PLC (United Kingdom) 15,094 168,524
2,661,041
Total common stocks (cost $80,970,976) $86,609,480

CORPORATE BONDS AND NOTES (5.1%)(a)
Principal amount Value
Basic materials (0.6%)
Ainsworth Lumber Co., Ltd. 144A sr. notes 7 1/2s, 2017 (Canada) $15,000 $16,034
ArcelorMittal sr. unsec. unsub. notes 10.35s, 2019 (France) 20,000 25,240
ArcelorMittal sr. unsec. unsub. notes 7 1/2s, 2039 (France) 25,000 25,917
Ashland, Inc. 144A company guaranty sr. unsec. unsub. notes 4 3/4s, 2022 40,000 40,700
Ashland, Inc. 144A sr. unsec. unsub. notes 6 7/8s, 2043 25,000 26,188
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018 55,000 60,638
Axiall Corp. 144A company guaranty sr. unsec. notes 4 7/8s, 2023 5,000 5,075
Boise Cascade LLC / Boise Cascade Finance Corp. 144A sr. unsec. notes 6 3/8s, 2020 (United Kingdom) 15,000 15,844
Celanese US Holdings, LLC company guaranty sr. unsec. unsub. notes 4 5/8s, 2022 (Germany) 25,000 25,094
Eagle Spinco, Inc. 144A company guaranty sr. unsec. notes 4 5/8s, 2021 5,000 5,081
Edgen Murray Corp. 144A company guaranty sr. notes 8 3/4s, 2020 25,000 25,625
Eldorado Gold Corp. 144A sr. unsec. notes 6 1/8s, 2020 (Canada) 15,000 15,641
Ferro Corp. sr. unsec. notes 7 7/8s, 2018 15,000 14,888
HD Supply, Inc. 144A company guaranty sr. unsec. notes 11 1/2s, 2020 70,000 80,675
HD Supply, Inc. 144A company guaranty sr. unsec. sub. notes 10 1/2s, 2021 25,000 25,750
HD Supply, Inc. 144A sr. unsec. notes 7 1/2s, 2020 50,000 50,063
Hexion U.S. Finance Corp. 144A sr. notes 6 5/8s, 2020 15,000 14,775
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2020 100,000 111,500
Huntsman International, LLC company guaranty sr. unsec. unsub. notes 4 7/8s, 2020 25,000 24,750
Huntsman International, LLC 144A sr. unsec. notes 4 7/8s, 2020 25,000 24,625
IAMGOLD Corp. 144A company guaranty sr. unsec. notes 6 3/4s, 2020 (Canada) 45,000 43,538
Inmet Mining Corp. 144A company guaranty sr. unsec. notes 7 1/2s, 2021 (Canada) 10,000 10,600
JM Huber Corp. 144A sr. unsec. notes 9 7/8s, 2019 90,000 101,700
Louisiana-Pacific Corp. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020 60,000 68,100
LyondellBasell Industries NV sr. unsec. notes 6s, 2021 200,000 235,000
Momentive Performance Materials, Inc. company guaranty sr. notes 8 7/8s, 2020 20,000 20,550
New Gold, Inc. 144A sr. unsec. notes 6 1/4s, 2022 (Canada) 15,000 15,753
Nufarm Australia Ltd. 144A company guaranty sr. notes 6 3/8s, 2019 (Australia) 15,000 15,825
PolyOne Corp. 144A sr. unsec. notes 5 1/4s, 2023 50,000 50,500
PQ Corp. 144A sr. notes 8 3/4s, 2018 35,000 36,969
Ryerson, Inc./Joseph T Ryerson & Son, Inc. 144A company guaranty sr. notes 9s, 2017 30,000 32,850
Sealed Air Corp. 144A sr. unsec. notes 6 1/2s, 2020 10,000 10,825
Taminco Acquisition Corp. 144A sr. unsec. notes 9 1/8s, 2017 (Belgium)(PIK) 20,000 19,975
Tronox Finance, LLC 144A company guaranty sr. unsec. notes 6 3/8s, 2020 50,000 49,688
USG Corp. sr. unsec. notes 9 3/4s, 2018 45,000 52,931
Weekley Homes, LLC/Weekley Finance Corp. 144A sr. unsec. notes 6s, 2023 15,000 15,300
Weyerhaeuser Co. sr. unsec. unsub. debs. 7 1/8s, 2023(R) 35,000 42,223
1,456,430
Capital goods (0.4%)
ADS Waste Holdings, Inc. 144A sr. notes 8 1/4s, 2020 50,000 53,750
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019 10,000 10,950
BOE Merger Corp. 144A sr. unsec. notes 9 1/2s, 2017(PIK) 15,000 15,900
Bombardier, Inc. 144A sr. notes 6 1/8s, 2023 (Canada) 15,000 15,356
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020 75,000 84,750
Crown Americas LLC/Crown Americas Capital Corp. IV 144A company guaranty sr. unsec. notes 4 1/2s, 2023 20,000 19,550
Delphi Corp. company guaranty sr. unsec. unsub. notes 5s, 2023 50,000 51,875
Dematic SA/DH Services Luxembourg Sarl 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Luxembourg) 65,000 66,463
Exide Technologies sr. notes 8 5/8s, 2018 65,000 54,275
GrafTech International, Ltd. 144A company guaranty sr. unsec. notes 6 3/8s, 2020 60,000 63,750
Legrand France SA sr. unsec. unsub. debs 8 1/2s, 2025 (France) 15,000 19,984
Manitowoc Co., Inc. (The) company guaranty sr. unsec. notes 5 7/8s, 2022 20,000 20,500
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016 15,000 15,113
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 7 1/8s, 2019 110,000 118,113
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu company guaranty sr. notes 5 3/4s, 2020 25,000 25,813
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020 70,000 76,475
Terex Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020 75,000 79,313
Terex Corp. company guaranty sr. unsec. unsub. notes 6s, 2021 55,000 57,063
Triumph Group, Inc. 144A sr. unsec. notes 4 7/8s, 2021 50,000 50,250
899,243
Communication services (0.7%)
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 5 1/4s, 2022 145,000 142,463
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. unsub. notes 5 1/8s, 2023 20,000 19,550
Cequel Communiciations Escrow Capital Corp. 144A sr. unsec. notes 6 3/8s, 2020 10,000 10,338
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 8 3/8s, 2020 30,000 31,575
Crown Castle International Corp. sr. unsec. notes 5 1/4s, 2023 35,000 35,875
CSC Holdings, LLC sr. unsec. unsub. notes 6 3/4s, 2021 100,000 109,375
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018 120,000 135,600
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda) 315,000 340,988
Intelsat Jackson Holdings SA 144A sr. unsec. notes 6 5/8s, 2022 (Bermuda) 20,000 20,150
NII International Telecom Sarl 144A company guaranty sr. unsec. notes 11 3/8s, 2019 (Luxembourg) 20,000 20,800
Quebecor Media, Inc. 144A sr. unsec. notes 7 3/8s, 2021 (Canada) CAD 295,000 311,277
Quebecor Media, Inc. 144A sr. unsec. notes 5 3/4s, 2023 (Canada) $30,000 30,675
Sprint Nextel Corp. sr. unsec. unsub. notes 7s, 2020 385,000 419,650
Windstream Corp. 144A company guaranty sr. unsec. notes 6 3/8s, 2023 25,000 24,500
1,652,816
Consumer cyclicals (1.1%)
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020 170,000 195,925
BC Mountain, LLC/BC Mountain Finance, Inc. 144A company guaranty sr. unsec. notes 7s, 2021 10,000 10,288
Beazer Homes USA, Inc. 144A company guaranty sr. unsec. notes 7 1/4s, 2023 25,000 25,188
Burlington Holdings, LLC/Burlington Holding Finance, Inc. 144A sr. unsec. notes 9s, 2018(PIK) 20,000 19,900
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017 230,000 244,663
Caesars Entertainment Operating Co., Inc. 144A company guaranty sr. notes 9s, 2020 165,000 162,938
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 5 1/4s, 2021 35,000 35,000
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty sr. notes 7 5/8s, 2016 80,000 86,100
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2019 30,000 27,900
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. notes 7 5/8s, 2020 75,000 77,438
FelCor Lodging LP 144A sr. notes 5 5/8s, 2023(R) 15,000 15,094
Gray Television, Inc. company guaranty sr. unsec. notes 7 1/2s, 2020 30,000 31,350
Igloo Holdings Corp. 144A sr. unsec. unsub. notes 8 1/4s, 2017(PIK) 70,000 71,750
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018 55,000 62,356
Isle of Capri Casinos, Inc. 144A sr. unsec. notes 5 7/8s, 2021 60,000 60,000
Jo-Ann Stores Holdings, Inc. 144A sr. unsec. notes 9 3/4s, 2019(PIK) 20,000 20,500
K Hovnanian Enterprises, Inc. 144A company guaranty notes 9 1/8s, 2020 10,000 11,050
K Hovnanian Enterprises, Inc. 144A sr. notes 7 1/4s, 2020 25,000 27,625
Lamar Media Corp. company guaranty sr. sub. notes 5 7/8s, 2022 50,000 54,250
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 5 3/4s, 2023 45,000 47,138
Lennar Corp. 144A company guaranty sr. unsec. notes 4 3/4s, 2022 15,000 14,494
MGM Resorts International company guaranty sr. unsec. notes 7 5/8s, 2017 45,000 49,613
MGM Resorts International company guaranty sr. unsec. unsub. notes 8 5/8s, 2019 125,000 143,438
MGM Resorts International company guaranty sr. unsec. unsub. notes 6 5/8s, 2021 10,000 10,350
MGM Resorts International 144A company guaranty sr. unsec. notes 6 3/4s, 2020 25,000 26,188
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019(PIK) 95,000 98,800
Navistar International Corp. sr. notes 8 1/4s, 2021 70,000 67,550
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019 60,000 62,100
New Academy Finance Co., LLC/New Academy Finance Corp. 144A sr. unsec. notes 8s, 2018(PIK) 50,000 51,438
Nielsen Finance, LLC/Nielsen Finance Co. 144A sr. unsec. notes 4 1/2s, 2020 20,000 19,800
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018 80,000 89,100
Petco Holdings, Inc. 144A sr. notes 8 1/2s, 2017(PIK) 25,000 25,750
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 6s, 2035 90,000 85,950
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019 175,000 190,313
RSI Home Products, Inc. 144A company guaranty notes 6 7/8s, 2018 45,000 45,506
Sabre, Inc. 144A sr. notes 8 1/2s, 2019 10,000 10,850
Sinclair Television Group, Inc. 144A sr. notes 6 1/8s, 2022 15,000 16,013
Six Flags Entertainment Corp. 144A company guaranty sr. unsec. unsub. notes 5 1/4s, 2021 35,000 34,300
Spectrum Brands Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 5,000 5,275
Tempur-Pedic International, Inc. 144A company guaranty sr. unsec. unsub. notes 6 7/8s, 2020 10,000 10,550
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016 130,000 118,950
TRW Automotive, Inc. 144A company guaranty sr. unsec. notes 4 1/2s, 2021 15,000 15,150
Univision Communications, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2021 30,000 32,738
Univision Communications, Inc. 144A sr. notes 7 7/8s, 2020 55,000 60,844
2,571,513
Consumer staples (0.2%)
Claire's Stores, Inc. 144A sr. notes 9s, 2019 30,000 33,300
HDTFS, Inc. 144A company guaranty sr. notes 6 1/4s, 2022 25,000 26,875
HDTFS, Inc. 144A company guaranty sr. notes 5 7/8s, 2020 20,000 20,800
Landry's Holdings II, Inc. 144A sr. unsec. notes 10 1/4s, 2018 30,000 31,200
Post Holdings, Inc. company guaranty sr. unsec. notes 7 3/8s, 2022 5,000 5,400
Revlon Consumer Products Corp. 144A company guaranty sr. unsec. notes 5 3/4s, 2021 65,000 64,756
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 6 1/8s, 2023 10,000 10,500
Wells Enterprises, Inc. 144A sr. notes 6 3/4s, 2020 20,000 21,075
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019 220,000 229,900
443,806
Energy (0.4%)
Access Midstream Partners LP/ACMP Finance Corp. company guaranty sr. unsec. unsub. notes 4 7/8s, 2023 65,000 64,350
Atlas Pipeline Partners LP / Atlas Pipeline Finance Corp. 144A company guaranty sr. notes 6 5/8s, 2020 15,000 15,675
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018 75,000 81,375
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018 85,000 80,538
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018 47,000 48,645
Gulfport Energy Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2020 50,000 52,250
Halcon Resources Corp. 144A sr. unsec. notes 8 7/8s, 2021 75,000 80,625
Hiland Partners LP/Hiland Partners Finance Corp. 144A company guaranty sr. notes 7 1/4s, 2020 20,000 21,600
Newfield Exploration Co. sr. unsec. notes 5 3/4s, 2022 60,000 64,200
Offshore Group Investment, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands) 50,000 54,500
Offshore Group Investment, Ltd. 144A company guaranty sr. notes 7 1/2s, 2019 (Cayman Islands) 50,000 51,563
Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016 45,000 45,225
Sabine Pass LNG LP 144A sr. notes 6 1/2s, 2020 20,000 21,100
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020 110,000 117,013
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018 100,000 105,580
Shelf Drilling Holdings Ltd. 144A sr. notes 8 5/8s, 2018 40,000 42,700
946,939
Financials (0.5%)
Air Lease Corp. company guaranty sr. unsec. unsub. notes 4 3/4s, 2020 30,000 29,850
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017 230,000 256,854
American International Group, Inc. jr. sub. FRB bonds 8.175s, 2068 185,000 244,431
Brookfield Residential Properties, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2020 (Canada) 45,000 47,700
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019 155,000 168,563
E*Trade Financial Corp. sr. unsec. unsub. notes 6 3/8s, 2019 100,000 104,250
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB bonds 6.071s, Perpetual maturity (Jersey) 20,000 17,400
Hub International Ltd. 144A company guaranty sr. notes 8 1/8s, 2018 15,000 15,563
iStar Financial, Inc. sr. unsec. notes 7 1/8s, 2018(R) 30,000 31,238
Nationstar Mortgage, LLC/Nationstar Capital Corp. 144A company guaranty sr. unsec. unsub. notes 6 1/2s, 2021 20,000 20,500
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/2s, 2020 125,000 126,875
Nuveen Investments, Inc. 144A sr. unsec. notes 9 1/8s, 2017 25,000 25,125
1,088,349
Health care (0.4%)
AmSurg Corp. 144A company guaranty sr. unsec. unsub. notes 5 5/8s, 2020 30,000 31,500
Biomet, Inc. 144A sr. unsec. notes 6 1/2s, 2020 25,000 26,438
CDRT Holding Corp. 144A sr. unsec. notes 9 1/4s, 2017(PIK) 60,000 61,800
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019 70,000 76,388
HCA, Inc. sr. notes 6 1/2s, 2020 210,000 235,200
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2019 105,000 108,150
IMS Health, Inc. 144A sr. unsec. notes 6s, 2020 20,000 20,800
Jaguar Holding Co. I 144A sr. unsec. notes 9 3/8s, 2017(PIK) 20,000 21,375
Kinetics Concepts/KCI USA 144A company guaranty notes 10 1/2s, 2018 115,000 123,913
Sky Growth Acquisition Corp. 144A company guaranty sr. unsec. notes 7 3/8s, 2020 85,000 87,656
Tenet Healthcare Corp. company guaranty sr. notes 6 1/4s, 2018 100,000 110,875
Tenet Healthcare Corp. 144A companty guaranty sr. notes 4 1/2s, 2021 15,000 14,794
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018 90,000 97,763
VPI Escrow Corp. 144A sr. unsec. notes 6 3/8s, 2020 5,000 5,400
1,022,052
Technology (0.4%)
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019 280,000 267,400
Ceridian Corp. 144A sr. notes 8 7/8s, 2019 120,000 135,000
CyrusOne LP / CyrusOne Finance Corp. 144A company guaranty sr. unsec. unsub. notes 6 3/8s, 2022 15,000 15,788
First Data Corp. 144A company guaranty notes 8 1/4s, 2021 215,000 219,838
First Data Corp. 144A company guaranty sr. unsec. notes 11 1/4s, 2021 45,000 45,900
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 9 1/4s, 2018 125,000 137,500
Infor US, Inc. company guaranty sr. unsec. unsub. notes 11 1/2s, 2018 50,000 58,500
SunGard Data Systems, Inc. 144A company guaranty sr. sub. notes 6 5/8s, 2019 30,000 30,825
910,751
Transportation (0.1%)
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018 120,000 137,400
137,400
Utilities and power (0.3%)
AES Corp. (VA) sr. unsec. notes 8s, 2020 170,000 197,625
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A notes 11 3/4s, 2022 60,000 69,300
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. 144A sr. notes 10s, 2020 195,000 219,863
EPE Holdings, LLC/EP Energy Bond Co., Inc. 144A sr. unsec. notes 8 1/8s, 2017(PIK) 30,000 30,450
FirstEnergy Corp. sr. unsec. unsub. notes 4 1/4s, 2023 20,000 19,985
GenOn Americas Generation, LLC sr. unsec. notes 9 1/8s, 2031 100,000 111,250
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021 115,000 129,088
Regency Energy Partners company guaranty sr. unsec. unsub. notes 5 1/2s, 2023 30,000 31,629
809,190
Total corporate bonds and notes (cost $11,659,149) $11,938,489

COMMODITY LINKED NOTES (3.5%)(a)(CLN)
Principal amount Value
Deutsche Bank AG/London 144A sr. unsec. notes Ser. A, 1-month LIBOR less 0.16%, 2013 (Indexed to the DB Custom Commodity Index: 75% S&P GSCI Gold Index TR and 25% S&P GSCI Light Energy Index TR multiplied by 3) (United Kingdom) $842,000 $858,082
Deutsche Bank AG/London 144A sr. unsec. notes Ser. 0005, 1-month LIBOR less 0.16%, 2013 (Indexed to the DB Commodity Booster OYE Benchmark Light Energy TR Index multiplied by 3) (United Kingdom) 3,400,000 2,735,300
Deutsche Bank AG/London 144A sr. unsec. notes Ser. 00DL, 1-month LIBOR less 0.16%, 2013 (Indexed to the DB Commodity Booster OYE Benchmark Light Energy TR Index multiplied by 3) (United Kingdom) 440,000 364,056
Deutsche Bank AG/London 144A sr. unsec. notes Ser. A, 1-month LIBOR less 0.16%, 2013 (Indexed to the S&P GSCI TR Index multiplied by 3) (United Kingdom) 1,548,000 1,332,364
UBS AG/London 144A notes 1-month LIBOR less 0.10%, 2013 (Indexed to the UBS Custom Commodity Index: 75% S&P GSCI Gold Index TR and 25% S&P GSCI Light Energy Index TR multiplied by 3) (Jersey) 842,000 858,971
UBS AG/London 144A sr. notes, 1-month LIBOR less 0.10%, 2013 (Indexed to the S&P GSCI TR Index multiplied by 3) (Jersey) 1,548,000 1,333,662
UBS AG/London 144A sr. notes 1-month USD LIBOR, 2013 (Indexed to the UBS Bloomberg CMCI USD TR Index multiplied by 3) (Jersey) 916,000 789,012
Total commodity linked notes (cost $9,536,000) $8,271,447

U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (3.2%)(a)
Principal amount Value
U.S. Government Guaranteed Mortgage Obligations (0.5%)
Government National Mortgage Association Pass-Through Certificates 3s, TBA, March 1, 2043 $1,000,000 $1,046,953
1,046,953
U.S. Government Agency Mortgage Obligations (2.7%)
Federal National Mortgage Association Pass-Through Certificates
     5s, TBA, March 1, 2043 3,000,000 3,248,438
     4s, TBA, March 1, 2043 2,000,000 2,131,875
     3 1/2s, TBA, March 1, 2028 1,000,000 1,060,156
6,440,469
Total U.S. government and agency mortgage obligations (cost $7,468,087) $7,487,422

U.S. TREASURY OBLIGATIONS (0.3%)(a)
Principal amount Value
U.S. Treasury Bonds 4 3/8s, February 15, 2038(i) $248,000 $312,016
U.S. Treasury Notes 1/2s, November 15, 2013(i) 281,000 282,091
Total U.S. treasury obligations (cost $594,107) $594,107

FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (1.6%)(a)
Principal amount/units Value
Spain (Government of) sr. unsec. unsub. bonds 5.85s, 2022 $2,628,000 $3,657,875
Total foreign government and agency bonds and notes (cost $3,641,307) $3,657,875

INVESTMENT COMPANIES (0.5%)(a)
Shares Value
Ares Capital Corp. 9,173 $169,838
iShares MSCI EAFE Index Fund 17,730 1,031,531
Total investment Companies (cost $1,185,488) $1,201,369

PURCHASED EQUITY OPTIONS OUTSTANDING (0.2%)(a)
Expiration Contract
date/ strike amount Value
SPDR S&P 500 ETF Trust (Put) Feb-14/$130.00 29,190 $115,780
SPDR S&P 500 ETF Trust (Put) Jan-14/125.00 35,489 99,176
SPDR S&P 500 ETF Trust (Put) Dec-13/120.00 36,486 69,049
SPDR S&P 500 ETF Trust (Put) Nov-13/115.00 29,475 34,538
SPDR S&P 500 ETF Trust (Put) Oct-13/123.00 26,890 41,018
SPDR S&P 500 ETF Trust (Put) Oct-13/123.00 6,700 10,579
SPDR S&P 500 ETF Trust (Put) Sep-13/125.00 21,740 32,905
SPDR S&P 500 ETF Trust (Put) Aug-13/115.00 10,576 5,752
SPDR S&P 500 ETF Trust (Put) Jul-13/115.00 29,934 11,884
SPDR S&P 500 ETF Trust (Put) Jun-13/110.00 25,594 4,354
SPDR S&P 500 ETF Trust (Put) May-13/108.00 30,279 2,778
SPDR S&P 500 ETF Trust (Put) Apr-13/117.00 14,706 1,048
SPDR S&P 500 ETF Trust (Put) Mar-13/116.00 9,176 29
SPDR S&P 500 ETF Trust (Put) Mar-13/116.00 5,350 19
Total purchased equity options outstanding (cost $1,476,051) $428,909

PREFERRED STOCKS (0.1%)(a)
Shares Value
Ally Financial, Inc. 144A 7.00% cum. pfd. 75 $72,973
M/I Homes, Inc. $2.438 pfd.(NON) 2,460 61,746
Total preferred stocks (cost $124,479) $134,719

CONVERTIBLE BONDS AND NOTES (0.1%)(a)
Principal amount Value
Exide Technologies cv. sr. sub. notes FRN zero %, 2013 $25,000 $23,625
iStar Financial, Inc. cv. sr. unsec. unsub. notes 3s, 2016(R) 35,000 39,594
Navistar International Corp. cv. sr. unsec. sub. notes 3s, 2014 74,000 69,745
Total convertible bonds and notes (cost $130,709) $132,964

CONVERTIBLE PREFERRED STOCKS (—%)(a)
Shares Value
ArcelorMittal Ser. MTUS, $1.50 cv. pfd. (France)(NON) 1,658 $38,698
EPR Properties Ser. C, $1.44 cv. pfd. 1,550 34,798
Total convertible preferred stocks (cost $75,736) $73,496

SHORT-TERM INVESTMENTS (52.5%)(a)
Principal amount/shares Value
Putnam Money Market Liquidity Fund 0.11%(AFF) 53,408,234 $53,408,234
Putnam Short Term Investment Fund 0.10%(AFF) 18,674,124 18,674,124
SSgA Prime Money Market Fund 0.08%(P) 4,190,000 4,190,000
U.S. Treasury Bills with an effective yield of 0.145%, December 12, 2013(SEG)(SEGSF) $3,500,000 3,496,111
U.S. Treasury Bills with an effective yield of 0.165%, November 14, 2013(SEG)(SEGSF) 5,000,000 4,995,344
U.S. Treasury Bills with effective yields ranging from 0.174% to 0.175%, October 17, 2013 6,640,000 6,635,232
U.S. Treasury Bills with effective yields ranging from 0.129% to 0.130%, September 19, 2013 3,650,000 3,647,697
U.S. Treasury Bills with effective yields ranging from 0.155% to 0.180%, August 22, 2013(SEG) 8,500,000 8,494,968
U.S. Treasury Bills with effective yields ranging from 0.178% to 0.179%, July 25, 2013 1,500,000 1,499,316
U.S. Treasury Bills with effective yields ranging from 0.161% to 0.162%, June 27, 2013 3,500,000 3,498,709
U.S. Treasury Bills with effective yields ranging from 0.168% to 0.170%, May 30, 2013 2,500,000 2,499,344
U.S. Treasury Bills with effective yields ranging from 0.167% to 0.182%, May 2, 2013 12,000,000 11,998,029
Total short-term investments (cost $123,027,882) $123,037,108

TOTAL INVESTMENTS
Total investments (cost $239,889,971)(b) $243,567,385













FORWARD CURRENCY CONTRACTS at 2/28/13 (aggregate face value $19,368,067) (Unaudited)


Unrealized
Contract Delivery Aggregate appreciation/
Counterparty Currency type date Value face value (depreciation)
Bank of America N.A.
Euro Buy 3/20/13 $1,581,332 $1,650,703 $(69,371)
Barclays Bank PLC
Australian Dollar Sell 4/17/13 59,047 60,096 1,049
British Pound Buy 3/20/13 122,112 126,915 (4,803)
Canadian Dollar Buy 4/17/13 40,588 41,895 (1,307)
Euro Buy 3/20/13 728,711 761,762 (33,051)
Hong Kong Dollar Sell 5/15/13 170,456 170,525 69
Japanese Yen Buy 5/15/13 1,535,923 1,539,333 (3,410)
Malaysian Ringgit Buy 5/15/13 10,433 10,414 19
Singapore Dollar Sell 5/15/13 40,940 40,938 (2)
Swedish Krona Sell 3/20/13 42,336 43,338 1,002
Citibank, N.A.
Danish Krone Buy 3/20/13 3,835 3,991 (156)
Euro Buy 3/20/13 152,375 159,319 (6,944)
Singapore Dollar Sell 5/15/13 40,940 40,956 16
Credit Suisse International
Australian Dollar Sell 4/17/13 59,250 60,292 1,042
British Pound Buy 3/20/13 342,671 356,174 (13,503)
Canadian Dollar Buy 4/17/13 40,588 41,906 (1,318)
Euro Buy 3/20/13 152,245 159,144 (6,899)
Japanese Yen Buy 5/15/13 1,563,131 1,566,872 (3,741)
Mexican Peso Buy 4/17/13 69,493 70,060 (567)
New Zealand Dollar Buy 4/17/13 1,484 1,516 (32)
Polish Zloty Buy 3/20/13 142,146 146,515 (4,369)
South African Rand Buy 4/17/13 139,743 141,897 (2,154)
Deutsche Bank AG
Euro Buy 3/20/13 152,375 159,244 (6,869)
Goldman Sachs International
British Pound Sell 3/20/13 821,562 818,742 (2,820)
HSBC Bank USA, National Association
Euro Buy 3/20/13 907,330 948,396 (41,066)
Japanese Yen Buy 5/15/13 1,353,250 1,356,386 (3,136)
JPMorgan Chase Bank N.A.
Australian Dollar Sell 4/17/13 59,250 60,298 1,048
British Pound Buy 3/20/13 121,960 126,687 (4,727)
Canadian Dollar Buy 4/17/13 40,588 41,900 (1,312)
Euro Buy 3/20/13 152,375 159,243 (6,868)
Japanese Yen Buy 5/15/13 1,569,256 1,566,257 2,999
Mexican Peso Buy 4/17/13 69,493 70,070 (577)
Swiss Franc Sell 3/20/13 100,733 104,327 3,594
State Street Bank and Trust Co.
Australian Dollar Sell 4/17/13 59,250 60,297 1,047
British Pound Buy 3/20/13 121,960 126,685 (4,725)
Canadian Dollar Buy 4/17/13 40,588 41,892 (1,304)
Euro Buy 3/20/13 152,375 159,272 (6,897)
Israeli Shekel Buy 4/17/13 7,044 7,070 (26)
Japanese Yen Buy 5/15/13 1,353,250 1,356,607 (3,357)
Swedish Krona Sell 3/20/13 42,351 43,342 991
UBS AG
Australian Dollar Sell 4/17/13 59,250 60,288 1,038
British Pound Buy 3/20/13 121,960 126,744 (4,784)
Canadian Dollar Buy 4/17/13 40,588 41,888 (1,300)
Euro Buy 3/20/13 907,200 948,501 (41,301)
Japanese Yen Buy 5/15/13 1,353,250 1,356,210 (2,960)
Mexican Peso Buy 4/17/13 69,493 70,070 (577)
Norwegian Krone Sell 3/20/13 13,440 14,093 653
Swedish Krona Sell 3/20/13 42,336 43,327 991
WestPac Banking Corp.
Euro Buy 3/20/13 907,200 948,649 (41,449)
Japanese Yen Buy 5/15/13 1,353,250 1,357,021 (3,771)
Total $(315,895)












FUTURES CONTRACTS OUTSTANDING at 2/28/13 (Unaudited)


             Unrealized
Number of             Expiration appreciation/
contracts Value             date (depreciation)
Australian Government Treasury Bond 10 yr (Long) 63 $7,892,515             Mar-13 $(36,662)
Euro-Bobl 5 yr (Long) 32 5,329,984             Mar-13 35,051
Euro-Bund 10 yr (Long) 64 12,114,664             Mar-13 64,885
Euro-Buxl 30yr Bond (Long) 16 2,794,920             Mar-13 24,206
Euro-OAT 10 yr (Short) 40 7,059,889             Mar-13 (131)
Euro-Schatz 2 yr (Long) 32 4,626,241             Mar-13 2,822
FTSE 100 Index (Short) 33 3,183,234             Mar-13 (135,981)
Japanese Government Bond 10 yr (Long) 19 29,726,831             Mar-13 184,288
MSCI EAFE Index Mini (Short) 35 2,903,075             Mar-13 (110,758)
NASDAQ 100 Index E-Mini (Short) 93 5,092,680             Mar-13 (135,231)
S&P 500 Index E-Mini (Long) 171 12,938,715             Mar-13 279,369
U.K. Gilt 10 yr (Long) 68 12,037,671             Jun-13 264,982
U.S. Treasury Bond 30 yr (Long) 29 4,169,656             Jun-13 (9,789)
U.S. Treasury Note 2 yr (Long) 51 11,243,906             Jun-13 (97)
U.S. Treasury Note 5 yr (Long) 90 11,158,594             Jun-13 4,657
U.S. Treasury Note 10 yr (Long) 10 1,315,469             Jun-13 (2,441)
U.S. Treasury Note 10 yr (Short) 119 15,654,078             Jun-13 28,594
Total $457,766












WRITTEN EQUITY OPTIONS OUTSTANDING at 2/28/13 (premiums $167,867) (Unaudited)


Expiration       Contract
Date/strike       amount Value
SPDR S&P 500 ETF Trust (Put) May-13/$90.00        30,279 $1,559
SPDR S&P 500 ETF Trust (Put) Apr-13/100.00        14,706 195
SPDR S&P 500 ETF Trust (Put) Mar-13/100.00        5,350 2
SPDR S&P 500 ETF Trust (Put) Mar-13/100.00        9,176 1
Total $1,757















OTC INTEREST RATE SWAP CONTRACTS OUTSTANDING at 2/28/13 (Unaudited)
Upfront     Payments Payments Unrealized
Swap counterparty / premium     Termination made by received by appreciation/
Notional amount received (paid)     date fund per annum fund per annum (depreciation)
Barclays Bank PLC
$1,900,000 (E) $78,125      3/20/43 3 month USD-LIBOR-BBA 2.60% $(68,479)
48,600,000 (E) 531,227      3/20/23 3 month USD-LIBOR-BBA 1.75% (594,835)
6,700,000 (E) 9,033      3/20/18 3 month USD-LIBOR-BBA 0.90% (6,578)
3,800,000 (E) (3,974)     3/20/15 3 month USD-LIBOR-BBA 0.45% 320
Credit Suisse International
13,300,000 (E) 363,930      3/20/23 3 month USD-LIBOR-BBA 1.75% 55,769
200,000 (E) 888      3/20/18 3 month USD-LIBOR-BBA 0.90% 422
1,000,000 (E) (550)     3/20/15 3 month USD-LIBOR-BBA 0.45% 580
300,000 (E) 20,100      3/20/43 3 month USD-LIBOR-BBA 2.60% (3,048)
Total $(615,849)
(E)   Extended effective date.











OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 2/28/13 (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)
Bank of America N.A.
$3,800,000      9/21/21 (2.305%) USA Non Revised Consumer Price Index- Urban (CPI-U) $107,920
baskets 163,729      3/14/13 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF2) of common stocks 1,467,772
baskets 65,244      3/14/13 (3 month USD-LIBOR-BBA plus 0.10%) A basket (MLTRFCF2) of common stocks 77,971
units 2,143      3/14/13 3 month USD-LIBOR-BBA minus 0.09% Russell 1000 Total Return Index (670,730)
units 450      3/14/13 3 month USD-LIBOR-BBA minus 0.09% Russell 1000 Total Return Index (140,844)
units 308      3/14/13 3 month USD-LIBOR-BBA minus 0.09% Russell 1000 Total Return Index (96,400)
units 1,330      4/5/13 3 month USD-LIBOR-BBA minus 0.39% Russell 1000 Total Return Index (416,272)
units 1,586      3/14/13 3 month USD-LIBOR-BBA minus 0.09% Russell 1000 Total Return Index (78,719)
Barclays Bank PLC
$2,900,000      12/7/22 (2.7475%) USA Non Revised Consumer Price Index- Urban (CPI-U) (17,528)
Citibank, N.A.
800,000      11/7/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) (2,199)
1,500,000      8/7/22 2.515% USA Non Revised Consumer Price Index- Urban (CPI-U) (25,485)
baskets 30      2/13/14 (3 month USD-LIBOR-BBA plus 0.10%) A basket (CGPUTQL2) of common stocks 24,611
baskets 70      2/13/14 (3 month USD-LIBOR-BBA plus 0.10%) A basket (CGPUTQL2) of common stocks 82,474
shares 20,457      9/10/13 (3 month USD-LIBOR-BBA) Vanguard Index Funds - MSCI Emerging Markets ETF 11,885
units 1,616      2/13/14 3 month USD-LIBOR-BBA minus 0.15% Russell 1000 Total Return Index 20,883
units 849      2/13/14 3 month USD-LIBOR-BBA minus 0.15% Russell 1000 Total Return Index (26,693)
Credit Suisse International
$2,600,000      1/9/23 (2.76%) USA Non Revised Consumer Price Index- Urban (CPI-U) (11,939)
3,400,000      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) 57,766
1,600,000      8/8/22 (2.5325%) USA Non Revised Consumer Price Index- Urban (CPI-U) 24,496
700,000      9/10/22 (2.5925%) USA Non Revised Consumer Price Index- Urban (CPI-U) 9,464
42,883      9/19/13 (3 month USD-LIBOR-BBA plus 0.05%) Vanguard Index Funds - MSCI Emerging Markets ETF (5,553)
3,300,000      2/8/23 (2.81%) USA Non Revised Consumer Price Index- Urban (CPI-U) (14,378)
shares 34,150      11/25/13 (3 month USD-LIBOR-BBA plus 0.10%) Vanguard Index Funds - MSCI Emerging Markets ETF 15,010
shares 20,127      7/18/13 (3 month USD-LIBOR-BBA plus 0.10%) Vanguard Index Funds - MSCI Emerging Markets ETF (32,578)
shares 94,529      7/2/13 (3 month USD-LIBOR-BBA plus 0.10%) Vanguard Index Funds - MSCI Emerging Markets ETF (188,784)
shares 6,269      2/10/14 (3 month USD-LIBOR-BBA plus 0.15%) Vanguard Index Funds - MSCI Emerging Markets ETF (5,133)
shares 36,117      2/20/14 (3 month USD-LIBOR-BBA plus 0.20%) Vanguard Index Funds - MSCI Emerging Markets ETF (30,414)
Deutsche Bank AG
$500,000      11/7/21 (2.43%) USA Non Revised Consumer Price Index- Urban (CPI-U) 7,460
Goldman Sachs International
1,500,000      10/5/22 (2.73%) USA Non Revised Consumer Price Index- Urban (CPI-U) 1,299
JPMorgan Chase Bank N.A.
13,500,000      8/7/22 (2.515%) USA Non Revised Consumer Price Index- Urban (CPI-U) 226,234
Total $371,596











OTC CREDIT DEFAULT CONTRACTS OUTSTANDING at 2/28/13 (Unaudited)
Upfront Fixed payments
premium Termi- received Unrealized
Swap counterparty / received Notional nation (paid) by fund appreciation/
Referenced debt* Rating*** (paid)** amount date per annum (depreciation)
Barclays Bank PLC
  DJ CDX EM Series 18 Index BB+/P $(215,460) $1,800,000 12/20/17 500 bp $(4,290)
  DJ CDX EM Series 18 Index BB+/P (1,237,600) 9,100,000 12/20/17 500 bp (108,098)
  DJ CDX NA HY Series 19 Index B+/P (48,293) 6,439,000 12/20/17 500 bp 195,424
  DJ CDX NA HY Series 19 Index B+/P (115,500) 4,200,000 12/20/17 500 bp 22,470
  DJ CDX NA HY Series 19 Index B+/P 21,875 3,500,000 12/20/17 500 bp 154,350
  DJ CDX NA HY Series 19 Index B+/P (47,250) 2,100,000 12/20/17 500 bp 26,402
  DJ CDX NA IG Series 19 Index BBB+/P (5,861) 1,180,000 12/20/17 100 bp 3,652
  DJ CDX NA IG Series 19 Index BBB+/P (990) 655,000 12/20/17 100 bp 4,291
Citibank, N.A.
  DJ CDX EM Series 18 Index BB+/P (99,520) 800,000 12/20/17 500 bp (223)
  DJ CDX NA IG Series 19 Index BBB+/P (2,342) 460,000 12/20/17 100 bp 1,366
Credit Suisse International
  DJ CDX NA HY Series 19 Index B+/P 5,000 2,000,000 12/20/17 500 bp 80,700
  DJ CDX NA IG Series 19 Index BBB+/P (4,314) 900,000 12/20/17 100 bp 1,717
  DJ CDX NA IG Series 19 Index BBB+/P (4,275) 850,000 12/20/17 100 bp 2,578
  DJ CDX NA IG Series 19 Index BBB+/P (708) 550,000 12/20/17 100 bp 3,726
Deutsche Bank AG
  DJ CDX EM Series 18 Index BB+/P (144,100) 1,100,000 12/20/17 500 bp (7,567)
  DJ CDX NA HY Series 19 Index B+/P 6,625 5,300,000 12/20/17 500 bp 207,231
  DJ CDX NA HY Series 19 Index B+/P 4,281 3,425,000 12/20/17 500 bp 133,918
  DJ CDX NA IG Series 19 Index BBB+/P (3,877) 540,000 12/20/17 100 bp 191
Goldman Sachs International
  DJ CDX NA IG Series 19 Index BBB+/P (12,456) 2,500,000 12/20/17 100 bp 7,699
  DJ CDX NA IG Series 19 Index BBB+/P (329) 165,000 12/20/17 100 bp 1,001
JPMorgan Chase Bank N.A.
  DJ CDX EM Series 18 Index BB+/P (112,800) 800,000 12/20/17 500 bp (15,614)
  DJ CDX NA HY Series 19 Index B+/P (406,250) 25,000,000 12/20/17 500 bp 540,002
Total $1,250,926
*   Payments related to the referenced debt are made upon a credit default event.  
**   Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.  
***   Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard & Poor's or Fitch ratings are believed to be the most recent ratings available at February 28, 2013. Securities rated by Putnam are indicated by “/P.” Securities rated by Fitch are indicated by “/F.”  










Key to holding's currency abbreviations
CAD Canadian Dollar
Key to holding's abbreviations
ADR American Depository Receipts: represents ownership of foreign securities on deposit with a custodian bank
ETF Exchange Traded Fund
FRB Floating Rate Bonds: the rate shown is the current interest rate at the close of the reporting period
FRN Floating Rate Notes: the rate shown is the current interest rate at the close of the reporting period
SPDR S&P Depository Receipts
TBA To Be Announced Commitments
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, 2012 through February 28, 2013 (the reporting period). Within the following notes to the portfolio, references to “ASC 820” represent Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “OTC”, if any, represent over-the-counter.
(a) Percentages indicated are based on net assets of $234,249,965.
(CLN) The value of the commodity linked notes, which are marked-to-market daily, may be based on a multiple of the performance of the index. The multiple (or leverage) will increase the volatility of the note's value relative to the change in the underlying index.
(b) The aggregate identified cost on a tax basis is $239,926,964, resulting in gross unrealized appreciation and depreciation of $8,457,653 and $4,817,232, respectively, or net unrealized appreciation of $3,640,421.
(NON) Non-income-producing security.
(PIK) Income may be received in cash or additional securities at the discretion of the issuer.
(AFF) Affiliated company. For investments in Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund, the rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with a company which is under common ownership, or with companies in which the fund owned at least 5% of the voting securities, were as follows:
Name of affiliate Market value at the beginning of the reporting period Purchase cost Sale proceeds Investment income Market value at the end of the reporting period
Putnam Money Market Liquidity Fund * $57,732,468 $105,252,779 $109,577,013 $49,028 $53,408,234
Putnam Short Term Investment Fund * — 21,073,510 2,399,386 307 18,674,124
Totals $57,732,468 $126,326,289 $111,976,399 $49,335 $72,082,358
* Management fees charged to Putnam Money Market Liquidity Fund and Putnam Short Term Investment Fund have been waived by Putnam Management.
(SEG) This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period.
(SEGSF) This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts 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 ASC 820 based on the securities' valuation inputs.
(i) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.
(P) Security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivatives contracts. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.
(R) Real Estate Investment Trust.
At the close of the reporting period, the fund maintained liquid assets totaling $205,338,649 to cover certain derivatives contracts.
Debt obligations are considered secured unless otherwise indicated.
144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
The dates shown on debt obligations are the original maturity dates.
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 under ASC 820. If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange traded funds), if any, which can be classified as Level 1 or Level 2 securities, are based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
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 would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. 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. 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 Management 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.
Options contracts: The fund used options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance the return on a security owned and to enhance the return on securities owned.
The potential risk to the fund is that the change in value of options 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. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers. Forward premium swap options contracts include premiums that do not settle until the expiration date of the contract. The delayed settlement of the premiums are factored into the daily valuation of the option contracts.
For the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.
Futures contracts: The fund used futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
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”.
For the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.
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 were 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. 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 when the contract matures or by delivery of the currency. 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.
For the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.
Interest rate swap contracts: The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC interest rate swap can be purchased or sold with an upfront premium. An upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded as an asset on the fund's books. Upfront premiums are recorded as realizes gains and losses at the closing of the contract. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin. Payments received or made are recorded as realized gains or losses. Certain OTC and centrally cleared interest rate 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 if the counterparty defaults 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 for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty. There is minimal counterparty risk with respect to centrally cleared interest rate contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.
For the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.
Total return swap contracts: The fund entered into OTC 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, to manage exposure to specific sectors or industries, to gain exposure to specific markets or countries, and to gain exposure to specific sectors or industries.
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. OTC 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 OTC 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.
For the fund's average notional amount on OTC total return swap contracts, see the appropriate table at the end of these footnotes.
Credit default contracts: The fund entered into OTC credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
In an OTC credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The OTC credit default 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. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC credit default contracts which would mitigate its risk of loss. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant OTC credit default contract.
For the fund's average notional amount on OTC credit default contracts, see the appropriate table at the end of these footnotes.
Master agreements: The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements (Master Agreements) with certain counterparties that govern OTC 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 posted to the fund which cannot be sold or repledged totaled $165,384 at the close of the reporting period.
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 $457,615 on open derivative contracts subject to the Master Agreements. Collateral posted by the fund for these agreements totaled $379,592.
TBA purchase commitments: The fund may enter into TBA commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price has been established, the principal value has not been finalized. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
TBA purchase commitments may be considered securities themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date, which risk is in addition to the risk of decline in the value of the fund’s other assets. Unsettled TBA purchase commitments are valued at fair value of the underlying securities, according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in market value is recorded by the fund as an unrealized gain or loss.
Although the fund will generally enter into TBA purchase commitments with the intention of acquiring securities for its portfolio or for delivery pursuant to options contracts it has entered into, the fund may dispose of a commitment prior to settlement if Putnam Management deems it appropriate to do so.












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 $1,396,039 $2,452,825 $—
    Capital goods 1,831,946 1,229,718 3,023
    Communication services 1,727,671 1,056,208 —
    Conglomerates 1,539,279 314,824 —
    Consumer cyclicals 8,500,853 2,935,445 —
    Consumer staples 5,503,063 3,113,155 —
    Energy 4,726,683 1,723,526 —
    Financials 15,841,740 5,768,683 —
    Health care 7,651,431 2,507,858 —
    Technology 11,410,654 954,609 —
    Transportation 1,155,661 603,545 —
    Utilities and power 1,886,841 774,200 —
Total common stocks 63,171,861 23,434,596 3,023
Commodity linked notes — 8,271,447 —
Convertible bonds and notes — 132,964 —
Convertible preferred stocks — 73,496 —
Corporate bonds and notes — 11,938,489 —
Foreign government and agency bonds and notes — 3,657,875 —
Investment companies 1,201,369 — —
Preferred stocks — 134,719 —
Purchased equity options outstanding — 428,909 —
U.S. Government and Agency Mortgage Obligations — 7,487,422 —
U.S. Treasury obligations — 594,107 —
Short-term investments 76,272,358 46,764,750 —
Totals by level $140,645,588 $102,918,774 $3,023



Valuation inputs
Other financial instruments: Level 1 Level 2 Level 3
Forward currency contracts $— $(315,895) $—
Futures contracts 457,766 — —
Written equity options outstanding — (1,757) —
Interest rate swap contracts — (1,614,628) —
Total return swap contracts — 371,596 —
Credit default contracts — 3,675,070 —
Totals by level $457,766 $2,114,386 $—


At the start and close of the reporting period, Level 3 investments in securities 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
Credit contracts $3,675,070 $—
Foreign exchange contracts 15,558 331,453
Equity contracts 2,408,884 2,075,847
Interest rate contracts 1,049,549 1,740,701
Total $7,149,061 $4,148,000


The average volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was as follows:
Purchased equity option contracts (number of contracts)250,000
Written equity option contracts (number of contracts)260,000
Futures contracts (number of contracts)700
Forward currency contracts (contract amount)$43,300,000
OTC interest rate swap contracts (notional)$62,100,000
OTC total return swap contracts (notional)$84,700,000
OTC credit default swap contracts (notional) $62,100,000

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 26, 2013

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 26, 2013

By (Signature and Title):
/s/ Steven D. Krichmar
Steven D. Krichmar
Principal Financial Officer
Date: April 26, 2013

EX-99.CERT 2 b_EC2certifications.htm EX-99.CERT b_EC2certifications.htm

Certifications

I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements 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 each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer 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 registrants 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 each 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 registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each 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 each 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 each registrant’s internal control over financial reporting.

/s/ Jonathan S. Horwitz
_____________________________

Date: April 26, 2013
Jonathan S. Horwitz
Principal Executive Officer













Certifications

I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:

1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:

2. Based on my knowledge, each report does not contain any untrue statements 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 each report;

3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer 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 registrants 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 each 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 registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to each registrant’s auditors and the audit committee of each 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 each 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 each registrant’s internal control over financial reporting.

/s/ Steven D. Krichmar
_______________________________

Date: April 26, 2013
Steven D. Krichmar
Principal Financial Officer














Attachment A

Period (s) ended February 28, 2013
               Putnam Arizona Tax Exempt Income Fund
               Putnam Minnesota Tax Exempt Income Fund
               Putnam Massachusetts Tax Exempt Income Fund
               Putnam New York Tax Exempt Income Fund
               Putnam High Yield Advantage Fund
               Putnam Equity Income Fund
               Putnam Pennsylvania Tax Exempt Income Fund
               Putnam Ohio Tax Exempt Income Fund
               Putnam New Jersey Tax Exempt Income Fund
               Putnam Michigan Tax Exempt Income Fund
               Putnam Dynamic Asset Allocation Equity Fund
               Putnam Dynamic Risk Allocation Fund